The Prudential Series Fund

CONSERVATIVE BALANCED PORTFOLIO

SCHEDULE OF INVESTMENTS

as of June 30, 2015 (Unaudited)

N-CSRS 1 d802635dncsrs.htm THE PRUDENTIAL SERIES FUND The Prudential Series Fund

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:		655 Broad Street 17^th FL Newark, New Jersey 07102

Name and address of agent for service:		Deborah A. Docs
		655 Broad Street 17^th FL
		Newark, New Jersey 07102

Registrant’s telephone number, including area code:		973-367-7521

Date of fiscal year end:		12/31/2015

Date of reporting period:		6/30/2015

Item 1 – Reports to Stockholders

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THE PRUDENTIAL SERIES FUND

SEMIANNUAL REPORT Ÿ JUNE 30, 2015

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, 2015, 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.

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Conservative Balanced Portfolio

Diversified Bond Portfolio

Equity Portfolio

Flexible Managed Portfolio

Global Portfolio

Government Income Portfolio

High Yield Bond Portfolio

Jennison Portfolio

Money Market Portfolio

Natural Resources Portfolio

Small Capitalization Stock Portfolio

Stock Index Portfolio

Value Portfolio

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The Prudential Series Fund

Table of Contents

Semiannual Report

June 30, 2015

LETTER TO CONTRACT OWNERS

PRESENTATION OF PORTFOLIO HOLDINGS

FEES AND EXPENSES

FINANCIAL REPORTS


Section A	Schedule of Investments and Financial Statements

	Conservative Balanced Portfolio	A1
	Diversified Bond Portfolio	A32
	Equity Portfolio	A58
	Flexible Managed Portfolio	A63
	Global Portfolio	A92
	Government Income Portfolio	A99
	High Yield Bond Portfolio	A108
	Jennison Portfolio	A128
	Money Market Portfolio	A132
	Natural Resources Portfolio	A137
	Small Capitalization Stock Portfolio	A142
	Stock Index Portfolio	A153
	Value Portfolio	A163
	Glossary	A167

Section B	Notes to Financial Statements
Section C	Financial Highlights

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, 2015

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,

LOGO

Timothy S. Cronin

President,

The Prudential Series Fund

July 31, 2015

The Prudential Series Fund

Presentation of Portfolio Holdings — unaudited

June 30, 2015


Conservative Balanced
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	1.8%
U.S. Treasury Notes, 2.125%, 09/30/21	1.1%
Federal National Mortgage Assoc., 3.000%, TBA	1.0%
Microsoft Corp.	0.9%
Exxon Mobil Corp.	0.9%


Diversified Bond
Allocation	(% of Net Assets	)
Banking	12.8%
Commercial Mortgage-Backed Securities	10.7%
Residential Mortgage-Backed Securities	7.8%
Healthcare & Pharmaceutical	5.1%
Sovereigns	4.9%


Equity
Five Largest Holdings	(% of Net Assets	)
Allergan PLC	3.5%
Apple, Inc.	3.5%
Facebook, Inc. (Class A Stock)	3.1%
Amazon.com, Inc.	2.1%
NIKE, Inc., (Class B Stock)	2.0%


Flexible Managed
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	2.6%
Exxon Mobil Corp.	1.4%
Microsoft Corp.	1.4%
JPMorgan Chase & Co.	1.2%
Johnson & Johnson	1.1%


Global
Top Five Countries	(% of Net Assets	)
United States	50.1%
Japan	9.7%
United Kingdom	7.8%
France	3.9%
Switzerland	3.1%


Government Income
Allocation	(% of Net Assets	)
U.S. Government Agency Obligations	50.9%
Commercial Mortgaged-Backed Securities	22.7%
U.S. Treasury Obligations	19.5%
Collateralized Loan Obligations	5.6%
Foreign Agencies	0.7%


High Yield Bond
Allocation	(% of Net Assets	)
Technology	10.9%
Healthcare & Pharmaceutical	9.8%
Capital Goods	7.6%
Electric	6.3%
Energy—Other	5.7%


Jennison
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	5.7%
Facebook, Inc. (Class A Stock)	3.7%
Amazon.com. Inc.	3.5%
MasterCard, Inc. (Class A Stock)	3.5%
NIKE, Inc. (Class B Stock)	2.6%


Natural Resources
Five Largest Holdings	(% of Net Assets	)
Anadarko Petroleum Corp.	4.1%
Concho Resources, Inc.	4.0%
Schlumberger Ltd.	3.6%
Noble Energy, Inc.	3.2%
EOG Resources, Inc.	3.2%


Small Capitalization Stock
Five Largest Holdings	(% of Net Assets	)
iShares Core S&P Small-Cap ETF	0.7%
West Pharmaceutical Services, Inc.	0.6%
Toro Co. (The)	0.5%
Cracker Barrel Old Country Store, Inc.	0.5%
PAREXEL International Corp.	0.5%


Stock Index
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	3.9%
Microsoft Corp.	1.9%
Exxon Mobil Corp.	1.9%
Johnson & Johnson	1.4%
General Electric Co.	1.4%


Value
Five Largest Holdings	(% of Net Assets	)
JPMorgan Chase & Co.	3.3%
Wells Fargo & Co.	3.1%
Citigroup, Inc.	2.5%
Allergan PLC	2.5%
Goldman Sachs Group, Inc.	2.5%

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

The Prudential Series Fund

Fees and Expenses — unaudited

June 30, 2015

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, 2015 through June 30, 2015.

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, 2015		Ending Account Value June 30, 2015		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month period*
Conservative Balanced (Class I)	Actual	$	1,000.00	$	1,005.30		0.58	%	$	2.88
Conservative Balanced (Class I)	Hypothetical	$	1,000.00	$	1,021.92		0.58	%	$	2.91
Diversified Bond (Class I)	Actual	$	1,000.00	$	997.40		0.44	%	$	2.18
Diversified Bond (Class I)	Hypothetical	$	1,000.00	$	1,022.61		0.44	%	$	2.21
Equity (Class I)	Actual	$	1,000.00	$	1,031.90		0.47	%	$	2.37
Equity (Class I)	Hypothetical	$	1,000.00	$	1,022.46		0.47	%	$	2.36
Equity (Class II)	Actual	$	1,000.00	$	1,030.00		0.87	%	$	4.38
Equity (Class II)	Hypothetical	$	1,000.00	$	1,020.48		0.87	%	$	4.36
Flexible Managed (Class I)	Actual	$	1,000.00	$	1,008.40		0.63	%	$	3.14
Flexible Managed (Class I)	Hypothetical	$	1,000.00	$	1,021.67		0.63	%	$	3.16
Global (Class I)	Actual	$	1,000.00	$	1,044.70		0.81	%	$	4.11
Global (Class I)	Hypothetical	$	1,000.00	$	1,020.78		0.81	%	$	4.06
Government Income (Class I)	Actual	$	1,000.00	$	1,001.70		0.49	%	$	2.43
Government Income (Class I)	Hypothetical	$	1,000.00	$	1,022.36		0.49	%	$	2.46
High Yield Bond (Class I)	Actual	$	1,000.00	$	1,027.40		0.57	%	$	2.87
High Yield Bond (Class I)	Hypothetical	$	1,000.00	$	1,021.97		0.57	%	$	2.86
Jennison (Class I)	Actual	$	1,000.00	$	1,086.90		0.63	%	$	3.26
Jennison (Class I)	Hypothetical	$	1,000.00	$	1,021.67		0.63	%	$	3.16
Jennison (Class II)	Actual	$	1,000.00	$	1,084.70		1.03	%	$	5.32
Jennison (Class II)	Hypothetical	$	1,000.00	$	1,019.69		1.03	%	$	5.16
Money Market (Class I)	Actual	$	1,000.00	$	1,000.00		0.17	%	$	0.84
Money Market (Class I)	Hypothetical	$	1,000.00	$	1,023.95		0.17	%	$	0.85

The Prudential Series Fund

Fees and Expenses — unaudited (continued)

June 30, 2015


The Prudential Series Fund Portfolios		Beginning Account Value January 1, 2015		Ending Account Value June 30, 2015		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month period*
Natural Resources (Class I)	Actual	$	1,000.00	$	961.00		0.46	%	$	2.24
Natural Resources (Class I)	Hypothetical	$	1,000.00	$	1,022.51		0.46	%	$	2.31
Natural Resources (Class II)	Actual	$	1,000.00	$	959.30		0.86	%	$	4.18
Natural Resources (Class II)	Hypothetical	$	1,000.00	$	1,020.53		0.86	%	$	4.31
Small Capitalization Stock (Class I)	Actual	$	1,000.00	$	1,040.30		0.40	%	$	2.02
Small Capitalization Stock (Class I)	Hypothetical	$	1,000.00	$	1,022.81		0.40	%	$	2.01
Stock Index (Class I)	Actual	$	1,000.00	$	1,010.80		0.32	%	$	1.60
Stock Index (Class I)	Hypothetical	$	1,000.00	$	1,023.21		0.32	%	$	1.61
Value (Class I)	Actual	$	1,000.00	$	1,003.40		0.42	%	$	2.09
Value (Class I)	Hypothetical	$	1,000.00	$	1,022.71		0.42	%	$	2.11
Value (Class II)	Actual	$	1,000.00	$	1,001.90		0.82	%	$	4.07
Value (Class II)	Hypothetical	$	1,000.00	$	1,020.73		0.82	%	$	4.11

* 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, 2015, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2015 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.


LONG-TERM INVESTMENTS — 84.8%
COMMON STOCKS — 51.1%	Shares		Value (Note 2)
Aerospace & Defense — 1.3%
Airbus Group NV (France)		17,481	$	1,138,668
BAE Systems PLC (United Kingdom)		50,286		356,296
Boeing Co. (The)		40,650		5,638,968
General Dynamics Corp.		19,500		2,762,955
Honeywell International, Inc.		48,412		4,936,572
L-3 Communications Holdings, Inc.		5,100		578,238
Lockheed Martin Corp.		16,600		3,085,940
Northrop Grumman Corp.		12,462		1,976,847
Precision Castparts Corp.		8,800		1,758,856
Raytheon Co.		19,000		1,817,920
Rockwell Collins, Inc.		8,200		757,270
Safran SA (France)		3,060		207,956
Textron, Inc.		17,100		763,173
United Technologies Corp.		51,600		5,723,988

				31,503,647

Air Freight & Logistics — 0.3%
C.H. Robinson Worldwide, Inc.		9,100		567,749
Expeditors International of Washington, Inc.		11,900		548,650
FedEx Corp.		16,600		2,828,640
Royal Mail PLC (United Kingdom)		7,426		60,035
United Parcel Service, Inc. (Class B Stock)		43,400		4,205,894

				8,210,968

Airlines — 0.3%
American Airlines Group, Inc.		43,000		1,717,205
ANA Holdings, Inc. (Japan)		13,000		35,247
Cathay Pacific Airways Ltd. (Hong Kong)		327,000		803,410
Delta Air Lines, Inc.		50,900		2,090,972
easyJet PLC (United Kingdom)		1,793		43,585
International Consolidated Airlines Group SA (United Kingdom)*		9,089		70,908
Japan Airlines Co. Ltd. (Japan)		1,400		48,789
Ryanair Holdings PLC (Ireland) ADR		11,100		791,985
Singapore Airlines Ltd. (Singapore)		5,900		46,976
Southwest Airlines Co.		41,800		1,383,162

				7,032,239

Auto Components — 0.3%
BorgWarner, Inc.		14,000		795,760
Cie Generale des Etablissements Michelin (France)		7,366		775,080
Continental AG (Germany)		279		66,061
Delphi Automotive PLC (United Kingdom)		18,000		1,531,620
Goodyear Tire & Rubber Co. (The)		16,300		491,445
Johnson Controls, Inc.		40,600		2,010,918
NHK Spring Co. Ltd. (Japan)		72,200		794,949
NOK Corp. (Japan)		26,700		827,268
Nokian Renkaat OYJ (Finland)		1,287		40,322
Toyota Industries Corp. (Japan)		1,900		108,198
Valeo SA (France)		790		124,965

				7,566,586


COMMON STOCKS (continued)	Shares		Value (Note 2)
Automobiles — 0.5%
Daimler AG (Germany)		18,812	$	1,713,694
Fiat Chrysler Automobiles NV (United Kingdom)*		10,057		147,538
Ford Motor Co.		244,285		3,666,718
Fuji Heavy Industries Ltd. (Japan)		6,800		250,041
General Motors Co.		83,500		2,783,055
Harley-Davidson, Inc.		13,100		738,185
Nissan Motor Co. Ltd. (Japan)		23,900		249,682
Peugeot SA (France)*		51,647		1,065,059
Renault SA (France)		2,141		224,479
Toyota Motor Corp. (Japan)		24,800		1,659,549
Volkswagen AG (Germany)		333		77,105

				12,575,105

Banks — 3.6%
Aozora Bank Ltd. (Japan)		106,000		399,940
Australia & New Zealand Banking Group Ltd. (Australia)		37,789		937,817
Banco Santander SA (Spain)		268,715		1,890,150
Bank Hapoalim BM (Israel)		156,282		841,103
Bank Leumi Le-Israel BM (Israel)*		46,319		195,721
Bank of America Corp.		649,521		11,054,847
Bank of Kyoto Ltd. (The) (Japan)		4,000		46,013
Bank of Yokohama Ltd. (The) (Japan)		13,000		79,612
Barclays PLC (United Kingdom)		4,989		20,448
BB&T Corp.		44,500		1,793,795
BOC Hong Kong Holdings Ltd. (Hong Kong)		38,000		158,158
Chiba Bank Ltd. (The) (Japan)		8,000		60,918
Citigroup, Inc.		188,185		10,395,339
Comerica, Inc.		11,000		564,520
Commonwealth Bank of Australia (Australia)		6,573		431,038
Credit Agricole SA (France)		11,877		177,324
Danske Bank A/S (Denmark)		3,407		100,156
DNB ASA (Norway)		57,655		960,164
Fifth Third Bancorp		50,321		1,047,683
HSBC Holdings PLC (United Kingdom)		218,852		1,959,679
Huntington Bancshares, Inc.		47,736		539,894
ING Groep NV (Netherlands), CVA		43,381		720,359
Intesa Sanpaolo SpA (Italy)		10,665		34,050
JPMorgan Chase & Co.		231,145		15,662,385
KBC Groep NV (Belgium)		14,972		1,003,698
KeyCorp		51,900		779,538
Lloyds Banking Group PLC (United Kingdom)		25,147		33,752
M&T Bank Corp.(a)		8,200		1,024,426
Mitsubishi UFJ Financial Group, Inc. (Japan)		282,400		2,031,717
Mizuho Financial Group, Inc. (Japan)		688,900		1,490,595
Nordea Bank AB (Sweden)		34,621		431,785
Oversea-Chinese Banking Corp. Ltd. (Singapore)		51,960		392,400
People’s United Financial, Inc.(a)		18,700		303,127
PNC Financial Services Group, Inc. (The)		32,233		3,083,087
Regions Financial Corp.		82,203		851,623
Resona Holdings, Inc. (Japan)		121,100		660,495

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Banks (continued)
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		79,536	$	1,017,372
Sumitomo Mitsui Financial Group, Inc. (Japan)		32,300		1,437,970
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		143,000		654,168
SunTrust Banks, Inc.		32,400		1,393,848
Svenska Handelsbanken AB (Sweden) (Class A Stock)		68,060		993,557
U.S. Bancorp		109,985		4,773,349
Wells Fargo & Co.		290,364		16,330,071
Westpac Banking Corp. (Australia)		4,855		120,123
Zions Bancorporation		12,750		404,621

				89,282,435

Beverages — 1.0%
Anheuser-Busch InBev NV (Belgium)		4,077		490,629
Brown-Forman Corp. (Class B Stock)		9,650		966,737
Carlsberg A/S (Denmark) (Class B Stock)		1,231		111,535
Coca-Cola Co. (The)		242,701		9,521,160
Coca-Cola Enterprises, Inc.		13,400		582,096
Constellation Brands, Inc. (Class A Stock)		10,400		1,206,608
Diageo PLC (United Kingdom)		19,665		569,491
Dr. Pepper Snapple Group, Inc.		12,000		874,800
Heineken NV (Netherlands)		2,648		201,321
Molson Coors Brewing Co. (Class B Stock)		9,900		691,119
Monster Beverage Corp.*		9,100		1,219,582
PepsiCo, Inc.		92,107		8,597,267
Pernod Ricard SA (France)		1,556		179,878
SABMiller PLC (United Kingdom)		11,247		583,158

				25,795,381

Biotechnology — 1.5%
Alexion Pharmaceuticals, Inc.*		13,600		2,458,472
Amgen, Inc.		47,387		7,274,852
Biogen, Inc.*		14,690		5,933,879
Celgene Corp.*		49,900		5,775,176
Gilead Sciences, Inc.		92,300		10,806,484
Regeneron Pharmaceuticals, Inc.*		4,700		2,397,611
Vertex Pharmaceuticals, Inc.*		15,000		1,852,200

				36,498,674

Building Products — 0.1%
Allegion PLC		6,533		392,894
Asahi Glass Co. Ltd. (Japan)		64,000		384,226
Daikin Industries Ltd. (Japan)		2,700		194,099
Masco Corp.		21,900		584,073
TOTO Ltd. (Japan)		2,000		36,048

				1,591,340

Capital Markets — 1.2%
3i Group PLC (United Kingdom)		113,517		921,093
Affiliated Managers Group, Inc.*		3,400		743,240
Ameriprise Financial, Inc.		11,320		1,414,208
Bank of New York Mellon Corp. (The)		68,758		2,885,773
BlackRock, Inc.		8,000		2,767,840


COMMON STOCKS (continued)	Shares		Value (Note 2)
Capital Markets (continued)
Charles Schwab Corp. (The)		71,250	$	2,326,312
ETRADE Financial Corp.		17,620		527,719
Franklin Resources, Inc.		24,200		1,186,526
Goldman Sachs Group, Inc. (The)		25,100		5,240,629
Invesco Ltd.		27,600		1,034,724
Legg Mason, Inc.		6,900		355,557
Macquarie Group Ltd. (Australia)		18,044		1,130,556
Mediobanca SpA (Italy)		6,985		68,486
Morgan Stanley		95,180		3,692,032
Nomura Holdings, Inc. (Japan)		41,700		281,552
Northern Trust Corp.		13,600		1,039,856
Schroders PLC (United Kingdom)		1,395		69,606
State Street Corp.		25,500		1,963,500
T. Rowe Price Group, Inc.		16,100		1,251,453
UBS Group AG (Switzerland)		41,566		881,884

				29,782,546

Chemicals — 1.2%
Air Products & Chemicals, Inc.		12,000		1,641,960
Airgas, Inc.		4,600		486,588
Asahi Kasei Corp. (Japan)		14,000		114,836
BASF SE (Germany)		10,486		922,696
CF Industries Holdings, Inc.		15,000		964,200
Daicel Corp. (Japan)		3,000		38,497
Dow Chemical Co. (The)		67,231		3,440,210
E.I. du Pont de Nemours & Co.		56,520		3,614,454
Eastman Chemical Co.		9,200		752,744
Ecolab, Inc.		16,700		1,888,269
FMC Corp.		8,200		430,910
Givaudan SA (Switzerland)*		73		126,385
Hitachi Chemical Co. Ltd. (Japan)		1,200		21,613
International Flavors & Fragrances, Inc.		5,000		546,450
K+S AG (Germany)		26,197		1,104,673
Kaneka Corp. (Japan)		3,000		21,909
Kuraray Co. Ltd. (Japan)		27,100		331,036
LyondellBasell Industries NV (Class A Stock)		24,500		2,536,240
Mitsubishi Gas Chemical Co., Inc. (Japan)		40,000		223,970
Monsanto Co.		29,894		3,186,402
Mosaic Co. (The)		19,200		899,520
Nippon Paint Holdings Co. Ltd. (Japan)		1,700		47,907
Nitto Denko Corp. (Japan)		1,800		147,820
PPG Industries, Inc.		16,800		1,927,296
Praxair, Inc.		17,900		2,139,945
Sherwin-Williams Co. (The)		5,000		1,375,100
Sigma-Aldrich Corp.		7,400		1,031,190
Sumitomo Chemical Co. Ltd. (Japan)		17,000		102,143
Yara International ASA (Norway)		17,769		925,909

				30,990,872

Commercial Services & Supplies — 0.2%
ADT Corp. (The)(a)		10,500		352,485
Cintas Corp.		6,000		507,540
Pitney Bowes, Inc.		13,100		272,611
Republic Services, Inc.		15,465		605,764
Secom Co. Ltd. (Japan)		2,000		129,931
Societe BIC SA (France)		2,078		331,283

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Commercial Services & Supplies (continued)
Stericycle, Inc.*		5,300	$	709,723
Tyco International PLC		26,000		1,000,480
Waste Management, Inc.		26,442		1,225,587

				5,135,404

Communications Equipment — 0.7%
Cisco Systems, Inc.		316,700		8,696,582
F5 Networks, Inc.*		4,500		541,575
Harris Corp.		8,200		630,662
Juniper Networks, Inc.		23,200		602,504
Motorola Solutions, Inc.		11,789		675,981
QUALCOMM, Inc.		102,600		6,425,838

				17,573,142

Construction & Engineering — 0.1%
Ferrovial SA (Spain)		13,876		301,476
Fluor Corp.		9,800		519,498
Jacobs Engineering Group, Inc.*(a)		7,700		312,774
Kajima Corp. (Japan)		10,000		46,968
Obayashi Corp. (Japan)		7,000		51,045
Quanta Services, Inc.*		13,100		377,542
Shimizu Corp. (Japan)		7,000		58,909
Skanska AB (Sweden) (Class B Stock)		33,919		687,336
Taisei Corp. (Japan)		19,000		109,079

				2,464,627

Construction Materials — 0.1%
HeidelbergCement AG (Germany)		936		74,185
Martin Marietta Materials, Inc.(a)		3,900		551,889
Taiheiyo Cement Corp. (Japan)		9,000		26,319
Vulcan Materials Co.		8,200		688,226

				1,340,619

Consumer Finance — 0.4%
American Express Co.		54,200		4,212,424
Capital One Financial Corp.		34,361		3,022,737
Discover Financial Services		27,640		1,592,617
Navient Corp.		25,400		462,534

				9,290,312

Containers & Packaging — 0.1%
Avery Dennison Corp.		6,200		377,828
Ball Corp.		8,500		596,275
MeadWestvaco Corp.		10,314		486,718
Owens-Illinois, Inc.*		9,400		215,636
Rexam PLC (United Kingdom)		74,290		644,316
Sealed Air Corp.		13,000		667,940

				2,988,713

Distributors
Genuine Parts Co.		9,500		850,535

Diversified Consumer Services
H&R Block, Inc.		17,200		509,980

Diversified Financial Services — 0.9%
Berkshire Hathaway, Inc. (Class B Stock)*		113,400		15,434,874
CME Group, Inc.		19,600		1,823,976
Intercontinental Exchange, Inc.		6,971		1,558,785
Investment AB Kinnevik (Sweden) (Class B Stock)		8,220		259,998


COMMON STOCKS (continued)	Shares		Value (Note 2)
Diversified Financial Services (continued)
Investor AB (Sweden) (Class B Stock)		5,099	$	190,120
Leucadia National Corp.		20,700		502,596
McGraw Hill Financial, Inc.		16,900		1,697,605
Moody’s Corp.(a)		11,000		1,187,560
NASDAQ OMX Group, Inc. (The)		8,000		390,480
ORIX Corp. (Japan)		32,700		485,578

				23,531,572

Diversified Telecommunication Services — 1.2%
AT&T, Inc.		320,468		11,383,023
BT Group PLC (United Kingdom)		119,954		849,430
CenturyLink, Inc.		35,036		1,029,358
Deutsche Telekom AG (Germany)		44,605		769,005
Frontier Communications Corp.(a)		64,390		318,730
Level 3 Communications, Inc.*		17,700		932,259
Nippon Telegraph & Telephone Corp. (Japan)		32,600		1,180,634
PCCW Ltd. (Hong Kong)		47,000		28,034
Telecom Italia SpA (Italy)		902,926		920,772
Telecom Italia SpA (Italy) RSP*(a)		796,591		1,012,319
Telstra Corp. Ltd. (Australia)		49,801		235,686
Verizon Communications, Inc.		256,076		11,935,702

				30,594,952

Electric Utilities — 0.9%
American Electric Power Co., Inc.		30,260		1,602,872
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		93,000		721,904
Chubu Electric Power Co., Inc. (Japan)		7,400		110,291
Chugoku Electric Power Co., Inc. (The) (Japan)		2,200		32,092
Duke Energy Corp.(a)		43,761		3,090,402
Edison International		20,200		1,122,716
EDP-Energias de Portugal SA (Portugal)		16,785		63,951
Electricite de France SA (France)		29,583		661,733
Endesa SA (Spain)		3,624		69,406
Entergy Corp.		11,200		789,600
Eversource Energy		19,600		890,036
Exelon Corp.		53,113		1,668,810
FirstEnergy Corp.		26,006		846,495
Fortum OYJ (Finland)		45,298		804,719
Hokuriku Electric Power Co. (Japan)		2,200		32,771
Kansai Electric Power Co., Inc. (The) (Japan)*		8,200		90,778
Kyushu Electric Power Co., Inc. (Japan)*		3,200		37,101
NextEra Energy, Inc.		27,400		2,686,022
Pepco Holdings, Inc.		16,400		441,816
Pinnacle West Capital Corp.		7,500		426,675
Power Assets Holdings Ltd. (Hong Kong)		16,000		145,878
PPL Corp.		41,200		1,214,164
Shikoku Electric Power Co., Inc. (Japan)		2,300		34,431
Southern Co. (The)		56,200		2,354,780
Tohoku Electric Power Co., Inc. (Japan)		5,300		71,759

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Electric Utilities (continued)
Tokyo Electric Power Co., Inc. (Japan)*		16,500	$	89,890
Xcel Energy, Inc.		31,310		1,007,556

				21,108,648

Electrical Equipment — 0.4%
AMETEK, Inc.		14,900		816,222
Eaton Corp. PLC		29,337		1,979,954
Emerson Electric Co.		42,300		2,344,689
Fuji Electric Co. Ltd. (Japan)		6,000		25,806
Mitsubishi Electric Corp. (Japan)		88,000		1,136,318
OSRAM Licht AG (Germany)		15,848		758,182
Rockwell Automation, Inc.		8,400		1,046,976
Vestas Wind Systems A/S (Denmark)		17,757		885,071

				8,993,218

Electronic Equipment, Instruments & Components — 0.3%
Amphenol Corp. (Class A Stock)		19,200		1,113,024
Citizen Holdings Co. Ltd. (Japan)		3,100		21,628
Corning, Inc.		78,500		1,548,805
FLIR Systems, Inc.		8,000		246,560
Ibiden Co. Ltd. (Japan)		44,400		750,867
Keyence Corp. (Japan)		1,200		646,772
Kyocera Corp. (Japan)		3,700		192,372
Murata Manufacturing Co. Ltd. (Japan)		8,900		1,553,187
TDK Corp. (Japan)		1,800		137,831
TE Connectivity Ltd. (Switzerland)		25,100		1,613,930

				7,824,976

Energy Equipment & Services — 0.6%
Baker Hughes, Inc.		26,898		1,659,607
Cameron International Corp.*		12,000		628,440
Diamond Offshore Drilling, Inc.(a)		4,700		121,307
Ensco PLC (Class A Stock)		14,700		327,369
FMC Technologies, Inc.*		14,300		593,307
Halliburton Co.		52,500		2,261,175
Helmerich & Payne, Inc.(a)		6,700		471,814
National Oilwell Varco, Inc.		24,000		1,158,720
Noble Corp. PLC(a)		14,100		216,999
Schlumberger Ltd.		79,318		6,836,418
Transocean Ltd.(a)		21,800		351,416
Transocean Ltd. (SWX)(a)		4,113		66,679

				14,693,251

Food & Staples Retailing — 1.2%
Casino Guichard Perrachon SA (France)		652		49,489
Costco Wholesale Corp.		27,200		3,673,632
CVS Health Corp.		70,048		7,346,634
Distribuidora Internacional de Alimentacion SA (Spain)		107,053		820,411
ICA Gruppen AB (Sweden)		6,366		225,847
J. Sainsbury PLC (United Kingdom)		161,327		671,556
Koninklijke Ahold NV (Netherlands)		9,887		185,606
Kroger Co. (The)		30,346		2,200,388
METRO AG (Germany)		3,292		103,975
Sysco Corp.		36,600		1,321,260
Wal-Mart Stores, Inc.		98,200		6,965,326
Walgreens Boots Alliance, Inc.		53,900		4,551,316


COMMON STOCKS (continued)	Shares		Value (Note 2)
Food & Staples Retailing (continued)
Wesfarmers Ltd. (Australia)		29,564	$	889,084
Whole Foods Market, Inc.		22,300		879,512
WM Morrison Supermarkets PLC (United Kingdom)		172,713		490,290

				30,374,326

Food Products — 1.0%
Archer-Daniels-Midland Co.		39,226		1,891,478
Campbell Soup Co.(a)		11,000		524,150
Chocoladefabriken Lindt & Sprungli AG (Switzerland)		1		62,591
ConAgra Foods, Inc.		26,300		1,149,836
General Mills, Inc.		37,300		2,078,356
Hershey Co. (The)		9,200		817,236
Hormel Foods Corp.		8,300		467,871
J.M. Smucker Co. (The)		6,100		661,301
Kellogg Co.		15,700		984,390
Keurig Green Mountain, Inc.		7,500		574,725
Kraft Foods Group, Inc.		36,317		3,092,029
McCormick & Co., Inc.		8,000		647,600
Mead Johnson Nutrition Co.		12,567		1,133,795
Mondelez International, Inc. (Class A Stock)		101,853		4,190,232
Nestle SA (Switzerland)		45,679		3,295,769
NH Foods Ltd. (Japan)		2,000		45,609
Tyson Foods, Inc. (Class A Stock)(a)		18,100		771,603
Unilever NV (United Kingdom)		36,447		1,523,821
Wilmar International Ltd. (Singapore)		343,100		835,066

				24,747,458

Gas Utilities
AGL Resources, Inc.		8,039		374,296
Snam SpA (Italy)		26,639		126,776

				501,072

Health Care Equipment & Supplies — 1.0%
Abbott Laboratories		94,100		4,618,428
Baxter International, Inc.(a)		34,000		2,377,620
Becton, Dickinson & Co.		12,978		1,838,333
Boston Scientific Corp.*		82,167		1,454,356
C.R. Bard, Inc.		4,600		785,220
DENTSPLY International, Inc.		8,700		448,485
Edwards Lifesciences Corp.*		6,700		954,281
Hoya Corp. (Japan)		4,900		196,244
Intuitive Surgical, Inc.*		2,300		1,114,350
Medtronic PLC		88,590		6,564,519
St. Jude Medical, Inc.		17,400		1,271,418
Stryker Corp.		18,500		1,768,045
Varian Medical Systems, Inc.*(a)		6,200		522,846
Zimmer Biomet Holdings, Inc.		10,800		1,179,684

				25,093,829

Health Care Providers & Services — 1.4%
Aetna, Inc.		21,769		2,774,677
Alfresa Holdings Corp. (Japan)		1,200		18,673
AmerisourceBergen Corp.		12,900		1,371,786
Anthem, Inc.		16,500		2,708,310
Cardinal Health, Inc.		20,450		1,710,642
Cigna Corp.		16,000		2,592,000

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Health Care Providers & Services (continued)
DaVita HealthCare Partners, Inc.*		10,700	$	850,329
Express Scripts Holding Co.*		44,949		3,997,764
Fresenius SE & Co. KGaA (Germany)		4,411		283,215
HCA Holdings, Inc.*		18,200		1,651,104
Henry Schein, Inc.*(a)		5,200		739,024
Humana, Inc.		9,300		1,778,904
Laboratory Corp. of America Holdings*		6,200		751,564
McKesson Corp.		14,430		3,244,008
Medipal Holdings Corp. (Japan)		3,100		50,492
Miraca Holdings, Inc. (Japan)		600		29,979
Patterson Cos., Inc.		5,400		262,710
Quest Diagnostics, Inc.		8,900		645,428
Sonic Healthcare Ltd. (Australia)		52,813		869,656
Suzuken Co. Ltd. (Japan)		5,610		179,481
Tenet Healthcare Corp.*		6,550		379,114
UnitedHealth Group, Inc.		59,400		7,246,800
Universal Health Services, Inc. (Class B Stock)		5,700		809,970

				34,945,630

Health Care Technology — 0.1%
Cerner Corp.*		18,900		1,305,234

Hotels, Restaurants & Leisure — 0.8%
Carnival Corp.		27,800		1,373,042
Chipotle Mexican Grill, Inc.*		1,950		1,179,730
Darden Restaurants, Inc.		7,650		543,762
Flight Centre Travel Group Ltd. (Australia)(a)		858		22,551
Marriott International, Inc. (Class A Stock)(a)		12,828		954,275
McDonald’s Corp.		59,900		5,694,693
Merlin Entertainments PLC (United Kingdom)		7,994		53,614
Royal Caribbean Cruises Ltd.(a)		10,200		802,638
Sodexo SA (France)		6,099		580,612
Starbucks Corp.		93,000		4,986,195
Starwood Hotels & Resorts Worldwide, Inc.		10,600		859,554
Tatts Group Ltd. (Australia)		68,249		195,688
TUI AG (Germany)		5,011		81,079
Wyndham Worldwide Corp.		7,520		615,963
Wynn Resorts Ltd.		5,000		493,350
Yum! Brands, Inc.		26,800		2,414,144

				20,850,890

Household Durables — 0.3%
Barratt Developments PLC (United Kingdom)		89,711		865,287
D.R. Horton, Inc.		20,100		549,936
Garmin Ltd.		8,200		360,226
Harman International Industries, Inc.		4,200		499,548
Leggett & Platt, Inc.		9,300		452,724
Lennar Corp. (Class A Stock)(a)		11,100		566,544
Mohawk Industries, Inc.*		3,900		744,510
Newell Rubbermaid, Inc.		16,814		691,223
Panasonic Corp. (Japan)		25,400		347,884
Persimmon PLC (United Kingdom)*		20,838		646,515
PulteGroup, Inc.		20,122		405,458


COMMON STOCKS (continued)	Shares		Value (Note 2)
Household Durables (continued)
Sony Corp. (Japan)*		13,500	$	383,358
Taylor Wimpey PLC (United Kingdom)		229,165		668,305
Whirlpool Corp.		4,826		835,139

				8,016,657

Household Products — 0.9%
Clorox Co. (The)		8,100		842,562
Colgate-Palmolive Co.		52,700		3,447,107
Henkel AG & Co. KGaA (Germany)		8,459		806,617
Kimberly-Clark Corp.		22,600		2,394,922
Procter & Gamble Co. (The)		168,625		13,193,220
Svenska Cellulosa AB SCA (Sweden) (Class B Stock)		38,630		982,291

				21,666,719

Independent Power & Renewable Electricity Producers — 0.1%
AES Corp.		43,300		574,158
Electric Power Development Co. Ltd. (Japan)		1,600		56,521
NRG Energy, Inc.		20,500		469,040

				1,099,719

Industrial Conglomerates — 1.1%
3M Co.		39,600		6,110,280
CK Hutchison Holdings Ltd. (Hong Kong)		22,916		336,910
Danaher Corp.		38,000		3,252,420
General Electric Co.		622,900		16,550,453
Hopewell Holdings Ltd. (Hong Kong)		120,000		439,349
Keppel Corp. Ltd. (Singapore)		16,700		101,789
Roper Technologies, Inc.		6,500		1,120,990
Siemens AG (Germany)		1,865		188,685

				28,100,876

Insurance — 1.5%
ACE Ltd.		20,300		2,064,104
Aflac, Inc.		27,100		1,685,620
Ageas (Belgium)		14,664		565,787
AIA Group Ltd. (Hong Kong)		5,200		34,001
Allianz SE (Germany)		9,947		1,551,249
Allstate Corp. (The)		25,700		1,667,159
American International Group, Inc.		83,839		5,182,927
AMP Ltd. (Australia)		33,561		155,734
Aon PLC		17,300		1,724,464
Assurant, Inc.		4,300		288,100
AXA SA (France)		43,775		1,109,779
Chubb Corp. (The)		14,300		1,360,502
Cincinnati Financial Corp.		9,037		453,477
Genworth Financial, Inc. (Class A Stock)*		29,900		226,343
Hannover Rueck SE (Germany)		8,407		813,687
Hartford Financial Services Group, Inc. (The)		26,000		1,080,820
Legal & General Group PLC (United Kingdom)		247,410		967,383
Lincoln National Corp.		16,518		978,196
Loews Corp.		18,475		711,472
Marsh & McLennan Cos., Inc.		34,000		1,927,800
MetLife, Inc.		69,000		3,863,310

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Insurance (continued)
Muenchener Rueckversicherungs-Gesellschaft AG (Germany)		1,973	$	349,802
NN Group NV (Netherlands)		25,896		729,292
Principal Financial Group, Inc.(a)		16,900		866,801
Progressive Corp. (The)(a)		34,100		949,003
Prudential PLC (United Kingdom)		41,886		1,009,428
Sampo OYJ (Finland) (Class A Stock)		5,145		242,469
SCOR SE (France)		1,713		60,574
Swiss Life Holding AG (Switzerland)*		1,934		442,849
Swiss Re AG (Switzerland)		11,345		1,004,291
Tokio Marine Holdings, Inc. (Japan)		7,900		328,554
Torchmark Corp.		7,825		455,571
Travelers Cos., Inc. (The)		20,135		1,946,249
Unum Group		15,510		554,482
XL Group PLC (Ireland)		19,400		721,680

				38,072,959

Internet & Catalog Retail — 0.7%
Amazon.com, Inc.*		23,700		10,287,933
Expedia, Inc.		6,150		672,503
Netflix, Inc.*		3,750		2,463,525
Priceline Group, Inc. (The)*		3,230		3,718,925
TripAdvisor, Inc.*		6,950		605,623

				17,748,509

Internet Software & Services — 1.5%
Akamai Technologies, Inc.*		11,100		775,002
eBay, Inc.*		68,700		4,138,488
Equinix, Inc.		3,500		889,000
Facebook, Inc. (Class A Stock)*		130,200		11,166,603
Google, Inc. (Class A Stock)*		17,700		9,558,708
Google, Inc. (Class C Stock)*		17,923		9,329,101
Mixi, Inc. (Japan)		500		24,806
VeriSign, Inc.*(a)		6,500		401,180
Yahoo!, Inc.*		53,800		2,113,802

				38,396,690

IT Services — 1.6%
Accenture PLC (Class A Stock)		39,200		3,793,776
Alliance Data Systems Corp.*		3,940		1,150,244
Amadeus IT Holding SA (Spain) (Class A Stock)		11,234		448,465
Atos SE (France)		332		24,808
Automatic Data Processing, Inc.		29,400		2,358,762
Cap Gemini SA (France)		10,633		943,325
Cognizant Technology Solutions Corp. (Class A Stock)*		37,700		2,303,093
Computer Sciences Corp.		8,700		571,068
Fidelity National Information Services, Inc.		17,600		1,087,680
Fiserv, Inc.*		14,800		1,225,884
International Business Machines Corp.		57,000		9,271,620
MasterCard, Inc. (Class A Stock)		60,300		5,636,844
NTT Data Corp. (Japan)		1,500		65,506
Paychex, Inc.		20,200		946,976
Teradata Corp.*(a)		9,900		366,300
Total System Services, Inc.		10,196		425,887
Visa, Inc. (Class A Stock)		119,800		8,044,570


COMMON STOCKS (continued)	Shares		Value (Note 2)
IT Services (continued)
Western Union Co. (The)(a)		33,110	$	673,126
Xerox Corp.		62,963		669,926

				40,007,860

Leisure Products — 0.1%
Bandai Namco Holdings, Inc. (Japan)		2,000		38,649
Hasbro, Inc.		6,900		516,051
Mattel, Inc.		21,251		545,938
Sega Sammy Holdings, Inc. (Japan)		4,200		54,916
Shimano, Inc. (Japan)		900		122,815

				1,278,369

Life Sciences Tools & Services — 0.2%
Agilent Technologies, Inc.		20,714		799,146
Lonza Group AG (Switzerland)*		6,833		913,335
PerkinElmer, Inc.		7,600		400,064
QIAGEN NV*		2,705		66,480
Thermo Fisher Scientific, Inc.		24,900		3,231,024
Waters Corp.*		5,200		667,576

				6,077,625

Machinery — 0.9%
Amada Holdings Co. Ltd. (Japan)		2,600		27,443
Andritz AG (Austria)		13,629		754,722
Caterpillar, Inc.		37,500		3,180,750
Cummins, Inc.		10,400		1,364,376
Deere & Co.		21,000		2,038,050
Dover Corp.		10,100		708,818
FANUC Corp. (Japan)		5,500		1,125,386
Flowserve Corp.		8,300		437,078
GEA Group AG (Germany)		2,073		92,483
Illinois Tool Works, Inc.		21,600		1,982,664
Ingersoll-Rand PLC		16,300		1,098,946
Joy Global, Inc.		6,200		224,440
Kawasaki Heavy Industries Ltd. (Japan)		16,000		74,579
Minebea Co. Ltd. (Japan)		40,000		660,335
NGK Insulators Ltd. (Japan)		3,000		77,193
NSK Ltd. (Japan)		5,400		83,264
PACCAR, Inc.		21,943		1,400,183
Pall Corp.		6,600		821,370
Parker Hannifin Corp.		8,865		1,031,265
Pentair PLC (United Kingdom)		11,877		816,544
Schindler Holding AG (Switzerland)		1,680		274,368
Schindler Holding AG (Switzerland) (Part. Cert.)		511		83,575
SMC Corp. (Japan)		600		180,551
Snap-on, Inc.		3,600		573,300
Stanley Black & Decker, Inc.		9,797		1,031,036
Sumitomo Heavy Industries Ltd. (Japan)		142,000		827,057
THK Co. Ltd. (Japan)		1,500		32,370
Volvo AB (Sweden) (Class B Stock)		17,460		216,810
Xylem, Inc.		11,600		430,012
Yangzijiang Shipbuilding Holdings Ltd. (China)		25,000		26,258

				21,675,226

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Marine
A.P. Moeller – Maersk A/S (Denmark) (Class A Stock)		45	$	78,921
A.P. Moeller – Maersk A/S (Denmark) (Class B Stock)		358		647,279
Mitsui OSK Lines Ltd. (Japan)		8,000		25,608
Nippon Yusen K.K. (Japan)		19,000		52,897

				804,705

Media — 1.8%
Cablevision Systems Corp. (Class A Stock)(a)		12,900		308,826
CBS Corp. (Class B Stock)		28,234		1,566,987
Comcast Corp. (Class A Stock)		157,790		9,489,491
Dentsu, Inc. (Japan)		2,500		129,331
DIRECTV*		31,700		2,941,443
Discovery Communications, Inc. (Class A Stock)*(a)		10,100		335,926
Discovery Communications, Inc. (Class C Stock)*(a)		16,900		525,252
Gannett Co., Inc.*		6,900		96,531
Interpublic Group of Cos., Inc. (The)		25,731		495,836
ITV PLC (United Kingdom)		43,266		179,009
News Corp. (Class A Stock)*		29,375		428,581
Omnicom Group, Inc.(a)		15,300		1,063,197
Publicis Groupe SA (France)		11,712		868,130
RTL Group SA (Germany)		287		25,945
Scripps Networks Interactive, Inc. (Class A Stock)(a)		6,100		398,757
Sky PLC (United Kingdom)		11,601		188,952
TEGNA, Inc.		13,800		442,566
Time Warner Cable, Inc.		17,414		3,102,652
Time Warner, Inc.		51,366		4,489,902
Twenty-First Century Fox, Inc. (Class A Stock)		111,500		3,628,768
Viacom, Inc. (Class B Stock)		22,634		1,463,062
Vivendi SA (France)		13,920		352,965
Walt Disney Co. (The)		96,900		11,060,166
WPP PLC (United Kingdom)		46,811		1,050,722

				44,632,997

Metals & Mining — 0.3%
Alcoa, Inc.		75,440		841,156
Allegheny Technologies, Inc.		6,200		187,240
BHP Billiton Ltd. (Australia)		35,695		728,137
BHP Billiton PLC (Australia)		23,873		469,380
Boliden AB (Sweden)		3,047		55,549
Freeport-McMoRan, Inc.		64,188		1,195,181
Hitachi Metals Ltd. (Japan)		3,000		46,120
JFE Holdings, Inc. (Japan)		40,200		890,667
Kobe Steel Ltd. (Japan)		454,000		763,815
Mitsubishi Materials Corp. (Japan)		15,000		57,596
Newmont Mining Corp.		32,700		763,872
Nippon Steel & Sumitomo Metal Corp. (Japan)		110,000		285,214
Norsk Hydro ASA (Norway)		13,197		55,387
Nucor Corp.		19,700		868,179
Rio Tinto Ltd. (United Kingdom)		4,953		204,890
Rio Tinto PLC (United Kingdom)		14,674		603,582


COMMON STOCKS (continued)	Shares		Value (Note 2)
Metals & Mining (continued)
South32 Ltd. (Australia)*		60,581	$	83,667
Sumitomo Metal Mining Co. Ltd. (Japan)		6,000		91,254
voestalpine AG (Austria)		1,252		52,180

				8,243,066

Multi-Utilities — 0.6%
AGL Energy Ltd. (Australia)		62,181		744,861
Ameren Corp.		15,000		565,200
CenterPoint Energy, Inc.		26,500		504,295
CMS Energy Corp.		17,000		541,280
Consolidated Edison, Inc.		18,100		1,047,628
Dominion Resources, Inc.		36,332		2,429,521
DTE Energy Co.		11,000		821,040
National Grid PLC (United Kingdom)		72,609		934,532
NiSource, Inc.		19,600		893,564
PG&E Corp.		29,400		1,443,540
Public Service Enterprise Group, Inc.		31,300		1,229,464
SCANA Corp.		8,700		440,655
Sempra Energy		14,319		1,416,722
TECO Energy, Inc.		14,700		259,602
WEC Energy Group, Inc.		20,114		904,516

				14,176,420

Multiline Retail — 0.4%
Dollar General Corp.		18,800		1,461,512
Dollar Tree, Inc.*		12,700		1,003,173
Family Dollar Stores, Inc.		5,900		464,979
Harvey Norman Holdings Ltd. (Australia)		6,410		22,258
J. Front Retailing Co. Ltd. (Japan)		2,700		50,817
Kohl’s Corp.(a)		12,500		782,625
Macy’s, Inc.		21,074		1,421,863
Nordstrom, Inc.		8,700		648,150
Takashimaya Co. Ltd. (Japan)		85,000		770,474
Target Corp.		39,400		3,216,222

				9,842,073

Oil, Gas & Consumable Fuels — 3.3%
Anadarko Petroleum Corp.		31,354		2,447,493
Apache Corp.		23,314		1,343,586
BG Group PLC (United Kingdom)		39,000		649,534
BP PLC (United Kingdom)		320,541		2,127,315
Cabot Oil & Gas Corp.		25,500		804,270
Caltex Australia Ltd. (Australia)		1,513		37,141
Chesapeake Energy Corp.(a)		32,700		365,259
Chevron Corp.		116,922		11,279,465
Cimarex Energy Co.		6,000		661,860
ConocoPhillips		76,077		4,671,889
CONSOL Energy, Inc.(a)		13,800		300,012
Devon Energy Corp.		23,900		1,421,811
Eni SpA (Italy)		17,614		312,854
EOG Resources, Inc.		33,900		2,967,945
EQT Corp.		9,400		764,596
Exxon Mobil Corp.		259,599		21,598,637
Hess Corp.		15,000		1,003,200
Kinder Morgan, Inc.		106,798		4,099,975
Marathon Oil Corp.		41,682		1,106,240
Marathon Petroleum Corp.		33,882		1,772,367

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
Murphy Oil Corp.(a)		10,200	$	424,014
Neste OYJ (Finland)		1,017		25,944
Newfield Exploration Co.*		10,200		368,424
Noble Energy, Inc.		23,900		1,020,052
Occidental Petroleum Corp.		47,900		3,725,183
OMV AG (Austria)		1,661		45,727
ONEOK, Inc.		12,900		509,292
Phillips 66		33,638		2,709,877
Pioneer Natural Resources Co.		9,250		1,282,883
QEP Resources, Inc.		10,400		192,504
Range Resources Corp.		10,300		508,614
Repsol SA (Spain)		38,877		685,233
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		44,571		1,260,200
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		27,970		796,315
Southwestern Energy Co.*		25,000		568,250
Spectra Energy Corp.		41,462		1,351,661
Tesoro Corp.		7,800		658,398
Total SA (France)		38,531		1,889,987
Valero Energy Corp.		31,800		1,990,680
Williams Cos., Inc. (The)		41,600		2,387,424
Woodside Petroleum Ltd. (Australia)		9,134		241,016

				82,377,127

Paper & Forest Products — 0.1%
International Paper Co.		26,173		1,245,573
Mondi PLC (South Africa)		38,878		837,010
Oji Holdings Corp. (Japan)		9,000		39,113
UPM-Kymmene OYJ (Finland)		47,283		836,717

				2,958,413

Personal Products — 0.1%
Estee Lauder Cos., Inc. (The) (Class A Stock)		13,800		1,195,908

Pharmaceuticals — 3.5%
AbbVie, Inc.		106,800		7,175,892
Allergan PLC*		24,175		7,336,145
AstraZeneca PLC (United Kingdom)		2,715		171,832
Bayer AG (Germany)		7,799		1,092,175
Bristol-Myers Squibb Co.		103,370		6,878,240
Daiichi Sankyo Co. Ltd. (Japan)		7,300		134,908
Eli Lilly & Co.		60,400		5,042,796
Endo International PLC*		12,100		963,765
GlaxoSmithKline PLC (United Kingdom)		54,276		1,128,497
Hospira, Inc.*		10,660		945,649
Johnson & Johnson		172,348		16,797,036
Mallinckrodt PLC*		7,600		894,672
Merck & Co., Inc.		175,933		10,015,866
Mylan NV*(a)		25,200		1,710,072
Novartis AG (Switzerland)		26,302		2,587,077
Novo Nordisk A/S (Denmark) (Class B Stock)		39,365		2,160,150
Orion OYJ (Finland) (Class B Stock)		3,669		128,519
Otsuka Holdings Co. Ltd. (Japan)		28,900		920,846
Perrigo Co. PLC		9,200		1,700,436
Pfizer, Inc.		381,070		12,777,277


COMMON STOCKS (continued)	Shares		Value (Note 2)
Pharmaceuticals (continued)
Roche Holding AG (Switzerland)		7,965	$	2,233,318
Sanofi (France)		13,583		1,343,768
Shire PLC (Ireland)		13,183		1,059,242
Teva Pharmaceutical Industries Ltd. (Israel)		22,711		1,343,991
Zoetis, Inc.		31,000		1,494,820

				88,036,989

Professional Services — 0.1%
Dun & Bradstreet Corp. (The)		2,300		280,600
Equifax, Inc.		7,400		718,466
Nielsen NV		22,900		1,025,233
Randstad Holding NV (Netherlands)		1,419		92,331
Robert Half International, Inc.		8,400		466,200
SGS SA (Switzerland)		62		113,063

				2,695,893

Real Estate Investment Trusts (REITs) — 1.2%
American Tower Corp.		26,100		2,434,869
Apartment Investment & Management Co. (Class A Stock)		9,433		348,361
AvalonBay Communities, Inc.		8,175		1,306,937
Boston Properties, Inc.		9,500		1,149,880
British Land Co. PLC (The) (United Kingdom)		11,027		137,353
CapitaLand Commercial Trust (Singapore)		27,000		31,249
Crown Castle International Corp.(a)		20,700		1,662,210
Equity Residential		22,500		1,578,825
Essex Property Trust, Inc.		4,100		871,250
Federation Centres (Australia)		369,122		830,566
General Growth Properties, Inc.		38,800		995,608
Goodman Group (Australia)		19,977		96,483
GPT Group (The) (Australia)		19,120		63,032
HCP, Inc.		28,500		1,039,395
Health Care REIT, Inc.		21,600		1,417,608
Host Hotels & Resorts, Inc.		46,482		921,738
Intu Properties PLC (United Kingdom)		10,411		50,292
Iron Mountain, Inc.(a)		12,202		378,262
Kimco Realty Corp.		25,500		574,770
Land Securities Group PLC (United Kingdom)		28,266		534,481
Link REIT (The) (Hong Kong)		155,500		909,976
Macerich Co. (The)		8,700		649,020
Plum Creek Timber Co., Inc.		10,700		434,099
Prologis, Inc.		31,677		1,175,217
Public Storage		9,000		1,659,330
Realty Income Corp.(a)		13,700		608,143
Scentre Group (Australia)		61,683		178,184
Segro PLC (United Kingdom)		82,475		525,478
Simon Property Group, Inc.		19,293		3,338,075
SL Green Realty Corp.		6,400		703,296
Stockland (Australia)		26,695		84,295
Ventas, Inc.		20,418		1,267,754
Vornado Realty Trust		10,825		1,027,617
Weyerhaeuser Co.		32,398		1,020,537

				30,004,190

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*		17,300	$	640,100
Cheung Kong Property Holdings Ltd. (Hong Kong)*		30,916		256,452
Daiwa House Industry Co. Ltd. (Japan)		6,800		158,426
Hang Lung Properties Ltd. (Hong Kong)		26,000		77,270
Henderson Land Development Co. Ltd. (Hong Kong)		89,540		612,090
Hysan Development Co. Ltd. (Hong Kong)		84,000		363,760
Kerry Properties Ltd. (Hong Kong)		199,000		780,042
Lend Lease Group (Australia)		38,352		443,436
New World Development Co. Ltd. (Hong Kong)		60,000		78,399
Sino Land Co. Ltd. (Hong Kong)		34,000		56,750
Swire Properties Ltd. (Hong Kong)		8,800		28,068
Tokyo Tatemono Co. Ltd. (Japan)		2,500		34,699
Wheelock & Co. Ltd. (Hong Kong)		11,000		56,130

				3,585,622

Road & Rail — 0.4%
Central Japan Railway Co. (Japan)		1,600		288,727
CSX Corp.		61,200		1,998,180
Hankyu Hanshin Holdings, Inc. (Japan)		13,000		76,739
Kansas City Southern		6,900		629,280
MTR Corp. Ltd. (Hong Kong)		16,000		74,441
Nippon Express Co. Ltd. (Japan)		10,000		49,134
Norfolk Southern Corp.		19,000		1,659,840
Ryder System, Inc.		3,600		314,532
Union Pacific Corp.		54,500		5,197,665
West Japan Railway Co. (Japan)		3,900		249,519

				10,538,057

Semiconductors & Semiconductor Equipment — 1.1%
Advantest Corp. (Japan)		1,900		19,755
Altera Corp.		18,500		947,200
Analog Devices, Inc.		19,300		1,238,770
Applied Materials, Inc.		75,900		1,458,798
ARM Holdings PLC (United Kingdom)		35,328		578,100
Avago Technologies Ltd. (Singapore)		15,900		2,113,587
Broadcom Corp. (Class A Stock)		33,650		1,732,638
First Solar, Inc.*(a)		5,100		239,598
Intel Corp.		293,700		8,932,885
KLA-Tencor Corp.		10,100		567,721
Lam Research Corp.		9,850		801,298
Linear Technology Corp.		14,800		654,604
Microchip Technology, Inc.(a)		12,500		592,813
Micron Technology, Inc.*(a)		66,500		1,252,860
NVIDIA Corp.		31,850		640,504
Qorvo, Inc.*		8,407		674,830
Skyworks Solutions, Inc.		11,800		1,228,380
Texas Instruments, Inc.		64,700		3,332,697
Tokyo Electron Ltd. (Japan)		3,500		222,450
Xilinx, Inc.		16,200		715,392

				27,944,880

Software — 1.7%
Adobe Systems, Inc.*		29,400		2,381,694
Autodesk, Inc.*		14,000		701,050


COMMON STOCKS (continued)	Shares		Value (Note 2)
Software (continued)
CA, Inc.(a)		19,664	$	575,959
Citrix Systems, Inc.*		9,900		694,584
Dassault Systemes SA (France)		1,470		106,714
Electronic Arts, Inc.*		19,200		1,276,800
Intuit, Inc.		17,100		1,723,167
Microsoft Corp.		505,100		22,300,165
Oracle Corp.		199,000		8,019,700
Red Hat, Inc.*		11,400		865,602
salesforce.com, inc.*		37,400		2,604,162
SAP SE (Germany)		766		53,678
Symantec Corp.		42,178		980,638

				42,283,913

Specialty Retail — 1.1%
ABC-Mart, Inc. (Japan)		400		24,481
AutoNation, Inc.*		5,074		319,561
AutoZone, Inc.*(a)		2,050		1,367,145
Bed Bath & Beyond, Inc.*		10,700		738,086
Best Buy Co., Inc.		18,025		587,795
CarMax, Inc.*		13,000		860,730
Dixons Carphone PLC (United Kingdom)		8,516		60,556
Fast Retailing Co. Ltd. (Japan)		600		272,083
GameStop Corp. (Class A Stock)(a)		7,100		305,016
Gap, Inc. (The)		16,400		625,988
Home Depot, Inc. (The)		81,650		9,073,765
L Brands, Inc.		15,206		1,303,610
Lowe’s Cos., Inc.		59,100		3,957,927
O’Reilly Automotive, Inc.*		6,300		1,423,674
Ross Stores, Inc.		25,600		1,244,416
Staples, Inc.		40,349		617,743
Tiffany & Co.		7,000		642,600
TJX Cos., Inc. (The)		42,200		2,792,374
Tractor Supply Co.		8,400		755,496
Urban Outfitters, Inc.*		6,100		213,500
USS Co. Ltd. (Japan)		4,400		79,354

				27,265,900

Technology Hardware, Storage & Peripherals — 2.2%
Apple, Inc.		359,090		45,038,863
EMC Corp.		122,750		3,239,373
FUJIFILM Holdings Corp. (Japan)		27,600		984,989
Hewlett-Packard Co.		112,248		3,368,563
NetApp, Inc.		19,300		609,108
SanDisk Corp.		13,200		768,504
Seagate Technology PLC(a)		20,300		964,250
Western Digital Corp.		13,400		1,050,828

				56,024,478

Textiles, Apparel & Luxury Goods — 0.5%
Christian Dior SE (France)		458		89,662
Coach, Inc.		17,100		591,831
Fossil Group, Inc.*		2,900		201,144
Hanesbrands, Inc.		25,500		849,660
Luxottica Group SpA (Italy)		11,533		767,153
LVMH Moet Hennessy Louis Vuitton SE (France)		7,394		1,299,945
Michael Kors Holdings Ltd.*		13,100		551,379
NIKE, Inc. (Class B Stock)		43,200		4,666,464

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Textiles, Apparel & Luxury Goods (continued)
PVH Corp.		5,100	$	587,520
Ralph Lauren Corp.		3,800		502,968
Swatch Group AG (The) (Switzerland)		363		27,267
Under Armour, Inc. (Class A Stock)*(a)		10,300		859,432
VF Corp.		21,200		1,478,488

				12,472,913

Thrifts & Mortgage Finance
Hudson City Bancorp, Inc.		26,400		260,832

Tobacco — 0.7%
Altria Group, Inc.		122,800		6,006,148
British American Tobacco PLC (United Kingdom)		7,483		402,901
Imperial Tobacco Group PLC (United Kingdom)		26,442		1,273,497
Japan Tobacco, Inc. (Japan)		20,800		739,425
Philip Morris International, Inc.		96,300		7,720,371
Reynolds American, Inc.		25,569		1,908,982

				18,051,324

Trading Companies & Distributors — 0.2%
Ashtead Group PLC (United Kingdom)		35,184		606,385
Brenntag AG (Germany)		1,736		99,614
Bunzl PLC (United Kingdom)		3,822		104,262
Fastenal Co.(a)		16,800		708,624
ITOCHU Corp. (Japan)		72,600		958,844
Mitsui & Co. Ltd. (Japan)		19,300		262,212
Sumitomo Corp. (Japan)		12,800		148,985
United Rentals, Inc.*(a)		6,000		525,720
W.W. Grainger, Inc.(a)		3,800		899,270

				4,313,916

Transportation Infrastructure
Auckland International Airport Ltd. (New Zealand)		10,870		36,381
Groupe Eurotunnel SE (France)		5,311		77,005

				113,386


COMMON STOCKS (continued)	Shares		Value (Note 2)
Water Utilities
Severn Trent PLC (United Kingdom)		4,287	$	140,083

Wireless Telecommunication Services — 0.1%
KDDI Corp. (Japan)		52,500		1,266,928
NTT DOCOMO, Inc. (Japan)		8,100		155,508
Vodafone Group PLC (United Kingdom)		300,530		1,096,295

				2,518,731

TOTAL COMMON STOCKS (cost $575,366,322)				1,278,171,206

EXCHANGE TRADED FUND — 0.1%
iShares MSCI EAFE Index Fund (cost $1,172,477)		18,026		1,144,471

PREFERRED STOCKS — 0.1%
Automobiles — 0.1%
Bayerische Motoren Werke AG (Germany) (PRFC)		598		50,634
Volkswagen AG (Germany) (PRFC)		4,945		1,147,632

				1,198,266

Banking
Citigroup Capital XIII 7.875%, (Capital Security, fixed to floating preferred)(b)		20,000		519,200

Household Products
Henkel AG & Co. KGaA (Germany) (PRFC)		2,030		227,799

Media
ProSiebenSat.1 Media AG (Germany)		2,497		123,338

TOTAL PREFERRED STOCKS (cost $2,112,307)				2,068,603


ASSET-BACKED SECURITIES — 3.5%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Debt Obligation
Cent CDO XI Ltd. (Cayman Islands), Series 2006-11A, Class A1, 144A		0.537%	(b)	04/25/19		368	$	363,259

Collateralized Loan Obligations — 1.6%
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		1.455%	(b)	04/20/25		2,100		2,080,640
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A		3.360%		04/20/25		250		246,054
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.466%	(b)	07/13/25		2,400		2,377,537
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1, 144A		1.779%	(b)	04/28/26		400		399,204
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		1.875%	(b)	10/15/26		2,000		2,002,250
Arrowpoint CLO Ltd. (Cayman Islands), Series 2015-4A, Class A, 144A		1.822%	(b)	04/18/27		250		248,661
Atlas Senior Loan Fund VI Ltd. (Cayman Islands), Series 2014-6A, Class A, 144A		1.815%	(b)	10/15/26		600		599,478
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A		1.874%	(b)	10/17/26		250		250,283
Battalion CLO VIII Ltd. (Cayman Islands), Series 2015-8A, Class A1, 144A		1.791%	(b)	04/18/27		1,000		1,000,148

SEE NOTES TO FINANCIAL STATEMENTS.

A10


ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligation (continued)
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A		1.475%	(b)	07/15/24		1,000	$	990,823
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.424%	(b)	04/17/25		2,200		2,177,965
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		1.825%	(b)	04/20/26		1,650		1,648,137
Catamaran CLO Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A		1.785%	(b)	10/18/26		250		249,224
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.674%	(b)	01/17/26		250		249,268
Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A		0.526%	(b)	07/22/20		235		233,655
Fraser Sullivan CLO I Ltd. (Cayman Islands), Series 2006-1A, Class B, 144A		0.756%	(b)	03/15/20		521		520,055
Galaxy XVIII CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A		1.745%	(b)	10/15/26		750		747,348
Highbridge Loan Management (Cayman Islands), Series 2015-6A, Class A, 144A		1.271%	(b)	05/05/27		250		249,219
ICG US CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1B, 144A		3.320%		01/25/27		750		750,943
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A		1.814%	(b)	04/15/27		250		250,094
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		1.864%	(b)	05/15/26		250		250,182
Magnetite Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A		1.697%	(b)	07/25/26		2,000		1,988,908
Magnetite Ltd. (Cayman Islands), Series 2014-11A, Class A1, 144A		1.725%	(b)	01/18/27		500		497,675
Neuberger Berman CLO XII Ltd. (Cayman Islands), Series 2012-12AR, Class BR, 144A		2.377%	(b)	07/25/23		250		250,467
Neuberger Berman CLO XVI Ltd. (Cayman Islands), Series 2014-16A, Class A1, 144A		1.745%	(b)	04/15/26		500		498,429
OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A		1.425%	(b)	07/22/25		1,000		989,148
Race Point V CLO Ltd. (Cayman Islands), Series 2011-5AR, Class AR, 144A		1.586%	(b)	12/15/22		449		445,817
Race Point VIII CLO Ltd. (Cayman Islands), Series 2013-8A, Class A, 144A		1.525%	(b)	02/20/25		250		248,353
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A		1.754%	(b)	07/17/26		500		499,979
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A		4.350%		07/17/26		500		499,568
Shackleton CLO Ltd. (Cayman Islands), Series 2012-2A, Class A1, 144A		1.685%	(b)	10/20/23		500		499,026
Shackleton CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1, 144A		1.754%	(b)	07/17/26		1,500		1,499,938
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.325%	(b)	04/15/25		2,600		2,558,392
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A		2.926%	(b)	08/17/22		500		498,682
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A		2.975%	(b)	10/20/23		900		897,825
THL Credit Wind River Ltd. (Cayman Islands), Series 2014-3A, Class A, 144A		1.896%	(b)	01/22/27		1,750		1,751,833
Treman Park CLO LLC (Cayman Islands), Series 2015-1A, Class A, 144A		1.761%	(b)	04/20/27		1,500		1,497,470
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.395%	(b)	07/15/25		2,200		2,173,983
Vibrant CLO Ltd. (Cayman Islands), Series 2015-3A, Class A1, 144A		1.885%	(b)	04/20/26		2,500		2,501,836
Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.415%	(b)	04/15/24		1,500		1,479,788
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		1.775%	(b)	04/20/26		1,300		1,297,377
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A		4.250%		04/20/26		500		494,675

								40,590,337

Non-Residential Mortgage-Backed Securities — 1.3%
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A		0.986%	(b)	05/15/20		2,700		2,712,466
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 144A		1.920%		09/20/19		1,475		1,470,252
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 144A		2.500%		07/20/21		4,800		4,770,749
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 144A		2.630%		12/20/21		3,800		3,790,249

SEE NOTES TO FINANCIAL STATEMENTS.

A11


ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Residential Mortgage-Backed Securities (continued)
Ford Credit Auto Owner Trust, Series 2014-1, Class A, 144A		2.260%		11/15/25		1,500	$	1,518,553
Ford Credit Auto Owner Trust, Series 2014-2, Class A, 144A		2.310%		04/15/26		2,400		2,426,556
GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 144A		0.686%	(b)	05/15/20		1,600		1,600,666
Hertz Corp., Series 2015-1A, Class A		2.730%		03/25/21		4,200		4,179,000
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A		2.570%		07/18/25		3,600		3,602,736
Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 144A		2.200%		10/20/30		2,337		2,344,318
Springleaf Funding Trust, Series 2015-AA, Class A, 144A		3.160%		11/15/24		2,865		2,898,987
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A		2.000%		09/20/29		836		827,340

								32,141,872

Residential Mortgage-Backed Securities — 0.6%
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1		1.837%	(b)	03/25/33		287		271,250
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3		3.996%	(b)	07/25/35		375		360,708
CWABS, Inc., Asset-Backed Certificates, Series 2004-1, Class M1		0.937%	(b)	03/25/34		2,336		2,228,010
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1		4.942%	(b)	07/25/34		425		403,695
Fremont Home Loan Trust, Series 2004-2, Class M1		1.042%	(b)	07/25/34		506		454,876
HSBC Home Equity Loan Trust USA, Series 2006-4, Class A4		0.417%	(b)	03/20/36		2,966		2,943,298
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1		0.982%	(b)	06/25/34		582		561,323
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1		1.387%	(b)	05/25/33		153		143,702
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1		1.237%	(b)	12/25/33		853		823,186
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1		1.087%	(b)	07/25/32		373		357,060
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1		1.462%	(b)	09/25/32		576		567,907
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1		0.952%	(b)	02/25/34		945		887,646
VOLT XXXI LLC, Series 2015-NPL2, Class A1, 144A		3.375%		02/25/55		1,419		1,414,982
VOLT XXXIV LLC, Series 2015-NPL7, Class A1, 144A		3.250%		02/25/55		3,568		3,552,981

								14,970,624

TOTAL ASSET-BACKED SECURITIES (cost $87,598,543)								88,066,092

BANK LOANS(b) — 0.2%
Automotive
Schaeffler AG (Germany)		4.250%		05/15/20		531		532,981

Cable
Virgin Media Investment Holdings Ltd. (United Kingdom)		3.500%		06/30/23		673		666,062

Foods
ARAMARK Corp.		3.250%		09/07/19		437		435,643

Healthcare & Pharmaceutical — 0.1%
Grifols Worldwide Operations USA, Inc.		3.281%		02/26/21		247		246,721
RPI Finance Trust (Luxembourg)		3.250%		11/09/18		871		871,984

								1,118,705

Retailers
Staples, Inc.		3.500%		02/28/22		595		593,843

Technology — 0.1%
First Data Corp.		3.687%		03/26/18		1,055		1,051,227
Trans Union LLC		3.750%		04/09/21		395		391,050

								1,442,277

TOTAL BANK LOANS (cost $4,759,086)								4,789,511

SEE NOTES TO FINANCIAL STATEMENTS.

A12


COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.1%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3		5.369%		10/10/45		3,400	$	3,423,919
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A		5.732%	(b)	04/10/49		2,997		3,166,119
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4		5.899%	(b)	12/10/49		800		855,724
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3		2.815%		04/10/46		900		891,744
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4		3.575%		05/10/47		2,090		2,154,245
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4		5.223%		08/15/48		835		868,098
Commercial Mortgage Trust, Series 2012-CR5, Class A3		2.540%		12/10/45		1,000		978,845
Commercial Mortgage Trust, Series 2013-CR7, Class A3		2.929%		03/10/46		1,400		1,399,320
Commercial Mortgage Trust, Series 2014-CR15, Class A2		2.928%		02/10/47		2,000		2,063,788
Commercial Mortgage Trust, Series 2014-CR18, Class A4		3.550%		07/15/47		2,100		2,156,469
Commercial Mortgage Trust, Series 2014-LC17, Class A4		3.648%		10/10/47		5,000		5,182,985
Commercial Mortgage Trust, Series 2014-UBS3, Class A2		2.844%		06/10/47		1,700		1,748,860
Commercial Mortgage Trust, Series 2015-3BP, Class A, 144A		3.178%		02/10/35		4,500		4,416,759
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class A4		5.609%	(b)	02/15/39		2,544		2,563,175
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM		5.639%	(b)	02/15/39		530		538,138
Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class A1A		5.297%		12/15/39		2,385		2,489,032
Federal National Mortgage Assoc., Series 2014-M2, Class A2		3.513%	(b)	12/25/23		1,925		2,026,340
Federal National Mortgage Assoc., Series 2015-M10, Class A2		3.092%	(b)	04/25/27		4,700		4,652,765
Federal National Mortgage Assoc., Series 2015-M8, Class AB2		2.829%		01/25/25		4,100		4,057,708
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O		1.596%	(b)	05/25/22		20,824		1,680,010
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O		1.632%	(b)	06/25/22		5,757		479,827
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O		1.734%	(b)	08/25/16		4,736		57,872
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O		1.906%	(b)	05/25/19		16,555		966,589
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O		1.826%	(b)	07/25/19		17,144		975,365
Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A5		5.224%	(b)	04/10/37		629		629,795
Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class AM		5.277%	(b)	04/10/37		3,500		3,525,074
GS Mortgage Securities Trust, Series 2015-GC28, Class A4		3.136%		02/10/48		3,000		2,964,726
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1		3.408%		11/15/47		1,100		1,117,367
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1		2.920%		02/15/48		5,000		4,852,790
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP4, Class AM		4.999%	(b)	10/15/42		1,170		1,170,745
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class ASB		5.523%		05/12/45		352		355,830
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3		3.139%		06/15/45		1,629		1,677,658
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4		2.611%		12/15/47		1,500		1,473,722
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4		2.875%		12/15/47		3,200		3,189,142
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2		3.070%		12/15/46		1,700		1,763,877
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46		1,100		1,078,705
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM		5.263%	(b)	11/15/40		1,390		1,393,055
Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM		5.865%	(b)	05/12/39		780		801,531
ML-CFC Commercial Mortgage Trust, Series 2006-1, Class AM		5.700%	(b)	02/12/39		440		448,324
ML-CFC Commercial Mortgage Trust, Series 2006-2, Class A4		6.059%	(b)	06/12/46		2,042		2,091,133
ML-CFC Commercial Mortgage Trust, Series 2007-6, Class A2		5.331%		03/12/51		1,597		1,613,908
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3		2.863%		12/15/48		1,200		1,193,960
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3		3.451%		07/15/50		4,000		4,036,116

SEE NOTES TO FINANCIAL STATEMENTS.

A13


COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Morgan Stanley Capital I Trust, Series 2006-IQ11, Class A4		5.845%	(b)	10/15/42		1,622	$	1,633,170
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB		5.444%		02/12/44		1,219		1,218,455
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4		2.792%		12/10/45		1,400		1,385,523
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3		2.920%		03/10/46		3,200		3,177,638
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3		2.971%		04/10/46		1,500		1,492,320
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4		5.897%	(b)	05/15/43		2,739		2,781,976
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A		5.608%	(b)	05/15/46		4,195		4,425,559

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $102,842,863)								101,285,795

CORPORATE BONDS — 9.7%
Airlines — 0.2%
American Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2015-1, Class A(a)		3.375%		05/01/27		2,635		2,602,062
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A		6.648%		09/15/17		63		64,518
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1		6.703%		06/15/21		124		132,144
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A		7.250%		11/10/19		542		627,587
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A		4.750%		01/12/21		587		624,192
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A(a)		4.000%		10/29/24		373		380,297
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A		6.821%		08/10/22		303		347,190
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A		4.950%		05/23/19		438		464,595
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A		5.300%		04/15/19		729		784,069

								6,026,654

Automotive — 0.2%
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes		4.207%		04/15/16		1,890		1,932,971
General Motors Co., Sr. Unsec’d. Notes		6.250%		10/02/43		1,065		1,188,066
Harley-Davidson Financial Services, Inc., Gtd. Notes, MTN, 144A		2.700%		03/15/17		380		388,517
Johnson Controls, Inc., Sr. Unsec’d. Notes		5.500%		01/15/16		235		240,903

								3,750,457

Banking — 3.0%
American Express Co., Jr. Sub. Notes		5.200%	(b)	12/31/49		475		471,485
Bank of America Corp., Series K, Jr. Sub. Notes		8.000%	(b)	12/29/49		2,100		2,215,500
Bank of America Corp., Sr. Unsec’d. Notes		5.700%		01/24/22		1,290		1,464,358
Bank of America Corp., Sr. Unsec’d. Notes		6.000%		09/01/17		1,330		1,447,258
Bank of America Corp., Sr. Unsec’d. Notes, MTN		3.300%		01/11/23		360		354,541
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.000%		04/01/24		745		758,093
Bank of America Corp., Sr. Unsec’d. Notes, MTN		5.650%		05/01/18		105		115,343
Bank of America Corp., Sub. Notes, MTN(a)		4.000%		01/22/25		1,700		1,656,300
Bank of America NA, Sub. Notes		5.300%		03/15/17		850		900,289
Bank of America NA, Sub. Notes(a)		6.000%		10/15/36		805		956,415
Bank of Nova Scotia (Canada), Covered Bonds, 144A		1.650%		10/29/15		1,265		1,269,863
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes		5.300%		10/30/15		550		557,865
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes		6.400%		10/02/17		270		297,158
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes		7.250%		02/01/18		1,135		1,285,757
Capital One Financial Corp., Sr. Unsec’d. Notes		3.200%		02/05/25		1,070		1,012,100
Capital One Financial Corp., Sr. Unsec’d. Notes		3.750%		04/24/24		2,170		2,160,016
Citigroup, Inc., Sr. Unsec’d. Notes(a)		3.875%		10/25/23		1,730		1,765,500
Citigroup, Inc., Sr. Unsec’d. Notes		4.500%		01/14/22		1,125		1,211,803
Citigroup, Inc., Sr. Unsec’d. Notes		8.125%		07/15/39		850		1,220,058

SEE NOTES TO FINANCIAL STATEMENTS.

A14


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
Citigroup, Inc., Sr. Unsec’d. Notes		8.500%		05/22/19		1,195	$	1,457,538
Compass Bank, Sr. Unsec’d. Notes		1.850%		09/29/17		1,050		1,048,740
Discover Bank, Sr. Unsec’d. Notes		4.250%		03/13/26		595		587,850
Discover Bank, Sub. Notes		7.000%		04/15/20		485		564,462
Discover Financial Services, Sr. Unsec’d. Notes		3.850%		11/21/22		900		893,606
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes		5.375%	(b)	12/31/49		1,800		1,778,220
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.250%		07/27/21		2,305		2,559,744
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.750%		01/24/22		1,250		1,421,836
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.250%		02/01/41		220		260,380
Goldman Sachs Group, Inc. (The), Sub. Notes		5.625%		01/15/17		765		810,071
Goldman Sachs Group, Inc. (The), Sub. Notes		6.750%		10/01/37		1,100		1,290,243
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes(a)		4.875%		01/14/22		1,230		1,356,374
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		5.100%		04/05/21		920		1,025,540
Huntington Bancshares, Inc., Sub. Notes(a)		7.000%		12/15/20		150		178,669
Intesa Sanpaolo SpA (Italy), Gtd. Notes		3.125%		01/15/16		1,145		1,153,728
JPMorgan Chase & Co., Jr. Sub. Notes(a)		6.100%	(b)	12/31/49		1,175		1,179,112
JPMorgan Chase & Co., Jr. Sub. Notes		7.900%	(b)	04/29/49		2,000		2,115,500
JPMorgan Chase & Co., Sr. Unsec’d. Notes		4.250%		10/15/20		1,660		1,774,977
JPMorgan Chase & Co., Sub. Notes		3.875%		09/10/24		3,525		3,468,269
JPMorgan Chase & Co., Sub. Notes		5.625%		08/16/43		185		197,295
Lloyds Bank PLC (United Kingdom), Gtd. Notes, MTN, 144A		5.800%		01/13/20		1,770		2,022,213
Manufacturers & Traders Trust Co., Sr. Unsec’d. Notes		2.900%		02/06/25		2,385		2,254,097
Morgan Stanley, Jr. Sub. Notes		5.450%	(b)	12/31/49		640		635,200
Morgan Stanley, Sr. Unsec’d. Notes		3.750%		02/25/23		605		611,740
Morgan Stanley, Sr. Unsec’d. Notes(a)		6.375%		07/24/42		640		785,787
Morgan Stanley, Sr. Unsec’d. Notes, MTN		5.450%		01/09/17		1,530		1,621,341
Morgan Stanley, Sr. Unsec’d. Notes, MTN		5.500%		07/28/21		840		947,595
Morgan Stanley, Sr. Unsec’d. Notes, MTN		6.625%		04/01/18		100		112,206
Morgan Stanley, Sub. Notes, MTN		4.350%		09/08/26		3,050		2,988,634
MUFG Capital Finance 1 Ltd. (Japan), Gtd. Notes		6.346%	(b)	07/29/49		800		837,600
National City Corp., Sub. Notes		6.875%		05/15/19		2,687		3,116,184
People’s United Financial, Inc., Sr. Unsec’d. Notes		3.650%		12/06/22		1,195		1,187,567
PNC Bank NA, Sub. Notes		3.800%		07/25/23		480		491,739
PNC Funding Corp., Gtd. Notes		6.700%		06/10/19		390		454,740
Royal Bank of Canada (Canada), Covered Bonds		2.200%		09/23/19		2,240		2,256,484
Santander Holdings USA, Inc., Sr. Unsec’d. Notes		3.000%		09/24/15		780		782,153
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes		2.450%		01/10/19		925		935,067
Synchrony Financial, Sr. Unsec’d. Notes		2.700%		02/03/20		2,175		2,148,498
Toronto-Dominion Bank (The) (Canada), Covered Bonds, 144A		1.950%		04/02/20		3,360		3,334,061
US Bancorp, Sub. Notes, MTN		2.950%		07/15/22		915		900,623
Westpac Banking Corp. (Australia), Covered Bonds, 144A		2.000%		05/21/19		870		878,057

								75,543,442

Brokerage — 0.1%
Jefferies Group LLC, Sr. Unsec’d. Notes		6.500%		01/20/43		465		454,309
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(e)		5.250%		02/06/12		1,850		201,188
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(e)		6.875%		05/02/18		700		80,500
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN		2.000%		09/13/16		680		684,954

								1,420,951

Building Materials & Construction — 0.1%
Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A (original cost $1,154,375; purchased 10/27/14-02/11/15)(c)(d)		5.375%		11/15/24		1,135		1,114,400
D.R. Horton, Inc., Gtd. Notes		3.625%		02/15/18		375		382,031
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A (original cost $530,000; purchased 06/19/14)(c)(d)		5.250%		06/27/29		530		397,606

								1,894,037

SEE NOTES TO FINANCIAL STATEMENTS.

A15


CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Cable — 0.3%
Cablevision Systems Corp., Sr. Unsec’d. Notes		8.625%	09/15/17		900	$	981,000
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A		5.375%	05/01/25		720		701,100
Comcast Cable Holdings LLC, Gtd. Notes		9.875%	06/15/22		1,440		1,919,520
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes		3.500%	03/01/16		605		614,425
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes		5.150%	03/15/42		520		489,217
Time Warner Cable, Inc., Gtd. Notes		5.850%	05/01/17		1,240		1,324,157
Videotron Ltd. (Canada), Gtd. Notes		5.000%	07/15/22		850		847,875

							6,877,294

Capital Goods — 0.3%
Actuant Corp., Gtd. Notes		5.625%	06/15/22		1,040		1,058,200
Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes		7.875%	12/01/17		1,100		1,204,500
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,195,904; purchased 10/10/07)(c)(d)		6.375%	10/15/17		1,198		1,316,918
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $386,623; purchased 10/10/07)(c)(d)		7.000%	10/15/37		390		476,716
General Electric Co., Sr. Unsec’d. Notes		4.125%	10/09/42		180		173,188
General Electric Co., Sr. Unsec’d. Notes		4.500%	03/11/44		260		264,053
SPX Corp., Gtd. Notes		6.875%	09/01/17		810		872,775
United Rentals North America, Inc., Gtd. Notes		7.375%	05/15/20		725		773,568
Xylem, Inc., Sr. Unsec’d. Notes		4.875%	10/01/21		1,060		1,148,311

							7,288,229

Chemicals — 0.3%
Celanese US Holdings LLC, Gtd. Notes(a)		5.875%	06/15/21		1,160		1,241,200
CF Industries, Inc., Gtd. Notes		5.375%	03/15/44		445		442,487
Dow Chemical Co. (The), Sr. Unsec’d. Notes(a)		4.625%	10/01/44		5		4,667
Dow Chemical Co. (The), Sr. Unsec’d. Notes		9.400%	05/15/39		30		45,152
Koppers, Inc., Gtd. Notes		7.875%	12/01/19		1,050		1,060,500
LyondellBasell Industries NV, Sr. Unsec’d. Notes		4.625%	02/26/55		955		841,014
LyondellBasell Industries NV, Sr. Unsec’d. Notes		5.000%	04/15/19		800		866,612
Monsanto Co., Sr. Unsec’d. Notes		4.400%	07/15/44		180		161,185
Mosaic Co. (The), Sr. Unsec’d. Notes		5.450%	11/15/33		265		282,086
Mosaic Co. (The), Sr. Unsec’d. Notes		5.625%	11/15/43		860		916,254
Union Carbide Corp., Sr. Unsec’d. Notes		7.500%	06/01/25		500		623,055

							6,484,212

Consumer — 0.1%
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes		6.250%	04/15/18		1,600		1,773,398

Electric — 0.4%
Arizona Public Service Co., Sr. Unsec’d. Notes		6.250%	08/01/16		170		179,582
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes		6.350%	10/01/36		530		662,870
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes		6.125%	04/01/36		340		400,541
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge., Series K2		6.950%	03/15/33		300		393,186
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Series 09-C		5.500%	12/01/39		145		165,789
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes		4.800%	11/01/43		45		44,424
Duke Energy Carolinas LLC, First Mortgage		6.050%	04/15/38		530		652,899
Dynegy, Inc., Gtd. Notes, 144A		6.750%	11/01/19		345		358,972
Dynegy, Inc., Gtd. Notes, 144A		7.375%	11/01/22		255		267,113
El Paso Electric Co., Sr. Unsec’d. Notes		6.000%	05/15/35		845		993,511
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes		8.625%	08/01/15		1,020		1,025,712
Eversource Energy, Sr. Unsec’d. Notes		4.500%	11/15/19		605		661,015
Exelon Generation Co. LLC, Sr. Unsec’d. Notes		6.250%	10/01/39		1,375		1,517,240
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A		5.450%	07/15/44		265		275,863
Florida Power & Light Co., First Mortgage		5.950%	10/01/33		380		462,826
Iberdrola International BV (Spain), Gtd. Notes		6.750%	09/15/33		140		160,236
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A		4.881%	08/15/19		545		598,093
Public Service Co. of New Mexico, Sr. Unsec’d. Notes		7.950%	05/15/18		135		157,096
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN		5.800%	05/01/37		515		620,862

SEE NOTES TO FINANCIAL STATEMENTS.

A16


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Electric (continued)
Southern California Edison Co., First Mortgage		3.600%		02/01/45		690	$	615,053
Xcel Energy, Inc., Sr. Unsec’d. Notes		4.800%		09/15/41		480		497,789
Xcel Energy, Inc., Sr. Unsec’d. Notes		5.613%		04/01/17		263		281,869

								10,992,541

Energy – Integrated
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A		5.400%		02/14/22		400		431,331

Energy – Other — 0.3%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		4.677%	(f)	10/10/36		1,000		400,000
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.450%		09/15/36		305		351,933
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.950%		06/15/19		225		261,356
Devon Financing Corp. LLC, Gtd. Notes		7.875%		09/30/31		1,350		1,740,151
EOG Resources, Inc., Sr. Unsec’d. Notes(a)		3.900%		04/01/35		830		785,718
Helmerich & Payne International Drilling Co., Gtd. Notes, 144A(a)		4.650%		03/15/25		1,555		1,605,208
Nabors Industries, Inc., Gtd. Notes		4.625%		09/15/21		890		884,189
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A		5.375%		01/26/19		350		287,525
Phillips 66, Gtd. Notes		2.950%		05/01/17		415		426,568
Pioneer Natural Resources Co., Sr. Unsec’d. Notes		6.875%		05/01/18		1,450		1,628,092
Valero Energy Corp., Sr. Unsec’d. Notes		4.900%		03/15/45		225		210,847

								8,581,587

Foods — 0.1%
Bunge Ltd. Finance Corp., Gtd. Notes		8.500%		06/15/19		860		1,039,626
Tyson Foods, Inc., Gtd. Notes		6.600%		04/01/16		785		815,003

								1,854,629

Gaming — 0.1%
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes		4.875%		11/01/20		800		814,000
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., Gtd. Notes, 144A		5.500%		03/01/25		900		857,250

								1,671,250

Healthcare & Pharmaceutical — 0.9%
AbbVie, Inc., Sr. Unsec’d. Notes		3.600%		05/14/25		950		938,975
AbbVie, Inc., Sr. Unsec’d. Notes		4.500%		05/14/35		1,595		1,560,393
Actavis Funding SCS, Gtd. Notes		3.800%		03/15/25		805		790,769
Actavis Funding SCS, Gtd. Notes		4.550%		03/15/35		1,305		1,240,758
Actavis Funding SCS, Gtd. Notes		4.750%		03/15/45		480		456,986
Actavis, Inc., Gtd. Notes		6.125%		08/15/19		440		496,758
Amgen, Inc., Sr. Unsec’d. Notes		5.150%		11/15/41		1,365		1,401,786
Becton Dickinson & Co., Sr. Unsec’d. Notes(a)		3.734%		12/15/24		805		802,292
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes		5.125%		08/15/18		900		922,500
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A		4.125%		10/15/20		1,235		1,250,438
Gilead Sciences, Inc., Sr. Unsec’d. Notes		5.650%		12/01/41		140		160,407
HCA, Inc., Sr. Sec’d. Notes		5.000%		03/15/24		900		915,750
HCA, Inc., Sr. Sec’d. Notes		5.250%		04/15/25		350		364,000
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes		3.200%		02/01/22		160		157,743
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes		5.625%		12/15/15		560		571,277
Medtronic, Inc., Sr. Unsec’d. Notes, 144A		3.500%		03/15/25		2,515		2,506,416
Medtronic, Inc., Sr. Unsec’d. Notes, 144A		4.375%		03/15/35		1,065		1,056,826
Merck & Co., Inc., Sr. Unsec’d. Notes		2.750%		02/10/25		340		326,038
Merck & Co., Inc., Sr. Unsec’d. Notes		3.700%		02/10/45		1,105		987,172
Mylan, Inc., Gtd. Notes		1.800%		06/24/16		355		355,178
New York & Presbyterian Hospital (The), Unsec’d. Notes		4.024%		08/01/45		340		310,151
Novartis Capital Corp. (Switzerland), Gtd. Notes		4.400%		05/06/44		1,010		1,041,236
Roche Holdings, Inc. (Switzerland), Gtd. Notes, 144A		2.875%		09/29/21		4,385		4,421,141
Zoetis, Inc., Sr. Unsec’d. Notes		4.700%		02/01/43		90		85,807

								23,120,797

SEE NOTES TO FINANCIAL STATEMENTS.

A17


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Healthcare Insurance — 0.2%
Aetna, Inc., Sr. Unsec’d. Notes		6.625%		06/15/36		480	$	589,561
Aetna, Inc., Sr. Unsec’d. Notes		6.750%		12/15/37		1,050		1,321,236
Anthem, Inc., Sr. Unsec’d. Notes		4.625%		05/15/42		330		301,639
Anthem, Inc., Sr. Unsec’d. Notes		4.650%		01/15/43		260		238,358
Cigna Corp., Sr. Unsec’d. Notes		5.875%		03/15/41		540		614,428
Cigna Corp., Sr. Unsec’d. Notes		6.150%		11/15/36		640		738,337
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		3.950%		10/15/42		440		398,107
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.000%		06/15/17		115		125,214
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.625%		11/15/37		410		525,615

								4,852,495

Insurance — 0.9%
Allied World Assurance Co. Holdings Ltd., Gtd. Notes		5.500%		11/15/20		480		534,931
Allstate Corp. (The), Sr. Unsec’d. Notes		4.500%		06/15/43		125		126,123
American International Group, Inc., Sr. Unsec’d. Notes		4.500%		07/16/44		1,910		1,816,878
American International Group, Inc., Sr. Unsec’d. Notes		6.400%		12/15/20		910		1,081,849
Axis Specialty Finance LLC, Gtd. Notes		5.875%		06/01/20		990		1,120,448
Chubb Corp. (The), Jr. Sub. Notes(a)		6.375%	(b)	03/29/67		1,260		1,321,740
Dai-ichi Life Insurance Co. Ltd. (The) (Japan), Jr. Sub. Notes, 144A		5.100%	(b)	12/29/49		375		395,625
Hartford Financial Services Group, Inc. (The), Sr. Unsec’d. Notes		5.125%		04/15/22		635		704,232
Liberty Mutual Group, Inc., Gtd. Notes, 144A		6.500%		05/01/42		215		250,886
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A		7.000%		03/15/34		910		1,103,188
Lincoln National Corp., Jr. Sub. Notes(a)		6.050%	(b)	04/20/67		250		226,250
Lincoln National Corp., Sr. Unsec’d. Notes		6.300%		10/09/37		876		1,032,275
Lincoln National Corp., Sr. Unsec’d. Notes		7.000%		06/15/40		660		827,814
Lincoln National Corp., Sr. Unsec’d. Notes		8.750%		07/01/19		505		619,154
Markel Corp., Sr. Unsec’d. Notes		5.000%		03/30/43		165		162,230
MetLife, Inc., Sr. Unsec’d. Notes		5.700%		06/15/35		960		1,117,045
MetLife, Inc., Sr. Unsec’d. Notes		6.375%		06/15/34		85		104,878
MetLife, Inc., Sr. Unsec’d. Notes		6.750%		06/01/16		270		284,042
New York Life Insurance Co., Sub. Notes, 144A		6.750%		11/15/39		650		853,020
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A		5.100%	(b)	10/16/44		1,505		1,574,606
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A		6.063%		03/30/40		350		418,525
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A		6.375%		04/30/20		640		728,467
Pacific Life Insurance Co., Sub. Notes, 144A		9.250%		06/15/39		695		1,037,882
Principal Financial Group, Inc., Gtd. Notes		4.625%		09/15/42		105		101,086
Progressive Corp. (The), Jr. Sub. Notes		6.700%	(b)	06/15/37		715		745,387
Progressive Corp. (The), Sr. Unsec’d. Notes		3.700%		01/26/45		570		503,208
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A		6.850%		12/16/39		1,430		1,790,579
Unum Group, Sr. Unsec’d. Notes		5.625%		09/15/20		315		354,456
W.R. Berkley Corp., Sr. Unsec’d. Notes		6.150%		08/15/19		575		648,358

								21,585,162

Lodging — 0.2%
Choice Hotels International, Inc., Gtd. Notes		5.750%		07/01/22		955		1,034,981
Marriott International, Inc., Sr. Unsec’d. Notes		3.000%		03/01/19		490		502,434
Marriott International, Inc., Sr. Unsec’d. Notes		3.250%		09/15/22		805		793,713
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes		6.750%		05/15/18		2,700		3,020,817
Wyndham Worldwide Corp., Sr. Unsec’d. Notes		2.500%		03/01/18		405		406,042

								5,757,987

Media & Entertainment — 0.2%
21st Century Fox America, Inc., Gtd. Notes		6.150%		03/01/37		250		289,073
21st Century Fox America, Inc., Gtd. Notes		6.900%		08/15/39		35		43,776
21st Century Fox America, Inc., Gtd. Notes		7.625%		11/30/28		1,265		1,636,890
CBS Corp., Gtd. Notes		4.850%		07/01/42		115		105,938
Historic TW, Inc., Gtd. Notes		9.150%		02/01/23		625		825,641
Myriad International Holdings BV (South Africa), Gtd. Notes, RegS		6.375%		07/28/17		750		793,125
Time Warner, Inc., Gtd. Notes		6.200%		03/15/40		175		198,808

SEE NOTES TO FINANCIAL STATEMENTS.

A18


CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Media & Entertainment (continued)
Time Warner, Inc., Gtd. Notes		6.250%	03/29/41		495	$	566,423
Time Warner, Inc., Gtd. Notes		7.625%	04/15/31		75		97,525
Viacom, Inc., Sr. Unsec’d. Notes		4.500%	02/27/42		50		41,805
Viacom, Inc., Sr. Unsec’d. Notes		4.875%	06/15/43		150		134,271
Viacom, Inc., Sr. Unsec’d. Notes		5.850%	09/01/43		325		323,486

							5,056,761

Metals — 0.1%
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes		5.000%	09/30/43		700		726,624
Glencore Finance Canada Ltd. (Switzerland), Gtd. Notes, 144A		2.050%	10/23/15		905		907,317
Newmont Mining Corp., Gtd. Notes		6.250%	10/01/39		15		14,699
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes		5.875%	04/23/45		400		380,480
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes		7.500%	07/27/35		370		414,378

							2,443,498

Non-Captive Finance — 0.1%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes, 144A		3.750%	05/15/19		600		593,250
General Electric Capital Corp., Gtd. Notes, MTN		5.875%	01/14/38		580		693,697
General Electric Capital Corp., Gtd. Notes, MTN		6.875%	01/10/39		1,085		1,456,801
International Lease Finance Corp., Sr. Unsec’d. Notes		5.750%	05/15/16		230		235,750
Navient Corp., Sr. Unsec’d. Notes, MTN		8.450%	06/15/18		295		327,834

							3,307,332

Packaging
Crown Americas LLC/Crown Americas Capital Corp. IV, Gtd. Notes		4.500%	01/15/23		1,000		944,380

Paper — 0.1%
Georgia-Pacific LLC, Gtd. Notes, 144A (original cost $273,386; purchased 10/27/10)(c)(d)		5.400%	11/01/20		275		306,977
International Paper Co., Sr. Unsec’d. Notes		6.000%	11/15/41		1,270		1,369,221
International Paper Co., Sr. Unsec’d. Notes		7.950%	06/15/18		460		537,098
Rock-Tenn Co., Gtd. Notes		4.900%	03/01/22		675		726,827

							2,940,123

Pipelines & Other — 0.3%
DCP Midstream LLC, Sr. Unsec’d. Notes, 144A		4.750%	09/30/21		600		592,862
DCP Midstream LLC, Sr. Unsec’d. Notes, 144A		5.350%	03/15/20		1,125		1,156,483
Energy Transfer Partners LP, Sr. Unsec’d. Notes		4.650%	06/01/21		610		626,070
Energy Transfer Partners LP, Sr. Unsec’d. Notes(a)		4.900%	03/15/35		200		180,462
Energy Transfer Partners LP, Sr. Unsec’d. Notes(a)		5.150%	03/15/45		500		441,777
EnLink Midstream Partners LP, Sr. Unsec’d. Notes		4.150%	06/01/25		665		647,477
Enterprise Products Operating LLC, Gtd. Notes		3.750%	02/15/25		1,055		1,033,976
Kinder Morgan Energy Partners LP, Gtd. Notes		5.950%	02/15/18		530		579,169
MPLX LP, Sr. Unsec’d. Notes		4.000%	02/15/25		1,140		1,112,265
NiSource Finance Corp., Gtd. Notes		5.450%	09/15/20		500		563,061
ONEOK Partners LP, Gtd. Notes		6.650%	10/01/36		130		135,998

							7,069,600

Railroads — 0.1%
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes		3.450%	09/15/21		1,180		1,219,002
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes		6.700%	08/01/28		735		930,140
CSX Corp., Sr. Unsec’d. Notes		6.150%	05/01/37		690		820,985
Norfolk Southern Corp., Sr. Unsec’d. Notes		5.590%	05/17/25		120		138,151

							3,108,278

Real Estate Investment Trusts — 0.2%
Mack-Cali Realty LP, Sr. Unsec’d. Notes		7.750%	08/15/19		685		788,484
Prologis LP, Gtd. Notes		6.875%	03/15/20		68		78,552
Select Income REIT, Sr. Unsec’d. Notes		2.850%	02/01/18		550		557,425
Simon Property Group LP, Sr. Unsec’d. Notes		2.800%	01/30/17		235		240,532

SEE NOTES TO FINANCIAL STATEMENTS.

A19


CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Real Estate Investment Trusts (continued)
Simon Property Group LP, Sr. Unsec’d. Notes		3.375%	03/15/22		190	$	192,850
Simon Property Group LP, Sr. Unsec’d. Notes		6.125%	05/30/18		2,925		3,286,498

							5,144,341

Retailers — 0.1%
CVS Health Corp., Sr. Unsec’d. Notes(a)		5.300%	12/05/43		170		185,247
Home Depot, Inc. (The), Sr. Unsec’d. Notes(a)		4.400%	03/15/45		565		564,186
L Brands, Inc., Gtd. Notes		5.625%	02/15/22		1,300		1,368,250
Lowe’s Cos., Inc., Sr. Unsec’d. Notes		6.500%	03/15/29		345		433,913
Macy’s Retail Holdings, Inc., Gtd. Notes		3.875%	01/15/22		300		311,066
Target Corp., Sr. Unsec’d. Notes		3.500%	07/01/24		265		270,511

							3,133,173

Technology
Oracle Corp., Sr. Unsec’d. Notes		4.300%	07/08/34		700		690,300
Seagate HDD Cayman, Gtd. Notes		3.750%	11/15/18		455		474,353

							1,164,653

Telecommunications — 0.6%
America Movil SAB de CV (Mexico), Gtd. Notes		6.125%	03/30/40		300		347,379
AT&T Corp., Gtd. Notes		8.000%	11/15/31		18		24,425
AT&T, Inc., Sr. Unsec’d. Notes		3.400%	05/15/25		3,130		2,985,106
AT&T, Inc., Sr. Unsec’d. Notes		4.500%	05/15/35		350		321,750
AT&T, Inc., Sr. Unsec’d. Notes		4.750%	05/15/46		560		509,585
AT&T, Inc., Sr. Unsec’d. Notes		4.800%	06/15/44		305		284,107
AT&T, Inc., Sr. Unsec’d. Notes		5.350%	09/01/40		1,133		1,115,458
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes		9.625%	12/15/30		350		519,461
Embarq Corp., Sr. Unsec’d. Notes (original cost $367,380; purchased 05/04/11-05/11/11)(c)(d)		7.082%	06/01/16		325		337,977
Embarq Corp., Sr. Unsec’d. Notes (original cost $364,974; purchased 05/12/06)(c)(d)		7.995%	06/01/36		365		404,675
Sprint Communications, Inc., Sr. Unsec’d. Notes		6.000%	12/01/16		950		976,125
Verizon Communications, Inc., Sr. Unsec’d. Notes(a)		3.500%	11/01/24		1,220		1,186,644
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.862%	08/21/46		1,053		985,520
Verizon Communications, Inc., Sr. Unsec’d. Notes		5.012%	08/21/54		2,349		2,155,412
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A		4.522%	09/15/48		1,182		1,038,407
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A		4.672%	03/15/55		2,288		1,990,455

							15,182,486

Tobacco — 0.2%
Altria Group, Inc., Gtd. Notes		4.000%	01/31/24		1,585		1,609,531
Altria Group, Inc., Gtd. Notes		9.950%	11/10/38		42		67,630
Altria Group, Inc., Gtd. Notes		10.200%	02/06/39		274		451,204
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A		2.050%	02/11/18		1,680		1,672,284
RJ Reynolds Tobacco Co., Gtd. Notes		8.125%	06/23/19		290		343,556

							4,144,205

TOTAL CORPORATE BONDS (cost $236,223,128)							243,545,283

MUNICIPAL BONDS — 0.5%
California — 0.2%
Bay Area Toll Authority, Revenue Bonds, BABs		6.263%	04/01/49		1,305		1,688,435
State of California, GO, BABs		7.300%	10/01/39		1,250		1,736,312
State of California, GO, BABs		7.500%	04/01/34		350		484,761
State of California, GO, BABs		7.550%	04/01/39		245		354,253
State of California, GO, BABs		7.625%	03/01/40		205		295,893

							4,559,654

SEE NOTES TO FINANCIAL STATEMENTS.

A20


MUNICIPAL BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Colorado
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs		5.844%	11/01/50		565	$	704,035

Illinois — 0.1%
Chicago O’Hare International Airport, Revenue Bonds, BABs		6.395%	01/01/40		970		1,186,950

New Jersey — 0.1%
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs		7.414%	01/01/40		1,000		1,388,710

New York — 0.1%
New York City Transitional Finance Authority, Revenue Bonds, BABs		5.767%	08/01/36		1,100		1,319,835

Ohio
Ohio State University (The), Revenue Bonds, BABs		4.910%	06/01/40		415		458,438
Ohio State Water Development Authority, Revenue Bonds, BABs		4.879%	12/01/34		275		306,449

							764,887

Oregon
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs		5.834%	11/15/34		425		518,934

Pennsylvania
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs		5.511%	12/01/45		505		570,993

Tennessee
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs		6.731%	07/01/43		945		1,169,457

Texas
Texas State Transportation Commission, Revenue Bonds, Series B, BABs		5.028%	04/01/26		305		347,651

TOTAL MUNICIPAL BONDS (cost $10,004,110)							12,531,106

NON-CORPORATE FOREIGN AGENCIES — 0.8%
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A		3.150%	07/24/24		1,300		1,309,023
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A		4.875%	01/15/24		490		501,025
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes		5.125%	06/29/20		265		297,022
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		9.250%	04/23/19		695		771,450
International Bank for Reconstruction & Development (Supranational Bank), Sr. Unsec’d. Notes		2.250%	06/24/21		3,295		3,362,050
KFW (Germany), Gov’t. Gtd. Notes, MTN		2.750%	10/01/20		2,645		2,760,370
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A		1.125%	05/23/18		2,634		2,626,003
Petrobras Global Finance BV (Brazil), Gtd. Notes		2.000%	05/20/16		1,400		1,383,438
Petroleos Mexicanos (Mexico), Gtd. Notes(a)		3.500%	01/30/23		705		668,833
Petroleos Mexicanos (Mexico), Gtd. Notes		4.875%	01/18/24		375		384,375
Petroleos Mexicanos (Mexico), Gtd. Notes		5.500%	01/21/21		1,970		2,136,465
Petroleos Mexicanos (Mexico), Gtd. Notes		6.625%	06/15/35		453		483,578
Petroleos Mexicanos (Mexico), Sr. Unsec’d. Notes		8.625%	12/01/23		350		430,150
Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.299%	05/15/17		560		565,600
Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A		1.750%	04/10/17		1,035		1,035,590
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A		2.500%	04/28/20		1,000		984,940
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A		2.750%	05/07/19		500		505,050

TOTAL NON-CORPORATE FOREIGN AGENCIES (cost $20,141,475)							20,204,962

NON-CORPORATE SOVEREIGNS — 0.5%
Brazilian Government International Bond (Brazil), Sr. Unsec’d. Notes(a)		4.250%	01/07/25		2,270		2,191,685
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.000%	02/26/24		920		915,400
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		4.000%	03/25/19		392		404,662
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A(a)		5.875%	03/13/20		770		856,625
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A(a)		5.875%	01/15/24		750		828,750

SEE NOTES TO FINANCIAL STATEMENTS.

A21


NON-CORPORATE SOVEREIGNS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A		6.875%		01/17/18		745	$	833,826
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes		3.625%		03/15/22		550		556,600
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN		4.750%		03/08/44		766		727,700
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		3.750%		03/16/25		490		482,650
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		4.000%		09/22/24		395		396,975
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		5.200%		01/30/20		375		413,250
Province of British Columbia (Canada), Sr. Unsec’d. Notes		2.000%		10/23/22		1,975		1,934,506
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A		4.875%		01/22/24		140		148,050
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, MTN, RegS		6.125%		01/22/44		350		392,700
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes		7.000%		06/05/20		1,260		1,438,245

TOTAL NON-CORPORATE SOVEREIGNS (cost $12,489,974)								12,521,624

RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.3%
Alternative Loan Trust, Series 2004-18CB, Class 3A1		5.250%		09/25/19		298		303,839
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1		6.000%		01/25/36		1,404		1,183,211
Banc of America Funding Trust., Series 2015-R4, Class 4A1, 144A		3.500%	(b)	01/01/30		2,114		2,121,025
Banc of America Mortgage Trust, Series 2005-A, Class 2A1		2.673%	(b)	02/25/35		311		303,459
Banc of America Mortgage Trust, Series 2005-B, Class 2A1		2.732%	(b)	03/25/35		362		334,024
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5		2.553%	(b)	02/25/37		707		687,381
Fannie Mae Connecticut Avenue Securities, Series 2014-C04, Class 1M1		2.137%	(b)	11/25/24		3,114		3,137,733
Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 1M1		1.687%	(b)	02/25/25		1,031		1,032,634
Fannie Mae Connecticut Avenue Securities, Series 2015-C02, Class 1M1		1.335%	(b)	05/25/25		4,974		4,946,635
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1		1.087%	(b)	10/25/27		6,402		6,388,608
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1		2.595%	(b)	07/25/35		375		375,787
LSTAR Securities Investment Trust, Series 2014-1, Class NOTE, 144A		3.284%	(b)	09/01/21		4,695		4,719,316
LSTAR Securities Investment Trust, Series 2015-5, Class A1, 144A		2.184%	(b)	04/01/20		2,337		2,327,876
LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A		2.184%	(b)	05/01/20		4,139		4,108,998
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1		5.000%		04/25/19		72		72,882
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		2.637%	(b)	02/25/34		427		425,048
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A		5.000%		03/25/20		197		197,280

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $32,917,995)								32,665,736

U.S. GOVERNMENT AGENCY OBLIGATIONS — 10.4%
Federal Home Loan Banks		0.375%		08/28/15		335		335,144
Federal Home Loan Banks(g)		5.500%		07/15/36		850		1,099,677
Federal Home Loan Mortgage Corp.		0.750%		01/12/18		407		404,973
Federal Home Loan Mortgage Corp.		2.236%	(b)	12/01/35		315		334,349
Federal Home Loan Mortgage Corp.		2.292%	(b)	06/01/36		294		312,755
Federal Home Loan Mortgage Corp.(a)		2.375%		01/13/22		3,700		3,746,139
Federal Home Loan Mortgage Corp.		2.500%		03/01/30		978		990,718
Federal Home Loan Mortgage Corp.(l)		3.000%		TBA		7,000		6,958,164
Federal Home Loan Mortgage Corp.		3.000%		10/01/28-01/01/43		3,975		4,073,473
Federal Home Loan Mortgage Corp.(l)		3.500%		TBA		7,500		7,695,557
Federal Home Loan Mortgage Corp.(l)		3.500%		TBA		500		526,848
Federal Home Loan Mortgage Corp.		3.500%		08/01/26		1,355		1,432,207
Federal Home Loan Mortgage Corp.(l)		4.000%		TBA		2,500		2,643,799
Federal Home Loan Mortgage Corp.		4.000%		06/01/26-12/01/40		3,971		4,221,490
Federal Home Loan Mortgage Corp.		4.500%		02/01/19-10/01/41		11,174		12,080,210
Federal Home Loan Mortgage Corp.		5.000%		07/01/18-05/01/39		3,254		3,538,905
Federal Home Loan Mortgage Corp.		5.500%		12/01/33-07/01/38		3,042		3,410,630
Federal Home Loan Mortgage Corp.		6.000%		03/01/32-08/01/39		1,198		1,365,212
Federal Home Loan Mortgage Corp.		6.500%		09/01/16		1		1,041

SEE NOTES TO FINANCIAL STATEMENTS.

A22


U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal Home Loan Mortgage Corp.		7.000%		05/01/31-10/01/31		314	$	358,011
Federal National Mortgage Assoc.(a)(g)(h)		1.500%		06/22/20		4,835		4,777,662
Federal National Mortgage Assoc.		1.625%		01/21/20		1,365		1,363,108
Federal National Mortgage Assoc.		1.875%		02/19/19		156		158,940
Federal National Mortgage Assoc.		1.959%	(b)	07/01/33		421		443,914
Federal National Mortgage Assoc.		2.059%	(b)	06/01/37		74		74,794
Federal National Mortgage Assoc.		2.151%	(b)	07/01/37		465		491,582
Federal National Mortgage Assoc.(l)		2.500%		TBA		1,000		1,012,114
Federal National Mortgage Assoc.		2.500%		01/01/28-10/01/43		2,615		2,605,186
Federal National Mortgage Assoc.(a)		2.625%		09/06/24		130		130,050
Federal National Mortgage Assoc.(l)		3.000%		TBA		26,000		25,903,007
Federal National Mortgage Assoc.		3.000%		02/01/27		3,899		4,049,237
Federal National Mortgage Assoc.(l)		3.500%		TBA		500		527,320
Federal National Mortgage Assoc.(l)		3.500%		TBA		3,000		3,083,672
Federal National Mortgage Assoc.		3.500%		07/01/27-03/01/43		30,896		32,006,763
Federal National Mortgage Assoc.(l)		4.000%		TBA		16,000		16,914,186
Federal National Mortgage Assoc.(l)		4.000%		TBA		7,500		7,946,103
Federal National Mortgage Assoc.		4.000%		09/01/44		6,570		6,963,812
Federal National Mortgage Assoc.		4.500%		11/01/18-03/01/41		7,817		8,488,473
Federal National Mortgage Assoc.(l)		5.000%		TBA		3,500		3,866,406
Federal National Mortgage Assoc.		5.000%		10/01/18-05/01/36		2,364		2,603,483
Federal National Mortgage Assoc.		5.500%		03/01/16-04/01/37		4,590		5,157,888
Federal National Mortgage Assoc.		6.000%		09/01/17-06/01/38		5,110		5,828,235
Federal National Mortgage Assoc.		6.500%		07/01/17-01/01/37		1,956		2,258,372
Federal National Mortgage Assoc.		7.000%		02/01/32-07/01/32		212		247,383
Federal National Mortgage Assoc.		7.500%		05/01/32		41		43,476
Government National Mortgage Assoc.(l)		3.000%		TBA		2,000		2,018,750
Government National Mortgage Assoc.(l)		3.000%		TBA		4,000		4,037,812
Government National Mortgage Assoc.(l)		3.500%		TBA		18,000		18,681,331
Government National Mortgage Assoc.		3.500%		05/20/43-04/20/45		3,886		4,051,792
Government National Mortgage Assoc.		4.000%		06/15/40-04/20/45		9,216		9,784,493
Government National Mortgage Assoc.(l)		4.500%		TBA		1,000		1,085,781
Government National Mortgage Assoc.		4.500%		04/15/40-12/20/44		9,455		10,277,573
Government National Mortgage Assoc.		5.500%		08/15/33-04/15/36		2,187		2,492,387
Government National Mortgage Assoc.		6.000%		11/15/23-07/15/34		853		980,739
Government National Mortgage Assoc.		6.500%		10/15/23-09/15/36		1,613		1,865,817
Government National Mortgage Assoc.		8.000%		01/15/24-07/15/24		25		27,561
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes		2.503%		10/30/20		566		584,397
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes		2.578%		06/30/22		3,910		3,929,550
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes		3.000%		06/30/25		1,115		1,117,787
Residual Funding Corp. Strips Principal, Sr. Unsec’d. Notes, PO		1.825%	(f)	10/15/19		1,105		1,019,930
Residual Funding Corp. Strips Principal, Sr. Unsec’d. Notes, PO		2.066%	(f)	07/15/20		3,351		3,032,843
Tennessee Valley Authority, Sr. Unsec’d. Notes		5.880%		04/01/36		76		98,636
Ukraine Government USAID Bonds, U.S. Gov’t. Gtd. Notes		1.847%		05/29/20		3,665		3,667,888

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $257,240,748)								261,229,535

U.S. TREASURY OBLIGATIONS — 2.5%
U.S. Treasury Bonds(a)		2.500%		02/15/45		1,260		1,108,901
U.S. Treasury Bonds		2.750%		08/15/42-11/15/42		2,850		2,651,489
U.S. Treasury Inflation Indexed Bonds, TIPS		0.125%		04/15/20		5,824		5,871,016
U.S. Treasury Inflation Indexed Bonds, TIPS		1.375%		01/15/20		9,436		10,087,863
U.S. Treasury Notes		1.500%		10/31/19		1,745		1,745,954
U.S. Treasury Notes(h)		2.125%		09/30/21		27,615		27,891,150
U.S. Treasury Notes		3.125%		05/15/19		3,065		3,270,689
U.S. Treasury Strips Coupon		2.184%	(f)	02/15/28		2,115		1,496,130
U.S. Treasury Strips Coupon		2.241%	(f)	05/15/28		1,055		740,111
U.S. Treasury Strips Coupon		2.280%	(f)	02/15/29		1,055		718,154
U.S. Treasury Strips Coupon		2.363%	(f)	08/15/30		3,150		2,027,349
U.S. Treasury Strips Coupon		2.384%	(f)	05/15/29		2,175		1,466,011
U.S. Treasury Strips Coupon		2.519%	(f)	08/15/25		1,930		1,496,877

SEE NOTES TO FINANCIAL STATEMENTS.

A23


U.S. TREASURY OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
U.S. Treasury Strips Coupon		3.103%	(f)	11/15/34		1,430	$	783,950
U.S. Treasury Strips Principal		2.351%	(f)	05/15/43		1,180		474,287
U.S. Treasury Strips Principal		3.577%	(f)	05/15/44		1,780		696,774

TOTAL U.S. TREASURY OBLIGATIONS (cost $62,170,536)								62,526,705

TOTAL LONG-TERM INVESTMENTS (cost $1,405,039,564)								2,120,750,629

SHORT-TERM INVESTMENTS — 21.3%

					Shares
AFFILIATED MUTUAL FUNDS — 20.9%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $100,433,000) (Note 4)(j)						10,486,362		97,942,621
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $425,643,804; includes $58,627,635 of cash collateral for securities on loan) (Note 4)(j)(k)						425,643,804		425,643,804

TOTAL AFFILIATED MUTUAL FUNDS (cost $526,076,804)								523,586,425


					Principal Amount (000)#
U.S. TREASURY OBLIGATION — 0.4%
U.S. Treasury Bills(g) (cost $10,647,264)		0.152%(i)		09/17/15		10,650		10,650,000


					Notional Amount (000)#
OPTIONS PURCHASED*
Call Options
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $152.00						27,200		467,500
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $160.00						13,600		29,750
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $164.00						13,600		10,625

TOTAL OPTIONS PURCHASED (cost $470,563)								507,875

TOTAL SHORT-TERM INVESTMENTS (cost $537,194,631)								534,744,300

TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 106.1% (cost $1,942,234,195)								2,655,494,929

OPTIONS WRITTEN*
Call Options
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $156.00						27,200		(174,250	)
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $158.00						27,200		(102,000	)

TOTAL OPTIONS WRITTEN (premiums received $241,312)								(276,250	)

TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 106.1% (cost $1,941,992,883)								2,655,218,679
LIABILITIES IN EXCESS OF OTHER ASSETS(m) — (6.1)%								(152,651,453	)

NET ASSETS — 100.0%							$	2,502,567,226

SEE NOTES TO FINANCIAL STATEMENTS.

A24

See the Glossary for abbreviations used in the Portfolio descriptions.

*	Non-income producing security.

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

(a)

All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $57,070,426; cash collateral of $58,627,635 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

(b)	Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2015.

(c)	Indicates a restricted security; the aggregate original cost of the restricted securities is $4,272,642. The aggregate value of $4,355,269 is approximately 0.2% of net assets.

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

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

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

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

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

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

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

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

(l)	All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of $100,000,000 is approximately 4.0% of net assets.

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

Futures contracts outstanding at June 30, 2015:


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at June 30, 2015		Unrealized Appreciation (Depreciation)(1)
Long Positions:
91	2 Year U.S. Treasury Notes		Sep. 2015	$	19,930,551	$	19,923,313	$	(7,238	)
666	5 Year U.S. Treasury Notes		Sep. 2015		78,964,065		79,425,703		461,638
218	10 Year U.S. Treasury Notes		Sep. 2015		27,425,071		27,505,469		80,398
87	DAX Index		Sep. 2015		26,619,996		26,676,473		56,477
691	DJ Euro STOXX 50		Sep. 2015		26,453,417		26,469,665		16,248
221	IBEX 35 Index		Jul. 2015		26,419,156		26,547,447		128,291
16	MSCI EAFE Mini Futures		Sep. 2015		1,506,518		1,467,200		(39,318	)
59	S&P 500 E-Mini Futures		Sep. 2015		6,155,981		6,060,480		(95,501	)
62	S&P 500 Index Futures		Sep. 2015		32,439,964		31,843,200		(596,764	)
227	U.S. Ultra Bonds		Sep. 2015		35,813,459		34,972,188		(841,271	)

									(837,040	)

Short Position:
194	U.S. Long Bonds		Sep. 2015		29,872,710		29,263,688		609,022

								$	(228,018	)

(1)	A U.S. Treasury Obligation with a market value of $10,650,000 has been segregated with Goldman Sachs & Co. and U.S. Government Agency Obligations with a combined market value of $1,926,660 have been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2015.

Interest rate swap agreements outstanding at June 30, 2015:


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation		Counterparty
	Over-the-counter swap agreements:
	2,634		05/17/18		0.989%	3 Month LIBOR(1)	$	13,942	$	—	$	13,942	Credit Suisse First Boston Corp.

SEE NOTES TO FINANCIAL STATEMENTS.

A25

Interest rate swap agreements outstanding at June 30, 2015 (continued):


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2015			Unrealized Appreciation
	Exchange-traded swap agreements:
	12,735		12/31/21		1.831%	3 Month LIBOR(1)	$	8,825		$	171,024		$	162,199
	26,880		12/31/21		1.950%	3 Month LIBOR(1)		73,934			163,044			89,110
	40,475		05/31/22		2.200%	3 Month LIBOR(1)		(56,569	)		(44,834	)		11,735

							$	26,190		$	289,234		$	263,044

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

Credit default swap agreements outstanding at June 30, 2015:


Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Value at Trade Date			Value at June 30, 2015(4)			Unrealized Appreciation
Exchange-traded credit default swaps on credit indices—Buy Protection(1):
CDX.NA.IG.24.V1		06/20/20		1.000%		53,000	$	(997,536	)	$	(756,174	)	$	241,362



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.V9		12/20/16		5.000%		1,150	$	63,809	$	47,923	$	15,886	Credit Suisse First Boston Corp.
CDX.NA.HY.17.V9		12/20/16		5.000%		2,990		165,903		128,338		37,565	Deutsche Bank AG
CDX.NA.HY.17.V9		12/20/16		5.000%		4,140		229,713		181,413		48,300	Deutsche Bank AG

							$	459,425	$	357,674	$	101,751

A U.S. Government Agency Obligation and a U.S. Treasury Obligation with a combined market value of $3,538,677 have been segregated with Citigroup Global Markets to cover requirements for open exchange-traded interest rate and credit default swap contracts at June 30, 2015.

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

(1)

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

(2)

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

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

(4)

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

SEE NOTES TO FINANCIAL STATEMENTS.

A26

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

Level 1—

quoted prices generally in active markets for identical securities.

Level 2—

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

Level 3—

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

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:


	Level 1			Level 2		Level 3
Investments in Securities
Common Stocks	$	1,132,886,509		$	145,284,697	$	—
Exchange Traded Fund		1,144,471			—		—
Preferred Stocks		519,200			1,549,403		—
Asset-Backed Securities
Collateralized Debt Obligation		—			363,259		—
Collateralized Loan Obligations		—			40,590,337		—
Non-Residential Mortgage-Backed Securities		—			24,360,136		7,781,736
Residential Mortgage-Backed Securities		—			14,970,624		—
Bank Loans		—			4,789,511		—
Commercial Mortgage-Backed Securities		—			101,285,795		—
Corporate Bonds		—			243,480,765		64,518
Municipal Bonds		—			12,531,106		—
Non-Corporate Foreign Agencies		—			20,204,962		—
Non-Corporate Sovereigns		—			12,521,624		—
Residential Mortgage-Backed Securities		—			32,665,736		—
U.S. Government Agency Obligations		—			261,229,535		—
U.S. Treasury Obligations		—			73,176,705		—
Affiliated Mutual Funds		523,586,425			—		—
Options Purchased		507,875			—		—
Options Written		(276,250	)		—		—
Other Financial Instruments*
Futures Contracts		(228,018	)		—		—
Over-the-counter interest rate swap		—			13,942		—
Exchange-traded interest rate swaps		—			263,044		—
Exchange-traded credit default swap		—			241,362		—
Over-the-counter credit default swaps		—			459,425		—

Total	$	1,658,140,212		$	989,981,968	$	7,846,254

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

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:


Affiliated Mutual Funds (including 2.3% of collateral for securities on loan)	20.9	%
U.S. Government Agency Obligations	10.4
Commercial Mortgage-Backed Securities	4.1
Banks	3.6
Pharmaceuticals	3.5
Oil, Gas & Consumable Fuels	3.3
Banking	3.0
U.S. Treasury Obligations	2.9
Insurance	2.4
Technology Hardware, Storage & Peripherals	2.2
Residential Mortgage-Backed Securities	1.9
Media	1.8
Software	1.7


Collateralized Loan Obligations	1.6	%
IT Services	1.6
Internet Software & Services	1.5
Chemicals	1.5
Biotechnology	1.5
Real Estate Investment Trusts (REITs)	1.4
Health Care Providers & Services	1.4
Non-Residential Mortgage-Backed Securities	1.3
Aerospace & Defense	1.3
Diversified Telecommunication Services	1.2
Food & Staples Retailing	1.2
Capital Markets	1.2
Industrial Conglomerates	1.1
Semiconductors & Semiconductor Equipment	1.1

SEE NOTES TO FINANCIAL STATEMENTS.

A27


Industry table (con’t)
Specialty Retail	1.1	%
Beverages	1.0
Health Care Equipment & Supplies	1.0
Food Products	1.0
Healthcare & Pharmaceutical	1.0
Diversified Financial Services	0.9
Tobacco	0.9
Household Products	0.9
Machinery	0.9
Electric Utilities	0.9
Hotels, Restaurants & Leisure	0.8
Non-Corporate Foreign Agencies	0.8
Internet & Catalog Retail	0.7
Communications Equipment	0.7
Telecommunications	0.6
Energy Equipment & Services	0.6
Multi-Utilities	0.6
Automobiles	0.6
Airlines	0.5
Municipal Bonds	0.5
Non-Corporate Sovereigns	0.5
Textiles, Apparel & Luxury Goods	0.5
Electric	0.4
Road & Rail	0.4
Multiline Retail	0.4
Consumer Finance	0.4
Electrical Equipment	0.4
Energy – Other	0.3
Metals & Mining	0.3
Air Freight & Logistics	0.3
Household Durables	0.3
Electronic Equipment, Instruments & Components	0.3
Auto Components	0.3
Cable	0.3
Capital Goods	0.3


Pipelines & Other	0.3	%
Life Sciences Tools & Services	0.2
Lodging	0.2
Commercial Services & Supplies	0.2
Media & Entertainment	0.2
Healthcare Insurance	0.2
Trading Companies & Distributors	0.2
Automotive	0.2
Retailers	0.1
Real Estate Management & Development	0.1
Non-Captive Finance	0.1
Railroads	0.1
Containers & Packaging	0.1
Paper & Forest Products	0.1
Paper	0.1
Professional Services	0.1
Technology	0.1
Wireless Telecommunication Services	0.1
Construction & Engineering	0.1
Metals	0.1
Foods	0.1
Building Materials & Construction	0.1
Consumer	0.1
Gaming	0.1
Building Products	0.1
Brokerage	0.1
Construction Materials	0.1
Health Care Technology	0.1
Leisure Products	0.1
Personal Products	0.1
Exchange Traded Fund	0.1
Independent Power & Renewable Electricity Producers	0.1

	106.1
Liabilities in excess of other assets	(6.1	)

	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, 2015 as presented in the Statement of Assets and Liabilities:


Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Credit contracts	Premiums paid for swap agreements	$	357,674		—	$	—
Credit contracts	Due from/to broker — variation margin swaps		241,362	*	—		—
Credit contracts	Unrealized appreciation on over-the-counter swap agreements		101,751		—		—
Equity Contracts	Due from/to broker — variation margin futures		201,016	*	Due from/to broker — variation margin futures		731,583	*
Interest rate contracts	Due from/to broker — variation margin futures		1,151,058	*	Due from/to broker — variation margin futures		848,509	*
Interest rate contracts	Due from/to broker — variation margin swaps		263,044	*	—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A28


Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Interest rate contracts	Unrealized appreciation on over-the-counter swap agreements	$	13,942	—	$	—
Interest rate contracts	Unaffiliated investments		507,875	Options written outstanding, at value		276,250

Total		$	2,837,722		$	1,856,342

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

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2015 are as follows:


Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights*		Options Purchased*			Options Written		Futures		Swaps			Total
Credit contracts	$	—	$	—		$	—	$	—	$	(512,220	)	$	(512,220	)
Equity contracts		6,783		—			—		5,744,856		—			5,751,639
Interest rate contracts		—		(1,084,032	)		299,296		880,255		8,398			103,917

	$	6,783	$	(1,084,032	)	$	299,296	$	6,625,111	$	(503,822	)	$	5,343,336

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


Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased*		Options Written			Futures			Swaps		Total
Credit contracts	$	—	$	—		$	—		$	364,634	$	364,634
Equity contracts		—		—			(5,108,672	)		—		(5,108,672	)
Interest rate contracts		61,024		(60,445	)		(315,501	)		307,262		(7,660	)

Total	$	61,024	$	(60,445	)	$	(5,424,173	)	$	671,896	$	(4,751,698	)

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

For the six months ended June 30, 2015, the Portfolio’s average volume of derivative activities is as follows:


Options Purchased⁽¹⁾	Options Written⁽²⁾	Futures Contracts— Long Positions⁽³⁾	Futures Contracts— Short Position⁽³⁾
$256,036	$91,067	$254,361,154	$22,231,478


Interest Rate Swap Agreements⁽²⁾	Credit Default Swap Agreements—Buy Protection⁽²⁾	Credit Default Swap Agreements—Sell Protection⁽²⁾
$76,936	$57,643	$8,401

⁽¹⁾

Cost.

⁽²⁾	Notional Amount in USD (000).

⁽³⁾	Value at Trade Date.

SEE NOTES TO FINANCIAL STATEMENTS.

A29

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

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


Counterparty	Gross amounts of recognized assets(1)		Gross amounts available for offset		Collateral Received(3)			Net Amount
Credit Suisse First Boston Corp.	$	77,751	$	—	$	—		$	77,751
Deutsche Bank AG		395,616		—		(521,616	)		—

	$	473,367


Counterparty	Gross amounts of recognized liabilities(2)		Gross amounts available for offset		Collateral Pledged(3)			Net Amount
Credit Suisse First Boston Corp.	$	—	$	—	$	—		$	—
Deutsche Bank AG		—		—		—			—

	$	—

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A30


		*CONSERVATIVE BALANCED PORTFOLIO (continued)*

STATEMENT OF ASSETS & LIABILITIES

(Unaudited)

as of June 30, 2015


ASSETS
Investments at value, including securities on loan of $57,070,426:
Unaffiliated investments (cost $1,416,157,391)	$	2,131,908,504
Affiliated investments (cost $526,076,804)		523,586,425
Cash		100,252
Foreign currency, at value (cost $6,346,061)		6,343,507
Receivable for investments sold		64,285,156
Dividends and interest receivable		6,934,612
Tax reclaim receivable		475,965
Premium paid for swap agreements		357,674
Unrealized appreciation on over-the-counter swap agreements		115,693
Due from broker—variation margin swaps		2,674
Receivable for Series shares sold		1,100
Prepaid expenses		2,685

Total Assets		2,734,114,247

LIABILITIES
Payable for investments purchased		166,785,887
Payable to broker for collateral for securities on loan		58,627,635
Due to broker—variation margin futures		4,007,486
Management fee payable		1,146,231
Payable for Series shares repurchased		414,210
Accrued expenses and other liabilities		288,396
Options written outstanding, at value (premiums received $241,312)		276,250
Affiliated transfer agent fee payable		926

Total Liabilities		231,547,021

NET ASSETS	$	2,502,567,226

Net assets were comprised of:
Paid-in capital	$	1,349,921,100
Retained earnings		1,152,646,126

Net assets, June 30, 2015	$	2,502,567,226

Net asset value and redemption price per share $2,502,567,226 / 110,859,648 outstanding shares of beneficial interest	$	22.57

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2015


NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $258,544)	$	16,104,768
Interest income		12,912,052
Affiliated dividend income		816,991
Affiliated income from securities lending, net		114,687

Total income		29,948,498

EXPENSES
Management fee		6,992,729
Custodian and accounting fees		212,000
Shareholders’ reports		114,000
Audit fee		21,000
Insurance expenses		16,000
Trustees’ fees		15,000
Legal fees and expenses		8,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800)		6,000
Miscellaneous		25,799

Total expenses		7,410,528

NET INVESTMENT INCOME		22,537,970

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		85,041,456
Futures transactions		6,625,111
Options written transactions		299,296
Swap agreement transactions		(503,822	)
Foreign currency transactions		(133,373	)

		91,328,668

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $442)		(93,764,386	)
Futures		(5,424,173	)
Securities sold short		9,708
Options written		(60,445	)
Swap agreements		671,896
Foreign currencies		(18,735	)

		(98,586,135	)

NET LOSS ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(7,257,467	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	15,280,503

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)


	Six Months Ended June 30, 2015			Year Ended December 31, 2014
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income	$	22,537,970		$	42,111,812
Net realized gain on investment and foreign currency transactions		91,328,668			120,488,994
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(98,586,135	)		50,456,589

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		15,280,503			213,057,395

SERIES SHARE TRANSACTIONS
Series shares sold [155,045 and 657,128 shares, respectively]		3,531,071			14,068,708
Series shares repurchased [3,986,192 and 7,335,062 shares, respectively]		(90,599,574	)		(157,169,187	)

NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(87,068,503	)		(143,100,479	)

TOTAL INCREASE (DECREASE)		(71,788,000	)		69,956,916
NET ASSETS:
Beginning of period		2,574,355,226			2,504,398,310

End of period	$	2,502,567,226		$	2,574,355,226

SEE NOTES TO FINANCIAL STATEMENTS.

A31


LONG-TERM INVESTMENTS — 90.1% ASSET-BACKED SECURITIES — 13.8%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations — 4.4%
A Voce CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A		1.725%	(a)	07/15/26		500	$	497,885
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		1.455%	(a)	04/20/25		3,300		3,269,578
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A		3.360%		04/20/25		500		492,107
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		1.888%	(a)	10/15/26		1,750		1,751,969
Battalion VII CLO Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A		1.675%	(a)	10/22/25		1,300		1,296,433
Battalion VII CLO Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A		1.874%	(a)	10/17/26		2,750		2,753,115
Benefit Street Partners II CLO Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A		1.475%	(a)	07/15/24		900		891,741
Benefit Street Partners V CLO Ltd. (Cayman Islands), Series 2014-VA, Class A, 144A		1.875%	(a)	10/20/26		1,250		1,251,118
Black Diamond CLO Delaware Corp. (Cayman Islands), Series 2005-1A, Class A1, 144A		0.551%	(a)	06/20/17		255		255,089
Blue Hill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		1.755%	(a)	01/15/26		700		700,033
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.424%	(a)	04/17/25		2,600		2,573,959
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1A, 144A		1.737%	(a)	07/27/26		250		249,773
ECP CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1A, 144A		1.725%	(a)	07/15/26		1,500		1,493,603
Flagship VII CLO Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A		1.745%	(a)	01/20/26		2,500		2,492,493
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.670%	(a)	01/17/26		1,250		1,246,341
ING Investment Management CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.415%	(a)	04/15/24		4,200		4,143,406
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A		1.763%	(a)	04/15/27		2,250		2,250,849
KVK CLO Ltd. (Cayman Islands), Series 2014-2A, Class A, 144A		1.825%	(a)	07/15/26		250		249,872
Magnetite VIII CLO Ltd. (Cayman Islands), Series 2014-8A, Class A, 144A		1.755%	(a)	04/15/26		250		249,306
Palmer Square CLO Ltd. (Cayman Islands), Series 2015-2A, Class A1A, 144A		—%	(a)(k)	07/20/27		1,000		998,100
Regatta V Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A		1.837%	(a)	10/25/26		4,375		4,374,087
Shackleton III CLO Ltd. (Cayman Islands), Series 2013-3A, Class B2, 144A		3.440%		04/15/25		700		680,883
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.325%	(a)	04/15/25		7,300		7,183,177
Sound Point VI CLO Ltd. (Cayman Islands), Series 2014-2A, Class B, 144A		1.635%	(a)	10/20/26		750		743,555
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2013-2A, Class A1, 144A		1.725%	(a)	01/18/26		3,300		3,296,421
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.395%	(a)	07/15/25		300		296,452

								45,681,345

Non-Residential Mortgage-Backed Securities — 1.6%
GE Business Loan Trust, Series 2006-1A, Class D, 144A		1.186%	(a)	05/15/34		129		106,464
Hertz, Series 2015-1A, Class A		2.730%		03/25/21		5,600		5,572,000
Marriott Vacation Club Owner Trust, Series 2010-1A, Class A, 144A		3.540%		10/20/32		1,961		2,020,853
Onemain Financial Issuance Trust, Series 2015-2A, Class A, 144A		2.570%		07/18/25		3,900		3,902,964
Springleaf Funding Trust, Series 2015-AA, Class A, 144A		3.160%		11/15/24		4,600		4,654,570

								16,256,851

Residential Mortgage-Backed Securities — 7.8%
ABFC Trust, Series 2004-OPT1, Class M1		1.237%	(a)	08/25/33		1,258		1,190,269
ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1, Class M1		1.087%	(a)	09/25/33		1,343		1,258,197
Alternative Loan Trust, Series 2004-18CB, Class 3A1		5.250%		09/25/19		368		375,801
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M1		1.147%	(a)	09/25/34		950		947,173
Ameriquest Mortgage Securities, Inc. Floating Rate Mortgage Pass-Through Certificates, Series 2001-2, Class M3		3.112%	(a)	10/25/31		407		387,229
Argent Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-W6, Class M1		1.012%	(a)	05/25/34		1,432		1,368,202
Argent Securities, Inc., Series 2003-W2, Class M4		5.812%	(a)	09/25/33		2,400		2,243,040
Argent Securities, Inc., Series 2004-W10, Class A2		0.967%	(a)	10/25/34		1,802		1,750,084

SEE NOTES TO FINANCIAL STATEMENTS.

A32


ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Residential Mortgage-Backed Securities (continued)
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE3, Class M1		1.431%	(a)	06/15/33		1,142	$	1,089,673
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE1, Class M1		1.236%	(a)	01/15/34		204		193,823
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE5, Class M1		1.087%	(a)	08/25/34		1,728		1,669,589
Bayview Opportunity Master Fund IIIb NPL Trust, Series 2015-NPLA, Class A, 144A		3.721%	(a)	07/28/35		5,000		5,000,000
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE2, Class M1		1.087%	(a)	03/25/34		3,612		3,441,928
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE3, Class M2		1.912%	(a)	04/25/34		1,935		1,767,522
CDC Mortgage Capital Trust, Series 2002-HE3, Class M2		3.562%	(a)	03/25/33		189		127,653
Centex Home Equity Loan Trust, Series 2004-B, Class AF6		4.686%	(a)	03/25/34		1,094		1,123,543
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-HE4, Class M2		2.437%	(a)	08/25/32		66		56,485
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1		4.942%		07/25/34		538		510,699
Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 1M1		1.687%	(a)	02/25/25		1,375		1,376,845
FBR Securitization Trust, Series 2005-2, Class M1		0.907%	(a)	09/25/35		3,205		3,178,190
Fremont Home Loan Trust, Series 2003-B, Class M1		1.237%	(a)	12/25/33		193		184,446
GSAMP Trust, Series 2004-FM1, Class M1		1.162%	(a)	11/25/33		1,852		1,794,373
GSMSC Resecuritization Trust, Series 2015-3R, Class 1A1, 144A		0.327%	(a)	01/26/37		4,809		4,617,911
GSMSC Resecuritization Trust, Series 2015-3R, Class 1A2, 144A		0.327%	(a)	01/26/37		1,400		1,109,360
GSMSC Resecuritization Trust, Series 2015-4R, Class A1, 144A		0.325%	(a)	03/26/37		3,750		3,567,000
GSMSC Resecuritization Trust, Series 2015-4R, Class A2, 144A		0.325%	(a)	03/26/37		700		533,330
Long Beach Mortgage Loan Trust, Series 2004-1, Class M1		0.937%	(a)	02/25/34		3,926		3,732,501
LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A		2.184%	(a)	05/01/20		6,677		6,628,206
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1		5.000%		04/25/19		72		72,882
MASTR Asset-Backed Securities Trust, Series 2004-WMC1, Class M1		0.967%	(a)	02/25/34		1,995		1,896,081
Merrill Lynch Mortgage Investors Trust, Series 2004-HE2, Class M1		1.387%	(a)	08/25/35		614		580,298
Merrill Lynch Mortgage Investors Trust, Series 2004-OPT1, Class A1A		0.707%	(a)	06/25/35		1,628		1,560,647
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1		1.387%	(a)	05/25/33		1,141		1,070,576
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE3, Class M1		1.207%	(a)	10/25/33		866		807,803
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1		1.237%	(a)	12/27/33		693		668,839
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-OP1, Class M1		1.057%	(a)	11/25/34		3,688		3,362,692
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC1, Class M1		1.117%	(a)	06/25/34		2,009		1,943,430
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC2, Class M1		1.102%	(a)	07/25/34		1,549		1,477,153
New Century Home Equity Loan Trust, Series 2003-4, Class M1		1.312%	(a)	10/25/33		2,728		2,619,098
New Century Home Equity Loan Trust, Series 2004-4, Class M1		0.952%	(a)	02/25/35		3,048		2,831,336
Residential Asset Mortgage Products, Inc., Series 2004-RS12, Class MII2		1.387%	(a)	12/25/34		175		173,370
Residential Asset Securities Corp., Series 2004-KS1, Class AI5		5.221%		02/25/34		1,000		1,037,136
Saxon Asset Securities Trust, Series 2002-3, Class M1		1.312%	(a)	12/25/32		199		185,575
Securitized Asset-Backed Receivables LLC Trust, Series 2004-NC1, Class M1		0.967%	(a)	02/25/34		3,034		2,821,591
Specialty Underwriting & Residential Finance Trust, Series 2004-BC1, Class M1		0.952%	(a)	02/25/35		1,038		952,924
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		2.637%	(a)	02/25/34		1,197		1,190,134
Structured Asset Investment Loan Trust, Series 2004-2, Class A4		0.892%	(a)	03/25/34		2,297		2,127,577
Structured Asset Investment Loan Trust, Series 2004-7, Class A8		1.387%	(a)	08/25/34		1,400		1,277,209
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2002-HF2, Class M3		3.187%	(a)	07/25/32		725		679,767
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A		5.000%		03/25/20		302		302,646

								80,861,836

TOTAL ASSET-BACKED SECURITIES (cost $135,536,352)								142,800,032

BANK LOANS(a) — 3.0%
Aerospace & Defense — 0.2%
Transdigm, Inc.		3.500%		05/13/22		1,995		1,969,588

SEE NOTES TO FINANCIAL STATEMENTS.

A33


BANK LOANS(a) (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Automotive — 0.2%
Chrysler Group LLC		3.250%		12/31/18		997	$	994,482
Chrysler Group LLC		3.500%		05/24/17		1,335		1,332,117

								2,326,599

Chemicals — 0.1%
Axalta Coating Systems US Holdings		3.750%		02/01/20		709		708,156
CeramTec GmbH (Germany)		4.250%		08/30/20	EUR	900		1,002,740

								1,710,896

Financials — 0.2%
Scandlines GmbH (Germany)		4.500%		11/04/20	EUR	1,675		1,876,283

Foods — 0.1%
Pinnacle Foods Finance LLC		3.000%		04/29/20		697		693,256

Gaming — 0.2%
CCM Merger, Inc.		4.500%		08/06/21		2,244		2,245,980

Healthcare & Pharmaceutical — 0.9%
Capsugel Holdings US, Inc.		3.500%		08/01/18		928		926,954
Davita Healthcare Partners, Inc.		3.500%		06/24/21		1,485		1,483,453
Grifols SA		3.281%		02/26/21		1,485		1,483,663
Mallinckrodt International Finance SA		3.500%		03/19/21		1,514		1,508,097
Nima ACQ LLC		3.250%		02/26/21		684		683,361
Ortho Clinical Diagnostics		4.750%		06/30/21		495		484,344
RPI Finance Trust (Luxembourg)		3.500%		11/09/20		1,696		1,695,739
Valeant Pharmaceutiicals International, Inc.		4.000%		04/01/22		1,147		1,146,082

								9,411,693

Media & Entertainment — 0.1%
CBS Outdoor Americas CAP Co.		3.000%		02/01/21		1,000		995,833

Technology — 0.9%
BMC Software Finance, Inc.		5.000%		09/10/20		495		464,830
First Data Corp.		3.687%		03/26/18		2,411		2,401,848
First Data Corp.		4.187%		03/24/21		183		183,180
Freescale Semiconductor, Inc.		4.250%		02/28/20		1,711		1,711,891
Interactive Data Corp.		4.750%		05/03/21		1,188		1,190,475
RBS WorldPay, Inc. (United Kingdom)		5.750%		11/29/19	GBP	900		1,415,294
TransUnion LLC/TransUnion Financing Corp.		3.750%		04/09/21		198		195,525
Vantiv LLC		2.282%		06/13/19		1,425		1,407,188

								8,970,231

Telecommunications — 0.1%
SBA Senior Finance II LLC		3.250%		03/24/21		1,139		1,127,273

TOTAL BANK LOANS (cost $31,768,926)								31,327,632

COMMERCIAL MORTGAGE-BACKED SECURITIES — 10.7%
Banc of America Commercial Mortgage Trust, Series 2006-5, Class A2		5.317%		09/10/47		195		195,177
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A2		5.309%		10/10/45		334		334,384
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A4		5.356%		10/10/45		800		819,120
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A		5.732%	(a)	04/10/49		1,359		1,435,307
CDGJ Commercial Mortgage Trust, Series 2014-BXCH, Class B, 144A		2.036%	(a)	12/15/27		5,000		4,988,385
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4		3.575%		05/10/47		3,200		3,298,365
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A3		5.293%		12/11/49		235		236,575
COMM Mortgage Trust, Series 2014-UBS4, Class A4		3.420%		08/10/47		3,200		3,242,291
COMM Mortgage Trust, Series 2015-DC1, Class A4		3.078%		02/10/48		5,000		4,918,060
COMM Mortgage Trust, Series 2015-LC21, Class A4		3.708%		07/10/48		5,000		5,126,155

SEE NOTES TO FINANCIAL STATEMENTS.

A34


COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3		2.540%		12/10/45		2,000	$	1,957,690
Commercial Mortgage Pass-Through Certificates, Series 2013-CR7, Class A3		2.929%		03/10/46		3,900		3,898,105
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM		5.639%	(a)	02/15/39		970		984,894
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, I/O		1.798%	(a)	06/25/20		9,304		583,245
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O		1.596%	(a)	05/25/22		28,573		2,305,130
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O		1.632%	(a)	06/25/22		16,295		1,358,155
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, I/O		1.022%	(a)	10/25/22		11,151		586,257
FHLMC Multifamily Structured Pass-Through Certificates, Series K044, Class X1, I/O		0.757%	(a)	01/25/25		83,962		4,914,970
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O		1.734%	(a)	08/25/16		9,250		113,031
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O		1.906%	(a)	05/25/19		22,885		1,336,167
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O		1.826%	(a)	07/25/19		27,431		1,560,584
GS Mortgage Securities Trust, Series 2013-GC12, Class A3		2.860%		06/10/46		4,600		4,574,447
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP4, Class AM		4.999%	(a)	10/15/42		1,820		1,821,159
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class A3		6.136%	(a)	02/15/51		489		489,428
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4		2.611%		12/15/47		2,000		1,964,962
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4		2.875%		12/15/47		4,600		4,584,392
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46		4,600		4,510,949
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C21, Class A4		3.493%		08/15/47		3,200		3,274,550
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM		5.263%	(a)	11/15/40		2,100		2,104,616
LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class A2		5.300%		11/15/38		539		542,726
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A3		6.029%	(a)	06/12/50		136		136,313
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA, I/O, 144A		1.979%	(a)	08/15/45		52,935		4,051,976
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3		2.863%		12/15/48		1,700		1,691,444
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A3		2.834%		05/15/46		2,300		2,277,299
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A3		4.103%	(a)	07/15/46		4,800		5,144,582
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3		3.766%		11/15/46		4,000		4,214,908
Morgan Stanley Capital I Trust, Series 2007-IQ14, Class AAB		5.654%	(a)	04/15/49		2,143		2,178,972
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4		2.792%		12/10/45		2,300		2,276,216
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3		2.920%		03/10/46		4,600		4,567,855
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3		2.971%		04/10/46		3,800		3,780,544
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class AMFX		5.179%	(a)	07/15/42		108		108,332
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4(b)		5.509%		04/15/47		5,150		5,388,167
Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A1A		5.903%	(a)	06/15/49		2,497		2,638,192

SEE NOTES TO FINANCIAL STATEMENTS.

A35


COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class A4		3.548%		08/15/50		4,300	$	4,420,968

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $113,290,239)								110,935,044

CORPORATE BONDS — 50.2%
Aerospace & Defense — 0.3%
Textron, Inc., Sr. Unsec’d. Notes		7.250%		10/01/19		2,350		2,750,569

Airlines — 0.6%
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1		6.703%		06/15/21		2		2,493
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class B		7.373%		12/15/15		394		401,267
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A		5.983%		04/19/22		1,496		1,667,754
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A		4.750%		01/12/21		448		475,575
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A		6.821%		08/10/22		1,123		1,288,074
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A		4.950%		05/23/19		508		538,128
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A		5.300%		04/15/19		544		584,613
United Airlines Pass-Through Trust, Pass-Through Certificates, Series 2007-071A, Class A		6.636%		07/02/22		824		884,273

								5,842,177

Automotive — 1.1%
Ford Motor Co., Sr. Unsec’d. Notes(b)		4.750%		01/15/43		750		727,201
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes		1.700%		05/09/16		4,620		4,626,020
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes		2.375%		01/16/18		2,225		2,245,684
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes		3.984%		06/15/16		375		383,765
General Motors Co., Sr. Unsec’d. Notes		4.875%		10/02/23		1,350		1,423,269
General Motors Co., Sr. Unsec’d. Notes		6.250%		10/02/43		1,885		2,102,821

								11,508,760

Banking — 12.7%
Ally Financial, Inc., Sr. Unsec’d. Notes		4.125%		02/13/22		3,000		2,880,000
American Express Co., Jr. Sub. Notes		5.200%	(a)	12/31/49		655		650,153
Bank of America Corp., Jr. Sub Notes, Series K		8.000%	(a)	12/29/49		3,500		3,692,500
Bank of America Corp., Sr. Unsec’d. Notes		5.700%		01/24/22		1,775		2,014,911
Bank of America Corp., Sr. Unsec’d. Notes		6.000%		09/01/17		4,590		4,994,673
Bank of America Corp., Sr. Unsec’d. Notes, MTN		3.300%		01/11/23		4,275		4,210,178
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.000%		04/01/24		1,150		1,170,211
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.125%		01/22/24		3,750		3,843,259
Bank of America Corp., Sr. Unsec’d. Notes, Series 1		3.750%		07/12/16		1,340		1,373,686
Bank of America NA, Sub. Notes		5.300%		03/15/17		790		836,740
Barclays Bank PLC (United Kingdom), Sr. Unsec’d. Notes(b)		3.750%		05/15/24		3,375		3,389,695
Branch Banking & Trust Co., Sr. Unsec’d. Notes		2.850%		04/01/21		3,700		3,721,786
Capital One Financial Corp., Sr. Unsec’d. Notes		3.750%		04/24/24		2,400		2,388,958
Capital One Financial Corp., Sr. Unsec’d. Notes		5.250%		02/21/17		2,460		2,610,749
Capital One Financial Corp., Sub. Notes		6.150%		09/01/16		700		738,840
Citigroup, Inc., Sr. Unsec’d. Notes		6.125%		11/21/17		2,050		2,254,943
Citigroup, Inc., Sr. Unsec’d. Notes		8.125%		07/15/39		4,120		5,913,691
Citigroup, Inc., Sr. Unsec’d. Notes		8.500%		05/22/19		1,375		1,677,083
Credit Suisse/New York NY (Switzerland), Sr. Unsec’d. Notes, MTN(b)		3.625%		09/09/24		1,050		1,043,762
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes(b)		3.700%		05/30/24		1,650		1,629,436
Discover Bank, Sr. Unsec’d. Notes		4.250%		03/13/26		1,150		1,136,180
Discover Bank, Sub. Notes		7.000%		04/15/20		2,005		2,333,499
Fifth Third Bank, Sr. Unsec’d. Notes		1.450%		02/28/18		3,275		3,250,880

SEE NOTES TO FINANCIAL STATEMENTS.

A36


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
Fifth Third Bank, Sr. Unsec’d. Notes		2.375%		04/25/19		425	$	425,575
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes		5.375%	(a)	12/29/49		1,950		1,926,405
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(c)		5.750%		01/24/22		4,200		4,777,370
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.150%		04/01/18		1,355		1,506,597
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.250%		09/01/17		3,195		3,497,745
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.250%		02/01/41		2,195		2,597,883
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes, Series D		6.000%		06/15/20		2,420		2,765,397
Goldman Sachs Group, Inc. (The), Sub. Notes		6.750%		10/01/37		440		516,097
Huntington Bancshares, Inc., Sub. Notes(b)		7.000%		12/15/20		260		309,693
ICICI Bank Ltd. (India), Jr. Sub. Notes, 144A		7.250%	(a)	08/29/49		2,380		2,436,644
ING Bank NV (Netherlands), Sr. Unsec’d. Notes, 144A		2.000%		09/25/15		770		772,037
Intesa Sanpaolo SpA (Italy), Bank Gtd. Notes		3.125%		01/15/16		1,625		1,637,387
JPMorgan Chase & Co., Jr. Sub. Notes, Series 1		7.900%	(a)	04/29/49		6,130		6,484,007
JPMorgan Chase & Co., Jr. Sub. Notes, Series X(b)		6.100%	(a)	12/31/49		1,450		1,455,075
JPMorgan Chase & Co., Sr. Unsec’d. Notes(b)		2.750%		06/23/20		5,400		5,405,756
JPMorgan Chase & Co., Sr. Unsec’d. Notes		3.150%		07/05/16		2,245		2,290,461
JPMorgan Chase & Co., Sr. Unsec’d. Notes		3.250%		09/23/22		500		496,757
JPMorgan Chase & Co., Sr. Unsec’d. Notes		4.250%		10/15/20		600		641,558
JPMorgan Chase & Co., Sub. Notes		5.625%		08/16/43		675		719,861
KeyCorp, Sr. Unsec’d. Notes, MTN(b)		5.100%		03/24/21		1,155		1,281,446
Lloyds Bank PLC (United Kingdom), Bank Gtd. Notes, MTN, 144A		5.800%		01/13/20		2,650		3,027,606
Mizuho Bank Ltd. (Japan), Gtd. Notes, 144A		1.850%		03/21/18		1,125		1,126,627
Morgan Stanley, Jr. Sub. Notes, Series H		5.450%	(a)	12/31/49		975		967,688
Morgan Stanley, Sr. Unsec’d. Notes		3.750%		02/25/23		1,535		1,552,100
Morgan Stanley, Sr. Unsec’d. Notes		5.750%		01/25/21		1,920		2,187,487
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		5.450%		01/09/17		4,035		4,275,889
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		5.500%		07/28/21		2,080		2,346,425
Morgan Stanley, Sr. Unsec’d. Notes, MTN		5.625%		09/23/19		2,635		2,952,765
Morgan Stanley, Sub. Notes, GMTN		4.350%		09/08/26		750		734,910
Northern Trust Corp., Sub. Notes(b)		3.950%		10/30/25		3,025		3,125,611
People’s United Bank, Sub. Notes		4.000%		07/15/24		550		544,594
People’s United Financial, Inc., Sr. Unsec’d. Notes		3.650%		12/06/22		1,675		1,664,581
PNC Financial Services Group, Inc. (The), Sub. Notes		3.900%		04/29/24		975		984,950
Royal Bank of Scotland Group PLC (The) (United Kingdom), Sr. Unsec’d. Notes		2.550%		09/18/15		625		626,748
Santander Holdings USA, Inc., Sr. Unsec’d. Notes		3.000%		09/24/15		950		952,622
Santander Holdings USA, Inc., Sr. Unsec’d. Notes		4.625%		04/19/16		525		538,089
State Street Corp., Jr. Sub. Debs.		4.956%		03/15/18		3,025		3,251,811
Sumitomo Mitsui Banking Corp. (Japan), Bank Gtd. Notes		2.450%		01/10/19		625		631,802

								131,191,869

Beverages — 0.1%
Cott Beverages, Inc. (Canada), Gtd. Notes, 144A		6.750%		01/01/20		1,250		1,296,875

Brokerage — 0.2%
Jefferies Group LLC, Sr. Unsec’d. Notes		6.500%		01/20/43		650		635,056
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(d)		6.875%		05/02/18		2,740		315,100
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN		2.000%		09/13/16		950		956,922

								1,907,078

Building Materials & Construction — 1.3%
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), Gtd. Notes, 144A		6.125%		07/01/22		2,000		1,970,000
Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A (original cost $3,116,250; purchased 02/11/15)(e)(f)		5.375%		11/15/24		3,000		2,945,550
Cemex Espana Luxembourg (Mexico), Sr. Sec’d. Notes, RegS		9.875%		04/30/19		1,233		1,349,148
Cemex Finance LLC (Mexico), Sr. Sec’d. Notes, 144A		9.875%		04/30/19		1,360		1,488,112
Cemex SAB de CV (Mexico), Sr. Sec’d. Notes, 144A		4.750%		01/11/22	EUR	900		1,006,327
Mohawk Industries, Inc., Sr. Unsec’d. Notes		3.850%		02/01/23		294		293,583

SEE NOTES TO FINANCIAL STATEMENTS.

A37


CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Building Materials & Construction (continued)
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A (original cost $1,275,000; purchased 06/19/14)(e)(f)		5.250%	06/27/29		1,275	$	956,505
Standard Pacific Corp., Gtd. Notes		6.250%	12/15/21		3,500		3,710,000

							13,719,225

Cable — 2.1%
British Sky Broadcasting Group PLC (United Kingdom), Gtd. Notes, 144A		6.100%	02/15/18		210		230,668
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes		7.000%	01/15/19		878		912,022
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes		7.375%	06/01/20		1,100		1,161,875
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A		5.875%	05/01/27		1,000		976,250
CSC Holdings LLC, Sr. Unsec’d. Notes		6.750%	11/15/21		2,225		2,347,375
CSC Holdings LLC, Sr. Unsec’d. Notes(b)		8.625%	02/15/19		1,610		1,825,337
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes		3.500%	03/01/16		2,825		2,869,011
DISH DBS Corp., Gtd. Notes		4.250%	04/01/18		2,850		2,899,875
NBCUniversal Media LLC, Gtd. Notes		4.450%	01/15/43		290		278,718
TCI Communications, Inc., Sr. Unsec’d. Notes		7.875%	02/15/26		750		1,011,499
Time Warner Cable, Inc., Gtd. Notes		6.750%	07/01/18		2,620		2,921,177
UPCB Finance IV Ltd. (Netherlands), Sr. Sec’d. Notes, 144A		5.375%	01/15/25		1,140		1,088,130
UPCB Finance V Ltd. (Netherlands), Sr. Sec’d. Notes, 144A		7.250%	11/15/21		1,035		1,117,800
Virgin Media Secured Finance PLC (United Kingdom), Sr. Sec’d. Notes, 144A		6.000%	04/15/21	GBP	945		1,544,215

							21,183,952

Capital Goods — 1.7%
Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A		6.500%	07/15/22		1,375		1,457,500
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,098,609; purchased 05/30/13)(e)(f)		6.700%	06/01/34		920		1,119,540
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $996,365; purchased 05/14/13)(e)(f)		7.000%	10/15/37		770		941,209
General Electric Co., Sr. Unsec’d. Notes		4.125%	10/09/42		500		481,076
General Electric Co., Sr. Unsec’d. Notes		4.500%	03/11/44		740		751,537
Hertz Corp. (The), Gtd. Notes		6.750%	04/15/19		1,500		1,547,850
Ingersoll-Rand Global Holding Co. Ltd., Gtd. Notes		5.750%	06/15/43		425		467,685
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A (original cost $2,022,003; purchased 09/24/12)(e)(f)		2.500%	03/15/16		2,025		2,039,157
Pentair Finance SA, Gtd. Notes		1.875%	09/15/17		625		627,344
Rockwell Automation, Inc., Sr. Unsec’d. Notes		5.200%	01/15/98		1,100		1,089,476
United Rentals North America, Inc., Gtd. Notes		5.500%	07/15/25		650		628,062
United Rentals North America, Inc., Gtd. Notes		7.625%	04/15/22		2,700		2,922,750
United Technologies Corp., Sr. Unsec’d. Notes		4.500%	06/01/42		1,675		1,701,624
Xylem, Inc., Sr. Unsec’d. Notes		4.875%	10/01/21		1,960		2,123,292

							17,898,102

Chemicals — 1.8%
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		4.900%	06/01/43		870		837,521
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		5.250%	01/15/45		420		424,163
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		6.125%	01/15/41		450		506,292
Ashland, Inc., Sr. Unsec’d. Notes		6.875%	05/15/43		3,000		3,045,000
CF Industries, Inc., Gtd. Notes		4.950%	06/01/43		675		631,581
CF Industries, Inc., Gtd. Notes		5.375%	03/15/44		700		696,047
CF Industries, Inc., Gtd. Notes		6.875%	05/01/18		380		427,782
CF Industries, Inc., Gtd. Notes		7.125%	05/01/20		300		356,368
Dow Chemical Co. (The), Sr. Unsec’d. Notes(b)		4.625%	10/01/44		125		116,677
Dow Chemical Co. (The), Sr. Unsec’d. Notes		9.400%	05/15/39		1,002		1,508,060
LyondellBasell Industries NV, Sr. Unsec’d. Notes		6.000%	11/15/21		3,550		4,063,529
Mexichem SAB de CV (Mexico), Gtd. Notes, 144A		6.750%	09/19/42		1,065		1,095,352
Mosaic Co. (The), Sr. Unsec’d. Notes		5.450%	11/15/33		465		494,981

SEE NOTES TO FINANCIAL STATEMENTS.

A38


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Chemicals (continued)
Mosaic Co. (The), Sr. Unsec’d. Notes		5.625%		11/15/43		155	$	165,139
Union Carbide Corp., Sr. Unsec’d. Notes		7.875%		04/01/23		3,058		3,753,667

								18,122,159

Consumer — 0.2%
Service Corp. International, Sr. Unsec’d. Notes		7.625%		10/01/18		2,000		2,280,000

Diversified Telecommunication Services — 0.3%
AT&T, Inc., Sr. Unsec’d. Notes		3.400%		05/15/25		2,320		2,212,603
AT&T, Inc., Sr. Unsec’d. Notes		4.500%		05/15/35		300		275,786
AT&T, Inc., Sr. Unsec’d. Notes		4.750%		05/15/46		850		773,478

								3,261,867

Electric — 3.5%
AES Corp. (The), Sr. Unsec’d. Notes		5.500%		04/15/25		5,000		4,750,000
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes		3.350%		07/01/23		550		553,318
Calpine Corp., Sr. Unsec’d. Notes(b)		5.375%		01/15/23		800		786,000
Calpine Corp., Sr. Unsec’d. Notes		5.750%		01/15/25		850		826,625
Covanta Holding Corp., Sr. Unsec’d. Notes		7.250%		12/01/20		2,500		2,625,000
Duke Energy Corp., Sr. Unsec’d. Notes		2.100%		06/15/18		3,775		3,812,116
El Paso Electric Co., Sr. Unsec’d. Notes		6.000%		05/15/35		2,325		2,733,626
Enel Finance International NV (Netherlands), Gtd. Notes, 144A		6.000%		10/07/39		1,450		1,610,118
Exelon Generation Co. LLC, Sr. Unsec’d. Notes		6.200%		10/01/17		1,930		2,110,117
Exelon Generation Co. LLC, Sr. Unsec’d. Notes		6.250%		10/01/39		1,900		2,096,549
FirstEnergy Corp., Series A, Sr. Unsec’d. Notes		2.750%		03/15/18		1,800		1,826,509
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A		5.450%		07/15/44		400		416,398
Iberdrola International BV (Spain), Gtd. Notes		6.750%		09/15/33		1,150		1,316,222
NRG Energy, Inc., Gtd. Notes(b)		6.625%		03/15/23		2,750		2,832,500
Pacific Gas & Electric Co., Sr. Unsec’d. Notes		4.600%		06/15/43		1,950		1,964,102
South Carolina Electric & Gas Co., First Mortgage		4.600%		06/15/43		2,025		2,001,887
TransAlta Corp. (Canada), Sr. Unsec’d. Notes		6.650%		05/15/18		1,953		2,158,307
Xcel Energy, Inc., Sr. Unsec’d. Notes		5.613%		04/01/17		1,947		2,086,689

								36,506,083

Energy – Integrated — 0.7%
Lukoil International Finance BV (Netherlands), Gtd. Notes, 144A		7.250%		11/05/19		1,300		1,370,200
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A		5.375%		01/26/19		870		714,705
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A		7.250%		12/12/21		1,040		852,800
Pacific Rubiales Energy Corp. (Colombia), Sr. Unsec’d. Notes, RegS		7.250%		12/12/21		1,540		1,262,800
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A		5.400%		02/14/22		510		549,947
Sasol Financing International PLC (South Africa), Gtd. Notes		4.500%		11/14/22		2,725		2,748,844

								7,499,296

Energy – Other — 1.1%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		4.677%	(g)	10/10/36		2,000		800,000
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.375%		09/15/17		3,265		3,583,024
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.450%		09/15/36		340		392,319
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.950%		06/15/19		250		290,395
Cameron International Corp., Sr. Unsec’d. Notes		7.000%		07/15/38		450		516,663
Nabors Industries, Inc., Gtd. Notes		4.625%		09/15/21		1,650		1,639,227
Noble Energy, Inc., Sr. Unsec’d. Notes		6.000%		03/01/41		1,530		1,619,736
Pioneer Natural Resources Co., Sr. Unsec’d. Notes		6.875%		05/01/18		1,750		1,964,939
Precision Drilling Corp. (Canada), Gtd. Notes		6.625%		11/15/20		1,000		980,000

								11,786,303

Foods — 1.2%
Aramark Corp., Gtd. Notes(b)		5.750%		03/15/20		1,350		1,409,400
B&G Foods, Inc., Gtd. Notes		4.625%		06/01/21		2,000		1,970,000
BRF SA (Brazil), Sr. Unsec’d. Notes, 144A		3.950%		05/22/23		705		667,106
BRF SA (Brazil), Sr. Unsec’d. Notes, 144A		4.750%		05/22/24		775		760,469

SEE NOTES TO FINANCIAL STATEMENTS.

A39


CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Foods (continued)
Coca-Cola Icecek A/S (Turkey), Sr. Unsec’d. Notes, 144A		4.750%	10/01/18		375	$	395,396
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A (original cost $1,226,925; purchased 12/08/11)(e)(f)		7.250%	06/01/21		1,330		1,401,487
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Sr. Unsec’d. Notes, 144A (original cost $2,025,000; purchased 05/20/15)(e)(f)		5.750%	06/15/25		2,025		2,001,611
Kraft Heinz Foods Co., Gtd. Notes, 144A		5.000%	07/15/35		725		733,715
Minerva Luxembourg SA (Brazil), Gtd. Notes, 144A		12.250%	02/10/22		725		797,863
Tops Holding LLC/Tops Markets II Corp., Sr. Sec’d. Notes, 144A (original cost $1,350,000; purchased 05/29/15)(e)(f)		8.000%	06/15/22		1,350		1,351,687
Tyson Foods, Inc., Gtd. Notes		6.600%	04/01/16		1,000		1,038,220

							12,526,954

Gaming — 0.8%
MGM Resorts International, Gtd. Notes		6.625%	12/15/21		3,325		3,474,625
MTR Gaming Group, Inc., Sec’d. Notes		11.500%	08/01/19		1,650		1,755,187
Pinnacle Entertainment, Inc., Gtd. Notes		7.500%	04/15/21		1,550		1,641,063
Wynn Las Vegas LLC/ Wynn Las Vegas Capital Corp., Gtd. Notes, 144A(b)		5.500%	03/01/25		1,900		1,809,750

							8,680,625

Healthcare & Pharmaceutical — 4.2%
AbbVie, Inc., Sr. Unsec’d. Notes		3.600%	05/14/25		1,020		1,008,163
AbbVie, Inc., Sr. Unsec’d. Notes		4.500%	05/14/35		1,715		1,677,790
Actavis Funding SCS, Gtd. Notes		3.800%	03/15/25		875		859,532
Actavis Funding SCS, Gtd. Notes		4.550%	03/15/35		1,500		1,426,158
Actavis Funding SCS, Gtd. Notes		4.750%	03/15/45		525		499,828
Amgen, Inc., Sr. Unsec’d. Notes		5.150%	11/15/41		2,635		2,706,011
CHS/Community Health Systems, Inc., Gtd. Notes		7.125%	07/15/20		750		794,625
CHS/Community Health Systems, Inc., Gtd. Notes(b)		8.000%	11/15/19		3,400		3,582,750
ConvaTec Finance International SA (Luxembourg), Sr. Unsec’d. Notes, PIK, 144A		8.250%	01/15/19		2,300		2,259,750
Davita Healthcare Partners, Inc., Gtd. Notes		5.000%	05/01/25		500		481,250
Endo Finance LLC/Endo Ltd./Endo Finco, Inc., Gtd. Notes, 144A		6.000%	07/15/23		625		639,063
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A		4.125%	10/15/20		2,705		2,738,812
HCA, Inc., Gtd. Notes		5.375%	02/01/25		5,025		5,106,907
HealthSouth Corp., Gtd. Notes		5.125%	03/15/23		300		298,125
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes		3.200%	02/01/22		240		236,615
LifePoint Hospitals, Inc., Gtd. Notes		6.625%	10/01/20		2,000		2,080,000
Medtronic, Inc., Sr. Unsec’d. Notes, 144A		3.500%	03/15/25		3,435		3,423,276
Medtronic, Inc., Sr. Unsec’d. Notes, 144A		4.375%	03/15/35		1,450		1,438,871
Merck & Co, Inc., Sr. Unsec’d. Notes		4.150%	05/18/43		2,075		2,016,954
Pfizer, Inc., Sr. Unsec’d. Notes		4.300%	06/15/43		1,550		1,514,590
Quintiles Transnational Corp., Gtd. Notes, 144A		4.875%	05/15/23		1,000		1,005,000
Select Medical Corp., Gtd. Notes		6.375%	06/01/21		2,600		2,626,000
Tenet Healthcare Corp., Sr. Unsec’d. Notes		8.000%	08/01/20		1,570		1,634,763
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A		6.750%	08/15/18		2,000		2,097,500
Valeant Pharmaceuticals International, Inc., Sr. Unsec’d. Notes, 144A		6.125%	04/15/25		800		823,000

							42,975,333

Healthcare Insurance — 0.9%
Aetna, Inc., Sr. Unsec’d. Notes		6.750%	12/15/37		1,900		2,390,808
Anthem, Inc., Sr. Unsec’d. Notes		4.650%	01/15/43		385		352,954
Cigna Corp., Sr. Unsec’d. Notes		4.375%	12/15/20		745		807,319
Cigna Corp., Sr. Unsec’d. Notes		5.375%	03/15/17		2,125		2,270,342
Cigna Corp., Sr. Unsec’d. Notes		5.875%	03/15/41		750		853,372
UnitedHealth Group, Inc., Sr. Unsec’d. Notes(b)		4.250%	03/15/43		1,200		1,133,930
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.500%	06/15/37		760		958,967
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.625%	11/15/37		195		249,987

							9,017,679

SEE NOTES TO FINANCIAL STATEMENTS.

A40


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Insurance — 3.4%
Allied World Assurance Co. Ltd., Gtd. Notes		5.500%		11/15/20		430	$	479,209
Allied World Assurance Co. Ltd., Gtd. Notes		7.500%		08/01/16		2,475		2,627,658
American International Group, Inc., Sr. Unsec’d. Notes		4.500%		07/16/44		1,075		1,022,588
American International Group, Inc., Sr. Unsec’d. Notes		5.050%		10/01/15		315		318,182
American International Group, Inc., Sr. Unsec’d. Notes		6.400%		12/15/20		950		1,129,403
American International Group, Inc., Sr. Unsec’d. Notes, MTN		5.850%		01/16/18		3,700		4,079,202
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes		3.000%		02/11/23		1,850		1,863,577
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes(b)		4.500%		02/11/43		1,350		1,353,475
Chubb Corp. (The), Jr. Sub. Notes(b)		6.375%	(a)	03/29/67		1,775		1,861,975
Dai-ichi Life Insurance Co. Ltd. (The) (Japan), Jr. Sub. Notes, 144A		5.100%	(a)	10/29/49		515		543,325
Endurance Specialty Holdings Ltd., Sr. Unsec’d. Notes		7.000%		07/15/34		1,350		1,584,198
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes		5.125%		04/15/22		500		554,514
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A		6.500%		03/15/35		1,030		1,204,448
Lincoln National Corp., Jr. Sub. Notes(b)		6.050%	(a)	04/20/67		350		316,750
Lincoln National Corp., Sr. Unsec’d. Notes		7.000%		06/15/40		1,265		1,586,643
Lincoln National Corp., Sr. Unsec’d. Notes		8.750%		07/01/19		1,265		1,550,949
Markel Corp., Sr. Unsec’d. Notes		5.000%		03/30/43		350		344,124
Massachusetts Mutual Life Insurance Co., Sub. Notes, 144A		8.875%		06/01/39		1,200		1,798,603
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A		5.100%	(a)	10/16/44		2,075		2,170,969
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A		6.063%		03/30/40		500		597,892
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A		6.375%		04/30/20		850		967,495
Principal Financial Group, Inc., Gtd. Notes		4.625%		09/15/42		150		144,409
Progressive Corp. (The), Jr. Sub. Notes		6.700%	(a)	06/15/37		1,015		1,058,137
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A		6.850%		12/16/39		2,310		2,892,473
Unum Group, Sr. Unsec’d. Notes		5.625%		09/15/20		500		562,629
Willis Group Holdings PLC, Gtd. Notes		4.125%		03/15/16		1,280		1,306,076
XLIT Ltd. (Ireland), Jr. Sub. Notes, Series E		6.500%	(a)	10/29/49		1,880		1,608,584

								35,527,487

Lodging — 0.4%
Marriott International, Inc., Sr. Unsec’d. Notes		3.250%		09/15/22		1,325		1,306,422
Wyndham Worldwide Corp., Sr. Unsec’d. Notes		2.950%		03/01/17		2,420		2,456,532

								3,762,954

Media & Entertainment — 2.6%
21st Century Fox America, Inc., Gtd. Notes		6.150%		03/01/37		460		531,895
21st Century Fox America, Inc., Gtd. Notes		6.900%		08/15/39		65		81,298
21st Century Fox America, Inc., Gtd. Notes		7.625%		11/30/28		1,415		1,830,987
AMC Networks, Inc., Gtd. Notes		7.750%		07/15/21		3,750		4,050,000
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes		5.375%		06/01/24		425		429,760
Cinemark USA, Inc., Gtd. Notes		4.875%		06/01/23		1,508		1,449,565
Gannett Co., Inc., Gtd. Notes, 144A		4.875%		09/15/21		475		471,438
Historic TW, Inc., Gtd. Notes		6.625%		05/15/29		1,837		2,191,640
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes		7.250%		10/15/20		2,016		1,993,320
Liberty Interactive LLC, Sr. Unsec’d. Notes(b)		8.250%		02/01/30		2,250		2,362,500
Myriad International Holdings BV (South Africa), Gtd. Notes, 144A		6.000%		07/18/20		1,035		1,122,199
Nielsen Finance LLC/Nielsen Finance Co. (Netherlands), Gtd. Notes, 144A		5.000%		04/15/22		1,500		1,470,000
RR Donnelley & Sons Co., Sr. Unsec’d. Notes		8.600%		08/15/16		4,750		5,106,250
Time Warner Cos., Inc., Gtd. Notes		7.250%		10/15/17		1,440		1,623,308
Univision Communications, Inc., Sr. Unsec’d. Notes, 144A (original cost $1,191,156; purchased 04/13/15)(e)(f)		5.125%		02/15/25		1,175		1,134,110
Viacom, Inc., Sr. Unsec’d. Notes		4.500%		02/27/42		95		79,430
Viacom, Inc., Sr. Unsec’d. Notes		4.875%		06/15/43		475		425,190

								26,352,890

Metals — 0.5%
Alcoa, Inc., Sr. Unsec’d. Notes(b)		5.125%		10/01/24		425		430,312
CITIC Pacific Ltd. (China), Sr. Unsec’d. Notes, EMTN, RegS		6.875%		01/21/18		1,100		1,215,170

SEE NOTES TO FINANCIAL STATEMENTS.

A41


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Metals (continued)
Goldcorp, Inc. (Canada), Sr. Unsec’d. Notes		3.625%		06/09/21		825	$	820,561
Newmont Mining Corp., Gtd. Notes		6.250%		10/01/39		75		73,494
Peabody Energy Corp., Gtd. Notes(b)		6.000%		11/15/18		1,600		768,000
Southern Copper Corp. (Mexico), Sr. Unsec’d. Notes		5.875%		04/23/45		270		256,824
Southern Copper Corp. (Mexico), Sr. Unsec’d. Notes		6.750%		04/16/40		990		1,022,413
Southern Copper Corp. (Mexico), Sr. Unsec’d. Notes		7.500%		07/27/35		550		615,967

								5,202,741

Non-Captive Finance — 1.6%
CIT Group, Inc., Sr. Unsec’d. Notes		5.000%		08/15/22		1,350		1,336,500
CIT Group, Inc., Sr. Unsec’d. Notes, 144A		5.500%		02/15/19		4,000		4,170,000
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN		5.875%		01/14/38		675		807,320
General Electric Capital Corp., Sub. Notes		5.300%		02/11/21		1,185		1,332,452
HSBC Finance Corp., Sub. Notes		6.676%		01/15/21		295		341,287
International Lease Finance Corp., Sr. Unsec’d. Notes		5.750%		05/15/16		1,125		1,153,125
International Lease Finance Corp., Sr. Unsec’d. Notes(b)		6.250%		05/15/19		1,400		1,513,750
OneMain Financial Holdings, Inc., Gtd. Notes, 144A		7.250%		12/15/21		2,375		2,461,094
Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. (Cayman Islands), Sr. Sec’d. Notes, 144A		1.001%	(a)	07/03/33		472		414,706
Schahin II Finance Co. SPV Ltd. (Brazil), Sr. Sec’d. Notes, 144A (original cost $1,681,739; purchased 03/27/12-12/31/14)(b)(e)(f)		5.875%		09/25/22		1,650		660,186
SLM Corp., Sr. Unsec’d. Notes, MTN		6.000%		01/25/17		1,075		1,118,000
Trust F/1401 (Mexico), Sr. Unsec’d. Notes, 144A		5.250%		12/15/24		1,235		1,284,400

								16,592,820

Packaging — 0.4%
Greif Luxembourg Finance, Sr. Unsec’d. Notes, MTN		7.375%		07/15/21	EUR	1,470		1,927,267
Greif, Inc., Sr. Unsec’d. Notes		7.750%		08/01/19		1,815		2,019,188

								3,946,455

Paper — 0.5%
International Paper Co., Sr. Unsec’d. Notes		6.000%		11/15/41		675		727,736
International Paper Co., Sr. Unsec’d. Notes		7.300%		11/15/39		1,000		1,223,880
International Paper Co., Sr. Unsec’d. Notes		7.950%		06/15/18		1,640		1,914,872
Rock-Tenn Co., Gtd. Notes		4.450%		03/01/19		1,165		1,236,659

								5,103,147

Pipelines & Other — 0.7%
AGL Capital Corp., Gtd. Notes		4.400%		06/01/43		1,050		1,043,945
Fermaca Enterprises S de RL de CV (Mexico), Sr. Sec’d. Notes, 144A (original cost $451,812; purchased 07/22/14)(b)(e)(f)		6.375%		03/30/38		432		438,317
NiSource Finance Corp., Gtd. Notes		4.800%		02/15/44		300		305,894
NiSource Finance Corp., Gtd. Notes		5.450%		09/15/20		1,345		1,514,634
ONEOK Partners LP, Gtd. Notes		2.000%		10/01/17		750		751,577
Sempra Energy, Sr. Unsec’d. Notes		6.500%		06/01/16		2,275		2,383,443
Western Gas Partners LP, Sr. Unsec’d. Notes		5.450%		04/01/44		575		573,009

								7,010,819

Real Estate Investment Trusts — 0.4%
DuPont Fabros Technology LP, Gtd. Notes		5.875%		09/15/21		2,000		2,025,000
ProLogis LP, Gtd. Notes		6.875%		03/15/20		8		9,241
Simon Property Group LP, Sr. Unsec’d. Notes		3.375%		03/15/22		325		329,876
Simon Property Group LP, Sr. Unsec’d. Notes		6.125%		05/30/18		40		44,943
Simon Property Group LP, Sr. Unsec’d. Notes		10.350%		04/01/19		1,685		2,140,390

								4,549,450

Retailers — 0.2%
Limited Brands, Inc., Gtd. Notes		5.625%		02/15/22		2,200		2,315,500

Software — 0.1%
First Data Corp., Gtd. Notes		12.625%		01/15/21		1,200		1,386,000

SEE NOTES TO FINANCIAL STATEMENTS.

A42


CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Technology — 2.3%
Alcatel-Lucent USA, Inc. (France), Gtd. Notes, 144A		6.750%	11/15/20		800	$	846,000
Alcatel-Lucent USA, Inc. (France), Gtd. Notes, 144A		8.875%	01/01/20		2,000		2,175,000
Brightstar Corp., Gtd. Notes, 144A (original cost $2,126,719; purchased 08/06/14)(e)(f)		9.500%	12/01/16		2,000		2,055,000
CDW LLC/CDW Finance Corp., Gtd. Notes(b)		5.000%	09/01/23		3,050		2,996,625
CommScope Holding Co., Inc., Sr. Unsec’d. Notes, PIK, 144A		6.625%	06/01/20		2,500		2,593,750
First Data Corp., Gtd. Notes		11.250%	01/15/21		1,750		1,942,500
First Data Corp., Sr. Sec’d. Notes, 144A		7.375%	06/15/19		1,000		1,039,500
Freescale Semiconductor, Inc., Sr. Sec’d. Notes, 144A		6.000%	01/15/22		2,050		2,173,000
Infor US, Inc., Sr. Unsec’d. Notes, 144A (original cost $971,375; purchased 04/09/15)(e)(f)		6.500%	05/15/22		950		966,625
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A		3.750%	06/01/18		1,925		1,939,437
Oracle Corp., Sr. Unsec’d. Notes		4.300%	07/08/34		1,070		1,055,173
Sensata Technologies BV (Netherlands), Gtd. Notes, 144A		5.000%	10/01/25		1,750		1,704,063
SunGard Data Systems, Inc., Gtd. Notes		7.625%	11/15/20		1,700		1,776,500

							23,263,173

Telecommunications — 1.8%
America Movil SAB de CV (Mexico), Gtd. Notes		6.125%	03/30/40		655		758,444
AT&T Corp., Gtd. Notes		8.000%	11/15/31		103		139,763
AT&T, Inc., Sr. Unsec’d. Notes		4.800%	06/15/44		1,515		1,411,221
AT&T, Inc., Sr. Unsec’d. Notes		5.350%	09/01/40		483		475,522
Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A		5.125%	03/11/23		1,305		1,362,417
Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A		5.350%	05/20/24		690		730,627
Digicel Ltd. (Jamaica), Gtd. Notes, 144A		6.750%	03/01/23		525		514,658
Eileme 2 AB (Sweden), Sr. Sec’d. Notes, RegS		11.750%	01/31/20	EUR	1,400		1,726,502
Embarq Corp., Sr. Unsec’d. Notes (original cost $584,102; purchased 04/22/10)(e)(f)		7.995%	06/01/36		560		620,872
Sprint Capital Corp., Gtd. Notes		6.900%	05/01/19		1,300		1,326,000
Sprint Communications, Inc., Gtd. Notes, 144A		9.000%	11/15/18		1,575		1,778,585
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.750%	11/01/41		745		697,840
Verizon Communications, Inc., Sr. Unsec’d. Notes		5.012%	08/21/54		3,362		3,084,928
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A		4.522%	09/15/48		1,799		1,580,452
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A		4.672%	03/15/55		2,796		2,432,391
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC (Russia), Sr. Unsec’d. Notes, 144A		9.125%	04/30/18		200		214,064

							18,854,286

Tobacco — 0.5%
Altria Group, Inc., Gtd. Notes		9.950%	11/10/38		873		1,405,736
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A		2.050%	02/11/18		2,375		2,364,092
RJ Reynolds Tobacco Co., Gtd. Notes		3.500%	08/04/16		515		526,554
RJ Reynolds Tobacco Co., Gtd. Notes		8.125%	06/23/19		895		1,060,287

							5,356,669

TOTAL CORPORATE BONDS (cost $506,040,542)							519,179,297

FOREIGN AGENCIES — 2.5%
CNOOC Finance 2013 Ltd. (China), Gtd. Notes		3.000%	05/09/23		750		710,525
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A		4.875%	01/15/24		875		894,688
Ecopetrol SA (Colombia), Sr. Unsec’d. Notes		4.125%	01/16/25		100		92,280
Ecopetrol SA (Colombia), Sr. Unsec’d. Notes(b)		5.875%	05/28/45		221		195,033
Export Credit Bank of Turkey (Turkey), Sr. Unsec’d. Notes, 144A		5.375%	11/04/16		790		820,944
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, RegS		9.250%	04/23/19		1,080		1,198,800
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.510%	03/07/22		975		976,463
KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A		7.000%	05/05/20		475		510,150

SEE NOTES TO FINANCIAL STATEMENTS.

A43


FOREIGN AGENCIES (Continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, MTN, 144A		9.125%	07/02/18		2,910	$	3,288,300
Korea Finance Corp. (South Korea), Sr. Unsec’d. Notes		4.625%	11/16/21		600		664,253
Korea Gas Corp. (South Korea), Sr. Unsec’d. Notes, RegS(b)		4.250%	11/02/20		1,750		1,900,771
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A		4.750%	07/13/21		1,650		1,827,576
Majapahit Holding BV (Indonesia), Gtd. Notes, RegS		7.750%	10/17/16		2,500		2,678,125
Majapahit Holding BV (Indonesia), Gtd. Notes, RegS		7.750%	01/20/20		1,500		1,734,375
Petrobras Global Finance BV (Brazil), Gtd. Notes		2.000%	05/20/16		1,000		988,170
Petrobras International Finance Co. (Brazil), Gtd. Notes(b)		5.375%	01/27/21		345		331,821
Petroleos Mexicanos (Mexico), Gtd. Notes(b)		3.500%	01/30/23		1,125		1,067,287
Petroleos Mexicanos (Mexico), Gtd. Notes		4.875%	01/24/22		2,100		2,183,727
Petroleos Mexicanos (Mexico), Gtd. Notes		6.500%	06/02/41		745		774,800
Power Sector Assets & Liabilities Management Corp. (Philippines), Gov’t. Gtd. Notes, RegS		7.390%	12/02/24		1,000		1,308,800
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A		2.500%	04/28/20		1,250		1,231,175

TOTAL FOREIGN AGENCIES (cost $25,000,265)							25,378,063

MUNICIPAL BONDS — 1.9%
California — 0.7%
Bay Area Toll Authority, Revenue Bonds, BABs		6.907%	10/01/50		1,125		1,502,606
State of California, General Obligation Unlimited, BABs		7.300%	10/01/39		2,280		3,167,034
State of California, General Obligation Unlimited, BABs		7.625%	03/01/40		725		1,046,451
University of California, Revenue Bonds, BABs		5.770%	05/15/43		1,400		1,678,474

							7,394,565

Colorado — 0.1%
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs		5.844%	11/01/50		770		959,481

Illinois — 0.2%
Chicago O’Hare International Airport, Revenue Bonds, BABs		6.395%	01/01/40		1,380		1,688,651

New Jersey — 0.4%
New Jersey State Turnpike Authority, Revenue Bonds, Series A, BABs		7.102%	01/01/41		1,175		1,578,319
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs		7.414%	01/01/40		2,050		2,846,855

							4,425,174

Ohio — 0.1%
Ohio State University (The), Revenue Bonds, BABs		4.910%	06/01/40		695		767,746
Ohio State Water Development Authority, Revenue Bonds, BABs		4.879%	12/01/34		450		501,462

							1,269,208

Oregon — 0.1%
Oregon State Department of Transportation, Revenue Bonds, Series A, BABs		5.834%	11/15/34		615		750,927

Pennsylvania — 0.1%
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs		5.511%	12/01/45		800		904,544

Tennessee — 0.2%
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs		6.731%	07/01/43		1,375		1,701,590

Texas
Texas State Transportation Commission, Revenue Bonds, Series B, BABs		5.028%	04/01/26		425		484,432

TOTAL MUNICIPAL BONDS (cost $15,298,823)							19,578,572

SEE NOTES TO FINANCIAL STATEMENTS.

A44


SOVEREIGNS — 4.9%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Brazilian Government International Bond (Brazil), Unsec’d. Notes		11.000%		06/26/17	EUR	2,200	$	2,927,880
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.000%		02/26/24		2,000		1,990,000
Hellenic Republic Government Bond (Greece), Sr. Unsec’d. Notes, Series 9BR		5.800%		07/14/15	JPY	76,200		339,331
Hellenic Republic Government Bond (Greece), Sr. Unsec’d. Notes, Series 9RG		5.800%		07/14/15	JPY	107,100		476,933
Hellenic Republic Government International Bond (Greece), Sr. Unsec’d. Notes, EMTN		3.800%		08/08/17	JPY	680,000		3,055,958
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		4.125%		02/19/18		2,020		2,102,315
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		5.375%		02/21/23		436		471,621
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes, RegS		6.000%		01/11/19	EUR	715		920,194
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		6.375%		03/29/21		776		880,372
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		7.625%		03/29/41		1,000		1,325,140
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A		2.875%		07/08/21	EUR	825		926,651
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, RegS		5.875%		03/13/20		2,245		2,497,562
Italy Buoni Poliennali del Tesoro (Italy), Sr. Unsec’d Notes(c)		6.500%		11/01/27	EUR	3,545		5,502,469
Italy Government International Bond (Italy), Sr. Unsec’d. Notes, RegS		3.450%		03/24/17	JPY	170,000		1,446,080
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes		2.750%		04/22/23	EUR	2,350		2,712,385
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN		4.750%		03/08/44		1,062		1,008,900
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		3.750%		03/16/25		450		443,250
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		5.200%		01/30/20		1,115		1,228,730
Peru Enhanced Pass-Through Finance Ltd. (Peru), Pass-Through Certificates, 144A		3.974%	(g)	05/31/18		593		566,197
Philippine Government International Bond (Philippines), Sr. Unsec’d. Notes		6.250%		03/15/16	EUR	850		985,662
Philippine Government International Bond (Philippines), Sr. Unsec’d. Notes		9.500%		02/02/30		450		728,438
Portugal Government International Bond (Portugal), Unsec’d. Notes, 144A		5.125%		10/15/24		800		816,064
Portugal Government International Bond (Portugal), Unsec’d. Notes, RegS		5.125%		10/15/24		1,100		1,122,088
Portugal Obrigacoes do Tesouro OT (Portugal), Sr. Unsec’d. Notes, 144A		4.950%		10/25/23	EUR	200		261,121
Portugal Obrigacoes do Tesouro OT (Portugal), Sr. Unsec’d. Notes, 144A		4.750%		06/14/19	EUR	4,410		5,561,463
Republic of Brazil (Brazil), Sr. Unsec’d. Notes		8.250%		01/20/34		510		633,675
Republic of Indonesia (Indonesia), Sr. Unsec’d. Notes, RegS		4.875%		05/05/21		1,600		1,698,080
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A		4.875%		01/22/24		1,370		1,448,775
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A		6.125%		01/22/44		300		336,600
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, RegS		6.125%		01/22/44		300		336,600
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS		5.250%		02/18/24		2,100		2,289,000
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS		5.500%		10/26/22		1,300		1,441,635

SEE NOTES TO FINANCIAL STATEMENTS.

A45


SOVEREIGNS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS		5.850%	05/10/23		200	$	226,290
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, 144A		4.125%	02/18/19		300		312,000
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes		7.000%	06/05/20		1,510		1,723,611

TOTAL SOVEREIGNS (cost $55,857,475)							50,743,070

U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.6%
Federal Home Loan Mortgage Corp.		5.000%	07/01/19		98		103,408
Federal Home Loan Mortgage Corp.		5.500%	10/01/33-06/01/34		1,447		1,633,772
Federal Home Loan Mortgage Corp.		6.000%	11/01/33-06/01/34		1,009		1,142,835
Federal Home Loan Mortgage Corp.		6.500%	07/01/32-09/01/32		787		907,060
Federal Home Loan Mortgage Corp.		7.000%	10/01/32		72		75,244
Federal National Mortgage Assoc.		4.000%	05/01/19		68		71,499
Federal National Mortgage Assoc.		4.500%	12/01/18-02/01/35		478		500,109
Federal National Mortgage Assoc.		5.500%	03/01/17-06/01/34		2,044		2,225,686
Federal National Mortgage Assoc.		6.000%	09/01/17-11/01/36		1,868		2,130,049
Federal National Mortgage Assoc.		6.500%	07/01/17-11/01/33		1,486		1,725,690
Federal National Mortgage Assoc.		7.000%	05/01/32-06/01/32		174		198,802
Government National Mortgage Assoc.		5.500%	01/15/33-07/15/35		1,848		2,110,664
Government National Mortgage Assoc.		6.000%	12/15/32-11/15/34		2,113		2,461,755
Government National Mortgage Assoc.		6.500%	09/15/32-11/15/33		1,312		1,498,684
Government National Mortgage Assoc.		7.500%	10/15/25-02/15/26		53		61,557

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $15,158,108)							16,846,814

U.S. TREASURY OBLIGATIONS — 1.4%
U.S. Treasury Bonds(b)		2.500%	02/15/45		235		206,819
U.S. Treasury Bonds(h)		2.875%	05/15/43		1,440		1,372,275
U.S. Treasury Notes(c)(h)		1.500%	05/31/19		12,730		12,800,613

TOTAL U.S. TREASURY OBLIGATIONS (cost $14,438,683)							14,379,707


PREFERRED STOCK — 0.1%				Shares
Banking
Citigroup Capital XIII, 7.875%, (Capital Security, fixed to floating preferred) (cost $1,125,000)					45,000		1,168,200

TOTAL LONG-TERM INVESTMENTS (cost $913,514,413)							932,336,431

SHORT-TERM INVESTMENTS — 12.9%
AFFILIATED MUTUAL FUNDS — 12.8%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $89,506,114) (Note 4)(i)					9,197,972		85,909,060
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $47,069,648; includes $38,015,140 of cash collateral for securities on loan) (Note 4)(i)(j)					47,069,648		47,069,648

TOTAL AFFILIATED MUTUAL FUNDS (cost $136,575,762)							132,978,708


			Counterparty	Notional Amount (000)#
*OPTIONS PURCHASED — 0.1%**
Call Options — 0.1%
Interest Rate Swap Options,
Receive a fixed rate of 1.00% and pay a floating rate based on 3 Month LIBOR, expiring 10/28/15			Citigroup Global Markets		32,710		55,197

SEE NOTES TO FINANCIAL STATEMENTS.

A46


OPTIONS PURCHASED* (continued)	Counterparty	Notional Amount (000)#		Value (Note 2)
Receive a fixed rate of 1.05% and pay a floating rate based on 3 Month LIBOR, expiring 08/24/15	JPMorgan Chase		95,800	$	18,060
Receive a fixed rate of 1.25% and pay a floating rate based on 3 Month LIBOR, expiring 08/19/15	Barclays Capital Group		54,000		290,686
Receive a fixed rate of 1.35% and pay a floating rate based on 3 Month LIBOR, expiring 08/24/15	JPMorgan Chase		95,800		99,119
Receive a fixed rate of 1.50% and pay a floating rate based on 3 Month LIBOR, expiring 04/28/16	Citigroup Global Markets		22,260		114,298
Receive a fixed rate of 1.55% and pay a floating rate based on 3 Month LIBOR, expiring 11/09/15	Citigroup Global Markets		37,000		237,461
Receive a fixed rate of 1.76% and pay a floating rate based on 3 Month LIBOR, expiring 02/23/16	Citigroup Global Markets		37,340		339,488

					1,154,309

Put Options
90 Day Euro Dollar, expiring 12/14/15, Strike Price $98.75			17,250		431
90 Day Euro Dollar, expiring 12/14/15, Strike Price $98.88			17,250		863
90 Day Euro Dollar, expiring 12/14/15, Strike Price $99.13			162,250		16,225
90 Day Euro Dollar, expiring 12/14/15, Strike Price $99.38			145,000		79,750

					97,269

TOTAL OPTIONS PURCHASED (cost $1,399,946)					1,251,578

TOTAL SHORT-TERM INVESTMENTS (cost $137,975,708)					134,230,286

TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 103.0% (cost $1,051,490,121)					1,066,566,717

OPTIONS WRITTEN*
Call Option
Interest Rate Swap Option,
Pay a fixed rate of 1.20% and receive a floating rate based on 3 Month LIBOR, expiring 08/24/15	JPMorgan Chase		191,600		(93,659	)

Put Options
90 Day Euro Dollar, expiring 12/14/15, Strike Price $99.00			69,000		(5,175	)
90 Day Euro Dollar, expiring 12/14/15, Strike Price $99.25			272,750		(68,187	)

					(73,362	)

TOTAL OPTIONS WRITTEN (premiums received $271,161)					(167,021	)

TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 103.0% (cost $1,051,218,960)					1,066,399,696
LIABILITIES IN EXCESS OF OTHER ASSETS(l) — (3.0)%					(31,437,973	)

NET ASSETS — 100.0%				$	1,034,961,723

See the Glossary for abbreviations used in the Portfolio descriptions.

*	Non-income producing security.

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

(a)	Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2015.

(b)

All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $36,993,201; cash collateral of $38,015,140 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A47

(f)	Indicates a restricted security; the aggregate original cost of the restricted securities is $20,117,055. The aggregate value of $18,631,856 is approximately 1.8% of net assets.

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

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

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

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

(k)	Interest rate not available as of June 30, 2015.

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

Futures contracts outstanding at June 30, 2015:


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at June 30, 2015		Unrealized Depreciation(1)
Long Positions:
2,961	5 Year U.S. Treasury Notes		Sep. 2015	$	353,273,889	$	353,122,382	$	(151,507	)
1,767	10 Year U.S. Treasury Notes		Sep. 2015		223,697,346		222,945,703		(751,643	)
350	U.S. Ultra Treasury Bond		Sep. 2015		55,234,702		53,921,875		(1,312,827	)

									(2,215,977	)

Short Position:
1,564	2 Year U.S. Treasury Notes		Sep. 2015		341,950,700		342,418,249		(467,549	)

								$	(2,683,526	)

(1)	Cash of $48,350 and U.S. Treasury obligations with a combined market value of $6,403,033 have been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2015.

Forward foreign currency exchange contracts outstanding at June 30, 2015:


Purchase Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation (Depreciation)
Brazilian Real,
Expiring 07/14/15	Barclays Capital Group	BRL	2,673	$	830,500	$	855,118	$	24,618
British Pound,
Expiring 07/28/15	JPMorgan Chase	GBP	160		245,022		251,426		6,404
Canadian Dollar,
Expiring 07/16/15	JPMorgan Chase	CAD	406		323,894		324,955		1,061
Euro,
Expiring 07/28/15	JPMorgan Chase	EUR	209		233,884		233,097		(787	)
Japanese Yen,
Expiring 07/28/15	Citigroup Global Markets	JPY	177,898		1,475,000		1,454,105		(20,895	)
Mexican Peso,
Expiring 07/22/15	Citigroup Global Markets	MXN	844		54,641		53,621		(1,020	)
Expiring 07/22/15	UBS AG	MXN	4,781		315,500		303,673		(11,827	)

				$	3,478,441	$	3,475,995	$	(2,446	)


Sale Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation (Depreciation)
Australian Dollar,
Expiring 07/16/15	JPMorgan Chase	AUD	1,051	$	795,163	$	810,193	$	(15,030	)
Brazilian Real,
Expiring 07/14/15	Citigroup Global Markets	BRL	1,885		636,900		603,223		33,677
Expiring 07/14/15	Citigroup Global Markets	BRL	980		317,000		313,718		3,282
British Pound,
Expiring 07/28/15	Goldman Sachs & Co.	GBP	1,895		2,864,660		2,976,664		(112,004	)
Euro,
Expiring 07/28/15	Bank of America	EUR	6,274		6,793,800		6,997,423		(203,623	)
Expiring 07/28/15	JPMorgan Chase	EUR	6,274		6,795,003		6,997,422		(202,419	)

SEE NOTES TO FINANCIAL STATEMENTS.

A48

Forward foreign currency exchange contracts outstanding at June 30, 2015 (continued):



Sale Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation (Depreciation)
Hungarian Forint,
Expiring 07/22/15	BNP Paribas	HUF	219,665	$	787,359	$	775,972	$	11,387
Japanese Yen,
Expiring 07/28/15	Bank of America	JPY	26,935		226,719		220,163		6,556
Expiring 07/28/15	Barclays Capital Group	JPY	679		5,527		5,548		(21	)
Expiring 07/28/15	Goldman Sachs & Co.	JPY	91,219		760,091		745,611		14,480
Expiring 07/28/15	JPMorgan Chase	JPY	88,990		737,700		727,391		10,309
Mexican Peso,
Expiring 07/22/15	Citigroup Global Markets	MXN	11,442		739,123		726,782		12,341
Expiring 07/22/15	Goldman Sachs & Co.	MXN	5,010		323,399		318,241		5,158
Polish Zloty,
Expiring 07/23/15	Citigroup Global Markets	PLN	2,314		620,357		615,010		5,347
South African Rand,
Expiring 07/20/15	BNP Paribas	ZAR	6,587		540,797		539,443		1,354
Turkish Lira,
Expiring 07/24/15	Deutsche Bank AG	TRY	568		210,500		210,299		201
Expiring 07/24/15	Hong Kong & Shanghai Bank	TRY	46,254		16,718,090		17,127,758		(409,668	)

				$	39,872,188	$	40,710,861		(838,673	)

								$	(841,119	)

Interest rate swap agreements outstanding at June 30, 2015:


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
	Over-the-counter swap agreements:
AUD	1,270		12/19/32		4.423%	6 Month BBSW(2)	$	95,617		$	—	$	95,617		Barclays Capital Group
AUD	1,620		12/20/32		4.420%	6 Month BBSW(2)		121,376			—		121,376		Citigroup Global Markets
CLP	610,000		02/25/20		3.910%	1 Day CLP OIS(2)		(2,956	)		—		(2,956	)	JPMorgan Chase
COP	185,000		02/13/20		5.050%	1 Day COLIBOR OIS(2)		(445	)		—		(445	)	Deutsche Bank AG
COP	685,000		04/17/20		5.050%	1 Day COLIBOR OIS(2)		(2,027	)		—		(2,027	)	Deutsche Bank AG
COP	1,365,000		04/10/25		6.020%	1 Day COLIBOR OIS(2)		(8,819	)		—		(8,819	)	JPMorgan Chase
MXN	76,000		06/20/18		6.020%	28 Day Mexican Interbank Rate(2)		198,130			—		198,130		Credit Suisse First Boston Corp.
MXN	73,100		11/09/18		5.410%	28 Day Mexican Interbank Rate(2)		99,973			—		99,973		Deutsche Bank AG
	25,690		11/15/19		1.334%	3 Month LIBOR(1)		282,091			—		282,091		Citigroup Global Markets
ZAR	10,000		09/03/33		8.970%	3 Month JIBAR(2)		22,171			—		22,171		Hong Kong & Shanghai Bank

							$	805,111		$	—	$	805,111


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2015			Unrealized Appreciation (Depreciation)
	Exchange-traded swap agreements:
AUD	2,300		03/07/29		4.743%	6 Month BBSW(2)	$	(39,329	)	$	228,532		$	267,861
CAD	13,250		01/09/20		1.710%	3 Month Canadian Banker’s Acceptance(1)		(161	)		(212,657	)		(212,496	)
EUR	8,050		08/04/16		0.078%	1 Day EUROIS(1)		4,645			(29,715	)		(34,360	)
EUR	6,100		08/01/19		0.346%	1 Day EUROIS(1)		17,304			(94,000	)		(111,304	)
GBP	1,490		11/03/24		1.960%	6 Month GBP LIBOR(1)		(789	)		(63,321	)		(62,532	)
GBP	1,600		01/08/25		1.325%	1 Day GBP OIS(1)		485			88,827			88,342
JPY	115,000		02/26/35		1.194%	6 Month JPY LIBOR(2)		(34	)		(8,906	)		(8,872	)
JPY	250,000		03/03/35		1.149%	6 Month JPY LIBOR(2)		430			(36,480	)		(36,910	)
MXN	65,000		12/02/15		5.080%	28 Day Mexican Interbank Rate(2)		(11,450	)		29,777			41,227
MXN	112,800		02/09/18		4.630%	28 Day Mexican Interbank Rate(2)		(2,367	)		30,819			33,186
MXN	70,000		04/18/19		5.480%	28 Day Mexican Interbank Rate(2)		(22,549	)		83,907			106,456

SEE NOTES TO FINANCIAL STATEMENTS.

A49

Interest rate swap agreements outstanding at June 30, 2015 (continued):


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2015			Unrealized Appreciation (Depreciation)
	Exchange-traded swap agreements (continued):
MXN	48,200		05/25/22		6.370%	28 Day Mexican Interbank Rate(2)	$	(30,834	)	$	88,833		$	119,667
MXN	38,000		08/13/24		6.120%	28 Day Mexican Interbank Rate(2)		(7,005	)		(26,027	)		(19,022	)
MXN	38,100		12/27/24		5.795%	28 Day Mexican Interbank Rate(2)		434			(97,279	)		(97,713	)
MXN	13,900		07/27/34		6.720%	28 Day Mexican Interbank Rate(2)		(436	)		(27,288	)		(26,852	)
	100,400		09/17/15		0.181%	1 Day Overnight Fed Funds Effective Rate(2)		175			5,072			4,897
	85,500		09/17/15		0.185%	1 Day Overnight Fed Funds Effective Rate(2)		172			4,765			4,593
	122,500		10/28/15		0.278%	1 Day Overnight Fed Funds Effective Rate(1)		181			(12,619	)		(12,800	)
	104,500		10/28/15		0.282%	1 Day Overnight Fed Funds Effective Rate(1)		176			(11,300	)		(11,476	)
	5,150		02/28/19		1.625%	6 Month LIBOR(1)		173			(34,563	)		(34,736	)
	19,300		02/28/19		1.806%	3 Month LIBOR(1)		42,047			(255,039	)		(297,086	)
	7,450		11/06/19		1.753%	6 Month LIBOR(1)		183			(40,820	)		(41,003	)
	9,010		12/02/19		1.639%	6 Month LIBOR(1)		191			615			424
	11,160		03/11/20		1.824%	3 Month LIBOR(1)		195			(64,106	)		(64,301	)
	16,250		07/31/21		2.290%	3 Month LIBOR(1)		248			(289,278	)		(289,526	)
	220,700		12/31/21		1.787%	3 Month LIBOR(1)		(73,175	)		3,565,408			3,638,583
	17,000		12/31/21		1.850%	3 Month LIBOR(1)		241			207,720			207,479
	17,000		05/31/22		2.237%	3 Month LIBOR(2)		66,956			58,120			(8,836	)
ZAR	20,000		10/22/23		7.625%	3 Month JIBAR(2)		(1,114	)		(56,471	)		(55,357	)
ZAR	38,300		11/14/23		8.190%	3 Month JIBAR(2)		(26,088	)		(1,289	)		24,799
ZAR	1,800		01/12/25		7.430%	3 Month JIBAR(2)		23			(8,140	)		(8,163	)
ZAR	14,500		01/13/25		7.440%	3 Month JIBAR(2)		20,576			(64,769	)		(85,345	)

							$	(60,496	)	$	2,958,328		$	3,018,824

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

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

Credit default swap agreements outstanding at June 30, 2015:


Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(4)		Implied Credit Spread at June 30, 2015(5)			Fair Value			Upfront Premiums Paid (Received)		Unrealized Depreciation			Counterparty
Over-the-counter credit default swaps on corporate issues—Buy Protection(1):
American International Group, Inc.		03/20/18		3.700%		3,700		0.320	%	$	(342,728	)	$	—	$	(342,728	)	Deutsche Bank AG
R.R. Donnelley & Sons Co.		09/20/16		1.000%		4,750		0.274	%		(44,040	)		229,662		(273,702	)	JPMorgan Chase

										$	(386,768	)	$	229,662	$	(616,430	)



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.V9		12/20/16		5.000%		6,440	$	357,331	$	270,122	$	87,209	Credit Suisse First Boston Corp.
CDX.NA.HY.17.V9		12/20/16		5.000%		12,420		689,138		567,525		121,613	Deutsche Bank AG
CDX.NA.HY.17.V9		12/20/16		5.000%		17,940		995,421		774,908		220,513	Deutsche Bank AG
CDX.NA.HY.17.V9		12/20/16		5.000%		11,500		638,091		503,924		134,167	Deutsche Bank AG

							$	2,679,981	$	2,116,479	$	563,502


Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(4)		Value at Trade Date			Value at June 30, 2015(3)			Unrealized Appreciation
Exchange-traded credit default swaps on credit indices—Buy Protection(1):
CDX.NA.IG.24.V1		06/20/20		1.000%		207,000	$	(3,524,860	)	$	(2,953,360	)	$	571,500

SEE NOTES TO FINANCIAL STATEMENTS.

A50

A U.S. Treasury obligation and a Sovereign with a combined market value of $11,964,494 have been segregated with Citigroup Global Markets to cover requirements for open exchanged-traded interest rate and credit default swap contracts at June 30, 2015.

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

(1)

(2)

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

(3)

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

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

(5)

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

Currency swap agreements outstanding at June 30, 2015:


Notional Amount (000)#		Fund Receives		Notional Amount (000)#			Fund Pays	Counterparty	Termination Date	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)
	Over-the-counter swap agreements:
	502		3 Month LIBOR		JPY	50,000	3 Month JPY LIBOR minus 54.00 bps	Barclays Capital Group	10/12/16	$	94,093		$	—	$	94,093
	278		3 Month LIBOR		EUR	240	3 Month EURIBOR minus 24.50 bps	Citigroup Global Markets	01/16/17		11,256			—		11,256
	1,541		3 Month LIBOR plus 432 bps		JPY	120,000	3.450%	Citigroup Global Markets	03/24/17		604,384			7,475		596,909
	5,882		3 Month LIBOR		JPY	600,000	3 Month JPY LIBOR minus 31.25 bps	Deutsche Bank AG	05/14/17		967,428			—		967,428
TRY	20,000		8.68%			9,749	3 Month LIBOR	Hong Kong & Shanghai Bank	09/05/15		(1,796,160	)		—		(1,796,160	)
TRY	23,640		8.69%			11,376	3 Month LIBOR	Hong Kong & Shanghai Bank	09/09/15		(1,983,685	)		—		(1,983,685	)
	1,157		3 Month LIBOR		EUR	900	3 Month EURIBOR minus 31.75 bps	Hong Kong & Shanghai Bank	09/28/17		155,847			—		155,847
JPY	265,000		3 Month JPY LIBOR minus 43.35 bps			2,250	3 Month LIBOR	JPMorgan Chase	11/26/16		(83,015	)		—		(83,015	)
JPY	1,060,000		3 Month JPY LIBOR minus 42.10 bps			8,979	3 Month LIBOR	JPMorgan Chase	11/28/16		(311,787	)		—		(311,787	)

SEE NOTES TO FINANCIAL STATEMENTS.

A51

Currency swap agreements outstanding at June 30, 2015 (continued):


Notional Amount (000)#		Fund Receives		Notional Amount (000)#			Fund Pays	Counterparty	Termination Date	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)
	Over-the-counter swap agreements (continued):
	13,099		3 Month LIBOR		EUR	11,400	3 Month EURIBOR minus 26.95	JPMorgan Chase	02/17/17	$	332,197		$	—	$	332,197
	2,250		3 Month LIBOR		JPY	265,000	3 Month JPY LIBOR minus 69.88 bps	JPMorgan Chase	11/26/24		82,372			—		82,372
	8,979		3 Month LIBOR		JPY	1,060,000	3 Month JPY LIBOR minus 67.32 bps	JPMorgan Chase	11/28/24		288,904			—		288,904

										$	(1,638,166	)	$	7,475	$	(1,645,641	)

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

Level 1—

quoted prices generally in active markets for identical securities.

Level 2—

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

Level 3—

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

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:


	Level 1			Level 2			Level 3
Investments in Securities
Asset-Backed Securities
Collateralized Loan Obligations	$	—		$	44,683,245		$	998,100
Non-Residential Mortgage-Backed Securities		—			6,781,887			9,474,964
Residential Mortgage-Backed Securities		—			71,034,235			9,827,601
Bank Loans		—			31,327,632			—
Commercial Mortgage-Backed Securities		—			110,935,044			—
Corporate Bonds		—			519,179,297			—
Foreign Agencies		—			25,378,063			—
Municipal Bonds		—			19,578,572			—
Sovereigns		—			50,743,070			—
U.S. Government Agency Obligations		—			16,846,814			—
U.S. Treasury Obligations		—			14,379,707			—
Preferred Stock		1,168,200			—			—
Affiliated Mutual Funds		132,978,708			—			—
Options Purchased		97,269			1,154,309			—
Options Written		(73,362	)		(93,659	)		—
Other Financial Instruments*
Futures Contracts		(2,683,526	)		—			—
Forward Foreign Currency Exchange Contracts		—			(841,119	)		—
Over-the-counter interest rate swaps		—			805,111			—
Exchange-traded interest rate swaps		—			3,018,824			—
Over-the-counter credit default swaps		—			2,293,213			—
Exchange-traded credit default swaps		—			571,500			—
Currency Swap Agreements		—			(1,638,166	)		—

Total	$	131,487,289		$	916,137,579		$	20,300,665

SEE NOTES TO FINANCIAL STATEMENTS.

A52

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


	Bank Loans			Collateralized Loan Obligations			Corporate Bonds			Non-Residential Mortgage-Backed Securities			Residential Mortgage-Backed Securities
Balance as of December 31, 2014	$	4,745,724		$	—		$	6,610,851		$	—		$	—
Realized gain (loss)		(1,139	)		—			—			—			—
Change in unrealized appreciation (depreciation)**		(62,693	)		(410	)		—			(25,011	)		(2,705	)
Purchases		—			998,510			—			9,499,977			9,915,369
Sales		(3,049,874	)		—			—			—			(87,569	)
Accrued discount/premium		396			—			—			(2	)		2,506
Transfers into Level 3		—			—			—			—			—
Transfers out of Level 3		(1,632,414	)		—			(6,610,851	)		—			—

Balance as of June 30, 2015	$	—		$	998,100		$	—		$	9,474,964		$	9,827,601

**	Of which, $(28,126) was relating to securities held at the reporting period end.

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


Level 3 Securities	Fair Value as of June 30, 2015		Valuation Methodology	Unobservable Inputs
Collateralized Loan Obligations	$	998,100	Market Approach	Single Broker Indicative Quote
Non-Residential Mortgage-Backed Securities		9,474,964	Market Approach	Single Broker Indicative Quote
Residential Mortgage-Backed Securities		9,827,601	Market Approach	Single Broker Indicative Quote

	$	20,300,665

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, securities transferred levels as follows:


Investments in Securities	Amount Transferred		Level Transfer		Logic
Bank Loans	$	1,632,414		L3 to L2	Single Broker Quote to Evaluated Bid
Corporate Bonds		6,610,851		L3 to L2	Single Broker Quote to Evaluated Bid

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:


Affiliated Mutual Funds (including 3.7% of collateral for securities on loan)	12.8	%
Banking	12.8
Commercial Mortgage-Backed Securities	10.7
Residential Mortgage-Backed Securities	7.8
Healthcare & Pharmaceutical	5.1
Sovereigns	4.9
Collateralized Loan Obligations	4.4
Electric	3.5
Insurance	3.4
Technology	3.2
Media & Entertainment	2.7
Foreign Agencies	2.5
Cable	2.1
Telecommunications	1.9
Chemicals	1.9
Municipal Bonds	1.9
Capital Goods	1.7
Non-Residential Mortgage-Backed Securities	1.6
U.S. Government Agency Obligations	1.6


Non-Captive Finance	1.6	%
U.S. Treasury Obligations	1.4
Automotive	1.3
Building Materials & Construction	1.3
Foods	1.3
Energy – Other	1.1
Gaming	1.0
Healthcare Insurance	0.9
Energy – Integrated	0.7
Pipelines & Other	0.7
Airlines	0.6
Tobacco	0.5
Metals	0.5
Paper	0.5
Aerospace & Defense	0.5
Real Estate Investment Trusts	0.4
Packaging	0.4
Lodging	0.4
Diversified Telecommunication Services	0.3
Retailers	0.2

SEE NOTES TO FINANCIAL STATEMENTS.

A53


Industry table (cont’d.)
Consumer	0.2	%
Brokerage	0.2
Financials	0.2
Software	0.1
Beverages	0.1


Options Purchased	0.1	%
Options Written	—	*

	103.0
Liabilities in excess of other assets	(3.0	)

	100.0	%

*	Less than 0.05%

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

Fair values of derivative instruments as of June 30, 2015 as presented in the Statement of Assets and Liabilities:


Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Credit contracts	Due from/to broker-variation margin swaps	$	571,500	*	—	$	—
Credit contracts	Premiums paid for swap agreements		2,346,141		—		—
Credit contracts	Unrealized appreciation on over-the-counter swap agreements		563,502		Unrealized depreciation on over-the-counter swap agreements		616,430
Foreign exchange contracts	Unrealized appreciation on forward foreign currency exchange contracts		136,175		Unrealized depreciation on forward foreign currency exchange contracts		977,294
Interest rate contracts	—		—		Due from/to broker-variation margin futures		2,683,526	*
Interest rate contracts	Due from/to broker-variation margin swaps		4,537,514	*	Due from/to broker-variation margin swaps		1,518,690	*
Interest rate contracts	Premiums paid for swap agreements		7,475		—		—
Interest rate contracts	Unaffiliated investments		1,251,578		Options written outstanding, at value		167,021
Interest rate contracts	Unrealized appreciation on over-the-counter swap agreements		3,348,364		Unrealized depreciation on over-the-counter swap agreements		4,188,894

Total		$	12,762,249			$	10,151,855

*	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, 2015 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	Options Purchased*			Options Written		Futures		Forward Rate Agreements		Forward and Cross Currency Contracts**		Swaps			Total
Credit contracts	$	—		$	—	$	—	$	—	$	—	$	(1,464,571	)	$	(1,464,571	)
Equity contracts		—			—		—		—		—		99,939			99,939
Foreign exchange contracts		—			—		—		—		1,699,754		—			1,699,754
Interest rate contracts		(1,141,965	)		385,971		2,289,912		30,908		—		(3,743,510	)		(2,178,684	)

	$	(1,141,965	)	$	385,971	$	2,289,912	$	30,908	$	1,699,754	$	(5,108,142	)	$	(1,843,562	)

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A54


Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased*			Options Written		Futures			Forward and Cross Currency Contracts**			Swaps			Total
Credit contracts	$	—		$	—	$	—		$	—		$	1,206,589		$	1,206,589
Foreign exchange contracts		—			—		—			(617,442	)		—			(617,442	)
Interest rate contracts		(72,807	)		25,010		(4,043,613	)		—			(1,530,441	)		(5,621,851	)

	$	(72,807	)	$	25,010	$	(4,043,613	)	$	(617,442	)	$	(323,852	)	$	(5,032,704	)

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

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

For the six months ended June 30, 2015, the Portfolio’s average volume of derivative activities is as follows:


Options Purchased⁽¹⁾	Options Written⁽⁴⁾	Futures Contracts Long Positions⁽²⁾	Futures Contracts Short Positions⁽²⁾	Forward Foreign Currency Exchange Contracts—Purchased⁽³⁾
$1,057,971	$439,783	$441,755,729	$174,597,241	$37,207,782

Forward Foreign Currency Exchange Contracts—Sold⁽³⁾	Cross Currency Exchange Contracts⁽³⁾	Interest Rate Swap Agreements⁽⁴⁾	Credit Default Swap Agreements Buy Protection⁽⁴⁾	Credit Default Swap Agreements Sell Protection⁽⁴⁾
$67,008,206	$72,963	$548,777	$169,798	$49,000

	Currency Swap Agreements⁽⁴⁾	Total Return Swap Agreements⁽⁴⁾	Forward Rate Agreements⁽⁴⁾
	$80,258	$4,053	$120,660

⁽¹⁾

Cost.

⁽²⁾	Value at Trade Date.

⁽³⁾	Value at Settlement Date.

⁽⁴⁾	Notional Amount in USD (000).

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


Counterparty	Gross amounts of recognized assets(1)		Gross amounts available for offset			Collateral Received(3)			Net Amount
Bank of America	$	6,556	$	(6,556	)	$	—		$	—
Barclays Capital Group		505,014		(21	)		(530,474	)		—
BNP Paribas		12,741		—			—			12,741
Citigroup Global Markets		1,820,198		(21,915	)		(1,734,000	)		64,283
Credit Suisse First Boston Corp.		555,461		—			(602,000	)		—
Deutsche Bank AG		3,390,252		(345,200	)		(3,050,201	)		—
Goldman Sachs & Co.		19,638		(19,638	)		—			—
Hong Kong & Shanghai Bank		178,018		(178,018	)		—			—
JPMorgan Chase		1,068,088		(992,174	)		—			75,914
UBS AG		—		—			—			—

	$	7,555,966

SEE NOTES TO FINANCIAL STATEMENTS.

A55


Counterparty	Gross amounts of recognized liabilities(2)			Gross amounts available for offset		Collateral Pledged(3)		Net Amount
Bank of America	$	(203,623	)	$	6,556	$	—	$	(197,067	)
Barclays Capital Group		(21	)		21		—		—
BNP Paribas		—			—		—		—
Citigroup Global Markets		(21,915	)		21,915		—		—
Credit Suisse First Boston Corp.		—			—		—		—
Deutsche Bank AG		(345,200	)		345,200		—		—
Goldman Sachs & Co.		(112,004	)		19,638		—		(92,366	)
Hong Kong & Shanghai Bank		(4,189,513	)		178,018		3,982,881		(28,614	)
JPMorgan Chase		(992,174	)		992,174		—		—
UBS AG		(11,827	)		—		—		(11,827	)

	$	(5,876,277	)

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A56


		*DIVERSIFIED BOND PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

(Unaudited)

as of June 30, 2015


ASSETS
Investments at value, including securities on loan of $36,993,201:
Unaffiliated investments (cost $914,914,359)	$	933,588,009
Affiliated investments (cost $136,575,762)		132,978,708
Foreign currency, at value (cost $577,622)		575,092
Dividends and interest receivable		9,614,786
Unrealized appreciation on over-the-counter swap agreements		3,911,866
Premium paid for swap agreements		2,353,616
Receivable for investments sold		177,254
Receivable for Series shares sold		168,657
Unrealized appreciation on forward foreign currency exchange contracts		136,175
Deposit with Broker		48,350
Tax reclaim receivable		2,265
Prepaid expenses		1,235

Total Assets		1,083,556,013

LIABILITIES
Payable to broker for collateral for securities on loan		38,015,140
Unrealized depreciation on over-the-counter swap agreements		4,805,324
Payable for investments purchased		3,346,405
Unrealized depreciation on forward foreign currency exchange contracts		977,294
Payable for Series shares repurchased		451,830
Management fee payable		340,161
Accrued expenses and other liabilities		220,642
Options written outstanding, at value (premiums received $271,161)		167,021
Due to broker—variation margin futures		111,774
Payable to custodian		101,573
Due to broker—variation margin swaps		54,113
Deferred trustees’ fees		2,087
Affiliated transfer agent fee payable		926

Total Liabilities		48,594,290

NET ASSETS	$	1,034,961,723

Net assets were comprised of:
Paid-in capital	$	937,307,076
Retained earnings		97,654,647

Net assets, June 30, 2015	$	1,034,961,723

Net asset value and redemption price per share $1,034,961,723 / 89,019,538 outstanding shares of beneficial interest	$	11.63

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2015


NET INVESTMENT INCOME
INCOME
Interest income (net of foreign withholding taxes of $10,391)	$	20,368,323
Affiliated dividend income		631,695
Unaffiliated dividend income		44,297
Affiliated income from securities lending, net		34,288

Total income		21,078,603

EXPENSES
Management fee		2,111,010
Custodian and accounting fees		107,000
Shareholders’ reports		53,000
Audit fee		23,000
Trustees’ fees		10,000
Insurance expenses		7,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800)		6,000
Legal fees and expenses		5,000
Loan Interest expense		44
Miscellaneous		11,438

Total expenses		2,333,492

NET INVESTMENT INCOME		18,745,111

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		(152,684	)
Futures transactions		2,289,912
Options written transactions		385,971
Forward rate agreement transactions		30,908
Swap agreement transactions		(5,108,142	)
Foreign currency transactions		8,704,074

		6,150,039

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $1,076,473)		(22,706,673	)
Futures		(4,043,613	)
Options written		25,010
Swap agreements		(323,852	)
Foreign currencies		(633,283	)

		(27,682,411	)

NET LOSS ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(21,532,372	)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(2,787,261	)

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)


	Six Months Ended June 30, 2015			Year Ended December 31, 2014
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	18,745,111		$	40,596,712
Net realized gain on investment and foreign currency transactions		6,150,039			19,370,419
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(27,682,411	)		16,033,794

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(2,787,261	)		76,000,925

DISTRIBUTIONS		—			(11,827,554	)

SERIES SHARE TRANSACTIONS
Series shares sold [867,418 and 2,077,773 shares, respectively]		10,256,322			23,745,718
Series shares issued in reinvestment of distributions [0 and 1,060,767 shares, respectively]		—			11,827,554
Series shares repurchased [3,424,936 and 20,335,487 shares, respectively]		(40,379,351	)		(229,380,709	)

NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(30,123,029	)		(193,807,437	)

TOTAL DECREASE		(32,910,290	)		(129,634,066	)
NET ASSETS:
Beginning of period		1,067,872,013			1,197,506,079

End of period	$	1,034,961,723		$	1,067,872,013

SEE NOTES TO FINANCIAL STATEMENTS.

A57


LONG-TERM INVESTMENTS — 97.3%			Value (Note 2)
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 1.1%
Boeing Co. (The)		306,179	$	42,473,151

Airlines — 0.4%
United Continental Holdings, Inc.*		290,395		15,393,839

Auto Components — 1.0%
Lear Corp.		359,100		40,312,566

Automobiles — 1.5%
General Motors Co.		563,186		18,770,989
Tesla Motors, Inc.*(a)		151,223		40,567,082

				59,338,071

Banks — 6.8%
Bank of America Corp.		2,500,404		42,556,876
Citigroup, Inc.		996,883		55,067,817
JPMorgan Chase & Co.		949,886		64,364,276
PNC Financial Services Group, Inc. (The)		464,799		44,458,024
Wells Fargo & Co.		1,156,205		65,024,969

				271,471,962

Biotechnology — 5.2%
Alexion Pharmaceuticals, Inc.*		227,284		41,086,129
Biogen, Inc.*		155,653		62,874,473
Celgene Corp.*		302,755		35,039,350
Gilead Sciences, Inc.		313,395		36,692,286
Regeneron Pharmaceuticals, Inc.*		67,428		34,397,046

				210,089,284

Capital Markets — 3.0%
Goldman Sachs Group, Inc. (The)		224,319		46,835,564
Morgan Stanley		1,893,713		73,457,127

				120,292,691

Chemicals — 1.2%
FMC Corp.		623,781		32,779,692
Monsanto Co.		135,999		14,496,133

				47,275,825

Communications Equipment — 0.8%
Brocade Communications Systems, Inc.		2,772,634		32,938,892

Consumer Finance — 2.1%
Capital One Financial Corp.		478,764		42,116,869
SLM Corp.*		4,118,457		40,649,171

				82,766,040

Diversified Financial Services — 0.8%
Voya Financial, Inc.		660,352		30,686,557

Electric Utilities — 1.0%
FirstEnergy Corp.		1,224,023		39,841,949

Electrical Equipment — 1.1%
Eaton Corp. PLC		670,542		45,254,880

Electronic Equipment, Instruments & Components — 0.5%
Fitbit, Inc. (Class A Stock)*(a)		14,076		538,125


COMMON STOCKS (continued)	Shares		Value (Note 2)
Electronic Equipment, Instruments & Components (continued)
Flextronics International Ltd.*		1,844,886	$	20,865,661

				21,403,786

Energy Equipment & Services — 1.5%
Halliburton Co.		754,934		32,515,007
Schlumberger Ltd.		303,800		26,184,522

				58,699,529

Food & Staples Retailing — 1.7%
Costco Wholesale Corp.		282,311		38,128,924
Kroger Co. (The)(a)		417,992		30,308,600

				68,437,524

Food Products — 2.5%
Bunge Ltd.		443,108		38,904,883
Mondelez International, Inc. (Class A Stock)		1,514,117		62,290,773

				101,195,656

Health Care Equipment & Supplies — 0.5%
Zimmer Biomet Holdings, Inc.		182,030		19,883,137

Hotels, Restaurants & Leisure — 3.9%
Carnival Corp.		1,106,810		54,665,346
Marriott International, Inc. (Class A Stock)(a)		540,209		40,186,148
Starbucks Corp.		1,170,786		62,771,691

				157,623,185

Insurance — 1.7%
MetLife, Inc.		855,760		47,914,002
Travelers Cos., Inc. (The)		223,666		21,619,556

				69,533,558

Internet & Catalog Retail — 5.6%
Amazon.com, Inc.*		197,586		85,770,107
JD.com, Inc. (China), ADR*		924,704		31,532,406
Netflix, Inc.*		91,590		60,169,135
Priceline Group, Inc. (The)*		39,522		45,504,445

				222,976,093

Internet Software & Services — 8.1%
Alibaba Group Holding Ltd. (China), ADR*		340,684		28,028,073
Facebook, Inc. (Class A Stock)*		1,424,115		122,139,223
Google, Inc. (Class A Stock)*		58,391		31,533,476
Google, Inc. (Class C Stock)*		64,305		33,471,395
LinkedIn Corp. (Class A Stock)*		259,465		53,613,253
Tencent Holdings Ltd. (China)		2,770,548		55,401,354

				324,186,774

IT Services — 2.9%
FleetCor Technologies, Inc.*		267,564		41,756,038
MasterCard, Inc. (Class A Stock)		821,626		76,805,598

				118,561,636

Life Sciences Tools & Services — 1.1%
Illumina, Inc.*		206,378		45,064,700

Machinery — 0.9%
SPX Corp.		478,749		34,656,640

SEE NOTES TO FINANCIAL STATEMENTS.

A58


COMMON STOCKS (continued)	Shares		Value (Note 2)
Media — 3.8%
Comcast Corp. (Class A Stock)		887,649	$	53,383,211
Time Warner, Inc.		240,467		21,019,220
Walt Disney Co. (The)		672,076		76,710,755

				151,113,186

Multi-Utilities — 0.6%
PG&E Corp.		470,666		23,109,701

Multiline Retail — 1.3%
Target Corp.		628,113		51,272,864

Oil, Gas & Consumable Fuels — 4.7%
Chevron Corp.		307,390		29,653,913
Concho Resources, Inc.*		288,085		32,801,358
Marathon Oil Corp.		1,177,401		31,248,223
Noble Energy, Inc.		701,485		29,939,380
Occidental Petroleum Corp.		410,422		31,918,519
Suncor Energy, Inc. (Canada)		1,262,075		34,760,112

				190,321,505

Pharmaceuticals — 10.8%
AbbVie, Inc.		337,593		22,682,874
Allergan PLC*		465,125		141,146,832
Bayer AG (Germany), ADR		310,713		43,805,872
Bristol-Myers Squibb Co.		815,373		54,254,919
Merck & Co., Inc.		771,420		43,916,941
Pfizer, Inc.		921,320		30,891,860
Shire PLC (Ireland), ADR		173,933		42,003,080
Teva Pharmaceutical Industries Ltd. (Israel), ADR		892,245		52,731,680

				431,434,058

Road & Rail — 0.5%
Hertz Global Holdings, Inc.*		1,134,552		20,558,082

Semiconductors & Semiconductor Equipment — 1.0%
Applied Materials, Inc.		2,055,728		39,511,092

Software — 5.9%
Adobe Systems, Inc.*		525,404		42,562,978
Microsoft Corp.		1,148,208		50,693,383
Red Hat, Inc.*		507,601		38,542,144
salesforce.com, Inc.*		724,283		50,431,825
Splunk, Inc.*(a)		471,387		32,817,963
Workday, Inc. (Class A Stock)*(a)		286,207		21,863,353

				236,911,646

Specialty Retail — 1.2%
Inditex SA (Spain), ADR		2,909,759		47,225,388

Technology Hardware, Storage & Peripherals — 5.9%
Apple, Inc.		1,106,379		138,767,586
EMC Corp.		1,485,306		39,197,225
Hewlett-Packard Co.		1,418,623		42,572,876
NCR Corp.*		554,837		16,700,594

				237,238,281

Textiles, Apparel & Luxury Goods — 3.2%
Coach, Inc.		424,137		14,679,381
NIKE, Inc. (Class B Stock)		724,749		78,287,387
Under Armour, Inc. (Class A Stock)*(a)		440,665		36,769,088

				129,735,856


COMMON STOCKS (continued)	Shares		Value (Note 2)
Wireless Telecommunication Services — 1.5%
SBA Communications Corp. (Class A Stock)*		272,157	$	31,289,890
Vodafone Group PLC (United Kingdom), ADR		807,774		29,443,363

				60,733,253

TOTAL LONG-TERM INVESTMENTS (cost $2,640,296,681)				3,899,522,837

SHORT-TERM INVESTMENT — 4.9%
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $194,865,661; includes $94,663,514 of cash collateral for securities on loan)(Note 4)(b)(c)		194,865,661		194,865,661

TOTAL INVESTMENTS — 102.2% (cost $2,835,162,342)				4,094,388,498
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.2)%				(88,086,181	)

NET ASSETS — 100.0%			$	4,006,302,317

See the Glossary for abbreviations used in the Portfolio descriptions.

*	Non-income producing security.

(a)

All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $93,785,223; cash collateral of $94,663,514 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. 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 Fund 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—quoted

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

Level 3—unobservable

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

SEE NOTES TO FINANCIAL STATEMENTS.

A59

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	42,473,151	$	—	$	—
Airlines		15,393,839		—		—
Auto Components		40,312,566		—		—
Automobiles		59,338,071		—		—
Banks		271,471,962		—		—
Biotechnology		210,089,284		—		—
Capital Markets		120,292,691		—		—
Chemicals		47,275,825		—		—
Communications Equipment		32,938,892		—		—
Consumer Finance		82,766,040		—		—
Diversified Financial Services		30,686,557		—		—
Electric Utilities		39,841,949		—		—
Electrical Equipment		45,254,880		—		—
Electronic Equipment, Instruments & Components		21,403,786		—		—
Energy Equipment & Services		58,699,529		—		—
Food & Staples Retailing		68,437,524		—		—
Food Products		101,195,656		—		—
Health Care Equipment & Supplies		19,883,137		—		—
Hotels, Restaurants & Leisure		157,623,185		—		—
Insurance		69,533,558		—		—
Internet & Catalog Retail		222,976,093		—		—
Internet Software & Services		268,785,420		55,401,354		—
IT Services		118,561,636		—		—
Life Sciences Tools & Services		45,064,700		—		—
Machinery		34,656,640		—		—
Media		151,113,186		—		—
Multi-Utilities		23,109,701		—		—
Multiline Retail		51,272,864		—		—
Oil, Gas & Consumable Fuels		190,321,505		—		—
Pharmaceuticals		431,434,058		—		—
Road & Rail		20,558,082		—		—
Semiconductors & Semiconductor Equipment		39,511,092		—		—
Software		236,911,646		—		—
Specialty Retail		47,225,388		—		—
Technology Hardware, Storage & Peripherals		237,238,281		—		—
Textiles, Apparel & Luxury Goods		129,735,856		—		—
Wireless Telecommunication Services		60,733,253		—		—
Affiliated Money Market Mutual Fund		194,865,661		—		—

Total	$	4,038,987,144	$	55,401,354	$	—

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:


Pharmaceuticals	10.8	%
Internet Software & Services	8.1
Banks	6.8
Technology Hardware, Storage & Peripherals	5.9
Software	5.9
Internet & Catalog Retail	5.6
Biotechnology	5.2
Affiliated Money Market Mutual Fund (including 2.4% of collateral for securities on loan)	4.9
Oil, Gas & Consumable Fuels	4.7
Hotels, Restaurants & Leisure	3.9
Media	3.8
Textiles, Apparel & Luxury Goods	3.2
Capital Markets	3.0


IT Services	2.9	%
Food Products	2.5
Consumer Finance	2.1
Insurance	1.7
Food & Staples Retailing	1.7
Wireless Telecommunication Services	1.5
Automobiles	1.5
Energy Equipment & Services	1.5
Multiline Retail	1.3
Chemicals	1.2
Specialty Retail	1.2
Electrical Equipment	1.1
Life Sciences Tools & Services	1.1
Aerospace & Defense	1.1

SEE NOTES TO FINANCIAL STATEMENTS.

A60


Industry table (cont.)
Auto Components	1.0	%
Electric Utilities	1.0
Semiconductors & Semiconductor Equipment	1.0
Machinery	0.9
Communications Equipment	0.8
Diversified Financial Services	0.8
Multi-Utilities	0.6


Electronic Equipment, Instruments & Components	0.5	%
Road & Rail	0.5
Health Care Equipment & Supplies	0.5
Airlines	0.4

	102.2
Liabilities in excess of other assets	(2.2	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A61


		*EQUITY PORTFOLIO (continued)*

STATEMENT OF ASSETS & LIABILITIES (Unaudited)

as of June 30, 2015


ASSETS
Investments at value, including securities on loan of $93,785,223:
Unaffiliated investments (cost $2,640,296,681)	$	3,899,522,837
Affiliated investments (cost $194,865,661)		194,865,661
Receivable for investments sold		3,974,313
Dividends and interest receivable		3,397,744
Tax reclaim receivable		1,998,511
Prepaid expenses		4,683

Total assets		4,103,763,749

LIABILITIES
Payable to broker for collateral for securities on loan		94,663,514
Management fee payable		1,504,143
Payable for Series shares repurchased		1,023,129
Accrued expenses and other liabilities		268,787
Affiliated transfer agent fee payable		926
Deferred trustees’ fees		511
Distribution fee payable		422

Total liabilities		97,461,432

NET ASSETS	$	4,006,302,317

Net assets were comprised of:
Paid-in capital	$	2,012,688,949
Retained earnings		1,993,613,368

Net assets, June 30, 2015	$	4,006,302,317

Class I:
Net asset value and redemption price per share $4,004,300,423 / 100,635,098 outstanding shares of beneficial interest	$	39.79

Class II:
Net asset value and redemption price per share $2,001,894 / 50,275 outstanding shares of beneficial interest	$	39.82

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended June 30, 2015


NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $565,231)	$	26,662,728
Affiliated income from securities lending, net		141,448
Affiliated dividend income		80,086

Total income		26,884,262

EXPENSES
Management fee		8,998,262
Distribution fee—Class II		2,601
Administration fee—Class II		1,561
Custodian and accounting fees		220,000
Shareholders’ reports		113,000
Insurance expenses		27,000
Trustees’ fees		22,000
Audit fee		12,000
Legal fees and expenses		8,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800)		6,000
Miscellaneous		15,072

Total expenses		9,425,496

NET INVESTMENT INCOME		17,458,766

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		43,569,064
Foreign currency transactions		(58,627	)

		43,510,437

Net change in unrealized appreciation (depreciation) on:
Investments		65,993,262
Foreign currencies		(95,524	)

		65,897,738

NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		109,408,175

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	126,866,941

STATEMENT OF CHANGES IN NET ASSETS (Unaudited)


	Six Months Ended June 30, 2015			Year Ended December 31, 2014
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	17,458,766		$	20,780,578
Net realized gain on investment and foreign currency transactions		43,510,437			365,889,333
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		65,897,738			(92,188,862	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		126,866,941			294,481,049

SERIES SHARE TRANSACTIONS (Note 7)
Series shares sold		5,475,644			12,816,469
Series shares repurchased		(145,838,191	)		(260,744,091	)

NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(140,362,547	)		(247,927,622	)

TOTAL INCREASE (DECREASE)		(13,495,606	)		46,553,427
NET ASSETS:
Beginning of period		4,019,797,923			3,973,244,496

End of period	$	4,006,302,317		$	4,019,797,923

SEE NOTES TO FINANCIAL STATEMENTS.

A62


LONG-TERM INVESTMENTS — 92.0%
COMMON STOCKS — 61.9%	Shares		Value (Note 2)
Aerospace & Defense — 1.9%
Airbus Group NV (France)		13,567	$	883,720
BAE Systems PLC (United Kingdom)		48,072		340,609
General Dynamics Corp.		130,900		18,547,221
Huntington Ingalls Industries, Inc.		65,900		7,419,681
L-3 Communications Holdings, Inc.		8,000		907,040
Lockheed Martin Corp.		92,100		17,121,390
Northrop Grumman Corp.		96,400		15,291,932
Raytheon Co.		127,000		12,151,360
Safran SA (France)		3,677		249,887

				72,912,840

Air Freight & Logistics — 0.8%
FedEx Corp.		86,400		14,722,560
Royal Mail PLC (United Kingdom)		9,010		72,841
United Parcel Service, Inc. (Class B Stock)		175,000		16,959,250

				31,754,651

Airlines — 0.4%
Cathay Pacific Airways Ltd. (Hong Kong)		397,000		975,393
easyJet PLC (United Kingdom)		2,175		52,871
International Consolidated Airlines Group SA (United Kingdom)*		11,080		86,441
Japan Airlines Co. Ltd. (Japan)		1,600		55,759
Ryanair Holdings PLC (Ireland) ADR		13,500		963,225
Singapore Airlines Ltd. (Singapore)		7,200		57,327
Southwest Airlines Co.		410,600		13,586,754

				15,777,770

Auto Components — 0.3%
Bridgestone Corp. (Japan)		1,500		55,444
Cie Generale des Etablissements Michelin (France)		10,823		1,138,840
Continental AG (Germany)		842		199,367
Johnson Controls, Inc.		177,100		8,771,763
NHK Spring Co. Ltd. (Japan)		86,800		955,700
NOK Corp. (Japan)		31,400		972,891
Valeo SA (France)		1,030		162,929

				12,256,934

Automobiles — 0.3%
Daimler AG (Germany)		22,808		2,077,713
Fiat Chrysler Automobiles NV (United Kingdom)*		12,193		178,874
Fuji Heavy Industries Ltd. (Japan)		8,300		305,198
Peugeot SA (France)*		57,600		1,187,821
Renault SA (France)		2,590		271,555
Thor Industries, Inc.		88,000		4,952,640
Toyota Motor Corp. (Japan)		34,900		2,335,413
Volkswagen AG (Germany)		487		112,763

				11,421,977

Banks — 4.0%
Aozora Bank Ltd. (Japan)		16,000		60,368
Australia & New Zealand Banking Group Ltd. (Australia)		38,862		964,446


COMMON STOCKS (continued)	Shares		Value (Note 2)
Banks (continued)
Banco Santander SA (Spain)		325,341	$	2,288,459
Bank Hapoalim BM (Israel)		193,670		1,042,323
Bank Leumi Le-Israel BM (Israel)*		58,203		245,937
Bank of America Corp.		2,001,100		34,058,722
Bank of Kyoto Ltd. (The) (Japan)		4,000		46,013
Bank of Yokohama Ltd. (The) (Japan)		16,000		97,984
Barclays PLC (United Kingdom)		6,055		24,817
BOC Hong Kong Holdings Ltd. (Hong Kong)		51,000		212,265
Chiba Bank Ltd. (The) (Japan)		10,000		76,148
Citigroup, Inc.		245,550		13,564,182
Commonwealth Bank of Australia (Australia)		7,976		523,043
Credit Agricole SA (France)		14,380		214,693
Danske Bank A/S (Denmark)		9,084		267,042
DNB ASA (Norway)		69,982		1,165,453
Fukuoka Financial Group, Inc. (Japan)		11,000		57,014
HSBC Holdings PLC (United Kingdom)		265,527		2,377,624
ING Groep NV (Netherlands), CVA		53,179		883,059
Intesa Sanpaolo SpA (Italy)		9,749		31,125
JPMorgan Chase & Co.		698,694		47,343,505
KBC Groep NV (Belgium)		18,127		1,215,204
KeyCorp		431,100		6,475,122
Lloyds Banking Group PLC (United Kingdom)		30,523		40,968
Mitsubishi UFJ Financial Group, Inc. (Japan)		342,400		2,463,385
Mizuho Financial Group, Inc. (Japan)		842,000		1,821,863
Nordea Bank AB (Sweden)		41,917		522,779
Oversea-Chinese Banking Corp. Ltd. (Singapore)		58,278		440,113
Regions Financial Corp.		1,321,200		13,687,632
Resona Holdings, Inc. (Japan)		196,300		1,070,645
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		96,297		1,231,768
Societe Generale SA (France)		6,754		316,924
Sumitomo Mitsui Financial Group, Inc. (Japan)		42,900		1,909,874
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		88,000		402,565
Svenska Handelsbanken AB (Sweden) (Class A Stock)		82,575		1,205,451
U.S. Bancorp		49,800		2,161,320
Wells Fargo & Co.		280,112		15,753,499
Westpac Banking Corp. (Australia)		5,892		145,780

				156,409,114

Beverages — 1.7%
Anheuser-Busch InBev NV (Belgium)		4,652		559,825
Carlsberg A/S (Denmark) (Class B Stock)		5,493		497,697
Coca-Cola Co. (The)		437,700		17,170,971

SEE NOTES TO FINANCIAL STATEMENTS.

A63


COMMON STOCKS (continued)	Shares		Value (Note 2)
Beverages (continued)
Coca-Cola Enterprises, Inc.		71,700	$	3,114,648
Diageo PLC (United Kingdom)		19,458		563,496
Dr. Pepper Snapple Group, Inc.		19,600		1,428,840
Heineken Holding NV (Netherlands)		630		44,157
Heineken NV (Netherlands)		3,099		235,609
Monster Beverage Corp.*		59,300		7,947,386
PepsiCo, Inc.		353,620		33,006,891
Pernod Ricard SA (France)		2,247		259,759
SABMiller PLC (United Kingdom)		13,646		707,546

				65,536,825

Biotechnology — 2.3%
Amgen, Inc.		138,008		21,186,988
Biogen Idec, Inc.*		65,300		26,377,282
Celgene Corp.*		38,200		4,421,077
Gilead Sciences, Inc.		240,100		28,110,908
Regeneron Pharmaceuticals, Inc.*(a)		14,300		7,294,859

				87,391,114

Building Products — 0.2%
A.O. Smith Corp.		90,000		6,478,200
Asahi Glass Co. Ltd. (Japan)		40,000		240,141
Daikin Industries Ltd. (Japan)		3,200		230,043
Fortune Brands Home & Security, Inc.		32,600		1,493,732

				8,442,116

Capital Markets — 1.6%
3i Group PLC (United Kingdom)		150,630		1,222,233
Bank of New York Mellon Corp. (The)		352,700		14,802,819
Franklin Resources, Inc.		266,000		13,041,980
Goldman Sachs Group, Inc. (The)		122,000		25,472,380
Macquarie Group Ltd. (Australia)		21,877		1,370,714
Mediobanca SpA (Italy)		8,467		83,016
Nomura Holdings, Inc. (Japan)		50,700		342,319
Schroders PLC (United Kingdom)		1,690		84,325
State Street Corp.		73,800		5,682,600
UBS Group AG (Switzerland)		37,770		801,346

				62,903,732

Chemicals — 1.5%
Asahi Kasei Corp. (Japan)		26,000		213,267
BASF SE (Germany)		12,793		1,125,696
Cabot Corp.		82,100		3,061,509
Celanese Corp. Series A		28,500		2,048,580
Daicel Corp. (Japan)		3,800		48,762
Evonik Industries AG (Germany)		1,286		49,104
Givaudan SA (Switzerland)		110		190,444
Hitachi Chemical Co. Ltd. (Japan)		1,500		27,017
JSR Corp. (Japan)		2,500		44,133
K+S AG (Germany)		31,791		1,340,560
Kaneka Corp. (Japan)		4,000		29,212
Kuraray Co. Ltd. (Japan)		24,500		299,276
LyondellBasell Industries NV (Netherlands) (Class A Stock)		208,200		21,552,864
Mitsubishi Chemical Holdings Corp. (Japan)		7,400		46,521


COMMON STOCKS (continued)	Shares		Value (Note 2)
Chemicals (continued)
Mitsubishi Gas Chemical Co., Inc. (Japan)		5,000	$	27,996
Mosaic Co. (The)		287,300		13,460,005
Nippon Paint Holdings Co. Ltd. (Japan)		2,100		59,179
Nitto Denko Corp. (Japan)		2,200		180,669
Sherwin-Williams Co. (The)		50,300		13,833,506
Sumitomo Chemical Co. Ltd. (Japan)		21,000		126,177
Symrise AG (Germany)		1,691		105,020
Yara International ASA (Norway)		21,563		1,123,608

				58,993,105

Commercial Services & Supplies
Secom Co. Ltd. (Japan)		2,200		142,924
Societe BIC SA (France)		2,934		467,749
Toppan Printing Co. Ltd. (Japan)		6,000		50,160

				660,833

Communications Equipment — 1.0%
Brocade Communications Systems, Inc.		247,800		2,943,864
Cisco Systems, Inc.		1,027,900		28,226,134
F5 Networks, Inc.*		24,400		2,936,540
Juniper Networks, Inc.		58,900		1,529,633
QUALCOMM, Inc.		25,800		1,615,854

				37,252,025

Construction & Engineering — 0.1%
Ferrovial SA (Spain)		47,939		1,041,546
Kajima Corp. (Japan)		12,000		56,361
Obayashi Corp. (Japan)		9,000		65,629
Skanska AB (Sweden) (Class B Stock)		33,649		681,865
Taisei Corp. (Japan)		21,000		120,561

				1,965,962

Construction Materials — 0.1%
HeidelbergCement AG (Germany)		429		34,001
Imerys SA (France)		469		35,979
Vulcan Materials Co.		47,900		4,020,247

				4,090,227

Consumer Finance — 0.2%
Discover Financial Services		101,800		5,865,716
Synchrony Financial*(a)		83,000		2,733,190

				8,598,906

Containers & Packaging — 0.1%
Packaging Corp of America		44,000		2,749,560
Rexam PLC (United Kingdom)		83,940		728,011

				3,477,571

Diversified Financial Services — 1.0%
Berkshire Hathaway, Inc. (Class B Stock)*		271,000		36,885,810
Industrivarden AB (Sweden) (Class C Stock)		2,268		42,742
Investment AB Kinnevik (Sweden)		3,221		101,880
Investor AB (Sweden) (Class B Stock)		6,188		230,724

SEE NOTES TO FINANCIAL STATEMENTS.

A64


COMMON STOCKS (continued)	Shares		Value (Note 2)
Diversified Financial Services (continued)
MSCI, Inc.		12,100	$	744,755
ORIX Corp. (Japan)		55,200		819,691

				38,825,602

Diversified Telecommunication Services — 1.4%
AT&T, Inc.		376,247		13,364,294
BT Group PLC (United Kingdom)		156,956		1,111,452
Deutsche Telekom AG (Germany)		67,900		1,170,618
Nippon Telegraph & Telephone Corp. (Japan)		39,600		1,434,144
Telecom Italia SpA (Italy)		1,093,202		1,114,808
Telecom Italia SpA (Italy)*(a)		964,458		1,225,647
Telstra Corp. Ltd. (Australia)		60,379		285,747
Verizon Communications, Inc.		741,588		34,565,417

				54,272,127

Electric Utilities — 0.7%
American Electric Power Co., Inc.		42,800		2,267,116
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		124,000		962,538
Chubu Electric Power Co., Inc. (Japan)		9,000		134,137
Chugoku Electric Power Co., Inc. (The) (Japan)		4,200		61,267
EDP-Energias de Portugal SA (Portugal)		31,305		119,272
Electricite de France (France)		35,867		802,297
Endesa SA (Spain)		4,398		84,229
Enel SpA (Italy)		13,060		59,192
Entergy Corp.		154,500		10,892,250
FirstEnergy Corp.		29,600		963,480
Fortum OYJ (Finland)		55,223		981,037
Hokuriku Electric Power Co. (Japan)		1,700		25,323
Kansai Electric Power Co., Inc. (The) (Japan)*		9,900		109,598
Kyushu Electric Power Co., Inc. (Japan)*		6,000		69,564
Power Assets Holdings Ltd. (Hong Kong)		19,500		177,789
PPL Corp.		315,700		9,303,679
Shikoku Electric Power Co., Inc. (Japan)		2,500		37,425
Tohoku Electric Power Co., Inc. (Japan)		6,400		86,653
Tokyo Electric Power Co., Inc. (Japan)*		20,000		108,958

				27,245,804

Electrical Equipment — 0.3%
Acuity Brands, Inc.		33,800		6,083,324
Babcock & Wilcox Co. (The)		53,800		1,764,640
Fuji Electric Co. Ltd. (Japan)		6,000		25,806
Mitsubishi Electric Corp. (Japan)		106,000		1,368,746
OSRAM Licht AG (Germany)		19,423		929,213
Vestas Wind Systems A/S (Denmark)		21,544		1,073,829

				11,245,558


COMMON STOCKS (continued)	Shares		Value (Note 2)
Electronic Equipment, Instruments & Components — 0.3%
CDW Corp.		28,400	$	973,552
Citizen Holdings Co. Ltd. (Japan)		2,700		18,837
Ibiden Co. Ltd. (Japan)		53,900		911,525
Jabil Circuit, Inc.		270,500		5,758,945
Keyence Corp. (Japan)		1,500		808,466
Kyocera Corp. (Japan)		2,200		114,384
Murata Manufacturing Co. Ltd. (Japan)		10,700		1,867,315
TDK Corp. (Japan)		1,700		130,173

				10,583,197

Energy Equipment & Services — 0.8%
Atwood Oceanics, Inc.		31,500		832,860
Cameron International Corp.*		172,400		9,028,588
Schlumberger Ltd.		232,100		20,004,699
Transocean Ltd.(a)		4,986		80,832

				29,946,979

Food & Staples Retailing — 1.3%
Casino Guichard Perrachon SA (France)		789		59,887
CVS Health Corp.		30,200		3,167,376
Distribuidora Internacional de Alimentacion SA (Spain)		122,384		937,901
ICA Gruppen AB (Sweden)		6,834		242,451
J. Sainsbury PLC (United Kingdom)		145,840		607,088
Koninklijke Ahold NV (Netherlands)		18,921		355,198
Kroger Co. (The)		238,700		17,308,137
METRO AG (Germany)		7,699		243,167
Olam International Ltd. (Singapore)		107,100		149,455
Wal-Mart Stores, Inc.		346,900		24,605,617
Wesfarmers Ltd. (Australia)		21,992		661,370
Whole Foods Market, Inc.		17,300		682,312
WM Morrison Supermarkets PLC (United Kingdom)		269,123		763,975

				49,783,934

Food Products — 0.8%
Archer-Daniels-Midland Co.		327,300		15,782,406
Bunge Ltd.		43,200		3,792,960
ConAgra Foods, Inc.		113,300		4,953,476
Lindt & Spruengli AG (Switzerland)		1		62,591
Nestle SA (Switzerland)		54,141		3,906,307
Nippon Meat Packers, Inc. (Japan)		2,000		45,609
Nisshin Seifun Group, Inc. (Japan)		3,000		39,874
Unilever NV (United Kingdom)		44,221		1,848,846
Wilmar International Ltd. (Singapore)		415,400		1,011,036

				31,443,105

Gas Utilities — 0.3%
AGL Resources, Inc.		165,800		7,719,648
Snam SpA (Italy)		28,766		136,898
UGI Corp.		64,700		2,228,915

				10,085,461

Health Care Equipment & Supplies — 1.2%
Abbott Laboratories		415,900		20,412,372
C.R. Bard, Inc.		71,100		12,136,770
DENTSPLY International, Inc.		13,100		675,305

SEE NOTES TO FINANCIAL STATEMENTS.

A65


COMMON STOCKS (continued)	Shares		Value (Note 2)
Health Care Equipment & Supplies (continued)
Edwards Lifesciences Corp.*		17,500	$	2,492,525
Hoya Corp. (Japan)		5,900		236,293
Medtronic PLC		69,300		5,135,130
Stryker Corp.		55,200		5,275,464

				46,363,859

Health Care Providers & Services — 2.1%
Aetna, Inc.		174,800		22,280,008
Alfresa Holdings Corp. (Japan)		1,900		29,566
Anthem, Inc.		66,300		10,882,482
Cigna Corp.		32,300		5,232,600
Express Scripts Holding Co.*(a)		127,700		11,357,638
Fresenius SE & Co. KGaA (Germany)		5,348		343,377
Medipal Holdings Corp. (Japan)		34,500		561,922
Miraca Holdings, Inc. (Japan)		800		39,971
Ryman Healthcare Ltd. (New Zealand)		5,231		28,075
Sonic Healthcare Ltd. (Australia)		65,231		1,074,140
Suzuken Co. Ltd. (Japan)		15,480		495,252
UnitedHealth Group, Inc.		254,100		31,000,200

				83,325,231

Hotels, Restaurants & Leisure — 1.1%
Chipotle Mexican Grill, Inc.*		5,700		3,448,443
Cracker Barrel Old Country Store, Inc.(a)		5,500		820,380
Darden Restaurants, Inc.		89,800		6,382,984
DineEquity, Inc.		19,700		1,952,073
Flight Centre Travel Group Ltd. (Australia)(a)		776		20,395
Marriott Vacations Worldwide Corp.		38,700		3,550,725
McDonald’s Corp.		253,300		24,081,231
Merlin Entertainments PLC (United Kingdom), 144A		9,701		65,063
Sodexo SA (France)		4,040		384,600
Tatts Group Ltd. (Australia)		209,086		599,504
Tui AG (Germany)		6,076		98,311

				41,403,709

Household Durables — 0.1%
Barratt Developments PLC (United Kingdom)		98,279		947,927
Helen of Troy Ltd.*		30,600		2,983,194
Panasonic Corp. (Japan)		37,800		517,717
Persimmon PLC (United Kingdom)		22,051		684,149
Sony Corp. (Japan)*		16,300		462,869
Taylor Wimpey PLC (United Kingdom)		43,702		127,447

				5,723,303

Household Products — 1.5%
Colgate-Palmolive Co.		75,900		4,964,619
Henkel AG & Co. KGaA (Germany)		4,488		427,958
Kimberly-Clark Corp.		128,800		13,648,936
Procter & Gamble Co. (The)		470,705		36,827,959
Svenska Cellulosa AB SCA (Sweden) (Class B Stock)		46,818		1,190,497

				57,059,969


COMMON STOCKS (continued)	Shares		Value (Note 2)
Independent Power & Renewable Electricity Producers — 0.4%
AES Corp.(a)		838,300	$	11,115,858
Calpine Corp.*(a)		196,600		3,536,834
Electric Power Development Co. Ltd. (Japan)		2,000		70,652

				14,723,344

Industrial Conglomerates — 1.0%
3M Co.		148,200		22,867,260
Carlisle Cos., Inc.		19,300		1,932,316
CK Hutchison Holdings Ltd. (Hong Kong)		26,020		382,545
Danaher Corp.		15,300		1,309,527
General Electric Co.		380,000		10,096,600
Hopewell Holdings Ltd. (Hong Kong)		97,000		355,140
Keppel Corp. Ltd. (Singapore)		20,200		123,122
Siemens AG (Germany)		2,200		222,578

				37,289,088

Insurance — 1.4%
ACE Ltd.		12,100		1,230,328
Aegon NV (Netherlands)		23,100		170,437
Aflac, Inc.		138,300		8,602,260
Ageas (Belgium)		9,435		364,035
AIA Group Ltd. (Hong Kong)		7,400		48,386
Allianz SE (Germany)		12,096		1,886,388
Allstate Corp. (The)		126,500		8,206,055
American Financial Group, Inc.		54,400		3,538,176
AMP Ltd. (Australia)		40,633		188,550
AXA SA (France)		62,231		1,577,674
Direct Line Insurance Group PLC (United Kingdom)		18,877		99,599
Hannover Rueck SE (Germany)		10,202		987,420
Legal & General Group PLC (United Kingdom)		299,900		1,172,621
MetLife, Inc.		136,800		7,659,432
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany)		2,383		422,493
NN Group NV (Netherlands)		32,650		919,500
Old Republic International Corp.		150,000		2,344,500
Prudential PLC (United Kingdom)		47,549		1,145,902
Sampo OYJ (Finland) (Class A Stock)		1,437		67,722
SCOR SE (France)		2,097		74,153
Swiss Life Holding AG (Switzerland)		2,664		610,005
Swiss Re AG (Switzerland)		13,787		1,220,463
Tokio Marine Holdings, Inc. (Japan)		9,600		399,255
Travelers Cos., Inc. (The)		89,100		8,612,406
Unum Group		108,300		3,871,725

				55,419,485

Internet & Catalog Retail — 0.5%
Amazon.com, Inc.*		3,600		1,562,724
Liberty Interactive Corp. QVC Group (Class A Stock)*		246,600		6,843,150
TripAdvisor, Inc.*(a)		116,300		10,134,382

				18,540,256

SEE NOTES TO FINANCIAL STATEMENTS.

A66


COMMON STOCKS (continued)	Shares		Value (Note 2)
Internet Software & Services — 1.5%
eBay, Inc.*		68,400	$	4,120,416
Equinix, Inc.		11,700		2,971,800
Google, Inc. (Class A Stock)*		31,800		17,173,272
Google, Inc. (Class C Stock)*		62,382		32,470,455
Mixi, Inc. (Japan)		600		29,768

				56,765,711

IT Services — 1.6%
Amadeus IT Holding SA (Spain) (Class A Stock)		13,659		545,271
Atos SE (France)		410		30,637
Automatic Data Processing, Inc.		127,000		10,189,210
Booz Allen Hamilton Holding Corp.		87,700		2,213,548
Broadridge Financial Solutions, Inc.		43,000		2,150,430
Cap Gemini SA (France)		12,887		1,143,292
DST Systems, Inc.		53,100		6,689,538
Fiserv, Inc.*(a)		116,600		9,657,978
International Business Machines Corp.		33,500		5,449,110
MAXIMUS, Inc.		39,100		2,570,043
NTT Data Corp. (Japan)		1,800		78,607
Syntel, Inc.*		16,300		773,924
Total System Services, Inc.		32,900		1,374,233
Visa, Inc. (Class A Stock)(a)		272,800		18,318,520

				61,184,341

Leisure Products — 0.1%
Bandai Namco Holdings, Inc. (Japan)		2,400		46,379
Brunswick Corp.		97,400		4,953,764
Sega Sammy Holdings, Inc. (Japan)		2,600		33,996
Shimano, Inc. (Japan)		1,100		150,106

				5,184,245

Life Sciences Tools & Services — 0.5%
Agilent Technologies, Inc.		25,100		968,358
Lonza Group AG (Switzerland)		8,284		1,107,283
QIAGEN NV*		3,279		80,587
Thermo Fisher Scientific, Inc.		124,600		16,168,096

				18,324,324

Machinery — 0.5%
Amada Co. Ltd. (Japan)		3,800		40,109
ANDRITZ AG (Austria)		16,502		913,818
Caterpillar, Inc.		28,700		2,434,334
Crane Co.		18,000		1,057,140
Cummins, Inc.		13,200		1,731,708
FANUC Corp. (Japan)		7,200		1,473,232
Kawasaki Heavy Industries Ltd. (Japan)		20,000		93,224
Lincoln Electric Holdings, Inc.		17,900		1,089,931
Minebea Co. Ltd. (Japan)		63,000		1,040,027
NGK Insulators Ltd. (Japan)		4,000		102,924
NSK Ltd. (Japan)		6,000		92,515
Oshkosh Corp.(a)		15,500		656,890
Parker Hannifin Corp.		6,300		732,879
Schindler Holding AG (Switzerland)		2,505		409,102
SMC Corp. (Japan)		200		60,184
SPX Corp.		12,500		904,875


COMMON STOCKS (continued)	Shares		Value (Note 2)
Machinery (continued)
Sumitomo Heavy Industries Ltd. (Japan)		172,000	$	1,001,788
THK Co. Ltd. (Japan)		1,200		25,896
Trinity Industries, Inc.(a)		196,000		5,180,280
Volvo AB (Sweden)		21,184		263,053
Wabtec Corp.		15,100		1,423,024
Yangzijiang Shipbuilding Holdings Ltd. (China)		26,000		27,308

				20,754,241

Marine
A.P. Moeller – Maersk A/S (Denmark) (Class A Stock)		59		103,475
A.P. Moeller – Maersk A/S (Denmark) (Class B Stock)		598		1,081,209
Mitsui OSK Lines Ltd. (Japan)		15,000		48,015
Nippon Yusen K.K. (Japan)		23,000		64,033

				1,296,732

Media — 2.1%
Cinemark Holdings, Inc.		77,700		3,121,209
Comcast Corp. (Class A Stock)		505,273		30,387,118
Dentsu, Inc. (Japan)		3,000		155,198
DIRECTV*		92,400		8,573,796
Discovery Communications, Inc. (Class C Stock)*(a)		81,500		2,533,020
ITV PLC (United Kingdom)		52,494		217,189
ProSiebenSat.1 Media AG (Germany)		3,029		149,615
Publicis Groupe SA (France)		14,394		1,066,929
RTL Group SA (Germany)		540		48,816
Sky PLC (United Kingdom)		14,063		229,052
Vivendi SA (France)		15,844		401,751
Walt Disney Co. (The)		287,700		32,838,078
WPP PLC (United Kingdom)		57,804		1,297,471

				81,019,242

Metals & Mining — 0.2%
BHP Billiton Ltd. (Australia)		42,306		862,994
BHP Billiton PLC (Australia)		28,976		569,713
Boliden AB (Sweden)		3,633		66,232
Century Aluminum Co.*(a)		118,700		1,238,041
Fortescue Metals Group Ltd. (Australia)(a)		18,607		27,404
Hitachi Metals Ltd. (Japan)		3,000		46,120
JFE Holdings, Inc. (Japan)		38,700		857,433
Kobe Steel Ltd. (Japan)		551,000		927,009
Mitsubishi Materials Corp. (Japan)		16,000		61,436
Nippon Steel & Sumitomo Metal Corp. (Japan)		105,000		272,250
Norsk Hydro ASA (Norway)		18,575		77,958
Rio Tinto Ltd. (United Kingdom)		6,012		248,697
Rio Tinto PLC (United Kingdom)		18,987		780,987
South32 Ltd. (Australia)*		42,306		58,428
Sumitomo Metal Mining Co. Ltd. (Japan)		7,000		106,463
Voestalpine AG (Austria)		9,095		379,057

				6,580,222

SEE NOTES TO FINANCIAL STATEMENTS.

A67


COMMON STOCKS (continued)	Shares		Value (Note 2)
Multi-Utilities — 0.5%
AGL Energy Ltd. (Australia)		80,183	$	960,506
National Grid PLC (United Kingdom)		118,513		1,525,351
Public Service Enterprise Group, Inc.		361,600		14,203,648
Vectren Corp.		36,000		1,385,280

				18,074,785

Multiline Retail — 0.6%
Dillard’s, Inc. (Class A Stock)		38,100		4,007,739
Harvey Norman Holdings Ltd. (Australia)		7,371		25,595
Isetan Mitsukoshi Holdings Ltd. (Japan)		4,800		85,755
J. Front Retailing Co. Ltd. (Japan)		3,300		62,110
Takashimaya Co. Ltd. (Japan)		94,000		852,054
Target Corp.		224,300		18,309,609

				23,342,862

Oil, Gas & Consumable Fuels — 4.5%
BG Group PLC (United Kingdom)		47,400		789,433
BP PLC (United Kingdom)		388,904		2,581,015
Cabot Oil & Gas Corp.(a)		225,700		7,118,578
Caltex Australia Ltd. (Australia)		1,803		44,260
Chevron Corp.		69,156		6,671,479
Eni SpA (Italy)		32,382		575,158
EQT Corp.		151,700		12,339,278
Exxon Mobil Corp.		640,216		53,265,971
Hess Corp.		106,300		7,109,344
HollyFrontier Corp.		167,300		7,142,037
Marathon Oil Corp.		110,700		2,937,978
Marathon Petroleum Corp.		300,200		15,703,462
Neste OYJ (Finland)		1,749		44,617
OMV AG (Austria)		1,730		47,627
ONEOK, Inc.		100,000		3,948,000
Phillips 66		254,000		20,462,240
Repsol SA (Spain)		22,072		389,034
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		53,426		1,510,566
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		33,454		952,447
Statoil ASA (Norway)		15,692		280,620
Total SA (France)		46,247		2,268,465
Valero Energy Corp.		299,600		18,754,960
Western Refining, Inc.		81,300		3,546,306
Woodside Petroleum Ltd. (Australia)		10,154		267,931
World Fuel Services Corp.		88,400		4,238,780

				172,989,586

Paper & Forest Products — 0.4%
International Paper Co.		268,100		12,758,879
Mondi PLC (South Africa)		47,181		1,015,766
Oji Holdings Corp. (Japan)		11,000		47,804
UPM-Kymmene OYJ (Finland)		57,326		1,014,438

				14,836,887

Personal Products
L’Oreal SA (France)		427		76,399


COMMON STOCKS (continued)	Shares		Value (Note 2)
Pharmaceuticals — 3.7%
AbbVie, Inc.		205,000	$	13,773,950
AstraZeneca PLC (United Kingdom)		4,455		281,956
Bayer AG (Germany)		7,248		1,015,013
Bristol-Myers Squibb Co.		297,100		19,769,034
GlaxoSmithKline PLC (United Kingdom)		72,717		1,511,918
Johnson & Johnson		427,498		41,663,955
Merck & Co., Inc.		475,000		27,041,750
Novartis AG (Switzerland)		34,743		3,417,338
Novo Nordisk A/S (Denmark) (Class B Stock)		32,905		1,805,658
Orion OYJ (Finland) (Class B Stock)		9,812		343,699
Otsuka Holdings Co. Ltd. (Japan)		33,300		1,061,045
Pfizer, Inc.		752,497		25,231,224
Roche Holding AG (Switzerland)		9,663		2,709,423
Sanofi (France)		16,462		1,628,588
Shire PLC (Ireland)		15,083		1,211,905
Teva Pharmaceutical Industries Ltd. (Israel)		27,061		1,601,415

				144,067,871

Professional Services
SGS SA (Switzerland)		75		136,770

Real Estate Investment Trusts (REITs) — 1.3%
Annaly Capital Management, Inc.		942,300		8,659,737
British Land Co. PLC (The) (United Kingdom)		13,341		166,176
CapitaCommercial Trust (Singapore)		28,300		32,754
CBL & Associates Properties, Inc.		62,800		1,017,360
Chambers Street Properties		182,500		1,450,875
Chimera Investment Corp.		46,700		640,257
Equity Residential		23,400		1,641,978
Federation Centres Ltd. (Australia)		447,952		1,007,942
Franklin Street Properties Corp.		84,000		950,040
GEO Group, Inc. (The)		27,200		929,152
Goodman Group (Australia)		23,208		112,087
GPT Group (Australia)		23,181		76,420
Healthcare Realty Trust, Inc.		32,900		765,254
Hospitality Properties Trust		199,900		5,761,118
Intu Properties PLC (United Kingdom)		111,892		540,509
Invesco Mortgage Capital, Inc.		227,300		3,254,936
Land Securities Group PLC (United Kingdom)		24,862		470,115
Lexington Realty Trust(a)		176,500		1,496,720
Link REIT (The) (Hong Kong)		188,500		1,103,090
Prologis, Inc.		349,000		12,947,900
Scentre Group (Australia)		74,785		216,032
Segro PLC (United Kingdom)		10,225		65,147
Simon Property Group, Inc.		17,400		3,010,548
Sunstone Hotel Investors, Inc.		209,000		3,137,090
WP Carey, Inc.		15,200		895,888

				50,349,125

SEE NOTES TO FINANCIAL STATEMENTS.

A68


COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Management & Development — 0.6%
CBRE Group, Inc. (Class A Stock)*		338,800	$	12,535,600
Cheung Kong Property Holdings Ltd. (Hong Kong)*		38,020		315,380
Daiwa House Industry Co. Ltd. (Japan)		8,200		191,043
Henderson Land Development Co. Ltd. (Hong Kong)		114,510		782,784
Hysan Development Co. Ltd. (Hong Kong)		104,000		450,370
Jones Lang LaSalle, Inc.		33,200		5,677,200
Kerry Properties Ltd. (Hong Kong)		241,000		944,674
Lend Lease Group (Australia)		79,067		914,194
New World Development Co. Ltd. (Hong Kong)		139,000		181,624
Sino Land Co. Ltd. (Hong Kong)		42,000		70,103
Swire Properties Ltd. (Hong Kong)		16,200		51,670
Wheelock & Co. Ltd. (Hong Kong)		13,000		66,335

				22,180,977

Road & Rail — 0.6%
Central Japan Railway Co. (Japan)		2,000		360,909
ComfortDelGro Corp. Ltd. (Singapore)		21,000		48,769
Hankyu Hanshin Holdings, Inc. (Japan)		16,000		94,447
MTR Corp. Ltd. (Hong Kong)		20,500		95,378
Nippon Express Co. Ltd. (Japan)		11,000		54,048
Union Pacific Corp.		216,800		20,676,216
West Japan Railway Co. (Japan)		4,500		287,906

				21,617,673

Semiconductors & Semiconductor Equipment — 1.8%
Advantest Corp. (Japan)		2,300		23,914
ARM Holdings PLC (United Kingdom)		58,558		958,230
Avago Technologies Ltd. (Singapore)(a)		65,100		8,653,743
Integrated Device Technology, Inc.*(a)		65,100		1,412,670
Intel Corp.		1,059,500		32,224,693
Skyworks Solutions, Inc.		82,800		8,619,480
Texas Instruments, Inc.		369,000		19,007,190
Tokyo Electron Ltd. (Japan)		2,400		152,537

				71,052,457

Software — 2.2%
Dassault Systemes (France)		1,783		129,436
GungHo Online Entertainment, Inc. (Japan)		5,600		21,793
Manhattan Associates, Inc.*		56,100		3,346,365
Microsoft Corp.		1,188,100		52,454,615
Oracle Corp.		393,200		15,845,960
SAP SE (Germany)		930		65,171
SolarWinds, Inc.*		35,800		1,651,454
Symantec Corp.		366,000		8,509,500
Synopsys, Inc.*		49,700		2,517,305

				84,541,599


COMMON STOCKS (continued)	Shares		Value (Note 2)
Specialty Retail — 1.8%
ABC-Mart, Inc. (Japan)		400	$	24,481
AutoNation, Inc.*		175,000		11,021,500
Dixons Carphone PLC (United Kingdom)		13,627		96,900
Express, Inc.*		61,200		1,108,332
Fast Retailing Co. Ltd. (Japan)		700		317,430
Gap, Inc. (The)(a)		244,400		9,328,748
GNC Holdings, Inc. (Class A Stock)		24,300		1,080,864
Home Depot, Inc. (The)		138,900		15,435,957
Lowe’s Cos., Inc.		147,700		9,891,469
Ross Stores, Inc.		351,000		17,062,110
Ulta Salon Cosmetics & Fragrance, Inc.*		23,500		3,629,575
Urban Outfitters, Inc.*		21,800		763,000
USS Co. Ltd. (Japan)		4,600		82,961

				69,843,327

Technology Hardware, Storage & Peripherals — 3.2%
Apple, Inc.		794,000		99,587,450
EMC Corp.		91,500		2,414,685
FUJIFILM Holdings Corp. (Japan)		33,500		1,195,549
Hewlett-Packard Co.		665,800		19,980,658
Western Digital Corp.		30,100		2,360,442

				125,538,784

Textiles, Apparel & Luxury Goods — 0.5%
Carter’s, Inc.		58,800		6,250,440
Christian Dior SE (France)		747		146,240
Luxottica Group SpA (Italy)		17,404		1,157,681
LVMH Moet Hennessy Louis Vuitton SE (France)		8,971		1,577,198
Michael Kors Holdings Ltd.*		261,600		11,010,744
Swatch Group AG (The) (Switzerland)		680		51,078

				20,193,381

Tobacco — 0.8%
Altria Group, Inc.		473,100		23,139,321
British American Tobacco PLC (United Kingdom)		9,083		489,048
Imperial Tobacco Group PLC (United Kingdom)		35,070		1,689,039
Japan Tobacco, Inc. (Japan)		29,300		1,041,594
Philip Morris International, Inc.		50,800		4,072,636
Reynolds American, Inc.		16,100		1,202,026

				31,633,664

Trading Companies & Distributors — 0.1%
Ashtead Group PLC (United Kingdom)		59,328		1,022,499
Brenntag AG (Germany)		2,103		120,674
Bunzl PLC (United Kingdom)		4,566		124,557
ITOCHU Corp. (Japan)		88,100		1,163,556
Mitsubishi Corp. (Japan)		800		17,587
Mitsui & Co. Ltd. (Japan)		23,400		317,915
Sumitomo Corp. (Japan)		15,500		180,411

				2,947,199

SEE NOTES TO FINANCIAL STATEMENTS.

A69


COMMON STOCKS (continued)	Shares		Value (Note 2)
Transportation Infrastructure
Auckland International Airport Ltd. (New Zealand)		13,161	$	44,048
Groupe Eurotunnel SE (France)		6,431		93,245

				137,293

Water Utilities
Severn Trent PLC (United Kingdom)		3,275		107,014

Wireless Telecommunication Services — 0.1%
KDDI Corp. (Japan)		63,700		1,537,205
NTT DOCOMO, Inc. (Japan)		9,200		176,627
Vodafone Group PLC (United Kingdom)		359,254		1,310,513

				3,024,345

TOTAL COMMON STOCKS (cost $1,889,754,826)				2,390,926,769

EXCHANGE TRADED FUND
iShares MSCI EAFE Index Fund (cost $1,242,564)		20,650		1,311,069


COMMON STOCKS (continued)	Shares		Value (Note 2)
PREFERRED STOCKS — 0.1%
Automobiles — 0.1%
Bayerische Motoren Werke AG (Germany) (PRFC)		735	$	62,235
Volkswagen AG (Germany) (PRFC)		5,588		1,296,859

				1,359,094

Banks
Citigroup Capital XIII, 7.875%, (Capital Security, fixed to floating preferred)(b)		22,000		571,120
Household Products
Henkel AG & Co. KGaA (Germany) (PRFC)		2,460		276,052

TOTAL PREFERRED STOCKS (cost $2,181,507)				2,206,266


ASSET-BACKED SECURITIES — 3.6%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Debt Obligation
Cent CDO XI Ltd. (Cayman Islands), Series 2006-11A, Class A1, 144A		0.537%	(b)	04/25/19		442		435,911

Collateralized Loan Obligations — 1.6%
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		1.455%	(b)	04/20/25		2,550		2,526,492
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A		3.360%		04/20/25		500		492,107
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A		0.986%	(b)	05/15/20		3,900		3,918,006
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.466%	(b)	07/13/25		2,700		2,674,729
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1, 144A		1.779%	(b)	04/28/26		1,500		1,497,014
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		1.875%	(b)	10/15/26		2,500		2,502,813
Arrowpoint CLO Ltd. (Cayman Islands), Series 2015-4A, Class A, 144A		1.822%	(b)	04/18/27		250		248,661
Atlas Senior Loan Fund Ltd. (Cayman Islands), Series 2014-6A, Class A, 144A		1.815%	(b)	10/15/26		750		749,348
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A		1.874%	(b)	10/17/26		250		250,283
Battalion CLO VIII Ltd. (Cayman Islands), Series 2015-8A, Class A1, 144A		1.791%	(b)	04/18/27		1,250		1,250,185
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A		1.475%	(b)	07/15/24		1,200		1,188,987
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.424%	(b)	04/17/25		2,100		2,078,967
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		1.825%	(b)	04/20/26		2,200		2,197,517
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A2, 144A		2.075%	(b)	04/20/26		450		446,680
Catamaran CLO Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A		1.785%	(b)	10/18/26		500		498,448
Flagship VII Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A		1.745%	(b)	01/20/26		2,300		2,293,093
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.674%	(b)	01/17/26		500		498,536
Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A		0.526%	(b)	07/22/20		353		350,483
Fraser Sullivan CLO I Ltd. (Cayman Islands), Series 2006-1A, Class B, 144A		0.756%	(b)	03/15/20		521		520,055
Galaxy XVIII CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A		1.745%	(b)	10/15/26		1,250		1,245,580
HLM (Cayman Islands), Series 2015-15, Class 6A, 144A		1.271%	(b)	05/05/27		250		249,219
ICG U.S. CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1B, 144A		3.320%		01/25/27		1,000		1,001,257
ING IM CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.415%	(b)	04/15/24		1,850		1,825,072
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A		1.814%	(b)	04/15/27		500		500,189

SEE NOTES TO FINANCIAL STATEMENTS.

A70


ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations (continued)
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		1.864%	(b)	05/15/26		300	$	300,218
Limerock CLO II Ltd. (Cayman Islands), Series 2014-2A, Class A, 144A		1.775%	(b)	04/18/26		750		748,502
Magnetite CLO Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A		1.697%	(b)	07/25/26		3,000		2,983,363
Magnetite VIII Ltd. (Cayman Islands), Series 2014-8A, Class A, 144A		1.755%	(b)	04/15/26		5,300		5,285,278
Magnetite XI Ltd. (Cayman Islands), Series 2014-11A, Class A1, 144A		1.725%	(b)	01/18/27		500		497,675
Neuberger Berman CLO XII Ltd. (Cayman Islands), Series 2012-12AR, Class BR, 144A		2.377%	(b)	07/25/23		250		250,467
Neuberger Berman CLO XVI Ltd. (Cayman Islands), Series 2014-16A, Class A1, 144A		1.745%	(b)	04/15/26		500		498,429
OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A		1.425%	(b)	07/22/25		1,200		1,186,978
Race Point V CLO Ltd. (Cayman Islands), Series 2011-5AR, Class AR, 144A		1.586%	(b)	12/15/22		449		445,817
Race Point VIII CLO Ltd. (Cayman Islands), Series 2013-8A, Class A, 144A		1.525%	(b)	02/20/25		250		248,353
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A		1.754%	(b)	07/17/26		800		799,967
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A		4.350%		07/17/26		500		499,568
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.325%	(b)	04/15/25		3,200		3,148,790
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A		2.926%	(b)	08/17/22		500		498,682
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A		2.975%	(b)	10/20/23		1,100		1,097,342
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A		2.000%		09/20/29		1,012		1,001,516
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2014-3A, Class A, 144A		1.896%	(b)	01/22/27		2,250		2,252,357
Treman Park CLO LLC (Cayman Islands), Series 2015-1A, Class A, 144A		1.761%	(b)	04/20/27		250		249,578
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.395%	(b)	07/15/25		2,700		2,668,070
Vibrant CLO Ltd. (Cayman Islands), Series 2015-3A, Class A1, 144A		1.885%	(b)	04/20/26		3,000		3,002,203
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		1.775%	(b)	04/20/26		1,850		1,846,267
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A		4.250%		04/20/26		500		494,675

								61,007,816

Non-Residential Mortgage-Backed Securities — 0.8%
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 144A		1.920%		09/20/19		1,700		1,694,527
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 144A		2.500%		07/20/21		6,000		5,963,436
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 144A		2.630%		12/20/21		4,700		4,687,940
Ford Credit Auto Owner Trust, Series 2014-REV1, Class A, 144A		2.260%		11/15/25		2,000		2,024,738
Ford Credit Auto Owner Trust, Series 2014-REV2, Class A, 144A		2.310%		04/15/26		3,200		3,235,408
GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 144A		0.686%	(b)	05/15/20		1,800		1,800,749
Hertz Corp., Series 2015-1A, Class A(c)		2.730%		03/25/21		5,300		5,273,500
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A		2.570%		07/18/25		4,500		4,503,420
Springleaf Funding Trust, Series 2015-AA, Class A, 144A		3.160%		11/15/24		3,495		3,536,461

								32,720,179

Residential Mortgage-Backed Securities — 1.2%
Banc of America Funding Trust., Series 2015-R4, Class 4A1, 144A		3.500%	(b)	01/01/30		2,594		2,603,076
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1		1.837%	(b)	03/25/33		227		215,304
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3		3.996%		07/25/35		302		290,225
CSMC, Series 2015-3R, Class 10A1, 144A		2.185%	(b)	10/29/47		4,575		4,570,223
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1		4.942%		07/25/34		328		311,283
GSAMP Trust, Series 2004-HE2, Class A3C		1.347%	(b)	09/25/34		674		657,496
HSBC Home Equity Loan Trust U.S.A., Series 2006-4, Class A4		0.417%	(b)	03/20/36		3,559		3,531,958
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1		0.982%	(b)	06/25/34		582		561,323
LSTAR Securities Investment Trust, Series 2014-1, Class NOTE, 144A		3.284%	(b)	09/01/21		4,695		4,719,316
LSTAR Securities Investment Trust, Series 2015-3, Class A, 144A		2.184%	(b)	03/01/20		3,918		3,900,254
LSTAR Securities Investment Trust, Series 2015-4, Class A1, 144A		2.184%	(b)	04/01/20		3,417		3,367,407

SEE NOTES TO FINANCIAL STATEMENTS.

A71


ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Residential Mortgage-Backed Securities (continued)
LSTAR Securities Investment Trust, Series 2015-5, Class A1, 144A		2.184%	(b)	04/01/20		2,921	$	2,909,845
LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A		2.184%	(b)	05/01/20		5,150		5,111,790
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1		1.387%	(b)	05/25/33		383		359,254
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE5, Class M1		1.132%	(b)	06/25/34		819		769,466
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1		1.237%	(b)	12/25/33		693		668,839
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1		1.087%	(b)	07/25/32		344		328,871
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1		1.462%	(b)	09/25/32		439		432,691
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1		0.952%	(b)	02/25/34		754		708,094
Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 144A		2.200%		10/20/30		2,974		2,983,678
VOLT XXXI LLC, Series 2015-NPL2, Class A1, 144A		3.375%		02/25/55		2,128		2,122,473
VOLT XXXIV LLC, Series 2015-NPL7, Class A1, 144A		3.250%		02/25/55		4,361		4,342,532

								45,465,398

TOTAL ASSET-BACKED SECURITIES (cost $139,280,097)								139,629,304

BANK LOANS(b) — 0.1%
Automotive
Schaeffler AG (Germany)		4.250%		05/15/20		663		666,226

Cable
Virgin Media Investment Holdings Ltd. (United Kingdom)		3.500%		06/30/23		673		666,062

Foods
ARAMARK Corp.		3.250%		09/07/19		534		532,452

Healthcare & Pharmaceutical
Grifols Worldwide Operations USA, Inc.		3.281%		02/26/21		247		246,721
RPI Finance Trust (Luxembourg)		3.250%		11/09/18		1,032		1,033,463

								1,280,184

Retailers
Staples, Inc.		3.500%		02/28/22		730		728,581

Technology — 0.1%
First Data Corp.		3.687%		03/26/18		1,134		1,129,976
TransUnion LLC		3.750%		04/09/21		494		490,050

								1,620,026

TOTAL BANK LOANS (cost $5,457,017)								5,493,531

COLLATERALIZED MORTGAGE OBLIGATIONS — 0.6%
Alternative Loan Trust, Series 2004-18CB, Class 3A1		5.250%		09/25/19		235		239,873
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1		6.000%		01/25/36		1,685		1,419,853
Bank of America Mortgage Trust, Series 2005-A, Class 2A1		2.673%	(b)	02/25/35		340		331,782
Bank of America Mortgage Trust, Series 2005-B, Class 2A1		2.732%	(b)	03/25/35		300		276,127
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5		2.553%	(b)	02/25/37		732		711,931
Fannie Mae Connecticut Avenue Securities, Series 2014-CO4, Class 1M1		2.137%	(b)	11/25/24		3,893		3,922,166
Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 1M1		1.687%	(b)	02/25/25		1,238		1,239,160
Fannie Mae Connecticut Avenue Securities, Series 2015-C02, Class 1M1		1.335%	(b)	05/25/25		5,968		5,935,961
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1		1.087%	(b)	10/25/27		8,864		8,845,764
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1		2.595%	(b)	07/25/35		405		405,591
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1		5.000%		04/25/19		72		72,882
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		2.637%	(b)	02/25/34		342		340,038
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A		5.000%		03/25/20		101		100,882

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $24,030,052)								23,842,010

SEE NOTES TO FINANCIAL STATEMENTS.

A72


COMMERCIAL MORTGAGE-BACKED SECURITIES — 3.6%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3		5.369%		10/10/45		3,900	$	3,927,436
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A		5.732%	(b)	04/10/49		5,274		5,572,369
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A3		5.756%	(b)	04/10/49		1,500		1,515,281
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4		5.899%	(b)	12/10/49		1,000		1,069,655
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3		2.815%		04/10/46		1,100		1,089,910
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4		3.575%		05/10/47		2,750		2,834,532
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A3		3.356%		07/10/47		2,800		2,834,171
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4		5.223%		08/15/48		1,007		1,046,824
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3		2.540%		12/10/45		1,000		978,845
Commercial Mortgage Pass-Through Certificates, Series 2013-CR7, Class A3		2.929%		03/10/46		1,700		1,699,174
Commercial Mortgage Pass-Through Certificates, Series 2014-CR15, Class A2		2.928%		02/10/47		2,700		2,786,114
Commercial Mortgage Trust, Series 2005-GG5, Class A5		5.224%	(b)	04/10/37		3,617		3,621,321
Commercial Mortgage Trust, Series 2005-GG5, Class AM		5.277%	(b)	04/10/37		4,500		4,532,238
Commercial Mortgage Trust, Series 2014-CCRE20, Class A3		3.326%		11/10/47		5,000		5,031,885
Commercial Mortgage Trust, Series 2014-CR18, Class A4		3.550%		07/15/47		2,800		2,875,292
Commercial Mortgage Trust, Series 2014-UBS3, Class A2		2.844%		06/10/47		2,300		2,366,104
Commercial Mortgage Trust, Series 2015-3BP, Class A, 144A		3.178%		02/10/35		5,300		5,201,961
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class A4		5.609%	(b)	02/15/39		2,444		2,462,838
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM		5.639%	(b)	02/15/39		640		649,827
Fannie Mae-Aces, Series 2015-M10, Class A2		3.092%	(b)	04/25/27		6,500		6,434,675
Federal National Mortgage Assoc., Series 2014-M2, Class A2		3.513%	(b)	12/25/23		2,515		2,647,400
FHLMC Multifamily Structured Pass-Through Certificates, Series K017, Class A2		2.873%		12/25/21		3,500		3,598,952
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class A2		2.373%		05/25/22		2,000		1,994,122
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O		1.596%	(b)	05/25/22		25,183		2,031,640
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O		1.632%	(b)	06/25/22		7,123		593,684
FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2		3.320%		02/25/23		5,800		6,076,503
FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2		3.531%	(b)	07/25/23		2,400		2,538,233
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O		1.734%	(b)	08/25/16		5,846		71,435
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O		1.906%	(b)	05/25/19		19,477		1,137,163
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O		1.826%	(b)	07/25/19		20,573		1,170,438
GE Capital Commercial Mortgage Corp., Series 2005-C4, Class A4		5.495%	(b)	11/10/45		2,580		2,585,913
GE Capital Commercial Mortgage Corp., Series 2006-C1, Class A4		5.449%	(b)	03/10/44		1,886		1,906,708
GS Mortgage Securities Trust, Series 2006-GG6, Class AAB		5.587%	(b)	04/10/38		255		255,480
GS Mortgage Securities Trust, Series 2015-GC28, Class A4		3.136%		02/10/48		4,000		3,952,968
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1		3.408%		11/15/47		1,400		1,422,103
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1		2.920%		02/15/48		6,000		5,823,348
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP4, Class AM		4.999%	(b)	10/15/42		1,270		1,270,809
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class ASB		5.523%		05/12/45		686		693,869
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3		3.139%		06/15/45		1,901		1,957,268
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4		2.611%		12/15/47		1,700		1,670,218

SEE NOTES TO FINANCIAL STATEMENTS.

A73


COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4		2.875%		12/15/47		3,900	$	3,886,767
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2		3.070%		12/15/46		2,700		2,801,452
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46		1,400		1,372,897
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM		5.263%	(b)	11/15/40		1,510		1,513,319
Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM		5.865%	(b)	05/12/39		930		955,672
ML-CFC Commercial Mortgage Trust, Series 2006-1, Class AM		5.700%	(b)	02/12/39		530		540,027
ML-CFC Commercial Mortgage Trust, Series 2006-2, Class A4		6.059%	(b)	06/12/46		1,658		1,698,454
ML-CFC Commercial Mortgage Trust, Series 2007-6, Class A2		5.331%		03/12/51		1,775		1,793,231
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3		2.863%		12/15/48		1,500		1,492,451
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3		3.451%		07/15/50		5,000		5,045,145
Morgan Stanley Capital I Trust, Series 2006-IQ11, Class A4		5.845%	(b)	10/15/42		1,622		1,633,170
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class A31		5.439%		02/12/44		210		210,242
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB		5.444%		02/12/44		1,275		1,273,839
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4		2.792%		12/10/45		1,700		1,682,420
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3		2.920%		03/10/46		3,900		3,872,747
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3		2.971%		04/10/46		1,800		1,790,784
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4		5.897%	(b)	05/15/43		520		528,104
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4(a)		5.509%		04/15/47		4,500		4,708,107
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A		5.608%	(b)	05/15/46		1,316		1,388,411

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $142,441,879)								140,115,945

CORPORATE BONDS — 9.2%
Airlines — 0.2%
American Airlines, Inc. Pass-Through Trust, Pass-Through Certificates, Series 2015-1, Class A(a)		3.375%		05/01/27		3,260		3,219,250
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A		6.648%		09/15/17		69		70,695
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A		7.250%		11/10/19		591		683,853
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A		4.750%		01/12/21		683		726,100
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A(a)		4.000%		10/29/24		650		661,999
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A		6.821%		08/10/22		315		361,077
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A		4.950%		05/23/19		482		511,389
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A		5.300%		04/15/19		950		1,021,353

								7,255,716

Automotive — 0.1%
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes		4.207%		04/15/16		2,090		2,137,518
General Motors Co., Sr. Unsec’d. Notes		6.250%		10/02/43		1,395		1,556,199
Harley-Davidson Financial Services, Inc., Gtd. Notes, MTN, 144A		2.700%		03/15/17		450		460,086
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A		4.250%		11/15/19		715		725,725
Johnson Controls, Inc., Sr. Unsec’d. Notes		5.500%		01/15/16		245		251,154

								5,130,682

Banking — 3.0%
American Express Co., Jr. Sub. Notes		5.200%	(b)	12/31/49		605		600,523
American Express Co., Sr. Unsec’d. Notes		2.650%		12/02/22		2,213		2,128,815
Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A		3.875%		09/20/22		645		651,995

SEE NOTES TO FINANCIAL STATEMENTS.

A74


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
Bank of America Corp., Series K, Jr. Sub. Notes		8.000%	(b)	12/29/49		2,200	$	2,321,000
Bank of America Corp., Sr. Unsec’d. Notes		5.700%		01/24/22		2,155		2,446,272
Bank of America Corp., Sr. Unsec’d. Notes		6.000%		09/01/17		1,075		1,169,776
Bank of America Corp., Sr. Unsec’d. Notes, MTN		3.300%		01/11/23		780		768,173
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.000%		04/01/24		975		992,136
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.125%		01/22/24		3,820		3,915,000
Bank of America Corp., Sr. Unsec’d. Notes, MTN		5.000%		05/13/21		200		219,553
Bank of America Corp., Sr. Unsec’d. Notes, Series 1		3.750%		07/12/16		870		891,871
Bank of America Corp., Sub. Notes		5.750%		08/15/16		1,775		1,858,693
Bank of America Corp., Sub. Notes, MTN(a)		4.000%		01/22/25		2,000		1,948,588
Bank of America NA, Sub. Notes		5.300%		03/15/17		930		985,023
Bank of America NA, Sub. Notes(a)		6.000%		10/15/36		410		487,118
Bank of Nova Scotia (Canada), Covered Notes, 144A		1.650%		10/29/15		1,535		1,540,901
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes		5.300%		10/30/15		515		522,365
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes		6.400%		10/02/17		330		363,193
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes		7.250%		02/01/18		1,175		1,331,071
Capital One Bank USA NA, Sub. Notes		3.375%		02/15/23		1,560		1,515,354
Capital One Financial Corp., Sr. Unsec’d. Notes		3.200%		02/05/25		1,830		1,730,975
Capital One Financial Corp., Sr. Unsec’d. Notes		3.750%		04/24/24		2,590		2,578,083
Citigroup, Inc., Sr. Unsec’d. Notes		3.875%		10/25/23		1,900		1,938,988
Citigroup, Inc., Sr. Unsec’d. Notes		3.953%		06/15/16		1,010		1,036,939
Citigroup, Inc., Sr. Unsec’d. Notes		4.500%		01/14/22		2,450		2,639,037
Citigroup, Inc., Sr. Unsec’d. Notes		8.125%		07/15/39		710		1,019,107
Citigroup, Inc., Sr. Unsec’d. Notes		8.500%		05/22/19		1,895		2,311,326
Compass Bank, Sr. Unsec’d. Notes		1.850%		09/29/17		1,270		1,268,476
Discover Bank, Sr. Unsec’d. Notes		4.250%		03/13/26		970		958,344
Discover Bank, Sub. Notes		7.000%		04/15/20		570		663,389
Discover Financial Services, Sr. Unsec’d. Notes		3.850%		11/21/22		900		893,606
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes		5.375%	(b)	12/31/49		2,215		2,188,198
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		3.500%		01/23/25		4,100		3,976,155
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		3.625%		02/07/16		2,000		2,032,398
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.250%		07/27/21		2,055		2,282,114
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.750%		01/24/22		3,620		4,117,638
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.250%		02/01/41		270		319,557
Goldman Sachs Group, Inc. (The), Sub. Notes		5.625%		01/15/17		1,190		1,260,111
Goldman Sachs Group, Inc. (The), Sub. Notes		6.750%		10/01/37		104		121,987
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		4.875%		01/14/22		1,910		2,106,239
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		5.100%		04/05/21		1,025		1,142,585
Huntington Bancshares, Inc., Sub. Notes(a)		7.000%		12/15/20		170		202,491
Intesa Sanpaolo SpA (Italy), Gtd. Notes		3.125%		01/15/16		1,395		1,405,634
JPMorgan Chase & Co., Jr. Sub. Notes(a)		6.100%	(b)	12/31/49		1,275		1,279,463
JPMorgan Chase & Co., Jr. Sub. Notes		7.900%	(b)	04/29/49		2,000		2,115,500
JPMorgan Chase & Co., Sr. Unsec’d. Notes		4.250%		10/15/20		2,930		3,132,941
JPMorgan Chase & Co., Sub. Notes		3.875%		09/10/24		3,775		3,714,245
JPMorgan Chase & Co., Sub. Notes(a)		5.625%		08/16/43		490		522,566
Lloyds Bank PLC (United Kingdom), Gtd. Notes		6.375%		01/21/21		1,400		1,651,177
Lloyds Bank PLC (United Kingdom), Gtd. Notes, MTN, 144A		5.800%		01/13/20		1,870		2,136,462
Manufacturers & Traders Trust Co., Sr. Unsec’d. Notes		2.900%		02/06/25		3,080		2,910,951
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN		6.400%		08/28/17		20		21,929
Morgan Stanley, Jr. Sub. Notes(a)		5.450%	(b)	12/31/49		840		833,700
Morgan Stanley, Sr. Unsec’d. Notes		3.750%		02/25/23		940		950,472
Morgan Stanley, Sr. Unsec’d. Notes		5.750%		01/25/21		1,400		1,595,042
Morgan Stanley, Sr. Unsec’d. Notes(a)		6.375%		07/24/42		780		957,679
Morgan Stanley, Sr. Unsec’d. Notes, MTN		5.450%		01/09/17		1,345		1,425,297
Morgan Stanley, Sr. Unsec’d. Notes, MTN		5.500%		07/28/21		1,290		1,455,235
Morgan Stanley, Sr. Unsec’d. Notes, MTN		5.625%		09/23/19		1,415		1,585,641
Morgan Stanley, Sr. Unsec’d. Notes, MTN		6.625%		04/01/18		105		117,816
Morgan Stanley, Sub. Notes, GMTN		4.350%		09/08/26		3,825		3,748,041

SEE NOTES TO FINANCIAL STATEMENTS.

A75


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
MUFG Capital Finance 1 Ltd. (Japan), Gtd. Notes		6.346%	(b)	07/29/49		800	$	837,600
National City Corp., Sub. Notes		6.875%		05/15/19		3,370		3,908,277
People’s United Bank, Sub. Notes		4.000%		07/15/24		465		460,429
People’s United Financial, Inc., Sr. Unsec’d. Notes		3.650%		12/06/22		1,455		1,445,950
PNC Bank NA, Sub. Notes		3.800%		07/25/23		270		276,603
PNC Funding Corp., Gtd. Notes		6.700%		06/10/19		440		513,040
Royal Bank of Canada (Canada), Covered Notes		2.200%		09/23/19		2,940		2,961,635
Royal Bank of Scotland Group PLC (The) (United Kingdom), Sr. Unsec’d. Notes		2.550%		09/18/15		455		456,272
Santander Holdings USA, Inc., Sr. Unsec’d. Notes		3.000%		09/24/15		955		957,636
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes		2.450%		01/10/19		1,210		1,223,168
Synchrony Financial, Sr. Unsec’d. Notes		2.700%		02/03/20		2,700		2,667,100
Toronto-Dominion Bank (The) (Canada), Covered Notes, 144A		1.950%		04/02/20		4,140		4,108,039
US Bancorp, Sub. Notes, MTN		2.950%		07/15/22		1,120		1,102,401
Westpac Banking Corp. (Australia), Covered Notes, 144A		2.000%		05/21/19		1,130		1,140,465

								117,063,569

Brokerage
Jefferies Group LLC, Sr. Unsec’d. Notes		6.500%		01/20/43		560		547,125
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(d)		6.875%		02/06/12		1,715		186,506
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(d)		6.875%		05/02/18		700		80,500
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN		2.000%		09/13/16		820		825,975

								1,640,106

Building Materials & Construction — 0.1%
Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A (original cost $1,423,250; purchased 10/27/14-02/11/15)(c)(e)		5.375%		11/15/24		1,400		1,374,590
D.R. Horton, Inc., Gtd. Notes		3.625%		02/15/18		450		458,438
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A (original cost $740,000; purchased 06/19/14)(c)(e)		5.250%		06/27/29		740		555,148
Owens Corning, Inc., Gtd. Notes		4.200%		12/15/22		775		785,515

								3,173,691

Cable — 0.2%
Cablevision Systems Corp., Sr. Unsec’d. Notes		8.625%		09/15/17		1,000		1,090,000
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A		5.375%		05/01/25		880		856,900
Comcast Cable Communications Holdings, Inc., Gtd. Notes		9.455%		11/15/22		255		350,415
Comcast Corp., Gtd. Notes		6.400%		05/15/38		530		644,920
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes		3.500%		03/01/16		920		934,333
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes		5.150%		03/15/42		860		809,090
DISH DBS Corp., Gtd. Notes		7.125%		02/01/16		1,000		1,026,250
Time Warner Cable, Inc., Gtd. Notes		5.850%		05/01/17		1,710		1,826,054
Videotron Ltd. (Canada), Gtd. Notes		5.000%		07/15/22		1,040		1,037,400

								8,575,362

Capital Goods — 0.3%
Actuant Corp., Gtd. Notes		5.625%		06/15/22		1,205		1,226,088
Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes		7.875%		12/01/17		1,255		1,374,225
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,299,722; purchased 10/10/07)(c)(e)		6.375%		10/15/17		1,302		1,431,242
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $501,539; purchased 05/30/13)(c)(e)		6.700%		06/01/34		420		511,094
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $376,709; purchased 10/10/07)(c)(e)		7.000%		10/15/37		380		464,493
General Electric Co., Sr. Unsec’d. Notes		4.125%		10/09/42		190		182,809
General Electric Co., Sr. Unsec’d. Notes		4.500%		03/11/44		280		284,365
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A (original cost $1,887,203; purchased 09/24/12)(c)(e)		2.500%		03/15/16		1,890		1,903,213
SPX Corp., Gtd. Notes		6.875%		09/01/17		950		1,023,625

SEE NOTES TO FINANCIAL STATEMENTS.

A76


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Capital Goods (continued)
United Rentals North America, Inc., Gtd. Notes		7.375%		05/15/20		1,000	$	1,066,990
United Technologies Corp., Sr. Unsec’d. Notes		4.500%		06/01/42		1,445		1,467,968
Xylem, Inc., Sr. Unsec’d. Notes		4.875%		10/01/21		1,260		1,364,973

								12,301,085

Chemicals — 0.2%
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		3.150%		10/01/22		780		756,263
Celanese US Holdings LLC, Gtd. Notes(a)		5.875%		06/15/21		1,500		1,605,000
CF Industries, Inc., Gtd. Notes		5.375%		03/15/44		585		581,696
Dow Chemical Co. (The), Sr. Unsec’d. Notes(a)		4.625%		10/01/44		45		42,004
Dow Chemical Co. (The), Sr. Unsec’d. Notes		9.400%		05/15/39		347		522,252
Koppers, Inc., Gtd. Notes		7.875%		12/01/19		1,300		1,313,000
LyondellBasell Industries NV, Sr. Unsec’d. Notes		4.625%		02/26/55		1,185		1,043,562
LyondellBasell Industries NV, Sr. Unsec’d. Notes		5.000%		04/15/19		1,000		1,083,265
Monsanto Co., Sr. Unsec’d. Notes		4.400%		07/15/44		235		210,435
Mosaic Co. (The), Sr. Unsec’d. Notes		5.450%		11/15/33		345		367,244
Mosaic Co. (The), Sr. Unsec’d. Notes		5.625%		11/15/43		1,135		1,209,243
Union Carbide Corp., Sr. Unsec’d. Notes		7.500%		06/01/25		460		573,211

								9,307,175

Consumer
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes		6.250%		04/15/18		1,700		1,884,236

Electric — 0.4%
Arizona Public Service Co., Sr. Unsec’d. Notes		6.250%		08/01/16		175		184,864
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes		6.350%		10/01/36		550		687,884
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes		6.125%		04/01/36		310		365,199
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge.		6.950%		03/15/33		590		773,265
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Series 09-C		5.500%		12/01/39		220		251,542
Duke Energy Carolinas LLC, First Mortgage		6.050%		04/15/38		550		677,536
Duke Energy Carolinas LLC, First Ref. Mortgage		4.000%		09/30/42		570		538,888
Dynegy, Inc., Gtd. Notes, 144A		6.750%		11/01/19		455		473,427
Dynegy, Inc., Gtd. Notes, 144A		7.375%		11/01/22		345		361,387
El Paso Electric Co., Sr. Unsec’d. Notes		6.000%		05/15/35		670		787,755
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes		8.625%		08/01/15		1,295		1,302,252
Exelon Generation Co. LLC, Sr. Unsec’d. Notes		6.250%		10/01/39		1,425		1,572,412
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A		5.450%		07/15/44		355		369,553
Florida Power & Light Co., First Mortgage		5.950%		10/01/33		295		359,299
Iberdrola International BV (Spain), Gtd. Notes		6.750%		09/15/33		145		165,958
Nevada Power Co., Gen. Ref. Mtge.		6.500%		05/15/18		1,260		1,432,566
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A		4.881%		08/15/19		610		669,426
Northeast Utilities, Sr. Unsec’d. Notes		4.500%		11/15/19		615		671,940
Public Service Co. of New Mexico, Sr. Unsec’d. Notes		7.950%		05/15/18		140		162,915
Public Service Electric & Gas Co, Sr. Sec’d. Notes, MTN		5.800%		05/01/37		535		644,974
Southern California Edison Co., First Mortgage		3.600%		02/01/45		860		766,588
Xcel Energy, Inc., Sr. Unsec’d. Notes		4.800%		09/15/41		480		497,789
Xcel Energy, Inc., Sr. Unsec’d. Notes		5.613%		04/01/17		199		213,277

								13,930,696

Energy – Integrated — 0.1%
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A		5.375%		01/26/19		460		377,890
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A		5.400%		02/14/22		550		593,081
Shell International Finance BV (Netherlands), Gtd. Notes		3.250%		05/11/25		3,155		3,124,330

								4,095,301

Energy – Other — 0.4%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		4.677%	(f)	10/10/36		2,000		800,000
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.375%		09/15/17		1,195		1,311,398
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.450%		09/15/36		325		375,011
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.950%		06/15/19		250		290,395

SEE NOTES TO FINANCIAL STATEMENTS.

A77


CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Energy – Other (continued)
Cameron International Corp., Sr. Unsec’d. Notes		4.500%	06/01/21		2,200	$	2,305,419
Devon Financing Corp. LLC, Gtd. Notes		7.875%	09/30/31		1,700		2,191,302
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes		4.800%	11/01/43		65		64,169
EOG Resources, Inc., Sr. Unsec’d. Notes(a)		3.900%	04/01/35		1,020		965,581
Helmerich & Payne International Drilling Co., Gtd. Notes, 144A(a)		4.650%	03/15/25		1,995		2,059,414
Nabors Industries, Inc., Gtd. Notes		4.625%	09/15/21		1,070		1,063,014
Phillips 66, Gtd. Notes		2.950%	05/01/17		490		503,659
Pioneer Natural Resources Co., Sr. Unsec’d. Notes(a)		6.875%	05/01/18		1,500		1,684,233

							13,613,595

Foods — 0.2%
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes		8.000%	11/15/39		1,285		1,885,489
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes		8.200%	01/15/39		250		372,175
Bunge Ltd. Finance Corp., Gtd. Notes		8.500%	06/15/19		985		1,190,735
Constellation Brands, Inc., Gtd. Notes		4.250%	05/01/23		1,400		1,379,000
Kraft Heinz Foods Co., Gtd. Notes, 144A		5.000%	07/15/35		815		824,796
Tyson Foods, Inc., Gtd. Notes		6.600%	04/01/16		735		763,092

							6,415,287

Gaming — 0.1%
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes(a)		4.375%	11/01/18		1,000		1,026,250
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., Gtd. Notes, 144A		5.500%	03/01/25		1,125		1,071,562

							2,097,812

Healthcare & Pharmaceutical — 0.8%
AbbVie, Inc., Sr. Unsec’d. Notes		3.600%	05/14/25		1,175		1,161,364
AbbVie, Inc., Sr. Unsec’d. Notes		4.500%	05/14/35		1,910		1,868,559
Actavis Funding SCS, Gtd. Notes		3.800%	03/15/25		1,000		982,322
Actavis Funding SCS, Gtd. Notes		4.550%	03/15/35		1,615		1,535,497
Actavis Funding SCS, Gtd. Notes		4.750%	03/15/45		595		566,472
Actavis, Inc., Gtd. Notes		6.125%	08/15/19		445		502,403
Amgen, Inc., Sr. Unsec’d. Notes		5.150%	11/15/41		1,640		1,684,196
Becton Dickinson and Co., Sr. Unsec’d. Notes(a)		3.734%	12/15/24		1,025		1,021,552
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes		5.125%	08/15/18		1,100		1,127,500
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A		4.125%	10/15/20		1,665		1,685,813
Gilead Sciences, Inc., Sr. Unsec’d. Notes		3.500%	02/01/25		1,460		1,462,127
Gilead Sciences, Inc., Sr. Unsec’d. Notes		5.650%	12/01/41		185		211,966
HCA, Inc., Sr. Sec’d. Notes		4.250%	10/15/19		555		568,181
HCA, Inc., Sr. Sec’d. Notes		5.000%	03/15/24		1,100		1,119,250
HCA, Inc., Sr. Sec’d. Notes		5.250%	04/15/25		400		416,000
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes		3.200%	02/01/22		190		187,320
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes		5.625%	12/15/15		580		591,680
Medtronic, Inc., Gtd. Notes, 144A		3.500%	03/15/25		3,205		3,194,061
Medtronic, Inc., Gtd. Notes, 144A		4.375%	03/15/35		1,355		1,344,600
Merck & Co, Inc., Sr. Unsec’d. Notes		2.750%	02/10/25		420		402,753
Merck & Co, Inc., Sr. Unsec’d. Notes		3.700%	02/10/45		1,380		1,232,848
Mylan, Inc., Gtd. Notes		1.800%	06/24/16		425		425,213
New York & Presbyterian Hospital (The), Unsec’d. Notes		4.024%	08/01/45		445		405,933
Novartis Capital Corp. (Switzerland), Gtd. Notes		4.400%	05/06/44		1,325		1,365,978
Roche Holdings, Inc. (Switzerland), Gtd. Notes, 144A(a)		2.875%	09/29/21		5,305		5,348,724
Wyeth LLC, Gtd. Notes		6.450%	02/01/24		60		74,049
Zoetis, Inc., Sr. Unsec’d. Notes		4.700%	02/01/43		120		114,410

							30,600,771

Healthcare Insurance — 0.2%
Aetna, Inc., Sr. Unsec’d. Notes		6.625%	06/15/36		515		632,550
Aetna, Inc., Sr. Unsec’d. Notes		6.750%	12/15/37		1,380		1,736,482
Anthem, Inc., Sr. Unsec’d. Notes		4.625%	05/15/42		390		356,483
Anthem, Inc., Sr. Unsec’d. Notes		4.650%	01/15/43		360		330,035
Cigna Corp., Sr. Unsec’d. Notes		5.875%	03/15/41		650		739,589

SEE NOTES TO FINANCIAL STATEMENTS.

A78


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Healthcare Insurance (continued)
Cigna Corp., Sr. Unsec’d. Notes		6.150%		11/15/36		670	$	772,946
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		3.950%		10/15/42		720		651,448
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.000%		06/15/17		195		212,319
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.625%		11/15/37		420		538,434

								5,970,286

Insurance — 0.8%
Allied World Assurance Co. Holdings Ltd., Gtd. Notes		5.500%		11/15/20		525		585,081
Allstate Corp. (The), Sr. Unsec’d. Notes		4.500%		06/15/43		150		151,347
American International Group, Inc., Sr. Unsec’d. Notes		4.500%		07/16/44		1,980		1,883,465
American International Group, Inc., Sr. Unsec’d. Notes		6.400%		12/15/20		2,425		2,882,949
Aon Corp., Gtd. Notes		3.125%		05/27/16		2,655		2,707,991
Axis Specialty Finance LLC, Gtd. Notes		5.875%		06/01/20		1,030		1,165,719
Chubb Corp. (The), Jr. Sub. Notes(a)		6.375%	(b)	03/29/67		1,300		1,363,700
Dai-ichi Life Insurance Co. Ltd. (The) (Japan), Jr. Sub. Notes, 144A		5.100%	(b)	12/29/49		480		506,400
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes		5.125%		04/15/22		755		837,315
Liberty Mutual Group, Inc., Gtd. Notes, 144A		6.500%		05/01/42		365		425,923
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A		7.000%		03/15/34		850		1,030,450
Lincoln National Corp., Jr. Sub. Notes(a)		6.050%	(b)	04/20/67		260		235,300
Lincoln National Corp., Sr. Unsec’d. Notes		6.300%		10/09/37		1,272		1,498,920
Lincoln National Corp., Sr. Unsec’d. Notes		7.000%		06/15/40		705		884,255
Lincoln National Corp., Sr. Unsec’d. Notes		8.750%		07/01/19		605		741,758
Markel Corp., Sr. Unsec’d. Notes		5.000%		03/30/43		200		196,642
MetLife, Inc., Sr. Unsec’d. Notes		5.700%		06/15/35		835		971,597
MetLife, Inc., Sr. Unsec’d. Notes		6.375%		06/15/34		400		493,546
New York Life Global Funding, Sec’d. Notes, 144A		1.950%		02/11/20		3,030		2,985,050
New York Life Insurance Co., Sub. Notes, 144A		6.750%		11/15/39		660		866,143
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A(a)		5.100%	(b)	10/16/44		1,925		2,014,031
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A		6.063%		03/30/40		370		442,440
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A		6.375%		04/30/20		680		773,996
Pacific Life Insurance Co., Sub. Notes, 144A		9.250%		06/15/39		910		1,358,954
Principal Financial Group, Inc., Gtd. Notes		4.625%		09/15/42		130		125,154
Progressive Corp. (The), Jr. Sub. Notes		6.700%	(b)	06/15/37		735		766,238
Progressive Corp. (The), Sr. Unsec’d. Notes		3.700%		01/26/45		710		626,803
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A		6.850%		12/16/39		1,450		1,815,622
Unum Group, Sr. Unsec’d. Notes		5.625%		09/15/20		350		393,840
W.R. Berkley Corp., Sr. Unsec’d. Notes		6.150%		08/15/19		460		518,687

								31,249,316

Lodging — 0.2%
Choice Hotels International, Inc., Gtd. Notes		5.750%		07/01/22		1,000		1,083,750
Marriott International, Inc., Sr. Unsec’d. Notes		3.000%		03/01/19		580		594,718
Marriott International, Inc., Sr. Unsec’d. Notes		3.250%		09/15/22		980		966,259
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes		6.750%		05/15/18		2,800		3,132,699
Wyndham Worldwide Corp., Sr. Unsec’d. Notes		2.500%		03/01/18		490		491,261

								6,268,687

Media & Entertainment — 0.2%
21st Century Fox America, Inc., Gtd. Notes		6.150%		03/01/37		515		595,492
21st Century Fox America, Inc., Gtd. Notes		6.150%		02/15/41		1,175		1,364,475
21st Century Fox America, Inc., Gtd. Notes		6.900%		08/15/39		90		112,567
CBS Corp., Gtd. Notes		4.850%		07/01/42		155		142,787
Historic TW, Inc., Gtd. Notes		9.150%		02/01/23		505		667,118
Myriad International Holdings BV (South Africa), Gtd. Notes, RegS		6.375%		07/28/17		1,300		1,374,750
Time Warner, Inc., Gtd. Notes		6.200%		03/15/40		210		238,569
Time Warner, Inc., Gtd. Notes		6.250%		03/29/41		1,465		1,676,383
Time Warner, Inc., Gtd. Notes		7.625%		04/15/31		90		117,030
Viacom, Inc., Sr. Unsec’d. Notes		4.500%		02/27/42		50		41,805
Viacom, Inc., Sr. Unsec’d. Notes		4.875%		06/15/43		200		179,027
Viacom, Inc., Sr. Unsec’d. Notes		5.850%		09/01/43		425		423,020

								6,933,023

SEE NOTES TO FINANCIAL STATEMENTS.

A79


CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Metals — 0.1%
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes		5.000%	09/30/43		920	$	954,991
Glencore Finance Canada Ltd. (Switzerland), Gtd. Notes, 144A		2.050%	10/23/15		1,110		1,112,843
Glencore Finance Canada Ltd. (Switzerland), Gtd. Notes, 144A		2.700%	10/25/17		1,220		1,232,650
Newmont Mining Corp., Gtd. Notes		6.250%	10/01/39		35		34,297
Southern Copper Corp. (Mexico), Sr. Unsec’d. Notes		5.875%	04/23/45		530		504,136
Southern Copper Corp. (Mexico), Sr. Unsec’d. Notes		7.500%	07/27/35		425		475,975

							4,314,892

Non-Captive Finance — 0.2%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes, 144A		3.750%	05/15/19		775		766,281
General Electric Capital Corp., Gtd. Notes, MTN		5.875%	01/14/38		1,040		1,243,871
General Electric Capital Corp., Gtd. Notes, MTN		6.000%	08/07/19		920		1,051,642
General Electric Capital Corp., Gtd. Notes, MTN		6.875%	01/10/39		2,270		3,047,870
International Lease Finance Corp., Sr. Unsec’d. Notes		5.750%	05/15/16		375		384,375
Navient LLC, Sr. Unsec’d. Notes, MTN		8.450%	06/15/18		240		266,712

							6,760,751

Packaging
Crown Americas LLC/Crown Americas Capital Corp. IV, Gtd. Notes		4.500%	01/15/23		1,100		1,038,818

Paper — 0.1%
Georgia-Pacific LLC, Gtd. Notes, 144A (original cost $288,298; purchased 10/27/10)(c)(e)		5.400%	11/01/20		290		323,721
International Paper Co., Sr. Unsec’d. Notes		6.000%	11/15/41		1,595		1,719,613
International Paper Co., Sr. Unsec’d. Notes		7.950%	06/15/18		510		595,478
Rock-Tenn Co., Gtd. Notes		4.900%	03/01/22		800		861,424

							3,500,236

Pipelines & Other — 0.2%
DCP Midstream LLC, Sr. Unsec’d. Notes, 144A(a)		4.750%	09/30/21		500		494,052
DCP Midstream LLC, Sr. Unsec’d. Notes, 144A		5.350%	03/15/20		1,575		1,619,076
Energy Transfer Partners LP, Sr. Unsec’d. Notes		4.650%	06/01/21		675		692,782
Energy Transfer Partners LP, Sr. Unsec’d. Notes(a)		4.900%	03/15/35		250		225,577
Energy Transfer Partners LP, Sr. Unsec’d. Notes(a)		5.150%	03/15/45		620		547,804
EnLink Midstream Partners LP, Sr. Unsec’d. Notes		4.150%	06/01/25		820		798,393
Enterprise Products Operating LLC, Gtd. Notes		3.750%	02/15/25		1,345		1,318,197
Kinder Morgan Energy Partners LP, Gtd. Notes		5.950%	02/15/18		510		557,313
MPLX LP, Sr. Unsec’d. Notes		4.000%	02/15/25		1,430		1,395,210
NiSource Finance Corp., Gtd. Notes		5.450%	09/15/20		350		394,143
ONEOK Partners LP, Gtd. Notes		6.650%	10/01/36		145		151,690

							8,194,237

Railroads
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes		6.700%	08/01/28		670		847,882
CSX Corp., Sr. Unsec’d. Notes		6.150%	05/01/37		715		850,731
Norfolk Southern Corp., Sr. Unsec’d. Notes		5.590%	05/17/25		100		115,126

							1,813,739

Real Estate Investment Trusts (REITs) — 0.1%
Mack-Cali Realty LP, Sr. Unsec’d. Notes		7.750%	08/15/19		765		880,570
ProLogis LP, Gtd. Notes		6.875%	03/15/20		72		83,172
Select Income REIT, Sr. Unsec’d. Notes		2.850%	02/01/18		715		724,652
Simon Property Group LP, Sr. Unsec’d. Notes		2.800%	01/30/17		295		301,945
Simon Property Group LP, Sr. Unsec’d. Notes		3.375%	03/15/22		230		233,451
Simon Property Group LP, Sr. Unsec’d. Notes		6.125%	05/30/18		3,080		3,460,654

							5,684,444

Retailers — 0.1%
CVS Health Corp., Sr. Unsec’d. Notes(a)		5.300%	12/05/43		225		245,179
Home Depot, Inc. (The), Sr. Unsec’d. Notes(a)		4.400%	03/15/45		755		753,912

SEE NOTES TO FINANCIAL STATEMENTS.

A80


CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Retailers (continued)
L Brands, Inc., Gtd. Notes		5.625%	02/15/22		1,450	$	1,526,125
Lowe’s Cos., Inc., Sr. Unsec’d. Notes		6.500%	03/15/29		385		484,222
Macy’s Retail Holdings, Inc., Gtd. Notes		3.875%	01/15/22		360		373,280
Target Corp., Sr. Unsec’d. Notes		3.500%	07/01/24		345		352,174

							3,734,892

Technology — 0.2%
Apple, Inc., Sr. Unsec’d. Notes(a)		3.450%	02/09/45		890		754,296
Microsoft Corp., Sr. Unsec’d. Notes		2.375%	02/12/22		3,085		3,029,772
Microsoft Corp., Sr. Unsec’d. Notes(a)		2.700%	02/12/25		1,380		1,329,823
Oracle Corp., Sr. Unsec’d. Notes		4.300%	07/08/34		920		907,252
Seagate HDD Cayman, Gtd. Notes		3.750%	11/15/18		605		630,733

							6,651,876

Telecommunications — 0.6%
America Movil SAB de CV (Mexico), Gtd. Notes		6.125%	03/30/40		480		555,806
AT&T Corp., Gtd. Notes		8.000%	11/15/31		7		9,498
AT&T, Inc., Sr. Unsec’d. Notes		3.400%	05/15/25		3,460		3,299,830
AT&T, Inc., Sr. Unsec’d. Notes		4.500%	05/15/35		430		395,293
AT&T, Inc., Sr. Unsec’d. Notes		4.750%	05/15/46		875		796,227
AT&T, Inc., Sr. Unsec’d. Notes		4.800%	06/15/44		1,000		931,499
AT&T, Inc., Sr. Unsec’d. Notes		5.350%	09/01/40		815		802,381
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes		9.625%	12/15/30		400		593,669
Embarq Corp., Sr. Unsec’d. Notes (original cost $367,380; purchased 05/04/11-05/11/11)(c)(e)		7.082%	06/01/16		325		337,977
Embarq Corp., Sr. Unsec’d. Notes (original cost $479,966; purchased 05/12/06)(c)(e)		7.995%	06/01/36		480		532,176
Sprint Communications, Inc., Sr. Unsec’d. Notes		6.000%	12/01/16		1,075		1,104,563
Verizon Communications, Inc., Sr. Unsec’d. Notes(a)		3.500%	11/01/24		1,270		1,235,277
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.862%	08/21/46		1,256		1,175,510
Verizon Communications, Inc., Sr. Unsec’d. Notes		5.012%	08/21/54		3,127		2,869,295
Verizon Communications, Inc., Sr. Unsec’d. Notes		6.350%	04/01/19		3,165		3,616,782
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A		4.522%	09/15/48		1,355		1,190,391
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A		4.672%	03/15/55		2,056		1,788,625

							21,234,799

Tobacco — 0.1%
Altria Group, Inc., Gtd. Notes(a)		4.000%	01/31/24		1,500		1,523,216
Altria Group, Inc., Gtd. Notes		9.950%	11/10/38		46		74,071
Altria Group, Inc., Gtd. Notes		10.200%	02/06/39		254		418,269
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A		2.050%	02/11/18		2,050		2,040,584
Lorillard Tobacco Co., Gtd. Notes		3.500%	08/04/16		465		475,433
RJ Reynolds Tobacco Co., Gtd. Notes		8.125%	06/23/19		325		385,020

							4,916,593

TOTAL CORPORATE BONDS (cost $345,933,655)							355,351,673

FOREIGN AGENCIES — 0.6%
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A		3.150%	07/24/24		800		805,553
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A		4.875%	01/15/24		645		659,513
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes		5.125%	06/29/20		400		448,335
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		9.250%	04/23/19		930		1,032,300
KFW (Germany), Gov’t. Gtd. Notes, GMTN		2.750%	10/01/20		3,525		3,678,754
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A		1.125%	05/23/18		3,158		3,148,412
Pemex Project Funding Master Trust (Mexico), Gtd. Notes		6.625%	06/15/35		1,624		1,733,620
Pemex Project Funding Master Trust (Mexico), Sr. Unsec’d. Notes		8.625%	12/01/23		350		430,150
Petrobras Global Finance BV (Brazil), Gtd. Notes		2.000%	05/20/16		1,665		1,645,303
Petroleos Mexicanos (Mexico), Gtd. Notes(a)		3.500%	01/30/23		970		920,239
Petroleos Mexicanos (Mexico), Gtd. Notes		4.875%	01/18/24		510		522,750
Petroleos Mexicanos (Mexico), Gtd. Notes		5.500%	01/21/21		2,730		2,960,685

SEE NOTES TO FINANCIAL STATEMENTS.

A81


FOREIGN AGENCIES (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.299%	05/15/17		1,030	$	1,040,300
Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A		1.750%	04/10/17		1,620		1,620,923
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A		2.500%	04/28/20		1,250		1,231,175
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A		2.750%	05/07/19		665		671,716

TOTAL FOREIGN AGENCIES (cost $22,596,947)							22,549,728

MUNICIPAL BONDS — 0.4%
California — 0.1%
Bay Area Toll Authority, Revenue Bonds, BABs		6.263%	04/01/49		1,325		1,714,312
State of California, GO, BABs		7.300%	10/01/39		1,270		1,764,093
State of California, GO, BABs		7.500%	04/01/34		475		657,889
State of California, GO, BABs		7.550%	04/01/39		245		354,253
State of California, GO, BABs		7.625%	03/01/40		215		310,327

							4,800,874

Colorado
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs		5.844%	11/01/50		680		847,334

Illinois — 0.1%
Chicago O’Hare International Airport, Revenue Bonds, BABs		6.395%	01/01/40		1,030		1,260,370

New Jersey — 0.1%
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs		7.414%	01/01/40		1,070		1,485,920

New York — 0.1%
New York City Transitional Finance Authority, Revenue Bonds, BABs		5.767%	08/01/36		1,130		1,355,830

Ohio
Ohio State University (The), Revenue Bonds, BABs		4.910%	06/01/40		455		502,625
Ohio State Water Development Authority, Revenue Bonds, BABs		4.879%	12/01/34		300		334,308

							836,933

Oregon
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs		5.834%	11/15/34		445		543,354

Pennsylvania
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs		5.511%	12/01/45		550		621,874

Tennessee
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs		6.731%	07/01/43		1,000		1,237,520

Texas
Texas State Transportation Commission, Revenue Bonds, Series B, BABs		5.028%	04/01/26		335		381,846

TOTAL MUNICIPAL BONDS (cost $10,676,024)							13,371,855

SOVEREIGN BONDS 0.4%
Brazilian Government International Bond (Brazil), Sr. Unsec’d. Notes(a)		4.250%	01/07/25		3,275		3,162,012
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.000%	02/26/24		1,475		1,467,625
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		4.000%	03/25/19		580		598,734
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A		5.875%	03/13/20		1,135		1,262,688
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A(a)		5.875%	01/15/24		950		1,049,750
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A		6.875%	01/17/18		1,120		1,253,538
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes		3.625%	03/15/22		700		708,400
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN		4.750%	03/08/44		1,006		955,700
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		3.750%	03/16/25		600		591,000
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		4.000%	09/22/24		515		517,575

SEE NOTES TO FINANCIAL STATEMENTS.

A82


SOVEREIGN BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		5.200%		01/30/20		620	$	683,240
Province of British Columbia (Canada), Sr. Unsec’d. Notes		2.000%		10/23/22		1,620		1,586,785
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, RegS		6.125%		01/22/44		400		448,800
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A		4.875%		01/22/24		190		200,925
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, 144A		4.125%		02/18/19		200		208,000
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes		7.000%		06/05/20		1,710		1,951,903

TOTAL SOVEREIGN BONDS (cost $16,612,380)								16,646,675

U.S. GOVERNMENT AGENCY OBLIGATIONS 9.1%
Federal Home Loan Bank		0.375%		08/28/15		460		460,197
Federal Home Loan Bank(g)(h)		5.500%		07/15/36		1,080		1,397,237
Federal Home Loan Mortgage Corp.(h)		0.750%		01/12/18		685		681,589
Federal Home Loan Mortgage Corp.		2.236%	(b)	12/01/35		292		310,573
Federal Home Loan Mortgage Corp.		2.292%	(b)	06/01/36		441		469,133
Federal Home Loan Mortgage Corp.(a)(g)		2.375%		01/13/22		6,020		6,095,069
Federal Home Loan Mortgage Corp.		2.500%		03/01/30		978		990,718
Federal Home Loan Mortgage Corp.(i)		3.000%		TBA		9,000		8,946,211
Federal Home Loan Mortgage Corp.		3.000%		10/01/28-01/01/43		4,855		4,969,527
Federal Home Loan Mortgage Corp.(i)		3.500%		TBA		9,500		9,747,705
Federal Home Loan Mortgage Corp.		3.500%		12/01/25-06/01/42		3,439		3,618,500
Federal Home Loan Mortgage Corp.(i)		4.000%		TBA		4,000		4,230,078
Federal Home Loan Mortgage Corp.		4.000%		06/01/26-12/01/40		4,970		5,284,171
Federal Home Loan Mortgage Corp.		4.500%		02/01/19-10/01/41		13,359		14,448,165
Federal Home Loan Mortgage Corp.		5.000%		07/01/18-06/01/39		3,860		4,214,655
Federal Home Loan Mortgage Corp.		5.500%		12/01/33-07/01/38		3,970		4,445,023
Federal Home Loan Mortgage Corp.		6.000%		03/01/32-08/01/39		1,952		2,217,159
Federal Home Loan Mortgage Corp.		7.000%		01/01/31-10/01/32		275		318,917
Federal National Mortgage Assoc.(a)(g)		1.500%		06/22/20		6,650		6,571,138
Federal National Mortgage Assoc.		1.625%		01/21/20		225		224,688
Federal National Mortgage Assoc.		1.875%		02/19/19		230		234,335
Federal National Mortgage Assoc.		1.959%	(b)	07/01/33		345		363,739
Federal National Mortgage Assoc.		2.059%	(b)	06/01/37		138		139,095
Federal National Mortgage Assoc.(i)		2.500%		TBA		10,750		10,880,224
Federal National Mortgage Assoc.		2.500%		01/01/28-10/01/43		3,922		3,907,778
Federal National Mortgage Assoc.(i)		3.000%		TBA		35,000		34,869,433
Federal National Mortgage Assoc.		3.000%		02/01/27-12/01/42		6,465		6,634,917
Federal National Mortgage Assoc.(i)		3.500%		TBA		500		527,320
Federal National Mortgage Assoc.(i)		3.500%		TBA		2,000		2,061,094
Federal National Mortgage Assoc.(i)		3.500%		TBA		9,500		9,764,961
Federal National Mortgage Assoc.		3.500%		07/01/27-03/01/43		38,393		39,771,045
Federal National Mortgage Assoc.(i)		4.000%		TBA		20,500		21,671,301
Federal National Mortgage Assoc.(i)		4.000%		TBA		11,500		12,184,025
Federal National Mortgage Assoc.		4.000%		09/01/44		7,508		7,958,642
Federal National Mortgage Assoc.		4.500%		11/01/18-05/01/44		10,832		11,752,679
Federal National Mortgage Assoc.(i)		5.000%		TBA		4,000		4,418,750
Federal National Mortgage Assoc.		5.000%		10/01/18-02/01/36		3,965		4,383,466
Federal National Mortgage Assoc.		5.500%		03/01/16-08/01/37		5,741		6,451,260
Federal National Mortgage Assoc.		6.000%		09/01/17-05/01/38		5,089		5,795,999
Federal National Mortgage Assoc.		6.500%		07/01/17-09/01/37		1,883		2,183,743
Federal National Mortgage Assoc.		7.000%		02/01/32-07/01/32		201		234,340
Federal National Mortgage Assoc.		7.500%		05/01/32		41		43,476
Financing Corp., Strips Principal, Series A-P		1.282%	(f)	10/06/17		1,570		1,532,201
Financing Corp., Strips Principal, Series B-P		1.282%	(f)	10/06/17		2,140		2,095,991
Government National Mortgage Assoc.(i)		3.000%		TBA		2,500		2,523,438
Government National Mortgage Assoc.(i)		3.000%		TBA		4,500		4,542,539

SEE NOTES TO FINANCIAL STATEMENTS.

A83


U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Government National Mortgage Assoc.(i)		3.500%		TBA		26,000	$	26,984,144
Government National Mortgage Assoc.		3.500%		05/20/43-04/20/45		3,886		4,051,792
Government National Mortgage Assoc.		4.000%		06/15/40-04/20/45		11,057		11,738,203
Government National Mortgage Assoc.(i)		4.500%		TBA		2,000		2,171,562
Government National Mortgage Assoc.		4.500%		04/15/40-12/20/44		12,483		13,548,014
Government National Mortgage Assoc.		5.500%		11/15/32-02/15/36		2,457		2,810,923
Government National Mortgage Assoc.		6.000%		02/15/33-10/15/34		1,186		1,367,608
Government National Mortgage Assoc.		6.500%		10/15/23-07/15/35		1,396		1,614,740
Government National Mortgage Assoc.		8.000%		01/15/24-04/15/25		39		44,176
Hashemite Kingdom of Jordan Government USAID Bond, U.S. Gov’t. Gtd. Notes		2.503%		10/30/20		1,378		1,422,789
Hashemite Kingdom of Jordan Government USAID Bond, U.S. Gov’t. Gtd. Notes		2.578%		06/30/22		5,450		5,477,250
Residual Funding Corp. Principal Strip, Bonds		1.825%	(f)	10/15/19		1,535		1,416,827
Ukraine Government USAID Bonds, U.S. Gov’t. Gtd. Notes		1.847%		05/29/20		5,045		5,048,975

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $349,423,574)								354,263,247

U.S. TREASURY OBLIGATIONS — 2.4%
U.S. Treasury Bonds(a)		2.500%		02/15/45		1,285		1,130,903
U.S. Treasury Bonds		2.750%		08/15/42-11/15/42		1,690		1,572,247
U.S. Treasury Inflation Indexed Bonds, TIPS		0.125%		04/15/20		8,077		8,142,025
U.S. Treasury Inflation Indexed Bonds, TIPS		1.375%		01/15/20		6,083		6,503,016
U.S. Treasury Notes		1.000%		09/30/19		5,245		5,147,065
U.S. Treasury Notes		1.375%		12/31/18		1,830		1,840,436
U.S. Treasury Notes(h)		1.500%		01/31/19		10,845		10,944,134
U.S. Treasury Notes		1.500%		05/31/19		6,950		6,988,552
U.S. Treasury Notes		1.625%		04/30/19-06/30/20		32,513		32,668,053
U.S. Treasury Notes		2.125%		09/30/21		2,755		2,782,550
U.S. Treasury Notes		2.250%		03/31/21		110		112,372
U.S. Treasury Notes		3.125%		05/15/19-05/15/21		1,660		1,771,726
U.S. Treasury Strips Coupon		2.184%	(f)	02/15/28		5,465		3,865,886
U.S. Treasury Strips Coupon		2.241%	(f)	05/15/28		2,735		1,918,676
U.S. Treasury Strips Coupon		2.280%	(f)	02/15/29		2,735		1,861,756
U.S. Treasury Strips Coupon		2.384%	(f)	05/15/29		5,640		3,801,518
U.S. Treasury Strips Principal		2.351%	(f)	05/15/43		3,320		1,334,434
U.S. Treasury Strips Principal		3.563%	(f)	05/15/44		5,485		2,147,081

TOTAL U.S. TREASURY OBLIGATIONS (cost $95,123,143)								94,532,430

TOTAL LONG-TERM INVESTMENTS (cost $3,044,753,665)								3,560,240,502


SHORT-TERM INVESTMENTS — 14.6%					Shares
AFFILIATED MUTUAL FUNDS — 14.3%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $134,179,464) (Note 4)(j)						13,648,612		127,478,033
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $424,089,504; includes $106,610,240 of cash collateral for securities on loan) (Note 4)(j)(k)						424,089,504		424,089,504

TOTAL AFFILIATED MUTUAL FUNDS (cost $558,268,968)								551,567,537


OPTIONS PURCHASED*					Notional Amount (000)#
Call Options
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $152.00						37,700		647,969
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $160.00						18,900		41,344
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $164.00						18,800		14,687

TOTAL OPTIONS PURCHASED (cost $652,082)								704,000

SEE NOTES TO FINANCIAL STATEMENTS.

A84



U.S. TREASURY OBLIGATION — 0.3%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
U.S. Treasury Bill (cost $10,247,584)(h)		0.110%	(l)	09/17/15		10,250	$	10,250,000

TOTAL SHORT-TERM INVESTMENTS (cost $569,168,634)								562,521,537

TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 106.6% (cost $3,613,922,299)								4,122,762,039


OPTIONS WRITTEN*					Notional Amount (000)#
Call Options
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $156.00						37,800		(242,157	)
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $158.00						37,600		(141,000	)

TOTAL OPTIONS WRITTEN (premiums received $334,574)								(383,157	)

TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 106.6% (cost $3,613,587,725)								4,122,378,882
LIABILITIES IN EXCESS OF OTHER ASSETS(m) — (6.6)%								(256,502,976	)

NET ASSETS — 100.0%							$	3,865,875,906

See the Glossary for abbreviations used in the Portfolio descriptions.

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

*	Non-income producing security.

(a)

All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $103,974,613; cash collateral of $106,610,240 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

(b)	Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2015.

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

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

(e)	Indicates a restricted security; the aggregate original cost of the restricted securities is $7,364,067. The aggregate value of $7,433,654 is approximately 0.2% of net assets.

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

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

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

(i)	All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of $151,250,000 is approximately 3.91% of net assets.

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

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

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

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

Futures contracts outstanding at June 30, 2015:


Number of Contracts		Type	Expiration Date		Value at Trade Date		Value at June 30, 2015		Unrealized Appreciation (Depreciation)(1)
	Long Positions:
	97	2 Year U.S. Treasury Notes		Sep. 2015	$	21,244,653	$	21,236,938	$	(7,715	)
	666	5 Year U.S. Treasury Notes		Sep. 2015		79,286,592		79,425,703		139,111
	330	10 Year U.S. Treasury Notes		Sep. 2015		41,451,438		41,636,719		185,281
	109	DAX Index		Sep. 2015		33,351,489		33,422,247		70,758

SEE NOTES TO FINANCIAL STATEMENTS.

A85

Futures contracts outstanding at June 30, 2015 (continued):


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at June 30, 2015		Unrealized Appreciation (Depreciation)(1)
869	DJ Euro Stoxx 50 Index		Sep. 2015	$	33,267,755	$	33,288,188	$	20,433
278	IBEX 35 Index		Jul. 2015		33,233,147		33,394,526		161,379
20	MSCI EAFE Index Mini		Sep. 2015		1,883,147		1,834,000		(49,147	)
257	U.S. Ultra Bonds		Sep. 2015		40,668,214		39,594,063		(1,074,151	)

									(554,051	)

Short Position:
150	U.S. Long Bonds		Sep. 2015		23,001,715		22,626,563		375,152

								$	(178,899	)

(1)

U.S. Treasury Obligation with a market value of $10,250,000 has been segregated with Goldman Sachs & Co. and U.S. Government Agency securities and a U.S Treasury Obligation with a combined market value of $2,537,005 have been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2015.

Interest rate swap agreements outstanding at June 30, 2015:


Notional Amount (000)		Termination Date		Fixed Rate		Floating Rate	Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation		Counterparty
	Over-the-counter swap agreements:
	3,158		05/17/18		0.989%	3 Month LIBOR(1)	$	16,715	$	—	$	16,715	Credit Suisse First Boston Corp.


Notional Amount (000)		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2015			Unrealized Appreciation
	Exchange-traded swap agreements:
	26,370		12/31/21		1.831%	3 Month LIBOR(1)	$	76,518		$	354,133		$	277,615
	22,285		12/31/21		1.950%	3 Month LIBOR(1)		89,948			135,173			45,225
	50,090		05/31/22		2.200%	3 Month LIBOR(1)		(70,213	)		(55,484	)		14,729

							$	96,253		$	433,822		$	337,569

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

Credit default swap agreements outstanding at June 30, 2015:


Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)(3)		Fair Value(4)		Upfront Premiums Paid (Received)		Unrealized Appreciation		Counterparty
Over-the-counter credit default swaps on credit indices—Sell Protection(2):
CDX.NA.HY.17.V5		12/20/16		5.000%		1,380	$	76,571	$	57,883	$	18,688	Credit Suisse First Boston Corp.
CDX.NA.HY.17.V5		12/20/16		5.000%		3,680		204,189		158,956		45,233	Deutsche Bank AG
CDX.NA.HY.17.V5		12/20/16		5.000%		5,060		280,760		221,727		59,033	Deutsche Bank AG

							$	561,520	$	438,566	$	122,954


Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)(3)		Value at Trade Date			Value at June 30, 2015			Unrealized Appreciation
Exchange-traded credit default swaps on credit indices—Buy Protection(1):
CDX.NA.IG.24.V1		06/20/20		1.000%		51,500	$	(969,274	)	$	(734,773	)	$	234,501

U.S. Government Agency Obligations with a combined market value of $3,994,958 have been segregated with Citigroup Global Markets to cover requirements for open interest rate and credit default exchange-traded swap contracts at June 30, 2015.

SEE NOTES TO FINANCIAL STATEMENTS.

A86

(1)

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

(2)

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

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

Level 1—quoted

prices generally in active markets for identical securities.

Level 2—quoted

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

Level 3—unobservable

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

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:


	Level 1			Level 2		Level 3
Investments in Securities
Common Stocks	$	2,214,439,295		$	176,487,474	$	—
Exchange Traded Fund		1,311,069			—		—
Preferred Stocks		571,120			1,635,146		—
Asset-Backed Securities
Collateralized Debt Obligation		—			435,911		—
Collateralized Loan Obligations		—			61,007,816		—
Non-Residential Mortgage-Backed Securities		—			22,943,259		9,776,920
Residential Mortgage-Backed Securities		—			45,465,398		—
Bank Loans		—			5,493,531		—
Collateralized Mortgage Obligations		—			23,842,010		—
Commercial Mortgage-Backed Securities		—			140,115,945		—
Corporate Bonds		—			355,280,978		70,695
Foreign Agencies		—			22,549,728		—
Municipal Bonds		—			13,371,855		—
Sovereign Bonds		—			16,646,675		—
U.S. Government Agency Obligations		—			354,263,247		—
U.S. Treasury Obligations		—			104,782,430		—
Affiliated Mutual Funds		551,567,537			—		—
Options Purchased		704,000			—		—
Options Written		(383,157	)		—		—
Other Financial Instruments*
Futures Contracts		(178,899	)		—		—
Over-the-counter interest rate swap		—			16,715		—
Exchange-traded interest rate swaps		—			337,569		—
Over-the-counter credit default swaps		—			561,520		—
Exchange-traded credit default swap		—			234,501		—

Total	$	2,768,030,965		$	1,345,471,708	$	9,847,615

SEE NOTES TO FINANCIAL STATEMENTS.

A87

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:


Affiliated Mutual Funds (including 2.8% of collateral for securities on loan)	14.3	%
U.S. Government Agency Obligations	9.1
Oil, Gas & Consumable Fuels	4.5
Banks	4.0
Pharmaceuticals	3.7
Commercial Mortgage-Backed Securities	3.6
Technology Hardware, Storage & Peripherals	3.2
Banking	3.0
U.S. Treasury Obligations	2.7
Biotechnology	2.3
Insurance	2.2
Software	2.2
Health Care Providers & Services	2.1
Media	2.1
Aerospace & Defense	1.9
Semiconductors & Semiconductor Equipment	1.8
Specialty Retail	1.8
Chemicals	1.7
Beverages	1.7
Capital Markets	1.6
IT Services	1.6
Collateralized Loan Obligations	1.6
Household Products	1.5
Internet Software & Services	1.5
Real Estate Investment Trusts (REITs)	1.4
Diversified Telecommunication Services	1.4
Food & Staples Retailing	1.3
Health Care Equipment & Supplies	1.2
Residential Mortgage-Backed Securities	1.2
Hotels, Restaurants & Leisure	1.1
Diversified Financial Services	1.0
Industrial Conglomerates	1.0
Communications Equipment	1.0
Tobacco	0.9
Non-Residential Mortgage-Backed Securities	0.8
Healthcare & Pharmaceutical	0.8
Air Freight & Logistics	0.8
Food Products	0.8
Energy Equipment & Services	0.8
Electric Utilities	0.7
Foreign Agencies	0.6
Collateralized Mortgage Obligations	0.6
Multiline Retail	0.6
Airlines	0.6
Real Estate Management & Development	0.6
Road & Rail	0.6
Telecommunications	0.6
Machinery	0.5


Textiles, Apparel & Luxury Goods	0.5	%
Internet & Catalog Retail	0.5
Life Sciences Tools & Services	0.5
Multi-Utilities	0.5
Sovereign Bonds	0.4
Paper & Forest Products	0.4
Independent Power & Renewable Electricity Producers	0.4
Electric	0.4
Energy – Other	0.4
Municipal Bonds	0.4
Automobiles	0.4
Capital Goods	0.3
Auto Components	0.3
Electrical Equipment	0.3
Electronic Equipment, Instruments & Components	0.3
Gas Utilities	0.3
Technology	0.3
Cable	0.2
Consumer Finance	0.2
Building Products	0.2
Pipelines & Other	0.2
Foods	0.2
Media & Entertainment	0.2
Non-Captive Finance	0.2
Metals & Mining	0.2
Lodging	0.2
Healthcare Insurance	0.2
Automotive	0.1
Household Durables	0.1
Leisure Products	0.1
Retailers	0.1
Metals	0.1
Energy – Integrated	0.1
Construction Materials	0.1
Paper	0.1
Containers & Packaging	0.1
Building Materials & Construction	0.1
Wireless Telecommunication Services	0.1
Trading Companies & Distributors	0.1
Gaming	0.1
Construction & Engineering	0.1
Options Purchased	—	*

	106.6
Liabilities in excess of other assets	(6.6	)

	100.0	%

*	Less than 0.05%

SEE NOTES TO FINANCIAL STATEMENTS.

A88

Fair values of derivative instruments as of June 30, 2015 as presented in the Statement of Assets and Liabilities:


Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Credit contracts	Premiums paid for swap agreements	$	438,566		—	$	—
Credit contracts	Unrealized appreciation on over-the-counter swap agreements		122,954		—		—
Credit contracts	Due from/to broker — variation margin swaps		234,501	*	—		—
Equity contacts	Due from/to broker —variation margin futures		252,570	*	Due from/to broker —variation margin futures		49,147	*
Interest rate contracts	Due from/to broker —variation margin futures		699,544	*	Due from/to broker —variation margin futures		1,081,866	*
Interest rate contracts	Unaffiliated investments		704,000		Options written outstanding, at value		383,157
Interest rate contracts	Unrealized appreciation on over-the-counter swap agreements		16,715		—		—
Interest rate contracts	Due from/to broker —variation margin swaps		337,569	*	—		—

Total		$	2,806,419			$	1,514,170

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

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2015 are as follows:


Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights*			Options Purchased*			Options Written		Futures			Swaps			Total
Credit contracts	$	—		$	—		$	—	$	—		$	(514,091	)	$	(514,091	)
Equity		(745	)		—			—		5,042,948			—			5,042,203
Interest rate contracts		—			(1,323,064	)		364,167		(1,543,705	)		(19,947	)		(2,522,549	)

	$	(745	)	$	(1,323,064	)	$	364,167	$	3,499,243		$	(534,038	)	$	2,005,563

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


Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased**		Options Written			Futures			Swaps		Total
Credit contracts	$	—	$	—		$	—		$	356,157	$	356,157
Equity contracts		—		—			(3,149,471	)		—		(3,149,471	)
Interest rate contracts		82,631		(81,620	)		(971,862	)		395,926		(574,925	)

	$	82,631	$	(81,620	)	$	(4,121,333	)	$	752,083	$	(3,368,239	)

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

SEE NOTES TO FINANCIAL STATEMENTS.

A89

For the six months ended June 30, 2015, the Portfolio’s average volume of derivative activities is as follows:


Options Purchased⁽¹⁾	Options Written⁽²⁾	Futures Long Position⁽³⁾	Futures Short Position⁽³⁾
$341,388	$116,867	$255,975,686	$13,093,134


Interest Rate Swaps⁽²⁾	Credit Default Swaps as Buyer⁽²⁾	Credit Default Swaps as Writer⁽²⁾
$100,123	$56,803	$10,267

⁽¹⁾

Cost.

⁽²⁾	Notional Amount in USD (000).

⁽³⁾	Value at Trade Date.

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


Counterparty	Gross amounts of recognized assets(1)		Gross amounts available for offset		Collateral Received(3)			Net Amount
Credit Suisse First Boston Corp.	$	93,286	$	—	$	(469,000	)	$	—
Deutsche Bank AG		484,949		—		(610,836	)		—

	$	578,235

Counterparty

Gross amounts of
recognized liabilities(2)

Gross amounts
available for offset

Collateral
Pledged(3)

Net Amount

Credit Suisse First Boston Corp.

—

Deutsche Bank AG

—

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A90


		*FLEXIBLE MANAGED PORTFOLIO (continued)*

STATEMENT OF ASSETS & LIABILITIES (Unaudited)

as of June 30, 2015


ASSETS
Investments at value, including securities on loan of $103,974,613:
Unaffiliated investments (cost $3,055,653,331)	$	3,571,194,502
Affiliated investments (cost $558,268,968)		551,567,537
Foreign currency, at value (cost $6,926,960)		6,924,015
Receivable for investments sold		68,482,883
Dividends and interest receivable		10,829,462
Tax reclaim receivable		458,515
Premium paid for swap agreements		438,566
Unrealized appreciation on over-the-counter swap agreements		139,669
Due from broker—variation margin swaps		16,838
Receivable for Series shares sold		976
Prepaid expenses		4,442

Total Assets		4,210,057,405

LIABILITIES
Payable for investments purchased		228,700,128
Payable to broker for collateral for securities on loan		106,610,240
Due to broker—variation margin futures		5,120,982
Management fee payable		1,932,786
Payable for Series shares repurchased		694,792
Payable to custodian		430,404
Options written outstanding, at value (premiums received $334,574)		383,157
Accrued expenses and other liabilities		308,084
Affiliated transfer agent fee payable		926

Total Liabilities		344,181,499

NET ASSETS	$	3,865,875,906

Net assets were comprised of:
Paid-in capital	$	2,338,863,532
Retained earnings		1,527,012,374

Net assets, June 30, 2015	$	3,865,875,906

Net asset value and redemption price per share $3,865,875,906 / 161,695,081 outstanding shares of beneficial interest	$	23.91

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended June 30, 2015


NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $317,006)	$	30,214,877
Interest income		15,899,581
Affiliated dividend income		976,349
Affiliated income from securities lending, net		106,369

Total income		47,197,176

EXPENSES
Management fee		11,739,630
Custodian and accounting fees		285,000
Shareholders’ reports		111,000
Insurance expenses		26,000
Trustees’ fees		19,000
Audit fee		19,000
Legal fees and expenses		9,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800)		6,000
Miscellaneous		29,437

Total expenses		12,244,067

NET INVESTMENT INCOME		34,953,109

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		140,787,405
Futures transactions		3,499,243
Options written transactions		364,167
Swap agreement transactions		(534,038	)
Foreign currency transactions		(146,917	)

		143,969,860

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $577)		(141,701,520	)
Futures		(4,121,333	)
Securities Sold Short		4,160
Options written		(81,620	)
Swap agreements		752,083
Foreign currencies		24,723

		(145,123,507	)

NET LOSS ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(1,153,647	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	33,799,462

STATEMENT OF CHANGES IN NET ASSETS


	Six Months Ended June 30, 2015			Year Ended December 31, 2014
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	34,953,109		$	63,798,028
Net realized gain on investment and foreign currency transactions		143,969,860			396,359,030
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(145,123,507	)		(57,434,131	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		33,799,462			402,722,927

SERIES SHARE TRANSACTIONS
Series shares sold [203,374 and 562,392 shares, respectively]		4,887,181			12,588,751
Series shares repurchased [4,845,437 and 8,998,418 shares, respectively]		(116,622,347	)		(202,125,849	)

NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(111,735,166	)		(189,537,098	)

TOTAL INCREASE (DECREASE)		(77,935,704	)		213,185,829
NET ASSETS:
Beginning of period		3,943,811,610			3,730,625,781

End of period	$	3,865,875,906		$	3,943,811,610

SEE NOTES TO FINANCIAL STATEMENTS.

A91


LONG-TERM INVESTMENTS — 96.6%			Value (Note 2)
COMMON STOCKS — 96.6%	Shares		Value (Note 2)
Australia — 1.4%
AGL Energy Ltd.		47,200	$	565,405
Arrium Ltd.		894,400		93,336
Ausdrill Ltd.		123,200		37,038
Bendigo & Adelaide Bank Ltd.		67,200		635,422
Bradken Ltd.		98,900		109,378
Challenger Ltd.		150,800		781,687
Downer EDI Ltd.		182,200		670,632
Fortescue Metals Group Ltd.(a)		188,800		278,056
Independence Group NL		114,300		367,727
Lend Lease Group		114,600		1,325,037
Macquarie Group Ltd.		50,913		3,189,980
Metcash Ltd.(a)		276,300		235,095
Mineral Resources Ltd.		49,900		253,682
National Australia Bank Ltd.		33,588		862,678
Pacific Brands Ltd.*		460,600		113,476
Primary Health Care Ltd.		139,400		541,061

				10,059,690

Austria — 0.2%
OMV AG		36,200		996,578
Voestalpine AG		14,500		604,324

				1,600,902

Belgium — 0.3%
AGFA-Gevaert NV*		86,100		239,972
Delhaize Group		21,500		1,748,755

				1,988,727

Canada — 1.9%
Alimentation Couche-Tard, Inc. (Class B Stock)		85,830		3,671,655
Brookfield Asset Management, Inc. (Class A Stock)		111,910		3,909,016
Canadian Natural Resources Ltd.		77,400		2,102,184
Canadian Pacific Railway Ltd.		15,150		2,427,484
Suncor Energy, Inc.		71,200		1,960,993

				14,071,332

China — 1.6%
Baidu, Inc., ADR*		9,803		1,951,581
China Overseas Land & Investment Ltd.		542,000		1,907,904
Lenovo Group Ltd.		1,732,000		2,394,602
NetEase, Inc., ADR		15,734		2,279,306
Poly Property Group Co. Ltd.		412,000		198,898
Shougang Fushan Resources Group Ltd.		1,160,000		270,540
Tencent Holdings Ltd.		147,900		2,957,487

				11,960,318

Denmark — 0.7%
A.P. Moeller – Maersk A/S (Class B Stock)		400		723,217
Novo Nordisk A/S (Class B Stock)		59,227		3,250,075
TDC A/S		161,500		1,183,851

				5,157,143

Finland — 0.6%
Sampo OYJ (Class A Stock)		58,787		2,770,460
Tieto OYJ		25,300		590,705


COMMON STOCKS (continued)	Shares		Value (Note 2)
Finland (continued)
UPM-Kymmene OYJ		57,300	$	1,013,977

				4,375,142

France — 3.9%
Alstom SA*		26,800		761,236
Arkema SA		7,200		520,472
AXA SA		37,000		938,020
BNP Paribas SA		16,000		970,926
Cap Gemini SA		43,815		3,887,123
Cie Generale des Etablissements Michelin		12,000		1,262,689
CNP Assurances		34,000		569,051
Credit Agricole SA		78,500		1,172,004
Electricite de France SA		61,800		1,382,384
Hermes International		3,499		1,306,458
JCDecaux SA		42,632		1,782,802
Renault SA		12,300		1,289,626
Sanofi		22,800		2,255,607
SCOR SE		22,000		777,954
Societe Generale SA		21,400		1,004,171
Thales SA		27,900		1,685,750
Total SA		84,783		4,158,696
Valeo SA		18,468		2,921,330

				28,646,299

Germany — 2.9%
Allianz SE		9,800		1,528,324
Aurubis AG		6,200		364,236
BASF SE		13,500		1,187,907
Bayerische Motoren Werke AG		35,373		3,873,864
Continental AG		13,314		3,152,460
Daimler AG		23,700		2,158,971
Deutsche Bank AG		27,100		814,809
E.ON SE		46,000		613,387
Freenet AG		29,700		1,000,409
Hannover Rueck SE		9,800		948,511
Merck KGaA		4,700		468,545
Muenchener Rueckversicherungs AG		5,700		1,010,580
Rational AG		2,681		984,699
Rheinmetall AG		13,300		674,616
Stada Arzneimittel AG		14,500		489,116
Volkswagen AG		7,400		1,713,448
Wincor Nixdorf AG		13,000		510,962

				21,494,844

Hong Kong — 1.2%
AIA Group Ltd.		514,000		3,360,870
Cheung Kong Property Holdings Ltd.*		46,000		381,575
China Resources Cement Holdings Ltd.		1,173,000		653,796
CK Hutchison Holdings Ltd.		46,000		676,291
First Pacific Co. Ltd.		133,000		112,213
Huabao International Holdings Ltd.		1,045,000		628,243
Kingboard Chemical Holdings Ltd.		216,000		373,088
Singamas Container Holdings Ltd.		2,676,000		485,169
Skyworth Digital Holdings Ltd.		1,072,000		954,350
Yue Yuen Industrial Holdings Ltd.		220,500		737,552

				8,363,147

SEE NOTES TO FINANCIAL STATEMENTS.

A92


COMMON STOCKS (continued)	Shares		Value (Note 2)
India — 0.9%
HDFC Bank Ltd., ADR		71,267	$	4,313,791
Tata Motors Ltd., ADR		69,853		2,407,833

				6,721,624

Indonesia — 0.3%
PT Bank Rakyat Indonesia (Persero) Tbk		2,284,400		1,768,052

Ireland — 0.8%
Permanent TSB Group Holdings PLC*		513		2,684
Ryanair Holdings PLC, ADR		38,861		2,772,732
Smurfit Kappa Group PLC		35,200		970,181
XL Group PLC		55,052		2,047,934

				5,793,531

Israel — 1.2%
Bank Hapoalim BM		128,000		688,890
Check Point Software Technologies Ltd.*(a)		32,288		2,568,510
Elbit Systems Ltd.		11,400		894,747
Teva Pharmaceutical Industries Ltd.		16,300		964,601
Teva Pharmaceutical Industries Ltd., ADR		65,592		3,876,487

				8,993,235

Italy — 0.9%
Enel SpA		242,800		1,100,443
Eni SpA		70,800		1,257,525
Intesa Sanpaolo SpA		1,100,499		3,996,454

				6,354,422

Japan — 9.7%
Alfresa Holdings Corp.		22,900		356,350
Alpine Electronics, Inc.		22,700		437,225
Aoyama Trading Co. Ltd.		22,600		913,024
Aozora Bank Ltd.		231,000		871,566
Asahi Kasei Corp.		76,000		623,396
Astellas Pharma, Inc.		180,000		2,564,252
Bank of Yokohama Ltd. (The)		96,000		587,902
Calsonic Kansei Corp.		105,000		746,640
Daihatsu Motor Co. Ltd.		60,500		861,108
Daikin Industries Ltd.		47,600		3,421,887
Enplas Corp.		12,600		512,195
FANUC Corp.		13,100		2,680,464
Fuji Heavy Industries Ltd.		85,174		3,131,915
Fujikura Ltd.		113,000		631,765
Heiwa Corp.		34,800		692,734
Hogy Medical Co. Ltd.		11,400		584,800
Hoya Corp.		63,600		2,547,163
Isuzu Motors Ltd.		51,100		670,410
ITOCHU Corp.		76,300		1,007,711
Japan Airlines Co. Ltd.		28,000		975,784
JX Holdings, Inc.		101,400		437,171
Kao Corp.		57,200		2,660,200
KDDI Corp.		32,600		786,702
Keihin Corp.		37,200		533,018
Keyence Corp.		4,400		2,371,498
KYORIN Holdings, Inc.		37,400		762,522
Kyowa Exeo Corp.		66,900		778,490


COMMON STOCKS (continued)	Shares		Value (Note 2)
Japan (continued)
Marubeni Corp.		109,700	$	629,530
Medipal Holdings Corp.		36,500		594,498
Mitsubishi Corp.		50,200		1,103,597
Mitsubishi UFJ Financial Group, Inc.		243,500		1,751,853
Mitsui & Co. Ltd.		59,300		805,657
Mizuho Financial Group, Inc.		597,700		1,293,263
Murata Manufacturing Co. Ltd.		21,400		3,734,631
Nippon Telegraph & Telephone Corp.		74,000		2,679,966
Nishi-Nippon City Bank Ltd. (The)		167,000		481,160
Nissan Motor Co. Ltd.		140,100		1,463,618
Nitori Holdings Co. Ltd.		23,400		1,907,768
NTT DOCOMO, Inc.		62,400		1,197,990
ORIX Corp.		201,000		2,984,746
Otsuka Holdings Co. Ltd.		15,100		481,134
Resona Holdings, Inc.		266,300		1,452,434
Ricoh Co. Ltd.		66,500		688,871
Sankyu, Inc.		151,000		824,595
Seino Holdings Co. Ltd.		52,600		588,864
Shimachu Co. Ltd.		30,700		885,101
SKY Perfect JSAT Holdings, Inc.		107,500		576,905
SMC Corp.		6,700		2,016,158
Sumitomo Corp.		84,300		981,203
Sumitomo Metal Mining Co. Ltd.		53,000		806,076
Sumitomo Mitsui Financial Group, Inc.		81,786		3,641,048
Toagosei Co. Ltd.		73,500		612,481
Toho Holdings Co. Ltd.		41,200		948,401
Toyo Tire & Rubber Co. Ltd.		35,200		743,848
Toyoda Gosei Co. Ltd.		23,800		573,682
Tsumura & Co.		22,900		492,640
Yokohama Rubber Co. Ltd. (The)		45,000		902,954

				70,992,564

Liechtenstein
Verwaltungs-und Privat-Bank AG		2,100		183,619

Netherlands — 2.5%
Aegon NV		95,000		700,930
ING Groep NV, CVA		58,400		969,756
Koninklijke Ahold NV		78,461		1,472,924
Koninklijke Philips NV		28,400		724,840
NXP Semiconductors NV*		80,045		7,860,419
Royal Dutch Shell PLC (Class A Stock), ADR		34,450		1,963,995
Royal Dutch Shell PLC (Class A Stock)		66,302		1,885,625
Royal Dutch Shell PLC (Class B Stock)		94,700		2,696,141

				18,274,630

New Zealand — 0.2%
Air New Zealand Ltd.		737,900		1,274,910

Norway — 0.5%
DNB ASA		50,500		841,008
Fred Olsen Energy ASA*(a)		17,100		119,075
Marine Harvest ASA		85,500		979,195
Statoil ASA		36,600		654,518
Yara International ASA		23,200		1,208,909

				3,802,705

SEE NOTES TO FINANCIAL STATEMENTS.

A93


COMMON STOCKS (continued)	Shares		Value (Note 2)
Singapore — 0.3%
DBS Group Holdings Ltd.		119,000	$	1,825,895
Wilmar International Ltd.		222,100		540,566

				2,366,461

South Africa — 1.0%
Aspen Pharmacare Holdings Ltd.		41,314		1,221,756
Bidvest Group Ltd.		74,947		1,896,402
Discovery Ltd.		282,432		2,933,214
Mondi PLC		49,500		1,065,692

				7,117,064

South Korea — 0.4%
Samsung Electronics Co. Ltd.		2,596		2,945,386

Spain — 0.8%
ACS Actividades de Construccion y Servicios SA		14,600		470,938
Amadeus IT Holding SA (Class A Stock)		53,972		2,154,578
Banco Santander SA		94,600		665,419
Ebro Foods SA		26,300		509,545
Gas Natural SDG SA		13,900		315,632
Iberdrola SA		150,200		1,014,085
Repsol SA		57,200		1,008,189

				6,138,386

Sweden — 1.4%
Atlas Copco AB (Class A Stock)		77,228		2,160,709
Boliden AB		45,100		822,205
Hexagon AB (Class B Stock)		77,898		2,821,507
Nordea Bank AB		86,400		1,077,560
Securitas AB (Class B Stock)		46,500		614,122
Swedbank AB (Class A Stock)		40,800		951,228
Telefonaktiebolaget LM Ericsson (Class B Stock)		77,900		811,339
TeliaSonera AB		154,700		911,761

				10,170,431

Switzerland — 3.1%
Actelion Ltd.*		24,541		3,594,066
Baloise Holding AG		11,400		1,390,012
Credit Suisse Group AG*		94,400		2,604,259
Geberit AG		7,210		2,403,776
Georg Fischer AG		2,000		1,374,921
Helvetia Holding AG		1,400		800,233
Oriflame Holding AG*		13,600		219,835
Partners Group Holding AG		9,293		2,777,563
Swiss Life Holding AG*		7,800		1,786,050
Swiss Re AG*		23,900		2,115,694
TE Connectivity Ltd.		26,600		1,710,380
UBS AG		1,500		31,859
Zurich Insurance Group AG*		5,800		1,765,692

				22,574,340

United Kingdom — 7.8%
3i Group PLC		120,600		978,565
Alent PLC		54		312
Anglo American PLC		47,800		690,535
ARM Holdings PLC		71,067		1,162,925
AstraZeneca PLC		56,472		3,574,105
Aviva PLC		129,800		1,005,345


COMMON STOCKS (continued)	Shares		Value (Note 2)
United Kingdom (continued)
BAE Systems PLC		227,200	$	1,609,799
Barclays PLC		287,100		1,176,715
Barratt Developments PLC		98,600		951,023
Beazley PLC		129,500		601,871
Bellway PLC		25,400		946,117
Berkeley Group Holdings PLC		20,500		1,077,246
Bovis Homes Group PLC		40,500		708,348
BP PLC		317,500		2,107,133
BT Group PLC		141,300		1,000,588
Carillion PLC		145,900		783,242
Centrica PLC		220,400		914,540
Compass Group PLC		250,864		4,149,051
Debenhams PLC		301,400		422,499
DS Smith PLC		63,600		385,680
GlaxoSmithKline PLC		52,400		1,089,491
Home Retail Group PLC		107,200		284,658
HSBC Holdings PLC		167,100		1,496,273
IG Group Holdings PLC		164,794		1,931,606
InterContinental Hotels Group PLC		56,935		2,295,420
Intermediate Capital Group PLC		108,800		939,889
J. Sainsbury PLC		306,300		1,275,036
Man Group PLC		325,800		802,984
National Express Group PLC		163,900		791,969
Old Mutual PLC		282,100		892,941
Petrofac Ltd.		34,000		494,721
Premier Foods PLC*		357,756		211,964
Prudential PLC		123,054		2,965,528
QinetiQ Group PLC		269,900		950,278
Reckitt Benckiser Group PLC		36,107		3,113,643
Relx PLC		187,865		3,052,915
Rio Tinto Ltd.		18,500		765,286
St. James’s Place PLC		143,811		2,044,917
Tate & Lyle PLC		81,200		662,802
Vesuvius PLC		81,100		540,526
WM Morrison Supermarkets PLC		452,000		1,283,119
Wolseley PLC		36,190		2,307,980
WPP PLC		116,413		2,613,011

				57,052,596

United States — 50.1%
3M Co.		11,425		1,762,878
AbbVie, Inc.		27,150		1,824,209
AES Corp.		249,400		3,307,044
Alexion Pharmaceuticals, Inc.*		16,110		2,912,205
Allstate Corp. (The)		34,100		2,212,067
Amazon.com, Inc.*		19,634		8,522,923
American Express Co.		24,550		1,908,026
Ameriprise Financial, Inc.		14,450		1,805,239
Amgen, Inc.		16,450		2,525,404
Amphenol Corp. (Class A Stock)		110,932		6,430,728
ANSYS, Inc.*		41,201		3,759,179
Apache Corp.		55,000		3,169,650
Apple, Inc.		55,267		6,931,863
AT&T, Inc.		52,450		1,863,024
Avon Products, Inc.(a)		65,450		409,717
Baker Hughes, Inc.		23,300		1,437,610
Bank of America Corp.		299,650		5,100,043
Bank of New York Mellon Corp. (The)		53,750		2,255,888
Baxalta, Inc.*		12,500		399,250

SEE NOTES TO FINANCIAL STATEMENTS.

A94


COMMON STOCKS (continued)	Shares		Value (Note 2)
United States (continued)
Boeing Co. (The)		18,150	$	2,517,768
Bristol-Myers Squibb Co.		83,933		5,584,902
Carnival Corp.		73,450		3,627,695
Celanese Corp., Series A		65,000		4,672,200
Charles Schwab Corp. (The)		321,861		10,508,762
Cisco Systems, Inc.		78,600		2,158,356
Cognizant Technology Solutions Corp. (Class A Stock)*		91,696		5,601,709
Colfax Corp.*(a)		79,455		3,666,848
Comcast Corp. (Class A Stock)		29,400		1,768,116
CONSOL Energy, Inc.(a)		21,800		473,932
Costco Wholesale Corp.		42,957		5,801,772
Danaher Corp.		80,698		6,906,942
DaVita HealthCare Partners, Inc.*		63,522		5,048,093
E.I. du Pont de Nemours & Co.		4,400		281,380
Ecolab, Inc.		53,820		6,085,427
Emerson Electric Co.		7,500		415,725
Entergy Corp.		18,450		1,300,725
EQT Corp.		16,100		1,309,574
Estee Lauder Cos., Inc. (The) (Class A Stock)		79,173		6,861,132
Exelon Corp.		67,150		2,109,853
Express Scripts Holding Co.*(a)		94,628		8,416,214
Exxon Mobil Corp.		30,400		2,529,280
Facebook, Inc. (Class A Stock)*		84,415		7,239,852
Fastenal Co.(a)		118,273		4,988,755
FirstEnergy Corp.		68,100		2,216,655
FMC Technologies, Inc.*		98,159		4,072,617
General Electric Co.		196,950		5,232,961
General Motors Co.		52,200		1,739,826
Genpact Ltd.*		197,290		4,208,196
Gilead Sciences, Inc.		41,472		4,855,542
Google, Inc. (Class A Stock)*		5,656		3,054,466
Google, Inc. (Class C Stock)*		5,742		2,988,768
Hess Corp.		32,750		2,190,320
Honeywell International, Inc.		21,550		2,197,454
Illinois Tool Works, Inc.		18,050		1,656,810
International Paper Co.		32,600		1,551,434
Intuitive Surgical, Inc.*		13,779		6,675,925
Invesco Ltd.		31,650		1,186,559
Johnson & Johnson		36,950		3,601,147
Johnson Controls, Inc.		35,450		1,755,839
JPMorgan Chase & Co.		110,500		7,487,480
Kohl’s Corp.		36,700		2,297,787
Las Vegas Sands Corp.		21,250		1,117,113
Loews Corp.		15,900		612,309
Lowe’s Cos., Inc.		57,650		3,860,820
Marsh & McLennan Cos., Inc.		67,000		3,798,900
Mattel, Inc.		42,450		1,090,541
Mead Johnson Nutrition Co.		61,056		5,508,472
Medtronic PLC		38,871		2,880,341
Merck & Co., Inc.		69,200		3,939,556
MetLife, Inc.		67,600		3,784,924
Microsoft Corp.		99,750		4,403,962
Morgan Stanley		124,800		4,840,992
National Instruments Corp.		95,757		2,821,001
NetSuite, Inc.*(a)		28,390		2,604,783
News Corp. (Class A Stock)*		45,500		663,845
NRG Energy, Inc.		59,100		1,352,208
Occidental Petroleum Corp.		34,300		2,667,511
PepsiCo, Inc.		28,350		2,646,189
Pfizer, Inc.		165,550		5,550,891


COMMON STOCKS (continued)	Shares		Value (Note 2)
United States (continued)
PG&E Corp.		83,100	$	4,080,210
Philip Morris International, Inc.		31,250		2,505,313
PNC Financial Services Group, Inc.		19,400		1,855,610
Procter & Gamble Co. (The)		34,050		2,664,072
QUALCOMM, Inc.		31,800		1,991,634
Raytheon Co.		15,950		1,526,096
salesforce.com, inc.*		91,171		6,348,237
Schlumberger Ltd.		54,864		4,728,728
Southwest Airlines Co.		87,750		2,903,647
Starbucks Corp.		158,704		8,508,915
Stericycle, Inc.*		52,244		6,995,994
T-Mobile U.S., Inc.*		25,650		994,451
Texas Instruments, Inc.		41,150		2,119,637
Thermo Fisher Scientific, Inc.		25,450		3,302,392
Time Warner Cable, Inc.		12,500		2,227,125
Time Warner, Inc.		38,850		3,395,878
TripAdvisor, Inc.*		70,282		6,124,373
Tyco International PLC		37,050		1,425,684
U.S. Bancorp		69,550		3,018,470
Union Pacific Corp.		17,650		1,683,281
United Technologies Corp.		41,800		4,636,874
Viacom, Inc. (Class B Stock)		16,150		1,043,936
Visa, Inc. (Class A Stock)		121,922		8,187,062
Vulcan Materials Co.		20,500		1,720,565
Wal-Mart Stores, Inc.		9,300		659,649
Wells Fargo & Co.		56,700		3,188,808
Western Union Co. (The)		99,550		2,023,852
Weyerhaeuser Co.		49,950		1,573,425
Whole Foods Market, Inc.		99,669		3,930,945

				366,890,966

TOTAL COMMON STOCKS (cost $562,597,205)				707,132,466


	Units
RIGHTS*
Spain
Repsol SA, expiring 07/09/15 (cost $31,487)		57,200		29,653

TOTAL LONG-TERM INVESTMENTS (cost $562,628,692)				707,162,119

SHORT-TERM INVESTMENT — 5.8%

	Shares
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $42,709,639; includes $22,106,732 of cash collateral for securities on loan)(Note 4)(b)(c)		42,709,639		42,709,639

TOTAL INVESTMENTS — 102.4% (cost $605,338,331)				749,871,758
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.4)%				(17,509,637	)

NET ASSETS — 100.0%			$	732,362,121

SEE NOTES TO FINANCIAL STATEMENTS.

A95

See the Glossary for abbreviations used in the Portfolio descriptions.

*	Non-income producing security.

(a)

All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $21,605,587; cash collateral of $22,106,732 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

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

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

Level 1—quoted

prices generally in active markets for identical securities.

Level 2—quoted

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

Level 3—unobservable

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

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Australia	$	—	$	10,059,690	$	—
Austria		—		1,600,902		—
Belgium		239,972		1,748,755		—
Canada		14,071,332		—		—
China		4,230,887		7,729,431		—
Denmark		—		5,157,143		—
Finland		—		4,375,142		—
France		—		28,646,299		—
Germany		984,699		20,510,145		—
Hong Kong		493,788		7,869,359		—
India		6,721,624		—		—
Indonesia		—		1,768,052		—
Ireland		4,823,350		970,181		—
Israel		6,444,997		2,548,238		—
Italy		—		6,354,422		—
Japan		512,195		70,480,369		—
Liechtenstein		183,619		—		—
Netherlands		9,824,414		8,450,216		—
New Zealand		—		1,274,910		—
Norway		—		3,802,705		—
Singapore		—		2,366,461		—
South Africa		—		7,117,064		—
South Korea		—		2,945,386		—
Spain		—		6,138,386		—
Sweden		—		10,170,431		—
Switzerland		1,930,215		20,644,125		—
United Kingdom		947,460		56,105,136		—
United States		366,890,966		—		—
Rights		29,653		—		—
Affiliated Money Market Mutual Fund		42,709,639		—		—

Total	$	461,038,810	$	288,832,948	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A96

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:


Banks	7.5	%
Insurance	5.9
Affiliated Money Market Mutual Fund (including 3.0% of collateral for securities on loan)	5.8
Pharmaceuticals	5.8
Oil, Gas & Consumable Fuels	4.6
Capital Markets	4.5
IT Services	3.6
Electronic Equipment, Instruments & Components	2.8
Internet Software & Services	2.8
Software	2.7
Hotels, Restaurants & Leisure	2.7
Food & Staples Retailing	2.7
Automobiles	2.6
Industrial Conglomerates	2.4
Media	2.3
Aerospace & Defense	2.2
Chemicals	2.2
Health Care Providers & Services	2.2
Machinery	2.1
Internet & Catalog Retail	2.0
Biotechnology	1.9
Technology Hardware, Storage & Peripherals	1.8
Auto Components	1.7
Electric Utilities	1.7
Health Care Equipment & Supplies	1.7
Trading Companies & Distributors	1.6
Energy Equipment & Services	1.5
Semiconductors & Semiconductor Equipment	1.5
Commercial Services & Supplies	1.4
Personal Products	1.4
Real Estate Management & Development	1.3


Food Products	1.1	%
Airlines	1.1
Diversified Telecommunication Services	1.0
Specialty Retail	1.0
Road & Rail	0.9
Multi-Utilities	0.8
Household Products	0.8
Building Products	0.8
Diversified Financial Services	0.8
Metals & Mining	0.8
Household Durables	0.7
Communications Equipment	0.6
Independent Power & Renewable Electricity Producers	0.6
Paper & Forest Products	0.5
Wireless Telecommunication Services	0.5
Life Sciences Tools & Services	0.4
Multiline Retail	0.4
Beverages	0.3
Tobacco	0.3
Construction Materials	0.3
Construction & Engineering	0.3
Textiles, Apparel & Luxury Goods	0.3
Consumer Finance	0.3
Electrical Equipment	0.2
Leisure Products	0.2
Real Estate Investment Trusts (REITs)	0.2
Containers & Packaging	0.2
Marine	0.1

	102.4
Liabilities in excess of other assets	(2.4	)

	100.0	%

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

Fair values of derivative instruments as of June 30, 2015 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

29,653

—

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2015 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	Rights*
Equity contracts	$	(1,834	)

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

SEE NOTES TO FINANCIAL STATEMENTS.

A97


		*GLOBAL PORTFOLIO (continued)*

STATEMENT OF ASSETS & LIABILITIES

(Unaudited)

as of June 30, 2015


ASSETS
Investments at value, including securities on loan of $21,605,587:
Unaffiliated investments (cost $562,628,692)	$	707,162,119
Affiliated investments (cost $42,709,639)		42,709,639
Cash		12,469
Foreign currency, at value (cost $3,264,510)		3,213,337
Tax reclaim receivable		1,728,802
Dividends and interest receivable		900,490
Receivable for investments sold		690,124
Receivable for Series shares sold		83,486
Prepaid expenses		881

Total Assets		756,501,347

LIABILITIES
Payable to broker for collateral for securities on loan		22,106,732
Payable for investments purchased		1,369,593
Management fee payable		453,925
Accrued expenses and other liabilities		163,857
Payable for Series shares repurchased		44,193
Affiliated transfer agent fee payable		926

Total Liabilities		24,139,226

NET ASSETS	$	732,362,121

Net assets were comprised of:
Paid-in capital	$	519,763,758
Retained earnings		212,598,363

Net assets, June 30, 2015	$	732,362,121

Net asset value and redemption price per share $732,362,121 / 27,261,121 outstanding shares of beneficial interest	$	26.86

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2015


NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $106,285)	$	9,456,683
Affiliated dividend income		16,047
Affiliated income from securities lending, net		12,358

Total income		9,485,088

EXPENSES
Management fee		2,745,543
Custodian and accounting fees		159,000
Shareholders’ reports		42,000
Audit fee		13,000
Trustees’ fees		8,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800)		6,000
Legal fees and expenses		6,000
Insurance expenses		5,000
Loan interest expense		42
Miscellaneous		20,825

Total expenses		3,005,410
Less: Management fee waiver		(38,481	)

Net expenses		2,966,929

NET INVESTMENT INCOME		6,518,159

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		19,512,995
Foreign currency transactions		(114,999	)

		19,397,996

Net change in unrealized appreciation (depreciation) on:
Investments		6,057,602
Foreign currencies		(38,406	)

		6,019,196

NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		25,417,192

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	31,935,351

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)


	Six Months Ended June 30, 2015			Year Ended December 31, 2014
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	6,518,159		$	10,803,379
Net realized gain on investment and foreign currency transactions		19,397,996			38,470,561
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		6,019,196			(25,504,944	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		31,935,351			23,768,996

SERIES SHARE TRANSACTIONS
Series shares sold [165,191 and 941,874 shares, respectively]		4,406,096			23,729,047
Series shares repurchased [868,536 and 2,863,482 shares, respectively]		(23,152,397	)		(72,868,700	)

NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(18,746,301	)		(49,139,653	)

TOTAL INCREASE (DECREASE)		13,189,050			(25,370,657	)
NET ASSETS:
Beginning of period		719,173,071			744,543,728

End of period	$	732,362,121		$	719,173,071

SEE NOTES TO FINANCIAL STATEMENTS.

A98


LONG-TERM INVESTMENTS — 100.0% ASSET-BACKED SECURITIES — 6.1%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations — 5.6%
Anchorage Capital CLO Ltd., Series 2014-5A, Class A, 144A		1.853%	(a)	10/15/26		750	$	750,844
Ares CLO Ltd., Series 2014-31A, Class A1, 144A		1.726%	(a)	08/28/25		1,000		998,261
Babson CLO Ltd., Series 2013-IA, Class A, 144A		1.375%	(a)	04/20/25		1,750		1,735,948
Battalion CLO VII Ltd., Series 2014-7A, Class A1, 144A		1.874%	(a)	10/17/26		750		750,850
Battalion CLO VIII Ltd., Series 2015-8A, Class A1, 144A		1.791%	(a)	04/18/27		500		500,074
Blue Hill CLO Ltd., Series 2013-1A, Class A, 144A		1.755%	(a)	01/15/26		600		600,028
Flatiron CLO Ltd., Series 2013-1A, Class A1, 144A		1.674%	(a)	01/17/26		250		249,268
Galaxy CLO Ltd., Series 2014-18A, Class A, 144A		1.745%	(a)	10/15/26		3,250		3,238,509
Magnetite VIII Ltd., Series 2014-8A, Class A, 144A		1.755%	(a)	04/15/26		2,260		2,253,722
Neuberger Berman CLO XVI Ltd., Series 2014-16A, Class A1, 144A		1.745%	(a)	04/15/26		250		249,215
Shackleton II CLO Ltd., Series 2012-2A, Class A1, 144A		1.685%	(a)	10/20/23		500		499,026
Silver Spring Ltd., Series 2014-1A, Class A, 144A		1.725%	(a)	10/15/26		1,500		1,493,281
Sound Point CLO IX Ltd., Series 2015-2A, Class A, 144A (Cayman Islands)		1.786%	(a)	07/20/27		750		749,250
Vibrant CLO Ltd., Series 2015-3A, Class A1, 144A		1.885%	(a)	04/20/26		1,500		1,501,101
Voya CLO Ltd., Series 2014-3A, Class A1, 144A		1.697%	(a)	07/25/26		3,000		2,979,567

								18,548,944

Collateralized Mortgage Obligations — 0.3%
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2496, Class PM		5.500%		09/15/17		220		228,317
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2501, Class MC		5.500%		09/15/17		65		67,238
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2513, Class HC		5.000%		10/15/17		411		424,594
Federal National Mortgage Assoc., REMICS, Series 2002-57, Class ND		5.500%		09/25/17		76		78,657
Merrill Lynch Mortgage Investors, Inc., Series 2003-E, Class A1		0.807%	(a)	10/25/28		45		42,501
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		2.637%	(a)	02/25/34		197		195,522

								1,036,829

Non-Residential Mortgage-Backed Securities — 0.2%
Small Business Administration Participation Certificates, Series 1996-20J, Class 1		7.200%		10/01/16		164		169,219
Small Business Administration Participation Certificates, Series 1997-20A, Class 1		7.150%		01/01/17		127		130,464
Small Business Administration Participation Certificates, Series 1997-20G, Class 1		6.850%		07/01/17		90		92,642
Small Business Administration Participation Certificates, Series 1998-20I, Class 1		6.000%		09/01/18		259		274,208

								666,533

TOTAL ASSET-BACKED SECURITIES (cost $20,200,414)								20,252,306

COMMERCIAL MORTGAGE-BACKED SECURITIES — 22.7%
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A3		5.293%		12/11/49		168		169,318
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4		5.223%		08/15/48		1,637		1,702,153
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3		2.540%		12/10/45		1,000		978,845
Commercial Mortgage Trust, Series 2005-GG5, Class AM		5.277%	(a)	04/10/37		1,500		1,510,746
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM		5.639%	(a)	02/15/39		200		203,071
Fannie Mae-Aces, Series 2015-M1, Class AB2		2.465%		09/25/24		550		528,651
Fannie Mae-Aces, Series 2015-M3, Class AB2		2.625%		10/25/24		2,730		2,665,004
Fannie Mae-Aces, Series 2015-M10, Class A2		3.092%	(a)	04/25/27		1,600		1,583,920
Federal National Mortgage Assoc., Series 2012-M2, Class A2		2.717%		02/25/22		200		203,455
Federal National Mortgage Assoc., Series 2012-M13, Class A2		2.377%		05/25/22		1,850		1,831,914
Federal National Mortgage Assoc., Series 2014-M2, Class A2		3.513%	(a)	12/25/23		2,650		2,789,507
FHLMC Multifamily Structured Pass-Through Certificates, Series K003, Class A5		5.085%		03/25/19		250		279,247
FHLMC Multifamily Structured Pass-Through Certificates, Series K004, Class A2		4.186%		08/25/19		4,825		5,246,165
FHLMC Multifamily Structured Pass-Through Certificates, Series K005, Class A2		4.317%		11/25/19		1,100		1,204,297

SEE NOTES TO FINANCIAL STATEMENTS.

A99


COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, I/O		1.798%	(a)	06/25/20		18,609	$	1,166,489
FHLMC Multifamily Structured Pass-Through Certificates, Series K019, Class X1, I/O		1.866%	(a)	03/25/22		18,331		1,705,015
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O		1.596%	(a)	05/25/22		9,201		742,330
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O		1.632%	(a)	06/25/22		9,757		813,266
FHLMC Multifamily Structured Pass-Through Certificates, Series K024, Class A2		2.573%		09/25/22		2,000		2,004,902
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, I/O		1.022%	(a)	10/25/22		27,532		1,447,485
FHLMC Multifamily Structured Pass-Through Certificates, Series K026, Class A2		2.510%		11/25/22		3,600		3,587,051
FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2		3.320%		02/25/23		3,600		3,771,623
FHLMC Multifamily Structured Pass-Through Certificates, Series K032, Class A2		3.310%	(a)	05/25/23		2,730		2,849,667
FHLMC Multifamily Structured Pass-Through Certificates, Series K033, Class A2		3.060%		07/25/23		3,600		3,690,306
FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2		3.531%		07/25/23		5,200		5,499,504
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O		1.734%	(a)	08/25/16		3,182		38,883
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O		1.906%	(a)	05/25/19		8,278		483,294
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O		1.826%	(a)	07/25/19		7,837		445,881
FHLMC Multifamily Structured Pass-Through Certificates, Series KSMC, Class A2		2.615%		01/25/23		1,800		1,793,133
FHLMC Multifamily Structured Pass-Through Certificates, Series-K044, Class A2		2.811%		01/25/25		3,200		3,172,755
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class A2		3.003%		01/15/47		1,700		1,760,056
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A3		5.961%	(a)	06/15/49		792		799,928
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46		1,700		1,667,090
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C23, Class A3		3.368%		09/15/47		1,700		1,747,336
Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM		5.865%	(a)	05/12/39		1,375		1,412,956
ML-CFC Commercial Mortgage Trust, Series 2006-2, Class AM		6.066%	(a)	06/12/46		250		259,032
ML-CFC Commercial Mortgage Trust, Series 2006-4, Class AM		5.204%		12/12/49		1,500		1,573,281
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3		3.451%		07/15/50		1,600		1,614,446
Morgan Stanley Capital I Trust, Series 2005-IQ10, Class A4B		5.284%	(a)	09/15/42		800		799,558
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4		2.792%		12/10/45		1,300		1,286,557
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class AMFX		5.179%	(a)	07/15/42		62		62,003
Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class A5		5.416%	(a)	01/15/45		1,500		1,519,684
Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class AM		5.466%	(a)	01/15/45		1,700		1,734,809
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A5		5.896%	(a)	05/15/43		2,000		2,051,434
Wachovia Bank Commercial Mortgage Trust, Series 2006-C27, Class A3		5.765%	(a)	07/15/45		2,294		2,357,227

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $75,153,365)								74,753,274

FOREIGN AGENCIES — 0.7%
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A		3.150%		07/24/24		820		825,691
KFW, Gov’t. Gtd., GMTN		2.750%		10/01/20		1,320		1,377,576

TOTAL FOREIGN AGENCIES (cost $2,176,860)								2,203,267

SEE NOTES TO FINANCIAL STATEMENTS.

A100


MUNICIPAL BOND — 0.2%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Utah
State of Utah, BABs, Series D (cost $630,000)		4.554%		07/01/24		630	$	695,570

U.S. GOVERNMENT AGENCY OBLIGATIONS — 50.8%
Federal Home Loan Mortgage Corp.		0.750%		07/14/17-01/12/18		3,180		3,173,088
Federal Home Loan Mortgage Corp.		2.479%	(a)	05/01/34		390		414,107
Federal Home Loan Mortgage Corp.		2.500%		03/01/30		978		990,718
Federal Home Loan Mortgage Corp.(c)		3.000%		TBA		1,000		994,023
Federal Home Loan Mortgage Corp.		3.000%		06/01/29-06/01/45		1,885		1,913,823
Federal Home Loan Mortgage Corp.(c)		3.500%		TBA		4,000		4,104,297
Federal Home Loan Mortgage Corp.		3.500%		08/01/26-01/01/27		886		936,992
Federal Home Loan Mortgage Corp.		4.000%		06/01/26-12/01/40		3,248		3,447,528
Federal Home Loan Mortgage Corp.		4.500%		09/01/39		3,167		3,428,732
Federal Home Loan Mortgage Corp.		5.000%		06/01/33-05/01/34		1,444		1,605,480
Federal Home Loan Mortgage Corp.		5.500%		05/01/37-05/01/38		911		1,019,388
Federal Home Loan Mortgage Corp.		6.000%		09/01/34-08/01/39		640		725,807
Federal Home Loan Mortgage Corp.		6.500%		09/01/32		94		107,914
Federal National Mortgage Assoc.		0.875%		05/21/18		580		576,529
Federal National Mortgage Assoc.(e)		1.500%		06/22/20		1,355		1,338,931
Federal National Mortgage Assoc.		1.625%		01/21/20		2,415		2,411,653
Federal National Mortgage Assoc.		1.875%		02/19/19		90		91,696
Federal National Mortgage Assoc.		2.104%	(a)	04/01/34		160		170,524
Federal National Mortgage Assoc.		2.207%	(a)	04/01/34		299		317,581
Federal National Mortgage Assoc.		2.261%	(a)	07/01/33		1,011		1,069,623
Federal National Mortgage Assoc.		2.350%	(a)	06/01/34		281		299,314
Federal National Mortgage Assoc.		2.392%	(a)	08/01/33		688		729,712
Federal National Mortgage Assoc.(c)		2.500%		TBA		250		253,028
Federal National Mortgage Assoc.(b)(e)		2.625%		09/06/24		850		850,328
Federal National Mortgage Assoc.(c)		3.000%		TBA		14,500		14,445,908
Federal National Mortgage Assoc.		3.000%		08/01/28		1,951		2,025,813
Federal National Mortgage Assoc.(c)		3.500%		TBA		500		527,320
Federal National Mortgage Assoc.(c)		3.500%		TBA		500		515,273
Federal National Mortgage Assoc.(c)		3.500%		TBA		35,000		35,976,173
Federal National Mortgage Assoc.		3.500%		03/01/27-06/01/39		1,477		1,548,653
Federal National Mortgage Assoc.(c)		4.000%		TBA		11,000		11,654,284
Federal National Mortgage Assoc.(c)		4.000%		TBA		6,500		6,871,388
Federal National Mortgage Assoc.		4.000%		09/01/40-09/01/44		5,135		5,459,742
Federal National Mortgage Assoc.(c)		4.500%		TBA		500		540,547
Federal National Mortgage Assoc.		4.500%		05/01/40		3,708		4,048,915
Federal National Mortgage Assoc.(c)		5.000%		TBA		3,500		3,866,406
Federal National Mortgage Assoc.		5.000%		07/01/18-05/01/36		2,425		2,647,089
Federal National Mortgage Assoc.		5.500%		01/01/17-11/01/35		6,189		7,000,646
Federal National Mortgage Assoc.		6.000%		05/01/21-05/01/38		1,193		1,352,010
Federal National Mortgage Assoc.		6.500%		07/01/32-10/01/37		1,429		1,675,724
Federal National Mortgage Assoc.		7.000%		12/01/31-01/01/36		203		232,058
Federal National Mortgage Assoc.		8.000%		03/01/22-02/01/26		9		9,498
Federal National Mortgage Assoc.		9.000%		02/01/25-04/01/25		30		34,500
Financing Corp. Strips Principal, Series 4-P		1.390%	(d)	10/06/17		2,700		2,644,472
Financing Corp. Strips Principal, Series D-P		2.224%	(d)	09/26/19		1,370		1,269,961
Government National Mortgage Assoc.(c)		3.000%		TBA		3,000		3,028,125
Government National Mortgage Assoc.(c)		3.500%		TBA		3,000		3,113,555
Government National Mortgage Assoc.		3.500%		02/20/45-04/20/45		3,916		4,084,717
Government National Mortgage Assoc.		4.000%		06/15/40-01/20/45		3,426		3,633,951
Government National Mortgage Assoc.(c)		4.500%		TBA		2,000		2,171,562
Government National Mortgage Assoc.		4.500%		02/20/41-03/20/41		2,512		2,740,633
Government National Mortgage Assoc.		5.000%		07/15/33-04/15/34		794		885,392
Government National Mortgage Assoc.		5.500%		03/15/34-03/15/36		668		768,563
Government National Mortgage Assoc.		6.500%		07/15/32-08/15/32		221		258,397
Government National Mortgage Assoc.		7.000%		03/15/23-08/15/28		490		544,335

SEE NOTES TO FINANCIAL STATEMENTS.

A101


U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Government National Mortgage Assoc.		7.500%		12/15/25-02/15/26		78	$	88,754
Government National Mortgage Assoc.		8.500%		09/15/24-04/15/25		165		188,464
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes		2.503%		10/30/20		937		967,455
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes		2.578%		06/30/22		1,520		1,527,600
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes		3.000%		06/30/25		1,040		1,042,600
Residual Funding Corp.Strips Principal, Sr. Unsec’d. Notes, PO		1.825%	(d)	10/15/19		2,745		2,533,673
Residual Funding Corp.Strips Principal, Sr. Unsec’d. Notes, PO		2.066%	(d)	07/15/20		1,545		1,398,312
Ukraine Government USAID Bonds, U.S. Gov’t. Gtd. Notes		1.847%		05/29/20		3,480		3,482,742

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $164,948,613)								167,776,026

U.S. TREASURY OBLIGATIONS — 19.5%
U.S. Treasury Bonds		2.750%		08/15/42-11/15/42		5,265		4,898,114
U.S. Treasury Bonds		2.875%		05/15/43		1,185		1,129,268
U.S. Treasury Bonds		4.625%		02/15/40		830		1,058,444
U.S. Treasury Inflation Indexed Bonds, TIPS		0.125%		04/15/20		4,536		4,572,569
U.S. Treasury Notes		0.750%		06/30/17		340		340,664
U.S. Treasury Notes(f)		1.250%		11/30/18		3,365		3,373,412
U.S. Treasury Notes(e)		1.375%		12/31/18-03/31/20		7,295		7,296,337
U.S. Treasury Notes(e)		1.500%		12/31/18		11,905		12,022,193
U.S. Treasury Notes		1.500%		05/31/19-10/31/19		5,560		5,565,841
U.S. Treasury Notes(e)		1.625%		04/30/19		8,680		8,776,973
U.S. Treasury Notes		2.125%		09/30/21		3,940		3,979,400
U.S. Treasury Notes		3.125%		05/15/19		425		453,521
U.S. Treasury Strips Coupon		2.037%	(d)	02/15/22		2,280		1,982,348
U.S. Treasury Strips Coupon		2.184%	(d)	02/15/28		550		389,065
U.S. Treasury Strips Coupon		2.241%	(d)	05/15/28		275		192,920
U.S. Treasury Strips Coupon		2.280%	(d)	02/15/29		275		187,197
U.S. Treasury Strips Coupon		2.384%	(d)	05/15/29		565		380,826
U.S. Treasury Strips Coupon(f)		2.404%	(d)	08/15/21		3,370		2,974,103
U.S. Treasury Strips Coupon		4.138%	(d)	02/15/42		5,000		2,079,740
U.S. Treasury Strips Principal		2.351%	(d)	05/15/43		1,500		602,907
U.S. Treasury Strips Principal		3.371%	(d)	05/15/44		4,510		1,765,421
U.S. Treasury Strips Principal		3.879%	(d)	02/15/44		715		282,147

TOTAL U.S. TREASURY OBLIGATIONS (cost $64,108,210)								64,303,410

TOTAL LONG-TERM INVESTMENTS (cost $327,217,462)								329,983,853

SHORT-TERM INVESTMENTS — 26.9%

					Shares
AFFILIATED MUTUAL FUNDS — 26.8%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $55,573,949)(Note 4)(g)						5,648,746		52,759,283
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $35,782,813; includes $335,198 of cash collateral for securities on loan)(Note 4)(g)(h)						35,782,813		35,782,813

TOTAL AFFILIATED MUTUAL FUNDS (cost $91,356,762)								88,542,096


					Notional Amount (000)#
*OPTIONS PURCHASED — 0.1%**
Call Options
U.S. Treasury Long Bond Futures expiring 07/24/15, Strike Price $152.00						21,200		364,375
U.S. Treasury Long Bond Futures expiring 07/24/15, Strike Price $160.00						10,600		23,188

SEE NOTES TO FINANCIAL STATEMENTS.

A102


OPTIONS PURCHASED* (continued)	Notional Amount (000)#		Value (Note 2)
Call Options (continued)
U.S. Treasury Long Bond Futures expiring 07/24/15, Strike Price $164.00		10,600	$	8,281

TOTAL OPTIONS PURCHASED (cost $366,763)				395,844

TOTAL SHORT-TERM INVESTMENTS (cost $91,723,525) (Note 3)				88,937,940

TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 126.9% (cost $418,940,987)				418,921,793

OPTIONS WRITTEN*
Call Options
U.S. Treasury Long Bond Futures expiring 07/24/15, Strike Price $156.00		21,200		(135,812	)
U.S. Treasury Long Bond Futures expiring 07/24/15, Strike Price $158.00		21,200		(79,500	)

TOTAL OPTIONS WRITTEN (premiums received $188,081)				(215,312	)

TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 126.9% (cost $418,752,906)				418,706,481
LIABILITIES IN EXCESS OF OTHER ASSETS(j) — (26.9)%				(88,703,774	)

NET ASSETS 100.0%			$	330,002,707

See the Glossary for abbreviations used in the Portfolio descriptions.

*	Non-income producing security.

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

(a)	Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2015.

(b)

All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $327,898; cash collateral of $335,198 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

(c)	All or partial amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of $85,250,000 is approximately 26% of net assets.

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

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

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

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

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

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

Futures contracts outstanding at June 30, 2015:


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at June 30, 2015		Unrealized Appreciation (Depreciation)(1)
Long Positions:
39	2 Year U.S. Treasury Notes		Sep. 2015	$	8,541,665	$	8,538,563	$	(3,102	)
90	5 Year U.S. Treasury Notes		Sep. 2015		10,669,507		10,733,203		63,696
346	10 Year U.S. Treasury Notes		Sep. 2015		43,482,602		43,655,468		172,866

									233,460

Short Positions:
7	U.S. Long Bonds		Sep. 2015		1,053,258		1,055,906		(2,648	)
5	U.S. Ultra Bonds		Sep. 2015		769,836		770,312		(476	)

									(3,124	)

								$	230,336

(1)	U.S. Treasury securities with a combined market value of $1,167,445 has been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2015.

SEE NOTES TO FINANCIAL STATEMENTS.

A103

Interest rate swap agreements outstanding at June 30, 2015:


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
	Over-the-counter swap agreements:
	1,360		11/30/16		0.945%	3 Month LIBOR(1)	$	(6,149	)	$	—	$	(6,149	)	Citigroup Global Markets
	4,700		02/15/19		1.656%	3 Month LIBOR(1)		(65,102	)		—		(65,102	)	Citigroup Global Markets
	4,700		02/15/19		1.794%	3 Month LIBOR(2)		90,555			—		90,555		JPMorgan Chase

							$	19,304		$	—	$	19,304


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2015			Unrealized Appreciation (Depreciation)
	Exchange-traded swap agreements:
	100		02/21/16		0.429%	3 Month LIBOR(1)	$	150		$	(24	)	$	(174	)
	7,855		09/17/21		2.358%	3 Month LIBOR(2)		197			162,242			162,045
	10,555		12/31/21		1.831%	3 Month LIBOR(1)		17,669			141,747			124,078
	16,300		12/31/21		1.950%	3 Month LIBOR(1)		47,095			98,870			51,775
	5,100		01/13/22		2.351%	3 Month LIBOR(1)		181			(91,301	)		(91,482	)
	4,850		01/13/22		2.480%	3 Month LIBOR(1)		179			(125,854	)		(126,033	)
	1,710		01/22/22		2.467%	3 Month LIBOR(1)		160			(42,677	)		(42,837	)
	27,675		05/31/22		2.200%	3 Month LIBOR(1)		(38,559	)		(30,655	)		7,904
	8,720		12/20/23		2.932%	3 Month LIBOR(1)		220			(424,777	)		(424,997	)
	11,725		08/18/24		2.750%	3 Month LIBOR(2)		168			364,343			364,175
	5,290		09/17/24		2.732%	3 Month LIBOR(1)		110			(153,980	)		(154,090	)
	230		09/17/29		3.070%	3 Month LIBOR(2)		11			10,535			10,524

								$ 27,581		$	(91,531	)	$	(119,112	)

U.S. Treasury obligations with a combined market value of $1,090,217 and U.S. Government Agency obligations with a combined market value of $1,023,418 has been segregated with Citigroup Global Markets to cover requirements for open exchange-traded interest rate swap contracts at June 30, 2015.

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

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

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

Level 1—

quoted prices generally in active markets for identical securities.

Level 2—

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

Level 3—

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

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:


	Level 1			Level 2		Level 3
Investments in Securities
Asset-Backed Securities
Collateralized Loan Obligations	$	—		$	17,799,694	$	749,250
Collateralized Mortgage Obligations		—			1,036,829		—
Non-Residential Mortgage-Backed Securities		—			666,533		—
Commercial Mortgage-Backed Securities		—			74,753,274		—
Foreign Agencies		—			2,203,267		—
Municipal Bond		—			695,570		—
U.S. Government Agency Obligations		—			167,776,026		—
U.S. Treasury Obligations		—			64,303,410		—
Affiliated Mutual Funds		88,542,096			—		—
Options Purchased		395,844			—		—
Options Written		(215,312	)		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A104


	Level 1		Level 2			Level 3
Other Financial Instruments*
Futures Contracts	$	230,336	$	—		$	—
Over-the-counter interest rate swaps		—		19,304			—
Exchange-traded interest rate swaps		—		(119,112	)		—

Total	$	88,952,964	$	329,134,795		$	749,250

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:


U.S. Government Agency Obligations	50.8	%
Affiliated Mutual Funds	26.8
Commercial Mortgage-Backed Securities	22.7
U.S. Treasury Obligations	19.5
Collateralized Loan Obligations	5.6
Foreign Agencies	0.7
Collateralized Mortgage Obligations	0.3


Non-Residential Mortgage-Backed Securities	0.2	%
Municipal Bond	0.2
Options Purchased	0.1

	126.9
Liabilities in excess of other assets	(26.9	)

	100.0	%

Fair values of derivative instruments as of June 30, 2015 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging
instruments, carried at fair value

Asset Derivatives

Liability Derivatives

Balance Sheet Location

Fair Value

Balance Sheet Location

Fair Value

Interest rate contracts

Due from broker —
variation margin futures

236,562

Due from broker —
variation margin futures

6,226

Interest rate contracts

Due from broker —
variation margin swaps

720,501

Due from broker —
variation margin swaps

839,613

Interest rate contracts

Unrealized appreciation on
swap agreements

90,555

Unrealized depreciation on
swap agreements

71,251

Interest rate contracts

Unaffiliated investments

395,844

Options written outstanding, at value

215,312

Total

1,443,462

1,132,402

*	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, 2015 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	$	(772,677	)	$	221,537	$	(526,005	)	$	(153,461	)	$	(1,230,606	)

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


Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Options Purchased*		Options Written			Futures			Swaps		Total
Interest rate contracts	$	50,648	$	(50,430	)	$	(1,824	)	$	208,850	$	207,244

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

SEE NOTES TO FINANCIAL STATEMENTS.

A105

For the six months ended June 30, 2015, the Portfolio’s average volume of derivative activities is as follows:


Options Purchased⁽¹⁾	Options Written⁽²⁾	Futures Contracts— Long Positions⁽³⁾	Futures Contracts— Short Positions⁽³⁾	Interest Rate Swap Agreements⁽²⁾
$194,585	$70,400	$69,944,539	$8,957,393	$119,583

⁽¹⁾

Cost.

⁽²⁾	Notional Amount in USD (000).

⁽³⁾	Value at Trade Date.

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


Counterparty	Gross amounts of recognized assets(1)		Gross amounts available for offset		Collateral Received(3)		Net Amount
Citigroup Global Markets	$	—	$	—	$	—	$	—
JPMorgan Chase		90,555		—		—		90,555

	$	90,555


Counterparty	Gross amounts of recognized liabilities(2)			Gross amounts available for offset		Collateral Pledged(3)		Net Amount
Citigroup Global Markets	$	(71,251	)	$	—	$	—	$	(71,251	)
JPMorgan Chase		—			—		—		—

	$	(71,251	)

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A106


		*GOVERNMENT INCOME PORTFOLIO (continued)*

STATEMENT OF ASSETS & LIABILITIES

(Unaudited)

as of June 30, 2015


ASSETS
Investments at value, including securities on loan of $327,898:
Unaffiliated investments (cost $327,584,225)	$	330,379,697
Affiliated investments (cost $91,356,762)		88,542,096
Receivable for investments sold		87,639,774
Dividends and interest receivable		970,195
Unrealized appreciation on over-the-counter swap agreements		90,555
Due from broker—variation margin swaps		39,419
Receivable for Series shares sold		1,866
Prepaid expenses		389

Total Assets		507,663,991

LIABILITIES
Payable for investments purchased		176,750,058
Payable to broker for collateral for securities on loan		335,198
Options written outstanding, at value (premiums received $188,081)		215,312
Management fee payable		108,705
Accrued expenses and other liabilities		102,685
Unrealized depreciation on over-the-counter swap agreements		71,251
Payable to custodian		39,356
Payable for Series shares repurchased		24,606
Due to broker—variation margin futures		12,367
Affiliated transfer agent fee payable		926
Deferred trustees’ fees		820

Total Liabilities		177,661,284

NET ASSETS	$	330,002,707

Net assets were comprised of:
Paid-in capital	$	316,463,681
Retained earnings		13,539,026

Net assets, June 30, 2015	$	330,002,707

Net asset value and redemption price per share $330,002,707 / 27,637,596 outstanding shares of beneficial interest	$	11.94

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2015


NET INVESTMENT INCOME
INCOME
Interest income	$	2,823,732
Affiliated dividend income		365,820
Affiliated income from securities lending, net		13,876

Total income		3,203,428

EXPENSES
Management fee		670,154
Shareholders’ reports		50,000
Custodian and accounting fees		39,000
Audit fee		16,000
Trustees’ fees		6,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800)		6,000
Legal fees and expenses		4,000
Insurance expenses		2,000
Miscellaneous		7,461

Total expenses		800,615

NET INVESTMENT INCOME		2,402,813

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investment transactions		1,348,138
Futures transactions		(526,005	)
Options written transactions		221,537
Swap agreement transactions		(153,461	)

		890,209

Net change in unrealized appreciation (depreciation) on:
Investments		(2,799,962	)
Futures		(1,824	)
Options written		(50,430	)
Swap agreements		208,850

		(2,643,366	)

NET LOSS ON INVESTMENT TRANSACTIONS		(1,753,157	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	649,656

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)


	Six Months Ended June 30, 2015			Year Ended December 31, 2014
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income	$	2,402,813		$	5,901,363
Net realized gain on investment transactions		890,209			7,472,234
Net change in unrealized appreciation (depreciation) on investments		(2,643,366	)		5,994,740

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		649,656			19,368,337

DISTRIBUTIONS		—			(1,210,720	)

SERIES SHARE TRANSACTIONS
Series shares sold [165,541 and 449,768 shares, respectively]		1,991,940			5,246,081
Series shares issued in reinvestment of distributions [0 and 105,280 shares, respectively]		—			1,210,720
Series shares repurchased [982,647 and 2,279,485 shares, respectively]		(11,819,420	)		(26,512,995	)

NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(9,827,480	)		(20,056,194	)

TOTAL DECREASE		(9,177,824	)		(1,898,577	)
NET ASSETS:
Beginning of period		339,180,531			341,079,108

End of period	$	330,002,707		$	339,180,531

SEE NOTES TO FINANCIAL STATEMENTS.

A107


LONG-TERM INVESTMENTS — 96.8% ASSET-BACKED SECURITIES — 0.4%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations — 0.4%
Primus CLO II Ltd. (Cayman Islands), Series 2007-2A, Class A, 144A		0.508%	(a)	07/15/21		377	$	372,061
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class D, 144A		4.526%	(a)	08/17/22		13,000		13,038,062

								13,410,123

Residential Mortgage-Backed Securities
Argent Securities, Inc./Asset-Backed Pass-Through Certificates, Series 2003-W8, Class M1		1.235%	(a)	12/25/33		99		93,230

TOTAL ASSET-BACKED SECURITIES (cost $12,023,295)								13,503,353

BANK LOANS(a) — 1.5%
Capital Goods — 0.1%
Neff Rental LLC		7.250%		06/09/21		4,415		4,368,219

Chemicals — 0.2%
Solenis International LP		7.750%		07/31/22		7,500		7,246,875

Energy – Other — 0.1%
American Energy Marcellus LLC		8.500%		08/04/21		3,675		1,947,750

Gaming — 0.2%
CCM Merger, Inc.		4.500%		08/06/21		4,053		4,056,515
Golden Nugget, Inc.		5.500%		11/21/19		1,448		1,458,356

								5,514,871

Healthcare & Pharmaceutical
Radnet Mgmt., Inc.		8.000%		03/25/21		1,000		982,500

Lodging — 0.1%
Four Seasons Holdings, Inc. (Canada)		6.250%		12/28/20		1,750		1,750,000

Technology — 0.8%
Evergreen Skills Lux Sarl (Luxembourg)		9.250%		04/28/22		16,200		15,171,300
Kronos, Inc.		9.750%		04/30/20		11,450		11,750,526

								26,921,826

TOTAL BANK LOANS (cost $51,265,733)								48,732,041

COLLATERALIZED MORTGAGE OBLIGATIONS
Adjustable Rate Mortgage Trust, Series 2005-7, Class 1A1		2.568%	(a)	10/25/35		86		76,390
American Home Mortgage Assets Trust, Series 2006-4, Class 1A12		0.397%	(a)	10/25/46		37		25,772
American Home Mortgage Investment Trust, Series 2005-2, Class 4A1		1.923%	(a)	09/25/45		17		16,022
Banc of America Alternative Loan Trust, Series 2005-4, Class CB6		0.587%	(a)	05/25/35		35		26,821
Banc of America Funding Trust, Series 2006-B, Class 2A1		2.607%	(a)	03/20/36		108		92,777
Bear Stearns ARM Trust, Series 2005-10, Class A2		2.708%	(a)	10/25/35		41		40,675
Citigroup Mortgage Loan Trust, Series 2007-10, Class 22AA		2.757%	(a)	09/25/37		73		65,508
Countrywide Alternative Loan Trust, Series 2005-43, Class 4A3		5.070%	(a)	10/25/35		26		23,505
Countrywide Alternative Loan Trust, Series 2006-HY13, Class 4A1		2.612%	(a)	02/25/37		35		30,589
Countrywide Alternative Loan Trust, Series 2006-OA11, Class A1B		0.377%	(a)	09/25/46		39		33,441
Countrywide Alternative Loan Trust, Series 2006-OA9, Class 2A1A		0.397%	(a)	07/20/46		30		22,184
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-2, Class 2A1		0.507%	(a)	03/25/35		89		85,369
First Horizon Alternative Mortgage Securities Trust, Series 2006-FA2, Class 1A5		6.000%		05/25/36		58		48,808
HarborView Mortgage Loan Trust, Series 2006-5, Class 2A1A		0.368%	(a)	07/19/46		46		27,674
HarborView Mortgage Loan Trust, Series 2006-7, Class 2A1B		0.438%	(a)	09/19/46		33		2,396
IndyMac INDX Mortgage Loan Trust, Series 2006-AR12, Class A1		0.377%	(a)	09/25/46		35		29,699
JP Morgan Mortgage Trust, Series 2007-S3, Class 1A96		6.000%		08/25/37		27		24,263
MASTR Adjustable Rate Mortgages Trust, Series 2006-OA1, Class 1A1		0.397%	(a)	04/25/46		24		17,692
Residential Accredit Loans, Inc., Series 2006-QA2, Class 3A1		5.500%	(a)	02/25/36		183		146,115
Residential Accredit Loans, Inc., Series 2007-QS4, Class 2A1		0.517%	(a)	03/25/37		154		54,355

SEE NOTES TO FINANCIAL STATEMENTS.

A108


COLLATERALIZED MORTGAGE OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Residential Asset Securitization Trust, Series 2007-A5, Class 2A3		6.000%		05/25/37		55	$	48,024
Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 2A1		0.377%	(a)	07/25/46		47		37,322
SunTrust Alternative Loan Trust, Series 2006-1F, Class 3A		0.537%	(a)	04/25/36		105		43,296
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 2A3		2.290%	(a)	02/25/37		29		25,243
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 4A1		2.379%	(a)	02/25/37		36		31,856
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-OA3, Class 2A1A		0.918%	(a)	04/25/47		41		35,476

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $970,055)								1,111,272

CORPORATE BONDS — 94.8%
Aerospace & Defense — 1.5%
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A		5.750%		03/15/22		2,450		2,180,500
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A(b)		6.000%		10/15/22		3,425		3,039,688
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A(b)		6.125%		01/15/23		3,250		2,884,375
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A(b)		7.500%		03/15/25		3,150		2,858,625
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A		7.750%		03/15/20		2,026		2,037,143
DAE Aviation Holdings, Inc., Gtd. Notes, 144A		10.000%		07/15/23		6,225		6,140,962
LMI Aerospace, Inc., Sec’d. Notes		7.375%		07/15/19		3,798		3,788,505
Orbital ATK, Inc., Gtd. Notes, 144A		5.250%		10/01/21		2,965		3,024,300
Sequa Corp., Gtd. Notes, 144A (original cost $5,349,594; purchased 12/10/12-12/17/13)(b)(c)(d)		7.000%		12/15/17		5,359		3,644,120
TransDigm, Inc., Gtd. Notes		6.000%		07/15/22		6,550		6,468,125
TransDigm, Inc., Gtd. Notes		6.500%		07/15/24		6,150		6,073,125
TransDigm, Inc., Gtd. Notes(b)		7.500%		07/15/21		5,245		5,638,375

								47,777,843

Automotive — 3.3%
American Axle & Manufacturing, Inc., Gtd. Notes(b)		6.250%		03/15/21		4,875		5,118,750
American Axle & Manufacturing, Inc., Gtd. Notes		6.625%		10/15/22		5,000		5,250,000
American Axle & Manufacturing, Inc., Gtd. Notes		7.750%		11/15/19		675		762,750
American Tire Distributors, Inc., Sr. Sub. Notes, 144A		10.250%		03/01/22		12,125		12,943,437
Dana Holding Corp., Sr. Unsec’d. Notes		5.375%		09/15/21		4,050		4,151,250
Dana Holding Corp., Sr. Unsec’d. Notes		6.750%		02/15/21		6,909		7,237,178
FCA US LLC/CG Co.-Issuer, Inc., Sec’d. Notes		8.250%		06/15/21		2,100		2,289,000
Fiat Chrysler Automobiles NV (United Kingdom), Sr. Unsec’d. Notes, 144A(b)		5.250%		04/15/23		5,925		5,807,685
General Motors Co., Sr. Unsec’d. Notes		4.875%		10/02/23		2,025		2,134,903
General Motors Financial Co., Inc., Gtd. Notes(b)		3.250%		05/15/18		1,150		1,176,156
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A		5.625%		02/01/23		650		672,750
Lear Corp., Gtd. Notes		4.750%		01/15/23		775		763,375
Lear Corp., Gtd. Notes		5.250%		01/15/25		8,125		7,982,813
Meritor, Inc., Gtd. Notes		6.250%		02/15/24		5,475		5,406,563
Meritor, Inc., Gtd. Notes		6.750%		06/15/21		8,075		8,256,687
Omega US Sub. LLC, Sr. Unsec’d. Notes, 144A		8.750%		07/15/23		7,200		7,182,000
Schaeffler Finance BV (Germany), Sr. Sec’d. Notes, 144A		4.750%		05/15/23		8,300		8,092,500
Schaeffler Holding Finance BV (Germany), Sr. Sec’d. Notes, PIK, 144A		6.750%		11/15/22		1,800		1,941,750
Titan International, Inc., Sr. Sec’d. Notes(b)		6.875%		10/01/20		4,425		4,065,469
ZF North America Capital, Inc. (Germany), Gtd. Notes, 144A(b)		4.500%		04/29/22		8,550		8,375,152
ZF North America Capital, Inc. (Germany), Gtd. Notes, 144A(b)		4.750%		04/29/25		10,450		10,116,958

								109,727,126

Banking — 1.4%
Ally Financial, Inc., Gtd. Notes		8.000%		03/15/20		3,993		4,701,758
Ally Financial, Inc., Sr. Unsec’d. Notes		3.750%		11/18/19		6,625		6,575,312
Bank of America Corp., Series K, Jr. Sub. Notes		8.000%	(a)	12/29/49		730		770,150
Bank of America Corp., Series U, Jr. Sub. Notes		5.200%	(a)	12/31/49		2,925		2,797,031

SEE NOTES TO FINANCIAL STATEMENTS.

A109


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
Citigroup, Inc., Series N, Jr. Sub. Notes(b)		5.800%	(a)	12/31/49		9,515	$	9,538,787
Goldman Sachs Group, Inc. (The), Series M, Jr. Sub. Notes		5.375%	(a)	12/31/49		3,925		3,877,508
HBOS PLC (United Kingdom), Sub. Notes, GMTN, 144A		6.750%		05/21/18		400		443,501
Morgan Stanley, Series H, Jr. Sub. Notes		5.450%	(a)	12/31/49		4,975		4,937,688
Morgan Stanley, Series J, Jr. Sub. Notes(b)		5.550%	(a)	12/31/49		6,450		6,403,237
Wells Fargo & Co., Series S, Jr. Sub. Notes		5.900%	(a)	12/31/49		4,975		4,987,438

								45,032,410

Building Materials & Construction — 4.6%
Beazer Homes USA, Inc., Gtd. Notes(b)		5.750%		06/15/19		7,250		7,141,250
Beazer Homes USA, Inc., Gtd. Notes		7.250%		02/01/23		4,475		4,340,750
Beazer Homes USA, Inc., Gtd. Notes		7.500%		09/15/21		6,619		6,668,642
Beazer Homes USA, Inc., Gtd. Notes(b)		9.125%		05/15/19		3,750		3,904,687
Brookfield Residential Properties, Inc. (Canada), Gtd. Notes, 144A		6.500%		12/15/20		700		696,794
Brookfield Residential Properties, Inc. (Canada), Sr. Notes, 144A		6.375%		05/15/25		4,075		3,993,500
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), Gtd. Notes, 144A		6.125%		07/01/22		6,600		6,501,000
Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A (original cost $6,250,000; purchased 10/27/14)(c)(d)		5.375%		11/15/24		6,250		6,136,562
Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A (original cost $1,522,813; purchased 04/19/13)(c)(d)		6.750%		05/01/21		1,375		1,433,438
Cemex Finance LLC (Mexico), Sr. Sec’d. Notes, 144A		9.375%		10/12/22		5,975		6,654,656
Cemex SAB de CV (Mexico), Sr. Sec’d. Notes, 144A		5.700%		01/11/25		2,175		2,074,298
D.R. Horton, Inc., Gtd. Notes		4.750%		02/15/23		8,825		8,802,937
HD Supply, Inc., Sr. Sec’d. Notes, 144A(b)		5.250%		12/15/21		5,475		5,550,281
James Hardie International Finance Ltd. (Ireland), Gtd. Notes, 144A		5.875%		02/15/23		4,275		4,403,250
KB Home, Gtd. Notes(b)		7.625%		05/15/23		4,550		4,754,750
KB Home, Gtd. Notes		7.000%		12/15/21		2,725		2,813,563
KB Home, Gtd. Notes(b)		7.500%		09/15/22		6,350		6,604,000
Lennar Corp., Gtd. Notes		4.750%		05/30/25		6,575		6,377,750
Meritage Homes Corp., Gtd. Notes, 144A(b)		6.000%		06/01/25		3,600		3,618,000
Ryland Group, Inc. (The), Gtd. Notes		5.375%		10/01/22		2,900		2,929,000
Shea Homes LP/Shea Homes Funding Corp., Sr. Unsec’d. Notes, 144A		5.875%		04/01/23		2,875		2,910,938
Shea Homes LP/Shea Homes Funding Corp., Sr. Unsec’d. Notes, 144A		6.125%		04/01/25		4,200		4,231,500
Standard Pacific Corp., Gtd. Notes		5.875%		11/15/24		1,500		1,545,000
Standard Pacific Corp., Gtd. Notes		6.250%		12/15/21		6,300		6,678,000
Standard Pacific Corp., Gtd. Notes(b)		8.375%		01/15/21		3,125		3,625,000
Summit Materials LLC/Summit Materials Finance Corp., Sr. Unsec’d. Notes, 144A (original cost $6,550,000; purchased 06/23/15)(c)(d)		6.125%		07/15/23		6,550		6,550,000
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A		5.625%		03/01/24		3,163		3,044,388
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A		5.875%		04/15/23		9,212		9,096,850
Toll Brothers Finance Corp., Gtd. Notes		4.000%		12/31/18		400		408,000
USG Corp., Gtd. Notes, 144A		5.500%		03/01/25		700		697,375
WCI Communities, Inc., Gtd. Notes		6.875%		08/15/21		8,570		8,848,525
William Lyon Homes, Inc., Gtd. Notes		7.000%		08/15/22		6,525		6,753,375

								149,788,059

Cable — 3.8%
Cablevision Systems Corp., Sr. Unsec’d. Notes(b)		7.750%		04/15/18		1,375		1,485,000
Cablevision Systems Corp., Sr. Unsec’d. Notes		8.625%		09/15/17		9,975		10,872,750
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes		5.250%		03/15/21		635		633,413
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(b)		5.750%		09/01/23		2,875		2,880,391
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(b)		5.750%		01/15/24		900		904,500
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A		5.125%		05/01/23		5,675		5,518,937
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A		5.375%		05/01/25		1,125		1,095,469
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A(b)		5.875%		05/01/27		24,000		23,430,000

SEE NOTES TO FINANCIAL STATEMENTS.

A110


CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Cable (continued)
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A		5.125%	12/15/21		11,210	$	10,180,081
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A		5.125%	12/15/21		8,635		7,841,659
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A		6.375%	09/15/20		3,800		3,774,350
CSC Holdings LLC, Sr. Unsec’d. Notes		6.750%	11/15/21		4,530		4,779,150
CSC Holdings LLC, Sr. Unsec’d. Notes		7.875%	02/15/18		850		937,125
DISH DBS Corp., Gtd. Notes(b)		5.875%	07/15/22		3,275		3,209,500
DISH DBS Corp., Gtd. Notes(b)		5.875%	11/15/24		4,000		3,842,500
Inmarsat Finance PLC (United Kingdom), Gtd. Notes, 144A		4.875%	05/15/22		600		579,000
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes(b)		5.500%	08/01/23		12,000		10,626,000
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes		7.250%	10/15/20		5,700		5,635,875
Mediacom Broadband LLC/Mediacom Broadband Corp., Gtd. Notes		5.500%	04/15/21		7,500		7,312,500
Quebecor Media, Inc. (Canada), Sr. Unsec’d. Notes		5.750%	01/15/23		11,408		11,379,480
Unitymedia KabelBW GmbH (Germany), Gtd. Notes, 144A(b)		6.125%	01/15/25		3,575		3,735,875
Videotron Ltd. (Canada), Gtd. Notes		5.000%	07/15/22		3,825		3,815,438

							124,468,993

Capital Goods — 7.5%
ADS Waste Holdings, Inc., Gtd. Notes		8.250%	10/01/20		4,235		4,383,225
AECOM, Gtd. Notes, 144A(b)		5.875%	10/15/24		10,900		11,049,875
Ahern Rentals, Inc., Sec’d. Notes, 144A(b)		7.375%	05/15/23		5,325		5,258,437
Apex Tool Group LLC, Gtd. Notes, 144A (original cost $1,880,000; purchased 09/17/14)(b)(c)(d)		7.000%	02/01/21		2,000		1,780,000
Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A		6.500%	07/15/22		8,925		9,460,500
ATS Automation Tooling Systems, Inc. (Canada), Sr. Unsec’d. Notes, 144A		6.500%	06/15/23		4,400		4,493,500
Belden, Inc., Gtd. Notes, 144A		5.500%	09/01/22		4,025		3,994,812
BlueLine Rental Finance Corp., Sec’d. Notes, 144A (original cost $2,061,938; purchased 01/16/14-02/12/14)(b)(c)(d)		7.000%	02/01/19		2,025		2,080,688
Brand Energy & Infrastructure Services, Inc., Gtd. Notes, 144A (original cost $5,325,000; purchased 11/22/13)(c)(d)		8.500%	12/01/21		5,325		4,952,250
Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes		7.875%	12/01/17		4,150		4,544,250
CBRE Services, Inc., Gtd. Notes		5.000%	03/15/23		1,200		1,212,000
Clean Harbors, Inc., Gtd. Notes		5.125%	06/01/21		1,060		1,049,400
Clean Harbors, Inc., Gtd. Notes		5.250%	08/01/20		6,850		6,952,750
Cleaver-Brooks, Inc., Sr. Sec’d. Notes, 144A (original cost $5,912,938; purchased 04/08/13-12/11/14)(c)(d)		8.750%	12/15/19		5,475		5,392,875
CNH Industrial Capital LLC, Gtd. Notes(b)		3.625%	04/15/18		2,950		2,950,000
Dycom Investments, Inc., Gtd. Notes		7.125%	01/15/21		5,225		5,460,125
EnPro Industries, Inc., Gtd. Notes		5.875%	09/15/22		4,475		4,553,312
Gates Global LLC/Gates Global Co., Gtd. Notes, 144A(b)		6.000%	07/15/22		9,350		8,461,750
General Cable Corp., Gtd. Notes		5.750%	10/01/22		3,225		3,023,437
Greystar Real Estate Partners LLC, Sr. Sec’d. Notes, 144A (original cost $5,875,000; purchased 11/10/14)(c)(d)		8.250%	12/01/22		5,875		6,198,125
Griffon Corp., Gtd. Notes		5.250%	03/01/22		13,235		13,168,825
H&E Equipment Services, Inc., Gtd. Notes(b)		7.000%	09/01/22		12,295		12,679,219
International Wire Group Holdings, Inc., Sec’d. Notes, 144A(b)		8.500%	10/15/17		6,250		6,468,750
Jurassic Holdings III, Inc., Sec’d. Notes, 144A (original cost $11,048,375; purchased 01/24/14-05/06/15)(b)(c)(d)		6.875%	02/15/21		11,400		8,892,000
Laureate Education, Inc., Gtd. Notes, 144A(b)		10.000%	09/01/19		17,325		16,155,562
Manitowoc Co., Inc. (The), Gtd. Notes		5.875%	10/15/22		2,550		2,747,625
Modular Space Corp., Sec’d. Notes, 144A (original cost $1,800,000; purchased 02/19/14)(c)(d)		10.250%	01/31/19		1,800		1,557,000
NES Rentals Holdings, Inc., Sec’d. Notes, 144A (original cost $7,395,938; purchased 04/12/13-11/10/14)(c)(d)		7.875%	05/01/18		7,275		7,347,750
Safway Group Holding LLC/Safway Finance Corp., Sec’d. Notes, 144A		7.000%	05/15/18		1,450		1,482,321

SEE NOTES TO FINANCIAL STATEMENTS.

A111


CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Capital Goods (continued)
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., Gtd. Notes, 144A (original cost $12,829,344; purchased 04/07/14-07/11/14)(b)(c)(d)		6.375%	05/01/22		12,750	$	12,367,500
Terex Corp., Gtd. Notes		6.000%	05/15/21		7,239		7,275,195
Terex Corp., Gtd. Notes(b)		6.500%	04/01/20		2,175		2,278,313
Unifrax I LLC/Unifrax Holding Co., Gtd. Notes, 144A (original cost $4,452,000; purchased 10/10/13-02/02/15)(c)(d)		7.500%	02/15/19		4,400		4,422,000
United Rentals North America, Inc., Gtd. Notes(b)		5.500%	07/15/25		6,075		5,869,969
United Rentals North America, Inc., Gtd. Notes		5.750%	11/15/24		5,150		5,072,750
United Rentals North America, Inc., Gtd. Notes		6.125%	06/15/23		2,600		2,655,250
United Rentals North America, Inc., Gtd. Notes		7.375%	05/15/20		2,625		2,800,849
United Rentals North America, Inc., Gtd. Notes		7.625%	04/15/22		15,640		16,930,300
United Rentals North America, Inc., Gtd. Notes		8.250%	02/01/21		1,315		1,405,406
Vander Intermediate Holding II Corp., Sr. Unsec’d. Notes, PIK, 144A		9.750%	02/01/19		7,915		7,796,275
WireCo WorldGroup, Inc., Gtd. Notes		9.500%	05/15/17		9,900		9,299,862

							245,924,032

Chemicals — 4.1%
A Schulman, Inc., Gtd. Notes, 144A		6.875%	06/01/23		6,350		6,477,000
Axalta Coating Systems US Holdings Inc./Axalta Coating Systems Dutch Holding B BV, Gtd. Notes, 144A(b)		7.375%	05/01/21		8,145		8,725,331
Axiall Corp., Gtd. Notes(b)		4.875%	05/15/23		2,175		2,098,875
Chemours Co./The, Sr. Unsec’d. Notes, 144A(b)		6.625%	05/15/23		5,850		5,667,188
Chemours Co./The, Sr. Unsec’d. Notes, 144A		7.000%	05/15/25		4,675		4,534,750
Chemtura Corp., Gtd. Notes(b)		5.750%	07/15/21		15,933		16,171,995
Eagle Spinco, Inc., Gtd. Notes		4.625%	02/15/21		2,625		2,546,250
Hexion, Inc., Sr. Sec’d. Notes(b)		6.625%	04/15/20		7,585		6,959,237
Hexion, Inc., Sr. Sec’d. Notes		8.875%	02/01/18		9,275		8,370,687
Hexion, Inc., Sec’d. Notes		9.000%	11/15/20		21,885		15,757,200
Hexion, Inc., Sr. Sec’d. Notes		10.000%	04/15/20		6,025		6,190,688
Koppers, Inc., Gtd. Notes		7.875%	12/01/19		12,902		13,031,020
Platform Specialty Products Corp., Sr. Unsec’d. Notes, 144A		6.500%	02/01/22		7,125		7,356,562
Rentech Nitrogen Partners LP/Rentech Nitrogen Finance Corp., Sec’d. Notes, 144A		6.500%	04/15/21		8,200		8,200,000
TPC Group, Inc., Sr. Sec’d. Notes, 144A(b)		8.750%	12/15/20		15,445		14,286,625
Tronox Finance LLC, Gtd. Notes(b)		6.375%	08/15/20		6,481		6,011,128
Univar USA, Inc., Gtd. Notes, 144A		6.750%	07/15/23		1,775		1,792,750

							134,177,286

Consumer — 2.4%
Acosta, Inc., Sr. Unsec’d. Notes, 144A(b)		7.750%	10/01/22		11,000		11,082,500
Carlson Wagonlit BV (Netherlands), Sr. Sec’d. Notes, 144A (original cost $3,100,000; purchased 05/09/12)(c)(d)		6.875%	06/15/19		3,100		3,267,400
Energizer Holdings, Inc., Gtd. Notes, 144A		5.500%	06/15/25		3,750		3,703,125
First Quality Finance Co., Inc., Sr. Unsec’d. Notes, 144A(b)		4.625%	05/15/21		5,805		5,427,675
Hearthside Group Holdings LLC/Hearthside Finance Co., Gtd. Notes, 144A		6.500%	05/01/22		5,475		5,228,625
Interval Acquisition Corp., Gtd. Notes, 144A		5.625%	04/15/23		4,875		4,935,937
Service Corp. International, Sr. Unsec’d. Notes(b)		5.375%	01/15/22		925		971,250
Service Corp. International, Sr. Unsec’d. Notes		5.375%	05/15/24		8,650		9,039,250
Spectrum Brands, Inc., Gtd. Notes		6.375%	11/15/20		4,200		4,441,500
Spectrum Brands, Inc., Gtd. Notes, 144A		5.750%	07/15/25		4,850		4,922,750
Springs Industries, Inc., Sr. Sec’d. Notes		6.250%	06/01/21		19,932		19,483,530
West Corp., Gtd. Notes, 144A		5.375%	07/15/22		5,450		5,095,750

							77,599,292

Electric — 6.3%
AES Corp., Sr. Unsec’d. Notes(b)		4.875%	05/15/23		2,175		2,044,500
AES Corp., Sr. Unsec’d. Notes(b)		5.500%	03/15/24		2,400		2,310,000

SEE NOTES TO FINANCIAL STATEMENTS.

A112


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Electric (continued)
AES Corp., Sr. Unsec’d. Notes		7.375%		07/01/21		11,999	$	13,168,902
Calpine Corp., Sr. Sec’d. Notes, 144A		6.000%		01/15/22		2,100		2,220,750
Calpine Corp., Sr. Sec’d. Notes, 144A		7.875%		01/15/23		7,479		8,077,320
Calpine Corp., Sr. Unsec’d. Notes(b)		5.375%		01/15/23		10,710		10,522,575
Calpine Corp., Sr. Unsec’d. Notes		5.500%		02/01/24		11,800		11,416,500
Calpine Corp., Sr. Unsec’d. Notes(b)		5.750%		01/15/25		7,075		6,880,437
Covanta Holding Corp., Sr. Unsec’d. Notes		5.875%		03/01/24		3,150		3,142,125
Covanta Holding Corp., Sr. Unsec’d. Notes(b)		6.375%		10/01/22		2,450		2,563,313
Covanta Holding Corp., Sr. Unsec’d. Notes		7.250%		12/01/20		330		346,500
DPL, Inc., Sr. Unsec’d. Notes		6.500%		10/15/16		730		759,200
DPL, Inc., Sr. Unsec’d. Notes		7.250%		10/15/21		15,875		16,748,125
DPL, Inc., Sr. Unsec’d. Notes, 144A		6.750%		10/01/19		4,250		4,515,625
Dynegy, Inc., Gtd. Notes		5.875%		06/01/23		7,310		7,145,525
Dynegy, Inc., Gtd. Notes, 144A		7.375%		11/01/22		29,330		30,723,175
Dynegy, Inc., Gtd. Notes, 144A(b)		7.625%		11/01/24		13,380		14,149,350
GenOn Americas Generation LLC, Sr. Unsec’d. Notes		8.500%		10/01/21		1,000		950,000
GenOn Energy, Inc., Sr. Unsec’d. Notes(b)		9.500%		10/15/18		3,350		3,417,000
GenOn Energy, Inc., Sr. Unsec’d. Notes(b)		9.875%		10/15/20		13,600		13,838,000
InterGen NV (Netherlands), Sr. Sec’d. Notes, 144A (original cost $4,408,509; purchased 06/07/13-04/09/15)(c)(d)		7.000%		06/30/23		4,500		4,005,000
Mirant Corp., Bonds, 144A(c)		7.400%	(a)	07/15/49		1,825		1,825
Mirant Mid Atlantic Trust, Series B, Pass-Through Certificates		9.125%		06/30/17		1,636		1,726,156
NRG Energy, Inc., Gtd. Notes(b)		6.250%		07/15/22		9,018		9,153,270
NRG Energy, Inc., Gtd. Notes(b)		6.250%		05/01/24		10,500		10,421,250
NRG Energy, Inc., Gtd. Notes		7.625%		01/15/18		5,370		5,886,863
NRG Energy, Inc., Gtd. Notes(b)		7.875%		05/15/21		3,155		3,360,075
NRG Energy, Inc., Gtd. Notes		8.250%		09/01/20		4,950		5,185,125
NRG REMA LLC, Series B, Pass-Through Certificates		9.237%		07/02/17		294		306,545
NRG REMA LLC, Series C, Pass-Through Certificates		9.681%		07/02/26		6,910		7,445,525
Red Oak Power LLC, Series B, Sr. Sec’d. Notes (original cost $224,500; purchased 05/27/15)(c)(d)		9.200%		11/30/29		200		224,000
Talen Energy Supply LLC, Gtd. Notes, 144A		5.125%		07/15/19		5,625		5,512,500

								208,167,056

Energy – Integrated — 0.1%
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A		5.375%		01/26/19		5,000		4,107,500

Energy – Other — 5.6%
Antero Resources Corp., Gtd. Notes(b)		5.125%		12/01/22		1,975		1,866,375
Bonanza Creek Energy, Inc., Gtd. Notes		5.750%		02/01/23		2,300		2,064,250
Bonanza Creek Energy, Inc., Gtd. Notes(b)		6.750%		04/15/21		3,775		3,576,813
Bristow Group, Inc., Gtd. Notes		6.250%		10/15/22		3,525		3,489,750
California Resources Corp., Gtd. Notes(b)		5.500%		09/15/21		4,675		4,068,185
California Resources Corp., Gtd. Notes(b)		6.000%		11/15/24		19,950		17,157,000
CGG SA (France), Gtd. Notes		6.500%		06/01/21		2,125		1,763,750
CGG SA (France), Gtd. Notes		6.875%		01/15/22		1,355		1,124,650
CGG SA (France), Gtd. Notes(b)		7.750%		05/15/17		928		900,160
Citgo Holding, Inc., Sr. Sec’d. Notes, 144A		10.750%		02/15/20		9,750		9,969,375
Concho Resources, Inc., Gtd. Notes(b)		5.500%		04/01/23		4,325		4,325,000
CSI Compressco Partners LP/Compressco Finance, Inc., Gtd. Notes, 144A		7.250%		08/15/22		5,725		5,467,375
Denbury Resources, Inc., Gtd. Notes(b)		6.375%		08/15/21		2,565		2,462,400
Endeavor Energy Resources LP/EER Finance, Inc., Sr. Unsec’d. Notes, 144A(b)		7.000%		08/15/21		4,100		4,079,500
Endeavor Energy Resources LP/EER Finance, Inc., Sr. Unsec’d. Notes, 144A		8.125%		09/15/23		2,500		2,578,125
EP Energy LLC/Everest Acquisition Finance, Inc., Gtd. Notes(b)		9.375%		05/01/20		501		535,419
Halcon Resources Corp., Sec’d. Notes, 144A(b)		8.625%		02/01/20		3,900		3,851,250
Hilcorp Energy I LP/Hilcorp Finance Co., Sr. Unsec’d. Notes, 144A (original cost $9,525,000; purchased 05/20/15)(c)(d)		5.750%		10/01/25		9,525		9,144,000

SEE NOTES TO FINANCIAL STATEMENTS.

A113


CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Energy – Other (continued)
Hilcorp Energy I LP/Hilcorp Finance Co., Sr. Unsec’d. Notes, 144A (original cost $4,964,063; purchased 03/19/13-04/24/15)(c)(d)		7.625%	04/15/21		4,600	$	4,784,000
Hornbeck Offshore Services, Inc., Gtd. Notes(b)		5.875%	04/01/20		3,622		3,332,240
Jupiter Resources, Inc. (Canada), Sr. Unsec’d. Notes, 144A(b)		8.500%	10/01/22		6,325		5,297,187
MEG Energy Corp. (Canada), Gtd. Notes, 144A		6.500%	03/15/21		10,920		10,510,500
Memorial Resource Development Corp., Gtd. Notes		5.875%	07/01/22		6,850		6,615,045
Newfield Exploration Co., Sr. Unsec’d. Notes		5.375%	01/01/26		5,975		5,915,250
Newfield Exploration Co., Sr. Unsec’d. Notes		5.750%	01/30/22		1,875		1,903,125
Parker Drilling Co., Gtd. Notes		7.500%	08/01/20		1,975		1,797,250
PHI, Inc., Gtd. Notes		5.250%	03/15/19		3,525		3,260,625
Pioneer Energy Services Corp., Gtd. Notes		6.125%	03/15/22		2,400		1,920,000
Precision Drilling Corp. (Canada), Gtd. Notes		6.500%	12/15/21		2,075		2,012,750
Precision Drilling Corp. (Canada), Gtd. Notes		6.625%	11/15/20		2,500		2,450,000
QEP Resources, Inc., Sr. Unsec’d. Notes(b)		5.250%	05/01/23		5,525		5,290,187
QEP Resources, Inc., Sr. Unsec’d. Notes(b)		5.375%	10/01/22		2,300		2,221,110
Range Resources Corp., Gtd. Notes		5.000%	08/15/22		2,000		1,960,000
Rice Energy, Inc., Gtd. Notes, 144A(b)		7.250%	05/01/23		5,775		5,919,375
Samson Investment Co., Gtd. Notes (original cost $11,880,531; purchased 02/08/12-09/10/14)(c)(d)		9.750%	02/15/20		11,525		662,688
Sanchez Energy Corp., Gtd. Notes(b)		6.125%	01/15/23		1,375		1,230,625
SESI LLC, Gtd. Notes		6.375%	05/01/19		1,150		1,169,550
Seventy Seven Energy, Inc., Sr. Unsec’d. Notes(b)		6.500%	07/15/22		1,975		1,264,000
Triangle USA Petroleum Corp., Gtd. Notes, 144A		6.750%	07/15/22		4,850		3,758,750
Tullow Oil PLC (United Kingdom), Gtd. Notes, 144A		6.000%	11/01/20		6,900		6,253,125
Western Refining Logistics LP/WNRL Finance Corp., Gtd. Notes, 144A		7.500%	02/15/23		5,975		6,154,250
Western Refining, Inc., Gtd. Notes		6.250%	04/01/21		6,608		6,657,560
WPX Energy, Inc., Sr. Unsec’d. Notes(b)		6.000%	01/15/22		13,128		12,963,900

							183,726,469

Foods — 4.3%
B&G Foods, Inc., Gtd. Notes(b)		4.625%	06/01/21		4,025		3,964,625
BC ULC/New Red Finance, Inc. (Canada), Sec’d. Notes, 144A(b)		6.000%	04/01/22		6,875		7,064,062
CEC Entertainment, Inc., Gtd. Notes(b)		8.000%	02/15/22		10,420		10,341,850
Cott Beverages, Inc. (Canada), Gtd. Notes, 144A		6.750%	01/01/20		5,350		5,550,625
Darling Ingredients, Inc., Gtd. Notes(b)		5.375%	01/15/22		4,800		4,800,000
Ingles Markets, Inc., Sr. Unsec’d. Notes		5.750%	06/15/23		5,750		5,843,725
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A (original cost $3,017,471; purchased 05/20/11-06/15/11)(c)(d)		7.250%	06/01/21		3,085		3,250,819
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A (original cost $7,716,750; purchased 09/13/13-10/15/13)(c)(d)		7.250%	06/01/21		7,725		8,140,219
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Sr. Unsec’d. Notes, 144A (original cost $6,550,000; purchased 05/20/15)(b)(c)(d)		5.750%	06/15/25		6,550		6,474,348
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Sr. Unsec’d. Notes, 144A (original cost $6,273,813; purchased 06/11/14-07/10/14)(b)(c)(d)		5.875%	07/15/24		6,275		6,314,219
Kraft Heinz Foods Co., Sec’d Notes, 144A		4.875%	02/15/25		7,800		8,492,250
Landry’s, Inc., Gtd. Notes, 144A (original cost $10,675,380; purchased 04/19/12-02/10/15)(c)(d)		9.375%	05/01/20		10,386		11,138,985
PF Chang’s China Bistro, Inc., Gtd. Notes, 144A(b)		10.250%	06/30/20		6,450		6,667,687
Pilgrim’s Pride Corp., Gtd. Notes, 144A(b)		5.750%	03/15/25		3,200		3,232,000
Post Holdings, Inc., Gtd. Notes(b)		7.375%	02/15/22		10,525		10,709,187
Post Holdings, Inc., Gtd. Notes, 144A(b)		6.000%	12/15/22		9,075		8,734,687
Post Holdings, Inc., Gtd. Notes, 144A		6.750%	12/01/21		3,375		3,375,000
Roundy’s Supermarkets, Inc., Sec’d. Notes, 144A(b)		10.250%	12/15/20		5,250		4,462,500
Smithfield Foods, Inc., Sr. Unsec’d. Notes		6.625%	08/15/22		2,525		2,695,438
Smithfield Foods, Inc., Sr. Unsec’d. Notes, 144A		5.875%	08/01/21		6,975		7,201,687
SUPERVALU, Inc., Sr. Unsec’d. Notes(b)		7.750%	11/15/22		2,850		2,990,719
Tops Holding LLC/Tops Markets II Corp., Sr. Sec’d. Notes, 144A (original cost $6,700,000; purchased 05/29/15)(b)(c)(d)		8.000%	06/15/22		6,700		6,708,375

SEE NOTES TO FINANCIAL STATEMENTS.

A114


CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Foods (continued)
TreeHouse Foods, Inc., Gtd. Notes(b)		4.875%	03/15/22		2,875	$	2,896,563

							141,049,570

Gaming — 4.6%
Boyd Gaming Corp., Gtd. Notes		6.875%	05/15/23		9,750		9,993,750
Boyd Gaming Corp., Gtd. Notes		9.000%	07/01/20		6,959		7,550,515
CCM Merger, Inc., Gtd. Notes, 144A (original cost $12,251,245; purchased 03/14/12-05/21/14)(c)(d)		9.125%	05/01/19		12,112		12,959,840
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes(b)		4.875%	11/01/20		350		356,125
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes(b)		5.375%	11/01/23		5,425		5,574,188
Golden Nugget Escrow, Inc., Sr. Unsec’d. Notes, 144A(b)		8.500%	12/01/21		12,750		13,196,250
Isle of Capri Casinos, Inc., Gtd. Notes		5.875%	03/15/21		1,725		1,772,438
Isle of Capri Casinos, Inc., Gtd. Notes		8.875%	06/15/20		4,598		4,965,840
MGM Resorts International, Gtd. Notes(b)		6.625%	12/15/21		18,915		19,766,175
MGM Resorts International, Gtd. Notes		8.625%	02/01/19		1,755		1,983,150
MTR Gaming Group, Inc., Sec’d. Notes		11.500%	08/01/19		9,043		9,619,359
Penn National Gaming, Inc., Sr. Unsec’d. Notes(b)		5.875%	11/01/21		11,725		11,812,937
Pinnacle Entertainment, Inc., Gtd. Notes		6.375%	08/01/21		810		859,613
Pinnacle Entertainment, Inc., Gtd. Notes		7.750%	04/01/22		6,775		7,435,562
Scientific Games International, Inc., Gtd. Notes(b)		6.625%	05/15/21		26,275		20,363,125
Scientific Games International, Inc., Gtd. Notes		10.000%	12/01/22		2,250		2,154,375
Scientific Games International, Inc., Sr. Sec’d. Notes, 144A(b)		7.000%	01/01/22		3,200		3,304,000
Station Casinos LLC, Gtd. Notes		7.500%	03/01/21		4,860		5,200,200
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., Sr. Sec’d. Notes, 144A (original cost $13,195,000; purchased 05/16/13-05/14/15)(c)(d)		6.375%	06/01/21		13,375		12,706,250

							151,573,692

Healthcare & Pharmaceutical — 9.8%
Acadia Healthcare Co., Inc., Gtd. Notes		6.125%	03/15/21		3,206		3,302,180
Acadia Healthcare Co., Inc., Gtd. Notes		12.875%	11/01/18		4,220		4,610,350
Acadia Healthcare Co., Inc., Gtd. Notes, 144A		5.625%	02/15/23		3,250		3,290,625
Amsurg Corp., Gtd. Notes		5.625%	07/15/22		3,450		3,480,188
Capella Healthcare, Inc., Gtd. Notes		9.250%	07/01/17		6,280		6,429,150
Capsugel SA, Sr. Unsec’d. Notes, PIK, 144A		7.000%	05/15/19		6,250		6,360,094
Catamaran Corp., Gtd. Notes		4.750%	03/15/21		2,200		2,436,500
Centene Corp., Sr. Unsec’d. Notes		4.750%	05/15/22		6,225		6,411,750
CHS/Community Health Systems, Inc., Gtd. Notes(b)		6.875%	02/01/22		7,900		8,334,500
CHS/Community Health Systems, Inc., Gtd. Notes(b)		7.125%	07/15/20		1,750		1,854,125
CHS/Community Health Systems, Inc., Gtd. Notes(b)		8.000%	11/15/19		12,855		13,545,956
ConvaTec Finance International SA (Luxembourg), Sr. Unsec’d. Notes, PIK, 144A(b)		8.250%	01/15/19		3,575		3,512,438
ConvaTec Healthcare E SA (Luxembourg), Gtd. Notes, 144A		10.500%	12/15/18		6,433		6,786,815
Crimson Merger Sub, Inc., Sr. Unsec’d. Notes, 144A		6.625%	05/15/22		23,900		20,972,250
DaVita Healthcare Partners, Inc., Gtd. Notes(b)		5.000%	05/01/25		5,675		5,462,187
Emdeon, Inc., Gtd. Notes		11.000%	12/31/19		11,800		12,803,000
Endo Finance LLC, Gtd. Notes, 144A(b)		5.750%	01/15/22		2,450		2,480,625
Endo Finance LLC/Endo Ltd./Endo Finco, Inc, Gtd. Notes, 144A		6.000%	07/15/23		5,650		5,777,125
Endo Finance LLC/Endo Ltd./Endo Finco, Inc., Gtd. Notes, 144A(b)		6.000%	02/01/25		2,125		2,159,531
Grifols Worldwide Operations Ltd. (Spain), Gtd. Notes		5.250%	04/01/22		4,375		4,385,938
HCA, Inc., Sr. Sec’d. Notes		5.000%	03/15/24		2,625		2,670,938
HCA, Inc., Gtd. Notes		5.375%	02/01/25		37,290		37,897,827
HCA, Inc., Gtd. Notes(b)		5.875%	05/01/23		4,215		4,478,437
HCA, Inc., Gtd. Notes		8.000%	10/01/18		4,543		5,269,880
HealthSouth Corp., Gtd. Notes		5.125%	03/15/23		1,475		1,465,781
HealthSouth Corp., Gtd. Notes		5.750%	11/01/24		2,050		2,093,563
HealthSouth Corp., Gtd. Notes		7.750%	09/15/22		1,300		1,358,500
Horizon Pharma Financing, Inc., Sr. Unsec’d. Notes, 144A(b)		6.625%	05/01/23		9,100		9,486,750
Kindred Healthcare, Inc., Gtd. Notes		6.375%	04/15/22		3,506		3,501,618

SEE NOTES TO FINANCIAL STATEMENTS.

A115


CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Healthcare & Pharmaceutical (continued)
Kindred Healthcare, Inc., Gtd. Notes, 144A		8.000%	01/15/20		4,725	$	5,055,750
Kindred Healthcare, Inc., Gtd. Notes, 144A		8.750%	01/15/23		2,625		2,851,406
LifePoint Health, Inc., Gtd. Notes		5.500%	12/01/21		4,100		4,233,250
Mallinckrodt International Finance SA, Gtd. Notes		4.750%	04/15/23		6,675		6,228,609
Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Gtd. Notes, 144A(b)		5.500%	04/15/25		5,600		5,432,000
Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Gtd. Notes, 144A		5.750%	08/01/22		2,000		2,045,000
MedAssets, Inc., Gtd. Notes		8.000%	11/15/18		5,800		6,006,132
Quintiles Transnational Corp., Gtd. Notes, 144A		4.875%	05/15/23		3,625		3,643,125
Select Medical Corp., Gtd. Notes		6.375%	06/01/21		13,155		13,286,550
Sterigenics-Nordion Holdings LLC, Sr. Unsec’d. Notes, 144A		6.500%	05/15/23		5,575		5,658,625
Tenet Healthcare Corp., Sr. Sec’d. Notes(b)		4.375%	10/01/21		8,595		8,401,612
Tenet Healthcare Corp., Sr. Sec’d. Notes		4.500%	04/01/21		1,075		1,064,250
Tenet Healthcare Corp., Sr. Sec’d. Notes(b)		4.750%	06/01/20		2,975		3,021,484
Tenet Healthcare Corp., Sr. Unsec’d. Notes(b)		6.750%	02/01/20		4,100		4,284,500
Tenet Healthcare Corp., Sr. Unsec’d. Notes		8.125%	04/01/22		14,650		16,019,775
Tenet Healthcare Corp., Sr. Unsec’d. Notes, 144A(b)		5.000%	03/01/19		2,075		2,075,000
Tenet Healthcare Corp., Sr. Unsec’d. Notes, 144A		6.750%	06/15/23		6,950		7,089,000
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A		5.500%	03/01/23		1,925		1,944,250
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A(b)		5.625%	12/01/21		2,920		2,985,700
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A		5.875%	05/15/23		3,075		3,151,875
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A		7.500%	07/15/21		2,375		2,556,094
Valeant Pharmaceuticals International, Inc., Sr. Unsec’d. Notes, 144A		6.125%	04/15/25		21,385		21,999,819

							321,652,427

Insurance — 0.1%
CNO Financial Group, Inc., Sr. Unsec’d. Notes		5.250%	05/30/25		3,475		3,531,295

Lodging — 0.8%
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Gtd. Notes		5.625%	10/15/21		12,300		12,776,010
Royal Caribbean Cruises Ltd., Sr. Unsec’d. Notes		7.250%	03/15/18		2,425		2,667,500
Viking Cruises Ltd., Sr. Unsec’d. Notes, 144A (original cost $2,975,000; purchased 05/05/15)(c)(d)		6.250%	05/15/25		2,975		2,952,687
Viking Cruises Ltd., Sr. Unsec’d. Notes, 144A (original cost $6,405,750; purchased 07/17/14)(c)(d)		8.500%	10/15/22		5,850		6,493,500

							24,889,697

Media & Entertainment — 3.1%
AMC Entertainment, Inc., Gtd. Notes, 144A		5.750%	06/15/25		9,200		9,016,000
AMC Networks, Inc., Gtd. Notes		7.750%	07/15/21		2,475		2,673,000
Belo Corp., Sr. Unsec’d. Notes		7.750%	06/01/27		6,000		6,615,000
Cable One, Inc., Gtd. Notes, 144A		5.750%	06/15/22		3,925		3,974,063
Carmike Cinemas, Inc., Sec’d. Notes, 144A		6.000%	06/15/23		4,425		4,469,250
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes		5.250%	03/15/21		1,300		1,335,750
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes		5.375%	06/01/24		2,100		2,123,520
Cinemark USA, Inc., Gtd. Notes		4.875%	06/01/23		3,144		3,022,170
Cinemark USA, Inc., Gtd. Notes(b)		5.125%	12/15/22		5,850		5,798,812
Clear Channel Worldwide Holdings, Inc., Gtd. Notes		6.500%	11/15/22		2,970		3,044,250
Clear Channel Worldwide Holdings, Inc., Series A, Gtd. Notes(b)		7.625%	03/15/20		2,700		2,787,750
Entercom Radio LLC, Gtd. Notes		10.500%	12/01/19		7,075		7,587,937
Gray Television, Inc., Gtd. Notes(b)		7.500%	10/01/20		7,130		7,557,800
LIN Television Corp., Gtd. Notes		6.375%	01/15/21		2,000		2,045,000
Live Nation Entertainment, Inc., Gtd. Notes, 144A		5.375%	06/15/22		2,400		2,400,000
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance, Sr. Sec’d. Notes		9.750%	04/01/21		3,230		3,553,000
Mood Media Corp., Gtd. Notes, 144A		9.250%	10/15/20		3,700		3,154,250

SEE NOTES TO FINANCIAL STATEMENTS.

A116


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Media & Entertainment (continued)
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., Sr. Sec’d. Notes, 144A (original cost $2,300,000; purchased 07/30/13)(c)(d)		5.000%		08/01/18		2,300	$	2,346,000
National CineMedia LLC, Sr. Sec’d. Notes		6.000%		04/15/22		4,350		4,507,470
Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes, 144A		5.000%		04/15/22		250		245,000
R.R. Donnelley & Sons Co., Sr. Unsec’d. Notes(b)		6.000%		04/01/24		3,425		3,442,125
R.R. Donnelley & Sons Co., Sr. Unsec’d. Notes		6.500%		11/15/23		2,560		2,643,200
Sinclair Television Group, Inc., Gtd. Notes(b)		5.375%		04/01/21		4,850		4,886,375
Sinclair Television Group, Inc., Gtd. Notes(b)		6.125%		10/01/22		2,825		2,902,688
Sinclair Television Group, Inc., Gtd. Notes, 144A		5.625%		08/01/24		2,000		1,955,000
TEGNA, Inc., Gtd. Notes, 144A		5.500%		09/15/24		2,250		2,227,500
Tribune Media Co., Gtd. Notes, 144A(b)		5.875%		07/15/22		7,125		7,178,437

								103,491,347

Metals — 1.3%
AK Steel Corp., Gtd. Notes		7.625%		10/01/21		3,825		3,117,375
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(b)		6.250%		03/01/21		3,200		3,352,000
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(b)		7.000%		02/25/22		5,070		5,462,925
AuRico Gold, Inc. (Canada), Sec’d. Notes, 144A		7.750%		04/01/20		1,400		1,407,000
CONSOL Energy, Inc., Gtd. Notes		5.875%		04/15/22		3,425		2,911,250
Eldorado Gold Corp. (Canada), Sr. Unsec’d. Notes, 144A		6.125%		12/15/20		1,791		1,773,090
First Quantum Minerals Ltd. (Canada), Gtd. Notes, 144A(b)		7.000%		02/15/21		2,491		2,382,019
First Quantum Minerals Ltd. (Canada), Gtd. Notes, 144A(b)		7.250%		05/15/22		850		812,813
FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A(b)		8.250%		11/01/19		7,200		6,075,000
GrafTech International Ltd., Gtd. Notes		6.375%		11/15/20		1,950		1,774,500
JMC Steel Group, Inc., Sr. Unsec’d. Notes, 144A (original cost $3,733,125; purchased 01/06/15-01/29/15)(b)(c)(d)		8.250%		03/15/18		4,275		3,911,625
New Gold, Inc. (Canada), Sr. Unsec’d. Notes, 144A		6.250%		11/15/22		8,367		8,262,412
Peabody Energy Corp., Gtd. Notes(b)		6.250%		11/15/21		1,125		382,500
Peabody Energy Corp., Sec’d. Notes, 144A(b)		10.000%		03/15/22		2,775		1,720,500

								43,345,009

Non-Captive Finance — 2.9%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes(b)		4.250%		07/01/20		550		550,344
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes		4.625%		07/01/22		2,950		2,957,375
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes, 144A		3.750%		05/15/19		1,600		1,582,000
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes, 144A(b)		4.500%		05/15/21		3,875		3,894,375
CIT Group, Inc., Sr. Unsec’d. Notes		5.000%		05/15/17		950		979,640
CIT Group, Inc., Sr. Unsec’d. Notes(b)		5.000%		08/15/22		20,950		20,740,500
CIT Group, Inc., Sr. Unsec’d. Notes(b)		5.375%		05/15/20		750		781,875
CIT Group, Inc., Sr. Unsec’d. Notes, 144A(b)		5.500%		02/15/19		1,775		1,850,438
HSBC Finance Capital Trust IX (United Kingdom), Gtd. Notes		5.911%	(a)	11/30/35		100		100,555
International Lease Finance Corp., Sr. Sec’d. Notes, 144A		7.125%		09/01/18		525		585,375
International Lease Finance Corp., Sr. Unsec’d. Notes		3.875%		04/15/18		4,425		4,447,125
International Lease Finance Corp., Sr. Unsec’d. Notes(b)		6.250%		05/15/19		2,120		2,292,250
International Lease Finance Corp., Sr. Unsec’d. Notes		8.250%		12/15/20		1,125		1,335,938
International Lease Finance Corp., Sr. Unsec’d. Notes		8.625%		01/15/22		1,525		1,860,500
International Lease Finance Corp. E-Capital Trust II Ltd., Ltd. Gtd. Notes, 144A		6.250%	(a)	12/21/65		4,250		4,165,000
Jet Equipment Trust 1994-A, Equipment Trust, 144A(c)		10.000%	(a)(e)	12/15/13		34		27,510
Jet Equipment Trust 1994-A, Sr. Unsec’d. Notes, 144A(c)		7.630%	(a)(e)	02/15/15		11		—
KCG Holdings, Inc., Sr. Sec’d. Notes, 144A		6.875%		03/15/20		5,875		5,669,375
National Financial Partners Corp., Sr. Unsec’d. Notes, 144A		9.000%		07/15/21		2,375		2,345,312
Navient Corp., Sr. Unsec’d. Notes		5.000%		10/26/20		1,500		1,470,000

SEE NOTES TO FINANCIAL STATEMENTS.

A117


CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Captive Finance (continued)
Navient Corp., Sr. Unsec’d. Notes, MTN(b)		8.000%	03/25/20		6,100	$	6,801,500
OneMain Financial Holdings, Inc., Gtd. Notes, 144A		6.750%	12/15/19		5,125		5,342,812
OneMain Financial Holdings, Inc., Gtd. Notes, 144A		7.250%	12/15/21		6,730		6,973,962
Springleaf Finance Corp., Gtd. Notes		6.000%	06/01/20		9,525		9,631,680
Springleaf Finance Corp., Gtd. Notes		8.250%	10/01/23		1,125		1,268,438
Transworld Systems, Inc., Sr. Sec’d. Notes, 144A		9.500%	08/15/21		15,675		9,405,000

							97,058,879

Packaging — 2.4%
AEP Industries, Inc., Sr. Unsec’d. Notes		8.250%	04/15/19		4,782		4,865,685
Ardagh Finance Holdings SA (Luxembourg), Sr. Unsec’d. Notes, PIK, 144A(b)		8.625%	06/15/19		5,787		5,989,965
Ardagh Packaging Finance PLC (Ireland), Gtd. Notes, 144A(b)		9.125%	10/15/20		5,350		5,644,250
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A(b)		6.000%	06/30/21		1,725		1,720,688
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A(b)		6.250%	01/31/19		2,875		2,925,312
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A(b)		6.750%	01/31/21		1,360		1,390,600
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A		9.125%	10/15/20		1,350		1,417,500
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Sr. Unsec’d. Notes, 144A		7.000%	11/15/20		988		1,008,000
Beverage Packaging Holdings Luxembourg II SA/Beverage Packaging Holdings II (New Zealand), Gtd. Notes, 144A		6.000%	06/15/17		5,150		5,150,000
Coveris Holdings SA (Luxembourg), Gtd. Notes, 144A		7.875%	11/01/19		6,900		6,865,500
Greif, Inc., Sr. Unsec’d. Notes		6.750%	02/01/17		4,970		5,206,075
PaperWorks Finance LLC, Sr. Sec’d. Notes, 144A(b)		9.500%	08/15/19		525		522,375
PaperWorks Industries, Inc., Sr. Sec’d. Notes, 144A		9.500%	08/15/19		6,010		5,979,950
Plastipak Holdings, Inc., Sr. Unsec’d. Notes, 144A (original cost $8,500,000; purchased 09/25/13-01/22/15)(c)(d)		6.500%	10/01/21		8,500		8,648,750
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC (New Zealand), Gtd. Notes		9.875%	08/15/19		10,200		10,710,000
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC (New Zealand), Sr. Sec’d. Notes(b)		5.750%	10/15/20		965		989,125
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC (New Zealand), Sr. Sec’d. Notes		6.875%	02/15/21		1,575		1,641,938
Sealed Air Corp., Gtd. Notes, 144A		4.875%	12/01/22		3,200		3,152,000
Sealed Air Corp., Gtd. Notes, 144A		5.250%	04/01/23		3,500		3,521,875
Sealed Air Corp., Gtd. Notes, 144A(b)		6.500%	12/01/20		1,400		1,543,500

							78,893,088

Paper — 0.3%
Smurfit Kappa Acquisitions (Ireland), Sr. Sec’d. Notes, 144A		4.875%	09/15/18		5,750		6,023,125
Tembec Industries, Inc. (Canada), Sr. Sec’d. Notes, 144A(b)		9.000%	12/15/19		4,025		3,823,750

							9,846,875

Pipelines & Other — 3.1%
AmeriGas Finance LLC/AmeriGas Finance Corp., Gtd. Notes		7.000%	05/20/22		5,635		5,973,100
AmeriGas Partners LP/AmeriGas Finance Corp., Sr. Unsec’d. Notes		6.500%	05/20/21		1,240		1,289,600
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., Gtd. Notes		6.000%	12/15/20		2,900		3,001,500
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., Gtd. Notes, 144A(b)		6.250%	04/01/23		4,725		4,914,000
Energy Transfer Equity LP, Sr. Sec’d. Notes		7.500%	10/15/20		4,300		4,848,250
Ferrellgas LP/Ferrellgas Finance Corp., Gtd. Notes, 144A		6.750%	06/15/23		3,075		3,090,375
Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsec’d. Notes		6.500%	05/01/21		4,175		4,164,562
Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsec’d. Notes		6.750%	01/15/22		6,345		6,360,862
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., Sr. Unsec’d. Notes		8.625%	06/15/20		4,284		4,433,940

SEE NOTES TO FINANCIAL STATEMENTS.

A118


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Pipelines & Other (continued)
Genesis Energy LP/Genesis Energy Finance Corp., Gtd. Notes		6.000%		05/15/23		5,525	$	5,527,762
Global Partners LP/GLP Finance Corp., Gtd. Notes		6.250%		07/15/22		2,275		2,184,000
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., Gtd. Notes(b)		4.875%		12/01/24		3,550		3,470,125
MarkWest Energy Partners LP/Markwest Energy Finance Corp., Gtd. Notes		4.875%		06/01/25		2,400		2,346,000
PBF Logistics LP/PBF Logistics Finance Corp., Gtd. Notes, 144A		6.875%		05/15/23		2,625		2,638,125
Regency Energy Partners LP/Regency Energy Finance Corp., Gtd. Notes(b)		5.500%		04/15/23		3,275		3,333,295
Regency Energy Partners LP/Regency Energy Finance Corp., Gtd. Notes		5.750%		09/01/20		4,050		4,406,116
Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A (original cost $3,353,375; purchased 02/21/14-02/25/14)(c)(d)		5.625%		04/15/20		3,475		3,553,188
Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A (original cost $5,464,483; purchased 01/10/13-06/13/13)(c)(d)		6.000%		01/15/19		5,522		5,756,685
Rose Rock Midstream LP/Rose Rock Finance Corp., Gtd. Notes, 144A		5.625%		11/15/23		1,350		1,306,125
Selectica, Inc. (Escrow Shares)		—%	(a)(e)	12/31/49		1,350		14
Suburban Propane Partners LP/Suburban Energy Finance Corp., Sr. Unsec’d. Notes		5.500%		06/01/24		5,700		5,697,150
Suburban Propane Partners LP/Suburban Energy Finance Corp., Sr. Unsec’d. Notes		7.375%		08/01/21		2,200		2,348,500
Sunoco LP/Sunoco Finance Corp., Gtd. Notes, 144A(b)		6.375%		04/01/23		8,950		9,308,000
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes(b)		4.250%		11/15/23		2,425		2,243,125
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes		6.875%		02/01/21		1,000		1,037,500
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes		5.875%		10/01/20		2,847		2,925,293
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes		6.125%		10/15/21		3,025		3,153,563
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes, 144A		6.250%		10/15/22		2,500		2,587,500

								101,898,255

Real Estate Investment Trusts — 1.6%
CTR Partnership LP/CareTrust Capital Corp., Gtd. Notes		5.875%		06/01/21		400		407,000
CyrusOne LP/CyrusOne Finance Corp., Gtd. Notes		6.375%		11/15/22		3,322		3,438,270
CyrusOne LP/CyrusOne Finance Corp., Gtd. Notes, 144A		6.375%		11/15/22		3,375		3,493,125
DuPont Fabros Technology LP, Gtd. Notes		5.875%		09/15/21		4,125		4,176,562
ESH Hospitality, Inc., Gtd. Notes, 144A(b)		5.250%		05/01/25		3,500		3,403,750
Felcor Lodging LP, Gtd. Notes, 144A		6.000%		06/01/25		6,800		6,902,000
Felcor Lodging LP, Sr. Sec’d. Notes		5.625%		03/01/23		2,425		2,491,688
MPT Operating Partnership LP/MPT Finance Corp., Gtd. Notes		5.500%		05/01/24		3,275		3,373,250
RHP Hotel Properties LP/RHP Finance Corp., Gtd. Notes		5.000%		04/15/21		2,800		2,800,000
RHP Hotel Properties LP/RHP Finance Corp., Gtd. Notes, 144A		5.000%		04/15/23		4,125		4,042,500
Sabra Health Care LP/Sabra Capital Corp., Gtd. Notes		5.375%		06/01/23		4,300		4,418,250
Sabra Health Care LP/Sabra Capital Corp., Gtd. Notes		5.500%		02/01/21		2,950		3,053,250
Sabre GIBL, Inc., Sr. Sec’d. Notes, 144A(b)		5.375%		04/15/23		5,225		5,146,625
Senior Housing Properties Trust, Sr. Unsec’d. Notes		6.750%		12/15/21		5,875		6,687,536

								53,833,806

Retailers — 3.4%
Academy Ltd./Academy Finance Corp., Gtd. Notes, 144A		9.250%		08/01/19		6,375		6,698,213
Argos Merger Sub, Inc., Sr. Unsec’d. Notes, 144A		7.125%		03/15/23		9,195		9,631,762
Claire’s Stores, Inc., Sr. Sec’d. Notes, 144A		6.125%		03/15/20		2,400		1,908,000
Claire’s Stores, Inc., Sr. Sec’d. Notes, 144A(b)		9.000%		03/15/19		8,800		7,436,000
CST Brands, Inc., Gtd. Notes		5.000%		05/01/23		3,400		3,383,000
Dollar Tree, Inc., Sr. Sec’d. Notes, 144A(b)		5.750%		03/01/23		4,175		4,362,875
Dufry Finance SCA (Switzerland), Gtd. Notes, 144A		5.500%		10/15/20		9,550		9,831,773
Hot Topic, Inc., Sr. Sec’d. Notes, 144A (original cost $9,346,625; purchased 06/06/13-12/03/14)(c)(d)		9.250%		06/15/21		9,150		9,607,500
HT Intermediate Holdings Corp., Sr. Unsec’d. Notes, PIK, 144A		12.000%		05/15/19		1,000		1,015,000
L Brands, Inc., Gtd. Notes		5.625%		02/15/22		5,685		5,983,463

SEE NOTES TO FINANCIAL STATEMENTS.

A119


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Retailers (continued)
Levi Strauss & Co., Sr. Unsec’d. Notes, 144A		5.000%		05/01/25		3,400	$	3,289,500
Men’s Wearhouse, Inc. (The), Gtd. Notes(b)		7.000%		07/01/22		2,900		3,103,000
Murphy Oil USA, Inc., Gtd. Notes		6.000%		08/15/23		2,000		2,075,000
Neiman Marcus Group Ltd., LLC, Gtd. Notes, 144A(b)		8.000%		10/15/21		22,966		24,171,715
PVH Corp., Sr. Unsec’d. Notes(b)		4.500%		12/15/22		2,950		2,920,500
Rite Aid Corp., Gtd. Notes, 144A(b)		6.125%		04/01/23		13,450		13,853,500
Toys “R” Us Property Co. II LLC, Sr. Sec’d. Notes(b)		8.500%		12/01/17		2,661		2,672,708

								111,943,509

Technology — 10.1%
Activision Blizzard, Inc., Gtd. Notes, 144A		5.625%		09/15/21		750		785,625
Aegis Merger Sub, Inc., Sr. Unsec’d. Notes, 144A		10.250%		02/15/23		5,300		5,459,000
Alcatel-Lucent USA, Inc. (France), Gtd. Notes, 144A		6.750%		11/15/20		5,375		5,684,063
Ancestry.com Holdings LLC, Sr. Unsec’d. Notes, PIK, 144A		9.625%		10/15/18		5,355		5,462,100
Ancestry.com, Inc., Gtd. Notes		11.000%		12/15/20		2,550		2,894,250
Audatex North America, Inc., Gtd. Notes, 144A		6.000%		06/15/21		11,675		11,996,062
Avaya, Inc., Sec’d. Notes, 144A(b)		10.500%		03/01/21		8,170		6,740,250
Blue Coat Holdings, Inc., Sr. Unsec’d. Notes, 144A		8.375%		06/01/23		8,025		8,165,437
BMC Software Finance, Inc., Sr. Unsec’d. Notes, 144A(b)		8.125%		07/15/21		15,820		12,814,200
Boxer Parent Co., Sr. Unsec’d. Notes, PIK, 144A(b)		9.000%		10/15/19		17,560		12,467,600
Brightstar Corp., Gtd. Notes, 144A (original cost $3,345,000; purchased 11/23/10)(c)(d)		9.500%		12/01/16		3,345		3,436,988
Brightstar Corp., Sr. Unsec’d. Notes, 144A (original cost $7,199,306; purchased 07/26/13-08/09/13)(c)(d)		7.250%		08/01/18		7,275		7,693,313
CDW LLC/CDW Finance Corp., Gtd. Notes		5.500%		12/01/24		11,384		11,270,160
Ceridian HCM Holding, Inc., Sr. Unsec’d. Notes, 144A (original cost $650,000; purchased 03/21/13)(b)(c)(d)		11.000%		03/15/21		650		687,375
CommScope Holding Co., Inc., Sr. Unsec’d. Notes, PIK, 144A(b)		6.625%		06/01/20		22,980		23,841,750
CommScope, Inc., Gtd. Notes, 144A		5.500%		06/15/24		3,350		3,257,875
CommScope Technologies Finance LLC, Sr. Unsec’d. Notes, 144A(b)		6.000%		06/15/25		8,550		8,517,937
CoreLogic, Inc., Gtd. Notes		7.250%		06/01/21		4,400		4,653,000
First Data Corp., Gtd. Notes		10.625%		06/15/21		9,444		10,459,230
First Data Corp., Gtd. Notes		11.250%		01/15/21		4,650		5,161,500
First Data Corp., Gtd. Notes(b)		11.750%		08/15/21		27,331		30,747,375
First Data Corp., Gtd. Notes		12.625%		01/15/21		22,062		25,481,610
First Data Corp., Sr. Sec’d. Notes, 144A(b)		6.750%		11/01/20		132		139,508
Freescale Semiconductor, Inc., Sr. Sec’d. Notes, 144A		6.000%		01/15/22		3,345		3,545,700
Igloo Holdings Corp., Sr. Unsec’d. Notes, PIK, 144A		8.250%		12/15/17		9,154		9,222,655
Infor Software Parent LLC/Infor Software Parent, Inc., Gtd. Notes, PIK, 144A (original cost $10,493,694; purchased 04/03/14-04/02/15)(b)(c)(d)		7.125%		05/01/21		10,466		10,492,165
Infor US, Inc., Gtd. Notes, 144A (original cost $12,319,563; purchased 03/18/15-04/09/15)(b)(c)(d)		6.500%		05/15/22		12,265		12,479,637
Interactive Data Corp., Gtd. Notes, 144A		5.875%		04/15/19		500		503,750
Italics Merger Sub., Inc., Sr. Unsec’d. Notes, 144A(b)		7.125%		07/15/23		9,225		9,109,687
Micron Technology, Inc., Sr. Unsec’d. Notes, 144A(b)		5.250%		08/01/23		12,100		11,600,875
Micron Technology, Inc., Sr. Unsec’d. Notes, 144A		5.625%		01/15/26		11,200		10,346,000
Nortel Networks Ltd. (Canada), Gtd. Notes		10.125%	(a)(e)	07/15/13		1,550		1,402,750
Nuance Communications, Inc., Gtd. Notes, 144A(b)		5.375%		08/15/20		11,075		11,130,375
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A		4.625%		06/15/22		6,800		6,706,500
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A		5.750%		02/15/21		2,860		2,974,400
Project Homestake Merger Corp., Gtd. Notes, 144A		8.875%		03/01/23		6,670		6,469,900
Sensata Technologies BV (Netherlands), Gtd. Notes, 144A		4.875%		10/15/23		6,075		5,999,063
Sensata Technologies BV (Netherlands), Gtd. Notes, 144A		5.000%		10/01/25		3,625		3,529,844
Sophia LP/Sophia Finance, Inc., Gtd. Notes, 144A		9.750%		01/15/19		12,360		13,132,500
Syniverse Holdings, Inc., Gtd. Notes		9.125%		01/15/19		4,830		4,250,400
TransUnion, Sr. Unsec’d. Notes		8.125%		06/15/18		750		766,500
TransUnion, Sr. Unsec’d. Notes, PIK		9.625%		06/15/18		2,000		2,005,600

								333,484,509

SEE NOTES TO FINANCIAL STATEMENTS.

A120


CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Telecommunications — 5.0%
Altice Finco SA (Luxembourg), Gtd. Notes, 144A		7.625%	02/15/25		1,025	$	984,000
Altice SA (Luxembourg), Gtd. Notes, 144A		7.625%	02/15/25		4,050		3,807,000
Altice US Finance I Corp., Sr. Sec’d. Notes, 144A		5.375%	07/15/23		10,925		10,651,875
Altice US Finance II Corp., Sr. Sec’d. Notes, 144A(b)		7.750%	07/15/25		2,850		2,764,500
Altice US Finance SA (Luxembourg), Sr. Sec’d. Notes, 144A		7.750%	07/15/25		3,925		3,768,000
CenturyLink, Inc., Series G, Sr. Unsec’d. Notes		6.875%	01/15/28		4,000		3,840,000
CenturyLink, Inc., Series Q, Sr. Unsec’d. Notes		6.150%	09/15/19		1,570		1,652,425
Crown Castle International Corp., Sr. Unsec’d. Notes		5.250%	01/15/23		5,150		5,187,337
Digicel Group Ltd. (Jamaica), Sr. Unsec’d. Notes, 144A		7.125%	04/01/22		600		569,820
Digicel Group Ltd. (Jamaica), Sr. Unsec’d. Notes, 144A		8.250%	09/30/20		6,100		6,115,250
Digicel Ltd. (Jamaica), Gtd. Notes, 144A		6.750%	03/01/23		7,750		7,597,325
Eileme 2 AB (Poland), Sr. Sec’d. Notes, 144A		11.625%	01/31/20		3,465		3,845,804
Frontier Communications Corp., Sr. Unsec’d. Notes(b)		6.250%	09/15/21		1,525		1,387,750
Frontier Communications Corp., Sr. Unsec’d. Notes		7.125%	01/15/23		1,950		1,730,625
Frontier Communications Corp., Sr. Unsec’d. Notes(b)		8.500%	04/15/20		250		261,375
Frontier Communications Corp., Sr. Unsec’d. Notes		8.750%	04/15/22		4,400		4,356,000
Northwestern Bell Telephone, Sr. Unsec’d. Notes		7.750%	05/01/30		750		835,076
Sprint Capital Corp., Gtd. Notes		6.875%	11/15/28		16,670		14,336,200
Sprint Capital Corp., Gtd. Notes		6.900%	05/01/19		14,940		15,238,800
Sprint Communications, Inc., Gtd. Notes, 144A		9.000%	11/15/18		2,656		2,999,315
Sprint Communications, Inc., Sr. Unsec’d. Notes(b)		7.000%	08/15/20		2,075		2,059,438
Sprint Corp., Gtd. Notes		7.625%	02/15/25		8,000		7,540,000
Sprint Corp., Gtd. Notes(b)		7.125%	06/15/24		9,650		8,951,340
Sprint Corp., Gtd. Notes		7.875%	09/15/23		6,305		6,149,266
T-Mobile USA, Inc., Gtd. Notes(b)		6.375%	03/01/25		7,350		7,515,375
T-Mobile USA, Inc., Gtd. Notes		6.633%	04/28/21		5,650		5,861,875
Telecom Italia SpA (Italy), Sr. Unsec’d. Notes, 144A		5.303%	05/30/24		8,525		8,493,031
Wind Acquisition Finance SA (Italy), Sec’d. Notes, 144A		7.375%	04/23/21		13,425		13,576,031
Windstream Services LLC, Gtd. Notes(b)		6.375%	08/01/23		6,675		5,431,781
Windstream Services LLC, Gtd. Notes(b)		7.500%	04/01/23		3,860		3,367,850
Zayo Group LLC/Zayo Capital, Inc., Gtd. Notes, 144A(b)		6.375%	05/15/25		2,000		1,940,000

							162,814,464

Tobacco — 0.2%
Vector Group Ltd., Gtd. Notes(b)		7.750%	02/15/21		5,290		5,660,300

Transportation — 1.2%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes, 144A		5.125%	06/01/22		6,650		6,483,750
Hertz Corp. (The), Gtd. Notes(b)		5.875%	10/15/20		1,375		1,392,188
Hertz Corp. (The), Gtd. Notes		6.750%	04/15/19		650		670,735
Kenan Advantage Group, Inc. (The), Sr. Unsec’d. Notes, 144A (original cost $9,469,750; purchased 12/07/12-12/12/13)(c)(d)		8.375%	12/15/18		9,270		9,652,387
Navios Maritime Holdings, Inc./Navios Maritime Finance II US, Inc., Sr. Sec’d. Notes, 144A		7.375%	01/15/22		5,850		5,067,563
XPO Logistics, Inc., Gtd. Notes, 144A		6.500%	06/15/22		12,250		11,989,687
XPO Logistics, Inc., Sr. Unsec’d. Notes, 144A		7.875%	09/01/19		3,925		4,194,255

							39,450,565

TOTAL CORPORATE BONDS (cost $3,154,343,589)							3,114,913,353


				Shares
COMMON STOCKS
Cable
Adelphia Recovery Trust*(c)					500,000		500

Media
DEX Media, Inc.*(b)					36,485		26,634

SEE NOTES TO FINANCIAL STATEMENTS.

A121


COMMON STOCKS (continued)	Shares		Value (Note 2)
Telecommunications
Netia SA (Poland)*		227,114	$	332,819

TOTAL COMMON STOCKS (cost $24,646,419)				359,953

PREFERRED STOCKS — 0.1%
Banking — 0.1%
Goldman Sachs Group, Inc. (The) Series K		87,000		2,259,390
Building Materials & Construction
New Millennium Homes LLC (original cost $0; purchased 09/25/00)*(c)(d)		3,000		153,000
Cable
Adelphia Communications Corp. (Class A Stock)*		5,000		5

TOTAL PREFERRED STOCKS (cost $2,179,765)				2,412,395


	Units
WARRANTS*
Media & Entertainment
MediaNews Group, Inc., expiring 03/19/17 (cost $0)(c)		5,557		56

TOTAL LONG-TERM INVESTMENTS (cost $3,245,428,856)				3,181,032,423

SHORT-TERM INVESTMENTS — 17.5%

	Shares
AFFILIATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $5,108,699)(Note 4)(f)		538,242		5,027,184
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $570,807,877; includes $505,290,408 of cash collateral for securities on loan)(Note 4)(f)(g)		570,807,877		570,807,877

TOTAL SHORT-TERM INVESTMENTS (cost $575,916,576)				575,835,061

TOTAL INVESTMENTS — 114.3% (cost $3,821,345,432)				3,756,867,484
LIABILITIES IN EXCESS OF OTHER ASSETS(h) — (14.3)%				(470,097,007	)

NET ASSETS 100.0%			$	3,286,770,477

See the Glossary for abbreviations used in the Portfolio descriptions.

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

*	Non-income producing security.

(a)	Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2015.

(b)

All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $494,488,012; cash collateral of $505,290,408 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

(d)	Indicates a restricted security; the aggregate cost of the securities is $264,290,873. The aggregate value of $250,399,251 is approximately 7.6% of net assets.

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

(f)	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.

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A122

Credit default swap agreements outstanding at June 30, 2015:


Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at June 30, 2015(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		0.276	%	$	91,922	$	—	$ 91,922	Goldman Sachs & Co.


Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Value at Trade Date		Value at June 30, 2015(2)		Unrealized Appreciation
Exchange-traded credit default swaps on credit indices—Sell Protection(1):
CDX.NA.HY.23.V4		12/20/19		5.000%		29,100	$	1,469,550	$	2,246,433	$	776,883

Cash of $1,500,000 has been segregated with Citigroup Global Markets to cover requirements for open credit default swap contracts at June 30, 2015.

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

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

Level 3—

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

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Asset-Backed Securities
Collateralized Loan Obligations	$	—	$	13,410,123	$	—
Residential Mortgage Backed Securities		—		93,230		—
Bank Loans		—		46,982,041		1,750,000
Collateralized Mortgage Obligations		—		1,111,272		—
Corporate Bonds		—		3,107,438,479		7,474,874
Common Stocks		359,453		—		500
Preferred Stocks		2,259,390		—		153,005
Warrants		—		—		56
Affiliated Mutual Funds		575,835,061		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A123


	Level 1		Level 2		Level 3
Other Financial Instruments*
Credit Default Swap Agreements
Over-the-counter credit default swaps	$	—	$	91,922	$	—
Exchange-traded credit default swaps		—		776,883		—

Total	$	578,453,904	$	3,169,903,950	$	9,378,435

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 Stock		Preferred Stocks			Warrants
Balance as of 12/31/14	$	15,600,203		$	12,007,067		$	500	$	174,005		$	56
Realized gain (loss)		(250,272	)		6,183			—		—			—
Change in unrealized appreciation (depreciation)**		284,820			108,014			—		(21,000	)		—
Purchases		—			1,087,500			—		—			—
Sales		(8,575,318	)		(16,442	)		—		—			—
Accrued discount/premium		7,395			(12,524	)		—		—			—
Transfer into Level 3		—			—			—		—			—
Transfer out of Level 3		(5,316,828	)		(5,704,924	)		—		—			—

Balance as of 06/30/15	$	1,750,000		$	7,474,874		$	500	$	153,005		$	56

**	Of which, $100,139 was relating to securities held at the reporting period end.

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


Level 3 Securities	Fair Value as of June 30, 2015	Valuation Methodology	Unobservable Inputs
Bank Loans	$1,750,000	Market approach	Single broker indicative quote
Common Stocks	500	Stale pricing	Unadjusted last trade price
Corporate Bonds	7,445,525	Market approach	Single broker indicative quote
Corporate Bonds	29,349	Stale pricing	Unadjusted last trade price
Preferred Stocks	153,005	Stale pricing	Unadjusted last trade price
Warrants	56	Stale pricing	Unadjusted last trade price

	$9,378,435

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, securities transferred levels as follows:


Investments in Securities	Amount Transferred	Level Transfer		Logic
Bank Loans	$5,316,828		L3 to L2	Single Broker Quote to Multiple Broker Quotes
Corporate Bonds	5,704,924		L3 to L2	Single Broker Quote to Evaluated Bid

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:


Affiliated Money Market Mutual Funds (including 15.4% of collateral for securities on loan)	17.5	%
Technology	10.9
Healthcare & Pharmaceutical	9.8
Capital Goods	7.6
Electric	6.3
Energy – Other	5.7
Telecommunications	5.0
Gaming	4.8
Building Materials & Construction	4.6
Chemicals	4.3


Foods	4.3	%
Cable	3.8
Retailers	3.4
Automotive	3.3
Media & Entertainment	3.1
Pipelines & Other	3.1
Non-Captive Finance	2.9
Packaging	2.4
Consumer	2.4
Real Estate Investment Trusts	1.6
Aerospace & Defense	1.5

SEE NOTES TO FINANCIAL STATEMENTS.

A124


Industry table (cont.)
Banking	1.5	%
Metals	1.3
Transportation	1.2
Lodging	0.9
Collateralized Loan Obligations	0.4
Paper	0.3


Tobacco	0.2	%
Energy – Integrated	0.1
Insurance	0.1

	114.3
Liabilities in excess of other assets	(14.3	)

	100.0	%

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

Fair values of derivative instruments as of June 30, 2015 as presented in the Statement of Assets and Liabilities:


Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Credit contracts	Due from/to broker—variation margin swaps	$	776,883	*	—	$	—
Credit contracts	Unrealized appreciation on over-the-counter swap agreements		91,922		—
Equity contracts	Unaffiliated investments		56		—		—

Total		$	868,861			$	—

*	Includes cumulative appreciation/depreciation as reported in the the schedule of exchange-traded swap contracts. Only unsettled 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, 2015 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	Swaps		Total
Credit contracts	$	738,759	$	738,759


Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Swaps		Warrants*			Total
Credit contracts	$	729,963	$	—		$	729,963
Equity contracts		—		(150,616	)		(150,616	)

	$	729,963	$	(150,616	)	$	579,347

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

For the six months ended June 30 2015, the Portfolio’s average notional amount for credit default swaps as writer was $22,650,000.

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


Counterparty	Gross Amounts of Recognized Assets(1)		Gross Amounts Available for Offset		Collateral Received(3)			Net Amount
Goldman Sachs & Co.	$	91,922	$	—	$	(240,761	)	$	—

	$	91,922

SEE NOTES TO FINANCIAL STATEMENTS.

A125

Counterparty

Gross Amounts of
Recognized Liabilities(2)

Gross Amounts
Available for Offset

Collateral
Pledged(3)

Net Amount

Goldman Sachs & Co.

—

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A126


		*HIGH YIELD BOND PORTFOLIO (continued)*

STATEMENT OF ASSETS & LIABILITIES

(Unaudited)

as of June 30, 2015


ASSETS
Investments at value, including securities on loan of $494,488,012:
Unaffiliated investments (cost $3,245,428,856)	$	3,181,032,423
Affiliated investments (cost $575,916,576)		575,835,061
Cash		450,755
Foreign currency, at value (cost $80,530)		73,424
Deposit with broker		1,500,000
Dividends and interest receivable		53,746,537
Receivable for investments sold		11,653,090
Due from broker—variation margin swaps		140,425
Unrealized appreciation on over-the-counter swap agreements		91,922
Receivable for Series shares sold		35,076
Tax reclaim receivable		1,450
Prepaid expenses		5,537

Total Assets		3,824,565,700

LIABILITIES
Payable to broker for collateral for securities on loan		505,290,408
Payable for investments purchased		30,690,813
Management fee payable		1,493,355
Accrued expenses and other liabilities		209,124
Payable for Series shares repurchased		108,833
Deferred trustees’ fees		1,764
Affiliated transfer agent fee payable		926

Total Liabilities		537,795,223

NET ASSETS	$	3,286,770,477

Net assets were comprised of:
Paid-in capital	$	3,543,273,231
Retained earnings		(256,502,754	)

Net assets, June 30, 2015	$	3,286,770,477

Net asset value and redemption price per share $3,286,770,477 / 645,398,479 outstanding shares of beneficial interest	$	5.09

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2015


NET INVESTMENT INCOME
INCOME
Interest income	$	109,250,308
Affiliated income from securities lending, net		645,328
Unaffiliated dividend income (net of foreign withholding taxes of $5,478)		100,991
Affiliated dividend income		95,772

Total income		110,092,399

EXPENSES
Management fee		8,980,690
Custodian and accounting fees		181,000
Shareholders’ reports		57,000
Insurance expenses		22,000
Audit fee		22,000
Trustees’ fees		17,000
Legal fees and expenses		8,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800)		6,000
Miscellaneous		13,336

Total expenses		9,307,026

NET INVESTMENT INCOME		100,785,373

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		(681,972	)
Swap agreement transactions		738,759
Foreign currency transactions		(2,220	)

		54,567

Net change in unrealized appreciation (depreciation) on:
Investments		(12,556,592	)
Swap agreements		729,963
Foreign currencies		(1,368	)

		(11,827,997	)

NET LOSS ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(11,773,430	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	89,011,943

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)


	Six Months Ended June 30, 2015			Year Ended December 31, 2014
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income	$	100,785,373		$	190,915,035
Net realized gain on investment and foreign currency transactions		54,567			24,147,212
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(11,827,997	)		(126,250,354	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		89,011,943			88,811,893

DISTRIBUTIONS		(101,431,061	)		(195,015,297	)

SERIES SHARE TRANSACTIONS
Series shares sold [474,830 and 46,491,364 shares, respectively]		2,461,638			242,512,118
Series shares issued in reinvestment of distributions [19,791,565 and 37,178,309 shares, respectively]		101,431,061			195,015,297
Series shares repurchased [9,784,877 and 19,914,504 shares, respectively]		(50,564,540	)		(105,962,476	)

NET INCREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		53,328,159			331,564,939

TOTAL INCREASE		40,909,041			225,361,535
NET ASSETS:
Beginning of period		3,245,861,436			3,020,499,901

End of period	$	3,286,770,477		$	3,245,861,436

SEE NOTES TO FINANCIAL STATEMENTS.

A127


LONG-TERM INVESTMENTS — 99.5%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 1.7%
Boeing Co. (The)		213,027	$	29,551,106

Automobiles — 1.6%
Tesla Motors, Inc.*(a)		102,900		27,603,954

Beverages — 0.5%
Monster Beverage Corp.*		62,940		8,435,219

Biotechnology — 9.1%
Alexion Pharmaceuticals, Inc.*		134,702		24,350,081
Biogen Idec, Inc.*		107,363		43,368,210
Celgene Corp.*		202,353		23,419,324
Gilead Sciences, Inc.		212,856		24,921,181
Incyte Corp. Ltd.*		55,371		5,770,212
Regeneron Pharmaceuticals, Inc.*		39,595		20,198,597
Vertex Pharmaceuticals, Inc.*		108,442		13,390,418

				155,418,023

Capital Markets — 1.1%
Morgan Stanley		481,611		18,681,691

Chemicals — 2.1%
Monsanto Co.		209,102		22,288,182
Sherwin-Williams Co. (The)		48,657		13,381,648

				35,669,830

Diversified Financial Services — 1.0%
McGraw Hill Financial, Inc.		174,736		17,552,231

Electronic Equipment, Instruments & Components
Fitbit, Inc. (Class A Stock)*(a)		11,918		455,625

Energy Equipment & Services — 1.0%
Schlumberger Ltd.		198,404		17,100,441

Food & Staples Retailing — 2.5%
Costco Wholesale Corp.		186,330		25,165,730
Kroger Co. (The)		244,579		17,734,423

				42,900,153

Health Care Equipment & Supplies — 1.8%
Abbott Laboratories		605,642		29,724,909

Hotels, Restaurants & Leisure — 4.5%
Chipotle Mexican Grill, Inc.*		28,747		17,391,648
Marriott International, Inc. (Class A Stock)		329,259		24,493,577
Starbucks Corp.		662,287		35,508,517

				77,393,742

Internet & Catalog Retail — 9.3%
Amazon.com, Inc.*		138,273		60,022,927
JD.com, Inc. (China), ADR*		565,091		19,269,603
Netflix, Inc.*		61,457		40,373,562
Priceline Group, Inc. (The)*		24,288		27,964,474
TripAdvisor, Inc.*		99,723		8,689,862
Vipshop Holdings Ltd. (China)*(a)		141,061		3,138,607

				159,459,035

Internet Software & Services — 11.8%
Alibaba Group Holding Ltd. (China), ADR*(a)		225,534		18,554,682
Facebook, Inc. (Class A Stock)*		732,372		62,811,885


COMMON STOCKS (continued)	Shares		Value (Note 2)
Internet Software & Services (continued)
Google, Inc. (Class A Stock)*		44,758	$	24,171,110
Google, Inc. (Class C Stock)*		51,258		26,680,302
LendingClub Corp.*(a)		69,817		1,029,801
LinkedIn Corp. (Class A Stock)*		138,483		28,614,742
Tencent Holdings Ltd. (China)		1,482,647		29,647,800
Twitter, Inc.*		268,548		9,726,808

				201,237,130

IT Services — 7.2%
FleetCor Technologies, Inc.*		137,167		21,406,282
MasterCard, Inc. (Class A Stock)		634,507		59,313,714
Visa, Inc. (Class A Stock)		640,733		43,025,221

				123,745,217

Life Sciences Tools & Services — 1.8%
Illumina, Inc.*		142,785		31,178,533

Media — 3.3%
Time Warner, Inc.		201,211		17,587,853
Walt Disney Co. (The)		345,220		39,403,411

				56,991,264

Multiline Retail — 1.1%
Dollar General Corp.		228,229		17,742,523

Oil, Gas & Consumable Fuels — 2.1%
Concho Resources, Inc.*		172,930		19,689,810
EOG Resources, Inc.		178,983		15,669,962

				35,359,772

Pharmaceuticals — 7.9%
Allergan PLC*		127,036		38,550,344
Bristol-Myers Squibb Co.		575,668		38,304,949
Novo Nordisk A/S (Denmark), ADR		507,679		27,800,502
Shire PLC (Ireland), ADR		124,885		30,158,479

				134,814,274

Real Estate Investment Trusts (REITs) — 1.1%
American Tower Corp.		205,172		19,140,496

Road & Rail — 1.0%
Canadian Pacific Railway Ltd. (Canada)		102,941		16,494,236

Semiconductors & Semiconductor Equipment — 1.9%
ARM Holdings PLC (United Kingdom), ADR		363,745		17,921,716
NXP Semiconductors NV (Netherlands)*		153,491		15,072,816

				32,994,532

Software — 8.6%
Adobe Systems, Inc.*		371,652		30,107,529
FireEye, Inc.*(a)		225,050		11,007,195
Red Hat, Inc.*		331,774		25,191,600
salesforce.com, inc.*		462,441		32,199,767
Splunk, Inc.*		265,515		18,485,154
VMware, Inc. (Class A Stock)*		128,451		11,013,389
Workday, Inc. (Class A Stock)*(a)		237,744		18,161,264

				146,165,898

SEE NOTES TO FINANCIAL STATEMENTS.

A128


COMMON STOCKS (continued)	Shares		Value (Note 2)
Specialty Retail — 4.8%
Inditex SA (Spain)		890,300	$	29,039,255
O’Reilly Automotive, Inc.*(a)		100,006		22,599,356
Tiffany & Co.		144,568		13,271,342
TJX Cos., Inc. (The)		266,788		17,653,362

				82,563,315

Technology Hardware, Storage & Peripherals — 5.7%
Apple, Inc.		782,352		98,126,500

Textiles, Apparel & Luxury Goods — 5.0%
Luxottica Group SpA (Italy)		264,879		17,619,240
NIKE, Inc. (Class B Stock)		415,293		44,859,950
Under Armour, Inc. (Class A Stock)*(a)		270,642		22,582,368

				85,061,558

TOTAL LONG-TERM INVESTMENTS (cost $901,915,672)				1,701,561,207

SHORT-TERM INVESTMENT — 5.3%
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund (cost $91,355,170; includes $87,256,096 of cash collateral for securities on loan) (Note 4)(b)(c)		91,355,170		91,355,170

TOTAL INVESTMENTS — 104.8% (cost $993,270,842)				1,792,916,377
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.8)%				(82,453,331	)

NET ASSETS — 100.0%			$	1,710,463,046

See the Glossary for abbreviations used in the Portfolio descriptions.

*	Non-income producing security.

(a)

All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $86,416,474; cash collateral of $87,256,096 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. 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 Fund 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—

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

Level 3—

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

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	29,551,106	$	—	$	—
Automobiles		27,603,954		—		—
Beverages		8,435,219		—		—
Biotechnology		155,418,023		—		—
Capital Markets		18,681,691		—		—
Chemicals		35,669,830		—		—
Diversified Financial Services		17,552,231		—		—
Electronic Equipment, Instruments & Components		455,625		—		—
Energy Equipment & Services		17,100,441		—		—
Food & Staples Retailing		42,900,153		—		—
Health Care Equipment & Supplies		29,724,909		—		—
Hotels, Restaurants & Leisure		77,393,742		—		—
Internet & Catalog Retail		159,459,035		—		—
Internet Software & Services		171,589,330		29,647,800		—
IT Services		123,745,217		—		—
Life Sciences Tools & Services		31,178,533		—		—
Media		56,991,264		—		—
Multiline Retail		17,742,523		—		—
Oil, Gas & Consumable Fuels		35,359,772		—		—
Pharmaceuticals		134,814,274		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A129


	Level 1		Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Real Estate Investment Trusts (REITs)	$	19,140,496	$	—	$	—
Road & Rail		16,494,236		—		—
Semiconductors & Semiconductor Equipment		32,994,532		—		—
Software		146,165,898		—		—
Specialty Retail		53,524,060		29,039,255		—
Technology Hardware, Storage & Peripherals		98,126,500		—		—
Textiles, Apparel & Luxury Goods		67,442,318		17,619,240		—
Affiliated Money Market Mutual Fund		91,355,170		—		—

Total	$	1,716,610,082	$	76,306,295	$	—

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:


Internet Software & Services	11.8	%
Internet & Catalog Retail	9.3
Biotechnology	9.1
Software	8.6
Pharmaceuticals	7.9
IT Services	7.2
Technology Hardware, Storage & Peripherals	5.7
Affiliated Money Market Mutual Fund (including 5.1% of collateral for securities on loan)	5.3
Textiles, Apparel & Luxury Goods	5.0
Specialty Retail	4.8
Hotels, Restaurants & Leisure	4.5
Media	3.3
Food & Staples Retailing	2.5
Chemicals	2.1
Oil, Gas & Consumable Fuels	2.1


Semiconductors & Semiconductor Equipment	1.9	%
Life Sciences Tools & Services	1.8
Health Care Equipment & Supplies	1.8
Aerospace & Defense	1.7
Automobiles	1.6
Real Estate Investment Trusts (REITs)	1.1
Capital Markets	1.1
Multiline Retail	1.1
Diversified Financial Services	1.0
Energy Equipment & Services	1.0
Road & Rail	1.0
Beverages	0.5

	104.8
Liabilities in excess of other assets	(4.8	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A130


		*JENNISON PORTFOLIO (continued)*

STATEMENT OF ASSETS & LIABILITIES

(Unaudited)

as of June 30, 2015


ASSETS
Investments at value, including securities on loan of $86,416,474:
Unaffiliated investments (cost $901,915,672)	$	1,701,561,207
Affiliated investments (cost $91,355,170)		91,355,170
Receivable for investments sold		6,500,376
Dividends and interest receivable		566,469
Tax reclaim receivable		380,006
Receivable for Series shares sold		31,263
Prepaid expenses		1,825

Total Assets		1,800,396,316

LIABILITIES
Payable to broker for collateral for securities on loan		87,256,096
Payable for investments purchased		1,420,347
Management fee payable		853,349
Payable for Series shares repurchased		225,046
Accrued expenses and other liabilities		154,758
Distribution fee payable		9,999
Payable to custodian		6,139
Administration fee payable		6,096
Deferred trustees’ fees		514
Affiliated transfer agent fee payable		926

Total Liabilities		89,933,270

NET ASSETS	$	1,710,463,046

Net assets were comprised of:
Paid-in capital	$	1,146,203,750
Retained earnings		564,259,296

Net assets, June 30, 2015	$	1,710,463,046

Class I:
Net asset value and redemption price per share $1,662,333,012 / 37,437,746 outstanding shares of beneficial interest	$	44.40

Class II:
Net asset value and redemption price per share $48,130,034 / 1,114,900 outstanding shares of beneficial interest	$	43.17

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2015


NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $139,267)	$	7,075,856
Affiliated income from securities lending, net		118,143
Affiliated dividend income		6,997

Total income		7,200,996

EXPENSES
Management fee		5,038,027
Distribution fee—Class II		57,568
Administration fee—Class II		34,541
Custodian and accounting fees		97,000
Shareholders’ reports		69,000
Audit fee		11,000
Trustees’ fees		11,000
Insurance expenses		11,000
Legal fees and expenses		7,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800)		6,000
Interest expense		880
Miscellaneous		10,846

Total expenses		5,353,862

NET INVESTMENT INCOME		1,847,134

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		64,223,265
Foreign currency transactions		(9,418	)

		64,213,847

Net change in unrealized appreciation (depreciation) on:
Investments		73,383,488
Foreign currencies		(7,209	)

		73,376,279

NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		137,590,126

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	139,437,260

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)


	Six Months Ended June 30, 2015			Year Ended December 31, 2014
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	1,847,134		$	2,163,148
Net realized gain on investment and foreign currency transactions		64,213,847			141,635,759
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		73,376,279			7,671,170

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		139,437,260			151,470,077

SERIES SHARE TRANSACTIONS (Note 7)
Series shares sold		15,912,517			26,462,176
Series shares repurchased		(68,607,205	)		(146,401,640	)

NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(52,694,688	)		(119,939,464	)

TOTAL INCREASE		86,742,572			31,530,613
NET ASSETS:
Beginning of period		1,623,720,474			1,592,189,861

End of period	$	1,710,463,046		$	1,623,720,474

SEE NOTES TO FINANCIAL STATEMENTS.

A131


CERTIFICATES OF DEPOSIT — 21.9%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Bank of America NA		0.230%		08/12/15		7,000	$	7,000,000
Bank of America NA		0.270%		09/11/15		3,000		3,000,000
Bank of America NA		0.274%	(a)	08/03/15		4,000		4,000,000
Bank of Montreal		0.281%	(a)	07/06/15		1,000		1,000,000
Bank of Nova Scotia		0.220%		09/18/15		2,000		2,000,000
Bank of Nova Scotia		0.250%		09/23/15		2,000		2,000,000
Bank of Nova Scotia		0.289%	(a)	08/03/15		1,000		1,000,000
Bank of Nova Scotia		0.335%	(a)	03/10/16		2,000		2,000,000
Bank of Nova Scotia		0.396%	(a)	01/11/16		8,000		8,003,071
Bank of Nova Scotia		0.466%	(a)	05/16/16		1,000		1,001,116
Bank of Tokyo-Mitsubishi UFJ Ltd.		0.327%	(a)	08/25/15		6,000		6,000,000
Bank of Tokyo-Mitsubishi UFJ Ltd.		0.329%	(a)	09/11/15		2,000		2,000,172
Canadian Imperial Bank of Commerce		0.274%	(a)	08/28/15		2,000		2,000,000
Canadian Imperial Bank of Commerce		0.316%	(a)	03/14/16		4,000		4,000,000
Canadian Imperial Bank of Commerce		0.376%	(a)	11/16/15		3,800		3,800,436
Canadian Imperial Bank of Commerce		0.391%	(a)	03/24/16		2,800		2,801,566
Chase Bank USA NA		0.270%		07/27/15		3,000		3,000,195
Citibank NA		0.200%		09/21/15		8,000		8,000,000
DNB Bank ASA		0.200%		09/09/15		5,000		5,000,000
HSBC Bank USA NA		0.260%		08/03/15		3,000		3,000,000
HSBC Bank USA NA		0.299%	(a)	10/28/15		3,000		3,000,000
Nordea Bank Finland PLC		0.245%		07/27/15		2,000		2,000,065
Nordea Bank Finland PLC		0.250%		09/08/15		2,650		2,650,152
Norinchukin Bank		0.210%		07/16/15		3,000		3,000,000
Royal Bank of Canada		0.309%	(a)	02/12/16		4,000		4,000,000
Royal Bank of Canada		0.316%	(a)	12/11/15		5,000		5,000,000
Skandinaviska Enskilda Banken AB		0.276%	(a)	10/15/15		3,000		3,000,000
Skandinaviska Enskilda Banken AB		0.311%	(a)	07/10/15		4,000		4,000,000
State Street Bank & Trust Co.		0.281%	(a)	10/01/15		6,000		6,000,000
State Street Bank & Trust Co.		0.332%	(a)	03/21/16		4,000		4,000,000
Svenska Handelsbanken AB		0.200%		07/24/15		5,000		5,000,000
Svenska Handelsbanken AB		0.200%		08/18/15		1,000		1,000,000
Svenska Handelsbanken AB		0.205%		07/15/15		3,000		3,000,006
Svenska Handelsbanken AB		0.205%		08/12/15		3,000		3,000,018
Svenska Handelsbanken AB		0.225%		07/13/15		3,000		3,000,025
Toronto-Dominion Bank (The)		0.274%	(a)	10/06/15		10,000		10,000,000
U.S. Bank NA		0.246%	(a)	07/27/15		5,000		5,000,000
U.S. Bank NA		0.284%	(a)	10/30/15		5,000		5,000,000
Wells Fargo Bank NA		0.294%	(a)	07/08/15		3,000		3,000,066
Wells Fargo Bank NA		0.296%	(a)	08/20/15		3,000		3,000,000
Wells Fargo Bank NA		0.325%	(a)	05/03/16		2,000		2,000,000

								150,256,888

COMMERCIAL PAPER — 26.8%
BASF SE, 144A		0.203%	(b)	08/28/15		9,000		8,997,100
BMW US Capital LLC, 144A		0.112%	(b)	07/13/15		10,000		9,999,633
Caisse Centrale Desjardins du Quebec, 144A		0.277%	(a)	10/22/15		10,000		10,000,000
Cargill, Inc., 144A		0.081%	(b)	07/01/15		17,000		17,000,000
CDP Financial, Inc., 144A		0.162%	(b)	07/23/15		5,000		4,999,511
CDP Financial, Inc., 144A		0.193%	(b)	07/07/15		8,000		7,999,747
Commonwealth Bank of Australia, 144A		0.307%	(a)	04/13/16		7,000		7,000,000
CPPIB Capital, Inc., 144A		0.112%	(b)	07/09/15		3,000		2,999,927
CPPIB Capital, Inc., 144A		0.142%	(b)	07/21/15		3,000		2,999,767
CPPIB Capital, Inc., 144A		0.152%	(b)	08/27/15		6,000		5,998,575
CPPIB Capital, Inc., 144A		0.162%	(b)	09/18/15		5,000		4,998,244
DNB Bank ASA, 144A		0.337%	(a)	04/21/16		4,000		4,000,000
Electricite de France, 144A		0.142%	(b)	07/21/15		5,000		4,999,611
Electricite de France, 144A		0.152%	(b)	07/06/15		1,000		999,979
European Investment Bank		0.122%	(b)	07/01/15		6,000		6,000,000

SEE NOTES TO FINANCIAL STATEMENTS.

A132


COMMERCIAL PAPER (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
European Investment Bank		0.195%	(b)	09/04/15		9,700	$	9,696,717
HSBC Bank PLC, 144A		0.336%	(a)	04/29/16		6,000		6,000,000
ING (U.S.) Funding LLC		0.274%	(b)	09/18/15		6,000		5,996,445
International Finance Corp.		0.098%	(b)	08/04/15		3,000		2,999,726
JPMorgan Securities LLC, 144A		0.364%	(a)	10/20/15		3,000		3,000,000
JPMorgan Securities LLC, 144A		0.384%	(a)	08/07/15		4,000		4,000,000
JPMorgan Securities LLC, 144A		0.384%	(a)	09/02/15		2,000		2,000,000
JPMorgan Securities LLC, 144A		0.403%	(a)	05/09/16		2,000		2,000,000
KFW, 144A		0.162%	(b)	09/01/15		2,000		1,999,449
KFW, 144A		0.203%	(b)	09/30/15		1,000		999,495
National Oilwell Varco, Inc., 144A		0.198%	(b)	07/08/15		7,000		6,999,735
New York Life Capital Corp., 144A		0.122%	(b)	07/23/15		2,000		1,999,853
Nordea Bank AB, 144A		0.213%	(b)	09/01/15		1,000		999,638
PNC Bank NA		0.285%	(b)	07/01/15		1,000		1,000,000
Province of Ontario		0.081%	(b)	07/09/15		1,535		1,534,973
Province of Ontario		0.142%	(b)	09/01/15		2,000		1,999,518
Province of Quebec, 144A		0.127%	(b)	07/07/15		1,000		999,979
Province of Quebec, 144A		0.147%	(b)	09/01/15		4,000		3,999,001
PSP Capital, Inc., 144A		0.162%	(b)	07/22/15		5,000		4,999,533
Schlumberger Investment SA, 144A		0.183%	(b)	09/15/15		1,000		999,620
State Street Corp.		0.203%	(b)	07/09/15		6,000		5,999,733
Sumitomo Mitsui Banking Corp., 144A		0.203%	(b)	07/27/15		2,000		1,999,711
Swedbank AB		0.239%	(b)	09/04/15		7,000		6,997,029
Toyota Motor Credit Corp.		0.173%	(b)	08/25/15		4,000		3,998,961
Toyota Motor Credit Corp.		0.273%	(a)	10/30/15		2,000		2,000,000

								184,211,210

OTHER CORPORATE OBLIGATIONS — 13.3%
Bank of Montreal, Sr. Unsec’d. Notes, MTN		0.755%	(a)	09/11/15		5,900		5,905,166
Bank of Montreal, Sr. Unsec’d. Notes, MTN		0.795%	(a)	07/15/16		2,500		2,509,327
Caisse Centrale Desjardins du Quebec, Sr. Unsec’d. Notes, 144A		2.650%		09/16/15		6,500		6,530,105
Cisco Systems, Inc., Sr. Unsec’d. Notes		0.332%	(a)	09/03/15		4,000		4,000,338
Commonwealth Bank of Australia, Sr. Unsec’d. Notes, 144A		0.483%	(a)	06/03/16		7,000		7,008,015
Export Development Canada, Unsec’d. Notes, MTN, 144A		0.179%	(a)	11/12/15		3,000		2,999,846
General Electric Capital Corp., Gtd. Notes, MTN		0.874%	(a)	01/08/16		4,140		4,152,628
General Electric Capital Corp., Gtd. Notes, MTN		0.932%	(a)	09/30/15		5,000		5,007,122
Inter-American Development Bank, Sr. Unsec’d. Notes, MTN		0.186%	(a)	07/29/15		4,000		4,000,000
International Bank for Reconstruction & Development, Sr. Unsec’d. Notes, MTN		0.184%	(a)	08/07/15		7,000		7,000,006
International Bank for Reconstruction & Development, Sr. Unsec’d. Notes, MTN		0.186%	(a)	09/14/15		1,000		999,998
International Finance Corp., Sr. Unsec’d. Notes, MTN		0.186%	(a)	08/27/15		9,000		8,999,896
KFW, Gov.‘t. Gtd. Notes		0.243%	(a)	07/09/15		6,000		6,000,095
Royal Bank of Canada, Sr. Unsec’d. Notes, MTN		1.920%		07/30/15		2,700		2,703,454
Total Capital Canada Ltd., Gtd. Notes		0.655%	(a)	01/15/16		2,600		2,605,333
Toyota Motor Credit Corp., Sr. Unsec’d. Notes, MTN		0.282%	(a)	08/26/15		6,000		6,000,000
U.S. Bancorp., Sr. Unsec’d. Notes, MTN		2.450%		07/27/15		1,000		1,001,549
Volkswagen International Finance NV, Gtd. Notes, 144A		0.606%	(a)	11/18/15		1,000		1,000,894
Wells Fargo Bank NA, Sr. Unsec’d. Notes		0.434%	(a)	06/02/16		3,000		3,002,268
Wells Fargo Bank NA, Sr. Unsec’d. Notes		0.555%	(a)	07/20/15		7,000		7,001,032
Westpac Banking Corp., Sr. Unsec’d. Notes		3.000%		08/04/15		3,180		3,187,969

								91,615,041

TIME DEPOSIT — 1.3%
U.S. Bank NA		0.130%		07/01/15		9,243		9,243,000

U.S. GOVERNMENT AGENCY OBLIGATIONS — 28.6%
Federal Farm Credit Bank		0.163%	(a)	02/03/16		3,000		3,000,093
Federal Farm Credit Bank		0.184%	(a)	10/01/15		3,000		3,000,268

SEE NOTES TO FINANCIAL STATEMENTS.

A133


U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal Farm Credit Bank		0.216%	(a)	07/27/15		2,000	$	2,000,105
Federal Home Loan Bank		0.030%	(b)	07/06/15		15,000		14,999,937
Federal Home Loan Bank		0.051%	(b)	08/03/15		12,000		11,999,450
Federal Home Loan Bank		0.065%	(b)	08/12/15		10,000		9,999,214
Federal Home Loan Bank		0.071%	(b)	08/07/15		4,000		3,999,712
Federal Home Loan Bank		0.072%	(b)	07/01/15		2,000		2,000,000
Federal Home Loan Bank		0.076%	(b)	07/22/15		10,000		9,999,563
Federal Home Loan Bank		0.077%	(b)	07/24/15		4,000		3,999,806
Federal Home Loan Bank		0.079%	(b)	07/31/15		11,000		10,999,331
Federal Home Loan Bank		0.085%	(b)	08/05/15		11,000		10,999,108
Federal Home Loan Bank		0.086%	(b)	07/23/15-08/28/15		4,000		3,999,617
Federal Home Loan Bank		0.090%	(b)	08/19/15		13,000		12,998,516
Federal Home Loan Bank		0.093%	(b)	07/17/15-09/16/15		9,200		9,199,025
Federal Home Loan Bank		0.096%	(b)	09/30/15		9,500		9,497,719
Federal Home Loan Bank		0.117%	(b)	08/26/15		1,000		999,821
Federal Home Loan Bank		0.145%	(a)	07/10/15		5,000		5,000,000
Federal Home Loan Bank		0.150%	(a)	08/10/15		5,000		4,999,987
Federal Home Loan Bank		0.162%	(a)	01/21/16		6,000		5,999,832
Federal Home Loan Bank		0.165%	(a)	12/24/15		5,000		4,999,442
Federal Home Loan Bank		0.167%	(a)	11/25/15-01/25/16		19,000		19,000,704
Federal Home Loan Bank		0.181%	(a)	09/14/15		5,000		5,000,142
Federal Home Loan Mortgage Corp.		0.145%	(a)	02/18/16		9,000		8,999,129
Federal Home Loan Mortgage Corp.		0.165%	(a)	10/16/15		3,000		3,000,124
Federal Home Loan Mortgage Corp.		0.175%	(a)	07/17/15		9,000		9,000,122
Federal Home Loan Mortgage Corp.		0.182%	(a)	07/21/16		2,000		1,999,901
Federal Home Loan Mortgage Corp.		1.750%		09/10/15		1,000		1,003,081
Federal National Mortgage Assoc.		0.155%	(a)	08/05/15		4,000		4,000,041

								196,693,790

U.S. TREASURY OBLIGATION — 1.9%
U.S. Treasury Notes		1.750%		07/31/15		13,000		13,017,870

REPURCHASE AGREEMENT(c) — 7.6%
TD Securities (USA) Ltd. 0.12%, dated 06/30/15, due 07/01/15 in the amount of $52,000,173						52,000		52,000,000

TOTAL INVESTMENTS — 101.4% (amortized cost $697,037,799)								697,037,799
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.4)%								(9,910,871	)

NET ASSETS — 100.0%							$	687,126,928

See the Glossary for abbreviations used in the Portfolio descriptions.

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

(a)	Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2015.

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

(c)

The value of the Repurchase Agreement is $52,000,000. The Repurchase Agreement is collateralized by a U.S. Treasury Obligation (coupon rate 6.000%, maturity date 02/15/26), with the value, including accrued interest of $53,040,007. The Repurchase Agreement is subject to a contractual netting arrangement. For further detail on the repurchase agreement and the corresponding counterparty, see the Schedule of Investments.

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

Level 1—

quoted prices generally in active markets for identical securities.

Level 2—

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

Level 3—

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

SEE NOTES TO FINANCIAL STATEMENTS.

A134

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Certificates of Deposit	$	—	$	150,256,888	$	—
Commercial Paper		—		184,211,210		—
Other Corporate Obligations		—		91,615,041		—
Time Deposit		—		9,243,000		—
U.S. Government Agency Obligations		—		196,693,790		—
U.S. Treasury Obligation		—		13,017,870		—
Repurchase Agreement		—		52,000,000		—

Total	$	—	$	697,037,799	$	—

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:


U.S. Government Agency Obligations	28.6	%
Commercial Paper	26.8
Certificates of Deposit	21.9
Other Corporate Obligations	13.3
Repurchase Agreement	7.6


U.S. Treasury Obligation	1.9	%
Time Deposit	1.3

	101.4
Liabilities in excess of other assets	(1.4	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A135


		*MONEY MARKET PORTFOLIO (continued)*

STATEMENT OF ASSETS & LIABILITIES

(Unaudited)

as of June 30, 2015


ASSETS
Investments, at amortized cost which approximates fair value:	$	697,037,799
Receivable for Series shares sold		791,246
Interest receivable		325,133
Prepaid expenses		963

Total Assets		698,155,141

LIABILITIES
Payable for investments purchased		9,497,719
Payable for Series shares repurchased		1,323,659
Accrued expenses		125,423
Management fee payable		78,941
Payable to custodian		1,545
Affiliated transfer agent fee payable		926

Total Liabilities		11,028,213

NET ASSETS	$	687,126,928

Net assets were comprised of:
Paid-in capital	$	687,126,928

Net assets, June 30, 2015	$	687,126,928

Net asset value and redemption price per share $687,126,928 / 68,709,710 outstanding shares of beneficial interest	$	10.00

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2015


NET INVESTMENT INCOME
INCOME
Interest income	$	660,498

EXPENSES
Management fee		1,506,024
Custodian and accounting fees		60,000
Shareholders’ reports		50,000
Audit fee		11,000
Trustees’ fees		8,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800)		6,000
Insurance expenses		6,000
Legal fees and expenses		5,000
Miscellaneous		7,959

Total expenses		1,659,983
Less: Management fee waiver		(999,485	)

Net expenses		660,498

NET INVESTMENT INCOME		—

REALIZED GAIN ON INVESTMENTS
Net realized gain on investment transactions		4,527

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	4,527

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)


	Six Months Ended June 30, 2015			Year Ended December 31, 2014
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	—		$	72
Net realized gain on investment transactions		4,527			7,039

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		4,527			7,111

DISTRIBUTIONS		(4,527	)		(7,111	)

SERIES SHARE TRANSACTIONS
Series shares sold [14,109,433 and 22,388,218 shares, respectively]		141,094,336			223,882,182
Series shares issued in reinvestment of distributions [453 and 711 shares, respectively]		4,527			7,111
Series shares repurchased [27,755,929 and 26,634,487 shares, respectively]		(277,559,290	)		(266,344,871	)

NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(136,460,427	)		(42,455,578	)

TOTAL DECREASE		(136,460,427	)		(42,455,578	)
NET ASSETS:
Beginning of period		823,587,355			866,042,933

End of period	$	687,126,928		$	823,587,355

SEE NOTES TO FINANCIAL STATEMENTS.

A136


LONG-TERM INVESTMENTS — 96.5%			Value (Note 2)
COMMON STOCKS — 96.4%	Shares		Value (Note 2)
Aluminum — 1.4%
Alcoa, Inc.		14,698	$	163,883
Century Aluminum Co.*(a)		119,396		1,245,300
Constellium NV (Netherlands) (Class A Stock)*		556,144		6,579,184
Norsk Hydro ASA (Norway)		40,321		169,224

				8,157,591

Coal & Consumable Fuels — 1.2%
CONSOL Energy, Inc.		325,416		7,074,544

Diversified Chemicals — 2.2%
Dow Chemical Co. (The)		111,266		5,693,481
E.I. du Pont de Nemours & Co.		2,765		176,822
FMC Corp.		133,729		7,027,459

				12,897,762

Diversified Metals & Mining — 9.4%
African Rainbow Minerals Ltd. (South Africa)		286,406		1,947,589
Anglo American PLC (United Kingdom)		11,172		161,395
BHP Billiton Ltd. (Australia), ADR(a)		167,986		6,838,710
First Quantum Minerals Ltd. (Canada)		705,631		9,225,744
Freeport-McMoRan Copper & Gold, Inc.		235,818		4,390,931
Glencore PLC (Switzerland)		2,375,440		9,525,938
Ivanhoe Mines Ltd. (Canada)*(a)		357,087		257,309
Ivanhoe Mines Ltd. (Canada) (Class A Stock), 144A*(b)		433,900		309,184
Lundin Mining Corp. (Canada)*		1,477,222		6,067,373
Northern Dynasty Minerals Ltd. (Canada)*(a)		399,636		135,876
Rio Tinto PLC (United Kingdom), ADR(a)		212,906		8,773,856
South32 Ltd. (Australia), ADR*(a)		67,193		450,865
Southern Copper Corp. (Mexico)(a)		230,876		6,790,063

				54,874,833

Fertilizers & Agricultural Chemicals — 1.3%
Potash Corp. of Saskatchewan, Inc. (Canada)		243,368		7,537,107

Gold — 6.9%
Agnico Eagle Mines Ltd. (Canada)		232,557		6,597,642
Alacer Gold Corp.		1,330,410		3,120,978
Algold Resources Ltd. (Canada), 144A*(b)		29,193		3,974
Axmin, Inc. (Canada)*		155,620		1,246
B2Gold Corp. (Canada)*(a)		2,155,332		3,295,984
Barrick Gold Corp. (Canada)		608,805		6,489,861
Eldorado Gold Corp. (Canada)		1,202,097		4,985,478
Goldcorp, Inc. (Canada)		8,025		130,005
Guyana Goldfields Inc., Reg. D (Canada)*		365,319		1,158,257
Guyana Goldfields, Inc. (Canada), 144A*(b)		726,972		2,304,891
Kinross Gold Corp. (Canada)*		841,375		1,951,990
Newmont Mining Corp.		8,257		192,884


COMMON STOCKS (continued)	Shares		Value (Note 2)
Gold (continued)
Randgold Resources Ltd. (United Kingdom), ADR(a)		150,192	$	10,055,354

				40,288,544

Integrated Oil & Gas — 4.0%
Chevron Corp.		912		87,981
Occidental Petroleum Corp.		126,700		9,853,459
Royal Dutch Shell PLC (Netherlands) (Class A Stock), ADR		2,284		130,211
Suncor Energy, Inc. (Canada)		479,887		13,206,490

				23,278,141

Oil & Gas Drilling — 2.5%
Independence Contract Drilling Inc.*(a)		336,881		2,988,135
Patterson-UTI Energy, Inc.		449,215		8,451,980
Rowan Cos. PLC (Class A Stock)		148,456		3,133,906

				14,574,021

Oil & Gas Equipment & Services — 14.1%
Baker Hughes, Inc.		3,239		199,846
Cameron International Corp.*		273,308		14,313,140
Core Laboratories NV(a)		29,832		3,402,041
Dril-Quip, Inc.*		170,002		12,792,650
FMC Technologies, Inc.*		146,692		6,086,251
Halliburton Co.		390,361		16,812,848
National Oilwell Varco, Inc.		3,970		191,672
Schlumberger Ltd.		243,257		20,966,321
Superior Energy Services, Inc.		368,965		7,763,024

				82,527,793

Oil & Gas Exploration & Production — 38.8%
Africa Oil Corp. (Canada)*(a)		353,810		640,201
Africa Oil Corp., Reg. D (Canada)*		42,762		77,376
Anadarko Petroleum Corp.		305,789		23,869,889
Antero Resources Corp*(a)		168,632		5,790,823
Bankers Petroleum Ltd. (Canada)*		718,499		1,783,304
Cabot Oil & Gas Corp.		6,075		191,605
Canadian Natural Resources Ltd. (Canada)		5,497		149,299
Cimarex Energy Co.		105,859		11,677,306
Cobalt International Energy, Inc.*		467,415		4,538,600
Concho Resources, Inc.*		207,930		23,674,910
ConocoPhillips		2,821		173,238
Continental Resources, Inc.*(a)		3,555		150,696
Crew Energy Inc (Canada)*		438,928		2,006,628
Devon Energy Corp.		285,313		16,973,270
EOG Resources, Inc.		211,605		18,526,018
EQT Corp.		1,601		130,225
Genel Energy PLC (United Kingdom)*		378,961		3,020,466
Gulfport Energy Corp.*		163,956		6,599,229
Hess Corp.		102,328		6,843,697
Kosmos Energy Ltd.*		331,163		2,791,704
Laredo Petroleum, Inc.*		374,004		4,704,970
Lekoil Ltd. (Nigeria)*		820,280		380,213
Lekoil Ltd., Reg. D (Nigeria)*		2,947,579		1,366,249
Marathon Oil Corp.		432,941		11,490,254
MEG Energy Corp. (Canada)*		199,892		3,264,849

SEE NOTES TO FINANCIAL STATEMENTS.

A137


COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil & Gas Exploration & Production (continued)
MEG Energy Corp. (Canada), 144A*(b)		131,600	$	2,149,432
Mobius Resources Inc., Reg. D (Canada)*		773,332		92,874
Mobius Resources, Inc. (Canada)*		321,393		38,598
Newfield Exploration Co.*		170,207		6,147,877
Noble Energy, Inc.		439,901		18,774,975
NuVista Energy Ltd. (Canada)*		383,330		2,053,225
Oasis Petroleum, Inc.*(a)		162,836		2,580,951
Oil Search Ltd. (Australia)		661,043		3,633,553
PDC Energy, Inc.*		201,886		10,829,165
Pioneer Natural Resources Co.		45,551		6,317,468
Range Resources Corp.		216,354		10,683,560
Rice Energy, Inc.*(a)		270,745		5,639,618
Seven Generations Energy Ltd. (Canada), 144A(b)*		129,839		1,696,535
Seven Generations Energy Ltd. (Canada) (Class A Stock)*		53,477		698,755
Whiting Petroleum Corp.*		156,420		5,255,712

				227,407,317

Oil & Gas Refining & Marketing — 6.1%
Marathon Petroleum Corp.		320,451		16,762,792
Phillips 66		168,330		13,560,665
Valero Energy Corp.		2,964		185,546
Western Refining, Inc.		116,368		5,075,972

				35,584,975

Oil & Gas Storage & Transportation — 2.7%
Cheniere Energy, Inc.*		2,668		184,786
Euronav NV (Belgium)		180,016		2,666,037
Kinder Morgan, Inc.		170,592		6,549,027
Williams Cos., Inc. (The)		113,052		6,488,054

				15,887,904

Packaged Foods & Meats — 0.4%
Adecoagro SA (Luxembourg)*		289,976		2,673,579

Paper Packaging — 0.4%
Packaging Corp. of America		39,918		2,494,476

Precious Metals & Minerals — 0.1%
Lonmin PLC (United Kingdom), 144A(a)(b)		25,898		45,592
Platinum Group Metals Ltd. (Canada)*(a)		1,234,422		493,769
Sedibelo Platinum Mines (South Africa), Private Placement (original cost $1,102,975; purchased 11/27/07)*(b)(c)		129,100		11,297

				550,658

Renewable Electricity — 1.3%
NextEra Energy Partners LP		24,739		980,159
NextEra Energy Partners LP, Reg D, PIPE, Private Placement (original cost $1,300,943; purchased 05/07/15)(b)(c)		31,071		1,169,481
TerraForm Power, Inc. (Class A Stock)		149,180		5,665,857

				7,815,497


COMMON STOCKS (continued)	Shares		Value (Note 2)
Silver — 1.2%
Silver Wheaton Corp. (Canada)		211,452	$	3,666,578
Tahoe Resources, Inc.		177,274		2,148,862
Tahoe Resources, Inc., 144A(b)		116,000		1,406,116

				7,221,556

Specialty Chemicals — 1.1%
Ashland, Inc.		656		79,966
Cytec Industries, Inc.		48,310		2,924,204
Flotek Industries, Inc.*(a)		260,973		3,269,992
PPG Industries, Inc.		1,624		186,305

				6,460,467

Steel — 1.3%
ArcelorMittal (Luxembourg), ADR(a)		19,789		192,349
Nucor Corp.		3,940		173,636
Reliance Steel & Aluminum Co.		119,054		7,200,386

				7,566,371

TOTAL COMMON STOCKS (cost $529,969,048)				564,873,136

CONVERTIBLE PREFERRED STOCKS — 0.1%
Steel
Manabi SA (Brazil) (Class A Preferred), Private Placement (original cost $4,587,721; purchased 05/25/11), 144A*(b)(c)		3,660		395,112
Manabi SA (Brazil) (Class B Preferred), Private Placement (original cost $1,848,551; purchased 08/21/12), 144A*(b)(c)		1,464		158,045

TOTAL CONVERTIBLE PREFERRED STOCKS (cost $6,436,272)				553,157

TOTAL LONG-TERM INVESTMENTS (cost $536,405,320)				565,426,293

SHORT-TERM INVESTMENT — 10.2%
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $59,620,543; includes $39,480,426 of cash collateral for securities on loan) (Note 4)(d)(e)		59,620,543		59,620,543

TOTAL INVESTMENTS — 106.7% (cost $596,025,863)				625,046,836
LIABILITIES IN EXCESS OF OTHER ASSETS — (6.7)%				(39,186,877	)

NET ASSETS — 100.0%			$	585,859,959

SEE NOTES TO FINANCIAL STATEMENTS.

A138

See the Glossary for abbreviations used in the Portfolio descriptions.

*	Non-income producing security.

(a)

All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $37,905,746; cash collateral of $39,480,426 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

(c)	Indicates a restricted security; the aggregate original cost of such securities is $8,840,190. The aggregate value of, $1,733,935, is approximately 0.3% of net assets.

(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.

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

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

Level 1—

quoted prices generally in active markets for identical securities.

Level 2—

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

Level 3—

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

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aluminum	$	7,988,367	$	169,224	$	—
Coal & Consumable Fuels		7,074,544		—		—
Diversified Chemicals		12,897,762		—		—
Diversified Metals & Mining		44,878,316		9,996,517		—
Fertilizers & Agricultural Chemicals		7,537,107		—		—
Gold		36,825,396		3,463,148		—
Integrated Oil & Gas		23,278,141		—		—
Oil & Gas Drilling		14,574,021		—		—
Oil & Gas Equipment & Services		82,527,793		—		—
Oil & Gas Exploration & Production		215,448,208		11,959,109		—
Oil & Gas Refining & Marketing		35,584,975		—		—
Oil & Gas Storage & Transportation		15,887,904		—		—
Packaged Foods & Meats		2,673,579		—		—
Paper Packaging		2,494,476		—		—
Precious Metals & Minerals		493,769		45,592		11,297
Renewable Electricity		6,646,016		—		1,169,481
Silver		5,815,440		1,406,116		—
Specialty Chemicals		6,460,467		—		—
Steel		7,566,371		—		—
Convertible Preferred Stocks
Steel		—		—		553,157
Affiliated Money Market Mutual Fund		59,620,543		—		—

Total	$	596,273,195	$	27,039,706	$	1,733,935

SEE NOTES TO FINANCIAL STATEMENTS.

A139

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:


Oil & Gas Exploration & Production	38.8	%
Oil & Gas Equipment & Services	14.1
Affiliated Money Market Mutual Fund (including 6.7% of collateral for securities on loan)	10.2
Diversified Metals & Mining	9.4
Gold	6.9
Oil & Gas Refining & Marketing	6.1
Integrated Oil & Gas	4.0
Oil & Gas Storage & Transportation	2.7
Oil & Gas Drilling	2.5
Diversified Chemicals	2.2
Aluminum	1.4
Steel	1.4


Renewable Electricity	1.3	%
Fertilizers & Agricultural Chemicals	1.3
Silver	1.2
Coal & Consumable Fuels	1.2
Specialty Chemicals	1.1
Packaged Foods & Meats	0.4
Paper Packaging	0.4
Precious Metals & Minerals	0.1

	106.7
Liabilities in excess of other assets	(6.7	)

	100.0	%

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

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2015 are as follows:

For the six months ended June 30, 2015, the Portfolio did not have any realized gain or (loss) on derivatives recognized in income on the Statement of Operations.


Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Warrants*
Equity contracts	$	(502	)

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

SEE NOTES TO FINANCIAL STATEMENTS.

A140


		*NATURAL RESOURCES PORTFOLIO (continued)*

STATEMENT OF ASSETS & LIABILITIES

(Unaudited)

as of June 30, 2015


ASSETS
Investments at value, including securities on loan of $37,905,746:
Unaffiliated investments (cost $536,405,320)	$	565,426,293
Affiliated investments (cost $59,620,543)		59,620,543
Cash		75,869
Dividends receivable		331,671
Tax reclaim receivable		249,603
Receivable for Series shares sold		77,266
Prepaid expenses		1,100

Total Assets		625,782,345

LIABILITIES
Payable to broker for collateral for securities on loan		39,480,426
Management fee payable		200,182
Accrued expenses		159,974
Payable for Series shares repurchased		66,755
Distribution fee payable		8,825
Administration fee payable		5,298
Affiliated transfer agent fee payable		926

Total Liabilities		39,922,386

NET ASSETS	$	585,859,959

Net assets were comprised of:
Paid-in capital	$	483,506,716
Retained earnings		102,353,243

Net assets, June 30, 2015	$	585,859,959

Class I:
Net asset value and redemption price per share $543,852,147 / 18,843,070 outstanding shares of beneficial interest	$	28.86

Class II:
Net asset value and redemption price per share $42,007,812 / 1,484,316 outstanding shares of beneficial interest	$	28.30

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2015


NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $105,207)	$	4,883,261
Affiliated income from securities lending, net		114,350
Affiliated dividend income		20,076

Total income		5,017,687

EXPENSES
Management fee		1,394,346
Distribution fee—Class II		56,088
Administration fee—Class II		33,653
Shareholders’ reports		66,000
Custodian and accounting fees		55,000
Audit fee		12,000
Trustees’ fees		8,000
Insurance expenses		6,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800)		6,000
Legal fees and expenses		5,000
Miscellaneous		20,847

Total expenses		1,662,934
Less: Management fee waiver		(154,931	)

Net expenses		1,508,003

NET INVESTMENT INCOME		3,509,684

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		13,969,298
Foreign currency transactions		(2,091	)

		13,967,207

Net change in unrealized appreciation (depreciation) on:
Investments		(37,321,045	)
Foreign currencies		(14,106	)

		(37,335,151	)

NET LOSS ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(23,367,944	)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(19,858,260	)

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)


	Six Months Ended June 30, 2015			Year Ended December 31, 2014
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	3,509,684		$	4,754,100
Net realized gain on investment and foreign currency transactions		13,967,207			39,025,005
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(37,335,151	)		(199,664,806	)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS		(19,858,260	)		(155,885,701	)

SERIES SHARE TRANSACTIONS (Note 7)
Series shares sold		23,367,947			36,365,649
Series shares repurchased		(50,126,200	)		(94,184,529	)

NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(26,758,253	)		(57,818,880	)

TOTAL DECREASE		(46,616,513	)		(213,704,581	)
NET ASSETS:
Beginning of period		632,476,472			846,181,053

End of period	$	585,859,959		$	632,476,472

SEE NOTES TO FINANCIAL STATEMENTS.

A141


LONG-TERM INVESTMENTS — 98.7%			Value (Note 2)
COMMON STOCKS — 98.0%	Shares		Value (Note 2)
Aerospace & Defense — 1.8%
AAR Corp.		35,471	$	1,130,461
Aerojet Rocketdyne Holdings, Inc.*(a)		65,775		1,355,623
Aerovironment, Inc.*		21,114		550,653
American Science & Engineering, Inc.		7,516		329,276
Cubic Corp.		22,873		1,088,297
Curtiss-Wright Corp.		50,002		3,622,145
Engility Holdings, Inc.		18,300		460,428
Moog, Inc. (Class A Stock)*		40,694		2,876,252
National Presto Industries, Inc.		5,199		417,583
TASER International, Inc.*(a)		56,200		1,872,022

				13,702,740

Air Freight & Logistics — 0.8%
Atlas Air Worldwide Holdings, Inc.*		26,200		1,439,952
Echo Global Logistics, Inc.*(a)		25,100		819,766
Forward Air Corp.		32,556		1,701,376
Hub Group, Inc. (Class A Stock)*		35,870		1,446,996
UTi Worldwide, Inc.*(a)		96,700		966,033

				6,374,123

Airlines — 0.7%
Allegiant Travel Co.		14,194		2,524,829
Hawaiian Holdings, Inc.*(a)		57,400		1,363,250
Republic Airways Holdings, Inc.*		52,400		481,032
SkyWest, Inc.		54,060		813,062

				5,182,173

Auto Components — 0.8%
Dorman Products, Inc.*(a)		32,300		1,539,418
Drew Industries, Inc.		25,289		1,467,268
Gentherm, Inc.*		37,700		2,070,107
Standard Motor Products, Inc.		21,999		772,605
Superior Industries International, Inc.		24,318		445,262

				6,294,660

Automobiles — 0.1%
Winnebago Industries, Inc.(a)		28,131		663,610

Banks — 8.3%
Banner Corp.		20,400		977,772
BBCN Bancorp, Inc.		83,382		1,233,220
Boston Private Financial Holdings, Inc.		84,902		1,138,536
Cardinal Financial Corp.		33,800		736,502
Central Pacific Financial Corp.		27,900		662,625
City Holding Co.(a)		15,944		785,242
Columbia Banking System, Inc.		56,108		1,825,754
Community Bank System, Inc.		42,796		1,616,405
CVB Financial Corp.		101,400		1,785,654
First BanCorp (Puerto Rico)*		109,372		527,173
First Commonwealth Financial Corp.		91,210		874,704
First Financial Bancorp		64,803		1,162,566
First Financial Bankshares, Inc.(a)		67,378		2,333,974
First Midwest Bancorp, Inc.		81,840		1,552,505
FNB Corp.		181,900		2,604,808
Glacier Bancorp, Inc.		79,173		2,329,270
Hanmi Financial Corp.		33,636		835,518
Home BancShares, Inc.		61,804		2,259,554
Independent Bank Corp.		27,606		1,294,445
LegacyTexas Financial Group, Inc.		38,000		1,147,600
MB Financial, Inc.		67,783		2,334,447


COMMON STOCKS (continued)	Shares		Value (Note 2)
Banks (continued)
National Penn Bancshares, Inc.		144,376	$	1,628,561
NBT Bancorp, Inc.		46,310		1,211,933
OFG Bancorp (Puerto Rico)		46,700		498,289
Old National Bancorp		111,447		1,611,524
Pinnacle Financial Partners, Inc.		35,071		1,906,810
PrivateBancorp, Inc.		74,449		2,964,559
S&T Bancorp, Inc.		29,873		883,942
Simmons First National Corp. (Class A Stock)		16,378		764,525
Southside Bancshares, Inc.		24,570		718,181
Sterling Bancorp		94,758		1,392,943
Susquehanna Bancshares, Inc.		191,509		2,704,107
Talmer Bancorp, Inc. (Class A Stock)		60,700		1,016,725
Texas Capital Bancshares, Inc.*		48,100		2,993,744
Tompkins Financial Corp.		12,564		674,938
UMB Financial Corp.		42,872		2,444,561
United Bankshares, Inc.(a)		67,197		2,703,335
United Community Banks, Inc.		47,387		988,967
Westamerica Bancorporation(a)		26,900		1,362,485
Wilshire Bancorp, Inc.		73,813		932,258
Wintrust Financial Corp.		49,713		2,653,680

				62,074,341

Biotechnology — 1.2%
Acorda Therapeutics, Inc.*(a)		44,900		1,496,517
Emergent BioSolutions, Inc.*		31,257		1,029,918
Ligand Pharmaceuticals, Inc.*		18,800		1,896,920
MiMedx Group, Inc.*		92,900		1,076,711
Momenta Pharmaceuticals, Inc.*		61,800		1,409,658
Repligen Corp.*		32,500		1,341,275
Spectrum Pharmaceuticals, Inc.*(a)		60,700		415,188

				8,666,187

Building Products — 1.2%
AAON, Inc.		43,589		981,624
American Woodmark Corp.*		13,200		724,020
Apogee Enterprises, Inc.		30,638		1,612,784
Gibraltar Industries, Inc.*		30,468		620,633
Griffon Corp.		41,929		667,510
PGT, Inc.*		49,900		724,049
Quanex Building Products Corp.		35,388		758,365
Simpson Manufacturing Co., Inc.		44,183		1,502,222
Universal Forest Products, Inc.		21,064		1,095,960

				8,687,167

Capital Markets — 1.6%
Calamos Asset Management, Inc. (Class A Stock)		17,500		214,375
Evercore Partners, Inc. (Class A Stock)		38,200		2,061,272
Financial Engines, Inc.(a)		54,600		2,319,408
Greenhill & Co., Inc.		28,900		1,194,437
HFF, Inc. (Class A Stock)		34,600		1,443,858
Interactive Brokers Group, Inc. (Class A Stock)		61,400		2,551,784
Investment Technology Group, Inc.		35,966		891,957
Piper Jaffray Cos.*		16,865		735,989
Virtus Investment Partners, Inc.		7,310		966,747

				12,379,827

SEE NOTES TO FINANCIAL STATEMENTS.

A142


COMMON STOCKS (continued)	Shares		Value (Note 2)
Chemicals 2.2%
A. Schulman, Inc.		30,766	$	1,345,089
American Vanguard Corp.		26,248		362,222
Balchem Corp.		32,683		1,821,097
Calgon Carbon Corp.		55,354		1,072,761
Flotek Industries, Inc.*(a)		52,000		651,560
FutureFuel Corp.		23,200		298,584
H.B. Fuller Co.		53,018		2,153,591
Hawkins, Inc.		10,000		403,900
Innophos Holdings, Inc.		22,000		1,158,080
Intrepid Potash, Inc.*(a)		58,900		703,266
Koppers Holdings, Inc.		21,500		531,480
Kraton Performance Polymers, Inc.*		32,900		785,652
LSB Industries, Inc.*		20,600		841,304
OM Group, Inc.		31,956		1,073,722
Quaker Chemical Corp.		13,998		1,243,582
Rayonier Advanced Materials, Inc.		44,700		726,822
Stepan Co.		20,170		1,091,399
Tredegar Corp.		26,635		588,900

				16,853,011

Commercial Services & Supplies — 2.7%
ABM Industries, Inc.		54,903		1,804,662
Brady Corp. (Class A Stock)		50,122		1,240,018
Brink’s Co. (The)		51,000		1,500,930
Essendant, Inc.		40,342		1,583,424
G&K Services, Inc. (Class A Stock)		21,019		1,453,254
Healthcare Services Group, Inc.		75,076		2,481,262
Interface, Inc.		69,402		1,738,520
Matthews International Corp. (Class A Stock)		31,200		1,657,968
Mobile Mini, Inc.(a)		48,697		2,047,222
Tetra Tech, Inc.		63,188		1,620,140
UniFirst Corp.		16,530		1,848,880
US Ecology, Inc.		22,700		1,105,944
Viad Corp.		21,147		573,295

				20,655,519

Communications Equipment — 1.1%
ADTRAN, Inc.		55,900		908,375
Bel Fuse, Inc. (Class B Stock)		11,022		226,171
Black Box Corp.		16,093		321,860
CalAmp Corp.*(a)		37,900		692,054
Comtech Telecommunications Corp.		16,959		492,659
Digi International, Inc.*		25,464		243,181
Harmonic, Inc.*		92,924		634,671
Ixia*		62,100		772,524
NETGEAR, Inc.*		36,446		1,094,109
ViaSat, Inc.*		46,115		2,778,890

				8,164,494

Construction & Engineering — 1.0%
Aegion Corp.*		39,237		743,149
Comfort Systems USA, Inc.		39,084		896,978
Dycom Industries, Inc.*		35,831		2,108,654
EMCOR Group, Inc.		65,925		3,149,237
MYR Group, Inc.*		23,000		712,080
Orion Marine Group, Inc.*		28,800		207,936

				7,818,034


COMMON STOCKS (continued)	Shares		Value (Note 2)
Construction Materials — 0.2%
Headwaters, Inc.*		77,368	$	1,409,645

Consumer Finance — 1.1%
Cash America International, Inc.		28,944		758,043
Encore Capital Group, Inc.*(a)		25,400		1,085,596
Enova International, Inc.*		27,639		516,297
EZCORP, Inc. (Class A Stock)*		46,611		346,320
First Cash Financial Services, Inc.*		29,625		1,350,604
Green Dot Corp. (Class A Stock)*		42,100		804,952
PRA Group, Inc.*(a)		50,767		3,163,292
World Acceptance Corp.*(a)		8,952		550,637

				8,575,741

Containers & Packaging — 0.1%
Myers Industries, Inc.		25,620		486,780

Distributors — 0.5%
Pool Corp.		45,855		3,218,104
VOXX International Corp.*		20,657		171,040

				3,389,144

Diversified Consumer Services — 0.4%
American Public Education, Inc.*		18,033		463,809
Capella Education Co.		11,486		616,454
Career Education Corp.*		63,300		208,890
Regis Corp.*		46,400		731,264
Strayer Education, Inc.*		11,600		499,960
Universal Technical Institute, Inc.		18,106		155,711

				2,676,088

Diversified Financial Services — 0.5%
MarketAxess Holdings, Inc.		39,200		3,636,584

Diversified Telecommunication Services — 0.7%
8x8, Inc.*		90,800		813,568
Atlantic Tele-Network, Inc.		10,600		732,248
Cincinnati Bell, Inc.*		219,900		840,018
Consolidated Communications Holdings, Inc.(a)		49,400		1,037,894
General Communication, Inc. (Class A Stock)*		30,124		512,409
Iridium Communications, Inc.*(a)		82,800		752,652
Lumos Networks Corp.		21,021		310,901

				4,999,690

Electric Utilities — 0.9%
ALLETE, Inc.		47,097		2,184,830
El Paso Electric Co.		42,608		1,476,793
UIL Holdings Corp.		59,811		2,740,540

				6,402,163

Electrical Equipment — 1.1%
AZZ, Inc.		27,042		1,400,776
Encore Wire Corp.		19,731		873,886
EnerSys		46,700		3,282,543
Franklin Electric Co., Inc.		41,600		1,344,928
General Cable Corp.		51,200		1,010,176
Powell Industries, Inc.		9,572		336,647
Vicor Corp.*		17,231		210,046

				8,459,002

SEE NOTES TO FINANCIAL STATEMENTS.

A143


COMMON STOCKS (continued)	Shares		Value (Note 2)
Electronic Equipment, Instruments & Components — 4.0%
Agilysys, Inc.*		11,832	$	108,618
Anixter International, Inc.*		28,764		1,873,974
Badger Meter, Inc.		15,207		965,492
Benchmark Electronics, Inc.*		55,010		1,198,118
Checkpoint Systems, Inc.		44,039		448,317
Coherent, Inc.*		25,100		1,593,348
CTS Corp.		34,864		671,829
Daktronics, Inc.		41,208		488,727
DTS, Inc.*		18,585		566,657
Electro Scientific Industries, Inc.		28,041		147,776
Fabrinet (Thailand)*		31,300		586,249
FARO Technologies, Inc.*		18,384		858,533
II-VI, Inc.*		54,362		1,031,791
Insight Enterprises, Inc.*		40,735		1,218,384
Itron, Inc.*		37,400		1,288,056
Littelfuse, Inc.		23,725		2,251,265
Mercury Systems, Inc.*		34,008		497,877
Methode Electronics, Inc.		40,266		1,105,302
MTS Systems Corp.		15,735		1,084,928
Newport Corp.*		41,408		785,096
OSI Systems, Inc.*		19,600		1,387,484
Park Electrochemical Corp.		20,444		391,707
Plexus Corp.*		35,320		1,549,842
Rofin-Sinar Technologies, Inc.*		29,500		814,200
Rogers Corp.*		19,631		1,298,394
Sanmina Corp.*		85,900		1,731,744
ScanSource, Inc.*		30,033		1,143,056
SYNNEX Corp.		29,550		2,162,764
TTM Technologies, Inc.*		62,889		628,261

				29,877,789

Energy Equipment & Services — 1.7%
Basic Energy Services, Inc.*		35,517		268,153
Bristow Group, Inc.		36,655		1,953,711
CARBO Ceramics, Inc.(a)		20,900		870,067
Era Group, Inc.*(a)		20,371		417,198
Exterran Holdings, Inc.		72,600		2,370,390
Geospace Technologies Corp.*(a)		13,910		320,626
Gulf Island Fabrication, Inc.		13,677		152,772
GulfMark Offshore, Inc. (Class A Stock)(a)		26,300		305,080
Hornbeck Offshore Services, Inc.*(a)		33,315		683,957
ION Geophysical Corp.*		134,445		143,856
Matrix Service Co.*		27,973		511,346
Newpark Resources, Inc.*		84,000		682,920
Pioneer Energy Services Corp.*		67,217		426,156
SEACOR Holdings, Inc.*(a)		18,171		1,289,051
Tesco Corp.		34,500		376,050
TETRA Technologies, Inc.*		78,341		499,816
U.S. Silica Holdings, Inc.		56,200		1,650,032

				12,921,181

Food & Staples Retailing — 0.3%
Andersons, Inc. (The)		28,024		1,092,936
SpartanNash Co.		39,506		1,285,525

				2,378,461

Food Products — 1.7%
B&G Foods, Inc.		60,800		1,734,624
Cal-Maine Foods, Inc.(a)		31,590		1,648,998


COMMON STOCKS (continued)	Shares		Value (Note 2)
Food Products (continued)
Calavo Growers, Inc.		16,290	$	845,940
Darling Ingredients, Inc.*		173,520		2,543,803
Diamond Foods, Inc.*		27,749		870,764
J&J Snack Foods Corp.		15,718		1,739,511
Sanderson Farms, Inc.(a)		21,035		1,580,991
Seneca Foods Corp. (Class A Stock)*		6,900		191,613
Snyder’s-Lance, Inc.		54,916		1,772,139

				12,928,383

Gas Utilities — 1.8%
Laclede Group, Inc. (The)		45,514		2,369,459
New Jersey Resources Corp.		89,808		2,474,210
Northwest Natural Gas Co.		28,665		1,209,090
Piedmont Natural Gas Co., Inc.		83,003		2,930,836
South Jersey Industries, Inc.		71,544		1,769,283
Southwest Gas Corp.(a)		49,211		2,618,517

				13,371,395

Health Care Equipment & Supplies — 4.6%
Abaxis, Inc.		22,312		1,148,622
ABIOMED, Inc.*		39,500		2,596,335
Analogic Corp.		13,133		1,036,194
AngioDynamics, Inc.*		27,000		442,800
Anika Therapeutics, Inc.*		15,400		508,662
Cantel Medical Corp.		37,162		1,994,484
CONMED Corp.		29,049		1,692,685
CryoLife, Inc.		26,353		297,262
Cyberonics, Inc.*		27,297		1,623,079
Cynosure, Inc. (Class A Stock)*		23,290		898,528
Greatbatch, Inc.*		26,744		1,442,036
Haemonetics Corp.*		54,294		2,245,600
ICU Medical, Inc.*		14,592		1,395,871
Integra LifeSciences Holdings Corp.*		26,602		1,792,177
Invacare Corp.		30,802		666,247
Masimo Corp.*		50,000		1,937,000
Meridian Bioscience, Inc.		43,675		814,102
Merit Medical Systems, Inc.*(a)		46,048		991,874
Natus Medical, Inc.*		34,725		1,477,896
Neogen Corp.*		39,020		1,851,109
NuVasive, Inc.*		50,800		2,406,904
SurModics, Inc.*		13,552		317,388
Vascular Solutions, Inc.*		16,600		576,352
West Pharmaceutical Services, Inc.		75,634		4,392,823

				34,546,030

Health Care Providers & Services — 3.6%
Aceto Corp.		28,800		709,344
Air Methods Corp.*(a)		37,716		1,559,179
Almost Family, Inc.*		8,252		329,337
Amedisys, Inc.*(a)		35,359		1,404,813
AMN Healthcare Services, Inc.*		49,599		1,566,832
Amsurg Corp.*		50,874		3,558,636
Bio-Reference Laboratories, Inc.*		25,970		1,071,262
Chemed Corp.		18,011		2,361,242
CorVel Corp.*		9,290		297,466
Cross Country Healthcare, Inc.*		31,263		396,415
Ensign Group, Inc. (The)		24,100		1,230,546
ExamWorks Group, Inc.*		36,900		1,442,790
Hanger, Inc.*		37,009		867,491

SEE NOTES TO FINANCIAL STATEMENTS.

A144


COMMON STOCKS (continued)	Shares		Value (Note 2)
Health Care Providers & Services (continued)
HealthEquity, Inc.*		35,800	$	1,147,390
Healthways, Inc.*		36,986		443,092
IPC Healthcare, Inc.*		18,305		1,013,914
Kindred Healthcare, Inc.		87,678		1,778,987
Landauer, Inc.		10,168		362,388
LHC Group, Inc.*		12,898		493,349
Magellan Health, Inc.*		28,741		2,013,882
PharMerica Corp.*		31,695		1,055,444
Providence Service Corp. (The)*		12,600		557,928
Select Medical Holdings Corp.		101,900		1,650,780

				27,312,507

Health Care Technology — 1.1%
Computer Programs & Systems, Inc.(a)		11,036		589,543
HealthStream, Inc.*		25,300		769,626
MedAssets, Inc.*		63,500		1,400,810
Medidata Solutions, Inc.*(a)		58,100		3,155,992
Omnicell, Inc.*		38,122		1,437,581
Quality Systems, Inc.		46,034		762,783

				8,116,335

Hotels, Restaurants & Leisure — 4.1%
Biglari Holdings, Inc.*		1,836		759,645
BJ’s Restaurants, Inc.*		22,872		1,108,148
Bob Evans Farms, Inc.		24,900		1,271,145
Boyd Gaming Corp.*		82,900		1,239,355
Cracker Barrel Old Country Store, Inc.(a)		25,178		3,755,551
DineEquity, Inc.		17,405		1,724,661
Interval Leisure Group, Inc.		41,636		951,383
Jack in the Box, Inc.		39,317		3,466,187
Marcus Corp. (The)		19,358		371,286
Marriott Vacations Worldwide Corp.		29,000		2,660,750
Monarch Casino & Resort, Inc.*		10,531		216,517
Papa John’s International, Inc.		30,930		2,338,617
Pinnacle Entertainment, Inc.*		63,613		2,371,493
Popeyes Louisiana Kitchen, Inc.*		24,300		1,457,757
Red Robin Gourmet Burgers, Inc.*		14,863		1,275,543
Ruby Tuesday, Inc.*		65,184		408,704
Ruth’s Hospitality Group, Inc.		36,448		587,542
Scientific Games Corp. (Class A Stock)*(a)		51,800		804,972
Sonic Corp.		51,914		1,495,123
Texas Roadhouse, Inc.		66,230		2,478,989

				30,743,368

Household Durables — 1.9%
Ethan Allen Interiors, Inc.(a)		27,299		719,056
Helen of Troy Ltd.*		28,210		2,750,193
iRobot Corp.*(a)		31,300		997,844
La-Z-Boy, Inc.		53,801		1,417,118
M/I Homes, Inc.*		25,670		633,279
Meritage Homes Corp.*		39,497		1,859,914
Ryland Group, Inc. (The)(a)		49,200		2,281,404
Standard Pacific Corp.*(a)		154,422		1,375,900
TopBuild Corp.*		37,500		1,087,500
Universal Electronics, Inc.*		16,654		830,035

				13,952,243


COMMON STOCKS (continued)	Shares		Value (Note 2)
Household Products — 0.2%
Central Garden & Pet Co. (Class A Stock)*		41,188	$	469,955
WD-40 Co.		14,409		1,255,889

				1,725,844

Insurance — 2.6%
American Equity Investment Life Holding Co.		81,000		2,185,380
AMERISAFE, Inc.		19,914		937,153
eHealth, Inc.*		18,291		232,113
Employers Holdings, Inc.		33,015		752,082
HCI Group, Inc.		9,500		419,995
Horace Mann Educators Corp.		43,300		1,575,254
Infinity Property & Casualty Corp.		12,089		916,830
Meadowbrook Insurance Group, Inc.		48,600		417,960
Montpelier Re Holdings Ltd. (Bermuda)		39,100		1,544,450
Navigators Group, Inc. (The)*		11,518		893,336
ProAssurance Corp.		57,866		2,673,988
RLI Corp.		39,010		2,004,724
Safety Insurance Group, Inc.		13,360		771,006
Selective Insurance Group, Inc.		59,907		1,680,391
Stewart Information Services Corp.		23,302		927,419
United Fire Group, Inc.		22,061		722,718
United Insurance Holdings Corp.		17,400		270,396
Universal Insurance Holdings, Inc.		31,500		762,300

				19,687,495

Internet & Catalog Retail — 0.3%
Blue Nile, Inc.*		12,480		379,267
FTD Cos., Inc.*		19,206		541,417
Nutrisystem, Inc.		30,628		762,025
PetMed Express, Inc.(a)		21,181		365,796

				2,048,505

Internet Software & Services — 2.0%
Blucora, Inc.*(a)		42,812		691,414
comScore, Inc.*		35,477		1,889,505
Dealertrack Technologies, Inc.*(a)		47,283		2,968,900
DHI Group, Inc.*		39,800		353,822
j2 Global, Inc.		48,178		3,273,213
Liquidity Services, Inc.*		22,400		215,712
LivePerson, Inc.*		51,900		509,139
LogMeIn, Inc.*		25,800		1,663,842
Monster Worldwide, Inc.*		90,100		589,254
NIC, Inc.		64,000		1,169,920
QuinStreet, Inc.*		36,100		232,845
Stamps.com, Inc.*		15,920		1,171,234
XO Group, Inc.*		24,795		405,398

				15,134,198

IT Services — 2.0%
CACI International, Inc. (Class A Stock)*		25,444		2,058,165
Cardtronics, Inc.*		47,100		1,745,055
Ciber, Inc.*		73,923		255,034
CSG Systems International, Inc.		34,424		1,089,864
ExlService Holdings, Inc.*		33,300		1,151,514
Forrester Research, Inc.		11,362		409,259

SEE NOTES TO FINANCIAL STATEMENTS.

A145


COMMON STOCKS (continued)	Shares		Value (Note 2)
IT Services (continued)
Heartland Payment Systems, Inc.		38,411	$	2,076,115
IGATE Corp.*		37,400		1,783,606
ManTech International Corp. (Class A Stock)		24,900		722,100
Perficient, Inc.*		36,914		710,225
Sykes Enterprises, Inc.*		40,970		993,523
TeleTech Holdings, Inc.		18,267		494,670
Virtusa Corp.*		28,400		1,459,760

				14,948,890

Leisure Products — 0.3%
Arctic Cat, Inc.		13,657		453,549
Callaway Golf Co.		81,280		726,643
Sturm Ruger & Co., Inc.		19,727		1,133,316

				2,313,508

Life Sciences Tools & Services — 1.0%
Affymetrix, Inc.*(a)		80,800		882,336
Albany Molecular Research, Inc.*(a)		25,100		507,522
Cambrex Corp.*		32,832		1,442,638
Luminex Corp.*		40,200		693,852
PAREXEL International Corp.*		57,957		3,727,215

				7,253,563

Machinery — 3.6%
Actuant Corp. (Class A Stock)		62,664		1,446,912
Albany International Corp. (Class A Stock)		30,204		1,202,119
Astec Industries, Inc.		19,910		832,636
Barnes Group, Inc.		51,816		2,020,306
Briggs & Stratton Corp.		46,846		902,254
CIRCOR International, Inc.		17,988		980,886
EnPro Industries, Inc.		23,978		1,372,021
ESCO Technologies, Inc.		27,421		1,025,820
Federal Signal Corp.		65,400		975,114
Harsco Corp.		77,900		1,285,350
Hillenbrand, Inc.		66,348		2,036,884
John Bean Technologies Corp.		30,747		1,155,780
Lindsay Corp.(a)		12,479		1,097,029
Lydall, Inc.*		17,856		527,823
Mueller Industries, Inc.		59,798		2,076,186
Standex International Corp.		13,470		1,076,657
Tennant Co.		19,400		1,267,596
Titan International, Inc.		53,200		571,368
Toro Co. (The)		57,866		3,922,157
Watts Water Technologies, Inc. (Class A Stock)		29,721		1,541,034

				27,315,932

Marine — 0.3%
Matson, Inc.		45,600		1,917,024

Media — 0.6%
EW Scripps Co. (The) (Class A Stock)		55,201		1,261,343
Gannett Co., Inc.*		111,700		1,562,683
Harte-Hanks, Inc.		44,100		262,836
Scholastic Corp.		28,200		1,244,466
Sizmek, Inc.*		18,200		129,220

				4,460,548


COMMON STOCKS (continued)	Shares		Value (Note 2)
Metals & Mining — 1.2%
A.M. Castle & Co.*(a)		17,983	$	110,955
AK Steel Holding Corp.*(a)		186,600		722,142
Century Aluminum Co.*(a)		51,063		532,587
Globe Specialty Metals, Inc.		67,300		1,191,210
Haynes International, Inc.		13,200		651,024
Kaiser Aluminum Corp.(a)		18,300		1,520,364
Materion Corp.		21,178		746,524
Olympic Steel, Inc.		9,638		168,087
RTI International Metals, Inc.*		32,311		1,018,443
Stillwater Mining Co.*(a)		124,300		1,440,637
SunCoke Energy, Inc.		67,500		877,500

				8,979,473

Multi-Utilities — 0.6%
Avista Corp.		60,203		1,845,222
NorthWestern Corp.		49,400		2,408,250

				4,253,472

Multiline Retail — 0.2%
Fred’s, Inc. (Class A Stock)		36,366		701,500
Tuesday Morning Corp.*(a)		45,932		517,424

				1,218,924

Oil, Gas & Consumable Fuels — 1.4%
Approach Resources, Inc.*(a)		39,100		267,835
Bill Barrett Corp.*		51,800		444,962
Bonanza Creek Energy, Inc.*		40,400		737,300
Carrizo Oil & Gas, Inc.*		49,800		2,452,152
Cloud Peak Energy, Inc.*(a)		64,000		298,240
Comstock Resources, Inc.(a)		46,400		154,512
Contango Oil & Gas Co.*		16,500		202,455
Green Plains, Inc.		36,100		994,555
Northern Oil & Gas, Inc.*(a)		59,900		405,523
PDC Energy, Inc.*(a)		42,126		2,259,639
Penn Virginia Corp.*(a)		74,498		326,301
PetroQuest Energy, Inc.*		44,245		87,605
Rex Energy Corp.*(a)		52,100		291,239
Stone Energy Corp.*(a)		58,594		737,699
Swift Energy Co.*(a)		46,344		94,078
Synergy Resources Corp.*		92,400		1,056,132

				10,810,227

Paper & Forest Products — 1.2%
Boise Cascade Co.*		41,500		1,522,220
Clearwater Paper Corp.*		20,080		1,150,584
Deltic Timber Corp.		11,691		790,779
KapStone Paper & Packaging Corp.		88,800		2,053,056
Neenah Paper, Inc.		17,578		1,036,399
P.H. Glatfelter Co.		45,400		998,346
Schweitzer-Mauduit International, Inc.		32,076		1,279,191
Wausau Paper Corp.		48,867		448,599

				9,279,174

Personal Products — 0.1%
Inter Parfums, Inc.		18,000		610,740
Medifast, Inc.*		11,900		384,608

				995,348

Pharmaceuticals — 1.9%
ANI Pharmaceuticals, Inc.*(a)		8,700		539,835
Depomed, Inc.*(a)		62,800		1,347,688

SEE NOTES TO FINANCIAL STATEMENTS.

A146


COMMON STOCKS (continued)	Shares		Value (Note 2)
Pharmaceuticals (continued)
Impax Laboratories, Inc.*		70,100	$	3,218,992
Lannett Co., Inc.*(a)		28,200		1,676,208
Medicines Co. (The)*(a)		69,600		1,991,256
Nektar Therapeutics*		138,100		1,727,631
Prestige Brands Holdings, Inc.*		54,900		2,538,576
Sagent Pharmaceuticals, Inc.*		23,800		578,578
Supernus Pharmaceuticals, Inc.*		29,500		500,910

				14,119,674

Professional Services — 1.5%
CDI Corp.		14,888		193,544
Exponent, Inc.		27,080		1,212,643
Heidrick & Struggles International, Inc.		17,314		451,549
Insperity, Inc.		23,779		1,210,351
Kelly Services, Inc. (Class A Stock)		31,139		477,984
Korn/Ferry International		52,900		1,839,333
Navigant Consulting, Inc.*		50,400		749,448
On Assignment, Inc.*		48,886		1,920,242
Resources Connection, Inc.		39,200		630,728
TrueBlue, Inc.*		43,818		1,310,158
WageWorks, Inc.*		34,900		1,411,705

				11,407,685

Real Estate Investment Trusts (REITs) — 7.6%
Acadia Realty Trust		72,305		2,104,798
Agree Realty Corp.		18,500		539,645
American Assets Trust, Inc.		39,100		1,533,111
Associated Estates Realty Corp.		60,800		1,740,704
Capstead Mortgage Corp.		98,000		1,087,800
CareTrust REIT, Inc.		29,455		373,195
Cedar Realty Trust, Inc.		77,366		495,142
Chesapeake Lodging Trust		62,700		1,911,096
CoreSite Realty Corp.		27,800		1,263,232
Cousins Properties, Inc.		213,400		2,215,092
DiamondRock Hospitality Co.		208,570		2,671,782
EastGroup Properties, Inc.		33,963		1,909,739
Education Realty Trust, Inc.		50,633		1,587,851
EPR Properties		60,070		3,290,635
Franklin Street Properties Corp.		91,002		1,029,233
GEO Group, Inc. (The)		78,173		2,670,390
Getty Realty Corp.		27,300		446,628
Government Properties Income Trust(a)		73,800		1,368,990
Healthcare Realty Trust, Inc.		104,800		2,437,648
Inland Real Estate Corp.		92,735		873,564
Kite Realty Group Trust		87,772		2,147,781
Lexington Realty Trust(a)		222,716		1,888,632
LTC Properties, Inc.		37,326		1,552,762
Medical Properties Trust, Inc.		217,266		2,848,357
Parkway Properties, Inc.		88,748		1,547,765
Pennsylvania Real Estate Investment Trust		72,422		1,545,485
Post Properties, Inc.		57,361		3,118,718
PS Business Parks, Inc.		20,402		1,472,004
Retail Opportunity Investments Corp.		98,300		1,535,446
Sabra Health Care REIT, Inc.		68,400		1,760,616
Saul Centers, Inc.		11,900		585,361
Sovran Self Storage, Inc.		37,697		3,276,246
Summit Hotel Properties, Inc.		90,700		1,180,007


COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Investment Trusts (REITs) (continued)
Universal Health Realty Income Trust		14,100	$	655,086
Urstadt Biddle Properties, Inc. (Class A Stock)		29,350		548,258

				57,212,799

Real Estate Management & Development — 0.1%
Forestar Group, Inc.*(a)		35,256		463,969

Road & Rail — 0.8%
ArcBest Corp.		25,395		807,561
Celadon Group, Inc.		28,600		591,448
Heartland Express, Inc.		58,048		1,174,311
Knight Transportation, Inc.		64,788		1,732,431
Roadrunner Transportation Systems, Inc.*		29,300		755,940
Saia, Inc.*		26,400		1,037,256

				6,098,947

Semiconductors & Semiconductor Equipment — 3.7%
Advanced Energy Industries, Inc.*		40,297		1,107,765
Brooks Automation, Inc.		70,405		806,137
Cabot Microelectronics Corp.*		26,011		1,225,378
CEVA, Inc.*		21,300		413,859
Cirrus Logic, Inc.*		66,600		2,266,398
Cohu, Inc.		26,897		355,847
Diodes, Inc.*		38,670		932,334
DSP Group, Inc.*		22,728		234,780
Exar Corp.*		49,723		486,291
Kopin Corp.*		62,996		217,336
Kulicke & Soffa Industries, Inc. (Singapore)*		78,032		913,755
Micrel, Inc.		46,902		651,938
Microsemi Corp.*		100,019		3,495,664
MKS Instruments, Inc.		56,085		2,127,865
Monolithic Power Systems, Inc.		38,600		1,957,406
Nanometrics, Inc.*		25,100		404,612
Pericom Semiconductor Corp.		21,160		278,254
Power Integrations, Inc.		31,000		1,400,580
Rudolph Technologies, Inc.*(a)		30,994		372,238
Semtech Corp.*		64,600		1,282,310
Synaptics, Inc.*		38,679		3,354,823
Tessera Technologies, Inc.		49,177		1,867,743
Ultratech, Inc.*(a)		28,711		532,876
Veeco Instruments, Inc.*(a)		42,342		1,216,909

				27,903,098

Software — 2.3%
Blackbaud, Inc.		49,283		2,806,667
Bottomline Technologies (de), Inc.*		39,600		1,101,276
Ebix, Inc.(a)		29,457		960,593
Epiq Systems, Inc.		33,317		562,391
Interactive Intelligence Group, Inc.*(a)		18,079		803,973
MicroStrategy, Inc. (Class A Stock)*		9,560		1,625,965
Monotype Imaging Holdings, Inc.		42,000		1,012,620
NetScout Systems, Inc.*(a)		38,995		1,429,947
Progress Software Corp.*		53,147		1,461,542
Synchronoss Technologies, Inc.*(a)		38,600		1,765,178
Take-Two Interactive Software, Inc.*		88,912		2,451,304
Tangoe, Inc.*		38,400		483,072

SEE NOTES TO FINANCIAL STATEMENTS.

A147


COMMON STOCKS (continued)	Shares		Value (Note 2)
Software (continued)
VASCO Data Security International, Inc.*(a)		30,700	$	926,833

				17,391,361

Specialty Retail — 4.1%
Barnes & Noble, Inc.*(a)		47,800		1,240,888
Big 5 Sporting Goods Corp.		19,137		271,937
Buckle, Inc. (The)(a)		29,659		1,357,492
Caleres, Inc.		45,934		1,459,783
Cato Corp. (The) (Class A Stock)		27,003		1,046,636
Children’s Place, Inc. (The)		21,665		1,417,108
Christopher & Banks Corp.*		38,378		153,896
Finish Line, Inc. (The) (Class A Stock)		47,846		1,331,076
Francesca’s Holdings Corp.*(a)		44,300		596,721
Genesco, Inc.*		25,322		1,672,012
Group 1 Automotive, Inc.		22,464		2,040,405
Haverty Furniture Cos., Inc.		21,541		465,716
Hibbett Sports, Inc.*(a)		25,896		1,206,236
Kirkland’s, Inc.		15,600		434,772
Lithia Motors, Inc. (Class A Stock)		24,130		2,730,551
Lumber Liquidators Holdings, Inc.*(a)		28,322		586,549
MarineMax, Inc.*		26,542		624,002
Men’s Wearhouse, Inc. (The)		48,167		3,086,060
Monro Muffler Brake, Inc.		33,372		2,074,403
Outerwall, Inc.		19,431		1,478,893
Pep Boys-Manny Moe & Jack (The)*		56,326		691,120
Select Comfort Corp.*		54,900		1,650,843
Sonic Automotive, Inc. (Class A Stock)		34,547		823,255
Stage Stores, Inc.		33,079		579,875
Stein Mart, Inc.		29,583		309,734
Vitamin Shoppe, Inc.*		31,300		1,166,551
Zumiez, Inc.*		22,750		605,832

				31,102,346

Technology Hardware, Storage & Peripherals — 0.6%
Electronics For Imaging, Inc.*		49,300		2,145,043
QLogic Corp.*		91,600		1,299,804
Super Micro Computer, Inc.*		37,700		1,115,166

				4,560,013

Textiles, Apparel & Luxury Goods — 1.8%
Crocs, Inc.*		79,643		1,171,548
G-III Apparel Group Ltd.*		40,200		2,828,070
Iconix Brand Group, Inc.*(a)		50,131		1,251,771
Movado Group, Inc.		18,017		489,342
Oxford Industries, Inc.		15,316		1,339,384
Perry Ellis International, Inc.*		12,579		299,003
Steven Madden Ltd.*		58,700		2,511,186
Unifi, Inc.*		15,200		509,200
Wolverine World Wide, Inc.		108,454		3,088,770

				13,488,274

Thrifts & Mortgage Finance — 1.2%
Astoria Financial Corp.		92,700		1,278,333
Bank Mutual Corp.		45,335		347,720
BofI Holding, Inc.*(a)		14,200		1,501,082
Brookline Bancorp, Inc.		73,732		832,434
Dime Community Bancshares, Inc.		31,781		538,370


COMMON STOCKS (continued)	Shares		Value (Note 2)
Thrifts & Mortgage Finance (continued)
Northwest Bancshares, Inc.		97,000	$	1,243,540
Oritani Financial Corp.		39,000		625,950
Provident Financial Services, Inc.(a)		56,700		1,076,733
TrustCo Bank Corp. NY		99,395		698,747
Walker & Dunlop, Inc.*		27,900		746,046

				8,888,955

Tobacco — 0.2%
Universal Corp.		23,800		1,364,216

Trading Companies & Distributors — 0.5%
Applied Industrial Technologies, Inc.		42,228		1,674,340
DXP Enterprises, Inc.*		13,300		618,450
Kaman Corp.		28,722		1,204,601
Veritiv Corp.*		8,500		309,910

				3,807,301

Water Utilities — 0.2%
American States Water Co.		39,652		1,482,588

Wireless Telecommunication Services — 0.1%
Spok Holdings, Inc.		22,780		383,615

TOTAL COMMON STOCKS (cost $451,457,504)				735,715,381

EXCHANGE TRADED FUND — 0.7%
iShares Core S&P Small-Cap ETF(a) (cost $3,479,366)		43,800		5,163,144

TOTAL LONG-TERM INVESTMENTS (cost $454,936,870)				740,878,525

SHORT-TERM INVESTMENTS — 12.6%
AFFILIATED MONEY MARKET MUTUAL FUND — 12.5%
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $93,644,242; includes $86,589,727 of cash collateral for securities on loan) (Note 4)(b)(c)		93,644,242		93,644,242


	Principal Amount (000)#
U.S. TREASURY OBLIGATION — 0.1%
U.S. Treasury Bill, 0.152%, 09/17/15 (cost $749,756)(d)(e)		750		750,000

TOTAL SHORT-TERM INVESTMENTS (cost $94,393,998)				94,394,242

TOTAL INVESTMENTS — 111.3% (cost $549,330,868)				835,272,767
LIABILITIES IN EXCESS OF OTHER ASSETS(f) — (11.3)%				(84,470,231	)

NET ASSETS — 100.0%			$	750,802,536

SEE NOTES TO FINANCIAL STATEMENTS.

A148

See the Glossary for abbreviations used in the Portfolio descriptions.

*	Non-income producing security.

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

(a)

All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $84,464,857; cash collateral of $86,589,727 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

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

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

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

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

Futures contracts outstanding at June 30, 2015:


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at June 30, 2015		Unrealized Depreciation(1)
Long Position:
78	Russell 2000 Mini Index		Sep. 2015	$	9,863,379	$	9,753,120	$	(110,259	)

(1)	A U.S. Treasury Obligation with a market value of $750,000 has been segregated with UBS AG to cover requirements for open contracts at June 30, 2015.

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

Level 1—quoted

prices generally in active markets for identical securities.

Level 2—quoted

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

Level 3—unobservable

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

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	13,702,740	$	—	$	—
Air Freight & Logistics		6,374,123		—		—
Airlines		5,182,173		—		—
Auto Components		6,294,660		—		—
Automobiles		663,610		—		—
Banks		62,074,341		—		—
Biotechnology		8,666,187		—		—
Building Products		8,687,167		—		—
Capital Markets		12,379,827		—		—
Chemicals		16,853,011		—		—
Commercial Services & Supplies		20,655,519		—		—
Communications Equipment		8,164,494		—		—
Construction & Engineering		7,818,034		—		—
Construction Materials		1,409,645		—		—
Consumer Finance		8,575,741		—		—
Containers & Packaging		486,780		—		—
Distributors		3,389,144		—		—
Diversified Consumer Services		2,676,088		—		—
Diversified Financial Services		3,636,584		—		—
Diversified Telecommunication Services		4,999,690		—		—
Electric Utilities		6,402,163		—		—
Electrical Equipment		8,459,002		—		—
Electronic Equipment, Instruments & Components		29,877,789		—		—
Energy Equipment & Services		12,921,181		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A149


	Level 1			Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Food & Staples Retailing	$	2,378,461		$	—	$	—
Food Products		12,928,383			—		—
Gas Utilities		13,371,395			—		—
Health Care Equipment & Supplies		34,546,030			—		—
Health Care Providers & Services		27,312,507			—		—
Health Care Technology		8,116,335			—		—
Hotels, Restaurants & Leisure		30,743,368			—		—
Household Durables		13,952,243			—		—
Household Products		1,725,844			—		—
Insurance		19,687,495			—		—
Internet & Catalog Retail		2,048,505			—		—
Internet Software & Services		15,134,198			—		—
IT Services		14,948,890			—		—
Leisure Products		2,313,508			—		—
Life Sciences Tools & Services		7,253,563			—		—
Machinery		27,315,932			—		—
Marine		1,917,024			—		—
Media		4,460,548			—		—
Metals & Mining		8,979,473			—		—
Multi-Utilities		4,253,472			—		—
Multiline Retail		1,218,924			—		—
Oil, Gas & Consumable Fuels		10,810,227			—		—
Paper & Forest Products		9,279,174			—		—
Personal Products		995,348			—		—
Pharmaceuticals		14,119,674			—		—
Professional Services		11,407,685			—		—
Real Estate Investment Trusts (REITs)		57,212,799			—		—
Real Estate Management & Development		463,969			—		—
Road & Rail		6,098,947			—		—
Semiconductors & Semiconductor Equipment		27,903,098			—		—
Software		17,391,361			—		—
Specialty Retail		31,102,346			—		—
Technology Hardware, Storage & Peripherals		4,560,013			—		—
Textiles, Apparel & Luxury Goods		13,488,274			—		—
Thrifts & Mortgage Finance		8,888,955			—		—
Tobacco		1,364,216			—		—
Trading Companies & Distributors		3,807,301			—		—
Water Utilities		1,482,588			—		—
Wireless Telecommunication Services		383,615			—		—
Exchange Traded Fund		5,163,144			—		—
Affiliated Money Market Mutual Fund		93,644,242			—		—
U.S. Treasury Obligation		—			750,000		—
Other Financial Instruments*
Futures Contracts		(110,259	)		—		—

Total	$	834,412,508		$	750,000	$	—

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:


Affiliated Money Market Mutual Fund (including 11.5% of collateral for securities on loan)	12.5	%
Banks	8.3
Real Estate Investment Trusts (REITs)	7.6
Health Care Equipment & Supplies	4.6
Specialty Retail	4.1
Hotels, Restaurants & Leisure	4.1
Electronic Equipment, Instruments & Components	4.0
Semiconductors & Semiconductor Equipment	3.7


Machinery	3.6	%
Health Care Providers & Services	3.6
Commercial Services & Supplies	2.7
Insurance	2.6
Software	2.3
Chemicals	2.2
Internet Software & Services	2.0
IT Services	2.0
Pharmaceuticals	1.9

SEE NOTES TO FINANCIAL STATEMENTS.

A150


Household Durables	1.9	%
Aerospace & Defense	1.8
Textiles, Apparel & Luxury Goods	1.8
Gas Utilities	1.8
Food Products	1.7
Energy Equipment & Services	1.7
Capital Markets	1.6
Professional Services	1.5
Oil, Gas & Consumable Fuels	1.4
Paper & Forest Products	1.2
Metals & Mining	1.2
Thrifts & Mortgage Finance	1.2
Building Products	1.2
Biotechnology	1.2
Consumer Finance	1.1
Electrical Equipment	1.1
Communications Equipment	1.1
Health Care Technology	1.1
Construction & Engineering	1.0
Life Sciences Tools & Services	1.0
Electric Utilities	0.9
Air Freight & Logistics	0.8
Auto Components	0.8
Road & Rail	0.8
Airlines	0.7
Exchange Traded Fund	0.7
Diversified Telecommunication Services	0.7


Technology Hardware, Storage & Peripherals	0.6	%
Media	0.6
Multi-Utilities	0.6
Trading Companies & Distributors	0.5
Diversified Financial Services	0.5
Distributors	0.5
Diversified Consumer Services	0.4
Food & Staples Retailing	0.3
Leisure Products	0.3
Internet & Catalog Retail	0.3
Marine	0.3
Household Products	0.2
Water Utilities	0.2
Construction Materials	0.2
Tobacco	0.2
Multiline Retail	0.2
Personal Products	0.1
U.S. Treasury Obligation	0.1
Automobiles	0.1
Containers & Packaging	0.1
Real Estate Management & Development	0.1
Wireless Telecommunication Services	0.1

	111.3
Liabilities in excess of other assets	(11.3	)

	100.0	%

Fair values of derivative instruments as of June 30, 2015 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as headging
instruments, carried at fair value

Asset Derivatives

Liability Derivatives

Balance Sheet Location

Fair Value

Balance Sheet Location

Fair Value

Equity contracts

—

Due from/to broker —variation margin futures

110,259

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

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2015 are as follows:


Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	1,104,890


Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	(585,629	)

As of June 30, 2015, the Portfolio’s average volume at trade date for futures long positions was $10,640,533.

SEE NOTES TO FINANCIAL STATEMENTS.

A151


		*SMALL CAPITALIZATION STOCK PORTFOLIO (continued)*

STATEMENT OF ASSETS & LIABILITIES

(Unaudited)

as of June 30, 2015


ASSETS
Investments at value, including securities on loan of $84,464,857:
Unaffiliated investments (cost $455,686,626)	$	741,628,525
Affiliated investments (cost $93,644,242)		93,644,242
Receivable for investments sold		10,551,370
Dividends and interest receivable		805,984
Receivable for Series shares sold		123,623
Due from broker—variation margin futures		34,595
Prepaid expenses		874

Total Assets		846,789,213

LIABILITIES
Payable to broker for collateral for securities on loan		86,589,727
Payable for investments purchased		8,558,223
Payable to custodian		477,792
Management fee payable		218,881
Accrued expenses		126,243
Payable for Series shares repurchased		14,885
Affiliated transfer agent fee payable		926

Total Liabilities		95,986,677

NET ASSETS	$	750,802,536

Net assets were comprised of:
Paid-in capital	$	292,541,393
Retained earnings		458,261,143

Net assets, June 30, 2015	$	750,802,536

Net asset value and redemption price per share $750,802,536 / 26,179,532 outstanding shares of beneficial interest	$	28.68

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2015


NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $1,516)	$	5,475,355
Affiliated income from securities lending, net		324,943
Affiliated dividend income		6,612
Interest income		399

Total income		5,807,309

EXPENSES
Management fee		1,494,910
Shareholders’ reports		56,000
Custodian and accounting fees		54,000
Audit fee		11,000
Trustees’ fees		8,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800)		6,000
Insurance expenses		5,000
Legal fees and expenses		5,000
Miscellaneous		32,325

Total expenses		1,672,235
Less: Management fee waiver		(186,869	)

Net expenses		1,485,366

NET INVESTMENT INCOME		4,321,943

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on:
Investment transactions		29,986,297
Futures transactions		1,104,890

		31,091,187

Net change in unrealized appreciation (depreciation) on:
Investments		(5,228,007	)
Futures		(585,629	)

		(5,813,636	)

NET GAIN ON INVESTMENT TRANSACTIONS		25,277,551

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	29,599,494

STATEMENT OF CHANGES IN NET ASSETS (Unaudited)


	Six Months Ended June 30, 2015			Year Ended December 31, 2014
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	4,321,943		$	7,114,995
Net realized gain on investment transactions		31,091,187			56,954,073
Net change in unrealized appreciation (depreciation) on investments		(5,813,636	)		(25,932,519	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		29,599,494			38,136,549

SERIES SHARE TRANSACTIONS
Series shares sold [113,375 and 439,963 shares, respectively]		3,192,677			11,510,506
Series shares repurchased [1,168,792 and 2,647,810 shares, respectively]		(32,926,545	)		(68,806,270	)

NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(29,733,868	)		(57,295,764	)

TOTAL DECREASE		(134,374	)		(19,159,215	)
NET ASSETS:
Beginning of period		750,936,910			770,096,125

End of period	$	750,802,536		$	750,936,910

SEE NOTES TO FINANCIAL STATEMENTS.

A152


LONG-TERM INVESTMENTS — 96.9%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 2.6%
Boeing Co. (The)		119,436	$	16,568,162
General Dynamics Corp.		58,200		8,246,358
Honeywell International, Inc.		144,050		14,688,779
L-3 Communications Holdings, Inc.		15,500		1,757,390
Lockheed Martin Corp.		49,598		9,220,268
Northrop Grumman Corp.		36,626		5,809,982
Precision Castparts Corp.		26,000		5,196,620
Raytheon Co.		56,818		5,436,346
Rockwell Collins, Inc.		24,600		2,271,810
Textron, Inc.		51,100		2,280,593
United Technologies Corp.		152,100		16,872,453

				88,348,761

Air Freight & Logistics — 0.7%
C.H. Robinson Worldwide, Inc.		27,300		1,703,247
Expeditors International of Washington, Inc.		35,600		1,641,338
FedEx Corp.		48,640		8,288,256
United Parcel Service, Inc. (Class B Stock)		127,900		12,394,789

				24,027,630

Airlines — 0.5%
American Airlines Group, Inc.		127,500		5,091,713
Delta Air Lines, Inc.		151,700		6,231,836
Southwest Airlines Co.		124,837		4,130,856

				15,454,405

Auto Components — 0.4%
BorgWarner, Inc.		41,800		2,375,912
Delphi Automotive PLC (United Kingdom)		53,600		4,560,824
Goodyear Tire & Rubber Co. (The)		50,000		1,507,500
Johnson Controls, Inc.		120,400		5,963,412

				14,407,648

Automobiles — 0.6%
Ford Motor Co.		726,959		10,911,655
General Motors Co.		248,200		8,272,506
Harley-Davidson, Inc.		38,900		2,192,015

				21,376,176

Banks — 6.0%
Bank of America Corp.		1,931,582		32,875,526
BB&T Corp.		133,100		5,365,261
Citigroup, Inc.		558,022		30,825,135
Comerica, Inc.		32,150		1,649,938
Fifth Third Bancorp		149,849		3,119,856
Huntington Bancshares, Inc.		148,275		1,676,990
JPMorgan Chase & Co.		685,045		46,418,649
KeyCorp		155,600		2,337,112
M&T Bank Corp.(a)		24,600		3,073,278
People’s United Financial, Inc.(a)		55,900		906,139
PNC Financial Services Group, Inc. (The)		95,593		9,143,471
Regions Financial Corp.		247,212		2,561,116
SunTrust Banks, Inc.		96,900		4,168,638
U.S. Bancorp		327,581		14,217,015


COMMON STOCKS (continued)	Shares		Value (Note 2)
Banks (continued)
Wells Fargo & Co.		861,436	$	48,447,161
Zions Bancorporation		36,700		1,164,675

				207,949,960

Beverages — 2.0%
Brown-Forman Corp. (Class B Stock)		28,850		2,890,193
Coca-Cola Co. (The)		722,350		28,337,790
Coca-Cola Enterprises, Inc.		40,300		1,750,632
Constellation Brands, Inc. (Class A Stock)		31,100		3,608,222
Dr. Pepper Snapple Group, Inc.		36,000		2,624,400
Molson Coors Brewing Co. (Class B Stock)		29,600		2,066,376
Monster Beverage Corp.*		27,000		3,618,540
PepsiCo, Inc.		272,414		25,427,123

				70,323,276

Biotechnology — 3.1%
Alexion Pharmaceuticals, Inc.*		40,300		7,285,031
Amgen, Inc.		139,894		21,476,527
Biogen, Inc.*		43,275		17,480,503
Celgene Corp.*		147,100		17,024,619
Gilead Sciences, Inc.		272,600		31,916,008
Regeneron Pharmaceuticals, Inc.*		13,700		6,988,781
Vertex Pharmaceuticals, Inc.*		44,600		5,507,208

				107,678,677

Building Products — 0.1%
Allegion PLC		17,733		1,066,463
Masco Corp.		63,500		1,693,545

				2,760,008

Capital Markets — 2.3%
Affiliated Managers Group, Inc.*		10,100		2,207,860
Ameriprise Financial, Inc.		33,700		4,210,141
Bank of New York Mellon Corp. (The)		204,389		8,578,206
BlackRock, Inc.		23,500		8,130,530
Charles Schwab Corp. (The)		211,400		6,902,210
ETRADE Financial Corp.		53,610		1,605,620
Franklin Resources, Inc.		72,400		3,549,772
Goldman Sachs Group, Inc. (The)		74,500		15,554,855
Invesco Ltd.		79,300		2,972,957
Legg Mason, Inc.		18,500		953,305
Morgan Stanley		283,410		10,993,474
Northern Trust Corp.		40,300		3,081,338
State Street Corp.		76,125		5,861,625
T. Rowe Price Group, Inc.		48,200		3,746,586

				78,348,479

Chemicals — 2.3%
Air Products & Chemicals, Inc.		35,600		4,871,148
Airgas, Inc.		12,800		1,353,984
CF Industries Holdings, Inc.		44,000		2,828,320
Dow Chemical Co. (The)		200,911		10,280,616
E.I. du Pont de Nemours & Co.		166,491		10,647,099
Eastman Chemical Co.		27,600		2,258,232
Ecolab, Inc.		49,300		5,574,351
FMC Corp.		24,900		1,308,495

SEE NOTES TO FINANCIAL STATEMENTS.

A153


COMMON STOCKS (continued)	Shares		Value (Note 2)
Chemicals (continued)
International Flavors & Fragrances, Inc.		15,200	$	1,661,208
LyondellBasell Industries NV (Class A Stock)		73,100		7,567,312
Monsanto Co.		88,796		9,464,766
Mosaic Co. (The)		57,400		2,689,190
PPG Industries, Inc.		50,400		5,781,888
Praxair, Inc.(a)		53,400		6,383,970
Sherwin-Williams Co. (The)		14,900		4,097,798
Sigma-Aldrich Corp.		22,100		3,079,635

				79,848,012

Commercial Services & Supplies — 0.4%
ADT Corp. (The)(a)		31,400		1,054,098
Cintas Corp.		17,500		1,480,325
Pitney Bowes, Inc.		37,400		778,294
Republic Services, Inc.		45,635		1,787,523
Stericycle, Inc.*		15,700		2,102,387
Tyco International PLC		77,600		2,986,048
Waste Management, Inc.		78,830		3,653,770

				13,842,445

Communications Equipment — 1.5%
Cisco Systems, Inc.		940,975		25,839,173
F5 Networks, Inc.*		13,500		1,624,725
Harris Corp.		22,700		1,745,857
Juniper Networks, Inc.		66,300		1,721,811
Motorola Solutions, Inc.		35,427		2,031,384
QUALCOMM, Inc.		301,950		18,911,129

				51,874,079

Construction & Engineering — 0.1%
Fluor Corp.		27,800		1,473,678
Jacobs Engineering Group, Inc.*(a)		23,600		958,632
Quanta Services, Inc.*		39,200		1,129,744

				3,562,054

Construction Materials — 0.1%
Martin Marietta Materials, Inc.(a)		11,500		1,627,365
Vulcan Materials Co.		24,500		2,056,285

				3,683,650

Consumer Finance — 0.8%
American Express Co.		161,100		12,520,692
Capital One Financial Corp.		101,569		8,935,025
Discover Financial Services		82,605		4,759,700
Navient Corp.		72,400		1,318,404

				27,533,821

Containers & Packaging — 0.2%
Avery Dennison Corp.		16,900		1,029,886
Ball Corp.		25,400		1,781,810
MeadWestvaco Corp.		30,989		1,462,371
Owens-Illinois, Inc.*		30,300		695,082
Sealed Air Corp.		38,220		1,963,743

				6,932,892

Distributors — 0.1%
Genuine Parts Co.		28,225		2,526,984

Diversified Consumer Services
H&R Block, Inc.		50,900		1,509,185


COMMON STOCKS (continued)	Shares		Value (Note 2)
Diversified Financial Services — 1.9%
Berkshire Hathaway, Inc. (Class B Stock)*		335,200	$	45,624,072
CME Group, Inc.		58,600		5,453,316
Intercontinental Exchange, Inc.		20,698		4,628,280
Leucadia National Corp.		57,500		1,396,100
McGraw Hill Financial, Inc.		50,500		5,072,725
Moody’s Corp.(a)		32,820		3,543,247
NASDAQ OMX Group, Inc. (The)		22,100		1,078,701

				66,796,441

Diversified Telecommunication Services — 2.2%
AT&T, Inc.		953,111		33,854,503
CenturyLink, Inc.		104,585		3,072,707
Frontier Communications Corp.(a)		191,716		948,994
Level 3 Communications, Inc.*		53,000		2,791,510
Verizon Communications, Inc.		755,738		35,224,948

				75,892,662

Electric Utilities — 1.6%
American Electric Power Co., Inc.		90,440		4,790,607
Duke Energy Corp.(a)		127,348		8,993,316
Edison International		60,200		3,345,916
Entergy Corp.		33,400		2,354,700
Eversource Energy		58,500		2,656,485
Exelon Corp.		158,773		4,988,648
FirstEnergy Corp.		77,780		2,531,739
NextEra Energy, Inc.		81,875		8,026,206
Pepco Holdings, Inc.		45,900		1,236,546
Pinnacle West Capital Corp.		20,900		1,189,001
PPL Corp.		123,100		3,627,757
Southern Co. (The)		166,800		6,988,920
Xcel Energy, Inc.		93,395		3,005,451

				53,735,292

Electrical Equipment — 0.5%
AMETEK, Inc.		44,200		2,421,276
Eaton Corp. PLC		86,961		5,868,998
Emerson Electric Co.		124,900		6,923,207
Rockwell Automation, Inc.		25,100		3,128,464

				18,341,945

Electronic Equipment, Instruments & Components — 0.4%
Amphenol Corp. (Class A Stock)		57,300		3,321,681
Corning, Inc.		234,700		4,630,631
FLIR Systems, Inc.		25,000		770,500
TE Connectivity Ltd. (Switzerland)		75,000		4,822,500

				13,545,312

Energy Equipment & Services — 1.3%
Baker Hughes, Inc.		79,448		4,901,941
Cameron International Corp.*		36,300		1,901,031
Diamond Offshore Drilling, Inc.(a)		11,900		307,139
Ensco PLC (Class A Stock)		43,300		964,291
FMC Technologies, Inc.*		43,200		1,792,368
Halliburton Co.		156,500		6,740,455
Helmerich & Payne, Inc.(a)		20,000		1,408,400
National Oilwell Varco, Inc.		71,300		3,442,364
Noble Corp. PLC(a)		43,600		671,004
Schlumberger Ltd.		234,972		20,252,237
Transocean Ltd.(a)		61,500		991,380

				43,372,610

SEE NOTES TO FINANCIAL STATEMENTS.

A154


COMMON STOCKS (continued)	Shares		Value (Note 2)
Food & Staples Retailing — 2.3%
Costco Wholesale Corp.		80,822	$	10,915,819
CVS Health Corp.		207,238		21,735,122
Kroger Co. (The)		90,700		6,576,657
Sysco Corp.		109,400		3,949,340
Wal-Mart Stores, Inc.		291,500		20,676,095
Walgreens Boots Alliance, Inc.		159,600		13,476,624
Whole Foods Market, Inc.		66,600		2,626,704

				79,956,361

Food Products — 1.6%
Archer-Daniels-Midland Co.		117,138		5,648,394
Campbell Soup Co.(a)		32,400		1,543,860
ConAgra Foods, Inc.		78,700		3,440,764
General Mills, Inc.		111,500		6,212,780
Hershey Co. (The)		27,400		2,433,942
Hormel Foods Corp.		24,500		1,381,065
J.M. Smucker Co. (The)		18,200		1,973,062
Kellogg Co.		46,800		2,934,360
Keurig Green Mountain, Inc.		21,300		1,632,219
Kraft Foods Group, Inc.		108,537		9,240,840
McCormick & Co., Inc. (Non-Voting Shares)		23,700		1,918,515
Mead Johnson Nutrition Co.		37,393		3,373,596
Mondelez International, Inc. (Class A Stock)		301,511		12,404,163
Tyson Foods, Inc. (Class A Stock)(a)		54,000		2,302,020

				56,439,580

Gas Utilities
AGL Resources, Inc.		22,437		1,044,667

Health Care Equipment & Supplies — 2.1%
Abbott Laboratories		278,550		13,671,234
Baxter International, Inc.(a)		100,200		7,006,986
Becton, Dickinson & Co.		38,554		5,461,174
Boston Scientific Corp.*		242,699		4,295,772
C.R. Bard, Inc.		13,800		2,355,660
DENTSPLY International, Inc.		25,500		1,314,525
Edwards Lifesciences Corp.*		20,000		2,848,600
Intuitive Surgical, Inc.*		6,790		3,289,755
Medtronic PLC		261,828		19,401,455
St. Jude Medical, Inc.		52,100		3,806,947
Stryker Corp.		55,300		5,285,021
Varian Medical Systems, Inc.*(a)		18,700		1,576,971
Zimmer Biomet Holdings, Inc.		31,386		3,428,293

				73,742,393

Health Care Providers & Services — 2.9%
Aetna, Inc.		64,957		8,279,419
AmerisourceBergen Corp.		38,600		4,104,724
Anthem, Inc.		49,300		8,092,102
Cardinal Health, Inc.		60,975		5,100,559
Cigna Corp.		47,700		7,727,400
DaVita HealthCare Partners, Inc.*		32,000		2,543,040
Express Scripts Holding Co.*		133,626		11,884,696
HCA Holdings, Inc.*		54,400		4,935,168
Henry Schein, Inc.*		15,500		2,202,860
Humana, Inc.		27,700		5,298,456


COMMON STOCKS (continued)	Shares		Value (Note 2)
Health Care Providers & Services (continued)
Laboratory Corp. of America Holdings*		18,600	$	2,254,692
McKesson Corp.		43,007		9,668,404
Patterson Cos., Inc.		16,000		778,400
Quest Diagnostics, Inc.		27,000		1,958,040
Tenet Healthcare Corp.*		18,000		1,041,840
UnitedHealth Group, Inc.		175,700		21,435,400
Universal Health Services, Inc. (Class B Stock)		16,700		2,373,070

				99,678,270

Health Care Technology — 0.1%
Cerner Corp.*		56,300		3,888,078

Hotels, Restaurants & Leisure — 1.7%
Carnival Corp.		83,200		4,109,248
Chipotle Mexican Grill, Inc.*		5,770		3,490,792
Darden Restaurants, Inc.		22,950		1,631,286
Marriott International, Inc. (Class A Stock)(a)		38,303		2,849,360
McDonald’s Corp.		176,800		16,808,376
Royal Caribbean Cruises Ltd.(a)		30,700		2,415,783
Starbucks Corp.		275,700		14,781,656
Starwood Hotels & Resorts Worldwide, Inc.		31,700		2,570,553
Wyndham Worldwide Corp.		22,463		1,839,944
Wynn Resorts Ltd.		14,900		1,470,183
Yum! Brands, Inc.		80,000		7,206,400

				59,173,581

Household Durables — 0.4%
D.R. Horton, Inc.		61,600		1,685,376
Garmin Ltd.		22,700		997,211
Harman International Industries, Inc.		12,900		1,534,326
Leggett & Platt, Inc.		25,900		1,260,812
Lennar Corp. (Class A Stock)(a)		33,200		1,694,528
Mohawk Industries, Inc.*		11,500		2,195,350
Newell Rubbermaid, Inc.		50,449		2,073,958
PulteGroup, Inc.		60,785		1,224,818
Whirlpool Corp.		14,507		2,510,436

				15,176,815

Household Products — 1.7%
Clorox Co. (The)		24,300		2,527,686
Colgate-Palmolive Co.		157,400		10,295,534
Kimberly-Clark Corp.		67,488		7,151,703
Procter & Gamble Co. (The)		498,406		38,995,286

				58,970,209

Independent Power & Renewable Electricity Producers — 0.1%
AES Corp.		123,400		1,636,284
NRG Energy, Inc.		62,900		1,439,152

				3,075,436

Industrial Conglomerates — 2.3%
3M Co.		116,700		18,006,810
Danaher Corp.		113,000		9,671,670
General Electric Co.		1,849,875		49,151,179
Roper Technologies, Inc.		18,600		3,207,756

				80,037,415

SEE NOTES TO FINANCIAL STATEMENTS.

A155


COMMON STOCKS (continued)	Shares		Value (Note 2)
Insurance — 2.5%
ACE Ltd.		60,500	$	6,151,640
Aflac, Inc.		81,100		5,044,420
Allstate Corp. (The)		76,888		4,987,725
American International Group, Inc.		245,429		15,172,421
Aon PLC		51,725		5,155,948
Assurant, Inc.		13,200		884,400
Chubb Corp. (The)		42,700		4,062,478
Cincinnati Financial Corp.		27,828		1,396,409
Genworth Financial, Inc. (Class A Stock)*		90,600		685,842
Hartford Financial Services Group, Inc. (The)		77,700		3,229,989
Lincoln National Corp.		47,063		2,787,071
Loews Corp.		55,526		2,138,306
Marsh & McLennan Cos., Inc.		99,500		5,641,650
MetLife, Inc.		205,300		11,494,747
Principal Financial Group, Inc.(a)		50,500		2,590,145
Progressive Corp. (The)(a)		99,000		2,755,170
Torchmark Corp.		23,375		1,360,892
Travelers Cos., Inc. (The)		59,398		5,741,411
Unum Group		46,656		1,667,952
XL Group PLC (Ireland)		53,500		1,990,200

				84,938,816

Internet & Catalog Retail — 1.5%
Amazon.com, Inc.*		70,100		30,429,709
Expedia, Inc.		18,100		1,979,235
Netflix, Inc.*		11,070		7,272,326
Priceline Group, Inc. (The)*		9,570		11,018,611
TripAdvisor, Inc.*		20,900		1,821,226

				52,521,107

Internet Software & Services — 3.3%
Akamai Technologies, Inc.*		33,100		2,311,042
eBay, Inc.*		202,400		12,192,576
Equinix, Inc.		10,500		2,667,000
Facebook, Inc. (Class A Stock)*		386,000		33,105,290
Google, Inc. (Class A Stock)*		52,515		28,360,201
Google, Inc. (Class C Stock)*		52,840		27,503,748
VeriSign, Inc.*(a)		19,500		1,203,540
Yahoo!, Inc.*		160,200		6,294,258

				113,637,655

IT Services — 3.3%
Accenture PLC (Class A Stock)		115,400		11,168,412
Alliance Data Systems Corp.*		11,500		3,357,310
Automatic Data Processing, Inc.		87,700		7,036,171
Cognizant Technology Solutions Corp. (Class A Stock)*		112,100		6,848,189
Computer Sciences Corp.		26,300		1,726,332
Fidelity National Information Services, Inc.		52,700		3,256,860
Fiserv, Inc.*		44,100		3,652,803
International Business Machines Corp.		169,125		27,509,872
MasterCard, Inc. (Class A Stock)		178,500		16,686,180
Paychex, Inc.		60,350		2,829,208
Teradata Corp.*(a)		27,000		999,000
Total System Services, Inc.		29,893		1,248,631
Visa, Inc. (Class A Stock)		356,100		23,912,115


COMMON STOCKS (continued)	Shares		Value (Note 2)
IT Services (continued)
Western Union Co. (The)(a)		96,304	$	1,957,860
Xerox Corp.		189,611		2,017,461

				114,206,404

Leisure Products — 0.1%
Hasbro, Inc.		21,150		1,581,808
Mattel, Inc.		61,581		1,582,016

				3,163,824

Life Sciences Tools & Services — 0.4%
Agilent Technologies, Inc.		61,982		2,391,266
PerkinElmer, Inc.		20,700		1,089,648
Thermo Fisher Scientific, Inc.		73,300		9,511,408
Waters Corp.*		15,500		1,989,890

				14,982,212

Machinery — 1.5%
Caterpillar, Inc.(a)		111,300		9,440,466
Cummins, Inc.		31,100		4,080,009
Deere & Co.		61,750		5,992,838
Dover Corp.		30,000		2,105,400
Flowserve Corp.		24,600		1,295,436
Illinois Tool Works, Inc.		63,275		5,808,012
Ingersoll-Rand PLC		48,700		3,283,354
Joy Global, Inc.		18,200		658,840
PACCAR, Inc.(a)		65,528		4,181,342
Pall Corp.		19,800		2,464,110
Parker-Hannifin Corp.		25,887		3,011,435
Pentair PLC (United Kingdom)		33,107		2,276,106
Snap-on, Inc.		11,000		1,751,750
Stanley Black & Decker, Inc.		29,135		3,066,167
Xylem, Inc.		33,600		1,245,552

				50,660,817

Media — 3.6%
Cablevision Systems Corp. (Class A Stock)(a)		39,300		940,842
CBS Corp. (Class B Non-Voting Stock)		84,468		4,687,974
Comcast Corp. (Class A Stock)		466,246		28,040,034
DIRECTV*		92,825		8,613,232
Discovery Communications, Inc. (Class A Stock)*(a)		27,500		914,650
Discovery Communications, Inc. (Class C Stock)*(a)		49,100		1,526,028
Gannett Co., Inc.*		21,050		294,489
Interpublic Group of Cos., Inc. (The)		75,062		1,446,445
News Corp. (Class A Stock)*		88,925		1,297,416
Omnicom Group, Inc.		45,600		3,168,744
Scripps Networks Interactive, Inc. (Class A Stock)(a)		17,900		1,170,123
Tegna, Inc.		42,100		1,350,147
Time Warner Cable, Inc.		51,626		9,198,204
Time Warner, Inc.		152,715		13,348,818
Twenty-First Century Fox, Inc. (Class A Stock)		325,700		10,599,906
Viacom, Inc. (Class B Stock)		67,443		4,359,516
Walt Disney Co. (The)		287,676		32,835,339

				123,791,907

SEE NOTES TO FINANCIAL STATEMENTS.

A156


COMMON STOCKS (continued)	Shares		Value (Note 2)
Metals & Mining — 0.3%
Alcoa, Inc.		224,376	$	2,501,792
Allegheny Technologies, Inc.		19,340		584,068
Freeport-McMoRan, Inc.		189,012		3,519,404
Newmont Mining Corp.		96,303		2,249,638
Nucor Corp.		58,900		2,595,723

				11,450,625

Multiline Retail — 0.8%
Dollar General Corp.		55,100		4,283,474
Dollar Tree, Inc.*		38,000		3,001,620
Family Dollar Stores, Inc.		17,500		1,379,175
Kohl’s Corp.(a)		37,300		2,335,353
Macy’s, Inc.		62,920		4,245,212
Nordstrom, Inc.		26,000		1,937,000
Target Corp.		117,168		9,564,424

				26,746,258

Multi-Utilities — 1.1%
Ameren Corp.		44,900		1,691,832
CenterPoint Energy, Inc.		79,410		1,511,172
CMS Energy Corp.		51,000		1,623,840
Consolidated Edison, Inc.		54,100		3,131,308
Dominion Resources, Inc.		107,784		7,207,516
DTE Energy Co.		32,800		2,448,192
NiSource, Inc.		58,400		2,662,456
PG&E Corp.		88,000		4,320,800
Public Service Enterprise Group, Inc.		93,500		3,672,680
SCANA Corp.		26,600		1,347,290
Sempra Energy		42,754		4,230,081
TECO Energy, Inc.		42,300		747,018
Wec Energy Group, Inc.		58,676		2,638,678

				37,232,863

Oil, Gas & Consumable Fuels — 6.4%
Anadarko Petroleum Corp.		93,526		7,300,639
Apache Corp.		69,550		4,008,166
Cabot Oil & Gas Corp.(a)		76,300		2,406,502
Chesapeake Energy Corp.(a)		93,400		1,043,278
Chevron Corp.		345,542		33,334,437
Cimarex Energy Co.		16,200		1,787,022
ConocoPhillips		226,629		13,917,287
CONSOL Energy, Inc.(a)		41,800		908,732
Devon Energy Corp.		71,400		4,247,586
EOG Resources, Inc.		100,900		8,833,795
EQT Corp.		28,100		2,285,654
Exxon Mobil Corp.		771,704		64,205,773
Hess Corp.		44,975		3,007,928
Kinder Morgan, Inc.		316,543		12,152,086
Marathon Oil Corp.		124,594		3,306,725
Marathon Petroleum Corp.		100,894		5,277,765
Murphy Oil Corp.(a)		31,300		1,301,141
Newfield Exploration Co.*		30,000		1,083,600
Noble Energy, Inc.		71,400		3,047,352
Occidental Petroleum Corp.		141,600		11,012,232
ONEOK, Inc.		38,540		1,521,559
Phillips 66		100,364		8,085,324
Pioneer Natural Resources Co.		27,200		3,772,368
QEP Resources, Inc.		29,800		551,598


COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
Range Resources Corp.		30,500	$	1,506,090
Southwestern Energy Co.*		71,000		1,613,830
Spectra Energy Corp.		123,942		4,040,509
Tesoro Corp.		23,200		1,958,312
Valero Energy Corp.		95,100		5,953,260
Williams Cos., Inc. (The)		123,600		7,093,404

				220,563,954

Paper & Forest Products — 0.1%
International Paper Co.		78,067		3,715,208

Personal Products — 0.1%
Estee Lauder Cos., Inc. (The) (Class A Stock)		41,200		3,570,392

Pharmaceuticals — 6.3%
AbbVie, Inc.		316,100		21,238,759
Allergan PLC*		71,706		21,759,903
Bristol-Myers Squibb Co.		306,040		20,363,902
Eli Lilly & Co.		179,400		14,978,106
Endo International PLC*		36,100		2,875,365
Hospira, Inc.*		31,720		2,813,881
Johnson & Johnson		510,996		49,801,670
Mallinckrodt PLC*		21,500		2,530,980
Merck & Co., Inc.		522,303		29,734,710
Mylan NV*(a)		73,800		5,008,068
Perrigo Co. PLC		26,500		4,897,995
Pfizer, Inc.		1,130,323		37,899,730
Zoetis, Inc.		92,500		4,460,350

				218,363,419

Professional Services — 0.2%
Dun & Bradstreet Corp. (The)		6,900		841,800
Equifax, Inc.		22,100		2,145,689
Nielsen NV		66,000		2,954,820
Robert Half International, Inc.		25,400		1,409,700

				7,352,009

Real Estate Investment Trusts (REITs) — 2.3%
American Tower Corp.		78,000		7,276,620
Apartment Investment & Management Co. (Class A Stock)		28,974		1,070,010
AvalonBay Communities, Inc.		24,418		3,903,706
Boston Properties, Inc.		28,300		3,425,432
Crown Castle International Corp.(a)		61,700		4,954,510
Equity Residential		67,200		4,715,424
Essex Property Trust, Inc.		12,100		2,571,250
General Growth Properties, Inc.		116,000		2,976,560
HCP, Inc.		85,100		3,103,597
Health Care REIT, Inc.		64,500		4,233,135
Host Hotels & Resorts, Inc.		137,326		2,723,174
Iron Mountain, Inc.(a)		34,030		1,054,930
Kimco Realty Corp.		76,200		1,717,548
Macerich Co. (The)		26,200		1,954,520
Plum Creek Timber Co., Inc.		32,100		1,302,297
Prologis, Inc.		94,528		3,506,989
Public Storage		26,800		4,941,116
Realty Income Corp.(a)		39,400		1,748,966
Simon Property Group, Inc.		57,101		9,879,615

SEE NOTES TO FINANCIAL STATEMENTS.

A157


COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Investment Trusts (REITs) (continued)
SL Green Realty Corp.		18,300	$	2,010,987
Ventas, Inc.		61,104		3,793,947
Vornado Realty Trust		32,257		3,062,157
Weyerhaeuser Co.		96,910		3,052,665

				78,979,155

Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*		52,300		1,935,100

Road & Rail — 0.8%
CSX Corp.		181,372		5,921,796
Kansas City Southern		20,600		1,878,720
Norfolk Southern Corp.		56,800		4,962,048
Ryder System, Inc.		9,600		838,752
Union Pacific Corp.		162,300		15,478,551

				29,079,867

Semiconductors & Semiconductor Equipment — 2.3%
Altera Corp.		54,400		2,785,280
Analog Devices, Inc.		57,600		3,697,056
Applied Materials, Inc.		224,200		4,309,124
Avago Technologies Ltd. (Singapore)		47,400		6,300,882
Broadcom Corp. (Class A Stock)		100,650		5,182,468
First Solar, Inc.*(a)		14,300		671,814
Intel Corp.		870,600		26,479,299
KLA-Tencor Corp.		30,400		1,708,784
Lam Research Corp.		29,550		2,403,892
Linear Technology Corp.		44,200		1,954,966
Microchip Technology, Inc.(a)		37,300		1,768,953
Micron Technology, Inc.*(a)		197,100		3,713,364
NVIDIA Corp.		93,450		1,879,280
Qorvo, Inc.*		26,086		2,093,923
Skyworks Solutions, Inc.		35,300		3,674,730
Texas Instruments, Inc.(a)		192,300		9,905,373
Xilinx, Inc.		48,200		2,128,512

				80,657,700

Software — 3.6%
Adobe Systems, Inc.*		87,875		7,118,754
Autodesk, Inc.*		41,900		2,098,143
CA, Inc.(a)		58,873		1,724,390
Citrix Systems, Inc.*		29,700		2,083,752
Electronic Arts, Inc.*		57,400		3,817,100
Intuit, Inc.		51,100		5,149,347
Microsoft Corp.		1,494,000		65,960,100
Oracle Corp.		589,295		23,748,588
Red Hat, Inc.*(a)		33,600		2,551,248
Salesforce.com, inc.*		111,700		7,777,671
Symantec Corp.		124,811		2,901,856

				124,930,949

Specialty Retail — 2.3%
AutoNation, Inc.*		14,289		899,921
AutoZone, Inc.*(a)		5,900		3,934,710
Bed Bath & Beyond, Inc.*(a)		32,400		2,234,952
Best Buy Co., Inc.		53,825		1,755,233
CarMax, Inc.*		38,200		2,529,222


COMMON STOCKS (continued)	Shares		Value (Note 2)
Specialty Retail (continued)
GameStop Corp. (Class A Stock)(a)		19,800	$	850,608
Gap, Inc. (The)		49,087		1,873,651
Home Depot, Inc. (The)		241,169		26,801,111
L. Brands, Inc.		45,396		3,891,799
Lowe’s Cos., Inc.		172,825		11,574,091
O’Reilly Automotive, Inc.*		18,800		4,248,424
Ross Stores, Inc.		76,600		3,723,526
Staples, Inc.		116,100		1,777,491
Tiffany & Co.		20,800		1,909,440
TJX Cos., Inc. (The)		126,100		8,344,037
Tractor Supply Co.		25,200		2,266,488
Urban Outfitters, Inc.*		19,000		665,000

				79,279,704

Technology Hardware, Storage & Peripherals — 4.7%
Apple, Inc.		1,062,405		133,252,147
EMC Corp.		362,474		9,565,689
Hewlett-Packard Co.		335,466		10,067,335
NetApp, Inc.		57,900		1,827,324
SanDisk Corp.		39,400		2,293,868
Seagate Technology PLC(a)		59,400		2,821,500
Western Digital Corp.		40,100		3,144,642

				162,972,505

Textiles, Apparel & Luxury Goods — 0.9%
Coach, Inc.		51,000		1,765,110
Fossil Group, Inc.*		8,300		575,688
Hanesbrands, Inc.		74,000		2,465,680
Michael Kors Holdings Ltd.*		37,300		1,569,957
NIKE, Inc. (Class B Stock)		128,700		13,902,174
PVH Corp.		15,400		1,774,080
Ralph Lauren Corp.		11,400		1,508,904
Under Armour, Inc. (Class A Stock)*(a)		30,400		2,536,576
VF Corp.		63,244		4,410,637

				30,508,806

Thrifts & Mortgage Finance
Hudson City Bancorp, Inc.		88,000		869,440

Tobacco 1.3%
Altria Group, Inc.		363,500		17,778,785
Philip Morris International, Inc.		284,600		22,816,382
Reynolds American, Inc.		76,242		5,692,228

				46,287,395

Trading Companies & Distributors — 0.2%
Fastenal Co.(a)		50,200		2,117,436
United Rentals, Inc.*(a)		17,900		1,568,398
W.W. Grainger, Inc.(a)		11,000		2,603,150

				6,288,984

TOTAL LONG-TERM INVESTMENTS (cost $1,329,571,580)				3,353,542,284

SEE NOTES TO FINANCIAL STATEMENTS.

A158


SHORT-TERM INVESTMENTS — 6.2%	Shares		Value (Note 2)
AFFILIATED MONEY MARKET MUTUAL FUND — 6.0%
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $208,948,664; includes $111,980,415 of cash collateral for securities on loan) (Note 4)(b)(c)		208,948,664	$	208,948,664


	Principal Amount (000)#
U.S. TREASURY OBLIGATION — 0.2%
U.S. Treasury Bills, 0.152%, 09/17/15 (cost $5,998,049)(d)(e)		6,000		6,000,000

TOTAL SHORT-TERM INVESTMENTS (cost $214,946,713)				214,948,664

TOTAL INVESTMENTS — 103.1% (cost $1,544,518,293)				3,568,490,948
LIABILITIES IN EXCESS OF OTHER ASSETS(f) — (3.1)%				(107,560,000	)

NET ASSETS — 100.0%			$	3,460,930,948

See the Glossary for abbreviations used in the Portfolio descriptions.

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

*	Non-income producing security.

(a)

All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $108,588,439; cash collateral of $111,980,415 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

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

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

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

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

Futures contracts outstanding at June 30, 2015:


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at June 30, 2015		Unrealized Depreciation(1)
Long Positions:
41	S&P 500 E-mini		Sep. 2015	$	4,278,165	$	4,211,520	$	(66,645	)
201	S&P 500 Index		Sep. 2015		104,944,702		103,233,600		(1,711,102	)

								$	(1,777,747	)

(1)	A U.S. Government Treasury security with a market value of $6,000,000 has been segregated with UBS AG to cover requirements for open contracts at June 30, 2015.

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

Level 1—quoted

prices generally in active markets for identical securities.

Level 2—quoted

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

Level 3—unobservable

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

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	88,348,761	$	—	$	—
Air Freight & Logistics		24,027,630		—		—
Airlines		15,454,405		—		—
Auto Components		14,407,648		—		—
Automobiles		21,376,176		—		—
Banks		207,949,960		—		—
Beverages		70,323,276		—		—
Biotechnology		107,678,677		—		—
Building Products		2,760,008		—		—
Capital Markets		78,348,479		—		—
Chemicals		79,848,012		—		—
Commercial Services & Supplies		13,842,445		—		—
Communications Equipment		51,874,079		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A159


	Level 1			Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Construction & Engineering	$	3,562,054		$	—	$	—
Construction Materials		3,683,650			—		—
Consumer Finance		27,533,821			—		—
Containers & Packaging		6,932,892			—		—
Distributors		2,526,984			—		—
Diversified Consumer Services		1,509,185			—		—
Diversified Financial Services		66,796,441			—		—
Diversified Telecommunication Services		75,892,662			—		—
Electric Utilities		53,735,292			—		—
Electrical Equipment		18,341,945			—		—
Electronic Equipment, Instruments & Components		13,545,312			—		—
Energy Equipment & Services		43,372,610			—		—
Food & Staples Retailing		79,956,361			—		—
Food Products		56,439,580			—		—
Gas Utilities		1,044,667			—		—
Health Care Equipment & Supplies		73,742,393			—		—
Health Care Providers & Services		99,678,270			—		—
Health Care Technology		3,888,078			—		—
Hotels, Restaurants & Leisure		59,173,581			—		—
Household Durables		15,176,815			—		—
Household Products		58,970,209			—		—
Independent Power & Renewable Electricity Producers		3,075,436			—		—
Industrial Conglomerates		80,037,415			—		—
Insurance		84,938,816			—		—
Internet & Catalog Retail		52,521,107			—		—
Internet Software & Services		113,637,655			—		—
IT Services		114,206,404			—		—
Leisure Products		3,163,824			—		—
Life Sciences Tools & Services		14,982,212			—		—
Machinery		50,660,817			—		—
Media		123,791,907			—		—
Metals & Mining		11,450,625			—		—
Multiline Retail		26,746,258			—		—
Multi-Utilities		37,232,863			—		—
Oil, Gas & Consumable Fuels		220,563,954			—		—
Paper & Forest Products		3,715,208			—		—
Personal Products		3,570,392			—		—
Pharmaceuticals		218,363,419			—		—
Professional Services		7,352,009			—		—
Real Estate Investment Trusts (REITs)		78,979,155			—		—
Real Estate Management & Development		1,935,100			—		—
Road & Rail		29,079,867			—		—
Semiconductors & Semiconductor Equipment		80,657,700			—		—
Software		124,930,949			—		—
Specialty Retail		79,279,704			—		—
Technology Hardware, Storage & Peripherals		162,972,505			—		—
Textiles, Apparel & Luxury Goods		30,508,806			—		—
Thrifts & Mortgage Finance		869,440			—		—
Tobacco		46,287,395			—		—
Trading Companies & Distributors		6,288,984			—		—
Affiliated Money Market Mutual Fund		208,948,664			—		—
U.S. Treasury Obligation		—			6,000,000		—
Other Financial Instruments*
Futures Contracts		(1,777,747	)		—		—

Total	$	3,560,713,201		$	6,000,000	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A160

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:


Oil, Gas & Consumable Fuels	6.4	%
Pharmaceuticals	6.3
Affiliated Money Market Mutual Fund (including 3.2% of collateral for securities on loan)	6.0
Banks	6.0
Technology Hardware, Storage & Peripherals	4.7
Software	3.6
Media	3.6
IT Services	3.3
Internet Software & Services	3.3
Biotechnology	3.1
Health Care Providers & Services	2.9
Aerospace & Defense	2.6
Insurance	2.5
Semiconductors & Semiconductor Equipment	2.3
Industrial Conglomerates	2.3
Food & Staples Retailing	2.3
Chemicals	2.3
Specialty Retail	2.3
Real Estate Investment Trusts (REITs)	2.3
Capital Markets	2.3
Diversified Telecommunication Services	2.2
Health Care Equipment & Supplies	2.1
Beverages	2.0
Diversified Financial Services	1.9
Hotels, Restaurants & Leisure	1.7
Household Products	1.7
Food Products	1.6
Electric Utilities	1.6
Internet & Catalog Retail	1.5
Communications Equipment	1.5
Machinery	1.5
Tobacco	1.3
Energy Equipment & Services	1.3


Multi-Utilities	1.1	%
Textiles, Apparel & Luxury Goods	0.9
Road & Rail	0.8
Consumer Finance	0.8
Multiline Retail	0.8
Air Freight & Logistics	0.7
Automobiles	0.6
Electrical Equipment	0.5
Airlines	0.5
Household Durables	0.4
Life Sciences Tools & Services	0.4
Auto Components	0.4
Commercial Services & Supplies	0.4
Electronic Equipment, Instruments & Components	0.4
Metals & Mining	0.3
Professional Services	0.2
Containers & Packaging	0.2
Trading Companies & Distributors	0.2
U.S. Treasury Obligation	0.2
Health Care Technology	0.1
Paper & Forest Products	0.1
Construction Materials	0.1
Personal Products	0.1
Construction & Engineering	0.1
Leisure Products	0.1
Independent Power & Renewable Electricity Producers	0.1
Building Products	0.1
Distributors	0.1
Real Estate Management & Development	0.1

	103.1
Liabilities in excess of other assets	(3.1	)

	100.0	%

Fair values of derivative instruments as of June 30, 2015 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as hedging
Instruments, carried at fair value

Asset Derivatives

Liability Derivatives

Balance Sheet Location

Fair Value

Balance Sheet Location

Fair Value

Equity contracts

Due from/to broker — variation margin futures

—

Due from/to broker — variation margin futures

1,777,747

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

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2015 are as follows:


Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	7,070,392


Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	(5,795,603	)

For the six months ended June 30, 2015, the Fund’s average value at trade date for futures long positions was $106,999,805.

SEE NOTES TO FINANCIAL STATEMENTS.

A161


		*STOCK INDEX PORTFOLIO (continued)*

STATEMENT OF ASSETS & LIABILITIES

(Unaudited)

as of June 30, 2015


ASSETS
Investments at value, including securities on loan of $108,588,439:
Unaffiliated investments (cost $1,335,569,629)	$	3,359,542,284
Affiliated investments (cost $208,948,664)		208,948,664
Cash		287,493
Dividends and interest receivable		3,916,484
Receivable for investments sold		2,047,724
Due from broker—variation margin futures		203,970
Receivable for Series shares sold		8,163
Tax reclaim receivable		494
Prepaid expenses		3,496

Total Assets		3,574,958,772

LIABILITIES
Payable to broker for collateral for securities on loan		111,980,415
Management fee payable		868,539
Payable for Series shares repurchased		800,099
Payable for investments purchased		197,570
Accrued expenses and other liabilities		180,275
Affiliated transfer agent fee payable		926

Total Liabilities		114,027,824

NET ASSETS	$	3,460,930,948

Net assets were comprised of:
Paid-in capital	$	1,417,174,813
Retained earnings		2,043,756,135

Net assets, June 30, 2015	$	3,460,930,948

Net asset value and redemption price per share $3,460,930,948 / 71,292,904 outstanding shares of beneficial interest	$	48.55

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2015


NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $6,862)	$	34,621,339
Affiliated income from securities lending, net		134,749
Affiliated dividend income		88,207
Interest income		3,172

Total income		34,847,467

EXPENSES
Management fee		5,985,632
Custodian and accounting fees		162,000
Shareholders’ reports		54,000
Insurance expenses		20,000
Trustees’ fees		19,000
Audit fee		11,000
Legal fees and expenses		7,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800)		6,000
Miscellaneous		13,251

Total expenses		6,277,883
Less: Management fee waiver		(855,117	)

Net expenses		5,422,766

NET INVESTMENT INCOME		29,424,701

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on:
Investment transactions		34,869,859
Futures transactions		7,070,392

		41,940,251

Net change in unrealized appreciation (depreciation) on:
Investments		(28,370,106	)
Futures		(5,795,603	)

		(34,165,709	)

NET GAIN ON INVESTMENT TRANSACTIONS		7,774,542

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	37,199,243

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)


	Six Months Ended June 30, 2015			Year Ended December 31, 2014
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	29,424,701		$	51,495,446
Net realized gain on investment transactions		41,940,251			41,942,935
Net change in unrealized appreciation (depreciation) on investments		(34,165,709	)		295,725,505

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		37,199,243			389,163,886

DISTRIBUTIONS		(93,414,310	)		(225,034,357	)

SERIES SHARE TRANSACTIONS
Series shares sold [4,255,287 and 5,571,572 shares, respectively]		211,647,212			260,144,327
Series shares issued in reinvestment of distributions [1,896,737 and 4,895,244 shares, respectively]		93,414,310			225,034,357
Series shares repurchased [2,010,192 and 4,786,716 shares, respectively]		(100,589,305	)		(227,184,200	)

NET INCREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		204,472,217			257,994,484

TOTAL INCREASE		148,257,150			422,124,013
NET ASSETS:
Beginning of period		3,312,673,798			2,890,549,785

End of period	$	3,460,930,948		$	3,312,673,798

SEE NOTES TO FINANCIAL STATEMENTS.

A162


LONG-TERM INVESTMENTS — 97.5%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 2.0%
Boeing Co. (The)		223,684	$	31,029,445

Airlines — 0.8%
United Continental Holdings, Inc.*		227,257		12,046,894

Auto Components — 1.5%
Lear Corp.		211,920		23,790,139

Automobiles — 0.7%
General Motors Co.		330,357		11,010,799

Banks — 12.6%
Bank of America Corp.		1,948,329		33,160,559
Citigroup, Inc.		709,419		39,188,305
JPMorgan Chase & Co.		759,535		51,466,092
PNC Financial Services Group, Inc. (The)		236,738		22,643,990
Wells Fargo & Co.		861,891		48,472,750

				194,931,696

Capital Markets — 4.4%
Goldman Sachs Group, Inc. (The)		185,453		38,720,732
Morgan Stanley		766,950		29,749,990

				68,470,722

Chemicals — 1.3%
FMC Corp.		382,660		20,108,783

Communications Equipment — 1.5%
Brocade Communications Systems, Inc.		2,018,678		23,981,895

Consumer Finance — 4.9%
Capital One Financial Corp.		274,366		24,135,977
Navient Corp.		1,307,252		23,805,059
SLM Corp.*		2,825,889		27,891,524

				75,832,560

Diversified Financial Services — 1.5%
Voya Financial, Inc.		502,949		23,372,040

Electric Utilities — 2.1%
FirstEnergy Corp.		983,979		32,028,516

Electrical Equipment — 1.4%
Eaton Corp. PLC		332,344		22,429,897

Electronic Equipment, Instruments & Components — 1.0%
Flextronics International Ltd.*		1,330,282		15,045,489

Energy Equipment & Services — 1.4%
Halliburton Co.		513,346		22,109,812

Food Products — 3.7%
Bunge Ltd.		263,115		23,101,497
Mondelez International, Inc. (Class A Stock)		815,078		33,532,309

				56,633,806

Health Care Equipment & Supplies — 1.0%
Zimmer Biomet Holdings, Inc.(a)		142,268		15,539,934

Health Care Providers & Services — 3.8%
Cigna Corp.		226,416		36,679,392
HCA Holdings, Inc.*		243,502		22,090,501

				58,769,893


COMMON STOCKS (continued)	Shares		Value (Note 2)
Hotels, Restaurants & Leisure — 3.6%
Carnival Corp.		714,382	$	35,283,327
Hyatt Hotels Corp. (Class A Stock)*		357,843		20,286,120

				55,569,447

Insurance — 3.6%
MetLife, Inc.		619,016		34,658,706
Travelers Cos., Inc. (The)(a)		216,668		20,943,129

				55,601,835

Internet Software & Services — 1.5%
Google, Inc. (Class A Stock)*		42,243		22,812,910

Machinery — 1.2%
SPX Corp.		268,787		19,457,491

Media — 5.8%
Comcast Corp. (Class A Stock)		499,574		30,044,380
Liberty Global PLC (United Kingdom) (Series C)*		563,947		28,552,637
Viacom, Inc. (Class B Stock)		178,452		11,535,137
Vivendi SA (France)		769,143		19,502,892

				89,635,046

Multiline Retail — 1.9%
Target Corp.		357,291		29,165,664

Multi-Utilities — 1.2%
PG&E Corp.		370,391		18,186,198

Oil, Gas & Consumable Fuels — 7.3%
Anadarko Petroleum Corp.		253,842		19,814,906
Chevron Corp.		144,148		13,905,958
Marathon Oil Corp.		828,482		21,987,912
Noble Energy, Inc.		439,314		18,749,922
Occidental Petroleum Corp.		231,947		18,038,518
Suncor Energy, Inc. (Canada)		730,914		20,114,753

				112,611,969

Pharmaceuticals — 12.0%
AbbVie, Inc.		280,700		18,860,233
Allergan PLC*		127,768		38,772,477
Bayer AG (Germany), ADR		164,132		23,140,150
Merck & Co., Inc.		565,538		32,196,078
Mylan NV*(a)		318,508		21,613,953
Pfizer, Inc.		866,712		29,060,854
Teva Pharmaceutical Industries Ltd. (Israel), ADR		376,226		22,234,957

				185,878,702

Road & Rail — 2.1%
Hertz Global Holdings, Inc.*		884,454		16,026,306
Union Pacific Corp.		165,834		15,815,589

				31,841,895

Semiconductors & Semiconductor Equipment — 1.4%
Applied Materials, Inc.		1,118,829		21,503,893

Software — 3.0%
Microsoft Corp.		658,519		29,073,614
PTC, Inc.*		410,037		16,819,718

				45,893,332

SEE NOTES TO FINANCIAL STATEMENTS.

A163


COMMON STOCKS (continued)	Shares		Value (Note 2)
Technology Hardware, Storage & Peripherals — 5.3%
Apple, Inc.		160,276	$	20,102,617
EMC Corp.		808,337		21,332,014
Hewlett-Packard Co.		897,717		26,940,487
NCR Corp.*		433,722		13,055,032

				81,430,150

Textiles, Apparel & Luxury Goods — 0.7%
Coach, Inc.(a)		331,803		11,483,702

Wireless Telecommunication Services — 1.3%
Vodafone Group PLC (United Kingdom), ADR		568,907		20,736,660

TOTAL LONG-TERM INVESTMENTS (cost $1,090,278,248)				1,508,941,214

SHORT-TERM INVESTMENT — 4.7%
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $72,166,327; includes $36,854,714 of cash collateral for securities on loan) (Note 4)(b)(c)		72,166,327		72,166,327

TOTAL INVESTMENTS — 102.2% (cost $1,162,444,575)				1,581,107,541
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.2)%				(34,340,212	)

NET ASSETS — 100.0%			$	1,546,767,329

See the Glossary for abbreviations used in the Portfolio descriptions.

*	Non-income producing security.

(a)

All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $36,127,204; cash collateral of $36,854,714 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

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

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

Level 1—quoted

prices generally in active markets for identical securities.

Level 2—quoted

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

Level 3—

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

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	31,029,445	$	—	$	—
Airlines		12,046,894		—		—
Auto Components		23,790,139		—		—
Automobiles		11,010,799		—		—
Banks		194,931,696		—		—
Capital Markets		68,470,722		—		—
Chemicals		20,108,783		—		—
Communications Equipment		23,981,895		—		—
Consumer Finance		75,832,560		—		—
Diversified Financial Services		23,372,040		—		—
Electric Utilities		32,028,516		—		—
Electrical Equipment		22,429,897		—		—
Electronic Equipment, Instruments & Components		15,045,489		—		—
Energy Equipment & Services		22,109,812		—		—
Food Products		56,633,806		—		—
Health Care Equipment & Supplies		15,539,934		—		—
Health Care Providers & Services		58,769,893		—		—
Hotels, Restaurants & Leisure		55,569,447		—		—
Insurance		55,601,835		—		—
Internet Software & Services		22,812,910		—		—
Machinery		19,457,491		—		—
Media		70,132,154		19,502,892		—
Multiline Retail		29,165,664		—		—
Multi-Utilities		18,186,198		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A164


	Level 1		Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Oil, Gas & Consumable Fuels	$	112,611,969	$	—	$	—
Pharmaceuticals		185,878,702		—		—
Road & Rail		31,841,895		—		—
Semiconductors & Semiconductor Equipment		21,503,893		—		—
Software		45,893,332		—		—
Technology Hardware, Storage & Peripherals		81,430,150		—		—
Textiles, Apparel & Luxury Goods		11,483,702		—		—
Wireless Telecommunication Services		20,736,660		—		—
Affiliated Money Market Mutual Fund		72,166,327		—		—

Total	$	1,561,604,649	$	19,502,892	$	—

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:


Banks	12.6	%
Pharmaceuticals	12.0
Oil, Gas & Consumable Fuels	7.3
Media	5.8
Technology Hardware, Storage & Peripherals	5.3
Consumer Finance	4.9
Affiliated Money Market Mutual Fund (including 2.4% of collateral for securities on loan)	4.7
Capital Markets	4.4
Health Care Providers & Services	3.8
Food Products	3.7
Insurance	3.6
Hotels, Restaurants & Leisure	3.6
Software	3.0
Electric Utilities	2.1
Road & Rail	2.1
Aerospace & Defense	2.0
Multiline Retail	1.9
Communications Equipment	1.5


Auto Components	1.5	%
Diversified Financial Services	1.5
Internet Software & Services	1.5
Electrical Equipment	1.4
Energy Equipment & Services	1.4
Semiconductors & Semiconductor Equipment	1.4
Wireless Telecommunication Services	1.3
Chemicals	1.3
Machinery	1.2
Multi-Utilities	1.2
Health Care Equipment & Supplies	1.0
Electronic Equipment, Instruments & Components	1.0
Airlines	0.8
Textiles, Apparel & Luxury Goods	0.7
Automobiles	0.7

	102.2
Liabilities in excess of other assets	(2.2	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A165


		*VALUE PORTFOLIO (continued)*

STATEMENT OF ASSETS & LIABILITIES

(Unaudited)

as of June 30, 2015


ASSETS
Investments at value, including securities on loan of $36,127,204:
Unaffiliated investments (cost $1,090,278,248)	$	1,508,941,214
Affiliated investments (cost $72,166,327)		72,166,327
Cash		2,630
Foreign currency, at value (cost $605,352)		600,236
Dividends receivable		2,020,480
Tax reclaim receivable		1,088,062
Receivable for Series shares sold		4,273
Prepaid expenses		1,874

Total Assets		1,584,825,096

LIABILITIES
Payable to broker for collateral for securities on loan		36,854,714
Payable for Series shares repurchased		554,874
Management fee payable		519,803
Accrued expenses		123,303
Distribution fee payable		2,190
Administration fee payable		1,314
Affiliated transfer agent fee payable		926
Deferred trustees’ fees		643

Total Liabilities		38,057,767

NET ASSETS	$	1,546,767,329

Net assets were comprised of:
Paid-in capital	$	969,061,162
Retained earnings		577,706,167

Net assets, June 30, 2015	$	1,546,767,329

Class I:
Net asset value and redemption price per share $1,536,346,093 / 57,814,759 outstanding shares of beneficial interest	$	26.57

Class II:
Net asset value and redemption price per share $10,421,236 / 393,318 outstanding shares of beneficial interest	$	26.50

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2015


NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $376,507)	$	15,503,413
Affiliated dividend income		31,702
Affiliated income from securities lending, net		12,545

Total income		15,547,660

EXPENSES
Management fee		3,123,685
Distribution fee—Class II		13,076
Administration fee—Class II		7,846
Custodian and accounting fees		77,000
Shareholders’ reports		52,000
Insurance expenses		11,000
Trustees’ fees		11,000
Audit fee		11,000
Legal fees and expenses		6,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800)		6,000
Miscellaneous		9,334

Total expenses		3,327,941

NET INVESTMENT INCOME		12,219,719

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain on:
Investment transactions		38,045,254
Foreign currency transactions		2,697

		38,047,951

Net change in unrealized appreciation (depreciation) on:
Investments		(44,565,753	)
Foreign currencies		(10,037	)

		(44,575,790	)

NET LOSS ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(6,527,839	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	5,691,880

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)


	Six Months Ended June 30, 2015			Year Ended December 31, 2014
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	12,219,719		$	17,952,928
Net realized gain on investment and foreign currency transactions		38,047,951			109,078,499
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(44,575,790	)		26,171,535

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		5,691,880			153,202,962

SERIES SHARE TRANSACTIONS (Note 7)
Series shares sold		2,774,840			11,406,469
Series shares repurchased		(64,882,842	)		(137,573,230	)

NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(62,108,002	)		(126,166,761	)

TOTAL INCREASE (DECREASE)		(56,416,122	)		27,036,201
NET ASSETS:
Beginning of period		1,603,183,451			1,576,147,250

End of period	$	1,546,767,329		$	1,603,183,451

SEE NOTES TO FINANCIAL STATEMENTS.

A166

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

Currency


AUD		Australian Dollar
BRL		Brazilian Real
CAD		Canadian Dollar
CLP		Chilean Peso
COP		Colombian Peso
EUR		Euro
GBP		British Pound
HUF		Hungarian Forint
JPY		Japanese Yen
MXN		Mexican Peso
PLN		Polish Zloty
TRY		Turkish Lira
ZAR		South African Rand

Index


CDX		Credit Derivative Index
DAX		German Stock Index
IBEX		Spanish Stock Index
STOXX		Stock Index of Eurozone

Other


144A		Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
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.
RegS		Regulation S. Security was purchased pursuant to Regulation S and may not be offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
ABS		Asset-Backed Security
ADR		American Depositary Receipt
AID		Agency for International Development
BABs		Build America Bonds
BBSW		Australian Bank Bill Swap Reference Rate
bps		Basis Points
CDO		Collateralized Debt Obligation
CDO		Credit Derivative Index
CLO		Collateralized Loan Obligation
CMBS		Collateralized Mortgage-Backed Security
COLIBOR		Columbia Interbank Offered Rate
CVA		Certificate Van Aandelen (Bearer)
EMTN		Euro Medium Term Note
ETF		Exchange Traded Fund
EUROIS		Euro Overnight Index Swap
FHLMC		Federal Home Loan Mortgage Corp.
GMTN		Global Medium Term Note
GO		General Obligation
I/O		Interest Only
JIBAR		Johannesburg Interbank Agreed Rate
LIBOR		London Interbank Offered Rate
MSCI		Morgan Stanley Capital International
MTN		Medium Term Note
OIS		Overnight Index Swap
PIK		Payment-in-Kind
PIPE		Private Investment in Public Equity
PO		Principle Only
PRFC		Preference Shares
REIT		Real Estate Investment Trust
REMICS		Real Estate Mortgage Investment Conduit Service
STRIPS		Separate Trading of Registered Interest and Principle of Securities
SWX		Swiss Exchange
TBA		To Be Announced
TIPS		Treasury Inflation Protected Securities
USAID		United States Agency for International Development

SEE NOTES TO FINANCIAL STATEMENTS.

A167

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 seventeen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the 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.

Note 2:

Accounting Policies

The Series Fund follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolios consistently follow such policies in the preparation of their financial statements.

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

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

Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy.

In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.

Common and preferred stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. Such securities are valued using model prices to the extent that the valuation meets the established confidence level for each security. If the confidence level is not met or the vendor does not provide a model price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.

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

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

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

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

Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are generally valued at the daily settlement price determined by the respective exchange. These securities are classified as Level 2 in the fair value hierarchy, as the daily settlement price is not public.

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

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

Restricted and Illiquid Securities: Subject to guidelines adopted by the Board, each Portfolio may invest up to 15% of their net assets (the Money Market Portfolio may invest up to 5% of its net assets) in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, the Portfolio may find it difficult to sell illiquid securities at the

time considered most advantageous by its subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional

buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s subadviser under the guidelines adopted by the Board of the Portfolio. However, the liquidity of the Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.

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

Foreign Currency Translation: The books and records of the Portfolios are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:

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

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

Although the net assets of the Portfolios are presented at the foreign exchange rates and market values at the close of the period, the Portfolios do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, these realized foreign currency gains or losses are included in the reported net realized gains or losses on investment transactions.

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

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

Forward Currency Contracts: A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios entered into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or specific receivables and payables denominated in a foreign currency. The contracts are valued daily at current exchange rates and any unrealized gain or loss is included in net unrealized appreciation or depreciation on foreign currencies. Gain or loss is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain or loss, if any, is included in net realized gain (loss) on foreign currency transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. A Portfolio’s maximum risk of loss

from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life.

Cross Currency Exchange Contracts: A cross currency contract is a forward contract where a specified amount of one foreign currency will be exchanged for a specified amount of another foreign currency.

Short Sales: Certain Portfolios may sell a security they do not own in anticipation of a decline in the market value of that security (short sale). When a Portfolio makes a short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the transaction. The Portfolio may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions open are recorded on the ex-date and interest payable is accrued daily on fixed income securities sold short, both of which are recorded as an expense. A gain, limited to the price at which the Portfolio sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received.

Loan Participations: Certain Portfolios may invest in loan participations. When the Portfolio purchases a loan participation, the Portfolio typically enters into a contractual relationship with the lender or third party selling such participations (“Selling Participant”), but not the borrower. As a result, the Portfolio assumes the credit risk of the borrower 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 or loss. When the contract expires or is closed, the gain or loss is realized and is presented in the Statement of Operations as net realized gain or loss on financial futures contracts.

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

Options: Certain Portfolios purchased and wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates and foreign currency exchange rates, with respect to securities which the Portfolio currently owns or intends to purchase. The Portfolios’ principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Portfolio realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost of the purchase in determining whether the Portfolio has realized a gain or loss. The difference between the premium and the amount received or paid at the closing of a purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in net realized gain or loss on investment transactions. Gain or loss on written options is presented separately as net realized gain or loss on options written. The Portfolio, as writer of an option, may have no control over whether the underlying securities may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change

in the price of the security underlying the written option. The Portfolio, as a purchaser of an over-the-counter option, bears the risk of the potential inability of the counterparties to meet the terms of their contracts. With exchange-traded options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded options, and guarantees the options contracts against default.

Swap Agreements: Certain Portfolios entered into credit default, interest rate, total return and other forms of swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the over-the-counter market and may be executed either directly with a counterparty (“OTC-traded”) or through a central clearing facility, such as a registered commodities exchange (“Exchange-traded”). Swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation or depreciation on investments. Exchange-traded swaps pay or receive an amount, known as “variation margin”, based on daily changes in the valuation of the swap contract. Payments received or paid by the Portfolio are recorded as realized gains or losses upon termination or maturity of the swap. Risk of loss may exceed amounts recognized on the Statements of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.

Interest Rate Swaps: Interest rate swaps represent agreements between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. Certain Portfolios used interest rate swaps to either maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments or to increase exposure to prevailing market rates by receiving floating rate payments using interest rate swap contracts. Certain Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objectives. A Portfolio’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life.

Credit Default Swaps: Credit default swaps (“CDS”) involve one party (the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default or as a result of a default (collectively a “credit event”) for the referenced entity (typically corporate issues or sovereign issues of an emerging country) on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index. Certain Portfolios are subject to credit risk in the normal course of pursuing their investment objectives. Certain Portfolios may enter into credit default swaps to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases. A Portfolios’ maximum risk of loss from counterparty credit risk for purchased credit default swaps is the inability of the counterparty to honor the contract up to the notional value due to a credit event.

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

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

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues of an emerging country as of period end are disclosed in the footnotes to the Schedule of Investments, if applicable. These spreads serve as indicators of the current status of the payment/performance risk and represent the likelihood of default risk for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and

may include upfront payments required to enter into the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as indicators of the current status of the payment/performance risk. Wider credit spreads and increased market value in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

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

Total Return Swaps: In a total return swap, one party would receive payments based on the market value of the security or the commodity involved, or total return of a specific referenced asset, such as an equity, index or bond, and in return pay a fixed amount. The Portfolio is subject to risk exposures associated with the referenced asset in the normal course of pursuing its investment objectives. Certain Portfolios entered into total return swaps to manage its exposure to a security or an index. The Portfolio’s maximum risk of loss from counterparty credit risk is the change in the value of the security, in the Fund’s favor, from the point of entering into the contract.

Master Netting Arrangements: Certain Portfolios are subject to various Master Agreements, or netting arrangements, with select counterparties. These are arrangements which a subadviser may have negotiated and entered into on behalf of the Portfolio. For multi-sleeve Portfolios, different subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives under the FASB Accounting Standards Update (“ASU”) 2013-01 disclosure. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. The right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off, and the right of set-off is enforceable by law. During the reporting period, there were no instances where the right of set-off existed and management has not elected to offset.

Certain Portfolios are parties to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements with certain counterparties that govern over-the-counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s custodian, and with respect to those amounts which can be sold or re-pledged, are presented in the Schedule of Investments. Collateral pledged by the Portfolio is segregated by the Portfolio’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty. Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.

In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in the

portfolio may be identified or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and to serve as recourse in the event of default or bankruptcy/insolvency of either party. Such over-the-counter derivative agreements include conditions which, when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.

As of June 30, 2015, none of the Portfolios have met conditions under such agreements which give the counterparty the right to call for an early termination.

Forward currency contracts, written options, short sales, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. Such risks may be mitigated by engaging in master netting arrangements.

Warrants and Rights: Certain Portfolios hold warrants and rights acquired either through a direct purchase, included as part of a private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolio until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.

Securities Lending: Each Portfolio may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in a highly liquid short-term money market and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities, and any interest on the investment of cash received as collateral. The Portfolio also continues to receive interest and dividends or amounts equivalent thereto, on the securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.

Dollar Rolls: Certain Portfolios enter into mortgage dollar rolls in which the Portfolio sells mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolio forgoes principal and interest paid on the securities. The Portfolio is compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sales proceeds and the lower repurchase price is recorded as a realized gain. The Portfolio maintains a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls.

When-Issued/Delayed Delivery Securities: Securities purchased or sold on a when-issued or delayed delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Portfolio enters into such transactions, it instructs the custodian to segregate assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments.

Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains or losses from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on the accrual basis, which may require the use of certain estimates by management that may differ from actual.

For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees, which are charged to the respective class) and unrealized and realized gains or losses are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.

Taxes: For federal income tax purposes, each Portfolio is treated as a separate taxpaying entity. The Portfolios are treated as partnerships for tax purposes. No provision has been made in the financial

statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of the Portfolios’ shareholders (Participating Insurance Companies). The Portfolios are not generally subject to entity-level taxation. Shareholders of each Portfolio are subject to taxes on their distributive share of partnership items.

Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Portfolio’s understanding of the applicable country’s tax rules and regulations.

Distributions: Distributions from each Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. The Money Market Portfolio declares and reinvests distributions, if any, daily. Distributions are recorded on the ex-date.

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

Note 3:

Agreements

The Series Fund has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadvisers’ 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 “Subadvisers”), under which each provides investment advisory services for certain Portfolios of the Series Fund. PI pays for the services of the Subadvisers, cost of compensation of officers of the Series Fund, occupancy and certain clerical and administrative expenses of the Series Fund. The Portfolios bear all other costs and expenses.

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


Portfolio	Management Fee	Effective Management Fee
Conservative Balanced Portfolio	0.55%		0.55	%
Diversified Bond Portfolio	0.40		0.40
Equity Portfolio	0.45		0.45
Flexible Managed Portfolio	0.60		0.60
Global Portfolio	0.75		0.74	***
Government Income Portfolio	0.40		0.40
High Yield Bond Portfolio	0.55		0.55
Jennison Portfolio	0.60		0.60
Money Market Portfolio	0.40		0.13	*
Natural Resources Portfolio	0.45		0.40	****
Small Capitalization Stock Portfolio	0.40		0.35	**
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 of the Portfolio (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 of the Portfolio (excluding capital gain or loss) did not fall below 0.02%. The waiver is voluntary and may be modified or terminated by PI at any time without notice. During the six months ended June 30, 2015, the total waiver as a result of this voluntary agreement was $999,485 or an annualized 0.27% of the Money Market Portfolio’s average daily net assets.

PI has contractually agreed, through June 30, 2016, to waive a portion of its management fee equal to an annual rate of 0.05% of the average daily net assets of the Portfolio.

***

PI has contractually agreed, through March 31, 2015, to waive a portion of its management fee equal to an annual rate of 0.01% of the average daily net assets of the Portfolio. Effective April 1, 2015, PI has contractually agreed, through June 30, 2016, to waive a portion of its management fee equal to an annual rate of 0.011% of the average daily net assets of the Portfolio.

****

PI had contractually agreed, through June 30, 2015, to waive a portion of its management fee equal to an annual rate of 0.05% of the average daily net assets of the Portfolio.

At June 30, 2015, the Subadvisers that provide investment advisory services to the Portfolios are listed directly below. Where more than one Subadviser is listed, each Subadviser provides services to a segment of the Portfolio:


Portfolio		Subadviser(s)
Conservative Balanced Portfolio		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
Money Market Portfolio		PIM
Natural Resources Portfolio		Jennison
Small Capitalization Stock Portfolio		QMA
Stock Index Portfolio		QMA
Value Portfolio		Jennison

The Series Fund has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Series Fund. The Series Fund compensates PIMS for distributing and servicing the Series Fund’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Series Fund. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.

The Series Fund has an administration agreement with PI, which acts as the administrator of the Class II shares of the Series Fund. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.

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

Certain Portfolios have entered into a brokerage commission recapture agreement with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those Portfolios generating the applicable trades. Such amounts are included with realized gain or loss on investment transactions presented in the Statement of Operations. For the six months ended June 30, 2015, brokerage commission recaptured under these agreements was as follows:


Portfolio	Amount
Equity Portfolio	$	176,026
Global Portfolio		12,946
Jennison Portfolio		51,559
Natural Resources Portfolio		37,779
Value Portfolio		51,062

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 securities lending agent. Earnings from securities lending are disclosed on the Statement of Operations as “Affiliated income from securities lending, net”. For the six months ended June 30, 2015, PIM was compensated for the securities lending as follows:


Portfolio	Amount
Conservative Balanced Portfolio	$	34,257
Diversified Bond Portfolio		10,242
Equity Portfolio		42,269
Flexible Managed Portfolio		31,773
Global Portfolio		3,706
Government Income Portfolio		4,145
High Yield Bond Portfolio		192,760
Jennison Portfolio		35,289
Natural Resources Portfolio		34,156
Small Capitalization Stock Portfolio		97,061
Stock Index Portfolio		40,250
Value Portfolio		3,747

Certain Portfolios invest in the Prudential Core Short-Term Bond Fund and in the Prudential Core Taxable Money Market Fund (the “Core Funds”), each a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act, and managed by PI. Earnings from the Core Funds are disclosed on the Statement of Operations as “Affiliated dividend income”.

Note 5:

Portfolio Securities

The aggregate cost of purchases and the proceeds from the sales of securities (excluding government securities and short-term issues) for the six months ended June 30, 2015 were as follows:


Portfolio	Cost of Purchases		Proceeds from Sales
Conservative Balanced Portfolio	$	1,890,866,083	$	1,979,635,655
Diversified Bond Portfolio		202,903,490		138,157,957
Equity Portfolio		629,127,960		751,646,232
Flexible Managed Portfolio		3,375,981,936		3,516,590,583
Global Portfolio		116,907,055		130,673,102
Government Income Portfolio		1,043,483,955		1,028,889,951
High Yield Bond Portfolio		1,104,963,050		930,669,422
Jennison Portfolio		253,008,331		304,217,488
Natural Resources Portfolio		100,637,700		117,665,442
Small Capitalization Stock Portfolio		46,551,400		69,682,379
Stock Index Portfolio		235,291,565		95,779,442
Value Portfolio		216,340,777		242,023,705

Options written transactions, during the six months ended June 30, 2015, were as follows:


Conservative Balanced Portfolio	Notional Amount (000)			Premiums
Balance as of December 31, 2014		84,000		$	38,632
Options written		530,100			775,130
Options closed		(268,000	)		(415,369	)
Options expired		(291,700	)		(157,081	)

Balance as of June 30, 2015		54,400		$	241,312

B10


Diversified Bond Portfolio	Notional Amount (000)			Premiums
Balance as of December 31, 2014		649,000		$	455,618
Options written		132,238,850			934,850
Options closed		(131,705,000	)		(391,476	)
Options expired		(649,500	)		(727,831	)

Balance as of June 30, 2015		533,350		$	271,161


Flexible Managed Portfolio	Notional Amount (000)			Premiums
Balance as of December 31, 2014		108,800		$	50,037
Options written		661,100			987,732
Options closed		(329,700	)		(506,869	)
Options expired		(364,800	)		(196,326	)

Balance as of June 30, 2015		75,400		$	334,574


Government Income Portfolio	Notional Amount (000)			Premiums
Balance as of December 31, 2014		76,400		$	35,136
Options written		384,000			576,773
Options closed		(199,500	)		(307,761	)
Options expired		(218,500	)		(116,067	)

Balance as of June 30, 2015		42,400		$	188,081

Note 6:

Tax Information

All Portfolios are treated as partnerships for tax purposes. The character of the cash distributions made by the partnerships is generally classified as return of capital nontaxable distributions. After each fiscal year each partner will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate its fair market value. The Portfolios generally attempt to manage their diversification in a manner that supports the diversification requirements of the underlying separate accounts.

Management has analyzed the Portfolios’ tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolios’ financial statements for the current reporting period. The Portfolios’ federal, state and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

Note 7:

Capital

The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. 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, 2015, the Equity, Jennison, Natural Resources and Value Portfolios have Class II shares outstanding.

B11

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, 2015:
Series shares sold		139,289		$	5,459,082
Series shares repurchased		(3,706,537	)		(145,555,630	)

Net increase (decrease) in shares outstanding		(3,567,248	)	$	(140,096,548	)

Year ended December 31, 2014:
Series shares sold		334,797		$	12,282,548
Series shares repurchased		(7,032,156	)		(259,927,615	)

Net increase (decrease) in shares outstanding		(6,697,359	)	$	(247,645,067	)


Class II
Six months ended June 30, 2015:
Series shares sold		412		$	16,562
Series shares repurchased		(7,152	)		(282,561	)

Net increase (decrease) in shares outstanding		(6,740	)	$	(265,999	)

Year ended December 31, 2014:
Series shares sold		14,613		$	533,921
Series shares repurchased		(21,926	)		(816,476	)

Net increase (decrease) in shares outstanding		(7,313	)	$	(282,555	)

Jennison Portfolio:


Class I	Shares			Amount
Six months ended June 30, 2015:
Shares sold		202,166		$	8,715,849
Shares repurchased		(1,437,789	)		(62,113,884	)

Net increase (decrease) in shares outstanding		(1,235,623	)	$	(53,398,035	)

Year ended December 31, 2014:
Shares sold		437,648		$	16,981,425
Shares repurchased		(3,542,532	)		(136,572,954	)

Net increase (decrease) in shares outstanding		(3,104,884	)	$	(119,591,529	)


Class II
Six months ended June 30, 2015:
Shares sold		170,725		$	7,196,668
Shares repurchased		(154,988	)		(6,493,321	)

Net increase (decrease) in shares outstanding		15,737		$	703,347

Year ended December 31, 2014:
Shares sold		251,796		$	9,480,751
Shares repurchased		(262,299	)		(9,828,686	)

Net increase (decrease) in shares outstanding		(10,503	)	$	(347,935	)

B12

Natural Resources Portfolio:


Class I	Shares			Amount
Six months ended June 30, 2015:
Shares sold		256,608		$	7,757,178
Shares repurchased		(1,128,436	)		(33,785,551	)

Net increase (decrease) in shares outstanding		(871,828	)	$	(26,028,373	)

Year ended December 31, 2014:
Shares sold		439,890		$	17,269,602
Shares repurchased		(1,968,633	)		(74,412,547	)

Net increase (decrease) in shares outstanding		(1,528,743	)	$	(57,142,945	)


Class II
Six months ended June 30, 2015:
Shares sold		544,739		$	15,610,769
Shares repurchased		(542,534	)		(16,340,649	)

Net increase (decrease) in shares outstanding		2,205		$	(729,880	)

Year ended December 31, 2014:
Shares sold		534,762		$	19,096,047
Shares repurchased		(522,704	)		(19,771,982	)

Net increase (decrease) in shares outstanding		12,058		$	(675,935	)

Value Portfolio:


Class I	Shares			Amount
Six months ended June 30, 2015:
Shares sold		100,305		$	2,642,840
Shares repurchased		(2,433,890	)		(64,522,737	)

Net increase (decrease) in shares outstanding		(2,333,585	)	$	(61,879,897	)

Year ended December 31, 2014:
Shares sold		321,290		$	8,064,035
Shares repurchased		(5,408,640	)		(136,662,414	)

Net increase (decrease) in shares outstanding		(5,087,350	)	$	(128,598,379	)


Class II
Six months ended June 30, 2015:
Shares sold		5,001		$	132,000
Shares repurchased		(13,576	)		(360,105	)

Net increase (decrease) in shares outstanding		(8,575	)	$	(228,105	)

Year ended December 31, 2014:
Shares sold		129,503		$	3,342,434
Shares repurchased		(35,694	)		(910,816	)

Net increase (decrease) in shares outstanding		93,809		$	2,431,618

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 October 9, 2014 through October 8, 2015. The Funds pay an annualized commitment fee of .075% 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.

B13

The following Portfolios utilized the SCA during the six months ended June 30, 2015. The average balance outstanding 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 Rates			Maximum Balance Outstanding		Amount Outstanding at June 30, 2015
Diversified Bond Portfolio	$	223,600		5		1.43	%	$	391,000		—
Global Portfolio		351,333		3		1.43	%		471,000		—
Jennison Portfolio		1,376,278		18		1.43	%		3,775,000		—

Note 9:

Ownership and Affiliates

As of June 30, 2015, all of Class I shares of record of each Portfolio were owned by the Prudential Insurance Company of America (“PICA”), or subsidiaries thereof, on behalf of the owners of the variable insurance products issued by PICA. PICA is an indirect, wholly-owned subsidiary of Prudential.

Note 10:

New Accounting Pronouncement

In May 2015, the FASB issued ASU No. 2015-07 regarding “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share”. The amendments in this update are effective for the Fund for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. ASU No. 2015-07 will eliminate the requirement to categorize investments in the fair value hierarchy if their fair value is measured at net asset value (“NAV”) per share (or its equivalent) using the practical expedient in the FASB’s fair value measurement guidance. At this time, management is evaluating the implications of ASU No. 2015-07 and its impact on the financial statement disclosures has not yet been determined.

B14

Financial Highlights

(Unaudited)


	Conservative Balanced Portfolio
	Six Months Ended June 30, 2015(a)			Year Ended December 31,
	Six Months Ended June 30, 2015(a)			2014(a)			2013(a)			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of period	$	22.45		$	20.63		$	17.77		$	16.32		$	15.96		$	14.65

Income (Loss) From Investment Operations:
Net investment income		.20			.36			.35			.38			.36			.37
Net realized and unrealized gain (loss) on investments		(.08	)		1.46			2.51			1.43			.37			1.31

Total from investment operations		.12			1.82			2.86			1.81			.73			1.68

Less Distributions		—			—			—			(.36	)		(.37	)		(.37	)

Net Asset Value, end of period	$	22.57		$	22.45		$	20.63		$	17.77		$	16.32		$	15.96

Total Return(b)		.53	%		8.82	%		16.09	%		11.23	%		4.60	%		11.74	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	2,502.6		$	2,574.4		$	2,504.4		$	2,287.0		$	2,191.6		$	2,234.7
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.58	%(e)		.58	%		.58	%		.58	%		.59	%		.59	%
Expenses before waivers and/or expense reimbursement		.58	%(e)		.58	%		.58	%		.58	%		.59	%		.59	%
Net investment income		1.77	%(e)		1.66	%		1.84	%		2.11	%		2.12	%		2.32	%
Portfolio turnover rate(d)		109	%(f)		134	%		196	%		188	%		215	%		185	%

	Diversified Bond Portfolio
	Six Months Ended June 30, 2015(a)			Year Ended December 31,
	Six Months Ended June 30, 2015(a)			2014(a)			2013			2012(a)			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of period	$	11.66		$	11.01		$	11.88		$	11.74		$	11.67		$	11.16

Income (Loss) From Investment Operations:
Net investment income		.21			.43			.48			.54			.56			.52
Net realized and unrealized gain (loss) on investments		(.24	)		.34			(.56	)		.66			.30			.63

Total from investment operations		(.03	)		.77			(.08	)		1.20			.86			1.15

Less Distributions		—			(.12	)		(.79	)		(1.06	)		(.79	)		(.64	)

Net Asset Value, end of period	$	11.63		$	11.66		$	11.01		$	11.88		$	11.74		$11.67

Total Return(b)		(.26	)%		7.09	%		(.71	)%		10.68	%		7.51	%		10.57	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	1,035.0		$	1,067.9		$	1,197.5		$	1,305.9		$	1,556.9		$	1,522.9
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.44	%(e)		.44	%		.44	%		.44	%		.42	%		.46	%
Expenses before waivers and/or expense reimbursement		.44	%(e)		.44	%		.44	%		.44	%		.42	%		.46	%
Net investment income		3.55	%(e)		3.73	%		4.10	%		4.57	%		4.76	%		4.46	%
Portfolio turnover rate		37	%(f)		50	%		111	%		144	%		167	%		191	%

(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 fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

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

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

(e)	Annualized.

(f)	Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights

(Unaudited)


	Equity Portfolio
	Class I
	Six Months Ended June 30, 2015(c)			Year Ended December 31,
	Six Months Ended June 30, 2015(c)			2014(c)			2013			2012(c)			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of period	$	38.56		$	35.81		$	26.81		$	23.73		$	24.75		$	22.30

Income (Loss) From Investment Operations:
Net investment income		.17			.19			.27			.27			.13			.15
Net realized and unrealized gain (loss) on investments		1.06			2.56			8.73			2.96			(.98	)		2.48

Total from investment operations		1.23			2.75			9.00			3.23			(.85	)		2.63

Less Distributions:		—			—			—			(.15	)		(.17	)		(.18	)

Net Asset Value, end of period	$	39.79		$	38.56		$	35.81		$	26.81		$	23.73		$	24.75

Total Return(a)		3.19	%		7.68	%		33.57	%		13.69	%		(3.47	)%		11.90	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	4,004.3		$	4,017.6		$	3,970.9		$	3,167.0		$	2,997.5		$	3,324.3
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		.47	%(d)		.47	%		.47	%		.47	%		.48	%		.48	%
Expenses before waivers and/or expense reimbursement		.47	%(d)		.47	%		.47	%		.47	%		.48	%		.48	%
Net investment income		.87	%(d)		.52	%		.86	%		1.04	%		.58	%		.71	%
Portfolio turnover rate		16	%(e)		51	%		45	%		48	%		49	%		68	%

	Equity Portfolio
	Class II
	Six Months Ended June 30, 2015(c)			Year Ended December 31,
	Six Months Ended June 30, 2015(c)			2014(c)			2013			2012(c)			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of period	$	38.66		$	36.05		$	27.10		$	23.99		$	25.00		$	22.46

Income (Loss) From Investment Operations:
Net investment income		.09			.04			.13			.17			.06			.04
Net realized and unrealized gain (loss) on investments		1.07			2.57			8.82			3.00			(1.03	)		2.54

Total from investment operations		1.16			2.61			8.95			3.17			(.97	)		2.58

Less Distributions:		—			—			—			(.06	)		(.04	)		(.04	)

Net Asset Value, end of period	$	39.82		$	38.66		$	36.05		$	27.10		$	23.99		$	25.00

Total Return(a)		3.00	%		7.24	%		33.03	%		13.23	%		(3.87	)%		11.50	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	2.0		$	2.2		$	2.3		$	1.8		$	2.0		$	1.9
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		.87	%(d)		.87	%		.87	%		.87	%		.88	%		.88	%
Expenses before waivers and/or expense reimbursement		.87	%(d)		.87	%		.87	%		.87	%		.88	%		.88	%
Net investment income		.48	%(d)		.11	%		.47	%		.63	%		.19	%		.34	%
Portfolio turnover rate		16	%(e)		51	%		45	%		48	%		49	%		68	%

(a)

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

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

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

(d)	Annualized.

(e)	Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights

(Unaudited)


	Flexible Managed Portfolio
	Six Months Ended June 30, 2015(a)			Year Ended December 31,
	Six Months Ended June 30, 2015(a)			2014(a)			2013(a)			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of period	$	23.71		$	21.35		$	17.77		$	15.99		$	15.63		$	14.28

Income (Loss) From Investment Operations:
Net investment income		.21			.37			.36			.37			.33			.31
Net realized and unrealized gain (loss) on investments		(.01	)		1.99			3.22			1.74			.34			1.37

Total from investment operations		.20			2.36			3.58			2.11			.67			1.68

Less Distributions		—			—			—			(.33	)		(.31	)		(.33	)

Net Asset Value, end of period	$	23.91		$	23.71		$	21.35		$	17.77		$	15.99		$	15.63

Total Return(b)		.84	%		11.05	%		20.15	%		13.37	%		4.34	%		12.03	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	3,865.9		$	3,943.8		$	3,730.6		$	3,265.8		$	3,036.8		$	3,077.3
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.63	%(e)		.63	%		.63	%		.63	%		.63	%		.64	%
Expenses before waivers and/or expense reimbursement		.63	%(e)		.63	%		.63	%		.63	%		.63	%		.64	%
Net investment income		1.79	%(e)		1.66	%		1.86	%		2.05	%		2.01	%		2.06	%
Portfolio turnover rate(d)		108	%(f)		161	%		210	%		214	%		246	%		205	%

	Global Portfolio
	Six Months Ended June 30, 2015(a)			Year Ended December 31,
	Six Months Ended June 30, 2015(a)			2014(a)			2013			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of period	$	25.72		$	24.91		$	19.57		$	16.94		$	18.49		$	16.68

Income (Loss) From Investment Operations:
Net investment income		.24			.37			.31			.36			.29			.28
Net realized and unrealized gain (loss) on investments		.90			.44			5.03			2.57			(1.56	)		1.79

Total from investment operations		1.14			.81			5.34			2.93			(1.27	)		2.07

Less Distributions		—			—			—			(.30	)		(.28	)		(.26	)

Net Asset Value, end of period	$	26.86		$	25.72		$	24.91		$	19.57		$	16.94		$	18.49

Total Return(b)		4.43	%		3.25	%		27.29	%		17.52	%		(6.97	)%		12.74	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	732.4		$	719.2		$	744.5		$	611.2		$	564.2		$	648.5
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursements		.81	%(e)		.81	%		.84	%		.84	%		.84	%		.87	%
Expenses before waivers and/or expense reimbursements		.82	%(e)		.82	%		.84	%		.84	%		.84	%		.87	%
Net investment income		1.78	%(e)		1.45	%		1.29	%		1.82	%		1.54	%		1.60	%
Portfolio turnover rate		17	%(f)		37	%		70	%		57	%		69	%		69	%

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

(b)

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

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

(e)	Annualized.

(f)	Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights

(Unaudited)


	Government Income Portfolio
	Six Months Ended June 30, 2015			Year Ended December 31,
	Six Months Ended June 30, 2015			2014			2013			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of period	$	11.92		$	11.30		$	12.15		$	12.37		$	12.03		$	11.86

Income (Loss) From Investment Operations:
Net investment income		.09			.21			.21			.25			.30			.35
Net realized and unrealized gain (loss) on investments		(.07	)		.45			(.49	)		.19			.60			.47

Total from investment operations		.02			.66			(.28	)		.44			.90			.82

Less Distributions		—			(.04	)		(.57	)		(.66	)		(.56	)		(.65	)

Net Asset Value, end of period	$	11.94		$	11.92		$	11.30		$	12.15		$	12.37		$	12.03

Total Return(a)		.17	%		5.86	%		(2.34	)%		3.63	%		7.63	%		6.99	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	330.0		$	339.2		$	341.1		$	382.9		$	416.7		$	399.2
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursements		.48	%(d)		.47	%		.49	%		.48	%		.46	%		.50	%
Expenses before waivers and/or expense reimbursement		.48	%(d)		.47	%		.49	%		.48	%		.46	%		.50	%
Net investment income		1.43	%(d)		1.73	%		1.78	%		1.96	%		2.48	%		2.87	%
Portfolio turnover rate(c)		341	%(e)		830	%		1135	%		1154	%		1554	%		1122	%

	High Yield Bond Portfolio
	Six Months Ended June 30, 2015			Year Ended December 31,
	Six Months Ended June 30, 2015			2014			2013			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of period	$	5.11		$	5.29		$	5.26		$	4.93		$	5.06		$	4.83

Income (Loss) From Investment Operations:
Net investment income		.16			.32			.34			.35			.38			.42
Net realized and unrealized gain (loss) on investments		(.02	)		(.18	)		.03			.34			(.13	)		.23

Total from investment operations		.14			.14			.37			.69			.25			.65

Less Distributions		(.16	)		(.32	)		(.34	)		(.36	)		(.38	)		(.42	)

Net Asset Value, end of period	$	5.09		$	5.11		$	5.29		$	5.26		$	4.93		$	5.06

Total Return(a)		2.74	%		2.71	%		7.26	%		14.43	%		5.10	%		14.05	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	3,286.8		$	3,245.9		$	3,020.5		$	2,841.8		$	2,158.4		$	2,141.2
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursements		.57	%(d)		.57	%		.57	%		.57	%		.58	%		.58	%
Expenses before waivers and/or expense reimbursements		.57	%(d)		.57	%		.57	%		.57	%		.58	%		.58	%
Net investment income		6.17	%(d)		5.95	%		6.34	%		6.95	%		7.53	%		8.51	%
Portfolio turnover rate		29	%(e)		48	%		54	%		53	%		68	%		89	%

(a)

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

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

(d)	Annualized.

(e)	Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights

(Unaudited)


	Jennison Portfolio
	Class I
	Six Months Ended June 30, 2015(a)			Year Ended December 31,
	Six Months Ended June 30, 2015(a)			2014			2013(a)			2012(a)			2011			2010(a)
Per Share Operating Performance:
Net Asset Value, beginning of period	$	40.85		$	37.15		$	26.98		$	23.26		$	23.26		$	20.87

Income (Loss) From Investment Operations:
Net investment income		.05			.06			.06			.11			.03			.06
Net realized and unrealized gain on investments		3.50			3.64			10.11			3.65			.04			2.42

Total from investment operations		3.55			3.70			10.17			3.76			.07			2.48

Less Distributions		—			—			—			(.04	)		(.07	)		(.09	)

Net Asset Value, end of period	$	44.40		$	40.85		$	37.15		$	26.98		$	23.26		$	23.26

Total Return(b)		8.69	%		9.96	%		37.69	%		16.18	%		.30	%		11.95	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	1,662.3		$	1,580.0		$	1,551.9		$	1,213.3		$	1,126.3		$	1,362.1
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.63	%(e)		.63	%		.63	%		.63	%		.64	%		.64	%
Expenses before waivers and/or expense reimbursement		.63	%(e)		.63	%		.63	%		.63	%		.64	%		.64	%
Net investment income		.23	%(e)		.15	%		.18	%		.42	%		.16	%		.29	%
Portfolio turnover rate		15	%(f)		34	%		40	%		45	%		51	%		67	%

	Jennison Portfolio
	Class II
	Six Months Ended June 30, 2015(a)			Year Ended December 31,
	Six Months Ended June 30, 2015(a)			2014			2013(a)			2012(a)			2011			2010(a)
Per Share Operating Performance:
Net Asset Value, beginning of period	$	39.80		$	36.33		$	26.49		$	22.89		$	22.91		$	20.55

Income (Loss) From Investment Operations:
Net investment income (loss)		(.03	)		(.10	)		(.07	)		—	(d)		(.07	)		(.02	)
Net realized and unrealized gain on investments		3.40			3.57			9.91			3.60			.05			2.38

Total from investment operations		3.37			3.47			9.84			3.60			(.02	)		2.36

Less Distributions		—			—			—			—			—			—	(d)

Net Asset Value, end of period	$	43.17		$	39.80		$	36.33		$	26.49		$	22.89		$	22.91

Total Return(b)		8.47	%		9.55	%		37.15	%		15.73	%		(.09	)%		11.50	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	48.1		$	43.7		$	40.3		$	33.6		$	31.9		$	33.2
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		1.03	%(e)		1.03	%		1.03	%		1.03	%		1.04	%		1.04	%
Expenses before waivers and/or expense reimbursement		1.03	%(e)		1.03	%		1.03	%		1.03	%		1.04	%		1.04	%
Net investment income (loss)		(.17	)%(e)		(.25	)%		(.22	)%		.02	%		(.24	)%		(.10	)%
Portfolio turnover rate		15	%(f)		34	%		40	%		45	%		51	%		67	%

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

(b)

(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.

Financial Highlights

(Unaudited)


	Money Market Portfolio
	Six Months Ended June 30, 2015			Year Ended December 31,
	Six Months Ended June 30, 2015			2014			2013			2012			2011			2010
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)		—	(a)		—	(a)
Distributions		—	(a)		—	(a)		—	(a)		—	(a)		—	(a)		—	(a)
Capital contributions(c)		—			—			—			—			—			—	(a)

Net Asset Value, end of period	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00		$	10.00

Total Return(b)		—	%(d)		—	%(d)		—	%(d)		.01	%		.02	%		.03	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	687.1		$	823.6		$	866.0		$	903.5		$	1,016.0		$	1,127.1
Ratios to average net assets:
Expenses after waivers and/or expense reimbursements		.17	%(e)		.16	%		.17	%		.21	%		.18	%		.25	%
Expenses before waivers and/or expense reimbursements		.44	%(e)		.44	%		.44	%		.44	%		.42	%		.44	%
Net investment income		.00	%(e)		.00	%(d)		.00	%(d)		.01	%		.02	%		.03	%

(a)	Less than $.005 per share.

(b)

(c)

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.

(d)	Less than .005%.

(e)	Annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights

(Unaudited)


	Natural Resources Portfolio
	Class I
	Six Months Ended June 30, 2015(a)			Year Ended December 31,
	Six Months Ended June 30, 2015(a)			2014(a)			2013(a)			2012			2011(a)			2010(a)
Per Share Operating Performance:
Net Asset Value, beginning of period	$	29.87		$	37.29		$	33.83		$	38.25		$	47.33		$	37.15

Income (Loss) From Investment Operations:
Net investment income		.17			.23			.20			.25			.16			.08
Net realized and unrealized gain (loss) on investments		(1.18	)		(7.65	)		3.26			(1.49	)		(9.16	)		10.26

Total from investment operations		(1.01	)		(7.42	)		3.46			(1.24	)		(9.00	)		10.34

Less Distributions		—			—			—			(3.18	)		(.08	)		(.16	)

Net Asset Value, end of period	$	28.86		$	29.87		$	37.29		$	33.83		$	38.25		$	47.33

Total Return(b)		(3.38	)%		(19.90	)%		10.23	%		(2.47	)%		(19.03	)%		27.98	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	543.9		$	589.0		$	792.1		$	802.2		$	926.6		$	1,259.5
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.46	%(d)		.45	%		.48	%		.50	%		.50	%		.50	%
Expenses before waivers and/or expense reimbursement		.51	%(d)		.50	%		.51	%		.50	%		.50	%		.50	%
Net investment income		1.16	%(d)		.59	%		.55	%		.71	%		.36	%		.22	%
Portfolio turnover rate		17	%(e)		24	%		22	%		26	%		34	%		28	%

	Natural Resources Portfolio
	Class II
	Six Months Ended June 30, 2015(a)			Year Ended December 31,
	Six Months Ended June 30, 2015(a)			2014(a)			2013(a)			2012			2011(a)			2010(a)
Per Share Operating Performance:
Net Asset Value, beginning of period	$	29.35		$	36.78		$	33.50		$	37.89		$	46.98		$	36.88

Income (Loss) From Investment Operations:
Net investment income (loss)		.11			.07			.05			.12			(.02	)		(.07	)
Net realized and unrealized gain (loss) on investments		(1.16	)		(7.50	)		3.23			(1.51	)		(9.07	)		10.20

Total from investment operations		(1.05	)		(7.43	)		3.28			(1.39	)		(9.09	)		10.13

Less Distributions		—			—			—			(3.00	)		—			(.03	)

Net Asset Value, end of period	$	28.30		$	29.35		$	36.78		$	33.50		$	37.89		$	46.98

Total Return(b)		(3.58	)%		(20.20	)%		9.79	%		(2.94	)%		(19.35	)%		27.48	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	42.0		$	43.5		$	54.1		$	61.2		$	67.9		$	101.9
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.86	%(d)		.85	%		.88	%		.90	%		.90	%		.90	%
Expenses before waivers and/or expense reimbursement		.91	%(d)		.90	%		.91	%		.90	%		.90	%		.90	%
Net investment income (loss)		.76	%(d)		.19	%		.15	%		.31	%		(.04	)%		(.18	)%
Portfolio turnover rate		17	%(e)		24	%		22	%		26	%		34	%		28	%

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

(b)

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

(d)	Annualized.

(e)	Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights

(Unaudited)


	Small Capitalization Stock Portfolio
	Six Months Ended June 30, 2015(d)			Year Ended December 31,
	Six Months Ended June 30, 2015(d)			2014(d)			2013			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of period	$	27.57		$	26.16		$	18.56		$	17.00		$	17.27		$	13.83

Income (Loss) From Investment Operations:
Net investment income		.16			.25			.22			.26			.10			.13
Net realized and unrealized gain (loss) on investments		.95			1.16			7.38			2.35			—	(c)		3.43

Total from investment operations		1.11			1.41			7.60			2.61			.10			3.56

Less Distributions		—			—			—			(1.05	)		(.37	)		(.12	)

Net Asset Value, end of period	$	28.68		$	27.57		$	26.16		$	18.56		$	17.00		$	17.27

Total Return(a)		4.03	%		5.39	%		40.95	%		16.03	%		.56	%		25.93	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	750.8		$	750.9		$	770.1		$	578.4		$	542.6		$	589.9
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursements		.40	%(e)		.40	%		.42	%		.46	%		.48	%		.49	%
Expenses before waivers and/or expense reimbursements		.45	%(e)		.45	%		.45	%		.46	%		.48	%		.49	%
Net investment income		1.16	%(e)		.96	%		.92	%		1.43	%		.60	%		.88	%
Portfolio turnover rate		6	%(f)		15	%		14	%		10	%		17	%		15	%

	Stock Index Portfolio
	Six Months Ended June 30, 2015			Year Ended December 31,
	Six Months Ended June 30, 2015			2014(d)			2013(d)			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of period	$	49.33		$	47.02		$	35.65		$	31.47		$	31.37		$	27.89

Income (Loss) From Investment Operations:
Net investment income		.43			.79			.73			.68			.54			.48
Net realized and unrealized gain on investments		.13			5.20			10.64			4.19			.07			3.51

Total from investment operations		.56			5.99			11.37			4.87			.61			3.99

Less Distributions		(1.34	)		(3.68	)		—			(.69	)		(.51	)		(.51	)

Net Asset Value, end of period	$	48.55		$	49.33		$	47.02		$	35.65		$	31.47		$	31.37

Total Return(a)		1.10	%		13.31	%		31.89	%		15.68	%		1.95	%		14.59	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	3,460.9		$	3,312.7		$	2,890.5		$	2,340.3		$	2,162.4		$	2,277.6
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursements		.32	%(e)		.32	%		.32	%		.32	%		.33	%		.36	%
Expenses before waivers and/or expense reimbursements		.37	%(e)		.37	%		.37	%		.37	%		.38	%		.38	%
Net investment income		1.72	%(e)		1.67	%		1.77	%		1.97	%		1.74	%		1.70	%
Portfolio turnover rate		3	%(f)		5	%		3	%		2	%		2	%		4	%

(a)

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

(c)	Less than $0.005 per share.

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

(e)	Annualized.

(f)	Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights

(Unaudited)


	Value Portfolio
	Class I
	Six Months Ended June 30, 2015(a)			Year Ended December 31,
	Six Months Ended June 30, 2015(a)			2014(a)			2013			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of period	$	26.48		$	24.05		$	18.07		$	15.93		$	17.04		$	15.10

Income (Loss) From Investment Operations:
Net investment income		.21			.29			.22			.22			.14			.17
Net realized and unrealized gain (loss) on investments		(.12	)		2.14			5.76			2.09			(1.08	)		1.90

Total from investment operations		.09			2.43			5.98			2.31			(.94	)		2.07

Less Distributions		—			—			—			(.17	)		(.17	)		(.13	)

Net Asset Value, end of period	$	26.57		$	26.48		$	24.05		$	18.07		$	15.93		$	17.04

Total Return(b)		.34	%		10.10	%		33.09	%		14.62	%		(5.58	)%		13.86	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	1,536.3		$	1,592.6		$	1,568.7		$	1,263.3		$	1,231.6		$	1,432.9
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.42	%(d)		.40	%		.40	%		.43	%		.43	%		.44	%
Expenses before waivers and/or expense reimbursement		.42	%(d)		.42	%		.43	%		.43	%		.43	%		.44	%
Net investment income		1.57	%(d)		1.13	%		1.06	%		1.36	%		.90	%		1.08	%
Portfolio turnover rate		14	%(e)		37	%		41	%		28	%		43	%		63	%

	Value Portfolio
	Class II
	Six Months Ended June 30, 2015(a)			Year Ended December 31,
	Six Months Ended June 30, 2015(a)			2014(a)			2013			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of period	$	26.45		$	24.12		$	18.20		$	16.04		$	17.13		$	15.16

Income (Loss) From Investment Operations:
Net investment income		.16			.18			.16			.17			.08			.12
Net realized and unrealized gain (loss) on investments		(.11	)		2.15			5.76			2.08			(1.08	)		1.90

Total from investment operations		.05			2.33			5.92			2.25			(1.00	)		2.02

Less Distributions		—			—			—			(.09	)		(.09	)		(.05	)

Net Asset Value, end of period	$	26.50		$	26.45		$	24.12		$	18.20		$	16.04		$	17.13

Total Return(b)		.19	%		9.66	%		32.53	%		14.14	%		(5.89	)%		13.39	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	10.4		$	10.6		$	7.4		$	6.2		$	6.0		$	7.1
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.82	%(d)		.80	%		.80	%		.83	%		.83	%		.84	%
Expenses before waivers and/or expense reimbursement		.82	%(d)		.82	%		.83	%		.83	%		.83	%		.84	%
Net investment income		1.17	%(d)		.73	%		.66	%		.95	%		.50	%		.69	%
Portfolio turnover rate		14	%(e)		37	%		41	%		28	%		43	%		63	%

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

(b)

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

(d)	Annualized.

(e)	Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

Approval of Advisory Agreements

The Trust’s Board of Trustees

The Board of Trustees (the Board) of The Prudential Series Fund (the Trust, and each series thereof, the Portfolios) consists of ten 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, their operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.

Annual Approval of the Trust’s Advisory Agreements

As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with 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 15-16, 2015 (the Meeting) and approved the renewal of the agreements through July 31, 2016, after concluding that the renewal of the agreements was in the best interests of the Trust, each Portfolio and each Portfolio’s beneficial shareholders.

In advance of the Meeting, the Trustees 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 each Portfolio’s shareholders in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment.

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

With respect to the Stock Index Portfolio, the Board noted that the management fee schedule includes a breakpoint, which has the effect of decreasing the fee rate as assets increase, but that at its current level of assets, the Stock Index Portfolio does not realize the effect of any rate reduction. The Board took note, however, that the Stock Index Portfolio’s fee structure would result in a benefit to shareholders when (and if) assets reach the level at which the fee rate is reduced. 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, 2014, except as otherwise noted below. The Board compared the historical performance of each Portfolio to the comparable performance of the Portfolio’s benchmark index and to a universe of mutual funds (the Peer Universe) that were determined by Lipper Inc. (Lipper), an independent provider of mutual fund data, to be similar to the Portfolio.

The Board also considered each Portfolio’s actual management fee, as well as each Portfolio’s net total expense ratio, for the calendar year 2014. 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 group of similar mutual funds that were determined by Lipper to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.

The mutual funds included in each Peer Universe and each Peer Group were objectively determined by 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 and the Board may have considered, 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
Performance	1^st Quartile	1^st Quartile	1^st Quartile	2^nd Quartile
Actual Management Fees: 2^nd Quartile
Net Total Expenses: 1^st Quartile

•

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

•

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


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

•

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

•


Equity Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
Performance	4^th Quartile	4^th Quartile	4^th Quartile	2^nd Quartile
Actual Management Fees: 1^st Quartile
Net Total Expenses: 1^st 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 the Portfolio’s portfolio manager team responsible for the Portfolio’s performance record had recently been replaced, resulting in changes in the securities selection process for the Portfolio.

•

The Board further noted that the Portfolio’s repositioning by the new portfolio manager was not completed until the end of 2014 and that through the first quarter of 2015 the Portfolio beat its benchmark and its Peer Universe median.

•

The Board considered that the Portfolio’s performance had improved during the first quarter of 2015, with the Portfolio ranked in the second quartile of its Peer Universe and outperforming its benchmark index.

•

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


Flexible Managed Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
Performance	1^st Quartile	1^st Quartile	1^st Quartile	2^nd Quartile
Actual Management Fees: 3^rd Quartile
Net Total Expenses: 2^nd 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, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.


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

•

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

•

The Board considered that the Portfolio’s recent performance had improved, with the Portfolio ranked in the first quartile of its Peer Universe and outperforming its benchmark index during the first quarter of 2015.

•

The Board noted that PI had contractually agreed to waive of 0.011% of its management fee through June 30, 2016.

•


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

•

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

•


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

•

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

•


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

•

The Board considered that the Portfolio outperformed its benchmark index over the three- and ten-year periods, although it underperformed over the one- and five-year periods.

•

The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements.

•

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
Performance	2^nd Quartile	3^rd Quartile	3^rd Quartile	2^nd Quartile
Actual Management Fees: 3^rd Quartile
Net Total Expenses: 2^nd Quartile

•

The Board noted that the Portfolio’s net performance (which reflects the impact of Portfolio fees, expenses and subsidies) in relation to the Peer Universe was in the second quartile for the one-, three- and five-year periods, and in the first quartile for the ten-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 and PI agreed to continue PI’s voluntary yield waiver support.

•


Natural Resources Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
Performance	4^th Quartile	4^th Quartile	4^th Quartile	2^nd Quartile
Actual Management Fee: 1^st Quartile
Net Total Expenses: 1^st Quartile

•

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

•

The Board considered PI’s explanation that the Portfolio historically demonstrated a volatile pattern of returns over shorter time periods, but that over longer time periods the Portfolio had outperformed peer funds and its benchmark index.

•

At the Board’s request, PI agreed to present strategic alternatives to the Board if the performance of the Portfolio does not improve promptly.

•


Small Capitalization Stock Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
Performance	2^nd Quartile	1^st Quartile	1^st Quartile	2^nd Quartile
Actual Management Fees: 2^nd Quartile
Net Total Expenses: 2^nd Quartile

•

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

•

The Board noted that PI had contractually agreed to waive 0.05% of its management fee through June 30, 2016.

•


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

•

The Board noted that the Portfolio’s outperformed its benchmark index over the five- and ten-year periods, although it underperformed over the one- and three-year periods.

•

The Board further considered that, through the first quarter of 2015, the Portfolio outperformed its benchmark and its Peer Universe median for the trailing one-, three-, five- and ten-year periods.

•

The Board took into account that, on a net basis, the Portfolio outperformed its Peer Universe Median for all periods.

•

The Board noted that PI had contractually agreed to waive 0.05% of its management fee through June 30, 2016.

•


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

•

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

•

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

**********

After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, each Portfolio and its beneficial shareholders.

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 offers two classes of shares in each Portfolio: Class I and Class II. Class I shares are sold only to separate accounts of The Prudential Insurance Company of America, Pruco Life Insurance Company, and Pruco Life Insurance Company of New Jersey (collectively, Prudential) as investment options under variable life insurance and variable annuity contracts (the Contracts). (A separate account keeps the assets supporting certain insurance contracts separate from the general assets and liabilities of the insurance company.) Class II shares are offered only to separate accounts of non-Prudential insurance companies for the same types of Contracts.

The Prudential Series Fund is distributed by Prudential Investment Management Services LLC (PIMS), 655 Broad Street, 19th Floor, Newark, NJ 07102, member SIPC, a Prudential Financial company and solely responsible for its own 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.

^©2015 Prudential Financial, Inc. and its related entities. 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.

0229045-00004-00 PSF-SAR-A

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THE PRUDENTIAL SERIES FUND

SEMIANNUAL REPORT Ÿ JUNE 30, 2015

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, 2015, were not audited and, accordingly, no auditor’s opinion is expressed on them.

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The Prudential Series Fund

Table of Contents

Semiannual Report

June 30, 2015

LETTER TO CONTRACT OWNERS

PRESENTATION OF PORTFOLIO HOLDINGS

FEES AND EXPENSES

FINANCIAL REPORTS


Section A		Schedule of Investments and Financial Statements
Section B		Notes to Financial Statements
Section C		Financial Highlights

APPROVAL OF ADVISORY AGREEMENTS

The Prudential Series Fund

Letter to Contract Owners

Semiannual Report

June 30, 2015

DEAR CONTRACT OWNER

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,

LOGO

Timothy S. Cronin

President,

The Prudential Series Fund

July 31, 2015

Prudential Series Fund

Presentation of Portfolio Holdings — unaudited

June 30, 2015


SP International Growth
Five Largest Holdings	(% of Net Assets	)
Tencent Holdings Ltd. (China)	2.8%
Continental AG (Germany)	2.3%
Murata Manufacturing Co. Ltd. (Japan)	2.2%
FANUC Corp. (Japan)	2.1%
St. James’s Place PLC (United Kingdom)	1.9%

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, 2015

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, 2015 through June 30, 2015.

Actual Expenses

Hypothetical Example for Comparison Purposes

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, 2015		Ending Account Value June 30, 2015		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	$	1,084.20		1.23	%	$	6.36
SP International Growth (Class I)	Hypothetical	$	1,000.00	$	1,018.70		1.23	%	$	6.16
SP International Growth (Class II)	Actual	$	1,000.00	$	1,082.30		1.63	%	$	8.42
SP International Growth (Class II)	Hypothetical	$	1,000.00	$	1,016.71		1.63	%	$	8.15


LONG-TERM INVESTMENTS — 98.9%
COMMON STOCKS — 97.5%	Shares		Value (Note 2)
Argentina — 0.7%
MercadoLibre, Inc.		4,086	$	578,986

Australia — 1.2%
Brambles Ltd.		30,615		249,749
Insurance Australia Group Ltd.		72,745		312,758
Macquarie Group Ltd.		7,507		470,355

				1,032,862

Austria — 0.3%
Andritz AG		5,040		279,096

Belgium — 0.3%
Colruyt SA		5,905		264,887

Canada — 2.9%
Alimentation Couche-Tard, Inc. (Class B Stock)		24,051		1,028,859
Brookfield Asset Management, Inc. (Class A Stock)		16,924		591,155
Home Capital Group, Inc.		6,900		239,097
Shawcor Ltd.		5,645		165,373
Suncor Energy, Inc.		15,215		419,052

				2,443,536

China — 7.3%
Alibaba Group Holding Ltd., ADR*		13,103		1,077,984
Baidu, Inc., ADR*		1,471		292,846
China Overseas Land & Investment Ltd.		82,000		288,650
JD.com, Inc., ADR*		31,247		1,065,523
Lenovo Group Ltd.		262,000		362,232
NetEase, Inc., ADR		2,369		343,185
Tencent Holdings Ltd.		117,841		2,356,411
Vipshop Holdings Ltd., ADS*(a)		20,728		461,198

				6,248,029

Denmark — 1.6%
Jyske Bank A/S*		5,682		285,331
Novo Nordisk A/S (Class B Stock)		19,916		1,092,888

				1,378,219

Finland — 0.5%
Sampo OYJ (Class A Stock)		8,891		419,007

France — 7.4%
Arkema SA		3,057		220,984
BNP Paribas SA		4,150		251,834
Cap Gemini SA		6,626		587,837
Dassault Systemes SA		19,225		1,395,626
Hermes International		530		197,892
JCDecaux SA		6,440		269,310
Pernod Ricard SA		2,115		244,500
Publicis Groupe SA		3,980		295,010
Rexel SA		18,809		303,514
Sanofi		4,240		419,464
Schneider Electric SE		4,395		304,306
Sodexo		4,305		409,827
SPIE SA*		6,100		121,391
Total SA		7,000		343,357
Valeo SA		5,762		911,453

				6,276,305


COMMON STOCKS (continued)	Shares		Value (Note 2)
Germany — 6.7%
Bayer AG		9,667	$	1,353,771
Bayerische Motoren Werke AG		3,505		383,849
Brenntag AG		6,185		354,905
Continental AG		8,262		1,956,258
Deutsche Boerse AG		3,095		256,352
KUKA AG		6,753		562,487
Linde AG		1,765		334,492
Rational AG		406		149,119
SAP SE, ADR(a)		4,680		328,676

				5,679,909

Hong Kong — 0.7%
AIA Group Ltd.		77,600		507,400
Jardine Matheson Holdings Ltd.		2,200		124,740

				632,140

India — 1.2%
HDFC Bank Ltd., ADR		10,767		651,727
Tata Motors Ltd., ADR		10,562		364,072

				1,015,799

Indonesia — 0.7%
PT Bank Rakyat Indonesia Persero Tbk		345,200		267,174
PT Tower Bersama Infrastructure Tbk*		162,434		112,391
PT Tower Bersama Infrastructure Tbk , 144A*(g)		256,930		177,774

				557,339

Ireland — 2.1%
DCC PLC		3,475		272,891
Ryanair Holdings PLC, ADR		5,877		419,324
Shire PLC		13,740		1,103,996

				1,796,211

Israel — 2.5%
Bezeq Israeli Telecommunication Corp. Ltd.		215,779		367,466
Check Point Software Technologies Ltd.*(a)		12,878		1,024,445
Teva Pharmaceutical Industries Ltd., ADR		12,020		710,382

				2,102,293

Italy — 3.0%
Anima Holding SpA		35,468		311,525
Anima Holding SpA, 144A(g)		5,753		50,530
Azimut Holding SpA		8,870		259,642
Brembo SpA		10,482		447,166
Intesa Sanpaolo SpA		166,435		604,407
Luxottica Group SpA		13,924		926,197

				2,599,467

Japan — 19.2%
Astellas Pharma, Inc.		27,200		387,487
Daikin Industries Ltd.		7,200		517,596
FANUC Corp.		8,613		1,762,354
Fuji Heavy Industries Ltd.		38,624		1,420,235
Hoya Corp.		9,600		384,478
Kansai Paint Co. Ltd.		31,600		489,585
Kao Corp.		8,600		399,960

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Japan (continued)
Keyence Corp.		1,500	$	808,465
Laox Co. Ltd.*		61,047		232,585
Minebea Co. Ltd.		53,544		883,924
Miraca Holdings, Inc.		5,700		284,796
Murata Manufacturing Co. Ltd.		10,851		1,893,667
Nihon Kohden Corp.		9,700		239,981
Nitori Holdings Co. Ltd.		3,500		285,350
Ono Pharmaceutical Co. Ltd.		6,083		663,929
ORIX Corp.		30,400		451,424
Pigeon Corp.		34,542		1,087,830
Santen Pharmaceutical Co. Ltd.		22,600		319,761
SMC Corp.		3,000		902,758
SoftBank Group Corp.		5,000		294,515
Sugi Holdings Co. Ltd.		3,300		168,363
Sumitomo Mitsui Financial Group, Inc.		7,800		347,250
Sundrug Co. Ltd.		5,100		303,681
Sysmex Corp.		13,901		827,909
Toyota Motor Corp.		8,000		535,338
Unicharm Corp.		18,951		450,172

				16,343,393

Mexico — 0.4%
Alsea SAB de CV		93,231		281,339
Alsea SAB de CV, 144A(g)		20,763		62,656

				343,995

Netherlands — 2.0%
Akzo Nobel NV		5,082		371,033
ASML Holding NV		4,565		474,841
Koninklijke Ahold NV		12,930		242,731
NXP Semiconductors NV*		3,471		340,852
Royal Dutch Shell PLC (Class A Stock)		10,016		284,854

				1,714,311

Norway — 0.2%
DnB ASA		10,665		177,611

Philippines — 0.6%
Universal Robina Corp.		128,499		552,521

Singapore — 0.2%
United Overseas Bank Ltd.		10,000		171,090

South Africa — 2.5%
Aspen Pharmacare Holdings Ltd.		29,944		885,517
Aspen Pharmacare Holdings Ltd., 144A(g)		2,865		84,725
Bidvest Group Ltd. (The)		11,335		286,812
Discovery Ltd.		42,696		443,422
Mr. Price Group Ltd.		22,173		456,386

				2,156,862

South Korea — 1.5%
Amorepacific Corp.		1,037		387,797
Samsung Electronics Co. Ltd.		762		864,555

				1,252,352

Spain — 2.8%
Amadeus IT Holding SA (Class A Stock)		24,864		992,578
Banco Bilbao Vizcaya Argentaria SA		19,474		191,896


COMMON STOCKS (continued)	Shares		Value (Note 2)
Spain (continued)
Inditex SA		38,136	$	1,243,897

				2,428,371

Sweden — 2.2%
Assa Abloy AB		30,321		570,817
Atlas Copco AB (Class A Stock)		11,671		326,535
Hexagon AB (Class B Stock)		11,781		426,714
Nordea Bank AB		20,100		250,682
Telefonaktiebolaget LM Ericsson (Class B Stock)		31,155		324,484

				1,899,232

Switzerland — 6.9%
Actelion Ltd.*		3,712		543,628
Cie Financiere Richemont SA		2,870		233,268
Geberit AG		1,090		363,400
Givaudan SA*		298		515,929
Julius Baer Group Ltd.*		5,345		299,929
Novartis AG		14,928		1,468,325
Partners Group Holding AG		2,350		702,386
Pentair PLC		2,900		199,375
Roche Holding AG		2,185		612,655
SGS SA		220		401,191
Sonova Holding AG		1,360		183,906
UBS Group AG*		17,960		381,048

				5,905,040

Taiwan — 0.8%
Largan Precision Co. Ltd.		6,000		684,905

United Kingdom — 15.9%
Aldermore Group PLC*		25,961		125,800
Aldermore Group PLC, 144A*(g)		21,716		105,229
Amlin PLC		53,739		402,077
ARM Holdings PLC		39,826		651,704
Ashtead Group PLC		36,761		633,564
AstraZeneca PLC		13,185		834,477
Barclays PLC		82,085		336,436
Bunzl PLC		17,522		477,988
Burberry Group PLC		13,587		335,194
Compass Group PLC		37,940		627,491
Howden Joinery Group PLC		45,140		366,389
IG Group Holdings PLC		24,923		292,131
InterContinental Hotels Group PLC		8,611		347,165
ITV PLC		168,176		695,813
Just Eat PLC*		49,102		313,755
Just Eat PLC, 144A*(g)		74,390		475,341
Lloyds Banking Group PLC		279,230		374,780
OneSavings Bank PLC		68,039		336,753
OneSavings Bank PLC, 144A(g)		20,118		99,572
Prudential PLC		34,217		824,609
Reckitt Benckiser Group PLC		5,461		470,923
Reed Elsevier PLC		51,872		842,950
SABMiller PLC		4,545		235,659
Spectris PLC		5,780		191,498
St. James’s Place PLC		113,592		1,615,219
TalkTalk Telecom Group PLC(a)		77,310		464,243
Travis Perkins PLC		10,835		358,850

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
United Kingdom (continued)
Wolseley PLC		5,468	$	348,716
WPP PLC		17,606		395,185

				13,579,511

United States — 3.2%
Allergan PLC*		3,288		997,777
AON PLC		4,360		434,605
Jazz Pharmaceuticals PLC*		4,006		705,336
Nielsen NV		8,420		376,963
Samsonite International SA		58,000		200,529

				2,715,210

TOTAL COMMON STOCKS (cost $70,177,082)				83,228,489


	Units
*PARTICIPATORY NOTE — 0.6%**
India
Bharti Infratel Ltd., Private Placement, Expiring 06/18/20, 144A(g) (cost $521,085)		75,344		528,181


	Shares
PREFERRED STOCKS — 0.8%
Germany
Henkel AG & Co. KGaA (PRFC)		3,280		368,069
Volkswagen AG (PRFC)		1,335		309,826

TOTAL PREFERRED STOCKS (cost $611,856)				677,895


	Units
WARRANTS*
Thailand
Minor International PCL, Expiring 11/03/17 (cost $0)		13,111		1,568

TOTAL LONG-TERM INVESTMENTS (cost $71,310,023)				84,436,133


	Shares		Value (Note 2)
SHORT-TERM INVESTMENT — 3.1%
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund (cost $2,626,346; includes $2,201,984 of cash collateral for securities on loan) (Note 4)(b)(w)		2,626,346	$	2,626,346

TOTAL INVESTMENTS — 102.0% (cost $73,936,369)				87,062,479
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.0)%				(1,733,145	)

NET ASSETS — 100.0%			$	85,329,334

The following abbreviations are used in the Portfolio descriptions:


144A		Security was purchased pursuant to Rule 144A under the Security 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
ADS		American Depositary Share
PRFC		Preference Shares

*	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 $2,153,414; cash collateral of $2,201,984 (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.

(g)	Indicates a security or securities 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.

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

Level 1—

quoted prices generally in active markets for identical securities.

Level 2—

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

Level 3—

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

SEE NOTES TO FINANCIAL STATEMENTS.

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Argentina	$	578,986	$	—	$	—
Australia		—		1,032,862		—
Austria		—		279,096		—
Belgium		—		264,887		—
Canada		2,443,536		—		—
China		3,240,736		3,007,293		—
Denmark		—		1,378,219		—
Finland		—		419,007		—
France		121,391		6,154,914		—
Germany		477,795		5,202,114		—
Hong Kong		124,740		507,400		—
India		1,015,799		—		—
Indonesia		112,391		444,948		—
Ireland		419,324		1,376,887		—
Israel		1,734,827		367,466		—
Italy		—		2,599,467		—
Japan		—		16,343,393		—
Mexico		281,339		62,656		—
Netherlands		340,852		1,373,459		—
Norway		—		177,611		—
Philippines		—		552,521		—
Singapore		—		171,090		—
South Africa		—		2,156,862		—
South Korea		—		1,252,352		—
Spain		—		2,428,371		—
Sweden		—		1,899,232		—
Switzerland		199,375		5,705,665		—
Taiwan		—		684,905		—
United Kingdom		462,553		13,116,958		—
United States		2,715,210		—		—
Preferred Stocks
Germany		—		677,895		—
Warrants
Thailand		1,568		—		—
Participatory Note
India		—		528,181		—
Affiliated Money Market Mutual Fund		2,626,346		—		—

Total	$	16,896,768	$	70,165,711	$	—

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 were as follows:


Pharmaceuticals	13.9	%
Internet Software & Services	6.5
Machinery	6.0
Insurance	5.9
Electronic Equipment, Instruments & Components	5.0
Banks	4.7
Auto Components	3.9
Automobiles	3.5
Software	3.2
Affiliated Money Market Mutual Fund (including 2.6% of collateral for securities on loan)	3.1
Specialty Retail	2.9
Media	2.9
Trading Companies & Distributors	2.9
Capital Markets	2.9
Household Products	2.8
Food & Staples Retailing	2.4
Chemicals	2.3
Textiles, Apparel & Luxury Goods	2.2
Hotels, Restaurants & Leisure	2.0
IT Services	1.9
Internet & Catalog Retail	1.8
Semiconductors & Semiconductor Equipment	1.8
Building Products	1.6
Health Care Equipment & Supplies	1.5
Technology Hardware, Storage & Peripherals	1.4
Wireless Telecommunication Services	1.3
Oil, Gas & Consumable Fuels	1.2
Diversified Financial Services	1.1
Real Estate Management & Development	1.0
Personal Products	1.0
Professional Services	1.0
Diversified Telecommunication Services	0.9
Thrifts & Mortgage Finance	0.8
Industrial Conglomerates	0.7
Food Products	0.6
Biotechnology	0.6
Beverages	0.6
Airlines	0.5
Communications Equipment	0.4
Electrical Equipment	0.4
Health Care Providers & Services	0.3
Commercial Services & Supplies	0.3
Energy Equipment & Services	0.2
Construction & Engineering	0.1

	102.0
Liabilities in excess of other assets	(2.0	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

The Portfolio invested in various derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity risk.

The effect of such derivative instruments on the Portfolio's financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2015 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

529,749

—

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2015 are as follows:

For the six months ended June 30, 2015, the Portfolio did not have any realized gain or (loss) or derivatives recognized in income on the Statement of Operations.


Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Participatory Notes(1)		Warrants(1)			Total
Equity contracts	$	7,096	$	(369	)	$	6,727

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

SEE NOTES TO FINANCIAL STATEMENTS.


		*SP INTERNATIONAL GROWTH PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

(Unaudited)

June 30, 2015


ASSETS
Investments at value, including securities on loan of $2,153,414:
Unaffiliated investments (cost $71,310,023)	$	84,436,133
Affiliated investments (cost $2,626,346)		2,626,346
Foreign currency, at value (cost $71,754)		71,644
Tax reclaim receivable		483,871
Receivable for investments sold		262,891
Dividends receivable		57,116
Prepaid expenses		128

Total assets		87,938,129

LIABILITIES
Payable to broker for collateral for securities on loan		2,201,984
Accrued expenses and other liabilities		137,112
Loan payable		103,000
Payable for Series shares repurchased		61,994
Management fee payable		58,974
Payable for investments purchased		42,036
Distribution fee payable		1,497
Administration fee payable		1,268
Affiliated transfer agent fee payable		926
Loan interest payable (Note 8)		4

Total liabilities		2,608,795

NET ASSETS	$	85,329,334

Net assets were comprised of:
Paid-in capital	$	101,477,666
Retained earnings		(16,148,332	)

Net assets, June 30, 2015	$	85,329,334

Class I:
Net asset value and redemption price per share $78,216,705 / 12,142,387 outstanding shares of beneficial interest	$	6.44

Class II:
Net asset value and redemption price per share $7,112,629 / 1,127,442 outstanding shares of beneficial interest	$	6.31

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2015


NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $107,630)	$	980,688
Affiliated income from securities lending, net		9,753
Affiliated dividend income		1,087

Total income		991,528

EXPENSES
Management fee		362,297
Distribution fee—Class II		8,959
Administration fee—Class II		5,376
Custodian and accounting fees		91,000
Shareholders’ reports		29,000
Audit fee		14,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800)		6,000
Trustees’ fees		5,000
Legal fees and expenses		5,000
Insurance expenses		1,000
Interest expense		4
Miscellaneous		17,418

Total expenses		545,054
Less: Management fee waiver and/or expense reimbursement		(5,541	)

Net expenses		539,513

NET INVESTMENT INCOME		452,015

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		2,767,229
Foreign currency transactions		(30,703	)

		2,736,526

Net change in unrealized appreciation (depreciation) on:
Investments		3,672,560
Foreign currencies		(1,079	)

		3,671,481

NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		6,408,007

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	6,860,022

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)


	Six Months Ended June 30, 2015			Year Ended December 31, 2014
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	452,015		$	453,449
Net realized gain on investment and foreign currency transactions		2,736,526			4,334,159
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		3,671,481			(10,137,649	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		6,860,022			(5,350,041	)

SERIES SHARE TRANSACTIONS (NOTE 7)
Series shares sold		2,819,476			4,090,920
Series shares repurchased		(5,790,303	)		(13,294,205	)

NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(2,970,827	)		(9,203,285	)

TOTAL INCREASE (DECREASE)		3,889,195			(14,553,326	)
NET ASSETS:
Beginning of period		81,440,139			95,993,465

End of period	$	85,329,334		$	81,440,139

SEE NOTES TO FINANCIAL STATEMENTS.

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 seventeen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to SP International Growth Portfolio.

The Portfolio’s investment objective is long-term growth of capital.

Note 2:

Accounting Policies

The Series Fund follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolio consistently follow such policies in the preparation of their financial statements.

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

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

Common and preferred stocks, exchange-traded funds, and derivative instruments such as futures or options that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy.

observable inputs including, but not limited to yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations, and reported trades. Securities valued using such vendor prices are classified as Level 2 in the fair value hierarchy.

Restricted and Illiquid Securities: Subject to guidelines adopted by the Board, the 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. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, the Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its subadvisor and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s subadvisor under the guidelines adopted by the Board. However, the liquidity of the Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.

Foreign Currency Translation: The books and records of the 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 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 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 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, forward currency contracts, disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends 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) on foreign currencies.

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

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

Master Netting Arrangements: The Portfolio is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a sub-advisor may have negotiated and entered into on behalf of the Portfolio. For multi-sleeve Portfolios, different sub-advisors who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives under FASB Accounting Standards Update (“ASU”) 2013-01 disclosure. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. The right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off, and the right of set-off is enforceable by law. During the reporting period, there were no instances where the right to set-off existed and management has not elected to offset.

Warrants and Rights: The Portfolio holds warrants and rights acquired either through a direct purchase, included as part of a private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. The Portfolio holds such warrants and rights as long positions until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.

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 in the open market using the collateral. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities, and any interest on the investment of cash received as collateral. The Portfolio also continues to receive interest and dividends or amounts equivalent thereto, on the securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.

Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized and unrealized 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.

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.

Taxes: For federal income tax purposes, each Portfolio in the Series Fund is treated as a separate taxpaying entity. The Portfolio is treated as a partnership for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolio is the responsibility of the Portfolio’s shareholders (Participating Insurance Companies). The Portfolio is not generally subject to entity-level taxation. Shareholders of the Portfolio are subject to taxes on its distributive share of partnership items.

Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Portfolio’s understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts at the time the related income/gain is recorded.

Distributions: Distributions from the Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on the ex-dividend date.

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 subadvisors’ performance of such services. PI has entered into subadvisory agreements with Jennison Associates LLC (“Jennison”), Neuberger Berman Management, LLC (“Neuberger Berman”) and William Blair & Company LLC (“William Blair”) (collectively, the “Subadvisors”), under which each provides investment advisory services for the Portfolio. PI pays for the services of the Subadvisors, the cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolio. The Portfolio bears all other costs and expenses.

The management fee paid to PI is accrued daily and payable monthly at an annual rate of 0.85% of the Portfolio’s average daily net assets. PI has contractually agreed, through June 30, 2016, to waive a portion of its management fee equal to an annual rate of 0.013% of the average net assets of the Portfolio. The effective management fee rate was 0.84% for the six months ended June 30, 2015.

The Portfolio has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the 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 0.25% 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 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 Portfolio has entered into a brokerage commission recapture agreement with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. 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, 2015, brokerage commission recaptured under these agreements was $1,806.

Note 4:

Other Transactions with Affiliates

Prudential Investment Management, Inc. (“PIM”), an indirect, wholly-owned subsidiary of Prudential, serves as the Portfolio’s securities lending agent. Earnings from securities lending are disclosed on the Statement of Operations as “Affiliated income from securities lending, net”. For the six months ended June 30, 2015, PIM was compensated $2,925 for these services.

The Portfolio invests in the Prudential Core Taxable Money Market Fund (the “Core Fund”), a portfolio of 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, 2015 were $25,513,928 and $27,725,913, respectively.

Note 6:

Tax Information

The Portfolio is treated as a partnership for tax purposes. The character of the cash distributions made by the partnership 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. The Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.

Management has analyzed the Portfolio’s tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provisions for income tax are required in the Portfolio’s financial statements for the current reporting period. The Portfolio’s federal, state and local income and federal excise 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 Portfolio offers Class I and Class II shares. Neither Class I nor Class II shares of the Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. 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 Portfolio 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 were as follows:


Class I	Shares			Amount
Six months ended June 30, 2015:
Series shares sold		355,777		$	2,279,120
Series shares repurchased		(757,021	)		(4,851,684	)

Net increase (decrease) in shares outstanding		(401,244	)	$	(2,572,564	)

Year ended December 31, 2014:
Series shares sold		624,079		$	3,816,899
Series shares repurchased		(1,856,721	)		(11,353,391	)

Net increase (decrease) in shares outstanding		(1,232,642	)	$	(7,536,492	)



Class II
Six months ended June 30, 2015:
Series shares sold	85,860		$	540,356
Series shares repurchased	(150,990	)		(938,619	)

Net increase (decrease) in shares outstanding	(65,130	)	$	(398,263	)

Year ended December 31, 2014:
Series shares sold	45,381		$	274,021
Series shares repurchased	(324,195	)		(1,940,814	)

Net increase (decrease) in shares outstanding	(278,814	)	$	(1,666,793	)

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 October 9, 2014 through October 8, 2015. The Funds pay an annualized commitment fee of .075% 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 six months ended June 30, 2015. The average daily balance for the 1 day that the Portfolio had loans outstanding during the period was $103,000 borrowed at a weighted average interest rate of 1.44%. The maximum loan outstanding amount during the period was $103,000. At June 30, 2015, the Portfolio had an outstanding loan amount of $103,000.

Note 9:

Ownership and Affiliates

As of June 30, 2015, all of Class I shares of record of the Portfolio were owned by the Prudential Insurance Company of America (“PICA”), or subsidiaries thereof, on behalf of the owners of the variable insurance products issued by PICA. PICA is an indirect, wholly-owned subsidiary of Prudential.

Note 10:

New Accounting Pronouncement

Financial Highlights

(Unaudited)


	SP International Growth Portfolio
	Class I
	Six Months Ended June 30, 2015			Year Ended December 31,
	Six Months Ended June 30, 2015			2014			2013			2012			2011			2010
Per Share Operating Performance(c):
Net Asset Value, beginning of period	$	5.94		$	6.30		$	5.30		$	4.36		$	5.19		$	4.63

Income (Loss) From Investment Operations:
Net investment income		.03			.03			.02			.08			.02			.04
Net realized and unrealized gain (loss) on investments		.47			(.39	)		.98			.89			(.79	)		.59

Total from investment operations		.50			(.36	)		1.00			.97			(.77	)		.63

Less Distributions:		—			—			—			(.03	)		(.06	)		(.07	)

Net Asset Value, end of period	$	6.44		$	5.94		$	6.30		$	5.30		$	4.36		$	5.19

Total Return(a)		8.42	%		(5.71	)%		18.87	%		22.40	%		(14.91	)%		14.01	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	78.2		$	74.5		$	86.9		$	80.9		$	75.5		$	162.1
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		1.23	%(e)		1.23	%		1.30	%		1.19	%		1.21	%		1.10	%
Expenses before waivers and/or expense reimbursement		1.24	%(e)		1.24	%		1.31	%		1.19	%		1.21	%		1.10	%
Net investment income		1.09	%(e)		.55	%		.37	%		1.59	%		.47	%		.77	%
Portfolio turnover rate		30	%(f)		55	%		103	%		111	%		118	%		141	%

	SP International Growth Portfolio
	Class II
	Six Months Ended June 30, 2015			Year Ended December 31,
	Six Months Ended June 30, 2015			2014			2013			2012			2011			2010
Per Share Operating Performance(c):
Net Asset Value, beginning of period	$	5.83		$	6.21		$	5.24		$	4.30		$	5.10		$	4.54

Income (Loss) From Investment Operations:
Net investment income (loss)		.02			.01			—	(d)		.06			—	(d)		.02
Net realized and unrealized gain (loss) on investments		.46			(.39	)		.97			.88			(.78	)		.59

Total from investment operations		.48			(.38	)		.97			.94			(.78	)		.61

Less Distributions:		—			—			—			—			(.02	)		(.05	)

Net Asset Value, end of period	$	6.31		$	5.83		$	6.21		$	5.24		$	4.30		$	5.10

Total Return(a)		8.23	%		(6.12	)%		18.51	%		21.86	%		(15.32	)%		13.81	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	7.1		$	6.9		$	9.1		$	8.6		$	7.2		$	10.1
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		1.63	%(e)		1.63	%		1.70	%		1.59	%		1.61	%		1.50	%
Expenses before waivers and/or expense reimbursement		1.64	%(e)		1.64	%		1.71	%		1.59	%		1.61	%		1.50	%
Net investment income (loss)		.70	%(e)		.17	%		(.03	)%		1.16	%		(.09	)%		.39	%
Portfolio turnover rate		30	%(f)		55	%		103	%		111	%		118	%		141	%

(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 fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

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

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

(d)	Less than $.005.

(e)	Annualized.

(f)	Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

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 ten 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 the SP International Growth Portfolio (the Portfolio), 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 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 15-16, 2015 (the Meeting) and approved the renewal of the agreements through July 31, 2016, after concluding that the renewal of the agreements was in the best interests of the Trust, the Portfolio and the Portfolio’s beneficial shareholders.

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 each subadviser, each of which serves pursuant to the terms of a subadvisory agreement with PI, are in the best interest of the Trust, the Portfolio and the Portfolio’s shareholders in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment.

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

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 Portfolio’s 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 Portfolio 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 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, 2014. The Board compared the historical performance of the Portfolio to the comparable performance of the Portfolio’s benchmark index and to a universe of mutual funds (the Peer Universe) that were determined by Lipper Inc. (Lipper), an independent provider of mutual fund data, to be similar to the Portfolio.

The Board also considered the Portfolio’s actual management fee, as well as the Portfolio’s net total expense ratio, for the calendar year 2014. 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 group of similar mutual funds that were determined by Lipper to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.

The mutual funds included in each Peer Universe and each Peer Group were objectively determined by Lipper Inc. (Lipper), an independent provider of mutual fund data. The comparisons placed the Portfolio 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 and the Board may have considered, 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.


SP International Growth Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
Performance	3^rd Quartile	2^nd Quartile	2^nd Quartile	4^th Quartile
Actual Management Fees: 2^nd Quartile
Net Total Expenses: 4^th Quartile

•

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

•

The Board considered that the Portfolio’s recent performance against its Peer Universe had shown improvement, with the Portfolio ranked in the first quartile of its Peer Universe for the first quarter of 2015.

•

The Board noted that PI had contractually agreed to waive 0.013% of its management fee through June 30, 2016.

•

**********

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.

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 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.

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.

^©2015 Prudential Financial, Inc. and its related entities. 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.

0278963-00001-00 PSF-SAR-SP INTL GROWTH

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THE PRUDENTIAL SERIES FUND

SEMIANNUAL REPORT Ÿ JUNE 30, 2015

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, 2015, were not audited and, accordingly, no auditor’s opinion is expressed on them.

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SP Prudential U.S. Emerging Growth Portfolio

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The Prudential Series Fund

Table of Contents

Semiannual Report

June 30, 2015

LETTER TO CONTRACT OWNERS

PRESENTATION OF PORTFOLIO HOLDINGS

FEES AND EXPENSES

FINANCIAL REPORTS


Section A		Schedule of Investments and Financial Statements
Section B		Notes to Financial Statements
Section C		Financial Highlights

APPROVAL OF ADVISORY AGREEMENTS

The Prudential Series Fund

Letter to Contract Owners

Semiannual Report

June 30, 2015

DEAR CONTRACT OWNER

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,

LOGO

Timothy S. Cronin

President,

The Prudential Series Fund

July 31, 2015

Prudential Series Fund

Presentation of Portfolio Holdings — unaudited

June 30, 2015


SP Prudential U.S. Emerging Growth
Five Largest Holdings	(% of Net Assets	)
SBA Communications Corp.	2.8%
Vantiv, Inc.	2.1%
Electronic Arts, Inc.	2.1%
Dollar Tree, Inc.	2.0%
Roper Technologies, Inc.	1.9%

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, 2015

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, 2015 through June 30, 2015.

Actual Expenses

Hypothetical Example for Comparison Purposes

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, 2015		Ending Account Value June 30, 2015		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month period*
SP Prudential U.S. Emerging Growth (Class I)	Actual	$	1,000.00	$	1,050.60		0.67	%	$	3.41
SP Prudential U.S. Emerging Growth (Class I)	Hypothetical	$	1,000.00	$	1,021.47		0.67	%	$	3.36
SP Prudential U.S. Emerging Growth (Class II)	Actual	$	1,000.00	$	1,048.50		1.07	%	$	5.43
SP Prudential U.S. Emerging Growth (Class II)	Hypothetical	$	1,000.00	$	1,019.49		1.07	%	$	5.36


LONG-TERM INVESTMENTS — 96.4%
COMMON STOCKS	Shares		Value (Note 2)
Air Freight & Logistics — 0.6%
Expeditors Internatioal Washington, Inc.		32,703	$	1,507,772

Airlines — 1.9%
Spirit Airlines, Inc.*		51,404		3,192,189
United Continental Holdings, Inc.*		32,212		1,707,558

				4,899,747

Auto Components — 1.3%
Delphi Automotive PLC (United Kingdom)		38,670		3,290,430

Banks — 1.0%
First Republic Bank		41,127		2,592,235

Beverages — 1.8%
Constellation Brands, Inc. (Class A Stock)		24,092		2,795,154
Monster Beverage Corp.*		12,248		1,641,477

				4,436,631

Biotechnology — 2.9%
BioMarin Pharmaceutical, Inc.*		22,573		3,087,535
Incyte Corp.*		26,210		2,731,344
Vertex Pharmaceuticals, Inc.*		12,280		1,516,334

				7,335,213

Capital Markets — 2.5%
Affiliated Managers Group, Inc.*		12,483		2,728,784
Artisan Partners Asset Management, Inc. (Class A Stock)		26,492		1,230,818
TD Ameritrade Holding Corp.		62,578		2,304,122

				6,263,724

Chemicals — 2.8%
Airgas, Inc.		19,270		2,038,381
Axalta Coating Systems Ltd.*		67,653		2,237,961
FMC Corp.		53,480		2,810,374

				7,086,716

Commercial Services & Supplies — 2.2%
Copart, Inc.*		51,375		1,822,785
Stericycle, Inc.*		27,460		3,677,169

				5,499,954

Communications Equipment — 1.0%
F5 Networks, Inc.*		20,398		2,454,899

Construction & Engineering — 1.3%
Quanta Services, Inc.*		109,620		3,159,248

Consumer Finance — 1.1%
SLM Corp.*		278,305		2,746,870

Electrical Equipment — 1.3%
AMETEK, Inc.		59,651		3,267,682

Electronic Equipment, Instruments & Components — 1.7%
Amphenol Corp. (Class A Stock)		74,317		4,308,157
Fitbit, Inc. (Class A Stock)*(a)		1,776		67,896

				4,376,053

Food & Staples Retailing — 0.5%
Sprouts Farmers Market, Inc.*(a)		48,977		1,321,400


COMMON STOCKS (continued)	Shares		Value (Note 2)
Food Products — 3.5%
Hain Celestial Group, Inc. (The)*		68,852	$	4,534,593
J.M. Smucker Co. (The)		18,598		2,016,209
Mead Johnson Nutrition Co.		24,127		2,176,738

				8,727,540

Health Care Equipment & Supplies — 2.3%
Align Technology, Inc.*		41,895		2,627,235
Cooper Cos., Inc. (The)		14,642		2,605,837
DexCom, Inc.*		6,991		559,140

				5,792,212

Health Care Providers & Services — 6.6%
Centene Corp.*		41,575		3,342,630
Envision Healthcare Holdings, Inc.*		78,177		3,086,428
Henry Schein, Inc.*(a)		30,264		4,301,120
Laboratory Corp. of America Holdings*		18,764		2,274,572
Universal Health Services, Inc. (Class B Stock)		25,286		3,593,140

				16,597,890

Hotels, Restaurants & Leisure — 3.5%
Chipotle Mexican Grill, Inc.*		1,678		1,015,173
Hilton Worldwide Holdings, Inc.*		120,741		3,326,415
Norwegian Cruise Line Holdings Ltd.*		38,953		2,182,926
Starwood Hotels & Resorts Worldwide, Inc.		26,874		2,179,213

				8,703,727

Household Products — 1.0%
Church & Dwight Co., Inc.		30,732		2,493,287

Independent Power & Renewable Electricity Producers — 0.9%
Abengoa Yield PLC (Spain)		67,168		2,103,702
Abengoa Yield PLC (Spain), Reg D, PIPE, Private Placement (original cost $217,398; purchased 05/08/15)(b)(c)		6,560		195,186

				2,298,888

Industrial Conglomerates — 1.9%
Roper Technologies, Inc.		28,500		4,915,110

Insurance — 0.4%
W.R. Berkley Corp.		19,665		1,021,203

Internet & Catalog Retail — 0.4%
Vipshop Holdings Ltd. (China), ADR*(a)		50,339		1,120,043

Internet Software & Services — 1.7%
LinkedIn Corp. (Class A Stock)*		13,948		2,882,075
Twitter, Inc.*		39,873		1,444,200

				4,326,275

IT Services — 3.4%
FleetCor Technologies, Inc.*		13,499		2,106,654
Global Payments, Inc.		11,765		1,217,089
Vantiv, Inc. (Class A Stock)*		138,752		5,298,939

				8,622,682

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Life Sciences Tools & Services — 0.7%
Illumina, Inc.*		8,204	$	1,791,425

Machinery — 1.1%
Flowserve Corp.		51,384		2,705,881

Media — 0.7%
AMC Networks, Inc. (Class A Stock)*		21,692		1,775,490

Metals & Mining — 0.7%
Reliance Steel & Aluminum Co.		27,847		1,684,187

Multiline Retail — 3.9%
Burlington Stores, Inc.*		41,846		2,142,515
Dollar General Corp.		32,923		2,559,434
Dollar Tree, Inc.*		65,019		5,135,851

				9,837,800

Oil, Gas & Consumable Fuels — 2.6%
Concho Resources, Inc.*		20,577		2,342,897
Noble Energy, Inc.		56,133		2,395,756
Whiting Petroleum Corp.*		57,856		1,943,962

				6,682,615

Pharmaceuticals — 3.1%
Endo International PLC*		47,588		3,790,384
Jazz Pharmaceuticals PLC*		11,342		1,996,986
Mylan NV*(a)		19,067		1,293,887
Pacira Pharmaceuticals, Inc.*(a)		10,560		746,803

				7,828,060

Professional Services — 1.9%
IHS, Inc. (Class A Stock)*		29,525		3,797,801
Towers Watson & Co. (Class A Stock)		8,105		1,019,609

				4,817,410

Real Estate Investment Trusts (REITs) — 3.2%
Crown Castle International Corp.		55,845		4,484,353
MFA Financial, Inc.		200,750		1,483,543
Starwood Property Trust, Inc.		98,633		2,127,514

				8,095,410

Real Estate Management & Development — 1.1%
CBRE Group, Inc. (Class A Stock)*		75,897		2,808,189

Road & Rail — 1.0%
Kansas City Southern		18,632		1,699,238
Old Dominion Freight Line, Inc.*		11,161		765,701

				2,464,939

Semiconductors & Semiconductor Equipment — 3.6%
Analog Devices, Inc.		46,519		2,985,822
Applied Materials, Inc.		90,079		1,731,319
NXP Semiconductors NV (Netherlands)*		27,669		2,717,096
Xilinx, Inc.		39,558		1,746,881

				9,181,118

Software — 9.5%
Check Point Software Technologies Ltd. (Israel)*(a)		38,371		3,052,413
Electronic Arts, Inc.*		79,430		5,282,095


COMMON STOCKS (continued)	Shares		Value (Note 2)
Software (continued)
Intuit, Inc.		40,596	$	4,090,859
Red Hat, Inc.*		64,168		4,872,276
ServiceNow, Inc.*		37,259		2,768,716
Splunk, Inc.*		36,206		2,520,662
Ultimate Software Group, Inc. (The)*(a)		8,202		1,347,917

				23,934,938

Specialty Retail — 7.8%
GNC Holdings, Inc. (Class A Stock)		67,156		2,987,099
L Brands, Inc.		27,139		2,326,626
O’Reilly Automotive, Inc.*		15,425		3,485,741
Ross Stores, Inc.		76,544		3,720,804
Signet Jewelers Ltd.		25,703		3,296,153
Ulta Salon Cosmetics & Fragrance, Inc.*		25,533		3,943,572

				19,759,995

Textiles, Apparel & Luxury Goods — 2.1%
Kate Spade & Co.*		71,416		1,538,301
PVH Corp.		19,269		2,219,789
Under Armour, Inc. (Class A Stock)*		19,458		1,623,575

				5,381,665

Trading Companies & Distributors — 1.1%
WESCO International, Inc.*(a)		38,974		2,675,175

Wireless Telecommunication Services — 2.8%
SBA Communications Corp. (Class A Stock)*		61,374		7,056,169

TOTAL LONG-TERM INVESTMENTS (cost $166,070,888)				243,337,897

SHORT-TERM INVESTMENT — 7.6%
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $19,210,222; includes $12,771,853 of cash collateral for securities on loan) (d)(w)(Note 4)		19,210,222		19,210,222

TOTAL INVESTMENTS — 104.0% (cost $185,281,110)				262,548,119
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.0)%				(10,027,468	)

NET ASSETS — 100.0%			$	252,520,651

The following abbreviations are used in the Portfolio descriptions:


ADR		American Depositary Receipt
PIPE		Private Investment in Public Entity
Reg D		Security was purchased pursuant to Regulation D under the Securities Act of 1933, providing exemption from the registration requirements. Unless otherwise noted, Regulation D securities are deemed to be liquid.

SEE NOTES TO FINANCIAL STATEMENTS.

*	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 $12,627,990; cash collateral of $12,771,853 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. 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 Fund remained in compliance.

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

(c)	Indicates a restricted security; the original cost of the restricted security is $217,398. The value of $195,186 is approximately 0.1% of net assets.

(d)	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—

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

Level 3—

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

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Air Freight & Logistics	$	1,507,772	$	—	$	—
Airlines		4,899,747		—		—
Auto Components		3,290,430		—		—
Banks		2,592,235		—		—
Beverages		4,436,631		—		—
Biotechnology		7,335,213		—		—
Capital Markets		6,263,724		—		—
Chemicals		7,086,716		—		—
Commercial Services & Supplies		5,499,954		—		—
Communications Equipment		2,454,899		—		—
Construction & Engineering		3,159,248		—		—
Consumer Finance		2,746,870		—		—
Electrical Equipment		3,267,682		—		—
Electronic Equipment, Instruments & Components		4,376,053		—		—
Food & Staples Retailing		1,321,400		—		—
Food Products		8,727,540		—		—
Health Care Equipment & Supplies		5,792,212		—		—
Health Care Providers & Services		16,597,890		—		—
Hotels, Restaurants & Leisure		8,703,727		—		—
Household Products		2,493,287		—		—
Independent Power & Renewable Electricity Producers		2,103,702		—		195,186
Industrial Conglomerates		4,915,110		—		—
Insurance		1,021,203		—		—
Internet & Catalog Retail		1,120,043		—		—
Internet Software & Services		4,326,275		—		—
IT Services		8,622,682		—		—
Life Sciences Tools & Services		1,791,425		—		—
Machinery		2,705,881		—		—
Media		1,775,490		—		—
Metals & Mining		1,684,187		—		—
Multiline Retail		9,837,800		—		—
Oil, Gas & Consumable Fuels		6,682,615		—		—
Pharmaceuticals		7,828,060		—		—
Professional Services		4,817,410		—		—
Real Estate Investment Trusts (REITs)		8,095,410		—		—
Real Estate Management & Development		2,808,189		—		—
Road & Rail		2,464,939		—		—

SEE NOTES TO FINANCIAL STATEMENTS.


	Level 1		Level 2		Level 3
Investments in Securities (continued)
Semiconductors & Semiconductor Equipment	$	9,181,118	$	—	$	—
Software		23,934,938		—		—
Specialty Retail		19,759,995		—		—
Textiles, Apparel & Luxury Goods		5,381,665		—		—
Trading Companies & Distributors		2,675,175		—		—
Wireless Telecommunication Services		7,056,169		—		—
Affiliated Money Market Mutual Fund		19,210,222		—		—

Total	$	262,352,933	$	—	$	195,186

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 were as follows:


Software	9.5	%
Specialty Retail	7.8
Affiliated Money Market Mutual Fund (including 5.1% of collateral for securities on loan)	7.6
Health Care Providers & Services	6.6
Multiline Retail	3.9
Semiconductors & Semiconductor Equipment	3.6
Food Products	3.5
Hotels, Restaurants & Leisure	3.5
IT Services	3.4
Real Estate Investment Trusts (REITs)	3.2
Pharmaceuticals	3.1
Biotechnology	2.9
Chemicals	2.8
Wireless Telecommunication Services	2.8
Oil, Gas & Consumable Fuels	2.6
Capital Markets	2.5
Health Care Equipment & Supplies	2.3
Commercial Services & Supplies	2.2
Textiles, Apparel & Luxury Goods	2.1
Industrial Conglomerates	1.9
Airlines	1.9
Professional Services	1.9


Beverages	1.8	%
Electronic Equipment, Instruments & Components	1.7
Internet Software & Services	1.7
Auto Components	1.3
Electrical Equipment	1.3
Construction & Engineering	1.3
Real Estate Management & Development	1.1
Consumer Finance	1.1
Machinery	1.1
Trading Companies & Distributors	1.1
Banks	1.0
Household Products	1.0
Road & Rail	1.0
Communications Equipment	1.0
Independent Power & Renewable Electricity Producers	0.9
Life Sciences Tools & Services	0.7
Media	0.7
Metals & Mining	0.7
Air Freight & Logistics	0.6
Food & Staples Retailing	0.5
Internet & Catalog Retail	0.4
Insurance	0.4

	104.0
Liabilities in excess of other assets	(4.0	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.


		*SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

(Unaudited)

as of June 30, 2015


ASSETS
Investments at value, including securities on loan of $12,627,990:
Unaffiliated investments (cost $166,070,888)	$	243,337,897
Affiliated investments (cost $19,210,222)		19,210,222
Receivable for investments sold		6,040,738
Dividends receivable		146,685
Tax reclaim receivable		4,832
Receivable for Series shares sold		434
Prepaid expenses		591

Total Assets		268,741,399

LIABILITIES
Payable to broker for collateral for securities on loan		12,771,853
Payable for investments purchased		3,182,583
Management fee payable		126,880
Accrued expenses		75,901
Payable for Series shares repurchased		60,596
Deferred trustees’ fees		1,538
Affiliated transfer agent fee payable		926
Distribution fee payable		215
Administration fee payable		129
Payable to custodian		127

Total Liabilities		16,220,748

NET ASSETS	$	252,520,651

Net assets were comprised of:
Paid-in capital	$	93,929,149
Retained earnings		158,591,502

Net assets, June 30, 2015	$	252,520,651

Class I:
Net asset value and redemption price per share $251,491,875 / 20,179,119 outstanding shares of beneficial interest	$	12.46

Class II:
Net asset value and redemption price per share $1,028,776 / 86,589 outstanding shares of beneficial interest	$	11.88

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2015


NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income	$	853,066
Affiliated income from securities lending, net		9,878
Affiliated dividend income		5,159

Total income		868,103

EXPENSES
Management fee		759,990
Distribution fee—Class II		1,205
Administration fee—Class II		723
Custodian and accounting fees		28,000
Shareholders’ reports		25,000
Audit fee		12,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800)		6,000
Trustees’ fees		5,000
Legal fees and expenses		4,000
Insurance expenses		2,000
Miscellaneous		6,854

Total expenses		850,772

NET INVESTMENT INCOME		17,331

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		14,287,283
Foreign currency transactions		(812	)

		14,286,471

Net change in unrealized appreciation (depreciation) on:
Investments		(1,755,986	)
Foreign currencies		(55	)

		(1,756,041	)

NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		12,530,430

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	12,547,761

STATEMENT OF CHANGES IN NET ASSETS (Unaudited)


	Six Months Ended June 30, 2015			Year Ended December 31, 2014
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	17,331		$	539,159
Net realized gain on investment and foreign currency transactions		14,286,471			34,102,181
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(1,756,041	)		(12,120,283	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		12,547,761			22,521,057

SERIES SHARE TRANSACTIONS (NOTE 7)
Series shares sold		3,765,269			4,977,132
Series shares repurchased		(13,797,058	)		(30,013,613	)

NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(10,031,789	)		(25,036,481	)

TOTAL INCREASE (DECREASE)		2,515,972			(2,515,424	)
NET ASSETS:
Beginning of period		250,004,679			252,520,103

End of period	$	252,520,651		$	250,004,679

SEE NOTES TO FINANCIAL STATEMENTS.

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 seventeen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to SP Prudential U.S. Emerging Growth Portfolio.

The Portfolio’s investment objective is long-term capital appreciation.

Note 2:

Accounting Policies

The Series Fund follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolio consistently follow such policies in the preparation of their financial statements.

Common and preferred stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy, as the adjustment factors are observable. Such securities are valued using model prices to the extent that the valuation meets the established confidence level for each security. If the confidence level is not met or the vendor does not provide a model price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.

Restricted and Illiquid Securities: Subject to guidelines adopted by the Board, the 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. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, the Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s subadviser under the guidelines adopted by the Board. However, the liquidity of the Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.

Foreign Currency Translation: The books and records of the 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 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.

Net realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from holdings of foreign currencies, forward currency contracts, disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends 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

Master Netting Arrangements: The Portfolio is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a subadviser may have negotiated and entered into on behalf of the Portfolio. 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 to set-off existed and management has not elected to offset.

Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains or losses from 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, 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.

Taxes: For federal income tax purposes, the Portfolio in the Series Fund is treated as a separate taxpaying entity. The Portfolio is treated as a partnership for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolio is the responsibility of the Portfolio’s shareholders (Participating Insurance Companies). The Portfolio is not generally subject to entity-level taxation. Shareholders of the Portfolio are subject to taxes on its distributive share of partnership items.

Distributions: Distributions from the Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. Distributions are recorded on the ex-date.

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 subadvisers’ 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 Jennison, the cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolio. The Portfolio bears all other costs and expenses.

The management fee paid to PI is accrued daily and payable monthly at an annual rate of .60% of the Portfolio’s average daily net assets. The effective management fee rate was .60% for the six months ended June 30, 2015.

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

Note 4:

Other Transactions with Affiliates

Note 5:

Portfolio Securities

Note 6:

Tax Information

Management has analyzed the Portfolio’s tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provisions for income tax are required in the Portfolio’s financial statements for the current reporting period. The Portfolio’s federal, state and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

Note 7:

Capital

The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of the Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. 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, 2015, the SP Prudential U.S. Emerging Growth Portfolio has Class II shares outstanding.

Transactions in shares of beneficial interest were as follows:


Class I:	Shares			Amount
Six months ended June 30, 2015:
Series shares sold		275,569		$	3,431,959
Series shares repurchased		(1,096,476	)		(13,562,455	)

Net increase (decrease) in shares outstanding		(820,907	)	$	(10,130,496	)

Year ended December 31, 2014:
Series shares sold		425,884		$	4,700,683
Series shares repurchased		(2,688,562	)		(29,861,411	)

Net increase (decrease) in shares outstanding		(2,262,678	)	$	(25,160,728	)

Class II:
Six months ended June 30, 2015:
Series shares sold		27,784		$	333,310
Series shares repurchased		(19,546	)		(234,603	)

Net increase (decrease) in shares outstanding		8,238		$	98,707

Year ended December 31, 2014:
Series shares sold		26,631		$	276,449
Series shares repurchased		(14,285	)		(152,202	)

Net increase (decrease) in shares outstanding		12,346		$	124,247

Note 8:

Borrowings

The Portfolio did not utilize the SCA during the six months ended June 30, 2015.

Note 9:

Ownership and Affiliates

Note 10:

New Accounting Pronouncement

In May 2015, the FASB issued Accounting Standards Update (“ASU”) No. 2015-07 regarding “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share”. The amendments in this update are effective for the Fund for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. ASU No. 2015-07 will eliminate the requirement to categorize investments in the fair value hierarchy if their fair value is measured at net asset value (“NAV”) per share (or its equivalent) using the practical expedient in the FASB’s fair value measurement guidance. At this time, management is evaluating the implications of ASU No. 2015-07 and its impact on the financial statement disclosures has not yet been determined.

Financial Highlights

(Unaudited)


	SP Prudential U.S. Emerging Growth Portfolio
	Class I
	Six Months Ended June 30, 2015(d)			Year Ended December 31,
	Six Months Ended June 30, 2015(d)			2014(d)			2013(d)			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of period	$	11.86		$	10.83		$	8.43		$	7.80		$	7.74		$	6.45

Income From Investment Operations:
Net investment income		—	(c)		.02			.01			.06			.04			.03
Net realized and unrealized gain on investments		.60			1.01			2.39			1.21			.13			1.28

Total from investment operations		.60			1.03			2.40			1.27			.17			1.31

Less Distributions		—			—			—			(.64	)		(.11	)		(.02	)

Net Asset Value, end of period	$	12.46		$	11.86		$	10.83		$	8.43		$	7.80		$	7.74

Total Return(a)		5.06	%		9.51	%		28.47	%		16.88	%		2.22	%		20.43	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	251.5		$	249.1		$	251.8		$	221.0		$	210.8		$	242.4
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		.67	%(e)		.68	%		.68	%		.67	%		.64	%		.70	%
Expenses before waivers and/or expense reimbursement		.67	%(e)		.68	%		.68	%		.67	%		.64	%		.70	%
Net investment income		.02	%(e)		.22	%		.08	%		.73	%		.39	%		.69	%
Portfolio turnover rate		21	%(f)		45	%		38	%		44	%		40	%		73	%

	SP Prudential U.S. Emerging Growth Portfolio
	Class II
	Six Months Ended June 30, 2015(d)			Year Ended December 31,
	Six Months Ended June 30, 2015(d)			2014(d)			2013(d)			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of period	$	11.33		$	10.38		$	8.12		$	7.53		$	7.48		$	6.25

Income (Loss) From Investment Operations:
Net investment income (loss)		(.02	)		(.02	)		(.03	)		.04			—	(c)		.01
Net realized and unrealized gain on investments		.57			.97			2.29			1.16			.13			1.24

Total from investment operations		.55			.95			2.26			1.20			.13			1.25

Less Distributions		—			—			—			(.61	)		(.08	)		(.02	)

Net Asset Value, end of period	$	11.88		$	11.33		$	10.38		$	8.12		$	7.53		$	7.48

Total Return(a)		4.85	%		9.15	%		27.83	%		16.44	%		1.77	%		19.96	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	1.0		$	1.0		$	.7		$	.4		$	.3		$	.3
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		1.07	%(e)		1.08	%		1.08	%		1.07	%		1.04	%		1.10	%
Expenses before waivers and/or expense reimbursement		1.07	%(e)		1.08	%		1.08	%		1.07	%		1.04	%		1.10	%
Net investment income (loss)		(.37	)%(e)		(.19	)%		(.32	)%		.38	%		(.01	)%		.24	%
Portfolio turnover rate		21	%(f)		45	%		38	%		44	%		40	%		73	%

(a)

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

(c)	Less than $.005 per share.

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

(e)	Annualized.

(f)	Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

Approval of Advisory Agreements

The Trust’s Board of Trustees

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 Portfolio’s subadvisory agreement with Jennison Associates LLC (Jennison). 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 15-16, 2015 (the Meeting) and approved the renewal of the agreements through July 31, 2016, after concluding that the renewal of the agreements was in the best interests of the Trust, the Portfolio and the Portfolio’s beneficial shareholders.

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, which serves pursuant to the terms of a subadvisory agreement with PI, are in the best interest of the Trust, the Portfolio and the Portfolio’s shareholders in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment.

The 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 Jennison, 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 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 Jennison, as well as PI’s recommendation, based on its review of Jennison, 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 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 affililate of PI, 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

Other Benefits to PI and the Subadvisers

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 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 Portfolio are reasonable. The Board concluded that the potential benefits to be derived by Jennison 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

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 and the Board may have considered, supplemental data compiled by Lipper for the Board’s consideration.


SP Prudential U.S. Emerging Growth Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
Performance	2^nd Quartile	3^rd Quartile	3^rd Quartile	1^st Quartile
Actual Management Fees: 1^st Quartile
Net Total Expenses: 1^st Quartile

•

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

•

The Board considered that, although the Portfolio underperformed against its benchmark index over the one-, three- and five-year periods, the Portfolio returned positive results over these periods, which were only slightly lower than the benchmark index returns.

•

**********

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.

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 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

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.

0278964-00001-00 PSF-SAR-SP US EM GROWTH

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THE PRUDENTIAL SERIES FUND

SEMIANNUAL REPORT Ÿ JUNE 30, 2015

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, 2015, were not audited and, accordingly, no auditor’s opinion is expressed on them.

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The Prudential Series Fund

Table of Contents

Semiannual Report

June 30, 2015

LETTER TO CONTRACT OWNERS

PRESENTATION OF PORTFOLIO HOLDINGS

FEES AND EXPENSES

FINANCIAL REPORTS


Section A		Schedule of Investments and Financial Statements
Section B		Notes to Financial Statements
Section C		Financial Highlights

APPROVAL OF ADVISORY AGREEMENTS

The Prudential Series Fund

Letter to Contract Owners

Semiannual Report

June 30, 2015

DEAR CONTRACT OWNER

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,

LOGO

Timothy S. Cronin

President,

The Prudential Series Fund

July 31, 2015

Prudential Series Fund

Presentation of Portfolio Holdings — unaudited

June 30, 2015


SP Small Cap Value
Five Largest Holdings	(% of Net Assets	)
iShares Russell 2000 Value Index Fund, Exchange Traded Fund	2.0%
Chesapeake Lodging Trust, Real Estate Investment Trusts (REITs)	0.9%
PrivateBancorp, Inc., Banks	0.9%
Webster Financial Corp., Banks	0.9%
Pebblebrook Hotel Trust, Real Estate Investment Trusts (REITs)	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, 2015

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, 2015 through June 30, 2015.

Actual Expenses

Hypothetical Example for Comparison Purposes

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, 2015		Ending Account Value June 30, 2015		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month period*
SP Small Cap Value (Class I)	Actual	$	1,000.00	$	1,025.30		1.01	%	$	5.07
SP Small Cap Value (Class I)	Hypothetical	$	1,000.00	$	1,019.79		1.01	%	$	5.06


LONG-TERM INVESTMENTS — 84.6%
COMMON STOCKS — 82.6%	Shares		Value (Note 2)
Aerospace & Defense — 2.0%
Curtiss-Wright Corp.		17,031	$	1,233,725
Esterline Technologies Corp.*(a)		18,044		1,720,315
Moog, Inc. (Class A Stock)*		15,451		1,092,077
Triumph Group, Inc.		2,390		157,716

				4,203,833

Air Freight & Logistics — 0.4%
Forward Air Corp.		17,801		930,280

Auto Components — 0.6%
American Axle & Manufacturing Holdings, Inc.*(a)		25,224		527,434
Dana Holding Corp.		4,660		95,903
Superior Industries International, Inc.		4,384		80,271
Tenneco, Inc.*		4,638		266,406
Tower International, Inc.*		16,617		432,873

				1,402,887

Banks — 13.3%
BancorpSouth, Inc.		59,230		1,525,765
Bank of the Ozarks, Inc.(a)		36,317		1,661,503
BankUnited, Inc.		6,580		236,419
Banner Corp.(g)		13,240		634,593
Boston Private Financial Holdings, Inc.		55,737		747,433
Bridge Capital Holdings*		1,556		46,369
CoBiz Financial, Inc.		21,200		277,084
Community Bank System, Inc.		19,676		743,163
ConnectOne Bancorp, Inc.		10,486		225,764
CVB Financial Corp.		27,017		475,769
First Financial Bankshares, Inc.		25,197		872,824
First Merchants Corp.		3,050		75,335
First Midwest Bancorp, Inc.		28,097		533,000
First of Long Island Corp. (The)		7,888		218,655
First Republic Bank		2,850		179,635
FirstMerit Corp.		14,110		293,911
Flushing Financial Corp.		22,445		471,569
Glacier Bancorp, Inc.		35,715		1,050,735
Great Western Bancorp, Inc.*		39,267		946,727
Heritage Financial Corp.		12,625		225,609
Home BancShares, Inc.		17,910		654,790
Independent Bank Corp.		14,353		673,012
Independent Bank Group, Inc.		6,623		284,127
Lakeland Financial Corp.		7,972		345,746
LegacyTexas Financial Group, Inc.		36,641		1,106,558
MB Financial, Inc.(a)		37,169		1,280,100
PacWest Bancorp		29,626		1,385,312
Pinnacle Financial Partners, Inc.		22,278		1,211,255
PrivateBancorp, Inc.		49,308		1,963,445
Prosperity Bancshares, Inc.		20,982		1,211,501
Sandy Spring Bancorp, Inc.		10,438		292,055
Signature Bank*		2,260		330,841
South State Corp.		13,007		988,402
Southwest Bancorp, Inc.		14,801		275,447
State Bank Financial Corp.		18,972		411,692
Summit State Bank		4,086		53,588
SVB Financial Group*		2,780		400,264
Texas Capital Bancshares, Inc.*		9,999		622,338
Tompkins Financial Corp.		2,509		134,783
Trico Bancshares		8,235		198,052


COMMON STOCKS (continued)	Shares		Value (Note 2)
Banks (continued)
UMB Financial Corp.		18,082	$	1,031,036
Webster Financial Corp.(a)		47,612		1,883,055
Wintrust Financial Corp.		7,520		401,418

				28,580,679

Biotechnology — 0.6%
Infinity Pharmaceuticals, Inc.*(a)		83,666		916,143
Vanda Pharmaceuticals, Inc.*(a)		35,365		448,782

				1,364,925

Building Products — 0.4%
Continental Building Products, Inc.*		32,252		683,420
Gibraltar Industries, Inc.*		2,460		50,110
NCI Building Systems, Inc.*		15,288		230,390

				963,920

Capital Markets — 2.0%
Affiliated Managers Group, Inc.*		1,470		321,342
Cohen & Steers, Inc.		5,598		190,780
Golub Capital BDC, Inc.		12,625		209,070
Greenhill & Co., Inc.		1,766		72,989
HFF, Inc. (Class A Stock)		1,313		54,791
Moelis & Co. (Class A Stock)		7,352		211,076
New Mountain Finance Corp.(a)		17,667		255,995
OM Asset Management PLC (United Kingdom)		51,100		909,069
Raymond James Financial, Inc.		3,990		237,724
Stifel Financial Corp.*		22,994		1,327,674
Virtu Financial, Inc. (Class A Stock)*		11,888		279,130
Virtus Investment Partners, Inc.		2,486		328,773

				4,398,413

Chemicals — 2.2%
Axiall Corp.		5,516		198,852
Cytec Industries, Inc.(a)		11,006		666,193
Koppers Holdings, Inc.		4,660		115,195
Kraton Performance Polymers, Inc.*		4,290		102,445
Methanex Corp. (Canada)		13,389		745,232
Minerals Technologies, Inc.		4,101		279,401
Olin Corp.		5,684		153,184
PolyOne Corp.		24,531		960,879
Quaker Chemical Corp.		7,265		645,423
WR Grace & Co.*		8,403		842,821

				4,709,625

Commercial Services & Supplies — 1.2%
ACCO Brands Corp.*(a)		9,492		73,753
Ceco Environmental Corp.		24,533		277,959
G&K Services, Inc. (Class A Stock)		8,657		598,545
Herman Miller, Inc.		910		26,326
Mobile Mini, Inc.(a)		23,403		983,862
Progressive Waste Solutions Ltd. (Canada)		24,455		656,617

				2,617,062

Communications Equipment — 1.1%
ADTRAN, Inc.		21,248		345,280
Bel Fuse, Inc. (Class B Stock)		1,360		27,907
Black Box Corp.		1,090		21,800
Digi International, Inc.*		59,073		564,147

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Communications Equipment (continued)
InterDigital, Inc.		2,040	$	116,056
JDS Uniphase Corp.*		55,006		636,969
Plantronics, Inc.		2,810		158,231
RADWARE Ltd. (Israel)*		21,689		481,496

				2,351,886

Construction & Engineering — 0.7%
EMCOR Group, Inc.		29,964		1,431,381
Tutor Perini Corp.*		1,590		34,312

				1,465,693

Construction Materials — 0.4%
Eagle Materials, Inc.		10,266		783,604

Consumer Finance — 0.2%
First Cash Financial Services, Inc.*		9,091		414,459

Containers & Packaging — 0.8%
Berry Plastics Group, Inc.*		32,580		1,055,592
Graphic Packaging Holding Co.		50,741		706,822

				1,762,414

Distributors — 0.3%
Core-Mark Holding Co., Inc.		9,598		568,682

Diversified Consumer Services
Sotheby’s(a)		780		35,287

Diversified Financial Services — 0.2%
MarketAxess Holdings, Inc.		5,104		473,498

Diversified Telecommunication Services — 0.2%
Premiere Global Services, Inc.*		34,658		356,631

Electric Utilities — 2.0%
ALLETE, Inc.		580		26,906
Cleco Corp.		1,820		98,007
IDACORP, Inc.		24,505		1,375,711
MGE Energy, Inc.		965		37,375
PNM Resources, Inc.		49,560		1,219,176
Portland General Electric Co.		45,446		1,506,989

				4,264,164

Electrical Equipment — 0.3%
Thermon Group Holdings, Inc.*		27,700		666,739

Electronic Equipment, Instruments & Components — 2.1%
Anixter International, Inc.*		10,478		682,642
AVX Corp.		7,360		99,066
Belden, Inc.(a)		8,391		681,601
CTS Corp.		28,414		547,538
Littelfuse, Inc.		5,224		495,705
Newport Corp.*		31,236		592,234
Park Electrochemical Corp.		35,986		689,492
Plexus Corp.*		16,649		730,558

				4,518,836

Energy Equipment & Services — 1.5%
C&J Energy Services Ltd.*		3,370		44,484
Forum Energy Technologies, Inc.*		32,408		657,234
Frank’s International NV (Netherlands)		3,300		62,172
Gulf Island Fabrication, Inc.		2,000		22,340
Key Energy Services, Inc.*		13,402		24,124
Natural Gas Services Group, Inc.*		2,459		56,114
Newpark Resources, Inc.*		26,573		216,038


COMMON STOCKS (continued)	Shares		Value (Note 2)
Energy Equipment & Services (continued)
Oil States International, Inc.*		45,173	$	1,681,791
TETRA Technologies, Inc.*		57,676		367,973

				3,132,270

Food & Staples Retailing — 0.4%
SUPERVALU, Inc.*		16,078		130,071
Weis Markets, Inc.		16,370		689,996

				820,067

Food Products — 0.9%
B&G Foods, Inc.		10,703		305,357
Freshpet, Inc.*(a)		3,475		64,635
Hain Celestial Group, Inc. (The)*		15,362		1,011,741
J&J Snack Foods Corp.		4,900		542,283

				1,924,016

Gas Utilities — 1.2%
Laclede Group, Inc. (The)		720		37,483
New Jersey Resources Corp.		34,094		939,290
Northwest Natural Gas Co.		390		16,450
Southwest Gas Corp.		27,713		1,474,609
WGL Holdings, Inc.		650		35,288

				2,503,120

Health Care Equipment & Supplies — 0.9%
Endologix, Inc.*(a)		64,793		993,924
Integra LifeSciences Holdings Corp.*		826		55,648
Tornier NV (Netherlands)*		39,916		997,501

				2,047,073

Health Care Providers & Services — 1.3%
Air Methods Corp.*(a)		25,153		1,039,825
Brookdale Senior Living, Inc.*		1,010		35,047
Civitas Solutions, Inc.*		1,970		42,020
Cross Country Healthcare, Inc.*		4,135		52,432
HealthSouth Corp.		33,774		1,555,630
LifePoint Hospitals, Inc.*		710		61,735

				2,786,689

Health Care Technology — 1.0%
Allscripts Healthcare Solutions, Inc.*		86,100		1,177,848
HMS Holdings Corp.*(a)		52,938		908,946

				2,086,794

Hotels, Restaurants & Leisure — 2.5%
Bloomin’ Brands, Inc.		27,141		579,460
Bojangles’, Inc.*		1,102		26,294
Diamond Resorts International, Inc.*		36,617		1,155,266
DineEquity, Inc.		1,777		176,083
Jack in the Box, Inc.		13,243		1,167,503
Marriott Vacations Worldwide Corp.		9,837		902,545
Vail Resorts, Inc.		12,604		1,376,357

				5,383,508

Household Durables — 0.8%
Meritage Homes Corp.*		13,993		658,930
Ryland Group, Inc. (The)(a)		1,150		53,325
Standard Pacific Corp.*		72,426		645,316
WCI Communities, Inc.*		4,020		98,048
William Lyon Homes (Class A Stock)*		13,446		345,159

				1,800,778

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Household Products — 0.8%
Spectrum Brands Holdings, Inc.		17,120	$	1,746,069

Independent Power & Renewable Electricity Producers — 0.4%
Dynegy, Inc.*		30,511		892,447

Industrial Conglomerates — 0.4%
Carlisle Cos., Inc.		9,677		968,861

Insurance — 4.3%
Allied World Assurance Co. Holdings AG (Switzerland)		6,550		283,091
American Equity Investment Life Holding Co.		47,519		1,282,063
AMERISAFE, Inc.		8,148		383,445
AmTrust Financial Services, Inc.(a)		8,216		538,230
Axis Capital Holdings Ltd. (Bermuda)		4,100		218,817
CNO Financial Group, Inc.(a)		89,396		1,640,416
Endurance Specialty Holdings Ltd. (Bermuda)		11,889		781,107
Enstar Group Ltd. (Bermuda)*(g)		3,310		512,884
Fidelity & Guaranty Life		8,882		209,882
Maiden Holdings Ltd. (Bermuda)		68,496		1,080,867
National General Holdings Corp.		18,987		395,499
ProAssurance Corp.		12,866		594,538
RLI Corp.		11,251		578,189
Symetra Financial Corp.		27,811		672,192

				9,171,220

Internet & Catalog Retail — 0.4%
HSN, Inc.		11,412		801,008

Internet Software & Services — 0.3%
Everyday Health, Inc.*		52,619		672,471

IT Services — 0.4%
Convergys Corp.		36,933		941,422

Leisure Products
Brunswick Corp.		1,571		79,901

Life Sciences Tools & Services — 0.8%
Albany Molecular Research, Inc.*(a)		27,841		562,945
Bruker Corp.*		59,537		1,215,150

				1,778,095

Machinery — 3.1%
Actuant Corp. (Class A Stock)		39,794		918,843
Alamo Group, Inc.		5,852		319,753
Altra Industrial Motion Corp.		1,910		51,914
Barnes Group, Inc.		27,193		1,060,255
Clarcor, Inc.		12,173		757,648
Graco, Inc.		5,298		376,317
Harsco Corp.		9,340		154,110
Manitowoc Co., Inc. (The)		6,140		120,344
RBC Bearings, Inc.*		11,455		822,011
Snap-on, Inc.		770		122,622
Standex International Corp.		6,188		494,607
Watts Water Technologies, Inc. (Class A Stock)		17,370		900,634
Woodward, Inc.(a)		8,829		485,507

				6,584,565


COMMON STOCKS (continued)	Shares		Value (Note 2)
Marine
Diana Shipping, Inc. (Greece)*(a)		6,330	$	44,627

Media — 1.3%
Carmike Cinemas, Inc.*		16,977		450,569
Live Nation Entertainment, Inc.*		45,720		1,256,843
Nexstar Broadcasting Group, Inc. (Class A Stock)		16,118		902,608
Townsquare Media, Inc. (Class A Stock)*		9,848		133,736

				2,743,756

Metals & Mining — 1.3%
AK Steel Holding Corp.*(a)		16,620		64,319
Carpenter Technology Corp.		1,490		57,633
Commercial Metals Co.		38,587		620,479
Globe Specialty Metals, Inc.		26,445		468,076
Haynes International, Inc.		1,934		95,385
Horsehead Holding Corp.*(a)		9,380		109,934
Kaiser Aluminum Corp.(a)		13,083		1,086,936
Steel Dynamics, Inc.		5,650		117,040
TimkenSteel Corp.		2,813		75,923

				2,695,725

Multiline Retail — 0.6%
Burlington Stores, Inc.*		24,527		1,255,782

Multi-Utilities — 0.8%
Black Hills Corp.		13,819		603,199
NorthWestern Corp.		21,029		1,025,164

				1,628,363

Oil, Gas & Consumable Fuels — 2.9%
Carrizo Oil & Gas, Inc.*(a)		31,943		1,572,873
Cloud Peak Energy, Inc.*		5,230		24,372
Jones Energy, Inc. (Class A Stock)*		3,209		29,041
Laredo Petroleum, Inc.*(a)		28,214		354,932
Parsley Energy, Inc. (Class A Stock)*		29,347		511,225
Rex Energy Corp.*(a)		95,906		536,115
Rice Energy, Inc.*(a)		56,607		1,179,124
RSP Permian, Inc.*		14,688		412,880
SM Energy Co.		30,491		1,406,245
WPX Energy, Inc.*(a)		8,990		110,397

				6,137,204

Paper & Forest Products — 0.5%
Boise Cascade Co.*		1,280		46,950
KapStone Paper and Packaging Corp.		35,312		816,414
Mercer International, Inc. (Canada)*		11,859		162,231

				1,025,595

Pharmaceuticals — 0.8%
Catalent, Inc.*		25,992		762,346
Pacira Pharmaceuticals, Inc.*(a)		6,175		436,696
Prestige Brands Holdings, Inc.*		11,509		532,176

				1,731,218

Professional Services — 0.8%
Korn/Ferry International		1,280		44,505
On Assignment, Inc.*		30,110		1,182,721
TrueBlue, Inc.*		20,101		601,020

				1,828,246

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Investment Trusts (REITs) — 9.7%
Acadia Realty Trust		46,443	$	1,351,956
American Homes 4 Rent		3,220		51,649
Apollo Commercial Real Estate Finance, Inc.		55,090		905,129
Biomed Realty Trust, Inc.		2,490		48,157
Blackstone Mortgage Trust, Inc. (Class A Stock)		37,255		1,036,434
CBL & Associates Properties, Inc.		48,398		784,048
Chesapeake Lodging Trust		64,838		1,976,262
Corporate Office Properties Trust		2,480		58,379
Cousins Properties, Inc.		5,073		52,658
CubeSmart		64,564		1,495,302
CyrusOne, Inc.		34,716		1,022,386
DuPont Fabros Technology, Inc.		15,835		466,341
EastGroup Properties, Inc.		1,360		76,473
Empire State Realty Trust, Inc. (Class A Stock)		3,320		56,639
First Potomac Realty Trust		4,940		50,882
Hersha Hospitality Trust		1,433		36,742
Highwoods Properties, Inc.		30,989		1,238,010
Hudson Pacific Properties, Inc.		41,808		1,186,093
MFA Financial, Inc.		115,051		850,227
Mid-America Apartment Communities, Inc.		730		53,151
National Health Investors, Inc.		22,849		1,423,493
Pebblebrook Hotel Trust		43,528		1,866,481
PS Business Parks, Inc.		17,440		1,258,296
Sovran Self Storage, Inc.		3,665		318,525
Strategic Hotels & Resorts, Inc.*		130,785		1,585,114
Terreno Realty Corp.		41,595		819,421
Two Harbors Investment Corp.		72,629		707,406
Washington Real Estate Investment Trust		1,220		31,659

				20,807,313

Real Estate Management & Development — 0.6%
CBRE Group, Inc. (Class A Stock)*		1,250		46,250
Jones Lang LaSalle, Inc.		410		70,110
Kennedy-Wilson Holdings, Inc.		50,191		1,234,197

				1,350,557

Road & Rail — 0.1%
Old Dominion Freight Line, Inc.*		1,787		122,597

Semiconductors & Semiconductor Equipment — 2.9%
Cabot Microelectronics Corp.*		16,665		785,088
Entegris, Inc.*		83,786		1,220,762
Exar Corp.*		36,392		355,914
Fairchild Semiconductor International, Inc.*		35,432		615,808
Intersil Corp. (Class A Stock)		79,118		989,766
MKS Instruments, Inc.		25,329		960,982
ON Semiconductor Corp.*		10,680		124,849
Semtech Corp.*		30,233		600,125
Silicon Laboratories, Inc.*		3,264		176,289
Teradyne, Inc.		7,526		145,177
Veeco Instruments, Inc.*(a)		7,298		209,745

				6,184,505


COMMON STOCKS (continued)	Shares		Value (Note 2)
Software — 1.6%
Bottomline Technologies (DE), Inc.*		23,476	$	652,867
CommVault Systems, Inc.*		11,717		496,918
Monotype Imaging Holdings, Inc.		20,887		503,586
Pegasystems, Inc.		20,557		470,550
PTC, Inc.*		9,771		400,806
Verint Systems, Inc.*		15,196		923,081

				3,447,808

Specialty Retail — 2.3%
American Eagle Outfitters, Inc.		18,152		312,577
Asbury Automotive Group, Inc.*		6,684		605,704
Ascena Retail Group, Inc.*		15,088		251,291
Boot Barn Holdings, Inc.*		14,023		448,736
Cato Corp. (The) (Class A Stock)		100		3,876
Express, Inc.*		3,020		54,692
GNC Holdings, Inc. (Class A Stock)		17,444		775,909
Lithia Motors, Inc. (Class A Stock)		12,119		1,371,386
MarineMax, Inc.*		1,200		28,212
Monro Muffler Brake, Inc.(a)		5,667		352,261
Office Depot, Inc.*		49,107		425,267
Party City Holdco, Inc.*		5,633		114,181
Pier 1 Imports, Inc.(a)		15,810		199,680
Vitamin Shoppe, Inc.*		1,530		57,023

				5,000,795

Technology Hardware, Storage & Peripherals — 0.4%
Electronics For Imaging, Inc.*		18,344		798,147

Textiles, Apparel & Luxury Goods — 0.8%
Carter’s, Inc.		11,993		1,274,856
Steven Madden Ltd.*		11,118		475,628

				1,750,484

Thrifts & Mortgage Finance — 1.6%
Brookline Bancorp, Inc.		22,877		258,281
Dime Community Bancshares, Inc.		14,684		248,747
Oritani Financial Corp.		17,838		286,300
Provident Financial Services, Inc.		30,690		582,803
Radian Group, Inc.		85,572		1,605,331
Westfield Financial, Inc.		13,259		96,923
WSFS Financial Corp.		13,611		372,261

				3,450,646

Trading Companies & Distributors — 1.2%
Beacon Roofing Supply, Inc.		17,233		572,480
Kaman Corp.		22,160		929,391
Rush Enterprises, Inc. (Class A Stock)*		5,420		142,058
WESCO International, Inc.*(a)		12,510		858,686

				2,502,615

TOTAL COMMON STOCKS (cost $141,661,581)				177,459,874

EXCHANGE TRADED FUND — 2.0%
iShares Russell 2000 Value Index Fund(a) (cost $4,075,503)		42,135		4,296,085

TOTAL LONG-TERM INVESTMENTS (cost $145,737,084)				181,755,959

SEE NOTES TO FINANCIAL STATEMENTS.


	Shares		Value (Note 2)
SHORT-TERM INVESTMENT — 28.2%
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $60,708,729; includes $21,257,377 of cash collateral for securities on loan)(Note 4)(b)(w)		60,708,729	$	60,708,729

TOTAL INVESTMENTS — 112.8% (cost $206,445,813)			$	242,464,688
LIABILITIES IN EXCESS OF OTHER ASSETS — (12.8)%				(27,523,541	)

NET ASSETS — 100.0%			$	214,941,147

*	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 $20,846,936; cash collateral of $21,257,377 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

(g)	Indicates a security or securities 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.

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

Level 1—

quoted prices generally in active markets for identical securities.

Level 2—

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

Level 3—

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

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	4,203,833	$	—	$	—
Air Freight & Logistics		930,280		—		—
Auto Components		1,402,887		—		—
Banks		28,580,679		—		—
Biotechnology		1,364,925		—		—
Building Products		963,920		—		—
Capital Markets		4,398,413		—		—
Chemicals		4,709,625		—		—
Commercial Services & Supplies		2,617,062		—		—
Communications Equipment		2,351,886		—		—
Construction & Engineering		1,465,693		—		—
Construction Materials		783,604		—		—
Consumer Finance		414,459		—		—
Containers & Packaging		1,762,414		—		—
Distributors		568,682		—		—
Diversified Consumer Services		35,287		—		—
Diversified Financial Services		473,498		—		—
Diversified Telecommunication Services		356,631		—		—
Electric Utilities		4,264,164		—		—
Electrical Equipment		666,739		—		—
Electronic Equipment, Instruments & Components		4,518,836		—		—
Energy Equipment & Services		3,132,270		—		—
Food & Staples Retailing		820,067		—		—
Food Products		1,924,016		—		—
Gas Utilities		2,503,120		—		—
Health Care Equipment & Supplies		2,047,073		—		—
Health Care Providers & Services		2,786,689		—		—
Health Care Technology		2,086,794		—		—
Hotels, Restaurants & Leisure		5,383,508		—		—
Household Durables		1,800,778		—		—
Household Products		1,746,069		—		—
Independent Power & Renewable Electricity Producers		892,447		—		—

SEE NOTES TO FINANCIAL STATEMENTS.


	Level 1		Level 2		Level 3
Investments in Securities (continued)
Industrial Conglomerates	$	968,861	$	—	$	—
Insurance		9,171,220		—		—
Internet & Catalog Retail		801,008		—		—
Internet Software & Services		672,471		—		—
IT Services		941,422		—		—
Leisure Products		79,901		—		—
Life Sciences Tools & Services		1,778,095		—		—
Machinery		6,584,565		—		—
Marine		44,627		—		—
Media		2,743,756		—		—
Metals & Mining		2,695,725		—		—
Multiline Retail		1,255,782		—		—
Multi-Utilities		1,628,363		—		—
Oil, Gas & Consumable Fuels		6,137,204		—		—
Paper & Forest Products		1,025,595		—		—
Pharmaceuticals		1,731,218		—		—
Professional Services		1,828,246		—		—
Real Estate Investment Trusts (REITs)		20,807,313		—		—
Real Estate Management & Development		1,350,557		—		—
Road & Rail		122,597		—		—
Semiconductors & Semiconductor Equipment		6,184,505		—		—
Software		3,447,808		—		—
Specialty Retail		5,000,795		—		—
Technology Hardware, Storage & Peripherals		798,147		—		—
Textiles, Apparel & Luxury Goods		1,750,484		—		—
Thrifts & Mortgage Finance		3,450,646		—		—
Trading Companies & Distributors		2,502,615		—		—
Exchange Traded Fund		4,296,085		—		—
Affiliated Money Market Mutual Fund		60,708,729		—		—

Total	$	242,464,688	$	—	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 were as follows:


Affiliated Money Market Mutual Fund (including 9.9% of collateral for securities on loan)	28.2	%
Banks	13.3
Real Estate Investment Trusts (REITs)	9.7
Insurance	4.3
Machinery	3.1
Semiconductors & Semiconductor Equipment	2.9
Oil, Gas & Consumable Fuels	2.9
Hotels, Restaurants & Leisure	2.5
Specialty Retail	2.3
Chemicals	2.2
Electronic Equipment, Instruments & Components	2.1
Capital Markets	2.0
Exchange Traded Fund	2.0
Electric Utilities	2.0
Aerospace & Defense	2.0
Thrifts & Mortgage Finance	1.6
Software	1.6
Energy Equipment & Services	1.5
Health Care Providers & Services	1.3
Media	1.3
Metals & Mining	1.3
Commercial Services & Supplies	1.2
Gas Utilities	1.2
Trading Companies & Distributors	1.2
Communications Equipment	1.1
Health Care Technology	1.0
Health Care Equipment & Supplies	0.9
Food Products	0.9
Professional Services	0.8
Household Durables	0.8
Life Sciences Tools & Services	0.8


Containers & Packaging	0.8	%
Textiles, Apparel & Luxury Goods	0.8
Household Products	0.8
Pharmaceuticals	0.8
Multi-Utilities	0.8
Construction & Engineering	0.7
Auto Components	0.6
Biotechnology	0.6
Real Estate Management & Development	0.6
Multiline Retail	0.6
Paper & Forest Products	0.5
Industrial Conglomerates	0.4
Building Products	0.4
IT Services	0.4
Air Freight & Logistics	0.4
Independent Power & Renewable Electricity Producers	0.4
Food & Staples Retailing	0.4
Internet & Catalog Retail	0.4
Technology Hardware, Storage & Peripherals	0.4
Construction Materials	0.4
Internet Software & Services	0.3
Electrical Equipment	0.3
Distributors	0.3
Diversified Financial Services	0.2
Consumer Finance	0.2
Diversified Telecommunication Services	0.2
Road & Rail	0.1

	112.8
Liabilities in excess of other assets	(12.8	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.


		*SP SMALL CAP VALUE PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

(Unaudited)

as of June 30, 2015


ASSETS
Investments at value, including securities on loan of $20,846,936:
Unaffiliated investments (cost $145,737,084)	$	181,755,959
Affiliated investments (cost $60,708,729)		60,708,729
Receivable for investments sold		17,054,696
Dividends receivable		323,012
Tax reclaim receivable		4,761
Prepaid expenses		262

Total assets		259,847,419

LIABILITIES
Payable for investments purchased		23,358,368
Payable to broker for collateral for securities on loan		21,257,377
Management fee payable		159,936
Accrued expenses and other liabilities		76,188
Payable for Series shares repurchased		50,612
Payable to custodian		2,301
Affiliated transfer agent fee payable		926
Deferred trustees’ fees		564

Total liabilities		44,906,272

NET ASSETS	$	214,941,147

Net assets were comprised of:
Paid-in capital	$	96,992,420
Retained earnings		117,948,727

Net assets, June 30, 2015	$	214,941,147

Class I:
Net asset value and redemption price per share $214,941,147 / 10,608,337 outstanding shares of beneficial interest	$	20.26

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2015


NET INVESTMENT INCOME
Income
Unaffiliated dividend income (net of foreign withholding taxes of $2,680)	$	1,341,229
Affiliated income from securities lending, net		37,682
Affiliated dividend income		4,097

Total income		1,383,008

EXPENSES
Management fee		958,090
Custodian and accounting fees		48,000
Shareholders’ reports		21,000
Audit fee		12,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800)		6,000
Trustees’ fees		5,000
Legal fees and expenses		4,000
Insurance expenses		2,000
Miscellaneous		6,849

Total expenses		1,062,939
Less: Management fee waiver and/or expense reimbursement		(8,516	)

Net expenses		1,054,423

NET INVESTMENT INCOME		328,585

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain on investment transactions		28,921,009
Net change in unrealized appreciation (depreciation) on:
Investments		(23,902,269	)
Foreign currencies		(243	)

		(23,902,512	)

NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		5,018,497

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	5,347,082

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)


	Six Months Ended June 30, 2015			Year Ended December 31, 2014
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	328,585		$	1,213,210
Net realized gain on investment and foreign currency transactions		28,921,009			23,150,781
Net change in unrealized depreciation on investments and foreign currencies		(23,902,512	)		(13,961,061	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		5,347,082			10,402,930

SERIES SHARE TRANSACTIONS
Series shares sold [195,385 and 247,570 shares, respectively]		3,950,237			4,704,300
Series shares repurchased [573,122 and 1,385,973 shares, respectively]		(11,437,647	)		(26,343,584	)

NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(7,487,410	)		(21,639,284	)

TOTAL DECREASE		(2,140,328	)		(11,236,354	)
Net Assets:
Beginning of period		217,081,475			228,317,829

End of period	$	214,941,147		$	217,081,475

SEE NOTES TO FINANCIAL STATEMENTS.

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 seventeen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to SP Small Cap Value Portfolio.