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, 17th Floor Newark, New Jersey 07102
Name and address of agent for service:	Deborah A. Docs 655 Broad Street, 17th Floor Newark, New Jersey 07102
Registrant’s telephone number, including area code:	973-367-7521
Date of fiscal year end:	12/31/2016
Date of reporting period:	6/30/2016

Item 1 – Reports to Stockholders

The Prudential Series Fund

SEMIANNUAL REPORT June 30, 2016

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, 2016, 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.

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, 2016

n LETTER TO CONTRACT OWNERS

n PRESENTATION OF PORTFOLIO HOLDINGS

n FEES AND EXPENSES

n FINANCIAL REPORTS

Section A	Schedule of Investments and Financial Statements
	Conservative Balanced Portfolio	A1
	Diversified Bond Portfolio	A33
	Equity Portfolio	A62
	Flexible Managed Portfolio	A67
	Global Portfolio	A97
	Government Income Portfolio	A105
	High Yield Bond Portfolio	A114
	Jennison Portfolio	A133
	Money Market Portfolio	A137
	Natural Resources Portfolio	A142
	Small Capitalization Stock Portfolio	A146
	Stock Index Portfolio	A157
	Value Portfolio	A167
	Glossary	A171
Section B	Notes to Financial Statements
Section C	Financial Highlights

n APPROVAL OF ADVISORY AGREEMENTS

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

The Prudential Series Fund   Letter to Contract Owners Semiannual Report June 30, 2016

n DEAR CONTRACT OWNER

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

Prudential has been building on a heritage of success for more than 135 years. 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,

Timothy S. Cronin

President,

The Prudential Series Fund July 29, 2016

The Prudential Series Fund   Presentation of Portfolio Holdings — unaudited June 30, 2016

Conservative Balanced
Five Largest Holdings	(% of Net Assets	)
Federal National Mortgage Assoc., 3.000%, TBA	1.8%
Apple, Inc.	1.3%
Microsoft Corp.	1.0%
Exxon Mobil Corp.	1.0%
Johnson & Johnson	0.9%

Diversified Bond
Allocation	(% of Net Assets	)
Commercial Mortgage-Backed Securities	11.5%
Banks	10.9%
Residential Mortgage-Backed Securities	10.4%
Collateralized Loan Obligations	4.2%
Sovereign Bonds	4.0%

Equity
Five Largest Holdings	(% of Net Assets	)
Amazon.com, Inc.	3.5%
Facebook, Inc.	3.2%
Microsoft Corp.	2.3%
Apple, Inc.	2.2%
Allergan PLC	2.2%

Flexible Managed
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	1.5%
Microsoft Corp.	1.5%
Federal National Mortgage Assoc., 3.000%, TBA	1.4%
Facebook, Inc. (Class A Stock)	1.1%
AT&T, Inc.	1.1%

Global
Top Five Countries	(% of Net Assets	)
United States	54.5%
Japan	6.9%
United Kingdom	5.2%
France	3.9%
Switzerland	3.2%

Government Income
Allocation	(% of Net Assets	)
U.S. Government Agency Obligations	55.0%
Commercial Mortgage-Backed Securities	27.5%
U.S. Treasury Obligations	10.8%
Collateralized Loan Obligations	5.8%
Corporate Bond	1.0%

High Yield Bond
Allocation	(% of Net Assets	)
Media	6.6%
Electric	6.3%
Healthcare-Services	6.2%
Oil & Gas	5.1%
Retail	4.9%

Jennison
Five Largest Holdings	(% of Net Assets	)
Amazon.com, Inc.	6.1%
Facebook, Inc. (Class A Stock)	4.3%
Apple, Inc.	4.0%
Visa, Inc. (Class A Stock)	3.4%
Tencent Holdings Ltd. (China)	2.8%

Natural Resources
Five Largest Holdings	(% of Net Assets	)
Concho Resources, Inc.	4.5%
Range Resources Corp.	4.5%
Pioneer Natural Resources Co.	4.4%
Continental Resources, Inc.	3.8%
Weatherford International PLC	3.3%

Small Capitalization Stock
Five Largest Holdings	(% of Net Assets	)
Piedmont Natural Gas Co., Inc.	0.8%
iShares Core S&P Small-Cap ETF	0.8%
Spire, Inc.	0.5%
Blackbaud, Inc.	0.5%
Take-Two Interactive Software, Inc.	0.5%

Stock Index
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	2.8%
Microsoft Corp.	2.1%
Exxon Mobil Corp.	2.1%
Johnson & Johnson	1.8%
General Electric Co.	1.5%

Value
Five Largest Holdings	(% of Net Assets	)
JPMorgan Chase & Co.	3.5%
PG&E Corp.	3.0%
Wells Fargo & Co.	2.9%
Pfizer, Inc.	2.8%
Procter & Gamble Co. (The)	2.4%

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, 2016

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, 2016 through June 30, 2016.

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, 2016		Ending Account Value June 30, 2016		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During  the Six-Month period*
Conservative Balanced (Class I)	Actual	$	1,000.00	$	1,042.10		0.58	%	$	2.94
	Hypothetical	$	1,000.00	$	1,021.98		0.58	%	$	2.92
Diversified Bond (Class I)	Actual	$	1,000.00	$	1,070.50		0.46	%	$	2.37
	Hypothetical	$	1,000.00	$	1,022.58		0.46	%	$	2.31
Equity (Class I)	Actual	$	1,000.00	$	949.80		0.47	%	$	2.28
	Hypothetical	$	1,000.00	$	1,022.53		0.47	%	$	2.36
Equity (Class II)	Actual	$	1,000.00	$	948.00		0.87	%	$	4.21
	Hypothetical	$	1,000.00	$	1,020.54		0.87	%	$	4.37
Flexible Managed (Class I)	Actual	$	1,000.00	$	1,035.10		0.63	%	$	3.19
	Hypothetical	$	1,000.00	$	1,021.73		0.63	%	$	3.17
Global (Class I)	Actual	$	1,000.00	$	993.50		0.80	%	$	3.97
	Hypothetical	$	1,000.00	$	1,020.89		0.80	%	$	4.02
Government Income (Class I)	Actual	$	1,000.00	$	1,050.00		0.52	%	$	2.65
	Hypothetical	$	1,000.00	$	1,022.28		0.52	%	$	2.61
High Yield Bond (Class I)	Actual	$	1,000.00	$	1,081.60		0.57	%	$	2.95
	Hypothetical	$	1,000.00	$	1,022.03		0.57	%	$	2.87
Jennison (Class I)	Actual	$	1,000.00	$	934.30		0.63	%	$	3.03
	Hypothetical	$	1,000.00	$	1,021.73		0.63	%	$	3.17
Jennison (Class II)	Actual	$	1,000.00	$	932.60		1.03	%	$	4.95
	Hypothetical	$	1,000.00	$	1,019.74		1.03	%	$	5.17
Money Market (Class I)	Actual	$	1,000.00	$	1,000.50		0.37	%	$	1.84
	Hypothetical	$	1,000.00	$	1,023.02		0.37	%	$	1.86

The Prudential Series Fund   Fees and Expenses — unaudited (continued) June 30, 2016

The Prudential Series Fund Portfolios		Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During  the Six-Month period*
Natural Resources (Class I)	Actual	$	1,000.00	$	1,131.50		0.54	%	$	2.86
	Hypothetical	$	1,000.00	$	1,022.18		0.54	%	$	2.72
Natural Resources (Class II)	Actual	$	1,000.00	$	1,128.60		0.94	%	$	4.97
	Hypothetical	$	1,000.00	$	1,020.19		0.94	%	$	4.72
Small Capitalization Stock (Class I)	Actual	$	1,000.00	$	1,063.10		0.40	%	$	2.05
	Hypothetical	$	1,000.00	$	1,022.87		0.40	%	$	2.01
Stock Index (Class I)	Actual	$	1,000.00	$	1,039.10		0.32	%	$	1.62
	Hypothetical	$	1,000.00	$	1,023.27		0.32	%	$	1.61
Value (Class I)	Actual	$	1,000.00	$	984.80		0.43	%	$	2.12
	Hypothetical	$	1,000.00	$	1,022.73		0.43	%	$	2.16
Value (Class II)	Actual	$	1,000.00	$	982.60		0.83	%	$	4.09
	Hypothetical	$	1,000.00	$	1,020.74		0.83	%	$	4.17

* 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 182 days in the six-month period ended June 30, 2016, and divided by the 366 days in the Portfolio’s fiscal year ending December 31, 2016 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.

	CONSERVATIVE BALANCED  PORTFOLIO
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

LONG-TERM INVESTMENTS — 90.3%
COMMON STOCKS — 48.1%	Shares		Value (Note 2)
Aerospace & Defense — 1.2%
Boeing Co. (The)		38,850	$	5,045,450
General Dynamics Corp.		18,300		2,548,092
Honeywell International, Inc.		48,212		5,608,020
L-3 Communications Holdings, Inc.		5,100		748,119
Lockheed Martin Corp.		16,500		4,094,805
Northrop Grumman Corp.		11,362		2,525,545
Raytheon Co.		18,800		2,555,860
Rockwell Collins, Inc.(a)		8,200		698,148
Safran SA (France)		1,224		82,427
Textron, Inc.		17,100		625,176
Thales SA (France)		835		69,342
TransDigm Group, Inc.*(a)		3,100		817,439
United Technologies Corp.		48,800		5,004,440
				30,422,863
Air Freight & Logistics — 0.3%
C.H. Robinson Worldwide, Inc.		9,200		683,100
Deutsche Post AG (Germany)		3,772		106,267
Expeditors International of Washington, Inc.		12,000		588,480
FedEx Corp.		16,400		2,489,192
Royal Mail PLC (United Kingdom)		3,171		21,305
United Parcel Service, Inc. (Class B Stock)		43,300		4,664,276
				8,552,620
Airlines — 0.2%
Alaska Air Group, Inc.		7,200		419,688
American Airlines Group, Inc.		36,900		1,044,639
ANA Holdings, Inc. (Japan)		13,000		37,045
Cathay Pacific Airways Ltd. (Hong Kong)		159,000		233,263
Delta Air Lines, Inc.		48,500		1,766,855
International Consolidated Airlines Group SA (United Kingdom)		3,186		15,775
Japan Airlines Co. Ltd. (Japan)		400		12,869
Singapore Airlines Ltd. (Singapore)		3,300		26,205
Southwest Airlines Co.		39,600		1,552,716
United Continental Holdings, Inc.*		21,100		865,944
				5,974,999
Auto Components — 0.2%
BorgWarner, Inc.		14,000		413,280
Cie Generale des Etablissements Michelin (France)		4,085		384,974
Delphi Automotive PLC (United Kingdom)		17,700		1,108,020
Goodyear Tire & Rubber Co. (The)		16,300		418,258
Johnson Controls, Inc.		40,600		1,796,956
Koito Manufacturing Co. Ltd. (Japan)		7,800		359,147
Sumitomo Rubber Industries Ltd. (Japan)		1,400		18,743
Valeo SA (France)		7,476		331,892
				4,831,270
Automobiles — 0.3%
Bayerische Motoren Werke AG (Germany)		1,290		93,880
Daimler AG (Germany)		446		26,688

COMMON STOCKS (continued)	Shares		Value (Note 2)
Automobiles (continued)
Ferrari NV (Italy)		846	$	34,730
Fiat Chrysler Automobiles NV (United Kingdom)		3,504		21,569
Ford Motor Co.		244,185		3,069,406
Fuji Heavy Industries Ltd. (Japan)		2,300		79,059
General Motors Co.		88,000		2,490,400
Harley-Davidson, Inc.(a)		12,000		543,600
Mazda Motor Corp. (Japan)		2,200		29,113
Mitsubishi Motors Corp. (Japan)		6,100		28,160
Nissan Motor Co. Ltd. (Japan)		9,800		87,458
Renault SA (France)		4,649		350,990
Suzuki Motor Corp. (Japan)		1,400		37,909
Toyota Motor Corp. (Japan)		9,000		443,687
Volkswagen AG (Germany)		123		16,305
				7,352,954
Banks — 2.6%
Aozora Bank Ltd. (Japan)		11,000		38,159
Banco Santander SA (Spain)		7,244		28,112
Bank of America Corp.		646,721		8,581,988
BB&T Corp.		50,700		1,805,427
BNP Paribas SA (France)		10,881		477,194
Citigroup, Inc.		184,685		7,828,797
Citizens Financial Group, Inc.		31,700		633,366
Comerica, Inc.		11,000		452,430
Commonwealth Bank of Australia (Australia)		2,352		132,018
Concordia Financial Group Ltd. (Japan)*		4,700		18,151
Credit Agricole SA (France)		43,650		366,964
Danske Bank A/S (Denmark)		15,100		397,438
DBS Group Holdings Ltd. (Singapore)		29,400		346,653
Erste Group Bank AG (Austria)		2,698		61,428
Fifth Third Bancorp		47,021		827,099
HSBC Holdings PLC (United Kingdom)		127,438		789,553
Huntington Bancshares, Inc.		47,736		426,760
ING Groep NV (Netherlands), CVA		31,165		322,432
Intesa Sanpaolo SpA (Italy)		49,610		94,493
Intesa Sanpaolo SpA, RSP (Italy)		10,665		19,092
JPMorgan Chase & Co.		230,945		14,350,922
KeyCorp.		49,400		545,870
Lloyds Banking Group PLC (United Kingdom)		17,330		12,552
M&T Bank Corp.		10,400		1,229,592
Mitsubishi UFJ Financial Group, Inc. (Japan)		2,100		9,414
Mizuho Financial Group, Inc. (Japan)		93,700		134,840
National Australia Bank Ltd. (Australia)		10,202		195,873
People’s United Financial, Inc.(a)		19,100		280,006
PNC Financial Services Group, Inc. (The)		31,433		2,558,332
Regions Financial Corp.		78,203		665,508
Societe Generale SA (France)		11,871		371,397

SEE NOTES TO FINANCIAL STATEMENTS.

A1

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Banks (continued)
Sumitomo Mitsui Financial Group, Inc. (Japan)		16,700	$	482,213
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		32,000		104,122
SunTrust Banks, Inc.		31,800		1,306,344
Svenska Handelsbanken AB (Sweden) (Class A Stock)		5,816		70,609
U.S. Bancorp		102,285		4,125,154
Wells Fargo & Co.		291,264		13,785,525
Westpac Banking Corp. (Australia)		2,175		48,232
Zions Bancorporation		12,850		322,921
				64,246,980
Beverages — 1.1%
Anheuser-Busch InBev SA/NV (Belgium)		1,269		167,809
Asahi Group Holdings Ltd. (Japan)		1,500		48,502
Brown-Forman Corp. (Class B Stock)		6,250		623,500
Coca-Cola Amatil Ltd. (Australia)		18,153		112,059
Coca-Cola Co. (The)		244,101		11,065,098
Coca-Cola European Partners PLC (United Kingdom)*		850		30,459
Coca-Cola HBC AG (Switzerland)*		1,609		32,557
Constellation Brands, Inc. (Class A Stock)		11,100		1,835,940
Diageo PLC (United Kingdom)		9,798		273,715
Dr. Pepper Snapple Group, Inc.		12,000		1,159,560
Heineken NV (Netherlands)		2,521		231,232
Molson Coors Brewing Co. (Class B Stock)		11,700		1,183,221
Monster Beverage Corp.*		9,300		1,494,603
PepsiCo, Inc.		91,207		9,662,470
				27,920,725
Biotechnology — 1.4%
AbbVie, Inc.		100,900		6,246,719
Actelion Ltd. (Switzerland)		997		167,893
Alexion Pharmaceuticals, Inc.*		14,100		1,646,316
Amgen, Inc.		47,687		7,255,577
Biogen, Inc.*		13,860		3,351,625
Celgene Corp.*		49,000		4,832,870
CSL Ltd. (Australia)		1,796		151,462
Gilead Sciences, Inc.		85,600		7,140,752
Regeneron Pharmaceuticals, Inc.*		5,040		1,760,119
Shire PLC		4,852		299,867
Vertex Pharmaceuticals, Inc.*		15,900		1,367,718
				34,220,918
Building Products — 0.1%
Allegion PLC		6,433		446,643
Asahi Glass Co. Ltd. (Japan)		4,000		21,708
Assa Abloy AB (Sweden) (Class B Stock)		3,895		80,131
Cie de Saint-Gobain (France)		8,150		308,932
Fortune Brands Home & Security, Inc.		7,700		446,369
Masco Corp.		21,400		662,116
				1,965,899

COMMON STOCKS (continued)	Shares		Value (Note 2)
Capital Markets — 0.9%
3i Group PLC (United Kingdom)		48,366	$	354,868
Affiliated Managers Group, Inc.*		3,500		492,695
Ameriprise Financial, Inc.		10,820		972,177
Bank of New York Mellon Corp. (The)		67,358		2,616,858
BlackRock, Inc.		8,000		2,740,240
Charles Schwab Corp. (The)		75,650		1,914,702
E*TRADE Financial Corp.*		15,420		362,216
Franklin Resources, Inc.		22,900		764,173
Goldman Sachs Group, Inc. (The)		24,600		3,655,068
Invesco Ltd.		25,400		648,716
Legg Mason, Inc.		7,000		206,430
Macquarie Group Ltd. (Australia)		7,794		405,713
Mediobanca SpA (Italy)		1,571		9,052
Morgan Stanley		95,680		2,485,766
Northern Trust Corp.		13,600		901,136
Partners Group Holding AG (Switzerland)		66		28,285
SBI Holdings, Inc. (Japan)		24,100		239,991
State Street Corp.		25,400		1,369,568
T. Rowe Price Group, Inc.		15,900		1,160,223
				21,327,877
Chemicals — 1.0%
Air Products & Chemicals, Inc.		12,200		1,732,888
Asahi Kasei Corp. (Japan)		4,000		27,836
BASF SE (Germany)		1,558		119,466
CF Industries Holdings, Inc.		13,400		322,940
Chr. Hansen Holding A/S (Denmark)		947		62,194
Croda International PLC (United Kingdom)		513		21,535
Daicel Corp. (Japan)		20,800		215,531
Dow Chemical Co. (The)		70,031		3,481,241
E.I. du Pont de Nemours & Co.		54,620		3,539,376
Eastman Chemical Co.		9,300		631,470
Ecolab, Inc.		16,700		1,980,620
FMC Corp.		8,200		379,742
Hitachi Chemical Co. Ltd. (Japan)		400		7,471
International Flavors & Fragrances, Inc.(a)		5,000		630,350
JSR Corp. (Japan)		1,700		22,513
K+S AG (Germany)		1,502		30,749
Kuraray Co. Ltd. (Japan)		1,300		15,511
LyondellBasell Industries NV (Class A Stock)		21,700		1,614,914
Mitsubishi Chemical Holdings Corp. (Japan)		5,300		24,295
Mitsubishi Gas Chemical Co., Inc. (Japan)		3,000		15,651
Mitsui Chemicals, Inc. (Japan)		8,000		29,398
Monsanto Co.		27,594		2,853,496
Mosaic Co. (The)		21,900		573,342
PPG Industries, Inc.		16,700		1,739,305
Praxair, Inc.		17,900		2,011,781
Sherwin-Williams Co. (The)		5,000		1,468,350
Shin-Etsu Chemical Co. Ltd. (Japan)		1,500		87,883
Sika AG (Switzerland)		17		71,282

SEE NOTES TO FINANCIAL STATEMENTS.

A2

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Chemicals (continued)
Solvay SA (Belgium)		358	$	33,440
Sumitomo Chemical Co. Ltd. (Japan)		6,000		24,756
Teijin Ltd. (Japan)		3,000		9,941
Toray Industries, Inc. (Japan)		4,000		34,132
Yara International ASA (Norway)		7,563		240,252
				24,053,651
Commercial Services & Supplies — 0.2%
Brambles Ltd. (Australia)		6,171		57,615
Cintas Corp.		5,400		529,902
ISS A/S (Denmark)		6,141		230,965
Pitney Bowes, Inc.		9,400		167,320
Republic Services, Inc.		15,465		793,509
Stericycle, Inc.*		5,600		583,072
Tyco International PLC		26,800		1,141,680
Waste Management, Inc.		26,242		1,739,057
				5,243,120
Communications Equipment — 0.5%
Cisco Systems, Inc.		315,200		9,043,088
F5 Networks, Inc.*		4,500		512,280
Harris Corp.		8,000		667,520
Juniper Networks, Inc.		20,300		456,547
Motorola Solutions, Inc.		10,289		678,765
				11,358,200
Construction & Engineering — 0.1%
Fluor Corp.		8,800		433,664
Jacobs Engineering Group, Inc.*		7,700		383,537
Kajima Corp. (Japan)		27,000		187,562
Obayashi Corp. (Japan)		37,200		396,065
Quanta Services, Inc.*		8,000		184,960
Shimizu Corp. (Japan)		2,000		18,738
Skanska AB (Sweden) (Class B Stock)		6,496		136,019
Taisei Corp. (Japan)		4,000		32,867
Vinci SA (France)		1,947		137,394
				1,910,806
Construction Materials — 0.1%
Fletcher Building Ltd. (New Zealand)		5,520		33,954
HeidelbergCement AG (Germany)		1,131		85,201
Martin Marietta Materials, Inc.		4,000		768,000
Vulcan Materials Co.		8,300		998,988
				1,886,143
Consumer Finance — 0.3%
American Express Co.		51,300		3,116,988
Capital One Financial Corp.		32,961		2,093,353
Discover Financial Services		26,440		1,416,920
Navient Corp.		18,300		218,685
Synchrony Financial*		52,172		1,318,908
				8,164,854
Containers & Packaging — 0.2%
Amcor Ltd. (Australia)		23,137		260,143
Avery Dennison Corp.		6,100		455,975
Ball Corp.(a)		9,300		672,297

COMMON STOCKS (continued)	Shares		Value (Note 2)
Containers & Packaging (continued)
International Paper Co.		26,273	$	1,113,450
Owens-Illinois, Inc.*		9,400		169,294
Rexam PLC (United Kingdom)		2,751		23,994
Sealed Air Corp.		12,000		551,640
WestRock Co.		15,544		604,195
				3,850,988
Distributors — 0.1%
Genuine Parts Co.		9,600		972,000
LKQ Corp.*		18,300		580,110
				1,552,110
Diversified Consumer Services
H&R Block, Inc.(a)		14,900		342,700
Diversified Financial Services — 1.0%
Berkshire Hathaway, Inc. (Class B Stock)*		118,000		17,085,220
CME Group, Inc.		21,600		2,103,840
Eurazeo SA (France)		331		19,637
Intercontinental Exchange, Inc.		7,471		1,912,277
Japan Exchange Group, Inc. (Japan)		2,100		24,178
Leucadia National Corp.		18,600		322,338
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan)		58,600		225,175
Moody’s Corp.		10,900		1,021,439
Nasdaq, Inc.		7,000		452,690
ORIX Corp. (Japan)		5,200		67,291
S&P Global, Inc.		17,000		1,823,420
				25,057,505
Diversified Telecommunication Services — 1.4%
AT&T, Inc.		387,038		16,723,912
CenturyLink, Inc.		33,336		967,077
Deutsche Telekom AG (Germany)(a)		14,470		246,747
Elisa OYJ (Finland)		555		21,325
Frontier Communications Corp.		66,190		326,979
HKT Trust & HKT Ltd. (Hong Kong)		21,000		30,263
Koninklijke KPN NV (Netherlands)		13,318		47,471
Level 3 Communications, Inc.*		17,800		916,522
Nippon Telegraph & Telephone Corp. (Japan)		10,700		501,776
Orange SA (France)		7,739		125,841
Spark New Zealand Ltd. (New Zealand)		21,304		54,147
Telecom Italia SpA (Italy)*		53,302		43,778
Telecom Italia SpA, RSP (Italy)		23,599		15,183
Telefonica SA (Spain)		17,344		164,661
TPG Telecom Ltd. (Australia)		2,362		21,180
Verizon Communications, Inc.		256,176		14,304,868
				34,511,730
Electric Utilities — 1.1%
American Electric Power Co., Inc.		30,760		2,155,968
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		2,000		17,244
Chubu Electric Power Co., Inc. (Japan)		2,400		34,154

SEE NOTES TO FINANCIAL STATEMENTS.

A3

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Electric Utilities (continued)
Chugoku Electric Power Co., Inc. (The) (Japan)		2,200	$	27,969
CLP Holdings Ltd. (Hong Kong)		6,000		61,291
Duke Energy Corp.		43,161		3,702,782
Edison International		20,400		1,584,468
EDP-Energias de Portugal SA (Portugal)		17,828		54,582
Electricite de France SA (France)		1,013		12,283
Endesa SA (Spain)		1,230		24,681
Enel SpA (Italy)		78,956		350,523
Entergy Corp.		11,400		927,390
Eversource Energy		19,600		1,174,040
Exelon Corp.		57,613		2,094,809
FirstEnergy Corp.		27,406		956,743
Fortum OYJ (Finland)		1,698		27,281
Hokuriku Electric Power Co. (Japan)		2,200		27,261
Iberdrola SA (Spain)		21,207		144,666
Kansai Electric Power Co., Inc. (The) (Japan)*		2,700		26,296
Kyushu Electric Power Co., Inc. (Japan)		1,600		16,047
NextEra Energy, Inc.		28,900		3,768,560
PG&E Corp.		30,900		1,975,128
Pinnacle West Capital Corp.		7,400		599,844
PPL Corp.		43,500		1,642,125
Shikoku Electric Power Co., Inc. (Japan)		2,300		27,244
Southern Co. (The)		57,700		3,094,451
SSE PLC (United Kingdom)		3,926		81,713
Tohoku Electric Power Co., Inc. (Japan)		1,700		21,455
Tokyo Electric Power Co. Holdings, Inc. (Japan)*		5,600		23,716
Xcel Energy, Inc.		31,510		1,411,018
				26,065,732
Electrical Equipment — 0.3%
ABB Ltd. (Switzerland)		24,283		480,612
Acuity Brands, Inc.		2,700		669,492
AMETEK, Inc.		14,900		688,827
Eaton Corp. PLC		29,137		1,740,353
Emerson Electric Co.		40,100		2,091,616
OSRAM Licht AG (Germany)		694		36,058
Rockwell Automation, Inc.		8,500		975,970
Schneider Electric SE (France)		1,132		66,042
Vestas Wind Systems A/S (Denmark)		871		59,201
				6,808,171
Electronic Equipment, Instruments & Components — 0.2%
Amphenol Corp. (Class A Stock)		19,500		1,117,935
Corning, Inc.		68,600		1,404,928
FLIR Systems, Inc.		8,800		272,360
Hexagon AB (Sweden) (Class B Stock)		2,079		76,083
Hitachi High-Technologies Corp. (Japan)		200		5,473
Ingenico Group SA (France)		215		24,920

COMMON STOCKS (continued)	Shares		Value (Note 2)
Electronic Equipment, Instruments & Components (continued)
TDK Corp. (Japan)		6,800	$	380,639
TE Connectivity Ltd. (Switzerland)		23,600		1,347,796
				4,630,134
Energy Equipment & Services — 0.5%
Baker Hughes, Inc.		27,398		1,236,472
Diamond Offshore Drilling, Inc.		2,700		65,691
FMC Technologies, Inc.*		14,300		381,381
Halliburton Co.		53,800		2,436,602
Helmerich & Payne, Inc.		6,700		449,771
National Oilwell Varco, Inc.		22,700		763,855
Schlumberger Ltd.		87,124		6,889,766
Transocean Ltd.		18,500		219,965
				12,443,503
Food & Staples Retailing — 1.1%
Costco Wholesale Corp.		27,600		4,334,304
CVS Health Corp.		68,848		6,591,507
ICA Gruppen AB (Sweden)		10,142		339,911
J. Sainsbury PLC (United Kingdom)		104,875		326,707
Koninklijke Ahold NV (Netherlands)		3,261		72,012
Kroger Co. (The)		60,292		2,218,143
METRO AG (Germany)		11,120		342,009
Sysco Corp.		32,800		1,664,272
Wal-Mart Stores, Inc.		98,000		7,155,960
Walgreens Boots Alliance, Inc.		54,700		4,554,869
Whole Foods Market, Inc.		20,700		662,814
				28,262,508
Food Products — 0.9%
Archer-Daniels-Midland Co.		37,926		1,626,646
Campbell Soup Co.		11,100		738,483
ConAgra Foods, Inc.		28,000		1,338,680
General Mills, Inc.		37,000		2,638,840
Hershey Co. (The)		9,200		1,044,108
Hormel Foods Corp.		16,800		614,880
J.M. Smucker Co. (The)		7,500		1,143,075
Kellogg Co.		15,800		1,290,070
Kraft Heinz Co. (The)		37,317		3,301,808
McCormick & Co., Inc.		7,500		800,025
Mead Johnson Nutrition Co.		11,967		1,086,005
MEIJI Holdings Co. Ltd. (Japan)		400		41,102
Mondelez International, Inc. (Class A Stock)		98,253		4,471,494
Nestle SA (Switzerland)		12,334		955,618
Orkla ASA (Norway)		11,342		100,871
Tyson Foods, Inc. (Class A Stock)		18,700		1,248,973
WH Group Ltd. (Hong Kong), 144A		484,500		383,722
Wilmar International Ltd. (Singapore)		109,700		267,043
				23,091,443
Gas Utilities
AGL Resources, Inc.		7,739		510,542
Gas Natural SDG SA (Spain)		1,347		26,775
Tokyo Gas Co. Ltd. (Japan)		7,000		28,901
				566,218

SEE NOTES TO FINANCIAL STATEMENTS.

A4

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Health Care Equipment & Supplies — 1.1%
Abbott Laboratories		92,300	$	3,628,313
Baxter International, Inc.		34,200		1,546,524
Becton, Dickinson & Co.		13,678		2,319,652
Boston Scientific Corp.*		86,567		2,023,071
C.R. Bard, Inc.		4,600		1,081,736
DENTSPLY SIRONA, Inc.		15,300		949,212
Edwards Lifesciences Corp.*		13,700		1,366,301
Hologic, Inc.*		16,300		563,980
Intuitive Surgical, Inc.*		2,390		1,580,770
Medtronic PLC		88,090		7,643,569
St. Jude Medical, Inc.		17,800		1,388,400
Stryker Corp.		20,000		2,396,600
Varian Medical Systems, Inc.*		6,200		509,826
Zimmer Biomet Holdings, Inc.		11,800		1,420,484
				28,418,438
Health Care Providers & Services — 1.3%
Aetna, Inc.		21,969		2,683,074
Alfresa Holdings Corp. (Japan)		17,200		359,344
AmerisourceBergen Corp.		12,500		991,500
Anthem, Inc.		16,400		2,153,976
Cardinal Health, Inc.		20,650		1,610,907
Centene Corp.*		11,000		785,070
Cigna Corp.		16,100		2,060,639
DaVita HealthCare Partners, Inc.*		10,700		827,324
Express Scripts Holding Co.*		39,649		3,005,394
Fresenius SE & Co. KGaA (Germany)		1,563		114,846
HCA Holdings, Inc.*		19,500		1,501,695
Henry Schein, Inc.*		5,300		937,040
Humana, Inc.		9,300		1,672,884
Laboratory Corp. of America Holdings*		6,700		872,809
McKesson Corp.		14,330		2,674,694
Medipal Holdings Corp. (Japan)		14,500		238,392
Patterson Cos., Inc.		5,400		258,606
Quest Diagnostics, Inc.		9,300		757,113
Ramsay Health Care Ltd. (Australia)		540		29,185
Ryman Healthcare Ltd. (New Zealand)		4,388		29,288
Sonic Healthcare Ltd. (Australia)		1,516		24,585
Suzuken Co. Ltd. (Japan)		210		6,610
UnitedHealth Group, Inc.		60,000		8,472,000
Universal Health Services, Inc. (Class B Stock)		5,700		764,370
				32,831,345
Health Care Technology
Cerner Corp.*		19,500		1,142,700
Hotels, Restaurants & Leisure — 0.8%
Aristocrat Leisure Ltd. (Australia)		4,371		45,472
Carnival Corp.		28,800		1,272,960
Chipotle Mexican Grill, Inc.*		1,950		785,382
Compass Group PLC (United Kingdom)		12,874		244,934
Darden Restaurants, Inc.		7,650		484,551
Marriott International, Inc. (Class A Stock)(a)		11,928		792,735

COMMON STOCKS (continued)	Shares		Value (Note 2)
Hotels, Restaurants & Leisure (continued)
McDonald’s Corp.		56,500	$	6,799,210
Oriental Land Co. Ltd. (Japan)		800		51,799
Paddy Power Betfair PLC (Ireland)		887		93,221
Royal Caribbean Cruises Ltd.(a)		10,800		725,220
Starbucks Corp.		92,600		5,289,312
Starwood Hotels & Resorts Worldwide, Inc.		10,800		798,660
TUI AG (Germany)		1,957		22,274
Wyndham Worldwide Corp.		7,520		535,650
Wynn Resorts Ltd.		5,300		480,392
Yum! Brands, Inc.		25,600		2,122,752
				20,544,524
Household Durables — 0.3%
Barratt Developments PLC (United Kingdom)		3,993		21,698
Berkeley Group Holdings PLC (United Kingdom)		993		33,531
D.R. Horton, Inc.		20,200		635,896
Electrolux AB (Sweden) (Class B Stock)		5,844		159,336
Garmin Ltd.		7,000		296,940
Harman International Industries, Inc.		4,700		337,554
Iida Group Holdings Co. Ltd. (Japan)		12,000		245,749
Leggett & Platt, Inc.		8,400		429,324
Lennar Corp. (Class A Stock)		11,700		539,370
Mohawk Industries, Inc.*		4,200		796,992
Newell Brands, Inc.		28,214		1,370,354
Nikon Corp. (Japan)		1,300		17,602
Persimmon PLC (United Kingdom)		4,202		81,484
PulteGroup, Inc.		18,222		355,147
Sekisui House Ltd. (Japan)		2,300		40,278
Taylor Wimpey PLC (United Kingdom)		128,488		227,950
Whirlpool Corp.		4,926		820,868
				6,410,073
Household Products — 1.0%
Church & Dwight Co., Inc.		8,200		843,698
Clorox Co. (The)		8,100		1,120,959
Colgate-Palmolive Co.		55,900		4,091,880
Henkel AG & Co. KGaA (Germany)		406		43,917
Kimberly-Clark Corp.		22,600		3,107,048
Procter & Gamble Co. (The)		167,825		14,209,743
Reckitt Benckiser Group PLC (United Kingdom)		4,674		468,672
Svenska Cellulosa AB SCA (Sweden) (Class B Stock)		2,352		75,571
				23,961,488
Independent Power & Renewable Electricity Producers
AES Corp.		39,500		492,960
Electric Power Development Co. Ltd. (Japan)		500		11,649
NRG Energy, Inc.		18,200		272,818
				777,427

SEE NOTES TO FINANCIAL STATEMENTS.

A5

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Industrial Conglomerates — 1.2%
3M Co.		37,900	$	6,637,048
CK Hutchison Holdings Ltd. (Hong Kong)		3,916		43,078
Danaher Corp.		37,500		3,787,500
DCC PLC (United Kingdom)		2,946		259,248
General Electric Co.		582,430		18,334,896
Roper Technologies, Inc.		6,300		1,074,528
Siemens AG (Germany)		2,966		304,376
				30,440,674
Insurance — 1.3%
Aflac, Inc.		26,700		1,926,672
AIA Group Ltd. (Hong Kong)		5,200		31,271
Allianz SE (Germany)		3,981		567,922
Allstate Corp. (The)		24,200		1,692,790
American International Group, Inc.		72,039		3,810,143
Aon PLC		17,300		1,889,679
Arthur J. Gallagher & Co.		10,100		480,760
Assurant, Inc.		4,300		371,133
AXA SA (France)		7,540		149,086
Chubb Ltd.		28,886		3,775,689
Cincinnati Financial Corp.		9,237		691,759
Hannover Rueck SE (Germany)		3,415		357,817
Hartford Financial Services Group, Inc. (The)		25,300		1,122,814
Legal & General Group PLC (United Kingdom)		46,279		118,479
Lincoln National Corp.		14,918		578,371
Loews Corp.		17,075		701,612
Marsh & McLennan Cos., Inc.		32,700		2,238,642
Medibank Pvt. Ltd. (Australia)		10,750		23,839
MetLife, Inc.		68,700		2,736,321
MS&AD Insurance Group Holdings, Inc. (Japan)		2,100		54,411
NN Group NV (Netherlands)		11,708		322,304
Principal Financial Group, Inc.		17,000		698,870
Progressive Corp. (The)		36,300		1,216,050
SCOR SE (France)		625		18,478
Swiss Life Holding AG (Switzerland)		123		28,425
Swiss Re AG (Switzerland)		5,227		456,528
Torchmark Corp.		6,925		428,104
Travelers Cos., Inc. (The)		18,835		2,242,118
Unum Group		15,310		486,705
Willis Towers Watson PLC(a)		8,700		1,081,497
XL Group PLC (Ireland)		18,000		599,580
				30,897,869
Internet & Catalog Retail — 1.0%
Amazon.com, Inc.*		24,340		17,418,191
Expedia, Inc.		7,650		813,195
Netflix, Inc.*		26,850		2,456,238
Priceline Group, Inc. (The)*		3,180		3,969,944
TripAdvisor, Inc.*		7,350		472,605
				25,130,173
Internet Software & Services — 1.9%
Akamai Technologies, Inc.*		11,000		615,230
Alphabet, Inc. (Class A Stock)*		18,500		13,015,305
Alphabet, Inc. (Class C Stock)*		18,703		12,944,347

COMMON STOCKS (continued)	Shares		Value (Note 2)
Internet Software & Services (continued)
eBay, Inc.*		69,200	$	1,619,972
Facebook, Inc. (Class A Stock)*		145,300		16,604,884
Mixi, Inc. (Japan)		2,100		86,825
VeriSign, Inc.*		6,400		553,344
Yahoo!, Inc.*		54,600		2,050,776
				47,490,683
IT Services — 1.7%
Accenture PLC (Class A Stock)		39,400		4,463,626
Alliance Data Systems Corp.*		3,840		752,333
Amadeus IT Holding SA (Spain) (Class A Stock)		4,113		181,214
Atos SE (France)		4,311		355,439
Automatic Data Processing, Inc.		28,600		2,627,482
Capgemini SA (France)		1,914		165,165
Cognizant Technology Solutions Corp. (Class A Stock)*		38,200		2,186,568
Computershare Ltd. (Australia)		1,831		12,661
CSRA, Inc.		8,700		203,841
Fidelity National Information Services, Inc.		17,700		1,304,136
Fiserv, Inc.*		14,300		1,554,839
Global Payments, Inc.		9,500		678,110
International Business Machines Corp.		55,400		8,408,612
MasterCard, Inc. (Class A Stock)		61,500		5,415,690
Paychex, Inc.		20,300		1,207,850
PayPal Holdings, Inc.*		69,700		2,544,747
Teradata Corp.*		8,400		210,588
Total System Services, Inc.		11,096		589,309
Visa, Inc. (Class A Stock)(a)		120,200		8,915,234
Western Union Co. (The)		30,410		583,264
Xerox Corp.		58,163		551,967
				42,912,675
Leisure Products — 0.1%
Bandai Namco Holdings, Inc. (Japan)		800		20,645
Hasbro, Inc.		7,000		587,930
Mattel, Inc.		21,351		668,073
Sankyo Co. Ltd. (Japan)		6,400		239,955
Yamaha Corp. (Japan)		600		16,172
				1,532,775
Life Sciences Tools & Services — 0.3%
Agilent Technologies, Inc.		20,714		918,873
Illumina, Inc.*		9,500		1,333,610
PerkinElmer, Inc.		6,600		345,972
QIAGEN NV*		1,746		38,049
Thermo Fisher Scientific, Inc.		24,900		3,679,224
Waters Corp.*		5,200		731,380
				7,047,108
Machinery — 0.6%
Amada Holdings Co. Ltd. (Japan)		2,600		26,396
ANDRITZ AG (Austria)		3,093		146,662
Atlas Copco AB (Sweden) (Class A Stock)		1,000		25,972

SEE NOTES TO FINANCIAL STATEMENTS.

A6

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Machinery (continued)
Atlas Copco AB (Sweden) (Class B Stock)		1,000	$	23,702
Caterpillar, Inc.(a)		36,400		2,759,484
Cummins, Inc.		10,400		1,169,376
Deere & Co.(a)		19,200		1,555,968
Dover Corp.		10,100		700,132
Flowserve Corp.		8,300		374,911
GEA Group AG (Germany)		711		33,560
Hoshizaki Corp (Japan)		100		9,790
Illinois Tool Works, Inc.		20,500		2,135,280
Ingersoll-Rand PLC		16,400		1,044,352
Kone OYJ (Finland) (Class B Stock)		2,610		120,453
Mitsubishi Heavy Industries Ltd. (Japan)		12,000		48,255
PACCAR, Inc.		22,043		1,143,370
Parker-Hannifin Corp.		8,765		947,058
Pentair PLC (United Kingdom)		11,577		674,823
Schindler Holding AG (Switzerland)		77		14,013
Schindler Holding AG (Switzerland) (Part. Cert.)		169		30,597
Snap-on, Inc.		3,600		568,152
Stanley Black & Decker, Inc.		9,697		1,078,500
Volvo AB (Sweden) (Class B Stock)		12,317		122,361
Xylem, Inc.(a)		11,600		517,940
				15,271,107
Marine
A.P. Moeller-Maersk A/S (Denmark) (Class A Stock)		30		37,811
Media — 1.3%
CBS Corp. (Class B Stock)		26,934		1,466,287
Comcast Corp. (Class A Stock)		152,390		9,934,304
Discovery Communications, Inc. (Class A Stock)*		8,500		214,455
Discovery Communications, Inc. (Class C Stock)*(a)		15,200		362,520
Hakuhodo DY Holdings, Inc. (Japan)		11,100		133,042
Interpublic Group of Cos., Inc. (The)		25,331		585,146
News Corp. (Class A Stock)		21,475		243,741
News Corp. (Class B Stock)(a)		4,800		56,016
Omnicom Group, Inc.		15,300		1,246,797
Publicis Groupe SA (France)		34		2,275
RTL Group SA (Luxembourg)		287		23,439
Scripps Networks Interactive, Inc. (Class A Stock)		6,100		379,847
TEGNA, Inc.		13,800		319,746
Time Warner, Inc.		49,566		3,645,084
Twenty-First Century Fox, Inc. (Class A Stock)		69,800		1,888,090
Twenty-First Century Fox, Inc. (Class B Stock)		26,700		727,575
Viacom, Inc. (Class B Stock)		21,334		884,721
Vivendi SA (France)		4,574		85,574
Walt Disney Co. (The)		94,100		9,204,862
WPP PLC (United Kingdom)		20,591		429,148
				31,832,669

COMMON STOCKS (continued)	Shares		Value (Note 2)
Metals & Mining — 0.2%
Alcoa, Inc.		80,940	$	750,314
Alumina Ltd. (Australia)		20,821		20,466
Anglo American PLC (United Kingdom)		4,952		48,541
BHP Billiton Ltd. (Australia)		12,039		167,779
BHP Billiton PLC (Australia)		7,805		98,788
Boliden AB (Sweden)		1,060		20,717
Fortescue Metals Group Ltd. (Australia)		65,008		173,964
Freeport-McMoRan, Inc.		77,088		858,760
JFE Holdings, Inc. (Japan)		1,900		24,786
Mitsubishi Materials Corp. (Japan)		9,000		21,549
Newmont Mining Corp.		32,600		1,275,312
Nippon Steel & Sumitomo Metal Corp. (Japan)		14,000		271,035
Nucor Corp.		20,400		1,007,964
Rio Tinto PLC (United Kingdom)		5,551		172,451
voestalpine AG (Austria)		9,116		306,803
				5,219,229
Multi-Utilities — 0.6%
Ameren Corp.		15,100		809,058
CenterPoint Energy, Inc.		25,300		607,200
CMS Energy Corp.		17,200		788,792
Consolidated Edison, Inc.		18,300		1,472,052
Dominion Resources, Inc.(a)		37,832		2,948,248
DTE Energy Co.		11,700		1,159,704
E.ON SE (Germany)		13,224		133,494
National Grid PLC (United Kingdom)		34,681		509,998
NiSource, Inc.		19,600		519,792
Public Service Enterprise Group, Inc.		31,600		1,472,876
SCANA Corp.		8,800		665,808
Sempra Energy		15,119		1,723,868
TECO Energy, Inc.		14,500		400,780
WEC Energy Group, Inc.		19,913		1,300,319
				14,511,989
Multiline Retail — 0.3%
Dollar General Corp.		18,600		1,748,400
Dollar Tree, Inc.*		14,765		1,391,454
Harvey Norman Holdings Ltd. (Australia)		13,950		48,540
Kohl’s Corp.(a)		11,700		443,664
Macy’s, Inc.		19,474		654,521
Nordstrom, Inc.(a)		7,400		281,570
Target Corp.		37,700		2,632,214
				7,200,363
Oil, Gas & Consumable Fuels — 3.0%
Anadarko Petroleum Corp.		31,854		1,696,226
Apache Corp.(a)		23,914		1,331,292
BP PLC (United Kingdom)		56,926		333,219
Cabot Oil & Gas Corp.		27,700		712,998
Caltex Australia Ltd. (Australia)		1,070		25,798
Chesapeake Energy Corp.*		28,000		119,840
Chevron Corp.		118,422		12,414,178
Cimarex Energy Co.		6,200		739,784
Columbia Pipeline Group, Inc.		25,100		639,799

SEE NOTES TO FINANCIAL STATEMENTS.

A7

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
Concho Resources, Inc.*		8,200	$	978,014
ConocoPhillips		77,477		3,377,997
Devon Energy Corp.		32,100		1,163,625
EOG Resources, Inc.		34,500		2,877,990
EQT Corp.		11,200		867,216
Exxon Mobil Corp.		260,799		24,447,298
Galp Energia SGPS SA (Portugal)		28,310		393,747
Hess Corp.		17,100		1,027,710
Kinder Morgan, Inc.		115,698		2,165,867
Marathon Oil Corp.		51,882		778,749
Marathon Petroleum Corp.		33,082		1,255,793
Murphy Oil Corp.(a)		10,200		323,850
Neste Oyj (Finland)		10,961		393,051
Newfield Exploration Co.*		12,100		534,578
Noble Energy, Inc.		26,300		943,381
Occidental Petroleum Corp.		48,300		3,649,548
OMV AG (Austria)		1,124		31,597
ONEOK, Inc.		12,900		612,105
Phillips 66		29,338		2,327,677
Pioneer Natural Resources Co.		10,450		1,580,145
Range Resources Corp.		10,300		444,342
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		16,280		447,135
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		14,452		399,290
Southwestern Energy Co.*(a)		25,800		324,564
Spectra Energy Corp.		42,262		1,548,057
Statoil ASA (Norway)		4,228		73,053
Tesoro Corp.		7,800		584,376
TOTAL SA (France)(a)		8,992		431,222
Valero Energy Corp.		30,100		1,535,100
Williams Cos., Inc. (The)		42,500		919,275
				74,449,486
Paper & Forest Products
Oji Holdings Corp. (Japan)		6,000		23,034
Stora Enso OYJ (Finland) (Class R Stock)		2,120		17,050
UPM-Kymmene OYJ (Finland)		5,941		109,141
				149,225
Personal Products — 0.1%
Estee Lauder Cos., Inc. (The) (Class A Stock)		13,900		1,265,178
Kao Corp. (Japan)		1,900		110,660
Unilever NV (United Kingdom), CVA		1,176		54,696
Unilever PLC (United Kingdom)		5,810		278,388
				1,708,922
Pharmaceuticals — 2.9%
Allergan PLC*		25,175		5,817,691
Astellas Pharma, Inc. (Japan)		33,900		531,631
AstraZeneca PLC (United Kingdom)		2,715		162,313
Bayer AG (Germany)		6,743		677,235
Bristol-Myers Squibb Co.		104,570		7,691,124
Eli Lilly & Co.		61,000		4,803,750
Endo International PLC*		12,500		194,875
GlaxoSmithKline PLC (United Kingdom)		18,966		407,297

COMMON STOCKS (continued)	Shares		Value (Note 2)
Pharmaceuticals (continued)
Johnson & Johnson		173,148	$	21,002,852
Mallinckrodt PLC*		7,700		468,006
Merck & Co., Inc.		173,833		10,014,519
Mitsubishi Tanabe Pharma Corp. (Japan)		2,100		37,943
Mylan NV*		25,600		1,106,944
Novartis AG (Switzerland)		5,897		486,730
Novo Nordisk A/S (Denmark) (Class B Stock)		7,173		386,287
Perrigo Co. PLC		9,300		843,231
Pfizer, Inc.		380,570		13,399,870
Roche Holding AG (Switzerland)		3,888		1,025,965
Sanofi (France)		4,583		380,770
Shionogi & Co. Ltd. (Japan)		1,200		65,599
Teva Pharmaceutical Industries Ltd. (Israel)		3,550		179,666
Zoetis, Inc.		28,600		1,357,356
				71,041,654
Professional Services — 0.2%
Dun & Bradstreet Corp. (The)		2,300		280,232
Equifax, Inc.		7,500		963,000
Experian PLC (Ireland)		7,664		145,403
Intertek Group PLC (United Kingdom)		1,572		73,245
Nielsen Holdings PLC		23,000		1,195,310
Randstad Holding NV (Netherlands)		459		18,356
Robert Half International, Inc.		8,400		320,544
Verisk Analytics, Inc.*		10,000		810,800
				3,806,890
Real Estate Investment Trusts (REITs) — 1.5%
American Tower Corp.		26,600		3,022,026
Apartment Investment & Management Co. (Class A Stock)		9,533		420,977
AvalonBay Communities, Inc.		8,575		1,546,844
Boston Properties, Inc.		9,600		1,266,240
British Land Co. PLC (The) (United Kingdom)		16,746		135,966
Crown Castle International Corp.		20,900		2,119,887
Dexus Property Group (Australia)		58,353		395,964
Digital Realty Trust, Inc.		8,600		937,314
Equinix, Inc.		4,494		1,742,459
Equity Residential		22,800		1,570,464
Essex Property Trust, Inc.		4,100		935,169
Extra Space Storage, Inc.		8,000		740,320
Federal Realty Investment Trust		4,500		744,975
General Growth Properties, Inc.		35,800		1,067,556
Goodman Group (Australia)		6,830		36,633
GPT Group (The) (Australia)		19,120		77,754
Hammerson PLC (United Kingdom)		3,083		22,206
HCP, Inc.		30,100		1,064,938
Host Hotels & Resorts, Inc.		45,582		738,884
Intu Properties PLC (United Kingdom)		7,505		29,178
Iron Mountain, Inc.		14,902		593,547
Kimco Realty Corp.		25,600		803,328
Link REIT (Hong Kong)		65,500		447,903

SEE NOTES TO FINANCIAL STATEMENTS.

A8

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Investment Trusts (REITs) (continued)
Macerich Co. (The)		8,100	$	691,659
Mirvac Group (Australia)		13,899		21,138
Nomura Real Estate Master Fund, Inc. (Japan)		13		20,551
Prologis, Inc.		32,877		1,612,288
Public Storage		9,300		2,376,987
Realty Income Corp.		15,500		1,075,080
Scentre Group (Australia)		20,441		75,713
Simon Property Group, Inc.		19,393		4,206,342
SL Green Realty Corp.		6,400		681,408
Stockland (Australia)		9,097		32,253
Suntec Real Estate Investment Trust (Singapore)		22,600		29,863
UDR, Inc.		15,900		587,028
Ventas, Inc.		20,818		1,515,967
Vornado Realty Trust(a)		11,425		1,143,871
Welltower, Inc.		22,100		1,683,357
Westfield Corp. (Australia)		7,599		61,040
Weyerhaeuser Co.		46,818		1,393,772
				37,668,849
Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*		18,700		495,176
Daiwa House Industry Co. Ltd. (Japan)		7,300		214,379
Henderson Land Development Co. Ltd. (Hong Kong)		67,794		382,952
Kerry Properties Ltd. (Hong Kong)		5,000		12,379
Mitsui Fudosan Co. Ltd. (Japan)		4,000		91,803
New World Development Co. Ltd. (Hong Kong)		60,000		61,102
Wharf Holdings Ltd. (The) (Hong Kong)		5,000		30,513
Wheelock & Co. Ltd. (Hong Kong)		3,000		14,093
				1,302,397
Road & Rail — 0.4%
Aurizon Holdings Ltd. (Australia)		8,199		29,748
Central Japan Railway Co. (Japan)		1,700		302,368
CSX Corp.		59,200		1,543,936
East Japan Railway Co. (Japan)		1,200		111,208
Hankyu Hanshin Holdings, Inc. (Japan)		23,000		171,501
JB Hunt Transport Services, Inc.		6,000		485,580
Kansas City Southern		6,900		621,621
Norfolk Southern Corp.		18,700		1,591,931
Ryder System, Inc.		3,600		220,104
Union Pacific Corp.		53,000		4,624,250
West Japan Railway Co. (Japan)		600		38,024
				9,740,271
Semiconductors & Semiconductor Equipment — 1.3%
Analog Devices, Inc.		19,600		1,110,144
Applied Materials, Inc.		69,600		1,668,312
ARM Holdings PLC (United Kingdom)		5,461		82,952
Broadcom Ltd. (Singapore)		23,280		3,617,712
First Solar, Inc.*		5,100		247,248
Intel Corp.		295,900		9,705,520

COMMON STOCKS (continued)	Shares		Value (Note 2)
Semiconductors & Semiconductor Equipment (continued)
KLA-Tencor Corp.		10,000	$	732,500
Lam Research Corp.		9,950		836,397
Linear Technology Corp.		14,900		693,297
Microchip Technology, Inc.		13,600		690,336
Micron Technology, Inc.*		61,600		847,616
NVIDIA Corp.		32,350		1,520,773
NXP Semiconductors NV (Netherlands)*		5,100		399,534
Qorvo, Inc.*		7,707		425,889
QUALCOMM, Inc.		93,700		5,019,509
Skyworks Solutions, Inc.		12,100		765,688
Texas Instruments, Inc.		63,000		3,946,950
Tokyo Electron Ltd. (Japan)		1,400		118,312
Xilinx, Inc.		16,200		747,306
				33,175,995
Software — 2.0%
Activision Blizzard, Inc.		31,400		1,244,382
Adobe Systems, Inc.*		31,500		3,017,385
Autodesk, Inc.*		14,200		768,788
CA, Inc.		18,064		593,041
Check Point Software Technologies Ltd. (Israel)*		500		39,840
Citrix Systems, Inc.*		9,900		792,891
Electronic Arts, Inc.*		19,400		1,469,744
Intuit, Inc.		16,400		1,830,404
Konami Holdings Corp. (Japan)		6,500		247,974
Microsoft Corp.		496,500		25,405,905
Nice Ltd. (Israel)		460		29,272
Oracle Corp.		197,400		8,079,582
Red Hat, Inc.*		11,400		827,640
salesforce.com, inc.*		39,500		3,136,695
SAP SE (Germany)		1,736		130,383
Symantec Corp.		38,178		784,176
				48,398,102
Specialty Retail — 1.2%
Advance Auto Parts, Inc.		4,800		775,824
AutoNation, Inc.*(a)		5,074		238,377
AutoZone, Inc.*		1,950		1,547,988
Bed Bath & Beyond, Inc.		10,800		466,776
Best Buy Co., Inc.		18,025		551,565
CarMax, Inc.*(a)		12,100		593,263
Dixons Carphone PLC (United Kingdom)		3,839		16,477
Foot Locker, Inc.		8,900		488,254
Gap, Inc. (The)(a)		13,300		282,226
Home Depot, Inc. (The)		79,450		10,144,971
Industria de Diseno Textil SA (Spain)		4,267		143,346
Kingfisher PLC (United Kingdom)		8,899		38,222
L Brands, Inc.		16,506		1,108,048
Lowe’s Cos., Inc.		57,300		4,536,441
Nitori Holdings Co. Ltd. (Japan)		500		60,642
O’Reilly Automotive, Inc.*		6,100		1,653,710
Ross Stores, Inc.		25,700		1,456,933
Shimamura Co. Ltd. (Japan)		200		29,757
Signet Jewelers Ltd.		5,200		428,532

SEE NOTES TO FINANCIAL STATEMENTS.

A9

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Specialty Retail (continued)
Staples, Inc.		37,049	$	319,362
Tiffany & Co.		7,400		448,736
TJX Cos., Inc. (The)		42,000		3,243,660
Tractor Supply Co.		8,800		802,384
Ulta Salon Cosmetics & Fragrance, Inc.*		4,200		1,023,288
Urban Outfitters, Inc.*		4,300		118,250
				30,517,032
Technology Hardware, Storage & Peripherals — 1.7%
Apple, Inc.		346,490		33,124,444
EMC Corp.		121,650		3,305,230
FUJIFILM Holdings Corp. (Japan)		3,800		147,442
Hewlett Packard Enterprise Co.		106,748		1,950,286
HP, Inc.		106,548		1,337,177
NEC Corp. (Japan)		11,000		25,629
NetApp, Inc.		17,800		437,702
Ricoh Co. Ltd. (Japan)		2,600		22,538
Seagate Technology PLC		16,700		406,812
Western Digital Corp.		17,803		841,370
				41,598,630
Textiles, Apparel & Luxury Goods — 0.4%
adidas AG (Germany)		3,224		462,805
Coach, Inc.		17,300		704,802
Hanesbrands, Inc.		23,600		593,068
Michael Kors Holdings Ltd.*		11,800		583,864
NIKE, Inc. (Class B Stock)		84,600		4,669,920
PVH Corp.		5,300		499,419
Ralph Lauren Corp.		3,800		340,556
Swatch Group AG (The) (Switzerland)		363		20,788
Under Armour, Inc. (Class A Stock)*(a)		10,600		425,378
Under Armour, Inc. (Class C Stock)*(a)		10,574		384,894
VF Corp.		21,300		1,309,737
				9,995,231
Tobacco — 0.9%
Altria Group, Inc.		123,700		8,530,352
British American Tobacco PLC (United Kingdom)		12,979		841,421
Imperial Brands PLC (United Kingdom)		2,044		110,852
Japan Tobacco, Inc. (Japan)		10,000		403,022
Philip Morris International, Inc.		97,100		9,877,012
Reynolds American, Inc.		52,638		2,838,767
				22,601,426
Trading Companies & Distributors — 0.1%
Ashtead Group PLC (United Kingdom)		1,960		27,997
Fastenal Co.		18,200		807,898
ITOCHU Corp. (Japan)		34,900		426,939
Mitsui & Co. Ltd. (Japan)		6,800		81,173
United Rentals, Inc.*		6,000		402,600
W.W. Grainger, Inc.(a)		3,800		863,550
				2,610,157

COMMON STOCKS (continued)	Shares		Value (Note 2)
Transportation Infrastructure
Abertis Infraestructuras SA (Spain)		2,121	$	31,343
Aena SA (Spain), RegS, 144A		1,540		204,129
Atlantia SpA (Italy)		3,899		97,417
Auckland International Airport Ltd. (New Zealand)		3,721		17,309
Hutchison Port Holdings Trust (Hong Kong)		56,600		25,753
Sydney Airport (Australia)		4,183		21,842
Transurban Group (Australia)		14,112		127,104
				524,897
Water Utilities
American Water Works Co., Inc.		11,100		938,061
Wireless Telecommunication Services
KDDI Corp. (Japan)		6,600		200,704
NTT DOCOMO, Inc. (Japan)		10,900		293,957
SoftBank Group Corp. (Japan)		3,700		209,243
Vodafone Group PLC (United Kingdom)		102,761		313,306
				1,017,210
TOTAL COMMON STOCKS (cost $515,213,685)				1,191,472,176
EXCHANGE TRADED FUND
iShares MSCI EAFE ETF (cost $1,160,756)		20,726		1,156,718
PREFERRED STOCKS — 0.1%
Automobiles
Bayerische Motoren Werke AG (Germany) (PRFC)		212		13,515
Volkswagen AG (Germany) (PRFC)		3,113		377,049
				390,564
Banks
Citigroup Capital XIII 6.988%, (Capital Security, fixed to floating preferred)		20,000		521,400
Capital Markets — 0.1%
State Street Corp. 5.350%, (Capital Security, fixed to floating preferred)		30,000		805,200
Household Products
Henkel AG & Co. KGaA (Germany) (PRFC)		100		12,221
Media
ProSiebenSat.1 Media SE (Germany) (PRFC)		852		37,268
TOTAL PREFERRED STOCKS (cost $1,699,546)				1,766,653

SEE NOTES TO FINANCIAL STATEMENTS.

A10

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

ASSET-BACKED SECURITIES — 4.9%	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations — 1.8%
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		1.814%	(b)		04/20/25		2,100	$	2,078,233
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1, 144A		2.134%	(b)		04/28/26		400		399,485
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		2.228%	(b)		10/15/26		2,000		1,989,167
Arrowpoint CLO Ltd. (Cayman Islands), Series 2015-4A, Class A, 144A		2.183%	(b)		04/18/27		1,000		993,382
Atlas Senior Loan Fund VI Ltd. (Cayman Islands), Series 2014-6A, Class A, 144A		2.168%	(b)		10/15/26		600		599,340
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A		2.233%	(b)		10/17/26		250		248,749
Battalion CLO VIII Ltd. (Cayman Islands), Series 2015-8A, Class A1, 144A		2.163%	(b)		04/18/27		1,000		990,770
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A		1.828%	(b)		07/15/24		1,000		988,778
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.783%	(b)		04/17/25		2,200		2,165,951
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		2.184%	(b)		04/20/26		1,650		1,645,875
Catamaran CLO Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A		2.143%	(b)		10/18/26		250		248,339
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.033%	(b)		01/17/26		250		247,685
Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A		0.885%	(b)		07/22/20		83		82,155
Galaxy XVIII CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A		2.098%	(b)		10/15/26		750		745,145
Highbridge Loan Management Ltd. (Cayman Islands), Series 2015-6A, Class A, 144A		2.083%	(b)		05/05/27		250		248,112
ICG US CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1B, 144A		3.280%			01/25/27		750		748,421
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A		2.168%	(b)		04/15/27		250		248,066
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		2.216%	(b)		05/15/26		250		248,592
Magnetite IX Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A		2.058%	(b)		07/25/26		2,000		1,997,887
Magnetite XI Ltd. (Cayman Islands), Series 2014-11A, Class A1, 144A		2.083%	(b)		01/18/27		500		497,069
Mill Creek CLO Ltd., Series 2016-1A, Class A, 144A		2.340%	(b)		04/20/28		1,250		1,250,416
Neuberger Berman CLO Ltd. (Cayman Islands), Series 2012-12A, Class BR, 144A		2.738%	(b)		07/25/23		250		247,233
Neuberger Berman CLO Ltd. (Cayman Islands), Series 2014-16A, Class A1, 144A		2.098%	(b)		04/15/26		500		498,844
OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A		1.785%	(b)		07/22/25		1,000		990,733
Race Point V CLO Ltd. (Cayman Islands), Series 2011-5A, Class AR, 144A		1.953%	(b)		12/15/22		325		324,650
Race Point VIII CLO Ltd. (Cayman Islands), Series 2013-8A, Class A, 144A		1.886%	(b)		02/20/25		250		248,513
Regatta IV Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		2.048%	(b)		07/25/26		1,250		1,234,835
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A		2.113%	(b)		07/17/26		500		499,329
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A		4.350%			07/17/26		500		495,502
Shackleton II CLO Ltd. (Cayman Islands), Series 2012-2A, Class A1, 144A		2.044%	(b)		10/20/23		500		498,899
Shackleton V CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		2.132%	(b)		05/07/26		2,500		2,495,938
Shackleton VI CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1, 144A		2.113%	(b)		07/17/26		1,500		1,485,619
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.678%	(b)		04/15/25		2,600		2,556,627
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A		3.278%	(b)		08/17/22		500		497,676
Sound Point CLO I Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A		3.334%	(b)		10/20/23		900		899,198
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2014-3A, Class A, 144A		2.255%	(b)		01/22/27		1,750		1,749,522
TIAA CLO I Ltd. (Cayman Islands), Series 2016-1A, Class A, 144A		2.386%	(b)		07/20/28		1,750		1,747,246
Treman Park CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A(a)		2.134%	(b)		04/20/27		1,500		1,490,467
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.748%	(b)		07/15/25		2,200		2,177,628
Vibrant CLO Ltd. (Cayman Islands), Series 2015-3A, Class A1, 144A		2.264%	(b)		04/20/26		2,500		2,486,794
Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.768%	(b)		04/15/24		1,500		1,483,062
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		2.134%	(b)		04/20/26		1,300		1,291,565
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A		4.250%			04/20/26		500		497,332
									44,558,829

SEE NOTES TO FINANCIAL STATEMENTS.

A11

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Non-Residential Mortgage-Backed Securities — 2.5%
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A		1.242%	(b)		05/15/20		2,700	$	2,694,379
AmeriCredit Automobile Receivables Trust, Series 2015-4, Class A2B		1.197%	(b)		04/08/19		2,722		2,726,344
AmeriCredit Automobile Receivables Trust, Series 2016-2, Class A2B		1.147%	(b)		10/08/19		3,000		3,003,920
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 144A		1.920%			09/20/19		1,475		1,478,628
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 144A		2.500%			07/20/21		4,800		4,864,929
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 144A		2.630%			12/20/21		3,800		3,867,881
Ford Credit Auto Owner Trust, Series 2014-1, Class A, 144A		2.260%			11/15/25		2,325		2,371,760
Ford Credit Auto Owner Trust, Series 2014-2, Class A, 144A		2.310%			04/15/26		2,400		2,451,651
Ford Credit Auto Owner Trust, Series 2016-1, Class A, 144A		2.310%			08/15/27		4,100		4,185,713
Ford Credit Auto Owner Trust, Series 2016-2, Class A, 144A		2.030%			12/15/27		2,500		2,513,138
GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 144A(c)		0.942%	(b)		05/15/20		1,600		1,589,557
GMF Floorplan Owner Revolving Trust, Series 2016-1, Class A2, 144A		1.292%	(b)		05/17/21		1,700		1,694,230
Hertz Vehicle Financing II LP, Series 2015-1A, Class A, 144A		2.730%			03/25/21		4,200		4,291,392
Hertz Vehicle Financing II LP, Series 2015-3A, Class A, 144A		2.670%			09/25/21		2,500		2,550,662
Hertz Vehicle Financing LLC, Series 2016-1A, Class A, 144A		2.320%			03/25/20		2,400		2,420,954
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A		2.570%			07/18/25		3,800		3,798,876
Santander Drive Auto Receivables Trust, Series 2015-4, Class A2B		1.142%	(b)		12/17/18		1,102		1,102,498
Santander Drive Auto Receivables Trust, Series 2015-5, Class A2B		1.192%	(b)		12/17/18		1,629		1,630,168
Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 144A		2.200%			10/20/30		1,425		1,425,200
Sierra Timeshare Receivables Funding LLC, Series 2015-3A, Class A, 144A		2.580%			09/20/32		1,499		1,511,404
Sierra Timeshare Receivables Funding LLC, Series 2016-1A, Class A, 144A		3.080%			03/21/33		2,845		2,909,913
Springleaf Funding Trust, Series 2015-AA, Class A, 144A		3.160%			11/15/24		4,665		4,692,593
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A		2.000%			09/20/29		611		604,278
Synchrony Credit Card Master Note Trust, Series 2015-3, Class A		1.740%			09/15/21		1,200		1,207,876
									61,587,944
Residential Mortgage-Backed Securities — 0.6%
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1		2.103%	(b)		03/25/33		230		218,383
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3		3.873%			07/25/35		375		357,069
CWABS, Inc., Asset-Backed Certificates, Series 2004-1, Class M1		1.203%	(b)		03/25/34		1,826		1,748,679
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1		4.836%			07/25/34		368		347,499
Fremont Home Loan Trust, Series 2004-2, Class M1		1.308%	(b)		07/25/34		506		440,203
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1		1.248%	(b)		06/25/34		474		457,937
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1		1.653%	(b)		05/25/33		129		122,057
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1		1.503%	(b)		12/27/33		725		699,351
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1		1.353%	(b)		07/25/32		285		274,394
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1		1.728%	(b)		09/25/32		2,803		2,671,733
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1		1.218%	(b)		02/25/34		821		759,326
VOLT XLIV LLC, Series 2016-NPL4, Class A1, 144A		4.250%			04/25/46		1,954		1,953,974
VOLT XXXI LLC, Series 2015-NPL2, Class A1, 144A		3.375%			02/25/55		1,137		1,125,674
VOLT XXXVII LLC, Series 2015-NP11, Class A1, 144A		3.625%			07/25/45		3,019		3,008,097
									14,184,376
TOTAL ASSET-BACKED SECURITIES (cost $119,504,751)									120,331,149

SEE NOTES TO FINANCIAL STATEMENTS.

A12

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

BANK LOANS(b) — 0.3%	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Automotive
Schaeffler AG (Germany)		4.250%			05/15/20		129	$	129,608
Food
Aramark Corp.		3.250%			02/24/21		383		382,378
Healthcare & Pharmaceutical — 0.1%
RPI Finance Trust (Luxembourg)		3.500%			11/09/20		1,174		1,173,444
Media & Entertainment
Nielsen Finance LLC		2.696%			05/30/17		673		672,441
Technology — 0.2%
Avago Technologies Cayman Finance Ltd. (Singapore)		4.250%			02/01/23		1,077		1,076,403
Dell International LLC(d)		—%	(e)		12/31/18		500		485,000
Dell International LLC		—%	(e)		09/30/23		610		607,628
First Data Corp.		4.452%			03/24/21		1,052		1,047,362
Trans Union LLC		3.500%			04/09/21		391		386,603
Western Digital Corp.		6.250%			04/28/23		880		881,925
									4,484,921
Telecommunications
T-Mobile USA, Inc.		3.500%			11/09/22		736		738,141
TOTAL BANK LOANS (cost $7,526,989)									7,580,933
COMMERCIAL MORTGAGE-BACKED SECURITIES — 5.5%
Assurant Commercial Mortgage Trust, Series 2016-1A, Class AS, 144A		3.172%			05/15/49		3,100		3,240,830
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3		5.369%			10/10/45		43		42,848
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A		5.739%	(b)		04/10/49		2,961		3,018,670
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A3		3.014%			05/10/58		2,500		2,590,571
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4		5.901%	(b)		12/10/49		800		823,464
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3		2.815%			04/10/46		900		941,095
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4		3.575%			05/10/47		2,090		2,267,874
Citigroup Commercial Mortgage Trust, Series 2015-P1, Class A4		3.462%			09/15/48		3,500		3,761,251
Citigroup Commercial Mortgage Trust, Series 2016-C1, Class A3		2.944%			05/10/49		2,700		2,784,439
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4		5.223%			08/15/48		534		535,335
Commercial Mortgage Trust, Series 2012-CR5, Class A3		2.540%			12/10/45		1,000		1,030,749
Commercial Mortgage Trust, Series 2013-CR7, Class A3		2.929%			03/10/46		1,400		1,469,979
Commercial Mortgage Trust, Series 2014-CR15, Class A2		2.928%			02/10/47		2,000		2,067,409
Commercial Mortgage Trust, Series 2014-CR18, Class A4		3.550%			07/15/47		2,100		2,271,311
Commercial Mortgage Trust, Series 2014-LC17, Class A4		3.648%			10/10/47		5,000		5,441,250
Commercial Mortgage Trust, Series 2014-UBS3, Class A2		2.844%			06/10/47		1,700		1,761,299
Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class A1A		5.297%			12/15/39		2,130		2,142,348
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class A3		3.544%			11/15/48		2,500		2,662,093
Eleven Madison Mortgage Trust, Series 2015-11MD, Class A, 144A		3.673%	(b)		09/10/35		1,100		1,195,358
Fannie Mae-Aces, Series 2014-M2, Class A2		3.513%	(b)		12/25/23		1,925		2,137,192
Fannie Mae-Aces, Series 2015-M8, Class AB2		2.829%			01/25/25		4,100		4,359,019
Fannie Mae-Aces, Series 2015-M10, Class A2		3.092%	(b)		04/25/27		4,700		5,103,401
Fannie Mae-Aces, Series 2015-M17, Class A2		3.038%	(b)		11/25/25		3,000		3,199,993
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O		1.584%	(b)		05/25/22		20,452		1,443,252
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O		1.620%	(b)		06/25/22		5,658		406,120
FHLMC Multifamily Structured Pass-Through Certificates, Series K041, Class A2		3.171%			10/25/24		5,800		6,318,114
FHLMC Multifamily Structured Pass-Through Certificates, Series K045, Class A2		3.023%			01/25/25		4,965		5,358,003
FHLMC Multifamily Structured Pass-Through Certificates, Series K047, Class A2		3.329%			05/25/25		4,400		4,847,981
FHLMC Multifamily Structured Pass-Through Certificates, Series K048, Class A2		3.284%	(b)		06/25/25		3,650		4,005,841

SEE NOTES TO FINANCIAL STATEMENTS.

A13

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class X1,I/O		1.369%	(b)	03/25/26		9,350	$	979,879
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O		1.610%	(b)	08/25/16		2,632		576
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O		1.894%	(b)	05/25/19		15,972		673,689
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O		1.818%	(b)	07/25/19		16,799		724,488
FHLMC Multifamily Structured Pass-Through Certificates, Series KS03, Class A4		3.161%	(b)	05/25/25		1,900		2,055,070
GS Mortgage Securities Trust, Series 2015-GC28, Class A4		3.136%		02/10/48		3,000		3,148,882
GS Mortgage Securities Trust, Series 2015-GC34, Class A3		3.244%		10/10/48		4,800		5,083,742
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1		3.408%		11/15/47		1,100		1,177,574
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1		2.920%		02/15/48		5,000		5,171,465
JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class A3A		2.881%		06/15/49		2,500		2,567,530
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3		3.139%		06/15/45		1,187		1,213,634
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4		2.611%		12/15/47		1,500		1,548,165
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4		2.875%		12/15/47		3,200		3,343,861
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2		3.070%		12/15/46		1,267		1,310,294
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46		1,100		1,136,032
LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class AM		6.114%	(b)	07/15/40		2,500		2,577,994
ML-CFC Commercial Mortgage Trust, Series 2007-6, Class A2		5.331%		03/12/51		1,308		1,317,129
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3		2.863%		12/15/48		1,200		1,257,607
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3		3.451%		07/15/50		4,000		4,309,826
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB		5.444%		02/12/44		113		112,810
Morgan Stanley Capital I Trust, Series 2015-UBS8, Class A3		3.540%		12/15/48		5,000		5,423,561
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4		2.792%		12/10/45		1,400		1,457,437
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3		2.920%		03/10/46		3,200		3,347,233
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3		2.971%		04/10/46		1,500		1,570,099
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A		5.608%	(b)	05/15/46		3,853		3,948,712
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class A3		3.354%		09/15/57		4,000		4,261,591
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $132,953,793)								136,945,969
CORPORATE BONDS — 11.6%
Agriculture — 0.2%
Altria Group, Inc., Gtd. Notes		4.000%		01/31/24		1,585		1,773,203
Altria Group, Inc., Gtd. Notes		9.950%		11/10/38		42		75,556
Altria Group, Inc., Gtd. Notes		10.200%		02/06/39		94		174,199
Bunge Ltd. Finance Corp., Gtd. Notes		8.500%		06/15/19		690		806,799
Imperial Brands Finance PLC (United Kingdom), Gtd. Notes, 144A		2.050%		02/11/18		1,680		1,694,569
Reynolds American, Inc., Gtd. Notes		8.125%		06/23/19		290		343,824
								4,868,150
Airlines — 0.2%
American Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2015-1, Class A		3.375%		05/01/27		2,515		2,530,721
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A		6.648%		09/15/17		34		35,100

SEE NOTES TO FINANCIAL STATEMENTS.

A14

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Airlines (continued)
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1		6.703%			06/15/21		44	$	46,052
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A		7.250%			11/10/19		502		573,504
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A		4.750%			01/12/21		540		575,182
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A		4.000%			10/29/24		353		370,854
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A		6.821%			08/10/22		277		322,131
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A		4.950%			05/23/19		371		391,856
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A		5.300%			04/15/19		636		677,242
									5,522,642
Auto Manufacturers — 0.3%
Ford Motor Co., Sr. Unsec’d. Notes(a)		4.750%			01/15/43		1,035		1,095,530
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, GMTN		4.389%			01/08/26		1,240		1,353,643
General Motors Co., Sr. Unsec’d. Notes		6.250%			10/02/43		1,065		1,183,058
General Motors Co., Sr. Unsec’d. Notes		6.600%			04/01/36		585		670,824
Harley-Davidson Financial Services, Inc., Gtd. Notes, MTN, 144A		2.700%			03/15/17		380		383,814
Harley-Davidson Financial Services, Inc., Gtd. Notes, MTN, 144A		2.850%			01/15/21		3,645		3,807,972
									8,494,841
Banks — 3.0%
Bank of America Corp., Jr. Sub. Notes		6.300%	(b)		12/31/49		275		292,187
Bank of America Corp., Series K, Jr. Sub. Notes		8.000%	(b)		12/29/49		2,100		2,086,875
Bank of America Corp., Sr. Unsec’d. Notes		5.700%			01/24/22		1,290		1,493,585
Bank of America Corp., Sr. Unsec’d. Notes		6.000%			09/01/17		1,330		1,398,238
Bank of America Corp., Sr. Unsec’d. Notes, GMTN		3.300%			01/11/23		360		370,493
Bank of America Corp., Sr. Unsec’d. Notes, GMTN(a)		3.500%			04/19/26		4,770		4,929,261
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.000%			04/01/24		745		795,133
Bank of America Corp., Sr. Unsec’d. Notes, MTN		5.650%			05/01/18		105		112,523
Bank of America Corp., Sub. Notes, MTN		4.000%			01/22/25		1,700		1,732,829
Bank of America NA, Sub. Notes		5.300%			03/15/17		850		872,922
Bank of America NA, Sub. Notes		6.000%			10/15/36		805		1,027,243
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes		4.375%			01/12/26		1,205		1,216,688
Capital One Financial Corp., Sr. Unsec’d. Notes		3.750%			04/24/24		3,325		3,468,926
Citigroup, Inc., Jr. Sub. Notes		5.950%	(b)		12/31/49		1,590		1,549,097
Citigroup, Inc., Jr. Sub. Notes		6.125%	(b)		12/31/49		945		959,175
Citigroup, Inc., Jr. Sub. Notes		6.250%	(b)		12/31/49		640		657,600
Citigroup, Inc., Sr. Unsec’d. Notes		3.700%			01/12/26		1,610		1,694,828
Citigroup, Inc., Sr. Unsec’d. Notes		4.500%			01/14/22		1,125		1,243,512
Citigroup, Inc., Sr. Unsec’d. Notes		8.125%			07/15/39		850		1,325,688
Citigroup, Inc., Sub. Notes		4.450%			09/29/27		1,485		1,529,715
Compass Bank, Sr. Unsec’d. Notes		1.850%			09/29/17		1,050		1,046,927
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, GMTN		3.375%			05/12/21		3,055		3,065,515
Discover Bank, Sr. Unsec’d. Notes		4.250%			03/13/26		595		622,335
Discover Bank, Sub. Notes		7.000%			04/15/20		485		552,367
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes		5.375%	(b)		12/31/49		1,800		1,780,056
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		3.750%			02/25/26		1,165		1,226,164
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.250%			07/27/21		2,305		2,601,151
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.750%			01/24/22		1,250		1,451,200
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.250%			02/01/41		220		284,703
Goldman Sachs Group, Inc. (The), Sub. Notes		6.750%			10/01/37		1,100		1,356,887
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		4.875%			01/14/22		1,230		1,349,697
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		5.100%			04/05/21		920		1,015,132

SEE NOTES TO FINANCIAL STATEMENTS.

A15

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Banks (continued)
JPMorgan Chase & Co., Jr. Sub. Notes		6.100%	(b)	12/31/49		1,175	$	1,211,719
JPMorgan Chase & Co., Jr. Sub. Notes		7.900%	(b)	04/29/49		2,000		2,040,000
JPMorgan Chase & Co., Sr. Unsec’d. Notes		4.250%		10/15/20		1,660		1,809,317
JPMorgan Chase & Co., Sub. Notes		3.875%		09/10/24		3,525		3,649,563
JPMorgan Chase & Co., Sub. Notes		4.950%		06/01/45		195		214,106
Lloyds Bank PLC (United Kingdom), Gtd. Notes, MTN, 144A		5.800%		01/13/20		1,770		1,980,053
Manufacturers & Traders Trust Co., Sr. Unsec’d. Notes		2.900%		02/06/25		2,385		2,444,511
Morgan Stanley, Jr. Sub. Notes		5.450%	(b)	12/31/49		640		614,400
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		3.750%		02/25/23		605		640,801
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		5.450%		01/09/17		1,530		1,562,708
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		5.500%		07/28/21		840		959,175
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		6.625%		04/01/18		100		108,377
Morgan Stanley, Sr. Unsec’d. Notes, MTN		6.375%		07/24/42		640		866,702
Morgan Stanley, Sub. Notes, GMTN		4.350%		09/08/26		3,050		3,190,657
MUFG Capital Finance 1 Ltd. (Japan), Gtd. Notes		6.346%	(b)	07/29/49		800		800,000
National City Corp., Sub. Notes		6.875%		05/15/19		2,687		3,028,663
Nordea Bank AB (Sweden), Sr. Unsec’d. Notes, MTN, 144A		1.875%		09/17/18		1,590		1,606,193
PNC Bank NA, Sr. Unsec’d. Notes		1.950%		03/04/19		455		461,848
PNC Bank NA, Sub. Notes		3.800%		07/25/23		480		517,545
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes		2.450%		01/10/19		925		944,728
US Bancorp, Sub. Notes, MTN		2.950%		07/15/22		915		952,182
								74,711,900
Beverages — 0.1%
Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes		4.700%		02/01/36		2,005		2,253,075
Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes		4.900%		02/01/46		535		626,935
								2,880,010
Biotechnology — 0.1%
Amgen, Inc., Sr. Unsec’d. Notes, 144A		4.663%		06/15/51		1,527		1,595,430
Gilead Sciences, Inc., Sr. Unsec’d. Notes		5.650%		12/01/41		140		175,211
								1,770,641
Building Materials — 0.1%
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A (original cost $1,154,375; purchased 10/27/14-02/11/15)(c)(f)		5.375%		11/15/24		1,135		1,154,862
Chemicals — 0.2%
Celanese US Holdings LLC, Gtd. Notes		5.875%		06/15/21		1,160		1,296,300
CF Industries, Inc., Gtd. Notes		5.375%		03/15/44		445		419,659
Dow Chemical Co. (The), Sr. Unsec’d. Notes		4.625%		10/01/44		5		5,295
Dow Chemical Co. (The), Sr. Unsec’d. Notes		9.400%		05/15/39		30		46,910
LyondellBasell Industries NV, Sr. Unsec’d. Notes		4.625%		02/26/55		955		932,039
LyondellBasell Industries NV, Sr. Unsec’d. Notes		5.000%		04/15/19		800		865,907
Mosaic Co. (The), Sr. Unsec’d. Notes		5.450%		11/15/33		265		293,072
Mosaic Co. (The), Sr. Unsec’d. Notes		5.625%		11/15/43		860		953,847
Union Carbide Corp., Sr. Unsec’d. Notes		7.500%		06/01/25		500		626,077
								5,439,106
Commercial Services — 0.1%
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,195,904; purchased 10/10/07)(c)(f)		6.375%		10/15/17		1,198		1,269,876
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $386,623; purchased 10/10/07)(c)(f)		7.000%		10/15/37		390		531,326
United Rentals North America, Inc., Gtd. Notes		5.875%		09/15/26		400		397,000
United Rentals North America, Inc., Gtd. Notes(a)		7.375%		05/15/20		508		528,320
								2,726,522

SEE NOTES TO FINANCIAL STATEMENTS.

A16

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date		Principal Amount (000)#		Value (Note 2)
Computers — 0.2%
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A		3.480%		06/01/19		825	$	845,138
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A		4.420%		06/15/21		700		720,490
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes, 144A		2.450%		10/05/17		2,915		2,952,778
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes, 144A		2.850%		10/05/18		545		558,113
Seagate HDD Cayman, Gtd. Notes		3.750%		11/15/18		455		455,287
								5,531,806
Diversified Financial Services — 0.4%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes		3.750%		05/15/19		600		604,500
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes		6.400%		10/02/17		270		286,859
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes		7.250%		02/01/18		1,135		1,237,258
Discover Financial Services, Sr. Unsec’d. Notes		3.850%		11/21/22		900		914,035
GE Capital International Funding Co., Gtd. Notes, 144A		4.418%		11/15/35		1,637		1,836,036
Jefferies Group LLC, Sr. Unsec’d. Notes		6.500%		01/20/43		465		461,714
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(g)		5.250%		02/06/12		1,850		124,875
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(g)		6.875%		05/02/18		700		49,000
Navient Corp., Sr. Unsec’d. Notes, MTN		8.450%		06/15/18		295		318,969
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN		2.000%		09/13/16		680		681,174
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes		1.875%		07/15/18		55		56,121
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes		2.450%		07/15/24		285		297,618
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes		3.250%		06/15/25		895		991,814
Synchrony Financial, Sr. Unsec’d. Notes		2.700%		02/03/20		2,175		2,180,953
								10,040,926
Electric — 0.6%
Arizona Public Service Co., Sr. Unsec’d. Notes		6.250%		08/01/16		170		170,645
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes		6.350%		10/01/36		530		723,724
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes		6.125%		04/01/36		340		450,851
Black Hills Corp., Sr. Unsec’d. Notes		2.500%		01/11/19		950		969,819
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge., Series K2		6.950%		03/15/33		300		428,143
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Series 09-C		5.500%		12/01/39		145		182,805
Dominion Resources, Inc., Jr. Sub. Notes		4.104%		04/01/21		2,470		2,613,838
Duke Energy Carolinas LLC, First Mortgage		6.050%		04/15/38		530		722,235
Dynegy, Inc., Gtd. Notes		6.750%		11/01/19		345		345,431
Dynegy, Inc., Gtd. Notes		7.375%		11/01/22		255		246,075
El Paso Electric Co., Sr. Unsec’d. Notes		6.000%		05/15/35		845		1,034,617
Emera U.S. Finance LP (Canada), Gtd. Notes, 144A		3.550%		06/15/26		745		762,313
Eversource Energy, Sr. Unsec’d. Notes		4.500%		11/15/19		605		663,068
Exelon Generation Co. LLC, Sr. Unsec’d. Notes		6.250%		10/01/39		1,375		1,510,370
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A		5.450%		07/15/44		265		288,724
Florida Power & Light Co., First Mortgage		5.950%		10/01/33		380		500,478
Iberdrola International BV (Spain), Gtd. Notes		6.750%		09/15/33		140		163,857
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A		4.881%		08/15/19		545		596,661
NiSource Finance Corp., Gtd. Notes		5.450%		09/15/20		500		565,977
NRG Energy, Inc., Gtd. Notes, 144A		7.250%		05/15/26		685		681,575
Public Service Co. of New Mexico, Sr. Unsec’d. Notes		7.950%		05/15/18		135		150,338
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN		5.800%		05/01/37		515		682,577
Southern California Edison Co., First Mortgage		3.600%		02/01/45		690		716,679
Xcel Energy, Inc., Sr. Unsec’d. Notes		4.800%		09/15/41		480		551,656
Xcel Energy, Inc., Sr. Unsec’d. Notes		5.613%		04/01/17		263		271,850
								15,994,306
Engineering & Construction
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A (original cost $530,000; purchased 06/19/14)(c)(f)		5.250%		06/27/29		530		210,940

SEE NOTES TO FINANCIAL STATEMENTS.

A17

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Entertainment
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes		4.875%		11/01/20		800	$	829,000
Food — 0.1%
Kraft Heinz Foods Co., Gtd. Notes, 144A		3.000%		06/01/26		1,510		1,522,349
Kraft Heinz Foods Co., Gtd. Notes, 144A		4.375%		06/01/46		360		380,708
								1,903,057
Food Service
Aramark Services, Inc., Gtd. Notes		5.125%		01/15/24		205		209,100
Forest Products & Paper — 0.1%
Georgia-Pacific LLC, Gtd. Notes, 144A (original cost $273,386; purchased 10/27/10)(c)(f)		5.400%		11/01/20		275		311,469
International Paper Co., Sr. Unsec’d. Notes		6.000%		11/15/41		1,270		1,505,314
International Paper Co., Sr. Unsec’d. Notes		7.950%		06/15/18		460		518,506
								2,335,289
Gas
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes		4.800%		11/01/43		45		48,756
Healthcare-Products — 0.3%
Becton Dickinson & Co., Sr. Unsec’d. Notes		3.734%		12/15/24		805		867,099
Medtronic, Inc., Gtd. Notes		3.500%		03/15/25		2,515		2,741,664
Medtronic, Inc., Gtd. Notes		4.375%		03/15/35		997		1,127,747
St. Jude Medical, Inc., Sr. Unsec’d. Notes		2.000%		09/15/18		3,700		3,742,273
								8,478,783
Healthcare-Services — 0.6%
Aetna, Inc., Sr. Unsec’d. Notes		6.625%		06/15/36		480		639,957
Aetna, Inc., Sr. Unsec’d. Notes		6.750%		12/15/37		1,050		1,424,134
Anthem, Inc., Sr. Unsec’d. Notes		4.625%		05/15/42		330		346,154
Anthem, Inc., Sr. Unsec’d. Notes		4.650%		01/15/43		260		271,342
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes		5.125%		08/15/18		181		183,603
Cigna Corp., Sr. Unsec’d. Notes		5.875%		03/15/41		540		662,605
Cigna Corp., Sr. Unsec’d. Notes		6.150%		11/15/36		640		792,783
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A		4.125%		10/15/20		1,235		1,268,962
HCA, Inc., Sr. Sec’d. Notes		5.000%		03/15/24		900		931,500
HCA, Inc., Sr. Sec’d. Notes		5.250%		04/15/25		350		365,750
HCA, Inc., Sr. Sec’d. Notes		5.250%		06/15/26		700		726,687
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes		3.200%		02/01/22		160		165,501
New York & Presbyterian Hospital (The), Unsec’d. Notes		4.024%		08/01/45		340		370,438
Roche Holdings, Inc. (Switzerland), Gtd. Notes, 144A		2.875%		09/29/21		4,385		4,664,105
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		3.950%		10/15/42		440		460,350
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.000%		06/15/17		115		120,411
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.625%		11/15/37		410		579,594
								13,973,876
Home Builders
D.R. Horton, Inc., Gtd. Notes		3.625%		02/15/18		375		380,981
Housewares — 0.1%
Newell Brands, Inc., Sr. Unsec’d. Notes		4.200%		04/01/26		610		661,271
Newell Brands, Inc., Sr. Unsec’d. Notes		6.250%		04/15/18		1,600		1,715,253
								2,376,524
Insurance — 0.9%
Allied World Assurance Co. Holdings Ltd., Gtd. Notes		5.500%		11/15/20		480		534,439
American International Group, Inc., Sr. Unsec’d. Notes(a)		4.500%		07/16/44		1,910		1,847,818
AXIS Specialty Finance LLC, Gtd. Notes		5.875%		06/01/20		990		1,106,616
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes		3.125%		03/15/26		1,350		1,415,535
Chubb Corp. (The), Gtd. Notes		6.375%	(b)	04/15/37		1,260		1,096,200
Chubb INA Holdings, Inc., Gtd. Notes(a)		3.350%		05/03/26		705		751,459

SEE NOTES TO FINANCIAL STATEMENTS.

A18

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Insurance (continued)
Chubb INA Holdings, Inc., Gtd. Notes		4.350%		11/03/45		100	$	115,042
Hartford Financial Services Group, Inc. (The), Sr. Unsec’d. Notes		5.125%		04/15/22		635		722,182
Liberty Mutual Group, Inc., Gtd. Notes, 144A		6.500%		05/01/42		215		260,393
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A		7.000%		03/15/34		910		1,138,418
Lincoln National Corp., Sr. Unsec’d. Notes		6.300%		10/09/37		876		1,032,989
Lincoln National Corp., Sr. Unsec’d. Notes		7.000%		06/15/40		660		849,936
Lincoln National Corp., Sr. Unsec’d. Notes		8.750%		07/01/19		505		597,374
Markel Corp., Sr. Unsec’d. Notes		5.000%		03/30/43		165		175,960
New York Life Insurance Co., Sub. Notes, 144A		6.750%		11/15/39		650		888,138
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A		5.100%	(b)	10/16/44		1,505		1,619,555
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A		6.063%		03/30/40		350		447,698
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A		6.375%		04/30/20		640		723,096
Pacific Life Insurance Co., Sub. Notes, 144A		9.250%		06/15/39		695		1,053,763
Principal Financial Group, Inc., Gtd. Notes		4.625%		09/15/42		105		111,063
Progressive Corp. (The), Jr. Sub. Notes		6.700%	(b)	06/15/37		715		656,013
Progressive Corp. (The), Sr. Unsec’d. Notes		3.700%		01/26/45		570		586,679
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A		6.850%		12/16/39		1,430		1,942,592
Travelers Cos., Inc. (The), Sr. Unsec’d. Notes		4.300%		08/25/45		660		751,503
Unum Group, Sr. Unsec’d. Notes		5.625%		09/15/20		315		353,659
W.R. Berkley Corp., Sr. Unsec’d. Notes		6.150%		08/15/19		575		640,888
								21,419,008
Lodging — 0.2%
Choice Hotels International, Inc., Gtd. Notes		5.750%		07/01/22		955		1,023,665
Marriott International, Inc., Sr. Unsec’d. Notes		3.000%		03/01/19		490		505,675
Marriott International, Inc., Sr. Unsec’d. Notes		3.250%		09/15/22		805		836,165
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes		6.750%		05/15/18		2,700		2,945,335
Wyndham Worldwide Corp., Sr. Unsec’d. Notes		2.500%		03/01/18		405		409,223
								5,720,063
Machinery-Diversified — 0.1%
Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes		7.875%		12/01/17		1,100		1,182,500
SPX Flow, Inc., Gtd. Notes		6.875%		09/01/17		535		557,069
Xylem, Inc., Sr. Unsec’d. Notes		4.875%		10/01/21		1,060		1,155,737
								2,895,306
Media — 0.6%
21st Century Fox America, Inc., Gtd. Notes		6.150%		03/01/37		250		310,309
21st Century Fox America, Inc., Gtd. Notes		6.900%		08/15/39		35		46,820
21st Century Fox America, Inc., Gtd. Notes		7.625%		11/30/28		1,265		1,750,179
AMC Networks, Inc., Gtd. Notes		5.000%		04/01/24		1,225		1,212,597
Cablevision Systems Corp., Sr. Unsec’d. Notes		8.625%		09/15/17		900		950,625
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A		5.375%		05/01/25		720		730,800
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A(a)		6.384%		10/23/35		630		746,036
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A		6.484%		10/23/45		760		907,456
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A		6.834%		10/23/55		200		237,803
Comcast Cable Holdings LLC, Gtd. Notes		9.875%		06/15/22		1,440		1,936,631
Historic TW, Inc., Gtd. Notes		9.150%		02/01/23		625		840,116
Myriad International Holdings BV (South Africa), Gtd. Notes, RegS		6.375%		07/28/17		750		778,845
Time Warner Cable, Inc., Gtd. Notes		5.850%		05/01/17		1,240		1,283,617
Time Warner, Inc., Gtd. Notes		6.200%		03/15/40		175		214,933
Time Warner, Inc., Gtd. Notes(a)		6.250%		03/29/41		495		622,936
Time Warner, Inc., Gtd. Notes		7.625%		04/15/31		75		102,873
Viacom, Inc., Sr. Unsec’d. Notes		4.500%		02/27/42		50		41,484
Viacom, Inc., Sr. Unsec’d. Notes		4.875%		06/15/43		150		132,421
Viacom, Inc., Sr. Unsec’d. Notes		5.850%		09/01/43		325		325,857
Videotron Ltd. (Canada), Gtd. Notes		5.000%		07/15/22		850		879,750
								14,052,088

SEE NOTES TO FINANCIAL STATEMENTS.

A19

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Mining — 0.1%
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes		5.000%		09/30/43		700	$	813,381
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes, 144A		6.250%	(b)	10/19/75		845		889,785
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes		5.875%		04/23/45		400		376,829
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes		7.500%		07/27/35		370		408,702
								2,488,697
Miscellaneous Manufacturing — 0.1%
Actuant Corp., Gtd. Notes		5.625%		06/15/22		1,040		1,060,800
General Electric Co., Sr. Unsec’d. Notes		4.125%		10/09/42		180		197,987
General Electric Co., Sr. Unsec’d. Notes		4.500%		03/11/44		260		300,034
General Electric Co., Sr. Unsec’d. Notes, GMTN		6.875%		01/10/39		311		469,439
General Electric Co., Sr. Unsec’d. Notes, MTN		5.875%		01/14/38		167		225,862
Koppers, Inc., Gtd. Notes		7.875%		12/01/19		1,050		1,071,000
								3,325,122
Multi-National — 0.1%
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes		2.000%		05/10/19		1,065		1,076,896
North American Development Bank (Supranational Bank), Sr. Unsec’d. Notes		2.400%		10/26/22		855		873,085
North American Development Bank (Supranational Bank), Sr. Unsec’d. Notes		4.375%		02/11/20		600		655,010
								2,604,991
Oil & Gas — 0.5%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		4.677%	(h)	10/10/36		1,000		377,790
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.450%		09/15/36		305		351,394
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.600%		03/15/46		780		941,854
ConocoPhillips Co., Gtd. Notes(a)		4.950%		03/15/26		1,700		1,927,667
Devon Energy Corp., Sr. Unsec’d. Notes		5.000%		06/15/45		210		195,903
Devon Energy Corp., Sr. Unsec’d. Notes(a)		5.600%		07/15/41		95		91,788
Devon Energy Corp., Sr. Unsec’d. Notes		5.850%		12/15/25		420		463,296
Devon Financing Corp. LLC, Gtd. Notes		7.875%		09/30/31		1,350		1,570,960
EOG Resources, Inc., Sr. Unsec’d. Notes		3.900%		04/01/35		830		832,146
Helmerich & Payne International Drilling Co., Gtd. Notes		4.650%		03/15/25		1,555		1,659,173
Nabors Industries, Inc., Gtd. Notes		4.625%		09/15/21		890		816,693
Phillips 66, Gtd. Notes		2.950%		05/01/17		415		421,075
Pioneer Natural Resources Co., Sr. Unsec’d. Notes		6.875%		05/01/18		1,450		1,567,520
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A		5.400%		02/14/22		400		447,886
Valero Energy Corp., Sr. Unsec’d. Notes(a)		4.900%		03/15/45		225		208,403
								11,873,548
Oil & Gas Services — 0.1%
Schlumberger Holdings Corp., Sr. Unsec’d. Notes, 144A		4.000%		12/21/25		2,170		2,335,428
Packaging & Containers — 0.1%
Ball Corp., Gtd. Notes		4.375%		12/15/20		465		489,122
Crown Americas LLC/Crown Americas Capital Corp. IV, Gtd. Notes		4.500%		01/15/23		1,000		1,020,000
WestRock RKT Co., Gtd. Notes		4.900%		03/01/22		675		749,292
								2,258,414
Pharmaceuticals — 0.4%
AbbVie, Inc., Sr. Unsec’d. Notes		3.600%		05/14/25		950		995,438
AbbVie, Inc., Sr. Unsec’d. Notes		4.500%		05/14/35		1,595		1,667,035
Actavis Funding SCS, Gtd. Notes		3.800%		03/15/25		805		838,672
Actavis Funding SCS, Gtd. Notes		4.550%		03/15/35		1,465		1,505,611
Actavis Funding SCS, Gtd. Notes		4.750%		03/15/45		350		367,526
Actavis, Inc., Gtd. Notes		6.125%		08/15/19		440		493,781
Johnson & Johnson, Sr. Unsec’d. Notes		3.550%		03/01/36		250		276,201
Merck & Co., Inc., Sr. Unsec’d. Notes		2.750%		02/10/25		340		355,510
Merck & Co., Inc., Sr. Unsec’d. Notes		3.700%		02/10/45		1,105		1,170,931
Novartis Capital Corp. (Switzerland), Gtd. Notes		4.400%		05/06/44		1,010		1,217,287
Zoetis, Inc., Sr. Unsec’d. Notes		4.700%		02/01/43		90		89,177
								8,977,169

SEE NOTES TO FINANCIAL STATEMENTS.

A20

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Pipelines — 0.2%
DCP Midstream LLC, Sr. Unsec’d. Notes, 144A		5.350%		03/15/20		473	$	463,540
Energy Transfer Partners LP, Sr. Unsec’d. Notes		4.650%		06/01/21		610		629,815
Energy Transfer Partners LP, Sr. Unsec’d. Notes(a)		4.900%		03/15/35		200		176,694
EnLink Midstream Partners LP, Sr. Unsec’d. Notes		4.150%		06/01/25		665		612,872
Enterprise Products Operating LLC, Gtd. Notes		3.750%		02/15/25		1,055		1,100,348
Enterprise Products Operating LLC, Gtd. Notes		3.950%		02/15/27		1,310		1,389,421
Kinder Morgan Energy Partners LP, Gtd. Notes		5.950%		02/15/18		530		559,427
MPLX LP, Sr. Unsec’d. Notes		4.000%		02/15/25		1,140		1,035,526
ONEOK Partners LP, Gtd. Notes		6.650%		10/01/36		130		136,062
								6,103,705
Real Estate
Prologis LP, Gtd. Notes		6.875%		03/15/20		68		80,049
Real Estate Investment Trusts (REITs) — 0.1%
Mack-Cali Realty LP, Sr. Unsec’d. Notes		7.750%		08/15/19		685		773,194
Select Income REIT, Sr. Unsec’d. Notes		2.850%		02/01/18		550		554,308
Simon Property Group LP, Sr. Unsec’d. Notes		2.800%		01/30/17		235		236,515
Simon Property Group LP, Sr. Unsec’d. Notes		3.375%		03/15/22		190		203,377
								1,767,394
Retail — 0.3%
CVS Health Corp., Sr. Unsec’d. Notes		5.125%		07/20/45		590		731,940
CVS Health Corp., Sr. Unsec’d. Notes		5.300%		12/05/43		170		212,217
Home Depot, Inc. (The), Sr. Unsec’d. Notes		3.000%		04/01/26		585		621,722
Home Depot, Inc. (The), Sr. Unsec’d. Notes		4.400%		03/15/45		565		654,713
L Brands, Inc., Gtd. Notes		5.625%		02/15/22		1,300		1,398,800
Lowe’s Cos., Inc., Sr. Unsec’d. Notes		6.500%		03/15/29		345		473,358
Macy’s Retail Holdings, Inc., Gtd. Notes		3.875%		01/15/22		300		308,430
McDonald’s Corp., Sr. Unsec’d. Notes, MTN		3.700%		01/30/26		1,925		2,079,855
Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes(a)		5.625%		12/01/25		1,020		1,068,450
Target Corp., Sr. Unsec’d. Notes		3.500%		07/01/24		265		293,636
								7,843,121
Savings & Loans — 0.1%
People’s United Financial, Inc., Sr. Unsec’d. Notes		3.650%		12/06/22		1,195		1,230,027
Semiconductors — 0.1%
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A		5.750%		03/15/23		1,200		1,254,000
Software — 0.2%
Fidelity National Information Services, Inc., Gtd. Notes		3.625%		10/15/20		1,640		1,733,677
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes		2.850%		10/15/18		1,225		1,257,201
Oracle Corp., Sr. Unsec’d. Notes		4.300%		07/08/34		700		744,467
								3,735,345
Telecommunications — 0.6%
America Movil SAB de CV (Mexico), Gtd. Notes		6.125%		03/30/40		200		245,221
AT&T Corp., Gtd. Notes		8.250%		11/15/31		18		25,888
AT&T, Inc., Sr. Unsec’d. Notes		3.400%		05/15/25		3,130		3,201,699
AT&T, Inc., Sr. Unsec’d. Notes		4.500%		05/15/35		350		358,047
AT&T, Inc., Sr. Unsec’d. Notes		4.750%		05/15/46		560		573,929
AT&T, Inc., Sr. Unsec’d. Notes		4.800%		06/15/44		305		313,116
AT&T, Inc., Sr. Unsec’d. Notes		5.150%		03/15/42		520		561,060
AT&T, Inc., Sr. Unsec’d. Notes		5.350%		09/01/40		1,133		1,239,380
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes		9.375%	(b)	12/15/30		350		539,238
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.522%		09/15/48		1,827		1,902,455
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.672%		03/15/55		2,288		2,314,175
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.862%		08/21/46		1,053		1,151,021
Verizon Communications, Inc., Sr. Unsec’d. Notes		5.012%		08/21/54		2,349		2,484,190
								14,909,419

SEE NOTES TO FINANCIAL STATEMENTS.

A21

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date		Principal Amount (000)#		Value (Note 2)
Transportation — 0.1%
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes		3.450%		09/15/21		1,180	$	1,278,772
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes		6.700%		08/01/28		735		1,005,737
CSX Corp., Sr. Unsec’d. Notes		6.150%		05/01/37		690		899,338
Norfolk Southern Corp., Sr. Unsec’d. Notes		5.590%		05/17/25		120		145,449
								3,329,296
TOTAL CORPORATE BONDS (cost $271,623,292)								288,084,208
MUNICIPAL BONDS — 0.6%
California — 0.2%
Bay Area Toll Authority, Revenue Bonds, BABs		6.263%		04/01/49		1,305		1,993,035
State of California, GO, BABs		7.300%		10/01/39		1,250		1,891,600
State of California, GO, BABs(a)		7.500%		04/01/34		350		530,894
State of California, GO, BABs		7.550%		04/01/39		245		387,663
State of California, GO, BABs		7.625%		03/01/40		205		323,392
								5,126,584
Colorado
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs		5.844%		11/01/50		565		823,521
Illinois — 0.1%
Chicago O’Hare International Airport, Revenue Bonds, BABs		6.395%		01/01/40		970		1,379,010
New Jersey — 0.1%
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs		7.414%		01/01/40		1,000		1,565,340
New York — 0.1%
New York City Transitional Finance Authority, Revenue Bonds, BABs		5.767%		08/01/36		1,100		1,441,440
Ohio
Ohio State University (The), Revenue Bonds, BABs		4.910%		06/01/40		415		525,714
Ohio State Water Development Authority, Revenue Bonds, BABs		4.879%		12/01/34		275		331,760
								857,474
Oregon
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs		5.834%		11/15/34		425		581,056
Pennsylvania
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs		5.511%		12/01/45		505		663,514
Tennessee — 0.1%
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs		6.731%		07/01/43		945		1,309,676
TOTAL MUNICIPAL BONDS (cost $9,696,324)								13,747,615
NON-CORPORATE FOREIGN AGENCIES — 0.8%
Bank Nederlandse Gemeenten NV (Netherlands), Sr. Unsec’d. Notes, 144A		2.375%		03/16/26		1,680		1,762,874
Bank Nederlandse Gemeenten NV (Netherlands), Sr. Unsec’d. Notes, 144A		2.625%		04/28/21		2,086		2,207,019
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A		3.150%		07/24/24		1,300		1,397,114
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A		4.875%		01/15/24		490		512,663
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes		5.125%		06/29/20		265		298,213
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		4.950%		07/19/22		255		264,119
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.510%		03/07/22		440		480,788
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, MTN, 144A		2.125%		04/13/21		600		609,927
KFW (Germany), Gov’t. Gtd. Notes		2.750%		10/01/20		2,645		2,817,541
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A		1.125%		05/23/18		2,634		2,644,043
Petroleos Mexicanos (Mexico), Gtd. Notes		5.500%		01/21/21		795		841,826
Petroleos Mexicanos (Mexico), Gtd. Notes		8.625%		12/01/23		350		412,125
Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.299%		05/15/17		560		575,512

SEE NOTES TO FINANCIAL STATEMENTS.

A22

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

NON-CORPORATE FOREIGN AGENCIES (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A		1.750%			04/10/17		1,035	$	1,038,376
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A		2.500%			04/28/20		1,000		1,010,787
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A		2.750%			05/07/19		500		514,943
Svensk Exportkredit AB (Sweden), Sr. Unsec’d. Notes, GMTN		1.750%			03/10/21		2,385		2,430,258
TOTAL NON-CORPORATE FOREIGN AGENCIES (cost $19,283,923)									19,818,128
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.8%
Alternative Loan Trust, Series 2004-18CB, Class 3A1		5.250%			09/25/19		195		195,765
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1		6.000%			01/25/36		1,122		939,202
Banc of America Funding Trust, Series 2015-R4, Class 4A1, 144A		3.500%	(b)		10/27/18		1,660		1,658,398
Banc of America Funding Trust, Series 2015-R6, Class 1A1, 144A		0.608%	(b)		08/26/36		858		791,227
Banc of America Mortgage Trust, Series 2005-A, Class 2A1		2.953%	(b)		02/25/35		254		243,552
Banc of America Mortgage Trust, Series 2005-B, Class 2A1		3.051%	(b)		03/25/35		299		275,150
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5		2.888%	(b)		02/25/37		558		532,877
Credit Suisse Mortgage Trust, Series 2015-12R, Class 1A1, 144A(d)		2.434%	(b)		10/30/47		903		900,168
Fannie Mae Connecticut Avenue Securities, Series 2014-C04, Class 1M1(i)		2.403%	(b)		11/25/24		1,639		1,645,904
Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 1M1(i)		1.953%	(b)		02/25/25		398		398,482
Fannie Mae Connecticut Avenue Securities, Series 2015-C02, Class 1M1(i)		1.603%	(b)		05/25/25		2,848		2,844,790
Fannie Mae Connecticut Avenue Securities, Series 2016-C02, Class 1M1(i)		2.603%	(b)		09/25/28		1,120		1,133,275
Fannie Mae Connecticut Avenue Securities, Series 2016-C03, Class 2M1(i)		2.653%	(b)		10/25/28		1,432		1,447,074
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1(i)		1.353%	(b)		10/25/27		5,807		5,805,053
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M1(i)		1.803%	(b)		04/25/28		1,865		1,868,313
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M1(i)		1.903%	(b)		07/25/28		2,780		2,788,702
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA3, Class M2(i)		2.446%	(b)		12/25/28		1,425		1,434,491
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M2(i)		2.703%	(b)		11/25/28		1,200		1,206,957
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1		2.948%	(b)		07/25/35		299		298,474
LSTAR Securities Investment Trust, Series 2014-1, Class NOTE, 144A(d)		3.539%	(b)		09/01/21		3,860		3,821,758
LSTAR Securities Investment Trust, Series 2014-2, Class A, 144A(d)		2.457%	(b)		12/01/21		781		766,919
LSTAR Securities Investment Trust, Series 2015-5, Class A1, 144A(d)		2.457%	(b)		04/01/20		1,474		1,446,081
LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A(d)		2.457%	(b)		05/01/20		4,338		4,240,100
LSTAR Securities Investment Trust, Series 2015-7, Class A, 144A		2.978%	(b)		07/01/20		1,759		1,728,559
LSTAR Securities Investment Trust, Series 2015-8, Class A1, 144A		2.457%	(b)		08/01/20		1,314		1,289,838
LSTAR Securities Investment Trust, Series 2015-10, Class A1, 144A(d)		2.457%	(b)		11/01/20		652		637,076
LSTAR Securities Investment Trust, Series 2016-1, Class A1, 144A		2.439%	(b)		01/01/21		2,763		2,681,489
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1		5.000%			04/25/19		47		47,040
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		2.830%	(b)		02/25/34		349		345,539
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A		5.000%			03/25/20		129		129,152
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $43,886,966)									43,541,405
SOVEREIGN BONDS — 0.6%
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.000%			02/26/24		920		960,940
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.375%			07/12/21		400		429,400
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		4.000%			03/25/19		392		406,700
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		6.375%			03/29/21		1,760		2,003,535
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		7.625%			03/29/41		1,200		1,740,000
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A(a)		5.875%			03/13/20		770		856,305
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, MTN, 144A		5.125%			01/15/45		700		742,657
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, MTN, 144A		5.875%			01/15/24		750		867,351

SEE NOTES TO FINANCIAL STATEMENTS.

A23

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

SOVEREIGN BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, RegS		4.875%			05/05/21		750	$	814,303
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN		3.625%			03/15/22		550		579,700
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN		4.750%			03/08/44		766		825,365
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		3.750%			03/16/25		490		516,950
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		4.000%			09/22/24		395		423,637
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		5.200%			01/30/20		375		415,312
Province of Manitoba (Canada), Sr. Unsec’d. Notes		2.125%			06/22/26		1,060		1,053,739
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, MTN, 144A		4.875%			01/22/24		140		154,364
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, MTN, RegS		6.125%			01/22/44		350		436,520
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes		7.000%			06/05/20		1,260		1,429,054
TOTAL SOVEREIGN BONDS (cost $14,181,149)									14,655,832
U.S. GOVERNMENT AGENCY OBLIGATIONS — 14.2%
Federal Home Loan Banks(j)		5.500%			07/15/36		850		1,226,350
Federal Home Loan Mortgage Corp.		2.500%			TBA		3,250		3,360,855
Federal Home Loan Mortgage Corp.		2.500%			TBA		2,000		2,064,468
Federal Home Loan Mortgage Corp.		2.500%			03/01/30		864		896,759
Federal Home Loan Mortgage Corp.		2.598%	(b)		12/01/35		302		317,686
Federal Home Loan Mortgage Corp.		2.710%	(b)		06/01/36		284		299,311
Federal Home Loan Mortgage Corp.		3.000%			TBA		3,500		3,621,727
Federal Home Loan Mortgage Corp.		3.000%			10/01/28-04/01/45		11,299		11,792,686
Federal Home Loan Mortgage Corp.(k)		3.500%			TBA		5,000		5,271,094
Federal Home Loan Mortgage Corp.		3.500%			TBA		10,500		11,056,172
Federal Home Loan Mortgage Corp.		3.500%			08/01/26-06/01/42		1,668		1,772,531
Federal Home Loan Mortgage Corp.(k)		4.000%			TBA		8,500		9,097,656
Federal Home Loan Mortgage Corp.		4.000%			TBA		10,000		10,693,750
Federal Home Loan Mortgage Corp.		4.000%			06/01/26-01/01/42		4,454		4,770,089
Federal Home Loan Mortgage Corp.		4.500%			02/01/19-10/01/41		8,701		9,502,335
Federal Home Loan Mortgage Corp.		5.000%			07/01/18-05/01/39		2,246		2,443,716
Federal Home Loan Mortgage Corp.		5.500%			12/01/33-07/01/38		2,075		2,332,814
Federal Home Loan Mortgage Corp.		6.000%			03/01/32-08/01/39		933		1,074,458
Federal Home Loan Mortgage Corp.		7.000%			05/01/31-10/01/31		243		277,210
Federal National Mortgage Assoc.		2.432%	(b)		07/01/33		323		339,324
Federal National Mortgage Assoc.		2.500%			TBA		11,000		11,380,481
Federal National Mortgage Assoc.		2.500%			01/01/28-10/01/43		2,303		2,366,502
Federal National Mortgage Assoc.		2.560%	(b)		06/01/37		74		74,410
Federal National Mortgage Assoc.		2.651%	(b)		07/01/37		465		481,807
Federal National Mortgage Assoc.		3.000%			TBA		42,000		43,507,724
Federal National Mortgage Assoc.		3.000%			02/01/27-07/01/43		21,525		22,500,208
Federal National Mortgage Assoc.		3.500%			TBA		18,000		18,970,312
Federal National Mortgage Assoc.		3.500%			07/01/27-01/01/46		32,286		34,222,997
Federal National Mortgage Assoc.		4.000%			TBA		9,000		9,640,992
Federal National Mortgage Assoc.		4.000%			10/01/41-09/01/44		9,339		10,022,597
Federal National Mortgage Assoc.		4.500%			TBA		1,000		1,091,557
Federal National Mortgage Assoc.		4.500%			11/01/18-03/01/41		6,161		6,773,784
Federal National Mortgage Assoc.(k)		5.000%			TBA		2,500		2,777,654
Federal National Mortgage Assoc.		5.000%			TBA		4,000		4,442,997
Federal National Mortgage Assoc.		5.000%			10/01/18-05/01/36		1,754		1,941,211
Federal National Mortgage Assoc.		5.500%			12/01/16-04/01/37		3,628		4,082,977
Federal National Mortgage Assoc.		6.000%			09/01/17-06/01/38		4,208		4,852,884
Federal National Mortgage Assoc.		6.250%			05/15/29		850		1,237,898
Federal National Mortgage Assoc.		6.500%			07/01/17-01/01/37		1,590		1,849,753
Federal National Mortgage Assoc.		7.000%			02/01/32-07/01/32		181		211,562
Federal National Mortgage Assoc.		7.125%			01/15/30		2,480		3,890,835
Federal National Mortgage Assoc.		7.500%			05/01/32		18		18,468

SEE NOTES TO FINANCIAL STATEMENTS.

A24

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Government National Mortgage Assoc.(k)		3.000%			TBA		12,500	$	13,069,580
Government National Mortgage Assoc.		3.000%			TBA		7,000		7,304,746
Government National Mortgage Assoc.		3.000%			03/15/45		1,851		1,935,191
Government National Mortgage Assoc.(k)		3.500%			TBA		13,500		14,328,457
Government National Mortgage Assoc.		3.500%			TBA		9,500		10,069,629
Government National Mortgage Assoc.		3.500%			05/20/43-02/20/46		8,152		8,667,376
Government National Mortgage Assoc.		4.000%			TBA		4,250		4,542,851
Government National Mortgage Assoc.		4.000%			06/15/40-05/20/41		314		338,090
Government National Mortgage Assoc.		4.500%			TBA		1,000		1,100,464
Government National Mortgage Assoc.		4.500%			04/15/40-03/20/41		4,977		5,450,370
Government National Mortgage Assoc.		5.000%			10/20/37		220		244,221
Government National Mortgage Assoc.		5.500%			08/15/33-04/15/36		1,785		2,028,911
Government National Mortgage Assoc.		6.000%			11/15/23-07/15/34		729		850,612
Government National Mortgage Assoc.		6.500%			10/15/23-09/15/36		1,311		1,529,867
Government National Mortgage Assoc.		8.000%			01/15/24-07/15/24		21		23,589
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes		2.578%			06/30/22		3,910		4,165,847
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes		3.000%			06/30/25		1,115		1,215,685
Israel Government USAID Bond, U.S. Gov’t. Gtd. Notes		5.500%			12/04/23		190		239,187
Israel Government USAID Bond, U.S. Gov’t. Gtd. Notes		5.500%			04/26/24		500		633,255
Israel Government USAID Bond Principal Strip, U.S. Gov’t. Gtd. Notes, PO		2.633%	(h)		11/01/24		400		336,508
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO		1.825%	(h)		10/15/19		1,105		1,069,558
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO		2.804%	(h)		01/15/30		870		625,845
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO		2.962%	(h)		04/15/30		1,705		1,228,684
Tennessee Valley Authority, Sr. Unsec’d. Notes		5.880%			04/01/36		76		110,134
Tennessee Valley Authority, Sr. Unsec’d. Notes		7.125%			05/01/30		1,725		2,641,501
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $344,656,281)									352,300,759
U.S. TREASURY OBLIGATIONS — 1.8%
U.S. Treasury Bonds		2.500%			02/15/46		425		442,548
U.S. Treasury Bonds		2.875%			05/15/43		1,220		1,371,880
U.S. Treasury Bonds(l)		3.000%			05/15/45		3,175		3,649,390
U.S. Treasury Bonds		3.000%			11/15/45		790		908,377
U.S. Treasury Inflation Indexed Bonds, TIPS		0.125%			04/15/21		7,964		8,159,752
U.S. Treasury Inflation Indexed Bonds, TIPS		1.000%			02/15/46		1,358		1,466,008
U.S. Treasury Inflation Indexed Bonds, TIPS		2.375%			01/15/25		8,757		10,455,663
U.S. Treasury Notes		1.125%			06/30/21		50		50,248
U.S. Treasury Notes		2.125%			12/31/22		880		927,816
U.S. Treasury Strips Coupon		2.184%	(h)		02/15/28		2,115		1,720,005
U.S. Treasury Strips Coupon		2.241%	(h)		05/15/28		1,055		852,580
U.S. Treasury Strips Coupon		2.280%	(h)		02/15/29		1,055		838,425
U.S. Treasury Strips Coupon		2.384%	(h)		05/15/29		2,175		1,715,953
U.S. Treasury Strips Coupon		2.519%	(h)		08/15/25		1,930		1,669,942
U.S. Treasury Strips Coupon		2.576%	(h)		08/15/30		6,970		5,327,568
U.S. Treasury Strips Coupon		2.972%	(h)		02/15/37		4,550		2,898,641
U.S. Treasury Strips Coupon		3.103%	(h)		11/15/34		1,430		968,808
U.S. Treasury Strips Principal, PO		2.465%	(h)		05/15/43		770		403,743
U.S. Treasury Strips Principal, PO		2.543%	(h)		02/15/45		665		330,389
U.S. Treasury Strips Principal, PO		2.874%	(h)		05/15/45		710		350,140
U.S. Treasury Strips Principal, PO		3.635%	(h)		05/15/44		820		419,139
TOTAL U.S. TREASURY OBLIGATIONS (cost $42,403,709)									44,927,015
TOTAL LONG-TERM INVESTMENTS (cost $1,523,791,164)									2,236,328,560

SEE NOTES TO FINANCIAL STATEMENTS.

A25

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

SHORT-TERM INVESTMENTS — 17.9%						Shares		Value (Note 2)
AFFILIATED MUTUAL FUNDS — 17.8%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $102,068,746)(m)(Note 4)							10,662,349	$	99,053,225
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund (cost $340,448,347; includes $33,764,573 of cash collateral for securities on loan)(m)(n)(Note 4)							340,448,347		340,448,347
TOTAL AFFILIATED MUTUAL FUNDS (cost $442,517,093)									439,501,572
	Interest Rate			Maturity Date		Principal Amount (000)#
U.S. TREASURY OBLIGATION — 0.1%
U.S. Treasury Bills(j) (cost $2,593,568)		0.266%	(o)		09/15/16		2,595		2,593,884
TOTAL SHORT-TERM INVESTMENTS (cost $445,110,661) (Note 3)									442,095,456
TOTAL INVESTMENTS — 108.2% (cost $1,968,901,825)									2,678,424,016
LIABILITIES IN EXCESS OF OTHER ASSETS(p) — (8.2)%									(203,671,707	)
NET ASSETS — 100.0%								$	2,474,752,309

See the Glossary for abbreviations used in the semiannual report.

* Non-income producing security.

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

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $33,118,479; cash collateral of $33,764,573 (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, 2016.

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

(d) Indicates a Level 3 security. The aggregate value of Level 3 securities is $12,297,102 and 0.5% of net assets.

(e) Interest rate not available as of June 30, 2016.

(f) Indicates a restricted security; the aggregate original cost of the restricted securities is $3,540,288. The aggregate value of $3,478,473 is approximately 0.1% of net assets.

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

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

(i) Represents a Connecticut Avenue security issued by Fannie Mae or a Structured Agency Credit Risk security issued by Freddie Mac.

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

(k) All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of $42,000,000 is approximately 1.7% of net assets.

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A26

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

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

Futures contracts outstanding at June 30, 2016:

Number of Contracts		Type		Expiration Date		Value at Trade Date		Value at June 30, 2016		Unrealized Appreciation (Depreciation)
	Long Positions:
	226		2 Year U.S. Treasury Notes		Sep. 2016	$	49,245,435	$	49,568,156	$	322,721
	637		5 Year U.S. Treasury Notes		Sep. 2016		76,830,373		77,818,508		988,135
	377		10 Year U.S. Treasury Notes		Sep. 2016		48,764,215		50,135,110		1,370,895
	439		30 Year U.S. Ultra Treasury Bonds		Sep. 2016		77,708,553		81,818,625		4,110,072
	15		Mini MSCI EAFE Index		Sep. 2016		1,214,085		1,211,400		(2,685	)
	86		S&P 500 E-Mini Index		Sep. 2016		8,886,580		8,987,860		101,280
	74		S&P 500 Index		Sep. 2016		38,512,002		38,668,700		156,698
											7,047,116
	Short Position:
	488		20 Year U.S. Treasury Bonds		Sep. 2016		79,284,053		84,103,750		(4,819,697	)
										$	2,227,419

A U.S. Treasury Obligation with a market value of $2,593,884 has been segregated with Goldman Sachs & Co. and a U.S. Government Agency Obligation and a U.S. Treasury Obligation, including those sold and pending settlement, with a combined market value of $1,994,325 have been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2016.

Interest rate swap agreements outstanding at June 30, 2016:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2016			Unrealized Appreciation (Depreciation)
	Centrally cleared swap agreements:
	2,270		07/11/18		0.947%	3 Month LIBOR(2)	$	155		$	(9,512	)	$	(9,667	)
	21,290		01/06/21		1.750%	3 Month LIBOR(1)		190			766,073			765,883
	16,455		05/31/22		2.200%	3 Month LIBOR(1)		(33,360	)		(1,085,054	)		(1,051,694	)
	7,020		05/31/22		2.217%	3 Month LIBOR(1)		188			(469,783	)		(469,971	)
	20,465		11/30/22		1.850%	3 Month LIBOR(1)		261			(950,826	)		(951,087	)
	6,240		11/30/22		1.982%	3 Month LIBOR(1)		184			(341,839	)		(342,023	)
	1,900		12/31/22		1.405%	3 Month LIBOR(2)		160			(35,035	)		(35,195	)
	1,500		12/31/22		1.406%	3 Month LIBOR(2)		158			(27,800	)		(27,958	)
	2,900		12/31/22		1.409%	3 Month LIBOR(2)		166			(54,204	)		(54,370	)
	700		12/31/22		1.412%	3 Month LIBOR(2)		154			(13,204	)		(13,358	)
	1,000		12/31/22		1.495%	3 Month LIBOR(2)		156			(24,183	)		(24,339	)
	5,570		09/04/25		2.214%	3 Month LIBOR(1)		190			(440,194	)		(440,384	)
	26,340		01/08/26		2.210%	3 Month LIBOR(1)		283			(2,084,880	)		(2,085,163	)
							$	(31,115	)	$	(4,770,441	)	$	(4,739,326	)

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

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

Credit default swap agreements outstanding at June 30, 2016:

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(4)		Implied Credit Spread at June 30, 2016(3)			Value at Trade Date		Value at June 30, 2016		Unrealized Appreciation (Depreciation)
Centrally cleared credit default swaps on corporate issues—Sell Protection(2):
General Motors Co.		06/20/19		5.000%		3,310		1.179	%	$	372,607	$	366,410	$	(6,197	)
General Motors Co.		06/20/21		5.000%		1,180		1.819	%		177,632		174,193		(3,439	)
										$	550,239	$	540,603	$	(9,636	)

SEE NOTES TO FINANCIAL STATEMENTS.

A27

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

Credit default swap agreements outstanding at June 30, 2016 (continued):

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(4)		Value at Trade Date			Value at June 30, 2016(5)			Unrealized Appreciation (Depreciation)
Centrally cleared credit default swap on credit indices—Buy Protection(1):
CDX.NA.IG.24.V1		06/20/20		1.000%		53,000	$	(997,537	)	$	(472,746	)	$	524,791

A U.S. Treasury Obligation, including those sold and pending settlement, with a market value of $8,367,735 has been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate and credit default swap contracts at June 30, 2016.

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

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

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

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

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

Total return swap agreements outstanding at June 30, 2016:

Counterparty		Termination Date		Long (Short) Notional Amount (000)#		Description	Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)(1)
	OTC total return swap agreements:
	Deutsche Bank AG		09/08/16		2,000	Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip	$	112,192	$	—	$	112,192
	Deutsche Bank AG		09/08/16		2,000	Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip		141,566		—		141,566
	Deutsche Bank AG		09/08/16		1,000	Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip		32,018		—		32,018
	Deutsche Bank AG		09/08/16		1,000	Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip		44,400		—		44,400
							$	330,176	$	—	$	330,176

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

SEE NOTES TO FINANCIAL STATEMENTS.

A28

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

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

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

Level 2— 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, 2016 in valuing such portfolio securities:

	Level 1		Level 2			Level 3
Investments in Securities
Common Stocks	$	1,146,475,873	$	44,996,303		$	—
Exchange Traded Fund		1,156,718		—			—
Preferred Stocks		1,326,600		440,053			—
Asset-Backed Securities
Collateralized Loan Obligations		—		44,558,829			—
Non-Residential Mortgage-Backed Securities		—		61,587,944			—
Residential Mortgage-Backed Securities		—		14,184,376			—
Bank Loans		—		7,095,933			485,000
Commercial Mortgage-Backed Securities		—		136,945,969			—
Corporate Bonds		—		288,084,208			—
Municipal Bonds		—		13,747,615			—
Non-Corporate Foreign Agencies		—		19,818,128			—
Residential Mortgage-Backed Securities		—		31,729,303			11,812,102
Sovereign Bonds		—		14,655,832			—
U.S. Government Agency Obligations		—		352,300,759			—
U.S. Treasury Obligations		—		47,520,899			—
Affiliated Mutual Funds		439,501,572		—			—
Other Financial Instruments*
Futures Contracts		2,227,419		—			—
Centrally Cleared Interest Rate Swap Agreements		—		(4,739,326	)		—
Centrally Cleared Credit Default Swap Agreements		—		515,155			—
OTC Total Return Swap Agreements		—		330,176			—
Total	$	1,590,688,182	$	1,073,772,156		$	12,297,102

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

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2016 were as follows:

Affiliated Mutual Funds (including 1.4% of collateral for securities on loan)	17.8	%
U.S. Government Agency Obligations	14.2
Banks	5.6
Commercial Mortgage-Backed Securities	5.5
Pharmaceuticals	3.3
Oil, Gas & Consumable Fuels	3.0
Non-Residential Mortgage-Backed Securities	2.5
Residential Mortgage-Backed Securities	2.4
Insurance	2.2
Software	2.2
U.S. Treasury Obligations	1.9
Internet Software & Services	1.9
Media	1.9
Collateralized Loan Obligations	1.8
IT Services	1.7
Technology Hardware, Storage & Peripherals	1.7
Real Estate Investment Trusts (REITs)	1.6
Biotechnology	1.5

Diversified Financial Services	1.4	%
Diversified Telecommunication Services	1.4
Semiconductors & Semiconductor Equipment	1.3
Health Care Providers & Services	1.3
Beverages	1.2
Specialty Retail	1.2
Industrial Conglomerates	1.2
Aerospace & Defense	1.2
Chemicals	1.2
Health Care Equipment & Supplies	1.1
Food & Staples Retailing	1.1
Electric Utilities	1.1
Internet & Catalog Retail	1.0
Household Products	1.0
Capital Markets	1.0
Food Products	0.9
Tobacco	0.9
Hotels, Restaurants & Leisure	0.8
Non-Corporate Foreign Agencies	0.8

SEE NOTES TO FINANCIAL STATEMENTS.

A29

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

Industry table (cont.)
Electric	0.6	%
Telecommunications	0.6
Machinery	0.6
Sovereign Bonds	0.6
Multi-Utilities	0.6
Healthcare-Services	0.6
Municipal Bonds	0.6
Energy Equipment & Services	0.5
Oil & Gas	0.5
Communications Equipment	0.5
Airlines	0.4
Textiles, Apparel & Luxury Goods	0.4
Road & Rail	0.4
Air Freight & Logistics	0.3
Auto Manufacturers	0.3
Healthcare-Products	0.3
Consumer Finance	0.3
Retail	0.3
Automobiles	0.3
Multiline Retail	0.3
Life Sciences Tools & Services	0.3
Electrical Equipment	0.3
Household Durables	0.3
Pipelines	0.2
Lodging	0.2
Computers	0.2
Commercial Services & Supplies	0.2
Metals & Mining	0.2
Agriculture	0.2
Auto Components	0.2

Electronic Equipment, Instruments & Components	0.2	%
Technology	0.2
Containers & Packaging	0.2
Professional Services	0.2
Transportation	0.1
Miscellaneous Manufacturing	0.1
Machinery-Diversified	0.1
Commercial Services	0.1
Trading Companies & Distributors	0.1
Multi-National	0.1
Mining	0.1
Housewares	0.1
Oil & Gas Services	0.1
Forest Products & Paper	0.1
Food	0.1
Packaging & Containers	0.1
Building Products	0.1
Construction & Engineering	0.1
Construction Materials	0.1
Personal Products	0.1
Distributors	0.1
Leisure Products	0.1
Real Estate Management & Development	0.1
Semiconductors	0.1
Savings & Loans	0.1
Healthcare & Pharmaceutical	0.1
Building Materials	0.1
	108.2
Liabilities in excess of other assets	(8.2	)
	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, 2016 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	$	524,791	*	Due from/to broker — variation margin swaps	$	9,636	*
Equity contracts	Due from/to broker — variation margin futures		257,978	*	Due from/to broker — variation margin futures		2,685	*
Interest rate contracts	Due from/to broker — variation margin futures		6,791,823	*	Due from/to broker — variation margin futures		4,819,697	*
Interest rate contracts	Due from/to broker — variation margin swaps		765,883	*	Due from/to broker — variation margin swaps		5,505,209	*
Interest rate contracts	Unrealized appreciation on OTC swap agreements		330,176		—		—
Total		$	8,670,651			$	10,337,227

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

SEE NOTES TO FINANCIAL STATEMENTS.

A30

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2016 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased*			Options Written			Futures		Swaps			Total
Credit contracts	$	—		$	—		$	—	$	(360,735	)	$	(360,735	)
Equity contracts		—			—			1,887,029		—			1,887,029
Interest rate contracts		(630,007	)		(448,004	)		2,513,727		(364,215	)		1,071,501
Total	$	(630,007	)	$	(448,004	)	$	4,400,756	$	(724,950	)	$	2,597,795

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

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights*			Options Purchased*		Options Written			Futures			Swaps			Total
Credit contracts	$	—		$	—	$	—		$	—		$	(53,516	)	$	(53,516	)
Equity contracts		(34	)		—		—			(10,410	)		—			(10,444	)
Interest rate contracts		—			300,971		(177,697	)		1,680,464			(3,175,584	)		(1,371,846	)
Total	$	(34	)	$	300,971	$	(177,697	)	$	1,670,054		$	(3,229,100	)	$	(1,435,806	)

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

For the six months ended June 30, 2016, 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)
$146,237	$320,433	$330,868,831	$94,346,179
Interest Rate Swap Agreements(2)	Credit Default Swap Agreements—Buy Protection(2)	Credit Default Swap Agreements—Sell Protection(2)	Total Return Swap Agreements(2)
$153,911	$53,000	$4,257	$4,000

(1) Cost.

(2) Notional Amount in USD (000).

(3) Value at Trade Date.

Offsetting of 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		Net Amount
Deutsche Bank AG	$	330,176	$	—	$	—	$	330,176
Counterparty	Gross amounts of recognized liabilities(2)		Gross amounts available for offset		Collateral Pledged		Net Amount
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.

SEE NOTES TO FINANCIAL STATEMENTS.

A31

CONSERVATIVE BALANCED PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2016

ASSETS
Investments at value, including securities on loan of $33,118,479:
Unaffiliated investments (cost $1,526,384,732)	$	2,238,922,444
Affiliated investments (cost $442,517,093)		439,501,572
Cash		772
Foreign currency, at value (cost $359,816)		360,387
Receivable for investments sold		138,309,576
Dividends and interest receivable		7,317,312
Tax reclaim receivable		589,230
Due from broker—variation margin futures		548,084
Unrealized appreciation on OTC swap agreements		330,176
Receivable for Series shares sold		1,747
Prepaid expenses		2,782
Total Assets		2,825,884,082
LIABILITIES
Payable for investments purchased		315,288,707
Payable to broker for collateral for securities on loan		33,764,573
Management fee payable		1,123,197
Payable for Series shares repurchased		653,651
Accrued expenses and other liabilities		284,642
Due to broker—variation margin swaps		10,692
Due to broker—variation margin futures		5,331
Affiliated transfer agent fee payable		980
Total Liabilities		351,131,773
NET ASSETS	$	2,474,752,309
Net assets were comprised of:
Paid-in capital	$	1,227,894,020
Retained earnings		1,246,858,289
Net assets, June 30, 2016	$	2,474,752,309
Net asset value and redemption price per share $2,474,752,309 / 105,367,108 outstanding shares of beneficial interest	$	23.49

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2016

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net) (foreign withholding tax of $275,980, of which $4,550 is reimbursable by an affiliate)	$	14,720,824
Interest income		13,759,708
Affiliated dividend income		1,514,205
Affiliated income from securities lending, net		223,963
Total income		30,218,700
EXPENSES
Management fee		6,809,094
Custodian and accounting fees		211,000
Shareholders’ reports		114,000
Audit fee		22,000
Trustees’ fees		16,000
Insurance expenses		16,000
Legal fees and expenses		7,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Miscellaneous		28,871
Total expenses		7,229,965
NET INVESTMENT INCOME (LOSS)		22,988,735
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		18,735,853
Futures transactions		4,400,756
Options written transactions		(448,004	)
Swap agreement transactions		(724,950	)
Foreign currency transactions		(29,372	)
		21,934,283
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $212,304)		55,984,303
Futures		1,670,054
Options written		(177,697	)
Swap agreements		(3,229,100	)
Foreign currencies		12,567
		54,260,127
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		76,194,410
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	99,183,145

STATEMENT OF CHANGES IN NET ASSETS (unaudited)

	Six Months Ended June 30, 2016			Year Ended December 31, 2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	22,988,735		$	42,958,646
Net realized gain (loss) on investment and foreign currency transactions		21,934,283			125,966,448
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		54,260,127			(158,615,573	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		99,183,145			10,309,521
SERIES SHARE TRANSACTIONS
Series shares sold [193,802 and 6,321,083 shares, respectively]		4,372,416			143,898,043
Series shares repurchased [8,137,670 and 7,700,902 shares, respectively]		(185,373,719	)		(174,291,543	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(181,001,303	)		(30,393,500	)
Capital Contributions (Note 4)		2,299,220			—
TOTAL INCREASE (DECREASE)		(79,518,938	)		(20,083,979	)
NET ASSETS:
Beginning of period		2,554,271,247			2,574,355,226
End of period	$	2,474,752,309		$	2,554,271,247

SEE NOTES TO FINANCIAL STATEMENTS.

A32

	DIVERSIFIED BOND PORTFOLIO
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

LONG-TERM INVESTMENTS — 89.8% ASSET-BACKED SECURITIES — 11.9%	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations — 4.2%
A Voce CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A		2.078%	(a)		07/15/26		500	$	493,932
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		1.814%	(a)		04/20/25		3,300		3,265,795
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		2.228%	(a)		10/15/26		1,750		1,740,521
Avery Point V CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		2.093%	(a)		07/17/26		1,000		996,959
Battalion CLO IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A		2.035%	(a)		10/22/25		1,300		1,286,536
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A		2.233%	(a)		10/17/26		2,750		2,736,238
Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2012-IA, Class A2R, 144A		2.878%	(a)		10/15/25		1,000		996,656
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A		1.828%	(a)		07/15/24		900		889,900
Benefit Street Partners CLO V Ltd. (Cayman Islands), Series 2014-VA, Class A, 144A		2.234%	(a)		10/20/26		1,250		1,244,194
Blue Hill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		2.108%	(a)		01/15/26		700		694,176
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.783%	(a)		04/17/25		2,600		2,559,760
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1A, 144A		2.094%	(a)		07/27/26		250		249,324
ECP CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1A, 144A		2.078%	(a)		07/15/26		1,500		1,471,922
Flagship VII CLO Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A		2.104%	(a)		01/20/26		2,500		2,487,537
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.033%	(a)		01/17/26		1,250		1,238,424
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A		2.168%	(a)		04/15/27		2,250		2,232,595
KVK CLO Ltd. (Cayman Islands), Series 2014-2A, Class A, 144A		2.178%	(a)		07/15/26		250		246,001
Magnetite VIII CLO Ltd. (Cayman Islands), Series 2014-8A, Class A, 144A		2.108%	(a)		04/15/26		250		249,515
Palmer Square CLO Ltd. (Cayman Islands), Series 2015-2A, Class A1A, 144A		2.134%	(a)		07/20/27		1,000		990,867
Regatta V Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A		2.198%	(a)		10/25/26		4,375		4,345,734
Shackleton III CLO Ltd. (Cayman Islands), Series 2013-3A, Class B2, 144A		3.440%			04/15/25		700		701,380
Shackleton V CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		2.132%	(a)		05/07/26		1,250		1,247,969
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.678%	(a)		04/15/25		7,300		7,178,221
Sound Point CLO VI Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A		1.994%	(a)		10/20/26		750		739,512
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2013-2A, Class A1, 144A		2.083%	(a)		01/18/26		3,300		3,282,828
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.748%	(a)		07/15/25		300		296,949
Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.768%	(a)		04/15/24		4,200		4,152,574
									48,016,019
Non-Residential Mortgage-Backed Securities — 2.3%
Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 144A		2.990%			06/20/22		2,500		2,581,542
Hertz Vehicle Financing II LP, Series 2015-1A, Class A, 144A		2.730%			03/25/21		3,200		3,269,632
Hertz Vehicle Financing LLC, Series 2016-2A, Class A, 144A		2.950%			03/25/22		1,600		1,644,132

SEE NOTES TO FINANCIAL STATEMENTS.

A33

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Non-Residential Mortgage-Backed Securities (continued)
Marriott Vacation Club Owner Trust, Series 2010-1A, Class A, 144A		3.540%			10/20/32		1,409	$	1,435,211
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A		2.570%			07/18/25		4,100		4,098,787
OneMain Financial Issuance Trust, Series 2015-2A, Class C, 144A		4.320%			07/18/25		1,100		1,057,838
OneMain Financial Issuance Trust, Series 2016-1A, Class A, 144A		3.660%			02/20/29		2,500		2,555,709
OneMain Financial Issuance Trust, Series 2016-2A, Class A, 144A		4.100%			03/20/28		3,600		3,711,948
Springleaf Funding Trust, Series 2015-AA, Class A, 144A		3.160%			11/15/24		5,200		5,230,758
									25,585,557
Residential Mortgage-Backed Securities — 5.4%
ABFC Trust, Series 2004-OPT1, Class M1		1.503%	(a)		08/25/33		1,118		1,058,825
ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1, Class M1		1.353%	(a)		09/25/33		1,199		1,124,116
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2003-AR1, Class M3		4.953%	(a)		01/25/33		2,037		1,869,251
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M1		1.413%	(a)		09/25/34		729		725,490
Ameriquest Mortgage Securities, Inc. Floating Rate Mortgage Pass-Through Certificates, Series 2001-2, Class M3		3.378%	(a)		10/25/31		355		348,147
Argent Securities, Inc., Series 2003-W2, Class M4		3.245%	(a)		09/25/33		2,400		2,204,284
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W6, Class M1		1.278%	(a)		05/25/34		980		930,720
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W10, Class A2		1.233%	(a)		10/25/34		1,648		1,599,732
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE3, Class M1		1.687%	(a)		06/15/33		1,022		975,899
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE1, Class M1		1.492%	(a)		01/15/34		178		165,497
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE5, Class M1		1.353%	(a)		08/25/34		1,443		1,358,342
Bayview Opportunity Master Fund liib NPL Trust, Series 2015-NPLA, Class A, 144A		3.721%			07/28/35		3,812		3,807,221
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE2, Class M1		1.353%	(a)		03/25/34		3,220		3,073,991
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE3, Class M2		2.178%	(a)		04/25/34		1,935		1,777,954
Centex Home Equity Loan Trust, Series 2004-B, Class AF6		4.686%			03/25/34		878		893,918
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-HE4, Class M2		2.703%	(a)		08/25/32		50		44,092
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1		4.836%			07/25/34		466		439,607
FBR Securitization Trust, Series 2005-2, Class M1		1.173%	(a)		09/25/35		2,267		2,247,833
Fremont Home Loan Trust, Series 2003-B, Class M1		1.503%	(a)		12/25/33		172		164,183
GSAMP Trust, Series 2004-FM1, Class M1		1.428%	(a)		11/25/33		1,472		1,377,253
Long Beach Mortgage Loan Trust, Series 2004-1, Class M1		1.203%	(a)		02/25/34		3,207		3,026,194
MASTR Asset-Backed Securities Trust, Series 2004-WMC1, Class M1		1.233%	(a)		02/25/34		1,756		1,670,832
Merrill Lynch Mortgage Investors Trust, Series 2004-HE2, Class M1		1.653%	(a)		08/25/35		489		463,132
Merrill Lynch Mortgage Investors Trust, Series 2004-OPT1, Class A1A		0.973%	(a)		06/25/35		1,320		1,266,177
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1		1.653%	(a)		05/25/33		961		909,325
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE3, Class M1		1.473%	(a)		10/25/33		695		648,720
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1		1.503%	(a)		12/27/33		589		568,223
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-OP1, Class M1		1.323%	(a)		11/25/34		3,688		3,339,642

SEE NOTES TO FINANCIAL STATEMENTS.

A34

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#			Value (Note 2)
Residential Mortgage-Backed Securities (continued)
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC1, Class M1		1.383%	(a)	06/25/34			1,715	$	1,658,310
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC2, Class M1		1.368%	(a)	07/25/34			1,339		1,276,829
New Century Home Equity Loan Trust, Series 2003-4, Class M1		1.578%	(a)	10/25/33			2,398		2,304,217
New Century Home Equity Loan Trust, Series 2004-4, Class M1		1.218%	(a)	02/25/35			2,718		2,466,673
Residential Asset Securities Corp., Series 2004-KS1, Class AI5		5.221%		02/25/34			931		962,369
Saxon Asset Securities Trust, Series 2002-3, Class M1		1.578%	(a)	12/25/32			165		152,485
Securitized Asset-Backed Receivables LLC Trust, Series 2004-NC1, Class M1		1.233%	(a)	02/25/34			2,637		2,450,615
Specialty Underwriting & Residential Finance Trust, Series 2004-BC1, Class M1		1.218%	(a)	02/25/35			1,038		954,573
Structured Asset Investment Loan Trust, Series 2004-2, Class A4		1.158%	(a)	03/25/34			2,149		1,958,527
Structured Asset Investment Loan Trust, Series 2004-7, Class A8		1.653%	(a)	08/25/34			1,400		1,231,284
VOLT XLIV LLC, Series 2016-NPL4, Class A1, 144A		4.250%		04/25/46			2,716		2,716,024
VOLT XXXVII LLC, Series 2015-NP11, Class A1, 144A		3.625%		07/25/45			5,450		5,431,286
									61,641,792
TOTAL ASSET-BACKED SECURITIES (cost $129,437,108)									135,243,368
BANK LOANS(a) — 3.4%
Aerospace & Defense — 0.2%
TransDigm, Inc.		3.750%		05/16/22			1,976		1,949,029
Automotive — 0.1%
Chrysler Group LLC		3.250%		12/31/18			581		581,167
Chrysler Group LLC		3.500%		05/24/17			778		777,308
									1,358,475
Chemicals — 0.1%
Axalta Coating Systems US Holdings		3.750%		02/01/20			636		634,743
MacDermid, Inc.		5.500%		06/07/20			1,042		1,025,625
									1,660,368
Consumer — 0.1%
Generac Power Systems, Inc.		3.500%		05/31/20			1,575		1,560,234
Diversified Manufacturing — 0.1%
CeramTec GmbH (Germany)		4.250%		08/30/20		EUR	900		993,785
Gaming — 0.1%
CCM Merger, Inc.		4.500%		08/06/21			1,547		1,545,494
Healthcare & Pharmaceutical — 0.6%
Mallinckrodt International Finance (Luxembourg)		3.500%		03/19/21			1,498		1,479,584
Ortho Clinical Diagnostics		4.750%		06/30/21			491		462,184
RPI Finance Trust		3.500%		11/09/20			1,679		1,678,097
Select Med Corp.(b)		6.000%		03/03/21			1,546		1,542,260
Valeant Pharmaceuticals International, Inc.		5.000%		04/01/22			1,096		1,063,341
									6,225,466
Retail — 0.1%
Euro Garages (United Kingdom)		6.091%		01/30/23		GBP	1,000		1,304,632
Retailers — 0.1%
Rite Aid Corp.		4.875%		06/21/21			1,375		1,374,141
Supermarkets — 0.1%
Albertsons LLC		4.500%		08/25/21			858		855,875
Technology — 1.4%
Action Nederland BV		4.500%		02/25/22		EUR	1,100		1,223,782
Avago Technologies Cayman Finance Ltd. (Singapore)		4.250%		02/01/23			2,768		2,765,757
BMC Software Finance, Inc.		5.000%		09/10/20			490		434,967

SEE NOTES TO FINANCIAL STATEMENTS.

A35

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

BANK LOANS(a) (continued)	Interest Rate			Maturity Date	Principal Amount (000)#			Value (Note 2)
Technology (continued)
Dell International LLC(b)		—%	(c)	12/31/18			2,800	$	2,716,000
Dell International LLC		—%	(c)	09/30/23			800		796,889
First Data Corp.		4.452%		03/24/21			2,604		2,593,097
ON Semiconductor Corp.		5.250%		03/31/23			575		577,464
Solera Holdings, Inc.		5.750%		03/03/23			1,097		1,095,878
TransUnion LLC		3.500%		04/09/21			694		686,417
Vantiv LLC		2.406%		06/13/19			1,350		1,335,376
Western Digital Corp.		6.000%		04/29/23		EUR	825		917,551
Western Digital Corp.		6.250%		04/28/23			975		977,133
									16,120,311
Telecommunications — 0.2%
LTS Buyer LLC		4.000%		04/13/20			1,119		1,109,717
SBA Senior Finance II LLC		3.250%		03/24/21			1,127		1,114,008
									2,223,725
Transportation Services — 0.2%
Scandlines GmbH (Germany)		4.500%		12/03/20		EUR	1,675		1,860,736
TOTAL BANK LOANS (cost $39,709,592)									39,032,271
COMMERCIAL MORTGAGE-BACKED SECURITIES — 11.5%
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A4		5.356%		10/10/45			800		802,512
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A		5.739%	(a)	04/10/49			1,342		1,368,464
Banc of America Commercial Mortgage Trust, Series 2016-UB10, Class A3		2.903%		06/15/49			2,300		2,379,070
CDGJ Commercial Mortgage Trust, Series 2014-BXCH, Class B, 144A		2.292%	(a)	12/15/27			5,000		4,953,216
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4		3.575%		05/10/47			3,200		3,472,343
Citigroup Commercial Mortgage Trust, Series 2016-C1, Class A4		3.209%		05/10/49			5,200		5,466,476
Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4		3.314%		04/10/49			100		106,116
COMM Mortgage Trust, Series 2012-CR5, Class A3		2.540%		12/10/45			2,000		2,061,497
COMM Mortgage Trust, Series 2013-CR7, Class A3		2.929%		03/10/46			3,900		4,094,942
COMM Mortgage Trust, Series 2014-UBS4, Class A4		3.420%		08/10/47			3,200		3,397,788
COMM Mortgage Trust, Series 2014-UBS5, Class A4		3.838%		09/10/47			3,600		3,938,358
COMM Mortgage Trust, Series 2015-DC1, Class A4		3.078%		02/10/48			5,000		5,223,311
COMM Mortgage Trust, Series 2015-LC21, Class A4		3.708%		07/10/48			2,600		2,847,740
COMM Mortgage Trust, Series 2015-PC1, Class A5		3.902%		07/10/50			2,100		2,307,544
COMM Mortgage Trust, Series 2016-DC2, Class A5		3.765%		02/10/49			600		655,667
Eleven Madison Trust Mortgage Trust, Series 2015-11MD, Class C, 144A		3.673%	(a)	09/10/35			3,000		3,032,848
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, IO		1.795%	(a)	06/25/20			8,989		431,914
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO		1.584%	(a)	05/25/22			28,063		1,980,276
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO		1.620%	(a)	06/25/22			16,016		1,149,526
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, IO		1.013%	(a)	10/25/22			11,004		494,614
FHLMC Multifamily Structured Pass-Through Certificates, Series K027, Class X1, IO		0.946%	(a)	01/25/23			137,994		5,872,921
FHLMC Multifamily Structured Pass-Through Certificates, Series K044, Class X1, IO		0.881%	(a)	01/25/25			83,723		4,334,773
FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class X1, IO		1.369%	(a)	03/25/26			28,050		2,939,637

SEE NOTES TO FINANCIAL STATEMENTS.

A36

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#			Value (Note 2)
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, IO		1.610%	(a)	08/25/16			5,140	$	1,124
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO		1.894%	(a)	05/25/19			22,079		931,276
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO		1.818%	(a)	07/25/19			26,878		1,159,181
GS Mortgage Securities Trust, Series 2013-GC12, Class A3		2.860%		06/10/46			4,600		4,819,173
JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class A4		3.493%		08/15/47			3,200		3,455,919
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2012-LC9, Class A4		2.611%		12/15/47			2,000		2,064,221
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class A3		6.131%	(a)	02/15/51			132		131,470
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4		2.875%		12/15/47			4,600		4,806,801
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46			4,600		4,750,679
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1, Class A5		3.914%		01/15/49			3,200		3,570,275
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A3		6.021%	(a)	06/12/50			22		22,365
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA, IO, 144A		1.886%	(a)	08/15/45			49,908		3,060,181
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3		2.863%		12/15/48			1,700		1,781,610
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A3		2.834%		05/15/46			2,300		2,393,541
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A3		4.104%	(a)	07/15/46			4,800		5,342,723
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3		3.766%		11/15/46			4,000		4,395,824
Morgan Stanley Capital I Trust, Series 2007-IQ14, Class AAB		5.654%	(a)	04/15/49			740		743,799
Shops at Crystals Trust, Series 2016-CSTL, Class A, 144A		3.126%		07/05/36			3,400		3,528,306
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3		2.920%		03/10/46			4,600		4,811,647
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3		2.971%		04/10/46			3,800		3,977,585
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4		5.509%		04/15/47			4,238		4,299,509
Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A1A		5.889%	(a)	06/15/49			2,079		2,137,375
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class A4		3.548%		08/15/50			4,300		4,647,181
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $127,744,112)									130,143,318
CORPORATE BONDS — 46.7%
Aerospace & Defense — 0.1%
United Technologies Corp., Sr. Unsec’d. Notes		1.125%		12/15/21		EUR	700		801,635
Agriculture — 0.5%
Altria Group, Inc., Gtd. Notes		9.950%		11/10/38			873		1,570,478
Imperial Brands Finance PLC (United Kingdom), Gtd. Notes, 144A		2.050%		02/11/18			2,375		2,395,596
Reynolds American, Inc., Gtd. Notes		3.500%		08/04/16			515		516,065
Reynolds American, Inc., Gtd. Notes		8.125%		06/23/19			895		1,061,114
									5,543,253
Airlines — 0.6%
American Airlines, Pass-Through Trust, Pass-Through Certificates, Series 2016-1, Class AA		3.575%		01/15/28			1,835		1,939,999
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1		6.703%		06/15/21			1		869

SEE NOTES TO FINANCIAL STATEMENTS.

A37

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Airlines (continued)
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A		5.983%		04/19/22		1,429	$	1,600,334
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A		4.750%		01/12/21		412		438,234
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A		6.821%		08/10/22		1,028		1,195,104
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A		4.950%		05/23/19		429		453,876
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A		5.300%		04/15/19		474		504,961
United Airlines, Pass-Through Trust, Pass-Through Certificates, Series 2007-071A, Class A		6.636%		07/02/22		770		816,339
								6,949,716
Apparel — 0.2%
Hanesbrands Finance Luxembourg SCA, Gtd. Notes, 144A		3.500%		06/15/24	EUR	575		646,085
PVH Corp., Sr. Unsec’d. Notes, 144A		3.625%		07/15/24	EUR	1,250		1,402,800
								2,048,885
Auto Manufacturers — 0.8%
Ford Motor Co., Sr. Unsec’d. Notes		4.750%		01/15/43		1,665		1,762,374
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes		2.375%		01/16/18		2,225		2,252,367
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, GMTN		4.389%		01/08/26		1,095		1,195,355
General Motors Co., Sr. Unsec’d. Notes		4.875%		10/02/23		1,350		1,437,130
General Motors Co., Sr. Unsec’d. Notes		6.250%		10/02/43		1,885		2,093,958
General Motors Co., Sr. Unsec’d. Notes		6.600%		04/01/36		210		240,809
								8,981,993
Auto Parts & Equipment — 0.1%
LKQ Italia Bondco SpA, Gtd. Notes, 144A		3.875%		04/01/24	EUR	1,275		1,450,311
Banks — 10.9%
Bank of America Corp., Jr. Sub. Notes, Series K		8.000%	(a)	07/29/49		3,500		3,478,125
Bank of America Corp., Sr. Unsec’d. Notes		5.700%		01/24/22		1,775		2,055,127
Bank of America Corp., Sr. Unsec’d. Notes		6.000%		09/01/17		4,590		4,825,499
Bank of America Corp., Sr. Unsec’d. Notes, GMTN		3.300%		01/11/23		4,275		4,399,603
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.000%		04/01/24		1,150		1,227,387
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.125%		01/22/24		3,750		4,033,421
Bank of America Corp., Sr. Unsec’d. Notes, Series 1		3.750%		07/12/16		1,340		1,340,643
Bank of America Corp., Sub. Notes, GMTN		4.450%		03/03/26		1,735		1,814,699
Bank of America NA, Sub. Notes		5.300%		03/15/17		790		811,304
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes		4.375%		01/12/26		1,290		1,302,513
Branch Banking & Trust Co., Sr. Unsec’d. Notes		2.850%		04/01/21		3,700		3,890,050
Capital One Financial Corp., Sr. Unsec’d. Notes		3.750%		04/24/24		2,400		2,503,886
Capital One Financial Corp., Sr. Unsec’d. Notes		5.250%		02/21/17		2,460		2,517,707
Capital One Financial Corp., Sub. Notes		6.150%		09/01/16		700		705,445
CIT Group, Inc., Sr. Unsec’d. Notes		5.000%		08/15/22		1,350		1,373,625
CIT Group, Inc., Sr. Unsec’d. Notes, 144A		5.500%		02/15/19		4,000		4,185,000
Citigroup, Inc., Jr. Sub. Notes, Series Q		5.950%	(a)	12/29/49		1,355		1,320,143
Citigroup, Inc., Jr. Sub. Notes, Series R		6.125%	(a)	12/29/49		1,085		1,101,275
Citigroup, Inc., Sr. Unsec’d. Notes		8.125%		07/15/39		2,995		4,671,101
Citigroup, Inc., Sub. Notes		4.450%		09/29/27		1,405		1,447,306
Credit Suisse/New York NY (Switzerland), Sr. Unsec’d. Notes, MTN		3.625%		09/09/24		1,050		1,086,295
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes		3.700%		05/30/24		1,650		1,640,186
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, GMTN		3.375%		05/12/21		1,790		1,796,161
Discover Bank, Sr. Unsec’d. Notes		4.250%		03/13/26		1,150		1,202,832
Discover Bank, Sub. Notes		7.000%		04/15/20		2,005		2,283,499
Fifth Third Bank, Sr. Unsec’d. Notes		2.375%		04/25/19		425		435,227
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes, Series M		5.375%	(a)	12/29/49		1,950		1,928,394

SEE NOTES TO FINANCIAL STATEMENTS.

A38

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Banks (continued)
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		3.750%		02/25/26		125	$	131,563
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.750%		01/24/22		4,200		4,876,032
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.150%		04/01/18		1,355		1,460,006
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.250%		02/01/41		2,195		2,840,558
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes, Series D		6.000%		06/15/20		2,420		2,761,305
Goldman Sachs Group, Inc. (The), Sub. Notes		6.750%		10/01/37		440		542,755
ICICI Bank Ltd. (India), Jr. Sub. Notes, 144A		7.250%	(a)	12/29/49		2,380		2,385,945
JPMorgan Chase & Co., Jr. Sub. Notes, Series 1		7.900%	(a)	12/29/49		6,130		6,252,600
JPMorgan Chase & Co., Jr. Sub. Notes, Series X		6.100%	(a)	10/29/49		1,450		1,495,312
JPMorgan Chase & Co., Sr. Unsec’d. Notes(d)		2.750%		06/23/20		5,400		5,564,333
JPMorgan Chase & Co., Sr. Unsec’d. Notes		3.200%		06/15/26		3,020		3,104,041
JPMorgan Chase & Co., Sr. Unsec’d. Notes		3.250%		09/23/22		500		522,713
JPMorgan Chase & Co., Sr. Unsec’d. Notes		4.250%		10/15/20		600		653,970
JPMorgan Chase & Co., Sub. Notes		4.250%		10/01/27		420		444,374
JPMorgan Chase & Co., Sub. Notes		4.950%		06/01/45		715		785,054
KeyCorp, Sr. Unsec’d. Notes, MTN		5.100%		03/24/21		1,155		1,299,286
Lloyds Bank PLC (United Kingdom), Gtd. Notes, MTN, 144A		5.800%		01/13/20		2,650		2,964,486
Mizuho Bank Ltd. (Japan), Gtd. Notes, 144A		1.850%		03/21/18		1,125		1,132,984
Morgan Stanley, Jr. Sub. Notes, Series H		5.450%	(a)	07/29/49		975		936,000
Morgan Stanley, Sr. Unsec’d. Notes		5.750%		01/25/21		1,920		2,189,078
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		3.750%		02/25/23		1,535		1,625,834
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		5.450%		01/09/17		4,035		4,121,260
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		5.500%		07/28/21		2,080		2,375,100
Morgan Stanley, Sr. Unsec’d. Notes, MTN		5.625%		09/23/19		2,635		2,923,554
Morgan Stanley, Sub. Notes, GMTN		4.350%		09/08/26		750		784,588
Northern Trust Corp., Sub. Notes		3.950%		10/30/25		2,725		3,042,266
People’s United Bank, Sub. Notes		4.000%		07/15/24		550		561,403
PNC Financial Services Group, Inc. (The), Sub. Notes		3.900%		04/29/24		975		1,046,029
Santander UK Group Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		2.875%		10/16/20		1,550		1,538,025
State Street Corp., Jr. Sub. Notes		4.956%		03/15/18		3,025		3,170,375
Sumitomo Mitsui Banking Corp. (Japan), Bank Gtd. Notes		2.450%		01/10/19		625		638,330
								123,545,612
Beverages — 0.4%
Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes		4.700%		02/01/36		2,130		2,393,541
Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes		4.900%		02/01/46		570		667,950
Coca-Cola Icecek A/S (Turkey), Sr. Unsec’d. Notes, 144A		4.750%		10/01/18		375		392,215
Cott Beverages, Inc. (Canada), Gtd. Notes		6.750%		01/01/20		1,250		1,303,125
								4,756,831
Biotechnology — 0.3%
Amgen, Inc., Sr. Unsec’d. Notes, 144A		4.663%		06/15/51		2,948		3,080,109
Building Materials — 0.5%
Cemex Finance LLC (Mexico), Sr. Sec’d. Notes, 144A		9.375%		10/12/22		1,200		1,320,000
Cemex SAB de CV (Mexico), Sr. Sec’d. Notes, 144A		4.750%		01/11/22	EUR	900		998,779
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A (original cost $3,116,250; purchased 02/11/15)(e)(f)		5.375%		11/15/24		3,000		3,052,500
US Concrete, Inc., Gtd. Notes, 144A		6.375%		06/01/24		600		600,000
								5,971,279
Chemicals — 1.7%
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		4.900%		06/01/43		870		901,622
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		5.250%		01/15/45		420		450,519
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		6.125%		01/15/41		450		533,979
Ashland, Inc., Sr. Unsec’d. Notes		6.875%		05/15/43		3,000		3,000,000
Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holdings BV, Gtd. Notes, 144A		7.375%		05/01/21		1,200		1,264,500
CF Industries, Inc., Gtd. Notes		4.950%		06/01/43		675		620,689

SEE NOTES TO FINANCIAL STATEMENTS.

A39

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Chemicals (continued)
CF Industries, Inc., Gtd. Notes		5.375%		03/15/44		700	$	660,138
CF Industries, Inc., Gtd. Notes		6.875%		05/01/18		380		412,865
CF Industries, Inc., Gtd. Notes		7.125%		05/01/20		300		346,139
Dow Chemical Co. (The), Sr. Unsec’d. Notes		4.625%		10/01/44		125		132,371
Dow Chemical Co. (The), Sr. Unsec’d. Notes		9.400%		05/15/39		1,002		1,566,797
LyondellBasell Industries NV, Sr. Unsec’d. Notes		6.000%		11/15/21		3,550		4,162,311
Mexichem SAB de CV (Mexico), Gtd. Notes, 144A		6.750%		09/19/42		1,065		1,086,300
Mosaic Co. (The), Sr. Unsec’d. Notes		5.450%		11/15/33		465		514,259
Mosaic Co. (The), Sr. Unsec’d. Notes		5.625%		11/15/43		155		171,914
Union Carbide Corp., Sr. Unsec’d. Notes		7.875%		04/01/23		3,058		3,878,786
								19,703,189
Commercial Services — 1.4%
Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A		6.500%		07/15/22		1,375		1,430,853
Avis Budget Car Rental LLC / Avis Budget Finance, Inc., Gtd. Notes, 144A		6.375%		04/01/24		650		643,500
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,098,609; purchased 05/30/13)(e)(f)		6.700%		06/01/34		920		1,218,908
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $996,365; purchased 05/14/13)(e)(f)		7.000%		10/15/37		770		1,049,028
Hertz Corp. (The), Gtd. Notes(g)		6.750%		04/15/19		1,500		1,531,357
RR Donnelley & Sons Co., Sr. Unsec’d. Notes		8.600%		08/15/16		4,750		4,785,625
Service Corp. International, Sr. Unsec’d. Notes		7.625%		10/01/18		2,000		2,220,000
United Rentals North America, Inc., Gtd. Notes		5.500%		07/15/25		650		640,250
United Rentals North America, Inc., Gtd. Notes		7.625%		04/15/22		2,700		2,882,250
								16,401,771
Computers — 0.7%
Apple, Inc., Sr. Unsec’d. Notes		3.250%		02/23/26		2,260		2,399,162
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A		3.480%		06/01/19		905		927,091
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A		4.420%		06/15/21		770		792,539
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes, 144A		2.450%		10/05/17		3,360		3,403,545
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes, 144A		2.850%		10/05/18		630		645,158
								8,167,495
Diversified Financial Services — 1.0%
Ally Financial, Inc., Sr. Unsec’d. Notes		4.125%		02/13/22		3,000		2,977,500
GE Capital International Funding Co., Gtd. Notes, 144A		2.342%		11/15/20		982		1,011,618
GE Capital International Funding Co., Gtd. Notes, 144A		4.418%		11/15/35		619		694,262
HSBC Finance Corp., Sub. Notes		6.676%		01/15/21		295		330,549
International Lease Finance Corp., Sr. Unsec’d. Notes		6.250%		05/15/19		1,400		1,499,750
Jefferies Group LLC, Sr. Unsec’d. Notes		6.500%		01/20/43		650		645,407
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(h)		6.875%		05/02/18		2,740		191,800
Navient Corp., Sr. Unsec’d. Notes, MTN		6.000%		01/25/17		1,075		1,088,437
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN		2.000%		09/13/16		950		951,640
OneMain Financial Holdings, Inc., Gtd. Notes, 144A		7.250%		12/15/21		1,625		1,555,937
Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. (Cayman Islands), Sr. Sec’d. Notes, 144A(e)		1.360%	(a)	07/03/33		390		336,417
								11,283,317
Electric — 4.0%
AES Corp. (The), Sr. Unsec’d. Notes		5.500%		04/15/25		5,000		5,012,500
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes		3.350%		07/01/23		550		581,604
Calpine Corp., Sr. Unsec’d. Notes		5.375%		01/15/23		800		780,000
Calpine Corp., Sr. Unsec’d. Notes		5.500%		02/01/24		1,500		1,447,500
Calpine Corp., Sr. Unsec’d. Notes		5.750%		01/15/25		1,350		1,312,875
Dominion Resources Inc., Jr. Sub. Notes		4.104%		04/01/21		2,710		2,867,814
Duke Energy Corp., Sr. Unsec’d. Notes		2.100%		06/15/18		3,775		3,808,465

SEE NOTES TO FINANCIAL STATEMENTS.

A40

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#			Value (Note 2)
Electric (continued)
Dynegy, Inc., Gtd. Notes		5.875%	06/01/23			2,400	$	2,112,000
Dynegy, Inc., Gtd. Notes		7.375%	11/01/22			2,500		2,412,500
El Paso Electric Co., Sr. Unsec’d. Notes		6.000%	05/15/35			2,325		2,846,728
Emera US Finance LP (Canada), Gtd. Notes, 144A		3.550%	06/15/26			820		839,056
Enel Finance International NV (Italy), Gtd. Notes, 144A		6.000%	10/07/39			1,450		1,713,510
Exelon Generation Co. LLC, Sr. Unsec’d. Notes		6.200%	10/01/17			1,930		2,039,259
Exelon Generation Co. LLC, Sr. Unsec’d. Notes		6.250%	10/01/39			1,900		2,087,057
FirstEnergy Corp., Sr. Unsec’d. Notes, Series A		2.750%	03/15/18			1,800		1,822,415
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A		5.450%	07/15/44			400		435,810
Iberdrola International BV (Spain), Gtd. Notes		6.750%	09/15/33			1,150		1,345,972
NiSource Finance Corp., Gtd. Notes		4.800%	02/15/44			300		344,068
NiSource Finance Corp., Gtd. Notes		5.450%	09/15/20			1,345		1,522,478
NRG Energy, Inc., Gtd. Notes		6.625%	03/15/23			3,263		3,214,055
Pacific Gas & Electric Co., Sr. Unsec’d. Notes		4.600%	06/15/43			1,950		2,231,494
South Carolina Electric & Gas Co., First Mortgage		4.600%	06/15/43			2,025		2,291,788
Xcel Energy, Inc., Sr. Unsec’d. Notes		5.613%	04/01/17			1,947		2,012,521
								45,081,469
Electronics — 0.1%
Honeywell International, Inc., Sr. Unsec’d. Notes		0.650%	02/21/20		EUR	900		1,013,175
Energy – Alternate Sources — 0.1%
ContourGlobal Power Holdings SA (France), Sr. Sec’d. Notes, 144A		5.125%	06/15/21		EUR	1,350		1,473,149
Engineering & Construction
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		507,450
Entertainment — 0.3%
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes		5.375%	06/01/24			425		437,750
Cinemark USA, Inc., Gtd. Notes		4.875%	06/01/23			1,508		1,492,920
CPUK Finance Ltd. (United Kingdom), Sec’d. Notes, RegS		7.000%	08/28/20		GBP	1,100		1,500,992
								3,431,662
Environmental Control — 0.2%
Covanta Holding Corp., Sr. Unsec’d. Notes		7.250%	12/01/20			2,500		2,575,000
Food — 1.1%
B&G Foods, Inc., Gtd. Notes		4.625%	06/01/21			2,000		2,000,000
Ingles Markets, Inc., Sr. Unsec’d. Notes		5.750%	06/15/23			1,925		1,944,250
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		1,376,550
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		1,903,500
Kraft Heinz Foods Co., Gtd. Notes, 144A		3.000%	06/01/26			1,360		1,371,122
Kraft Heinz Foods Co., Gtd. Notes, 144A		4.375%	06/01/46			400		423,009
Kraft Heinz Foods Co., Gtd. Notes, 144A		5.000%	07/15/35			725		831,518
Minerva Luxembourg SA (Brazil), Gtd. Notes, 144A		12.250%	02/10/22			725		783,000
Post Holdings, Inc., Gtd. Notes, 144A		6.000%	12/15/22			1,500		1,537,500
								12,170,449
Food Service
Aramark Corp., Gtd. Notes		5.750%	03/15/20			252		259,560
Forest Products & Paper — 0.3%
International Paper Co., Sr. Unsec’d. Notes		6.000%	11/15/41			675		800,069
International Paper Co., Sr. Unsec’d. Notes		7.300%	11/15/39			1,000		1,314,814
International Paper Co., Sr. Unsec’d. Notes		7.950%	06/15/18			1,640		1,848,588
								3,963,471

SEE NOTES TO FINANCIAL STATEMENTS.

A41

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#			Value (Note 2)
Gas — 0.1%
AGL Capital Corp., Gtd. Notes		4.400%			06/01/43			1,050	$	1,073,973
Fermaca Enterprises S de RL de CV (Mexico), Sr. Sec’d. Notes, 144A (original cost $440,059; purchased 07/22/14)(e)(f)		6.375%			03/30/38			421		418,503
										1,492,476
Healthcare-Products — 0.7%
ConvaTec Finance International SA (Luxembourg), Gtd. Notes, PIK, 144A		8.250%			01/15/19			2,300		2,256,875
Medtronic, Inc., Gtd. Notes		3.500%			03/15/25			3,435		3,744,579
Medtronic, Inc., Gtd. Notes		4.375%			03/15/35			1,358		1,536,088
										7,537,542
Healthcare-Services — 2.6%
Aetna, Inc., Sr. Unsec’d. Notes		6.750%			12/15/37			1,900		2,577,004
Anthem, Inc., Sr. Unsec’d. Notes		4.650%			01/15/43			385		401,795
CHS/Community Health Systems, Inc., Gtd. Notes(g)		7.125%			07/15/20			750		695,318
CHS/Community Health Systems, Inc., Gtd. Notes		8.000%			11/15/19			3,400		3,327,750
Cigna Corp., Sr. Unsec’d. Notes		4.375%			12/15/20			745		809,160
Cigna Corp., Sr. Unsec’d. Notes		5.375%			03/15/17			2,125		2,175,290
Cigna Corp., Sr. Unsec’d. Notes		5.875%			03/15/41			750		920,285
DaVita HealthCare Partners, Inc., Gtd. Notes		5.000%			05/01/25			500		495,625
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A		4.125%			10/15/20			2,705		2,779,388
HCA, Inc., Gtd. Notes		5.375%			02/01/25			5,025		5,150,625
HCA, Inc., Gtd. Notes		5.875%			02/15/26			725		752,188
HealthSouth Corp., Gtd. Notes		5.125%			03/15/23			300		294,000
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes		3.200%			02/01/22			240		248,251
Select Medical Corp., Gtd. Notes(g)		6.375%			06/01/21			2,600		2,496,000
Synlab Bondco PLC (United Kingdom), Sr. Sec’d. Notes, RegS(e)		6.250%			07/01/22		EUR	1,100		1,287,870
Tenet Healthcare Corp., Sr. Unsec’d. Notes		6.750%			02/01/20			500		491,250
Tenet Healthcare Corp., Sr. Unsec’d. Notes		8.000%			08/01/20			1,570		1,607,288
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		3.950%			10/15/42			1,260		1,318,274
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.500%			06/15/37			760		1,059,906
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.625%			11/15/37			195		275,660
										29,162,927
Home Builders — 0.9%
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), Gtd. Notes, 144A		6.125%			07/01/22			2,000		1,890,000
CalAtlantic Group, Inc., Gtd. Notes		6.250%			12/15/21			3,500		3,718,750
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A		5.250%			04/15/21			2,175		2,169,562
William Lyon Homes, Inc., Gtd. Notes		8.500%			11/15/20			2,000		2,055,000
										9,833,312
Home Furnishings — 0.1%
Tempur Sealy International, Inc., Gtd. Notes, 144A		5.500%			06/15/26			650		638,625
Housewares — 0.1%
Newell Brands, Inc., Sr. Unsec’d. Notes		4.200%			04/01/26			670		726,314
Insurance — 2.9%
Allied World Assurance Co. Holdings Ltd., Gtd. Notes		5.500%			11/15/20			430		478,768
Allied World Assurance Co. Holdings Ltd., Gtd. Notes		7.500%			08/01/16			2,475		2,486,633
American International Group, Inc., Sr. Unsec’d. Notes		3.300%			03/01/21			3,960		4,091,096
American International Group, Inc., Sr. Unsec’d. Notes		4.500%			07/16/44			1,075		1,040,002
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes		2.750%			03/15/23			4,760		4,918,184
Chubb Corp. (The), Gtd. Notes		6.375%	(a)		04/15/37			1,775		1,544,250
Chubb INA Holdings, Inc., Gtd. Notes		3.350%			05/03/26			740		788,765
Chubb INA Holdings, Inc., Gtd. Notes		4.350%			11/03/45			115		132,298
Endurance Specialty Holdings Ltd., Sr. Unsec’d. Notes		7.000%			07/15/34			1,350		1,620,181

SEE NOTES TO FINANCIAL STATEMENTS.

A42

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Insurance (continued)
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes		5.125%		04/15/22		500	$	568,648
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A		6.500%		03/15/35		1,030		1,263,692
Lincoln National Corp., Sr. Unsec’d. Notes		7.000%		06/15/40		1,265		1,629,044
Lincoln National Corp., Sr. Unsec’d. Notes		8.750%		07/01/19		1,265		1,496,393
Markel Corp., Sr. Unsec’d. Notes		5.000%		03/30/43		350		373,248
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A		5.100%	(a)	10/16/44		2,075		2,232,941
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A		6.063%		03/30/40		500		639,568
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A		6.375%		04/30/20		850		960,362
Principal Financial Group, Inc., Gtd. Notes		4.625%		09/15/42		150		158,661
Progressive Corp. (The), Jr. Sub. Notes		6.700%	(a)	06/15/37		1,015		931,263
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A		6.850%		12/16/39		2,310		3,138,033
Unum Group, Sr. Unsec’d. Notes		5.625%		09/15/20		500		561,364
XLIT Ltd. (Ireland), Gtd. Notes, Series E		6.500%	(a)	10/29/49		1,880		1,306,600
								32,359,994
Leisure Time — 0.1%
Viking Cruises Ltd., Sr. Unsec’d. Notes, 144A (original cost $1,701,125; purchased 09/29/15-09/30/15)(e)(f)		8.500%		10/15/22		1,550		1,321,375
Lodging — 0.5%
Boyd Gaming Corp., Gtd. Notes, 144A		6.375%		04/01/26		575		600,875
Marriott International, Inc., Sr. Unsec’d. Notes		3.250%		09/15/22		1,325		1,376,296
MGM Resorts International, Gtd. Notes		6.625%		12/15/21		3,325		3,615,938
								5,593,109
Machinery-Diversified — 0.4%
CNH Industrial Capital LLC, Gtd. Notes(g)		4.875%		04/01/21		1,050		1,068,375
Rockwell Automation, Inc., Sr. Unsec’d. Notes		5.200%		01/15/98		1,100		1,253,973
Xylem, Inc., Sr. Unsec’d. Notes		4.875%		10/01/21		1,960		2,137,023
								4,459,371
Media — 3.6%
21st Century Fox America, Inc., Gtd. Notes		6.900%		08/15/39		65		86,951
21st Century Fox America, Inc., Gtd. Notes		7.625%		11/30/28		1,415		1,957,711
Cablevision Systems Corp., Sr. Unsec’d. Notes		8.625%		09/15/17		2,000		2,112,500
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A		5.500%		05/01/26		3,300		3,349,500
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A		5.875%		04/01/24		800		830,000
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A		5.875%		05/01/27		1,000		1,032,500
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A		5.125%		12/15/21		700		665,000
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Sec’d. Notes, 144A		7.750%		07/15/25		1,500		1,563,750
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A		6.384%		10/23/35		710		840,771
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A		6.484%		10/23/45		855		1,020,888
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A		6.834%		10/23/55		225		267,528
Comcast Corp., Gtd. Notes		3.150%		03/01/26		1,190		1,266,622
DISH DBS Corp., Gtd. Notes		4.250%		04/01/18		2,850		2,907,000
Grupo Televisa SAB (Mexico), Sr. Unsec’d. Notes		6.125%		01/31/46		495		546,614
Historic TW, Inc., Gtd. Notes		6.625%		05/15/29		1,837		2,395,951
Liberty Interactive LLC, Sr. Unsec’d. Notes		8.250%		02/01/30		2,250		2,334,375
Myriad International Holdings BV (South Africa), Gtd. Notes, 144A		6.375%		07/28/17		1,035		1,074,806
NBCUniversal Media LLC, Gtd. Notes		4.450%		01/15/43		290		324,665
Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes, 144A		5.000%		04/15/22		1,500		1,530,000

SEE NOTES TO FINANCIAL STATEMENTS.

A43

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Media (continued)
Sinclair Television Group, Inc., Sr. Unsec’d. Notes, 144A		5.875%		03/15/26		775	$	790,500
Sky PLC (United Kingdom), Gtd. Notes, 144A		6.100%		02/15/18		210		224,528
TCI Communications, Inc., Sr. Unsec’d. Notes		7.875%		02/15/26		750		1,074,756
TEGNA, Inc., Gtd. Notes, 144A		4.875%		09/15/21		475		486,875
Time Warner Cable, Inc., Gtd. Notes		6.750%		07/01/18		2,620		2,872,932
Time Warner Cos., Inc., Gtd. Notes		7.250%		10/15/17		1,440		1,547,608
Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH (Germany), Sr. Sec’d. Notes, RegS		4.000%		01/15/25	EUR	1,100		1,227,371
Univision Communications, Inc., Sr. Sec’d. Notes, 144A (original cost $1,191,156; purchased 04/13/15)(e)(f)		5.125%		02/15/25		1,175		1,161,781
UPCB Finance IV Ltd. (Netherlands), Sr. Sec’d. Notes, 144A		5.375%		01/15/25		1,140		1,128,600
UPCB Finance V Ltd. (Netherlands), Sr. Sec’d. Notes, 144A		7.250%		11/15/21		1,035		1,078,987
Viacom, Inc., Sr. Unsec’d. Notes		4.500%		02/27/42		95		78,819
Viacom, Inc., Sr. Unsec’d. Notes		4.875%		06/15/43		475		419,335
Virgin Media Secured Finance PLC (United Kingdom), Sr. Sec’d. Notes, 144A		6.000%		04/15/21	GBP	945		1,292,633
Ziggo Secured Finance BV (Netherlands), Sr. Sec’d. Notes, RegS		3.750%		01/15/25	EUR	1,000		1,082,011
								40,573,868
Mining — 0.4%
Alcoa, Inc., Sr. Unsec’d. Notes		5.125%		10/01/24		425		423,937
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes, 144A		6.750%	(a)	10/19/75		1,730		1,838,125
Goldcorp, Inc. (Canada), Sr. Unsec’d. Notes		3.625%		06/09/21		825		849,823
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes		5.875%		04/23/45		820		772,500
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes		6.750%		04/16/40		990		1,020,818
								4,905,203
Miscellaneous Manufacturing — 0.5%
General Electric Co., Sr. Unsec’d. Notes		4.125%		10/09/42		500		549,964
General Electric Co., Sr. Unsec’d. Notes		4.500%		03/11/44		740		853,945
General Electric Co., Sr. Unsec’d. Notes, MTN		5.875%		01/14/38		194		262,379
General Electric Co., Sub. Notes		5.300%		02/11/21		340		394,464
Ingersoll-Rand Global Holding Co. Ltd., Gtd. Notes		5.750%		06/15/43		425		524,569
Pentair Finance SA (United Kingdom), Gtd. Notes		1.875%		09/15/17		625		623,864
Textron, Inc., Sr. Unsec’d. Notes		7.250%		10/01/19		2,350		2,702,274
								5,911,459
Multi-National — 0.1%
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes		2.000%		05/10/19		1,180		1,193,181
Office & Business Equipment — 0.1%
CDW LLC/CDW Finance Corp., Gtd. Notes		5.000%		09/01/23		1,150		1,158,038
Oil & Gas — 1.1%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		4.677%	(i)	10/10/36		2,000		755,580
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.450%		09/15/36		340		391,718
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.600%		03/15/46		645		778,841
Lukoil International Finance BV (Russia), Gtd. Notes, 144A		6.125%		11/09/20		600		654,034
Nabors Industries, Inc., Gtd. Notes		4.625%		09/15/21		1,650		1,514,093
Noble Energy, Inc., Sr. Unsec’d. Notes		6.000%		03/01/41		1,530		1,645,454
Pioneer Natural Resources Co., Sr. Unsec’d. Notes		6.875%		05/01/18		1,750		1,891,834
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A		5.400%		02/14/22		510		571,054
Sasol Financing International PLC (South Africa), Gtd. Notes		4.500%		11/14/22		2,525		2,530,050
Sunoco LP/Sunoco Finance Corp., Gtd. Notes, 144A		6.250%		04/15/21		2,100		2,094,750
								12,827,408
Oil & Gas Services — 0.1%
Cameron International Corp., Sr. Unsec’d. Notes		7.000%		07/15/38		450		583,189

SEE NOTES TO FINANCIAL STATEMENTS.

A44

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Packaging & Containers — 0.6%
Ball Corp., Gtd. Notes		4.375%	12/15/23	EUR	1,125	$	1,345,231
Greif Nevada Holdings, Sr. Unsec’d. Notes, MTN, 144A		7.375%	07/15/21	EUR	1,470		1,902,573
Greif, Inc., Sr. Unsec’d. Notes		7.750%	08/01/19		1,815		2,019,187
WestRock RKT Co., Gtd. Notes		4.450%	03/01/19		1,165		1,231,072
							6,498,063
Pharmaceuticals — 0.9%
AbbVie, Inc., Sr. Unsec’d. Notes		3.600%	05/14/25		1,020		1,068,787
AbbVie, Inc., Sr. Unsec’d. Notes		4.500%	05/14/35		1,715		1,792,455
Actavis Funding SCS, Gtd. Notes		3.800%	03/15/25		875		911,599
Actavis Funding SCS, Gtd. Notes		4.550%	03/15/35		1,670		1,716,294
Actavis Funding SCS, Gtd. Notes		4.750%	03/15/45		385		404,278
Endo Ltd./Endo Finance LLC/Endo Finco, Inc., Gtd. Notes, 144A		6.000%	07/15/23		625		546,875
Johnson & Johnson, Sr. Unsec’d. Notes		3.550%	03/01/36		270		298,296
Johnson & Johnson, Sr. Unsec’d. Notes		3.700%	03/01/46		550		619,296
Merck & Co, Inc., Sr. Unsec’d. Notes		4.150%	05/18/43		2,075		2,324,409
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A		6.125%	04/15/25		450		361,125
							10,043,414
Pipelines — 0.4%
Enterprise Products Operating LLC, Gtd. Notes		4.900%	05/15/46		2,900		3,124,243
ONEOK Partners LP, Gtd. Notes		2.000%	10/01/17		750		748,964
Western Gas Partners LP, Sr. Unsec’d. Notes		5.450%	04/01/44		575		539,249
							4,412,456
Real Estate
ProLogis LP, Gtd. Notes		6.875%	03/15/20		8		9,417
Real Estate Investment Trusts (REITs) — 0.5%
DuPont Fabros Technology LP, Gtd. Notes		5.875%	09/15/21		2,000		2,097,500
Simon Property Group LP, Sr. Unsec’d. Notes		3.375%	03/15/22		325		347,882
Simon Property Group LP, Sr. Unsec’d. Notes		10.350%	04/01/19		1,685		2,052,438
Trust F/1401 (Mexico), Sr. Unsec’d. Notes, 144A		5.250%	12/15/24		1,235		1,262,787
							5,760,607
Retail — 0.7%
CVS Health Corp., Sr. Unsec’d. Notes		5.125%	07/20/45		765		949,041
Dufry Finance SCA (Switzerland), Gtd. Notes, 144A		4.500%	08/01/23	EUR	1,425		1,648,610
Landry’s, Inc., Gtd. Notes, 144A (original cost $1,704,880; purchased 01/11/16)(e)(f)		9.375%	05/01/20		1,616		1,696,800
Limited Brands, Inc., Gtd. Notes		5.625%	02/15/22		2,200		2,367,200
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		1,188,000
							7,849,651
Savings & Loans — 0.2%
People’s United Financial, Inc., Sr. Unsec’d. Notes		3.650%	12/06/22		1,675		1,724,096
Semiconductors — 0.6%
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A		3.750%	06/01/18		1,925		1,963,500
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A		4.625%	06/01/23		3,250		3,306,875
Sensata Technologies BV, Gtd. Notes, 144A		5.000%	10/01/25		1,750		1,757,682
							7,028,057
Software — 0.8%
Fidelity National Information Services, Inc., Gtd. Notes		5.000%	10/15/25		1,050		1,191,989
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes		4.500%	10/15/22		2,355		2,608,243
First Data Corp., Gtd. Notes, 144A		7.000%	12/01/23		2,225		2,252,812
Infor US, Inc., Gtd. Notes		6.500%	05/15/22		950		897,161
Infor US, Inc., Sr. Sec’d. Notes, 144A (original cost $1,353,375; purchased 02/03/16)(e)(f)		5.750%	08/15/20		1,350		1,414,125
Oracle Corp., Sr. Unsec’d. Notes		4.300%	07/08/34		1,070		1,137,971
							9,502,301

SEE NOTES TO FINANCIAL STATEMENTS.

A45

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Telecommunications — 2.3%
America Movil SAB de CV (Mexico), Gtd. Notes		6.125%	03/30/40		235	$	288,135
AT&T Corp., Gtd. Notes		8.250%	11/15/31		103		148,139
AT&T, Inc., Sr. Unsec’d. Notes		3.400%	05/15/25		2,320		2,373,144
AT&T, Inc., Sr. Unsec’d. Notes		4.500%	05/15/35		300		306,898
AT&T, Inc., Sr. Unsec’d. Notes		4.750%	05/15/46		850		871,142
AT&T, Inc., Sr. Unsec’d. Notes		4.800%	06/15/44		1,515		1,555,316
AT&T, Inc., Sr. Unsec’d. Notes		5.350%	09/01/40		483		528,350
Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A		5.125%	03/11/23		1,305		1,410,214
Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A		5.350%	05/20/24		690		762,578
Clearwire Communications LLC/Clearwire Finance, Inc., Sr. Sec’d. Notes, 144A		14.750%	12/01/16		800		839,000
CommScope Holding Co., Inc., Sr. Unsec’d. Notes, PIK, 144A		6.625%	06/01/20		1,142		1,179,115
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes		7.250%	10/15/20		2,016		1,436,400
Sprint Capital Corp., Gtd. Notes		6.900%	05/01/19		1,300		1,241,500
Sprint Corp., Gtd. Notes		7.625%	02/15/25		500		395,625
T-Mobile USA, Inc., Gtd. Notes		6.500%	01/15/26		1,675		1,767,125
Telecom Italia SpA (Italy), Sr. Unsec’d. Notes, EMTN		6.375%	06/24/19	GBP	950		1,391,808
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.522%	09/15/48		1,679		1,748,343
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.672%	03/15/55		2,796		2,827,986
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.750%	11/01/41		745		800,359
Verizon Communications, Inc., Sr. Unsec’d. Notes		5.012%	08/21/54		3,362		3,555,490
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC (Russia), Sr. Unsec’d. Notes, 144A		9.125%	04/30/18		200		220,963
							25,647,630
Textiles
Mohawk Industries, Inc., Sr. Unsec’d. Notes		3.850%	02/01/23		294		309,807
Transportation — 0.1%
Silk Bidco AS (Norway), Sr. Sec’d. Notes, RegS		7.500%	02/01/22	EUR	1,300		1,458,911
TOTAL CORPORATE BONDS (cost $507,662,149)							529,682,582
FOREIGN AGENCIES — 1.8%
CITIC Ltd. (China), Sr. Unsec’d. Notes, EMTN, RegS		6.875%	01/21/18		1,100		1,181,424
CNOOC Finance 2013 Ltd. (China), Gtd. Notes		3.000%	05/09/23		750		744,988
Ecopetrol SA (Colombia), Sr. Unsec’d. Notes		4.125%	01/16/25		100		90,470
Export Credit Bank of Turkey (Turkey), Sr. Unsec’d. Notes, 144A		5.375%	11/04/16		790		798,714
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.510%	03/07/22		1,665		1,819,346
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, RegS		4.950%	07/19/22		390		403,946
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A		2.125%	04/13/21		600		609,927
KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A		9.125%	07/02/18		2,910		3,230,682
Korea Development Bank (The) (South Korea), Sr. Unsec’d. Notes		4.625%	11/16/21		600		679,866
Korea Gas Corp. (South Korea), Sr. Unsec’d. Notes, RegS		4.250%	11/02/20		1,750		1,936,149
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A		4.750%	07/13/21		250		282,494
Majapahit Holding BV (Indonesia), Gtd. Notes, RegS		7.750%	10/17/16		2,500		2,537,500
Majapahit Holding BV (Indonesia), Gtd. Notes, RegS		7.750%	01/20/20		1,500		1,714,500
Petrobras Global Finance BV (Brazil), Gtd. Notes		8.375%	05/23/21		1,575		1,625,400
Petroleos Mexicanos (Mexico), Gtd. Notes		4.875%	01/24/22		1,100		1,124,629
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A		2.500%	04/28/20		1,250		1,263,484
TOTAL FOREIGN AGENCIES (cost $19,512,288)							20,043,519

SEE NOTES TO FINANCIAL STATEMENTS.

A46

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

MUNICIPAL BONDS — 1.9%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
California — 0.7%
Bay Area Toll Authority, Revenue Bonds, BABs		6.907%		10/01/50		1,125	$	1,769,895
State of California, General Obligation Unlimited, BABs		7.300%		10/01/39		2,280		3,450,278
State of California, General Obligation Unlimited, BABs		7.625%		03/01/40		725		1,143,702
University of California, Revenue Bonds, BABs		5.770%		05/15/43		1,400		1,887,606
								8,251,481
Colorado — 0.1%
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs		5.844%		11/01/50		770		1,122,321
Illinois — 0.2%
Chicago O’Hare International Airport, Revenue Bonds, BABs		6.395%		01/01/40		1,380		1,961,891
New Jersey — 0.4%
New Jersey State Turnpike Authority, Revenue Bonds, Series A, BABs		7.102%		01/01/41		1,175		1,786,764
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs		7.414%		01/01/40		2,050		3,208,947
								4,995,711
Ohio — 0.1%
Ohio State University (The), Revenue Bonds, BABs		4.910%		06/01/40		695		880,412
Ohio State Water Development Authority, Revenue Bonds, BABs		4.879%		12/01/34		450		542,880
								1,423,292
Oregon — 0.1%
Oregon State Department of Transportation, Revenue Bonds, Series A, BABs		5.834%		11/15/34		615		840,822
Pennsylvania — 0.1%
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs		5.511%		12/01/45		800		1,051,112
Tennessee — 0.2%
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs		6.731%		07/01/43		1,375		1,905,613
TOTAL MUNICIPAL BONDS (cost $14,873,217)								21,552,243
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 5.0%
Alternative Loan Trust, Series 2004-18CB, Class 3A1		5.250%		09/25/19		241		242,130
Banc of America Funding Trust, Series 2015-R6, Class 1A1, 144A		0.601%	(a)	08/26/36		3,003		2,769,295
Citigroup Mortgage Loan Trust, Series 2011-12, Class 3A2, 144A		2.774%	(a)	09/25/47		1,175		1,047,526
CSMC, Series 2015-12R, Class 1A1, 144A(b)		2.434%	(a)	10/30/47		1,805		1,800,337
Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 1M1(j)		1.953%	(a)	02/25/25		531		531,309
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M2(j)		3.303%	(a)	04/25/28		1,300		1,336,444
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA3, Class M2(j)		2.446%	(a)	12/25/28		1,550		1,560,324
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M2(j)		2.703%	(a)	11/25/28		1,450		1,458,406
GSMSC Resecuritization Trust, Series 2015-3R, Class 1A1, 144A		0.586%	(a)	01/26/37		3,816		3,658,671
GSMSC Resecuritization Trust, Series 2015-3R, Class 1A2, 144A		0.586%	(a)	01/26/37		1,400		1,112,184
GSMSC Resecuritization Trust, Series 2015-4R, Class A1, 144A		0.586%	(a)	03/26/37		2,980		2,819,766
GSMSC Resecuritization Trust, Series 2015-4R, Class A2, 144A		0.586%	(a)	03/26/37		700		537,677
Harborview Mortgage Loan Trust, Series 2007-4, Class 2A1		0.668%	(a)	07/19/47		2,416		1,947,369
LSTAR Securities Investment Ltd., Series 2016-2, Class A, 144A		2.439%	(a)	03/01/21		2,295		2,246,413
LSTAR Securities Investment Trust, Series 2014-2, Class A, 144A(b)		2.457%	(a)	12/01/21		781		766,919
LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A(b)		2.457%	(a)	05/01/20		6,231		6,090,548
LSTAR Securities Investment Trust, Series 2015-7, Class A, 144A		2.978%	(a)	07/01/20		4,398		4,321,397
LSTAR Securities Investment Trust, Series 2015-8, Class A1, 144A		2.439%	(a)	08/01/20		3,121		3,063,366
LSTAR Securities Investment Trust, Series 2015-9, Class A1, 144A		2.457%	(a)	10/01/20		4,598		4,513,257

SEE NOTES TO FINANCIAL STATEMENTS.

A47

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#			Value (Note 2)
LSTAR Securities Investment Trust, Series 2015-10, Class A2, 144A(b)		3.939%	(a)	11/01/20			1,500	$	1,432,500
LSTAR Securities Investment Trust, Series 2016-1, Class A1, 144A		2.439%	(a)	01/01/21			6,003		5,825,969
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1		5.000%		04/25/19			47		47,040
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		2.830%	(a)	02/25/34			978		967,509
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-18, Class 3A1		2.707%	(a)	12/25/34			5,534		5,344,278
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2002-HF2, Class M3		3.453%	(a)	07/25/32			593		573,254
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A		5.000%		03/25/20			199		198,131
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $56,281,367)									56,212,019
SOVEREIGN BONDS — 4.0%
Argentina Bonar Bonds (Argentina), Sr. Unsec’d. Notes		7.000%		04/17/17			1,060		1,085,836
Argentine Republic Government International Bond (Argentina), Sr. Unsec’d. Notes, 144A		6.875%		04/22/21			1,175		1,253,137
Argentine Republic Government International Bond (Argentina), Sr. Unsec’d. Notes, 144A		7.500%		04/22/26			500		540,500
Brazilian Government International Bond (Brazil), Unsec’d. Notes		11.000%		06/26/17		EUR	2,200		2,692,931
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.000%		02/26/24			1,750		1,827,875
Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes, RegS		7.500%		05/06/21			2,250		2,499,750
Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes, 144A		6.850%		01/27/45			600		621,000
Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes, 144A		7.450%		04/30/44			290		319,000
Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes, 144A		7.500%		05/06/21			600		666,600
Hellenic Republic Government International Bond (Greece), Sr. Unsec’d. Notes, EMTN(e)		3.800%		08/08/17		JPY	680,000		6,181,669
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes, RegS		6.000%		01/11/19		EUR	715		899,981
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		4.125%		02/19/18			2,020		2,084,398
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		5.375%		02/21/23			436		483,223
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		6.375%		03/29/21			2,776		3,160,121
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		7.625%		03/29/41			1,000		1,450,000
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A		2.875%		07/08/21		EUR	825		951,401
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A		3.375%		07/30/25		EUR	1,625		1,846,765
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, RegS		5.875%		03/13/20			295		328,065
Italy Government International Bond (Italy), Sr. Unsec’d. Notes, RegS		3.450%		03/24/17		JPY	170,000		1,682,303
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes		2.750%		04/22/23		EUR	2,350		2,816,558
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN		4.750%		03/08/44			462		497,805
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		3.750%		03/16/25			450		474,750

SEE NOTES TO FINANCIAL STATEMENTS.

A48

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

SOVEREIGN BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#				Value (Note 2)
Peru Enhanced Pass-Through Finance Ltd. (Peru), Pass-Through Certificates, 144A		3.974%	(i)		05/31/18				395	$	381,869
Philippine Government International Bond (Philippines), Sr. Unsec’d. Notes		9.500%			02/02/30				450		769,743
Portugal Government International Bond (Portugal), Sr. Unsec’d. Notes, 144A		5.125%			10/15/24				800		799,768
Portugal Government International Bond (Portugal), Sr. Unsec’d. Notes, RegS		5.125%			10/15/24				1,300		1,299,623
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A		3.875%			10/29/35		EUR		945		1,101,028
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, RegS		3.875%			10/29/35		EUR		1,000		1,165,109
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS		5.250%			02/18/24				2,300		2,590,375
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS		5.500%			10/26/22				1,300		1,475,890
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS		5.850%			05/10/23				200		232,290
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes		7.000%			06/05/20				1,510		1,712,597
TOTAL SOVEREIGN BONDS (cost $46,842,856)											45,891,960
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.4%
Federal Home Loan Mortgage Corp.		5.000%			07/01/19				52		53,181
Federal Home Loan Mortgage Corp.		5.500%			10/01/33-06/01/34				1,207		1,383,125
Federal Home Loan Mortgage Corp.		6.000%			11/01/33-06/01/34				776		887,751
Federal Home Loan Mortgage Corp.		6.500%			07/01/32-09/01/32				653		755,000
Federal Home Loan Mortgage Corp.		7.000%			10/01/32				69		74,839
Federal National Mortgage Assoc.		4.000%			05/01/19				40		41,079
Federal National Mortgage Assoc.		4.500%			12/01/18-02/01/35				276		285,924
Federal National Mortgage Assoc.		5.500%			03/01/17-06/01/34				1,296		1,419,019
Federal National Mortgage Assoc.		6.000%			09/01/17-11/01/36				1,502		1,727,989
Federal National Mortgage Assoc.		6.500%			07/01/17-11/01/33				1,171		1,380,437
Federal National Mortgage Assoc.		7.000%			05/01/32-06/01/32				166		191,773
Government National Mortgage Assoc.		5.500%			01/15/33-07/15/35				1,451		1,647,953
Government National Mortgage Assoc.		6.000%			12/15/32-11/15/34				1,776		2,100,365
Government National Mortgage Assoc.		6.500%			09/15/32-11/15/33				1,167		1,338,962
Government National Mortgage Assoc.		7.500%			10/15/25-02/15/26				44		48,576
Tennessee Valley Authority, Sr. Unsec’d. Notes		7.125%			05/01/30				1,720		2,633,845
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $14,339,467)											15,969,818
U.S. TREASURY OBLIGATIONS — 2.0%
U.S. Treasury Bonds		2.500%			02/15/46				545		567,502
U.S. Treasury Bonds(k)(l)		2.875%			05/15/43				5,300		5,959,808
U.S. Treasury Notes		1.125%			06/30/21				1,485		1,492,367
U.S. Treasury Notes(k)(l)		1.625%			04/30/23				9,850		10,071,241
U.S. Treasury Notes(k)		2.000%			02/15/25				4,855		5,079,544
TOTAL U.S. TREASURY OBLIGATIONS (cost $22,069,941)											23,170,462
PREFERRED STOCKS — 0.2%								Shares
Banking
Citigroup Capital XIII, 7.008%, (Capital Security, fixed to floating preferred)(a)									45,000		1,173,150
State Street Corp., 5.35%(a)									35,000		939,400
TOTAL PREFERRED STOCKS (cost $2,000,000)											2,112,550
TOTAL LONG-TERM INVESTMENTS (cost $980,472,097)											1,019,054,110

SEE NOTES TO FINANCIAL STATEMENTS.

A49

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

SHORT-TERM INVESTMENTS — 9.4%	Shares		Value (Note 2)
AFFILIATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $90,945,636)(m)(Note 4)		9,352,846	$	86,887,936
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund (cost $20,167,181; includes $5,006,241 of cash collateral for securities on loan)(m)(n)(Note 4)		20,167,181		20,167,181
TOTAL SHORT-TERM INVESTMENTS (cost $111,112,817)				107,055,117
TOTAL INVESTMENTS — 99.2% (cost $1,091,584,914)				1,126,109,227
OTHER ASSETS IN EXCESS OF LIABILITIES(o) — 0.8%				8,930,516
NET ASSETS — 100.0%			$	1,135,039,743

See the Glossary for abbreviations used in the semiannual report.

# 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, 2016.

(b) Indicates a Level 3 security. The aggregate value of Level 3 securities is $14,364,275 and 1.3% of net assets.

(c) Interest rate not available as of June 30, 2016.

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

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

(f) Indicates a restricted security; the aggregate original cost of the restricted securities is $17,478,744. The aggregate value of $16,308,520 is approximately 1.4% of net assets.

(g) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $4,916,595; cash collateral of $5,006,241 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

(h) Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Security may be post maturity.

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

(j) Represents Connecticut Avenue security issued by Fannie Mae or a Structured Agency Credit Risk security issued by Freddie Mac.

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

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

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

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

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

Futures contracts outstanding at June 30, 2016:

Number of Contracts	Type		Expiration Date		Value at Trade Date		Value at June 30, 2016		Unrealized Appreciation (Depreciation)
Long Positions:
3,746		5 Year U.S. Treasury Notes		Sep. 2016	$	450,193,881	$	457,626,578	$	7,432,697
79		10 Year Euro-Bund		Sep. 2016		14,475,509		14,651,515		176,006
1,926		10 Year U.S. Treasury Notes		Sep. 2016		249,229,570		256,127,906		6,898,336
453		30 Year U.S. Ultra Treasury Bonds		Sep. 2016		78,958,703		84,427,875		5,469,172
										19,976,211

SEE NOTES TO FINANCIAL STATEMENTS.

A50

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

Futures contracts outstanding at June 30, 2016 (continued):

Number of Contracts	Type		Expiration Date		Value at Trade Date		Value at June 30, 2016		Unrealized Appreciation (Depreciation)
Short Positions:
394		2 Year U.S. Treasury Notes		Sep. 2016	$	85,876,327	$	86,415,281	$	(538,954	)
8		10 Year U.K. Gilt		Sep. 2016		1,308,253		1,368,425		(60,172	)
160		20 Year U.S. Treasury Bonds		Sep. 2016		26,234,835		27,575,000		(1,340,165	)
23		30 Year Euro BUXL		Sep. 2016		4,822,547		5,006,858		(184,311	)
										(2,123,602	)
									$	17,852,609

Cash of $1,150,000 and U.S. Treasury obligations with a combined market value of $6,983,526 have been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2016.

Forward foreign currency exchange contracts outstanding at June 30, 2016:

Purchase Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation (Depreciation)
OTC forward foreign currency exchange contracts:
Japanese Yen,
Expiring 07/27/16	Citigroup Global Markets	JPY	15,301	$	138,061	$	148,294	$	10,233
Mexican Peso,
Expiring 07/22/16	JPMorgan Chase	MXN	1,079		57,615		58,881		1,266
				$	195,676	$	207,175		11,499

Sale Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation (Depreciation)
OTC forward foreign currency exchange contracts:
Australian Dollar,
Expiring 07/14/16	JPMorgan Chase	AUD	559	$	425,963	$	416,949	$	9,014
British Pound,
Expiring 07/27/16	Citigroup Global Markets	GBP	3,932		5,697,390		5,236,164		461,226
Euro,
Expiring 07/27/16	BNP Paribas	EUR	1,250		1,404,859		1,388,608		16,251
Expiring 07/27/16	Deutsche Bank AG	EUR	12,532		14,164,734		13,921,300		243,434
Expiring 07/27/16	JPMorgan Chase	EUR	240		276,286		266,311		9,975
Expiring 07/27/16	JPMorgan Chase	EUR	542		606,494		601,734		4,760
Expiring 07/27/16	UBS AG	EUR	1,344		1,512,395		1,492,488		19,907
Hungarian Forint,
Expiring 07/22/16	Citigroup Global Markets	HUF	219,665		804,635		772,023		32,612
Mexican Peso,
Expiring 07/22/16	Citigroup Global Markets	MXN	17,850		1,025,301		974,310		50,991
Polish Zloty,
Expiring 07/22/16	Citigroup Global Markets	PLN	2,314		610,383		586,176		24,207
				$	26,528,440	$	25,656,063		872,377
								$	883,876

SEE NOTES TO FINANCIAL STATEMENTS.

A51

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

Interest rate swap agreements outstanding at June 30, 2016:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)		Counterparty
	OTC swap agreements:
MXN	76,000		06/20/18		6.020%	28 Day Mexican Interbank Rate(2)	$	81,463	$	—	$	81,463	Credit Suisse First Boston Corp.
MXN	73,100		11/09/18		5.410%	28 Day Mexican Interbank Rate(2)		31,453		—		31,453	Deutsche Bank AG
ZAR	10,000		09/03/33		8.970%	3 Month JIBAR(2)		41,668		—		41,668	Hong Kong & Shanghai Bank
							$	154,584	$	—	$	154,584

Notional Amount (000)#		Termination Date		Fixed Rate			Floating Rate	Value at Trade Date			Value at June 30, 2016			Unrealized Appreciation (Depreciation)
	Centrally cleared swap agreements:
EUR	8,050		08/04/16		0.078%		1 Day EUROIS(1)	$	4,792		$	(28,739	)	$	(33,531	)
EUR	8,000		08/01/19		0.346%		1 Day EUROIS(1)		(132,893	)		(276,935	)		(144,042	)
EUR	7,020		06/28/20		(0.458%	)	1 Day EUROIS(1)		168			2,424			2,256
EUR	2,150		06/20/24		(0.050%	)	1 Day EUROIS(1)		(266	)		(8,901	)		(8,635	)
EUR	2,000		07/28/25		0.780%		1 Day EUROIS(1)		(1,907	)		(176,732	)		(174,825	)
EUR	3,900		02/23/26		0.324%		1 Day EUROIS(1)		(810	)		(111,351	)		(110,541	)
EUR	6,810		05/09/31		1.587%		6 Month EURIBOR(2)		607			169,227			168,620
EUR	1,750		06/29/31		0.678%		6 Month EURIBOR(2)		186			(20,911	)		(21,097	)
EUR	705		03/04/36		0.865%		1 Day EUROIS(1)		(284	)		(38,982	)		(38,698	)
EUR	550		04/11/36		0.962%		6 Month EURIBOR(1)		(5	)		(12,152	)		(12,147	)
EUR	4,290		05/09/46		1.357%		6 Month EURIBOR(1)		36			(203,324	)		(203,360	)
EUR	940		06/29/46		0.792%		6 Month EURIBOR(1)		196			23,895			23,699
GBP	1,950		02/23/21		0.639%		1 Day GBP OIS(1)		571			(56,276	)		(56,847	)
GBP	885		09/07/25		1.477%		6 Month GBP LIBOR(2)		32			56,614			56,582
MXN	112,800		02/09/18		4.630%		28 Day Mexican Interbank Rate(2)		(8,795	)		(32,568	)		(23,773	)
MXN	70,000		04/18/19		5.480%		28 Day Mexican Interbank Rate(2)		(36,283	)		30,280			66,563
MXN	48,200		05/25/22		6.370%		28 Day Mexican Interbank Rate(2)		(47,258	)		98,295			145,553
MXN	38,000		08/13/24		6.120%		28 Day Mexican Interbank Rate(2)		(8,237	)		29,958			38,195
MXN	38,100		12/27/24		5.795%		28 Day Mexican Interbank Rate(2)		8,681			(22,413	)		(31,094	)
MXN	13,900		07/27/34		6.720%		28 Day Mexican Interbank Rate(2)		941			7,490			6,549
	1,575		03/11/20		1.824%		3 Month LIBOR(1)		28			(55,029	)		(55,057	)
	135,870		12/31/21		1.787%		3 Month LIBOR(1)		(151,223	)		(5,586,807	)		(5,435,584	)
	17,000		12/31/21		1.850%		3 Month LIBOR(1)		242			(757,435	)		(757,677	)
	51,250		05/31/22		1.741%		3 Month LIBOR(1)		375,423			(2,013,094	)		(2,388,517	)
	29,120		05/31/22		2.237%		3 Month LIBOR(1)		(77,974	)		(1,982,119	)		(1,904,145	)
	22,700		08/31/22		1.788%		3 Month LIBOR(1)		273			(968,014	)		(968,287	)
	87,900		08/31/22		2.013%		3 Month LIBOR(1)		(161,643	)		(4,946,642	)		(4,784,999	)
	12,360		11/30/22		1.982%		3 Month LIBOR(1)		217			(677,104	)		(677,321	)
	5,800		12/31/22		1.405%		3 Month LIBOR(1)		181			(106,950	)		(107,131	)
	4,400		12/31/22		1.406%		3 Month LIBOR(1)		174			(81,546	)		(81,720	)
	8,700		12/31/22		1.409%		3 Month LIBOR(1)		197			(162,613	)		(162,810	)
	2,400		12/31/22		1.412%		3 Month LIBOR(1)		163			(45,271	)		(45,434	)
	12,100		12/31/22		1.416%		3 Month LIBOR(1)		216			(231,633	)		(231,849	)
	4,850		12/31/22		1.495%		3 Month LIBOR(1)		177			(117,288	)		(117,465	)
	10,495		05/31/23		1.394%		3 Month LIBOR(1)		207			(150,775	)		(150,982	)
	10,495		05/31/23		1.395%		3 Month LIBOR(1)		208			(151,519	)		(151,727	)
	20,990		05/31/23		1.399%		3 Month LIBOR(1)		(2,291	)		(308,228	)		(305,937	)
	10,290		05/31/23		1.513%		3 Month LIBOR(1)		206			(227,497	)		(227,703	)
	19,980		05/31/23		1.578%		3 Month LIBOR(1)		(18,314	)		(526,851	)		(508,537	)
	3,950		05/31/23		1.584%		3 Month LIBOR(1)		172			(105,562	)		(105,734	)
ZAR	63,800		08/26/20		7.855%		3 Month JIBAR(2)		(14,698	)		4,757			19,455
ZAR	20,000		10/22/23		7.625%		3 Month JIBAR(2)		3,049			(38,148	)		(41,197	)
ZAR	38,300		11/14/23		8.190%		3 Month JIBAR(2)		(36,838	)		7,289			44,127
ZAR	1,800		01/12/25		7.430%		3 Month JIBAR(2)		921			(6,199	)		(7,120	)

SEE NOTES TO FINANCIAL STATEMENTS.

A52

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

Interest rate swap agreements outstanding at June 30, 2016 (continued):

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2016			Unrealized Appreciation (Depreciation)
	Centrally cleared swap agreements (continued):
ZAR	14,500		01/13/25		7.440%	3 Month JIBAR(2)	$	27,681		$	(49,332	)	$	(77,013	)
ZAR	8,100		01/11/26		9.330%	3 Month JIBAR(2)		513			37,039			36,526
ZAR	8,300		01/11/26		9.330%	3 Month JIBAR(2)		525			37,954			37,429
							$	(272,736	)	$	(19,779,718	)	$	(19,506,982	)

(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, 2016:

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(4)		Implied Credit Spread at June 30, 2016(5)			Value at Trade Date		Value at June 30, 2016		Unrealized Appreciation (Depreciation)
Centrally cleared credit default swaps on corporate issues—Sell Protection(2):
Citigroup, Inc.		06/20/18		5.000%		5,450		1.726	%	$	348,357	$	343,372	$(4,985)
General Motors Co.		06/20/19		5.000%		3,640		1.166	%		409,756		402,941	(6,815)
General Motors Co.		06/20/21		5.000%		1,300		1.777	%		195,696		191,907	(3,789)
										$	953,809	$	938,220	$(15,589)

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(4)		Value at Trade Date			Value at June 30, 2016(3)			Unrealized Appreciation (Depreciation)
Centrally cleared credit default swaps on credit indices—Buy Protection(1):
CDX.NA.HY.26.V1		06/20/21		5.000%		13,900	$	(298,850	)	$	(447,406	)	$	(148,556	)

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(4)		Fair Value(3)		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)		Counterparty
OTC credit default swaps on asset-backed securities—Sell Protection(2)(b):
Ameriquest Home Equity		07/29/16		1.500%		177	$	7	$	—	$	7	Goldman Sachs & Co.
Ameriquest Home Equity		07/29/16		1.500%		149		6		—		6	Goldman Sachs & Co.
Ameriquest Home Equity		07/29/16		1.500%		225		9		—		9	Goldman Sachs & Co.
Ameriquest Home Equity		07/29/16		1.500%		252		11		—		11	Goldman Sachs & Co.
Ameriquest Home Equity		07/29/16		1.500%		135		6		—		6	Goldman Sachs & Co.
Ameriquest Home Equity		07/29/16		1.500%		310		13		—		13	Goldman Sachs & Co.
Ameriquest Home Equity		07/29/16		1.500%		547		23		—		23	Goldman Sachs & Co.
Bank of America Prime Mortgage		07/29/16		1.500%		800		33		—		33	Goldman Sachs & Co.
Bear Stearns Asset Backed Securities Trust		07/29/16		1.500%		503		21		—		21	Goldman Sachs & Co.
Bear Stearns Asset Backed Securities Trust		07/29/16		1.500%		154		6		—		6	Goldman Sachs & Co.
Chase Mortgage		07/29/16		1.500%		635		26		—		26	Goldman Sachs & Co.
Chase Mortgage		07/29/16		1.500%		449		19		—		19	Goldman Sachs & Co.
Chase Mortgage		07/29/16		1.500%		176		7		—		7	Goldman Sachs & Co.
Citibank Mortgage		07/29/16		1.500%		195		8		—		8	Goldman Sachs & Co.
Citigroup Commercial Mortgage Trust		07/22/16		1.500%		42		57		—		57	Goldman Sachs & Co.
Citigroup Commercial Mortgage Trust		07/22/16		1.500%		337		449		—		449	Goldman Sachs & Co.
Citigroup Mortgage Loan Trust		07/29/16		1.500%		166		7		—		7	Goldman Sachs & Co.
Citigroup Mortgage Loan Trust		07/29/16		1.500%		160		7		—		7	Goldman Sachs & Co.
COMM Mortgage Trust		07/22/16		1.500%		116		155		—		155	Goldman Sachs & Co.
COMM Mortgage Trust		07/22/16		1.500%		52		69		—		69	Goldman Sachs & Co.
COMM Mortgage Trust		07/22/16		1.500%		56		75		—		75	Goldman Sachs & Co.
COMM Mortgage Trust		07/22/16		1.500%		718		957		—		957	Goldman Sachs & Co.

SEE NOTES TO FINANCIAL STATEMENTS.

A53

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

Credit default swap agreements outstanding at June 30, 2016 (continued):

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(4)		Fair Value(3)		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)		Counterparty
OTC credit default swaps on asset-backed securities—Sell Protection(2)(b) (continued):
COMM Mortgage Trust		07/22/16		1.500%		465	$	620	$	—	$	620	Goldman Sachs & Co.
COMM Mortgage Trust		07/22/16		1.500%		433		577		—		577	Goldman Sachs & Co.
Commercial Mortgage Pass Through Certificate		07/22/16		1.500%		93		124		—		124	Goldman Sachs & Co.
Countrywide Home Equity		07/29/16		1.500%		421		18		—		18	Goldman Sachs & Co.
Federal Home Loan Mortgage Corp.		07/01/16		1.500%		446		573		—		573	Goldman Sachs & Co.
Federal Home Loan Mortgage Corp.		07/01/16		1.500%		1,501		1,933		—		1,933	Goldman Sachs & Co.
Federal Home Loan Mortgage Corp.		07/01/16		1.500%		127		163		—		163	Goldman Sachs & Co.
GS Mortgage Securities Trust		07/22/16		1.500%		130		173		—		173	Goldman Sachs & Co.
GS Mortgage Securities Trust		07/22/16		1.500%		373		498		—		498	Goldman Sachs & Co.
GS Mortgage Securities Trust		07/22/16		1.500%		213		283		—		283	Goldman Sachs & Co.
GS Mortgage Securities Trust		07/22/16		1.500%		254		338		—		338	Goldman Sachs & Co.
GS Mortgage Securities Trust		07/22/16		1.500%		1,334		1,779		—		1,779	Goldman Sachs & Co.
GS Mortgage Securities Trust		07/22/16		1.500%		107		142		—		142	Goldman Sachs & Co.
GS Mortgage Securities Trust		07/22/16		1.500%		88		118		—		118	Goldman Sachs & Co.
GS Mortgage Securities Trust		07/22/16		1.500%		157		210		—		210	Goldman Sachs & Co.
GS Mortgage Securities Trust		07/22/16		1.500%		429		571		—		571	Goldman Sachs & Co.
GSAMP Home Equity		07/29/16		1.500%		219		9		—		9	Goldman Sachs & Co.
JPMBB Commercial Mortgage Securities Trust		07/22/16		1.500%		222		296		—		296	Goldman Sachs & Co.
Lehman Home Equity		07/29/16		1.500%		479		20		—		20	Goldman Sachs & Co.
LNR CDO Ltd.		07/11/16		1.500%		2,304		3,104		—		3,104	Goldman Sachs & Co.
Long Beach Home Equity		07/29/16		1.500%		329		14		—		14	Goldman Sachs & Co.
Morgan Stanley BAML Trust		07/22/16		1.500%		98		130		—		130	Goldman Sachs & Co.
Morgan Stanley BAML Trust		07/22/16		1.500%		84		112		—		112	Goldman Sachs & Co.
Morgan Stanley BAML Trust		07/22/16		1.500%		452		602		—		602	Goldman Sachs & Co.
Morgan Stanley Home Equity		07/29/16		1.500%		303		13		—		13	Goldman Sachs & Co.
New Century Home Equity		07/29/16		1.500%		366		15		—		15	Goldman Sachs & Co.
Option One Home Equity		07/29/16		1.500%		918		38		—		38	Goldman Sachs & Co.
Option One Home Equity		07/29/16		1.500%		407		17		—		17	Goldman Sachs & Co.
Wells Fargo Home Equity		07/29/16		1.500%		115		5		—		5	Goldman Sachs & Co.
WF-RBS Commercial Mortgage Trust		07/22/16		1.500%		61		81		—		81	Goldman Sachs & Co.
WF-RBS Commercial Mortgage Trust		07/22/16		1.500%		856		1,141		—		1,141	Goldman Sachs & Co.
WMC Home Equity		07/29/16		1.500%		560		23		—		23	Goldman Sachs & Co.
							$	15,711	$	—	$	15,711

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(4)		Implied Credit Spread at June 30, 2016(5)			Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
OTC credit default swaps on corporate issues—Buy Protection(1):
American International Group, Inc.		03/20/18		3.700%		3,700		0.307	%	$	(220,336	)	$	—	$	(220,336	)	Deutsche Bank AG
R.R. Donnelley & Sons Co.		09/20/16		1.000%		4,750		0.359	%		(8,373	)		229,661		(238,034	)	JPMorgan Chase
										$	(228,709	)	$	229,661	$	(458,370	)

SEE NOTES TO FINANCIAL STATEMENTS.

A54

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

Credit default swap agreements outstanding at June 30, 2016 (continued):

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(4)		Implied Credit Spread at June 30, 2016(5)			Fair Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)			Counterparty
OTC credit default swaps on sovereign issues—Sell Protection(2):
Kingdom of Spain		12/20/20		1.000%		9,755		1.022	%	$	(6,568	)	$	(18,430	)	$	11,862		JPMorgan Chase
Petroleo Brasileriro SA		06/20/18		1.000%		2,250		4.242	%		(137,789	)		(172,518	)		34,729		Morgan Stanley
Republic of Italy		09/20/20		1.000%		9,680		1.413	%		(158,410	)		44,911			(203,321	)	JPMorgan Chase
Republic of Italy		09/20/20		1.000%		2,000		1.413	%		(32,729	)		5,761			(38,490	)	JPMorgan Chase
										$	(335,496	)	$	(140,276	)	$	(195,220	)

Cash of $8,201,000 and U.S. Treasury obligations with a combined market value of $14,121,835 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate and credit default swap contracts at June 30, 2016.

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

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

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

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

(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 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.

Currency swap agreements outstanding at June 30, 2016:

Notional Amount (000)#		Fund Receives		Notional Amount (000)#			Fund Pays	Counterparty	Termination Date	Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)
	OTC currency swap agreements:
	502		3 Month LIBOR		JPY	50,000	3 Month JPY LIBOR minus 54.00 bps	Barclays Capital Group	10/12/16	$	17,935	$	—	$	17,935
	278		3 Month LIBOR		EUR	240	3 Month EURIBOR minus 24.50 bps	Citigroup Global Markets	01/16/17		12,995		—		12,995
	1,541		3 Month LIBOR plus 432 bps		JPY	120,000	3.450%	Citigroup Global Markets	03/24/17		383,720		10,186		373,534
	5,882		3 Month LIBOR		JPY	600,000	3 Month JPY LIBOR minus 31.25 bps	Deutsche Bank AG	05/14/17		56,916		—		56,916

SEE NOTES TO FINANCIAL STATEMENTS.

A55

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

Currency swap agreements outstanding at June 30, 2016 (continued):

Notional Amount (000)#		Fund Receives		Notional Amount (000)#			Fund Pays	Counterparty	Termination Date		Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)
	OTC currency swap agreements (continued):
	1,157		3 Month LIBOR		EUR	900	3 Month EURIBOR minus 31.75 bps	Hong Kong & Shanghai Bank		09/28/17	$	157,808		$	—	$	157,808
JPY	265,000		3 Month JPY LIBOR minus 43.35 bps			2,250	3 Month LIBOR	JPMorgan Chase		11/26/16		317,983			—		317,983
JPY	1,060,000		3 Month JPY LIBOR minus 42.10 bps			8,979	3 Month LIBOR	JPMorgan Chase		11/28/16		1,291,059			—		1,291,059
	13,099		3 Month LIBOR		EUR	11,400	3 Month EURIBOR minus 26.95 bps	JPMorgan Chase		02/17/17		455,554			—		455,554
	1,003		3 Month LIBOR		EUR	900	(0.613)%	JPMorgan Chase		02/22/20		1,721			—		1,721
	2,348		3 Month LIBOR		JPY	264,000	3 Month JPY LIBOR minus 99.25 bps	JPMorgan Chase		04/03/20		8,331			—		8,331
	17,098		3 Month LIBOR		JPY	1,920,000	3 Month JPY LIBOR minus 98.63 bps	JPMorgan Chase		04/06/20		56,709			—		56,709
	719		3 Month LIBOR		EUR	640	(0.443)%	JPMorgan Chase		08/22/21		1,982			—		1,982
	2,250		3 Month LIBOR		JPY	265,000	3 Month JPY LIBOR minus 69.88 bps	JPMorgan Chase		11/26/24		(372,374	)		—		(372,374	)
	8,979		3 Month LIBOR		JPY	1,060,000	3 Month JPY LIBOR minus 67.32 bps	JPMorgan Chase		11/28/24		(1,531,965	)		—		(1,531,965	)
											$	858,374		$	10,186	$	848,188

Total return swap agreements outstanding at June 30, 2016:

Counterparty	Termination Date		Long (Short) Notional Amount (000)#		Description	Fair Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)(1)
OTC total return swap agreements:
Deutsche Bank AG		09/08/16		2,400	Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip	$	168,941		$	—		$	168,941
Deutsche Bank AG		09/08/16		2,400	Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip		133,692			—			133,692
Deutsche Bank AG		09/08/16		1,200	Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip		52,811			—			52,811
Deutsche Bank AG		09/08/16		1,200	Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip		37,953			—			37,953
Credit Suisse First Boston Corp.		01/12/41		6,054	Pay variable payments based on 1 Month LIBOR and receives fixed payments based on the IOS.FN30.450.10 Index		(69,876	)		(17,336	)		(52,540	)
						$	323,521		$	(17,336	)	$	340,857

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

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.

SEE NOTES TO FINANCIAL STATEMENTS.

A56

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

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

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

The following is a summary of the inputs used as of June 30, 2016 in valuing such portfolio securities:

	Level 1		Level 2			Level 3
Investments in Securities
Asset-Backed Securities
Collateralized Loan Obligations	$	—	$	48,016,019		$	—
Non-Residential Mortgage-Backed Securities		—		25,585,557			—
Residential Mortgage-Backed Securities		—		61,641,792			—
Bank Loans		—		34,774,011			4,258,260
Commercial Mortgage-Backed Securities		—		130,143,318			—
Corporate Bonds		—		529,682,582			—
Foreign Agencies		—		20,043,519			—
Municipal Bonds		—		21,552,243			—
Residential Mortgage-Backed Securities		—		46,121,715			10,090,304
Sovereign Bonds		—		45,891,960			—
U.S. Government Agency Obligations		—		15,969,818			—
U.S. Treasury Obligations		—		23,170,462			—
Preferred Stocks		2,112,550		—			—
Affiliated Mutual Funds		107,055,117		—			—
Other Financial Instruments*
Futures Contracts		17,852,609		—			—
OTC Forward Foreign Currency Exchange Contracts		—		883,876			—
Centrally Cleared Interest Rate Swap Agreements		—		(19,506,982	)		—
OTC Interest Rate Swap Agreements		—		154,584			—
Centrally Cleared Credit Default Swap Agreements		—		(164,145	)		—
OTC Credit Default Swap Agreements		—		(564,205	)		15,711
OTC Currency Swap Agreements		—		858,374			—
OTC Total Return Swap Agreements		—		323,521			—
Total	$	127,020,276	$	984,578,019		$	14,364,275

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

	Bank Loans			Residential Mortgage-Backed Securities			Credit Default Swaps
Balance as of 12/31/15	$	—		$	18,076,943		$	2,839
Realized gain (loss)		74			30,513			—
Change in unrealized appreciation (depreciation)**		25,516			(56,938	)		12,872
Purchases		4,235,000			595,239			—
Sales		(3,875	)		(3,752,298	)		—
Accrued discount/premium		1,545			11,765			—
Transfers into Level 3		—			—			—
Transfers out of Level 3		—			(4,814,920	)		—
Balance as of 06/30/16	$	4,258,260		$	10,090,304		$	15,711

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

** Of which, $(15,710) was relating to securities held at the reporting period end.

SEE NOTES TO FINANCIAL STATEMENTS.

A57

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

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, 2016		Valuation Methodology		Unobservable Inputs
Bank Loans	$	4,258,260		Market Approach	Single Broker Indicative Quote
Credit Default Swap Agreements		15,711		Model Pricing	Discretionary Volatility Factor and/or Discount Rate
Residential Mortgage-Backed Securities		10,090,304		Market Approach	Single Broker Indicative Quote
	$	14,364,275

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
Residential Mortgage-Backed Securities		4,814,920		L3 to L2		Single Broker Indicative Quote to Evaluated Bid

The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of June 30, 2016 were as follows:

Commercial Mortgage-Backed Securities	11.5	%
Banks	10.9
Residential Mortgage-Backed Securities	10.4
Affiliated Mutual Funds (including 0.4% of collateral for securities on loan)	9.4
Collateralized Loan Obligations	4.2
Sovereign Bonds	4.0
Electric	4.0
Media	3.6
Insurance	2.9
Healthcare-Services	2.6
Telecommunications	2.5
Non-Residential Mortgage-Backed Securities	2.3
U.S. Treasury Obligations	2.0
Municipal Bonds	1.9
Chemicals	1.8
Foreign Agencies	1.8
Commercial Services	1.4
Technology	1.4
U.S. Government Agency Obligations	1.4
Oil & Gas	1.1
Food	1.1
Diversified Financial Services	1.0
Pharmaceuticals	0.9
Home Builders	0.9
Software	0.8
Retail	0.8
Auto Manufacturers	0.8
Computers	0.7
Healthcare-Products	0.7
Semiconductors	0.6
Airlines	0.6
Packaging & Containers	0.6
Healthcare & Pharmaceutical	0.6
Building Materials	0.5
Miscellaneous Manufacturing	0.5
Real Estate Investment Trusts (REITs)	0.5

Lodging	0.5	%
Agriculture	0.5
Mining	0.4
Beverages	0.4
Machinery-Diversified	0.4
Pipelines	0.4
Forest Products & Paper	0.3
Entertainment	0.3
Biotechnology	0.3
Aerospace & Defense	0.3
Environmental Control	0.2
Banking	0.2
Apparel	0.2
Transportation Services	0.2
Savings & Loans	0.2
Consumer	0.1
Gaming	0.1
Gas	0.1
Energy – Alternate Sources	0.1
Transportation	0.1
Auto Parts & Equipment	0.1
Retailers	0.1
Automotive	0.1
Leisure Time	0.1
Multi-National	0.1
Office & Business Equipment	0.1
Electronics	0.1
Diversified Manufacturing	0.1
Supermarkets	0.1
Housewares	0.1
Home Furnishings	0.1
Oil & Gas Services	0.1
	99.2
Other assets in excess of liabilities	0.8
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A58

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

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

Fair values of derivative instruments as of June 30, 2016 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	$	164,145	*
Credit contracts	Premiums paid for OTC swap agreements		280,333		Premiums received for OTC swap agreements		190,948
Credit contracts	Unrealized appreciation on OTC swap agreements		62,302		Unrealized depreciation on OTC swap agreements		700,181
Foreign exchange contracts	Unrealized appreciation on OTC forward foreign currency exchange contracts		883,876		—		—
Interest rate contracts	Due from/to broker — variation margin futures		19,976,211	*	Due from/to broker — variation margin futures		2,123,602	*
Interest rate contracts	Due from/to broker — variation margin swaps		645,554	*	Due from/to broker — variation margin swaps		20,152,536	*
Interest rate contracts	Premiums paid for OTC swap agreements		10,186		Premiums received for OTC swap agreements		17,336
Interest rate contracts	Unrealized appreciation on OTC swap agreements		3,300,508		Unrealized depreciation on OTC swap agreements		1,956,879
Total		$	25,158,970			$	25,305,627

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

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2016 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Options Purchased*			Options Written			Futures		Forward Rate Agreements		Forward Foreign Currency Exchange Contracts**		Swaps			Total
Credit contracts	$	(518,630	)	$	265,120		$	—	$	—	$	—	$	(1,081,499	)	$	(1,335,009	)
Foreign exchange contracts		—			—			—		—		5,848,446		—			5,848,446
Interest rate contracts		158,325			(261,208	)		21,473,253		94,614		—		(2,819,103	)		18,645,881
Total	$	(360,305	)	$	3,912		$	21,473,253	$	94,614	$	5,848,446	$	(3,900,602	)	$	23,159,318

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

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

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Options Purchased*		Options Written			Futures		Forward Foreign Currency Exchange Contracts**		Swaps			Total
Credit contracts	$	357,855	$	(209,859	)	$	—	$	—	$	599,284		$	747,280
Foreign exchange contracts		—		—			—		521,590		—			521,590
Interest rate contracts		428,204		(284,376	)		18,430,766		—		(19,101,219	)		(526,625	)
Total	$	786,059	$	(494,235	)	$	18,430,766	$	521,590	$	(18,501,935	)	$	742,245

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A59

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

For the six months ended June 30, 2016, 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)
$854,359	$231,743	$791,752,840	$114,662,177	$5,861,222
Forward Foreign Currency Exchange Contracts—Sold(3)	Interest Rate Swap Agreements(4)	Credit Default Swap Agreements Buy Protection(4)	Credit Default Swap Agreements Sell Protection(4)	Currency Swap Agreements(4)
$24,065,580	$675,683	$22,350	$60,090	$59,493
		Total Return Swap Agreements(4)
		$11,217

(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:

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			Net Amount
Barclays Capital Group	$	17,935	$	—		$	—		$	17,935
BNP Paribas		16,251		—			—			16,251
Citigroup Global Markets		975,984		—			(975,984	)		—
Credit Suisse First Boston Corp.		81,463		(69,876	)		(11,587	)		—
Deutsche Bank AG		725,200		(220,336	)		(271,027	)		233,837
Goldman & Sachs Co.		15,711		—			—			15,711
JPMorgan Chase		2,450,549		(2,402,614	)		—			47,935
Hong Kong & Shanghai Bank		199,476		—			—			199,476
Morgan Stanley		34,729		(34,729	)		—			—
UBS AG		19,907		—			—			19,907
	$	4,537,205

Counterparty	Gross amounts of recognized liabilities(2)			Gross amounts available for offset		Collateral Pledged		Net Amount
Barclays Capital Group	$	—		$	—	$	—	$	—
BNP Paribas		—			—		—		—
Citigroup Global Markets		—			—		—		—
Credit Suisse First Boston Corp.		(69,876	)		69,876		—		—
Deutsche Bank AG		(220,336	)		220,336		—		—
Goldman & Sachs Co.		—			—		—		—
JPMorgan Chase		(2,402,614	)		2,402,614		—		—
Hong Kong & Shanghai Bank		—			—		—		—
Morgan Stanley		(172,518	)		34,729		—		(137,789	)
UBS AG		—			—		—		—
	$	(2,865,344	)

(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.

SEE NOTES TO FINANCIAL STATEMENTS.

A60

DIVERSIFIED BOND PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2016

ASSETS
Investments at value, including securities on loan of $4,916,595:
Unaffiliated investments (cost $980,472,097)	$	1,019,054,110
Affiliated investments (cost $111,112,817)		107,055,117
Cash		151,250
Foreign currency, at value (cost $423,167)		423,848
Dividends and interest receivable		9,752,458
Deposit with broker for futures and centrally cleared swaps		9,351,000
Unrealized appreciation on OTC swap agreements		3,362,810
Unrealized appreciation on OTC forward foreign currency exchange contracts		883,876
Receivable for investments sold		541,029
Premium paid for OTC swap agreements		290,519
Due from broker—variation margin swaps		55,421
Tax reclaim receivable		52,846
Receivable for Series shares sold		2,770
Prepaid expenses		1,150
Total Assets		1,150,978,204
LIABILITIES
Payable for investments purchased		7,019,595
Payable to broker for collateral for securities on loan		5,006,241
Unrealized depreciation on OTC swap agreements		2,657,060
Management fee payable		370,024
Accrued expenses and other liabilities		252,562
Due to broker—variation margin futures		236,245
Premium received for OTC swap agreements		208,284
Payable for Series shares repurchased		186,075
Deferred trustees’ fees		1,395
Affiliated transfer agent fee payable		980
Total Liabilities		15,938,461
NET ASSETS	$	1,135,039,743
Net assets were comprised of:
Paid-in capital	$	963,843,504
Retained earnings		171,196,239
Net assets, June 30, 2016	$	1,135,039,743
Net asset value and redemption price per share $1,135,039,743 / 91,333,054 outstanding shares of beneficial interest	$	12.43

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2016

NET INVESTMENT INCOME (LOSS)
INCOME
Interest income (net of foreign withholding taxes of $2,048)	$	21,388,480
Affiliated dividend income		676,337
Affiliated income from securities lending, net		80,604
Unaffiliated dividend income		47,225
Total income		22,192,646
EXPENSES
Management fee		2,203,792
Shareholders’ reports		152,000
Custodian and accounting fees		97,000
Audit fee		25,000
Trustees’ fees		10,000
Legal fees and expenses		9,000
Insurance expenses		7,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Miscellaneous		10,359
Total expenses		2,520,151
NET INVESTMENT INCOME (LOSS)		19,672,495
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		(2,564,774	)
Futures transactions		21,473,253
Options written transactions		3,912
Forward rate agreement transactions		94,614
Swap agreement transactions		(3,900,602	)
Foreign currency transactions		7,903
		15,114,306
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $186,229)		38,192,225
Futures		18,430,766
Options written		(494,235	)
Swap agreements		(18,501,935	)
Foreign currencies		526,203
		38,153,024
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		53,267,330
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	72,939,825

STATEMENT OF CHANGES IN NET ASSETS (unaudited)

	Six Months Ended June 30, 2016			Year Ended December 31, 2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	19,672,495		$	37,422,495
Net realized gain (loss) on investment and foreign currency transactions		15,114,306			6,161,154
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		38,153,024			(45,769,143	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		72,939,825			(2,185,494	)
SERIES SHARE TRANSACTIONS
Series shares sold [1,233,605 and 8,670,539 shares, respectively]		14,837,897			101,626,083
Series shares repurchased [3,133,673 and 7,014,473 shares, respectively]		(37,652,548	)		(82,418,630	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(22,814,651	)		19,207,453
Capital Contributions (Note 4)		20,597			—
TOTAL INCREASE (DECREASE)		50,145,771			17,021,959
NET ASSETS:
Beginning of period		1,084,893,972			1,067,872,013
End of period	$	1,135,039,743		$	1,084,893,972

SEE NOTES TO FINANCIAL STATEMENTS.

A61

	EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

LONG-TERM INVESTMENTS — 97.3%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 1.8%
Boeing Co. (The)		216,936	$	28,173,478
United Technologies Corp.		342,940		35,168,497
				63,341,975
Automobiles — 0.5%
Tesla Motors, Inc.*(a)		90,083		19,122,819
Banks — 6.1%
Bank of America Corp.		2,536,469		33,658,944
Citigroup, Inc.		947,408		40,160,625
JPMorgan Chase & Co.		949,886		59,025,916
PNC Financial Services Group, Inc. (The)		385,281		31,358,020
Wells Fargo & Co.		1,106,578		52,374,337
				216,577,842
Beverages — 0.7%
Monster Beverage Corp.*		165,275		26,561,345
Biotechnology — 6.1%
AbbVie, Inc.		316,310		19,582,752
Alexion Pharmaceuticals, Inc.*		253,230		29,567,135
Biogen, Inc.*		49,997		12,090,275
BioMarin Pharmaceutical, Inc.*		252,029		19,607,856
Celgene Corp.*		409,276		40,366,892
Regeneron Pharmaceuticals, Inc.*		68,317		23,858,346
Shire PLC, ADR		384,544		70,786,859
				215,860,115
Capital Markets — 1.4%
Goldman Sachs Group, Inc. (The)		224,319		33,329,317
Morgan Stanley		607,206		15,775,212
				49,104,529
Chemicals — 1.2%
Dow Chemical Co. (The)		341,726		16,987,200
FMC Corp.		537,139		24,874,907
				41,862,107
Communications Equipment — 0.3%
Palo Alto Networks, Inc.*		100,725		12,352,914
Consumer Finance — 1.6%
Capital One Financial Corp.		478,764		30,406,302
SLM Corp.*		4,118,457		25,452,064
				55,858,366
Diversified Financial Services — 0.5%
Voya Financial, Inc.		690,597		17,099,182
Electric Utilities — 2.5%
FirstEnergy Corp.		1,070,948		37,386,795
PG&E Corp.		811,534		51,873,253
				89,260,048
Electrical Equipment — 1.0%
Eaton Corp. PLC		584,169		34,892,414
Electronic Equipment, Instruments & Components — 0.8%
Flextronics International Ltd.*		2,332,017		27,517,801
Energy Equipment & Services — 1.5%
Halliburton Co.		1,141,382		51,693,191

COMMON STOCKS (continued)	Shares		Value (Note 2)
Food & Staples Retailing — 1.9%
Costco Wholesale Corp.		240,931	$	37,835,804
Kroger Co. (The)		758,324		27,898,740
				65,734,544
Food Products — 2.7%
ConAgra Foods, Inc.		924,110		44,181,699
Mondelez International, Inc. (Class A Stock)		1,137,174		51,752,789
				95,934,488
Health Care Equipment & Supplies — 0.9%
Zimmer Biomet Holdings, Inc.		269,499		32,442,290
Health Care Providers & Services — 0.9%
Laboratory Corp. of America Holdings*		239,850		31,245,259
Hotels, Restaurants & Leisure — 3.9%
Carnival Corp.		776,610		34,326,162
Marriott International, Inc. (Class A Stock)(a)		621,251		41,288,341
McDonald’s Corp.		247,546		29,789,686
Starbucks Corp.		602,807		34,432,336
				139,836,525
Household Products — 1.3%
Procter & Gamble Co. (The)		550,472		46,608,464
Industrial Conglomerates — 1.2%
General Electric Co.		1,309,466		41,221,990
Insurance — 2.0%
Chubb Ltd.		344,194		44,989,598
MetLife, Inc.		616,042		24,536,953
				69,526,551
Internet & Catalog Retail — 5.5%
Amazon.com, Inc.*		173,835		124,399,803
Netflix, Inc.*		394,594		36,097,459
Priceline Group, Inc. (The)*		28,086		35,062,843
				195,560,105
Internet Software & Services — 9.7%
Alibaba Group Holding Ltd. (China), ADR*(a)		529,337		42,098,171
Alphabet, Inc. (Class A Stock)*		74,560		52,455,197
Alphabet, Inc. (Class C Stock)*		75,955		52,568,455
eBay, Inc.*		917,680		21,482,889
Facebook, Inc. (Class A Stock)*		992,643		113,439,242
Tencent Holdings Ltd. (China)		2,622,314		60,155,027
				342,198,981
IT Services — 3.1%
MasterCard, Inc. (Class A Stock)		395,716		34,846,751
Visa, Inc. (Class A Stock)(a)		1,029,071		76,326,196
				111,172,947
Life Sciences Tools & Services — 0.3%
Illumina, Inc.*		70,770		9,934,693
Media — 2.0%
Comcast Corp. (Class A Stock)		551,070		35,924,253
Walt Disney Co. (The)		352,973		34,527,819
				70,452,072

SEE NOTES TO FINANCIAL STATEMENTS.

A62

	EQUITY PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Multiline Retail — 1.0%
Target Corp.		495,063	$	34,565,299
Oil, Gas & Consumable Fuels — 4.7%
Chevron Corp.		505,812		53,024,272
Noble Energy, Inc.		813,947		29,196,279
Occidental Petroleum Corp.		618,390		46,725,548
Suncor Energy, Inc. (Canada)		1,287,374		35,713,057
				164,659,156
Pharmaceuticals — 8.4%
Allergan PLC*		335,638		77,562,586
Bristol-Myers Squibb Co.		752,353		55,335,563
Merck & Co., Inc.		661,902		38,132,174
Novo Nordisk A/S (Denmark), ADR		576,932		31,027,403
Pfizer, Inc.		1,430,321		50,361,602
Teva Pharmaceutical Industries Ltd. (Israel), ADR		930,996		46,763,929
				299,183,257
Real Estate Investment Trusts (REITs) — 0.8%
American Tower Corp.		254,408		28,903,293
Road & Rail — 0.4%
Ryder System, Inc.		251,200		15,358,368
Semiconductors & Semiconductor Equipment — 2.2%
NXP Semiconductors NV (Netherlands)*		241,698		18,934,621
QUALCOMM, Inc.		332,977		17,837,578
Texas Instruments, Inc.		631,243		39,547,374
				76,319,573
Software — 9.1%
Adobe Systems, Inc.*		538,190		51,553,220
Microsoft Corp.		1,574,369		80,560,462
PTC, Inc.*		872,770		32,798,696
Red Hat, Inc.*		495,847		35,998,492
salesforce.com, Inc.*		868,870		68,996,967
Splunk, Inc.*		457,707		24,798,565
Workday, Inc. (Class A Stock)*(a)		369,025		27,555,097
				322,261,499
Specialty Retail — 3.5%
Home Depot, Inc. (The)		293,163		37,433,984
Industria de Diseno Textil SA (Spain), ADR		3,195,593		53,238,579
O’Reilly Automotive, Inc.*		118,654		32,167,099
				122,839,662
Technology Hardware, Storage & Peripherals — 2.2%
Apple, Inc.		828,426		79,197,526
Textiles, Apparel & Luxury Goods — 2.6%
adidas AG (Germany), ADR		199,355		14,291,760
Coach, Inc.		803,207		32,722,653
NIKE, Inc. (Class B Stock)		827,764		45,692,573
				92,706,986

COMMON STOCKS (continued)	Shares		Value (Note 2)
Wireless Telecommunication Services — 1.0%
Vodafone Group PLC (United Kingdom), ADR		1,137,940	$	35,150,967
TOTAL LONG-TERM INVESTMENTS (cost $2,604,414,197)				3,444,119,143
SHORT-TERM INVESTMENT — 6.0%
AFFILIATED MUTUAL FUND
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund (cost $214,386,877; includes $131,778,076 of cash collateral for securities on loan)(b)(c)(Note 4)		214,386,877		214,386,877
TOTAL INVESTMENTS — 103.3% (cost $2,818,801,074)				3,658,506,020
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.3)%				(118,276,398	)
NET ASSETS — 100.0%			$	3,540,229,622

See the Glossary for abbreviations used in the semiannual report.

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $131,124,392; cash collateral of $131,778,076 (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) 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 Ultra Short Bond 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.

A63

	EQUITY PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

The following is a summary of the inputs used as of June 30, 2016 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	63,341,975	$	—	$	—
Automobiles		19,122,819		—		—
Banks		216,577,842		—		—
Beverages		26,561,345		—		—
Biotechnology		215,860,115		—		—
Capital Markets		49,104,529		—		—
Chemicals		41,862,107		—		—
Communications Equipment		12,352,914		—		—
Consumer Finance		55,858,366		—		—
Diversified Financial Services		17,099,182		—		—
Electric Utilities		89,260,048		—		—
Electrical Equipment		34,892,414		—		—
Electronic Equipment, Instruments & Components		27,517,801		—		—
Energy Equipment & Services		51,693,191		—		—
Food & Staples Retailing		65,734,544		—		—
Food Products		95,934,488		—		—
Health Care Equipment & Supplies		32,442,290		—		—
Health Care Providers & Services		31,245,259		—		—
Hotels, Restaurants & Leisure		139,836,525		—		—
Household Products		46,608,464		—		—
Industrial Conglomerates		41,221,990		—		—
Insurance		69,526,551		—		—
Internet & Catalog Retail		195,560,105		—		—
Internet Software & Services		282,043,954		60,155,027		—
IT Services		111,172,947		—		—
Life Sciences Tools & Services		9,934,693		—		—
Media		70,452,072		—		—
Multiline Retail		34,565,299		—		—
Oil, Gas & Consumable Fuels		164,659,156		—		—
Pharmaceuticals		299,183,257		—		—
Real Estate Investment Trusts (REITs)		28,903,293		—		—
Road & Rail		15,358,368		—		—
Semiconductors & Semiconductor Equipment		76,319,573		—		—
Software		322,261,499		—		—
Specialty Retail		122,839,662		—		—
Technology Hardware, Storage & Peripherals		79,197,526		—		—
Textiles, Apparel & Luxury Goods		92,706,986		—		—
Wireless Telecommunication Services		35,150,967		—		—
Affiliated Mutual Fund		214,386,877		—		—
Total	$	3,598,350,993	$	60,155,027	$	—

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2016 were as follows:

Internet Software & Services	9.7	%
Software	9.1
Pharmaceuticals	8.4
Banks	6.1
Biotechnology	6.1
Affiliated Mutual Fund (including 3.7% of collateral for securities on loan)	6.0
Internet & Catalog Retail	5.5
Oil, Gas & Consumable Fuels	4.7
Hotels, Restaurants & Leisure	3.9
Specialty Retail	3.5
IT Services	3.1

Food Products	2.7	%
Textiles, Apparel & Luxury Goods	2.6
Electric Utilities	2.5
Technology Hardware, Storage & Peripherals	2.2
Semiconductors & Semiconductor Equipment	2.2
Media	2.0
Insurance	2.0
Food & Staples Retailing	1.9
Aerospace & Defense	1.8
Consumer Finance	1.6
Energy Equipment & Services	1.5
Capital Markets	1.4

SEE NOTES TO FINANCIAL STATEMENTS.

A64

	EQUITY PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

Industry table (cont.)
Household Products	1.3	%
Chemicals	1.2
Industrial Conglomerates	1.2
Wireless Telecommunication Services	1.0
Electrical Equipment	1.0
Multiline Retail	1.0
Health Care Equipment & Supplies	0.9
Health Care Providers & Services	0.9
Real Estate Investment Trusts (REITs)	0.8
Electronic Equipment, Instruments & Components	0.8

Beverages	0.7	%
Automobiles	0.5
Diversified Financial Services	0.5
Road & Rail	0.4
Communications Equipment	0.3
Life Sciences Tools & Services	0.3
	103.3
Liabilities in excess of other assets	(3.3	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A65

EQUITY PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2016

ASSETS
Investments at value, including securities on loan of $131,124,392:
Unaffiliated investments (cost $2,604,414,197)	$	3,444,119,143
Affiliated investments (cost $214,386,877)		214,386,877
Receivable for investments sold		23,032,947
Dividends receivable		4,896,712
Tax reclaim receivable		1,782,711
Receivable for Series shares sold		5,394
Prepaid expenses		4,453
Total assets		3,688,228,237
LIABILITIES
Payable to broker for collateral for securities on loan		131,778,076
Payable for investments purchased		14,055,086
Management fee payable		1,318,456
Payable for Series shares repurchased		610,852
Accrued expenses		234,127
Affiliated transfer agent fee payable		980
Distribution fee payable		398
Deferred trustees’ fees		325
Administration fee payable		315
Total liabilities		147,998,615
NET ASSETS	$	3,540,229,622
Net assets were comprised of:
Paid-in capital	$	1,777,219,339
Retained earnings		1,763,010,283
Net assets, June 30, 2016	$	3,540,229,622
Class I:
Net asset value and redemption price per share $3,538,447,263 / 94,381,338 outstanding shares of beneficial interest	$	37.49
Class II:
Net asset value and redemption price per share $1,782,359 / 47,698 outstanding shares of beneficial interest	$	37.37

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2016

INCOME
NET INVESTMENT INCOME (LOSS)
Unaffiliated dividend income (net of foreign withholding taxes of $346,625)	$	25,133,022
Affiliated income from securities lending, net		1,145,321
Affiliated dividend income		200,967
Total income		26,479,310
EXPENSES
Management fee		7,935,368
Distribution fee—Class II		2,232
Administration fee—Class II		1,339
Custodian and accounting fees		214,000
Shareholders’ reports		121,000
Insurance expenses		26,000
Trustees’ fees		22,000
Audit fee		14,000
Legal fees and expenses		9,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Miscellaneous		19,430
Total expenses		8,370,369
NET INVESTMENT INCOME (LOSS)		18,108,941
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		32,959,674
Foreign currency transactions		(210	)
		32,959,464
Net change in unrealized appreciation (depreciation) on:
Investments		(248,799,038	)
Foreign currencies		39,798
		(248,759,240	)
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(215,799,776	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(197,690,835	)

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2016			Year Ended December 31, 2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	18,108,941		$	34,018,287
Net realized gain (loss) on investment and foreign currency transactions		32,959,464			164,739,137
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(248,759,240	)		(104,802,733	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(197,690,835	)		93,954,691
SERIES SHARE TRANSACTIONS (NOTE 7)
Series shares sold		4,599,024			11,599,955
Series shares repurchased		(118,111,957	)		(277,235,158	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(113,512,933	)		(265,635,203	)
Capital Contributions (Note 4)		3,315,979			—
TOTAL INCREASE (DECREASE)		(307,887,789	)		(171,680,512	)
NET ASSETS:
Beginning of period		3,848,117,411			4,019,797,923
End of period	$	3,540,229,622		$	3,848,117,411

SEE NOTES TO FINANCIAL STATEMENTS.

A66

	FLEXIBLE MANAGED PORTFOLIO
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

LONG-TERM INVESTMENTS — 95.5%
COMMON STOCKS — 59.4%	Shares		Value (Note 2)
Aerospace & Defense — 1.4%
Boeing Co. (The)		79,400	$	10,311,678
BWX Technologies, Inc.		120,000		4,292,400
General Dynamics Corp.		112,600		15,678,424
Huntington Ingalls Industries, Inc.		68,300		11,476,449
Safran SA (France)		3,623		243,980
Spirit AeroSystems Holdings, Inc. (Class A Stock)*		201,500		8,664,500
Textron, Inc.		33,700		1,232,072
Thales SA (France)		1,229		102,062
United Technologies Corp.		19,400		1,989,470
				53,991,035
Air Freight & Logistics — 0.4%
Deutsche Post AG (Germany)		7,511		211,605
FedEx Corp.		107,700		16,346,706
Royal Mail PLC (United Kingdom)		6,963		46,781
				16,605,092
Airlines — 0.5%
ANA Holdings, Inc. (Japan)		12,000		34,195
Cathay Pacific Airways Ltd. (Hong Kong)		312,000		457,724
International Consolidated Airlines Group SA (United Kingdom)		6,346		31,421
Japan Airlines Co. Ltd. (Japan)		900		28,955
Ryanair Holdings PLC (Ireland), ADR		3,385		235,393
Singapore Airlines Ltd. (Singapore)		2,100		16,676
Southwest Airlines Co.		375,100		14,707,671
United Continental Holdings, Inc.*		106,900		4,387,176
				19,899,211
Auto Components
Cie Generale des Etablissements Michelin (France)		5,692		536,420
Koito Manufacturing Co. Ltd. (Japan)		15,500		713,689
Sumitomo Rubber Industries Ltd. (Japan)		1,300		17,404
Valeo SA (France)		11,510		510,978
				1,778,491
Automobiles — 0.8%
Bayerische Motoren Werke AG (Germany)		2,570		187,033
Daimler AG (Germany)		445		26,628
Ferrari NV (Italy)		952		39,082
Fiat Chrysler Automobiles NV (United Kingdom)		6,980		42,965
Ford Motor Co.		925,500		11,633,535
Fuji Heavy Industries Ltd. (Japan)		4,500		154,680
General Motors Co.		538,200		15,231,060
Mazda Motor Corp. (Japan)		12,900		170,709
Mitsubishi Motors Corp. (Japan)		5,300		24,467
Nissan Motor Co. Ltd. (Japan)		19,600		174,917
Peugeot SA (France)*		1,072		12,849
Renault SA (France)		9,259		699,035
Suzuki Motor Corp. (Japan)		2,900		78,526

COMMON STOCKS (continued)	Shares		Value (Note 2)
Automobiles (continued)
Toyota Motor Corp. (Japan)		19,900	$	981,041
Volkswagen AG (Germany)		246		32,610
				29,489,137
Banks — 3.6%
Aozora Bank Ltd. (Japan)		13,000		45,097
Banco Santander SA (Spain)		13,182		51,155
Bank of America Corp.		2,059,000		27,322,930
BNP Paribas SA (France)		21,671		950,397
BOC Hong Kong Holdings Ltd. (Hong Kong)		8,500		25,614
Citigroup, Inc.		616,100		26,116,479
Commonwealth Bank of Australia (Australia)		4,684		262,914
Concordia Financial Group Ltd. (Japan)*		9,400		36,302
Credit Agricole SA (France)		81,889		688,438
Danske Bank A/S (Denmark)		30,073		791,533
DBS Group Holdings Ltd. (Singapore)		28,300		333,683
Erste Group Bank AG (Austria)		3,281		74,702
Fukuoka Financial Group, Inc. (Japan)		9,000		29,675
HSBC Holdings PLC (United Kingdom)		257,329		1,594,304
ING Groep NV (Netherlands), CVA		46,296		478,976
Intesa Sanpaolo SpA (Italy)		98,988		188,544
Intesa Sanpaolo SpA, RSP (Italy)		10,151		18,172
Japan Post Bank Co. Ltd. (Japan)		3,100		36,452
JPMorgan Chase & Co.		612,894		38,085,233
Kyushu Financial Group, Inc. (Japan)		2,800		13,879
Lloyds Banking Group PLC (United Kingdom)		34,514		24,998
Mitsubishi UFJ Financial Group, Inc. (Japan)		4,200		18,828
Mizrahi Tefahot Bank Ltd. (Israel)		1,616		18,634
Mizuho Financial Group, Inc. (Japan)		186,700		268,672
National Australia Bank Ltd. (Australia)		20,319		390,114
PNC Financial Services Group, Inc. (The)		175,300		14,267,667
Resona Holdings, Inc. (Japan)		7,000		25,584
Societe Generale SA (France)		23,642		739,665
Sumitomo Mitsui Financial Group, Inc. (Japan)		33,300		961,540
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		208,000		676,793
SunTrust Banks, Inc.		219,600		9,021,168
Svenska Handelsbanken AB (Sweden) (Class A Stock)		11,584		140,636
Wells Fargo & Co.		305,512		14,459,883
Westpac Banking Corp. (Australia)		4,332		96,065
				138,254,726

SEE NOTES TO FINANCIAL STATEMENTS.

A67

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Beverages — 1.0%
Anheuser-Busch InBev NV (Belgium)		2,940	$	388,777
Asahi Group Holdings Ltd. (Japan)		3,000		97,004
Coca-Cola Amatil Ltd. (Australia)		47,215		291,459
Coca-Cola Co. (The)		57,400		2,601,942
Coca-Cola European Partners PLC (United Kingdom)*		1,692		60,631
Coca-Cola HBC AG (Switzerland)		2,390		48,361
Diageo PLC (United Kingdom)		23,031		643,389
Heineken NV (Netherlands)		2,686		246,366
PepsiCo, Inc.		320,120		33,913,513
SABMiller PLC (United Kingdom)		307		17,904
				38,309,346
Biotechnology — 2.1%
Actelion Ltd. (Switzerland)		1,213		204,266
Amgen, Inc.		153,408		23,341,027
Biogen Idec, Inc.*		59,300		14,339,926
Celgene Corp.*		194,600		19,193,398
CSL Ltd. (Australia)		3,345		282,093
Gilead Sciences, Inc.		274,100		22,865,422
Shire PLC (Ireland)		7,012		433,362
				80,659,494
Building Products — 0.5%
Asahi Glass Co. Ltd. (Japan)		8,000		43,415
Assa Abloy AB (Sweden) (Class B Stock)		7,756		159,563
Cie de Saint-Gobain (France)		13,509		512,069
Continental Building Products, Inc.*		49,500		1,100,385
Masco Corp.		430,700		13,325,858
Universal Forest Products, Inc.		24,800		2,298,712
				17,440,002
Capital Markets — 1.3%
3i Group PLC (United Kingdom)		96,321		706,720
Ameriprise Financial, Inc.		55,300		4,968,705
Franklin Resources, Inc.		192,700		6,430,399
Goldman Sachs Group, Inc. (The)		119,800		17,799,884
Invesco Ltd.		258,000		6,589,320
Macquarie Group Ltd. (Australia)		15,522		807,991
Mediobanca SpA (Italy)		4,422		25,479
Morgan Stanley		205,200		5,331,096
Partners Group Holding AG (Switzerland)		132		56,571
Raymond James Financial, Inc.(a)		142,400		7,020,320
SBI Holdings, Inc. (Japan)		48,000		477,990
				50,214,475
Chemicals — 1.1%
Air Products & Chemicals, Inc.		97,900		13,905,716
Asahi Kasei Corp. (Japan)		9,000		62,631
BASF SE (Germany)		2,238		171,608
Chr Hansen Holding A/S (Denmark)		1,152		75,658
Covestro AG (Germany), 144A		551		24,542
Daicel Corp. (Japan)		22,400		232,110
GCP Applied Technologies, Inc.*		46,200		1,203,048

COMMON STOCKS (continued)	Shares		Value (Note 2)
Chemicals (continued)
Givaudan SA (Switzerland)		29	$	58,392
Hitachi Chemical Co. Ltd. (Japan)		800		14,941
K+S AG (Germany)		6,091		124,697
Kaneka Corp. (Japan)		3,000		20,017
Kuraray Co. Ltd. (Japan)		3,900		46,533
LyondellBasell Industries NV (Class A Stock)		200,100		14,891,442
Mitsubishi Chemical Holdings Corp. (Japan)		15,500		71,052
Mitsubishi Gas Chemical Co., Inc. (Japan)		4,000		20,868
Mitsui Chemicals, Inc. (Japan)		9,000		33,073
Shin-Etsu Chemical Co. Ltd. (Japan)		4,900		287,083
Sika AG (Switzerland)		26		109,019
Solvay SA (Belgium)		565		52,776
Sumitomo Chemical Co. Ltd. (Japan)		12,000		49,513
Teijin Ltd. (Japan)		7,000		23,195
Toray Industries, Inc. (Japan)		11,000		93,862
Westlake Chemical Corp.		178,500		7,661,220
Yara International ASA (Norway)		20,992		666,849
				39,899,845
Commercial Services & Supplies — 0.1%
Brambles Ltd. (Australia)		12,290		114,744
Herman Miller, Inc.		25,900		774,151
ISS A/S (Denmark)		15,658		588,902
Secom Co. Ltd. (Japan)		1,600		118,293
Steelcase, Inc. (Class A Stock)		135,100		1,833,307
				3,429,397
Communications Equipment — 0.8%
Cisco Systems, Inc.		973,600		27,932,584
Juniper Networks, Inc.		41,600		935,584
NETGEAR, Inc.*		18,500		879,490
				29,747,658
Construction & Engineering — 0.1%
ACS Actividades de Construccion y Servicios SA (Spain)		1,553		42,598
EMCOR Group, Inc.		42,200		2,078,772
Hochtief AG (Germany)		163		21,045
Kajima Corp. (Japan)		62,000		430,697
Obayashi Corp. (Japan)		74,200		790,001
Shimizu Corp. (Japan)		6,000		56,214
Skanska AB (Sweden) (Class B Stock)		7,492		156,875
Taisei Corp. (Japan)		8,000		65,734
Vinci SA (France)		3,878		273,659
				3,915,595
Construction Materials
Fletcher Building Ltd. (New Zealand)		5,381		33,099
HeidelbergCement AG (Germany)		1,101		82,941
				116,040
Consumer Finance — 0.2%
Navient Corp.		730,800		8,733,060

SEE NOTES TO FINANCIAL STATEMENTS.

A68

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Containers & Packaging — 0.1%
Amcor Ltd. (Australia)		13,389	$	150,541
Greif, Inc. (Class A Stock)		46,000		1,714,420
Rexam PLC (United Kingdom)		5,479		47,787
				1,912,748
Diversified Financial Services — 0.8%
Berkshire Hathaway, Inc. (Class B Stock)*		214,000		30,985,060
Eurazeo SA (France)		3,127		185,513
Japan Exchange Group, Inc. (Japan)		4,200		48,356
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan)		66,700		256,300
ORIX Corp. (Japan)		10,400		134,581
				31,609,810
Diversified Telecommunication Services — 2.2%
AT&T, Inc.		948,820		40,998,512
Deutsche Telekom AG (Germany)(a)		25,214		429,958
Koninklijke KPN NV (Netherlands)		26,523		94,540
Nippon Telegraph & Telephone Corp. (Japan)		21,300		998,862
Orange SA (France)		15,413		250,624
Spark New Zealand Ltd. (New Zealand)		199,243		506,405
Telecom Italia SpA (Italy)		46,997		30,237
Telefonica SA (Spain)		34,542		327,937
TPG Telecom Ltd. (Australia)		3,510		31,474
Verizon Communications, Inc.		708,888		39,584,306
				83,252,855
Electric Utilities — 1.7%
American Electric Power Co., Inc.		162,800		11,410,652
AusNet Services (Australia)		20,657		25,442
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		5,000		43,110
Chubu Electric Power Co., Inc. (Japan)		4,900		69,732
Chugoku Electric Power Co., Inc. (The) (Japan)		2,100		26,698
CLP Holdings Ltd. (Hong Kong)		22,500		229,842
EDP-Energias de Portugal SA (Portugal)		28,232		86,435
Electricite de France (France)		13,900		168,541
Endesa SA (Spain)		2,451		49,181
Enel SpA (Italy)		90,243		400,631
Entergy Corp.		71,000		5,775,850
Exelon Corp.		513,200		18,659,952
FirstEnergy Corp.		372,500		13,003,975
Fortum OYJ (Finland)		3,382		54,337
Hokuriku Electric Power Co. (Japan)		1,700		21,065
Iberdrola SA (Spain)		28,204		192,396
Kansai Electric Power Co., Inc. (The) (Japan)*		5,300		51,618
Kyushu Electric Power Co., Inc. (Japan)		3,200		32,094
PPL Corp.		394,300		14,884,825

COMMON STOCKS (continued)	Shares		Value (Note 2)
Electric Utilities (continued)
Red Electrica Corp. SA (Spain)		569	$	50,843
Shikoku Electric Power Co., Inc. (Japan)		1,200		14,214
SSE PLC (United Kingdom)		7,818		162,718
Tohoku Electric Power Co., Inc. (Japan)		3,500		44,172
Tokyo Electric Power Co., Inc. (Japan)*		11,200		47,432
				65,505,755
Electrical Equipment — 0.8%
ABB Ltd. (Switzerland)		48,361		957,166
Eaton Corp. PLC		233,500		13,946,955
Emerson Electric Co.(a)		214,800		11,203,968
OSRAM Licht AG (Germany)		692		35,954
Regal Beloit Corp.		45,700		2,515,785
Vestas Wind Systems A/S (Denmark)		1,735		117,927
				28,777,755
Electronic Equipment, Instruments & Components — 0.1%
Hexagon AB (Sweden) (Class B Stock)		2,001		73,228
Hitachi High-Technologies Corp. (Japan)		500		13,684
Hitachi Ltd. (Japan)		7,000		29,329
Ingenico Group SA (France)		427		49,492
Jabil Circuit, Inc.		87,700		1,619,819
TDK Corp. (Japan)		13,600		761,278
				2,546,830
Energy Equipment & Services — 0.2%
Ensco PLC (Class A Stock)		730,400		7,092,184
Food & Staples Retailing — 1.7%
ICA Gruppen AB (Sweden)		20,199		676,973
J. Sainsbury PLC (United Kingdom)		208,860		650,642
Koninklijke Ahold NV (Netherlands)		6,495		143,427
Kroger Co. (The)		458,800		16,879,252
METRO AG (Germany)		22,147		681,158
Wal-Mart Stores, Inc.		362,600		26,477,052
Walgreens Boots Alliance, Inc.		243,400		20,267,918
				65,776,422
Food Products — 1.1%
Blue Buffalo Pet Products, Inc.*		47,800		1,115,652
Bunge Ltd.		148,800		8,801,520
ConAgra Foods, Inc.		206,600		9,877,546
Lindt & Spruengli AG (Switzerland)		1		71,463
Marine Harvest ASA (Norway)		2,963		49,978
MEIJI Holdings Co. Ltd. (Japan)		800		82,204
Nestle SA (Switzerland)		24,565		1,903,255
Orkla ASA (Norway)		20,558		182,834
Pilgrim’s Pride Corp.		38,700		986,076
Tyson Foods, Inc. (Class A Stock)		246,300		16,450,377
WH Group Ltd. (Hong Kong), 144A		904,000		715,964

SEE NOTES TO FINANCIAL STATEMENTS.

A69

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Food Products (continued)
Wilmar International Ltd. (Singapore)		209,000	$	508,769
				40,745,638
Gas Utilities — 0.1%
Gas Natural SDG SA (Spain)		2,684		53,352
Tokyo Gas Co. Ltd. (Japan)		15,000		61,931
UGI Corp.		117,000		5,294,250
				5,409,533
Health Care Equipment & Supplies — 1.7%
Abbott Laboratories		423,300		16,639,923
Becton Dickinson and Co.		90,500		15,347,895
C.R. Bard, Inc.		38,300		9,006,628
Edwards Lifesciences Corp.*		9,400		937,462
Hill-Rom Holdings, Inc.		24,100		1,215,845
Hologic, Inc.*		297,000		10,276,200
Medtronic PLC		124,800		10,828,896
Sysmex Corp. (Japan)		500		34,429
				64,287,278
Health Care Providers & Services — 2.0%
Alfresa Holdings Corp. (Japan)		34,300		716,599
Anthem, Inc.		113,900		14,959,626
Express Scripts Holding Co.*		227,000		17,206,600
Fresenius SE & Co. KGaA (Germany)		244		17,929
HCA Holdings, Inc.*		91,900		7,077,219
McKesson Corp.		28,200		5,263,530
Medipal Holdings Corp. (Japan)		42,400		697,091
Ramsay Health Care Ltd. (Australia)		1,076		58,153
Ryman Healthcare Ltd. (New Zealand)		2,922		19,503
Sonic Healthcare Ltd. (Australia)		3,021		48,992
UnitedHealth Group, Inc.		199,400		28,155,280
				74,220,522
Hotels, Restaurants & Leisure — 1.4%
Aristocrat Leisure Ltd. (Australia)		4,201		43,703
Bloomin’ Brands, Inc.		143,100		2,557,197
Compass Group PLC (United Kingdom)		23,433		445,824
Extended Stay America, Inc.(a)		145,700		2,178,215
McDonald’s Corp.		198,400		23,875,456
Oriental Land Co. Ltd. (Japan)		1,600		103,599
Paddy Power Betfair PLC (Ireland)		2,012		211,455
Tui AG (Germany)		3,897		44,356
Wyndham Worldwide Corp.		163,000		11,610,490
Yum! Brands, Inc.		125,900		10,439,628
				51,509,923
Household Durables — 0.4%
Barratt Developments PLC (United Kingdom)		7,953		43,217
Berkeley Group Holdings PLC (United Kingdom)		5,688		192,072
D.R. Horton, Inc.		394,200		12,409,416
Electrolux AB (Sweden) (Class B Stock)		19,200		523,485

COMMON STOCKS (continued)	Shares		Value (Note 2)
Household Durables (continued)
Iida Group Holdings Co. Ltd. (Japan)		2,000	$	40,958
Meritage Homes Corp.*		41,100		1,542,894
Nikon Corp. (Japan)		6,300		85,301
Persimmon PLC (United Kingdom)		3,351		64,982
Sekisui House Ltd. (Japan)		7,000		122,585
Taylor Wimpey PLC (United Kingdom)		262,670		466,001
				15,490,911
Household Products — 1.6%
Colgate-Palmolive Co.		228,900		16,755,480
Henkel AG & Co. KGaA (Germany)		2,201		238,079
Kimberly-Clark Corp.		39,400		5,416,712
Procter & Gamble Co. (The)		455,505		38,567,608
Reckitt Benckiser Group PLC (United Kingdom)		6,992		701,103
Svenska Cellulosa AB SCA (Sweden) (Class B Stock)		7,684		246,892
				61,925,874
Independent Power & Renewable Electricity Producers — 0.3%
AES Corp.		945,000		11,793,600
Electric Power Development Co. Ltd. (Japan)		1,100		25,628
				11,819,228
Industrial Conglomerates — 1.1%
3M Co.		122,700		21,487,224
Carlisle Cos., Inc.		32,200		3,402,896
CK Hutchison Holdings Ltd. (Hong Kong)		20,520		225,729
Danaher Corp.		30,900		3,120,900
DCC PLC (United Kingdom)		5,866		516,208
General Electric Co.		387,592		12,201,396
NWS Holdings Ltd. (Hong Kong)		18,000		28,492
Siemens AG (Germany)		7,232		742,160
				41,725,005
Insurance — 1.4%
Aflac, Inc.		154,600		11,155,936
AIA Group Ltd. (Hong Kong)		7,400		44,502
Allianz SE (Germany)		7,928		1,130,993
Allstate Corp. (The)		222,900		15,591,855
American Financial Group, Inc.		15,500		1,145,915
Assicurazioni Generali SpA (Italy)		1,889		22,276
AXA SA (France)		15,016		296,907
Hannover Rueck SE (Germany)		6,802		712,699
Legal & General Group PLC (United Kingdom)		131,827		337,492
Mapfre SA (Spain)		8,291		18,208
Medibank Pvt Ltd. (Australia)		33,000		73,180
MetLife, Inc.		384,600		15,318,618
MS&AD Insurance Group Holdings, Inc. (Japan)		4,100		106,231
NN Group NV (Netherlands)		23,317		641,883
Poste Italiane SpA (Italy), 144A		4,046		26,865
SCOR SE (France)		1,788		52,863

SEE NOTES TO FINANCIAL STATEMENTS.

A70

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Insurance (continued)
Swiss Life Holding AG (Switzerland)		247	$	57,081
Swiss Re AG (Switzerland)		10,410		909,214
Travelers Cos., Inc. (The)		37,200		4,428,288
				52,071,006
Internet & Catalog Retail — 0.8%
Amazon.com, Inc.*		44,000		31,487,280
Start Today Co. Ltd. (Japan)		500		26,429
				31,513,709
Internet Software & Services — 2.8%
Alphabet, Inc. (Class A Stock)*		33,900		23,849,667
Alphabet, Inc. (Class C Stock)*		38,682		26,771,812
eBay, Inc.*		542,100		12,690,561
Facebook, Inc. (Class A Stock)*		368,000		42,055,040
Mixi, Inc. (Japan)		500		20,673
				105,387,753
IT Services — 1.7%
Accenture PLC (Class A Stock)		166,900		18,908,101
Amadeus IT Holding SA (Spain) (Class A Stock)		5,242		230,957
Atos SE (France)		8,510		701,644
Cap Gemini SA (France)		1,890		163,094
Cognizant Technology Solutions Corp. (Class A Stock)*		256,200		14,664,888
Computershare Ltd. (Australia)		6,189		42,796
CSRA, Inc.		80,000		1,874,400
DST Systems, Inc.		24,700		2,875,821
First Data Corp. (Class A Stock)*		636,900		7,050,483
Fiserv, Inc.*		69,000		7,502,370
Leidos Holdings, Inc.(a)		93,200		4,461,484
Nomura Research Institute Ltd. (Japan)		1,000		36,675
Visa, Inc. (Class A Stock)(a)		87,000		6,452,790
				64,965,503
Leisure Products
Bandai Namco Holdings, Inc. (Japan)		1,600		41,290
Sankyo Co. Ltd. (Japan)		12,800		479,911
Sega Sammy Holdings, Inc. (Japan)		2,200		23,694
Yamaha Corp. (Japan)		2,000		53,907
				598,802
Life Sciences Tools & Services — 0.1%
QIAGEN NV*		1,704		37,134
VWR Corp.*		67,100		1,939,190
				1,976,324
Machinery — 0.4%
Allison Transmission Holdings, Inc.		27,900		787,617
Amada Co. Ltd. (Japan)		2,700		27,411
ANDRITZ AG (Austria)		922		43,719
Atlas Copco AB (Sweden) (Class A Stock)		600		15,583
Atlas Copco AB (Sweden) (Class B Stock)		4,607		109,197

COMMON STOCKS (continued)	Shares		Value (Note 2)
Machinery (continued)
GEA Group AG (Germany)		1,414	$	66,743
Hoshizaki Electric Co. Ltd. (Japan)		4,200		411,155
Illinois Tool Works, Inc.		45,100		4,697,616
Ingersoll-Rand PLC		24,600		1,566,528
Kone OYJ (Finland) (Class B Stock)		3,913		180,587
Mitsubishi Heavy Industries Ltd. (Japan)		25,000		100,531
Schindler Holding AG (Switzerland)		155		28,208
Schindler Holding AG (Switzerland) (Part. Cert.)		338		61,194
Terex Corp.		116,800		2,372,208
Volvo AB (Sweden) (Class B Stock)		18,271		181,510
Wabash National Corp.*(a)		221,900		2,818,130
				13,467,937
Marine
A.P. Moeller – Maersk A/S (Denmark) (Class A Stock)		28		35,290
Media — 1.2%
Comcast Corp. (Class A Stock)		426,473		27,801,775
Hakuhodo DY Holdings, Inc. (Japan)		16,100		192,971
News Corp. (Class A Stock)		63,600		721,860
ProSiebenSat.1 Media AG (Germany)*		1,699		74,318
RELX PLC (United Kingdom)		1,066		19,630
RTL Group SA (Luxembourg)		300		24,501
TEGNA, Inc.		41,200		954,604
Time Warner, Inc.		13,100		963,374
Viacom, Inc. (Class B Stock)		34,000		1,409,980
Vivendi SA (France)		9,108		170,400
Walt Disney Co. (The)		134,200		13,127,444
WPP PLC (United Kingdom)		41,007		854,648
				46,315,505
Metals & Mining — 0.4%
Alumina Ltd. (Australia)		18,022		17,715
Anglo American PLC (United Kingdom)		9,862		96,670
BHP Billiton Ltd. (Australia)		23,976		334,136
BHP Billiton PLC (Australia)		6,611		83,676
Boliden AB (Sweden)		38,065		743,946
Fortescue Metals Group Ltd. (Australia)		186,008		497,766
JFE Holdings, Inc. (Japan)		3,900		50,876
Mitsubishi Materials Corp. (Japan)		12,000		28,732
Newmont Mining Corp.		30,500		1,193,160
Nippon Steel & Sumitomo Metal Corp. (Japan)		9,800		189,724
Nucor Corp.		108,700		5,370,867
Rio Tinto PLC (United Kingdom)		9,305		289,076
Steel Dynamics, Inc.		292,600		7,168,700
Voestalpine AG (Austria)		9,333		314,106
				16,379,150

SEE NOTES TO FINANCIAL STATEMENTS.

A71

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Multi-Utilities — 0.3%
DTE Energy Co.		10,700	$	1,060,584
E.ON SE (Germany)		23,905		241,318
MDU Resources Group, Inc.		76,600		1,838,400
National Grid PLC (United Kingdom)		79,503		1,169,123
Public Service Enterprise Group, Inc.		139,300		6,492,773
				10,802,198
Multiline Retail — 0.7%
Harvey Norman Holdings Ltd. (Australia)		6,703		23,324
J Front Retailing Co. Ltd. (Japan)		2,600		26,958
Macy’s, Inc.		388,300		13,050,763
Takashimaya Co. Ltd. (Japan)		3,000		21,487
Target Corp.		202,400		14,131,568
				27,254,100
Oil, Gas & Consumable Fuels — 3.7%
BP PLC (United Kingdom)		135,134		791,013
Caltex Australia Ltd. (Australia)		2,887		69,606
Chevron Corp.		6,856		718,714
ConocoPhillips		128,500		5,602,600
EQT Corp.		171,700		13,294,731
Exxon Mobil Corp.		385,116		36,100,774
Galp Energia SGPS SA (Portugal)		46,405		645,419
HollyFrontier Corp.		84,900		2,018,073
Kinder Morgan, Inc.		840,600		15,736,032
Marathon Petroleum Corp.		259,600		9,854,416
Neste OYJ (Finland)		21,252		762,077
OMV AG (Austria)		1,111		31,231
ONEOK, Inc.(a)		50,500		2,396,225
PBF Energy, Inc. (Class A Stock)		91,500		2,175,870
Phillips 66		193,300		15,336,422
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		32,423		890,508
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		28,783		795,237
Statoil ASA (Norway)		8,420		145,485
Tesoro Corp.		160,400		12,017,168
Total SA (France)		17,587		843,406
Valero Energy Corp.		269,100		13,724,100
Western Refining, Inc.(a)		405,400		8,363,402
				142,312,509
Paper & Forest Products
KapStone Paper & Packaging Corp.		74,600		970,546
Stora Enso OYJ (Finland) (Class R Stock)		4,222		33,954
UPM-Kymmene OYJ (Finland)		40,344		741,153
				1,745,653
Personal Products
Kao Corp. (Japan)		3,900		227,144
Pola Orbis Holdings, Inc. (Japan)		200		18,822
Unilever NV (United Kingdom)		3,991		185,621
Unilever PLC (United Kingdom)		9,943		476,423
				908,010

COMMON STOCKS (continued)	Shares		Value (Note 2)
Pharmaceuticals — 3.3%
Allergan PLC*		5,800	$	1,340,322
Astellas Pharma, Inc. (Japan)		67,500		1,058,558
AstraZeneca PLC (United Kingdom)		5,148		307,767
Bayer AG (Germany)		11,098		1,114,631
Bristol-Myers Squibb Co.		277,500		20,410,125
GlaxoSmithKline PLC (United Kingdom)		45,945		986,674
Jazz Pharmaceuticals PLC*		45,400		6,415,474
Johnson & Johnson		322,298		39,094,748
Mallinckrodt PLC*		199,200		12,107,376
Merck & Co., Inc.		308,600		17,778,446
Mitsubishi Tanabe Pharma Corp. (Japan)		2,600		46,977
Novartis AG (Switzerland)		11,745		969,415
Novo Nordisk A/S (Denmark) (Class B Stock)		14,287		769,396
Orion OYJ (Finland) (Class B Stock)		782		30,365
Pfizer, Inc.		576,697		20,305,502
Roche Holding AG (Switzerland)		8,079		2,131,885
Sanofi (France)		9,128		758,383
Shionogi & Co. Ltd. (Japan)		2,400		131,199
Teva Pharmaceutical Industries Ltd. (Israel)		13,221		669,118
				126,426,361
Professional Services — 0.2%
Experian PLC (Ireland)		11,510		218,369
Intertek Group PLC (United Kingdom)		1,912		89,087
Randstad Holding NV (Netherlands)		915		36,592
Robert Half International, Inc.		193,300		7,376,328
				7,720,376
Real Estate Investment Trusts (REITs) — 1.4%
American Tower Corp.		86,200		9,793,182
British Land Co. PLC (The) (United Kingdom)		11,499		93,364
CBL & Associates Properties, Inc.		321,900		2,996,889
Chimera Investment Corp.		269,900		4,237,430
Dexus Property Group (Australia)		116,212		788,576
Franklin Street Properties Corp.		82,100		1,007,367
General Growth Properties, Inc.		55,100		1,643,082
GEO Group, Inc. (The)		76,200		2,604,516
Goodman Group (Australia)		13,602		72,954
GPT Group (Australia)		130,006		528,690
HCP, Inc.(a)		348,000		12,312,240
Intu Properties PLC (United Kingdom)		7,276		28,288
Link REIT (The) (Hong Kong)		131,000		895,805
Nomura Real Estate Master Fund, Inc. (Japan)		27		42,682
Scentre Group (Australia)		40,709		150,785
Segro PLC (United Kingdom)		5,837		32,354
Simon Property Group, Inc.		33,100		7,179,390
Starwood Property Trust, Inc.		417,300		8,646,456

SEE NOTES TO FINANCIAL STATEMENTS.

A72

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Investment Trusts (REITs) (continued)
Stockland (Australia)		18,117	$	64,234
Suntec Real Estate Investment Trust (Singapore)		18,300		24,181
Westfield Corp. (Australia)		15,133		121,559
				53,264,024
Real Estate Management & Development — 0.2%
CBRE Group, Inc. (Class A Stock)*		56,200		1,488,176
Daiwa House Industry Co. Ltd. (Japan)		24,100		707,745
Henderson Land Development Co. Ltd. (Hong Kong)		55,561		313,851
Hulic Co. Ltd. (Japan)		1,800		18,968
Jones Lang LaSalle, Inc.		62,500		6,090,625
Kerry Properties Ltd. (Hong Kong)		7,000		17,331
Mitsui Fudosan Co. Ltd. (Japan)		3,000		68,852
New World Development Co. Ltd. (Hong Kong)		62,000		63,138
Wharf Holdings Ltd. (The) (Hong Kong)		70,000		427,177
Wheelock & Co. Ltd. (Hong Kong)		6,000		28,186
				9,224,049
Road & Rail — 0.1%
Aurizon Holdings Ltd. (Australia)		16,328		59,243
Central Japan Railway Co. (Japan)		1,900		337,941
CSX Corp.		33,300		868,464
East Japan Railway Co. (Japan)		3,800		352,159
Hankyu Hanshin Holdings, Inc. (Japan)		32,000		238,609
West Japan Railway Co. (Japan)		1,200		76,048
				1,932,464
Semiconductors & Semiconductor Equipment — 1.6%
ARM Holdings PLC (United Kingdom)		1,651		25,078
Intel Corp.		996,800		32,695,040
NXP Semiconductors NV (Netherlands)*		10,200		799,068
QUALCOMM, Inc.		360,900		19,333,413
Texas Instruments, Inc.		121,600		7,618,240
Tokyo Electron Ltd. (Japan)		3,300		278,879
				60,749,718
Software — 2.8%
Adobe Systems, Inc.*		150,300		14,397,237
Check Point Software Technologies Ltd. (Israel)*(a)		1,000		79,680
Citrix Systems, Inc.*		131,100		10,499,799
Konami Holdings Corp. (Japan)		18,000		686,697
Manhattan Associates, Inc.*		38,600		2,475,418
Microsoft Corp.		1,118,600		57,238,762
NICE Ltd. (Israel)		479		30,480
Oracle Corp.		545,600		22,331,408
SAP SE (Germany)		7,634		573,356
				108,312,837

COMMON STOCKS (continued)	Shares		Value (Note 2)
Specialty Retail — 1.1%
ABC-Mart, Inc. (Japan)		300	$	20,134
Bed Bath & Beyond, Inc.		148,800		6,431,136
Dixons Carphone PLC (United Kingdom)		7,646		32,817
Express, Inc.*		326,300		4,734,613
Francesca’s Holdings Corp.*		66,700		737,035
Gap, Inc. (The)(a)		280,600		5,954,332
GNC Holdings, Inc. (Class A Stock)		251,900		6,118,651
Home Depot, Inc. (The)		87,900		11,223,951
Industria de Diseno Textil SA (Spain)		14,362		482,479
Nitori Holdings Co. Ltd. (Japan)		900		109,156
Ross Stores, Inc.		26,600		1,507,954
Shimamura Co. Ltd. (Japan)		200		29,757
Staples, Inc.		369,600		3,185,952
				40,567,967
Technology Hardware, Storage & Peripherals — 2.0%
Apple, Inc.		606,400		57,971,840
Brother Industries Ltd. (Japan)		1,900		20,380
FUJIFILM Holdings Corp. (Japan)		9,000		349,204
Hewlett Packard Enterprise Co.		282,600		5,163,102
HP, Inc.		639,900		8,030,745
NEC Corp. (Japan)		21,000		48,927
Ricoh Co. Ltd. (Japan)		5,200		45,076
Seagate Technology PLC(a)		150,600		3,668,616
				75,297,890
Textiles, Apparel & Luxury Goods — 0.5%
adidas AG (Germany)		6,761		970,541
Michael Kors Holdings Ltd.*		194,300		9,613,964
NIKE, Inc. (Class B Stock)		142,000		7,838,400
Swatch Group AG (The) (Switzerland)		536		30,695
				18,453,600
Tobacco — 1.3%
Altria Group, Inc.		454,600		31,349,216
British American Tobacco PLC (United Kingdom)		25,849		1,675,774
Imperial Brands PLC (United Kingdom)		7,412		401,976
Japan Tobacco, Inc. (Japan)		15,500		624,684
Reynolds American, Inc.		314,000		16,934,020
				50,985,670
Trading Companies & Distributors — 0.1%
Ashtead Group PLC (United Kingdom)		2,286		32,653
HD Supply Holdings, Inc.*		95,300		3,318,346
ITOCHU Corp. (Japan)		69,500		850,208
Mitsui & Co. Ltd. (Japan)		9,400		112,210
				4,313,417
Transportation Infrastructure
Abertis Infraestructuras SA (Spain)		4,223		62,406
Aena SA (Spain), 144A		2,383		315,869
Atlantia SpA (Italy)		3,982		99,490

SEE NOTES TO FINANCIAL STATEMENTS.

A73

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Transportation Infrastructure (continued)
Auckland International Airport Ltd. (New Zealand)		7,412	$	34,480
Hutchison Port Holdings Trust (Hong Kong)		39,700		18,064
Kamigumi Co. Ltd. (Japan)		3,000		27,728
Sydney Airport (Australia)		8,331		43,502
Transurban Group (Australia)		24,304		218,901
				820,440
Wireless Telecommunication Services — 0.1%
KDDI Corp. (Japan)		13,600		413,573
Millicom International Cellular SA (Luxembourg), SDR		513		31,467
NTT DOCOMO, Inc. (Japan)		16,700		450,375
SoftBank Corp. (Japan)		7,400		418,485
Vodafone Group PLC (United Kingdom)		204,650		623,952
				1,937,852
TOTAL COMMON STOCKS (cost $1,855,061,416)				2,261,830,989
EXCHANGE TRADED FUND
iShares MSCI EAFE Index Fund (cost $1,550,853)		28,050		1,565,470

PREFERRED STOCKS	Shares		Value (Note 2)
Automobiles
Bayerische Motoren Werke AG (Germany) (PRFC)		423	$	26,965
Volkswagen AG (Germany) (PRFC)		6,200		750,949
				777,914
Banks
Citigroup Capital XIII, 7.875%, (Capital Security, fixed to floating preferred)(b)		22,000		573,540
Household Products
Henkel AG & Co. KGaA (Germany) (PRFC)		100		12,221
TOTAL PREFERRED STOCKS (cost $1,368,641)				1,363,675
	Units
RIGHTS*
Construction & Engineering
ACS Actividades de Construccion y Servicios SA (Spain), expiring 07/29/16 (cost $1,209)		1,553		1,091

ASSET-BACKED SECURITIES — 4.0%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations — 1.5%
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		1.814%	(b)	04/20/25		2,550		2,523,569
AIMCO CLO (Cayman Islands), Series 2015-AA, Class A1, 144A		2.029%	(b)	01/15/28		2,500		2,474,655
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1, 144A		2.134%	(b)	04/28/26		1,500		1,498,069
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		2.228%	(b)	10/15/26		2,500		2,486,459
Arrowpoint CLO Ltd. (Cayman Islands), Series 2015-4A, Class A, 144A		2.183%	(b)	04/18/27		1,000		993,382
Atlas Senior Loan Fund VI Ltd. (Cayman Islands), Series 2014-6A, Class A, 144A		2.168%	(b)	10/15/26		750		749,175
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A		2.233%	(b)	10/17/26		250		248,749
Battalion CLO VIII Ltd. (Cayman Islands), Series 2015-8A, Class A1, 144A		2.163%	(b)	04/18/27		1,250		1,238,463
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A		1.828%	(b)	07/15/24		1,200		1,186,533
Benefit Street Partners CLO VII Ltd. (Cayman Islands), Series 2015-VIIA, Class A1A, 144A		2.163%	(b)	07/18/27		750		744,256
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.783%	(b)	04/17/25		2,100		2,067,499
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		2.184%	(b)	04/20/26		2,200		2,194,500
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A2, 144A		2.434%	(b)	04/20/26		450		437,281
Catamaran CLO Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A		2.143%	(b)	10/18/26		500		496,677
Flagship VII Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A		2.104%	(b)	01/20/26		2,300		2,288,534
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.033%	(b)	01/17/26		500		495,370
Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A		0.885%	(b)	07/22/20		124		123,233
Galaxy XVIII CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A		2.098%	(b)	10/15/26		1,250		1,241,908
Highbridge Loan Management Ltd. (Cayman Islands), Series 2015-6A, Class A, 144A		2.083%	(b)	05/05/27		250		248,112
ICG U.S. CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1B, 144A		3.280%		01/25/27		1,000		997,895
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A		2.168%	(b)	04/15/27		500		496,132
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		2.216%	(b)	05/15/26		300		298,311
Limerock CLO II Ltd. (Cayman Islands), Series 2014-2A, Class A, 144A		2.133%	(b)	04/18/26		750		744,257

SEE NOTES TO FINANCIAL STATEMENTS.

A74

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations (continued)
Magnetite IX Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A		2.058%	(b)	07/25/26		3,000	$	2,996,830
Magnetite VIII Ltd. (Cayman Islands), Series 2014-8A, Class A, 144A		2.108%	(b)	04/15/26		4,550		4,541,171
Magnetite XI Ltd. (Cayman Islands), Series 2014-11A, Class A1, 144A		2.083%	(b)	01/18/27		500		497,069
Neuberger Berman CLO Ltd. (Cayman Islands), Series 2012-12A, Class BR, 144A		2.738%	(b)	07/25/23		250		247,233
Neuberger Berman CLO XVI Ltd. (Cayman Islands), Series 2014-16A, Class A1, 144A		2.098%	(b)	04/15/26		500		498,844
OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A		1.785%	(b)	07/22/25		1,200		1,188,879
Race Point V CLO Ltd. (Cayman Islands), Series 2011-5AR, Class AR, 144A		1.953%	(b)	12/15/22		325		324,650
Race Point VIII CLO Ltd. (Cayman Islands), Series 2013-8A, Class A, 144A		1.886%	(b)	02/20/25		250		248,513
Regatta IV Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		2.048%	(b)	07/25/26		1,000		987,868
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A		2.113%	(b)	07/17/26		800		798,927
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A		4.350%		07/17/26		500		495,502
Shackleton CLO V Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		2.132%	(b)	05/07/26		1,250		1,247,969
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.678%	(b)	04/15/25		3,200		3,146,618
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A		3.278%	(b)	08/17/22		500		497,676
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A		3.334%	(b)	10/20/23		1,100		1,099,020
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2014-3A, Class A, 144A		2.255%	(b)	01/22/27		2,250		2,249,386
Treman Park CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A		2.134%	(b)	04/20/27		250		248,411
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.748%	(b)	07/15/25		2,700		2,672,544
Vibrant CLO Ltd. (Cayman Islands), Series 2015-3A, Class A1, 144A		2.264%	(b)	04/20/26		3,000		2,984,152
Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.768%	(b)	04/15/24		1,850		1,829,110
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		2.134%	(b)	04/20/26		1,850		1,837,997
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A		4.250%		04/20/26		500		497,332
								57,408,720
Non-Residential Mortgage-Backed Securities — 2.1%
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A		1.242%	(b)	05/15/20		3,900		3,891,881
AmeriCredit Automobile Receivables Trust, Series 2015-4, Class A2B		1.197%	(b)	04/08/19		3,629		3,635,126
AmeriCredit Automobile Receivables Trust, Series 2016-2, Class A2B		1.147%	(b)	10/08/19		3,900		3,905,096
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 144A		1.920%		09/20/19		1,700		1,704,181
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 144A		2.500%		07/20/21		6,000		6,081,161
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 144A		2.630%		12/20/21		4,700		4,783,958
Ford Credit Auto Owner Trust, Series 2014-1, Class A, 144A		2.260%		11/15/25		2,000		2,040,223
Ford Credit Auto Owner Trust, Series 2014-2, Class A, 144A		2.310%		04/15/26		3,200		3,268,868
Ford Credit Auto Owner Trust, Series 2016-1, Class A, 144A		2.310%		08/15/27		5,400		5,512,890
Ford Credit Auto Owner Trust, Series 2016-2, Class A, 144A		2.030%		12/15/27		3,300		3,317,342
GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 144A(c)		0.942%	(b)	05/15/20		1,800		1,788,252
GMF Floorplan Owner Revolving Trust, Series 2016-1, Class A2, 144A		1.292%	(b)	05/17/21		2,300		2,292,193
Hertz Vehicle Financing II LP, Series 2015-1A, Class A, 144A		2.730%		03/25/21		4,300		4,393,568
Hertz Vehicle Financing II LP, Series 2015-3A, Class A, 144A		2.670%		09/25/21		3,400		3,468,901
Hertz Vehicle Financing LLC, Series 2016-1A, Class A, 144A		2.320%		03/25/20		3,000		3,026,193
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A		2.570%		07/18/25		4,700		4,698,609
Santander Drive Auto Receivables Trust, Series 2015-4, Class A2B		1.142%	(b)	12/17/18		1,469		1,469,997
Santander Drive Auto Receivables Trust, Series 2015-5, Class A2B		1.192%	(b)	12/17/18		2,240		2,241,480
Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 144A		2.200%		10/20/30		1,813		1,813,891
Sierra Timeshare Receivables Funding LLC, Series 2015-3A, Class A, 144A		2.580%		09/20/32		2,044		2,061,006
Sierra Timeshare Receivables Funding LLC, Series 2016-1A, Class A, 144A		3.080%		03/21/33		3,621		3,703,526
Springleaf Funding Trust, Series 2015-AA, Class A, 144A		3.160%		11/15/24		5,795		5,829,278
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A		2.000%		09/20/29		740		731,494
Synchrony Credit Card Master Note Trust, Series 2015-3, Class A		1.740%		09/15/21		1,700		1,711,158
								77,370,272
Residential Mortgage-Backed Securities — 0.4%
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1		2.103%	(b)	03/25/33		183		173,341
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3		3.873%	(b)	07/25/35		302		287,297

SEE NOTES TO FINANCIAL STATEMENTS.

A75

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Residential Mortgage-Backed Securities (continued)
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1		4.836%	(b)	07/25/34		284	$	267,951
GSAMP Trust, Series 2004-HE2, Class A3C		1.613%	(b)	09/25/34		522		514,446
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1		1.248%	(b)	06/25/34		474		457,937
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1		1.653%	(b)	05/25/33		322		305,143
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE5, Class M1		1.398%	(b)	06/25/34		715		672,662
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1		1.503%	(b)	12/27/33		589		568,223
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1		1.353%	(b)	07/25/32		263		252,731
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1		1.728%	(b)	09/25/32		3,613		3,443,541
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1		1.218%	(b)	02/25/34		655		605,730
VOLT XLIV LLC, Series 2016-NPL4, Class A1, 144A		4.250%		04/25/46		2,442		2,442,468
VOLT XXXI LLC, Series 2015-NPL2, Class A1, 144A		3.375%		02/25/55		1,705		1,688,511
VOLT XXXVII LLC, Series 2015-NP11, Class A1, 144A		3.625%		07/25/45		4,444		4,428,587
								16,108,568
TOTAL ASSET-BACKED SECURITIES (cost $150,061,272)								150,887,560
BANK LOANS(b) — 0.2%
Automotive
Schaeffler AG (Germany)		4.250%		05/15/20		162		162,010
Food
ARAMARK Corp.		3.250%		02/24/21		468		467,351
Health Care & Pharmaceutical
RPI Finance Trust (Luxembourg)		3.500%		11/09/20		1,546		1,545,166
Media & Entertainment
Nielsen Finance LLC		2.696%		05/30/17		753		752,137
Technology — 0.2%
Avago Technologies Cayman Finance Ltd. (Singapore)		4.250%		02/01/23		1,342		1,340,520
Dell Int’l LLC(d)		—%	(e)	12/31/18		600		582,000
Dell Int’l LLC		—%	(e)	09/30/23		815		811,830
First Data Corp.		4.452%		03/24/21		1,141		1,135,797
TransUnion LLC		3.500%		04/09/21		489		483,253
Western Digital Corp.		6.250%		04/28/23		1,095		1,097,396
								5,450,796
Telecommunications
T-Mobile USA, Inc.		3.500%		11/09/22		1,030		1,032,400
TOTAL BANK LOANS (cost $9,345,182)								9,409,860
COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.7%
Assurant Commercial Mortgage Trust, Series 2016-1A, Class AS, 144A		3.172%		05/15/49		4,000		4,181,716
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3		5.369%		10/10/45		49		49,149
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A		5.739%	(b)	04/10/49		5,211		5,312,859
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4		5.901%	(b)	12/10/49		1,000		1,029,329
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3		2.815%		04/10/46		1,100		1,150,228
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4		3.575%		05/10/47		2,750		2,984,044
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A3		3.356%		07/10/47		2,800		3,002,803
Citigroup Commercial Mortgage Trust, Series 2015-P1, Class A4		3.462%		09/15/48		4,900		5,265,752
Citigroup Commercial Mortgage Trust, Series 2016-C1, Class A3		2.944%		05/10/49		5,000		5,156,368
Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A3		3.050%		04/10/49		6,500		6,765,717
Citigroup Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class AMFX		5.366%	(b)	12/11/49		6,000		6,103,072
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4		5.223%		08/15/48		644		645,551
Commercial Mortgage Trust, Series 2012-CR5, Class A3		2.540%		12/10/45		1,000		1,030,749
Commercial Mortgage Trust, Series 2013-CR7, Class A3		2.929%		03/10/46		1,700		1,784,975
Commercial Mortgage Trust, Series 2014-CR15, Class A2		2.928%		02/10/47		2,700		2,791,003
Commercial Mortgage Trust, Series 2014-CR18, Class A4		3.550%		07/15/47		2,800		3,028,415

SEE NOTES TO FINANCIAL STATEMENTS.

A76

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Commercial Mortgage Trust, Series 2014-CR20, Class A3		3.326%		11/10/47		5,000	$	5,349,960
Commercial Mortgage Trust, Series 2014-UBS3, Class A2		2.844%		06/10/47		2,300		2,382,934
Commercial Mortgage Trust, Series 2015-CR27, Class A3		3.349%		10/10/48		6,100		6,481,843
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class A3		3.544%		11/15/48		3,000		3,194,511
Eleven Madison Mortgage Trust, Series 2015-11MD, Class A, 144A		3.673%	(b)	09/10/35		1,100		1,195,358
Fannie Mae-Aces, Series 2014-M2, Class A2		3.513%	(b)	12/25/23		2,515		2,792,227
Fannie Mae-Aces, Series 2015-M10, Class A2		3.092%	(b)	04/25/27		6,500		7,057,895
Fannie Mae-Aces, Series 2015-M17, Class A2		3.038%	(b)	11/25/25		3,900		4,159,991
FHLMC Multifamily Structured Pass-Through Certificates, Series K017, Class A2		2.873%		12/25/21		3,500		3,710,179
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class A2		2.373%		05/25/22		2,000		2,073,885
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO		1.584%	(b)	05/25/22		24,733		1,745,328
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO		1.620%	(b)	06/25/22		7,001		502,488
FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2		3.320%	(b)	02/25/23		5,800		6,360,036
FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2		3.531%	(b)	07/25/23		2,400		2,665,095
FHLMC Multifamily Structured Pass-Through Certificates, Series K041, Class A2		3.171%		10/25/24		7,520		8,191,762
FHLMC Multifamily Structured Pass-Through Certificates, Series K047, Class A2		3.329%		05/25/25		5,615		6,186,685
FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class X1, IO		1.369%	(b)	03/25/26		28,045		2,939,113
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, IO		1.610%	(b)	08/25/16		3,248		710
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO		1.894%	(b)	05/25/19		18,791		792,576
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO		1.818%	(b)	07/25/19		20,159		869,386
FHLMC Multifamily Structured Pass-Through Certificates, Series KS03, Class A4		3.161%	(b)	05/25/25		2,500		2,704,039
GS Mortgage Securities Trust, Series 2015-GC28, Class A4		3.136%		02/10/48		4,000		4,198,510
GS Mortgage Securities Trust, Series 2015-GC32, Class A3		3.498%		07/10/48		5,800		6,272,592
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1		3.408%		11/15/47		1,400		1,498,731
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1		2.920%		02/15/48		6,000		6,205,759
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3		3.139%		06/15/45		1,385		1,415,906
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4		2.611%		12/15/47		1,700		1,754,587
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4		2.875%		12/15/47		3,900		4,075,331
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2		3.070%		12/15/46		2,012		2,081,055
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46		1,400		1,445,859
Merrill Lynch-Countrywide Commercial Mortgage Trust, Series 2007-6, Class A2		5.331%		03/12/51		1,453		1,463,477
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3		2.863%		12/15/48		1,500		1,572,009
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3		3.451%		07/15/50		5,000		5,387,282
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class A31		5.439%		02/12/44		133		132,994
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB		5.444%		02/12/44		118		117,937
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4		2.792%		12/10/45		1,700		1,769,745
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3		2.920%		03/10/46		3,900		4,079,440
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3		2.971%		04/10/46		1,800		1,884,119

SEE NOTES TO FINANCIAL STATEMENTS.

A77

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4		5.509%		04/15/47		3,703	$	3,756,853
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A		5.608%	(b)	05/15/46		1,209		1,238,811
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class A3		3.354%		09/15/57		6,000		6,392,386
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $172,499,967)								178,381,114
CORPORATE BONDS — 10.3%
Agriculture — 0.1%
Altria Group, Inc., Gtd. Notes		4.000%		01/31/24		1,500		1,678,110
Altria Group, Inc., Gtd. Notes		9.950%		11/10/38		46		82,751
Altria Group, Inc., Gtd. Notes		10.200%		02/06/39		84		155,667
Bunge Ltd. Finance Corp., Gtd. Notes		8.500%		06/15/19		930		1,087,425
Imperial Brands Finance PLC (United Kingdom), Gtd. Notes, 144A		2.050%		02/11/18		2,050		2,067,777
Reynolds American, Inc., Gtd. Notes		3.500%		08/04/16		465		465,962
Reynolds American, Inc., Gtd. Notes		8.125%		06/23/19		325		385,321
								5,923,013
Airlines — 0.2%
American Airlines, Inc. Pass-Through Trust, Pass-Through Certificates, Series 2015-1, Class A		3.375%		05/01/27		3,112		3,130,987
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A		6.648%		09/15/17		38		38,461
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A		7.250%		11/10/19		547		624,921
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A		4.750%		01/12/21		628		669,090
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A		4.000%		10/29/24		615		645,561
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A		6.821%		08/10/22		288		335,016
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A		4.950%		05/23/19		408		431,323
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A		5.300%		04/15/19		828		882,197
								6,757,556
Auto Manufacturers — 0.3%
Ford Motor Co., Sr. Unsec’d. Notes		4.750%		01/15/43		1,355		1,434,244
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes		4.134%		08/04/25		295		316,285
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, GMTN		4.389%		01/08/26		1,345		1,468,267
General Motors Co., Sr. Unsec’d. Notes		6.250%		10/02/43		1,395		1,549,640
General Motors Co., Sr. Unsec’d. Notes		6.600%		04/01/36		760		871,498
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A		2.850%		01/15/21		4,705		4,915,365
Harley-Davidson Financial Services, Inc., Gtd. Notes, MTN, 144A		2.700%		03/15/17		450		454,516
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A		4.250%		11/15/19		715		729,300
								11,739,115
Banks — 3.0%
Bank Nederlandse Gemeenten NV (Netherlands), Sr. Unsec’d. Notes, 144A		2.375%		03/16/26		2,310		2,423,952
Bank Nederlandse Gemeenten NV (Netherlands), Sr. Unsec’d. Notes, 144A		2.625%		04/28/21		2,570		2,719,099
Bank of America Corp., Jr. Sub. Notes		6.300%	(b)	12/31/49		445		472,813
Bank of America Corp., Series K, Jr. Sub. Notes		8.000%	(b)	07/29/49		2,200		2,186,250
Bank of America Corp., Sr. Unsec’d. Notes		5.700%		01/24/22		2,330		2,697,716
Bank of America Corp., Sr. Unsec’d. Notes		6.000%		09/01/17		1,075		1,130,155
Bank of America Corp., Sr. Unsec’d. Notes, GMTN		3.300%		01/11/23		780		802,735
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.000%		04/01/24		975		1,040,611
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.125%		01/22/24		3,820		4,108,712
Bank of America Corp., Sr. Unsec’d. Notes, Series 1		3.750%		07/12/16		870		870,418
Bank of America Corp., Sub. Notes		5.750%		08/15/16		1,775		1,783,431
Bank of America Corp., Sub. Notes, GMTN		4.450%		03/03/26		3,880		4,058,232

SEE NOTES TO FINANCIAL STATEMENTS.

A78

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Banks (continued)
Bank of America Corp., Sub. Notes, MTN		4.000%			01/22/25		2,000	$	2,038,622
Bank of America NA, Sub. Notes		5.300%			03/15/17		930		955,079
Bank of America NA, Sub. Notes		6.000%			10/15/36		410		523,192
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes		4.375%			01/12/26		1,590		1,605,423
Capital One Financial Corp., Sr. Unsec’d. Notes		3.750%			04/24/24		4,560		4,757,384
Citigroup, Inc., Jr. Sub. Notes		5.950%	(b)		12/29/49		2,205		2,148,276
Citigroup, Inc., Jr. Sub. Notes		6.125%	(b)		12/29/49		1,375		1,395,625
Citigroup, Inc., Jr. Sub. Notes		6.250%	(b)		12/29/49		625		642,187
Citigroup, Inc., Sr. Unsec’d. Notes		3.700%			01/12/26		2,440		2,568,559
Citigroup, Inc., Sr. Unsec’d. Notes		4.500%			01/14/22		2,450		2,708,093
Citigroup, Inc., Sr. Unsec’d. Notes		8.125%			07/15/39		710		1,107,339
Citigroup, Inc., Sub. Notes		4.450%			09/29/27		1,965		2,024,168
Compass Bank, Sr. Unsec’d. Notes		1.850%			09/29/17		1,270		1,266,283
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, GMTN		3.375%			05/12/21		4,040		4,053,906
Discover Bank, Sr. Unsec’d. Notes		4.250%			03/13/26		970		1,014,563
Discover Bank, Sub. Notes		7.000%			04/15/20		570		649,174
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes		5.375%	(b)		12/29/49		2,215		2,190,458
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(a)		3.500%			01/23/25		4,100		4,212,783
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		3.750%			02/25/26		1,010		1,063,026
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.250%			07/27/21		2,055		2,319,031
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.750%			01/24/22		3,620		4,202,675
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.250%			02/01/41		270		349,408
Goldman Sachs Group, Inc. (The), Sub. Notes		6.750%			10/01/37		104		128,288
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		4.875%			01/14/22		1,910		2,095,872
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		5.100%			04/05/21		1,025		1,130,989
JPMorgan Chase & Co., Jr. Sub. Notes(a)		6.100%	(b)		12/29/49		1,275		1,314,844
JPMorgan Chase & Co., Jr. Sub. Notes		7.900%	(b)		04/29/49		2,000		2,040,000
JPMorgan Chase & Co., Sr. Unsec’d. Notes		4.250%			10/15/20		2,930		3,193,553
JPMorgan Chase & Co., Sub. Notes		3.875%			09/10/24		3,775		3,908,397
JPMorgan Chase & Co., Sub. Notes		4.950%			06/01/45		515		565,459
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(f)		6.875%			02/06/12		1,715		115,763
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(f)		6.875%			05/02/18		700		49,000
Lloyds Bank PLC (United Kingdom), Gtd. Notes, MTN, 144A		5.800%			01/13/20		1,870		2,091,920
Manufacturers & Traders Trust Co., Sr. Unsec’d. Notes		2.900%			02/06/25		3,080		3,156,852
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, GMTN		6.400%			08/28/17		20		21,103
Morgan Stanley, Jr. Sub. Notes		5.450%	(b)		07/29/49		840		806,400
Morgan Stanley, Sr. Unsec’d. Notes		5.750%			01/25/21		1,400		1,596,203
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		3.750%			02/25/23		940		995,624
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		5.450%			01/09/17		1,345		1,373,753
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		5.500%			07/28/21		1,290		1,473,019
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		6.625%			04/01/18		105		113,796
Morgan Stanley, Sr. Unsec’d. Notes, MTN		5.625%			09/23/19		1,415		1,569,954
Morgan Stanley, Sr. Unsec’d. Notes, MTN		6.375%			07/24/42		780		1,056,293
Morgan Stanley, Sub. Notes, GMTN		4.350%			09/08/26		3,825		4,001,398
MUFG Capital Finance 1 Ltd. (Japan), Gtd. Notes		6.346%	(b)		07/29/49		800		800,000
National City Corp., Sub. Notes		6.875%			05/15/19		3,370		3,798,509
Nordea Bank AB (Sweden), Sr. Unsec’d. Notes, MTN, 144A		1.875%			09/17/18		2,110		2,131,488
North American Development Bank (Supranational Bank), Sr. Unsec’d. Notes		2.400%			10/26/22		1,095		1,118,161
North American Development Bank (Supranational Bank), Sr. Unsec’d. Notes		4.375%			02/11/20		800		873,346
People’s United Bank, Sub. Notes		4.000%			07/15/24		465		474,641
PNC Bank NA, Sr. Unsec’d. Notes		1.950%			03/04/19		515		522,751
PNC Bank NA, Sub. Notes		3.800%			07/25/23		270		291,119
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes		2.450%			01/10/19		1,210		1,235,807
US Bancorp, Sub. Notes, MTN		2.950%			07/15/22		1,120		1,165,512
									113,299,192

SEE NOTES TO FINANCIAL STATEMENTS.

A79

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Beverages — 0.1%
Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes		4.700%	02/01/36		855	$	960,787
Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes		4.900%	02/01/46		225		263,664
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes		8.000%	11/15/39		1,285		2,008,088
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes		8.200%	01/15/39		250		398,437
Constellation Brands, Inc., Gtd. Notes		4.250%	05/01/23		1,400		1,456,000
							5,086,976
Biotechnology — 0.1%
Amgen, Inc., Sr. Unsec’d. Notes, 144A		4.663%	06/15/51		1,834		1,916,187
Gilead Sciences, Inc., Sr. Unsec’d. Notes		3.500%	02/01/25		1,460		1,556,477
Gilead Sciences, Inc., Sr. Unsec’d. Notes		5.650%	12/01/41		185		231,529
							3,704,193
Building Materials — 0.1%
Owens Corning, Inc., Gtd. Notes		4.200%	12/15/22		775		826,410
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A (original cost $1,423,250; purchased 10/27/14-02/11/15)(c)(g)		5.375%	11/15/24		1,400		1,424,500
							2,250,910
Chemicals — 0.2%
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		3.150%	10/01/22		780		794,471
Celanese US Holdings LLC, Gtd. Notes(a)		5.875%	06/15/21		1,500		1,676,250
CF Industries, Inc., Gtd. Notes		5.375%	03/15/44		585		551,687
Dow Chemical Co. (The), Sr. Unsec’d. Notes		4.625%	10/01/44		45		47,654
Dow Chemical Co. (The), Sr. Unsec’d. Notes		9.400%	05/15/39		347		542,594
LyondellBasell Industries NV, Sr. Unsec’d. Notes		4.625%	02/26/55		1,185		1,156,509
LyondellBasell Industries NV, Sr. Unsec’d. Notes		5.000%	04/15/19		1,000		1,082,384
Monsanto Co., Sr. Unsec’d. Notes		4.400%	07/15/44		55		53,930
Mosaic Co. (The), Sr. Unsec’d. Notes		5.450%	11/15/33		345		381,547
Mosaic Co. (The), Sr. Unsec’d. Notes		5.625%	11/15/43		1,135		1,258,856
Union Carbide Corp., Sr. Unsec’d. Notes		7.500%	06/01/25		460		575,990
							8,121,872
Commercial Services — 0.1%
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,299,722; purchased 10/10/07)(c)(g)		6.375%	10/15/17		1,302		1,380,116
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $501,539; purchased 05/30/13)(c)(g)		6.700%	06/01/34		420		556,458
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $376,709; purchased 10/10/07)(c)(g)		7.000%	10/15/37		380		517,702
United Rentals North America, Inc., Gtd. Notes		5.875%	09/15/26		485		481,363
United Rentals North America, Inc., Gtd. Notes		7.375%	05/15/20		168		174,720
							3,110,359
Computers — 0.2%
Apple, Inc., Sr. Unsec’d. Notes		3.450%	02/09/45		890		836,290
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A		3.480%	06/01/19		1,085		1,111,485
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A		4.420%	06/15/21		920		946,930
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes, 144A		2.450%	10/05/17		3,925		3,975,868
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes, 144A		2.850%	10/05/18		735		752,684
Seagate HDD Cayman, Gtd. Notes		3.750%	11/15/18		605		605,381
							8,228,638
Diversified Financial Services — 0.4%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes		3.750%	05/15/19		775		780,813
American Express Co., Sr. Unsec’d. Notes		2.650%	12/02/22		1,060		1,073,856
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes		6.400%	10/02/17		330		350,605
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes		7.250%	02/01/18		1,175		1,280,862
Capital One Bank USA NA, Sub. Notes		3.375%	02/15/23		1,560		1,593,386

SEE NOTES TO FINANCIAL STATEMENTS.

A80

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Diversified Financial Services (continued)
Discover Financial Services, Sr. Unsec’d. Notes		3.850%	11/21/22		900	$	914,035
GE Capital International Funding Co., Gtd. Notes, 144A		2.342%	11/15/20		766		789,103
GE Capital International Funding Co., Gtd. Notes, 144A		4.418%	11/15/35		3,270		3,667,586
Jefferies Group LLC, Sr. Unsec’d. Notes		6.500%	01/20/43		560		556,043
Navient Corp., Sr. Unsec’d. Notes, MTN		8.450%	06/15/18		240		259,500
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN		2.000%	09/13/16		820		821,415
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes		2.450%	07/15/24		475		496,029
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes		3.250%	06/15/25		1,155		1,279,939
Synchrony Financial, Sr. Unsec’d. Notes		2.700%	02/03/20		2,700		2,707,390
							16,570,562
Electric — 0.5%
Arizona Public Service Co., Sr. Unsec’d. Notes		6.250%	08/01/16		175		175,664
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes		6.350%	10/01/36		550		751,034
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes		6.125%	04/01/36		310		411,070
Black Hills Corp., Sr. Unsec’d. Notes		2.500%	01/11/19		1,245		1,270,973
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge.		6.950%	03/15/33		590		842,015
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes		5.500%	12/01/39		220		277,359
Dominion Resources, Inc., Jr. Sub. Notes		4.104%	04/01/21		3,210		3,396,931
Duke Energy Carolinas LLC, First Mortgage		6.050%	04/15/38		550		749,489
Duke Energy Carolinas LLC, First Ref. Mortgage		4.000%	09/30/42		570		613,870
Dynegy, Inc., Gtd. Notes		6.750%	11/01/19		455		455,569
Dynegy, Inc., Gtd. Notes		7.375%	11/01/22		345		332,925
El Paso Electric Co., Sr. Unsec’d. Notes		6.000%	05/15/35		670		820,347
Emera US Finance LP (Canada), Gtd. Notes, 144A		3.550%	06/15/26		990		1,013,007
Eversource Energy, Sr. Unsec’d. Notes		4.500%	11/15/19		615		674,028
Exelon Generation Co. LLC, Sr. Unsec’d. Notes		6.250%	10/01/39		1,425		1,565,293
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A		5.450%	07/15/44		355		386,782
Florida Power & Light Co., First Mortgage		5.950%	10/01/33		295		388,528
Iberdrola International BV (Spain), Gtd. Notes		6.750%	09/15/33		145		169,709
Nevada Power Co., Gen. Ref. Mtge.		6.500%	05/15/18		1,260		1,382,881
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A		4.881%	08/15/19		610		667,822
NiSource Finance Corp., Gtd. Notes		5.450%	09/15/20		350		396,184
NRG Energy, Inc., Gtd. Notes, 144A		7.250%	05/15/26		895		890,525
Public Service Co. of New Mexico, Sr. Unsec’d. Notes		7.950%	05/15/18		140		155,906
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN		5.800%	05/01/37		535		709,085
Southern California Edison Co., First Mortgage		3.600%	02/01/45		860		893,252
Xcel Energy, Inc., Sr. Unsec’d. Notes		4.800%	09/15/41		480		551,656
Xcel Energy, Inc., Sr. Unsec’d. Notes		5.613%	04/01/17		199		205,697
							20,147,601
Engineering & Construction
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A (original cost $740,000; purchased 06/19/14)(c)(g)		5.250%	06/27/29		740		294,520
Entertainment
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes		4.375%	11/01/18		1,000		1,026,250
Food — 0.1%
Kraft Heinz Foods Co., Gtd. Notes, 144A		3.000%	06/01/26		1,630		1,643,330
Kraft Heinz Foods Co., Gtd. Notes, 144A		4.375%	06/01/46		475		502,323
Kraft Heinz Foods Co., Gtd. Notes, 144A		5.000%	07/15/35		815		934,741
							3,080,394
Food Service
Aramark Services, Inc., Gtd. Notes		5.125%	01/15/24		275		280,500
Forest Products & Paper — 0.1%
Georgia-Pacific LLC, Gtd. Notes, 144A (original cost $288,298; purchased 10/27/10)(c)(g)		5.400%	11/01/20		290		328,458
International Paper Co., Sr. Unsec’d. Notes		6.000%	11/15/41		1,595		1,890,532
International Paper Co., Sr. Unsec’d. Notes		7.950%	06/15/18		510		574,866
							2,793,856

SEE NOTES TO FINANCIAL STATEMENTS.

A81

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Gas
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes		4.800%		11/01/43		65	$	70,425
Healthcare – Products — 0.3%
Becton Dickinson and Co., Sr. Unsec’d. Notes		3.734%		12/15/24		1,025		1,104,070
Medtronic, Inc., Gtd. Notes		3.500%		03/15/25		3,205		3,493,851
Medtronic, Inc., Gtd. Notes		4.375%		03/15/35		1,269		1,435,417
St Jude Medical, Inc., Sr. Unsec’d. Notes		2.000%		09/15/18		4,910		4,966,097
								10,999,435
Healthcare – Services — 0.4%
Aetna, Inc., Sr. Unsec’d. Notes		6.625%		06/15/36		515		686,621
Aetna, Inc., Sr. Unsec’d. Notes		6.750%		12/15/37		1,380		1,871,719
Anthem, Inc., Sr. Unsec’d. Notes		4.625%		05/15/42		390		409,092
Anthem, Inc., Sr. Unsec’d. Notes		4.650%		01/15/43		360		375,705
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes		5.125%		08/15/18		221		224,178
Cigna Corp., Sr. Unsec’d. Notes		5.875%		03/15/41		650		797,581
Cigna Corp., Sr. Unsec’d. Notes		6.150%		11/15/36		670		829,944
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A		4.125%		10/15/20		1,665		1,710,787
HCA, Inc., Sr. Sec’d. Notes		4.250%		10/15/19		555		578,587
HCA, Inc., Sr. Sec’d. Notes		5.000%		03/15/24		1,100		1,138,500
HCA, Inc., Sr. Sec’d. Notes		5.250%		04/15/25		400		418,000
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes		3.200%		02/01/22		190		196,532
New York & Presbyterian Hospital (The), Unsec’d. Notes		4.024%		08/01/45		445		484,838
Roche Holdings, Inc. (Switzerland), Gtd. Notes, 144A		2.875%		09/29/21		5,305		5,642,663
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		3.950%		10/15/42		720		753,299
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.000%		06/15/17		195		204,175
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.625%		11/15/37		420		593,730
								16,915,951
Home Builders
D.R. Horton, Inc., Gtd. Notes		3.625%		02/15/18		450		457,177
Housewares — 0.1%
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes		4.200%		04/01/26		795		861,821
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes		6.250%		04/15/18		1,700		1,822,456
								2,684,277
Insurance — 0.7%
Allied World Assurance Co. Holdings Ltd., Gtd. Notes		5.500%		11/15/20		525		584,543
American International Group, Inc., Sr. Unsec’d. Notes		4.500%		07/16/44		1,980		1,915,539
Axis Specialty Finance LLC, Gtd. Notes		5.875%		06/01/20		1,030		1,151,328
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes		3.125%		03/15/26		2,455		2,574,176
Chubb Corp. (The), Gtd. Notes		6.375%	(b)	04/15/37		1,300		1,131,000
Chubb INA Holdings, Inc., Gtd. Notes		3.350%		05/03/26		945		1,007,275
Chubb INA Holdings, Inc., Gtd. Notes		4.350%		11/03/45		130		149,555
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes		5.125%		04/15/22		755		858,658
Liberty Mutual Group, Inc., Gtd. Notes, 144A		6.500%		05/01/42		365		442,062
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A		7.000%		03/15/34		850		1,063,358
Lincoln National Corp., Sr. Unsec’d. Notes		6.300%		10/09/37		1,272		1,499,956
Lincoln National Corp., Sr. Unsec’d. Notes		7.000%		06/15/40		705		907,886
Lincoln National Corp., Sr. Unsec’d. Notes		8.750%		07/01/19		605		715,666
Markel Corp., Sr. Unsec’d. Notes		5.000%		03/30/43		200		213,285
New York Life Global Funding, Sec’d. Notes, 144A		1.950%		02/11/20		3,030		3,067,814
New York Life Insurance Co., Sub. Notes, 144A		6.750%		11/15/39		660		901,802
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A		5.100%	(b)	10/16/44		1,925		2,071,523
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A		6.063%		03/30/40		370		473,280
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A		6.375%		04/30/20		680		768,290
Pacific Life Insurance Co., Sub. Notes, 144A		9.250%		06/15/39		910		1,379,747
Principal Financial Group, Inc., Gtd. Notes		4.625%		09/15/42		130		137,507
Progressive Corp. (The), Jr. Sub. Notes		6.700%	(b)	06/15/37		735		674,362

SEE NOTES TO FINANCIAL STATEMENTS.

A82

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Insurance (continued)
Progressive Corp. (The), Sr. Unsec’d. Notes		3.700%		01/26/45		710	$	730,776
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A		6.850%		12/16/39		1,450		1,969,761
Travelers Cos., Inc. (The), Sr. Unsec’d. Notes		4.300%		08/25/45		885		1,007,697
Unum Group, Sr. Unsec’d. Notes		5.625%		09/15/20		350		392,955
W.R. Berkley Corp., Sr. Unsec’d. Notes		6.150%		08/15/19		460		512,710
								28,302,511
Lodging — 0.2%
Choice Hotels International, Inc., Gtd. Notes		5.750%		07/01/22		1,000		1,071,900
Marriott International, Inc., Sr. Unsec’d. Notes		3.000%		03/01/19		580		598,554
Marriott International, Inc., Sr. Unsec’d. Notes		3.250%		09/15/22		980		1,017,940
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes		6.750%		05/15/18		2,800		3,054,422
Wyndham Worldwide Corp., Sr. Unsec’d. Notes		2.500%		03/01/18		490		495,109
								6,237,925
Machinery – Diversified — 0.1%
Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes		7.875%		12/01/17		1,255		1,349,125
SPX FLOW, Inc., Gtd. Notes		6.875%		09/01/17		625		650,781
Xylem, Inc., Sr. Unsec’d. Notes		4.875%		10/01/21		1,260		1,373,801
								3,373,707
Media — 0.4%
21st Century Fox America, Inc., Gtd. Notes		6.150%		03/01/37		515		639,236
21st Century Fox America, Inc., Gtd. Notes		6.900%		08/15/39		90		120,394
AMC Networks, Inc., Gtd. Notes		5.000%		04/01/24		1,520		1,504,610
Cablevision Systems Corp., Sr. Unsec’d. Notes		8.625%		09/15/17		1,000		1,056,250
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A		5.375%		05/01/25		880		893,200
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A(a)		6.384%		10/23/35		875		1,036,162
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A		6.484%		10/23/45		1,050		1,253,722
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes, 144A		6.834%		10/23/55		280		332,924
Comcast Cable Communications Holdings, Inc., Gtd. Notes		9.455%		11/15/22		255		363,669
Comcast Corp., Gtd. Notes		6.400%		05/15/38		530		729,534
Historic TW, Inc., Gtd. Notes		9.150%		02/01/23		505		678,813
Myriad International Holdings BV (South Africa), Gtd. Notes, RegS		6.375%		07/28/17		1,300		1,349,998
Time Warner Cable, Inc., Gtd. Notes		5.850%		05/01/17		1,710		1,770,149
Time Warner, Inc., Gtd. Notes		6.200%		03/15/40		210		257,920
Time Warner, Inc., Gtd. Notes		6.250%		03/29/41		1,465		1,843,640
Time Warner, Inc., Gtd. Notes		7.625%		04/15/31		90		123,447
Viacom, Inc., Sr. Unsec’d. Notes		4.500%		02/27/42		50		41,484
Viacom, Inc., Sr. Unsec’d. Notes		4.875%		06/15/43		200		176,562
Viacom, Inc., Sr. Unsec’d. Notes		5.850%		09/01/43		425		426,120
Videotron Ltd. (Canada), Gtd. Notes		5.000%		07/15/22		1,040		1,076,400
								15,674,234
Mining — 0.1%
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes		5.000%		09/30/43		920		1,069,014
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes, 144A		6.250%	(b)	10/19/75		1,135		1,195,155
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes		5.875%		04/23/45		530		499,299
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes		7.500%		07/27/35		425		469,455
								3,232,923
Miscellaneous Manufacturing — 0.1%
Actuant Corp., Gtd. Notes		5.625%		06/15/22		1,205		1,229,100
General Electric Co., Sr. Unsec’d. Notes		4.125%		10/09/42		190		208,986
General Electric Co., Sr. Unsec’d. Notes		4.500%		03/11/44		280		323,114
General Electric Co., Sr. Unsec’d. Notes, GMTN		6.000%		08/07/19		264		302,418
General Electric Co., Sr. Unsec’d. Notes, GMTN		6.875%		01/10/39		650		981,142

SEE NOTES TO FINANCIAL STATEMENTS.

A83

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Miscellaneous Manufacturing (continued)
General Electric Co., Sr. Unsec’d. Notes, MTN		5.875%		01/14/38		298	$	403,036
Koppers, Inc., Gtd. Notes		7.875%		12/01/19		1,300		1,326,000
								4,773,796
Oil & Gas — 0.5%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		4.677%	(h)	10/10/36		2,000		755,580
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.450%		09/15/36		325		374,437
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.600%		03/15/46		885		1,068,642
ConocoPhillips Co., Gtd. Notes(a)		4.950%		03/15/26		2,250		2,551,324
Devon Energy Corp., Sr. Unsec’d. Notes		5.000%		06/15/45		275		256,540
Devon Energy Corp., Sr. Unsec’d. Notes(a)		5.600%		07/15/41		125		120,773
Devon Energy Corp., Sr. Unsec’d. Notes		5.850%		12/15/25		550		606,697
Devon Financing Corp. LLC, Gtd. Notes		7.875%		09/30/31		1,700		1,978,246
EOG Resources, Inc., Sr. Unsec’d. Notes		3.900%		04/01/35		1,020		1,022,638
Helmerich & Payne International Drilling Co., Gtd. Notes		4.650%		03/15/25		1,995		2,128,649
Nabors Industries, Inc., Gtd. Notes		4.625%		09/15/21		1,070		981,867
Phillips 66, Gtd. Notes		2.950%		05/01/17		490		497,172
Pioneer Natural Resources Co., Sr. Unsec’d. Notes		6.875%		05/01/18		1,500		1,621,572
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A		5.400%		02/14/22		550		615,843
Shell International Finance BV (Netherlands), Gtd. Notes		3.250%		05/11/25		2,880		3,021,370
								17,601,350
Oil & Gas Services — 0.1%
Cameron International Corp., Sr. Unsec’d. Notes		4.500%		06/01/21		2,200		2,367,772
Schlumberger Holdings Corp., Sr. Unsec’d. Notes, 144A		4.000%		12/21/25		2,845		3,061,886
								5,429,658
Packaging & Containers — 0.1%
Ball Corp., Gtd. Notes		4.375%		12/15/20		630		662,681
Crown Americas LLC/Crown Americas Capital Corp. IV, Gtd. Notes		4.500%		01/15/23		1,100		1,122,000
WestRock RKT Co., Gtd. Notes		4.900%		03/01/22		800		888,050
								2,672,731
Pharmaceuticals — 0.3%
AbbVie, Inc., Sr. Unsec’d. Notes		3.600%		05/14/25		1,175		1,231,200
AbbVie, Inc., Sr. Unsec’d. Notes		4.500%		05/14/35		1,910		1,996,261
Actavis Funding SCS, Gtd. Notes		3.800%		03/15/25		1,000		1,041,828
Actavis Funding SCS, Gtd. Notes		4.550%		03/15/35		1,810		1,860,175
Actavis Funding SCS, Gtd. Notes		4.750%		03/15/45		435		456,782
Actavis, Inc., Gtd. Notes		6.125%		08/15/19		445		499,392
Johnson & Johnson, Sr. Unsec’d. Notes		3.550%		03/01/36		320		353,537
Merck & Co., Inc., Sr. Unsec’d. Notes		2.750%		02/10/25		420		439,160
Merck & Co., Inc., Sr. Unsec’d. Notes		3.700%		02/10/45		1,380		1,462,339
Novartis Capital Corp. (Switzerland), Gtd. Notes		4.400%		05/06/44		1,325		1,596,936
Wyeth LLC, Gtd. Notes		6.450%		02/01/24		60		77,072
Zoetis, Inc., Sr. Unsec’d. Notes		4.700%		02/01/43		120		118,903
								11,133,585
Pipelines — 0.2%
DCP Midstream LLC, Sr. Unsec’d. Notes, 144A		5.350%		03/15/20		717		702,660
Energy Transfer Partners LP, Sr. Unsec’d. Notes		4.650%		06/01/21		675		696,926
Energy Transfer Partners LP, Sr. Unsec’d. Notes(a)		4.900%		03/15/35		250		220,867
EnLink Midstream Partners LP, Sr. Unsec’d. Notes		4.150%		06/01/25		820		755,722
Enterprise Products Operating LLC, Gtd. Notes		3.750%		02/15/25		1,345		1,402,813
Enterprise Products Operating LLC, Gtd. Notes		3.950%		02/15/27		1,705		1,808,369
Kinder Morgan Energy Partners LP, Gtd. Notes		5.950%		02/15/18		510		538,317
MPLX LP, Sr. Unsec’d. Notes		4.000%		02/15/25		1,430		1,298,949
ONEOK Partners LP, Gtd. Notes		6.650%		10/01/36		145		151,762
								7,576,385

SEE NOTES TO FINANCIAL STATEMENTS.

A84

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Real Estate
ProLogis LP, Gtd. Notes		6.875%	03/15/20		72	$	84,758
Real Estate Investment Trusts (REITs) — 0.1%
Mack-Cali Realty LP, Sr. Unsec’d. Notes		7.750%	08/15/19		765		863,494
Select Income REIT, Sr. Unsec’d. Notes		2.850%	02/01/18		715		720,601
Simon Property Group LP, Sr. Unsec’d. Notes		2.800%	01/30/17		295		296,901
Simon Property Group LP, Sr. Unsec’d. Notes		3.375%	03/15/22		230		246,193
							2,127,189
Retail — 0.3%
CVS Health Corp., Sr. Unsec’d. Notes		5.125%	07/20/45		820		1,017,272
CVS Health Corp., Sr. Unsec’d. Notes		5.300%	12/05/43		225		280,875
Home Depot, Inc. (The), Sr. Unsec’d. Notes		3.000%	04/01/26		730		775,824
Home Depot, Inc. (The), Sr. Unsec’d. Notes		4.400%	03/15/45		755		874,882
L Brands, Inc., Gtd. Notes		5.625%	02/15/22		1,450		1,560,200
Lowe’s Cos., Inc., Sr. Unsec’d. Notes		6.500%	03/15/29		385		528,241
Macy’s Retail Holdings, Inc., Gtd. Notes		3.875%	01/15/22		360		370,116
McDonald’s Corp., Sr. Unsec’d. Notes, MTN		3.700%	01/30/26		2,620		2,830,763
Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes(a)		5.625%	12/01/25		1,375		1,440,313
Target Corp., Sr. Unsec’d. Notes		3.500%	07/01/24		345		382,281
							10,060,767
Savings & Loans
People’s United Financial, Inc., Sr. Unsec’d. Notes		3.650%	12/06/22		1,455		1,497,647
Semiconductors
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A		5.750%	03/15/23		1,500		1,567,500
Software — 0.2%
Fidelity National Information Services, Inc., Gtd. Notes		3.625%	10/15/20		2,210		2,336,235
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes		2.850%	10/15/18		1,650		1,693,374
Microsoft Corp., Sr. Unsec’d. Notes		2.375%	02/12/22		3,085		3,183,834
Microsoft Corp., Sr. Unsec’d. Notes		3.125%	11/03/25		1,380		1,478,016
Oracle Corp., Sr. Unsec’d. Notes		4.300%	07/08/34		920		978,442
							9,669,901
Telecommunications — 0.5%
America Movil SAB de CV (Mexico), Gtd. Notes		6.125%	03/30/40		280		343,309
AT&T Corp., Gtd. Notes		8.250%	11/15/31		7		10,068
AT&T, Inc., Sr. Unsec’d. Notes		3.400%	05/15/25		3,460		3,539,258
AT&T, Inc., Sr. Unsec’d. Notes		4.500%	05/15/35		430		439,887
AT&T, Inc., Sr. Unsec’d. Notes		4.750%	05/15/46		875		896,764
AT&T, Inc., Sr. Unsec’d. Notes		4.800%	06/15/44		1,000		1,026,611
AT&T, Inc., Sr. Unsec’d. Notes		5.150%	03/15/42		860		927,907
AT&T, Inc., Sr. Unsec’d. Notes		5.350%	09/01/40		815		891,522
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes		9.375%	12/15/30		400		616,272
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.522%	09/15/48		2,025		2,108,633
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.672%	03/15/55		2,056		2,079,521
Verizon Communications, Inc., Sr. Unsec’d. Notes(a)		4.862%	08/21/46		1,256		1,372,917
Verizon Communications, Inc., Sr. Unsec’d. Notes		5.012%	08/21/54		3,127		3,306,965
							17,559,634
Transportation — 0.1%
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes		6.700%	08/01/28		670		916,794
CSX Corp., Sr. Unsec’d. Notes		6.150%	05/01/37		715		931,923
Norfolk Southern Corp., Sr. Unsec’d. Notes		5.590%	05/17/25		100		121,208
							1,969,925
TOTAL CORPORATE BONDS (cost $372,137,268)							394,088,898

SEE NOTES TO FINANCIAL STATEMENTS.

A85

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

FOREIGN AGENCIES — 0.6%	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A		3.150%	07/24/24		800	$	859,762
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A		4.875%	01/15/24		645		674,831
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes		2.000%	05/10/19		1,410		1,425,750
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes		5.125%	06/29/20		400		450,133
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		4.950%	07/19/22		350		362,516
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.510%	03/07/22		580		633,766
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A		2.125%	04/13/21		800		813,236
KFW (Germany), Gov’t. Gtd. Notes, GMTN		2.750%	10/01/20		3,525		3,754,946
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A		1.125%	05/23/18		3,158		3,170,042
Petroleos Mexicanos (Mexico), Gtd. Notes		5.500%	01/21/21		1,110		1,175,379
Petroleos Mexicanos (Mexico), Gtd. Notes		8.625%	12/01/23		350		412,125
Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.299%	05/15/17		1,030		1,058,531
Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A		1.750%	04/10/17		1,620		1,625,284
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A		2.500%	04/28/20		1,250		1,263,484
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A		2.750%	05/07/19		665		684,874
Svensk Exportkredit AB (Sweden), Sr. Unsec’d. Notes, GMTN		1.750%	03/10/21		3,100		3,158,826
TOTAL FOREIGN AGENCIES (cost $21,069,565)							21,523,485
MUNICIPAL BONDS — 0.4%
California — 0.2%
Bay Area Toll Authority, Revenue Bonds, BABs		6.263%	04/01/49		1,325		2,023,580
State of California, GO, BABs		7.300%	10/01/39		1,270		1,921,866
State of California, GO, BABs(a)		7.500%	04/01/34		475		720,499
State of California, GO, BABs		7.550%	04/01/39		245		387,663
State of California, GO, BABs		7.625%	03/01/40		215		339,167
							5,392,775
Colorado
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs		5.844%	11/01/50		680		991,141
Illinois
Chicago O’Hare International Airport, Revenue Bonds, BABs		6.395%	01/01/40		1,030		1,464,310
New Jersey — 0.1%
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs		7.414%	01/01/40		1,070		1,674,914
New York — 0.1%
New York City Transitional Finance Authority, Revenue Bonds, BABs		5.767%	08/01/36		1,130		1,480,752
Ohio
Ohio State University (The), Revenue Bonds, BABs		4.910%	06/01/40		455		576,385
Ohio State Water Development Authority, Revenue Bonds, BABs		4.879%	12/01/34		300		361,920
							938,305
Oregon
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs		5.834%	11/15/34		445		608,399
Pennsylvania
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs		5.511%	12/01/45		550		722,639
Tennessee
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs		6.731%	07/01/43		1,000		1,385,900
TOTAL MUNICIPAL BONDS (cost $10,338,080)							14,659,135
SOVEREIGN BONDS — 0.5%
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.000%	02/26/24		1,475		1,540,637
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.375%	07/12/21		500		536,750
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		4.000%	03/25/19		580		601,750

SEE NOTES TO FINANCIAL STATEMENTS.

A86

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

SOVEREIGN BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		6.375%		03/29/21		2,280	$	2,595,488
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		7.625%		03/29/41		1,500		2,175,000
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, RegS		4.875%		05/05/21		1,120		1,216,027
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A		5.875%		03/13/20		1,135		1,262,215
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A		5.875%		01/15/24		950		1,098,645
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes		3.625%		03/15/22		700		737,800
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN		4.750%		03/08/44		1,006		1,083,965
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		3.750%		03/16/25		600		633,000
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		4.000%		09/22/24		515		552,337
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		5.200%		01/30/20		620		686,650
Province of Manitoba (Canada), Sr. Unsec’d. Notes		2.125%		06/22/26		1,395		1,386,760
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A		4.875%		01/22/24		190		209,494
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, RegS		6.125%		01/22/44		400		498,880
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes		7.000%		06/05/20		1,710		1,939,431
TOTAL SOVEREIGN BONDS (cost $18,136,512)								18,754,829
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.6%
Alternative Loan Trust, Series 2004-18CB, Class 3A1		5.250%		09/25/19		154		154,551
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1		6.000%		01/25/36		1,346		1,127,042
Banc of America Funding Trust, Series 2015-R4, Class 4A1, 144A		3.500%	(b)	07/26/36		2,037		2,035,306
Banc of America Funding Trust, Series 2015-R6, Class 1A1, 144A		0.608%	(b)	08/26/36		1,287		1,186,841
Bank of America Mortgage Trust, Series 2005-A, Class 2A1		2.953%	(b)	02/25/35		686		659,213
Bank of America Mortgage Trust, Series 2005-B, Class 2A1		3.051%	(b)	03/25/35		247		227,457
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5		2.888%	(b)	02/25/37		578		551,908
Credit Suisse Mortgage Trust, Series 2015-12R, Class 1A1, 144A(d)		2.434%	(b)	10/30/47		903		900,168
Fannie Mae Connecticut Avenue Securities, Series 2014-CO4, Class 1M1(i)		2.403%	(b)	11/25/24		2,049		2,057,380
Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 1M1(i)		1.953%	(b)	02/25/25		478		478,178
Fannie Mae Connecticut Avenue Securities, Series 2015-C02, Class 1M1(i)		1.603%	(b)	05/25/25		3,418		3,413,748
Fannie Mae Connecticut Avenue Securities, Series 2016-C02, Class 1M1(i)		2.603%	(b)	09/25/28		1,454		1,471,269
Fannie Mae Connecticut Avenue Securities, Series 2016-C03, Class 2M1(i)		2.653%	(b)	10/25/28		1,926		1,946,066
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1(i)		1.353%	(b)	10/25/27		8,040		8,037,766
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M1(i)		1.803%	(b)	04/25/28		2,331		2,335,391
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M1(i)		1.903%	(b)	07/25/28		3,658		3,669,854
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA3, Class M2(i)		2.446%	(b)	12/25/28		1,725		1,736,489
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M2(i)		2.703%	(b)	11/25/28		1,600		1,609,276
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1		2.948%	(b)	07/25/35		323		322,146
LSTAR Securities Investment Trust, Series 2014-1, Class NOTE, 144A(d)		3.539%	(b)	09/01/21		3,860		3,821,758
LSTAR Securities Investment Trust, Series 2014-2, Class A, 144A(d)		2.457%	(b)	12/01/21		781		766,919
LSTAR Securities Investment Trust, Series 2015-3, Class A, 144A		2.457%	(b)	03/01/20		3,342		3,273,537
LSTAR Securities Investment Trust, Series 2015-4, Class A1, 144A(d)		2.457%	(b)	04/01/20		1,075		1,053,013
LSTAR Securities Investment Trust, Series 2015-5, Class A1, 144A(d)		2.457%	(b)	04/01/20		1,842		1,807,601
LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A(d)		2.457%	(b)	05/01/20		5,353		5,232,725
LSTAR Securities Investment Trust, Series 2015-7, Class A, 144A		2.978%	(b)	07/01/20		1,759		1,728,559
LSTAR Securities Investment Trust, Series 2015-8, Class A1, 144A		2.457%	(b)	08/01/20		1,807		1,773,528
LSTAR Securities Investment Trust, Series 2015-9, Class A1, 144A		2.457%	(b)	10/01/20		1,894		1,859,462
LSTAR Securities Investment Trust, Series 2015-10, Class A1, 144A(d)		2.457%	(b)	11/01/20		947		926,090
LSTAR Securities Investment Trust, Series 2016-1, Class A1, 144A		2.439%	(b)	01/01/21		3,777		3,665,345
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1		5.000%		04/25/19		47		47,040

SEE NOTES TO FINANCIAL STATEMENTS.

A87

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		2.830%	(b)	02/25/34		279	$	276,431
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A		5.000%		03/25/20		66		66,044
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $60,557,556)								60,218,101
U.S. GOVERNMENT AGENCY OBLIGATIONS — 12.3%
Federal Home Loan Banks		5.500%		07/15/36		1,080		1,558,186
Federal Home Loan Mortgage Corp.		2.500%		TBA		7,500		7,751,130
Federal Home Loan Mortgage Corp.		2.500%		03/01/30		864		896,759
Federal Home Loan Mortgage Corp.		2.598%	(b)	12/01/35		281		295,096
Federal Home Loan Mortgage Corp.		2.710%	(b)	06/01/36		425		448,967
Federal Home Loan Mortgage Corp.		3.000%		TBA		6,000		6,222,918
Federal Home Loan Mortgage Corp.		3.000%		10/01/28-06/01/45		14,383		15,014,661
Federal Home Loan Mortgage Corp.(j)		3.500%		TBA		24,500		25,805,860
Federal Home Loan Mortgage Corp.		3.500%		12/01/25-06/01/42		2,797		2,977,620
Federal Home Loan Mortgage Corp.(j)		4.000%		TBA		25,000		26,744,218
Federal Home Loan Mortgage Corp.		4.000%		06/01/26-01/01/42		5,268		5,641,640
Federal Home Loan Mortgage Corp.		4.500%		02/01/19-10/01/41		10,448		11,421,259
Federal Home Loan Mortgage Corp.		5.000%		07/01/18-06/01/39		2,745		3,004,019
Federal Home Loan Mortgage Corp.		5.500%		12/01/33-07/01/38		2,976		3,343,068
Federal Home Loan Mortgage Corp.		6.000%		03/01/32-08/01/39		1,528		1,755,564
Federal Home Loan Mortgage Corp.		7.000%		01/01/31-10/01/32		197		219,972
Federal National Mortgage Assoc.		2.322%	(b)	06/01/37		138		138,381
Federal National Mortgage Assoc.		2.432%	(b)	07/01/33		265		278,039
Federal National Mortgage Assoc.		2.500%		TBA		17,750		18,363,958
Federal National Mortgage Assoc.		2.500%		01/01/28-10/01/43		3,454		3,549,753
Federal National Mortgage Assoc.		3.000%		TBA		50,000		51,794,910
Federal National Mortgage Assoc.		3.000%		02/01/27-07/01/43		31,819		33,234,489
Federal National Mortgage Assoc.		3.500%		TBA		29,000		30,563,280
Federal National Mortgage Assoc.		3.500%		07/01/27-07/01/43		38,352		40,662,629
Federal National Mortgage Assoc.		4.000%		TBA		13,250		14,193,682
Federal National Mortgage Assoc.		4.000%		10/01/41-09/01/44		11,101		11,914,438
Federal National Mortgage Assoc.		4.500%		TBA		500		545,779
Federal National Mortgage Assoc.		4.500%		11/01/18-07/01/42		8,152		8,958,355
Federal National Mortgage Assoc.(j)		5.000%		TBA		7,000		7,777,120
Federal National Mortgage Assoc.		5.000%		10/01/18-02/01/36		3,008		3,344,195
Federal National Mortgage Assoc.		5.500%		12/01/16-08/01/37		4,438		5,008,139
Federal National Mortgage Assoc.		6.000%		09/01/17-05/01/38		4,081		4,696,283
Federal National Mortgage Assoc.		6.250%		05/15/29		1,415		2,060,735
Federal National Mortgage Assoc.		6.500%		07/01/17-09/01/37		1,525		1,785,013
Federal National Mortgage Assoc.		7.000%		02/01/32-07/01/32		171		200,282
Federal National Mortgage Assoc.(k)		7.125%		01/15/30		3,270		5,130,254
Federal National Mortgage Assoc.		7.500%		05/01/32		18		18,468
Financing Corp., Strips Principal, Series A-P		1.282%	(h)	10/06/17		906		897,933
Government National Mortgage Assoc.(j)		3.000%		TBA		24,500		25,600,127
Government National Mortgage Assoc.		3.000%		03/15/45		2,314		2,418,988
Government National Mortgage Assoc.(j)		3.500%		TBA		42,000		44,554,220
Government National Mortgage Assoc.		3.500%		05/20/43		743		791,352
Government National Mortgage Assoc.		4.000%		TBA		5,000		5,344,531
Government National Mortgage Assoc.		4.000%		06/15/40-05/20/41		982		1,057,187
Government National Mortgage Assoc.		4.500%		TBA		2,000		2,200,927
Government National Mortgage Assoc.		4.500%		04/15/40-02/20/41		6,240		6,833,346
Government National Mortgage Assoc.		5.000%		10/20/37		289		321,787
Government National Mortgage Assoc.		5.500%		11/15/32-02/15/36		1,952		2,228,887
Government National Mortgage Assoc.		6.000%		02/15/33-10/15/34		1,026		1,196,137
Government National Mortgage Assoc.		6.500%		10/15/23-07/15/35		1,180		1,376,200
Government National Mortgage Assoc.		8.000%		01/15/24-04/15/25		33		37,027

SEE NOTES TO FINANCIAL STATEMENTS.

A88

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Hashemite Kingdom of Jordan Government AID Bond, U.S. Gov’t. Gtd. Notes		2.578%			06/30/22		5,450	$	5,806,615
Israel Government USAID Bond, U.S. Gov’t. Gtd. Notes		5.500%			12/04/23-04/26/24		1,340		1,695,216
Israel Government USAID Bond, U.S. Gov’t. Gtd. Notes		2.633%	(h)		11/01/24		100		84,127
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO		1.657%	(h)		10/15/20		1,105		1,051,599
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO		1.725%	(h)		10/15/19		1,882		1,821,637
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO		2.804%	(h)		01/15/30		950		683,394
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO		2.967%	(h)		04/15/30		2,100		1,513,336
Tennessee Valley Authority, Sr. Unsec’d. Notes		7.125%			05/01/30		2,375		3,636,849
Ukraine Government AID Bond, U.S. Gov’t. Gtd. Notes		1.847%			05/29/20		1,245		1,274,445
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $460,033,233)									469,744,986
U.S. TREASURY OBLIGATIONS — 1.5%
U.S. Treasury Bonds(k)		2.500%			02/15/45		4,500		4,685,099
U.S. Treasury Bonds		2.750%			11/15/42		710		781,055
U.S. Treasury Bonds		2.875%			05/15/43		2,245		2,524,485
U.S. Treasury Bonds(l)		3.000%			11/15/44		1,535		1,764,891
U.S. Treasury Inflation Indexed Bonds, TIPS		0.125%			04/15/21		10,512		10,771,079
U.S. Treasury Inflation Indexed Bonds, TIPS		1.000%			02/15/46		1,797		1,940,144
U.S. Treasury Inflation Indexed Bonds, TIPS		2.375%			01/15/25		5,648		6,743,145
U.S. Treasury Notes		1.125%			06/30/21		30		30,149
U.S. Treasury Notes		1.375%			06/30/23		60		60,309
U.S. Treasury Notes(l)		2.125%			12/31/22		1,260		1,328,463
U.S. Treasury Strips Coupon(l)		2.184%	(h)		02/15/28		5,465		4,444,362
U.S. Treasury Strips Coupon		2.241%	(h)		05/15/28		2,735		2,210,244
U.S. Treasury Strips Coupon		2.280%	(h)		02/15/29		2,735		2,173,548
U.S. Treasury Strips Coupon		2.384%	(h)		05/15/29		5,640		4,449,644
U.S. Treasury Strips Coupon		2.752%	(h)		08/15/30		5,005		3,825,607
U.S. Treasury Strips Coupon		2.972%	(h)		02/15/37		5,955		3,793,716
U.S. Treasury Strips Principal(l)		2.474%	(h)		05/15/43		2,210		1,158,794
U.S. Treasury Strips Principal		2.543%	(h)		02/15/45		1,905		946,454
U.S. Treasury Strips Principal		2.873%	(h)		05/15/45		2,185		1,077,544
U.S. Treasury Strips Principal		3.628%	(h)		05/15/44		2,525		1,290,641
TOTAL U.S. TREASURY OBLIGATIONS (cost $52,742,257)									55,999,373
TOTAL LONG-TERM INVESTMENTS (cost $3,184,903,011)									3,638,428,566
SHORT-TERM INVESTMENTS — 11.9%						Shares
AFFILIATED MUTUAL FUNDS — 11.9%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $136,308,483)(m)(Note 4)							13,877,669		128,923,548
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund (cost $323,594,897; includes $38,995,211 of cash collateral for securities on loan)(m)(n)(Note 4)							323,594,897		323,594,897
TOTAL AFFILIATED MUTUAL FUNDS (cost $459,903,380)									452,518,445

SEE NOTES TO FINANCIAL STATEMENTS.

A89

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

U.S. TREASURY OBLIGATION	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
U.S. Treasury Bill (cost $149,925)(k)		0.242%	(o)	09/15/16		150	$	149,936
TOTAL SHORT-TERM INVESTMENTS (cost $460,053,305)								452,668,381
TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT — 107.4% (cost $3,644,956,316)								4,091,096,947
U.S. GOVERNMENT AGENCY OBLIGATION — SHORT — (0.1)%
Federal National Mortgage Assoc.(j) (proceeds received $2,098,907)		3.500%		TBA		2,000,000		(2,110,313	)
TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT — 107.3% (cost $3,642,857,409)								4,088,986,634
LIABILITIES IN EXCESS OF OTHER ASSETS(p) — (7.3)%								(281,363,759	)
NET ASSETS — 100.0%							$	3,807,622,875

See the Glossary for abbreviations used in the semiannual report.

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

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $38,042,457; cash collateral of $38,995,211 (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, 2016.

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

(d) Indicates a Level 3 security. The aggregate value of Level 3 securities is $15,090,274 and 0.4% of net assets.

(e) Interest rate not available as of June 30, 2016.

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

(g) Indicates a restricted security; the aggregate original cost of the restricted securities is $4,629,518. The aggregate value of $4,501,754 is approximately 0.1% of net assets.

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

(i) Represents Connecticut Avenue security issued by Fannie Mae or a Structured Agency Credit Risk security issued by Freddie Mac.

(j) All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of $63,000,000 is approximately 1.7% of net assets.

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

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

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

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

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

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

Futures contracts outstanding at June 30, 2016:

Number of Contracts	Type		Expiration Date		Value at Trade Date		Value at June 30, 2016		Unrealized Appreciation (Depreciation)
Long Positions:
330		2 Year U.S. Treasury Notes		Sep. 2016	$	71,878,765	$	72,378,281	$	499,516
893		5 Year U.S. Treasury Notes		Sep. 2016		107,890,812		109,092,508		1,201,696
406		10 Year U.S. Treasury Notes		Sep. 2016		52,899,397		53,991,656		1,092,259
580		30 Year U.S. Ultra Treasury Bonds		Sep. 2016		101,451,525		108,097,500		6,645,975
2		ASX SPI 200 Index		Sep. 2016		192,511		193,013		502
21		Mini MSCI EAFE Index		Sep. 2016		1,699,749		1,695,960		(3,789	)
										9,436,159

SEE NOTES TO FINANCIAL STATEMENTS.

A90

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

Futures contracts outstanding at June 30, 2016 (continued):

Number of Contracts	Type		Expiration Date		Value at Trade Date		Value at June 30, 2016		Unrealized Appreciation (Depreciation)
Short Position:
611		20 Year U.S. Treasury Bonds		Sep. 2016	$	99,263,674	$	105,302,031	$	(6,038,357	)
									$	3,397,802

A U.S. Treasury Obligation with a market value of $149,936 has been segregated with Goldman Sachs & Co. and a U.S. Government Agency Obligation and a U.S. Treasury Obligation with a combined market value of $2,823,483 have been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2016.

Interest rate swap agreements outstanding at June 30, 2016:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2016			Unrealized Appreciation (Depreciation)
	Centrally cleared swap agreements:
	2,720		07/11/18		0.947%	3 Month LIBOR(1)	$	157		$	(11,397	)	$	(11,554	)
	30,050		01/06/21		1.750%	3 Month LIBOR(2)		228			1,081,282			1,081,054
	24,740		05/31/22		2.200%	3 Month LIBOR(1)		(50,182	)		(1,631,373	)		(1,581,191	)
	9,730		05/31/22		2.217%	3 Month LIBOR(1)		202			(651,138	)		(651,340	)
	26,415		11/30/22		1.850%	3 Month LIBOR(1)		292			(1,227,270	)		(1,227,562	)
	8,160		11/30/22		1.982%	3 Month LIBOR(1)		194			(447,020	)		(447,214	)
	2,300		12/31/22		1.405%	3 Month LIBOR(1)		163			(42,411	)		(42,574	)
	1,600		12/31/22		1.406%	3 Month LIBOR(1)		159			(29,653	)		(29,812	)
	3,400		12/31/22		1.409%	3 Month LIBOR(1)		168			(63,550	)		(63,718	)
	900		12/31/22		1.412%	3 Month LIBOR(1)		155			(16,977	)		(17,132	)
	1,350		12/31/22		1.495%	3 Month LIBOR(1)		158			(32,647	)		(32,805	)
	7,420		09/04/25		2.214%	3 Month LIBOR(1)		203			(586,398	)		(586,601	)
	34,470		01/08/26		2.210%	3 Month LIBOR(1)		349			(2,728,390	)		(2,728,739	)
							$	(47,754	)	$	(6,386,942	)	$	(6,339,188	)

(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, 2016:

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(4)		Implied Credit Spread at June 30, 2016(3)			Value at Trade Date		Value at June 30, 2016		Unrealized Appreciation (Depreciation)
Centrally cleared credit default swaps on corporate issues—Sell Protection (2):
General Motors Co.		06/20/19		5.000%		4,370		1.179	%	$	491,932	$	483,750	$	(8,182	)
General Motors Co.		06/20/21		5.000%		1,560		1.819	%		234,836		230,289		(4,547	)
										$	726,768	$	714,039	$	(12,729	)

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(4)		Value at Trade Date			Value at June 30, 2016(5)			Unrealized Appreciation (Depreciation)
Centrally cleared credit default swap on credit indices—Buy Protection(1):
CDX.NA.IG.24.V1		06/20/20		1.000%		51,500	$	(969,274	)	$	(459,366	)	$	509,908

U.S Treasury Obligations with a combined market value of $10,502,503 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate and credit default swap contracts at June 30, 2016.

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.

SEE NOTES TO FINANCIAL STATEMENTS.

A91

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

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

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

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

(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) 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 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.

Total return swap agreements outstanding at June 30, 2016:

Counterparty	Termination Date		Long (Short) Notional Amount (000)#		Description	Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)(1)
OTC total return swap agreements:
Deutsche Bank AG		09/08/16		2,800	Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip	$	157,069	$	—	$	157,069
Deutsche Bank AG		09/08/16		2,800	Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip		198,192		—		198,192
Deutsche Bank AG		09/08/16		1,400	Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip		62,160		—		62,160
Deutsche Bank AG		09/08/16		1,400	Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip		44,826		—		44,826
						$	462,247	$	—	$	462,247

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

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.

A92

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

The following is a summary of the inputs used as of June 30, 2016 in valuing such portfolio securities:

	Level 1		Level 2			Level 3
Investments in Securities
Common Stocks	$	2,172,536,514	$	89,294,475		$	—
Exchange Traded Fund		1,565,470		—			—
Preferred Stocks		573,540		790,135			—
Asset-Backed Securities
Collateralized Loan Obligations		—		57,408,720			—
Non-Residential Mortgage-Backed Securities		—		77,370,272			—
Residential Mortgage-Backed Securities		—		16,108,568			—
Bank Loans		—		8,827,860			582,000
Commercial Mortgage-Backed Securities		—		178,381,114			—
Corporate Bonds		—		394,088,898			—
Foreign Agencies		—		21,523,485			—
Municipal Bonds		—		14,659,135			—
Sovereign Bonds		—		18,754,829			—
Residential Mortgage-Backed Securities		—		45,709,827			14,508,274
U.S. Government Agency Obligations		—		469,744,986			—
U.S. Treasury Obligations		—		56,149,309			—
Rights – Spain		1,091		—			—
Affiliated Mutual Funds		452,518,445		—			—
U.S. Government Agency Obligation — Short		—		(2,110,313	)		—
Other Financial Instruments*
Futures Contracts		3,397,802		—			—
Centrally Cleared Interest Rate Swap Agreements		—		(6,339,188	)		—
Centrally Cleared Credit Default Swap Agreements		—		497,179			—
OTC Total Return Swap Agreements		—		462,247			—
Total	$	2,630,592,862	$	1,441,321,538		$	15,090,274

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

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2016 were as follows:

U.S. Government Agency Obligations	12.3	%
Affiliated Mutual Funds (including 1.0% of collateral for securities on loan)	11.9
Banks	6.6
Commercial Mortgage-Backed Securities	4.7
Oil, Gas & Consumable Fuels	3.7
Pharmaceuticals	3.6
Software	3.0
Internet Software & Services	2.8
Biotechnology	2.2
Diversified Telecommunication Services	2.2
Insurance	2.1
Non-Residential Mortgage-Backed Securities	2.1
Residential Mortgage-Backed Securities	2.0
Technology Hardware, Storage & Peripherals	2.0
Health Care Providers & Services	2.0
Food & Staples Retailing	1.7
Electric Utilities	1.7
IT Services	1.7
Health Care Equipment & Supplies	1.7
Media	1.6
Household Products	1.6
Semiconductors & Semiconductor Equipment	1.6
Collateralized Loan Obligations	1.5

U.S. Treasury Obligations	1.5	%
Real Estate Investment Trusts (REITs)	1.5
Aerospace & Defense	1.4
Hotels, Restaurants & Leisure	1.4
Tobacco	1.3
Capital Markets	1.3
Chemicals	1.3
Diversified Financial Services	1.2
Beverages	1.1
Industrial Conglomerates	1.1
Food Products	1.1
Specialty Retail	1.1
Internet & Catalog Retail	0.8
Automobiles	0.8
Communications Equipment	0.8
Electrical Equipment	0.8
Multiline Retail	0.7
Airlines	0.7
Foreign Agencies	0.6
Electric	0.5
Sovereign Bonds	0.5
Telecommunications	0.5
Textiles, Apparel & Luxury Goods	0.5
Oil & Gas	0.5

SEE NOTES TO FINANCIAL STATEMENTS.

A93

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

Industry table (cont.)
Building Products	0.5	%
Healthcare – Services	0.4
Air Freight & Logistics	0.4
Metals & Mining	0.4
Household Durables	0.4
Municipal Bonds	0.4
Machinery	0.4
Independent Power & Renewable Electricity Producers	0.3
Auto Manufacturers	0.3
Healthcare – Products	0.3
Multi-Utilities	0.3
Retail	0.3
Real Estate Management & Development	0.2
Consumer Finance	0.2
Computers	0.2
Professional Services	0.2
Pipelines	0.2
Energy Equipment & Services	0.2
Lodging	0.2
Technology	0.2
Agriculture	0.1
Oil & Gas Services	0.1

Gas Utilities	0.1	%
Miscellaneous Manufacturing	0.1
Trading Companies & Distributors	0.1
Construction & Engineering	0.1
Food	0.1
Commercial Services & Supplies	0.1
Machinery – Diversified	0.1
Mining	0.1
Commercial Services	0.1
Forest Products & Paper	0.1
Housewares	0.1
Packaging & Containers	0.1
Electronic Equipment, Instruments & Components	0.1
Building Materials	0.1
Life Sciences Tools & Services	0.1
Transportation	0.1
Wireless Telecommunication Services	0.1
Road & Rail	0.1
Containers & Packaging	0.1
U.S. Government Agency Obligation – Short	(0.1	)
	107.3
Liabilities in excess of other assets	(7.3	)
	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, 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, 2016 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	$	509,908	*	Due from/to broker — variation margin swaps	$	12,729	*
Equity contracts	Unaffiliated investments		1,091		—		—
Equity contracts	Due from/to broker — variation margin futures		502	*	Due from/to broker — variation margin futures		3,789	*
Interest rate contracts	Unrealized appreciation on OTC swap agreements		462,247		—		—
Interest rate contracts	Due from/to broker — variation margin swaps		1,081,054	*	Due from/to broker — variation margin swaps		7,420,242	*
Interest rate contracts	Due from/to broker — variation margin futures		9,439,446	*	Due from/to broker — variation margin futures		6,038,357	*
Total		$	11,494,248			$	13,475,117

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

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2016 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights*			Options Purchased*			Options Written			Futures		Swaps			Total
Credit contracts	$	—		$	—		$	—		$	—	$	(373,764	)	$	(373,764	)
Equity contracts		(135	)		—			—			4,474		—			4,339
Interest rate contracts		—			(843,772	)		(576,573	)		5,080,812		(508,158	)		3,152,309
	$	(135	)	$	(843,772	)	$	(576,573	)	$	5,085,286	$	(881,922	)	$	2,782,884

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

SEE NOTES TO FINANCIAL STATEMENTS.

A94

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

Change in Unrealized Appreciation (Depreciation) 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	$	—		$	—	$	—		$	—		$	(30,033	)	$	(30,033	)
Equity contracts		(150	)		—		—			(38,560	)		—			(38,710	)
Interest rate contracts		—			409,545		(241,909	)		2,933,446			(4,167,294	)		(1,066,212	)
	$	(150	)	$	409,545	$	(241,909	)	$	2,894,886		$	(4,197,327	)	$	(1,134,955	)

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

For the six months ended June 30, 2016, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased(1)	Options Written(2)	Futures— Long Positions(3)	Futures— Short Positions(3)
$199,106	$432,733	$379,076,060	$118,975,047

Interest Rate Swap Agreements(2)	Credit Default Swap Agreements— Buy Protection(2)	Credit Default Swap Agreements— Sell Protection(2)	Total Return Swap Agreements(2)
$206,585	$51,500	$5,350	$5,600

(1) Cost.

(2) Notional Amount in USD (000)

(3) Value at Trade Date.

Offsetting of OTC derivative assets and liabilities:

The Fund 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		Net Amount
Deutsche Bank AG	$	462,247	$	—	$	—	$	462,247

Counterparty	Gross amounts of recognized liabilities(2)		Gross amounts available for offset		Collateral Pledged		Net Amount
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.

SEE NOTES TO FINANCIAL STATEMENTS.

A95

FLEXIBLE MANAGED PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2016

ASSETS
Investments at value, including securities on loan of $38,042,457:
Unaffiliated investments (cost $3,185,052,936)	$	3,638,578,502
Affiliated investments (cost $459,903,380)		452,518,445
Cash		35,294
Foreign currency, at value (cost $863,359)		858,238
Receivable for investments sold		200,384,137
Dividends and interest receivable		10,368,569
Tax reclaim receivable		624,183
Unrealized appreciation on OTC swap agreements		462,247
Due from broker—variation margin swaps		12,434
Receivable for Series shares sold		688
Prepaid expenses		4,297
Total Assets		4,303,847,034
LIABILITIES
Payable for investments purchased		452,328,866
Payable to broker for collateral for securities on loan		38,995,211
Securities sold short, at value (proceeds received $2,098,907)		2,110,313
Management fee payable		1,864,761
Payable for Series shares repurchased		604,187
Accrued expenses and other liabilities		310,954
Due to broker—variation margin futures		8,887
Affiliated transfer agent fee payable		980
Total Liabilities		496,224,159
NET ASSETS	$	3,807,622,875
Net assets were comprised of:
Paid-in capital	$	2,149,028,387
Retained earnings		1,658,594,488
Net assets, June 30, 2016	$	3,807,622,875
Net asset value and redemption price per share $3,807,622,875 / 153,615,191 outstanding shares of beneficial interest	$	24.79

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2016

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net) (foreign withholding tax $403,330, of which $6,800 is reimbursable by an affiliate)	$	27,826,868
Interest income		17,698,547
Affiliated dividend income		1,521,050
Affiliated income from securities lending, net		259,120
Total income		47,305,585
EXPENSES
Management fee		11,125,575
Custodian and accounting fees		283,000
Shareholders’ reports		111,000
Insurance expenses		25,000
Trustees’ fees		22,000
Audit fee		21,000
Legal fees and expenses		8,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Miscellaneous		29,397
Total expenses		11,630,972
NET INVESTMENT INCOME (LOSS)		35,674,613
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		41,948,264
Futures transactions		5,085,286
Short sales transactions		(347,838	)
Options written transactions		(576,573	)
Swap agreement transactions		(881,922	)
Foreign currency transactions		3,111
		45,230,328
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $276,325)		46,367,723
Futures		2,894,886
Options written		(241,909	)
Swap agreements		(4,197,327	)
Foreign currencies		(5,898	)
		44,817,475
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		90,047,803
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	125,722,416

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2016			Year Ended December 31, 2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	35,674,613		$	67,622,207
Net realized gain (loss) on investment and foreign currency transactions		45,230,328			227,213,152
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		44,817,475			(255,176,199	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		125,722,416			39,659,160
SERIES SHARE TRANSACTIONS
Series shares sold [789,107 and 441,580 shares, respectively]		19,305,594			10,576,788
Series shares repurchased [4,554,681 and 9,397,959 shares, respectively]		(109,422,998	)		(225,231,619	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(90,117,404	)		(214,654,831	)
Capital Contributions (Note 4)		3,201,924			—
TOTAL INCREASE (DECREASE)		38,806,936			(174,995,671	)
NET ASSETS:
Beginning of period		3,768,815,939			3,943,811,610
End of period	$	3,807,622,875		$	3,768,815,939

SEE NOTES TO FINANCIAL STATEMENTS.

A96

	GLOBAL PORTFOLIO
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

LONG-TERM INVESTMENTS — 91.9%
COMMON STOCKS — 91.9%	Shares		Value (Note 2)
Australia — 1.2%
AGL Energy Ltd.		60,000	$	871,388
Arrium Ltd.*(a)		894,400		14,577
Asaleo Care Ltd.		733,400		1,160,412
Ausdrill Ltd.*		123,200		66,685
Bendigo & Adelaide Bank Ltd.		93,400		676,262
Bradken Ltd.*		98,900		74,523
Challenger Ltd.		102,500		669,658
CSR Ltd.		452,900		1,245,094
Downer EDI Ltd.		182,200		523,247
Lend Lease Group		96,000		911,921
Macquarie Group Ltd.		45,228		2,354,323
Metcash Ltd.		276,300		396,011
Mineral Resources Ltd.		49,900		314,168
Myer Holdings Ltd.		567,600		479,017
National Australia Bank Ltd.		33,588		644,871
Primary Health Care Ltd.		139,400		415,198
Qantas Airways Ltd.*		387,619		821,103
				11,638,458
Austria — 0.2%
OMV AG		36,200		1,017,611
Voestalpine AG		21,800		733,688
				1,751,299
Belgium — 0.2%
AGFA-Gevaert NV*		86,100		279,507
Delhaize Group		15,200		1,605,649
				1,885,156
Canada — 1.6%
Alimentation Couche-Tard, Inc. (Class B Stock)		57,058		2,450,232
Brookfield Asset Management, Inc. (Class A Stock)		110,643		3,658,964
Canadian Natural Resources Ltd.		125,900		3,881,497
Canadian Pacific Railway Ltd.		23,150		2,981,489
Suncor Energy, Inc.		70,416		1,953,411
				14,925,593
China — 1.2%
Baidu, Inc., ADR*		16,003		2,642,895
China Overseas Land & Investment Ltd.		954,000		3,041,210
NetEase, Inc., ADR		15,587		3,011,720
Shougang Fushan Resources Group Ltd.		956,000		171,157
Tencent Holdings Ltd.		113,100		2,594,477
Universal Health International Group Holding Ltd.		2,473,000		142,700
				11,604,159
Denmark — 0.4%
Novo Nordisk A/S (Class B Stock)		59,113		3,183,406
TDC A/S		39,500		193,569
Vestas Wind Systems A/S		5,725		389,125
				3,766,100
Finland — 0.6%
Kone OYJ (Class B Stock)		44,752		2,065,329
Sampo OYJ (Class A Stock)		58,134		2,377,477

COMMON STOCKS (continued)	Shares		Value (Note 2)
Finland (continued)
Tieto OYJ		20,400	$	558,705
UPM-Kymmene OYJ		57,300		1,052,650
				6,054,161
France — 3.9%
Alstom SA*		26,800		618,776
Arkema SA		6,400		489,300
Atos SE		5,500		453,471
AXA SA		46,300		915,476
BNP Paribas SA		16,000		701,691
Cap Gemini SA		43,346		3,740,464
Cie Generale des Etablissements Michelin		12,000		1,130,892
CNP Assurances		46,700		689,004
Credit Agricole SA		78,500		659,947
Electricite de France SA		61,800		749,342
Engie SA		35,200		565,197
JCDecaux SA		55,951		1,886,499
Orange SA		59,200		962,626
Renault SA		12,300		928,624
Safran SA		31,984		2,153,870
Sanofi		36,100		2,999,299
SCOR SE		22,000		650,434
Societe Generale SA		21,300		666,393
Thales SA		5,600		465,050
Total SA		105,298		5,049,695
Total SA, ADR		90,450		4,350,645
Valeo SA		75,203		3,338,583
Vinci SA		38,305		2,703,075
				36,868,353
Germany — 2.0%
Allianz SE		9,800		1,398,049
Aurubis AG		14,200		645,716
BASF SE		13,500		1,035,168
Bayer AG		19,100		1,918,315
Bayerische Motoren Werke AG		12,200		887,860
Continental AG		8,079		1,528,769
Daimler AG		27,600		1,651,545
Deutsche Bank AG		27,100		374,608
Deutsche Lufthansa AG*		54,200		637,260
E.ON SE		46,000		464,364
Evonik Industries AG		36,500		1,088,017
Hannover Rueck SE		4,500		471,501
Metro AG		39,500		1,214,872
Muenchener Rueckversicherungs AG		6,800		1,140,331
Rational AG		2,182		1,009,811
Rheinmetall AG		13,300		791,071
Stada Arzneimittel AG		15,300		792,959
Volkswagen AG		7,400		980,969
Wincor Nixdorf AG*		13,000		694,651
				18,725,836
Hong Kong — 0.9%
AIA Group Ltd.		564,800		3,396,552
China Resources Cement Holdings Ltd.		1,046,000		337,217

SEE NOTES TO FINANCIAL STATEMENTS.

A97

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Hong Kong (continued)
Huabao International Holdings Ltd.*		1,045,000	$	373,146
Kingboard Chemical Holdings Ltd.		216,000		430,604
Lee & Man Paper Manufacturing Ltd.		1,244,000		929,362
PCCW Ltd.		870,000		584,597
Singamas Container Holdings Ltd.		2,676,000		256,739
Skyworth Digital Holdings Ltd.		1,072,000		884,552
WH Group Ltd., 144A		681,500		539,745
Yue Yuen Industrial Holdings Ltd.		220,500		873,912
				8,606,426
India — 0.8%
HDFC Bank Ltd., ADR		70,637		4,686,765
Tata Motors Ltd., ADR*		69,213		2,399,615
				7,086,380
Ireland — 1.3%
Experian PLC		166,388		3,156,740
Paddy Power Betfair PLC		18,617		1,956,588
Ryanair Holdings PLC, ADR		41,506		2,886,327
Smurfit Kappa Group PLC		35,200		775,050
XL Group PLC		99,302		3,307,750
				12,082,455
Israel — 0.5%
Bank Hapoalim BM		200,200		1,008,585
Elbit Systems Ltd.		7,700		697,283
Teva Pharmaceutical Industries Ltd.		16,300		824,947
Teva Pharmaceutical Industries Ltd., ADR		35,257		1,770,959
				4,301,774
Italy — 0.2%
Astaldi SpA		62,200		251,979
Enel SpA		302,800		1,344,271
Mediobanca SpA		87,600		504,735
				2,100,985
Japan — 6.9%
Aisan Industry Co. Ltd.		68,400		442,581
Alpine Electronics, Inc.		51,500		504,712
Aoyama Trading Co. Ltd.		9,900		365,076
Aozora Bank Ltd.		156,000		541,162
Asahi Kasei Corp.		76,000		528,887
Astellas Pharma, Inc.		75,600		1,185,585
Calsonic Kansei Corp.		105,000		797,972
Concordia Financial Group Ltd.		121,000		467,291
Daihatsu Motor Co. Ltd.		60,500		788,074
Daikin Industries Ltd.		36,400		3,059,230
Enplas Corp.		18,500		487,718
Fuji Heavy Industries Ltd.		59,874		2,058,072
Fujikura Ltd.		254,000		1,173,160
Fujitec Co. Ltd.		77,100		665,759
Heiwa Corp.		34,800		705,853
Isuzu Motors Ltd.		64,500		794,445
ITOCHU Corp.		37,100		453,852
Japan Airlines Co. Ltd.		28,000		900,833
Kaneka Corp.		74,000		493,747

COMMON STOCKS (continued)	Shares		Value (Note 2)
Japan (continued)
Kao Corp.		52,300	$	3,046,065
KDDI Corp.		27,100		824,104
Keihin Corp.		54,300		837,841
Keyence Corp.		4,400		3,002,246
Komori Corp.		40,000		447,732
Konica Minolta, Inc.		129,600		944,079
Kureha Corp.		255,000		894,999
KYORIN Holdings, Inc.		37,400		733,373
Kyowa Exeo Corp.		66,900		836,969
Makita Corp.		35,300		2,343,817
Marubeni Corp.		109,700		495,596
Mitsubishi Corp.		39,200		690,208
Mitsubishi Gas Chemical Co., Inc.		234,000		1,220,758
Mitsubishi UFJ Financial Group, Inc.		202,800		909,123
Mizuho Financial Group, Inc.		597,700		860,126
Murata Manufacturing Co. Ltd.		16,200		1,816,257
Nippon Prologis REIT, Inc.		837		2,044,770
Nippon Telegraph & Telephone Corp.		51,200		2,401,020
Nishi-Nippon City Bank Ltd. (The)		243,000		426,916
Nissan Motor Co. Ltd.		140,100		1,250,297
Nisshinbo Holdings, Inc.		81,000		733,887
Nitori Holdings Co. Ltd.		20,900		2,534,837
NTT DOCOMO, Inc.		39,300		1,059,864
ORIX Corp.		197,800		2,559,624
Resona Holdings, Inc.		416,800		1,523,368
Ricoh Co. Ltd.		66,500		576,454
Sankyu, Inc.		126,000		676,339
Sawai Pharmaceutical Co. Ltd.		6,000		465,114
Seino Holdings Co. Ltd.		52,600		482,201
Shimachu Co. Ltd.		30,700		668,848
Shimano, Inc.		13,100		2,002,958
SKY Perfect JSAT Holdings, Inc.		151,000		698,466
SMC Corp.		4,900		1,205,528
Sumitomo Corp.		67,100		676,361
Sumitomo Mitsui Financial Group, Inc.		33,900		978,865
Sumitomo Osaka Cement Co. Ltd.		184,500		791,696
Toagosei Co. Ltd.		73,500		678,086
Toho Holdings Co. Ltd.		36,900		889,185
Towa Pharmaceutical Co. Ltd.		9,400		490,843
Toyo Tire & Rubber Co. Ltd.		35,200		383,726
Toyoda Gosei Co. Ltd.		33,200		591,270
Tsubakimoto Chain Co.		85,000		525,390
Tsumura & Co.		21,600		585,872
Yokohama Rubber Co. Ltd. (The)		45,000		564,390
				64,783,477
Liechtenstein
VP Bank AG		1,765		161,756
Mexico — 0.3%
Wal-Mart de Mexico SAB de CV		1,137,700		2,736,820
Netherlands — 3.0%
Aegon NV		95,000		376,422
ING Groep NV, CVA		58,400		604,204
Koninklijke Ahold NV		54,100		1,194,672

SEE NOTES TO FINANCIAL STATEMENTS.

A98

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Netherlands (continued)
NN Group NV		46,800	$	1,288,336
NXP Semiconductors NV*		161,796		12,675,099
Royal Dutch Shell PLC (Class A Stock), ADR		117,600		6,493,872
Royal Dutch Shell PLC (Class A Stock)		88,916		2,439,014
Royal Dutch Shell PLC (Class B Stock)		94,000		2,597,100
				27,668,719
New Zealand — 0.2%
Air New Zealand Ltd.		606,600		909,132
Fletcher Building Ltd.		88,500		544,368
Spark New Zealand Ltd.		185,600		471,730
				1,925,230
Norway — 0.3%
DNB ASA		50,500		604,475
Fred Olsen Energy ASA*		12,600		38,248
Salmar ASA		34,100		1,014,758
Statoil ASA		37,300		644,486
Yara International ASA		23,200		736,990
				3,038,957
Singapore — 0.2%
DBS Group Holdings Ltd.		81,200		957,423
Wilmar International Ltd.		222,100		540,659
				1,498,082
South Africa — 0.4%
Bid Corp. Ltd.*		74,286		1,392,106
Bidvest Group Ltd. (The)		74,286		700,818
Discovery Ltd.		95,264		795,802
Mondi PLC		30,200		565,421
				3,454,147
South Korea — 0.3%
Samsung Electronics Co. Ltd.		1,988		2,475,758
Spain — 1.0%
Amadeus IT Holding SA (Class A Stock)		44,216		1,948,110
Banco Santander SA		94,600		367,114
Distribuidora Internacional de Alimentacion SA		100,600		587,194
Gas Natural SDG SA		47,300		940,216
Iberdrola SA		150,200		1,024,604
Industria de Diseno Textil SA		91,439		3,071,811
Mapfre SA		219,300		481,621
Repsol SA		57,200		733,243
				9,153,913
Sweden — 0.9%
Atlas Copco AB (Class A Stock)		76,590		1,989,207
Boliden AB		42,300		826,715
Hexagon AB (Class B Stock)		56,508		2,067,964
Nordea Bank AB		83,600		709,233
Swedbank AB (Class A Stock)		29,700		623,792
Telefonaktiebolaget LM Ericsson (Class B Stock)		127,200		977,221
TeliaSonera AB		196,000		928,154
				8,122,286

COMMON STOCKS (continued)	Shares		Value (Note 2)
Switzerland — 3.2%
Actelion Ltd.*		24,281	$	4,088,862
Aryzta AG		18,700		691,075
Baloise Holding AG		10,300		1,147,218
Bucher Industries AG		4,680		1,095,608
Cembra Money Bank AG		18,100		1,265,937
Credit Suisse Group AG*		113,100		1,204,789
Geberit AG		4,475		1,694,962
Georg Fischer AG		1,100		879,349
Helvetia Holding AG		1,400		728,348
Partners Group Holding AG		7,878		3,376,239
SGS SA		1,001		2,293,042
Swiss Life Holding AG*		7,200		1,663,905
Swiss Re AG		25,500		2,227,181
TE Connectivity Ltd.		39,450		2,252,989
UBS Group AG		47,400		615,043
Wolseley PLC		54,334		2,813,626
Zurich Insurance Group AG*		6,700		1,657,464
				29,695,637
Taiwan — 0.5%
Taiwan Semiconductor Manufacturing Co. Ltd.		853,000		4,298,862
United Kingdom — 5.2%
3i Group PLC		120,600		884,859
ARM Holdings PLC		70,231		1,066,795
AstraZeneca PLC		15,900		950,563
Aviva PLC		129,800		684,217
BAE Systems PLC		344,400		2,411,006
Barclays PLC		266,300		495,290
Barratt Developments PLC		109,300		593,942
Beazley PLC		129,500		629,598
Bellway PLC		25,400		644,339
Berkeley Group Holdings PLC		20,500		692,241
Bovis Homes Group PLC		66,300		647,000
BP PLC		317,500		1,858,501
BT Group PLC		100,400		551,861
Carillion PLC		145,900		455,626
Centrica PLC		220,400		666,491
Compass Group PLC		235,623		4,482,843
Crest Nicholson Holdings PLC		143,814		686,663
Debenhams PLC		301,400		222,734
easyJet PLC		25,500		370,558
GlaxoSmithKline PLC		52,400		1,125,296
Go-Ahead Group PLC		15,200		396,721
Home Retail Group PLC		16,300		33,380
HSBC Holdings PLC		196,000		1,214,335
IG Group Holdings PLC		163,312		1,768,397
Imperial Brands PLC		10,600		574,870
Intermediate Capital Group PLC		59,800		391,804
Interserve PLC		82,200		284,790
J. Sainsbury PLC		536,900		1,672,554
Johnson Matthey PLC		63,440		2,379,471
Keller Group PLC		48,200		582,355
Lloyds Banking Group PLC		1,133,000		820,625
Man Group PLC		308,300		479,004
Meggitt PLC		155,200		843,584
Micro Focus International PLC		70,434		1,519,555
Mitie Group PLC		247,100		818,833

SEE NOTES TO FINANCIAL STATEMENTS.

A99

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
United Kingdom (continued)
National Express Group PLC		197,400	$	779,102
Old Mutual PLC		194,100		524,357
Premier Foods PLC*		357,756		196,459
QinetiQ Group PLC		214,000		635,268
Reckitt Benckiser Group PLC		31,134		3,121,873
Relx PLC		185,568		3,417,145
Royal Mail PLC		85,300		573,095
Smiths Group PLC		32,000		494,505
St. James’s Place PLC		142,152		1,499,111
Vesuvius PLC		81,100		309,890
WM Morrison Supermarkets PLC		344,100		863,835
WPP PLC		129,577		2,700,581
				49,015,922
United States — 54.5%
AbbVie, Inc.		3,700		229,067
Adobe Systems, Inc.*		68,005		6,514,199
AES Corp.		374,000		4,667,520
Aetna, Inc.		36,300		4,433,319
Akamai Technologies, Inc.*		112,637		6,299,787
Alexion Pharmaceuticals, Inc.*		54,869		6,406,504
Alphabet, Inc. (Class A Stock)*		7,994		5,624,019
Alphabet, Inc. (Class C Stock)*		11,244		7,781,972
Amazon.com, Inc.*		18,829		13,474,409
American Express Co.		61,250		3,721,550
Ameriprise Financial, Inc.		42,350		3,805,147
Amgen, Inc.		7,300		1,110,695
Amphenol Corp. (Class A Stock)		156,780		8,988,197
ANSYS, Inc.*		58,229		5,284,282
Apache Corp.(b)		47,500		2,644,325
Apple, Inc.		25,700		2,456,920
Applied Materials, Inc.		102,750		2,462,918
Bank of America Corp.		186,650		2,476,846
Bank of New York Mellon Corp. (The)		132,600		5,151,510
Boeing Co. (The)		28,900		3,753,243
Bristol-Myers Squibb Co.		141,806		10,429,831
Bunge Ltd.		30,900		1,827,735
Carnival Corp.		64,900		2,868,580
CenterPoint Energy, Inc.		38,450		922,800
Charles Schwab Corp. (The)		110,680		2,801,311
Cisco Systems, Inc.		160,650		4,609,048
Citigroup, Inc.		83,050		3,520,489
Cognizant Technology Solutions Corp. (Class A Stock)*		111,352		6,373,788
Comcast Corp. (Class A Stock)		76,550		4,990,294
Costco Wholesale Corp.		68,205		10,710,913
Cummins, Inc.		15,200		1,709,088
Danaher Corp.		113,479		11,461,379
DaVita HealthCare Partners, Inc.*		84,519		6,535,009
E.I. du Pont de Nemours & Co.		48,650		3,152,520
Ecolab, Inc.		82,464		9,780,230
Entergy Corp.		25,300		2,058,155
EQT Corp.		25,450		1,970,594
Estee Lauder Cos., Inc. (The) (Class A Stock)		110,428		10,051,157
Exelon Corp.		110,350		4,012,326
Express Scripts Holding Co.*		112,167		8,502,259

COMMON STOCKS (continued)	Shares		Value (Note 2)
United States (continued)
Exxon Mobil Corp.		62,250	$	5,835,315
Facebook, Inc. (Class A Stock)*		107,613		12,298,014
Fastenal Co.		131,884		5,854,331
Fifth Third Bancorp		180,600		3,176,754
FirstEnergy Corp.		77,500		2,705,525
FleetCor Technologies, Inc.*		44,369		6,350,535
General Electric Co.		297,700		9,371,596
General Motors Co.		56,450		1,597,535
Genpact Ltd.*		279,339		7,497,459
Gilead Sciences, Inc.		20,550		1,714,281
Hess Corp.		25,700		1,544,570
Hologic, Inc.*		66,650		2,306,090
Illinois Tool Works, Inc.		28,150		2,932,104
International Paper Co.		56,450		2,392,351
Intuitive Surgical, Inc.*		15,236		10,077,243
Invesco Ltd.		64,950		1,658,823
Johnson & Johnson		50,600		6,137,780
Johnson Controls, Inc.		69,850		3,091,561
JPMorgan Chase & Co.		136,400		8,475,896
Juniper Networks, Inc.		43,450		977,191
Kohl’s Corp.(b)		43,250		1,640,040
Las Vegas Sands Corp.		37,800		1,643,922
Loews Corp.		70,100		2,880,409
Lowe’s Cos., Inc.		45,100		3,570,567
Marsh & McLennan Cos., Inc.		78,500		5,374,110
Mattel, Inc.		96,950		3,033,566
Mead Johnson Nutrition Co.		99,538		9,033,073
Medtronic PLC		72,121		6,257,939
Merck & Co., Inc.		79,650		4,588,636
MetLife, Inc.		124,350		4,952,860
Microsoft Corp.		135,650		6,941,210
Morgan Stanley		207,300		5,385,654
National Instruments Corp.		70,391		1,928,713
NetSuite, Inc.*(b)		77,675		5,654,740
News Corp. (Class A Stock)		155,300		1,762,655
Occidental Petroleum Corp.		42,800		3,233,968
PayPal Holdings, Inc.		64,030		2,337,735
PepsiCo, Inc.		41,500		4,396,510
Pfizer, Inc.		274,200		9,654,582
PG&E Corp.		134,400		8,590,848
Philip Morris International, Inc.		55,050		5,599,686
Procter & Gamble Co. (The)		51,050		4,322,403
QUALCOMM, Inc.		51,300		2,748,141
Raytheon Co.		17,950		2,440,303
salesforce.com, inc.*		121,374		9,638,309
SBA Communications Corp. (Class A Stock)*		64,146		6,923,919
Southwest Airlines Co.		52,050		2,040,881
Starbucks Corp.		201,384		11,503,054
T-Mobile U.S., Inc.*		34,050		1,473,344
Texas Instruments, Inc.		50,750		3,179,488
Thermo Fisher Scientific, Inc.		28,500		4,211,160
TripAdvisor, Inc.*		133,939		8,612,278
Twenty-First Century Fox (Class B Stock)		154,400		4,207,400
Tyco International PLC		75,650		3,222,690
Tyson Foods, Inc. (Class A Stock)		52,450		3,503,135
U.S. Bancorp		32,850		1,324,841

SEE NOTES TO FINANCIAL STATEMENTS.

A100

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
United States (continued)
Under Armour, Inc. (Class A Stock)*(b)		75,384	$	3,025,160
Under Armour, Inc. (Class C Stock)*(b)		117,639		4,282,060
United Technologies Corp.		33,650		3,450,807
Vereit, Inc.		117,500		1,191,450
Visa, Inc. (Class A Stock)(b)		168,033		12,463,008
Vulcan Materials Co.		14,650		1,763,274
Wabtec Corp.		85,168		5,981,349
Wal-Mart Stores, Inc.		39,100		2,855,082
Wells Fargo & Co.		56,150		2,657,580
Weyerhaeuser Co.		81,250		2,418,813
				509,470,241
TOTAL COMMON STOCKS (cost $743,908,021)				858,896,942
RIGHTS*
	Units
Spain
Repsol SA, expiring 07/01/16 (cost $18,773)		57,200		18,599
TOTAL LONG-TERM INVESTMENTS (cost $743,926,794)				858,915,541
SHORT-TERM INVESTMENT — 3.5%
	Shares
AFFILIATED MUTUAL FUND
Prudential Investment Portfolios 2 —Prudential Core Ultra Short Bond Fund (cost $32,578,587; includes $11,288,864 of cash collateral for securities on loan)(c)(d)(Note 4)		32,578,587		32,578,587
TOTAL INVESTMENTS — 95.4% (cost $776,505,381)				891,494,128
OTHER ASSETS IN EXCESS OF LIABILITIES — 4.6%				42,916,686
NET ASSETS — 100.0%			$	934,410,814

See Glossary for abbreviations used in the semiannual report.

* Non-income producing security.

(a) Indicates a Level 3 security. The aggregate value of Level 3 securities is $14,577 and 0.0% of net assets.

(b) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $11,076,589; cash collateral of $11,288,864 (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) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund.

(d) 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, 2016 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Australia	$	—	$	11,623,881	$	14,577
Austria		—		1,751,299		—
Belgium		—		1,885,156		—
Canada		14,925,593		—		—
China		5,654,615		5,949,544		—
Denmark		—		3,766,100		—
Finland		—		6,054,161		—
France		4,350,645		32,517,708		—
Germany		694,651		18,031,185		—
Hong Kong		—		8,606,426		—

SEE NOTES TO FINANCIAL STATEMENTS.

A101

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

	Level 1		Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
India	$	7,086,380	$	—	$	—
Ireland		6,194,077		5,888,378		—
Israel		1,770,959		2,530,815		—
Italy		—		2,100,985		—
Japan		467,291		64,316,186		—
Liechtenstein		—		161,756		—
Mexico		2,736,820		—		—
Netherlands		19,168,971		8,499,748		—
New Zealand		—		1,925,230		—
Norway		—		3,038,957		—
Singapore		—		1,498,082		—
South Africa		1,392,106		2,062,041		—
South Korea		—		2,475,758		—
Spain		—		9,153,913		—
Sweden		—		8,122,286		—
Switzerland		2,252,989		27,442,648		—
Taiwan		—		4,298,862		—
United Kingdom		481,249		48,534,673		—
United States		509,470,241		—		—
Rights – Spain		18,599		—		—
Affiliated Mutual Fund		32,578,587		—		—
Total	$	609,243,773	$	282,235,778	$	14,577

The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of June 30, 2016 were as follows:

Pharmaceuticals	5.1	%
Oil, Gas & Consumable Fuels	4.9
Banks	4.7
Insurance	4.5
IT Services	4.4
Internet Software & Services	4.3
Software	3.7
Affiliated Mutual Fund (including 1.2% of collateral for securities on loan)	3.5
Capital Markets	3.2
Semiconductors & Semiconductor Equipment	2.9
Food & Staples Retailing	2.8
Industrial Conglomerates	2.6
Machinery	2.4
Chemicals	2.4
Hotels, Restaurants & Leisure	2.4
Internet & Catalog Retail	2.3
Health Care Providers & Services	2.2
Electronic Equipment, Instruments & Components	2.1
Media	2.1
Health Care Equipment & Supplies	2.0
Food Products	2.0
Aerospace & Defense	1.8
Personal Products	1.5
Automobiles	1.5
Biotechnology	1.4
Diversified Telecommunication Services	1.3
Auto Components	1.3
Multi-Utilities	1.3
Electric Utilities	1.2
Trading Companies & Distributors	1.2
Specialty Retail	1.0
Airlines	0.9

Textiles, Apparel & Luxury Goods	0.9	%
Technology Hardware, Storage & Peripherals	0.9
Real Estate Management & Development	0.8
Household Products	0.8
Communications Equipment	0.7
Tobacco	0.7
Household Durables	0.7
Leisure Products	0.6
Real Estate Investment Trusts (REITs)	0.6
Professional Services	0.6
Road & Rail	0.6
Construction & Engineering	0.5
Diversified Financial Services	0.5
Consumer Finance	0.5
Commercial Services & Supplies	0.5
Building Products	0.5
Construction Materials	0.5
Independent Power & Renewable Electricity Producers	0.5
Beverages	0.5
Life Sciences Tools & Services	0.5
Wireless Telecommunication Services	0.4
Containers & Packaging	0.4
Paper & Forest Products	0.3
Metals & Mining	0.3
Multiline Retail	0.3
Electrical Equipment	0.2
Gas Utilities	0.1
Air Freight & Logistics	0.1
	95.4
Other assets in excess of liabilities	4.6
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A102

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

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

Fair values of derivative instruments as of June 30, 2016 as presented in the Statement of Assets and Liabilities:

Derivatives not designated 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	$	18,599	—	$	—

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2016 are as follows:

For the six months ended June 30,2016, the Portfolio did not have any realized gain (loss) on derivatives recognized in income.

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights*
Equity contracts	$	403

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

SEE NOTES TO FINANCIAL STATEMENTS.

A103

GLOBAL PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2016

ASSETS
Investments at value, including securities on loan of $11,076,589:
Unaffiliated investments (cost $743,926,794)	$	858,915,541
Affiliated investments (cost $32,578,587)		32,578,587
Foreign currency, at value (cost $3,327,786)		3,319,084
Receivable for investments sold		52,543,507
Tax reclaim receivable		1,681,535
Dividends receivable		1,508,076
Receivable for Series shares sold		293
Prepaid expenses		812
Total Assets		950,547,435
LIABILITIES
Payable to broker for collateral for securities on loan		11,288,864
Payable for investments purchased		4,000,357
Management fee payable		571,874
Accrued expenses and other liabilities		181,071
Payable for Series shares repurchased		91,643
Payable to custodian		1,832
Affiliated transfer agent fee payable		980
Total Liabilities		16,136,621
NET ASSETS	$	934,410,814
Net assets were comprised of:
Paid-in capital	$	734,032,754
Retained earnings		200,378,060
Net assets, June 30, 2016	$	934,410,814
Net asset value and redemption price per share $934,410,814 / 35,738,109 outstanding shares of beneficial interest	$	26.15

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2016

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net) (foreign withholding tax $948,739, of which $8,165 is reimbursable by an affiliate)	$	11,412,294
Affiliated income from securities lending, net		275,063
Affiliated dividend income		67,225
Total income		11,754,582
EXPENSES
Management fee		3,447,550
Custodian and accounting fees		163,000
Shareholders’ reports		57,000
Audit fee		14,000
Trustees’ fees		9,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Legal fees and expenses		5,000
Insurance expenses		5,000
Miscellaneous		25,838
Total expenses		3,732,388
Less: Management fee waiver		(50,556	)
Net expenses		3,681,832
NET INVESTMENT INCOME (LOSS)		8,072,750
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		(5,621,973	)
Foreign currency transactions		38,555
		(5,583,418	)
Net change in unrealized appreciation (depreciation) on:
Investments		(10,586,906	)
Foreign currencies		(18,591	)
		(10,605,497	)
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(16,188,915	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(8,116,165	)

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2016			Year Ended December 31, 2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	8,072,750		$	10,401,170
Net realized gain (loss) on investment and foreign currency transactions		(5,583,418	)		30,378,029
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(10,605,497	)		(12,947,986	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(8,116,165	)		27,831,213
SERIES SHARE TRANSACTIONS
Series shares sold [81,893 and 10,575,719 shares, respectively]		2,099,436			267,851,761
Series shares repurchased [1,005,053 and 1,878,916 shares, respectively]		(25,667,548	)		(49,569,010	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(23,568,112	)		218,282,751
Capital Contributions (Note 4)		808,056			—
TOTAL INCREASE (DECREASE)		(30,876,221	)		246,113,964
NET ASSETS:
Beginning of period		965,287,035			719,173,071
End of period	$	934,410,814		$	965,287,035

SEE NOTES TO FINANCIAL STATEMENTS.

A104

	GOVERNMENT INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

LONG-TERM INVESTMENTS — 100.8% ASSET-BACKED SECURITIES — 5.9%	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations — 5.8%
Anchorage Capital CLO Ltd., Series 2014-5A, Class A, 144A		2.228%	(a)		10/15/26		750	$	745,938
Babson CLO Ltd., Series 2013-IA, Class A, 144A		1.734%	(a)		04/20/25		1,750		1,732,736
Battalion CLO VII Ltd., Series 2014-7A, Class A1, 144A		2.233%	(a)		10/17/26		750		746,247
Battalion CLO VIII Ltd., Series 2015-8A, Class A1, 144A		2.163%	(a)		04/18/27		500		495,385
Blue Hill CLO Ltd., Series 2013-1A, Class A, 144A		2.108%	(a)		01/15/26		600		595,008
Flatiron CLO Ltd., Series 2013-1A, Class A1, 144A		2.033%	(a)		01/17/26		250		247,685
Galaxy CLO Ltd., Series 2014-18A, Class A, 144A		2.098%	(a)		10/15/26		3,250		3,228,960
Neuberger Berman CLO XVI Ltd., Series 2014-16A, Class A1, 144A		2.098%	(a)		04/15/26		250		249,422
OZLM Funding Ltd., Series 2012-1A, Class A1R, 144A		2.155%	(a)		07/22/27		500		497,070
Regatta IV Funding Ltd., Series 2014-1A, Class A1, 144A		2.048%	(a)		07/25/26		250		246,967
Shackleton II CLO Ltd., Series 2012-2A, Class A1, 144A		2.044%	(a)		10/20/23		500		498,899
Shackleton V CLO Ltd., Series 2014-5A, Class A, 144A		2.132%	(a)		05/07/26		750		748,781
Silver Spring CLO Ltd., Series 2014-1A, Class A, 144A		2.078%	(a)		10/15/26		1,489		1,466,705
Sound Point CLO IX Ltd., Series 2015-2A, Class A, 144A		2.154%	(a)		07/20/27		750		744,806
Vibrant CLO Ltd., Series 2015-3A, Class A1, 144A		2.264%	(a)		04/20/26		1,500		1,492,076
									13,736,685
Non-Residential Mortgage-Backed Securities — 0.1%
Small Business Administration Participation Certificates, Series 1996-20J, Class 1		7.200%			10/01/16		47		47,809
Small Business Administration Participation Certificates, Series 1997-20A, Class 1		7.150%			01/01/17		60		61,288
Small Business Administration Participation Certificates, Series 1997-20G, Class 1		6.850%			07/01/17		44		44,737
Small Business Administration Participation Certificates, Series 1998-20I, Class 1		6.000%			09/01/18		156		163,117
									316,951
TOTAL ASSET-BACKED SECURITIES (cost $14,083,409)									14,053,636
COMMERCIAL MORTGAGE-BACKED SECURITIES — 27.5%
Banc of America Commercial Mortgage Trust, Series 2006-4, Class AM		5.675%			07/10/46		1,034		1,032,544
Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class A3		3.515%			09/10/58		700		756,768
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4		5.223%			08/15/48		1,047		1,049,677
Commercial Mortgage Trust, Series 2012-CR5, Class A3		2.540%			12/10/45		1,000		1,030,749
Commercial Mortgage Trust, Series 2015-CR24, Class A3		3.214%			08/10/55		1,600		1,691,979
Commercial Mortgage Trust, Series 2015-CR25, Class A3		3.505%			08/10/48		1,000		1,077,830
Fannie Mae-Aces, Series 2012-M2, Class A2		2.717%			02/25/22		200		211,168
Fannie Mae-Aces, Series 2012-M13, Class A2		2.377%			05/25/22		1,850		1,926,507
Fannie Mae-Aces, Series 2014-M2, Class A2		3.513%	(a)		12/25/23		2,650		2,942,108
Fannie Mae-Aces, Series 2015-M1, Class AB2		2.465%			09/25/24		550		568,923
Fannie Mae-Aces, Series 2015-M3, Class AB2		2.625%			10/25/24		2,730		2,831,909
Fannie Mae-Aces, Series 2015-M8, Class AB2		2.829%			01/25/25		1,600		1,701,081
Fannie Mae-Aces, Series 2015-M10, Class A2		3.092%	(a)		04/25/27		1,600		1,737,328
Fannie Mae-Aces, Series 2015-M17, Class A2		3.038%	(a)		11/25/25		1,500		1,599,997
FHLMC Multifamily Structured Pass-Through Certificates, Series K003, Class A5		5.085%			03/25/19		250		272,893
FHLMC Multifamily Structured Pass-Through Certificates, Series K005, Class A2		4.317%			11/25/19		1,100		1,203,951
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, IO		1.795%	(a)		06/25/20		17,978		863,829
FHLMC Multifamily Structured Pass-Through Certificates, Series K019, Class X1, IO		1.840%	(a)		03/25/22		17,741		1,406,820
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO		1.584%	(a)		05/25/22		9,037		637,716
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO		1.620%	(a)		06/25/22		9,590		688,339

SEE NOTES TO FINANCIAL STATEMENTS.

A105

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
FHLMC Multifamily Structured Pass-Through Certificates, Series K024, Class A2		2.573%			09/25/22		2,000	$	2,101,486
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, IO		1.013%	(a)		10/25/22		27,169		1,221,216
FHLMC Multifamily Structured Pass-Through Certificates, Series K032, Class A2		3.310%	(a)		05/25/23		2,730		2,997,211
FHLMC Multifamily Structured Pass-Through Certificates, Series K033, Class A2		3.060%	(a)		07/25/23		3,600		3,894,207
FHLMC Multifamily Structured Pass-Through Certificates, Series K038, Class A2		3.389%			03/25/24		3,200		3,536,893
FHLMC Multifamily Structured Pass-Through Certificates, Series K041, Class A2		3.171%			10/25/24		4,000		4,357,320
FHLMC Multifamily Structured Pass-Through Certificates, Series K044, Class A2		2.811%			01/25/25		3,200		3,395,126
FHLMC Multifamily Structured Pass-Through Certificates, Series K045, Class A2		3.023%			01/25/25		4,000		4,316,618
FHLMC Multifamily Structured Pass-Through Certificates, Series K151, Class A3		3.511%			04/25/30		400		442,994
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, IO		1.610%	(a)		08/25/16		1,768		387
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO		1.894%	(a)		05/25/19		7,986		336,845
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO		1.818%	(a)		07/25/19		7,680		331,194
FHLMC Multifamily Structured Pass-Through Certificates, Series KS03, Class A4		3.161%			05/25/25		2,600		2,812,201
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class A2		3.003%			01/15/47		1,700		1,763,278
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class A3		3.322%			07/15/48		1,600		1,692,645
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A3		5.927%	(a)		06/15/49		156		158,179
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%			04/15/46		1,700		1,755,686
ML-CFC Commercial Mortgage Trust, Series 2006-3, Class AM		5.456%	(a)		07/12/46		1,200		1,201,004
ML-CFC Commercial Mortgage Trust, Series 2006-4, Class AM		5.204%			12/12/49		1,500		1,513,905
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3		3.451%			07/15/50		1,600		1,723,930
Wachovia Bank Commercial Mortgage Trust, Series 2006-C27, Class AM		5.795%	(a)		07/15/45		1,000		999,111
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $63,230,743)									65,783,552
CORPORATE BOND — 1.0%
Diversified Financial Services
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes (cost $2,438,660)		4.300%			12/15/21		2,160		2,469,517
FOREIGN AGENCY — 0.4%
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A (cost $816,933)		3.150%			07/24/24		820		881,256
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.2%
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2496, Class PM		5.500%			09/15/17		87		89,062
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2501, Class MC		5.500%			09/15/17		16		15,733
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2513, Class HC		5.000%			10/15/17		180		182,299
Federal National Mortgage Assoc., REMICS, Series 2002-57, Class ND		5.500%			09/25/17		18		18,324
Merrill Lynch Mortgage Investors Trust Series, Series 2003-E, Class A1		1.073%	(a)		10/25/28		35		33,473
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		2.830%	(a)		02/25/34		161		158,948
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $495,783)									497,839

SEE NOTES TO FINANCIAL STATEMENTS.

A106

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

U.S. GOVERNMENT AGENCY OBLIGATIONS — 55.0%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal Home Loan Mortgage Corp.		2.500%		TBA		1,000	$	1,034,109
Federal Home Loan Mortgage Corp.		2.500%		03/01/30		864		896,759
Federal Home Loan Mortgage Corp.		2.743%	(a)	05/01/34		284		299,245
Federal Home Loan Mortgage Corp.		3.000%		TBA		3,000		3,104,337
Federal Home Loan Mortgage Corp.		3.000%		06/01/29-06/01/45		1,733		1,814,807
Federal Home Loan Mortgage Corp.(b)		3.500%		TBA		2,000		2,105,938
Federal Home Loan Mortgage Corp.		3.500%		TBA		2,000		2,108,438
Federal Home Loan Mortgage Corp.		3.500%		08/01/26-08/01/43		4,633		4,898,571
Federal Home Loan Mortgage Corp.(b)		4.000%		TBA		3,750		4,013,672
Federal Home Loan Mortgage Corp.		4.000%		TBA		3,000		3,208,125
Federal Home Loan Mortgage Corp.		4.000%		06/01/26-12/01/40		2,641		2,833,496
Federal Home Loan Mortgage Corp.		4.500%		09/01/39		2,505		2,745,115
Federal Home Loan Mortgage Corp.		5.000%		06/01/33-05/01/34		1,094		1,219,360
Federal Home Loan Mortgage Corp.		5.500%		05/01/37-05/01/38		656		737,840
Federal Home Loan Mortgage Corp.		6.000%		09/01/34-08/01/39		490		559,974
Federal Home Loan Mortgage Corp.		6.500%		09/01/32		80		91,969
Federal National Mortgage Assoc.		2.289%	(a)	07/01/33		807		854,176
Federal National Mortgage Assoc.		2.456%	(a)	06/01/34		265		281,369
Federal National Mortgage Assoc.		2.500%		TBA		6,000		6,207,535
Federal National Mortgage Assoc.		2.518%	(a)	08/01/33		539		569,586
Federal National Mortgage Assoc.		2.547%	(a)	04/01/34		238		250,350
Federal National Mortgage Assoc.		2.617%	(a)	04/01/34		128		133,827
Federal National Mortgage Assoc.		3.000%		TBA		13,750		14,243,600
Federal National Mortgage Assoc.		3.000%		08/01/28-02/01/31		3,640		3,820,391
Federal National Mortgage Assoc.		3.500%		TBA		14,750		15,545,116
Federal National Mortgage Assoc.		3.500%		03/01/27-06/01/39		1,217		1,289,361
Federal National Mortgage Assoc.		4.000%		TBA		2,000		2,142,443
Federal National Mortgage Assoc.		4.000%		09/01/40-09/01/44		4,106		4,412,008
Federal National Mortgage Assoc.		4.500%		05/01/40		3,362		3,717,661
Federal National Mortgage Assoc.		5.000%		07/01/18-05/01/36		1,718		1,878,740
Federal National Mortgage Assoc.		5.500%		01/01/17-11/01/35		4,749		5,387,687
Federal National Mortgage Assoc.		6.000%		05/01/21-05/01/38		776		886,981
Federal National Mortgage Assoc.		6.500%		07/01/32-10/01/37		1,258		1,511,816
Federal National Mortgage Assoc.		7.000%		12/01/31-01/01/36		153		176,521
Federal National Mortgage Assoc.		8.000%		10/01/23-02/01/26		7		7,154
Federal National Mortgage Assoc.		9.000%		02/01/25-04/01/25		25		29,088
Financing Corp. Strips Principal, Series 4-P, PO		1.390%	(c)	10/06/17		2,700		2,677,774
Government National Mortgage Assoc.(b)		3.000%		TBA		2,500		2,613,916
Government National Mortgage Assoc.		3.000%		TBA		3,500		3,652,373
Government National Mortgage Assoc.		3.000%		03/15/45		2,776		2,902,786
Government National Mortgage Assoc.(b)		3.500%		TBA		7,500		7,960,254
Government National Mortgage Assoc.		3.500%		TBA		3,500		3,709,863
Government National Mortgage Assoc.		4.000%		06/15/40		363		389,780
Government National Mortgage Assoc.		4.500%		02/20/41-03/20/41		1,909		2,084,383
Government National Mortgage Assoc.		5.000%		07/15/33-04/15/34		673		759,221
Government National Mortgage Assoc.		5.500%		03/15/34-03/15/36		583		669,026
Government National Mortgage Assoc.		6.500%		07/15/32-08/15/32		193		230,087
Government National Mortgage Assoc.		7.000%		03/15/23-08/15/28		374		411,848
Government National Mortgage Assoc.		7.500%		12/15/25-02/15/26		63		69,762
Government National Mortgage Assoc.		8.500%		09/15/24-04/15/25		127		144,124
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes		2.578%		06/30/22		1,520		1,619,460
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes		3.000%		06/30/25		1,040		1,133,912
Residual Funding Corp. Strips Principal, Sr. Unsec’d. Notes, PO		1.220%	(c)	07/15/20		740		706,454
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO		1.734%	(c)	10/15/19		3,300		3,194,156
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO		3.001%	(c)	04/15/30		635		457,604
Tennessee Valley Authority, Sr. Unsec’d. Notes		6.750%		11/01/25		510		704,997
Tennessee Valley Authority, Sr. Unsec’d. Notes		7.125%		05/01/30		400		612,522
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $128,372,461)								131,721,467

SEE NOTES TO FINANCIAL STATEMENTS.

A107

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

U.S. TREASURY OBLIGATIONS — 10.8%	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
U.S. Treasury Bonds(d)		2.500%			02/15/45-02/15/46		2,115	$	2,202,206
U.S. Treasury Bonds		2.500%			05/15/46		605		630,452
U.S. Treasury Bonds		3.000%			05/15/45		950		1,091,943
U.S. Treasury Inflation Indexed Bonds, TIPS		0.125%			04/15/21		3,694		3,785,132
U.S. Treasury Inflation Indexed Bonds, TIPS		1.000%			02/15/46		631		681,230
U.S. Treasury Notes(d)		1.000%			03/15/18		655		659,503
U.S. Treasury Notes		1.125%			06/30/21		290		291,439
U.S. Treasury Notes		1.625%			04/30/23		2,710		2,770,869
U.S. Treasury Notes		2.000%			02/15/25		1,030		1,077,638
U.S. Treasury Notes		2.125%			09/30/21-05/15/25		4,365		4,602,743
U.S. Treasury Strips Coupon		2.037%	(c)		02/15/22		1,690		1,576,767
U.S. Treasury Strips Coupon		2.184%	(c)		02/15/28		550		447,283
U.S. Treasury Strips Coupon		2.384%	(c)		05/15/29		565		445,753
U.S. Treasury Strips Coupon(e)		2.404%	(c)		08/15/21		2,525		2,384,373
U.S. Treasury Strips Coupon		4.138%	(c)		02/15/42		3,725		2,003,983
U.S. Treasury Strips Principal, PO		2.351%	(c)		05/15/43		595		311,983
U.S. Treasury Strips Principal, PO		2.543%	(c)		02/15/45		515		255,865
U.S. Treasury Strips Principal, PO		2.952%	(c)		05/15/45		800		394,524
U.S. Treasury Strips Principal, PO		3.005%	(c)		11/15/44		715		358,031
TOTAL U.S. TREASURY OBLIGATIONS (cost $24,454,754)									25,971,717
TOTAL LONG-TERM INVESTMENTS (cost $233,892,743)									241,378,984
SHORT-TERM INVESTMENTS — 27.2%
						Shares
AFFILIATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $39,533,160)(f)(Note 4)							4,050,491		37,629,057
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund (cost $27,573,669)(f)(Note 4)							27,573,669		27,573,669
TOTAL SHORT-TERM INVESTMENTS (cost $67,106,829)									65,202,726
TOTAL INVESTMENTS 128.0% (cost $300,999,572)									306,581,710
LIABILITIES IN EXCESS OF OTHER ASSETS(g) — (28.0)%									(67,072,460	)
NET ASSETS — 100.0%								$	239,509,250

See the Glossary for abbreviations used in the semiannual report.

# 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, 2016.

(b) All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar principal amount of $15,750,000 is approximately 6.6% of net assets.

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A108

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

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

Futures contracts outstanding at June 30, 2016:

Number of Contracts	Type		Expiration Date		Value at Trade Date		Value at June 30, 2016		Unrealized Appreciation (Depreciation)
Long Positions:
59		2 Year U.S. Treasury Notes		Sep. 2016	$	12,849,174	$	12,940,359	$	91,185
151		5 Year U.S. Treasury Notes		Sep. 2016		18,391,698		18,446,773		55,075
132		10 Year U.S. Treasury Notes		Sep. 2016		17,155,369		17,553,938		398,569
151		30 Year U.S. Ultra Treasury Bonds		Sep. 2016		26,397,325		28,142,625		1,745,300
										2,290,129
Short Position:
176		20 Year U.S. Treasury Bonds		Sep. 2016		28,595,035		30,332,500		(1,737,465	)
									$	552,664

Cash of $100,000 and a U.S. Treasury Obligation with a market value of $844,210 has been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2016.

Interest rate swap agreements outstanding at June 30, 2016:

Notional Amount (000)#	Termination Date		Fixed Rate		Floating Rate	Value at Trade Date		Value at June 30, 2016			Unrealized Appreciation (Depreciation)
Centrally cleared swap agreements:
19,280		01/06/21		1.750%	3 Month LIBOR(2)	$	200	$	693,748		$	693,548
5,100		01/13/22		2.351%	3 Month LIBOR(1)		180		(359,517	)		(359,697	)
4,850		01/13/22		2.480%	3 Month LIBOR(1)		179		(375,994	)		(376,173	)
1,710		01/22/22		2.467%	3 Month LIBOR(1)		161		(131,800	)		(131,961	)
5,470		05/31/22		2.217%	3 Month LIBOR(1)		179		(366,056	)		(366,235	)
11,780		11/30/22		1.850%	3 Month LIBOR(1)		213		(547,312	)		(547,525	)
3,600		11/30/22		1.982%	3 Month LIBOR(1)		169		(197,215	)		(197,384	)
8,720		12/20/23		2.932%	3 Month LIBOR(1)		220		(1,082,802	)		(1,083,022	)
5,290		09/17/24		2.732%	3 Month LIBOR(1)		111		(609,672	)		(609,783	)
1,860		09/04/25		2.214%	3 Month LIBOR(1)		163		(146,995	)		(147,158	)
1,630		01/08/26		2.210%	3 Month LIBOR(1)		23		(129,019	)		(129,042	)
						$	1,798	$	(3,252,634	)	$	(3,254,432	)

U.S. Treasury Obligations with a combined market value of $1,443,880 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate swap contracts at June 30, 2016.

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

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

Total return swap agreements outstanding at June 30, 2016:

Counterparty	Termination Date		Long (Short) Notional Amount (000)#		Description	Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)(1)
OTC total return swap agreements:
Deutsche Bank AG		09/08/16		1,000	Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip	$	56,096	$	—	$	56,096
Deutsche Bank AG		09/08/16		1,000	Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip		70,783		—		70,783
Deutsche Bank AG		09/08/16		500	Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip		16,009		—		16,009

SEE NOTES TO FINANCIAL STATEMENTS.

A109

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

Total return swap agreements outstanding at June 30, 2016 (continued):

Counterparty	Termination Date		Long (Short) Notional Amount (000)#		Description	Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)(1)
OTC total return swap agreements (continued):
Deutsche Bank AG		09/08/16		500	Pay variable payments based on 1 Day USOIS plus 30 bps and receive variable payments based on U.S. Treasury Strip	$	22,200	$	—	$	22,200
						$	165,088	$	—	$	165,088

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

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, 2016 in valuing such portfolio securities:

	Level 1		Level 2			Level 3
Investments in Securities
Asset-Backed Securities
Collateralized Loan Obligations	$	—	$	13,736,685		$	—
Non-Residential Mortgage-Backed Securities		—		316,951			—
Commercial Mortgage-Backed Securities		—		65,783,552			—
Corporate Bond		—		2,469,517			—
Foreign Agency		—		881,256			—
Residential Mortgage-Backed Securities		—		497,839			—
U.S. Government Agency Obligations		—		131,721,467			—
U.S. Treasury Obligations		—		25,971,717			—
Affiliated Mutual Funds		65,202,726		—			—
Other Financial Instruments*
Futures Contracts		552,664		—			—
Centrally Cleared Interest Rate Swap Agreements		—		(3,254,432	)		—
OTC Total Return Swap Agreements		—		165,088			—
Total	$	65,755,390	$	238,289,640		$	—

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

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2016 were as follows:

U.S. Government Agency Obligations	55.0	%
Commercial Mortgage-Backed Securities	27.5
Affiliated Mutual Funds	27.2
U.S. Treasury Obligations	10.8
Collateralized Loan Obligations	5.8
Diversified Financial Services	1.0
Foreign Agency	0.4

Residential Mortgage-Backed Securities	0.2	%
Non-Residential Mortgage-Backed Securities	0.1
	128.0
Liabilities in excess of other assets	(28.0	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A110

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

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

Fair values of derivative instruments as of June 30, 2016 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Interest rate contracts	Due from/to broker — variation margin futures	$	2,290,129	*	Due from/to broker — variation margin futures	$	1,737,465	*
Interest rate contracts	Due from/to broker — variation margin swaps		693,548	*	Due from/to broker — variation margin swaps		3,947,980	*
Interest rate contracts	Unrealized appreciation on OTC swap agreements		165,088		—		—
Total		$	3,148,765			$	5,685,445

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

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2016 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased*			Options Written			Futures		Forward Rate Agreements		Swaps		Total
Interest rate contracts	$	(384,680	)	$	(157,665	)	$	2,071,033	$	2,325	$	565,809	$	2,096,822

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

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased*		Options Written			Futures		Swaps			Total
Interest rate contracts	$	214,775	$	(127,080	)	$	383,621	$	(2,256,576	)	$	(1,785,260	)

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

For the six months ended June 30, 2016, 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)	Interest Rate Swap Agreements(2)
$104,646	$220,320	$95,916,078	$41,084,922	$99,165

Total Return
Swap Agreements(2)

$2,000

(1) Cost.

(2) Notional Amount in USD (000).

(3) Value at Trade Date.

SEE NOTES TO FINANCIAL STATEMENTS.

A111

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

Offsetting of 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		Net Amount
Deutsche Bank AG	$	165,088	$	—	$	—	$	165,088
Counterparty	Gross amounts of recognized liabilities(2)		Gross amounts available for offset		Collateral Pledged		Net Amount
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.

SEE NOTES TO FINANCIAL STATEMENTS.

A112

GOVERNMENT INCOME PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2016

ASSETS
Investments at value:
Unaffiliated investments (cost $233,892,743)	$	241,378,984
Affiliated investments (cost $67,106,829)		65,202,726
Deposit with broker for futures		100,000
Receivable for investments sold		71,092,476
Dividends and interest receivable		739,109
Unrealized appreciation on OTC swap agreements		165,088
Due from broker—variation margin swaps		33,256
Receivable for Series shares sold		748
Prepaid expenses		367
Total Assets		378,712,754
LIABILITIES
Payable for investments purchased		138,968,452
Accrued expenses and other liabilities		104,117
Management fee payable		78,099
Payable for Series shares repurchased		42,394
Due to broker—variation margin futures		8,941
Affiliated transfer agent fee payable		980
Deferred trustees’ fees		521
Total Liabilities		139,203,504
NET ASSETS	$	239,509,250
Net assets were comprised of:
Paid-in capital	$	212,553,096
Retained earnings		26,956,154
Net assets, June 30, 2016	$	239,509,250
Net asset value and redemption price per share $239,509,250 / 19,008,235 outstanding shares of beneficial interest	$	12.60

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2016

NET INVESTMENT INCOME (LOSS)
INCOME
Interest income	$	2,249,176
Affiliated dividend income		320,326
Affiliated income from securities lending, net		4,702
Total income		2,574,204
EXPENSES
Management fee		469,670
Shareholders’ reports		52,000
Custodian and accounting fees		40,000
Audit fee		17,000
Trustees’ fees		6,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Legal fees and expenses		5,000
Insurance expenses		2,000
Loan interest expense		38
Miscellaneous		8,643
Total expenses		606,351
NET INVESTMENT INCOME (LOSS)		1,967,853
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investment transactions		2,973,434
Futures transactions		2,071,033
Options written transactions		(157,665	)
Forward rate agreement transactions		2,325
Swap agreement transactions		565,809
		5,454,936
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $80,652)		6,050,073
Futures		383,621
Options written		(127,080	)
Swap agreements		(2,256,576	)
		4,050,038
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		9,504,974
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	11,472,827

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2016			Year Ended December 31, 2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	1,967,853		$	4,806,869
Net realized gain (loss) on investment transactions		5,454,936			1,519,137
Net change in unrealized appreciation (depreciation) on investments		4,050,038			(3,732,049	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		11,472,827			2,593,957
SERIES SHARE TRANSACTIONS
Series shares sold [439,515 and 446,808 shares, respectively]		5,402,445			5,381,539
Series shares repurchased [746,818 and 9,585,972 shares, respectively]		(9,192,690	)		(115,358,336	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(3,790,245	)		(109,976,797	)
Capital Contributions (Note 4)		28,977			—
TOTAL INCREASE (DECREASE)		7,711,559			(107,382,840	)
NET ASSETS:
Beginning of period		231,797,691			339,180,531
End of period	$	239,509,250		$	231,797,691

SEE NOTES TO FINANCIAL STATEMENTS.

A113

	HIGH YIELD BOND PORTFOLIO
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

LONG-TERM INVESTMENTS — 95.8% ASSET-BACKED SECURITIES — 0.4%	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations
Primus CLO II Ltd. (Cayman Islands), Series 2007-2A, Class A, MTN, 144A		0.861%	(a)		07/15/21		205	$	201,936
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class D, 144A		4.878%	(a)		08/17/22		13,000		11,885,064
TOTAL ASSET-BACKED SECURITIES (cost $11,947,838)									12,087,000
BANK LOANS(a) — 1.4%
Capital Goods — 0.1%
Neff Rental LLC(b)		7.250%	(a)		06/09/21		4,384		4,165,052
Chemicals — 0.3%
MacDermid, Inc.		5.500%	(a)		06/07/20		3,950		3,887,509
Solenis International LP		7.750%	(a)		07/31/22		7,500		6,909,375
									10,796,884
Energy – Other
American Energy Marcellus LLC		8.500%	(a)		08/04/21		3,675		545,124
Entertainment — 0.1%
Scientific Games International, Inc.		6.000%	(a)		10/16/20		1,990		1,962,436
Gaming — 0.2%
CCM Merger, Inc.		4.500%	(a)		08/06/21		5,491		5,484,441
Golden Nugget, Inc.		5.500%	(a)		11/21/19		2,565		2,564,920
									8,049,361
Lodging — 0.1%
Four Seasons Holdings, Inc. (Canada)		6.250%	(a)		12/28/20		1,750		1,751,458
Retail — 0.1%
Rite Aid Corp.		4.875%	(a)		06/21/21		3,000		2,998,125
Technology — 0.5%
Evergreen Skills Lux Sarl (Luxembourg)(b)		9.250%	(a)		04/28/22		13,700		6,165,000
Kronos, Inc.		9.750%	(a)		04/30/20		10,150		10,192,259
									16,357,259
TOTAL BANK LOANS (cost $57,543,318)									46,625,699
COLLATERALIZED MORTGAGE OBLIGATIONS
Adjustable Rate Mortgage Trust, Series 2005-7, Class 1A1		2.997%	(a)		10/25/35		80		69,607
American Home Mortgage Assets Trust, Series 2006-4, Class 1A12		0.663%	(a)		10/25/46		34		22,282
American Home Mortgage Investment Trust, Series 2005-2, Class 4A1		2.478%	(a)		09/25/45		13		12,092
Banc of America Alternative Loan Trust, Series 2005-4, Class CB6		0.853%	(a)		05/25/35		28		20,638
Banc of America Funding Trust, Series 2006-B, Class 2A1		3.043%	(a)		03/20/36		87		74,711
Bear Stearns ARM Trust, Series 2005-10, Class A2		2.930%	(a)		10/25/35		31		30,918
Citigroup Mortgage Loan Trust, Series 2007-10, Class 22AA		3.028%	(a)		09/25/37		63		57,338
Countrywide Alternative Loan Trust, Series 2005-43, Class 4A3		2.649%	(a)		10/25/35		20		15,395
Countrywide Alternative Loan Trust, Series 2006-HY13, Class 4A1		2.952%	(a)		02/25/37		31		25,761
Countrywide Alternative Loan Trust, Series 2006-OA9, Class 2A1A		0.658%	(a)		07/20/46		26		12,514
Countrywide Alternative Loan Trust, Series 2006-OA11, Class A1B		0.643%	(a)		09/25/46		32		24,310
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-2, Class 2A1		1.093%	(a)		03/25/35		67		54,602
HarborView Mortgage Loan Trust, Series 2006-5, Class 2A1A		0.628%	(a)		07/19/46		41		23,796
HarborView Mortgage Loan Trust, Series 2006-7, Class 2A1B		0.698%	(a)		09/19/46		9		280
IndyMac INDX Mortgage Loan Trust, Series 2006-AR12, Class A1		0.643%	(a)		09/25/46		32		25,931
JP Morgan Mortgage Trust, Series 2007-S3, Class 1A96		6.000%			08/25/37		24		20,309
MASTR Adjustable Rate Mortgages Trust, Series 2006-OA1, Class 1A1		0.663%	(a)		04/25/46		22		15,292
Residential Accredit Loans, Inc., Series 2006-QA2, Class 3A1		5.131%	(a)		02/25/36		138		110,429
Residential Accredit Loans, Inc., Series 2007-QS4, Class 2A1		0.783%	(a)		03/25/37		137		30,959
Residential Asset Securitization Trust, Series 2007-A5, Class 2A3		6.000%			05/25/37		45		37,525
Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 2A1		0.643%	(a)		07/25/46		42		33,070

SEE NOTES TO FINANCIAL STATEMENTS.

A114

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COLLATERALIZED MORTGAGE OBLIGATIONS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
SunTrust Alternative Loan Trust, Series 2006-1F, Class 3A		0.803%	(a)		04/25/36		97	$	34,731
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 2A3		2.503%	(a)		02/25/37		25		22,688
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 4A1		2.668%	(a)		02/25/37		31		26,996
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $764,546)									802,174
CORPORATE BONDS — 93.6%
Advertising — 0.3%
Acosta, Inc., Sr. Unsec’d. Notes, 144A		7.750%			10/01/22		13,150		11,539,125
Aerospace & Defense — 0.9%
Orbital ATK, Inc., Gtd. Notes		5.250%			10/01/21		2,965		3,094,808
StandardAero Aviation Holdings, Inc., Gtd. Notes, 144A		10.000%			07/15/23		6,925		6,907,687
TransDigm, Inc., Gtd. Notes		6.000%			07/15/22		6,550		6,583,929
TransDigm, Inc., Gtd. Notes		6.500%			07/15/24		4,675		4,742,227
TransDigm, Inc., Gtd. Notes		7.500%			07/15/21		5,245		5,559,700
TransDigm, Inc., Gtd. Notes, 144A		6.375%			06/15/26		2,400		2,394,000
									29,282,351
Agriculture — 0.1%
Vector Group Ltd., Gtd. Notes(c)		7.750%			02/15/21		2,440		2,540,650
Apparel — 0.1%
Levi Strauss & Co., Sr. Unsec’d. Notes		5.000%			05/01/25		4,150		4,170,750
Auto Manufacturers — 0.2%
Fiat Chrysler Automobiles NV (United Kingdom), Sr. Unsec’d. Notes(c)		5.250%			04/15/23		5,925		5,887,969
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A(c)		5.625%			02/01/23		650		675,187
									6,563,156
Auto Parts & Equipment — 2.1%
American Axle & Manufacturing, Inc., Gtd. Notes(c)		6.250%			03/15/21		3,675		3,812,812
American Axle & Manufacturing, Inc., Gtd. Notes		7.750%			11/15/19		675		749,250
Dana Holding Corp., Sr. Unsec’d. Notes		5.375%			09/15/21		2,375		2,435,562
Lear Corp., Gtd. Notes		4.750%			01/15/23		775		796,313
Lear Corp., Gtd. Notes		5.250%			01/15/25		12,700		13,319,125
Meritor, Inc., Gtd. Notes(c)		6.250%			02/15/24		8,525		7,288,875
Meritor, Inc., Gtd. Notes(c)		6.750%			06/15/21		8,075		7,550,125
Schaeffler Finance BV (Germany), Sr. Sec’d. Notes, 144A		4.750%			05/15/23		7,300		7,409,500
Schaeffler Holding Finance BV (Germany), Sr. Sec’d. Notes, PIK, 144A(c)		6.750%			11/15/22		1,756		1,931,805
TI Group Automotive Systems LLC, Sr. Unsec’d. Notes, 144A(c)		8.750%			07/15/23		7,200		7,056,000
Titan International, Inc., Sr. Sec’d. Notes(c)		6.875%			10/01/20		4,425		3,722,531
ZF North America Capital, Inc. (Germany), Gtd. Notes, 144A		4.500%			04/29/22		6,825		6,918,844
ZF North America Capital, Inc. (Germany), Gtd. Notes, 144A		4.750%			04/29/25		8,775		8,890,128
									71,880,870
Banks — 2.5%
Bank of America Corp., Series AA, Jr. Sub. Notes		6.100%	(a)		12/31/49		7,500		7,612,500
Bank of America Corp., Series K, Jr. Sub. Notes		8.000%	(a)		12/29/49		730		725,438
Bank of America Corp., Series M, Jr. Sub. Notes		8.125%	(a)		12/29/49		1,250		1,253,125
Bank of America Corp., Series X, Jr. Sub. Notes		6.250%	(a)		12/31/49		3,025		3,072,190
CIT Group, Inc., Sr. Unsec’d. Notes		5.000%			08/15/22		7,175		7,300,562
CIT Group, Inc., Sr. Unsec’d. Notes		5.375%			05/15/20		750		781,875
CIT Group, Inc., Sr. Unsec’d. Notes, 144A		5.500%			02/15/19		1,775		1,857,094
Citigroup, Inc., Series N, Jr. Sub. Notes		5.800%	(a)		12/31/49		9,515		9,193,869
Citigroup, Inc., Series O, Jr. Sub. Notes		5.875%	(a)		12/31/49		3,950		3,792,000
Citigroup, Inc., Series P, Jr. Sub. Notes		5.950%	(a)		12/31/49		10,000		9,775,000
Goldman Sachs Group, Inc. (The), Series M, Jr. Sub. Notes		5.375%	(a)		12/31/49		3,925		3,881,511
HBOS PLC (United Kingdom), Sub. Notes, GMTN, 144A		6.750%			05/21/18		400		429,041

SEE NOTES TO FINANCIAL STATEMENTS.

A115

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Banks (continued)
JPMorgan Chase & Co., Jr. Sub. Notes		7.900%	(a)		04/29/49		1,596	$	1,627,920
JPMorgan Chase & Co., Series Q, Jr. Sub. Notes(c)		5.150%	(a)		12/31/49		3,100		3,015,060
JPMorgan Chase & Co., Series R, Jr. Sub. Notes		6.000%	(a)		12/31/49		1,050		1,072,312
JPMorgan Chase & Co., Series U, Jr. Sub. Notes		6.125%	(a)		12/31/49		1,500		1,554,375
JPMorgan Chase & Co., Series X, Jr. Sub. Notes		6.100%	(a)		12/31/49		7,675		7,914,844
Morgan Stanley, Series H, Jr. Sub. Notes		5.450%	(a)		12/31/49		4,975		4,776,000
Morgan Stanley, Series J, Jr. Sub. Notes		5.550%	(a)		12/31/49		2,700		2,674,620
Wells Fargo & Co., Series S, Jr. Sub. Notes		5.900%	(a)		12/31/49		11,350		11,676,312
									83,985,648
Beverages — 0.2%
Constellation Brands, Inc., Gtd. Notes		4.750%			12/01/25		1,950		2,054,813
Cott Beverages, Inc. (Canada), Gtd. Notes		6.750%			01/01/20		5,350		5,577,375
									7,632,188
Building Materials — 2.0%
Builders FirstSource, Inc., Gtd. Notes, 144A(d)		10.750%			08/15/23		9,550		10,385,625
Cemex Finance LLC (Mexico), Sr. Sec’d. Notes, 144A		9.375%			10/12/22		5,975		6,572,500
Cemex SAB de CV (Mexico), Sr. Sec’d. Notes, 144A		5.700%			01/11/25		300		284,250
Cemex SAB de CV (Mexico), Sr. Sec’d. Notes, MTN, 144A		7.750%			04/16/26		4,625		4,852,087
Griffon Corp., Gtd. Notes		5.250%			03/01/22		11,235		11,094,562
Griffon Corp., Gtd. Notes, 144A		5.250%			03/01/22		4,725		4,665,938
James Hardie International Finance Ltd. (Ireland), Gtd. Notes, 144A		5.875%			02/15/23		4,275		4,371,188
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A (original cost $6,250,000; purchased 10/27/14)(c)(d)(e)		5.375%			11/15/24		6,250		6,359,375
Summit Materials LLC/Summit Materials Finance Corp., Sr. Unsec’d. Notes, 144A		8.500%			04/15/22		4,800		5,082,000
Summit Materials LLC/Summit Materials Finance Corp., Gtd. Notes		6.125%			07/15/23		6,550		6,455,811
US Concrete, Inc., Gtd. Notes, 144A		6.375%			06/01/24		5,300		5,300,000
USG Corp., Gtd. Notes, 144A		5.500%			03/01/25		700		733,250
									66,156,586
Chemicals — 4.5%
A Schulman, Inc., Gtd. Notes, 144A		6.875%			06/01/23		6,350		6,340,475
Ashland, Inc., Sr. Unsec’d. Notes		6.875%			05/15/43		4,000		4,000,000
Axalta Coating Systems US Holdings Inc./Axalta Coating Systems Dutch Holding B BV, Gtd. Notes, 144A		7.375%			05/01/21		8,145		8,582,794
Axiall Corp., Gtd. Notes		4.875%			05/15/23		5,650		5,805,375
Blue Cube Spinco, Inc., Gtd. Notes, 144A(c)		9.750%			10/15/23		6,440		7,454,300
Blue Cube Spinco, Inc., Gtd. Notes, 144A(c)		10.000%			10/15/25		2,940		3,395,700
Chemours Co. (The), Sr. Unsec’d. Notes		6.625%			05/15/23		9,255		7,866,750
Chemours Co. (The), Sr. Unsec’d. Notes		7.000%			05/15/25		6,650		5,577,688
Chemtura Corp., Gtd. Notes		5.750%			07/15/21		14,331		14,474,310
CVR Partners LP/ CVR Nitrogen Finance Corp., Sr. Sec’d. Notes, 144A		9.250%			06/15/23		7,575		7,707,562
Eagle Spinco, Inc., Gtd. Notes		4.625%			02/15/21		6,150		6,296,062
GCP Applied Technologies, Inc., Gtd. Notes, 144A		9.500%			02/01/23		4,175		4,665,563
Hexion, Inc., Sec’d. Notes(c)		9.000%			11/15/20		20,180		13,318,800
Hexion, Inc., Sr. Sec’d. Notes		6.625%			04/15/20		7,585		6,343,335
Hexion, Inc., Sr. Sec’d. Notes		8.875%			02/01/18		9,275		8,046,062
Hexion, Inc., Sr. Sec’d. Notes		10.000%			04/15/20		6,025		5,633,375
Platform Specialty Products Corp., Sr. Unsec’d. Notes, 144A		6.500%			02/01/22		5,845		5,114,375
Platform Specialty Products Corp., Sr. Unsec’d. Notes, 144A		10.375%			05/01/21		3,525		3,551,438
PQ Corp., Sr. Sec’d. Notes, 144A (original cost $3,025,000; purchased 04/26/16)(d)(e)		6.750%			11/15/22		3,025		3,153,563
TPC Group, Inc., Sr. Sec’d. Notes, 144A (original cost $17,217,913; purchased 12/11/12-10/07/15)(d)(e)		8.750%			12/15/20		17,445		13,650,712
Tronox Finance LLC, Gtd. Notes		6.375%			08/15/20		3,901		2,896,493

SEE NOTES TO FINANCIAL STATEMENTS.

A116

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date		Principal Amount (000)#		Value (Note 2)
Chemicals (continued)
Unifrax I LLC/Unifrax Holding Co., Gtd. Notes, 144A (original cost $7,122,875; purchased 10/10/13-04/01/16)(d)(e)		7.500%		02/15/19		8,650	$	7,482,250
								151,356,982
Commercial Services — 3.5%
Ahern Rentals, Inc., Sec’d. Notes, 144A		7.375%		05/15/23		5,325		3,674,250
Ancestry.com Holdings LLC, Sr. Unsec’d. Notes, PIK, 144A(c)		9.625%		10/15/18		10,950		11,086,875
Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A		6.500%		07/15/22		11,125		11,576,897
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes, 144A		5.125%		06/01/22		6,650		6,417,250
Hertz Corp. (The), Gtd. Notes		5.875%		10/15/20		1,375		1,409,375
Hertz Corp. (The), Gtd. Notes		6.750%		04/15/19		650		663,588
Jurassic Holdings III, Inc., Sec’d. Notes, 144A (original cost $10,635,375; purchased 01/24/14-05/06/15)(c)(d)(e)		6.875%		02/15/21		11,000		6,985,000
Laureate Education, Inc., Gtd. Notes, 144A(c)(d)		9.250%		09/01/19		18,965		16,594,375
Live Nation Entertainment, Inc., Gtd. Notes, 144A		5.375%		06/15/22		2,400		2,466,000
Modular Space Corp., Sec’d. Notes, 144A (original cost $1,800,000; purchased 02/19/14)(d)(e)		10.250%		01/31/19		1,800		864,000
NES Rentals Holdings, Inc., Sec’d. Notes, 144A (original cost $7,395,938; purchased 04/12/13-11/10/14)(d)(e)		7.875%		05/01/18		7,275		6,911,250
R.R. Donnelley & Sons Co., Sr. Unsec’d. Notes		6.000%		04/01/24		1,575		1,400,774
R.R. Donnelley & Sons Co., Sr. Unsec’d. Notes		6.500%		11/15/23		2,560		2,380,800
Safway Group Holding LLC/Safway Finance Corp., Sec’d. Notes, 144A		7.000%		05/15/18		1,450		1,446,375
Service Corp. International, Sr. Unsec’d. Notes		5.375%		01/15/22		925		952,750
Service Corp. International, Sr. Unsec’d. Notes		5.375%		05/15/24		8,650		8,974,375
Syniverse Holdings, Inc., Gtd. Notes		9.125%		01/15/19		2,505		1,227,450
United Rentals North America, Inc., Gtd. Notes		5.500%		07/15/25		3,725		3,669,125
United Rentals North America, Inc., Gtd. Notes(c)		5.750%		11/15/24		5,150		5,188,625
United Rentals North America, Inc., Gtd. Notes		5.875%		09/15/26		3,400		3,374,500
United Rentals North America, Inc., Gtd. Notes(c)		6.125%		06/15/23		2,600		2,707,250
United Rentals North America, Inc., Gtd. Notes		7.375%		05/15/20		240		249,600
United Rentals North America, Inc., Gtd. Notes		7.625%		04/15/22		15,640		16,695,700
								116,916,184
Computers — 1.5%
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Gtd. Notes, 144A		7.125%		06/15/24		6,025		6,292,637
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A		5.450%		06/15/23		6,610		6,858,357
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A		6.020%		06/15/26		765		797,503
Western Digital Corp., Sr. Unsec’d. Notes, 144A		10.500%		04/01/24		33,270		35,598,900
								49,547,397
Cosmetics & Personal Care — 0.1%
First Quality Finance Co., Inc., Sr. Unsec’d. Notes, 144A (original cost $2,247,505; purchased 07/10/13-07/30/14)(d)(e)		4.625%		05/15/21		2,352		2,222,640
Distribution/Wholesale — 1.2%
American Tire Distributors, Inc., Sr. Sub. Notes, 144A		10.250%		03/01/22		12,125		10,639,687
Beacon Roofing Supply, Inc., Gtd. Notes		6.375%		10/01/23		4,725		4,949,438
Global Partners LP/GLP Finance Corp., Gtd. Notes		6.250%		07/15/22		2,275		1,893,938
Global Partners LP/GLP Finance Corp., Gtd. Notes		7.000%		06/15/23		5,400		4,509,000
H&E Equipment Services, Inc., Gtd. Notes(c)		7.000%		09/01/22		13,095		13,553,325
HD Supply, Inc., Sr. Sec’d. Notes, 144A		5.250%		12/15/21		3,975		4,148,906
								39,694,294
Diversified Financial Services — 2.1%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes		3.750%		05/15/19		1,600		1,612,000
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes		4.250%		07/01/20		550		559,625

SEE NOTES TO FINANCIAL STATEMENTS.

A117

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Diversified Financial Services (continued)
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes		4.500%			05/15/21		3,875	$	3,965,094
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes(c)		4.625%			07/01/22		2,950		3,021,036
Ally Financial, Inc., Gtd. Notes(c)		8.000%			03/15/20		2,243		2,523,375
Ally Financial, Inc., Sr. Unsec’d. Notes		3.750%			11/18/19		4,075		4,085,187
Dana Financing Luxembourg Sarl, Gtd. Notes, 144A		6.500%			06/01/26		4,450		4,333,187
International Lease Finance Corp., Sr. Unsec’d. Notes		3.875%			04/15/18		4,425		4,506,066
International Lease Finance Corp., Sr. Unsec’d. Notes		6.250%			05/15/19		2,120		2,271,050
International Lease Finance Corp., Sr. Unsec’d. Notes		8.250%			12/15/20		1,125		1,330,110
International Lease Finance Corp., Sr. Unsec’d. Notes		8.625%			01/15/22		1,525		1,856,688
International Lease Finance Corp. E-Capital Trust II Ltd., Ltd. Gtd. Notes, 144A		4.230%	(a)		12/21/65		4,250		3,357,500
KCG Holdings, Inc., Sr. Sec’d. Notes, 144A		6.875%			03/15/20		9,350		8,438,375
National Financial Partners Corp., Sr. Unsec’d. Notes, 144A		9.000%			07/15/21		2,375		2,288,906
Navient Corp., Sr. Unsec’d. Notes		5.000%			10/26/20		1,500		1,406,250
Navient Corp., Sr. Unsec’d. Notes, MTN		8.000%			03/25/20		6,100		6,233,468
OneMain Financial Holdings, Inc., Gtd. Notes, 144A		6.750%			12/15/19		3,100		3,022,500
OneMain Financial Holdings, Inc., Gtd. Notes, 144A		7.250%			12/15/21		305		292,038
Springleaf Finance Corp., Gtd. Notes		6.000%			06/01/20		9,525		8,917,781
Transworld Systems, Inc., Sr. Sec’d. Notes, 144A (original cost $10,825,000; purchased 07/22/14)(d)(e)		9.500%			08/15/21		10,825		5,304,250
									69,324,486
Electric — 6.0%
AES Corp., Sr. Unsec’d. Notes		4.875%			05/15/23		900		888,750
AES Corp., Sr. Unsec’d. Notes		5.500%			03/15/24		2,400		2,457,000
AES Corp., Sr. Unsec’d. Notes		7.375%			07/01/21		11,999		13,528,872
Calpine Corp., Sr. Sec’d. Notes, 144A		6.000%			01/15/22		2,100		2,199,750
Calpine Corp., Sr. Sec’d. Notes, 144A		7.875%			01/15/23		6,113		6,449,215
Calpine Corp., Sr. Unsec’d. Notes		5.500%			02/01/24		13,150		12,689,750
Calpine Corp., Sr. Unsec’d. Notes(c)		5.375%			01/15/23		10,710		10,442,250
Calpine Corp., Sr. Unsec’d. Notes(c)		5.750%			01/15/25		5,625		5,470,312
DPL, Inc., Sr. Unsec’d. Notes		6.500%			10/15/16		316		316,000
DPL, Inc., Sr. Unsec’d. Notes		6.750%			10/01/19		4,250		4,313,750
DPL, Inc., Sr. Unsec’d. Notes		7.250%			10/15/21		16,100		15,456,000
Dynegy, Inc., Gtd. Notes		5.875%			06/01/23		7,310		6,432,800
Dynegy, Inc., Gtd. Notes		6.750%			11/01/19		4,775		4,780,969
Dynegy, Inc., Gtd. Notes(c)		7.375%			11/01/22		29,330		28,303,450
Dynegy, Inc., Gtd. Notes(c)		7.625%			11/01/24		19,530		18,748,800
GenOn Energy, Inc., Sr. Unsec’d. Notes		7.875%			06/15/17		13,969		11,733,960
GenOn Energy, Inc., Sr. Unsec’d. Notes		9.500%			10/15/18		3,350		2,663,250
GenOn Energy, Inc., Sr. Unsec’d. Notes(c)		9.875%			10/15/20		16,646		11,818,660
Mirant Corp., Bonds, 144A(b)(d)		7.400%	(a)(f)		07/15/49		1,825		1,825
Mirant Mid-Atlantic, Series C, Pass-Through Certificates		10.060%			12/30/28		4,837		4,571,316
Mirant Mid-Atlantic Trust, Series B, Pass-Through Certificates(d)		9.125%			06/30/17		1,063		1,017,963
NRG Energy, Inc., Gtd. Notes		6.250%			07/15/22		5,485		5,320,450
NRG Energy, Inc., Gtd. Notes		6.250%			05/01/24		3,535		3,364,896
NRG Energy, Inc., Gtd. Notes		6.625%			03/15/23		3,291		3,241,635
NRG Energy, Inc., Gtd. Notes		7.875%			05/15/21		1,935		2,002,725
NRG Energy, Inc., Gtd. Notes		8.250%			09/01/20		2,650		2,740,286
NRG Energy, Inc., Gtd. Notes, 144A		7.250%			05/15/26		7,725		7,686,375
NRG REMA LLC, Series B, Pass-Through Certificates(d)		9.237%			07/02/17		617		609,052
NRG REMA LLC, Series C, Pass-Through Certificates		9.681%			07/02/26		8,835		8,481,600
Red Oak Power LLC, Series B, Sr. Sec’d. Notes (original cost $224,500; purchased 05/27/15)(d)(e)		9.200%			11/30/29		200		207,000
Talen Energy Supply LLC, Sr. Unsec’d. Notes, 144A		4.625%			07/15/19		4,450		3,916,000
									201,854,661

SEE NOTES TO FINANCIAL STATEMENTS.

A118

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Electrical Components & Equipment — 0.4%
Anixter, Inc., Gtd. Notes		5.500%	03/01/23		1,875	$	1,907,813
Belden, Inc., Gtd. Notes, MTN, 144A		5.500%	09/01/22		4,025		4,055,187
General Cable Corp., Gtd. Notes		5.750%	10/01/22		3,225		2,967,000
International Wire Group Holdings, Inc., Sec’d. Notes, 144A		8.500%	10/15/17		6,250		6,187,500
							15,117,500
Engineering & Construction — 0.3%
AECOM, Gtd. Notes		5.875%	10/15/24		10,900		11,172,500
Entertainment — 4.0%
AMC Entertainment, Inc., Gtd. Notes		5.750%	06/15/25		11,700		11,641,500
Carmike Cinemas, Inc., Sec’d. Notes, 144A		6.000%	06/15/23		4,425		4,602,000
CCM Merger, Inc., Gtd. Notes, 144A (original cost $12,596,184; purchased 03/14/12-09/30/15)(d)(e)		9.125%	05/01/19		12,437		13,027,757
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes		5.375%	06/01/24		2,100		2,163,000
Cinemark USA, Inc., Gtd. Notes		4.875%	06/01/23		12,219		12,096,810
Cinemark USA, Inc., Gtd. Notes		5.125%	12/15/22		6,850		6,969,875
Eldorado Resorts, Inc., Gtd. Notes		7.000%	08/01/23		11,100		11,516,250
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes		4.375%	04/15/21		1,775		1,828,250
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes		4.875%	11/01/20		575		595,844
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes(c)		5.375%	11/01/23		5,425		5,662,344
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes		5.375%	04/15/26		3,875		3,991,250
Greektown Holdings LLC/Greektown Mothership Corp., Sr. Sec’d. Notes, 144A(d)		8.875%	03/15/19		3,153		3,271,238
Isle of Capri Casinos, Inc., Gtd. Notes		5.875%	03/15/21		1,190		1,234,625
Isle of Capri Casinos, Inc., Gtd. Notes		8.875%	06/15/20		4,598		4,793,415
Mood Media Corp., Gtd. Notes, 144A(d)		9.250%	10/15/20		3,700		2,590,000
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., Sr. Sec’d. Notes, 144A (original cost $2,300,000; purchased 07/30/13)(d)(e)		5.000%	08/01/18		2,300		2,334,500
National CineMedia LLC, Sr. Sec’d. Notes		6.000%	04/15/22		4,350		4,502,250
Penn National Gaming, Inc., Sr. Unsec’d. Notes(c)		5.875%	11/01/21		12,151		12,363,642
Pinnacle Entertainment, Inc., Sr. Unsec’d. Notes, 144A		5.625%	05/01/24		6,000		5,985,000
Regal Entertainment Group, Sr. Unsec’d. Notes(c)		5.750%	02/01/25		3,170		3,122,450
Scientific Games International, Inc., Gtd. Notes(c)		6.625%	05/15/21		27,975		16,645,125
Scientific Games International, Inc., Gtd. Notes		10.000%	12/01/22		4,525		3,676,562
Scientific Games International, Inc., Sr. Sec’d. Notes, 144A		7.000%	01/01/22		1,275		1,281,375
							135,895,062
Environmental Control — 0.4%
Advanced Disposal Services, Inc., Gtd. Notes		8.250%	10/01/20		4,235		4,277,350
Clean Harbors, Inc., Gtd. Notes		5.125%	06/01/21		1,060		1,084,507
Clean Harbors, Inc., Gtd. Notes		5.250%	08/01/20		6,850		7,012,688
Covanta Holding Corp., Sr. Unsec’d. Notes(c)		6.375%	10/01/22		2,100		2,157,750
Covanta Holding Corp., Sr. Unsec’d. Notes		7.250%	12/01/20		330		339,900
							14,872,195
Food — 3.2%
B&G Foods, Inc., Gtd. Notes		4.625%	06/01/21		4,025		4,025,000
Darling Ingredients, Inc., Gtd. Notes		5.375%	01/15/22		4,800		4,953,024
Hearthside Group Holdings LLC/Hearthside Finance Co., Gtd. Notes, 144A		6.500%	05/01/22		8,450		7,161,375
Ingles Markets, Inc., Sr. Unsec’d. Notes		5.750%	06/15/23		6,750		6,817,500
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A (original cost $10,769,975; purchased 09/13/13-01/05/16)(d)(e)		7.250%	06/01/21		10,810		11,188,350
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Sr. Unsec’d. Notes, 144A (original cost $8,852,750; purchased 05/20/15-03/08/16)(d)(e)		5.750%	06/15/25		9,250		8,695,000
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Sr. Unsec’d. Notes, 144A (original cost $8,744,313; purchased 06/11/14-01/27/16)(d)(e)		5.875%	07/15/24		9,325		9,033,594

SEE NOTES TO FINANCIAL STATEMENTS.

A119

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date		Principal Amount (000)#		Value (Note 2)
Food (continued)
Pilgrim’s Pride Corp., Gtd. Notes, 144A		5.750%		03/15/25		3,200	$	3,192,000
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., Gtd. Notes, 144A(c)		5.875%		01/15/24		675		706,219
Post Holdings, Inc., Gtd. Notes(c)		7.375%		02/15/22		10,525		11,064,406
Post Holdings, Inc., Gtd. Notes, 144A(c)		6.000%		12/15/22		10,325		10,583,125
Post Holdings, Inc., Gtd. Notes, 144A		6.750%		12/01/21		3,375		3,569,062
Post Holdings, Inc., Gtd. Notes, 144A		8.000%		07/15/25		5,500		6,098,125
Smithfield Foods, Inc., Sr. Unsec’d. Notes		6.625%		08/15/22		2,525		2,644,155
Smithfield Foods, Inc., Sr. Unsec’d. Notes, 144A		5.875%		08/01/21		5,475		5,707,687
SUPERVALU, Inc., Sr. Unsec’d. Notes		6.750%		06/01/21		5,100		4,283,898
SUPERVALU, Inc., Sr. Unsec’d. Notes(c)		7.750%		11/15/22		4,075		3,401,810
TreeHouse Foods, Inc., Gtd. Notes(c)		4.875%		03/15/22		676		689,520
TreeHouse Foods, Inc., Gtd. Notes, 144A		6.000%		02/15/24		2,225		2,358,500
								106,172,350
Forest Products & Paper — 0.3%
Smurfit Kappa Acquisitions (Ireland), Sr. Unsec’d. Notes, 144A		4.875%		09/15/18		5,750		6,001,563
Tembec Industries, Inc. (Canada), Sr. Sec’d. Notes, 144A(c)		9.000%		12/15/19		4,025		3,119,375
								9,120,938
Gas — 0.3%
Amerigas Partners LP/Amerigas Finance Corp., Sr. Unsec’d. Notes		5.625%		05/20/24		4,800		4,836,000
Amerigas Partners LP/Amerigas Finance Corp., Sr. Unsec’d. Notes		5.875%		08/20/26		4,800		4,812,000
								9,648,000
Healthcare-Products — 1.4%
ConvaTec Finance International SA (Luxembourg), Sr. Unsec’d. Notes, PIK, 144A		8.250%		01/15/19		1,575		1,545,469
ConvaTec Healthcare E SA (Luxembourg), Gtd. Notes, 144A		10.500%		12/15/18		6,433		6,577,743
Crimson Merger Sub., Inc., Sr. Unsec’d. Notes, 144A		6.625%		05/15/22		23,900		19,717,500
Greatbatch Ltd., Sr. Unsec’d. Notes, 144A		9.125%		11/01/23		9,650		9,613,812
Kinetic Concepts, Inc./KCI USA, Inc., Sec’d. Notes		10.500%		11/01/18		4,825		4,800,875
Mallinckrodt International Finance SA, Gtd. Notes		4.750%		04/15/23		6,675		5,406,750
Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Gtd. Notes, 144A(c)		5.500%		04/15/25		1,375		1,226,665
								48,888,814
Healthcare-Services — 6.2%
Acadia Healthcare Co., Inc., Gtd. Notes(c)		5.625%		02/15/23		9,600		9,408,000
Acadia Healthcare Co., Inc., Gtd. Notes		6.125%		03/15/21		3,206		3,294,165
Acadia Healthcare Co., Inc., Gtd. Notes, 144A		6.500%		03/01/24		2,075		2,106,125
Centene Corp., Sr. Unsec’d. Notes		4.750%		05/15/22		5,975		6,094,500
Centene Escrow Corp., Sr. Unsec’d. Notes, 144A		6.125%		02/15/24		549		583,656
CHS/Community Health Systems, Inc., Gtd. Notes(c)		6.875%		02/01/22		15,759		13,789,125
CHS/Community Health Systems, Inc., Gtd. Notes(c)		7.125%		07/15/20		16,250		15,065,212
CHS/Community Health Systems, Inc., Gtd. Notes(c)		8.000%		11/15/19		9,880		9,670,050
HCA, Inc., Gtd. Notes		5.375%		02/01/25		37,290		38,222,250
HCA, Inc., Gtd. Notes(c)		5.875%		05/01/23		3,797		4,043,805
HCA, Inc., Gtd. Notes		5.875%		02/15/26		2,875		2,982,813
HealthSouth Corp., Gtd. Notes		5.125%		03/15/23		1,475		1,445,500
HealthSouth Corp., Gtd. Notes		5.750%		11/01/24		5,100		5,120,400
Kindred Healthcare, Inc., Gtd. Notes		6.375%		04/15/22		3,506		3,129,105
Kindred Healthcare, Inc., Gtd. Notes		8.000%		01/15/20		3,550		3,532,250
Kindred Healthcare, Inc., Gtd. Notes(c)		8.750%		01/15/23		3,800		3,750,144
LifePoint Health, Inc., Gtd. Notes		5.500%		12/01/21		4,100		4,274,250
LifePoint Health, Inc., Gtd. Notes(c)		5.875%		12/01/23		3,600		3,744,000
MEDNAX, Inc., Gtd. Notes, 144A		5.250%		12/01/23		3,225		3,265,313
MPH Acquisition Holdings LLC, Sr. Unsec’d. Notes, 144A		7.125%		06/01/24		4,450		4,672,500

SEE NOTES TO FINANCIAL STATEMENTS.

A120

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date		Principal Amount (000)#		Value (Note 2)
Healthcare-Services (continued)
Select Medical Corp., Gtd. Notes(c)		6.375%		06/01/21		17,270	$	16,579,200
Surgery Center Holdings, Inc., Sr. Unsec’d. Notes, 144A		8.875%		04/15/21		4,125		4,238,437
Tenet Healthcare Corp., Sr. Sec’d. Notes		4.375%		10/01/21		6,720		6,669,600
Tenet Healthcare Corp., Sr. Sec’d. Notes		4.750%		06/01/20		3,225		3,303,368
Tenet Healthcare Corp., Sr. Unsec’d. Notes		6.750%		02/01/20		9,675		9,505,687
Tenet Healthcare Corp., Sr. Unsec’d. Notes(c)		6.750%		06/15/23		9,700		9,287,750
Tenet Healthcare Corp., Sr. Unsec’d. Notes		8.125%		04/01/22		20,180		20,680,464
								208,457,669
Holding Companies – Diversified — 0.5%
Argos Merger Sub, Inc., Sr. Unsec’d. Notes, 144A(c)		7.125%		03/15/23		16,795		17,298,850
Home Builders — 4.0%
Beazer Homes USA, Inc., Gtd. Notes		5.750%		06/15/19		7,250		6,597,500
Beazer Homes USA, Inc., Gtd. Notes		7.250%		02/01/23		4,475		3,658,312
Beazer Homes USA, Inc., Gtd. Notes		7.500%		09/15/21		10,719		9,271,935
Beazer Homes USA, Inc., Gtd. Notes		9.125%		05/15/19		3,750		3,703,125
Brookfield Residential Properties, Inc. (Canada), Gtd. Notes, 144A		6.500%		12/15/20		400		399,000
Brookfield Residential Properties, Inc. (Canada), Sr. Unsec’d. Notes, 144A(c)		6.375%		05/15/25		4,075		3,718,437
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), Gtd. Notes, 144A		6.125%		07/01/22		6,600		6,237,000
CalAtlantic Group, Inc., Gtd. Notes		5.375%		10/01/22		2,900		2,950,750
CalAtlantic Group, Inc., Gtd. Notes(c)		6.250%		12/15/21		6,000		6,375,000
D.R. Horton, Inc., Gtd. Notes		4.750%		02/15/23		8,803		9,122,109
KB Home, Gtd. Notes(c)		7.000%		12/15/21		2,725		2,738,625
KB Home, Gtd. Notes(c)		7.500%		09/15/22		6,350		6,540,500
KB Home, Gtd. Notes		7.625%		05/15/23		4,550		4,618,250
Lennar Corp., Gtd. Notes		4.750%		05/30/25		6,575		6,377,750
M/I Homes, Inc., Gtd. Notes		6.750%		01/15/21		3,475		3,457,625
Meritage Homes Corp., Gtd. Notes		6.000%		06/01/25		3,600		3,618,000
PulteGroup, Inc., Gtd. Notes		5.500%		03/01/26		7,925		8,123,125
Shea Homes LP/Shea Homes Funding Corp., Sr. Unsec’d. Notes, 144A		5.875%		04/01/23		2,875		2,846,250
Shea Homes LP/Shea Homes Funding Corp., Sr. Unsec’d. Notes, 144A		6.125%		04/01/25		4,200		4,179,000
Standard Pacific Corp., Gtd. Notes		5.875%		11/15/24		1,500		1,545,000
Standard Pacific Corp., Gtd. Notes(c)		8.375%		01/15/21		3,125		3,601,563
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A		5.250%		04/15/21		1,000		997,500
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A		5.625%		03/01/24		3,163		3,083,925
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A		5.875%		04/15/23		10,312		10,363,560
Toll Brothers Finance Corp., Gtd. Notes		4.000%		12/31/18		100		103,650
WCI Communities, Inc., Gtd. Notes		6.875%		08/15/21		8,570		8,527,150
William Lyon Homes, Inc., Gtd. Notes		7.000%		08/15/22		12,875		12,746,250
								135,500,891
Household Products/Wares — 0.2%
Prestige Brands, Inc., Sr. Unsec’d. Notes, 144A		6.375%		03/01/24		3,000		3,112,500
Spectrum Brands, Inc., Gtd. Notes		5.750%		07/15/25		3,775		3,930,719
Spectrum Brands, Inc., Gtd. Notes		6.375%		11/15/20		270		281,812
								7,325,031
Housewares — 0.1%
Scotts Miracle-Gro Co. (The), Gtd. Notes, 144A		6.000%		10/15/23		1,900		1,999,750
Internet — 0.6%
Ancestry.com, Inc., Gtd. Notes		11.000%		12/15/20		5,925		6,339,750
Blue Coat Holdings, Inc., Sr. Unsec’d. Notes, 144A		8.375%		06/01/23		12,056		13,623,280
Zayo Group LLC/Zayo Capital, Inc., Gtd. Notes		6.375%		05/15/25		2,000		2,040,000
								22,003,030

SEE NOTES TO FINANCIAL STATEMENTS.

A121

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date		Principal Amount (000)#		Value (Note 2)
Iron/Steel — 0.6%
Ak Steel Corp., Sr. Sec’d. Notes		7.500%		07/15/23		7,275	$	7,384,125
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., Sr. Unsec’d. Notes, 144A (original cost $12,829,344; purchased 04/07/14-07/11/14)(d)(e)		6.375%		05/01/22		12,750		12,192,188
								19,576,313
Leisure Time — 0.6%
Carlson Wagonlit BV (Netherlands), Sr. Sec’d. Notes, 144A (original cost $3,100,000; purchased 05/09/12)(c)(d)(e)		6.875%		06/15/19		3,100		3,212,375
ClubCorp Club Operations, Inc., Gtd. Notes, 144A		8.250%		12/15/23		850		845,750
Royal Caribbean Cruises Ltd., Sr. Unsec’d. Notes		7.250%		03/15/18		2,425		2,619,000
Viking Cruises Ltd., Sr. Unsec’d. Notes, 144A (original cost $5,447,750; purchased 05/15/15-04/06/16)(d)(e)		6.250%		05/15/25		6,125		4,624,375
Viking Cruises Ltd., Sr. Unsec’d. Notes, 144A (original cost $11,688,375; purchased 07/17/14-06/09/16)(d)(e)		8.500%		10/15/22		11,625		9,910,313
								21,211,813
Lodging — 2.6%
Boyd Gaming Corp., Gtd. Notes(c)		6.875%		05/15/23		20,700		22,045,500
Boyd Gaming Corp., Gtd. Notes, 144A		6.375%		04/01/26		2,000		2,090,000
Felcor Lodging LP, Gtd. Notes		6.000%		06/01/25		4,045		4,075,337
Golden Nugget Escrow, Inc., Sr. Unsec’d. Notes, 144A		8.500%		12/01/21		12,750		13,036,875
Interval Acquisition Corp., Gtd. Notes		5.625%		04/15/23		5,875		5,889,687
MGM Growth Properties Operating Partnership LP/MGP Escrow Co-Issuer, Inc., Gtd. Notes, 144A		5.625%		05/01/24		2,975		3,146,063
MGM Resorts International, Gtd. Notes		6.625%		12/15/21		18,165		19,754,437
MGM Resorts International, Gtd. Notes(c)		6.750%		10/01/20		1,755		1,917,338
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., Sr. Sec’d. Notes, 144A (original cost $15,620,250; purchased 05/16/13-01/22/16)(d)(e)		6.375%		06/01/21		16,100		15,939,000
								87,894,237
Machinery-Construction & Mining — 0.4%
Terex Corp., Gtd. Notes		6.000%		05/15/21		6,739		6,747,424
Terex Corp., Gtd. Notes		6.500%		04/01/20		1,125		1,134,844
Vander Intermediate Holding II Corp., Sr. Unsec’d. Notes, PIK, 144A		9.750%		02/01/19		7,915		4,234,525
								12,116,793
Machinery-Diversified — 0.6%
ATS Automation Tooling Systems, Inc. (Canada), Sr. Unsec’d. Notes, 144A		6.500%		06/15/23		4,400		4,477,000
Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes		7.875%		12/01/17		4,150		4,461,250
Cleaver-Brooks, Inc., Sr. Sec’d. Notes, 144A (original cost $6,216,250; purchased 04/08/13-12/17/15)(d)(e)		8.750%		12/15/19		5,825		5,781,312
CNH Industrial Capital LLC, Gtd. Notes		3.625%		04/15/18		2,950		2,950,000
Manitowoc Foodservice, Inc., Sr. Unsec’d. Notes, 144A		9.500%		02/15/24		2,875		3,212,813
								20,882,375
Media — 6.6%
Altice Financing SA (Luxembourg), Sr. Sec’d. Notes, 144A		7.500%		05/15/26		6,000		5,880,000
Altice Finco SA (Luxembourg), Gtd. Notes, MTN, 144A		7.625%		02/15/25		325		297,375
Altice SA (Luxembourg), Gtd. Notes, 144A(c)		7.625%		02/15/25		4,050		3,953,812
Altice US Finance I Corp., Sr. Sec’d. Notes, 144A		5.375%		07/15/23		9,925		9,850,562
Belo Corp., Sr. Unsec’d. Notes		7.750%		06/01/27		2,000		2,105,000
Cablevision Systems Corp., Sr. Unsec’d. Notes		8.625%		09/15/17		16,475		17,401,719
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, MTN		5.250%		03/15/21		635		658,813
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes		5.750%		09/01/23		2,875		2,975,625
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A		5.125%		05/01/23		4,350		4,374,469
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A		5.875%		05/01/27		24,000		24,780,000
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A		5.750%		02/15/26		3,200		3,296,000

SEE NOTES TO FINANCIAL STATEMENTS.

A122

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date		Principal Amount (000)#		Value (Note 2)
Media (continued)
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Sec’d. Notes, 144A(c)		7.750%		07/15/25		19,675	$	20,511,187
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, MTN, 144A		5.125%		12/15/21		9,835		9,367,837
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, MTN, 144A		5.125%		12/15/21		17,434		16,562,300
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A		6.375%		09/15/20		3,800		3,863,840
Clear Channel Worldwide Holdings, Inc., Series A, Gtd. Notes		6.500%		11/15/22		2,970		2,858,625
Clear Channel Worldwide Holdings, Inc., Series A, Gtd. Notes		7.625%		03/15/20		2,700		2,463,750
CSC Holdings LLC, Sr. Unsec’d. Notes		7.875%		02/15/18		850		913,750
DISH DBS Corp., Gtd. Notes		5.875%		07/15/22		2,125		2,066,563
DISH DBS Corp., Gtd. Notes		5.875%		11/15/24		4,000		3,720,000
DISH DBS Corp., Gtd. Notes, 144A		7.750%		07/01/26		9,900		10,197,000
Entercom Radio LLC, Gtd. Notes, MTN		10.500%		12/01/19		1,750		1,846,250
LIN Television Corp., Gtd. Notes, MTN		6.375%		01/15/21		2,000		2,087,500
Mediacom Broadband LLC/Mediacom Broadband Corp., Gtd. Notes		5.500%		04/15/21		7,500		7,650,000
Midcontinent Communications & Midcontinent Finance Corp., Gtd. Notes, 144A		6.875%		08/15/23		7,950		8,148,750
Numericable-SFR SA (France), Sr. Sec’d. Notes, 144A(c)		7.375%		05/01/26		12,150		12,013,312
Quebecor Media, Inc. (Canada), Sr. Unsec’d. Notes		5.750%		01/15/23		11,408		11,579,120
Sinclair Television Group, Inc., Gtd. Notes		5.375%		04/01/21		4,850		4,995,500
Sinclair Television Group, Inc., Gtd. Notes		6.125%		10/01/22		2,825		2,916,813
Sinclair Television Group, Inc., Gtd. Notes, 144A		5.625%		08/01/24		2,000		2,045,000
Sinclair Television Group, Inc., Sr. Unsec’d. Notes, 144A		5.875%		03/15/26		1,950		1,989,000
Tribune Media Co., Gtd. Notes		5.875%		07/15/22		7,125		7,089,375
Unitymedia KabelBW GmbH (Germany), Sr. Sec’d. Notes, 144A		6.125%		01/15/25		3,575		3,664,018
Univision Communications, Inc., Gtd. Notes, 144A (original cost $5,133,828; purchased 02/17/16)(d)(e)		8.500%		05/15/21		5,279		5,516,555
UPCB Finance IV Ltd. (Netherlands), Sr. Sec’d. Notes, 144A(c)		5.375%		01/15/25		300		297,000
UPCB Finance V Ltd. (Netherlands), Sr. Sec’d. Notes, 144A		7.250%		11/15/21		630		656,775
								220,593,195
Metal Fabricate & Hardware — 0.1%
Zekelman Industries, Inc., Sr. Sec’d. Notes, 144A		9.875%		06/15/23		3,575		3,610,750
Mining — 2.0%
Alamos Gold, Inc. (Canada), Sec’d. Notes, 144A		7.750%		04/01/20		1,400		1,365,140
Alcoa, Inc., Sr. Unsec’d. Notes(c)		5.125%		10/01/24		7,400		7,381,500
Eldorado Gold Corp. (Canada), Sr. Unsec’d. Notes, MTN, 144A		6.125%		12/15/20		1,791		1,791,000
First Quantum Minerals Ltd. (Canada), Gtd. Notes, 144A(c)		7.000%		02/15/21		2,491		2,002,141
First Quantum Minerals Ltd. (Canada), Gtd. Notes, 144A		7.250%		05/15/22		850		656,625
Freeport-McMoRan, Inc., Gtd. Notes		3.550%		03/01/22		7,835		6,894,800
Freeport-McMoRan, Inc., Gtd. Notes(c)		3.875%		03/15/23		5,000		4,375,000
Joseph T Ryerson & Son, Inc., Sr. Sec’d. Notes, 144A		11.000%		05/15/22		5,675		5,873,625
Kaiser Aluminum Corp., Gtd. Notes, 144A		5.875%		05/15/24		2,700		2,774,250
Lundin Mining Corp. (Canada), Sr. Sec’d. Notes, 144A(c)		7.500%		11/01/20		5,650		5,763,000
Lundin Mining Corp. (Canada), Sr. Sec’d. Notes, 144A(c)		7.875%		11/01/22		4,249		4,344,603
New Gold, Inc. (Canada), Sr. Unsec’d. Notes, 144A		6.250%		11/15/22		13,917		13,569,075
Teck Resources Ltd. (Canada), Gtd. Notes, 144A		8.500%		06/01/24		3,950		4,098,125
Teck Resources Ltd. (Canada), Sr. Unsec’d. Notes		4.750%		01/15/22		5,735		4,845,501
								65,734,385
Miscellaneous Manufacturing — 0.7%
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A		5.750%		03/15/22		1,600		1,360,000
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A		6.000%		10/15/22		2,500		2,137,500
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A(c)		6.125%		01/15/23		2,200		1,875,500
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A		7.750%		03/15/20		517		507,953
EnPro Industries, Inc., Gtd. Notes		5.875%		09/15/22		4,475		4,497,375

SEE NOTES TO FINANCIAL STATEMENTS.

A123

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Miscellaneous Manufacturing (continued)
Gates Global LLC/Gates Global Co., Gtd. Notes, 144A (original cost $6,875,000; purchased 06/12/14)(d)(e)		6.000%			07/15/22		6,875	$	6,015,625
Koppers, Inc., Gtd. Notes		7.875%			12/01/19		8,412		8,580,240
									24,974,193
Office & Business Equipment — 0.2%
CDW LLC/CDW Finance Corp., Gtd. Notes		5.500%			12/01/24		8,184		8,449,980
Oil & Gas — 5.1%
Bonanza Creek Energy, Inc., Gtd. Notes(d)		5.750%			02/01/23		2,300		925,750
Bonanza Creek Energy, Inc., Gtd. Notes		6.750%			04/15/21		6,900		2,829,000
California Resources Corp., Gtd. Notes		5.500%			09/15/21		714		360,570
California Resources Corp., Gtd. Notes		6.000%			11/15/24		12,292		6,023,080
California Resources Corp., Sec’d. Notes, 144A		8.000%			12/15/22		13,893		9,864,030
Citgo Holding, Inc., Sr. Sec’d. Notes, 144A		10.750%			02/15/20		9,750		9,798,750
Endeavor Energy Resources LP/EER Finance, Inc., Sr. Unsec’d. Notes, 144A		7.000%			08/15/21		5,125		5,035,312
Endeavor Energy Resources LP/EER Finance, Inc., Sr. Unsec’d. Notes, 144A		8.125%			09/15/23		2,500		2,550,000
Halcon Resources Corp., Sec’d. Notes, 144A(c)		8.625%			02/01/20		7,500		7,073,400
Hilcorp Energy I LP/Hilcorp Finance Co., Sr. Unsec’d. Notes, 144A (original cost $9,275,000; purchased 05/20/15)(d)(e)		5.750%			10/01/25		9,275		8,857,625
Jupiter Resources, Inc. (Canada), Sr. Unsec’d. Notes, 144A (original cost $6,059,666; purchased 09/11/14)(c)(d)(e)		8.500%			10/01/22		6,325		4,538,187
MEG Energy Corp. (Canada), Gtd. Notes, 144A		6.375%			01/30/23		725		536,500
MEG Energy Corp. (Canada), Gtd. Notes, 144A		6.500%			03/15/21		14,395		11,156,125
Memorial Resource Development Corp., Gtd. Notes		5.875%			07/01/22		15,637		15,597,907
Murphy Oil USA, Inc., Gtd. Notes		6.000%			08/15/23		2,000		2,070,000
Newfield Exploration Co., Sr. Unsec’d. Notes		5.375%			01/01/26		5,975		5,810,687
Newfield Exploration Co., Sr. Unsec’d. Notes, MTN		5.750%			01/30/22		1,875		1,898,438
Pacific Exploration & Production Corp. (Colombia), Gtd. Notes, 144A (original cost $5,102,188; purchased 01/08/14-01/21/14)(d)(e)		5.375%	(a)(f)		01/26/19		5,000		925,000
Parker Drilling Co., Gtd. Notes		7.500%			08/01/20		1,975		1,501,000
Precision Drilling Corp. (Canada), Gtd. Notes		6.500%			12/15/21		2,075		1,862,313
Precision Drilling Corp. (Canada), Gtd. Notes		6.625%			11/15/20		2,500		2,268,750
QEP Resources, Inc., Sr. Unsec’d. Notes(c)		5.250%			05/01/23		2,975		2,737,000
QEP Resources, Inc., Sr. Unsec’d. Notes, MTN		5.375%			10/01/22		2,300		2,144,750
Range Resources Corp., Gtd. Notes(c)		5.000%			08/15/22		3,175		2,992,438
Range Resources Corp., Gtd. Notes		5.000%			03/15/23		1,478		1,385,625
Rice Energy, Inc., Gtd. Notes(c)		7.250%			05/01/23		5,775		5,861,625
Seventy Seven Energy, Inc., Sr. Unsec’d. Notes(d)		6.500%	(a)(f)		07/15/22		1,975		123,438
Sunoco LP/Sunoco Finance Corp., Gtd. Notes, 144A		5.500%			08/01/20		3,900		3,851,250
Sunoco LP/Sunoco Finance Corp., Gtd. Notes, 144A		6.375%			04/01/23		9,600		9,528,000
Triangle USA Petroleum Corp., Sr. Unsec’d. Notes, 144A (original cost $4,662,500; purchased 07/15/14-05/07/15)(d)(e)		6.750%	(f)		07/15/22		4,850		1,115,500
Tullow Oil PLC (United Kingdom), Gtd. Notes, 144A(d)		6.000%			11/01/20		6,900		5,571,750
Western Refining Logistics LP/WNRL Finance Corp., Gtd. Notes		7.500%			02/15/23		5,975		5,885,375
Western Refining, Inc., Gtd. Notes		6.250%			04/01/21		9,758		8,879,780
Whiting Petroleum Corp., Gtd. Notes(c)		5.750%			03/15/21		2,000		1,805,000
WPX Energy, Inc., Sr. Unsec’d. Notes(c)		6.000%			01/15/22		10,318		9,595,740
WPX Energy, Inc., Sr. Unsec’d. Notes		7.500%			08/01/20		3,100		3,094,172
WPX Energy, Inc., Sr. Unsec’d. Notes(c)		8.250%			08/01/23		4,800		4,812,000
									170,865,867
Oil & Gas Services — 0.2%
Bristow Group, Inc., Gtd. Notes(c)		6.250%			10/15/22		3,250		2,457,813
CGG SA (France), Gtd. Notes(d)		6.500%			06/01/21		2,125		935,000
CGG SA (France), Gtd. Notes(d)		6.875%			01/15/22		1,355		589,425
PHI, Inc., Gtd. Notes		5.250%			03/15/19		3,525		3,260,625
SESI LLC, Gtd. Notes		6.375%			05/01/19		1,150		1,106,875
									8,349,738

SEE NOTES TO FINANCIAL STATEMENTS.

A124

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Packaging & Containers — 2.6%
AEP Industries, Inc., Sr. Unsec’d. Notes		8.250%	04/15/19		4,782	$	4,877,640
Ardagh Finance Holdings SA (Luxembourg), Sr. Unsec’d. Notes, PIK, 144A(c)		8.625%	06/15/19		12,321		12,444,656
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A		6.000%	06/30/21		1,725		1,712,062
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A		6.250%	01/31/19		2,875		2,921,719
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A		6.750%	01/31/21		1,360		1,368,500
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A		7.250%	05/15/24		14,175		14,467,359
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Sr. Unsec’d. Notes, 144A		7.000%	11/15/20		988		968,471
Coveris Holdings SA (Luxembourg), Gtd. Notes, MTN, 144A		7.875%	11/01/19		8,900		8,644,125
Greif, Inc., Sr. Unsec’d. Notes		6.750%	02/01/17		370		376,013
Owens-Brockway Glass Container, Inc., Gtd. Notes, 144A(c)		5.875%	08/15/23		1,675		1,759,453
Owens-Brockway Glass Container, Inc., Gtd. Notes, 144A		6.375%	08/15/25		1,275		1,332,375
PaperWorks Industries, Inc., Sr. Sec’d. Notes, 144A		9.500%	08/15/19		6,535		6,012,200
Plastipak Holdings, Inc., Sr. Unsec’d. Notes, 144A (original cost $11,513,650; purchased 09/25/13-11/04/15)(d)(e)		6.500%	10/01/21		11,590		11,821,800
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC (New Zealand), Gtd. Notes		9.875%	08/15/19		1,252		1,292,690
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC (New Zealand), Gtd. Notes, 144A		7.000%	07/15/24		6,600		6,794,700
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC (New Zealand), Sr. Sec’d. Notes		5.750%	10/15/20		965		996,363
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC (New Zealand), Sr. Sec’d. Notes		6.875%	02/15/21		1,575		1,622,250
Sealed Air Corp., Gtd. Notes, 144A		4.875%	12/01/22		3,200		3,292,000
Sealed Air Corp., Gtd. Notes, 144A		5.250%	04/01/23		3,025		3,130,875
Sealed Air Corp., Gtd. Notes, 144A		6.500%	12/01/20		625		710,938
							86,546,189
Pharmaceuticals — 1.8%
Capsugel SA, Sr. Unsec’d. Notes, PIK, 144A		7.000%	05/15/19		5,054		5,066,635
Endo Finance LLC, Gtd. Notes, 144A		5.750%	01/15/22		5,200		4,692,480
Endo Finance LLC/Endo Ltd./Endo Finco, Inc, Gtd. Notes, 144A		6.000%	07/15/23		200		175,000
Endo Finance LLC/Endo Ltd./Endo Finco, Inc., Gtd. Notes, 144A		6.000%	02/01/25		2,875		2,494,063
Grifols Worldwide Operations Ltd. (Spain), Gtd. Notes		5.250%	04/01/22		4,375		4,451,562
Horizon Pharma Financing, Inc., Sr. Unsec’d. Notes(c)		6.625%	05/01/23		9,100		8,463,000
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A		5.500%	03/01/23		1,925		1,546,016
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A		5.625%	12/01/21		2,920		2,409,000
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A(c)		5.875%	05/15/23		3,075		2,483,063
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A(c)		6.125%	04/15/25		19,195		15,403,987
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A		7.500%	07/15/21		2,375		2,094,453
Vizient, Inc., Sr. Unsec’d. Notes, 144A		10.375%	03/01/24		10,325		11,073,562
							60,352,821
Pipelines — 2.0%
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., Gtd. Notes		6.000%	12/15/20		1,950		1,842,750
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., Gtd. Notes, 144A		6.250%	04/01/23		4,500		4,140,000
Energy Transfer Equity LP, Sr. Sec’d. Notes(c)		7.500%	10/15/20		4,300		4,558,000
Genesis Energy LP/Genesis Energy Finance Corp., Gtd. Notes		6.000%	05/15/23		7,725		7,222,875
Genesis Energy LP/Genesis Energy Finance Corp., Gtd. Notes		6.750%	08/01/22		5,425		5,262,250
MPLX LP, Gtd. Notes, 144A		4.875%	12/01/24		3,550		3,458,272
MPLX LP, Gtd. Notes, 144A		4.875%	06/01/25		2,400		2,345,575

SEE NOTES TO FINANCIAL STATEMENTS.

A125

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Pipelines (continued)
Regency Energy Partners LP/Regency Energy Finance Corp., Gtd. Notes		5.500%			04/15/23		3,275	$	3,304,121
Regency Energy Partners LP/Regency Energy Finance Corp., Gtd. Notes		5.750%			09/01/20		4,050		4,251,358
Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A (original cost $5,120,375; purchased 02/21/14-03/02/16)(d)(e)		5.625%			04/15/20		5,375		5,388,437
Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A (original cost $5,464,483; purchased 01/10/13-06/13/13)(d)(e)		6.000%			01/15/19		5,522		5,618,635
Rose Rock Midstream LP/Rose Rock Finance Corp., Gtd. Notes		5.625%			11/15/23		1,350		1,174,500
Selectica, Inc. (Escrow Shares)(b)(d)		—%	(a)(f)		01/01/20		1,350		14
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes		6.875%			02/01/21		1,000		1,017,500
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes, 144A(c)		6.750%			03/15/24		4,950		5,073,750
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes		5.875%			10/01/20		2,847		2,925,292
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes		6.125%			10/15/21		3,025		3,130,875
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes(c)		6.250%			10/15/22		2,500		2,606,250
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes		6.375%			05/01/24		2,950		3,090,125
									66,410,579
Real Estate — 0.5%
CBRE Services, Inc., Gtd. Notes		5.000%			03/15/23		1,200		1,242,332
Greystar Real Estate Partners LLC, Sr. Sec’d. Notes, 144A (original cost $8,277,875; purchased 11/10/14-03/29/16)(d)(e)		8.250%			12/01/22		8,225		8,471,750
Realogy Group LLC/Realogy Co-Issuer Corp., Gtd. Notes, 144A		4.875%			06/01/23		7,700		7,603,750
									17,317,832
Real Estate Investment Trusts (REITs) — 1.2%
DuPont Fabros Technology LP, Gtd. Notes		5.875%			09/15/21		4,125		4,326,094
Equinix, Inc., Sr. Unsec’d. Notes		5.875%			01/15/26		5,350		5,574,031
MPT Operating Partnership LP/MPT Finance Corp., Gtd. Notes		5.500%			05/01/24		3,275		3,356,875
MPT Operating Partnership LP/MPT Finance Corp., Gtd. Notes		6.375%			02/15/22		1,000		1,037,500
MPT Operating Partnership LP/MPT Finance Corp., Gtd. Notes		6.375%			03/01/24		4,100		4,366,500
RHP Hotel Properties LP/RHP Finance Corp., Gtd. Notes, MTN		5.000%			04/15/21		2,800		2,856,000
RHP Hotel Properties LP/RHP Finance Corp., Gtd. Notes, MTN		5.000%			04/15/23		5,278		5,238,415
Sabra Health Care LP/Sabra Capital Corp., Gtd. Notes(c)		5.375%			06/01/23		4,300		4,257,000
Sabra Health Care LP/Sabra Capital Corp., Gtd. Notes		5.500%			02/01/21		1,950		2,003,625
Senior Housing Properties Trust, Sr. Unsec’d. Notes		6.750%			12/15/21		5,875		6,653,819
									39,669,859
Retail — 4.9%
AmeriGas Finance LLC/AmeriGas Finance Corp., Gtd. Notes		7.000%			05/20/22		5,635		5,948,419
BC ULC/New Red Finance, Inc. (Canada), Sec’d. Notes, 144A		6.000%			04/01/22		6,875		7,130,681
Caleres, Inc., Gtd. Notes		6.250%			08/15/23		5,250		5,328,750
CEC Entertainment, Inc., Gtd. Notes		8.000%			02/15/22		10,420		10,081,350
Claire’s Stores, Inc., Sr. Sec’d. Notes, 144A(d)		6.125%			03/15/20		2,400		1,224,000
Claire’s Stores, Inc., Sr. Sec’d. Notes, 144A		9.000%			03/15/19		8,800		5,236,000
CST Brands, Inc., Gtd. Notes		5.000%			05/01/23		3,400		3,451,000
Dollar Tree, Inc., Sr. Unsec’d. Notes, 144A		5.750%			03/01/23		7,500		7,968,750
Dufry Finance SCA (Switzerland), Gtd. Notes, 144A		5.500%			10/15/20		1,425		1,471,313
Ferrellgas LP/Ferrellgas Finance Corp., Gtd. Notes, 144A		6.750%			06/15/23		3,075		2,698,312
Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsec’d. Notes		6.500%			05/01/21		2,025		1,857,937
Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsec’d. Notes		6.750%			01/15/22		6,345		5,773,950
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., Sr. Unsec’d. Notes(c)		8.625%			06/15/20		1,709		1,709,000
GameStop Corp., Gtd. Notes, 144A		6.750%			03/15/21		4,350		4,295,625
Hot Topic, Inc., Sr. Sec’d. Notes, 144A (original cost $5,612,875; purchased 06/06/13-01/03/14)(d)(e)		9.250%			06/15/21		5,600		5,670,000
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell Of America LLC, Gtd. Notes, 144A		5.250%			06/01/26		5,350		5,483,750
L Brands, Inc., Gtd. Notes		5.625%			02/15/22		5,685		6,117,060

SEE NOTES TO FINANCIAL STATEMENTS.

A126

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date		Principal Amount (000)#		Value (Note 2)
Retail (continued)
L Brands, Inc., Gtd. Notes		6.750%		07/01/36		5,200	$	5,196,724
Landry’s, Inc., Gtd. Notes, 144A (original cost $10,675,380; purchased 04/19/12-02/10/15)(d)(e)		9.375%		05/01/20		10,386		10,905,300
Men’s Wearhouse, Inc. (The), Gtd. Notes		7.000%		07/01/22		4,650		3,906,000
Neiman Marcus Group Ltd., LLC, Gtd. Notes, 144A(c)		8.000%		10/15/21		28,169		22,957,735
PF Chang’s China Bistro, Inc., Gtd. Notes, 144A		10.250%		06/30/20		7,526		6,905,105
Rite Aid Corp., Gtd. Notes, 144A		6.125%		04/01/23		13,450		14,357,875
Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes		5.625%		12/01/25		4,950		5,185,125
Suburban Propane Partners LP/Suburban Energy Finance Corp., Sr. Unsec’d. Notes		7.375%		08/01/21		2,200		2,289,386
Suburban Propane Partners LP/Suburban Energy Finance Corp., Sr. Unsec’d. Notes, MTN		5.500%		06/01/24		5,700		5,600,250
Tops Holding LLC/Tops Markets II Corp., Sr. Sec’d. Notes, 144A (original cost $5,750,000; purchased 05/29/15)(c)(d)(e)		8.000%		06/15/22		5,750		5,060,000
								163,809,397
Semiconductors — 1.5%
Micron Technology, Inc., Sr. Sec’d. Notes, 144A		7.500%		09/15/23		5,600		5,950,000
Micron Technology, Inc., Sr. Unsec’d. Notes		5.500%		02/01/25		3,175		2,698,750
Micron Technology, Inc., Sr. Unsec’d. Notes, 144A		5.250%		08/01/23		12,100		10,315,250
Micron Technology, Inc., Sr. Unsec’d. Notes, 144A		5.625%		01/15/26		11,200		9,324,000
Microsemi Corp., Sr. Unsec’d. Notes, 144A		9.125%		04/15/23		2,425		2,667,500
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A		4.625%		06/15/22		6,800		6,902,000
Sensata Technologies BV (Netherlands), Gtd. Notes, 144A(c)		4.875%		10/15/23		6,075		6,075,000
Sensata Technologies BV (Netherlands), Gtd. Notes, 144A		5.000%		10/01/25		1,925		1,933,451
Sensata Technologies UK Financing Co. PLC, Gtd. Notes, 144A		6.250%		02/15/26		5,935		6,142,725
								52,008,676
Software — 3.9%
BMC Software Finance, Inc., Sr. Unsec’d. Notes, 144A		8.125%		07/15/21		30,760		23,070,000
Boxer Parent Co., Sr. Unsec’d. Notes, PIK, 144A		9.000%		10/15/19		12,535		10,592,075
First Data Corp., Gtd. Notes, 144A		7.000%		12/01/23		41,905		42,428,812
First Data Corp., Sec’d. Notes, 144A		5.750%		01/15/24		7,825		7,766,313
Infor Software Parent LLC/Infor Software Parent, Inc., Gtd. Notes, PIK, 144A (original cost $13,669,344; purchased 04/03/14-05/11/16)(d)(e)		7.125%		05/01/21		14,736		13,041,360
Infor US, Inc., Gtd. Notes		6.500%		05/15/22		13,675		12,914,396
Informatica LLC, Sr. Unsec’d. Notes, 144A(c)		7.125%		07/15/23		8,200		7,769,500
Nuance Communications, Inc., Gtd. Notes, 144A		5.375%		08/15/20		5,676		5,775,330
Nuance Communications, Inc., Gtd. Notes, 144A		6.000%		07/01/24		7,600		7,638,000
								130,995,786
Telecommunications — 4.9%
Aegis Merger Sub., Inc., Sr. Unsec’d. Notes, 144A		10.250%		02/15/23		5,300		5,419,250
Avaya, Inc., Sec’d. Notes, 144A(d)		10.500%		03/01/21		13,665		3,006,300
CenturyLink, Inc., Series G, Sr. Unsec’d. Notes		6.875%		01/15/28		4,000		3,320,000
CenturyLink, Inc., Series Q, Sr. Unsec’d. Notes		6.150%		09/15/19		1,570		1,670,088
CommScope Holding Co., Inc., Sr. Unsec’d. Notes, PIK, 144A		6.625%		06/01/20		10,248		10,581,060
CommScope Technologies Finance LLC, Sr. Unsec’d. Notes, 144A		6.000%		06/15/25		8,550		8,763,750
CyrusOne LP/CyrusOne Finance Corp., Gtd. Notes		6.375%		11/15/22		6,697		6,964,880
Digicel Group Ltd. (Jamaica), Sr. Unsec’d. Notes, 144A		7.125%		04/01/22		600		446,250
Digicel Group Ltd. (Jamaica), Sr. Unsec’d. Notes, 144A		8.250%		09/30/20		5,575		4,655,125
Digicel Ltd. (Jamaica), Gtd. Notes, 144A		6.750%		03/01/23		5,500		4,675,000
Frontier Communications Corp., Sr. Unsec’d. Notes		6.250%		09/15/21		1,525		1,437,712
Frontier Communications Corp., Sr. Unsec’d. Notes		7.125%		01/15/23		1,950		1,745,250
Frontier Communications Corp., Sr. Unsec’d. Notes		8.500%		04/15/20		250		265,313
Frontier Communications Corp., Sr. Unsec’d. Notes		8.750%		04/15/22		4,400		4,422,000
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes(c)		5.500%		08/01/23		12,000		7,620,000
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes		7.250%		10/15/20		5,700		4,061,250
Intelsat Luxembourg SA (Luxembourg), Gtd. Notes		7.750%		06/01/21		4,005		981,225

SEE NOTES TO FINANCIAL STATEMENTS.

A127

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date		Principal Amount (000)#		Value (Note 2)
Telecommunications (continued)
Intelsat Luxembourg SA (Luxembourg), Gtd. Notes		8.125%		06/01/23		11,765	$	2,911,838
Northwestern Bell Telephone, Sr. Unsec’d. Notes		7.750%		05/01/30		750		811,550
Sprint Capital Corp., Gtd. Notes		6.900%		05/01/19		5,965		5,696,575
Sprint Capital Corp., Gtd. Notes		8.750%		03/15/32		2,300		1,966,500
Sprint Capital Corp., Gtd. Notes, MTN		6.875%		11/15/28		16,670		13,085,950
Sprint Communications, Inc., Gtd. Notes, 144A		9.000%		11/15/18		2,656		2,828,640
Sprint Corp., Gtd. Notes		7.125%		06/15/24		9,875		7,875,312
Sprint Corp., Gtd. Notes(c)		7.625%		02/15/25		9,385		7,425,881
Sprint Corp., Gtd. Notes		7.875%		09/15/23		2,000		1,635,000
T-Mobile USA, Inc., Gtd. Notes		6.375%		03/01/25		5,350		5,590,750
T-mobile USA, Inc., Gtd. Notes		6.500%		01/15/26		9,425		9,943,375
T-Mobile USA, Inc., Gtd. Notes		6.633%		04/28/21		5,650		5,904,250
Telecom Italia SpA (Italy), Sr. Unsec’d. Notes, 144A		5.303%		05/30/24		8,525		8,503,687
West Corp., Gtd. Notes, 144A(c)		5.375%		07/15/22		5,450		5,068,500
Wind Acquisition Finance SA (Italy), Sec’d. Notes, 144A		7.375%		04/23/21		13,425		12,787,312
Windstream Services LLC, Gtd. Notes		6.375%		08/01/23		1,675		1,407,000
								163,476,573
Textiles — 0.6%
Springs Industries, Inc., Sr. Sec’d. Notes, MTN		6.250%		06/01/21		19,432		19,626,320
Transportation — 0.8%
Hornbeck Offshore Services, Inc., Gtd. Notes, MTN		5.875%		04/01/20		3,622		2,290,915
Navios Maritime Holdings, Inc./Navios Maritime Finance II US, Inc., Sr. Sec’d. Notes, 144A		7.375%		01/15/22		5,850		2,603,250
OPE KAG Finance Sub, Inc., Sr. Unsec’d. Notes, 144A		7.875%		07/31/23		4,375		4,309,375
XPO Logistics, Inc., Gtd. Notes, 144A(c)		6.500%		06/15/22		12,550		11,969,562
XPO Logistics, Inc., Sr. Unsec’d. Notes, 144A		7.875%		09/01/19		5,125		5,227,500
								26,400,602
TOTAL CORPORATE BONDS (cost $3,270,069,455)								3,149,014,821
					Shares
COMMON STOCKS
Media
DEX Media, Inc.*(d)						36,485		427
Telecommunications
Netia SA (Poland)*(d)						227,114		237,692
TOTAL COMMON STOCKS (cost $24,169,934)								238,119
PREFERRED STOCKS — 0.4%
Banks — 0.1%
Goldman Sachs Group, Inc. (The) Series K*(d)						87,000		2,427,300
Building Materials & Construction
New Millennium Homes LLC (original cost $0; purchased 09/25/00)*(b)(d)(e)						3,000		141,000
Cable
Adelphia Communications Corp. (Class A Stock)*(b)						5,000		5
Electric — 0.3%
Dynegy, Inc. Series A*(c)(d)						153,790		9,527,290
TOTAL PREFERRED STOCKS (cost $10,390,018)								12,095,595

SEE NOTES TO FINANCIAL STATEMENTS.

A128

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

WARRANTS*	Units		Value (Note 2)
Media & Entertainment
MediaNews Group, Inc., expiring 03/19/17 (cost $0)(b)(d)		5,557	$	56
TOTAL LONG-TERM INVESTMENTS (cost $3,374,885,109)				3,220,863,464
SHORT-TERM INVESTMENTS — 10.0%	Shares
AFFILIATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $5,192,658)(g)(Note 4)		547,275		5,084,189
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund (cost $331,865,948; includes $259,432,266 of cash collateral for securities on loan)(g)(h)(Note 4)		331,865,948		331,865,948
TOTAL SHORT-TERM INVESTMENTS (cost $337,058,606)				336,950,137
TOTAL INVESTMENTS — 105.8% (cost $3,711,943,715)				3,557,813,601
LIABILITIES IN EXCESS OF OTHER ASSETS(i) — (5.8)%				(194,652,545	)
NET ASSETS — 100.0%			$	3,363,161,056

See the Glossary for abbreviations used in the semiannual report:

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

* Non-income producing security.

(a) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2016.

(b) Indicates a Level 3 security. The aggregate value of Level 3 securities is $10,472,952 and 0.3% of net assets.

(c) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $256,640,768; cash collateral of $259,432,266 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In addition, as of June 30, 2016, $1,730,078 of cash collateral has been segregated to cover the securities lending requirements. Securities on loan are subject to contractual netting arrangements.

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

(e) Indicates a restricted security; the aggregate original cost of the restricted securities is $268,101,461. The aggregate value of $242,165,578 is approximately 7.2% of net assets.

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

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

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

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

Futures contracts outstanding at June 30, 2016:

Number of Contracts	Type		Expiration Date		Value at Trade Date		Value at June 30, 2016		Unrealized Appreciation (Depreciation)
Long Positions:
324		2 Year U.S. Treasury Notes		Sep. 2016	$	70,564,759	$	71,062,312	$	497,553
807		5 Year U.S. Treasury Notes		Sep. 2016		97,018,027		98,586,398		1,568,371
53		20 Year U.S. Treasury Bonds		Sep. 2016		8,636,649		9,134,219		497,570
										2,563,494
Short Position:
46		10 Year U.S. Treasury Notes		Sep. 2016		6,041,740		6,117,281		(75,541	)
									$	2,487,953

Cash of $1,050,000 has been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2016.

SEE NOTES TO FINANCIAL STATEMENTS.

A129

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

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

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

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange ratesand 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, 2016 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Asset-Backed Securities
Collateralized Loan Obligations	$	—	$	12,087,000	$	—
Bank Loans		—		36,295,647		10,330,052
Collateralized Mortgage Obligations		—		802,174		—
Corporate Bonds		—		3,149,012,982		1,839
Common Stocks		427		237,692		—
Preferred Stocks		11,954,590		—		141,005
Warrants		—		—		56
Affiliated Mutual Funds		336,950,137		—		—
Other Financial Instruments*
Futures Contracts		2,487,953		—		—
Total	$	351,393,107	$	3,198,435,495	$	10,472,952

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

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2016 were as follows:

Affiliated Mutual Funds (including 7.7% of collateral for securities on loan)	10.0	%
Media	6.6
Electric	6.3
Healthcare-Services	6.2
Oil & Gas	5.1
Retail	5.0
Telecommunications	4.9
Chemicals	4.8
Entertainment	4.1
Home Builders	4.0
Software	3.9
Commercial Services	3.5
Food	3.2
Lodging	2.7
Packaging & Containers	2.6
Banks	2.6
Auto Parts & Equipment	2.1
Diversified Financial Services	2.1
Pipelines	2.0
Building Materials	2.0
Mining	2.0
Pharmaceuticals	1.8
Semiconductors	1.5
Computers	1.5
Healthcare-Products	1.4
Distribution/Wholesale	1.2
Real Estate Investment Trusts (REITs)	1.2
Aerospace & Defense	0.9
Transportation	0.8
Miscellaneous Manufacturing	0.7
Internet	0.6

Leisure Time	0.6	%
Machinery-Diversified	0.6
Textiles	0.6
Iron/Steel	0.6
Real Estate	0.5
Holding Companies – Diversified	0.5
Technology	0.5
Electrical Components & Equipment	0.4
Environmental Control	0.4
Machinery-Construction & Mining	0.4
Collateralized Loan Obligations	0.4
Advertising	0.3
Engineering & Construction	0.3
Gas	0.3
Forest Products & Paper	0.3
Office & Business Equipment	0.2
Oil & Gas Services	0.2
Gaming	0.2
Beverages	0.2
Household Products/Wares	0.2
Auto Manufacturers	0.2
Apparel	0.1
Capital Goods	0.1
Metal Fabricate & Hardware	0.1
Agriculture	0.1
Cosmetics & Personal Care	0.1
Housewares	0.1
	105.8
Liabilities in excess of other assets	(5.8	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A130

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

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, 2016 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	$	56		—	$	—
Interest Rate Contracts	Due to/from broker —variation margin futures		2,563,494	*	Due to/from broker —variation margin futures		75,541	*
Total		$	2,563,550			$	75,541

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

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2016 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures		Swaps			Total
Credit contracts	$	—	$	406,952		$	406,952
Interest rate contract		385,405		—			385,405
	$	385,405	$	406,952		$	792,357
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures		Swaps			Total
Credit contracts	$	—	$	(26,363	)	$	(26,363	)
Interest rate contract		2,487,953		—			2,487,953
	$	2,487,953	$	(26,363	)	$	2,461,590

For the six months ended June 30, 2016, the Fund’s average volume of derivative activities is as follows:

Futures Contracts - Long Positions(1)	Futures Contracts - Short Position(1)	Credit Default Swap Agreements - Sell Protection(2)
$123,713,311	$21,454,093	$1,050

(1) Value at Trade Date.

(2) Notional Amount in USD (000).

SEE NOTES TO FINANCIAL STATEMENTS.

A131

HIGH YIELD BOND PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2016

ASSETS
Investments at value, including securities on loan of $256,640,768:
Unaffiliated investments (cost $3,374,885,109)	$	3,220,863,464
Affiliated investments (cost $337,058,606)		336,950,137
Cash		979,753
Foreign currency, at value (cost $97,916)		88,631
Deposit with broker for futures		1,050,000
Deposit with affiliated securities lending agent		1,730,078
Dividends and interest receivable		55,326,551
Receivable for investments sold		13,479,203
Receivable for Series shares sold		307,563
Due from broker—variation margin futures		77,171
Tax reclaim receivable		1,382
Prepaid expenses		5,443
Total Assets		3,630,859,376
LIABILITIES
Payable to broker for collateral for securities on loan		261,162,344
Payable for investments purchased		4,770,975
Management fee payable		1,509,927
Accrued expenses and other liabilities		207,524
Payable for Series shares repurchased		45,448
Deferred trustees’ fees		1,122
Affiliated transfer agent fee payable		980
Total Liabilities		267,698,320
NET ASSETS	$	3,363,161,056
Net assets were comprised of:
Paid-in capital	$	3,736,736,150
Retained earnings		(373,575,094	)
Net assets, June 30, 2016	$	3,363,161,056
Net asset value and redemption price per share $3,363,161,056 / 686,414,201 outstanding shares of beneficial interest	$	4.90

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2016

NET INVESTMENT INCOME (LOSS)
INCOME
Interest income	$	115,895,876
Affiliated income from securities lending, net		1,302,147
Unaffiliated dividend income (net of foreign withholding taxes of $4,388)		369,268
Affiliated dividend income		201,527
Total income		117,768,818
EXPENSES
Management fee		8,817,127
Custodian and accounting fees		177,000
Shareholders’ reports		50,000
Audit fee		23,000
Insurance expenses		21,000
Trustees’ fees		20,000
Legal fees and expenses		9,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Miscellaneous		12,964
Total expenses		9,136,091
NET INVESTMENT INCOME (LOSS)		108,632,727
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		(15,420,011	)
Futures transactions		385,405
Swap agreement transactions		406,952
Foreign currency transactions		(1,319	)
		(14,628,973	)
Net change in unrealized appreciation (depreciation) on:
Investments		161,551,223
Futures		2,487,953
Swap agreements		(26,363	)
Foreign currencies		856
		164,013,669
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		149,384,696
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	258,017,423

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2016			Year Ended December 31, 2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	108,632,727		$	201,828,528
Net realized gain (loss) on investment and foreign currency transactions		(14,628,973	)		(17,177,716	)
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		164,013,669			(263,876,933	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		258,017,423			(79,226,121	)
DISTRIBUTIONS		(106,300,945	)		(201,981,815	)
SERIES SHARE TRANSACTIONS
Series shares sold [1,085,119 and 21,095,889 shares, respectively]		5,157,294			98,454,265
Series shares issued in reinvestment of distributions [22,115,168 and 40,626,321 shares, respectively]		106,300,945			201,981,815
Series shares repurchased [12,515,953 and 20,909,304 shares, respectively]		(59,489,879	)		(105,614,580	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		51,968,360			194,821,500
CAPTIAL CONTRIBUTIONS (Note 4)		1,218			—
TOTAL INCREASE (DECREASE)		203,686,056			(86,386,436	)
NET ASSETS:
Beginning of period		3,159,475,000			3,245,861,436
End of period	$	3,363,161,056		$	3,159,475,000

SEE NOTES TO FINANCIAL STATEMENTS.

A132

	JENNISON PORTFOLIO
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

LONG-TERM INVESTMENTS — 97.0%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 1.6%
Boeing Co. (The)		189,932	$	24,666,469
Automobiles — 1.1%
Tesla Motors, Inc.*(a)		79,486		16,873,288
Beverages — 2.2%
Constellation Brands, Inc. (Class A Stock)		72,573		12,003,574
Monster Beverage Corp.*(a)		140,039		22,505,668
				34,509,242
Biotechnology — 7.9%
Alexion Pharmaceuticals, Inc.*		163,746		19,118,983
Biogen, Inc.*		43,818		10,596,069
BioMarin Pharmaceutical, Inc.*		93,879		7,303,786
Celgene Corp.*		312,831		30,854,522
Regeneron Pharmaceuticals, Inc.*		51,773		18,080,685
Shire PLC (Ireland), ADR		167,494		30,832,295
Vertex Pharmaceuticals, Inc.*		68,905		5,927,208
				122,713,548
Capital Markets — 0.6%
Morgan Stanley		345,880		8,985,962
Chemicals — 0.2%
Albemarle Corp.		41,647		3,303,024
Communications Equipment — 0.9%
Palo Alto Networks, Inc.*		118,032		14,475,444
Diversified Financial Services — 1.3%
S&P Global, Inc.		184,936		19,836,235
Energy Equipment & Services — 0.9%
Halliburton Co.		125,986		5,705,906
Schlumberger Ltd.		102,293		8,089,330
				13,795,236
Food & Staples Retailing — 3.4%
Costco Wholesale Corp.		159,096		24,984,436
Kroger Co. (The)		740,357		27,237,734
				52,222,170
Hotels, Restaurants & Leisure — 4.6%
Marriott International, Inc. (Class A Stock)(a)		413,099		27,454,560
McDonald’s Corp.		152,333		18,331,753
Starbucks Corp.		441,201		25,201,401
				70,987,714
Industrial Conglomerates — 0.6%
General Electric Co.		304,143		9,574,422
Internet & Catalog Retail — 9.7%
Amazon.com, Inc.*		130,552		93,425,622
Netflix, Inc.*		311,431		28,489,708
Priceline Group, Inc. (The)*		22,109		27,601,097
				149,516,427
Internet Software & Services — 13.6%
Alibaba Group Holding Ltd. (China), ADR*(a)		387,374		30,807,854
Alphabet, Inc. (Class A Stock)*		50,097		35,244,742
Alphabet, Inc. (Class C Stock)*		50,924		35,244,500

COMMON STOCKS (continued)	Shares		Value (Note 2)
Internet Software & Services (continued)
Facebook, Inc. (Class A Stock)*		574,959	$	65,706,315
Tencent Holdings Ltd. (China)		1,872,961		42,965,114
				209,968,525
IT Services — 7.3%
FleetCor Technologies, Inc.*		126,901		18,163,340
MasterCard, Inc. (Class A Stock)		468,425		41,249,506
Visa, Inc. (Class A Stock)(a)		712,154		52,820,462
				112,233,308
Life Sciences Tools & Services — 0.8%
Illumina, Inc.*		87,621		12,300,236
Media — 2.9%
Time Warner, Inc.		251,221		18,474,792
Walt Disney Co. (The)		276,587		27,055,741
				45,530,533
Oil, Gas & Consumable Fuels — 1.3%
Concho Resources, Inc.*		164,431		19,611,685
Pharmaceuticals — 6.1%
Allergan PLC*		128,334		29,656,704
Bristol-Myers Squibb Co.		544,483		40,046,725
Novo Nordisk A/S (Denmark), ADR		449,490		24,173,572
				93,877,001
Real Estate Investment Trusts (REITs) — 1.5%
American Tower Corp.		200,205		22,745,290
Semiconductors & Semiconductor Equipment — 2.7%
NVIDIA Corp.		277,844		13,061,446
NXP Semiconductors NV (Netherlands)*		218,841		17,144,004
QUALCOMM, Inc.		202,291		10,836,729
				41,042,179
Software — 10.6%
Adobe Systems, Inc.*		373,642		35,791,167
Atlassian Corp. PLC (Australia) (Class A Stock)*		23,806		616,575
Microsoft Corp.		677,089		34,646,644
Red Hat, Inc.*		338,033		24,541,196
salesforce.com, inc.*		454,768		36,113,127
Splunk, Inc.*		265,457		14,382,460
Workday, Inc. (Class A Stock)*(a)		230,425		17,205,835
				163,297,004
Specialty Retail — 7.5%
Home Depot, Inc. (The)		191,409		24,441,015
Industria de Diseno Textil SA (Spain)		1,079,968		36,280,559
O’Reilly Automotive, Inc.*		118,293		32,069,232
TJX Cos., Inc. (The)		297,887		23,005,813
				115,796,619
Technology Hardware, Storage & Peripherals — 4.0%
Apple, Inc.		643,516		61,520,130

SEE NOTES TO FINANCIAL STATEMENTS.

A133

	JENNISON PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Textiles, Apparel & Luxury Goods — 3.7%
adidas AG (Germany)		87,714	$	12,591,333
lululemon athletica, Inc.*(a)		163,385		12,067,616
NIKE, Inc. (Class B Stock)		580,613		32,049,838
				56,708,787
TOTAL LONG-TERM INVESTMENTS (cost $883,755,792)				1,496,090,478
SHORT-TERM INVESTMENT — 10.4%
AFFILIATED MUTUAL FUND
Prudential Core Ultra Short Bond Fund (cost $160,650,291; includes $127,185,973 of cash collateral for securities on loan)(b)(c) (Note 4)		160,650,291		160,650,291
TOTAL INVESTMENTS — 107.4% (cost $1,044,406,083)				1,656,740,769
LIABILITIES IN EXCESS OF OTHER ASSETS — (7.4)%				(113,761,844	)
NET ASSETS — 100.0%			$	1,542,978,925

See the Glossary for abbreviations used in the semiannual report.

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $126,853,162; cash collateral of $127,185,973 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In addition, as of June 30, 2016, $1,438,437 of cash collateral has been segregated to cover the securities lending requirements. 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 Ultra Short Bond 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, 2016 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	24,666,469	$	—	$	—
Automobiles		16,873,288		—		—
Beverages		34,509,242		—		—
Biotechnology		122,713,548		—		—
Capital Markets		8,985,962		—		—
Chemicals		3,303,024		—		—
Communications Equipment		14,475,444		—		—
Diversified Financial Services		19,836,235		—		—
Energy Equipment & Services		13,795,236		—		—
Food & Staples Retailing		52,222,170		—		—
Hotels, Restaurants & Leisure		70,987,714		—		—
Industrial Conglomerates		9,574,422		—		—
Internet & Catalog Retail		149,516,427		—		—
Internet Software & Services		167,003,411		42,965,114		—
IT Services		112,233,308		—		—
Life Sciences Tools & Services		12,300,236		—		—
Media		45,530,533		—		—
Oil, Gas & Consumable Fuels		19,611,685		—		—
Pharmaceuticals		93,877,001		—		—
Real Estate Investment Trusts (REITs)		22,745,290		—		—
Semiconductors & Semiconductor Equipment		41,042,179		—		—
Software		163,297,004		—		—
Specialty Retail		79,516,060		36,280,559		—
Technology Hardware, Storage & Peripherals		61,520,130		—		—
Textiles, Apparel & Luxury Goods		44,117,454		12,591,333		—
Affiliated Mutual Fund		160,650,291		—		—
Total	$	1,564,903,763	$	91,837,006	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A134

	JENNISON PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2016 were as follows:

Internet Software & Services	13.6	%
Software	10.6
Affiliated Mutual Fund (including 8.2% of collateral for securities on loan)	10.4
Internet & Catalog Retail	9.7
Biotechnology	7.9
Specialty Retail	7.5
IT Services	7.3
Pharmaceuticals	6.1
Hotels, Restaurants & Leisure	4.6
Technology Hardware, Storage & Peripherals	4.0
Textiles, Apparel & Luxury Goods	3.7
Food & Staples Retailing	3.4
Media	2.9
Semiconductors & Semiconductor Equipment	2.7
Beverages	2.2

Aerospace & Defense	1.6	%
Real Estate Investment Trusts (REITs)	1.5
Diversified Financial Services	1.3
Oil, Gas & Consumable Fuels	1.3
Automobiles	1.1
Communications Equipment	0.9
Energy Equipment & Services	0.9
Life Sciences Tools & Services	0.8
Industrial Conglomerates	0.6
Capital Markets	0.6
Chemicals	0.2
	107.4
Liabilities in excess of other assets	(7.4	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A135

JENNISON PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2016

ASSETS
Investments at value, including securities on loan of $126,853,162:
Unaffiliated investments (cost $883,755,792)	$	1,496,090,478
Affiliated investments (cost $160,650,291)		160,650,291
Receivable for investments sold		27,810,975
Deposit with affiliated securities lending agent		1,438,437
Dividends receivable		641,395
Tax reclaim receivable		311,233
Receivable for Series shares sold		157,851
Prepaid expenses		1,902
Total Assets		1,687,102,562
LIABILITIES
Payable to broker for collateral for securities on loan		128,624,410
Payable for investments purchased		14,352,769
Management fee payable		767,820
Payable for Series shares repurchased		204,010
Accrued expenses and other liabilities		156,457
Distribution fee payable		10,477
Administration fee payable		6,388
Affiliated transfer agent fee payable		980
Deferred trustees’ fees		326
Total Liabilities		144,123,637
NET ASSETS	$	1,542,978,925
Net assets were comprised of:
Paid-in capital	$	1,050,862,610
Retained earnings		492,116,315
Net assets, June 30, 2016	$	1,542,978,925
Class I:
Net asset value and redemption price per share $1,492,086,168 / 35,064,475 outstanding shares of beneficial interest	$	42.55
Class II:
Net asset value and redemption price per share $50,892,757 / 1,235,028 outstanding shares of beneficial interest	$	41.21

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2016

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net) (foreign withholding tax $260,803, of which $19,828 is reimbursable by an affiliate)	$	6,374,938
Affiliated income from securities lending, net		713,867
Affiliated dividend income		22,349
Total income		7,111,154
EXPENSES
Management fee		4,650,667
Distribution fee—Class II		64,852
Administration fee—Class II		38,912
Custodian and accounting fees		108,000
Shareholders’ reports		60,000
Audit fee		13,000
Trustees’ fees		13,000
Insurance expenses		11,000
Legal fees and expenses		7,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Loan interest expense		569
Miscellaneous		9,991
Total expenses		4,982,991
NET INVESTMENT INCOME (LOSS)		2,128,163
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		52,915,220
Foreign currency transactions		1,106
		52,916,326
Net change in unrealized appreciation (depreciation) on:
Investments		(170,000,120	)
Foreign currencies		19,679
		(169,980,441	)
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(117,064,115	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(114,935,952	)

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2016			Year Ended December 31, 2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	2,128,163		$	2,247,157
Net realized gain (loss) on investment and foreign currency transactions		52,916,326			123,924,760
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(169,980,441	)		56,058,314
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(114,935,952	)		182,230,231
SERIES SHARE TRANSACTIONS (Note 7)
Series shares sold		15,940,447			45,579,989
Series shares repurchased		(74,739,061	)		(136,363,360	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(58,798,614	)		(90,783,371	)
CAPITAL CONTRIBUTIONS (Note 4)		1,546,157			—
TOTAL INCREASE (DECREASE)		(172,188,409	)		91,446,860
NET ASSETS:
Beginning of period		1,715,167,334			1,623,720,474
End of period	$	1,542,978,925		$	1,715,167,334

SEE NOTES TO FINANCIAL STATEMENTS.

A136

	MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

CERTIFICATES OF DEPOSIT — 9.4%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Bank of Montreal		0.570%		07/20/16		10,000	$	10,000,000
Bank of Nova Scotia		0.793%	(a)	07/26/16		2,000		2,000,000
Bank of Tokyo-Mitsubishi UFJ Ltd. (The)		0.400%		07/07/16		18,000		18,000,000
Branch Banking and Trust Co.		0.410%		07/01/16		5,000		5,000,000
Branch Banking and Trust Co.		0.550%		07/01/16		1,000		1,000,000
Canadian Imperial Bank of Commerce		0.753%	(a)	07/06/16		8,000		8,000,138
Citibank NA		0.710%		07/08/16		9,000		9,000,000
Credit Agricole Corporate & Investment Bank SA		0.430%		07/01/16		3,000		3,000,000
Sumitomo Mitsui Banking Corp.		0.620%		07/07/16		2,000		2,000,046
Sumitomo Mitsui Banking Corp.		0.700%		07/05/16		4,000		4,000,000
Svenska Handelsbanken AB		0.773%	(a)	07/27/16		2,000		2,000,000
Toronto-Dominion Bank (The)		0.980%		09/19/16		2,000		2,001,231
U.S. Bank NA		0.790%		07/21/16		2,000		2,000,232
Wells Fargo Bank NA		0.798%	(a)	07/21/16		3,000		3,000,000
								71,001,647
COMMERCIAL PAPER — 33.9%
ABN AMRO Funding USA LLC, 144A		0.633%	(b)	07/20/16		2,000		1,999,345
ABN AMRO Funding USA LLC, 144A		0.633%	(b)	08/09/16		1,000		999,328
Apple, Inc., 144A		0.408%	(b)	07/08/16		18,000		17,998,600
Australia & New Zealand Banking Group Ltd., 144A		0.673%	(a)	07/05/16		2,000		2,000,047
Caisse Centrale Desjardins du Quebec, 144A		0.530%	(b)	08/08/16		8,000		7,995,608
Caisse Centrale Desjardins du Quebec, 144A		0.561%	(b)	08/09/16		9,000		8,994,637
Cargill, Inc., 144A		0.408%	(b)	07/08/16		19,500		19,498,483
Caterpillar Financial Services Corp.		0.418%	(b)	08/02/16		13,000		12,995,262
Caterpillar Financial Services Corp.		0.428%	(b)	07/06/16		4,000		3,999,767
CDP Financial, Inc., 144A		0.582%	(b)	07/14/16		7,500		7,498,455
CDP Financial, Inc., 144A		0.582%	(b)	07/20/16		7,000		6,997,893
CDP Financial, Inc., 144A		0.612%	(b)	09/15/16		5,900		5,892,526
CDP Financial, Inc., 144A		0.654%	(b)	09/12/16		3,000		2,996,105
CPPIB Capital, Inc., 144A		0.418%	(b)	08/02/16		20,000		19,992,711
HSBC Bank PLC, 144A		0.823%	(a)	07/26/16		5,000		5,000,000
ING US Funding LLC		0.438%	(b)	07/01/16		7,000		7,000,000
ING US Funding LLC		0.705%	(b)	07/21/16		7,000		6,997,314
KFW, 144A		0.428%	(b)	08/03/16		10,000		9,996,150
KFW, 144A		0.530%	(b)	08/26/16		3,000		2,997,573
Microsoft Corp., 144A		0.413%	(b)	07/06/16		5,000		4,999,719
Microsoft Corp., 144A		0.428%	(b)	08/11/16		10,000		9,995,217
Microsoft Corp., 144A		0.438%	(b)	09/07/16		6,000		5,995,126
Nestle Capital Corp., 144A		0.561%	(b)	08/25/16		7,000		6,994,116
Nestle Finance International Ltd.		0.356%	(b)	07/05/16		8,000		7,999,689
Nestle Finance International Ltd., 144A		0.623%	(b)	08/05/16		3,000		2,998,220
Novartis Finance Corp., 144A		0.438%	(b)	07/06/16		3,000		2,999,821
Novartis Finance Corp., 144A		0.469%	(b)	08/09/16		16,000		15,992,026
Ontario Teachers’ Financial Trust, 144A		0.756%	(b)	08/11/16		2,000		1,998,313
Ontario Teachers’ Financial Trust, 144A		0.849%	(b)	08/18/16		6,000		5,993,350
Pfizer, Inc., 144A		0.541%	(b)	08/17/16		3,000		2,997,923
PSP Capital, Inc., 144A		0.571%	(b)	07/29/16		3,000		2,998,693
PSP Capital, Inc., 144A		0.612%	(b)	08/05/16		7,000		6,995,914
Roche Holdings, Inc., 144A		0.428%	(b)	08/08/16		18,000		17,992,020
Wal-Mart, Stores Inc., 144A		0.408%	(b)	07/05/16		7,000		6,999,689
								255,799,640
OTHER CORPORATE OBLIGATIONS — 2.4%
Bank of Montreal, Sr. Unsec’d. Notes, MTN		1.148%	(a)	07/15/16		2,500		2,500,344
Canadian Imperial Bank of Commerce, Sr. Unsec’d. Notes		1.153%	(a)	07/18/16		1,820		1,820,512
International Finance Corp., Sr. Unsec’d. Notes, GMTN		0.477%	(a)	08/01/16		2,000		1,999,956
KFW, Sr. Unsec’d. Notes		0.500%		07/15/16		5,000		5,000,095

SEE NOTES TO FINANCIAL STATEMENTS.

A137

	MONEY MARKET PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

OTHER CORPORATE OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Sumitomo Mitsui Banking Corp., Sr. Unsec’d. Notes		1.450%		07/19/16		4,000	$	4,001,523
Svenska Handelsbanken AB, Sr. Unsec’d. Notes		3.125%		07/12/16		3,000		3,002,039
								18,324,469
TIME DEPOSIT — 2.7%
Australia & New Zealand Banking Group Ltd.		0.400%		07/01/16		20,637		20,637,000
U.S. GOVERNMENT AGENCY OBLIGATIONS — 46.2%
Federal Farm Credit Bank		0.393%	(a)	07/25/16		2,000		1,999,954
Federal Farm Credit Bank		0.418%	(b)	11/16/16		6,000		5,990,570
Federal Farm Credit Bank		0.433%	(a)	09/27/16		2,025		2,024,904
Federal Farm Credit Bank		0.442%	(a)	10/13/16		7,000		7,000,000
Federal Farm Credit Bank		0.445%	(a)	10/03/16		5,000		4,999,689
Federal Farm Credit Bank		0.449%	(a)	12/28/16		2,000		1,999,901
Federal Farm Credit Bank		0.467%	(a)	09/14/16		4,000		4,000,180
Federal Farm Credit Bank		0.499%	(a)	08/29/17		2,000		1,997,673
Federal Farm Credit Bank		0.519%	(a)	09/28/17		12,000		11,998,473
Federal Home Loan Bank		0.295%	(b)	07/08/16		11,000		10,999,380
Federal Home Loan Bank		0.306%	(b)	07/06/16-07/13/16		26,000		25,997,867
Federal Home Loan Bank		0.314%	(b)	08/03/16		18,000		17,994,908
Federal Home Loan Bank		0.326%	(b)	08/04/16-08/08/16		11,000		10,996,435
Federal Home Loan Bank		0.377%	(b)	08/26/16		11,000		10,993,669
Federal Home Loan Bank		0.393%	(a)	08/18/16		2,000		1,999,986
Federal Home Loan Bank		0.403%	(a)	08/19/16		3,000		2,999,980
Federal Home Loan Bank		0.407%	(a)	08/24/16		6,000		5,999,745
Federal Home Loan Bank		0.408%	(b)	09/16/16-10/06/16		35,879		35,843,121
Federal Home Loan Bank		0.412%	(a)	08/24/16		10,000		9,999,858
Federal Home Loan Bank		0.413%	(a)	08/25/16		3,000		3,000,000
Federal Home Loan Bank		0.418%	(b)	09/21/16		12,000		11,988,793
Federal Home Loan Bank		0.422%	(a)	09/08/16		3,000		3,000,000
Federal Home Loan Bank		0.428%	(a)	11/21/16		6,000		6,000,000
Federal Home Loan Bank		0.432%	(a)	09/01/16		8,000		7,999,890
Federal Home Loan Bank		0.433%	(b)	10/05/16		7,200		7,191,840
Federal Home Loan Bank		0.444%	(a)	09/02/16		4,000		4,000,000
Federal Home Loan Bank		0.446%	(a)	03/17/17		5,000		4,997,161
Federal Home Loan Bank		0.449%	(b)	10/11/16		11,629		11,614,502
Federal Home Loan Bank		0.455%	(a)	07/06/16		2,000		2,000,000
Federal Home Loan Bank		0.468%	(b)	08/24/16		5,000		4,996,557
Federal Home Loan Bank		0.469%	(b)	08/19/16		800		799,499
Federal Home Loan Bank		0.481%	(a)	05/16/17		4,000		3,999,004
Federal Home Loan Bank		0.500%		10/17/16		3,000		2,999,922
Federal Home Loan Bank		0.522%	(a)	10/13/16		3,000		2,999,910
Federal Home Loan Bank		0.549%	(a)	07/11/16-10/11/16		9,000		8,999,861
Federal Home Loan Bank		0.568%	(a)	10/25/17		3,000		3,000,000
Federal Home Loan Bank		0.578%	(a)	01/19/17		4,000		4,000,000
Federal Home Loan Bank		0.592%	(b)	09/14/16		5,000		4,993,958
Federal Home Loan Bank		0.607%	(a)	08/01/17-12/22/17		5,500		5,500,000
Federal Home Loan Bank		0.617%	(a)	12/07/17		3,500		3,500,000
Federal Home Loan Bank		0.624%	(a)	08/21/17		1,000		999,885
Federal Home Loan Bank		0.641%	(a)	09/11/17		2,000		1,999,881
Federal Home Loan Bank		1.625%		12/09/16		1,000		1,004,925
Federal Home Loan Mortgage Corp.		0.244%	(b)	07/19/16		8,000		7,999,040
Federal Home Loan Mortgage Corp.		0.434%	(a)	09/02/16		5,000		5,000,000
Federal Home Loan Mortgage Corp.		0.443%	(a)	07/21/16		2,000		1,999,995
Federal Home Loan Mortgage Corp.		0.453%	(a)	04/20/17		7,000		6,999,141
Federal National Mortgage Assoc.		0.234%	(b)	07/18/16		5,000		4,999,457
Federal National Mortgage Assoc.		0.255%	(b)	07/05/16		6,000		5,999,833
Federal National Mortgage Assoc.		0.375%		07/05/16		4,000		4,000,033
Federal National Mortgage Assoc.		0.387%	(b)	10/03/16		1,000		999,008

SEE NOTES TO FINANCIAL STATEMENTS.

A138

	MONEY MARKET PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal National Mortgage Assoc.		0.408%	(b)	07/19/16		2,000	$	1,999,600
Federal National Mortgage Assoc.		0.463%	(a)	07/25/16		3,000		3,000,082
Federal National Mortgage Assoc.		0.468%	(a)	01/26/17		1,000		999,856
Federal National Mortgage Assoc.		0.525%	(a)	10/21/16		9,000		8,999,271
Federal National Mortgage Assoc.		0.597%	(a)	12/20/17		6,500		6,497,704
Federal National Mortgage Assoc.		4.875%		12/15/16		2,000		2,039,755
								348,954,656
U.S. TREASURY OBLIGATIONS — 2.4%
U.S. Treasury Bills		0.255%	(b)	07/21/16		12,000		11,998,333
U.S. Treasury Bills		0.408%	(b)	12/22/16		6,000		5,988,386
								17,986,719
REPURCHASE AGREEMENTS(c) — 4.8%
Credit Agricole Corporate & Investment Bank SA, 0.37%, dated 06/24/16, due 07/01/16 in the amount of $9,000,648						9,000		9,000,000
TD Securities (USA) LLC, 0.38%, dated 06/30/16, due 07/01/16 in the amount of $27,000,285						27,000		27,000,000
								36,000,000
TOTAL INVESTMENTS — 101.8% (amortized cost $768,704,131)								768,704,131
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.8)%								(13,763,965	)
NET ASSETS — 100.0%							$	754,940,166

See the Glossary for abbreviations used in the semiannual report.

# 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, 2016.

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

(c) The aggregate value of Repurchase Agreements is $36,000,000. Repurchase agreements are collateralized by U.S. Treasury Securities (coupon rates 0.875%-1.875%, maturity dates 01/31/18-05/31/22), with the aggregate value, including accrued interest of $36,720,108. Repurchase Agreements are subject to contractual netting arrangements. For further detail on individual repurchase agreements 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.

The following is a summary of the inputs used as of June 30, 2016 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Certificates of Deposit	$	—	$	71,001,647	$	—
Commercial Paper		—		255,799,640		—
Other Corporate Obligations		—		18,324,469		—
Time Deposit		—		20,637,000		—
U.S. Government Agency Obligations		—		348,954,656		—
U.S. Treasury Obligations		—		17,986,719		—
Repurchase Agreements		—		36,000,000		—
Total	$	—	$	768,704,131	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A139

	MONEY MARKET PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2016 were as follows:

U.S. Government Agency Obligations	46.2	%
Commercial Paper	33.9
Certificates of Deposit	9.4
Repurchase Agreements	4.8
Time Deposit	2.7

Other Corporate Obligations	2.4	%
U.S. Treasury Obligations	2.4
	101.8
Liabilities in excess of other assets	(1.8	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A140

MONEY MARKET PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2016

ASSETS
Investments, at amortized cost which approximates fair value:	$	768,704,131
Interest receivable		241,057
Receivable for Series shares sold		131,437
Prepaid expenses		764
Total Assets		769,077,389
LIABILITIES
Payable for investments purchased		12,986,567
Payable for Series shares repurchased		843,021
Management fee payable		179,406
Accrued expenses		122,600
Payable to custodian		4,649
Affiliated transfer agent fee payable		980
Total Liabilities		14,137,223
NET ASSETS	$	754,940,166
Net assets were comprised of:
Paid-in capital	$	754,940,166
Net assets, June 30, 2016	$	754,940,166
Net asset value and redemption price per share $754,940,166 / 75,491,033 outstanding shares of beneficial interest	$	10.00

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2016

NET INVESTMENT INCOME (LOSS)
INCOME
Interest income	$	1,588,831
EXPENSES
Management fee		1,112,600
Shareholders’ reports		55,000
Custodian and accounting fees		53,000
Audit fee		11,000
Trustees’ fees		8,000
Legal fees and expenses		6,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Insurance expenses		4,000
Miscellaneous		7,339
Total expenses		1,262,939
NET INVESTMENT INCOME (LOSS)		325,892
REALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on investment transactions		8,028
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	333,920

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2016			Year Ended December 31, 2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	325,892		$	—
Net realized gain (loss) on investment transactions		8,028			6,612
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		333,920			6,612
DISTRIBUTIONS		(333,920	)		(6,612	)
SERIES SHARE TRANSACTIONS
Series shares sold [24,665,836 and 30,779,347 shares, respectively]		246,658,362			307,793,476
Series shares issued in reinvestment of distributions [33,392 and 661 shares, respectively]		333,920			6,612
Series shares repurchased [14,285,543 and 48,058,413 shares, respectively]		(142,855,434	)		(480,584,125	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		104,136,848			(172,784,037	)
TOTAL INCREASE (DECREASE)		104,136,848			(172,784,037	)
NET ASSETS:
Beginning of period		650,803,318			823,587,355
End of period	$	754,940,166		$	650,803,318

SEE NOTES TO FINANCIAL STATEMENTS.

A141

	NATURAL RESOURCES PORTFOLIO
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

LONG-TERM INVESTMENTS — 99.7%
COMMON STOCKS — 97.3%	Shares		Value (Note 2)
Aluminum — 1.2%
Alcoa, Inc.		592,471	$	5,492,206
Automobile Manufacturers — 0.5%
Tesla Motors, Inc.*(a)		10,650		2,260,782
Construction Materials — 1.8%
Vulcan Materials Co.		69,885		8,411,359
Diversified Chemicals — 4.0%
Arkema SA (France)		96,985		7,414,801
BASF SE (Germany)		82,802		6,349,181
Dow Chemical Co. (The)		92,817		4,613,933
				18,377,915
Diversified Metals & Mining — 6.0%
BHP Billiton PLC (Australia)		535,960		6,783,647
Freeport-McMoRan, Inc.*		396,300		4,414,782
Glencore PLC (Switzerland)		2,214,460		4,564,293
Lundin Mining Corp. (Canada)*		1,831,023		6,179,233
Rio Tinto PLC (United Kingdom)		171,720		5,334,773
				27,276,728
Fertilizers & Agricultural Chemicals — 3.1%
Agrium, Inc. (Canada)		55,485		5,020,041
Monsanto Co.		21,415		2,214,525
Potash Corp. of Saskatchewan, Inc. (Canada)		142,497		2,316,217
Syngenta AG (Switzerland)*		2,945		1,130,299
Syngenta AG (Switzerland)		9,108		3,496,093
				14,177,175
Gold — 1.0%
Goldcorp, Inc. (Canada)		243,775		4,663,416
Heavy Electrical Equipment — 3.7%
Gamesa Corp. Tecnologica SA (Spain)		339,935		6,772,907
Nordex SE (Germany)*		141,635		4,020,452
Vestas Wind Systems A/S (Denmark)		87,675		5,959,222
				16,752,581
Integrated Oil & Gas — 15.7%
BP PLC (United Kingdom)		1,912,527		11,195,067
Exxon Mobil Corp.		154,015		14,437,366
Occidental Petroleum Corp.		82,757		6,253,119
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		485,350		13,330,285
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		217,503		6,009,330
Suncor Energy, Inc. (Canada)		270,986		7,514,442
Total SA (France)(a)		265,346		12,724,994
				71,464,603
Oil & Gas Drilling — 1.6%
Patterson-UTI Energy, Inc.		340,233		7,253,768
Oil & Gas Equipment & Services — 10.7%
Halliburton Co.		155,424		7,039,153
Schlumberger Ltd.		160,941		12,727,214
U.S. Silica Holdings, Inc.(a)		394,910		13,612,548
Weatherford International PLC*		2,741,895		15,217,517
				48,596,432
Oil & Gas Exploration & Production — 38.3%
Anadarko Petroleum Corp.		93,810		4,995,383

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil & Gas Exploration & Production (continued)
Antero Resources Corp.*		249,380	$	6,478,892
Cabot Oil & Gas Corp.		273,275		7,034,099
Concho Resources, Inc.*		172,767		20,605,920
Continental Resources, Inc.*(a)		379,660		17,187,208
EOG Resources, Inc.		182,396		15,215,474
Hess Corp.		109,440		6,577,344
Laredo Petroleum, Inc.*(a)		785,225		8,229,158
Parsley Energy, Inc. (Class A Stock)*		326,695		8,840,367
PDC Energy, Inc.*		229,689		13,232,383
Pioneer Natural Resources Co.		131,081		19,820,758
Range Resources Corp.		472,777		20,395,600
SM Energy Co.(a)		554,045		14,959,215
Whiting Petroleum Corp.*		1,157,030		10,714,098
				174,285,899
Oil & Gas Refining & Marketing — 3.3%
Marathon Petroleum Corp.		137,418		5,216,387
Phillips 66		55,759		4,423,919
Valero Energy Corp.		105,322		5,371,422
				15,011,728
Precious Metals & Minerals
Sedibelo Platinum Mines (South Africa), Private Placement (original cost $1,102,975; purchased 11/27/07)*(b)(c)(d)		129,100		9,952
Railroads — 2.4%
Canadian National Railway Co. (Canada)		99,935		5,901,189
Kansas City Southern		54,305		4,892,337
				10,793,526
Specialty Chemicals — 2.7%
Ecolab, Inc.		51,733		6,135,534
PPG Industries, Inc.		60,327		6,283,057
				12,418,591
Steel — 1.3%
Vale SA (Brazil) ADR(a)		1,209,200		6,118,553
TOTAL COMMON STOCKS (cost $337,301,083)				443,365,214
EXCHANGE TRADED FUNDS — 2.4%
Guggenheim Solar ETF		122,620		2,570,115
VanEck Vectors Gold Miners ETF		307,415		8,515,395
TOTAL EXCHANGE TRADED FUNDS (cost $8,003,191)				11,085,510
TOTAL LONG-TERM INVESTMENTS (cost $345,304,274)				454,450,724
SHORT-TERM INVESTMENT — 5.4%
AFFILIATED MUTUAL FUND
Prudential Investment Portfolios 2 —Prudential Core Ultra Short Bond Fund (cost $24,530,010; includes $21,998,336 of cash collateral for securities on loan)(e)(f) (Note 4)		24,530,010		24,530,010
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 105.1% (cost $369,834,284)				478,980,734

SEE NOTES TO FINANCIAL STATEMENTS.

A142

	NATURAL RESOURCES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

OPTIONS WRITTEN* — (0.3)%	Notional Amount (000)#		Value (Note 2)
Call Options
Vale SA, expiring 07/15/16, Strike Price 4.50		12	$	(810,164	)
Weatherford International PLC, expiring 07/22/16, Strike Price 5.50		8		(280,350	)
Whiting Petroleum Corp., expiring 07/15/16, Strike Price 9.00		5		(390,560	)
Freeport-McMoRan, Inc., expiring 07/15/16, Strike Price 12.00		4		(91,149	)
TOTAL OPTIONS WRITTEN (premium received $1,190,829)				(1,572,223	)
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 104.8% (cost $368,643,455)				477,408,511
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.8)%				(21,828,299	)
NET ASSETS — 100.0%			$	455,580,212

See the Glossary for abbreviations used in the semiannual report.

* Non-income producing security.

# Notional 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 $21,524,408; cash collateral of $21,998,336 (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 $1,102,975. The aggregate value of, $9,952, is approximately 0.0% of net assets.

(d) Indicates a Level 3 security. The aggregate value of Level 3 securities is $9,952 and 0.0% of net assets.

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

(f) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond 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, 2016 in valuing such portfolio securities:

	Level 1			Level 2		Level 3
Investments in Securities
Common Stocks
Aluminum	$	5,492,206		$	—	$	—
Automobile Manufacturers		2,260,782			—		—
Construction Materials		8,411,359			—		—
Diversified Chemicals		4,613,933			13,763,982		—
Diversified Metals & Mining		10,594,015			16,682,713		—
Fertilizers & Agricultural Chemicals		9,550,783			4,626,392		—
Gold		4,663,416			—		—
Heavy Electrical Equipment		—			16,752,581		—
Integrated Oil & Gas		28,204,927			43,259,676		—
Oil & Gas Drilling		7,253,768			—		—
Oil & Gas Equipment & Services		48,596,432			—		—
Oil & Gas Exploration & Production		174,285,899			—		—
Oil & Gas Refining & Marketing		15,011,728			—		—
Precious Metals & Minerals		—			—		9,952
Railroads		10,793,526			—		—
Specialty Chemicals		12,418,591			—		—
Steel		6,118,553			—		—
Exchange Traded Funds		11,085,510			—		—
Affiliated Mutual Fund		24,530,010			—		—
Options Written		(1,572,223	)		—		—
Total	$	382,313,215		$	95,085,344	$	9,952

SEE NOTES TO FINANCIAL STATEMENTS.

A143

	NATURAL RESOURCES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2016 were as follows:

Oil & Gas Exploration & Production	38.3	%
Integrated Oil & Gas	15.7
Oil & Gas Equipment & Services	10.7
Diversified Metals & Mining	6.0
Affiliated Mutual Fund (including 4.8% of collateral for securities on loan)	5.4
Diversified Chemicals	4.0
Heavy Electrical Equipment	3.7
Oil & Gas Refining & Marketing	3.3
Fertilizers & Agricultural Chemicals	3.1
Specialty Chemicals	2.7
Exchange Traded Funds	2.4

Railroads	2.4	%
Construction Materials	1.8
Oil & Gas Drilling	1.6
Steel	1.3
Aluminum	1.2
Gold	1.0
Automobile Manufacturers	0.5
	105.1
Options Written	(0.3	)
Liabilities in excess of other assets	(4.8	)
	100.0	%

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

Fair values of derivative instruments as of June 30, 2016 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	—	$	—	Options written outstanding, at value	$	1,572,223

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2016 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Written
Equity contracts	$2,177,698
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Written
Equity contracts	$(381,394)

As of June 30, 2016, the Portfolio’s average notional amount for written options was $10.

SEE NOTES TO FINANCIAL STATEMENTS.

A144

NATURAL RESOURCES PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2016

ASSETS
Investments at value, including securities on loan of $21,524,408:
Unaffiliated investments (cost $345,304,274)	$	454,450,724
Affiliated investments (cost $24,530,010)		24,530,010
Cash		481,211
Receivable for investments sold		835,486
Dividends receivable		491,888
Tax reclaim receivable		402,912
Receivable for Series shares sold		10,458
Prepaid expenses		651
Total Assets		481,203,340
LIABILITIES
Payable to broker for collateral for securities on loan		21,998,336
Options written outstanding, at value (premiums received $1,190,829)		1,572,223
Payable for investments purchased		1,537,762
Payable for Series shares repurchased		179,064
Management fee payable		165,180
Accrued expenses and other liabilities		158,360
Distribution fee payable		7,013
Administration fee payable		4,210
Affiliated transfer agent fee payable		980
Total Liabilities		25,623,128
NET ASSETS	$	455,580,212
Net assets were comprised of:
Paid-in capital	$	448,306,159
Retained earnings		7,274,053
Net assets, June 30, 2016	$	455,580,212
Class I:
Net asset value and redemption price per share $421,376,127 / 17,365,522 outstanding shares of beneficial interest	$	24.27
Class II:
Net asset value and redemption price per share $34,204,085 / 1,443,679 outstanding shares of beneficial interest	$	23.69

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2016

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $354,742)	$	4,006,027
Affiliated income from securities lending, net		419,876
Affiliated dividend income		17,256
Total income		4,443,159
EXPENSES
Management fee		942,031
Distribution fee—Class II		39,868
Administration fee—Class II		23,921
Shareholders’ reports		69,000
Custodian and accounting fees		68,000
Audit fee		15,000
Trustees’ fees		7,000
Legal fees and expenses		6,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Insurance expenses		4,000
Loan interest expense		5
Miscellaneous		13,646
Total expenses		1,194,471
Less: Management fee waiver		(13,751	)
Net expenses		1,180,720
NET INVESTMENT INCOME (LOSS)		3,262,439
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		(147,167,936	)
Options written transactions		2,177,698
Foreign currency transactions		(88,390	)
		(145,078,628	)
Net change in unrealized appreciation (depreciation) on:
Investments		195,339,777
Options written		(381,394	)
Foreign currencies		14,568
		194,972,951
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		49,894,323
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	53,156,762

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2016			Year Ended December 31, 2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	3,262,439		$	5,726,283
Net realized gain (loss) on investment and foreign currency transactions		(145,078,628	)		(21,248,524	)
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		194,972,951			(152,571,971	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		53,156,762			(168,094,212	)
SERIES SHARE TRANSACTIONS (Note 7)
Series shares sold		15,641,246			42,149,589
Series shares repurchased		(30,114,283	)		(90,115,893	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(14,473,037	)		(47,966,304	)
CAPITAL CONTRIBUTIONS (Note 4)		480,531			—
TOTAL INCREASE (DECREASE)		39,164,256			(216,060,516	)
NET ASSETS:
Beginning of period		416,415,956			632,476,472
End of period	$	455,580,212		$	416,415,956

SEE NOTES TO FINANCIAL STATEMENTS.

A145

	SMALL CAPITALIZATION STOCK  PORTFOLIO
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

LONG-TERM INVESTMENTS — 98.5%
COMMON STOCKS — 97.7%	Shares		Value (Note 2)
Aerospace & Defense — 1.3%
AAR Corp.		35,871	$	837,229
Aerojet Rocketdyne Holdings, Inc.*		70,675		1,291,939
Aerovironment, Inc.*		22,514		625,889
American Science & Engineering, Inc.		7,916		296,138
Cubic Corp.		24,073		966,772
Engility Holdings, Inc.*		18,900		399,168
Mercury Systems, Inc.*		44,108		1,096,525
Moog, Inc. (Class A Stock)*		36,194		1,951,580
National Presto Industries, Inc.		5,399		509,396
TASER International, Inc.*		57,700		1,435,576
				9,410,212
Air Freight & Logistics — 0.7%
Atlas Air Worldwide Holdings, Inc.*		27,300		1,130,766
Echo Global Logistics, Inc.*		27,500		616,550
Forward Air Corp.		33,556		1,494,249
Hub Group, Inc. (Class A Stock)*		37,570		1,441,561
				4,683,126
Airlines — 0.8%
Allegiant Travel Co.		14,194		2,150,391
Hawaiian Holdings, Inc.*		52,500		1,992,900
SkyWest, Inc.		56,560		1,496,578
				5,639,869
Auto Components — 1.3%
American Axle & Manufacturing Holdings, Inc.*		84,100		1,217,768
Dorman Products, Inc.*		33,100		1,893,320
Drew Industries, Inc.		26,989		2,289,747
Gentherm, Inc.*		40,100		1,373,425
Motorcar Parts of America, Inc.*		20,100		546,318
Standard Motor Products, Inc.		21,699		863,186
Superior Industries International, Inc.		24,518		656,592
				8,840,356
Automobiles — 0.1%
Winnebago Industries, Inc.		29,431		674,558
Banks — 9.1%
Ameris Bancorp		30,700		911,790
Banc of California, Inc.		54,000		977,400
Banner Corp.		22,600		961,404
BBCN Bancorp, Inc.		87,482		1,305,231
Boston Private Financial Holdings, Inc.(a)		91,202		1,074,360
Brookline Bancorp, Inc.		77,432		854,075
Cardinal Financial Corp.		35,500		778,870
Central Pacific Financial Corp.		34,100		804,760
City Holding Co.		16,544		752,256
Columbia Banking System, Inc.		63,708		1,787,647
Community Bank System, Inc.		48,496		1,992,701
Customers Bancorp, Inc.*		27,600		693,588
CVB Financial Corp.		110,200		1,806,178
First BanCorp (Puerto Rico)*		128,872		511,622
First Commonwealth Financial Corp.		97,210		894,332
First Financial Bancorp		68,003		1,322,658

COMMON STOCKS (continued)	Shares		Value (Note 2)
Banks (continued)
First Financial Bankshares, Inc.(a)		72,678	$	2,383,112
First Midwest Bancorp, Inc.		89,440		1,570,566
First NBC Bank Holding Co.*		17,400		292,146
Glacier Bancorp, Inc.		83,773		2,226,686
Great Western Bancorp, Inc.		64,600		2,037,484
Hanmi Financial Corp.		35,436		832,392
Home BancShares, Inc.		134,308		2,657,955
Independent Bank Corp.		28,906		1,321,004
LegacyTexas Financial Group, Inc.		48,200		1,297,062
MB Financial, Inc.		75,483		2,738,523
NBT Bancorp, Inc.		47,310		1,354,485
OFG Bancorp (Puerto Rico)(a)		47,900		397,570
Old National Bancorp		148,247		1,857,535
Opus Bank		20,700		699,660
Pinnacle Financial Partners, Inc.		42,471		2,074,708
S&T Bancorp, Inc.		38,273		935,775
Servisfirst Bancshares, Inc.(a)		23,900		1,180,421
Simmons First National Corp. (Class A Stock)		31,578		1,458,430
Southside Bancshares, Inc.		26,839		829,862
Sterling Bancorp		132,058		2,073,311
Talmer Bancorp, Inc. (Class A Stock)		70,100		1,343,817
Texas Capital Bancshares, Inc.*		50,600		2,366,056
Tompkins Financial Corp.		13,564		881,660
UMB Financial Corp.		46,272		2,462,133
United Bankshares, Inc.(a)		71,297		2,674,351
United Community Banks, Inc.		77,387		1,415,408
Westamerica Bancorporation		28,100		1,384,206
Wilshire Bancorp, Inc.		78,013		812,895
Wintrust Financial Corp.		56,413		2,877,063
				63,865,148
Biotechnology — 1.3%
Acorda Therapeutics, Inc.*		50,700		1,293,103
AMAG Pharmaceuticals, Inc.*		38,000		908,960
Emergent BioSolutions, Inc.*		34,357		966,119
Enanta Pharmaceuticals, Inc.*		14,600		321,930
Ligand Pharmaceuticals, Inc.*(a)		20,900		2,492,743
MiMedx Group, Inc.*(a)		109,600		874,608
Momenta Pharmaceuticals, Inc.*		69,500		750,600
Repligen Corp.*		36,900		1,009,584
Spectrum Pharmaceuticals, Inc.*		67,000		440,190
				9,057,837
Building Products — 1.7%
AAON, Inc.		43,689		1,201,884
American Woodmark Corp.*		15,100		1,002,338
Apogee Enterprises, Inc.		31,738		1,471,056
Gibraltar Industries, Inc.*		32,768		1,034,486
Griffon Corp.		40,229		678,261
PGT, Inc.*		53,100		546,930
Quanex Building Products Corp.		37,588		698,761
Simpson Manufacturing Co., Inc.		45,183		1,805,965
Trex Co., Inc.*		32,200		1,446,424
Universal Forest Products, Inc.		22,364		2,072,919
				11,959,024

SEE NOTES TO FINANCIAL STATEMENTS.

A146

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Capital Markets — 1.4%
Calamos Asset Management, Inc. (Class A Stock)		18,600	$	135,966
Evercore Partners, Inc. (Class A Stock)		43,600		1,926,684
Financial Engines, Inc.		58,300		1,508,221
Greenhill & Co., Inc.		30,300		487,830
HFF, Inc. (Class A Stock)		38,200		1,103,216
Interactive Brokers Group, Inc. (Class A Stock)(a)		64,100		2,269,140
INTL FCStone, Inc.*		16,500		450,285
Investment Technology Group, Inc.		36,466		609,712
Piper Jaffray Cos.*		15,565		586,800
Virtus Investment Partners, Inc.		6,610		470,500
				9,548,354
Chemicals — 2.7%
A. Schulman, Inc.		31,966		780,610
American Vanguard Corp.		28,148		425,316
Balchem Corp.		34,783		2,074,806
Calgon Carbon Corp.		55,554		730,535
Chemours Co. (The)		199,600		1,644,704
Flotek Industries, Inc.*(a)		59,200		781,440
FutureFuel Corp.		24,800		269,824
H.B. Fuller Co.		54,918		2,415,843
Hawkins, Inc.		10,400		451,464
Ingevity Corp.*		46,400		1,579,456
Innophos Holdings, Inc.		21,300		899,073
Innospec, Inc.		26,400		1,214,136
Intrepid Potash, Inc.*		59,200		85,248
Koppers Holdings, Inc.*		22,600		694,498
Kraton Performance Polymers, Inc.*		33,900		946,827
LSB Industries, Inc.*		22,200		268,176
Quaker Chemical Corp.		14,598		1,302,142
Rayonier Advanced Materials, Inc.		47,600		646,884
Stepan Co.		20,170		1,200,720
Tredegar Corp.		27,235		439,028
				18,850,730
Commercial Services & Supplies — 3.4%
ABM Industries, Inc.		61,703		2,250,925
Brady Corp. (Class A Stock)		51,422		1,571,456
Brink’s Co. (The)		54,300		1,547,007
Essendant, Inc.		40,942		1,251,188
G&K Services, Inc. (Class A Stock)		21,719		1,663,024
Healthcare Services Group, Inc.		79,576		3,292,855
Interface, Inc.		72,002		1,098,030
Matthews International Corp. (Class A Stock)		35,300		1,964,092
Mobile Mini, Inc.(a)		48,997		1,697,256
Multi-Color Corp.		14,500		919,300
Team, Inc.*		32,400		804,492
Tetra Tech, Inc.		63,788		1,961,162
UniFirst Corp.		16,830		1,947,568
US Ecology, Inc.		24,000		1,102,800
Viad Corp.		22,347		692,757
				23,763,912

COMMON STOCKS (continued)	Shares		Value (Note 2)
Communications Equipment — 1.2%
ADTRAN, Inc.		53,800	$	1,003,370
Bel Fuse, Inc. (Class B Stock)		9,622		171,079
Black Box Corp.		16,493		215,728
CalAmp Corp.*		40,200		595,362
Comtech Telecommunications Corp.		25,559		328,178
Digi International, Inc.*		28,364		304,346
Harmonic, Inc.*		83,324		237,473
Ixia*		68,300		670,706
Lumentum Holdings, Inc.*		52,140		1,261,788
NETGEAR, Inc.*		35,846		1,704,119
Viavi Solutions, Inc.*		255,700		1,695,291
				8,187,440
Construction & Engineering — 0.8%
Aegion Corp.*		38,637		753,808
Comfort Systems USA, Inc.		40,884		1,331,592
Dycom Industries, Inc.*		34,531		3,099,502
MYR Group, Inc.*		19,900		479,192
Orion Marine Group, Inc.*		29,700		157,707
				5,821,801
Construction Materials — 0.3%
Headwaters, Inc.*		81,468		1,461,536
US Concrete, Inc.*		15,200		925,832
				2,387,368
Consumer Finance — 1.0%
Cash America International, Inc.		26,344		1,122,781
Encore Capital Group, Inc.*		26,100		614,133
Enova International, Inc.*		29,239		215,199
EZCORP, Inc. (Class A Stock)*		56,011		423,443
First Cash Financial Services, Inc.		31,025		1,592,513
Green Dot Corp. (Class A Stock)*		47,500		1,092,025
PRA Group, Inc.*(a)		50,867		1,227,930
World Acceptance Corp.*		9,252		421,891
				6,709,915
Containers & Packaging
Myers Industries, Inc.		24,020		345,888
Distributors — 0.3%
Core-Mark Holding Co., Inc.		51,000		2,389,860
VOXX International Corp.*		20,857		58,191
				2,448,051
Diversified Consumer Services — 0.4%
American Public Education, Inc.*		17,633		495,487
Capella Education Co.		11,686		615,151
Career Education Corp.*		74,400		442,680
Regis Corp.*		40,900		509,205
Strayer Education, Inc.*		12,400		609,212
Universal Technical Institute, Inc.		22,006		49,734
				2,721,469
Diversified Telecommunication Services — 1.3%
8x8, Inc.*		98,300		1,436,163
ATN International, Inc.		11,900		925,939
Cincinnati Bell, Inc.*		231,000		1,055,670
Cogent Communications Holdings, Inc.		45,300		1,814,718

SEE NOTES TO FINANCIAL STATEMENTS.

A147

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Diversified Telecommunication Services (continued)
Consolidated Communications Holdings, Inc.(a)		55,700	$	1,517,268
General Communication, Inc. (Class A Stock)*		31,924		504,399
Inteliquent, Inc.		35,500		706,095
Iridium Communications, Inc.*(a)		89,200		792,096
Lumos Networks Corp.*		25,521		308,804
				9,061,152
Electric Utilities — 0.8%
ALLETE, Inc.		50,997		3,295,936
El Paso Electric Co.		44,608		2,108,620
				5,404,556
Electrical Equipment — 1.0%
AZZ, Inc.		28,542		1,711,949
Encore Wire Corp.		22,831		851,140
EnerSys		47,600		2,830,772
General Cable Corp.		53,900		685,069
Powell Industries, Inc.		9,772		384,430
Vicor Corp.*		17,931		180,565
				6,643,925
Electronic Equipment, Instruments & Components — 4.3%
Agilysys, Inc.*		16,532		173,090
Anixter International, Inc.*		31,264		1,665,746
Badger Meter, Inc.		16,007		1,168,991
Benchmark Electronics, Inc.*		54,210		1,146,542
Coherent, Inc.*		26,800		2,459,704
CTS Corp.		35,964		644,475
Daktronics, Inc.		42,208		263,800
DTS, Inc.*		19,185		507,443
Electro Scientific Industries, Inc.*		30,141		176,024
ePlus, Inc.*		6,200		507,098
Fabrinet (Thailand)*		33,800		1,254,656
FARO Technologies, Inc.*		18,284		618,548
II-VI, Inc.*		58,362		1,094,871
Insight Enterprises, Inc.*		40,335		1,048,710
Itron, Inc.*		41,800		1,801,580
Littelfuse, Inc.		24,725		2,922,248
Methode Electronics, Inc.		40,566		1,388,574
MTS Systems Corp.		18,035		790,654
OSI Systems, Inc.*		19,400		1,127,722
Park Electrochemical Corp.		22,044		320,299
Plexus Corp.*		36,620		1,581,984
QLogic Corp.*		91,500		1,348,710
Rofin-Sinar Technologies, Inc.*		31,100		993,334
Rogers Corp.*		19,831		1,211,674
Sanmina Corp.*		81,000		2,171,610
ScanSource, Inc.*		28,233		1,047,727
TTM Technologies, Inc.*		71,589		539,065
				29,974,879
Energy Equipment & Services — 1.6%
Archrock, Inc.		76,200		717,804
Atwood Oceanics, Inc.		63,700		797,524
Basic Energy Services, Inc.*(a)		41,517		69,749
Bristow Group, Inc.		38,255		436,490
CARBO Ceramics, Inc.		21,600		282,960

COMMON STOCKS (continued)	Shares		Value (Note 2)
Energy Equipment & Services (continued)
Era Group, Inc.*		21,571	$	202,767
Exterran Corp.*		38,400		493,440
Geospace Technologies Corp.*		14,410		235,892
Gulf Island Fabrication, Inc.		14,077		97,694
GulfMark Offshore, Inc. (Class A Stock)*(a)		27,700		86,701
Helix Energy Solutions Group, Inc.*		109,300		738,868
Hornbeck Offshore Services, Inc.*		35,415		295,361
Matrix Service Co.*		28,973		477,765
Newpark Resources, Inc.*		91,900		532,101
Pioneer Energy Services Corp.*		70,417		323,918
SEACOR Holdings, Inc.*(a)		17,571		1,018,239
Tesco Corp.		50,800		339,852
TETRA Technologies, Inc.*		99,441		633,439
Tidewater, Inc.		51,500		227,115
U.S. Silica Holdings, Inc.(a)		69,900		2,409,453
Unit Corp.*		56,500		879,140
				11,296,272
Food & Staples Retailing — 0.3%
Andersons, Inc. (The)		28,924		1,027,959
SpartanNash Co.		41,206		1,260,079
				2,288,038
Food Products — 1.8%
B&G Foods, Inc.		68,900		3,320,980
Cal-Maine Foods, Inc.(a)		34,290		1,519,733
Calavo Growers, Inc.		16,290		1,091,430
Darling Ingredients, Inc.*		181,020		2,697,198
J&J Snack Foods Corp.		16,218		1,934,321
Sanderson Farms, Inc.		21,935		1,900,448
Seneca Foods Corp. (Class A Stock)*		6,600		238,986
				12,703,096
Gas Utilities — 2.0%
Northwest Natural Gas Co.		30,265		1,961,777
Piedmont Natural Gas Co., Inc.		89,203		5,362,885
South Jersey Industries, Inc.		87,444		2,764,979
Spire, Inc.		50,214		3,557,160
				13,646,801
Health Care Equipment & Supplies — 4.4%
Abaxis, Inc.		23,212		1,096,303
Analogic Corp.		13,633		1,083,006
AngioDynamics, Inc.*		29,000		416,730
Anika Therapeutics, Inc.*		15,800		847,670
Cantel Medical Corp.		39,462		2,712,223
CONMED Corp.		28,349		1,353,098
CryoLife, Inc.		28,253		333,668
Cynosure, Inc. (Class A Stock)*		25,890		1,259,419
Greatbatch, Inc.*		27,844		861,215
Haemonetics Corp.*		56,194		1,629,064
ICU Medical, Inc.*		15,992		1,803,098
Inogen, Inc.*		16,000		801,760
Integra LifeSciences Holdings Corp.*		32,002		2,553,120
Invacare Corp.		33,102		401,527
Masimo Corp.*		48,500		2,546,977

SEE NOTES TO FINANCIAL STATEMENTS.

A148

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Health Care Equipment & Supplies (continued)
Meridian Bioscience, Inc.		46,275	$	902,362
Merit Medical Systems, Inc.*		48,548		962,707
Natus Medical, Inc.*		36,525		1,380,645
Neogen Corp.*		41,320		2,324,250
NuVasive, Inc.*		54,800		3,272,656
SurModics, Inc.*		14,152		332,289
Vascular Solutions, Inc.*		19,100		795,706
Zeltiq Aesthetics, Inc.*(a)		35,600		972,948
				30,642,441
Health Care Providers & Services — 3.6%
Aceto Corp.(a)		32,400		709,236
Adeptus Health, Inc. (Class A Stock)*(a)		14,900		769,734
Air Methods Corp.*(a)		38,516		1,380,028
Almost Family, Inc.*		9,552		407,011
Amedisys, Inc.*		30,959		1,562,810
AMN Healthcare Services, Inc.*		52,899		2,114,373
Chemed Corp.(a)		18,211		2,482,341
CorVel Corp.*		11,290		487,502
Cross Country Healthcare, Inc.*		35,963		500,605
Diplomat Pharmacy, Inc.*(a)		40,000		1,400,000
Ensign Group, Inc. (The)		51,400		1,079,914
ExamWorks Group, Inc.*		43,600		1,519,460
HealthEquity, Inc.*		38,900		1,181,977
Healthways, Inc.*		34,286		396,003
Kindred Healthcare, Inc.		93,578		1,056,496
Landauer, Inc.		10,568		434,979
LHC Group, Inc.*		14,298		618,817
Magellan Health, Inc.*		27,141		1,785,064
PharMerica Corp.*		33,895		835,851
Providence Service Corp. (The)*		13,400		601,392
Quorum Health Corp.*		32,400		347,004
Select Medical Holdings Corp.*		115,400		1,254,398
Surgical Care Affiliates, Inc.*		29,900		1,425,333
US Physical Therapy, Inc.		13,800		830,898
				25,181,226
Health Care Technology — 1.1%
Computer Programs & Systems, Inc.		11,836		472,493
HealthStream, Inc.*		26,800		710,736
HMS Holdings Corp.*		92,500		1,628,925
Medidata Solutions, Inc.*		63,100		2,957,497
Omnicell, Inc.*		39,622		1,356,261
Quality Systems, Inc.		48,934		582,804
				7,708,716
Hotels, Restaurants & Leisure — 2.8%
Belmond Ltd. (Bermuda) (Class A Stock)*		96,000		950,400
Biglari Holdings, Inc.*		1,206		486,428
BJ’s Restaurants, Inc.*		21,872		958,650
Bob Evans Farms, Inc.		21,800		827,310
Boyd Gaming Corp.*		88,500		1,628,400
Chuy’s Holdings, Inc.*(a)		18,200		629,902
DineEquity, Inc.		18,305		1,551,898
Interval Leisure Group, Inc.		121,936		1,938,782
Krispy Kreme Doughnuts, Inc.*		66,900		1,402,224

COMMON STOCKS (continued)	Shares		Value (Note 2)
Hotels, Restaurants & Leisure (continued)
Marcus Corp. (The)		20,558	$	433,774
Marriott Vacations Worldwide Corp.		27,000		1,849,230
Monarch Casino & Resort, Inc.*		11,931		262,124
Papa John’s International, Inc.		30,330		2,062,440
Popeyes Louisiana Kitchen, Inc.*		24,100		1,316,824
Red Robin Gourmet Burgers, Inc.*		14,963		709,695
Ruby Tuesday, Inc.*		66,184		238,924
Ruth’s Hospitality Group, Inc.		36,948		589,321
Scientific Games Corp. (Class A Stock)*		55,700		511,883
Sonic Corp.		53,414		1,444,849
				19,793,058
Household Durables — 1.5%
Cavco Industries, Inc.*		9,200		862,040
Ethan Allen Interiors, Inc.(a)		28,099		928,391
Installed Building Products, Inc.*(a)		18,200		660,478
iRobot Corp.*		30,300		1,062,924
La-Z-Boy, Inc.		54,801		1,524,564
M/I Homes, Inc.*		27,070		509,728
MDC Holdings, Inc.		43,000		1,046,620
Meritage Homes Corp.*		40,897		1,535,273
TopBuild Corp.*		42,300		1,531,260
Universal Electronics, Inc.*		15,954		1,153,155
				10,814,433
Household Products — 0.4%
Central Garden & Pet Co.*		10,800		246,564
Central Garden & Pet Co. (Class A Stock)*		36,488		792,154
WD-40 Co.		14,709		1,727,572
				2,766,290
Insurance — 2.9%
American Equity Investment Life Holding Co.		90,500		1,289,625
AMERISAFE, Inc.		21,114		1,292,599
eHealth, Inc.*		18,091		253,636
Employers Holdings, Inc.		35,715		1,036,449
HCI Group, Inc.		9,600		261,888
Horace Mann Educators Corp.		44,100		1,490,139
Infinity Property & Casualty Corp.		12,189		983,165
Navigators Group, Inc. (The)		12,218		1,123,689
ProAssurance Corp.		58,566		3,136,209
RLI Corp.		41,810		2,875,692
Safety Insurance Group, Inc.		15,560		958,185
Selective Insurance Group, Inc.		63,407		2,422,782
Stewart Information Services Corp.		25,802		1,068,461
United Fire Group, Inc.		23,361		991,207
United Insurance Holdings Corp.		19,500		319,410
Universal Insurance Holdings, Inc.		35,400		657,732
				20,160,868
Internet & Catalog Retail — 0.3%
Blue Nile, Inc.		12,680		347,178
FTD Cos., Inc.*		19,606		489,366
Nutrisystem, Inc.		31,928		809,694
PetMed Express, Inc.		22,181		416,116
				2,062,354

SEE NOTES TO FINANCIAL STATEMENTS.

A149

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Internet Software & Services — 1.1%
Blucora, Inc.*(a)		45,012	$	466,324
DHI Group, Inc.*		45,600		284,088
Liquidity Services, Inc.*		26,800		210,112
LivePerson, Inc.*		53,800		341,092
LogMeIn, Inc.*		27,500		1,744,325
Monster Worldwide, Inc.*(a)		97,300		232,547
NIC, Inc.		67,400		1,478,756
QuinStreet, Inc.*		39,200		139,160
Shutterstock, Inc.*		19,700		902,260
Stamps.com, Inc.*		17,320		1,514,115
XO Group, Inc.*		26,195		456,579
				7,769,358
IT Services — 1.8%
CACI International, Inc. (Class A Stock)*		26,744		2,417,925
Cardtronics, Inc.*		49,800		1,982,538
Ciber, Inc.*		78,823		118,235
CSG Systems International, Inc.		35,624		1,436,004
ExlService Holdings, Inc.*		36,800		1,928,688
Forrester Research, Inc.		11,062		407,745
ManTech International Corp. (Class A Stock)		26,900		1,017,358
Perficient, Inc.*		39,514		802,529
Sykes Enterprises, Inc.*		42,570		1,232,827
TeleTech Holdings, Inc.		18,067		490,158
Virtusa Corp.*		29,900		863,512
				12,697,519
Leisure Products — 0.4%
Arctic Cat, Inc.		14,257		242,369
Callaway Golf Co.		103,280		1,054,489
Sturm Ruger & Co., Inc.		20,927		1,339,537
				2,636,395
Life Sciences Tools & Services — 0.4%
Albany Molecular Research, Inc.*		29,800		400,512
Cambrex Corp.*		35,232		1,822,551
Luminex Corp.*		42,500		859,775
				3,082,838
Machinery — 4.4%
Actuant Corp. (Class A Stock)		64,864		1,466,575
Alamo Group, Inc.		10,300		679,491
Albany International Corp. (Class A Stock)		31,704		1,265,941
Astec Industries, Inc.		20,810		1,168,482
Barnes Group, Inc.		55,616		1,842,002
Briggs & Stratton Corp.		47,646		1,009,142
Chart Industries, Inc.*		33,600		810,768
CIRCOR International, Inc.		18,088		1,030,835
EnPro Industries, Inc.		23,878		1,059,944
ESCO Technologies, Inc.		28,421		1,135,135
Federal Signal Corp.		66,500		856,520
Franklin Electric Co., Inc.		42,200		1,394,710
Greenbrier Cos., Inc. (The)		28,100		818,553
Harsco Corp.		88,100		584,984
Hillenbrand, Inc.		69,348		2,083,214
John Bean Technologies Corp.		32,147		1,968,039
Lindsay Corp.		11,879		806,109

COMMON STOCKS (continued)	Shares		Value (Note 2)
Machinery (continued)
Lydall, Inc.*		18,956	$	730,943
Mueller Industries, Inc.		62,898		2,005,188
Proto Labs, Inc.*(a)		26,100		1,502,316
SPX Corp.*		45,700		678,645
SPX Flow, Inc.*		45,900		1,196,613
Standex International Corp.		14,070		1,162,604
Tennant Co.		19,500		1,050,465
Titan International, Inc.		47,900		296,980
Watts Water Technologies, Inc. (Class A Stock)(a)		30,721		1,789,806
				30,394,004
Marine — 0.2%
Matson, Inc.		47,500		1,533,775
Media — 0.7%
EW Scripps Co. (The) (Class A Stock)*		58,401		925,072
Gannett Co., Inc.		128,100		1,769,061
Harte-Hanks, Inc.		50,300		79,977
Scholastic Corp.		29,300		1,160,573
Sizmek, Inc.*		20,800		47,632
World Wrestling Entertainment, Inc.		37,700		694,057
				4,676,372
Metals & Mining — 1.0%
AK Steel Holding Corp.*		261,900		1,220,454
Century Aluminum Co.*(a)		54,163		342,852
Haynes International, Inc.		13,800		442,704
Kaiser Aluminum Corp.		19,800		1,790,118
Materion Corp.		22,078		546,651
Olympic Steel, Inc.		9,938		271,407
Stillwater Mining Co.*		133,100		1,578,566
SunCoke Energy, Inc.		70,200		408,564
TimkenSteel Corp.		41,400		398,268
				6,999,584
Multi-Utilities — 0.9%
Avista Corp.		69,603		3,118,214
NorthWestern Corp.		53,000		3,342,710
				6,460,924
Multiline Retail — 0.1%
Fred’s, Inc. (Class A Stock)		38,266		616,465
Tuesday Morning Corp.*		48,332		339,291
				955,756
Oil, Gas & Consumable Fuels — 1.3%
Bill Barrett Corp.*		54,600		348,894
Bonanza Creek Energy, Inc.*(a)		44,700		89,847
Carrizo Oil & Gas, Inc.*(a)		60,200		2,158,170
Cloud Peak Energy, Inc.*(a)		67,000		138,020
Contango Oil & Gas Co.*		19,000		232,560
Green Plains, Inc.		39,700		782,884
Northern Oil & Gas, Inc.*		58,900		272,118
PDC Energy, Inc.*		50,926		2,933,847
REX American Resources Corp.*(a)		6,100		364,963
Synergy Resources Corp.*		213,000		1,418,580
				8,739,883

SEE NOTES TO FINANCIAL STATEMENTS.

A150

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Paper & Forest Products — 1.1%
Boise Cascade Co.*		42,600	$	977,670
Clearwater Paper Corp.*		18,880		1,234,186
Deltic Timber Corp.(a)		11,791		791,530
KapStone Paper & Packaging Corp.		94,400		1,228,144
Neenah Paper, Inc.		18,478		1,337,253
P.H. Glatfelter Co.		47,700		933,012
Schweitzer-Mauduit International, Inc.		33,576		1,184,561
				7,686,356
Personal Products — 0.1%
Inter Parfums, Inc.		18,800		537,116
Medifast, Inc.		10,400		346,008
				883,124
Pharmaceuticals — 1.7%
ANI Pharmaceuticals, Inc.*		8,400		468,888
Depomed, Inc.*(a)		67,200		1,318,464
Impax Laboratories, Inc.*		76,400		2,201,848
Lannett Co., Inc.*(a)		30,700		730,353
Medicines Co. (The)*(a)		76,500		2,572,695
Nektar Therapeutics*(a)		149,800		2,131,654
Phibro Animal Health Corp. (Class A Stock)		20,300		378,798
Sagent Pharmaceuticals, Inc.*		26,200		392,476
SciClone Pharmaceuticals, Inc.*		54,800		715,688
Supernus Pharmaceuticals, Inc.*		38,000		774,060
				11,684,924
Professional Services — 1.7%
CDI Corp.		15,288		93,257
Exponent, Inc.		28,580		1,669,358
Heidrick & Struggles International, Inc.		19,214		324,332
Insperity, Inc.		17,879		1,380,795
Kelly Services, Inc. (Class A Stock)		32,739		621,059
Korn/Ferry International		62,900		1,302,030
Navigant Consulting, Inc.*		52,100		841,415
On Assignment, Inc.*		52,886		1,954,138
Resources Connection, Inc.		40,100		592,678
TrueBlue, Inc.*		46,718		883,904
WageWorks, Inc.*		39,900		2,386,419
				12,049,385
Real Estate Investment Trusts (REITs) — 6.8%
Acadia Realty Trust		78,805		2,799,154
Agree Realty Corp.		26,000		1,254,240
American Assets Trust, Inc.		43,500		1,846,140
Capstead Mortgage Corp.		105,500		1,023,350
CareTrust REIT, Inc.		63,655		877,166
Cedar Realty Trust, Inc.		82,566		613,465
Chesapeake Lodging Trust		66,100		1,536,825
CoreSite Realty Corp.		33,600		2,979,984
Cousins Properties, Inc.		219,500		2,282,800
DiamondRock Hospitality Co.		220,870		1,994,456
EastGroup Properties, Inc.		35,463		2,444,110
Four Corners Property Trust, Inc.		59,369		1,222,408
Franklin Street Properties Corp.		97,702		1,198,804

COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Investment Trusts (REITs) (continued)
GEO Group, Inc. (The)		81,373	$	2,781,329
Getty Realty Corp.		28,854		618,918
Government Properties Income Trust		78,200		1,803,292
Kite Realty Group Trust		91,672		2,569,566
Lexington Realty Trust		232,616		2,351,748
LTC Properties, Inc.		41,726		2,158,486
Parkway Properties, Inc.		89,448		1,496,465
Pennsylvania Real Estate Investment Trust		76,422		1,639,252
PS Business Parks, Inc.		21,502		2,280,932
Retail Opportunity Investments Corp.		110,700		2,398,869
Sabra Health Care REIT, Inc.		71,800		1,481,593
Saul Centers, Inc.		12,500		771,375
Summit Hotel Properties, Inc.		95,900		1,269,716
Universal Health Realty Income Trust		13,500		771,930
Urstadt Biddle Properties, Inc. (Class A Stock)		29,150		722,337
				47,188,710
Real Estate Management & Development — 0.2%
Forestar Group, Inc.*(a)		37,156		441,785
RE/MAX Holdings, Inc.		19,400		781,044
				1,222,829
Road & Rail — 0.7%
ArcBest Corp.		26,595		432,169
Celadon Group, Inc.		30,300		247,551
Heartland Express, Inc.		64,848		1,127,706
Knight Transportation, Inc.(a)		67,088		1,783,199
Marten Transport Ltd.		25,200		498,960
Roadrunner Transportation Systems, Inc.*		33,200		247,672
Saia, Inc.*		27,500		691,350
				5,028,607
Semiconductors & Semiconductor Equipment — 3.4%
Advanced Energy Industries, Inc.*		43,497		1,651,146
Brooks Automation, Inc.		75,405		846,044
Cabot Microelectronics Corp.		26,011		1,101,306
CEVA, Inc.*		22,400		608,608
Cirrus Logic, Inc.*		68,500		2,657,115
Cohu, Inc.		27,697		300,513
Diodes, Inc.*		42,570		799,890
DSP Group, Inc.*		23,628		250,693
Exar Corp.*		53,023		426,835
Kopin Corp.*		68,496		152,061
Kulicke & Soffa Industries, Inc. (Singapore)*		77,332		941,130
MKS Instruments, Inc.		58,685		2,526,976
Monolithic Power Systems, Inc.		40,800		2,787,456
Nanometrics, Inc.*		26,800		557,172
Power Integrations, Inc.		31,800		1,592,226
Rambus, Inc.*		121,000		1,461,680
Rudolph Technologies, Inc.*		33,794		524,821
Semtech Corp.*		71,800		1,713,148
Tessera Technologies, Inc.		50,777		1,555,807

SEE NOTES TO FINANCIAL STATEMENTS.

A151

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Semiconductors & Semiconductor Equipment (continued)
Ultratech, Inc.*		29,411	$	675,571
Veeco Instruments, Inc.*		43,542		721,056
				23,851,254
Software — 2.8%
Blackbaud, Inc.		52,283		3,550,016
Bottomline Technologies (de), Inc.*		41,600		895,648
Ebix, Inc.		28,057		1,343,930
Epiq Systems, Inc.		35,817		522,928
Interactive Intelligence Group, Inc.*		19,479		798,444
MicroStrategy, Inc. (Class A Stock)*		10,360		1,813,207
Monotype Imaging Holdings, Inc.		44,600		1,098,498
Progress Software Corp.*		55,347		1,519,829
Qualys, Inc.*		26,800		798,908
Rovi Corp.*(a)		90,300		1,412,292
Synchronoss Technologies, Inc.*(a)		44,300		1,411,398
Take-Two Interactive Software, Inc.*		93,312		3,538,391
Tangoe, Inc.*		40,900		315,748
VASCO Data Security International, Inc.*		32,800		537,592
				19,556,829
Specialty Retail — 3.9%
Asbury Automotive Group, Inc.*		24,400		1,286,856
Barnes & Noble Education, Inc.*		42,636		432,755
Barnes & Noble, Inc.		66,100		750,235
Big 5 Sporting Goods Corp.		19,737		182,962
Buckle, Inc. (The)(a)		30,859		802,025
Caleres, Inc.		47,934		1,160,482
Cato Corp. (The) (Class A Stock)		28,603		1,078,905
Children’s Place, Inc. (The)(a)		20,765		1,664,938
Express, Inc.*		75,300		1,092,603
Finish Line, Inc. (The) (Class A Stock)		46,346		935,726
Five Below, Inc.*(a)		60,300		2,798,523
Francesca’s Holdings Corp.*		44,500		491,725
Genesco, Inc.*		23,022		1,480,545
Group 1 Automotive, Inc.		23,064		1,138,439
Haverty Furniture Cos., Inc.		22,041		397,399
Hibbett Sports, Inc.*(a)		24,696		859,174
Kirkland’s, Inc.*		15,500		227,540
Lithia Motors, Inc. (Class A Stock)		26,230		1,864,166
Lumber Liquidators Holdings, Inc.*		29,522		455,229
MarineMax, Inc.*		26,842		455,509
Monro Muffler Brake, Inc.(a)		35,472		2,254,600
Outerwall, Inc.		18,931		795,102
Rent-A-Center, Inc.		58,000		712,240
Select Comfort Corp.*		51,200		1,094,656
Sonic Automotive, Inc. (Class A Stock)		31,547		539,769
Stage Stores, Inc.(a)		29,379		143,370
Stein Mart, Inc.		32,583		251,541
Tailored Brands Inc.		53,467		676,892
Vitamin Shoppe, Inc.*		26,800		819,276
Zumiez, Inc.*(a)		20,450		292,640
				27,135,822

COMMON STOCKS (continued)	Shares		Value (Note 2)
Technology Hardware, Storage & Peripherals — 0.7%
Cray, Inc.*		44,800	$	1,340,416
Electronics For Imaging, Inc.*		51,800		2,229,472
Super Micro Computer, Inc.*		40,900		1,016,365
				4,586,253
Textiles, Apparel & Luxury Goods — 1.7%
Crocs, Inc.*		80,643		909,653
G-III Apparel Group Ltd.*		44,100		2,016,252
Iconix Brand Group, Inc.*		52,831		357,138
Movado Group, Inc.		17,817		386,273
Oxford Industries, Inc.		16,216		918,150
Perry Ellis International, Inc.*		12,679		255,101
Steven Madden Ltd.*(a)		61,200		2,091,816
Tumi Holdings, Inc.*		61,800		1,652,532
Unifi, Inc.*		16,500		449,295
Vera Bradley, Inc.*		22,300		315,991
Wolverine World Wide, Inc.		109,454		2,224,105
				11,576,306
Thrifts & Mortgage Finance — 1.4%
Astoria Financial Corp.		100,400		1,539,132
Bank Mutual Corp.		46,235		355,085
BofI Holding, Inc.*(a)		63,100		1,117,501
Dime Community Bancshares, Inc.		33,881		576,316
LendingTree, Inc.*		7,600		671,308
Northfield Bancorp, Inc.		43,000		637,690
Northwest Bancshares, Inc.(a)		112,000		1,660,960
Oritani Financial Corp.		42,100		673,179
Provident Financial Services, Inc.		64,900		1,274,636
TrustCo Bank Corp. NY		104,195		667,890
Walker & Dunlop, Inc.*		29,900		681,122
				9,854,819
Tobacco — 0.2%
Universal Corp.		25,000		1,443,500
Trading Companies & Distributors — 0.5%
Applied Industrial Technologies, Inc.		42,928		1,937,770
DXP Enterprises, Inc.*		13,900		207,527
Kaman Corp.(a)		29,722		1,263,779
Veritiv Corp.*		9,100		341,978
				3,751,054
Water Utilities — 0.5%
American States Water Co.		40,252		1,763,843
California Water Service Group		52,700		1,840,811
				3,604,654
Wireless Telecommunication Services — 0.1%
Spok Holdings, Inc.		22,680		434,662
TOTAL COMMON STOCKS (cost $485,488,295)				682,548,659
EXCHANGE TRADED FUND — 0.8%
iShares Core S&P Small-Cap ETF (cost $3,589,262)		44,800		5,206,208
TOTAL LONG-TERM INVESTMENTS (cost $489,077,557)				687,754,867

SEE NOTES TO FINANCIAL STATEMENTS.

A152

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

SHORT-TERM INVESTMENTS —6.3%	Shares		Value (Note 2)
AFFILIATED MUTUAL FUND — 6.2%
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund (cost $43,175,492; includes $36,814,533 of cash collateral for securities on loan)(b)(c) (Note 4)		43,175,492	$	43,175,492
	Principal Amount (000)#
U.S. TREASURY OBLIGATION — 0.1%
U.S. Treasury Bill, 0.267%, 09/15/16 (cost $799,557)(d)(e)		800		799,656
TOTAL SHORT-TERM INVESTMENTS (cost $43,975,049)				43,975,148
TOTAL INVESTMENTS —104.8% (cost $533,052,606)				731,730,015
LIABILITIES IN EXCESS OF OTHER ASSETS(f) — (4.8)%				(33,211,381	)
NET ASSETS —100.0%			$	698,518,634

See the Glossary for abbreviations used in the semiannual report.

* 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 $36,459,805; cash collateral of $36,814,533 (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 Ultra Short Bond 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, 2016:

Number of Contracts	Type		Expiration Date		Value at Trade Date		Value at June 30, 2016		Unrealized Appreciation (Depreciation)
Long Position:
80		Russell 2000 Mini Index		Sep. 2016	$	9,197,952	$	9,179,200	$	(18,752	)

A U.S. Treasury Obligation with a market value of $799,656 has been segregated with UBS AG to cover requirements for open contracts at June 30, 2016.

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, 2016 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	9,410,212	$	—	$	—
Air Freight & Logistics		4,683,126		—		—
Airlines		5,639,869		—		—
Auto Components		8,840,356		—		—
Automobiles		674,558		—		—
Banks		63,865,148		—		—
Biotechnology		9,057,837		—		—
Building Products		11,959,024		—		—
Capital Markets		9,548,354		—		—
Chemicals		18,850,730		—		—
Commercial Services & Supplies		23,763,912		—		—
Communications Equipment		8,187,440		—		—
Construction & Engineering		5,821,801		—		—
Construction Materials		2,387,368		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A153

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

	Level 1			Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Consumer Finance	$	6,709,915		$	—	$	—
Containers & Packaging		345,888			—		—
Distributors		2,448,051			—		—
Diversified Consumer Services		2,721,469			—		—
Diversified Telecommunication Services		9,061,152			—		—
Electric Utilities		5,404,556			—		—
Electrical Equipment		6,643,925			—		—
Electronic Equipment, Instruments & Components		29,974,879			—		—
Energy Equipment & Services		11,296,272			—		—
Food & Staples Retailing		2,288,038			—		—
Food Products		12,703,096			—		—
Gas Utilities		13,646,801			—		—
Health Care Equipment & Supplies		30,642,441			—		—
Health Care Providers & Services		25,181,226			—		—
Health Care Technology		7,708,716			—		—
Hotels, Restaurants & Leisure		19,793,058			—		—
Household Durables		10,814,433			—		—
Household Products		2,766,290			—		—
Insurance		20,160,868			—		—
Internet & Catalog Retail		2,062,354			—		—
Internet Software & Services		7,769,358			—		—
IT Services		12,697,519			—		—
Leisure Products		2,636,395			—		—
Life Sciences Tools & Services		3,082,838			—		—
Machinery		30,394,004			—		—
Marine		1,533,775			—		—
Media		4,676,372			—		—
Metals & Mining		6,999,584			—		—
Multi-Utilities		6,460,924			—		—
Multiline Retail		955,756			—		—
Oil, Gas & Consumable Fuels		8,739,883			—		—
Paper & Forest Products		7,686,356			—		—
Personal Products		883,124			—		—
Pharmaceuticals		11,684,924			—		—
Professional Services		12,049,385			—		—
Real Estate Investment Trusts (REITs)		47,188,710			—		—
Real Estate Management & Development		1,222,829			—		—
Road & Rail		5,028,607			—		—
Semiconductors & Semiconductor Equipment		23,851,254			—		—
Software		19,556,829			—		—
Specialty Retail		27,135,822			—		—
Technology Hardware, Storage & Peripherals		4,586,253			—		—
Textiles, Apparel & Luxury Goods		11,576,306			—		—
Thrifts & Mortgage Finance		9,854,819			—		—
Tobacco		1,443,500			—		—
Trading Companies & Distributors		3,751,054			—		—
Water Utilities		3,604,654			—		—
Wireless Telecommunication Services		434,662			—		—
Exchange Traded Fund		5,206,208			—		—
Affiliated Mutual Fund		43,175,492			—		—
U.S. Treasury Obligation		—			799,656		—
Other Financial Instruments*
Futures Contracts		(18,752	)		—		—
Total	$	730,911,607		$	799,656	$	—

* 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 OTC swap contracts which are recorded at fair value.

SEE NOTES TO FINANCIAL STATEMENTS.

A154

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2016 were as follows:

Banks	9.1	%
Real Estate Investment Trusts (REITs)	6.8
Affiliated Mutual Fund (including 5.3% of collateral for securities on loan)	6.2
Health Care Equipment & Supplies	4.4
Machinery	4.4
Electronic Equipment, Instruments & Components	4.3
Specialty Retail	3.9
Health Care Providers & Services	3.6
Semiconductors & Semiconductor Equipment	3.4
Commercial Services & Supplies	3.4
Insurance	2.9
Hotels, Restaurants & Leisure	2.8
Software	2.8
Chemicals	2.7
Gas Utilities	2.0
Food Products	1.8
IT Services	1.8
Professional Services	1.7
Building Products	1.7
Pharmaceuticals	1.7
Textiles, Apparel & Luxury Goods	1.7
Energy Equipment & Services	1.6
Household Durables	1.5
Thrifts & Mortgage Finance	1.4
Capital Markets	1.4
Aerospace & Defense	1.3
Diversified Telecommunication Services	1.3
Biotechnology	1.3
Auto Components	1.3
Oil, Gas & Consumable Fuels	1.3
Communications Equipment	1.2
Internet Software & Services	1.1
Health Care Technology	1.1
Paper & Forest Products	1.1

Metals & Mining	1.0	%
Consumer Finance	1.0
Electrical Equipment	1.0
Multi-Utilities	0.9
Construction & Engineering	0.8
Airlines	0.8
Electric Utilities	0.8
Exchange Traded Fund	0.8
Road & Rail	0.7
Air Freight & Logistics	0.7
Media	0.7
Technology Hardware, Storage & Peripherals	0.7
Trading Companies & Distributors	0.5
Water Utilities	0.5
Life Sciences Tools & Services	0.4
Household Products	0.4
Diversified Consumer Services	0.4
Leisure Products	0.4
Distributors	0.3
Construction Materials	0.3
Food & Staples Retailing	0.3
Internet & Catalog Retail	0.3
Marine	0.2
Tobacco	0.2
Real Estate Management & Development	0.2
Multiline Retail	0.1
Personal Products	0.1
U.S. Treasury Obligation	0.1
Automobiles	0.1
Wireless Telecommunication Services	0.1
	104.8
Liabilities in excess of other assets	(4.8	)
	100.0	%

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

Fair values of derivative instruments as of June 30, 2016 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	$	18,752	*

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

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2016 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$591,773
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$(172,066)

As of June 30, 2016, the Portfolio’s average volume at trade date for futures long positions was $10,078,699.

SEE NOTES TO FINANCIAL STATEMENTS.

A155

SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)

STATEMENT OF ASSETS & LIABILITIES (unaudited)

as of June 30, 2016

ASSETS
Investments at value, including securities on loan of $36,459,805:
Unaffiliated investments (cost $489,877,114)	$	688,554,523
Affiliated investments (cost $43,175,492)		43,175,492
Receivable for investments sold		7,939,095
Dividends and interest receivable		713,422
Due from broker—variation margin futures		97,581
Tax reclaim receivable		1,381
Receivable for Series shares sold		1,206
Prepaid expenses		834
Total Assets		740,483,534
LIABILITIES
Payable to broker for collateral for securities on loan		36,814,533
Payable for investments purchased		4,599,941
Payable for Series shares repurchased		200,026
Management fee payable		199,498
Accrued expenses and other liabilities		149,922
Affiliated transfer agent fee payable		980
Total Liabilities		41,964,900
NET ASSETS	$	698,518,634
Net assets were comprised of:
Paid-in capital	$	245,686,050
Retained earnings		452,832,584
Net assets, June 30, 2016	$	698,518,634
Net asset value and redemption price per share $698,518,634 / 24,386,427 outstanding shares of beneficial interest	$	28.64

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2016

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $662)	$	5,170,089
Affiliated income from securities lending, net		570,723
Affiliated dividend income		21,069
Interest income		1,070
Total income		5,762,951
EXPENSES
Management fee		1,321,294
Shareholders’ reports		55,000
Custodian and accounting fees		52,000
Audit fee		13,000
Trustees’ fees		8,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Legal fees and expenses		5,000
Insurance expenses		5,000
Miscellaneous		36,894
Total expenses		1,502,188
Less: Management fee waiver		(165,159	)
Net expenses		1,337,029
NET INVESTMENT INCOME (LOSS)		4,425,922
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investment transactions		37,364,355
Futures transactions		591,773
		37,956,128
Net change in unrealized appreciation (depreciation) on:
Investments		(2,474,063	)
Futures		(172,066	)
		(2,646,129	)
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		35,309,999
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	39,735,921

STATEMENT OF CHANGES IN NET ASSETS (unaudited)

	Six Months Ended June 30, 2016			Year Ended December 31, 2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	4,425,922		$	7,754,044
Net realized gain (loss) on investment transactions		37,956,128			67,021,460
Net change in unrealized appreciation (depreciation) on investments		(2,646,129	)		(90,340,490	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		39,735,921			(15,564,986	)
SERIES SHARE TRANSACTIONS
Series shares sold [142,719 and 233,474 shares, respectively]		3,876,987			6,515,178
Series shares repurchased [1,089,120 and 2,135,595 shares, respectively]		(29,173,602	)		(59,451,401	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(25,296,615	)		(52,936,223	)
CAPITAL CONTRIBUTIONS (Note 4)		1,643,627			—
TOTAL INCREASE (DECREASE)		16,082,933			(68,501,209	)
NET ASSETS:
Beginning of period		682,435,701			750,936,910
End of period	$	698,518,634		$	682,435,701

SEE NOTES TO FINANCIAL STATEMENTS.

A156

	STOCK INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

LONG-TERM INVESTMENTS — 96.8%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 2.6%
Boeing Co. (The)		101,536	$	13,186,480
General Dynamics Corp.		49,000		6,822,760
Honeywell International, Inc.		128,250		14,918,040
L-3 Communications Holdings, Inc.		13,000		1,906,970
Lockheed Martin Corp.		43,898		10,894,167
Northrop Grumman Corp.		30,326		6,740,863
Raytheon Co.		50,118		6,813,542
Rockwell Collins, Inc.(a)		22,100		1,881,594
Textron, Inc.		45,400		1,659,824
TransDigm Group, Inc.*(a)		8,300		2,188,627
United Technologies Corp.		129,900		13,321,245
				80,334,112
Air Freight & Logistics — 0.7%
C.H. Robinson Worldwide, Inc.		24,100		1,789,425
Expeditors International of Washington, Inc.		30,300		1,485,912
FedEx Corp.		43,040		6,532,611
United Parcel Service, Inc. (Class B Stock)		115,600		12,452,432
				22,260,380
Airlines — 0.5%
Alaska Air Group, Inc.		18,800		1,095,852
American Airlines Group, Inc.		97,700		2,765,887
Delta Air Lines, Inc.		130,200		4,743,186
Southwest Airlines Co.		106,837		4,189,079
United Continental Holdings, Inc.*		57,700		2,368,008
				15,162,012
Auto Components — 0.3%
BorgWarner, Inc.		36,500		1,077,480
Delphi Automotive PLC (United Kingdom)		46,300		2,898,380
Goodyear Tire & Rubber Co. (The)		44,300		1,136,738
Johnson Controls, Inc.		108,300		4,793,358
				9,905,956
Automobiles — 0.5%
Ford Motor Co.		649,559		8,164,957
General Motors Co.		235,300		6,658,990
Harley-Davidson, Inc.(a)		30,800		1,395,240
				16,219,187
Banks — 5.1%
Bank of America Corp.		1,727,082		22,918,378
BB&T Corp.		136,100		4,846,521
Citigroup, Inc.		493,822		20,933,115
Citizens Financial Group, Inc.		88,500		1,768,230
Comerica, Inc.		29,150		1,198,939
Fifth Third Bancorp		130,749		2,299,875
Huntington Bancshares, Inc.		128,975		1,153,037
JPMorgan Chase & Co.		613,545		38,125,686
KeyCorp		135,800		1,500,590
M&T Bank Corp.		26,900		3,180,387
People’s United Financial, Inc.(a)		50,700		743,262
PNC Financial Services Group, Inc. (The)		83,893		6,828,051

COMMON STOCKS (continued)	Shares		Value (Note 2)
Banks (continued)
Regions Financial Corp.		214,512	$	1,825,497
SunTrust Banks, Inc.		84,600		3,475,368
U.S. Bancorp		273,381		11,025,456
Wells Fargo & Co.		770,736		36,478,935
Zions Bancorporation		33,800		849,394
				159,150,721
Beverages — 2.3%
Brown-Forman Corp. (Class B Stock)		17,050		1,700,908
Coca-Cola Co. (The)		650,450		29,484,899
Constellation Brands, Inc. (Class A Stock)		29,100		4,813,140
Dr. Pepper Snapple Group, Inc.		31,800		3,072,834
Molson Coors Brewing Co. (Class B Stock)		30,500		3,084,465
Monster Beverage Corp.*		23,800		3,824,898
PepsiCo, Inc.		242,014		25,638,963
				71,620,107
Biotechnology — 2.8%
AbbVie, Inc.		269,000		16,653,790
Alexion Pharmaceuticals, Inc.*		37,800		4,413,528
Amgen, Inc.		125,994		19,169,987
Biogen, Inc.*		36,775		8,892,931
Celgene Corp.*		130,900		12,910,667
Gilead Sciences, Inc.		225,000		18,769,500
Regeneron Pharmaceuticals, Inc.*		13,100		4,574,913
Vertex Pharmaceuticals, Inc.*		41,200		3,544,024
				88,929,340
Building Products — 0.1%
Allegion PLC		16,633		1,154,829
Fortune Brands Home & Security, Inc.		19,700		1,142,009
Masco Corp.		55,400		1,714,076
				4,010,914
Capital Markets — 1.7%
Affiliated Managers Group, Inc.*		9,300		1,309,161
Ameriprise Financial, Inc.		28,300		2,542,755
Bank of New York Mellon Corp. (The)		179,989		6,992,573
BlackRock, Inc.		21,050		7,210,256
Charles Schwab Corp. (The)		200,900		5,084,779
E*TRADE Financial Corp.*		47,310		1,111,312
Franklin Resources, Inc.		63,400		2,115,658
Goldman Sachs Group, Inc. (The)		65,800		9,776,564
Invesco Ltd.		70,600		1,803,124
Legg Mason, Inc.		18,300		539,667
Morgan Stanley		253,210		6,578,396
Northern Trust Corp.		36,100		2,391,986
State Street Corp.		66,825		3,603,204
T. Rowe Price Group, Inc.		41,500		3,028,255
				54,087,690
Chemicals — 1.9%
Air Products & Chemicals, Inc.		32,500		4,616,300
CF Industries Holdings, Inc.		39,100		942,310
Dow Chemical Co. (The)		187,011		9,296,317

SEE NOTES TO FINANCIAL STATEMENTS.

A157

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Chemicals (continued)
E.I. du Pont de Nemours & Co.		145,991	$	9,460,217
Eastman Chemical Co.		24,700		1,677,130
Ecolab, Inc.		44,600		5,289,560
FMC Corp.		22,500		1,041,975
International Flavors & Fragrances, Inc.(a)		13,300		1,676,731
LyondellBasell Industries NV (Class A Stock)		58,000		4,316,360
Monsanto Co.		72,496		7,496,811
Mosaic Co. (The)		56,200		1,471,316
PPG Industries, Inc.		44,700		4,655,505
Praxair, Inc.		47,800		5,372,242
Sherwin-Williams Co. (The)		13,300		3,905,811
				61,218,585
Commercial Services & Supplies — 0.4%
Cintas Corp.		15,000		1,471,950
Pitney Bowes, Inc.		32,200		573,160
Republic Services, Inc.		40,535		2,079,851
Stericycle, Inc.*		14,500		1,509,740
Tyco International PLC		70,900		3,020,340
Waste Management, Inc.		69,630		4,614,380
				13,269,421
Communications Equipment — 1.0%
Cisco Systems, Inc.		841,575		24,144,787
F5 Networks, Inc.*		11,800		1,343,312
Harris Corp.		20,900		1,743,896
Juniper Networks, Inc.		60,000		1,349,400
Motorola Solutions, Inc.		26,527		1,749,986
				30,331,381
Construction & Engineering — 0.1%
Fluor Corp.		23,700		1,167,936
Jacobs Engineering Group, Inc.*		20,900		1,041,029
Quanta Services, Inc.*		26,200		605,744
				2,814,709
Construction Materials — 0.2%
Martin Marietta Materials, Inc.		10,800		2,073,600
Vulcan Materials Co.		22,400		2,696,064
				4,769,664
Consumer Finance — 0.7%
American Express Co.		136,500		8,293,740
Capital One Financial Corp.		88,369		5,612,315
Discover Financial Services		69,405		3,719,414
Navient Corp.		57,400		685,930
Synchrony Financial*		139,830		3,534,903
				21,846,302
Containers & Packaging — 0.3%
Avery Dennison Corp.		15,000		1,121,250
Ball Corp.(a)		22,600		1,633,754
International Paper Co.		69,667		2,952,488
Owens-Illinois, Inc.*		26,500		477,265
Sealed Air Corp.		33,420		1,536,317
WestRock Co.		42,761		1,662,120
				9,383,194

COMMON STOCKS (continued)	Shares		Value (Note 2)
Distributors — 0.1%
Genuine Parts Co.		25,025	$	2,533,781
LKQ Corp.*		46,000		1,458,200
				3,991,981
Diversified Consumer Services
H&R Block, Inc.(a)		39,700		913,100
Diversified Financial Services — 2.1%
Berkshire Hathaway, Inc. (Class B Stock)*		312,500		45,246,875
CME Group, Inc.		56,700		5,522,580
Intercontinental Exchange, Inc.		19,998		5,118,688
Leucadia National Corp.		54,500		944,485
Moody’s Corp.		28,420		2,663,238
Nasdaq, Inc.		19,600		1,267,532
S&P Global, Inc.		44,300		4,751,618
				65,515,016
Diversified Telecommunication Services — 2.8%
AT&T, Inc.		1,026,635		44,360,898
CenturyLink, Inc.		92,085		2,671,386
Frontier Communications Corp.		191,916		948,065
Level 3 Communications, Inc.*		48,400		2,492,116
Verizon Communications, Inc.		681,038		38,029,162
				88,501,627
Electric Utilities — 2.1%
American Electric Power Co., Inc.		82,340		5,771,211
Duke Energy Corp.		115,048		9,869,968
Edison International		54,700		4,248,549
Entergy Corp.		30,200		2,456,770
Eversource Energy		53,200		3,186,680
Exelon Corp.		154,173		5,605,730
FirstEnergy Corp.		70,980		2,477,912
NextEra Energy, Inc.		76,775		10,011,460
PG&E Corp.		82,300		5,260,616
Pinnacle West Capital Corp.		19,000		1,540,140
PPL Corp.		112,600		4,250,650
Southern Co. (The)		152,400		8,173,212
Xcel Energy, Inc.		85,095		3,810,554
				66,663,452
Electrical Equipment — 0.5%
Acuity Brands, Inc.		6,600		1,636,536
AMETEK, Inc.		39,500		1,826,085
Eaton Corp. PLC		76,861		4,590,908
Emerson Electric Co.(a)		107,700		5,617,632
Rockwell Automation, Inc.		22,100		2,537,522
				16,208,683
Electronic Equipment, Instruments & Components — 0.3%
Amphenol Corp. (Class A Stock)		51,800		2,969,694
Corning, Inc.		183,400		3,756,032
FLIR Systems, Inc.		23,000		711,850
TE Connectivity Ltd. (Switzerland)		61,000		3,483,710
				10,921,286
Energy Equipment & Services — 1.1%
Baker Hughes, Inc.		73,148		3,301,169
Diamond Offshore Drilling, Inc.		11,900		289,527
FMC Technologies, Inc.*		37,900		1,010,793

SEE NOTES TO FINANCIAL STATEMENTS.

A158

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Energy Equipment & Services (continued)
Halliburton Co.		143,500	$	6,499,115
Helmerich & Payne, Inc.		18,100		1,215,053
National Oilwell Varco, Inc.		63,100		2,123,315
Schlumberger Ltd.		232,098		18,354,310
Transocean Ltd.		56,000		665,840
				33,459,122
Food & Staples Retailing — 2.3%
Costco Wholesale Corp.		73,322		11,514,487
CVS Health Corp.		181,638		17,390,022
Kroger Co. (The)		159,500		5,868,005
Sysco Corp.		88,000		4,465,120
Wal-Mart Stores, Inc.		257,800		18,824,556
Walgreens Boots Alliance, Inc.		144,500		12,032,515
Whole Foods Market, Inc.		54,400		1,741,888
				71,836,593
Food Products — 1.8%
Archer-Daniels-Midland Co.		99,538		4,269,185
Campbell Soup Co.		30,100		2,002,553
ConAgra Foods, Inc.		72,600		3,471,006
General Mills, Inc.		99,400		7,089,208
Hershey Co. (The)		24,100		2,735,109
Hormel Foods Corp.		45,400		1,661,640
J.M. Smucker Co. (The)		20,100		3,063,441
Kellogg Co.		42,300		3,453,795
Kraft Heinz Co. (The)		99,337		8,789,338
McCormick & Co., Inc. (Non-Voting Shares)		19,500		2,080,065
Mead Johnson Nutrition Co.		31,193		2,830,765
Mondelez International, Inc. (Class A Stock)		262,211		11,933,222
Tyson Foods, Inc. (Class A Stock)		49,600		3,312,784
				56,692,111
Gas Utilities
AGL Resources, Inc.		20,337		1,341,632
Health Care Equipment & Supplies — 2.4%
Abbott Laboratories		246,950		9,707,604
Baxter International, Inc.		91,700		4,146,674
Becton, Dickinson & Co.		35,354		5,995,685
Boston Scientific Corp.*		225,499		5,269,912
C.R. Bard, Inc.		12,500		2,939,500
DENTSPLY SIRONA, Inc.		38,500		2,388,540
Edwards Lifesciences Corp.*		36,200		3,610,226
Hologic, Inc.*		41,400		1,432,440
Intuitive Surgical, Inc.*		6,290		4,160,269
Medtronic PLC		235,228		20,410,733
St. Jude Medical, Inc.		47,400		3,697,200
Stryker Corp.		52,500		6,291,075
Varian Medical Systems, Inc.*		15,800		1,299,234
Zimmer Biomet Holdings, Inc.		31,386		3,778,247
				75,127,339
Health Care Providers & Services — 2.7%
Aetna, Inc.		58,457		7,139,353
AmerisourceBergen Corp.		32,100		2,546,172
Anthem, Inc.		43,800		5,752,692
Cardinal Health, Inc.		55,175		4,304,202

COMMON STOCKS (continued)	Shares		Value (Note 2)
Health Care Providers & Services (continued)
Centene Corp.*		28,600	$	2,041,182
Cigna Corp.		42,800		5,477,972
DaVita HealthCare Partners, Inc.*		28,200		2,180,424
Express Scripts Holding Co.*		106,626		8,082,251
HCA Holdings, Inc.*		51,200		3,942,912
Henry Schein, Inc.*		13,800		2,439,840
Humana, Inc.		24,900		4,479,012
Laboratory Corp. of America Holdings*		17,000		2,214,590
McKesson Corp.		38,307		7,150,001
Patterson Cos., Inc.		14,200		680,038
Quest Diagnostics, Inc.		23,800		1,937,558
UnitedHealth Group, Inc.		159,300		22,493,160
Universal Health Services, Inc. (Class B Stock)		15,100		2,024,910
				84,886,269
Health Care Technology — 0.1%
Cerner Corp.*		51,200		3,000,320
Hotels, Restaurants & Leisure — 1.7%
Carnival Corp.		75,500		3,337,100
Chipotle Mexican Grill, Inc.*		5,120		2,062,131
Darden Restaurants, Inc.		19,250		1,219,295
Marriott International, Inc. (Class A Stock)(a)		31,603		2,100,335
McDonald’s Corp.		148,000		17,810,320
Royal Caribbean Cruises Ltd.(a)		28,800		1,933,920
Starbucks Corp.		246,500		14,080,080
Starwood Hotels & Resorts Worldwide, Inc.		28,400		2,100,180
Wyndham Worldwide Corp.		19,463		1,386,350
Wynn Resorts Ltd.		12,900		1,169,256
Yum! Brands, Inc.		68,200		5,655,144
				52,854,111
Household Durables — 0.5%
D.R. Horton, Inc.		55,000		1,731,400
Garmin Ltd. (Switzerland)		19,300		818,706
Harman International Industries, Inc.		11,700		840,294
Leggett & Platt, Inc.		22,700		1,160,197
Lennar Corp. (Class A Stock)		30,100		1,387,610
Mohawk Industries, Inc.*		10,700		2,030,432
Newell Rubbermaid, Inc.		74,249		3,606,274
PulteGroup, Inc.		52,585		1,024,882
Whirlpool Corp.		13,007		2,167,486
				14,767,281
Household Products — 2.0%
Church & Dwight Co., Inc.		22,000		2,263,580
Clorox Co. (The)		21,700		3,003,063
Colgate-Palmolive Co.		149,500		10,943,400
Kimberly-Clark Corp.		60,488		8,315,890
Procter & Gamble Co. (The)		443,406		37,543,186
				62,069,119
Independent Power & Renewable Electricity Producers — 0.1%
AES Corp.		110,400		1,377,792
NRG Energy, Inc.		51,300		768,987
				2,146,779

SEE NOTES TO FINANCIAL STATEMENTS.

A159

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Industrial Conglomerates — 2.5%
3M Co.		101,200	$	17,722,144
Danaher Corp.		100,000		10,100,000
General Electric Co.		1,540,047		48,480,680
Roper Technologies, Inc.		16,900		2,882,464
				79,185,288
Insurance — 2.4%
Aflac, Inc.		70,300		5,072,848
Allstate Corp. (The)		63,888		4,468,966
American International Group, Inc.		187,829		9,934,276
Aon PLC		45,225		4,939,927
Arthur J. Gallagher & Co.		25,600		1,218,560
Assurant, Inc.		10,800		932,148
Chubb Ltd.		77,090		10,076,434
Cincinnati Financial Corp.		25,228		1,889,325
Hartford Financial Services Group, Inc. (The)		66,400		2,946,832
Lincoln National Corp.		40,163		1,557,119
Loews Corp.		44,626		1,833,682
Marsh & McLennan Cos., Inc.		87,500		5,990,250
MetLife, Inc.		183,600		7,312,788
Principal Financial Group, Inc.		46,000		1,891,060
Progressive Corp. (The)		98,000		3,283,000
Torchmark Corp.		18,875		1,166,852
Travelers Cos., Inc. (The)		49,398		5,880,338
Unum Group		40,956		1,301,991
Willis Towers Watson PLC		22,000		2,734,820
XL Group PLC (Ireland)		48,900		1,628,859
				76,060,075
Internet & Catalog Retail — 2.1%
Amazon.com, Inc.*		64,500		46,157,490
Expedia, Inc.		19,800		2,104,740
Netflix, Inc.*		71,690		6,558,201
Priceline Group, Inc. (The)*		8,360		10,436,708
TripAdvisor, Inc.*		19,400		1,247,420
				66,504,559
Internet Software & Services — 4.0%
Akamai Technologies, Inc.*		29,400		1,644,342
Alphabet, Inc. (Class A Stock)*		48,965		34,448,346
Alphabet, Inc. (Class C Stock)*		49,570		34,307,397
eBay, Inc.*		183,500		4,295,735
Facebook, Inc. (Class A Stock)*		385,000		43,997,800
VeriSign, Inc.*		16,400		1,417,944
Yahoo!, Inc.*		145,700		5,472,492
				125,584,056
IT Services — 3.6%
Accenture PLC (Class A Stock)		104,800		11,872,792
Alliance Data Systems Corp.*		9,900		1,939,608
Automatic Data Processing, Inc.		76,600		7,037,242
Cognizant Technology Solutions Corp. (Class A Stock)*		102,000		5,838,480
CSRA, Inc.		22,600		529,518
Fidelity National Information Services, Inc.		46,500		3,426,120
Fiserv, Inc.*		37,300		4,055,629
Global Payments, Inc.		23,700		1,691,706

COMMON STOCKS (continued)	Shares		Value (Note 2)
IT Services (continued)
International Business Machines Corp.		147,725	$	22,421,701
MasterCard, Inc. (Class A Stock)		163,700		14,415,422
Paychex, Inc.		53,850		3,204,075
PayPal Holdings, Inc.*		183,400		6,695,934
Teradata Corp.*		23,000		576,610
Total System Services, Inc.		28,293		1,502,641
Visa, Inc. (Class A Stock)(a)		318,500		23,623,145
Western Union Co. (The)		83,504		1,601,607
Xerox Corp.		158,711		1,506,167
				111,938,397
Leisure Products — 0.1%
Hasbro, Inc.		19,150		1,608,409
Mattel, Inc.		57,181		1,789,193
				3,397,602
Life Sciences Tools & Services — 0.6%
Agilent Technologies, Inc.		54,782		2,430,129
Illumina, Inc.*		23,800		3,341,044
PerkinElmer, Inc.		18,600		975,012
Thermo Fisher Scientific, Inc.		66,400		9,811,264
Waters Corp.*		13,700		1,926,905
				18,484,354
Machinery — 1.2%
Caterpillar, Inc.(a)		97,600		7,399,056
Cummins, Inc.		27,200		3,058,368
Deere & Co.(a)		50,150		4,064,156
Dover Corp.		26,400		1,830,048
Flowserve Corp.		21,800		984,706
Illinois Tool Works, Inc.		54,875		5,715,780
Ingersoll-Rand PLC		43,100		2,744,608
PACCAR, Inc.		59,328		3,077,343
Parker-Hannifin Corp.		22,787		2,462,135
Pentair PLC (United Kingdom)(a)		30,707		1,789,911
Snap-on, Inc.		10,000		1,578,200
Stanley Black & Decker, Inc.		25,135		2,795,515
Xylem, Inc.(a)		30,400		1,357,360
				38,857,186
Media — 2.6%
CBS Corp. (Class B Non-Voting Stock)		70,768		3,852,610
Comcast Corp. (Class A Stock)		405,846		26,457,101
Discovery Communications, Inc. (Class A Stock)*		24,500		618,135
Discovery Communications, Inc. (Class C Stock)*(a)		39,900		951,615
Interpublic Group of Cos., Inc. (The)		67,762		1,565,302
News Corp. (Class A Stock)		63,025		715,334
News Corp. (Class B Stock)(a)		18,100		211,227
Omnicom Group, Inc.		40,100		3,267,749
Scripps Networks Interactive, Inc. (Class A Stock)		16,400		1,021,228
TEGNA, Inc.		37,000		857,290
Time Warner, Inc.		132,315		9,730,445
Twenty-First Century Fox, Inc. (Class A Stock)		186,700		5,050,235

SEE NOTES TO FINANCIAL STATEMENTS.

A160

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Media (continued)
Twenty-First Century Fox, Inc. (Class B Stock)		72,300	$	1,970,175
Viacom, Inc. (Class B Stock)		57,843		2,398,749
Walt Disney Co. (The)		249,976		24,452,652
				83,119,847
Metals & Mining — 0.3%
Alcoa, Inc.		219,576		2,035,470
Freeport-McMoRan, Inc.		203,812		2,270,466
Newmont Mining Corp.		88,803		3,473,973
Nucor Corp.		53,600		2,648,376
				10,428,285
Multi-Utilities — 1.2%
Ameren Corp.		40,900		2,191,422
CenterPoint Energy, Inc.		70,910		1,701,840
CMS Energy Corp.		46,600		2,137,076
Consolidated Edison, Inc.		49,200		3,957,648
Dominion Resources, Inc.(a)		99,884		7,783,960
DTE Energy Co.		30,100		2,983,512
NiSource, Inc.		52,900		1,402,908
Public Service Enterprise Group, Inc.		84,900		3,957,189
SCANA Corp.		24,300		1,838,538
Sempra Energy		39,554		4,509,947
TECO Energy, Inc.		39,400		1,089,016
WEC Energy Group, Inc.		52,976		3,459,333
				37,012,389
Multiline Retail — 0.6%
Dollar General Corp.		49,100		4,615,400
Dollar Tree, Inc.*		39,447		3,717,485
Kohl’s Corp.(a)		32,200		1,221,024
Macy’s, Inc.		52,920		1,778,641
Nordstrom, Inc.(a)		21,500		818,075
Target Corp.		99,568		6,951,838
				19,102,463
Oil, Gas & Consumable Fuels — 6.1%
Anadarko Petroleum Corp.		85,226		4,538,284
Apache Corp.(a)		63,350		3,526,695
Cabot Oil & Gas Corp.		72,400		1,863,576
Chesapeake Energy Corp.*		77,600		332,128
Chevron Corp.		314,142		32,931,506
Cimarex Energy Co.		16,000		1,909,120
Columbia Pipeline Group, Inc.		65,200		1,661,948
Concho Resources, Inc.*		20,900		2,492,743
ConocoPhillips		207,029		9,026,464
Devon Energy Corp.		81,500		2,954,375
EOG Resources, Inc.		92,200		7,691,324
EQT Corp.		28,400		2,199,012
Exxon Mobil Corp.		692,904		64,952,821
Hess Corp.		43,875		2,636,888
Kinder Morgan, Inc.		306,743		5,742,229
Marathon Oil Corp.		134,694		2,021,757
Marathon Petroleum Corp.		89,394		3,393,396
Murphy Oil Corp.(a)		27,700		879,475
Newfield Exploration Co.*		30,100		1,329,818
Noble Energy, Inc.		71,400		2,561,118
Occidental Petroleum Corp.		127,700		9,649,012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
ONEOK, Inc.(a)		35,340	$	1,676,883
Phillips 66		78,364		6,217,400
Pioneer Natural Resources Co.		27,100		4,097,791
Range Resources Corp.		27,300		1,177,722
Southwestern Energy Co.*(a)		63,200		795,056
Spectra Energy Corp.		112,542		4,122,413
Tesoro Corp.		20,000		1,498,400
Valero Energy Corp.		79,800		4,069,800
Williams Cos., Inc. (The)		114,400		2,474,472
				190,423,626
Personal Products — 0.1%
Estee Lauder Cos., Inc. (The) (Class A Stock)		37,400		3,404,148
Pharmaceuticals — 5.6%
Allergan PLC*		65,906		15,230,217
Bristol-Myers Squibb Co.		279,740		20,574,877
Eli Lilly & Co.		163,000		12,836,250
Endo International PLC*		34,900		544,091
Johnson & Johnson		460,996		55,918,815
Mallinckrodt PLC*		19,700		1,197,366
Merck & Co., Inc.		464,003		26,731,213
Mylan NV*		69,300		2,996,532
Perrigo Co. PLC		24,600		2,230,482
Pfizer, Inc.		1,010,423		35,576,994
Zoetis, Inc.		76,100		3,611,706
				177,448,543
Professional Services — 0.3%
Dun & Bradstreet Corp. (The)		6,200		755,408
Equifax, Inc.		20,200		2,593,680
Nielsen Holdings PLC		60,300		3,133,791
Robert Half International, Inc.		22,000		839,520
Verisk Analytics, Inc.*		24,200		1,962,136
				9,284,535
Real Estate Investment Trusts (REITs) — 3.1%
American Tower Corp.		71,000		8,066,310
Apartment Investment & Management Co. (Class A Stock)		26,274		1,160,260
AvalonBay Communities, Inc.		23,018		4,152,217
Boston Properties, Inc.		25,800		3,403,020
Crown Castle International Corp.		56,000		5,680,080
Digital Realty Trust, Inc.		22,800		2,484,972
Equinix, Inc.		11,555		4,480,220
Equity Residential		61,100		4,208,568
Essex Property Trust, Inc.		11,100		2,531,799
Extra Space Storage, Inc.		20,700		1,915,578
Federal Realty Investment Trust		10,700		1,771,385
General Growth Properties, Inc.		97,600		2,910,432
HCP, Inc.		78,000		2,759,640
Host Hotels & Resorts, Inc.		124,626		2,020,188
Iron Mountain, Inc.		37,230		1,482,871
Kimco Realty Corp.		69,600		2,184,048
Macerich Co. (The)		21,200		1,810,268
Prologis, Inc.		87,928		4,311,989
Public Storage		24,700		6,313,073
Realty Income Corp.		41,900		2,906,184

SEE NOTES TO FINANCIAL STATEMENTS.

A161

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Investment Trusts (REITs) (continued)
Simon Property Group, Inc.		51,761	$	11,226,961
SL Green Realty Corp.		17,100		1,820,637
UDR, Inc.		40,900		1,510,028
Ventas, Inc.		55,904		4,070,929
Vornado Realty Trust(a)		29,757		2,979,271
Welltower, Inc.		59,400		4,524,498
Weyerhaeuser Co.		124,630		3,710,235
				96,395,661
Real Estate Management & Development
CBRE Group, Inc. (Class A Stock)*		48,800		1,292,224
Road & Rail — 0.8%
CSX Corp.		161,272		4,205,974
J.B. Hunt Transport Services, Inc.		14,900		1,205,857
Kansas City Southern		18,500		1,666,665
Norfolk Southern Corp.		50,100		4,265,013
Ryder System, Inc.		9,100		556,374
Union Pacific Corp.		141,300		12,328,425
				24,228,308
Semiconductors & Semiconductor Equipment — 2.8%
Analog Devices, Inc.		51,500		2,916,960
Applied Materials, Inc.		184,800		4,429,656
Broadcom Ltd. (Singapore)		61,860		9,613,044
First Solar, Inc.*		13,200		639,936
Intel Corp.		787,900		25,843,120
KLA-Tencor Corp.		26,300		1,926,475
Lam Research Corp.		26,750		2,248,605
Linear Technology Corp.		40,600		1,889,118
Microchip Technology, Inc.(a)		34,300		1,741,068
Micron Technology, Inc.*		169,300		2,329,568
NVIDIA Corp.		85,850		4,035,809
Qorvo, Inc.*		22,286		1,231,524
QUALCOMM, Inc.		247,550		13,261,253
Skyworks Solutions, Inc.		32,300		2,043,944
Texas Instruments, Inc.		168,600		10,562,790
Xilinx, Inc.		42,300		1,951,299
				86,664,169
Software — 4.1%
Activision Blizzard, Inc.		84,600		3,352,698
Adobe Systems, Inc.*		83,675		8,015,228
Autodesk, Inc.*		38,100		2,062,734
CA, Inc.		49,273		1,617,633
Citrix Systems, Inc.*		26,300		2,106,367
Electronic Arts, Inc.*		52,100		3,947,096
Intuit, Inc.		43,000		4,799,230
Microsoft Corp.		1,317,900		67,436,943
Oracle Corp.		523,595		21,430,743
Red Hat, Inc.*		30,900		2,243,340
salesforce.com, inc.*		104,700		8,314,227
Symantec Corp.		103,711		2,130,224
				127,456,463
Specialty Retail — 2.5%
Advance Auto Parts, Inc.		12,400		2,004,212
AutoNation, Inc.*(a)		12,989		610,223
AutoZone, Inc.*		5,080		4,032,707

COMMON STOCKS (continued)	Shares		Value (Note 2)
Specialty Retail (continued)
Bed Bath & Beyond, Inc.		28,100	$	1,214,482
Best Buy Co., Inc.		47,225		1,445,085
CarMax, Inc.*(a)		32,800		1,608,184
Foot Locker, Inc.		21,100		1,157,546
Gap, Inc. (The)(a)		37,187		789,108
Home Depot, Inc. (The)		208,969		26,683,252
L. Brands, Inc.		42,696		2,866,183
Lowe’s Cos., Inc.		148,225		11,734,973
O’Reilly Automotive, Inc.*		16,300		4,418,930
Ross Stores, Inc.		68,400		3,877,596
Signet Jewelers Ltd.		13,500		1,112,535
Staples, Inc.		105,000		905,100
Tiffany & Co.		19,000		1,152,160
TJX Cos., Inc. (The)		112,000		8,649,760
Tractor Supply Co.		22,700		2,069,786
Ulta Salon Cosmetics & Fragrance, Inc.*		10,300		2,509,492
Urban Outfitters, Inc.*		15,600		429,000
				79,270,314
Technology Hardware, Storage & Peripherals — 3.5%
Apple, Inc.		916,705		87,636,998
EMC Corp.		323,074		8,777,920
Hewlett Packard Enterprise Co.		284,966		5,206,329
HP, Inc.		289,966		3,639,073
NetApp, Inc.		49,000		1,204,910
Seagate Technology PLC(a)		50,400		1,227,744
Western Digital Corp.		46,968		2,219,708
				109,912,682
Textiles, Apparel & Luxury Goods — 0.8%
Coach, Inc.		46,800		1,906,632
Hanesbrands, Inc.		65,700		1,651,041
Michael Kors Holdings Ltd.*		30,100		1,489,348
NIKE, Inc. (Class B Stock)		223,600		12,342,720
PVH Corp.		13,900		1,309,797
Ralph Lauren Corp.		10,100		905,162
Under Armour, Inc. (Class A Stock)*(a)		28,800		1,155,744
Under Armour, Inc. (Class C Stock)*(a)		29,003		1,055,709
VF Corp.		57,244		3,519,934
				25,336,087
Tobacco — 1.8%
Altria Group, Inc.		327,900		22,611,984
Philip Morris International, Inc.		258,600		26,304,792
Reynolds American, Inc.		138,984		7,495,407
				56,412,183
Trading Companies & Distributors — 0.2%
Fastenal Co.		48,600		2,157,354
United Rentals, Inc.*		15,100		1,013,210
W.W. Grainger, Inc.(a)		9,700		2,204,325
				5,374,889
Water Utilities — 0.1%
American Water Works Co., Inc.		28,900		2,442,339
TOTAL LONG-TERM INVESTMENTS (cost $1,113,405,037)				3,041,230,168

SEE NOTES TO FINANCIAL STATEMENTS.

A162

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

SHORT-TERM INVESTMENTS — 5.3%	Shares		Value (Note 2)
AFFILIATED MUTUAL FUND — 5.2%
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund (cost $162,702,676; includes $69,544,664 of cash collateral for securities on loan)(b)(c)(Note 4)		162,702,676	$	162,702,676
	Principal Amount (000)#
U.S. TREASURY OBLIGATION — 0.1%
U.S. Treasury Bills, 0.267%, 09/15/16 (cost $4,997,233)(d)(e)		5,000		4,997,850
TOTAL SHORT-TERM INVESTMENTS (cost $167,699,909)				167,700,526
TOTAL INVESTMENTS — 102.1% (cost $1,281,104,946)				3,208,930,694
LIABILITIES IN EXCESS OF OTHER ASSETS(f) — (2.1)%				(65,676,438	)
NET ASSETS — 100.0%			$	3,143,254,256

See the Glossary for abbreviations used in the semiannual report.

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

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $67,708,803; cash collateral of $69,544,664 (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 Ultra Short Bond 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, 2016:

Number of Contracts	Type		Expiration Date		Value at Trade Date		Value at June 30, 2016		Unrealized Appreciation (Depreciation)
Long Positions:
40		S&P 500 E-Mini		Sep. 2016	$	4,132,110	$	4,180,400	$	48,290
178		S&P 500 Index		Sep. 2016		92,742,677		93,013,900		271,223
									$	319,513

A U.S. Treasury Obligation with a market value of $4,997,850 has been segregated with UBS AG to cover requirements for open contracts at June 30, 2016.

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, 2016 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	80,334,112	$	—	$	—
Air Freight & Logistics		22,260,380		—		—
Airlines		15,162,012		—		—
Auto Components		9,905,956		—		—
Automobiles		16,219,187		—		—
Banks		159,150,721		—		—
Beverages		71,620,107		—		—
Biotechnology		88,929,340		—		—
Building Products		4,010,914		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A163

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

	Level 1		Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Capital Markets	$	54,087,690	$	—	$	—
Chemicals		61,218,585		—		—
Commercial Services & Supplies		13,269,421		—		—
Communications Equipment		30,331,381		—		—
Construction & Engineering		2,814,709		—		—
Construction Materials		4,769,664		—		—
Consumer Finance		21,846,302		—		—
Containers & Packaging		9,383,194		—		—
Distributors		3,991,981		—		—
Diversified Consumer Services		913,100		—		—
Diversified Financial Services		65,515,016		—		—
Diversified Telecommunication Services		88,501,627		—		—
Electric Utilities		66,663,452		—		—
Electrical Equipment		16,208,683		—		—
Electronic Equipment, Instruments & Components		10,921,286		—		—
Energy Equipment & Services		33,459,122		—		—
Food & Staples Retailing		71,836,593		—		—
Food Products		56,692,111		—		—
Gas Utilities		1,341,632		—		—
Health Care Equipment & Supplies		75,127,339		—		—
Health Care Providers & Services		84,886,269		—		—
Health Care Technology		3,000,320		—		—
Hotels, Restaurants & Leisure		52,854,111		—		—
Household Durables		14,767,281		—		—
Household Products		62,069,119		—		—
Independent Power & Renewable Electricity Producers		2,146,779		—		—
Industrial Conglomerates		79,185,288		—		—
Insurance		76,060,075		—		—
Internet & Catalog Retail		66,504,559		—		—
Internet Software & Services		125,584,056		—		—
IT Services		111,938,397		—		—
Leisure Products		3,397,602		—		—
Life Sciences Tools & Services		18,484,354		—		—
Machinery		38,857,186		—		—
Media		83,119,847		—		—
Metals & Mining		10,428,285		—		—
Multi-Utilities		37,012,389		—		—
Multiline Retail		19,102,463		—		—
Oil, Gas & Consumable Fuels		190,423,626		—		—
Personal Products		3,404,148		—		—
Pharmaceuticals		177,448,543		—		—
Professional Services		9,284,535		—		—
Real Estate Investment Trusts (REITs)		96,395,661		—		—
Real Estate Management & Development		1,292,224		—		—
Road & Rail		24,228,308		—		—
Semiconductors & Semiconductor Equipment		86,664,169		—		—
Software		127,456,463		—		—
Specialty Retail		79,270,314		—		—
Technology Hardware, Storage & Peripherals		109,912,682		—		—
Textiles, Apparel & Luxury Goods		25,336,087		—		—
Tobacco		56,412,183		—		—
Trading Companies & Distributors		5,374,889		—		—
Water Utilities		2,442,339		—		—
Affiliated Mutual Fund		162,702,676		—		—
U.S. Treasury Obligation		—		4,997,850		—
Other Financial Instruments*
Futures Contracts		319,513		—		—
Total	$	3,204,252,357	$	4,997,850	$	—

* 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 OTC swap contracts which are recorded at fair value.

SEE NOTES TO FINANCIAL STATEMENTS.

A164

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2016 were as follows:

Oil, Gas & Consumable Fuels	6.1	%
Pharmaceuticals	5.6
Affiliated Mutual Fund (including 2.2% of collateral for securities on loan)	5.2
Banks	5.1
Software	4.1
Internet Software & Services	4.0
IT Services	3.6
Technology Hardware, Storage & Peripherals	3.5
Real Estate Investment Trusts (REITs)	3.1
Biotechnology	2.8
Diversified Telecommunication Services	2.8
Semiconductors & Semiconductor Equipment	2.8
Health Care Providers & Services	2.7
Media	2.6
Aerospace & Defense	2.6
Specialty Retail	2.5
Industrial Conglomerates	2.5
Insurance	2.4
Health Care Equipment & Supplies	2.4
Food & Staples Retailing	2.3
Beverages	2.3
Electric Utilities	2.1
Internet & Catalog Retail	2.1
Diversified Financial Services	2.1
Household Products	2.0
Chemicals	1.9
Food Products	1.8
Tobacco	1.8
Capital Markets	1.7
Hotels, Restaurants & Leisure	1.7
Machinery	1.2
Multi-Utilities	1.2

Energy Equipment & Services	1.1	%
Communications Equipment	1.0
Textiles, Apparel & Luxury Goods	0.8
Road & Rail	0.8
Air Freight & Logistics	0.7
Consumer Finance	0.7
Multiline Retail	0.6
Life Sciences Tools & Services	0.6
Automobiles	0.5
Electrical Equipment	0.5
Airlines	0.5
Household Durables	0.5
Commercial Services & Supplies	0.4
Electronic Equipment, Instruments & Components	0.3
Metals & Mining	0.3
Auto Components	0.3
Containers & Packaging	0.3
Professional Services	0.3
Trading Companies & Distributors	0.2
Construction Materials	0.2
Building Products	0.1
Distributors	0.1
Personal Products	0.1
Leisure Products	0.1
Health Care Technology	0.1
Construction & Engineering	0.1
U.S. Treasury Obligation	0.1
Water Utilities	0.1
Independent Power & Renewable Electricity Producers	0.1
	102.1
Liabilities in excess of other assets	(2.1	)
	100.0	%

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

Fair values of derivative instruments as of June 30, 2016 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	$	319,513	*	—	$	—

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

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2016 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	4,273,918
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	(76,900	)

For the six months ended June 30, 2016, the Fund’s average value at trade date for futures long postions was $91,226,177.

SEE NOTES TO FINANCIAL STATEMENTS.

A165

STOCK INDEX PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2016

ASSETS
Investments at value, including securities on loan of $67,708,803:
Unaffiliated investments (cost $1,118,402,270)	$	3,046,228,018
Affiliated investments (cost $162,702,676)		162,702,676
Cash		1,996
Dividends and interest receivable		3,538,570
Receivable for investments sold		1,483,879
Due from broker—variation margin futures		1,088,100
Receivable for Series shares sold		12,844
Tax reclaim receivable		494
Prepaid expenses		3,845
Total Assets		3,215,060,422
LIABILITIES
Payable to broker for collateral for securities on loan		69,544,664
Management fee payable		761,736
Payable for Series shares repurchased		747,069
Payable for investments purchased		558,608
Accrued expenses and other liabilities		193,109
Affiliated transfer agent fee payable		980
Total Liabilities		71,806,166
NET ASSETS	$	3,143,254,256
Net assets were comprised of:
Paid-in capital	$	1,202,478,656
Retained earnings		1,940,775,600
Net assets, June 30, 2016	$	3,143,254,256
Net asset value and redemption price per share $3,143,254,256 / 66,720,325 outstanding shares of beneficial interest	$	47.11

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2016

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $1,848)	$	32,766,665
Affiliated income from securities lending, net		336,437
Affiliated dividend income		216,062
Interest income		7,574
Total income		33,326,738
EXPENSES
Management fee		5,240,960
Custodian and accounting fees		151,000
Shareholders’ reports		56,000
Insurance expenses		23,000
Trustees’ fees		20,000
Audit fee		13,000
Legal fees and expenses		12,000
Commitment fee on syndicated credit agreement		8,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Miscellaneous		9,344
Total expenses		5,539,304
Less: Management fee waiver		(748,698	)
Net expenses		4,790,606
NET INVESTMENT INCOME (LOSS)		28,536,132
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investment transactions		29,563,530
Futures transactions		4,273,918
		33,837,448
Net change in unrealized appreciation (depreciation) on:
Investments		59,419,913
Futures		(76,900	)
		59,343,013
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		93,180,461
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	121,716,593

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2016			Year Ended December 31, 2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	28,536,132		$	57,514,806
Net realized gain (loss) on investment transactions		33,837,448			152,884,259
Net change in unrealized appreciation (depreciation) on investments		59,343,013			(187,558,369	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		121,716,593			22,840,696
DISTRIBUTIONS		(210,338,581	)		(93,414,310	)
SERIES SHARE TRANSACTIONS
Series shares sold [2,475,449 and 4,544,250 shares, respectively]		111,612,058			225,562,519
Series shares issued in reinvestment of distributions [4,481,009 and 1,896,737 shares, respectively]		210,338,581			93,414,310
Series shares repurchased [2,183,862 and 11,644,330 shares, respectively]		(104,612,110	)		(550,998,022	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		217,338,529			(232,021,193	)
CAPTIAL CONTRIBUTIONS (Note 4)		4,458,724			—
TOTAL INCREASE (DECREASE)		133,175,265			(302,594,807	)
NET ASSETS:
Beginning of period		3,010,078,991			3,312,673,798
End of period	$	3,143,254,256		$	3,010,078,991

SEE NOTES TO FINANCIAL STATEMENTS.

A166

	VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

LONG-TERM INVESTMENTS — 96.8%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 2.9%
Boeing Co. (The)		129,639	$	16,836,217
United Technologies Corp.		194,730		19,969,561
				36,805,778
Banks — 11.6%
Bank of America Corp.		1,822,681		24,186,977
Citigroup, Inc.		618,907		26,235,468
JPMorgan Chase & Co.		711,859		44,234,918
PNC Financial Services Group, Inc. (The)		192,263		15,648,286
Wells Fargo & Co.		794,231		37,590,953
				147,896,602
Biotechnology — 2.3%
AbbVie, Inc.		226,568		14,026,825
Shire PLC, ADR		85,696		15,774,920
				29,801,745
Capital Markets — 1.6%
Goldman Sachs Group, Inc. (The)		140,657		20,898,817
Chemicals — 2.1%
Dow Chemical Co. (The)		245,397		12,198,685
FMC Corp.		319,151		14,779,883
				26,978,568
Communications Equipment — 1.2%
Brocade Communications Systems, Inc.		1,674,560		15,372,461
Consumer Finance — 3.2%
Capital One Financial Corp.		297,721		18,908,261
SLM Corp.*		3,573,986		22,087,233
				40,995,494
Diversified Financial Services — 0.7%
Voya Financial, Inc.		353,887		8,762,242
Electric Utilities — 5.1%
FirstEnergy Corp.		769,450		26,861,499
PG&E Corp.		590,418		37,739,519
				64,601,018
Electrical Equipment — 1.2%
Eaton Corp. PLC		264,951		15,825,523
Electronic Equipment, Instruments & Components — 1.3%
Flextronics International Ltd.*		1,414,309		16,688,846
Energy Equipment & Services — 1.9%
Halliburton Co.		537,231		24,331,192
Food Products — 4.3%
ConAgra Foods, Inc.		584,369		27,938,682
Mondelez International, Inc. (Class A Stock)		600,352		27,322,019
				55,260,701
Health Care Equipment & Supplies — 1.6%
Zimmer Biomet Holdings, Inc.		165,796		19,958,523

COMMON STOCKS (continued)	Shares		Value (Note 2)
Health Care Providers & Services — 2.5%
Cigna Corp.		97,651	$	12,498,351
Laboratory Corp. of America Holdings*		148,159		19,300,673
				31,799,024
Hotels, Restaurants & Leisure — 4.0%
Carnival Corp.		396,858		17,541,124
Hyatt Hotels Corp. (Class A Stock)*(a)		324,481		15,944,996
McDonald’s Corp.		146,304		17,606,223
				51,092,343
Household Products — 2.4%
Procter & Gamble Co. (The)		355,770		30,123,046
Industrial Conglomerates — 2.1%
General Electric Co.		836,417		26,330,407
Insurance — 3.2%
Chubb Ltd.		200,066		26,150,627
MetLife, Inc.		379,441		15,113,135
				41,263,762
Internet Software & Services — 2.9%
Alphabet, Inc. (Class A Stock)*		35,480		24,961,244
eBay, Inc.*		533,989		12,500,683
				37,461,927
Media — 3.7%
Comcast Corp. (Class A Stock)		400,077		26,081,020
Liberty Global PLC (United Kingdom) (Series C)*		217,568		6,233,323
Liberty Global PLC LiLAC (United Kingdom) (Class C Stock)*		57,004		1,852,060
Viacom, Inc. (Class B Stock)		318,995		13,228,723
				47,395,126
Multiline Retail — 1.5%
Target Corp.		281,717		19,669,481
Oil, Gas & Consumable Fuels — 11.0%
Anadarko Petroleum Corp.		268,882		14,317,966
Chevron Corp.		229,679		24,077,250
Hess Corp.		218,474		13,130,287
Noble Energy, Inc.		515,332		18,484,959
Occidental Petroleum Corp.		341,730		25,821,119
Royal Dutch Shell PLC (Netherlands), ADR		423,020		23,359,164
Suncor Energy, Inc. (Canada)		741,334		20,557,192
				139,747,937
Pharmaceuticals — 8.2%
Allergan PLC*		88,502		20,451,927
Merck & Co., Inc.		504,010		29,036,016
Pfizer, Inc.		1,002,693		35,304,821
Teva Pharmaceutical Industries Ltd. (Israel), ADR(a)		406,602		20,423,618
				105,216,382
Real Estate Investment Trusts (REITs) — 1.6%
American Tower Corp.		184,619		20,974,565

SEE NOTES TO FINANCIAL STATEMENTS.

A167

	VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Road & Rail — 2.2%
Ryder System, Inc.		180,381	$	11,028,494
Union Pacific Corp.		195,950		17,096,638
				28,125,132
Semiconductors & Semiconductor Equipment — 2.8%
QUALCOMM, Inc.		239,274		12,817,908
Texas Instruments, Inc.		367,412		23,018,362
				35,836,270
Software — 3.4%
Microsoft Corp.		425,802		21,788,289
PTC, Inc.*		559,385		21,021,688
				42,809,977
Technology Hardware, Storage & Peripherals — 1.2%
Apple, Inc.		157,435		15,050,786
Textiles, Apparel & Luxury Goods — 1.6%
Coach, Inc.		488,060		19,883,564
Wireless Telecommunication Services — 1.5%
Vodafone Group PLC (United Kingdom), ADR		612,511		18,920,465
TOTAL LONG-TERM INVESTMENTS (cost $1,026,773,277)				1,235,877,704
SHORT-TERM INVESTMENT — 4.3%
AFFILIATED MUTUAL FUND
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund (cost $54,816,514; includes $16,621,004 of cash collateral for securities on loan)(b)(c) (Note 4)		54,816,514		54,816,514
TOTAL INVESTMENTS — 101.1% (cost $1,081,589,791)				1,290,694,218
LIABILITIES IN EXCESS OF OTHER ASSETS (1.1)%				(13,874,203	)
NET ASSETS 100.0%			$	1,276,820,015

See the Glossary for abbreviations used in the semiannual report:

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $16,295,100; cash collateral of $16,621,004 (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 Ultra Short Bond 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, 2016 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	36,805,778	$	—	$	—
Banks		147,896,602		—		—
Biotechnology		29,801,745		—		—
Capital Markets		20,898,817		—		—
Chemicals		26,978,568		—		—
Communications Equipment		15,372,461		—		—
Consumer Finance		40,995,494		—		—
Diversified Financial Services		8,762,242		—		—
Electric Utilities		64,601,018		—		—
Electrical Equipment		15,825,523		—		—
Electronic Equipment, Instruments & Components		16,688,846		—		—
Energy Equipment & Services		24,331,192		—		—
Food Products		55,260,701		—		—
Health Care Equipment & Supplies		19,958,523		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A168

	VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

	Level 1		Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Health Care Providers & Services	$	31,799,024	$	—	$	—
Hotels, Restaurants & Leisure		51,092,343		—		—
Household Products		30,123,046		—		—
Industrial Conglomerates		26,330,407		—		—
Insurance		41,263,762		—		—
Internet Software & Services		37,461,927		—		—
Media		47,395,126		—		—
Multiline Retail		19,669,481		—		—
Oil, Gas & Consumable Fuels		139,747,937		—		—
Pharmaceuticals		105,216,382		—		—
Real Estate Investment Trusts (REITs)		20,974,565		—		—
Road & Rail		28,125,132		—		—
Semiconductors & Semiconductor Equipment		35,836,270		—		—
Software		42,809,977		—		—
Technology Hardware, Storage & Peripherals		15,050,786		—		—
Textiles, Apparel & Luxury Goods		19,883,564		—		—
Wireless Telecommunication Services		18,920,465		—		—
Affiliated Mutual Fund		54,816,514		—		—
Total	$	1,290,694,218	$	—	$	—

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2016 were as follows:

Banks	11.6	%
Oil, Gas & Consumable Fuels	11.0
Pharmaceuticals	8.2
Electric Utilities	5.1
Food Products	4.3
Affiliated Mutual Fund (including 1.3% of collateral for securities on loan)	4.3
Hotels, Restaurants & Leisure	4.0
Media	3.7
Software	3.4
Insurance	3.2
Consumer Finance	3.2
Internet Software & Services	2.9
Aerospace & Defense	2.9
Semiconductors & Semiconductor Equipment	2.8
Health Care Providers & Services	2.5
Household Products	2.4
Biotechnology	2.3
Road & Rail	2.2

Chemicals	2.1	%
Industrial Conglomerates	2.1
Energy Equipment & Services	1.9
Real Estate Investment Trusts (REITs)	1.6
Capital Markets	1.6
Health Care Equipment & Supplies	1.6
Textiles, Apparel & Luxury Goods	1.6
Multiline Retail	1.5
Wireless Telecommunication Services	1.5
Electronic Equipment, Instruments & Components	1.3
Electrical Equipment	1.2
Communications Equipment	1.2
Technology Hardware, Storage & Peripherals	1.2
Diversified Financial Services	0.7
	101.1
Liabilities in excess of other assets	(1.1	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A169

VALUE PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2016

ASSETS
Investments at value, including securities on loan of $16,295,100:
Unaffiliated investments (cost $1,026,773,277)	$	1,235,877,704
Affiliated investments (cost $54,816,514)		54,816,514
Receivable for investments sold		3,455,323
Dividends receivable		2,663,054
Tax reclaim receivable		992,061
Receivable for Series shares sold		5,127
Prepaid expenses		1,719
Total Assets		1,297,811,502
LIABILITIES
Payable to broker for collateral for securities on loan		16,621,004
Payable for Series shares repurchased		3,794,584
Management fee payable		421,781
Accrued expenses and other liabilities		149,603
Distribution fee payable		1,969
Administration fee payable		1,156
Affiliated transfer agent fee payable		980
Deferred trustees’ fees		410
Total Liabilities		20,991,487
NET ASSETS	$	1,276,820,015
Net assets were comprised of:
Paid-in capital	$	852,640,449
Retained earnings		424,179,566
Net assets, June 30, 2016	$	1,276,820,015
Class I:
Net asset value and redemption price per share $1,270,401,944 / 53,064,245 outstanding shares of beneficial interest	$	23.94
Class II:
Net asset value and redemption price per share $6,418,071 / 269,932 outstanding shares of beneficial interest	$	23.78

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2016

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $504,350)	$	15,408,612
Affiliated income from securities lending, net		215,730
Affiliated dividend income		89,005
Total income		15,713,347
EXPENSES
Management fee		2,539,803
Distribution fee—Class II		11,456
Administration fee—Class II		6,874
Custodian and accounting fees		72,000
Shareholders’ reports		59,000
Audit fee		12,000
Trustees’ fees		12,000
Insurance expenses		10,000
Legal fees and expenses		6,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Miscellaneous		10,087
Total expenses		2,745,220
NET INVESTMENT INCOME (LOSS)		12,968,127
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		2,067,107
Foreign currency transactions		6,254
		2,073,361
Net change in unrealized appreciation (depreciation) on:
Investments		(38,395,823	)
Foreign currencies		19,679
		(38,376,144	)
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(36,302,783	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(23,334,656	)

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2016			Year Ended December 31, 2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	12,968,127		$	22,756,824
Net realized gain (loss) on investment and foreign currency transactions		2,073,361			68,507,339
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(38,376,144	)		(215,764,228	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(23,334,656	)		(124,500,065	)
SERIES SHARE TRANSACTIONS (Note 7)
Series shares sold		4,229,304			6,503,823
Series shares repurchased		(70,255,742	)		(120,385,548	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(66,026,438	)		(113,881,725	)
CAPTIAL CONTRIBUTIONS (Note 4)		1,379,448			—
TOTAL INCREASE (DECREASE)		(87,981,646	)		(238,381,790	)
NET ASSETS:
Beginning of period		1,364,801,661			1,603,183,451
End of period	$	1,276,820,015		$	1,364,801,661

SEE NOTES TO FINANCIAL STATEMENTS.

A170

	GLOSSARY
SCHEDULE OF INVESTMENTS		as of June 30, 2016

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

Currency

AUD	Australian Dollar
CAD	Canadian Dollar
EUR	Euro
GBP	British Pound
HUF	Hungarian Forint
JPY	Japanese Yen
MXN	Mexican Peso
PLN	Polish Zloty
ZAR	South African Rand

Index

CDX Credit Derivative Index

Other

144A	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
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
Aces	Alternative Credit Enhancements Securities
ADR	American Depositary Receipt
BABs	Build America Bonds
bps	Basis Points
CLO	Collateralized Loan Obligation
CMBS	Collateralized Mortgage-Backed Security
CVA	Certificate Van Aandelen (Bearer)
EAFE	Europe, Australasia and Far East
ETF	Exchange Traded Fund
EMTN	Euro Medium Term Note
EURIBOR	Euro Interbank Offered Rate
EUROIS	Euro Overnight Index Swap
FHLMC	Federal Home Loan Mortgage Corp.
GMTN	Global Medium Term Note
GO	General Obligation
IO	Interest Only
JIBAR	Johannesburg Interbank Agreed Rate
LIBOR	London Interbank Offered Rate
MSCI	Morgan Stanley Capital International
MTN	Medium Term Note
OIS	Overnight Index Swap
OTC	Over-the-counter
PIK	Payment-in-Kind
PO	Principal Only
PRFC	Preference Shares
REIT	Real Estate Investment Trust
REMICS	Real Estate Mortgage Investmemt Conduit Security
RSP	Non-Voting Shares
SDR	Sweden Depositary Receipt
STRIPS	Separate Trading of Registered Interest and Principle of Securities
TBA	To Be Announced
TIPS	Treasury Inflation-Protected Securities
USAID	United States Agency for International Development
USOIS	United States Overnight Index Swap

SEE NOTES TO FINANCIAL STATEMENTS.

A171

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 (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to 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.

B1

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. The models generate an evaluated adjustment factor for each security, which can be applied to the local closing price to adjust it for post closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price to the extent that the valuation meets the established confidence level for each security. Such confidence level is a measure of the probability of a relationship between a given equity security and the factors used in the models. If the confidence level is not met or the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.

Participatory notes (P-notes) are generally valued based upon the value of a related underlying security that trades actively in the market and are classified as Level 2 in the fair value hierarchy.

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

Fixed income securities traded in the 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’s securities of sufficient credit quality are valued using amortized cost method, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 in the fair value hierarchy.

Bank loans traded in the OTC market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors utilize broker/dealer quotations and provide prices based on the average of such quotations. Bank loans valued using such vendor prices are generally classified as Level 2 in the fair value hierarchy.

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.

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

B2

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

Restricted and Illiquid Securities:    Subject to guidelines adopted by the Board, each Portfolio may invest up to 15% of 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, a Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its Subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s Subadviser under the guidelines adopted by the Board of the Portfolio. However, the liquidity of a Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.

The Portfolios purchased government controlled Fannie Mae and Freddie Mac securities that transfer most of the cost of defaults to private investors including the Portfolios. These are insurance-like products that are called Connecticut Avenue Securities by Fannie Mae and Structured Agency Credit Risk by Freddie Mac. Payments on the securities are based primarily on the performance of a reference pool of underlying mortgages. With such securities, the Portfolios could lose some or all of their principal if the underlying mortgages experience credit defaults.

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 Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio does not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the 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, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolio does isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.

Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from holdings of foreign currencies, forward currency contracts, disposition of foreign currencies, currency

B3

gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.

Participatory notes/Warrants:    The Series Fund may gain exposure to securities in certain foreign markets through investments in participatory notes (“P-notes”). The Series Fund 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 counterparty risk, beyond those normally associated with a direct investment in the underlying security. The Series Fund 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 the 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.

Forward Currency Contracts:    A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios, as defined in the prospectus, entered into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or on specific receivables and payables denominated in a foreign currency and to gain exposures to certain currencies. The contracts are valued daily at current forward exchange rates and any unrealized gain (loss) is included in net unrealized appreciation or depreciation on investments and foreign currencies. Gain (loss) is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain (loss), if any, is included in net realized gain (loss) on foreign currency transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. A Portfolio’s maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life.

Cross Currency Exchange Contracts:    A cross currency contract is a forward contract where a specified amount of one foreign currency will be exchanged for a specified amount of another foreign currency.

Short Sales:    Certain Portfolios may sell a security they do not own in anticipation of a decline in the market value of that security (short sale). When the Portfolio makes a short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the transaction. The Portfolio may have to pay a fee to borrow the particular security and may be obligated to return any interest or dividends received on such borrowed securities. Dividends declared on short positions open are recorded on the ex-date and the interest payable is accrued daily on fixed income securities sold short, both of which are recorded as an expense. A gain, limited to the price at which the Portfolio sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received.

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, the Selling Participant 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

B4

payments known as “variation margin,” are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain (loss). When the contract expires or is closed, the gain (loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on futures transactions.

Certain Portfolios invested in financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolios intend to purchase, against fluctuations in value caused by changes in prevailing interest rates, value of equities or foreign currency exchange rates. Portfolios may also use futures to gain additional market exposure. Should interest rates move unexpectedly, the Portfolio may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. Financial futures contracts involve elements of risk in excess of the amounts reflected on the Statement of Assets and Liabilities. With exchange-traded futures contracts, there is minimal counterparty credit risk to the Portfolios since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.

Options:    Certain Portfolios purchased or wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates, value of equities or foreign currency exchange rates with respect to securities or financial instruments which the Portfolio currently owns or intends to purchase. Portfolios may also use options to gain additional market exposure. The Portfolio’s principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option.

If an option expires unexercised, the Portfolio realizes a gain (loss) to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as a realized gain (loss). Gain (loss) on purchased options is included in net realized gain (loss) on investment transactions. Gain (loss) on written options is presented separately as net realized gain (loss) on written options transactions.

The Portfolio, as writer of an option, may have no control over whether the underlying securities or financial instruments may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security or financial instrument underlying the written option. OTC options also involve the risk of the potential inability of the counterparties to meet the terms of their contracts. With exchange-traded options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded options and guarantees the options contracts against default.

When a Portfolio writes an option on a swap, an amount equal to any premium received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the written option on the swap. If a call option on a swap is exercised, the Portfolio becomes obligated to pay a fixed interest rate (noted as the strike price) and receive a variable interest rate on a notional amount. If a put option on a swap is exercised, the Portfolio becomes obligated to pay a variable interest rate and receive a fixed interest rate (noted as the strike price) on a notional amount. Premiums received from writing options on swaps that expire or are exercised are treated as realized gains upon the expiration or exercise of such options on swaps. The risk associated with writing put and call options on swaps is that the Portfolio will be obligated to be party to a swap agreement if an option on a swap is exercised.

Swap Agreements:    Certain Portfolios may enter into credit default, interest rate, total return and other forms of swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the OTC market and may be executed either directly with a counterparty (“OTC-traded”) or through a central clearing facility, such as a registered commodities exchange. Swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation or depreciation on investments. Centrally cleared swaps pay or receive an amount, known as “variation margin”, based on the daily changes in valuation of the swap contract. Payments received or paid by the Portfolio are recorded as realized gains

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(losses) upon termination or maturity of the swap. Risk of loss may exceed amounts recognized on the Statement of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.

Interest Rate Swaps:    Interest rate swaps represent agreements between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. Certain Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objectives. Certain Portfolios used interest rate swaps to either maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments or to increase exposure to prevailing market rates by receiving floating rate payments using interest rate swap contracts. A Portfolio’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life.

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

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

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

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

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

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

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referenced asset in the normal course of pursuing their investment objectives. Certain Portfolios entered into total return swaps to manage their exposure to a security or an index. A Portfolio’s maximum risk of loss from counterparty credit risk is the change in the value of the security, in the Portfolio’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 agreements which a subadviser may have negotiated and entered into on behalf of the Portfolio. For multi-sleeve Portfolios, different subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives 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. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off, and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.

Certain Portfolios are parties to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s custodian and with respect to those amounts which can be sold or re-pledged, are presented in the Schedule of Investments. Collateral pledged by the Portfolio is segregated by the Portfolio’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty. Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.

In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in 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 OTC derivative agreements include conditions which, when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.

As of June 30, 2016, 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.

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Warrants and Rights:    Certain Portfolios may hold warrants and rights acquired either through a direct purchase, included as part of a private placement, or pursuant to corporate actions. Warrants and rights 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 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.

Payment in kind securities:    Certain fixed income Portfolios may invest in the open market or receive pursuant to debt restructuring, securities that pay in kind (PIK) the interest due on such debt instruments. The PIK interest, computed at the contractual rate specified, is added to the existing principal balance of the debt when issued bonds have same terms as the bond or recorded as a separate bond when terms are different from the existing debt, and is recorded as interest income.

Securities Lending:    The Portfolios may lend their portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in a highly liquid ultra short-term bond 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 borrower receives all interest and dividends and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned that may occur during the term of the loan.

Dollar Rolls:    Certain Portfolios enter into mortgage dollar rolls in which the Portfolios sell mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously enter into contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolios forgo principal and interest paid on the securities. The Portfolios are compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sale proceeds and the lower repurchase price is recorded as a realized gain on investment transactions. The Portfolios maintain a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls.

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 and economic instability or the level of the governmental supervision and regulation of foreign securities markets.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-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 directly to the respective class) and unrealized and realized gains (losses) are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.

REITs:    Certain Portfolios invest in real estate investment trusts, (“REITs”), which report information on the source of their distributions annually. Based on current and historical information, a portion of distributions received from REITs during the period is estimated to be dividend income, capital gain or return of capital and recorded accordingly. These estimates are adjusted periodically when the actual source of distributions is disclosed by the REITs.

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

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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 and interest and foreign capital gains tax are accrued in accordance with the Portfolio’s understanding of the applicable country’s tax rules and rates. Such taxes are accrued net of reclaimable amounts, at the time the related income/gain is recorded.

Distributions:    Distributions, if any, from each Portfolio are made in cash and automatically reinvested in additional shares of the 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 those estimates.

Note 3: Agreements

The Series Fund has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadvisers’ performance of such services. PI has entered into subadvisory agreements with Prudential Fixed Income (“PFI”), a business unit of PGIM, Inc., 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 through June 30, 2016	Management Fee effective July 1, 2016	Effective Management Fee
Conservative Balanced Portfolio	0.55%	0.55%		0.55	%
Diversified Bond Portfolio	0.40	0.40		0.40
Equity Portfolio	0.45	0.45		0.45
Flexible Managed Portfolio	0.60	0.60		0.60
Global Portfolio	0.75	0.75		0.74	***
Government Income Portfolio	0.40	0.40		0.40
High Yield Bond Portfolio	0.55	0.55		0.55
Jennison Portfolio	0.60	0.60		0.60
Money Market Portfolio	0.30	0.30		0.32	*
Natural Resources Portfolio	0.45	0.45		0.44	****
Small Capitalization Stock Portfolio	0.40	0.35		0.35	**
Stock Index Portfolio	0.35% up to $4 billion 0.30% over $4 billion	0.30% up to $4 billion 0.25% over $4 billion		0.30	%**
Value Portfolio	0.40	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 (loss)) does not fall below 0.00%. The waiver is voluntary and may be modified or terminated by PI at any time without notice. During the period ended June 30, 2016, the waiver was $0 as a result of this voluntary agreement. Effective February 16, 2016, management fees were reduced from 0.40% to 0.30%.

** 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.

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*** PI has contractually agreed, through June 30, 2017, 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.

**** Effective February 6, 2016, PI had contractually agreed, through June 30, 2017, to waive a portion of its management fee equal to an annual rate of 0.008% of the average daily net assets of the Portfolio.

At June 30, 2016, the Subadvisers that provide investment advisory services to the Portfolios are listed directly below. Where more than one Subadviser is listed, each Subadviser provides services to a segment of the Portfolio:

Portfolio	Subadviser(s)
Conservative Balanced Portfolio	PFI, QMA
Diversified Bond Portfolio	PFI
Equity Portfolio	Jennison
Flexible Managed Portfolio	PFI, QMA
Global Portfolio	Brown, LSV, QMA, T. Rowe & William Blair
Government Income Portfolio	PFI
High Yield Bond Portfolio	PFI
Jennison Portfolio	Jennison
Money Market Portfolio	PFI
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, PGIM, Inc., 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 (loss) on investment transactions presented in the Statement of Operations. For the six months ended June 30, 2016, brokerage commission recaptured under these agreements was as follows:

Portfolio	Amount
Equity Portfolio	$	120,710
Global Portfolio		18,351
Jennison Portfolio		39,969
Natural Resources Portfolio		10,688
Value Portfolio		66,798

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.

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PGIM, Inc. also serves as the Series Fund’s securities lending agent. Net earnings from securities lending are disclosed on the Statement of Operations as “Affiliated income from securities lending, net”. Effective February 5, 2016, PGIM, Inc. is being paid no compensation for acting as the securities lending agent. In addition, the securities lending agent continues to absorb the transaction costs associated with securities lending activity. Effective July 7, 2016, the Board replaced PGIM, Inc. as securities lending agent with a third party agent. For the six months ended June 30, 2016, PGIM, Inc. was compensated as follows for these services:

Portfolio	Amount
Conservative Balanced Portfolio	$	1,586
Diversified Bond Portfolio		974
Equity Portfolio		19,858
Flexible Managed Portfolio		3,536
Global Portfolio		2,073
High Yield Bond Portfolio		15,822
Jennison Portfolio		6,237
Natural Resources Portfolio		4,710
Small Capitalization Stock Portfolio		10,922
Value Portfolio		3,037

In February 2016, Prudential, the parent company of the manager (PI) self reported to the Securities and Exchange Commission (SEC) and certain other regulators that, in some cases, it failed to maximize securities lending income for certain Portfolios of Prudential Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid each of the affected Portfolios an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Portfolios. The amount of opportunity loss payment to each of the Portfolios is disclosed in the respective Portfolios’ “Statement of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions”.

The SEC Staff and other regulators are currently reviewing the matter.

The Portfolios may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board.

Certain Portfolios invest in the Prudential Core Short-Term Bond Fund, pursuant to an exemptive order received from the Securities and Exchange Commission, and in the Prudential Core Ultra Short Bond Fund, (formerly known as Prudential Core Taxable Money Market Fund), (the “Core Funds”), each a portfolio of the Prudential Investment Portfolios 2, registered under the Investment Company Act of 1940, as amended, and managed by PI. Earnings from the Core Funds are disclosed on the Statement of Operations as “Affiliated dividend income”.

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

Portfolio	2015 Withholding Tax			2016 Withholding Tax
Conservative Balanced Portfolio	$	44,001	*	$	4,550
Flexible Managed Portfolio		53,512	*		6,800
Global Portfolio		118,399	*		8,165
Jennison Portfolio		44,830			19,828

* Includes amounts from December 2015 reimbursed in 2016.

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Note 5: Portfolio Securities

The aggregate cost of purchases and the proceeds from sales of portfolio securities (excluding government securities and short-term issues) for the six months ended June 30, 2016 were as follows:

Portfolio	Cost of Purchases		Proceeds from Sales
Conservative Balanced Portfolio	$	2,085,212,904	$	2,009,702,455
Diversified Bond Portfolio		199,073,469		137,903,650
Equity Portfolio		522,126,365		586,471,005
Flexible Managed Portfolio		3,634,022,230		3,489,797,192
Global Portfolio		147,488,325		205,541,829
Government Income Portfolio		952,455,030		926,645,390
High Yield Bond Portfolio		674,919,486		580,350,373
Jennison Portfolio		226,902,678		316,062,970
Natural Resources Portfolio		349,173,947		343,287,817
Small Capitalization Stock Portfolio		72,731,488		91,764,277
Stock Index Portfolio		120,343,633		87,695,625
Value Portfolio		187,193,754		237,596,893

Options written transactions, during the six months ended June 30, 2016, were as follows:

	Conservative Balanced Portfolio						Diversified Bond Portfolio
	Notional Amount (000)			Premiums			Notional Amount (000)			Premiums
Balance at beginning of period		736,300		$	178,078			362,120		$	818,728
Written options		276,000			279,253			867,390			1,015,393
Expired options		(856,400	)		(150,037	)		(608,295	)		(1,154,594	)
Closed options		(155,900	)		(307,294	)		(621,215	)		(679,527	)
Balance at end of period		—			—			—			—
	Flexible Managed Portfolio						Government Income Portfolio
	Notional Amount (000)			Premiums			Notional Amount (000)			Premiums
Balance at beginning of period		994,900		$	242,423			507,660		$	127,340
Written options		360,980			365,290			126,020			127,213
Expired options		(204,000	)		(196,287	)		(562,680	)		(186,220	)
Closed options		(1,151,880	)		(411,426	)		(71,000	)		(68,333	)
Balance at end of period		—			—			—			—

Natural Resources Portfolio	Notional Amount (000)			Premiums
Balance at beginning of period		—			—
Written options		45		$	3,470,708
Expired options		(15	)		(2,075,887	)
Closed options		(1	)		(203,992	)
Balance at end of period		29		$	1,190,829

Note 6: Tax Information

All Portfolios are treated as partnerships for tax purposes. The character of the cash distributions, if any, made by the partnerships is generally classified as 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 fair market value. The Portfolios generally attempt to manage their diversification in a manner that supports the diversification requirements of the underlying separate accounts.

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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, 2016, the Equity, Jennison, Natural Resources and Value Portfolios have Class II shares outstanding.

Transactions in shares of beneficial interest of the Equity, Jennison, Natural Resources and Value Portfolios were as follows:

Equity Portfolio:

Class I	Shares			Amount
Six months ended June 30, 2016:
Series shares sold		126,139		$	4,586,024
Series shares repurchased		(3,186,730	)		(118,032,709	)
Net increase (decrease) in shares outstanding		(3,060,591	)	$	(113,446,685	)
Year ended December 31, 2015:
Series shares sold		293,271		$	11,456,660
Series shares repurchased		(7,053,688	)		(276,805,403	)
Net increase (decrease) in shares outstanding		(6,760,417	)	$	(265,348,743	)
Class II
Six months ended June 30, 2016:
Series shares sold		385		$	13,000
Series shares repurchased		(2,185	)		(79,248	)
Net increase (decrease) in shares outstanding		(1,800	)	$	(66,248	)
Year ended December 31, 2015:
Series shares sold		3,613		$	143,295
Series shares repurchased		(11,130	)		(429,755	)
Net increase (decrease) in shares outstanding		(7,517	)	$	(286,460	)

Jennison Portfolio:

Class I:	Shares			Amount
Six months ended June 30, 2016:
Series shares sold		208,519		$	8,748,331
Series shares repurchased		(1,476,010	)		(62,202,137	)
Net increase (decrease) in shares outstanding		(1,267,491	)	$	(53,453,806	)
Year ended December 31, 2015:
Series shares sold		431,171		$	19,031,217
Series shares repurchased		(2,772,574	)		(121,821,605	)
Net increase (decrease) in shares outstanding		(2,341,403	)	$	(102,790,388	)

B13

Jennison Portfolio (cont’d):

Class II:	Shares			Amount
Six months ended June 30, 2016:
Series shares sold		176,863		$	7,192,116
Series shares repurchased		(309,406	)		(12,536,924	)
Net increase (decrease) in shares outstanding		(132,543	)	$	(5,344,808	)
Year ended December 31, 2015:
Series shares sold		610,426		$	26,548,772
Series shares repurchased		(342,018	)		(14,541,755	)
Net increase (decrease) in shares outstanding		268,408		$	12,007,017

Natural Resources Portfolio:

Class I:	Shares			Amount
Six months ended June 30, 2016:
Series shares sold		313,062		$	6,767,743
Series shares repurchased		(957,954	)		(20,871,343	)
Net increase (decrease) in shares outstanding		(644,892	)	$	(14,103,600	)
Year ended December 31, 2015:
Series shares sold		505,497		$	13,787,714
Series shares repurchased		(2,209,981	)		(60,093,196	)
Net increase (decrease) in shares outstanding		(1,704,484	)	$	(46,305,482	)
Class II:
Six months ended June 30, 2016:
Series shares sold		437,784		$	8,873,503
Series shares repurchased		(428,482	)		(9,242,940	)
Net increase (decrease) in shares outstanding		9,302		$	(369,437	)
Year ended December 31, 2015:
Series shares sold		1,095,547		$	28,361,875
Series shares repurchased		(1,143,281	)		(30,022,697	)
Net increase (decrease) in shares outstanding		(47,734	)	$	(1,660,822	)

Value Portfolio:

Class I:	Shares			Amount
Six months ended June 30, 2016:
Series shares sold		176,285		$	4,005,166
Series shares repurchased		(2,856,580	)		(66,916,061	)
Net increase (decrease) in shares outstanding		(2,680,295	)	$	(62,910,895	)
Year ended December 31, 2015:
Series shares sold		240,189		$	6,087,501
Series shares repurchased		(4,643,993	)		(119,918,144	)
Net increase (decrease) in shares outstanding		(4,403,804	)	$	(113,830,643	)
Class II:
Six months ended June 30, 2016:
Series shares sold		9,909		$	224,138
Series shares repurchased		(140,869	)		(3,339,681	)
Net increase (decrease) in shares outstanding		(130,960	)	$	(3,115,543	)
Year ended December 31, 2015:
Series shares sold		16,808		$	416,322
Series shares repurchased		(17,809	)		(467,404	)
Net increase (decrease) in shares outstanding		(1,001	)	$	(51,082	)

B14

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 8, 2015 through October 6, 2016. The Funds pay an annualized commitment fee of .11% of the unused portion of the SCA. Interest on any borrowings under the SCA is paid at contracted market rates. Each Portfolio’s portion of the commitment fee for the unused amount is accrued daily and paid quarterly.

The following Portfolios utilized the SCA during the six months ended June 30, 2016. The average balance outstanding is for the number of days the Portfolios had utilized the credit facility.

Portfolio	Average Balance Outstanding		Number of Days Outstanding		Weighted Average Interest Rates			Maximum Balance Outstanding		Balance Outstanding at June 30, 2016
Government Income Portfolio	$	275,000		3		1.67	%	$	275,000		—
Jennison Portfolio		639,947		19		1.68	%		1,437,000		—
Natural Resources Portfolio		105,000		1		1.68	%		105,000		—

Note 9: Ownership and Affiliates

As of June 30, 2016, 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 January 2016, the FASB issued ASU No. 2016-01 regarding “Recognition and Measurement of Financial Assets and Financial Liabilities”. The new guidance is intended to enhance the reporting model for financial instruments to provide users of financial statements with more decision-useful information and addresses certain aspects of the recognition, measurement, presentation, and disclosure of financial instruments. The new standard affects all entities that hold financial assets or owe financial liabilities. The new guidance is effective for public companies for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. At this time, management is evaluating the implications of ASU No. 2016-01 and its impact on the financial statements and disclosures has not yet been determined.

Note 11. Other

Pursuant to the investment policy changes approved by the Board at its meeting on November 17, 2015 to become effective in or around October 2016, the Money Market Portfolio will change its name to Government Money Market Portfolio and will be managed as a government money market fund. Accordingly, it will invest at least 99.5% or more of its assets in cash, government securities, and/or repurchase agreements that are fully collateralized with government securities. As a government money market fund, the Money Market Portfolio will continue to seek to maintain a stable $10.00 NAV and will not implement redemption gates and liquidity fees.

B15

Financial Highlights

(unaudited)

	Conservative Balanced Portfolio
	Six Months Ended June 30, 2016(a)			Year Ended December 31,
				2015(a)			2014(a)			2013(a)			2012			2011
Per Share Operating Performance:
Net Asset Value, beginning of period	$	22.54		$	22.45		$	20.63		$	17.77		$	16.32		$	15.96
Income (Loss) From Investment Operations:
Net investment income (loss)		.21			.39			.36			.35			.38			.36
Net realized and unrealized gain (loss) on investments		.72			(.30	)		1.46			2.51			1.43			.37
Total from investment operations		.93			.09			1.82			2.86			1.81			.73
Less Distributions		—			—			—			—			(.36	)		(.37	)
Capital Contributions(f)(Note 4)		.02			—			—			—			—			—
Net Asset Value, end of period	$	23.49		$	22.54		$	22.45		$	20.63		$	17.77		$	16.32
Total Return(b)		4.21	%		.40	%		8.82	%		16.09	%		11.23	%		4.60	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	2,474.8		$	2,554.3		$	2,574.4		$	2,504.4		$	2,287.0		$	2,191.6
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.58	%(g)		.58	%		.58	%		.58	%		.58	%		.59	%
Expenses before waivers and/or expense reimbursement		.58	%(g)		.58	%		.58	%		.58	%		.58	%		.59	%
Net investment income (loss)		1.86	%(g)		1.70	%		1.66	%		1.84	%		2.11	%		2.12	%
Portfolio turnover rate(d)		103	%(h)		208	%		134	%		196	%		188	%		215	%
	Diversified Bond Portfolio
	Six Months Ended June 30, 2016(a)			Year Ended December 31,
				2015(a)			2014(a)			2013			2012(a)			2011
Per Share Operating Performance:
Net Asset Value, beginning of period	$	11.64		$	11.66		$	11.01		$	11.88		$	11.74		$	11.67
Income (Loss) From Investment Operations:
Net investment income (loss)		.21			.41			.43			.48			.54			.56
Net realized and unrealized gain (loss) on investments		.58			(.43	)		.34			(.56	)		.66			.30
Total from investment operations		.79			(.02	)		.77			(.08	)		1.20			.86
Less Distributions		—			—			(.12	)		(.79	)		(1.06	)		(.79	)
Capital Contributions(f)(Note 4)		—	(e)		—			—			—			—			—
Net Asset Value, end of period	$	12.43		$	11.64		$	11.66		$	11.01		$	11.88		$	11.74
Total Return(b)		6.79	%		(.17	)%		7.09	%		(.71	)%		10.68	%		7.51	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	1,135.0		$	1,084.9		$	1,067.9		$	1,197.5		$	1,305.9		$	1,556.9
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.46	%(g)		.46	%		.44	%		.44	%		.44	%		.42	%
Expenses before waivers and/or expense reimbursement		.46	%(g)		.46	%		.44	%		.44	%		.44	%		.42	%
Net investment income (loss)		3.57	%(g)		3.48	%		3.73	%		4.10	%		4.57	%		4.76	%
Portfolio turnover rate		28	%(h)		81	%		50	%		111	%		144	%		167	%

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

(b) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

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

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

(e) Less than $.005 per share.

(f) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefitted Prudential. The total return for the period includes the amount of capital contribution.

(g) Annualized.

(h) Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C1

Financial Highlights

(unaudited)

	Equity Portfolio
	Class I
	Six Months Ended June 30, 2016(c)			Year Ended December 31,
				2015(c)			2014(c)			2013			2012(c)			2011
Per Share Operating Performance:
Net Asset Value, beginning of period	$	39.47		$	38.56		$	35.81		$	26.81		$	23.73		$	24.75
Income (Loss) From Investment Operations:
Net investment income (loss)		.19			.34			.19			.27			.27			.13
Net realized and unrealized gain (loss) on investments		(2.20	)		.57			2.56			8.73			2.96			(.98	)
Total from investment operations		(2.01	)		.91			2.75			9.00			3.23			(.85	)
Less Distributions:		—			—			—			—			(.15	)		(.17	)
Capital Contributions(f)(Note 4)		.03			—			—			—			—			—
Net Asset Value, end of period	$	37.49		$	39.47		$	38.56		$	35.81		$	26.81		$	23.73
Total Return(a)		(5.02	)%		2.36	%		7.68	%		33.57	%		13.69	%		(3.47	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	3,538.4		$	3,846.2		$	4,017.6		$	3,970.9		$	3,167.0		$	2,997.5
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		.47	%(d)		.47	%		.47	%		.47	%		.47	%		.48	%
Expenses before waivers and/or expense reimbursement		.47	%(d)		.47	%		.47	%		.47	%		.47	%		.48	%
Net investment income (loss)		1.03	%(d)		.86	%		.52	%		.86	%		1.04	%		.58	%
Portfolio turnover rate		15	%(e)		37	%		51	%		45	%		48	%		49	%
	Equity Portfolio
	Class II
	Six Months Ended June 30, 2016(c)			Year Ended December 31,
				2015(c)			2014(c)			2013			2012(c)			2011
Per Share Operating Performance:
Net Asset Value, beginning of period	$	39.42		$	38.66		$	36.05		$	27.10		$	23.99		$	25.00
Income (Loss) From Investment Operations:
Net investment income (loss)		.11			.18			.04			.13			.17			.06
Net realized and unrealized gain (loss) on investments		(2.19	)		.58			2.57			8.82			3.00			(1.03	)
Total from investment operations		(2.08	)		.76			2.61			8.95			3.17			(.97	)
Less Distributions:		—			—			—			—			(.06	)		(.04	)
Capital Contributions(f)(Note 4)		.03			—			—			—			—			—
Net Asset Value, end of period	$	37.37		$	39.42		$	38.66		$	36.05		$	27.10		$	23.99
Total Return(a)		(5.20	)%		1.97	%		7.24	%		33.03	%		13.23	%		(3.87	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	1.8		$	2.0		$	2.2		$	2.3		$	1.8		$	2.0
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		.87	%(d)		.87	%		.87	%		.87	%		.87	%		.88	%
Expenses before waivers and/or expense reimbursement		.87	%(d)		.87	%		.87	%		.87	%		.87	%		.88	%
Net investment income (loss)		.62	%(d)		.46	%		.11	%		.47	%		.63	%		.19	%
Portfolio turnover rate		15	%(e)		37	%		51	%		45	%		48	%		49	%

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods of less than one 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.

(f) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefitted Prudential. The total return for the period includes the amount of capital contribution.

SEE NOTES TO FINANCIAL STATEMENTS.

C2

Financial Highlights

(unaudited)

	Flexible Managed Portfolio
	Six Months Ended June 30, 2016(a)			Year Ended December 31,
				2015(a)			2014(a)			2013(a)			2012			2011
Per Share Operating Performance:
Net Asset Value, beginning of period	$	23.95		$	23.71		$	21.35		$	17.77		$	15.99		$	15.63
Income (Loss) From Investment Operations:
Net investment income (loss)		.23			.42			.37			.36			.37			.33
Net realized and unrealized gain (loss) on investments		.59			(.18	)		1.99			3.22			1.74			.34
Total from investment operations		.82			.24			2.36			3.58			2.11			.67
Less Distributions		—			—			—			—			(.33	)		(.31	)
Capital Contributions(g)(Note 4)		.02			—			—			—			—			—
Net Asset Value, end of period	$	24.79		$	23.95		$	23.71		$	21.35		$	17.77		$	15.99
Total Return(b)		3.51	%		1.01	%		11.05	%		20.15	%		13.37	%		4.34	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	3,807.6		$	3,768.8		$	3,943.8		$	3,730.6		$	3,265.8		$	3,036.8
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.63	%(e)		.63	%		.63	%		.63	%		.63	%		.63	%
Expenses before waivers and/or expense reimbursement		.63	%(e)		.63	%		.63	%		.63	%		.63	%		.63	%
Net investment income (loss)		1.92	%(e)		1.74	%		1.66	%		1.86	%		2.05	%		2.01	%
Portfolio turnover rate(d)		109	%(f)		213	%		161	%		210	%		214	%		246	%
	Global Portfolio
	Six Months Ended June 30, 2016(a)			Year Ended December 31,
				2015(a)			2014(a)			2013			2012			2011
Per Share Operating Performance:
Net Asset Value, beginning of period	$	26.33		$	25.72		$	24.91		$	19.57		$	16.94		$	18.49
Income (Loss) From Investment Operations:
Net investment income (loss)		.22			.34			.37			.31			.36			.29
Net realized and unrealized gain (loss) on investments		(.42	)		.27			.44			5.03			2.57			(1.56	)
Total from investment operations		(.20	)		.61			.81			5.34			2.93			(1.27	)
Less Distributions		—			—			—			—			(.30	)		(.28	)
Capital Contributions(g)(Note 4)		.02			—			—			—			—			—
Net Asset Value, end of period	$	26.15		$	26.33		$	25.72		$	24.91		$	19.57		$	16.94
Total Return(b)		(.68	)%		2.37	%		3.25	%		27.29	%		17.52	%		(6.97	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	934.4		$	965.3		$	719.2		$	744.5		$	611.2		$	564.2
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursements		.80	%(e)		.81	%		.81	%		.84	%		.84	%		.84	%
Expenses before waivers and/or expense reimbursements		.81	%(e)		.82	%		.82	%		.84	%		.84	%		.84	%
Net investment income (loss)		1.76	%(e)		1.28	%		1.45	%		1.29	%		1.82	%		1.54	%
Portfolio turnover rate		16	%(f)		33	%		37	%		70	%		57	%		69	%

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

(b) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

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

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

(e) Annualized.

(f) Not annualized.

(g) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefitted Prudential. The total return for the period includes the amount of capital contribution.

SEE NOTES TO FINANCIAL STATEMENTS.

C3

Financial Highlights

(unaudited)

	Government Income Portfolio
	Six Months Ended June 30, 2016(d)			Year Ended December 31,
				2015(d)			2014			2013			2012			2011
Per Share Operating Performance:
Net Asset Value, beginning of period	$	12.00		$	11.92		$	11.30		$	12.15		$	12.37		$	12.03
Income (Loss) From Investment Operations:
Net investment income (loss)		.10			.18			.21			.21			.25			.30
Net realized and unrealized gain (loss) on investments		.50			(.10	)		.45			(.49	)		.19			.60
Total from investment operations		.60			.08			.66			(.28	)		.44			.90
Less Distributions		—			—			(.04	)		(.57	)		(.66	)		(.56	)
Capital Contributions(e)(Note 4)		—	(f)		—			—			—			—			—
Net Asset Value, end of period	$	12.60		$	12.00		$	11.92		$	11.30		$	12.15		$	12.37
Total Return(a)		5.00	%		.67	%		5.86	%		(2.34	)%		3.63	%		7.63	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	239.5		$	231.8		$	339.2		$	341.1		$	382.9		$	416.7
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursements		.52	%(g)		.48	%		.47	%		.49	%		.48	%		.46	%
Expenses before waivers and/or expense reimbursement		.52	%(g)		.48	%		.47	%		.49	%		.48	%		.46	%
Net investment income (loss)		1.68	%(g)		1.48	%		1.73	%		1.78	%		1.96	%		2.48	%
Portfolio turnover rate(c)		398	%(h)		746	%		830	%		1135	%		1154	%		1554	%
	High Yield Bond Portfolio
	Six Months Ended June 30, 2016(d)			Year Ended December 31,
				2015(d)			2014			2013			2012			2011
Per Share Operating Performance:
Net Asset Value, beginning of period	$	4.68		$	5.11		$	5.29		$	5.26		$	4.93		$	5.06
Income (Loss) From Investment Operations:
Net investment income (loss)		.16			.31			.32			.34			.35			.38
Net realized and unrealized gain (loss) on investments		.22			(.42	)		(.18	)		.03			.34			(.13	)
Total from investment operations		.38			(.11	)		.14			.37			.69			.25
Less Distributions		(.16	)		(.32	)		(.32	)		(.34	)		(.36	)		(.38	)
Capital Contributions(e)(Note 4)		—	(f)		—			—			—			—			—
Net Asset Value, end of period	$	4.90		$	4.68		$	5.11		$	5.29		$	5.26		$	4.93
Total Return(a)		8.16	%		(2.45	)%		2.71	%		7.26	%		14.43	%		5.10	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	3,363.2		$	3,159.5		$	3,245.9		$	3,020.5		$	2,841.8		$	2,158.4
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		.57	%(g)		.57	%		.57	%		.57	%		.57	%		.58	%
Expenses before waivers and/or expense reimbursement		.57	%(g)		.57	%		.57	%		.57	%		.57	%		.58	%
Net investment income (loss)		6.78	%(g)		6.21	%		5.95	%		6.34	%		6.95	%		7.53	%
Portfolio turnover rate		19	%(h)		46	%		48	%		54	%		53	%		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, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

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

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

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

(e) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefitted Prudential. The total return for the period includes the amount of capital contribution.

(f) Less than $0.005 per share.

(g) Annualized.

(h) Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C4

Financial Highlights

(unaudited)

	Jennison Portfolio
	Class I
	Six Months Ended June 30, 2016(a)			Year Ended December 31,
				2015(a)			2014			2013(a)			2012(a)			2011
Per Share Operating Performance:
Net Asset Value, beginning of period	$	45.54		$	40.85		$	37.15		$	26.98		$	23.26		$	23.26
Income (Loss) From Investment Operations:
Net investment income (loss)		.06			.06			.06			.06			.11			.03
Net realized and unrealized gain (loss) on investments		(3.09	)		4.63			3.64			10.11			3.65			.04
Total from investment operations		(3.03	)		4.69			3.70			10.17			3.76			.07
Less Distributions		—			—			—			—			(.04	)		(.07	)
Capital Contributions(g)(Note 4)		.04			—			—			—			—			—
Net Asset Value, end of period	$	42.55		$	45.54		$	40.85		$	37.15		$	26.98		$	23.26
Total Return(b)		(6.57	)%		11.48	%		9.96	%		37.69	%		16.18	%		.30	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	1,492.1		$	1,654.7		$	1,580.0		$	1,551.9		$	1,213.3		$	1,126.3
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 (loss)		.29	%(e)		.14	%		.15	%		.18	%		.42	%		.16	%
Portfolio turnover rate		14	%(f)		31	%		34	%		40	%		45	%		51	%
	Jennison Portfolio
	Class II
	Six Months Ended June 30, 2016(a)			Year Ended December 31,
				2015(a)			2014			2013(a)			2012(a)			2011
Per Share Operating Performance:
Net Asset Value, beginning of period	$	44.19		$	39.80		$	36.33		$	26.49		$	22.89		$	22.91
Income (Loss) From Investment Operations:
Net investment income (loss)		(.02	)		(.11	)		(.10	)		(.07	)		—	(d)		(.07	)
Net realized and unrealized gain (loss) on investments		(3.00	)		4.50			3.57			9.91			3.60			.05
Total from investment operations		(3.02	)		4.39			3.47			9.84			3.60			(.02	)
Capital Contributions(g)(Note 4)		.04			—			—			—			—			—
Net Asset Value, end of period	$	41.21		$	44.19		$	39.80		$	36.33		$	26.49		$	22.89
Total Return(b)		(6.74	)%		11.03	%		9.55	%		37.15	%		15.73	%		(.09	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	50.9		$	60.4		$	43.7		$	40.3		$	33.6		$	31.9
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		1.03	%(e)		1.03	%		1.03	%		1.03	%		1.03	%		1.04	%
Expenses before waivers and/or expense reimbursement		1.03	%(e)		1.03	%		1.03	%		1.03	%		1.03	%		1.04	%
Net investment income (loss)		(.11	)%(e)		(.26	)%		(.25	)%		(.22	)%		.02	%		(.24	)%
Portfolio turnover rate		14	%(f)		31	%		34	%		40	%		45	%		51	%

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

(b) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

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

(d) Less than $0.005 per share.

(e) Annualized.

(f) Not annualized.

(g) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefitted Prudential. The total return for the period includes the amount of capital contribution.

SEE NOTES TO FINANCIAL STATEMENTS.

C5

Financial Highlights

(unaudited)

	Money Market Portfolio
	Six Months Ended June 30, 2016(d)			Year Ended December 31,
				2015(d)			2014			2013			2012			2011
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)
Net Asset Value, end of period	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00		$	10.00
Total Return(b)		.05	%		—	%(c)		—	%(c)		—	%(c)		.01	%		.02	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	754.9		$	650.8		$	823.6		$	866.0		$	903.5		$	1,016.0
Ratios to average net assets:
Expenses after waivers and/or expense reimbursement		.37	%(e)		.19	%		.16	%		.17	%		.21	%		.18	%
Expenses before waivers and/or expense reimbursement		.37	%(e)		.44	%		.44	%		.44	%		.44	%		.42	%
Net investment income (loss)		.09	%(e)		.00	%		.00	%(c)		.00	%(c)		.01	%		.02	%

(a) Less than $.005 per share.

(b) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

(c) Less than .005%.

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

(e) Annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C6

Financial Highlights

(unaudited)

	Natural Resources Portfolio
	Class I
	Six Months Ended June 30, 2016(a)			Year Ended December 31,
				2015(a)			2014(a)			2013(a)			2012			2011(a)
Per Share Operating Performance:
Net Asset Value, beginning of period	$	21.45		$	29.87		$	37.29		$	33.83		$	38.25		$	47.33
Income (Loss) From Investment Operations:
Net investment income (loss)		.17			.29			.23			.20			.25			.16
Net realized and unrealized gain (loss) on investments		2.62			(8.71	)		(7.65	)		3.26			(1.49	)		(9.16	)
Total from investment operations		2.79			(8.42	)		(7.42	)		3.46			(1.24	)		(9.00	)
Less Distributions		—			—			—			—			(3.18	)		(.08	)
Capital Contributions(d)(Note 4)		.03			—			—			—			—			—
Net Asset Value, end of period	$	24.27		$	21.45		$	29.87		$	37.29		$	33.83		$	38.25
Total Return(b)		13.15	%		(28.19	)%		(19.90	)%		10.23	%		(2.47	)%		(19.03	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	421.4		$	386.3		$	589.0		$	792.1		$	802.2		$	926.6
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.53	%(e)		.48	%		.45	%		.48	%		.50	%		.50	%
Expenses before waivers and/or expense reimbursement		.54	%(e)		.51	%		.50	%		.51	%		.50	%		.50	%
Net investment income (loss)		1.59	%(e)		1.06	%		.59	%		.55	%		.71	%		.36	%
Portfolio turnover rate		82	%(f)		29	%		24	%		22	%		26	%		34	%
	Natural Resources Portfolio
	Class II
	Six Months Ended June 30, 2016(a)			Year Ended December 31,
				2015(a)			2014(a)			2013(a)			2012			2011(a)
Per Share Operating Performance:
Net Asset Value, beginning of period	$	20.99		$	29.35		$	36.78		$	33.50		$	37.89		$	46.98
Income (Loss) From Investment Operations:
Net investment income (loss)		.13			.18			.07			.05			.12			(.02	)
Net realized and unrealized gain (loss) on investments		2.54			(8.54	)		(7.50	)		3.23			(1.51	)		(9.07	)
Total from investment operations		2.67			(8.36	)		(7.43	)		3.28			(1.39	)		(9.09	)
Less Distributions		—			—			—			—			(3.00	)		—
Capital Contributions(d)(Note 4)		.03			—			—			—			—			—
Net Asset Value, end of period	$	23.69		$	20.99		$	29.35		$	36.78		$	33.50		$	37.89
Total Return(b)		12.86	%		(28.48	)%		(20.20	)%		9.79	%		(2.94	)%		(19.35	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	34.2		$	30.1		$	43.5		$	54.1		$	61.2		$	67.9
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.93	%(e)		.88	%		.85	%		.88	%		.90	%		.90	%
Expenses before waivers and/or expense reimbursement		.94	%(e)		.91	%		.90	%		.91	%		.90	%		.90	%
Net investment income (loss)		1.19	%(e)		.66	%		.19	%		.15	%		.31	%		(.04	)%
Portfolio turnover rate		82	%(f)		29	%		24	%		22	%		26	%		34	%

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

(b) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

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

(d) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefitted Prudential. The total return for the period includes the amount of capital contribution.

(e) Annualized.

(f) Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C7

Financial Highlights

(unaudited)

	Small Capitalization Stock Portfolio
	Six Months Ended June 30, 2016(d)			Year Ended December 31,
				2015(d)			2014(d)			2013			2012			2011
Per Share Operating Performance:
Net Asset Value, beginning of period	$	26.94		$	27.57		$	26.16		$	18.56		$	17.00		$	17.27
Income (Loss) From Investment Operations:
Net investment income (loss)		.18			.30			.25			.22			.26			.10
Net realized and unrealized gain (loss) on investments		1.45			(.93	)		1.16			7.38			2.35			—	(c)
Total from investment operations		1.63			(.63	)		1.41			7.60			2.61			.10
Less Distributions		—			—			—			—			(1.05	)		(.37	)
Capital Contributions(e)(Note 4)		.07			—			—			—			—			—
Net Asset Value, end of period	$	28.64		$	26.94		$	27.57		$	26.16		$	18.56		$	17.00
Total Return(a)		6.31	%		(2.29	)%		5.39	%		40.95	%		16.03	%		.56	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	698.5		$	682.4		$	750.9		$	770.1		$	578.4		$	542.6
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		.40	%(f)		.40	%		.40	%		.42	%		.46	%		.48	%
Expenses before waivers and/or expense reimbursement		.45	%(f)		.45	%		.45	%		.45	%		.46	%		.48	%
Net investment income (loss)		1.34	%(f)		1.06	%		.96	%		.92	%		1.43	%		.60	%
Portfolio turnover rate		11	%(g)		16	%		15	%		14	%		10	%		17	%
	Stock Index Portfolio
	Six Months Ended June 30, 2016(d)			Year Ended December 31,
				2015(d)			2014(d)			2013(d)			2012			2011
Per Share Operating Performance:
Net Asset Value, beginning of period	$	48.59		$	49.33		$	47.02		$	35.65		$	31.47		$	31.37
Income (Loss) From Investment Operations:
Net investment income (loss)		.45			.86			.79			.73			.68			.54
Net realized and unrealized gain (loss) on investments		1.37			(.26	)		5.20			10.64			4.19			.07
Total from investment operations		1.82			.60			5.99			11.37			4.87			.61
Less Distributions		(3.37	)		(1.34	)		(3.68	)		—			(.69	)		(.51	)
Capital Contributions(e)(Note 4)		.07			—			—			—			—			—
Net Asset Value, end of period	$	47.11		$	48.59		$	49.33		$	47.02		$	35.65		$	31.47
Total Return(a)		3.91	%		1.18	%		13.31	%		31.89	%		15.68	%		1.95	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	3,143.3		$	3,010.1		$	3,312.7		$	2,890.5		$	2,340.3		$	2,162.4
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		.32	%(f)		.32	%		.32	%		.32	%		.32	%		.33	%
Expenses before waivers and/or expense reimbursement		.37	%(f)		.37	%		.37	%		.37	%		.37	%		.38	%
Net investment income (loss)		1.91	%(f)		1.74	%		1.67	%		1.77	%		1.97	%		1.74	%
Portfolio turnover rate		3	%(g)		9	%		5	%		3	%		2	%		2	%

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

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

(c) Less than $0.005 per share.

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

(e) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefitted Prudential. The total return for the period includes the amount of capital contribution.

(f) Annualized.

(g) Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C8

Financial Highlights

(unaudited)

	Value Portfolio
	Class I
	Six Months Ended June 30, 2016(a)			Year Ended December 31,
				2015(a)			2014(a)			2013			2012			2011
Per Share Operating Performance:
Net Asset Value, beginning of period	$	24.31		$	26.48		$	24.05		$	18.07		$	15.93		$	17.04
Income (Loss) From Investment Operations:
Net investment income (loss)		.24			.39			.29			.22			.22			.14
Net realized and unrealized gain (loss) on investments		(.64	)		(2.56	)		2.14			5.76			2.09			(1.08	)
Total from investment operations		(.40	)		(2.17	)		2.43			5.98			2.31			(.94	)
Less Distributions		—			—			—			—			(.17	)		(.17	)
Capital Contributions(f)(Note 4)		.03			—			—			—			—			—
Net Asset Value, end of period	$	23.94		$	24.31		$	26.48		$	24.05		$	18.07		$	15.93
Total Return(b)		(1.52	)%		(8.19	)%		10.10	%		33.09	%		14.62	%		(5.58	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	1,270.4		$	1,355.1		$	1,592.6		$	1,568.7		$	1,263.3		$	1,231.6
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.43	%(d)		.43	%		.40	%		.40	%		.43	%		.43	%
Expenses before waivers and/or expense reimbursement		.43	%(d)		.43	%		.42	%		.43	%		.43	%		.43	%
Net investment income (loss)		2.05	%(d)		1.52	%		1.13	%		1.06	%		1.36	%		.90	%
Portfolio turnover rate		15	%(e)		32	%		37	%		41	%		28	%		43	%
	Value Portfolio
	Class II
	Six Months Ended June 30, 2016(a)			Year Ended December 31,
				2015(a)			2014(a)			2013			2012			2011
Per Share Operating Performance:
Net Asset Value, beginning of period	$	24.19		$	26.45		$	24.12		$	18.20		$	16.04		$	17.13
Income (Loss) From Investment Operations:
Net investment income (loss)		.19			.29			.18			.16			.17			.08
Net realized and unrealized gain (loss) on investments		(.63	)		(2.55	)		2.15			5.76			2.08			(1.08	)
Total from investment operations		(.44	)		(2.26	)		2.33			5.92			2.25			(1.00	)
Less Distributions		—			—			—			—			(.09	)		(.09	)
Capital Contributions(f)(Note 4)		.03			—			—			—			—			—
Net Asset Value, end of period	$	23.78		$	24.19		$	26.45		$	24.12		$	18.20		$	16.04
Total Return(b)		(1.69	)%		(8.54	)%		9.66	%		32.53	%		14.14	%		(5.89	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	6.4		$	9.7		$	10.6		$	7.4		$	6.2		$	6.0
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.83	%(d)		.83	%		.80	%		.80	%		.83	%		.83	%
Expenses before waivers and/or expense reimbursement		.83	%(d)		.83	%		.82	%		.83	%		.83	%		.83	%
Net investment income (loss)		1.65	%(d)		1.12	%		.73	%		.66	%		.95	%		.50	%
Portfolio turnover rate		15	%(e)		32	%		37	%		41	%		28	%		43	%

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

(b) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

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

(d) Annualized.

(e) Not annualized.

(f) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefitted Prudential. The total return for the period includes the amount of capital contribution.

SEE NOTES TO FINANCIAL STATEMENTS.

C9

Approval of Advisory Agreements

The Trust’s Board of Trustees

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

Annual Approval of the Trust’s Advisory Agreements

As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with 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 13-15, 2016 (the Meeting) and approved the renewal of the agreements through July 31, 2017, after concluding that the renewal of the agreements was in the best interests of the Trust, each Portfolio and each Portfolio’s beneficial shareholders.

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

In approving the agreements, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided, the performance of each Portfolio, the profitability of 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 interests of the Trust, each Portfolio and each Portfolio’s shareholders in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment. The Board considered the approval of the agreements for each Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on a Portfolio-by-Portfolio basis.

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

Nature, quality and extent of services

The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by 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 the Prudential Fixed Income (PFI) unit of PGIM, Inc., PGIM, Limited, Jennison Associates LLC (Jennison) and Quantitative Management Associates LLC (QMA), each of which serve as subadvisers to various Portfolios of the Trust, are affiliated with 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 PFI, 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 it had accepted PI’s recommendation to discontinue the existing voluntary waiver of 0.05% of the management fee at each breakpoint level, and to replace it with an amendment to the Portfolio’s contractual management fee schedule, which would have the effect of reducing the management fee at each breakpoint level by 0.05%.

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 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, 2015, except as otherwise

noted below. The Board compared the historical performance of each Portfolio to the comparable performance of the Portfolio’s benchmark index and to a universe of mutual funds (the Peer Universe) that were determined by Broadridge, Inc. (Broadridge), an independent provider of mutual fund data, to be similar to the Portfolio.

The Board also considered each Portfolio’s actual management fee, as well as each Portfolio’s net total expense ratio, for the calendar year 2015. 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 mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.

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

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

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

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

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

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

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

• The Board noted that the Portfolio’s recent performance had improved, with the Portfolio outperforming its benchmark index and ranking in the 1^st quartile of its Peer Universe during the first quarter of 2016.

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

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

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

• The Board considered that the Portfolio’s performance had improved over the one-year period.

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

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

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

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

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

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

• The Board noted that PI had contractually agreed to waive 0.011% of its management fee through June 30, 2017.

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

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

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

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

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

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

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

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

• The Board concluded that, in light of the 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.

Money Market Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
	3rd Quartile	3rd Quartile	3rd Quartile	2nd Quartile
Actual Management Fees: 3rd Quartile
Net Total Expenses: 3rd Quartile

• The Board noted that PI had 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 further noted that PI agreed to continue PI’s voluntary yield waiver support.

• 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.

Natural Resources Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
	3rd Quartile	3rd Quartile	4th Quartile	3rd Quartile
Actual Management Fee: 1st Quartile
Net Total Expenses: 1st Quartile

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

• The Board noted that in February 2016 the Portfolio appointed a new subadviser to replace the Portfolio’s prior subadviser, and that as a result, the Portfolio’s historical performance was not attributable to the Portfolio’s current subadviser.

• The Board noted that PI had contractually agreed to waive 0.008% of its management fee through June 30, 2017.

• The Board concluded that, in light of the above, it would be prudent to allow the new subadviser time to develop a performance record, and that it would be in the best interests of the Portfolio and its shareholders to renew the management agreement, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Small Capitalization Stock Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
	1st Quartile	1st Quartile	1st Quartile	1st Quartile
Actual Management Fees: 2nd Quartile
Net Total Expenses: 2nd 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.

• The Board accepted PI’s recommendation to incorporate the existing 0.05% contractual management fee waiver into an amendment to the Portfolio’s contractual management fee schedule, which would have the effect of reducing the management fee by 0.05% at each breakpoint.

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

Stock Index Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
	1st Quartile	1st Quartile	1st Quartile	1st Quartile
Actual Management Fees: 4th Quartile
Net Total Expenses: 3rd 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.

• The Board accepted PI’s recommendation to incorporate the existing 0.05% contractual management fee waiver into an amendment to the Portfolio’s contractual management fee schedule, which would have the effect of reducing the management fee by 0.05% at each breakpoint.

• 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.

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

• The Board noted that, while the Portfolio underperformed its benchmark index over all periods, the portfolio manager team responsible for the Portfolio’s long term performance record had been replaced during 2014.

• The Board noted that, because the Portfolio’s repositioning by the new portfolio manager was not completed until the end of 2014, 2015 marked the first full calendar year attributable to the current portfolio manager.

• The Board considered information provided by PI, which indicated that the current portfolio manager had a successful long term performance record, demonstrating an ability to rebound from temporary underperformance.

• The Board noted that the current portfolio manager did not yet have a three-year performance record in managing the Portfolio and that, therefore, it would be prudent to allow the Portfolio’s current portfolio manager to further develop its performance record.

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

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

**********

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 calendar 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 may offer 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) and to separate accounts of insurance companies not affiliated with Prudential where Prudential has assumed responsibility for the administration of contracts issued through such non-affiliated insurance companies, 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.

^©2016 Prudential Financial, Inc. and its related entities. Prudential Investments, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

0229045-00006-00 PSF-SAR-A

The Prudential Series Fund

SEMIANNUAL REPORT June 30, 2016

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, 2016, 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.

SP International Growth Portfolio

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The Prudential Series Fund   Table of Contents Semiannual Report June 30, 2016

n LETTER TO CONTRACT OWNERS

n PRESENTATION OF PORTFOLIO HOLDINGS

n FEES AND EXPENSES

n FINANCIAL REPORTS

Section A	Schedule of Investments and Financial Statements
Section B	Notes to Financial Statements
Section C	Financial Highlights

n APPROVAL OF ADVISORY AGREEMENTS

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, 2016

n DEAR CONTRACT OWNER

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

Prudential has been building on a heritage of success for more than 135 years. 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,

Timothy S. Cronin

President,

The Prudential Series Fund July 29, 2016

Prudential Series Fund   Presentation of Portfolio Holdings — unaudited June 30, 2016

SP International Growth
Five Largest Holdings	(% of Net Assets	)
Tencent Holdings Ltd. (China)	3.5%
Industria de Diseno Textil SA (Spain)	2.6%
Dassault Systemes SA (France)	1.9%
Alibaba Group Holding Ltd. ADR (China)	1.9%
Valeo SA (France)	1.7%

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, 2016

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, 2016 through June 30, 2016.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

The Prudential Series Fund Portfolios		Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		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	$	965.80		1.04	%	$	5.08
	Hypothetical	$	1,000.00	$	1,019.69		1.04	%	$	5.22
SP International Growth (Class II)	Actual	$	1,000.00	$	961.70		1.44	%	$	7.02
	Hypothetical	$	1,000.00	$	1,017.70		1.44	%	$	7.22

* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 182 days in the six-month period ended June 30, 2016, and divided by the 366 days in the Portfolio’s fiscal year ending December 31, 2016 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.

	SP INTERNATIONAL GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS		June 30, 2016 (unaudited)

LONG-TERM INVESTMENTS — 96.4%
COMMON STOCKS — 94.7%	Shares		Value (Note 2)
Argentina — 0.7%
MercadoLibre, Inc.		3,662	$	515,133
Australia — 1.7%
Atlassian Corp. PLC (Class A Stock)*		16,419		425,252
Brambles Ltd.		11,850		110,636
Insurance Australia Group Ltd.		80,945		333,435
Macquarie Group Ltd.		6,144		319,823
				1,189,146
Austria — 0.4%
Andritz AG		5,360		254,157
Belgium — 0.1%
Colruyt SA		1,905		105,419
Canada — 2.6%
Alimentation Couche-Tard, Inc. (Class B Stock)		15,121		649,339
Brookfield Asset Management, Inc. (Class A Stock)		15,030		497,042
Home Capital Group, Inc.(a)		8,000		198,274
Peyto Exploration & Development Corp.		4,300		115,425
Suncor Energy, Inc.		13,700		380,052
				1,840,132
China — 8.0%
Alibaba Group Holding Ltd., ADR*(a)		16,639		1,323,300
Baidu, Inc., ADR*		3,944		651,351
China Overseas Land & Investment Ltd.		124,000		395,294
Ctrip.com International Ltd., ADR*		9,964		410,517
NetEase, Inc., ADR		2,117		409,047
Tencent Holdings Ltd.		109,663		2,515,633
				5,705,142
Denmark — 1.8%
Jyske Bank A/S		2,907		110,356
Novo Nordisk A/S (Class B Stock)		21,114		1,137,050
Vestas Wind Systems A/S		775		52,676
				1,300,082
Finland — 0.8%
Kone OYJ (Class B Stock)		6,079		280,549
Sampo OYJ (Class A Stock)		7,897		322,960
				603,509
France — 10.1%
Air Liquide SA		2,000		208,364
Arkema SA		3,138		239,910
BNP Paribas SA		5,345		234,409
Capgemini SA		5,888		508,094
Dassault Systemes SA		17,893		1,349,066
Elior Participations SCA, 144A		7,890		171,207
Euler Hermes Group		800		66,438
JCDecaux SA		14,036		473,252
Pernod Ricard SA		2,610		288,971
Publicis Groupe SA		3,110		208,067
Safran SA		4,345		292,601
Sanofi		2,405		199,815
Schneider Electric SE		3,970		231,614

COMMON STOCKS (continued)	Shares		Value (Note 2)
France (continued)
Sodexo SA		2,210	$	236,757
SPIE SA		11,930		212,066
TOTAL SA		14,378		689,515
Valeo SA		27,596		1,225,104
Vinci SA		5,203		367,161
				7,202,411
Germany — 5.5%
Adidas AG		8,336		1,196,632
Bayer AG		2,060		206,897
Brenntag AG		4,180		202,488
Continental AG		2,527		478,178
Deutsche Boerse AG		2,795		229,624
Fresenius SE & Co. KGaA		10,347		760,275
GEA Group AG		3,540		167,093
KUKA AG		1,433		169,971
Rational AG		296		136,986
SAP SE, ADR		5,560		417,111
				3,965,255
Hong Kong — 1.3%
AIA Group Ltd.		76,400		459,449
Techtronic Industries Co. Ltd.		110,552		461,665
				921,114
India — 2.0%
HDFC Bank Ltd., ADR		16,247		1,077,989
Tata Motors Ltd., ADR*		9,402		325,967
				1,403,956
Indonesia — 1.1%
PT Astra International Tbk		1,006,010		567,150
PT Tower Bersama Infrastructure Tbk		177,176		88,816
PT Tower Bersama Infrastructure Tbk, 144A(g)		256,930		128,795
				784,761
Ireland — 1.8%
AerCap Holdings NV*		5,300		178,027
Experian PLC		22,602		428,809
Paddy Power Betfair PLC		2,529		265,790
Ryanair Holdings PLC, ADR		5,638		392,066
				1,264,692
Israel — 1.9%
Bezeq The Israeli Telecommunication Corp. Ltd.		153,174		303,427
Check Point Software Technologies Ltd.*		6,600		525,888
Teva Pharmaceutical Industries Ltd., ADR		9,989		501,747
				1,331,062
Italy — 1.7%
Anima Holding SpA		33,010		155,627
Anima Holding SpA, 144A(g)		5,753		27,123
Azimut Holding SpA		12,385		202,073
Brembo SpA		9,755		537,363
Luxottica Group SpA		6,489		316,260
				1,238,446

SEE NOTES TO FINANCIAL STATEMENTS.

A1

	SP INTERNATIONAL GROWTH PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Japan — 13.9%
Daikin Industries Ltd.		7,900	$	663,954
Fuji Heavy Industries Ltd.		8,100		278,424
Kansai Paint Co. Ltd.		17,600		355,338
Kao Corp.		7,100		413,519
Keyence Corp.		1,300		887,027
Makita Corp.		4,800		318,706
Miraca Holdings, Inc.		5,100		221,177
Murata Manufacturing Co. Ltd.		2,200		246,652
Nabtesco Corp.		5,300		126,459
Nippon Prologis REIT, Inc., REIT		114		278,499
Nitori Holdings Co. Ltd.		2,800		339,595
Ono Pharmaceutical Co. Ltd.		24,056		1,047,905
ORIX Corp.		26,900		348,099
Pigeon Corp.		17,546		524,528
Santen Pharmaceutical Co. Ltd.		20,400		320,631
Shimano, Inc.		1,800		275,216
Shionogi & Co. Ltd.		20,253		1,107,152
SMC Corp.		2,250		553,559
Sundrug Co. Ltd.		4,700		441,307
Sysmex Corp.		12,207		840,555
Toyota Motor Corp.		7,200		354,950
				9,943,252
Jordan — 0.6%
Hikma Pharmaceuticals PLC		13,879		457,052
Mexico — 1.1%
Alsea SAB de CV		86,771		330,329
Alsea SAB de CV, 144A(g)		20,763		79,043
Wal-Mart de Mexico SAB de CV		154,500		371,661
				781,033
Netherlands — 3.5%
Akzo Nobel NV		4,703		292,155
ASML Holding NV		9,531		938,219
Koninklijke Ahold NV		11,665		257,594
NXP Semiconductors NV*		8,335		652,964
Royal Dutch Shell PLC (Class A Stock)		12,078		331,306
				2,472,238
Singapore — 1.2%
Broadcom Ltd.		5,369		834,343
South Africa — 0.5%
Bid Corp. Ltd.*		10,091		189,103
Bidvest Group Ltd. (The)		10,091		95,199
Discovery Ltd.		12,941		108,105
				392,407
South Korea — 1.6%
Amorepacific Corp.		2,124		800,725
Samsung Electronics Co. Ltd.		270		336,245
				1,136,970
Spain — 4.3%
Amadeus IT Holding SA (Class A Stock)		24,339		1,072,351
Banco Bilbao Vizcaya Argentaria SA		25,974		148,817
Industria de Diseno Textil SA		55,227		1,855,302
				3,076,470

COMMON STOCKS (continued)	Shares		Value (Note 2)
Sweden — 2.6%
Assa Abloy AB (Class B Stock)		36,308	$	746,959
Atlas Copco AB (Class A Stock)		10,404		270,214
Hexagon AB (Class B Stock)		18,344		671,316
Nordea Bank AB		23,645		200,596
				1,889,085
Switzerland — 7.8%
Actelion Ltd.*		3,298		555,375
Cie Financiere Richemont SA		2,590		151,605
Geberit AG		609		230,666
Givaudan SA		435		875,883
Julius Baer Group Ltd.*		5,425		218,347
Novartis AG		4,755		392,471
Partners Group Holding AG		1,744		747,418
Roche Holding AG		1,975		521,163
SGS SA		336		769,693
Sonova Holding AG		1,790		237,578
TE Connectivity Ltd.		4,360		249,000
UBS Group AG		17,980		233,301
Wolseley PLC		7,381		382,217
				5,564,717
Taiwan — 0.8%
Taiwan Semiconductor Manufacturing Co. Ltd.		116,000		584,605
United Kingdom — 11.0%
ARM Holdings PLC		9,540		144,911
ASOS PLC*		10,228		546,374
Barclays PLC		110,877		206,220
Bunzl PLC		12,932		397,901
Compass Group PLC		44,869		853,655
DCC PLC		3,135		275,880
Howden Joinery Group PLC		40,740		209,244
IG Group Holdings PLC		22,184		240,216
Johnson Matthey PLC		8,618		323,239
Lloyds Banking Group PLC		447,338		324,004
Micro Focus International PLC		9,568		206,422
Prudential PLC		16,495		279,903
Reckitt Benckiser Group PLC		4,229		424,051
RELX PLC		46,528		856,791
SABMiller PLC		4,100		239,109
Spectris PLC		8,779		213,697
St. James’s Place PLC		72,731		767,009
TalkTalk Telecom Group PLC		80,675		235,419
Travis Perkins PLC		12,198		240,667
Worldpay Group PLC 144A*		145,013		527,806
WPP PLC		17,602		366,852
				7,879,370
United States — 4.3%
Allergan PLC*		3,159		730,013
AON PLC		3,960		432,551
lululemon athletica, Inc.*		6,626		489,396
Nielsen Holdings PLC		6,620		344,042
Samsonite International SA		75,500		208,746
Shire PLC		13,739		848,845
				3,053,593
TOTAL COMMON STOCKS (cost $60,303,250)				67,689,552

SEE NOTES TO FINANCIAL STATEMENTS.

A2

	SP INTERNATIONAL GROWTH PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2016 (unaudited)

PARTICIPATORY NOTES† — 1.2%			Value (Note 2)
	Units
India
Bharti Infratel Ltd., Private Placement, expiring 06/18/20, 144A(g)		75,344	$	385,119
Maruti Suzuki India Ltd., Private Placement, expiring 07/29/16, 144A(g)		7,396		458,759
TOTAL PARTICIPATORY NOTES (cost $1,064,943)				843,878
	Shares
PREFERRED STOCK — 0.5%
Germany
Henkel AG & Co. KGaA (PRFC) (cost $291,133)		2,960		361,745
TOTAL LONG-TERM INVESTMENTS (cost $61,659,326)				68,895,175
SHORT-TERM INVESTMENTS — 4.5%
AFFILIATED MUTUAL FUND — 3.8%
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund (cost $2,748,770; includes $1,116,241 of cash collateral for securities on loan)(b)(w)(Note 4)		2,748,770		2,748,770
UNAFFILIATED FUND — 0.7%
Goldman Sachs Financial Square Fund — Money Market Fund (cost $490,462)		490,462		490,462
TOTAL SHORT-TERM INVESTMENTS (cost $3,239,232)				3,239,232
TOTAL INVESTMENTS — 100.9% (cost $64,898,558)				72,134,407
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.9)%				(644,559	)
NET ASSETS — 100.0%			$	71,489,848

The following abbreviations are used in the semiannual report:

144A	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
ADR	American Depositary Receipt
L1	Level 1
L2	Level 2
OTC	Over-the-counter
PRFC	Preference Shares
REIT	Real Estate Investment Trust

* Non-income producing security.

† Participatory notes represented 1.2% of net assets, of which the Portfolio attributed 0.7% to Goldman Sachs & Co. and 0.5% to Credit Suisse First Boston Corp. as counterparties to the securities.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $1,103,026; cash collateral of $1,116,241 (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 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 Ultra Short Bond 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, 2016 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Argentina	$	515,133	$	—	$	—
Australia		425,252		763,894		—
Austria		—		254,157		—
Belgium		—		105,419		—
Canada		1,840,132		—		—
China		2,794,215		2,910,927		—
Denmark		—		1,300,082		—
Finland		—		603,509		—
France		—		7,202,411		—
Germany		417,111		3,548,144		—
Hong Kong		—		921,114		—
India		1,403,956		—		—
Indonesia		—		784,761		—
Ireland		570,093		694,599		—
Israel		1,027,635		303,427		—
Italy		—		1,238,446		—
Japan		—		9,943,252		—
Jordan		—		457,052		—
Mexico		701,990		79,043		—
Netherlands		652,964		1,819,274		—
Singapore		834,343		—		—
South Africa		189,103		203,304		—
South Korea		—		1,136,970		—
Spain		—		3,076,470		—
Sweden		—		1,889,085		—
Switzerland		249,000		5,315,717		—
Taiwan		—		584,605		—
United Kingdom		235,419		7,643,951		—
United States		3,053,593		—		—
Preferred Stock
Germany		—		361,745		—
Participatory Notes
India		—		843,878		—
Affiliated Mutual Fund		2,748,770		—		—
Unaffiliated Fund		490,462		—		—
Total	$	18,149,171	$	53,985,236	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A3

	SP INTERNATIONAL GROWTH PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2016 (unaudited)

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
Common Stocks	$131,966	L1 to L2	Official Close to Model Price
Common Stocks	$929,979	L2 to L1	Model Price to Official Close

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2016 were as follows:

Pharmaceuticals	9.3	%
Internet Software & Services	7.5
Semiconductors & Semiconductor Equipment	4.4
Software	4.2
Insurance	3.8
Affiliated Mutual Fund (including 1.6% of collateral for securities on loan)	3.8
Textiles, Apparel & Luxury Goods	3.3
Banks	3.2
Machinery	3.2
Auto Components	3.2
Chemicals	3.1
Electronic Equipment, Instruments & Components	3.1
Specialty Retail	3.1
IT Services	2.9
Automobiles	2.9
Food & Staples Retailing	2.8
Media	2.7
Capital Markets	2.6
Hotels, Restaurants & Leisure	2.5
Trading Companies & Distributors	2.3
Building Products	2.2
Professional Services	2.2
Oil, Gas & Consumable Fuels	2.2
Biotechnology	2.0
Household Products	1.8

Personal Products	1.7	%
Health Care Equipment & Supplies	1.5
Internet & Catalog Retail	1.4
Health Care Providers & Services	1.3
Real Estate Management & Development	1.3
Diversified Financial Services	1.1
Wireless Telecommunication Services	0.8
Construction & Engineering	0.8
Diversified Telecommunication Services	0.7
Beverages	0.7
Unaffiliated Fund	0.7
Household Durables	0.7
Airlines	0.5
Industrial Conglomerates	0.5
Technology Hardware, Storage & Peripherals	0.5
Commercial Services & Supplies	0.5
Aerospace & Defense	0.4
Real Estate Investment Trusts (REITs)	0.4
Leisure Products	0.4
Electrical Equipment	0.3
Thrifts & Mortgage Finance	0.3
Heavy Electrical Equipment	0.1
	100.9
Liabilities in excess of other assets	(0.9	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A4

SP INTERNATIONAL GROWTH PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

as of June 30, 2016 (unaudited)

ASSETS
Investments at value, including securities on loan of $1,103,026:
Unaffiliated investments (cost $62,149,788)	$	69,385,637
Affiliated investments (cost $2,748,770)		2,748,770
Cash		1,474
Foreign currency, at value (cost $32,131)		32,046
Receivable for investments sold		1,260,281
Tax reclaim receivable		440,685
Dividends receivable		74,591
Receivable for Series shares sold		29,542
Receivable from affiliate		1,097
Prepaid expenses		120
Total assets		73,974,243
LIABILITIES
Payable for investments purchased		1,128,680
Payable to broker for collateral for securities on loan		1,116,241
Accrued expenses		128,429
Payable for Series shares repurchased		75,297
Management fee payable		32,681
Distribution fee payable		1,073
Administration fee payable		1,014
Affiliated transfer agent fee payable		980
Total liabilities		2,484,395
NET ASSETS	$	71,489,848
Net assets were comprised of:
Paid-in capital	$	94,635,209
Retained earnings		(23,145,361	)
Net assets, June 30, 2016	$	71,489,848
Class I:
Net asset value and redemption price per share $66,367,769 / 11,194,732 outstanding shares of beneficial interest	$	5.93
Class II:
Net asset value and redemption price per share $5,122,079 / 885,788 outstanding shares of beneficial interest	$	5.78

STATEMENT OF OPERATIONS

Six Months Ended June 30, 2016 (unaudited)

NET INVESTMENT INCOME (LOSS)
Unaffiliated dividend income (net) (foreign withholding tax $102,762, includes $9,300 reimbursable by an affiliate)	$	925,660
Affiliated income from securities lending, net		33,514
Affiliated dividend income		2,795
Total income		961,969
EXPENSES
Management fee		303,244
Distribution fee-Class II		6,630
Administration fee-Class II		3,978
Custodian and accounting fees		84,000
Shareholders’ reports		32,000
Audit fee		16,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Trustees’ fees		6,000
Legal fees and expenses		4,000
Insurance expenses		1,000
Miscellaneous		16,347
Total expenses		479,199
Less: Management fee waiver and/or expense reimbursement		(95,791	)
Net expenses		383,408
NET INVESTMENT INCOME (LOSS)		578,561
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		(2,440,699	)
Foreign currency transactions		(17,242	)
		(2,457,941	)
Net change in unrealized appreciation (depreciation) on:
Investments		(1,076,508	)
Foreign currencies		5,529
		(1,070,979	)
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(3,528,920	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(2,950,359	)

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2016			Year Ended December 31, 2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	578,561		$	399,946
Net realized gain (loss) on investment and foreign currency transactions		(2,457,941	)		3,570,291
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(1,070,979	)		(1,156,885	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(2,950,359	)		2,813,352
SERIES SHARE TRANSACTIONS (NOTE 7)
Series shares sold		1,788,288			5,323,645
Series shares repurchased		(5,029,818	)		(12,028,146	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(3,241,530	)		(6,704,501	)
Capital Contributions (Note 4)		132,747			—
TOTAL INCREASE (DECREASE)		(6,059,142	)		(3,891,149	)
NET ASSETS:
Beginning of period		77,548,990			81,440,139
End of period	$	71,489,848		$	77,548,990

SEE NOTES TO FINANCIAL STATEMENTS.

A5

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 (generally 4:00PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to 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.

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. The models generate an evaluated adjustment factor for each security, which can be applied to the local closing price to adjust it for post closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price to the extent that the valuation meets the established confidence level for each security. Such confidence level is a measure of the probability of a relationship between a given equity security and the factors used in the models. If the confidence level is not met or the vendor does not provide an evaluated 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.

B1

Participatory notes (P-notes) are generally valued based upon the value of a related underlying security that trades actively in the market and are classified as Level 2 in the fair value hierarchy.

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, 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 of the Portfolio. However, the liquidity of the Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.

Foreign Currency Translation:    The books and records of the 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 generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the 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, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolio does isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.

Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from holdings of foreign currencies, forward currency contracts, disposition of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.

Participatory Notes/Warrants:    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.

B2

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 counterparty 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 the 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 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. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off, and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.

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 ultra short-term bond 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 borrower receives all interest and dividends and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned that may occur during the term of the loan.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-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 (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, the Portfolio 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

B3

entity-level taxation. Shareholders of the 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. Such taxes are accrued net of reclaimable amounts at the time the related income/gain is recorded.

Distributions:    Distributions, if any, from the Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on the ex-date.

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

Note 3. Agreements

The Portfolio has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadvisers’ 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 “Subadvisers”), under which each provides investment advisory services for the Portfolio. PI pays for the services of the Subadvisers, 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. Effective July 1, 2016 through June 30, 2017, PI has contractually agreed to waive a portion of its management fee equal to an annual rate of 0.011% of the average net assets of the Portfolio. Prior to July 1, 2016, PI has contractually agreed to waive a portion of its management fee equal to an annual rate of 0.013% of the average net assets of the Portfolio through June 30, 2016. Effective February 1, 2016 through June 30, 2017, PI has contractually agreed to waive a portion of its investment management fees and/or reimburse certain expenses for the Portfolio so that the Portfolio’s investment management fees plus other expenses for both share classes (exclusive in all cases of taxes, short sale interest and dividend expenses, brokerage commissions, acquired fund fees and expenses, distribution and/or service fees (12b-1), administrative fees and extraordinary expenses) do not exceed 1.01% of the Portfolio’s average daily net assets. These arrangements may not be terminated without the prior approval of the Trust’s Board of Trustees. The effective management fee rate was 0.58% for the six months ended June 30, 2016.

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 (loss) on investment transactions presented in the Statement of Operations. For the six months ended June 30, 2016, brokerage commission recaptured under these agreements was $1,656.

B4

Note 4. Other Transactions with Affiliates

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

PGIM, Inc., an indirect, wholly-owned subsidiary of Prudential, is the Portfolio’s securities lending agent. Net earnings from securities lending are disclosed on the Statement of Operations as “Affiliated income from securities lending, net”. Effective February 5, 2016, PGIM, Inc. is being paid no compensation for acting as the securities lending agent. In addition, the securities lending agent continues to absorb the transaction costs associated with the securities lending activity. Effective July 7, 2016, the Board replaced PGIM, Inc. as securities lending agent with a third party agent. For the six months ended June 30, 2016, PGIM, Inc. has been compensated $571 for these services.

In February 2016, Prudential, the parent company of the manager (PI) self reported to the Securities and Exchange Commission (SEC) and certain other regulators that, in some cases, it failed to maximize securities lending income for the Portfolio of Prudential Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid the affected Portfolio an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Portfolio. The amount of opportunity loss payment to the Portfolio is disclosed in the Portfolio’s “Statement of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions”.

The SEC Staff and other regulators are currently reviewing the matter.

The Portfolio may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board.

The Portfolio invests in the Prudential Core Ultra Short Bond Fund, (formerly known as 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”.

The following Portfolio is reimbursed by Prudential for foreign withholding taxes for certain countries due to the Portfolio’s status as a partnership for tax purposes.

	2015 Withholding Tax		2016 Withholding Tax
SP International Growth	$	21,694	$	9,300

Note 5. Portfolio Securities

The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding government securities and short-term issues) for the six months ended June 30, 2016 were $18,073,714 and $21,563,265, respectively.

Note 6. Tax Information

The Portfolio is treated as a partnership for tax purposes. The character of the cash distributions, if any, made by the partnership is generally classified as return of capital nontaxable distributions. After each fiscal year each shareholder of record will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

With respect to the 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 fair market value. The Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.

B5

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 provision for income tax is 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 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, 2016:
Series shares sold		278,238		$	1,616,499
Series shares repurchased		(718,406	)		(4,168,542	)
Net increase (decrease) in shares outstanding		(440,168	)	$	(2,552,043	)
Year ended December 31, 2015:
Series shares sold		694,075		$	4,396,614
Series shares repurchased		(1,602,806	)		(10,011,034	)
Net increase (decrease) in shares outstanding		(908,731	)	$	(5,614,420	)
Class II
Six months ended June 30, 2016:
Series shares sold		30,405		$	171,789
Series shares repurchased		(153,111	)		(861,276	)
Net increase (decrease) in shares outstanding		(122,706	)	$	(689,487	)
Year ended December 31, 2015:
Series shares sold		150,022		$	927,031
Series shares repurchased		(334,100	)		(2,017,112	)
Net increase (decrease) in shares outstanding		(184,078	)	$	(1,090,081	)

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 8, 2015 through October 6, 2016. The Funds pay an annualized commitment fee of .11% of the unused portion of the SCA. Interest on any borrowings under the SCA is paid at contracted market rates. The Portfolio’s portion of the commitment fee for the unused amount is accrued daily and paid quarterly.

The Portfolio did not utilize the SCA during the six months ended June 30, 2016.

Note 9. Ownership and Affiliates

As of June 30, 2016, 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.

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Note 10. New Accounting Pronouncement

In January 2016, the FASB issued ASU No. 2016-01 regarding “Recognition and Measurement of Financial Assets and Financial Liabilities”. The new guidance is intended to enhance the reporting model for financial instruments to provide users of financial statements with more decision-useful information and addresses certain aspects of the recognition, measurement, presentation, and disclosure of financial instruments. The new standard affects all entities that hold financial assets or owe financial liabilities. The new guidance is effective for public companies for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. At this time, management is evaluating the implications of ASU No. 2016-01 and its impact on the financial statements and disclosures has not yet been determined.

B7

Financial Highlights

(unaudited)

	SP International Growth Portfolio
	Class I
	Six Months Ended June 30, 2016			Year Ended December 31,
				2015			2014			2013			2012			2011
Per Share Operating Performance(c):
Net Asset Value, beginning of period	$	6.14		$	5.94		$	6.30		$	5.30		$	4.36		$	5.19
Income (Loss) From Investment Operations:
Net investment income (loss)		.05			.03			.03			.02			.08			.02
Net realized and unrealized gain (loss) on investments		(.27	)		.17			(.39	)		.98			.89			(.79	)
Total from investment operations		(.22	)		.20			(.36	)		1.00			.97			(.77	)
Less Distributions:		—			—			—			—			(.03	)		(.06	)
Capital Contributions(e)(Note 4)		.01			—			—			—			—			—
Net Asset Value, end of period	$	5.93		$	6.14		$	5.94		$	6.30		$	5.30		$	4.36
Total Return(a)		(3.42	)%		3.37	%		(5.71	)%		18.87	%		22.40	%		(14.91	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	66.4		$	71.5		$	74.5		$	86.9		$	80.9		$	75.5
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		1.04	%(f)		1.22	%		1.23	%		1.30	%		1.19	%		1.21	%
Expenses before waivers and/or expense reimbursement		1.31	%(f)		1.23	%		1.24	%		1.31	%		1.19	%		1.21	%
Net investment income (loss)		1.65	%(f)		.51	%		.55	%		.37	%		1.59	%		.47	%
Portfolio turnover rate		25	%(g)		48	%		55	%		103	%		111	%		118	%
	SP International Growth Portfolio
	Class II
	Six Months Ended June 30, 2016			Year Ended December 31,
				2015			2014			2013			2012			2011
Per Share Operating Performance(c):
Net Asset Value, beginning of period	$	6.01		$	5.83		$	6.21		$	5.24		$	4.30		$	5.10
Income (Loss) From Investment Operations:
Net investment income (loss)		.03			.01			.01			—	(d)		.06			—	(d)
Net realized and unrealized gain (loss) on investments		(.27	)		.17			(.39	)		.97			.88			(.78	)
Total from investment operations		(.24	)		.18			(.38	)		.97			.94			(.78	)
Less Distributions:		—			—			—			—			—			(.02	)
Capital Contributions(e)(Note 4)		.01			—			—			—			—			—
Net Asset Value, end of period	$	5.78		$	6.01		$	5.83		$	6.21		$	5.24		$	4.30
Total Return(a)		(3.83	)%		3.09	%		(6.12	)%		18.51	%		21.86	%		(15.32	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	5.1		$	6.1		$	6.9		$	9.1		$	8.6		$	7.2
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		1.44	%(f)		1.62	%		1.63	%		1.70	%		1.59	%		1.61	%
Expenses before waivers and/or expense reimbursement		1.71	%(f)		1.63	%		1.64	%		1.71	%		1.59	%		1.61	%
Net investment income (loss)		1.25	%(f)		.13	%		.17	%		(.03	)%		1.16	%		(.09	)%
Portfolio turnover rate		25	%(g)		48	%		55	%		103	%		111	%		118	%

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods of less than one 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) Less than $.005.

(e) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefitted Prudential. The total return for the period includes the amount of capital contribution.

(f) Annualized.

(g) Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C1

Approval of Advisory Agreements

The Trust’s Board of Trustees

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

Annual Approval of the Trust’s Advisory Agreements

As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with Prudential Investments LLC (PI) and the SP International Growth Portfolio’s (the Portfolio) subadvisory agreements. As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 13-15, 2016 (the Meeting) and approved the renewal of the agreements through July 31, 2017, 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 advance of the Meeting, the Trustees requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe and peer group, as is further discussed below.

In approving the agreements, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided, the performance of 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 interests 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 Board considered the approval of the agreements for the Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on a Portfolio-by-Portfolio basis.

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

Nature, quality and extent of services

The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by 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 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 noted that Jennison Associates LLC (Jennison), which serves as a subadviser to the Portfolio, 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 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. The Board considered information regarding the profitability of Jennison, which is an affiliate 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 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 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 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, 2015. 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 Broadridge, Inc. (Broadridge), 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 2015. 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 mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio

shareholders and includes any fee waivers or reimbursements. The net total expense ratio for the Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.

The mutual funds included in each Peer Universe and each Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolio in various quartiles, with the 1^st quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that 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 Broadridge for the Board’s consideration.

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

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

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

• The Board noted that PI had contractually agreed to waive 0.013% of its management fee through June 30, 2016.

• The Board accepted PI’s recommendation to allow the existing contractual management fee waiver to expire and replace it with a new contractual management fee waiver of 0.011% through June 30, 2017.

• The Board further noted that PI had contractually agreed through June 30, 2017 to cap Portfolio expenses at 1.01%.

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

**********

After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, the Portfolio and its beneficial shareholders.

This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life contract. The prospectuses contain information on the contract and the investment objectives, risks, charges and expenses of the portfolios, and should be read carefully.

A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request by calling the appropriate phone number listed below. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.

The Fund files with the Commission a complete listing of portfolio holdings as of its first and third calendar 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 may offer 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) and to separate accounts of insurance companies not affiliated with Prudential where Prudential has assumed responsibility for the administration of contracts issued through such non-affiliated insurance companies, 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.

^©2016 Prudential Financial, Inc. and its related entities. Prudential Investments, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

0278963-00003-00 PSF-SAR-SP INTL GROWTH

The Prudential Series Fund

SEMIANNUAL REPORT June 30, 2016

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, 2016, 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.

SP Prudential U.S. Emerging Growth Portfolio

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The Prudential Series Fund   Table of Contents Semiannual Report June 30, 2016

n LETTER TO CONTRACT OWNERS

n PRESENTATION OF PORTFOLIO HOLDINGS

n FEES AND EXPENSES

n FINANCIAL REPORTS

Section A	Schedule of Investments and Financial Statements
Section B	Notes to Financial Statements
Section C	Financial Highlights

n APPROVAL OF ADVISORY AGREEMENTS

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, 2016

n DEAR CONTRACT OWNER

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

Prudential has been building on a heritage of success for more than 135 years. 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,

Timothy S. Cronin

President,

The Prudential Series Fund July 29, 2016

Prudential Series Fund   Presentation of Portfolio Holdings — unaudited June 30, 2016

SP Prudential U.S. Emerging Growth
Five Largest Holdings	(% of Net Assets	)
SBA Communications Corp. (Class A Stock)	3.0%
Dollar Tree, Inc.	2.8%
Henry Schein, Inc.	2.5%
Electronic Arts, Inc.	2.2%
Centene Corp.	2.2%

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, 2016

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, 2016 through June 30, 2016.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

The Prudential Series Fund Portfolio		Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		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	$	1,007.80		0.69	%	$	3.44
	Hypothetical	$	1,000.00	$	1,021.43		0.69	%	$	3.47
SP Prudential U.S. Emerging Growth (Class II)	Actual	$	1,000.00	$	1,005.40		1.09	%	$	5.43
	Hypothetical	$	1,000.00	$	1,019.44		1.09	%	$	5.47

* 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 182 days in the six-month period ended June 30, 2016, and divided by the 366 days in the Portfolio’s fiscal year ending December 31, 2016 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.

	SP PRUDENTIAL U.S. EMERGING GROWTH  PORTFOLIO
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

LONG-TERM INVESTMENTS — 96.3%
COMMON STOCKS	Shares		Value (Note 2)
Airlines — 1.2%
Spirit Airlines, Inc.*		58,327	$	2,617,133
Auto Components — 1.1%
Delphi Automotive PLC (United Kingdom)		39,748		2,488,225
Banks — 1.2%
First Republic Bank		36,631		2,563,804
Beverages — 0.6%
Monster Beverage Corp.*		8,781		1,411,195
Biotechnology — 0.9%
BioMarin Pharmaceutical, Inc.*		25,449		1,979,932
Building Products — 0.6%
Allegion PLC		19,600		1,360,828
Capital Markets — 2.5%
Affiliated Managers Group, Inc.*		23,087		3,249,957
TD Ameritrade Holding Corp.		78,991		2,249,269
				5,499,226
Chemicals — 3.0%
Axalta Coating Systems Ltd.*		107,155		2,842,822
FMC Corp.		54,740		2,535,009
WR Grace & Co.		17,265		1,263,971
				6,641,802
Commercial Services & Supplies — 3.7%
Copart, Inc.*(a)		80,252		3,933,150
Stericycle, Inc.*		39,765		4,140,332
				8,073,482
Communications Equipment — 1.1%
Palo Alto Networks, Inc.*		18,841		2,310,660
Construction & Engineering — 1.0%
Quanta Services, Inc.*		95,413		2,205,949
Consumer Finance — 1.3%
SLM Corp.*		457,408		2,826,781
Containers & Packaging — 0.6%
Sealed Air Corp.		27,293		1,254,659
Diversified Financial Services — 0.9%
Intercontinental Exchange, Inc.		7,272		1,861,341
Diversified Telecommunication Services — 3.0%
SBA Communications Corp. (Class A Stock)*		60,056		6,482,445
Electrical Equipment — 1.3%
AMETEK, Inc.		61,796		2,856,829
Electronic Equipment, Instruments & Components — 2.6%
Amphenol Corp. (Class A Stock)		76,910		4,409,250
CDW Corp.		30,825		1,235,466
				5,644,716
Food & Staples Retailing — 1.1%
Sprouts Farmers Market, Inc.*		106,690		2,443,201

COMMON STOCKS
(continued)	Shares		Value (Note 2)
Food Products — 4.4%
Hain Celestial Group, Inc. (The)*		96,682	$	4,809,930
J.M. Smucker Co. (The)		17,447		2,659,097
Mead Johnson Nutrition Co.		23,553		2,137,435
				9,606,462
Health Care Equipment & Supplies — 2.9%
Align Technology, Inc.*		37,787		3,043,743
Cooper Cos., Inc. (The)		7,329		1,257,436
DexCom, Inc.*		24,985		1,982,060
				6,283,239
Health Care Providers & Services — 8.8%
Centene Corp.*		67,835		4,841,384
Envision Healthcare Holdings, Inc.*		89,515		2,270,995
Henry Schein, Inc.*		30,955		5,472,844
Laboratory Corp. of America Holdings*		22,418		2,920,393
Universal Health Services, Inc. (Class B Stock)		26,969		3,616,543
				19,122,159
Hotels, Restaurants & Leisure — 4.1%
Aramark		65,435		2,186,838
Hilton Worldwide Holdings, Inc.		148,179		3,338,473
Norwegian Cruise Line Holdings Ltd.*		59,050		2,352,552
Starwood Hotels & Resorts Worldwide, Inc.		14,071		1,040,550
				8,918,413
Household Products — 1.3%
Church & Dwight Co., Inc.		27,009		2,778,956
Independent Power & Renewable Electricity Producers — 0.7%
Atlantica Yield PLC (Spain)		76,812		1,427,167
Industrial Conglomerates — 2.8%
Carlisle Cos., Inc.		15,999		1,690,774
Roper Technologies, Inc.		26,343		4,493,062
				6,183,836
IT Services — 4.1%
Fidelity National Information Services, Inc.		10,022		738,421
FleetCor Technologies, Inc.*		15,009		2,148,238
Global Payments, Inc.		24,330		1,736,675
Vantiv, Inc. (Class A Stock)*		78,299		4,431,724
				9,055,058
Life Sciences Tools & Services — 1.0%
Illumina, Inc.*		3,107		436,161
Quintiles Transnational Holdings, Inc.*		27,067		1,768,016
				2,204,177
Media — 1.8%
AMC Networks, Inc. (Class A Stock)*		37,571		2,270,040
Scripps Networks Interactive, Inc. (Class A Stock)		25,120		1,564,222
				3,834,262

SEE NOTES TO FINANCIAL STATEMENTS.

A1

	SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS
(continued)	Shares		Value (Note 2)
Multiline Retail — 4.4%
Dollar General Corp.		36,254	$	3,407,876
Dollar Tree, Inc.*		65,003		6,125,883
				9,533,759
Oil, Gas & Consumable Fuels — 1.5%
Concho Resources, Inc.*		10,839		1,292,768
Noble Energy, Inc.		55,591		1,994,049
				3,286,817
Pharmaceuticals — 1.5%
Jazz Pharmaceuticals PLC*		10,782		1,523,604
Zoetis, Inc.		36,497		1,732,148
				3,255,752
Professional Services — 1.5%
IHS, Inc. (Class A Stock)*		28,646		3,311,764
Real Estate Investment Trusts (REITs) — 4.4%
Crown Castle International Corp.		27,713		2,810,930
Equinix, Inc.		5,672		2,199,205
MFA Financial, Inc.		249,449		1,813,494
Starwood Property Trust, Inc.		137,066		2,840,007
				9,663,636
Real Estate Management & Development — 1.4%
CBRE Group, Inc. (Class A Stock)*		112,173		2,970,341
Road & Rail — 0.6%
JB Hunt Transport Services, Inc.		15,385		1,245,108
Semiconductors & Semiconductor Equipment — 2.6%
Analog Devices, Inc.		51,078		2,893,058
NXP Semiconductors NV (Netherlands)*		36,641		2,870,456
				5,763,514
Software — 8.5%
Check Point Software Technologies Ltd. (Israel)*(a)		28,144		2,242,514
Electronic Arts, Inc.*		64,082		4,854,852
Intuit, Inc.		14,256		1,591,112
Red Hat, Inc.*		63,654		4,621,280
ServiceNow, Inc.*		39,102		2,596,373
Splunk, Inc.*		47,354		2,565,640
				18,471,771
Specialty Retail — 8.8%
AutoZone, Inc.*		2,822		2,240,216
Burlington Stores, Inc.*		49,265		3,286,468
L Brands, Inc.		15,900		1,067,367
O’Reilly Automotive, Inc.*		9,560		2,591,716
Ross Stores, Inc.		55,627		3,153,495
Signet Jewelers Ltd.		30,855		2,542,761
Ulta Salon Cosmetics & Fragrance, Inc.*		17,746		4,323,635
				19,205,658
Textiles, Apparel & Luxury Goods — 1.0%
Kate Spade & Co.*		80,038		1,649,583
Under Armour, Inc. (Class A Stock)*(a)		11,572		464,385
				2,113,968

COMMON STOCKS
(continued)	Shares		Value (Note 2)
Trading Companies & Distributors — 0.5%
WESCO International, Inc.*(a)		21,253	$	1,094,317
TOTAL LONG-TERM INVESTMENTS (cost $159,533,039)				209,852,342
SHORT-TERM INVESTMENT — 4.4%
AFFILIATED MUTUAL FUND
Prudential Investment Portfolios 2 —Prudential Core Ultra Short Bond Fund (cost $9,670,221; includes $1,708,198 of cash collateral for securities on loan)(b)(w)(Note 4)		9,670,221		9,670,221
TOTAL INVESTMENTS — 100.7% (cost $169,203,260)				219,522,563
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.7)%				(1,513,700	)
NET ASSETS — 100.0%			$	218,008,863

* 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 $1,695,320; cash collateral of $1,708,198 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

(w) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 —Prudential Core Ultra Short Bond 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.

A2

	SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

The following is a summary of the inputs used as of June 30, 2016 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Airlines	$	2,617,133	$	—	$	—
Auto Components		2,488,225		—		—
Banks		2,563,804		—		—
Beverages		1,411,195		—		—
Biotechnology		1,979,932		—		—
Building Products		1,360,828		—		—
Capital Markets		5,499,226		—		—
Chemicals		6,641,802		—		—
Commercial Services & Supplies		8,073,482		—		—
Communications Equipment		2,310,660		—		—
Construction & Engineering		2,205,949		—		—
Consumer Finance		2,826,781		—		—
Containers & Packaging		1,254,659		—		—
Diversified Financial Services		1,861,341		—		—
Diversified Telecommunication Services		6,482,445		—		—
Electrical Equipment		2,856,829		—		—
Electronic Equipment, Instruments & Components		5,644,716		—		—
Food & Staples Retailing		2,443,201		—		—
Food Products		9,606,462		—		—
Health Care Equipment & Supplies		6,283,239		—		—
Health Care Providers & Services		19,122,159		—		—
Hotels, Restaurants & Leisure		8,918,413		—		—
Household Products		2,778,956		—		—
Independent Power & Renewable Electricity Producers		1,427,167		—		—
Industrial Conglomerates		6,183,836		—		—
IT Services		9,055,058		—		—
Life Sciences Tools & Services		2,204,177		—		—
Media		3,834,262		—		—
Multiline Retail		9,533,759		—		—
Oil, Gas & Consumable Fuels		3,286,817		—		—
Pharmaceuticals		3,255,752		—		—
Professional Services		3,311,764		—		—
Real Estate Investment Trusts (REITs)		9,663,636		—		—
Real Estate Management & Development		2,970,341		—		—
Road & Rail		1,245,108		—		—
Semiconductors & Semiconductor Equipment		5,763,514		—		—
Software		18,471,771		—		—
Specialty Retail		19,205,658		—		—
Textiles, Apparel & Luxury Goods		2,113,968		—		—
Trading Companies & Distributors		1,094,317		—		—
Affiliated Mutual Fund		9,670,221		—		—
Total	$	219,522,563	$	—	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A3

	SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2016 were as follows:

Specialty Retail	8.8	%
Health Care Providers & Services	8.8
Software	8.5
Affiliated Mutual Fund (including 0.8% of collateral for securities on loan)	4.4
Real Estate Investment Trusts (REITs)	4.4
Food Products	4.4
Multiline Retail	4.4
IT Services	4.1
Hotels, Restaurants & Leisure	4.1
Commercial Services & Supplies	3.7
Chemicals	3.0
Diversified Telecommunication Services	3.0
Health Care Equipment & Supplies	2.9
Industrial Conglomerates	2.8
Semiconductors & Semiconductor Equipment	2.6
Electronic Equipment, Instruments & Components	2.6
Capital Markets	2.5
Media	1.8
Professional Services	1.5
Oil, Gas & Consumable Fuels	1.5
Pharmaceuticals	1.5
Real Estate Management & Development	1.4

Electrical Equipment	1.3	%
Consumer Finance	1.3
Household Products	1.3
Airlines	1.2
Banks	1.2
Auto Components	1.1
Food & Staples Retailing	1.1
Communications Equipment	1.1
Construction & Engineering	1.0
Life Sciences Tools & Services	1.0
Textiles, Apparel & Luxury Goods	1.0
Biotechnology	0.9
Diversified Financial Services	0.9
Independent Power & Renewable Electricity Producers	0.7
Beverages	0.6
Building Products	0.6
Containers & Packaging	0.6
Road & Rail	0.6
Trading Companies & Distributors	0.5
	100.7
Liabilities in excess of other assets	(0.7	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A4

SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2016

ASSETS
Investments at value, including securities on loan of $1,695,320:
Unaffiliated investments (cost $159,533,039)	$	209,852,342
Affiliated investments (cost $9,670,221)		9,670,221
Cash		2,327
Receivable for investments sold		1,450,769
Dividends receivable		152,655
Tax reclaim receivable		4,832
Prepaid expenses		587
Total Assets		221,133,733
LIABILITIES
Payable to broker for collateral for securities on loan		1,708,198
Payable for investments purchased		1,232,734
Management fee payable		107,211
Accrued expenses		65,362
Payable for Series shares repurchased		9,134
Affiliated transfer agent fee payable		980
Deferred trustees’ fees		977
Distribution fee payable		171
Administration fee payable		103
Total Liabilities		3,124,870
NET ASSETS	$	218,008,863
Net assets were comprised of:
Paid-in capital	$	75,876,012
Retained earnings		142,132,851
Net assets, June 30, 2016	$	218,008,863
Class I:
Net asset value and redemption price per share $217,171,550 / 18,603,625 outstanding shares of beneficial interest	$	11.67
Class II:
Net asset value and redemption price per share $837,313 / 75,544 outstanding shares of beneficial interest	$	11.08

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2016

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income	$	847,732
Affiliated income from securities lending, net		21,311
Affiliated dividend income		18,541
Total income		887,584
EXPENSES
Management fee		634,660
Distribution fee—Class II		998
Administration fee—Class II		599
Shareholders’ reports		30,000
Custodian and accounting fees		26,000
Audit fee		12,000
Trustees’ fees		6,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Legal fees and expenses		5,000
Insurance expenses		2,000
Miscellaneous		5,873
Total expenses		729,130
NET INVESTMENT INCOME (LOSS)		158,454
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on investment transactions		5,755,642
Net change in unrealized appreciation (depreciation) on investment and foreign currency transactions		(4,714,185	)
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		1,041,457
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	1,199,911

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2016			Year Ended December 31, 2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	158,454		$	(37,010	)
Net realized gain (loss) on investment and foreign currency transactions		5,755,642			18,915,771
Net change in unrealized appreciation (depreciation) on investment and foreign currencies		(4,714,185	)		(23,989,562	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		1,199,911			(5,110,801	)
SERIES SHARE TRANSACTIONS (NOTE 7)
Series shares sold		2,406,401			5,696,276
Series shares repurchased		(10,033,443	)		(26,437,348	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(7,627,042	)		(20,741,072	)
CAPITAL CONTRIBUTIONS (NOTE 4)		283,188			—
TOTAL INCREASE (DECREASE)		(6,143,943	)		(25,851,873	)
NET ASSETS:
Beginning of period		224,152,806			250,004,679
End of period	$	218,008,863		$	224,152,806

SEE NOTES TO FINANCIAL STATEMENTS.

A5

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.

Securities Valuation:    The Portfolio holds securities and other assets that are fair valued at the close of each day (generally, 4:00PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to 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.

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. The models generate an evaluated adjustment factor for each security, which can be applied to the local closing price to adjust it for post closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price to the extent that the valuation meets the established confidence level for each security. Such confidence level is a measure of the probability of a relationship between a given equity security and the factors used in the models. If the confidence level is not met or the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.

Participatory notes (P-notes) are generally valued based upon the value of a related underlying security that trades actively in the market and are classified as Level 2 in the fair value hierarchy.

B1

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

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, the Portfolio may invest up to 15% of their net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, the Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s subadviser under the guidelines adopted by the Board of the Portfolio. However, the liquidity of the Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.

Foreign Currency Translation:    The books and records of the 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 generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the 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, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolio does isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.

Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from holdings of foreign currencies, forward currency contracts, disposition of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.

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

B2

political or 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 arrangements 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. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off, and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.

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 ultra short-term bond 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 borrower receives all interest and dividends and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned that may occur during the term of the loan.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-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 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 (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, the Portfolio 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 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. Such taxes are accrued net of reclaimable amounts at the time the related income/gain is recorded.

Distributions:    Distributions, if any, from the Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. Distributions to shareholders are recorded on the ex-date.

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

B3

Note 3. Agreements

The Portfolio has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PI has entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”) (the “Subadviser”), under which Jennison provides investment advisory services for the Portfolio. PI pays for the services of the Subadviser, 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 0.60% of the Portfolio’s average daily net assets. The effective management fee rate was 0.60% for the six months ended June 30, 2016.

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. Commission recapture is paid solely to those Portfolios generating the applicable trades. Such amounts are included with realized gain (loss) on investment transactions presented in the Statement of Operations. For the six months ended June 30, 2016, brokerage commission recaptured under these agreements was $4,048.

Note 4. Other Transactions with Affiliates

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

PGIM, Inc., an indirect, wholly-owned subsidiary of Prudential, is the Portfolio’s securities lending agent. Net earnings from securities lending are disclosed on the Statement of Operations as “Affiliated income from securities lending, net”. Effective February 5, 2016, PGIM, Inc. is being paid no compensation for acting as the securities lending agent. In addition, the securities lending agent continues to absorb the transaction costs associated with the securities lending activity. Effective July 7, 2016, the Board replaced PGIM, Inc. as securities lending agent with a third party agent. For the six months ended June 30, 2016, PGIM, Inc. has been compensated $77 for these services.

In February 2016, Prudential, the parent company of the manager (PI) self reported to the Securities and Exchange Commission (SEC) and certain other regulators that, in some cases, it failed to maximize securities lending income for the Portfolio of Prudential Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid the affected Portfolio an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Portfolio. The amount of opportunity loss payment to the Portfolio is disclosed in the Portfolio’s “Statement of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions”.

The SEC Staff and other regulators are currently reviewing the matter.

B4

The Portfolio may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board.

The Portfolio invests in the Prudential Core Ultra Short Bond Fund, (formerly known as Prudential Core Taxable Money Market Fund), (the “Core Fund”), a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PI. Earnings from the Core Fund are disclosed on the Statement of Operations as “Affiliated dividend income”.

Note 5. Portfolio Securities

The cost of purchases and proceeds from sales of portfolio securities, other than short-term investments, for the six months ended June 30, 2016 were $36,875,752 and $43,199,618, respectively.

Note 6. Tax Information

The Portfolio is treated as a partnership for tax purposes. The character of the cash distributions, if any, made by the partnership is generally classified as return of capital nontaxable distributions. After each fiscal year each shareholder of record will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

With respect to the 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 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 provision for income tax is 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, 2016, 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, 2016:
Series shares sold		214,693		$	2,378,122
Series shares repurchased		(897,297	)		(10,005,612	)
Net increase (decrease) in shares outstanding		(682,604	)	$	(7,627,490	)
Year ended December 31, 2015:
Series shares sold		435,267		$	5,331,092
Series shares repurchased		(2,149,064	)		(26,043,791	)
Net increase (decrease) in shares outstanding		(1,713,797	)	$	(20,712,699	)

B5

Class II:	Shares			Amount
Six months ended June 30, 2016:
Series shares sold		2,772		$	28,279
Series shares repurchased		(2,598	)		(27,831	)
Net increase (decrease) in shares outstanding		174		$	448
Year ended December 31, 2015:
Series shares sold		30,609		$	365,184
Series shares repurchased		(33,590	)		(393,557	)
Net increase (decrease) in shares outstanding		(2,981	)	$	(28,373	)

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 8, 2015 through October 6, 2016. The Funds pay an annualized commitment fee of .11% of the unused portion of the SCA. Interest on any borrowings under the SCA is paid at contracted market rates. The Portfolio’s portion of the commitment fee for the unused amount is accrued daily and paid quarterly.

The Portfolio did not utilize the SCA during the six months ended June 30, 2016.

Note 9. Ownership and Affiliates

As of June 30, 2016, 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

In January 2016, the FASB issued ASU No. 2016-01 regarding “Recognition and Measurement of Financial Assets and Financial Liabilities”. The new guidance is intended to enhance the reporting model for financial instruments to provide users of financial statements with more decision-useful information and addresses certain aspects of the recognition, measurement, presentation, and disclosure of financial instruments. The new standard affects all entities that hold financial assets or owe financial liabilities. The new guidance is effective for public companies for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. At this time, management is evaluating the implications of ASU No. 2016-01 and its impact on the financial statements and disclosures has not yet been determined.

B6

Financial Highlights

(unaudited)

	SP Prudential U.S. Emerging Growth Portfolio
	Class I
	Six Months Ended June 30, 2016(d)			Year Ended December 31,
				2015(d)			2014(d)			2013(d)			2012			2011
Per Share Operating Performance:
Net Asset Value, beginning of period	$	11.58		$	11.86		$	10.83		$	8.43		$	7.80		$	7.74
Income From Investment Operations:
Net investment income (loss)		.01			—	(c)		.02			.01			.06			.04
Net realized and unrealized gain (loss) on investments		.07			(.28	)		1.01			2.39			1.21			.13
Total from investment operations		.08			(.28	)		1.03			2.40			1.27			.17
Less Distributions		—			—			—			—			(.64	)		(.11	)
Capital Contributions (Note 4)(e)		.01			—			—			—			—			—
Net Asset Value, end of period	$	11.67		$	11.58		$	11.86		$	10.83		$	8.43		$	7.80
Total Return(a)		.78	%		(2.36	)%		9.51	%		28.47	%		16.88	%		2.22	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	217.2		$	223.3		$	249.1		$	251.8		$	221.0		$	210.8
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		.69	%(f)		.67	%		.68	%		.68	%		.67	%		.64	%
Expenses before waivers and/or expense reimbursement		.69	%(f)		.67	%		.68	%		.68	%		.67	%		.64	%
Net investment income (loss)		.15	%(f)		(.01	)%		.22	%		.08	%		.73	%		.39	%
Portfolio turnover rate		18	%(g)		34	%		45	%		38	%		44	%		40	%
	SP Prudential U.S. Emerging Growth Portfolio
	Class II
	Six Months Ended June 30, 2016(d)			Year Ended December 31,
				2015(d)			2014(d)			2013(d)			2012			2011
Per Share Operating Performance:
Net Asset Value, beginning of period	$	11.02		$	11.33		$	10.38		$	8.12		$	7.53		$	7.48
Income (Loss) From Investment Operations:
Net investment income (loss)		(.01	)		(.05	)		(.02	)		(.03	)		.04			—	(c)
Net realized and unrealized gain (loss) on investments		.06			(.26	)		.97			2.29			1.16			.13
Total from investment operations		.05			(.31	)		.95			2.26			1.20			.13
Less Distributions		—			—			—			—			(.61	)		(.08	)
Capital Contributions (Note 4)(e)		.01			—			—			—			—			—
Net Asset Value, end of period	$	11.08		$	11.02		$	11.33		$	10.38		$	8.12		$	7.53
Total Return(a)		.54	%		(2.74	)%		9.15	%		27.83	%		16.44	%		1.77	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	.8		$	.8		$	1.0		$	.7		$	.4		$	.3
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		1.09	%(f)		1.07	%		1.08	%		1.08	%		1.07	%		1.04	%
Expenses before waivers and/or expense reimbursement		1.09	%(f)		1.07	%		1.08	%		1.08	%		1.07	%		1.04	%
Net investment income (loss)		(.25	)%(f)		(.40	)%		(.19	)%		(.32	)%		.38	%		(.01	)%
Portfolio turnover rate		18	%(g)		34	%		45	%		38	%		44	%		40	%

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

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

(c) Less than $.005 per share.

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

(e) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefitted Prudential. The total return for the period includes the amount of capital contribution.

(f) Annualized.

(g) Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C1

Approval of Advisory Agreements

The Trust’s Board of Trustees

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

Annual Approval of the Trust’s Advisory Agreements

As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with Prudential Investments LLC (PI) and the SP Prudential U.S. Emerging Growth Portfolio’s (the Portfolio) subadvisory agreement. As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 13-15, 2016 (the Meeting) and approved the renewal of the agreements through July 31, 2017, 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 advance of the Meeting, the Trustees requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe and peer group, as is further discussed below.

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

The Trustees determined that the overall arrangements between the Trust and PI, which serves as the Trust’s investment manager pursuant to a management agreement, and between PI and Jennison Associates LLC (Jennison or the subadviser), which serves as subadviser pursuant to the terms of a subadvisory agreement with PI, are in the best interests 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 Board considered the approval of the agreements for the Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on a Portfolio-by-Portfolio basis.

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

Nature, quality and extent of services

The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PI and the subadviser. The Board considered the services provided by PI, including but not limited to the oversight of the subadviser, as well as the provision of recordkeeping and compliance services to the Trust. With respect to PI’s oversight of the subadviser, 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 subadviser. 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 the subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PI’s evaluation of the subadviser, as well as PI’s recommendation, based on its review of the subadviser, to renew the subadvisory agreement.

The Board reviewed the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of the Trust and the subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadviser’s 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 the subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to PI and the 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 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 the subadviser, and that there was a reasonable basis on which to conclude that the Portfolio benefits from the services provided by PI and the 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 Jennison, which is an affiliate 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 Portfolio’s 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.

Other Benefits to PI and the Subadviser

The Board considered potential ancillary benefits that might be received by PI, the subadviser, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PI included compensation received by insurance company affiliates of PI from the subadviser, 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 subadviser included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadviser, 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, 2015. 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 Broadridge, Inc. (Broadridge), 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 2015. 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 mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio

shareholders and includes any fee waivers or reimbursements. The net total expense ratio for the Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.

The mutual funds included in each Peer Universe and each Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolio in various quartiles, with the 1^st quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that 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 Broadridge for the Board’s consideration.

The section below summarizes key factors considered by the Board and the Board’s conclusions regarding the Portfolio’s performance, fees and overall expenses. The 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 Prudential U.S. Emerging Growth Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
	3rd Quartile	4th Quartile	3rd Quartile	2nd Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 1st Quartile

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

• The Board considered that the Portfolio’s recent performance had shown improvement, with the Portfolio ranked in the 2^nd quartile of its Peer Universe during the first quarter of 2016.

• The Board considered information provided by PI, which indicated that the Portfolio was constructed as a lower risk portfolio in a high risk asset class, which detracted from performance relative to higher-risk peers in 2013 and 2014. The Board noted PI’s assertion that the Portfolio performs above expectations in periods when lower risk is rewarded.

• The Board noted that the Portfolio had finished in the top half of its Peer Universe in three of the past five calendar years.

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

**********

After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, the Portfolio and its beneficial shareholders.

This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life contract. The prospectuses contain information on the contract and the investment objectives, risks, charges and expenses of the portfolios, and should be read carefully.

A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request by calling the appropriate phone number listed below. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.

The Fund files with the Commission a complete listing of portfolio holdings as of its first and third calendar 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 may offer 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) and to separate accounts of insurance companies not affiliated with Prudential where Prudential has assumed responsibility for the administration of contracts issued through such non-affiliated insurance companies, 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.

^©2016 Prudential Financial, Inc. and its related entities. Prudential Investments, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

0278964-00003-00 PSF-SAR-SP US EM GROWTH

The Prudential Series Fund

SEMIANNUAL REPORT June 30, 2016

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, 2016, 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.

SP Small Cap Value Portfolio

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The Prudential Series Fund   Table of Contents Semiannual Report June 30, 2016

n LETTER TO CONTRACT OWNERS

n PRESENTATION OF PORTFOLIO HOLDINGS

n FEES AND EXPENSES

n FINANCIAL REPORTS

Section A	Schedule of Investments and Financial Statements
Section B	Notes to Financial Statements
Section C	Financial Highlights

n APPROVAL OF ADVISORY AGREEMENTS

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, 2016

n DEAR CONTRACT OWNER

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

Prudential has been building on a heritage of success for more than 135 years. 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,

Timothy S. Cronin

President,

The Prudential Series Fund July 29, 2016

Prudential Series Fund   Presentation of Portfolio Holdings — unaudited June 30, 2016

SP Small Cap Value
Five Largest Holdings	(% of Net Assets	)
PrivateBancorp, Inc., Banks	1.3%
CyrusOne, Inc., Real Estate Investment Trusts (REITs)	1.2%
Pebblebrook Hotel Trust, Real Estate Investment Trusts (REITs)	1.2%
Spectrum Brands Holdings, Inc., Household Products	1.2%
TreeHouse Foods, Inc., Food Products	1.2%

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, 2016

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, 2016 through June 30, 2016.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

The Prudential Series Fund Portfolios		Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		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	$	1,053.50		1.05	%	$	5.36
	Hypothetical	$	1,000.00	$	1,019.64		1.05	%	$	5.27

* 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 182 days in the six-month period ended June 30, 2016, and divided by the 366 days in the Portfolio’s fiscal year ending December 31, 2016 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.

	SP SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

LONG-TERM INVESTMENTS — 98.6%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 1.8%
Curtiss-Wright Corp.		13,845	$	1,166,441
Esterline Technologies Corp.*		13,495		837,230
KLX, Inc.*		13,089		405,759
Moog, Inc. (Class A Stock)*		18,282		985,765
				3,395,195
Air Freight & Logistics — 0.6%
Forward Air Corp.		23,673		1,054,159
Auto Components — 0.3%
Tower International, Inc.		23,413		481,840
Banks — 17.1%
Ameris Bancorp		17,870		530,739
BancorpSouth, Inc.		33,008		748,952
Bank of the Ozarks, Inc.(a)		24,992		937,700
Banner Corp.(g)		13,240		563,230
BNC Bancorp		22,846		518,833
Boston Private Financial Holdings, Inc.		55,277		651,163
Centerstate Banks, Inc.		11,640		183,330
CoBiz Financial, Inc.		29,841		349,140
Columbia Banking System, Inc.		35,655		1,000,479
Community Bank System, Inc.		23,500		965,615
ConnectOne Bancorp, Inc.		19,021		298,440
Cu Bancorp*		9,320		211,844
CVB Financial Corp.		67,239		1,102,047
First Financial Bankshares, Inc.(a)		31,419		1,030,229
First Merchants Corp.		32,409		807,956
First Midwest Bancorp, Inc.		39,965		701,785
First of Long Island Corp. (The)		10,011		287,015
Flushing Financial Corp.		25,980		516,482
Glacier Bancorp, Inc.		40,835		1,085,394
Great Western Bancorp, Inc.		40,208		1,268,160
Heritage Financial Corp.		21,078		370,551
Home BancShares, Inc.		48,630		962,388
Independent Bank Corp.		19,402		886,671
Independent Bank Group, Inc.		7,572		324,915
Lakeland Financial Corp.		10,054		472,639
LegacyTexas Financial Group, Inc.		46,681		1,256,186
MB Financial, Inc.		42,498		1,541,827
PacWest Bancorp		27,933		1,111,175
Pinnacle Financial Partners, Inc.		25,471		1,244,258
PrivateBancorp, Inc.		54,624		2,405,095
Prosperity Bancshares, Inc.(a)		27,526		1,403,551
Renasant Corp.		29,376		949,726
Sandy Spring Bancorp, Inc.		12,509		363,512
South State Corp.		16,644		1,132,624
Southwest Bancorp, Inc.		10,929		185,028
State Bank Financial Corp.		23,675		481,786
Texas Capital Bancshares, Inc.*		9,228		431,501
Trico Bancshares		13,857		382,453
UMB Financial Corp.		3,346		178,041
Webster Financial Corp.		59,844		2,031,704
Yadkin Financial Corp.		3,537		88,743
				31,962,907
Building Products — 1.5%
Armstrong World Industries, Inc.*		12,058		472,071
Continental Building Products, Inc.*		27,254		605,856

COMMON STOCKS (continued)	Shares		Value (Note 2)
Building Products (continued)
Gibraltar Industries, Inc.*		20,270	$	639,924
Masonite International Corp.*		17,295		1,143,891
				2,861,742
Capital Markets — 1.2%
Golub Capital BDC, Inc.		14,434		260,822
New Mountain Finance Corp.		18,239		235,283
OM Asset Management PLC (United Kingdom)		47,956		640,213
Stifel Financial Corp.*		26,262		825,940
Virtu Financial, Inc. (Class A Stock)		18,269		328,842
				2,291,100
Chemicals — 2.0%
Methanex Corp. (Canada)		1,342		39,052
Minerals Technologies, Inc.		13,258		753,055
Olin Corp.		7,794		193,603
PolyOne Corp.		20,089		707,936
Quaker Chemical Corp.		5,672		505,942
Trinseo SA		9,903		425,136
WR Grace & Co.		15,462		1,131,973
				3,756,697
Commercial Services & Supplies — 1.8%
ABM Industries, Inc.		39,994		1,458,981
G&K Services, Inc. (Class A Stock)		8,099		620,141
Mobile Mini, Inc.(a)		22,574		781,963
MSA Safety, Inc.		10,570		555,242
				3,416,327
Communications Equipment — 1.8%
Ixia*		52,846		518,948
NetScout Systems, Inc.*		32,168		715,738
Polycom, Inc.*		93,369		1,050,401
RADWARE Ltd. (Israel)*		35,789		402,984
Viavi Solutions, Inc.*		115,047		762,762
				3,450,833
Construction & Engineering — 0.8%
EMCOR Group, Inc.		29,254		1,441,052
Construction Materials — 1.0%
Eagle Materials, Inc.		13,812		1,065,596
Summit Materials, Inc. (Class A Stock)*		40,377		826,113
				1,891,709
Containers & Packaging — 1.2%
Berry Plastics Group, Inc.*		37,580		1,459,983
Graphic Packaging Holding Co.		62,469		783,361
				2,243,344
Distributors — 0.5%
Core-Mark Holding Co., Inc.		21,752		1,019,299
Diversified Financial Services — 0.5%
MarketAxess Holdings, Inc.		6,362		925,035
Electric Utilities — 2.7%
IDACORP, Inc.		21,991		1,788,968
PNM Resources, Inc.		45,815		1,623,683
Portland General Electric Co.		37,183		1,640,514
				5,053,165

SEE NOTES TO FINANCIAL STATEMENTS.

A1

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Electrical Equipment — 0.5%
EnerSys		8,133	$	483,669
Thermon Group Holdings, Inc.*		28,023		538,322
				1,021,991
Electronic Equipment, Instruments & Components — 1.4%
Anixter International, Inc.*		13,894		740,272
CTS Corp.		33,880		607,130
Littelfuse, Inc.		4,012		474,178
Plexus Corp.*		18,458		797,386
				2,618,966
Food & Staples Retailing — 0.1%
SUPERVALU, Inc.*		20,863		98,473
Food Products — 2.0%
Pinnacle Foods, Inc.		23,001		1,064,716
Post Holdings, Inc.*		5,514		455,953
TreeHouse Foods, Inc.*		21,244		2,180,697
				3,701,366
Gas Utilities — 2.8%
New Jersey Resources Corp.		38,555		1,486,295
South Jersey Industries, Inc.		22,698		717,711
Southwest Gas Corp.		19,393		1,526,423
WGL Holdings, Inc.		21,992		1,556,814
				5,287,243
Health Care Equipment & Supplies — 1.6%
CONMED Corp.		21,145		1,009,251
Endologix, Inc.*(a)		57,558		717,173
Integra LifeSciences Holdings Corp.*		12,903		1,029,401
Wright Medical Group NV*		9,611		166,943
				2,922,768
Health Care Providers & Services — 1.9%
Air Methods Corp.*(a)		17,387		622,976
American Renal Associates Holdings, Inc.*		10,972		317,859
Amsurg Corp.*		10,242		794,165
HealthSouth Corp.		12,219		474,341
Team Health Holdings, Inc.*		12,005		488,243
VCA Antech, Inc.*		13,003		879,133
				3,576,717
Health Care Technology — 0.4%
HMS Holdings Corp.*		21,288		374,881
Press Ganey Holdings, Inc.*		11,208		441,035
				815,916
Hotels, Restaurants & Leisure — 2.1%
Extended Stay America, Inc.		23,321		348,649
Jack in the Box, Inc.		13,338		1,146,001
Marriott Vacations Worldwide Corp.		12,921		884,959
Vail Resorts, Inc.		10,836		1,497,860
				3,877,469
Household Durables — 0.8%
Calatlantic Group, Inc.		19,790		726,491
Meritage Homes Corp.*		13,029		489,108
William Lyon Homes (Class A Stock)*		15,373		247,813
				1,463,412

COMMON STOCKS (continued)	Shares		Value (Note 2)
Household Products — 1.2%
Spectrum Brands Holdings, Inc.(a)		18,378	$	2,192,679
Independent Power & Renewable Electricity Producers — 0.3%
Dynegy, Inc.*		29,524		508,994
Insurance — 4.3%
American Equity Investment Life Holding Co.		8,658		123,377
AMERISAFE, Inc.		8,756		536,042
AmTrust Financial Services, Inc.		25,367		621,491
CNO Financial Group, Inc.		93,036		1,624,409
Endurance Specialty Holdings Ltd.		15,281		1,026,272
Enstar Group Ltd. (Bermuda)*(g)		3,310		536,187
Maiden Holdings Ltd.(a)		78,315		958,576
National General Holdings Corp.		44,736		958,245
ProAssurance Corp.		12,546		671,838
RLI Corp.		13,108		901,568
				7,958,005
Internet Software & Services — 0.3%
Cornerstone OnDemand, Inc.*		6,195		235,782
Marketo, Inc.*		10,674		371,668
				607,450
IT Services — 1.2%
Convergys Corp.		37,994		949,850
DST Systems, Inc.		5,583		650,029
MAXIMUS, Inc.		13,136		727,340
				2,327,219
Life Sciences Tools & Services — 0.5%
PRA Health Sciences, Inc.*(a)		10,485		437,854
VWR Corp.*		19,159		553,695
				991,549
Machinery — 3.1%
Barnes Group, Inc.		23,417		775,571
Clarcor, Inc.		12,637		768,709
Itt, Inc.		15,928		509,377
RBC Bearings, Inc.*		10,022		726,595
Rexnord Corp.*		26,339		517,035
Standex International Corp.		4,607		380,676
TriMas Corp.*		12,953		233,154
Watts Water Technologies, Inc. (Class A Stock)(a)		20,448		1,191,300
Woodward, Inc.		13,240		763,154
				5,865,571
Media — 1.3%
Live Nation Entertainment, Inc.*		65,425		1,537,488
Media General, Inc.*		4,212		72,404
Nexstar Broadcasting Group, Inc. (Class A Stock)		14,980		712,748
Townsquare Media, Inc. (Class A Stock)*		9,426		74,371
				2,397,011
Metals & Mining — 1.8%
Commercial Metals Co.(a)		45,111		762,376
Hecla Mining Co.(a)		69,104		352,430
Kaiser Aluminum Corp.		13,597		1,229,305
Royal Gold, Inc.		9,299		669,714
United States Steel Corp.		26,036		438,967
				3,452,792

SEE NOTES TO FINANCIAL STATEMENTS.

A2

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Multiline Retail — 1.0%
Burlington Stores, Inc.*		27,351	$	1,824,585
Multi-Utilities — 1.4%
Black Hills Corp.		20,059		1,264,519
NorthWestern Corp.		20,836		1,314,127
				2,578,646
Oil, Gas & Consumable Fuels — 5.2%
Carrizo Oil & Gas, Inc.*		22,758		815,874
Golar LNG Ltd. (Bermuda)		48,305		748,728
Memorial Resource Development Corp.*		72,431		1,150,204
Parsley Energy, Inc. (Class A Stock)*		42,838		1,159,196
PBF Energy, Inc. (Class A Stock)		25,630		609,482
PDC Energy, Inc.*		15,602		898,831
Rice Energy, Inc.*(a)		86,959		1,916,576
RSP Permian, Inc.*		42,947		1,498,421
Synergy Resources Corp.*		31,812		211,868
Whiting Petroleum Corp.*		31,373		290,514
WPX Energy, Inc.*		51,018		474,978
				9,774,672
Paper & Forest Products — 0.1%
Mercer International, Inc. (Canada)		13,558		108,193
Pharmaceuticals — 0.6%
Catalent, Inc.*		18,237		419,269
Prestige Brands Holdings, Inc.*		10,965		607,461
				1,026,730
Professional Services — 0.4%
On Assignment, Inc.*		18,723		691,815
Real Estate Investment Trusts (REITs) — 13.3%
Acadia Realty Trust		53,103		1,886,218
Apollo Commercial Real Estate Finance, Inc.		28,189		452,997
Blackstone Mortgage Trust, Inc. (Class A Stock)		49,901		1,380,761
Care Capital Properties, Inc.		49,180		1,289,008
CBL & Associates Properties, Inc.		43,555		405,497
Chesapeake Lodging Trust		81,250		1,889,062
CubeSmart		61,497		1,899,027
CyrusOne, Inc.		40,274		2,241,651
Highwoods Properties, Inc.		18,707		987,730
Hudson Pacific Properties, Inc.		30,160		880,069
MFA Financial, Inc.		142,538		1,036,251
Pebblebrook Hotel Trust		84,785		2,225,606
Pennymac Mortgage Investment Trust		15,381		249,634
Post Properties, Inc.		22,233		1,357,325
PS Business Parks, Inc.		12,756		1,353,156
RLJ Lodging Trust		31,316		671,728
Sovran Self Storage, Inc.		15,855		1,663,507
Terreno Realty Corp.		62,916		1,627,637
Two Harbors Investment Corp.		148,519		1,271,323
				24,768,187
Real Estate Management & Development — 0.7%
Kennedy-Wilson Holdings, Inc.		67,204		1,274,188

COMMON STOCKS (continued)	Shares		Value (Note 2)
Semiconductors & Semiconductor Equipment — 4.0%
Cabot Microelectronics Corp.		12,915	$	546,821
Cypress Semiconductor Corp.		61,944		653,509
Entegris, Inc.*		97,640		1,412,851
Fairchild Semiconductor International, Inc.*		41,884		831,397
Intersil Corp. (Class A Stock)		114,199		1,546,255
MKS Instruments, Inc.		25,664		1,105,092
Semtech Corp.*		36,168		862,969
Silicon Laboratories, Inc.*		10,379		505,872
				7,464,766
Software — 1.7%
Bottomline Technologies (DE), Inc.*		23,575		507,570
CommVault Systems, Inc.*		18,611		803,809
Monotype Imaging Holdings, Inc.		11,047		272,088
Verint Systems, Inc.*		47,750		1,581,957
				3,165,424
Specialty Retail — 2.1%
American Eagle Outfitters, Inc.		48,770		776,906
Ascena Retail Group, Inc.*		6,792		47,476
Boot Barn Holdings, Inc.*		31,396		270,634
CST Brands, Inc.		11,576		498,694
Lithia Motors, Inc. (Class A Stock)(a)		12,352		877,857
Monro Muffler Brake, Inc.(a)		9,190		584,116
Murphy USA, Inc.*		10,845		804,265
Office Depot, Inc.*		9,734		32,220
				3,892,168
Technology Hardware, Storage & Peripherals — 0.5%
Electronics For Imaging, Inc.*		22,131		952,518
Textiles, Apparel & Luxury Goods — 0.7%
Columbia Sportswear Co.		10,157		584,434
G-III Apparel Group Ltd.*		9,102		416,144
Steven Madden Ltd.*		10,108		345,491
				1,346,069
Thrifts & Mortgage Finance — 2.1%
Brookline Bancorp, Inc.		41,693		459,874
Dime Community Bancshares, Inc.		16,065		273,266
EverBank Financial Corp.		52,531		780,611
OceanFirst Financial Corp.		6,461		117,396
Oritani Financial Corp.		20,395		326,116
Provident Financial Services, Inc.		38,115		748,578
Radian Group, Inc.		73,173		762,463
WSFS Financial Corp.		15,915		512,304
				3,980,608
Trading Companies & Distributors — 1.9%
Beacon Roofing Supply, Inc.*		27,784		1,263,339
Gms, Inc.*		11,456		254,896
Kaman Corp.(a)		20,933		890,071
Univar, Inc.*		30,198		571,044
WESCO International, Inc.*		9,804		504,808
				3,484,158
Water Utilities — 0.5%
California Water Service Group(a)		28,537		996,797
TOTAL LONG-TERM INVESTMENTS (cost $154,220,381)				184,259,519

SEE NOTES TO FINANCIAL STATEMENTS.

A3

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

SHORT-TERM INVESTMENT — 7.3%
AFFILIATED MUTUAL FUND	Shares		Value (Note 2)
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund (cost $13,646,367; includes $11,691,366 of cash collateral for securities on loan)(b)(w)(Note 4)		13,646,367	$	13,646,367
TOTAL INVESTMENTS — 105.9% (cost $167,866,748)				197,905,886
LIABILITIES IN EXCESS OF OTHER ASSETS — (5.9)%				(10,962,030	)
NET ASSETS — 100.0%			$	186,943,856

* 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 $11,619,725; cash collateral of $11,691,366 (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 have been deemed illiquid.

(w) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond 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, 2016 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	3,395,195	$	—	$	—
Air Freight & Logistics		1,054,159		—		—
Auto Components		481,840		—		—
Banks		31,962,907		—		—
Building Products		2,861,742		—		—
Capital Markets		2,291,100		—		—
Chemicals		3,756,697		—		—
Commercial Services & Supplies		3,416,327		—		—
Communications Equipment		3,450,833		—		—
Construction & Engineering		1,441,052		—		—
Construction Materials		1,891,709		—		—

	Level 1		Level 2		Level 3
Containers & Packaging	$	2,243,344	$	—	$	—
Distributors		1,019,299		—		—
Diversified Financial Services		925,035		—		—
Electric Utilities		5,053,165		—		—
Electrical Equipment		1,021,991		—		—
Electronic Equipment, Instruments & Components		2,618,966		—		—
Food & Staples Retailing		98,473		—		—
Food Products		3,701,366		—		—
Gas Utilities		5,287,243		—		—
Health Care Equipment & Supplies		2,922,768		—		—
Health Care Providers & Services		3,576,717		—		—
Health Care Technology		815,916		—		—
Hotels, Restaurants & Leisure		3,877,469		—		—
Household Durables		1,463,412		—		—
Household Products		2,192,679		—		—
Independent Power & Renewable Electricity Producers		508,994		—		—
Insurance		7,958,005		—		—
Internet Software & Services		607,450		—		—
IT Services		2,327,219		—		—
Life Sciences Tools & Services		991,549		—		—
Machinery		5,865,571		—		—
Media		2,397,011		—		—
Metals & Mining		3,452,792		—		—
Multiline Retail		1,824,585		—		—
Multi-Utilities		2,578,646		—		—
Oil, Gas & Consumable Fuels		9,774,672		—		—
Paper & Forest Products		108,193		—		—
Pharmaceuticals		1,026,730		—		—
Professional Services		691,815		—		—
Real Estate Investment Trusts (REITs)		24,768,187		—		—
Real Estate Management & Development		1,274,188		—		—
Semiconductors & Semiconductor Equipment		7,464,766		—		—
Software		3,165,424		—		—
Specialty Retail		3,892,168		—		—
Technology Hardware, Storage & Peripherals		952,518		—		—
Textiles, Apparel & Luxury Goods		1,346,069		—		—
Thrifts & Mortgage Finance		3,980,608		—		—
Trading Companies & Distributors		3,484,158		—		—
Water Utilities		996,797		—		—
Affiliated Mutual Fund		13,646,367		—		—
Total	$	197,905,886	$	—	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A4

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2016 (unaudited)

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2016 were as follows:

Banks	17.1	%
Real Estate Investment Trusts (REITs)	13.3
Affiliated Mutual Fund (including 6.3% of collateral for securities on loan)	7.3
Oil, Gas & Consumable Fuels	5.2
Insurance	4.3
Semiconductors & Semiconductor Equipment	4.0
Machinery	3.1
Gas Utilities	2.8
Electric Utilities	2.7
Thrifts & Mortgage Finance	2.1
Specialty Retail	2.1
Hotels, Restaurants & Leisure	2.1
Chemicals	2.0
Food Products	2.0
Health Care Providers & Services	1.9
Trading Companies & Distributors	1.9
Metals & Mining	1.8
Communications Equipment	1.8
Commercial Services & Supplies	1.8
Aerospace & Defense	1.8
Software	1.7
Health Care Equipment & Supplies	1.6
Building Products	1.5
Electronic Equipment, Instruments & Components	1.4
Multi-Utilities	1.4
Media	1.3
IT Services	1.2

Capital Markets	1.2	%
Containers & Packaging	1.2
Household Products	1.2
Construction Materials	1.0
Multiline Retail	1.0
Household Durables	0.8
Construction & Engineering	0.8
Textiles, Apparel & Luxury Goods	0.7
Real Estate Management & Development	0.7
Air Freight & Logistics	0.6
Pharmaceuticals	0.6
Electrical Equipment	0.5
Distributors	0.5
Water Utilities	0.5
Life Sciences Tools & Services	0.5
Technology Hardware, Storage & Peripherals	0.5
Diversified Financial Services	0.5
Health Care Technology	0.4
Professional Services	0.4
Internet Software & Services	0.3
Independent Power & Renewable Electricity Producers	0.3
Auto Components	0.3
Paper & Forest Products	0.1
Food & Staples Retailing	0.1
	105.9
Liabilities in excess of other assets	(5.9	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A5

SP SMALL CAP VALUE PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(Unaudited)

as of June 30, 2016

ASSETS
Investments at value, including securities on loan of $11,619,725:
Unaffiliated investments (cost $154,220,381)	$	184,259,519
Affiliated investments (cost $13,646,367)		13,646,367
Cash		277
Receivable for investments sold		2,058,069
Dividends receivable		403,574
Tax reclaim receivable		6,549
Prepaid expenses		238
Total assets		200,374,593
LIABILITIES
Payable to broker for collateral for securities on loan		11,691,366
Payable for investments purchased		1,410,571
Management fee payable		136,422
Payable for Series shares repurchased		101,756
Accrued expenses		89,282
Affiliated transfer agent fee payable		980
Deferred trustees’ fees		360
Total liabilities		13,430,737
NET ASSETS	$	186,943,856
Net assets were comprised of:
Paid-in capital	$	75,917,732
Retained earnings		111,026,124
Net assets, June 30, 2016	$	186,943,856
Class I:
Net asset value and redemption price per share $186,943,856 / 9,489,521 outstanding shares of beneficial interest	$	19.70

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2016

NET INVESTMENT INCOME (LOSS)
Income
Unaffiliated dividend income (net of foreign withholding taxes of $1,323)	$	1,464,607
Affiliated income from securities lending, net		48,682
Affiliated dividend income		12,814
Total income		1,526,103
EXPENSES
Management fee		810,100
Custodian and accounting fees		43,000
Shareholders’ reports		33,000
Audit fee		12,000
Trustees’ fees		6,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Legal fees and expenses		5,000
Insurance expenses		1,000
Loan interest expense		90
Miscellaneous		7,198
Total expenses		923,388
Less: Management fee waiver and/or expense reimbursement		(7,201	)
Net expenses		916,187
NET INVESTMENT INCOME (LOSS)		609,916
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on investment transactions		(3,386,738	)
Net change in unrealized appreciation (depreciation) on:
Investments		12,166,022
Foreign currencies		366
		12,166,388
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		8,779,650
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	9,389,566

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)

	Six Months Ended June 30, 2016			Year Ended December 31, 2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	609,916		$	1,107,065
Net realized gain (loss) on investment and foreign currency transactions		(3,386,738	)		29,976,611
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		12,166,388			(42,048,763	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		9,389,566			(10,965,087	)
SERIES SHARE TRANSACTIONS
Series shares sold [135,461 and 284,448 shares, respectively]		2,460,119			5,643,047
Series shares repurchased [786,896 and 1,129,566 shares, respectively]		(14,684,411	)		(22,112,060	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(12,224,292	)		(16,469,013	)
CAPTIAL CONTRIBUTIONS (NOTE 4)		131,207			—
TOTAL INCREASE (DECREASE)		(2,703,519	)		(27,434,100	)
NET ASSETS:
Beginning of period		189,647,375			217,081,475
End of period	$	186,943,856		$	189,647,375

SEE NOTES TO FINANCIAL STATEMENTS.

A6

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.

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 (generally, 4:00PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to 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.

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. The models generate an evaluated adjustment factor for each security, which can be applied to the local closing price to adjust it for post closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price to the extent that the valuation meets the established confidence level for each security. Such confidence level is a measure of the probability of a relationship between a given equity security and the factors used in the models. If the confidence level is not met or the vendor does not provide an evaluated 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.

B1

Participatory notes (P-notes) are generally valued based upon the value of a related underlying security that trades actively in the market and are classified as Level 2 in the fair value hierarchy.

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, 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 of the Portfolio. However, the liquidity of the Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.

Foreign Currency Translation:    The books and records of the 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 generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the 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, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolio does isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.

Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from holdings of foreign currencies, forward currency contracts, disposition of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.

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.

B2

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. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off, and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.

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 ultra short-term bond 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 borrower receives all interest and dividends and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned that may occur during the term of the loan.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-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.

Taxes:    For federal income tax purposes, the Portfolio 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 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. Such taxes are accrued net of reclaimable amounts at the time the related income/gain is recorded.

Distributions:    Distributions, if any, from the Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. Distributions are recorded on the ex-date.

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

Note 3. Agreements

The 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 Goldman Sachs Asset Management, L.P. (“GSAM”) (the “Subadviser”), under which GSAM provides investment advisory services for the Portfolio. PI pays for the services of the Subadviser, 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 0.90% of the Portfolio’s average daily net assets. PI has contractually agreed, through June 30, 2017, to waive a portion of

B3

its management fee equal to an annual rate of 0.008% of the average net assets of the Portfolio. The effective management fee rate was 0.89% for the six months ended June 30, 2016.

PI is an indirect, wholly-owned subsidiary 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 (loss) on investment transactions presented in the Statement of Operations. For the six months ended June 30, 2016, brokerage commission recaptured under these agreements was $2,956.

Note 4. Other Transactions with Affiliates

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

PGIM, Inc., an indirect, wholly-owned subsidiary of Prudential, is the Portfolio’s securities lending agent. Net earnings from securities lending are disclosed on the Statement of Operations as “Affiliated income from securities lending, net”. Effective February 5, 2016, PGIM, Inc. is being paid no compensation for acting as the securities lending agent. In addition, the securities lending agent continues to absorb the transaction costs associated with the securities lending activity. Effective July 7, 2016, the Board replaced PGIM, Inc. as securities lending agent with a third party agent. For the six months ended June 30, 2016, PGIM, Inc. has been compensated $312 for these services.

In February 2016, Prudential, the parent company of the manager (PI) self reported to the Securities and Exchange Commission (SEC) and certain other regulators that, in some cases, it failed to maximize securities lending income for the Portfolio of Prudential Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid the affected Portfolio an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Portfolio. The amount of opportunity loss payment to the Portfolio is disclosed in the Portfolio’s “Statement of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions”.

The SEC Staff and other regulators are currently reviewing the matter.

The Portfolio may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board.

The Portfolio invests in the Prudential Core Ultra Short Bond Fund (formerly known as 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 cost of purchases and proceeds from sales of portfolio securities other than short-term investments and U.S. government securities for the six months ended June 30, 2016 were $46,001,058 and $55,463,424, respectively.

Note 6. Tax Information

The Portfolio is treated as a partnership for tax purposes. The character of the cash distributions, if any, made by the partnership is generally classified as return of capital nontaxable distributions. After each fiscal year each shareholder of record will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

B4

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 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 provision for income tax is 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 shares of the Portfolio are not subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“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.

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 8, 2015 through October 6, 2016. The Funds pay an annualized commitment fee of .11% of the unused portion of the SCA. Interest on any borrowings under the SCA is paid at contracted market rates. The Portfolio’s portion of 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, 2016. The average daily balance for the 1 day that the Portfolio had loans outstanding during the period was $1,920,000 borrowed at a weighted average interest rate of 1.69%. The maximum loan balance outstanding amount during the period was $1,920,000. At June 30, 2016, the Portfolio did not have an outstanding loan balance.

Note 9. Ownership and Affiliates

As of June 30, 2016, 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

In January 2016, the FASB issued ASU No. 2016-01 regarding “Recognition and Measurement of Financial Assets and Financial Liabilities”. The new guidance is intended to enhance the reporting model for financial instruments to provide users of financial statements with more decision-useful information and addresses certain aspects of the recognition, measurement, presentation, and disclosure of financial instruments. The new standard affects all entities that hold financial assets or owe financial liabilities. The new guidance is effective for public companies for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. At this time, management is evaluating the implications of ASU No. 2016-01 and its impact on the financial statements and disclosures has not yet been determined.

B5

Financial Highlights

(Unaudited)

	SP Small Cap Value Portfolio
	Six Months Ended June, 30, 2016(c)			Year Ended December 31,
				2015(c)			2014			2013			2012			2011
Per Share Operating Performance:
Net Asset Value, beginning of period	$	18.70		$	19.76		$	18.83		$	13.70		$	11.86		$	12.28
Income (Loss) From Investment Operations:
Net investment income (loss)		.06			.10			.14			.10			.16			.07
Net realized and unrealized gain (loss) on investments		.93			(1.16	)		.79			5.03			1.74			(.41	)
Total from investment operations		.99			(1.06	)		.93			5.13			1.90			(.34	)
Less Distributions:		—			—			—			—			(.06	)		(.08	)
Capital Contributions(f) (Note 4):		.01			—			—			—			—			—
Net Asset Value, end of period	$	19.70		$	18.70		$	19.76		$	18.83		$	13.70		$	11.86
Total Return(a)		5.35	%		(5.36	)%		4.94	%		37.45	%		16.06	%		(2.77	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	186.9		$	189.6		$	217.1		$	228.3		$	179.6		$	177.5
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		1.02	%(d)		1.02	%		.99	%		1.01	%		1.01	%		.99	%
Expenses before waivers and/or expense reimbursement		1.03	%(d)		1.03	%		1.00	%		1.01	%		1.01	%		.99	%
Net investment income		.68	%(d)		.54	%		.56	%		.52	%		1.14	%		.41	%
Portfolio turnover rate		26	%(e)		94	%		41	%		56	%		39	%		36	%

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods of less than one year are not annualized.

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

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

(d) Annualized.

(e) Not annualized

(f) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefitted Prudential. The total return for the period includes the amount of capital contribution.

SEE NOTES TO FINANCIAL STATEMENTS.

C1

Approval of Advisory Agreements

The Trust’s Board of Trustees

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

Annual Approval of the Trust’s Advisory Agreements

As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with Prudential Investments LLC (PI) and the SP Small-Cap Value Portfolio’s (the Portfolio) subadvisory agreement. As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 13-15, 2016 (the Meeting) and approved the renewal of the agreements through July 31, 2017, 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 advance of the Meeting, the Trustees requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe and peer group, as is further discussed below.

In approving the agreements, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided, the performance of 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 Goldman Sachs Asset Management, L.P. (Goldman Sachs or the subadviser), which serves as subadviser pursuant to the terms of a subadvisory agreement with PI, are in the best interests 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 Board considered the approval of the agreements for the Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on a Portfolio-by-Portfolio basis.

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

Nature, quality and extent of services

The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by 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 the 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 subadviser, to renew the subadvisory agreement.

The Board reviewed the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of the Trust and the subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadviser’s 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 the subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to PI and the subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PI and the 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 the subadviser, and that there was a reasonable basis on which to conclude that the Portfolio benefits from the services provided by PI and the 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 Subadviser

The Board considered potential ancillary benefits that might be received by PI, the subadviser, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PI included 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 subadviser included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadviser, 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 subadviser 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, 2015. 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 Broadridge, Inc. (Broadridge), 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 2015. 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 mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for the Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.

The mutual funds included in each Peer Universe and each Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolio in various quartiles, with the 1^st quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that 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 Broadridge for the Board’s consideration.

The section below summarizes key factors considered by the Board and the Board’s conclusions regarding the Portfolio’s performance, fees and overall expenses. The 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 Small Cap Value Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
	1st Quartile	2nd Quartile	2nd Quartile	2nd Quartile
Actual Management Fees: 3rd Quartile
Net Total Expenses: 4th Quartile

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

• The Board noted that PI had contractually agreed to waive 0.008% of its management fee through June 30, 2017.

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

**********

After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, the Portfolio and its beneficial shareholders.

This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life contract. The prospectuses contain information on the contract and the investment objectives, risks, charges and expenses of the portfolios, and should be read carefully.

A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request by calling the appropriate phone number listed below. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.

The Fund files with the Commission a complete listing of portfolio holdings as of its first and third calendar 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 may offer 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) and to separate accounts of insurance companies not affiliated with Prudential where Prudential has assumed responsibility for the administration of contracts issued through such non-affiliated insurance companies, 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.

^©2016 Prudential Financial, Inc. and its related entities. Prudential Investments, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

0278965-00003-00 PSF-SAR-SP SMALL CAP VAL

The Prudential Series Fund

SEMIANNUAL REPORT June 30, 2016

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, 2016, 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.

Jennison 20/20 Focus Portfolio

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The Prudential Series Fund   Table of Contents Semiannual Report June 30, 2016

n LETTER TO CONTRACT OWNERS

n PRESENTATION OF PORTFOLIO HOLDINGS

n FEES AND EXPENSES

n FINANCIAL REPORTS

Section A	Schedule of Investments and Financial Statements
Section B	Notes to Financial Statements
Section C	Financial Highlights

n APPROVAL OF ADVISORY AGREEMENTS

The Prudential Series Fund   Letter to Contract Owners Semiannual Report June 30, 2016

n DEAR CONTRACT OWNER

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

Prudential has been building on a heritage of success for more than 135 years. 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,

Timothy S. Cronin

President,

The Prudential Series Fund July 29, 2016

The Prudential Series Fund   Presentation of Portfolio Holdings — unaudited June 30, 2016

Jennison 20/20 Focus
Five Largest Holdings	(% of Net Assets	)
salesforce.com, inc.	5.0%
Facebook, Inc. (Class A Stock)	4.9%
Amazon.com, Inc.	4.9%
Shire PLC	4.9%
Tencent Holdings Ltd. (China)	4.2%

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

The Prudential Series Fund   Fees and Expenses — unaudited June 30, 2016

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, 2016 through June 30, 2016.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

The Prudential Series Fund Portfolios		Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During  the Six-Month period*
Jennison 20/20 Focus (Class I)	Actual	$	1,000.00	$	955.90		0.84	%	$	4.08
	Hypothetical	$	1,000.00	$	1,020.69		0.84	%	$	4.22
Jennison 20/20 Focus (Class II)	Actual	$	1,000.00	$	953.80		1.24	%	$	6.02
	Hypothetical	$	1,000.00	$	1,018.70		1.24	%	$	6.22

* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 182 days in the six-month period ended June 30, 2016, and divided by the 366 days in the Portfolio’s fiscal year ending December 31, 2016 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.

	JENNISON 20/20 FOCUS PORTFOLIO
SCHEDULE OF INVESTMENTS		June 30, 2016 (unaudited)

LONG-TERM INVESTMENTS — 96.0%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 0.9%
Boeing Co. (The)		13,852	$	1,798,959
Banks — 4.7%
JPMorgan Chase & Co.		90,492		5,623,173
PNC Financial Services Group, Inc. (The)		50,225		4,087,813
				9,710,986
Beverages — 2.5%
Monster Beverage Corp.*		31,923		5,130,345
Biotechnology — 7.5%
Celgene Corp.*		55,367		5,460,847
Shire PLC, ADR		54,026		9,945,106
				15,405,953
Chemicals — 0.7%
Dow Chemical Co. (The)		30,775		1,529,825
Consumer Finance — 1.4%
SLM Corp.*		474,910		2,934,944
Electric Utilities — 1.9%
PG&E Corp.		61,266		3,916,123
Electrical Equipment — 1.4%
Eaton Corp. PLC		47,419		2,832,337
Energy Equipment & Services — 1.7%
Halliburton Co.		77,684		3,518,308
Food Products — 1.9%
Mondelez International, Inc. (Class A Stock)		84,078		3,826,390
Health Care Equipment & Supplies — 1.3%
Zimmer Biomet Holdings, Inc.		21,579		2,597,680
Hotels, Restaurants & Leisure — 2.4%
Carnival Corp.		55,292		2,443,906
McDonald’s Corp.		19,847		2,388,388
				4,832,294
Insurance — 1.7%
MetLife, Inc.		87,501		3,485,165
Internet & Catalog Retail — 6.9%
Amazon.com, Inc.*		14,107		10,095,251
Netflix, Inc.*		44,995		4,116,143
				14,211,394
Internet Software & Services — 17.0%
Alibaba Group Holding Ltd. (China), ADR*		77,175		6,137,728
Alphabet, Inc. (Class A Stock)*		5,677		3,993,940
Alphabet, Inc. (Class C Stock)*		5,771		3,994,109
eBay, Inc.*		77,298		1,809,546
Facebook, Inc. (Class A Stock)*		88,496		10,113,323
Tencent Holdings Ltd. (China), ADR(a)		377,413		8,669,176
				34,717,822
IT Services — 3.9%
Visa, Inc. (Class A Stock)		106,517		7,900,366
Media — 1.7%
Comcast Corp. (Class A Stock)		52,643		3,431,797

COMMON STOCKS (continued)	Shares		Value (Note 2)
Multiline Retail — 1.4%
Target Corp.		40,147	$	2,803,064
Oil, Gas & Consumable Fuels — 4.0%
Concho Resources, Inc.*		22,022		2,626,564
Noble Energy, Inc.		80,329		2,881,401
Occidental Petroleum Corp.		34,530		2,609,087
				8,117,052
Pharmaceuticals — 8.6%
Allergan PLC*		30,078		6,950,725
Bristol-Myers Squibb Co.		102,372		7,529,461
Pfizer, Inc.		85,523		3,011,265
				17,491,451
Semiconductors & Semiconductor Equipment — 1.7%
Texas Instruments, Inc.		55,293		3,464,106
Software — 9.3%
Adobe Systems, Inc.*		65,158		6,241,485
Microsoft Corp.		48,504		2,481,950
salesforce.com, inc.*		128,987		10,242,857
				18,966,292
Specialty Retail — 9.2%
Home Depot, Inc. (The)		30,390		3,880,499
Industria de Diseno Textil SA (Spain)		168,942		5,675,455
O’Reilly Automotive, Inc.*		21,688		5,879,617
TJX Cos., Inc. (The)		43,870		3,388,080
				18,823,651
Textiles, Apparel & Luxury Goods — 2.3%
adidas AG (Germany)		33,286		4,744,853
TOTAL LONG-TERM INVESTMENTS (cost $163,331,078)				196,191,157
SHORT-TERM INVESTMENT — 7.0%
AFFILIATED MUTUAL FUND
Prudential Investment Portfolios 2 —Prudential Core Ultra Short Bond Fund (cost $14,217,180; includes $1,081,003 of cash collateral for securities on loan)(b)(c)(Note 4)		14,217,180		14,217,180
TOTAL INVESTMENTS — 103.0% (cost $177,548,258)				210,408,337
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.0)%				(6,068,104	)
NET ASSETS — 100.0%			$	204,340,233

The following abbreviations are used in the semiannual report:

ADR	American Depositary Receipt
OTC	Over-the-counter
*	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 $1,079,355; cash collateral of $1,081,003 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

SEE NOTES TO FINANCIAL STATEMENTS.

A1

	JENNISON 20/20 FOCUS PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2016 (unaudited)

(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 Ultra Short Bond 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, 2016 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	1,798,959	$	—	$	—
Banks		9,710,986		—		—
Beverages		5,130,345		—		—
Biotechnology		15,405,953		—		—
Chemicals		1,529,825		—		—
Consumer Finance		2,934,944		—		—
Electric Utilities		3,916,123		—		—
Electrical Equipment		2,832,337		—		—
Energy Equipment & Services		3,518,308		—		—
Food Products		3,826,390		—		—
Health Care Equipment & Supplies		2,597,680		—		—
Hotels, Restaurants & Leisure		4,832,294		—		—
Insurance		3,485,165		—		—
Internet & Catalog Retail		14,211,394		—		—
Internet Software & Services		34,717,822		—		—
IT Services		7,900,366		—		—
Media		3,431,797		—		—
Multiline Retail		2,803,064		—		—
Oil, Gas & Consumable Fuels		8,117,052		—		—
Pharmaceuticals		17,491,451		—		—
Semiconductors & Semiconductor Equipment		3,464,106		—		—
Software		18,966,292		—		—
Specialty Retail		13,148,196		5,675,455		—
Textiles, Apparel & Luxury Goods		4,744,853		—		—
Affiliated Mutual Fund		14,217,180		—		—
Total	$	204,732,882	$	5,675,455	$	—

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2016 were as follows:

Internet Software & Services	17.0	%
Software	9.3
Specialty Retail	9.2
Pharmaceuticals	8.6
Biotechnology	7.5
Affiliated Mutual Fund (including 0.5% of collateral for securities on loan)	7.0
Internet & Catalog Retail	6.9
Banks	4.7
Oil, Gas & Consumable Fuels	4.0
IT Services	3.9
Beverages	2.5
Hotels, Restaurants & Leisure	2.4
Textiles, Apparel & Luxury Goods	2.3
Electric Utilities	1.9
Food Products	1.9
Energy Equipment & Services	1.7
Insurance	1.7
Semiconductors & Semiconductor Equipment	1.7
Media	1.7
Consumer Finance	1.4
Electrical Equipment	1.4
Multiline Retail	1.4
Health Care Equipment & Supplies	1.3
Aerospace & Defense	0.9
Chemicals	0.7
	103.0
Liabilities in excess of other assets	(3.0	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A2

JENNISON 20/20 FOCUS PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2016

ASSETS
Investments at value, including securities on loan of $1,079,355:
Unaffiliated investments (cost $163,331,078)	$	196,191,157
Affiliated investments (cost $14,217,180)		14,217,180
Receivable for investments sold		3,632,863
Dividends receivable		148,550
Receivable for Series shares sold		59,156
Tax reclaim receivable		49,956
Prepaid expenses		265
Total Assets		214,299,127
LIABILITIES
Payable for investments purchased		8,601,172
Payable to broker for collateral for securities on loan		1,081,003
Management fee payable		126,858
Accrued expenses		64,290
Payable for Series shares repurchased		36,200
Distribution fee payable		30,197
Administration fee payable		18,147
Affiliated transfer agent fee payable		980
Loan interest payable		47
Total Liabilities		9,958,894
NET ASSETS	$	204,340,233
Net assets were comprised of:
Paid-in capital	$	42,783,629
Retained earnings		161,556,604
Net assets, June 30, 2016	$	204,340,233
Class I:
Net asset value and redemption price per share $59,240,198 / 2,630,797 outstanding shares of beneficial interest	$	22.52
Class II:
Net asset value and redemption price per share $145,100,035 / 6,686,069 outstanding shares of beneficial interest	$	21.70

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2016

NET INVESTMENT INCOME (LOSS)
Income
Unaffiliated dividend income (net of foreign withholding taxes of $10,335)	$	1,144,992
Affiliated income from securities lending, net		63,613
Affiliated dividend income		16,988
Total income		1,225,593
EXPENSES
Management fee		767,443
Distribution fee—Class II		181,522
Administration fee—Class II		108,914
Shareholders’ reports		27,000
Custodian and accounting fees		25,000
Audit fee		13,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Trustees’ fees		6,000
Legal fees and expenses		4,000
Insurance expenses		2,000
Loan interest expense		17
Miscellaneous		5,437
Total expenses		1,146,333
NET INVESTMENT INCOME (LOSS)		79,260
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		4,261,166
Foreign currency transactions		(3,876	)
		4,257,290
Net change in unrealized appreciation (depreciation) on:
Investments		(14,892,494	)
Foreign currencies		2,470
		(14,890,024	)
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(10,632,734	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(10,553,474	)

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2016			Year Ended December 31, 2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	79,260		$	40,445
Net realized gain (loss) on investment and foreign currency transactions		4,257,290			21,349,894
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(14,890,024	)		(7,372,890	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(10,553,474	)		14,017,449
SERIES SHARE TRANSACTIONS (NOTE 7)
Series shares sold		9,643,997			23,035,596
Series shares repurchased		(20,432,496	)		(51,696,823	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(10,788,499	)		(28,661,227	)
CAPITAL CONTRIBUTIONS (NOTE 4)		183,135			—
TOTAL INCREASE (DECREASE)		(21,158,838	)		(14,643,778	)
NET ASSETS:
Beginning of period		225,499,071			240,142,849
End of period	$	204,340,233		$	225,499,071

SEE NOTES TO FINANCIAL STATEMENTS.

A3

NOTES TO THE FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

(unaudited)

Note 1. General

The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”). The Series Fund is composed of seventeen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to Jennison 20/20 Focus Portfolio.

The Portfolio’s investment objective is long-term growth of capital.

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 (generally, 4:00PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to 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.

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. The models generate an evaluated adjustment factor for each security, which can be applied to the local closing price to adjust it for post closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price to the extent that the valuation meets the established confidence level for each security. Such confidence level is a measure of the probability of a relationship between a given equity security and the factors used in the models. If the confidence level is not met or the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.

Participatory notes (P-notes) are generally valued based upon the value of a related underlying security that trades actively in the market and are classified as Level 2 in the fair value hierarchy.

B1

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

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, the Portfolio may invest up to 15% of their net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, the Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its Subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s Subadviser under the guidelines adopted by the Board of the Portfolio. However, the liquidity of the Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.

Foreign Currency Translation:    The books and records of the 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 generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the 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, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolio does isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.

Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from holdings of foreign currencies, forward currency contracts, disposition of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.

Concentration of Risk:    The ability of debt securities issuers (other than those issued or guaranteed by the U.S. Government) held by the Portfolio to meet its obligations may be affected by the economic or political

B2

developments in a specific industry, region or country. Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political and economic instability or the level of governmental supervision and regulation of foreign securities markets.

Master Netting Arrangements:    The Portfolio may be 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. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.

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 ultra short-term bond 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 borrower receives all interest and dividends and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned that may occur during the term of the loan.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-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 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 (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, the Portfolio 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 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. Such taxes are accrued net of reclaimable amounts at the time the related income/gain is recorded.

Distributions:    Distributions, if any, from the Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. Distributions to shareholders are recorded on the ex-date.

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

B3

Note 3. Agreements

The Portfolio has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PI has entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”) (the “Subadviser”), under which Jennison provides investment advisory services for the Portfolio. PI pays for the services of the Subadviser, 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 0.75% of the Portfolio’s average daily net assets. The effective management fee rate was 0.75% for the six months ended June 30, 2016.

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. Commission recapture is paid solely to those Portfolios generating the applicable trades. Such amounts are included with realized gain (loss) on investment transactions presented in the Statement of Operations. For the six months ended June 30, 2016, brokerage commission recaptured under these agreements was $5,889.

Note 4. Other Transactions with Affiliates

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

PGIM, Inc., an indirect, wholly-owned subsidiary of Prudential, is the Portfolio’s securities lending agent. Net earnings from securities lending are disclosed on the Statement of Operations as “Affiliated income from securities lending, net”. Effective February 5, 2016, PGIM, Inc. is being paid no compensation for acting as the securities lending agent. In addition, the securities lending agent continues to absorb the transaction costs associated with the securities lending activity. Effective July 7, 2016, the Board replaced PGIM, Inc. as securities lending agent with a third party agent. For the six months ended June 30, 2016, PGIM, Inc. has been compensated $1,085 for these services.

In February 2016, Prudential, the parent company of the manager (PI) self reported to the Securities and Exchange Commission (SEC) and certain other regulators that, in some cases, it failed to maximize securities lending income for the Portfolio of Prudential Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid the affected Portfolio an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Portfolio. The amount of opportunity loss payment to the Portfolio is disclosed in the Portfolio’s “Statement of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions”.

The SEC Staff and other regulators are currently reviewing the matter.

B4

The Portfolio may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board.

The Portfolio invests in the Prudential Core Ultra Short Bond Fund, (formerly known as Prudential Core Taxable Money Market Fund), (the “Core Fund”), a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PI. Earnings from the Core Fund are disclosed on the Statement of Operations as “Affiliated dividend income”.

Note 5. Portfolio Securities

The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding government securities and short-term issues) for the six months ended June 30, 2016 were $76,749,561 and $89,838,067, respectively.

Note 6. Tax Information

The Portfolio is treated as a partnership for tax purposes. The character of the cash distributions, if any, made by the partnership is generally classified as return of capital nontaxable distributions. After each fiscal year each shareholder of record will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

With respect to the 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 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 provision for income tax is 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 Portfolios. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts.

Transactions in shares of beneficial interest were as follows:

Class I:	Shares			Amount
Six months ended June 30, 2016:
Series shares sold		64,947		$	1,410,054
Series shares repurchased		(211,854	)		(4,664,681	)
Net increase (decrease) in shares outstanding		(146,907	)	$	(3,254,627	)
Year ended December 31, 2015:
Series shares sold		141,494		$	3,262,194
Series shares repurchased		(395,468	)		(9,099,543	)
Net increase (decrease) in shares outstanding		(253,974	)	$	(5,837,349	)

B5

Class II:	Shares			Amount
Six months ended June 30, 2016:
Series shares sold		391,608		$	8,233,943
Series shares repurchased		(740,905	)		(15,767,815	)
Net increase (decrease) in shares outstanding		(349,297	)	$	(7,533,872	)
Year ended December 31, 2015:
Series shares sold		897,065		$	19,773,402
Series shares repurchased		(1,909,594	)		(42,597,280	)
Net increase (decrease) in shares outstanding		(1,012,529	)	$	(22,823,878	)

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 8, 2015 through October 6, 2016. The Funds pay an annualized commitment fee of .11% of the unused portion of the SCA. Interest on any borrowings under the SCA is paid at contracted market rates. The Portfolio’s portion of 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, 2016. The average daily balance for the 2 days that the Portfolio had loans outstanding during the period was $177,000, borrowed at a weighted average interest rate of 1.72%. The maximum loan balance outstanding during the period was $254,000. At June 30, 2016, the Portfolio did not have an outstanding loan balance.

Note 9. Ownership and Affiliates

As of June 30, 2016, 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

In January 2016, the FASB issued ASU No. 2016-01 regarding “Recognition and Measurement of Financial Assets and Financial Liabilities”. The new guidance is intended to enhance the reporting model for financial instruments to provide users of financial statements with more decision-useful information and addresses certain aspects of the recognition, measurement, presentation, and disclosure of financial instruments. The new standard affects all entities that hold financial assets or owe financial liabilities. The new guidance is effective for public companies for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. At this time, management is evaluating the implications of ASU No. 2016-01 and its impact on the financial statements and disclosures has not yet been determined.

B6

Financial Highlights

(unaudited)

	Jennison 20/20 Focus Portfolio
	Class I
	Six Months Ended June 30, 2016(c)			Year Ended December 31,
				2015(c)			2014(c)			2013(c)			2012(c)			2011(c)
Per Share Operating Performance:
Net Asset Value, beginning of period	$	23.56		$	22.16		$	20.69		$	15.93		$	14.89		$	15.55
Income (Loss) From Investment Operations:
Net investment income (loss)		.04			.07			.02			.09			.05			.04
Net realized and unrealized gain (loss) on investments		(1.10	)		1.33			1.45			4.67			1.55			(.69	)
Total from investment operations		(1.06	)		1.40			1.47			4.76			1.60			(.65	)
Less Distributions		—			—			—			—			(.56	)		(.01	)
Capital Contributions (Note 4)		.02	(e)		—			—			—			—			—
Net Asset Value, end of period	$	22.52		$	23.56		$	22.16		$	20.69		$	15.93		$	14.89
Total Return(a)		(4.41	)%		6.32	%		7.10	%		29.88	%		11.04	%		(4.17	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	59.2		$	65.4		$	67.2		$	68.7		$	59.1		$	58.7
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		.84	%(f)		.83	%		.83	%		.84	%		.80	%		.80	%
Expenses before waivers and/or expense reimbursement		.84	%(f)		.83	%		.83	%		.84	%		.80	%		.80	%
Net investment income (loss)		.36	%(f)		.30	%		.08	%		.46	%		.32	%		.24	%
Portfolio turnover rate		38	%(g)		64	%		97	%		78	%		75	%		83	%
	Jennison 20/20 Focus Portfolio
	Class II
	Six Months Ended June 30, 2016(c)			Year Ended December 31,
				2015(c)			2014(c)			2013(c)			2012(c)			2011(c)
Per Share Operating Performance:
Net Asset Value, beginning of period	$	22.75		$	21.49		$	20.14		$	15.57		$	14.62		$	15.31
Income (Loss) From Investment Operations:
Net investment income (loss)		—	(d)		(.02	)		(.07	)		.01			(.03	)		(.03	)
Net realized and unrealized gain (loss) on investments		(1.07	)		1.28			1.42			4.56			1.54			(.66	)
Total from investment operations		(1.07	)		1.26			1.35			4.57			1.51			(.69	)
Less Distributions		—			—			—			—			(.56	)		—
Capital Contributions (Note 4)		.02	(e)		—			—			—			—			—
Net Asset Value, end of period	$	21.70		$	22.75		$	21.49		$	20.14		$	15.57		$	14.62
Total Return(a)		(4.62	)%		5.86	%		6.70	%		29.35	%		10.62	%		(4.51	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	145.1		$	160.1		$	172.9		$	178.5		$	154.8		$	383.0
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		1.24	%(f)		1.23	%		1.23	%		1.24	%		1.20	%		1.20	%
Expenses before waivers and/or expense reimbursement		1.24	%(f)		1.23	%		1.23	%		1.24	%		1.20	%		1.20	%
Net investment income (loss)		(.04	)%(f)		(.10	)%		(.33	)%		.07	%		(.18	)%		(.16	)%
Portfolio turnover rate		38	%(g)		64	%		97	%		78	%		75	%		83	%

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

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

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

(d) Less than $0.005 per share.

(e) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefitted Prudential. The total return for the period includes the amount of capital contribution.

(f) Annualized.

(g) Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C1

Approval of Advisory Agreements

The Trust’s Board of Trustees

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

Annual Approval of the Trust’s Advisory Agreements

As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with Prudential Investments LLC (PI) and the Jennison 20/20 Focus Portfolio’s (the Portfolio) subadvisory agreement. As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 13-15, 2016 (the Meeting) and approved the renewal of the agreements through July 31, 2017, 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 advance of the Meeting, the Trustees requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe and peer group, as is further discussed below.

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

The Trustees determined that the overall arrangements between the Trust and PI, which serves as the Trust’s investment manager pursuant to a management agreement, and between PI and Jennison Associates LLC (Jennison or the subadviser), which serves as subadviser pursuant to the terms of a subadvisory agreement with PI, are in the best interests 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 Board considered the approval of the agreements for the Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on a Portfolio-by-Portfolio basis.

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

Nature, quality and extent of services

The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PI and the subadviser. The Board considered the services provided by PI, including but not limited to the oversight of the subadviser, as well as the provision of recordkeeping and compliance services to the Trust. With respect to PI’s oversight of the subadviser, 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 subadviser. 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 the subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PI’s evaluation of the subadviser, as well as PI’s recommendation, based on its review of the subadviser, to renew the subadvisory agreement.

The Board reviewed the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of the Trust and the subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadviser’s 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 the subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to PI and the 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 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 the subadviser, and that there was a reasonable basis on which to conclude that the Portfolio benefits from the services provided by PI and the 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 Jennison, which is an affiliate 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 Portfolio’s 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.

Other Benefits to PI and the Subadviser

The Board considered potential ancillary benefits that might be received by PI, the subadviser, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PI included compensation received by insurance company affiliates of PI from the subadviser, 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 subadviser included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadviser, 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, 2015. 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 Broadridge, Inc. (Broadridge), 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 2015. 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 mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for the Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.

The mutual funds included in each Peer Universe and each Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolio in various quartiles, with the 1^st quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that 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 Broadridge for the Board’s consideration.

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

Jennison 20/20 Focus Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
	1st Quartile	2nd Quartile	4th Quartile	1st Quartile
Actual Management Fees: 3rd Quartile
Net Total Expenses: 4th Quartile

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

• The Board further noted the Portfolio’s strong recent performance, with the Portfolio ranked third out of 205 funds in its Peer Universe over the one-year period.

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

**********

After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, the Portfolio and its beneficial shareholders.

This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life contract. The prospectuses contain information on the contract and the investment objectives, risks, charges and expenses of the portfolios, and should be read carefully.

A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request by calling the appropriate phone number listed below. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.

The Fund files with the Commission a complete listing of portfolio holdings as of its first and third calendar 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 may offer 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) and to separate accounts of insurance companies not affiliated with Prudential where Prudential has assumed responsibility for the administration of contracts issued through such non-affiliated insurance companies, 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

Standard

U.S. Postage

PAID

Prudential

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.

^©2016 Prudential Financial, Inc. and its related entities. Prudential Investments, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

0229048-00006-00 PSF-SAR-20/20 Focus

Item 2	–	Code of Ethics – Not required, as this is not an annual filing.
Item 3	–	Audit Committee Financial Expert – Not required, as this is not an annual filing.
Item 4	–	Principal Accountant Fees and Services – Not required, as this is not an annual filing.
Item 5	–	Audit Committee of Listed Registrants – Not applicable.
Item 6	–	Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7	–	Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not applicable.
Item 8	–	Portfolio Managers of Closed-End Management Investment Companies – Not applicable.
Item 9	–	Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not applicable.
Item 10	–	Submission of Matters to a Vote of Security Holders – Not applicable.
Item 11	–	Controls and Procedures
	(a)	It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
	(b)	There has been no significant change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting.
Item 12	–	Exhibits
	(a)	(1)   Code of Ethics – Not required, as this is not an annual filing.
		(2)  Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit        EX-99.CERT.
		(3)   Any written solicitation to purchase securities under Rule 23c-1. – Not applicable.
	(b)	Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant:	The Prudential Series Fund
By:	/s/ Deborah A. Docs
	Deborah A. Docs
	Secretary
Date:	August 24, 2016
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By:	/s/ Timothy S. Cronin
	Timothy S. Cronin
	Principal Executive Officer
Date:	August 24, 2016
By:	/s/ M. Sadiq Peshimam
	M. Sadiq Peshimam
	Treasurer and Principal Financial and Accounting Officer
Date:	August 24, 2016