UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number:	811-03623
Exact name of registrant as specified in charter:	The Prudential Series Fund
Address of principal executive offices:	Gateway Center 3, 100 Mulberry Street, Newark, New Jersey 07102
Name and address of agent for service:	Deborah A. Docs Gateway Center 3, 100 Mulberry Street, Newark, New Jersey 07102
Registrant’s telephone number, including area code:	973-367-7521
Date of fiscal year end:	12/31/2014
Date of reporting period:	12/31/2014

Item 1 — Reports to Stockholders —

THE PRUDENTIAL SERIES FUND

ANNUAL REPORT  Ÿ DECEMBER 31, 2014

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.

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

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Conservative Balanced Portfolio

Diversified Bond Portfolio

Equity Portfolio

Flexible Managed Portfolio

Global Portfolio

Government Income Portfolio

High Yield Bond Portfolio

Jennison Portfolio

Money Market Portfolio

Natural Resources Portfolio

Small Capitalization Stock Portfolio

Stock Index Portfolio

Value Portfolio

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The Prudential Series Fund   Table of Contents Annual Report December 31, 2014

n LETTER TO CONTRACT OWNERS

n INVESTMENT MANAGER’S REPORT

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	A31
	Equity Portfolio	A58
	Flexible Managed Portfolio	A63
	Global Portfolio	A91
	Government Income Portfolio	A98
	High Yield Bond Portfolio	A107
	Jennison Portfolio	A126
	Money Market Portfolio	A130
	Natural Resources Portfolio	A135
	Small Capitalization Stock Portfolio	A140
	Stock Index Portfolio	A152
	Value Portfolio	A163
	Glossary	A167
Section B	Notes to Financial Statements
Section C	Financial Highlights
Section D	Report of Independent Registered Public Accounting Firm
Section E	Information about Trustees and Officers

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

The Prudential Series Fund   Letter to Contract Owners Annual Report December 31, 2014

n DEAR CONTRACT OWNER

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

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

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

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

Sincerely,

Robert F. O’Donnell

President,

The Prudential Series Fund January 30, 2015

The Prudential Series Fund, Conservative Balanced Portfolio December 31, 2014

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

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

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

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

$10,000 INVESTED OVER 10 YEARS

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

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

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

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

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

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

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

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

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

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

1

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

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

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

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

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

$10,000 INVESTED OVER 10 YEARS

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

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

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

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

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

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

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

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

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

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

2

The Prudential Series Fund, Equity Portfolio December 31, 2014

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

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

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

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

$10,000 INVESTED OVER 10 YEARS¹

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

3

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

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

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

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

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

$10,000 INVESTED OVER 10 YEARS

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

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

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

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

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

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

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

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

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

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

4

The Prudential Series Fund, Global Portfolio December 31, 2014

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

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

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

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

$10,000 INVESTED OVER 10 YEARS

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

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

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

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

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

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

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

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

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

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

5

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

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

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

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

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

$10,000 INVESTED OVER 10 YEARS

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

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

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

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

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

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

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

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

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

Tactical duration strategies and yield curve positioning that were partially implemented via interest rate swaps (derivatives) modestly benefited performance. (Duration measures the approximate price change of a bond portfolio for a given change in interest rates.)

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

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

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

6

The Prudential Series Fund, High Yield Bond Portfolio December 31, 2014

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

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		2.71	%		8.61	%		7.30	%
Barclays U.S. High Yield 1% Issuer Capped Index		2.42			8.91			7.64

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

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

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2014, the High Yield Bond Portfolio returned 2.71%.

The net assets of the Portfolio at December 31, 2014 were $3,245.9 million.

The Portfolio’s objective is high total return. The Portfolio’s subadviser is Prudential Investment Management, Inc.

The high-yield bond market performed well during the first half of 2014 despite headwinds from geopolitical risks and concerns over global growth. During the second half of the year, high-yield bonds experienced heightened price volatility as deterioration in a few specific sectors weighed on the entire asset class. Specifically, WTI and Brent crude prices, which were trading above $100 a barrel during the summer, dropped to near $55 by year’s end, causing a selloff in energy-related securities as investors questioned the sector’s fundamentals. Risk aversion increased and high yield bond spreads widened. (Spreads are the amount of extra yield that high-yield bonds provide over similar-duration Treasuries.) Credit spreads, which had narrowed to 365 basis points (bps) (a basis point is one hundredth of a percentage point) earlier in the year, widened to 594 bps in mid December but ended the year at 523 bps. Meanwhile, the average yield on the high yield index increased 100 bps during the year to 6.65%.

Riskier high-yield bonds underperformed during the period overall, as investors discriminated between healthy and weak credits. For the year, lower credit quality CCC-rated issues returned -1.21%, B-rated issues returned 1.47%, and BB-rated issues returned 5.38%.

Demand from retail investors weakened during the second half of the year. According to Lipper, U.S. high-yield mutual funds saw outflows of $1.3 billion in assets during the fourth quarter, following $24.2 billion in outflows during the third quarter. For 2014 as a whole, outflows from high-yield mutual funds totaled $20.6 billion.

New issue volume also weakened. After averaging $35 billion in new issuance every month during the first half of the year, activity dropped approximately 30% and averaged about $25 billion in the second half of the year. For 2014, total new issuance was $356 billion, slightly behind the record-setting pace of 2013.

The Portfolio outperformed its benchmark, the Barclays U.S. High Yield 1% Issuer Capped Index (the Index), which returned 2.42% during the period. Sector allocations and issue selection contributed positively to the Portfolio’s results.

Relative to its sector positioning, the Portfolio benefited from underweights in energy and metals as well as an overweight in technology. An overweight position in the gaming sector and underweight positions in the financials and cable sectors slightly dampened performance.

Individual issue selection was also positive, led by the Portfolio’s holdings in the gaming, cable, and retailing sectors. The Portfolio’s picks in chemicals, telecommunications, and electric utilities detracted somewhat from relative returns.

The Portfolio makes use of derivatives, including credit default swaps, to increase or hedge exposure to individual issuers and the broader market. Cash held for liquidity purposes in short-term, low-rate securities created a drag on performance during the year. Use of the CDX, a credit default swap index, provided market exposure during periods of lower liquidity, partially offsetting the drag from cash. Derivatives did not have a material impact on performance.

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

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

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

7

The Prudential Series Fund, Jennison Portfolio December 31, 2014

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

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio: Class I		9.99	%		14.58	%		8.75	%
Portfolio: Class II		9.58			14.13			8.31
Russell 1000® Growth Index		13.05			15.81			8.49
S&P 500 Index		13.66			15.44			7.67

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

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

$10,000 INVESTED OVER 10 YEARS¹

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

For the year ended December 31, 2014, the Jennison Portfolio Class I returned 9.99% and Class II returned 9.58%. The net assets of the Portfolio at December 31, 2014 were $1,623.7 million.

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

Faced with a challenging consumer environment, the Portfolio’s consumer holdings in the aggregate underperformed the Russell 1000 Growth Index (the Index) consumer names. Amazon.com’s earnings were constrained by increased business investment designed to drive unit growth in its core retail business and through digital commerce via the mobile market. Whole Foods Market was hurt by intensifying competition in the organic and natural foods market. The Portfolio no longer holds a position in Whole Foods. Weakness in Industria de Diseño Textil, or Inditex, best known for its brand, Zara, reflected currency translation issues due to the euro’s strength relative to many other currencies (Inditex is based in Spain). Underlying growth at the company remains strong.

More than offsetting these declines were strong gains in other consumer holdings, including global athletic apparel companies Under Armour and NIKE, hotel operator Marriott International, media conglomerate Disney, and electric car innovator Tesla Motors.

Health care positions were the most significant contributors to Portfolio return. Meaningful scientific advances coupled with increased research and development and clinical trial activity have led to numerous drug introductions and improvement in the treatment of serious diseases. Biotech companies held in the Portfolio benefited from their innovative drugs for blood disorders and autoimmune diseases (Alexion Pharmaceuticals’ Soliris), cancer (Celgene’s Revlimid and Abraxane), cystic fibrosis (Vertex Pharmaceuticals’ Kalydeco), multiple sclerosis (Biogen Idec’s Tecfidera), and hepatitis C (Gilead Sciences’ Sovaldi and Harvoni).

The Portfolio’s strength in the health care sector extended beyond biotechnology. In pharmaceuticals, Allergan advanced on a takeover bid and the strength of its business, which was enhanced by efforts to manage spending more efficiently and redeploy cash in ways that benefit shareholders. (Allergan was acquired by Actavis in November.) Illumina’s gain reflected increasing demand for its next-generation gene-sequencing technology.

Information technology positions were likewise strong contributors to return although Portfolio positions lagged the returns of the benchmark sector largely on weakness in select cloud-based companies. Apple’s strong revenue and earnings reflected expanding global acceptance of its platform. Jennison expects that product updates, especially iPhone 6, will sustain attractive revenue growth in the medium term.

Internet-based social platform Facebook reported strong revenue and earnings as well as healthy measures of growth in users and user engagement. The company has successfully implemented its mobile interface, and revenue generation of both mobile and desktop applications has improved.

Twitter’s revenue and earnings exceeded expectations, but user growth decelerated, in part because of slower-than-expected improvements in new user onboarding and access. Jennison believes the company’s communication platform complements traditional media outlets and that income-generation opportunities are substantial.

Next-generation security software vendor FireEye declined with a broad sell-off of high-multiple software growth stocks despite its strong billings, new customer, and revenue growth. The company’s behavioral analysis technology and real-time threat detection and prevention platform are able to identify highly sophisticated malware.

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

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

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

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

8

The Prudential Series Fund, Money Market Portfolio December 31, 2014

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

Average Annual Total Returns	7-Day* Current Net Yield			1-Year			5-Year			10-Year
Portfolio		0.00	%		0.00	%		0.01	%		1.56	%
Lipper (VIP) Money Market Funds Avg.		N/A			-0.04			-0.03			1.42

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

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

7-DAY CURRENT NET YIELD*

For the year ended December 31, 2014, the Money Market Portfolio returned 0.00%.

The net assets of the Portfolio at December 31, 2014 were $823.6 million.

The Portfolio’s investment objective is to seek maximum current income consistent with the stability of capital and maintenance of liquidity. The Portfolio’s subadviser is Prudential Investment Management, Inc.

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

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

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

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

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

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

* Source: iMoneyNet, Inc. based on 249 funds in the iMoneyNet Prime Retail universe. Weekly 7-day current net yields of the Money Market Portfolio and the iMoneyNet Prime Retail universe as of 12/30/2014.

The Lipper Variable Insurance Products (VIP) Funds Average is calculated by Lipper Analytical Services, Inc., and reflects the investment return of certain portfolios underlying variable life and annuity products. Returns for the Lipper Average reflect the deduction of operating expenses. Investors cannot invest directly in a market index or average. For a complete list of holdings, refer to the Schedule of Investments section of this report.

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

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

9

The Prudential Series Fund, Natural Resources Portfolio December 31, 2014

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

Average Annual Total Returns	1-Year			5-Year			10-Year			Since Inception
Portfolio: Class I		-19.47	%		-2.15	%		7.75	%		N/A
Portfolio: Class II		-19.79			-2.55			N/A			7.23	%
Lipper (VUF) Natural Resources Funds Index		-15.00			0.71			6.13			6.41
S&P 500 Index		13.66			15.44			7.67			8.40

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

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

$10,000 INVESTED OVER 10 YEARS¹

For the year ended December 31, 2014, the Natural Resources Portfolio Class I returned -19.47% and Class II
returned -19.79%.

The net assets of the Portfolio at December 31, 2014 were $632.5 million.

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

Natural resources stocks reversed gains from early in the year, ending 2014 broadly lower. In the second half of the reporting period, oil prices moved sharply and steadily downward to multi-year lows. Commodity prices were broadly hampered by global macroeconomic weak spots and the strengthening U.S. dollar. Energy stocks were particularly hard hit by declining oil prices.

The Portfolio underperformed its broad benchmark the S&P 500 Index, as well as the narrower Lipper (VUF) Natural Resources Funds Index (the Index) primarily due to its holdings in the energy sector. The Portfolio’s energy equipment and services holdings and oil, gas, and consumable fuels shares posted losses. In materials, the metals and mining shares also ended lower. Conversely chemicals, in which the Portfolio had a small weighting, rose. Within energy, stock selection and allocations were negative relative to the Index, particularly in the oil, gas, and consumable fuels group. Stock selection detracted in materials, and allocations in metals and mining also had a negative impact on relative performance.

Among top absolute contributors, shares of oil and natural gas producer Cheniere Energy rose strongly on prospects for becoming the first large-scale U.S. exporter of liquefied natural gas (“LNG”), as the company received a construction permit for its second proposed Corpus Christi LNG export facility. Also, the company has signed a long-term take or pay contract with a Portuguese utility company. Despite the downward direction of oil prices, independent producer EOG Resources posted gains on the strength of its assets in high-growth locations. Jennison has a favorable view of the company’s asset portfolio, balance sheet, and execution. Shares of rotating equipment provider Dresser-Rand Group rose on news that Germany-based Siemens, a global energy and infrastructure technology company, made an offer to acquire it. The Portfolio no longer holds shares of Dresser-Rand.

Oil and gas exploration and production companies, and many related equipment and services providers, were widely affected by the severe declines in oil prices. Offshore drilling contractor Noble Energy, independent U.S. oil and gas producer Laredo Petroleum, and Rosetta Resources, an onshore producer with assets primarily in southern Texas, were among the major detractors to the Portfolio’s relative returns.

As the Portfolio used few derivatives during the reporting period, derivatives had no meaningful impact on performance.

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

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

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

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

10

The Prudential Series Fund, Small Capitalization Stock Portfolio December 31, 2014

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

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		5.39	%		16.89	%		8.71	%
S&P SmallCap 600 Index		5.76			17.27			9.02

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

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

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2014, the Small Capitalization Stock Portfolio returned 5.39%.

The net assets of the Portfolio at December 31, 2014 were $750.9 million.

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

U.S. economic indicators continued to improve over the course of the year and the stock markets responded accordingly. A highlight was the resurgence in consumer activity and confidence as gasoline prices dropped and employment improved. However, the housing market had sporadic returns and remained sluggish, a fact attributed to tight credit markets according to Federal Reserve Chairwoman Janet Yellen.

Manufacturing also softened towards the end of the year although the U.S. Purchasing Manager’s Index (PMI) remained comfortably above the critical 50 reading, denoting the line between expansion and contraction, and leading the way among developed economies. Strong economic results helped the Federal Reserve become one of the few central banks in the world moving towards a tighter monetary policy. Both large- and mid-cap stocks outperformed small-caps.

Potential tracking error differences, brokerage costs, as well as other costs and expenses of the Portfolio, may cause its return to be lower than that of the S&P Small Cap 600 Index. The Portfolio underperformed the 5.76% return of the Index.

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

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

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

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

11

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

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

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

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

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

$10,000 INVESTED OVER 10 YEARS

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

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

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

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

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

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

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

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

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

12

The Prudential Series Fund, Value Portfolio December 31, 2014

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

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio: Class I		10.10	%		12.55	%		7.88	%
Portfolio: Class II		9.66			12.10			7.45
Russell 1000® Value Index		13.45			15.42			7.30
S&P 500 Index		13.66			15.44			7.67

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

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

$10,000 INVESTED OVER 10 YEARS¹

For the year ended December 31, 2014, the Value Portfolio Class I returned 10.10% and Class II returned 9.66%.

The net assets of the Portfolio at December 31, 2014 were $1,603.2 million.

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

The Portfolio’s Class I and Class II shares underperformed the benchmark, the Russell 1000 Value Index (the Index), which returned 13.45%. Consumer staples detracted the most from relative results due primarily to stock selection, although an underweight to the sector also hurt. Utilities had a negative effect on relative performance for the same reasons. Avon Products and NRG Energy drove respective results in those sectors. Revenue and sales were disappointing for Avon Products. NRG shares have been weighed down by declining gas prices and concerns over the cash flow impact of two new initiatives — carbon capture and electric vehicle charging.

Stock selection in consumer discretionary also fell short of expectations, driven by JC Penney, and the position was sold.

Energy positions underperformed their benchmark peers; Noble and Denbury Resources were especially weak. The Portfolio no longer holds a position in Denbury. In light of declines in the price of oil, Jennison has spent considerable time evaluating the Portfolio’s positions in the sector and made adjustments accordingly.

Security choices in industrials were the primary source of relative gain, driven by United Continental Holdings. Airlines overall outperformed the industrials sector and the overall market. Earnings, revenue, and guidance were solid, as cost cuts and higher pricing took hold. United further announced a share buyback and appears on track to achieve several key revenue initiatives, including improvements to capacity management on Asian flights.

Relative gain in health care was driven by advances in Actavis and HCA Holdings. Actavis reported good revenue and earnings and raised its sales and profit guidance. After major acquisitions, it has grown in size and scope, and is now, in Jennison’s opinion, a formidable brand/generic hybrid pharmaceutical company with a global scope. HCA Holdings, an operator of hospitals and freestanding surgery centers, benefited from better-than-anticipated utilization as a result of the Affordable Care Act. In Jennison’s opinion, the stock is attractive based on its industry-leading scale, which drives cost synergies, significant levels of cash flow, and a large market share in fast-growing Texas and Florida.

IT holdings Flextronics and Applied Materials were also standout performers. Flextronics, a global electronics manufacturer, enjoyed growth in its industrial and high reliability solutions businesses. Applied Materials benefited from solid earnings and margins. Jennison believes the new management team is executing well on improving margins, increasing growth in their Services business Applied Global Services-AGS, and gaining market share in their Solar & Display businesses.

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

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

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

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

13

The Prudential Series Fund   Presentation of Portfolio Holdings — unaudited December 31, 2014

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

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

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

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

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

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

High Yield Bond
Allocation	(% of Net Assets	)
Technology	11.2%
Capital Goods	7.7%
Healthcare & Pharmaceutical	7.6%
Electric	6.5%
Gaming	6.4%

Jennison
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	5.5%
Facebook, Inc. (Class A Stock)	3.6%
MasterCard, Inc. (Class A Stock)	3.6%
Visa, Inc. (Class A Stock)	2.7%
Biogen Idec, Inc.	2.6%

Natural Resources
Five Largest Holdings	(% of Net Assets	)
Schlumberger Ltd.	4.4%
Anadarko Petroleum Corp.	4.0%
Concho Resources, Inc.	3.5%
Noble Energy, Inc.	3.5%
EOG Resources, Inc.	3.4%

Small Capitalization Stock
Five Largest Holdings	(% of Net Assets	)
iShares Core S&P Small-Cap ETF	0.7%
West Pharmaceutical Services, Inc.	0.5%
Teledyne Technologies, Inc.	0.5%
MAXIMUS, Inc.	0.5%
Toro Co. (The)	0.5%

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

Value
Five Largest Holdings	(% of Net Assets	)
JPMorgan Chase & Co.	3.0%
Wells Fargo & Co.	2.9%
Citigroup, Inc.	2.4%
FirstEnergy Corp.	2.4%
United Continental Holdings, Inc.	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 December 31, 2014

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2014 through December 31, 2014.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

The Prudential Series Fund Portfolios		Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During  the Six-Month period*
Conservative Balanced (Class I)	Actual	$	1,000.00	$	1,033.10		0.58	%	$	2.97
	Hypothetical	$	1,000.00	$	1,022.28		0.58	%	$	2.96
Diversified Bond (Class I)	Actual	$	1,000.00	$	1,015.70		0.44	%	$	2.24
	Hypothetical	$	1,000.00	$	1,022.99		0.44	%	$	2.24
Equity (Class I)	Actual	$	1,000.00	$	1,025.30		0.47	%	$	2.40
	Hypothetical	$	1,000.00	$	1,022.84		0.47	%	$	2.40
Equity (Class II)	Actual	$	1,000.00	$	1,023.00		0.87	%	$	4.44
	Hypothetical	$	1,000.00	$	1,020.82		0.87	%	$	4.43
Flexible Managed (Class I)	Actual	$	1,000.00	$	1,037.60		0.62	%	$	3.18
	Hypothetical	$	1,000.00	$	1,022.08		0.62	%	$	3.16
Global (Class I)	Actual	$	1,000.00	$	987.30		0.81	%	$	4.06
	Hypothetical	$	1,000.00	$	1,021.12		0.81	%	$	4.13
Government Income (Class I)	Actual	$	1,000.00	$	1,019.70		0.47	%	$	2.39
	Hypothetical	$	1,000.00	$	1,022.84		0.47	%	$	2.40
High Yield Bond (Class I)	Actual	$	1,000.00	$	976.30		0.57	%	$	2.84
	Hypothetical	$	1,000.00	$	1,022.33		0.57	%	$	2.91
Jennison (Class I)	Actual	$	1,000.00	$	1,052.60		0.63	%	$	3.26
	Hypothetical	$	1,000.00	$	1,022.03		0.63	%	$	3.21
Jennison (Class II)	Actual	$	1,000.00	$	1,050.70		1.03	%	$	5.32
	Hypothetical	$	1,000.00	$	1,020.01		1.03	%	$	5.24
Money Market (Class I)	Actual	$	1,000.00	$	1,000.00		0.16	%	$	0.81
	Hypothetical	$	1,000.00	$	1,024.40		0.16	%	$	0.82

The Prudential Series Fund   Fees and Expenses — unaudited (continued) December 31, 2014

The Prudential Series Fund Portfolios		Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During  the Six-Month period*
Natural Resources (Class I)	Actual	$	1,000.00	$	680.60		0.45	%	$	1.91
	Hypothetical	$	1,000.00	$	1,022.94		0.45	%	$	2.29
Natural Resources (Class II)	Actual	$	1,000.00	$	679.10		0.85	%	$	3.60
	Hypothetical	$	1,000.00	$	1,020.92		0.85	%	$	4.33
Small Capitalization Stock (Class I)	Actual	$	1,000.00	$	1,022.60		0.41	%	$	2.09
	Hypothetical	$	1,000.00	$	1,023.14		0.41	%	$	2.09
Stock Index (Class I)	Actual	$	1,000.00	$	1,059.50		0.32	%	$	1.66
	Hypothetical	$	1,000.00	$	1,023.59		0.32	%	$	1.63
Value (Class I)	Actual	$	1,000.00	$	1,012.60		0.42	%	$	2.13
	Hypothetical	$	1,000.00	$	1,023.09		0.42	%	$	2.14
Value (Class II)	Actual	$	1,000.00	$	1,010.70		0.82	%	$	4.16
	Hypothetical	$	1,000.00	$	1,021.07		0.82	%	$	4.18

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

	CONSERVATIVE BALANCED  PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2014

LONG-TERM INVESTMENTS — 88.6%
COMMON STOCKS — 57.7%	Shares		Value (Note 2)
Aerospace & Defense — 1.5%
BAE Systems PLC (United Kingdom)		22,952	$	167,853
Boeing Co. (The)		51,200		6,654,976
General Dynamics Corp.		24,100		3,316,642
Honeywell International, Inc.		59,812		5,976,415
L-3 Communications Holdings, Inc.		6,800		858,228
Lockheed Martin Corp.		20,500		3,947,685
Northrop Grumman Corp.		15,962		2,352,639
Precision Castparts Corp.		11,000		2,649,680
Raytheon Co.		23,600		2,552,812
Rockwell Collins, Inc.		10,500		887,040
Safran SA (France)		3,993		246,348
Textron, Inc.		21,500		905,365
Thales SA (France)		687		37,172
United Technologies Corp.		64,900		7,463,500
				38,016,355
Air Freight & Logistics — 0.4%
C.H. Robinson Worldwide, Inc.		11,500		861,235
Deutsche Post AG (Germany)		7,040		228,532
Expeditors International of Washington, Inc.		15,200		678,072
FedEx Corp.		20,200		3,507,932
Royal Mail PLC (United Kingdom)		4,839		32,247
United Parcel Service, Inc. (Class B Stock)		53,700		5,969,829
				11,277,847
Airlines — 0.3%
Delta Air Lines, Inc.		63,900		3,143,241
Deutsche Lufthansa AG (Germany)		25,980		430,515
easyJet PLC (United Kingdom)		1,145		29,632
International Consolidated Airlines Group SA (United Kingdom)*		7,130		53,113
Ryanair Holdings PLC (Ireland) ADR*		9,900		705,573
Southwest Airlines Co.		52,600		2,226,032
				6,588,106
Auto Components — 0.2%
BorgWarner, Inc.		17,500		961,625
Bridgestone Corp. (Japan)		4,700		163,005
Continental AG (Germany)		817		172,325
Delphi Automotive PLC (United Kingdom)		23,100		1,679,832
Goodyear Tire & Rubber Co. (The)		19,900		568,543
Johnson Controls, Inc.		50,500		2,441,170
Koito Manufacturing Co. Ltd. (Japan)		1,300		39,769
NGK Spark Plug Co. Ltd. (Japan)		1,300		39,501
NOK Corp. (Japan)		5,900		150,176
Sumitomo Electric Industries Ltd. (Japan)		5,500		68,691
Sumitomo Rubber Industries Ltd. (Japan)		2,300		34,192
Toyota Industries Corp. (Japan)		1,200		61,502
				6,380,331

COMMON STOCKS (continued)	Shares		Value (Note 2)
Automobiles — 0.5%
Bayerische Motoren Werke AG (Germany)		3,734	$	402,968
Daimler AG (Germany)		7,564		628,222
Fiat Chrysler Automobiles NV (United Kingdom)*		6,368		73,995
Ford Motor Co.		293,885		4,555,217
Fuji Heavy Industries Ltd. (Japan)		17,500		619,255
General Motors Co.		102,500		3,578,275
Harley-Davidson, Inc.		16,700		1,100,697
Isuzu Motors Ltd. (Japan)		4,500		54,811
Mazda Motor Corp. (Japan)		4,000		96,062
Nissan Motor Co. Ltd. (Japan)		17,800		155,248
Peugeot SA (France)*		51,647		632,801
Renault SA (France)		1,421		103,501
Toyota Motor Corp. (Japan)		20,800		1,296,202
Volkswagen AG (Germany)		212		45,962
				13,343,216
Banks — 3.8%
Aozora Bank Ltd. (Japan)		153,000		473,618
Australia & New Zealand Banking Group Ltd. (Australia)		20,417		531,249
Banco Santander SA (Spain)		159,262		1,336,708
Bank Hapoalim BM (Israel)		131,802		619,750
Bank of America Corp.		803,021		14,366,046
Bank of Queensland Ltd. (Australia)		6,514		64,175
BB&T Corp.		54,900		2,135,061
BNP Paribas SA (France)		2,155		127,219
Citigroup, Inc.		231,785		12,541,886
Comerica, Inc.		14,200		665,128
Commonwealth Bank of Australia (Australia)		18,612		1,293,139
Credit Agricole SA (France)		54,118		698,585
Danske Bank A/S (Denmark)		8,801		237,943
DBS Group Holdings Ltd. (Singapore)		12,363		191,396
DNB ASA (Norway)		35,326		521,080
Fifth Third Bancorp		62,321		1,269,790
HSBC Holdings PLC (United Kingdom)		137,639		1,300,658
Huntington Bancshares, Inc.		59,636		627,371
JPMorgan Chase & Co.		285,745		17,881,922
KeyCorp		66,500		924,350
Lloyds Banking Group PLC (United Kingdom)*		35,216		41,423
M&T Bank Corp.(a)		10,100		1,268,762
Mitsubishi UFJ Financial Group, Inc. (Japan)		192,200		1,055,991
Mizuho Financial Group, Inc. (Japan)		165,100		276,758
Natixis SA (France)		104,922		692,342
Oversea-Chinese Banking Corp. Ltd. (Singapore)		21,499		169,154
PNC Financial Services Group, Inc. (The)		41,033		3,743,441
Regions Financial Corp.		103,603		1,094,048
Resona Holdings, Inc. (Japan)		15,800		79,814

SEE NOTES TO FINANCIAL STATEMENTS.

A1

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Banks (continued)
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		58,333	$	740,745
Sumitomo Mitsui Financial Group, Inc. (Japan)		21,300		770,053
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		24,000		91,927
SunTrust Banks, Inc.		40,800		1,709,520
Svenska Handelsbanken AB (Sweden) (Class A Stock)		13,463		629,905
Swedbank AB (Sweden) (Class A Stock)		6,481		160,800
U.S. Bancorp		136,585		6,139,496
United Overseas Bank Ltd. (Singapore)		11,000		202,995
Wells Fargo & Co.		361,264		19,804,492
Westpac Banking Corp. (Australia)		5,742		154,436
Zions Bancorporation		14,650		417,671
				97,050,847
Beverages — 1.2%
Anheuser-Busch InBev NV (Belgium)		8,118		913,613
Brown-Forman Corp. (Class B Stock)		12,350		1,084,824
Carlsberg A/S (Denmark) (Class B Stock)		1,776		136,397
Coca-Cola Co. (The)		299,901		12,661,820
Coca-Cola Enterprises, Inc.		16,900		747,318
Constellation Brands, Inc. (Class A Stock)*		12,800		1,256,576
Diageo PLC (United Kingdom)		3,087		88,434
Dr. Pepper Snapple Group, Inc.		14,900		1,068,032
Heineken Holding NV (Netherlands)		609		38,124
Molson Coors Brewing Co. (Class B Stock)		12,200		909,144
Monster Beverage Corp.*		11,000		1,191,850
PepsiCo, Inc.		114,707		10,846,694
Pernod Ricard SA (France)		1,556		172,931
				31,115,757
Biotechnology — 1.6%
Actelion Ltd. (Switzerland)*		4,803		552,927
Alexion Pharmaceuticals, Inc.*		15,300		2,830,959
Amgen, Inc.		58,187		9,268,607
Biogen Idec, Inc.*		18,190		6,174,595
Celgene Corp.*		61,000		6,823,460
CSL Ltd. (Australia)		2,686		188,680
Gilead Sciences, Inc.*		115,000		10,839,900
Regeneron Pharmaceuticals, Inc.*		5,700		2,338,425
Vertex Pharmaceuticals, Inc.*		18,200		2,162,160
				41,179,713
Building Products — 0.1%
Allegion PLC		7,933		439,964
Assa Abloy AB (Sweden) (Class B Stock)		2,450		129,401
Daikin Industries Ltd. (Japan)		1,700		109,011
Geberit AG (Switzerland)		271		91,680
Masco Corp.		25,800		650,160
				1,420,216

COMMON STOCKS (continued)	Shares		Value (Note 2)
Capital Markets — 1.3%
3i Group PLC (United Kingdom)		6,935	$	48,356
Aberdeen Asset Management PLC (United Kingdom)		6,669		44,562
Affiliated Managers Group, Inc.*		4,400		933,856
Ameriprise Financial, Inc.		14,220		1,880,595
Bank of New York Mellon Corp. (The)		85,758		3,479,202
BlackRock, Inc.		9,750		3,486,210
Charles Schwab Corp. (The)		86,950		2,625,020
E*TRADE Financial Corp.*		21,120		512,266
Franklin Resources, Inc.		30,400		1,683,248
Goldman Sachs Group, Inc. (The)		31,400		6,086,262
Invesco Ltd.		32,600		1,288,352
Investec PLC (South Africa)		79,426		665,454
Legg Mason, Inc.		8,100		432,297
Macquarie Group Ltd. (Australia)		2,050		96,672
Morgan Stanley		117,380		4,554,344
Northern Trust Corp.		16,800		1,132,320
Partners Group Holding AG (Switzerland)		126		36,658
State Street Corp.		32,200		2,527,700
T. Rowe Price Group, Inc.		20,300		1,742,958
				33,256,332
Chemicals — 1.4%
Air Products & Chemicals, Inc.		14,700		2,120,181
Airgas, Inc.		5,500		633,490
Asahi Kasei Corp. (Japan)		21,000		191,571
BASF SE (Germany)		1,528		128,170
CF Industries Holdings, Inc.		3,900		1,062,906
Daicel Corp. (Japan)		64,000		747,551
Dow Chemical Co. (The)		85,131		3,882,825
E.I. du Pont de Nemours & Co.		69,120		5,110,733
Eastman Chemical Co.		11,500		872,390
Ecolab, Inc.		20,500		2,142,660
FMC Corp.		10,600		604,518
Givaudan SA (Switzerland)*		49		87,899
International Flavors & Fragrances, Inc.		6,600		668,976
K+S AG (Germany)		24,671		680,802
Kuraray Co. Ltd. (Japan)		2,500		28,405
LyondellBasell Industries NV (Class A Stock)		32,300		2,564,297
Monsanto Co.		36,994		4,419,673
Mosaic Co. (The)		24,800		1,132,120
Nitto Denko Corp. (Japan)		1,100		61,463
PPG Industries, Inc.		10,600		2,450,190
Praxair, Inc.		22,200		2,876,232
Sherwin-Williams Co. (The)		6,400		1,683,456
Sigma-Aldrich Corp.		9,000		1,235,430
Sumitomo Chemical Co. Ltd. (Japan)		12,000		47,241
Yara International ASA (Norway)		15,101		672,484
				36,105,663
Commercial Services & Supplies — 0.3%
ADT Corp. (The)(a)		13,500		489,105
Cintas Corp.		7,500		588,300
Dai Nippon Printing Co. Ltd. (Japan)		4,000		36,026

SEE NOTES TO FINANCIAL STATEMENTS.

A2

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Commercial Services & Supplies (continued)
Pitney Bowes, Inc.		15,200	$	370,424
Republic Services, Inc.		19,565		787,491
Secom Co. Ltd. (Japan)		1,500		86,182
Securitas AB (Sweden) (Class B Stock)		20,463		247,555
Stericycle, Inc.*		6,600		865,128
Toppan Printing Co. Ltd. (Japan)		7,000		45,482
Tyco International PLC		33,300		1,460,538
Waste Management, Inc.		33,442		1,716,244
				6,692,475
Communications Equipment — 0.9%
Cisco Systems, Inc.		389,400		10,831,161
F5 Networks, Inc.*		6,200		808,883
Harris Corp.		7,800		560,196
Juniper Networks, Inc.		31,700		707,544
Motorola Solutions, Inc.		16,889		1,132,914
Nokia OYJ (Finland)		13,848		109,522
QUALCOMM, Inc.		127,700		9,491,941
				23,642,161
Construction & Engineering — 0.1%
ACS Actividades de Construccion y Servicios SA (Spain)		7,520		262,111
Ferrovial SA (Spain)		3,030		59,898
Fluor Corp.		12,200		739,686
Hochtief AG (Germany)		9,493		669,717
Jacobs Engineering Group, Inc.*		10,600		473,714
Leighton Holdings Ltd. (Australia)		27,923		508,436
Quanta Services, Inc.*		17,100		485,469
Skanska AB (Sweden) (Class B Stock)		2,746		58,958
Taisei Corp. (Japan)		8,000		45,376
				3,303,365
Construction Materials — 0.1%
HeidelbergCement AG (Germany)		1,014		71,568
Martin Marietta Materials, Inc.		4,900		540,568
Taiheiyo Cement Corp. (Japan)		9,000		28,237
Vulcan Materials Co.		10,400		683,592
				1,323,965
Consumer Finance — 0.5%
American Express Co.		68,700		6,391,848
Capital One Financial Corp.		42,761		3,529,920
Discover Financial Services		35,040		2,294,770
Navient Corp.		31,000		669,910
				12,886,448
Containers & Packaging — 0.1%
Avery Dennison Corp.		7,400		383,912
Ball Corp.		10,400		708,968
MeadWestvaco Corp.		12,614		559,935
Owens-Illinois, Inc.*		12,600		340,074
Sealed Air Corp.		16,400		695,852
				2,688,741
Distributors — 0.1%
Genuine Parts Co.		12,000		1,278,840

COMMON STOCKS (continued)	Shares		Value (Note 2)
Diversified Consumer Services
H&R Block, Inc.		21,300	$	717,384
Diversified Financial Services — 1.2%
Berkshire Hathaway, Inc. (Class B Stock)*		139,500		20,945,925
CME Group, Inc.		24,200		2,145,330
Industrivarden AB (Sweden) (Class C Stock)		15,408		267,454
Intercontinental Exchange, Inc.		8,771		1,923,393
Investment AB Kinnevik (Sweden) (Class B Stock)		18,816		611,882
Investor AB (Sweden) (Class B Stock)		8,535		310,314
Leucadia National Corp.		22,900		513,418
McGraw Hill Financial, Inc.		20,900		1,859,682
Moody’s Corp.		14,200		1,360,502
NASDAQ OMX Group, Inc. (The)		9,200		441,232
ORIX Corp. (Japan)		9,500		119,537
				30,498,669
Diversified Telecommunication Services — 1.4%
AT&T, Inc.		396,368		13,314,001
Belgacom SA (Belgium)		2,066		74,962
BT Group PLC (United Kingdom)		57,227		355,956
CenturyLink, Inc.		43,836		1,735,029
Frontier Communications Corp.		71,890		479,506
Koninklijke KPN NV (Netherlands)		37,893		119,642
Level 3 Communications, Inc.*		20,400		1,007,352
Nippon Telegraph & Telephone Corp. (Japan)		12,000		612,992
Orange SA (France)		54,037		918,994
PCCW Ltd. (Hong Kong)		875,000		595,779
Spark New Zealand Ltd. (New Zealand)		13,409		32,506
Telecom Italia SpA (Italy)		103,104		86,200
Telefonica SA (Spain)		69,721		1,001,023
Telekom Austria AG (Austria)		2,889		19,294
Verizon Communications, Inc.		316,076		14,786,035
Windstream Holdings, Inc.		41,957		345,726
				35,484,997
Electric Utilities — 1.1%
American Electric Power Co., Inc.		37,260		2,262,427
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		49,000		360,335
Chubu Electric Power Co., Inc. (Japan)*		4,800		56,405
Chugoku Electric Power Co., Inc. (The) (Japan)		2,200		28,764
Duke Energy Corp.		54,361		4,541,318
Edison International		25,200		1,650,096
EDP-Energias de Portugal SA (Portugal)		16,785		65,087
Electricite de France SA (France)		3,109		85,586
Entergy Corp.		13,800		1,207,224
Exelon Corp.		65,113		2,414,390
FirstEnergy Corp.		31,906		1,244,015
Fortum OYJ (Finland)		31,609		686,282
Hokuriku Electric Power Co. (Japan)		2,200		28,095

SEE NOTES TO FINANCIAL STATEMENTS.

A3

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Electric Utilities (continued)
Kansai Electric Power Co., Inc. (The) (Japan)*		5,300	$	50,419
Kyushu Electric Power Co., Inc. (Japan)*		3,200		32,049
NextEra Energy, Inc.		33,300		3,539,457
Northeast Utilities		24,000		1,284,480
Pepco Holdings, Inc.		18,300		492,819
Pinnacle West Capital Corp.		8,700		594,297
Power Assets Holdings Ltd. (Hong Kong)		19,000		183,692
PPL Corp.		51,000		1,852,830
Red Electrica Corp. SA (Spain)		785		69,199
Shikoku Electric Power Co., Inc. (Japan)*		2,300		27,898
Southern Co. (The)		67,900		3,334,569
SSE PLC (United Kingdom)		7,068		178,588
Tohoku Electric Power Co., Inc. (Japan)		3,300		38,400
Tokyo Electric Power Co., Inc. (Japan)*		10,900		44,334
Xcel Energy, Inc.		38,310		1,376,095
				27,729,150
Electrical Equipment — 0.3%
AMETEK, Inc.		18,800		989,444
Eaton Corp. PLC		36,137		2,455,871
Emerson Electric Co.		52,900		3,265,517
Fuji Electric Co. Ltd. (Japan)		7,000		27,908
Mitsubishi Electric Corp. (Japan)		52,000		617,659
Rockwell Automation, Inc.		10,600		1,178,720
				8,535,119
Electronic Equipment, Instruments & Components — 0.3%
Amphenol Corp. (Class A Stock)		24,000		1,291,440
Corning, Inc.		97,800		2,242,554
FLIR Systems, Inc.		10,800		348,948
Hitachi Ltd. (Japan)		35,000		258,327
Hoya Corp. (Japan)		3,200		108,239
Keyence Corp. (Japan)		300		133,678
Murata Manufacturing Co. Ltd. (Japan)		1,500		163,682
Omron Corp. (Japan)		16,700		747,083
TDK Corp. (Japan)		1,600		94,233
TE Connectivity Ltd. (Switzerland)		31,400		1,986,050
				7,374,234
Energy Equipment & Services — 0.7%
Baker Hughes, Inc.		32,998		1,850,198
Cameron International Corp.*		15,600		779,220
Diamond Offshore Drilling, Inc.(a)		4,700		172,537
Ensco PLC (Class A Stock)		18,200		545,090
FMC Technologies, Inc.*		18,000		843,120
Halliburton Co.		64,500		2,536,785
Helmerich & Payne, Inc.		8,600		579,812
Nabors Industries Ltd.		21,900		284,262
National Oilwell Varco, Inc.		32,600		2,136,278
Noble Corp. PLC		18,800		311,516
Schlumberger Ltd.		98,818		8,440,045
Transocean Ltd.(a)		26,300		482,079
Transocean Ltd. (SWX)		2,615		47,985
				19,008,927

COMMON STOCKS (continued)	Shares		Value (Note 2)
Food & Staples Retailing — 1.4%
Carrefour SA (France)		4,565	$	138,920
Casino Guichard Perrachon SA (France)		3,866		355,536
Costco Wholesale Corp.		33,700		4,776,975
CVS Health Corp.		88,348		8,508,796
Delhaize Group SA (Belgium)		2,703		196,847
J. Sainsbury PLC (United Kingdom)(a)		161,327		616,058
Koninklijke Ahold NV (Netherlands)		6,712		119,292
Kroger Co. (The)		37,346		2,397,987
Lawson, Inc. (Japan)		900		54,385
Safeway, Inc.		17,900		628,648
Sysco Corp.		45,000		1,786,050
Wal-Mart Stores, Inc.		120,300		10,331,364
Walgreens Boots Alliance, Inc.		66,700		5,082,540
Wesfarmers Ltd. (Australia)		8,099		274,213
Whole Foods Market, Inc.		27,400		1,381,508
WM Morrison Supermarkets PLC (United Kingdom)		172,713		492,797
				37,141,916
Food Products — 1.0%
Archer-Daniels-Midland Co.		48,926		2,544,152
Campbell Soup Co.		14,200		624,800
Chocoladefabriken Lindt & Sprungli AG (Switzerland)		1		57,702
ConAgra Foods, Inc.		32,100		1,164,588
General Mills, Inc.		46,400		2,474,512
Golden Agri-Resources Ltd. (Singapore)		50,000		17,305
Hershey Co. (The)		11,400		1,184,802
Hormel Foods Corp.		10,700		557,470
J.M. Smucker Co. (The)		8,000		807,840
Kellogg Co.		19,400		1,269,536
Keurig Green Mountain, Inc.		9,500		1,257,752
Kraft Foods Group, Inc.		45,017		2,820,765
McCormick & Co., Inc.		10,300		765,290
Mead Johnson Nutrition Co.		15,267		1,534,944
Mondelez International, Inc. (Class A Stock)		127,753		4,640,628
Nestle SA (Switzerland)		19,945		1,454,011
NH Foods Ltd. (Japan)		1,000		21,878
Tate & Lyle PLC (United Kingdom)		3,418		32,025
Tyson Foods, Inc. (Class A Stock)		22,500		902,025
Unilever NV (United Kingdom)		28,299		1,106,996
Unilever PLC (United Kingdom)		9,426		382,962
Wilmar International Ltd. (Singapore)		301,000		733,427
				26,355,410
Gas Utilities
AGL Resources, Inc.		8,939		487,265
Enagas SA (Spain)		4,075		128,530
Snam SpA (Italy)		26,639		131,843
				747,638
Health Care Equipment & Supplies — 1.2%
Abbott Laboratories		114,000		5,132,280
Baxter International, Inc.		41,100		3,012,219

SEE NOTES TO FINANCIAL STATEMENTS.

A4

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Health Care Equipment & Supplies (continued)
Becton, Dickinson & Co.		14,700	$	2,045,652
Boston Scientific Corp.*		100,567		1,332,513
C.R. Bard, Inc.		5,900		983,058
CareFusion Corp.*		15,775		936,088
Covidien PLC		34,300		3,508,204
DENTSPLY International, Inc.		11,200		596,624
Edwards Lifesciences Corp.*		8,200		1,044,516
Intuitive Surgical, Inc.*		2,800		1,481,032
Medtronic, Inc.		74,300		5,364,460
St. Jude Medical, Inc.		21,500		1,398,145
Stryker Corp.		23,000		2,169,590
Varian Medical Systems, Inc.*(a)		8,200		709,382
Zimmer Holdings, Inc.		13,300		1,508,486
				31,222,249
Health Care Providers & Services — 1.3%
Aetna, Inc.		27,069		2,404,539
Alfresa Holdings Corp. (Japan)		1,200		14,491
AmerisourceBergen Corp.		16,400		1,478,624
Anthem, Inc.		20,800		2,613,936
Cardinal Health, Inc.		25,750		2,078,798
Cigna Corp.		20,400		2,099,364
DaVita HealthCare Partners, Inc.*		13,200		999,768
Express Scripts Holding Co.*		56,549		4,788,004
Fresenius SE & Co. KGaA (Germany)		2,724		141,632
Humana, Inc.		11,700		1,680,471
Laboratory Corp. of America Holdings*		6,700		722,930
McKesson Corp.		17,630		3,659,635
Medipal Holdings Corp. (Japan)		38,900		454,340
Patterson Cos., Inc.		6,500		312,650
Quest Diagnostics, Inc.(a)		11,300		757,778
Sonic Healthcare Ltd. (Australia)		2,778		41,794
Suzuken Co. Ltd. (Japan)		900		24,861
Tenet Healthcare Corp.*(a)		7,550		382,559
UnitedHealth Group, Inc.		74,200		7,500,878
Universal Health Services, Inc. (Class B Stock)		7,100		789,946
				32,946,998
Health Care Technology — 0.1%
Cerner Corp.*		22,900		1,480,714
Hotels, Restaurants & Leisure — 1.0%
Carnival Corp.		34,000		1,541,220
Chipotle Mexican Grill, Inc.*		2,450		1,677,049
Darden Restaurants, Inc.(a)		9,850		577,506
Marriott International, Inc. (Class A Stock)		16,628		1,297,483
McDonald’s Corp.		74,900		7,018,130
Merlin Entertainments PLC (United Kingdom)		71,641		443,290
Oriental Land Co. Ltd. (Japan)		1,800		415,105
Royal Caribbean Cruises Ltd.		12,500		1,030,375
Sodexo SA (France)		698		68,323
Starbucks Corp.		57,000		4,676,850
Starwood Hotels & Resorts Worldwide, Inc.		14,000		1,134,980

COMMON STOCKS (continued)	Shares		Value (Note 2)
Hotels, Restaurants & Leisure (continued)
Tabcorp Holdings Ltd. (Australia)		84,990	$	286,902
Tatts Group Ltd. (Australia)		10,669		30,007
Whitbread PLC (United Kingdom)		767		56,763
Wyndham Worldwide Corp.		9,620		825,011
Wynn Resorts Ltd.		6,200		922,312
Yum! Brands, Inc.		33,300		2,425,905
				24,427,211
Household Durables — 0.3%
D.R. Horton, Inc.		24,000		606,960
Garmin Ltd.(a)		9,300		491,319
Harman International Industries, Inc.		5,500		586,905
Leggett & Platt, Inc.		10,500		447,405
Lennar Corp. (Class A Stock)		14,100		631,821
Mohawk Industries, Inc.*		4,900		761,264
Newell Rubbermaid, Inc.		21,114		804,232
Panasonic Corp. (Japan)		72,400		852,759
Persimmon PLC (United Kingdom)*		4,080		99,650
PulteGroup, Inc.		25,222		541,264
Sekisui Chemical Co. Ltd. (Japan)		3,000		36,093
Sony Corp. (Japan)		29,400		600,032
Whirlpool Corp.		6,026		1,167,477
				7,627,181
Household Products — 1.1%
Clorox Co. (The)		10,000		1,042,100
Colgate-Palmolive Co.		65,900		4,559,621
Henkel AG & Co. KGaA (Germany)		8,150		789,480
Kimberly-Clark Corp.		28,400		3,281,336
Procter & Gamble Co. (The)		206,425		18,803,253
Svenska Cellulosa AB SCA (Sweden) (Class B Stock)		4,247		91,560
				28,567,350
Independent Power & Renewable Electricity Producers — 0.1%
AES Corp.		51,100		703,647
Electric Power Development Co. Ltd. (Japan)		900		30,412
NRG Energy, Inc.		26,100		703,395
				1,437,454
Industrial Conglomerates — 1.3%
3M Co.		49,400		8,117,408
Danaher Corp.		46,300		3,968,373
General Electric Co.		767,700		19,399,779
Hopewell Holdings Ltd. (Hong Kong)		106,000		385,854
Hutchison Whampoa Ltd. (Hong Kong)		13,000		148,610
Keppel Corp. Ltd. (Singapore)		61,000		406,588
NWS Holdings Ltd. (Hong Kong)		11,000		20,177
Roper Industries, Inc.		7,700		1,203,895
Siemens AG (Germany)		5,816		652,579
				34,303,263
Insurance — 1.6%
ACE Ltd.		25,500		2,929,440
Aflac, Inc.		34,700		2,119,823
AIA Group Ltd. (Hong Kong)		5,200		28,680
Allianz SE (Germany)		3,336		552,531
Allstate Corp. (The)		33,300		2,339,325

SEE NOTES TO FINANCIAL STATEMENTS.

A5

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Insurance (continued)
American International Group, Inc.		108,139	$	6,056,865
Aon PLC		22,200		2,105,226
Assurant, Inc.		5,500		376,365
AXA SA (France)		32,922		758,625
Baloise Holding AG (Switzerland)		3,970		507,412
Chubb Corp. (The)		18,600		1,924,542
Cincinnati Financial Corp.		11,237		582,414
CNP Assurances (France)		1,259		22,320
Genworth Financial, Inc. (Class A Stock)*		37,200		316,200
Hannover Rueck SE (Germany)		1,811		163,373
Hartford Financial Services Group, Inc. (The)		33,900		1,413,291
Insurance Australia Group Ltd. (Australia)		17,358		88,136
Legal & General Group PLC (United Kingdom)		163,963		633,087
Lincoln National Corp.		19,918		1,148,671
Loews Corp.		23,275		978,015
Marsh & McLennan Cos., Inc.		41,400		2,369,736
MetLife, Inc.		86,400		4,673,376
Muenchener Rueckversicherungs AG (Germany)		1,062		211,485
NN Group NV (Netherlands)*		895		26,719
Principal Financial Group, Inc.		20,800		1,080,352
Progressive Corp. (The)		40,800		1,101,192
Prudential PLC (United Kingdom)		18,497		427,642
Suncorp Group Ltd. (Australia)		45,247		516,892
Swiss Life Holding AG (Switzerland)*		1,871		442,214
Swiss Re AG (Switzerland)*		1,279		107,144
Tokio Marine Holdings, Inc. (Japan)		5,000		162,388
Torchmark Corp.		9,725		526,803
Travelers Cos., Inc. (The)		25,735		2,724,050
UnipolSai SpA (Italy)		7,610		20,489
Unum Group		21,410		746,781
XL Group PLC (Ireland)		19,800		680,526
				40,862,130
Internet & Catalog Retail — 0.6%
Amazon.com, Inc.*		28,900		8,969,115
Expedia, Inc.		7,950		678,612
Netflix, Inc.*		4,650		1,588,487
Priceline Group, Inc. (The)*		4,010		4,572,242
TripAdvisor, Inc.*(a)		8,450		630,877
				16,439,333
Internet Software & Services — 1.8%
Akamai Technologies, Inc.*		13,800		868,848
eBay, Inc.*		85,600		4,803,872
Facebook, Inc. (Class A Stock)*		159,200		12,420,784
Google, Inc. (Class A Stock)*		21,750		11,541,855
Google, Inc. (Class C Stock)*		21,770		11,459,728
VeriSign, Inc.*(a)		8,500		484,500
Yahoo!, Inc.*		68,900		3,480,139
				45,059,726

COMMON STOCKS (continued)	Shares		Value (Note 2)
IT Services — 1.8%
Accenture PLC (Class A Stock)		47,900	$	4,277,949
Alliance Data Systems Corp.*(a)		4,600		1,315,830
Automatic Data Processing, Inc.		36,500		3,043,005
Cap Gemini SA (France)		10,878		777,966
Cognizant Technology Solutions Corp. (Class A Stock)*		46,300		2,438,158
Computer Sciences Corp.		11,400		718,770
Fidelity National Information Services, Inc.		21,700		1,349,740
Fiserv, Inc.*		18,900		1,341,333
International Business Machines Corp.		70,700		11,343,108
MasterCard, Inc. (Class A Stock)		75,100		6,470,616
Paychex, Inc.		24,800		1,145,016
Teradata Corp.*(a)		11,400		497,952
Total System Services, Inc.		12,096		410,780
Visa, Inc. (Class A Stock)(a)		37,400		9,806,280
Western Union Co. (The)(a)		39,210		702,251
Xerox Corp.		80,663		1,117,989
				46,756,743
Leisure Products — 0.1%
Bandai Namco Holdings, Inc. (Japan)		13,500		285,812
Hasbro, Inc.(a)		8,600		472,914
Mattel, Inc.		26,151		809,243
Shimano, Inc. (Japan)		600		77,713
				1,645,682
Life Sciences Tools & Services — 0.2%
Agilent Technologies, Inc.		25,114		1,028,167
PerkinElmer, Inc.		8,600		376,078
QIAGEN NV*		1,701		39,622
Thermo Fisher Scientific, Inc.		30,300		3,796,287
Waters Corp.*		6,700		755,224
				5,995,378
Machinery — 0.9%
Amada Co. Ltd. (Japan)		2,600		22,279
Atlas Copco AB (Sweden) (Class B Stock)		2,796		71,572
Caterpillar, Inc.		47,600		4,356,828
Cummins, Inc.		13,200		1,903,044
Deere & Co.		27,300		2,415,231
Dover Corp.		12,800		918,016
FANUC Corp. (Japan)		1,400		230,833
Flowserve Corp.		10,700		640,181
IHI Corp. (Japan)		11,000		55,709
Illinois Tool Works, Inc.		28,000		2,651,600
Ingersoll-Rand PLC		20,300		1,286,817
Joy Global, Inc.		7,400		344,248
Kawasaki Heavy Industries Ltd. (Japan)		10,000		45,475
Kone OYJ (Finland) (Class B Stock)		13,529		615,946
MAN SE (Germany)		473		52,678
NSK Ltd. (Japan)		35,000		413,236
PACCAR, Inc.		27,343		1,859,597
Pall Corp.		8,100		819,801
Parker Hannifin Corp.		11,665		1,504,202

SEE NOTES TO FINANCIAL STATEMENTS.

A6

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Machinery (continued)
Pentair PLC (United Kingdom)		14,777	$	981,488
Snap-on, Inc.		4,700		642,678
Stanley Black & Decker, Inc.		11,897		1,143,064
Sumitomo Heavy Industries Ltd. (Japan)		36,000		193,643
THK Co. Ltd. (Japan)		1,500		36,048
Vallourec SA (France)		4,842		131,226
Wartsila OYJ Abp (Finland)		2,017		90,278
Xylem, Inc.		13,500		513,945
Yangzijiang Shipbuilding Holdings Ltd. (China)		25,000		22,655
				23,962,318
Marine
A.P. Moeller – Maersk A/S (Denmark) (Class A Stock)		28		53,582
A.P. Moeller – Maersk A/S (Denmark) (Class B Stock)		325		646,409
Kuehne + Nagel International AG (Switzerland)		388		52,704
Mitsui OSK Lines Ltd. (Japan)		8,000		23,702
Nippon Yusen K.K. (Japan)		12,000		33,894
				810,291
Media — 2.0%
Altice SA (Luxembourg)*		948		74,862
Cablevision Systems Corp. (Class A Stock)(a)		14,900		307,536
CBS Corp. (Class B Stock)		37,034		2,049,462
Comcast Corp. (Class A Stock)		196,990		11,427,390
Dentsu, Inc. (Japan)		1,500		63,062
DIRECTV*		38,100		3,303,270
Discovery Communications, Inc. (Class A Stock)*		11,200		385,840
Discovery Communications, Inc. (Class C Stock)*(a)		21,300		718,236
Gannett Co., Inc.		16,600		530,038
Hakuhodo DY Holdings, Inc. (Japan)		3,100		29,667
Interpublic Group of Cos., Inc. (The)		30,731		638,283
Lagardere SCA (France)		1,567		40,808
News Corp. (Class A Stock)*		35,775		561,310
Omnicom Group, Inc.		19,000		1,471,930
Publicis Groupe SA (France)		2,912		208,836
Reed Elsevier NV (United Kingdom)		2,200		52,537
Reed Elsevier PLC (United Kingdom)		8,468		144,650
RTL Group SA (Germany)		287		27,367
Scripps Networks Interactive, Inc. (Class A Stock)(a)		8,000		602,160
Sky PLC (United Kingdom)		7,608		106,180
Time Warner Cable, Inc.		21,414		3,256,213
Time Warner, Inc.		65,366		5,583,564
Twenty-First Century Fox, Inc. (Class A Stock)		142,700		5,480,393
Viacom, Inc. (Class B Stock)		28,934		2,177,283
Walt Disney Co. (The)		120,200		11,321,638
Wolters Kluwer NV (Netherlands)		2,201		67,164
				50,629,679

COMMON STOCKS (continued)	Shares		Value (Note 2)
Metals & Mining — 0.4%
Alcoa, Inc.		88,140	$	1,391,731
Allegheny Technologies, Inc.		7,700		267,729
Anglo American PLC (United Kingdom)		3,215		59,492
Antofagasta PLC (United Kingdom)		26,301		306,459
BHP Billiton Ltd. (Australia)		23,042		544,774
BHP Billiton PLC (Australia)		29,888		640,541
Fortescue Metals Group Ltd. (Australia)(a)		117,795		258,636
Freeport-McMoRan, Inc.		78,788		1,840,488
JFE Holdings, Inc. (Japan)		6,300		140,496
Kobe Steel Ltd. (Japan)		404,000		695,889
Maruichi Steel Tube Ltd. (Japan)		700		14,898
Mitsubishi Materials Corp. (Japan)		15,000		49,761
Newmont Mining Corp.		36,100		682,290
Nippon Steel & Sumitomo Metal Corp. (Japan)		54,000		133,954
Nucor Corp.		24,100		1,182,105
Rio Tinto PLC (United Kingdom)		8,804		405,839
Sumitomo Metal Mining Co. Ltd. (Japan)		4,000		59,660
Voestalpine AG (Austria)		12,686		501,264
				9,176,006
Multi-Utilities — 0.7%
AGL Energy Ltd. (Australia)		4,844		52,834
Ameren Corp.		18,800		867,244
CenterPoint Energy, Inc.		31,100		728,673
Centrica PLC (United Kingdom)		36,698		158,955
CMS Energy Corp.		21,500		747,125
Consolidated Edison, Inc.		22,100		1,458,821
Dominion Resources, Inc.		44,232		3,401,441
DTE Energy Co.		13,500		1,165,995
E.ON SE (Germany)		5,537		94,637
Integrys Energy Group, Inc.		6,120		476,442
National Grid PLC (United Kingdom)		72,609		1,030,272
NiSource, Inc.		23,600		1,001,112
PG&E Corp.		36,300		1,932,612
Public Service Enterprise Group, Inc.		38,000		1,573,580
SCANA Corp.		11,300		682,520
Sempra Energy		17,719		1,973,188
TECO Energy, Inc.		17,200		352,428
Wisconsin Energy Corp.(a)		17,400		917,676
				18,615,555
Multiline Retail — 0.4%
Dollar General Corp.*		22,900		1,619,030
Dollar Tree, Inc.*		15,800		1,112,004
Family Dollar Stores, Inc.		7,400		586,154
Kohl’s Corp.		15,700		958,328
Macy’s, Inc.		27,374		1,799,840
Nordstrom, Inc.		11,100		881,229
Target Corp.		48,000		3,643,680
				10,600,265

SEE NOTES TO FINANCIAL STATEMENTS.

A7

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels — 4.0%
Anadarko Petroleum Corp.		38,354	$	3,164,205
Apache Corp.		29,114		1,824,574
BP PLC (United Kingdom)		109,674		696,165
Cabot Oil & Gas Corp.		31,900		944,559
Chesapeake Energy Corp.		37,600		735,832
Chevron Corp.		144,822		16,246,132
Cimarex Energy Co.		6,800		720,800
ConocoPhillips		93,177		6,434,804
CONSOL Energy, Inc.		17,400		588,294
Denbury Resources, Inc.(a)		26,600		216,258
Devon Energy Corp.		29,500		1,805,695
Eni SpA (Italy)		45,369		794,708
EOG Resources, Inc.		41,500		3,820,905
EQT Corp.		11,600		878,120
Exxon Mobil Corp.		324,099		29,962,953
Hess Corp.		20,200		1,491,164
Kinder Morgan, Inc.		128,298		5,428,288
Marathon Oil Corp.		51,682		1,462,084
Marathon Petroleum Corp.		21,841		1,971,369
Murphy Oil Corp.		13,300		671,916
Newfield Exploration Co.*		10,200		276,624
Noble Energy, Inc.		27,800		1,318,554
Occidental Petroleum Corp.		59,100		4,764,051
ONEOK, Inc.		15,900		791,661
Phillips 66		42,338		3,035,635
Pioneer Natural Resources Co.		11,350		1,689,447
QEP Resources, Inc.		13,000		262,860
Range Resources Corp.		13,000		694,850
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		46,602		1,555,246
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		32,840		1,134,659
Showa Shell Sekiyu K.K. (Japan)		2,500		24,626
Southwestern Energy Co.*		27,200		742,288
Spectra Energy Corp.		51,162		1,857,181
Statoil ASA (Norway)		8,169		143,830
Tesoro Corp.		9,600		713,760
Total SA (France)		16,650		853,015
Valero Energy Corp.		40,400		1,999,800
Williams Cos., Inc. (The)		50,100		2,251,494
Woodside Petroleum Ltd. (Australia)		5,323		164,626
				104,133,032
Paper & Forest Products — 0.1%
International Paper Co.		32,173		1,723,829
UPM-Kymmene OYJ (Finland)		3,925		64,324
				1,788,153
Personal Products — 0.1%
Avon Products, Inc.		32,200		302,358
Estee Lauder Cos., Inc. (The) (Class A Stock)		17,000		1,295,400
				1,597,758
Pharmaceuticals — 3.7%
AbbVie, Inc.		121,400		7,944,416
Actavis PLC*		20,089		5,171,109
Allergan, Inc.		22,900		4,868,311
AstraZeneca PLC (United Kingdom)		9,362		661,246

COMMON STOCKS (continued)	Shares		Value (Note 2)
Pharmaceuticals (continued)
Bayer AG (Germany)		3,490	$	475,718
Bristol-Myers Squibb Co.		126,370		7,459,621
Eli Lilly & Co.		75,100		5,181,149
GlaxoSmithKline PLC (United Kingdom)		47,462		1,018,233
Hospira, Inc.*		13,260		812,175
Johnson & Johnson		214,248		22,403,913
Mallinckrodt PLC*		8,800		871,464
Merck & Co., Inc.		219,333		12,455,921
Merck KGaA (Germany)		916		86,203
Mylan, Inc.*		28,900		1,629,093
Novartis AG (Switzerland)		24,132		2,238,086
Novo Nordisk A/S (Denmark) (Class B Stock)		4,633		195,975
Otsuka Holdings Co. Ltd. (Japan)		22,000		659,587
Perrigo Co. PLC		10,400		1,738,464
Pfizer, Inc.		481,870		15,010,250
Roche Holding AG (Switzerland)		6,720		1,820,732
Sanofi (France)		8,625		786,347
Shire PLC (Ireland)		525		37,223
Teva Pharmaceutical Industries Ltd. (Israel)		13,487		773,141
Zoetis, Inc.		37,700		1,622,231
				95,920,608
Professional Services — 0.1%
Adecco SA (Switzerland)*		671		46,124
Capita PLC (United Kingdom)		4,883		81,877
Dun & Bradstreet Corp. (The)		2,900		350,784
Equifax, Inc.		9,500		768,265
Nielsen NV(a)		24,600		1,100,358
Robert Half International, Inc.		11,000		642,180
				2,989,588
Real Estate Investment Trusts (REITs) — 1.4%
American Tower Corp.		30,100		2,975,385
Apartment Investment & Management Co. (Class A Stock)		10,833		402,446
AvalonBay Communities, Inc.		10,175		1,662,493
Boston Properties, Inc.		11,600		1,492,804
CapitaCommercial Trust (Singapore)		27,000		35,647
CapitaMall Trust (Singapore)		18,000		27,637
Crown Castle International Corp.		25,600		2,014,720
Equity Residential		27,800		1,997,152
Essex Property Trust, Inc.		4,900		1,012,340
Federation Centres (Australia)		310,281		722,416
General Growth Properties, Inc.		47,500		1,336,175
GPT Group (The) (Australia)		12,319		43,598
HCP, Inc.		35,700		1,571,871
Health Care REIT, Inc.		25,100		1,899,317
Host Hotels & Resorts, Inc.		57,382		1,363,970
Intu Properties PLC (United Kingdom)		133,377		689,552
Iron Mountain, Inc.		13,602		525,853
Kimco Realty Corp.		31,300		786,882
Land Securities Group PLC (United Kingdom)		5,791		104,097
Link REIT (The) (Hong Kong)		108,500		679,292

SEE NOTES TO FINANCIAL STATEMENTS.

A8

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Investment Trusts (REITs) (continued)
Macerich Co. (The)		11,000	$	917,510
Plum Creek Timber Co., Inc.		13,300		569,107
Prologis, Inc.		38,777		1,668,574
Public Storage		11,200		2,070,320
Simon Property Group, Inc.		23,843		4,342,049
Ventas, Inc.(a)		22,418		1,607,371
Vornado Realty Trust		13,625		1,603,799
Weyerhaeuser Co.		39,998		1,435,528
				35,557,905
Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*		21,100		722,675
Cheung Kong Holdings Ltd. (Hong Kong)		17,000		284,696
Daiwa House Industry Co. Ltd. (Japan)		4,300		81,232
Deutsche Wohnen AG (Germany)		3,763		88,768
Henderson Land Development Co. Ltd. (Hong Kong)		15,400		107,034
Hysan Development Co. Ltd. (Hong Kong)		148,000		656,825
Lend Lease Group (Australia)		4,503		59,975
New World Development Co. Ltd. (Hong Kong)		155,000		177,942
Sino Land Co. Ltd. (Hong Kong)		22,000		35,317
Swire Properties Ltd. (Hong Kong)		8,800		25,893
Wheelock & Co. Ltd. (Hong Kong)		6,000		27,858
				2,268,215
Road & Rail — 0.6%
Asciano Ltd. (Australia)		7,275		35,628
Central Japan Railway Co. (Japan)		1,000		149,876
ComfortDelGro Corp. Ltd. (Singapore)		15,000		29,354
CSX Corp.		75,800		2,746,234
DSV A/S (Denmark)		1,318		40,132
Hankyu Hanshin Holdings, Inc. (Japan)		9,000		48,277
Kansas City Southern		8,500		1,037,255
MTR Corp. Ltd. (Hong Kong)		10,500		42,958
Norfolk Southern Corp.		23,500		2,575,835
Ryder System, Inc.		4,100		380,685
Union Pacific Corp.		68,400		8,148,492
West Japan Railway Co. (Japan)		3,900		184,385
				15,419,111
Semiconductors & Semiconductor Equipment — 1.3%
Altera Corp.		24,000		886,560
Analog Devices, Inc.		23,900		1,326,928
Applied Materials, Inc.		91,300		2,275,196
Avago Technologies Ltd. (Singapore)		19,500		1,961,505
Broadcom Corp. (Class A Stock)		41,350		1,791,695
First Solar, Inc.*		6,000		267,570
Infineon Technologies AG (Germany)		8,178		86,539
Intel Corp.		372,800		13,528,912
KLA-Tencor Corp.		12,700		893,064
Lam Research Corp.		12,450		987,783

COMMON STOCKS (continued)	Shares		Value (Note 2)
Semiconductors & Semiconductor Equipment (continued)
Linear Technology Corp.		18,500	$	843,600
Microchip Technology, Inc.		15,700		708,227
Micron Technology, Inc.*		81,200		2,842,812
NVIDIA Corp.		37,150		744,858
Rohm Co. Ltd. (Japan)		700		42,177
Texas Instruments, Inc.		80,900		4,325,318
Xilinx, Inc.		20,600		891,774
				34,404,518
Software — 2.1%
Adobe Systems, Inc.*		35,800		2,602,660
Autodesk, Inc.*		17,400		1,045,044
CA, Inc.		24,164		735,794
Citrix Systems, Inc.*		12,700		810,260
Electronic Arts, Inc.*		23,900		1,123,659
Intuit, Inc.		21,900		2,018,961
Microsoft Corp.		630,200		29,272,790
Nexon Co. Ltd. (Japan)		21,000		195,764
Oracle Corp.		246,500		11,085,105
Red Hat, Inc.*		14,600		1,009,444
salesforce.com, inc.*		43,700		2,591,847
Symantec Corp.		52,278		1,341,192
				53,832,520
Specialty Retail — 1.3%
ABC-Mart, Inc. (Japan)		400		19,355
AutoNation, Inc.*		6,174		372,971
AutoZone, Inc.*(a)		2,550		1,578,731
Bed Bath & Beyond, Inc.*		15,000		1,142,550
Best Buy Co., Inc.		22,525		878,025
CarMax, Inc.*(a)		16,800		1,118,544
Dixons Carphone PLC (United Kingdom)		80,040		576,847
GameStop Corp. (Class A Stock)(a)		8,800		297,440
Gap, Inc. (The)		21,200		892,732
Hennes & Mauritz AB (Sweden) (Class B Stock)		1,714		71,208
Home Depot, Inc. (The)		101,850		10,691,195
L Brands, Inc.		18,606		1,610,349
Lowe’s Cos., Inc.		74,800		5,146,240
Nitori Holdings Co. Ltd. (Japan)		500		26,864
O’Reilly Automotive, Inc.*		7,900		1,521,698
PetSmart, Inc.		7,600		617,842
Ross Stores, Inc.		15,900		1,498,734
Staples, Inc.		46,749		847,092
Tiffany & Co.		8,800		940,368
TJX Cos., Inc. (The)		52,500		3,600,450
Tractor Supply Co.		10,700		843,374
Urban Outfitters, Inc.*		8,000		281,040
				34,573,649
Technology Hardware, Storage & Peripherals — 2.6%
Apple, Inc.		449,940		49,664,377
Brother Industries Ltd. (Japan)		15,900		288,225
EMC Corp.		155,650		4,629,031
FUJIFILM Holdings Corp. (Japan)		6,900		210,544
Hewlett-Packard Co.		142,748		5,728,477
NEC Corp. (Japan)		19,000		55,214
NetApp, Inc.		24,400		1,011,380

SEE NOTES TO FINANCIAL STATEMENTS.

A9

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Technology Hardware, Storage & Peripherals (continued)
Ricoh Co. Ltd. (Japan)		5,100	$	51,556
SanDisk Corp.(a)		17,400		1,704,852
Seagate Technology PLC		24,700		1,642,550
Seiko Epson Corp. (Japan)		15,400		644,401
Western Digital Corp.		17,100		1,892,970
				67,523,577
Textiles, Apparel & Luxury Goods — 0.5%
Burberry Group PLC (United Kingdom)		3,265		82,839
Coach, Inc.		21,400		803,784
Fossil Group, Inc.*		3,500		387,590
Luxottica Group SpA (Italy)		1,233		67,592
Michael Kors Holdings Ltd.*		15,600		1,171,560
NIKE, Inc. (Class B Stock)		53,800		5,172,870
Pandora A/S (Denmark)		9,001		729,595
PVH Corp.		6,300		807,471
Ralph Lauren Corp.		4,800		888,768
Swatch Group AG (The) (Switzerland)		363		31,400
Under Armour, Inc. (Class A Stock)*(a)		13,000		882,700
VF Corp.		26,600		1,992,340
				13,018,509
Thrifts & Mortgage Finance
Hudson City Bancorp, Inc.		34,300		347,116
People’s United Financial, Inc.(a)		22,000		333,960
				681,076
Tobacco — 0.9%
Altria Group, Inc.		151,200		7,449,624
British American Tobacco PLC (United Kingdom)		13,676		741,117
Imperial Tobacco Group PLC (United Kingdom)		17,347		763,607
Japan Tobacco, Inc. (Japan)		17,100		470,640
Lorillard, Inc.		27,841		1,752,313
Philip Morris International, Inc.		118,900		9,684,405
Reynolds American, Inc.		23,200		1,491,064
				22,352,770

COMMON STOCKS (continued)	Shares		Value (Note 2)
Trading Companies & Distributors — 0.2%
Bunzl PLC (United Kingdom)		2,739	$	74,877
Fastenal Co.(a)		21,000		998,760
ITOCHU Corp. (Japan)		8,600		91,806
Marubeni Corp. (Japan)		11,800		70,604
Mitsubishi Corp. (Japan)		42,800		783,245
Mitsui & Co. Ltd. (Japan)		11,200		150,003
Sumitomo Corp. (Japan)		8,100		83,193
United Rentals, Inc.*		7,500		765,075
W.W. Grainger, Inc.		4,700		1,197,983
				4,215,546
Transportation Infrastructure
Hutchison Port Holdings Trust (Singapore)		42,000		28,980
Water Utilities
Severn Trent PLC (United Kingdom)		5,743		179,120
Wireless Telecommunication Services
KDDI Corp. (Japan)		4,200		263,861
Millicom International Cellular SA (Luxembourg) SDR		485		35,936
Vodafone Group PLC (United Kingdom)		191,822		657,688
				957,485
TOTAL COMMON STOCKS (cost $704,927,077)				1,485,151,468
EXCHANGE TRADED FUND
iShares MSCI EAFE Index Fund(a) (cost $1,028,152)		16,250		988,650
PREFERRED STOCKS
Automobiles
Bayerische Motoren Werke AG (Germany) (PRFC)		392		32,027
Volkswagen AG (Germany) (PRFC)		2,197		488,296
				520,323
Banking
Citigroup Capital XIII 7.875%, (Capital Security, fixed to floating preferred)(b)		20,000		531,600
TOTAL PREFERRED STOCKS (cost $1,108,715)				1,051,923

ASSET-BACKED SECURITIES — 2.1%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Debt Obligation
Cent CDO XI Ltd. (Cayman Islands), Series 2006-11A, Class A1, 144A		0.494%	(b)	04/25/19		388	$	384,317
Collateralized Loan Obligations — 1.3%
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		1.411%	(b)	04/20/25		2,100		2,064,439
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A		3.360%		04/20/25		250		241,526
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.419%	(b)	07/13/25		2,400		2,358,497
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1, 144A		1.766%	(b)	04/28/26		400		397,030
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		1.833%		10/15/26		2,000		1,993,387

SEE NOTES TO FINANCIAL STATEMENTS.

A10

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations (continued)
Atlas Senior Loan Fund VI Ltd. (Cayman Islands), Series 2014-6A, Class A, 144A		1.796%	(b)	10/15/26		600	$	596,249
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A		1.800%	(b)	10/17/26		250		249,135
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A		1.431%	(b)	07/15/24		1,000		982,819
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.378%	(b)	04/17/25		2,200		2,160,458
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		1.781%	(b)	04/20/26		1,650		1,641,778
Catamaran CLO Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A		1.780%	(b)	10/18/26		250		248,071
Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A		0.482%	(b)	07/22/20		262		260,262
Fraser Sullivan CLO I Ltd. (Cayman Islands), Series 2006-1A, Class B, 144A		0.711%	(b)	03/15/20		1,000		995,796
Galaxy XVIII CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A		1.704%	(b)	10/15/26		750		742,829
ICG US CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1B, 144A		3.320%		01/25/27		750		738,075
ING IM CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.371%	(b)	04/15/24		1,500		1,473,007
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		1.822%	(b)	05/15/26		250		249,117
Magnetite Ltd. (Cayman Islands), Series 2012-6A, Class A, 144A		1.741%	(b)	09/15/23		300		299,286
Magnetite Ltd. (Cayman Islands), Series 2014-8A, Class A, 144A		1.711%	(b)	04/15/26		1,750		1,735,491
Magnetite Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A		1.700%	(b)	07/25/26		3,000		2,965,031
Magnetite Ltd. (Cayman Islands), Series 2014-11A, Class A1, 144A		1.685%	(b)	01/18/27		500		494,517
Marine Park CLO Ltd. (Cayman Islands), Series 2012-1A, Class A1A, 144A		1.702%	(b)	05/18/23		500		498,156
Mayport CLO Ltd. (Cayman Islands), Series 2006-1A, Class A1L, 144A		0.483%	(b)	02/22/20		1		1,428
OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A		1.382%	(b)	07/22/25		1,000		980,862
Seneca Park CLO Ltd. (Cayman Islands), Series 2014- 1A, Class A, 144A		1.704%	(b)	07/17/26		500		498,631
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A		4.350%		07/17/26		500		503,092
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.281%	(b)	04/15/25		2,600		2,545,177
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A		2.882%	(b)	08/17/22		500		501,395
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A		2.931%	(b)	10/20/23		900		903,586
THL Credit Wind River Ltd. (Cayman Islands), Series 2014-3A, Class A, 144A		1.863%	(b)	01/22/27		1,750		1,743,000
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.351%	(b)	07/15/25		2,200		2,155,467
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		1.731%	(b)	04/20/26		1,300		1,290,239
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A		4.250%		04/20/26		500		503,086
								35,010,919
Non-Residential Mortgage-Backed Securities — 0.5%
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A		0.961%	(b)	05/15/20		2,700		2,715,204
Ford Credit Auto Owner Trust, Series 2014-1, Class A, 144A		2.260%		11/15/25		1,500		1,508,007
Ford Credit Auto Owner Trust, Series 2014-2, Class A, 144A		2.310%		04/15/26		2,400		2,406,182
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A		2.000%		09/20/29		954		949,045
Synchrony Credit Card Master Note Trust, Series 2012-4, Class B		1.011%	(b)	06/15/18		4,500		4,501,453
								12,079,891
Residential Mortgage-Backed Securities — 0.3%
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1		1.820%	(b)	03/25/33		307		290,592
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3		4.123%	(b)	07/25/35		375		363,840
CWABS, Inc., Series 2004-1, Class M1		0.920%	(b)	03/25/34		2,703		2,577,328
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1		5.037%	(b)	07/25/34		460		440,198
Fremont Home Loan Trust, Series 2004-2, Class M1		1.025%	(b)	07/25/34		506		454,965
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1		0.965%	(b)	06/25/34		657		633,573
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1		1.370%	(b)	05/25/33		160		150,460
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1		1.220%	(b)	12/25/33		920		888,743
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1		1.070%	(b)	07/25/32		403		385,953

SEE NOTES TO FINANCIAL STATEMENTS.

A11

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Residential Mortgage-Backed Securities (continued)
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1		1.445%	(b)	09/25/32		609	$	599,946
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1		0.935%	(b)	02/25/34		1,006		944,391
								7,729,989
TOTAL ASSET-BACKED SECURITIES (cost $54,784,572)								55,205,116
BANK LOANS(b) — 0.3%
Automotive
Schaeffler AG (Germany)		4.250%		05/15/20		600		597,000
Cable
Virgin Media Investment Holdings Ltd. (United Kingdom)		3.500%		06/07/20		1,000		981,250
Foods — 0.1%
ARAMARK Corp.		3.250%		09/07/19		437		429,589
Big Heart Pet Brands, Inc.		3.500%		03/09/20		767		733,973
								1,163,562
Healthcare & Pharmaceutical — 0.1%
Biomet, Inc.		3.733%		07/25/17		750		745,625
Grifols Worldwide Operations USA, Inc.		3.255%		02/26/21		248		244,403
RPI Finance Trust (Luxembourg)		3.250%		11/09/18		875		872,045
								1,862,073
Technology — 0.1%
Avago Technologies Finance Pte Ltd.		3.750%		05/06/21		821		816,428
First Data Corp.		3.755%		03/26/18		1,055		1,031,773
Trans Union LLC		4.000%		04/09/21		397		390,549
								2,238,750
TOTAL BANK LOANS (cost $6,897,918)								6,842,635
COMMERCIAL MORTGAGE-BACKED SECURITIES — 3.6%
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3		5.369%		10/10/45		3,400		3,449,960
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A		5.561%	(b)	04/10/49		3,016		3,226,564
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4		5.710%	(b)	12/10/49		800		867,508
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3		2.815%		04/10/46		900		888,991
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4		3.575%		05/10/47		2,090		2,174,981
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4		5.223%		08/15/48		918		967,339
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3		2.540%		12/10/45		1,000		971,095
Commercial Mortgage Pass-Through Certificates, Series 2013-CR7, Class A3		2.929%		03/10/46		1,400		1,401,816
Commercial Mortgage Pass-Through Certificates, Series 2014-CR15, Class A2		2.928%		02/10/47		2,000		2,058,624
Commercial Mortgage Pass-Through Certificates, Series 2014-CR18, Class A4		3.550%		07/15/47		2,100		2,174,592
Commercial Mortgage Pass-Through Certificates, Series 2014-LC17, Class A4		3.648%		10/10/47		5,000		5,221,290
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS3, Class A2		2.844%		06/10/47		1,700		1,748,768
Commercial Mortgage Trust, Series 2005-GG5, Class A5		5.224%	(b)	04/10/37		1,400		1,415,141
Commercial Mortgage Trust, Series 2005-GG5, Class AM		5.277%	(b)	04/10/37		3,500		3,576,307
Commercial Mortgage Trust, Series 2007-GG9, Class A2		5.381%		03/10/39		1,116		1,119,335
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class A4		5.467%	(b)	02/15/39		2,810		2,890,984
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM		5.467%	(b)	02/15/39		530		551,289
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C2, Class A4		4.832%		04/15/37		769		770,523

SEE NOTES TO FINANCIAL STATEMENTS.

A12

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal National Mortgage Assoc., Series 2014-M2, Class A2		3.513%	(b)	12/25/23		1,925	$	2,051,831
FHLMC Multifamily Structured Pass-Through Certificates, Series K017, Class A2		2.873%		12/25/21		3,500		3,606,148
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class A2		2.373%		05/25/22		1,000		995,267
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O		1.465%	(b)	05/25/22		20,995		1,808,434
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O		1.506%	(b)	06/25/22		5,797		515,611
FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2		3.320%	(b)	02/25/23		5,300		5,578,685
FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2		3.531%	(b)	07/25/23		1,800		1,921,869
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O		1.685%	(b)	08/25/16		4,986		94,192
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O		1.778%	(b)	05/25/19		16,694		1,103,917
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O		1.707%	(b)	07/25/19		17,278		1,108,915
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1		3.408%		11/15/47		1,100		1,127,734
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP2, Class A3		4.697%		07/15/42		1		1,290
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP2, Class AM		4.780%		07/15/42		1,000		1,007,794
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP4, Class AM		4.999%	(b)	10/15/42		1,170		1,193,473
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class ASB		5.523%		05/12/45		572		585,616
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A2		5.772%	(b)	06/15/49		29		29,043
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3		3.139%		06/15/45		1,691		1,748,467
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4		2.611%		12/15/47		1,500		1,470,684
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4		2.875%		12/15/47		3,200		3,189,360
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2		3.070%		12/15/46		1,700		1,761,999
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46		1,100		1,075,330
LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5		4.739%		07/15/30		352		353,717
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM		5.263%	(b)	11/15/40		1,390		1,433,656
Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM		5.677%	(b)	05/12/39		780		818,919
ML-CFC Commercial Mortgage Trust, Series 2006-1, Class AM		5.517%	(b)	02/12/39		440		458,237
ML-CFC Commercial Mortgage Trust, Series 2006-2, Class A4		5.869%	(b)	06/12/46		2,137		2,242,343
ML-CFC Commercial Mortgage Trust, Series 2007-6, Class A2		5.331%		03/12/51		1,732		1,753,154
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3		2.863%		12/15/48		1,200		1,190,281
Morgan Stanley Capital I Trust, Series 2006-IQ11, Class A4		5.656%	(b)	10/15/42		2,136		2,194,672
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB		5.444%		02/12/44		1,698		1,708,543
Morgan Stanley Capital I Trust, Series 2007-T27, Class AAB		5.651%	(b)	06/11/42		234		234,210
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4		2.792%		12/10/45		1,400		1,386,020
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3		2.920%		03/10/46		3,200		3,199,235
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3		2.971%		04/10/46		1,500		1,503,116
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4		5.723%	(b)	05/15/43		3,075		3,189,474
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A		5.608%	(b)	05/15/46		4,211		4,483,641
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $93,325,081)								93,599,984

SEE NOTES TO FINANCIAL STATEMENTS.

A13

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS — 8.8%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Airlines — 0.1%
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A		6.648%		09/15/17		103	$	106,250
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1(d)		6.703%		06/15/21		124		134,321
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A		7.250%		11/10/19		562		648,674
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A(a)		4.750%		01/12/21		610		649,530
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A		4.000%		10/29/24		383		389,184
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A		6.821%		08/10/22		315		364,844
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A		4.950%		05/23/19		471		504,396
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A		5.300%		04/15/19		776		844,004
								3,641,203
Automotive — 0.2%
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes		4.207%		04/15/16		1,890		1,956,235
General Motors Co., Sr. Unsec’d. Notes		6.250%		10/02/43		1,065		1,272,249
Harley-Davidson Financial Services, Inc., Gtd. Notes, MTN, 144A		2.700%		03/15/17		380		389,369
Jaguar Land Rover Automotive Plc (United Kingdom), Gtd. Notes, 144A		4.250%		11/15/19		535		539,012
Johnson Controls, Inc., Sr. Unsec’d. Notes		5.500%		01/15/16		235		246,098
								4,402,963
Banking — 2.6%
American Express Co., Jr. Sub. Notes(a)		5.200%	(b)	12/31/49		475		482,406
Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A		3.875%		09/20/22		530		524,426
Bank of America Corp., Series K, Jr. Sub. Notes		8.000%	(b)	12/29/49		2,100		2,254,875
Bank of America Corp., Sr. Unsec’d. Notes		5.700%		01/24/22		1,290		1,494,384
Bank of America Corp., Sr. Unsec’d. Notes		6.000%		09/01/17		1,330		1,466,528
Bank of America Corp., Sr. Unsec’d. Notes, MTN		3.300%		01/11/23		360		360,028
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.000%		04/01/24		745		775,713
Bank of America Corp., Sr. Unsec’d. Notes, MTN(a)		4.125%		01/22/24		2,740		2,877,425
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.500%		04/01/15		185		186,738
Bank of America Corp., Sr. Unsec’d. Notes, MTN		5.650%		05/01/18		105		116,652
Bank of America NA, Sub. Notes		5.300%		03/15/17		850		913,040
Bank of America NA, Sub. Notes		6.000%		10/15/36		805		1,008,312
Bank of Nova Scotia (Canada), Covered Bonds, 144A		1.650%		10/29/15		1,265		1,275,975
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes		5.300%		10/30/15		550		570,160
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes		6.400%		10/02/17		270		302,376
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes		7.250%		02/01/18		1,135		1,308,144
Capital One Financial Corp., Sr. Unsec’d. Notes		3.750%		04/24/24		2,170		2,216,870
Citigroup, Inc., Sr. Unsec’d. Notes(a)		3.875%		10/25/23		1,730		1,798,165
Citigroup, Inc., Sr. Unsec’d. Notes(a)		4.500%		01/14/22		1,125		1,229,353
Citigroup, Inc., Sr. Unsec’d. Notes		6.875%		03/05/38		36		49,048
Citigroup, Inc., Sr. Unsec’d. Notes		8.125%		07/15/39		850		1,301,294
Citigroup, Inc., Sr. Unsec’d. Notes		8.500%		05/22/19		1,195		1,489,050
Citigroup, Inc., Sub. Notes		6.125%		08/25/36		725		864,251
Compass Bank, Sr. Unsec’d. Notes		1.850%		09/29/17		1,050		1,045,522
Discover Bank, Sr. Unsec’d. Notes		4.250%		03/13/26		595		616,776
Discover Bank, Sub. Notes		7.000%		04/15/20		485		571,593
Discover Financial Services, Sr. Unsec’d. Notes		3.850%		11/21/22		900		915,662
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.250%		07/27/21		2,305		2,601,566
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.750%		01/24/22		1,250		1,445,984
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.250%		02/01/41		220		278,112
Goldman Sachs Group, Inc. (The), Sub. Notes		5.625%		01/15/17		765		820,537
Goldman Sachs Group, Inc. (The), Sub. Notes(a)		6.750%		10/01/37		1,100		1,383,112

SEE NOTES TO FINANCIAL STATEMENTS.

A14

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		4.875%		01/14/22		1,230	$	1,371,018
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		5.100%		04/05/21		920		1,039,966
Huntington Bancshares, Inc., Sub. Notes(a)		7.000%		12/15/20		150		180,530
Intesa Sanpaolo SpA (Italy), Gtd. Notes		3.125%		01/15/16		1,145		1,163,097
JPMorgan Chase & Co., Jr. Sub. Notes(a)		6.100%	(b)	12/31/49		1,175		1,172,062
JPMorgan Chase & Co., Jr. Sub. Notes		7.900%	(b)	04/29/49		2,000		2,152,600
JPMorgan Chase & Co., Sr. Unsec’d. Notes		4.250%		10/15/20		1,660		1,784,666
JPMorgan Chase & Co., Sub. Notes		5.625%		08/16/43		185		215,137
Lloyds Bank PLC (United Kingdom), Gtd. Notes, MTN, 144A		5.800%		01/13/20		1,770		2,045,315
Morgan Stanley, Jr. Sub. Notes(a)		5.450%	(b)	12/31/49		640		641,152
Morgan Stanley, Sr. Unsec’d. Notes(a)		6.375%		07/24/42		640		849,942
Morgan Stanley, Sr. Unsec’d. Notes, MTN		5.450%		01/09/17		1,530		1,642,782
Morgan Stanley, Sr. Unsec’d. Notes, MTN		5.500%		07/28/21		1,535		1,742,042
Morgan Stanley, Sr. Unsec’d. Notes, MTN(a)		5.625%		09/23/19		2,110		2,381,755
Morgan Stanley, Sr. Unsec’d. Notes, MTN		6.625%		04/01/18		100		113,904
MUFG Capital Finance 1 Ltd. (Japan), Gtd. Notes		6.346%	(b)	07/29/49		800		852,130
Northern Trust Corp., Sub. Notes		3.950%		10/30/25		750		780,568
People’s United Financial, Inc., Sr. Unsec’d. Notes		3.650%		12/06/22		1,195		1,204,662
PNC Bank NA, Sub. Notes		3.800%		07/25/23		480		494,783
PNC Funding Corp., Gtd. Notes		6.700%		06/10/19		390		461,771
Royal Bank of Canada (Canada), Covered Bonds(a)		2.200%		09/23/19		2,240		2,256,397
Santander Holdings USA, Inc., Sr. Unsec’d. Notes		3.000%		09/24/15		780		789,349
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes		2.450%		01/10/19		925		929,187
US Bancorp, Sub. Notes, MTN		2.950%		07/15/22		915		901,983
Wells Fargo & Co., Sub. Notes, MTN(a)		4.650%		11/04/44		910		938,994
Westpac Banking Corp. (Australia), Covered Bonds, 144A		2.000%		05/21/19		4,105		4,090,238
								66,740,107
Brokerage — 0.1%
Jefferies Group LLC, Sr. Unsec’d. Notes		6.500%		01/20/43		465		474,338
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(e)		5.250%		02/06/12		1,850		270,562
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(e)		6.875%		05/02/18		700		104,125
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN		2.000%		09/13/16		680		685,486
								1,534,511
Building Materials & Construction — 0.1%
Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A (original cost $635,000; purchased 10/27/14)(c)(d)		5.375%		11/15/24		635		633,412
D.R. Horton, Inc., Gtd. Notes(a)		3.625%		02/15/18		375		379,688
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A (original cost $530,000; purchased 06/19/14)(c)(d)		5.250%		06/27/29		530		463,485
								1,476,585
Cable — 0.3%
Cablevision Systems Corp., Sr. Unsec’d. Notes		8.625%		09/15/17		900		1,001,250
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(a)		7.250%		10/30/17		1,150		1,196,575
Comcast Cable Holdings LLC, Gtd. Notes		9.875%		06/15/22		1,440		1,991,748
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes		3.500%		03/01/16		605		620,781
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes		3.550%		03/15/15		165		165,979
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes(a)		5.150%		03/15/42		520		537,347
Time Warner Cable, Inc., Gtd. Notes		5.850%		05/01/17		1,240		1,353,521
Videotron Ltd. (Canada), Gtd. Notes		5.000%		07/15/22		850		864,875
								7,732,076
Capital Goods — 0.3%
Actuant Corp., Gtd. Notes		5.625%		06/15/22		1,040		1,079,000
Case New Holland Industrial, Inc., Gtd. Notes		7.875%		12/01/17		1,100		1,210,000
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,195,904; purchased 10/10/07)(c)(d)		6.375%		10/15/17		1,198		1,345,117

SEE NOTES TO FINANCIAL STATEMENTS.

A15

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Capital Goods (continued)
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $386,623; purchased 10/10/07)(c)(d)		7.000%		10/15/37		390	$	525,569
General Electric Co., Sr. Unsec’d. Notes		4.125%		10/09/42		180		186,338
General Electric Co., Sr. Unsec’d. Notes		4.500%		03/11/44		260		285,798
Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A (original cost $419,593; purchased 05/08/12)(c)(d)		3.125%		05/11/15		420		423,402
SPX Corp., Gtd. Notes(a)		6.875%		09/01/17		810		884,925
United Rentals North America, Inc., Gtd. Notes		7.375%		05/15/20		725		783,000
Xylem, Inc., Sr. Unsec’d. Notes		4.875%		10/01/21		1,060		1,145,161
								7,868,310
Chemicals — 0.2%
CF Industries, Inc., Gtd. Notes(a)		5.375%		03/15/44		445		480,108
Dow Chemical Co. (The), Sr. Unsec’d. Notes		4.625%		10/01/44		5		5,063
Dow Chemical Co. (The), Sr. Unsec’d. Notes		9.400%		05/15/39		30		48,676
Koppers, Inc., Gtd. Notes		7.875%		12/01/19		1,050		1,077,563
LyondellBasell Industries NV, Sr. Unsec’d. Notes		5.000%		04/15/19		800		872,611
Monsanto Co., Sr. Unsec’d. Notes		4.200%		07/15/34		150		156,300
Monsanto Co., Sr. Unsec’d. Notes		4.400%		07/15/44		180		186,758
Mosaic Co. (The), Sr. Unsec’d. Notes		5.450%		11/15/33		265		299,823
Mosaic Co. (The), Sr. Unsec’d. Notes		5.625%		11/15/43		860		985,573
Union Carbide Corp., Sr. Unsec’d. Notes		7.500%		06/01/25		500		647,178
								4,759,653
Consumer — 0.1%
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes		6.250%		04/15/18		1,600		1,804,254
Electric — 0.5%
Arizona Public Service Co., Sr. Unsec’d. Notes		6.250%		08/01/16		170		184,113
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes(a)		6.350%		10/01/36		530		723,542
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes		6.125%		04/01/36		340		427,153
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge., Series K2		6.950%		03/15/33		300		418,793
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Series 09-C		5.500%		12/01/39		145		174,046
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes(a)		4.800%		11/01/43		45		48,495
Duke Energy Carolinas LLC, First Mortgage		6.050%		04/15/38		530		689,179
Dynegy Finance I, Inc./Dynegy Finance II, Inc., Sr. Sec’d. Notes, 144A		6.750%		11/01/19		345		351,038
Dynegy Finance I, Inc./Dynegy Finance II, Inc., Sr. Sec’d. Notes, 144A		7.375%		11/01/22		255		259,463
El Paso Electric Co., Sr. Unsec’d. Notes		6.000%		05/15/35		845		1,058,997
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes		8.625%		08/01/15		1,160		1,206,610
Exelon Corp., Sr. Unsec’d. Notes		4.900%		06/15/15		195		198,487
Exelon Generation Co. LLC, Sr. Unsec’d. Notes(a)		6.250%		10/01/39		1,375		1,651,473
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A		5.450%		07/15/44		265		285,634
Florida Power & Light Co., First Mortgage		5.950%		10/01/33		380		501,182
Iberdrola International BV (Spain), Gtd. Notes		6.750%		09/15/33		140		173,689
Niagara Mohawk Power Corp. (United Kingdom), Sr. Unsec’d. Notes, 144A		4.881%		08/15/19		545		602,769
Northeast Utilities, Sr. Unsec’d. Notes		4.500%		11/15/19		605		657,962
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes		6.375%		01/15/15		465		465,668
Public Service Co. of New Mexico, Sr. Unsec’d. Notes		7.950%		05/15/18		135		158,876
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN		5.800%		05/01/37		515		666,681
Xcel Energy, Inc., Sr. Unsec’d. Notes		4.800%		09/15/41		480		535,392
Xcel Energy, Inc., Sr. Unsec’d. Notes		5.613%		04/01/17		263		287,020
								11,726,262
Energy – Integrated
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A		5.400%		02/14/22		650		704,150
Energy – Other — 0.2%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		4.677%	(f)	10/10/36		1,000		379,274
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.450%		09/15/36		305		366,517
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.950%		06/15/19		225		262,879
Nabors Industries, Inc., Gtd. Notes		4.625%		09/15/21		890		836,192

SEE NOTES TO FINANCIAL STATEMENTS.

A16

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Energy – Other (continued)
Newfield Exploration Co., Sr. Sub. Notes(a)		6.875%	02/01/20		225	$	228,375
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A		5.375%	01/26/19		350		301,525
Phillips 66, Gtd. Notes		2.950%	05/01/17		415		428,605
Pioneer Natural Resources Co., Sr. Unsec’d. Notes		6.875%	05/01/18		1,450		1,623,166
Transocean, Inc., Gtd. Notes		2.500%	10/15/17		510		450,863
Weatherford International Ltd., Gtd. Notes		5.125%	09/15/20		685		672,984
							5,550,380
Foods — 0.2%
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes		8.000%	11/15/39		1,160		1,774,110
Bunge Ltd. Finance Corp., Gtd. Notes		8.500%	06/15/19		860		1,053,964
Constellation Brands, Inc., Gtd. Notes		4.750%	11/15/24		925		936,563
Delhaize Group SA (Belgium), Gtd. Notes		6.500%	06/15/17		460		507,447
Tyson Foods, Inc., Gtd. Notes		6.600%	04/01/16		785		836,813
							5,108,897
Gaming
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes(a)		4.875%	11/01/20		800		810,000
Healthcare & Pharmaceutical — 0.7%
Actavis Funding SCS, Gtd. Notes		4.850%	06/15/44		445		451,558
Actavis, Inc., Gtd. Notes		6.125%	08/15/19		440		499,066
Amgen, Inc., Sr. Unsec’d. Notes		5.150%	11/15/41		1,365		1,538,560
AstraZeneca PLC (United Kingdom), Sr. Unsec’d. Notes		6.450%	09/15/37		480		646,799
Bayer US Finance LLC (Germany), Gtd. Notes, 144A		3.375%	10/08/24		390		396,853
Becton Dickinson & Co., Sr. Unsec’d. Notes		3.734%	12/15/24		805		828,808
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes(a)		5.125%	08/15/18		900		931,500
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A		4.125%	10/15/20		535		537,675
Gilead Sciences, Inc., Sr. Unsec’d. Notes		3.500%	02/01/25		1,145		1,175,228
Gilead Sciences, Inc., Sr. Unsec’d. Notes		5.650%	12/01/41		140		173,345
HCA, Inc., Sr. Sec’d. Notes(a)		4.250%	10/15/19		445		451,675
HCA, Inc., Sr. Sec’d. Notes(a)		5.000%	03/15/24		900		924,750
HCA, Inc., Sr. Sec’d. Notes(a)		5.250%	04/15/25		350		365,750
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes(a)		3.750%	08/23/22		150		153,462
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes		5.625%	12/15/15		560		582,550
Medtronic, Inc., Sr. Unsec’d. Notes, 144A		3.500%	03/15/25		2,515		2,572,770
Medtronic, Inc., Sr. Unsec’d. Notes, 144A		4.375%	03/15/35		1,065		1,129,812
Mylan, Inc., Gtd. Notes		1.800%	06/24/16		355		357,141
Novartis Capital Corp. (Switzerland), Gtd. Notes		4.400%	05/06/44		1,010		1,131,848
Roche Holdings, Inc. (Switzerland), Gtd. Notes, 144A		2.875%	09/29/21		4,385		4,439,786
Zoetis, Inc., Sr. Unsec’d. Notes		4.700%	02/01/43		90		91,600
							19,380,536
Healthcare Insurance — 0.2%
Aetna, Inc., Sr. Unsec’d. Notes		6.625%	06/15/36		480		639,714
Anthem, Inc., Sr. Unsec’d. Notes		4.625%	05/15/42		330		346,288
Anthem, Inc., Sr. Unsec’d. Notes		4.650%	01/15/43		260		270,598
Cigna Corp., Sr. Unsec’d. Notes		5.875%	03/15/41		540		672,300
Cigna Corp., Sr. Unsec’d. Notes		6.150%	11/15/36		640		797,692
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.000%	06/15/17		115		127,510
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.500%	06/15/37		400		535,993
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.625%	11/15/37		410		559,951
							3,950,046
Insurance — 0.8%
Allied World Assurance Co. Holdings Ltd., Gtd. Notes		5.500%	11/15/20		480		535,401
Allstate Corp. (The), Sr. Unsec’d. Notes		4.500%	06/15/43		125		137,919
American International Group, Inc., Sr. Unsec’d. Notes		4.500%	07/16/44		670		707,862
American International Group, Inc., Sr. Unsec’d. Notes		6.400%	12/15/20		910		1,085,148
Axis Specialty Finance LLC, Gtd. Notes(a)		5.875%	06/01/20		990		1,121,452

SEE NOTES TO FINANCIAL STATEMENTS.

A17

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Insurance (continued)
Chubb Corp. (The), Jr. Sub. Notes		6.375%	(b)	03/29/67		1,260	$	1,350,783
Dai-ichi Life Insurance Co. Ltd. (The) (Japan), Jr. Sub. Notes, 144A		5.100%	(b)	12/29/49		375		390,469
Hartford Financial Services Group, Inc. (The), Sr. Unsec’d. Notes		5.125%		04/15/22		635		713,796
Liberty Mutual Group, Inc., Gtd. Notes, 144A		6.500%		05/01/42		215		262,909
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A		7.000%		03/15/34		910		1,156,020
Lincoln National Corp., Jr. Sub. Notes		6.050%	(b)	04/20/67		250		250,000
Lincoln National Corp., Sr. Unsec’d. Notes		6.300%		10/09/37		476		603,920
Lincoln National Corp., Sr. Unsec’d. Notes		7.000%		06/15/40		660		915,308
Lincoln National Corp., Sr. Unsec’d. Notes		8.750%		07/01/19		505		631,013
Markel Corp., Sr. Unsec’d. Notes		5.000%		03/30/43		165		175,213
MetLife, Inc., Sr. Unsec’d. Notes(a)		5.700%		06/15/35		960		1,196,340
MetLife, Inc., Sr. Unsec’d. Notes		6.375%		06/15/34		85		113,266
MetLife, Inc., Sr. Unsec’d. Notes		6.750%		06/01/16		270		291,086
New York Life Insurance Co., Sub. Notes, 144A(a)		6.750%		11/15/39		650		904,723
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A(a)		5.100%	(b)	10/16/44		1,505		1,572,725
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A		6.063%		03/30/40		350		452,417
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A		6.375%		04/30/20		640		734,780
Pacific Life Insurance Co., Sub. Notes, 144A		9.250%		06/15/39		695		1,093,237
Principal Financial Group, Inc., Gtd. Notes		4.625%		09/15/42		105		110,215
Progressive Corp. (The), Jr. Sub. Notes		6.700%	(b)	06/15/37		715		773,451
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A		6.850%		12/16/39		1,430		1,953,135
Unum Group, Sr. Unsec’d. Notes		5.625%		09/15/20		315		354,704
W.R. Berkley Corp., Sr. Unsec’d. Notes		5.600%		05/15/15		705		717,335
W.R. Berkley Corp., Sr. Unsec’d. Notes		6.150%		08/15/19		575		648,978
								20,953,605
Lodging — 0.2%
Choice Hotels International, Inc., Gtd. Notes		5.750%		07/01/22		955		1,024,238
Marriott International, Inc., Sr. Unsec’d. Notes		3.000%		03/01/19		490		502,999
Marriott International, Inc., Sr. Unsec’d. Notes		3.250%		09/15/22		805		808,234
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes(a)		6.750%		05/15/18		2,700		3,073,302
Wyndham Worldwide Corp., Sr. Unsec’d. Notes		2.500%		03/01/18		405		404,308
								5,813,081
Media & Entertainment — 0.2%
21st Century Fox America, Inc., Gtd. Notes		6.150%		03/01/37		250		313,327
21st Century Fox America, Inc., Gtd. Notes		6.900%		08/15/39		35		47,449
21st Century Fox America, Inc., Gtd. Notes		7.625%		11/30/28		1,265		1,677,333
CBS Corp., Gtd. Notes (original cost $120,159; purchased 07/16/12)(c)(d)		4.850%		07/01/42		115		116,553
DISH DBS Corp., Gtd. Notes(a)		7.125%		02/01/16		850		893,563
Historic TW, Inc., Gtd. Notes		9.150%		02/01/23		625		850,066
Myriad International Holdings BV (South Africa), Gtd. Notes, RegS		6.375%		07/28/17		750		817,500
Time Warner, Inc., Gtd. Notes		6.200%		03/15/40		175		213,047
Time Warner, Inc., Gtd. Notes		6.250%		03/29/41		495		614,661
Time Warner, Inc., Gtd. Notes		7.625%		04/15/31		75		104,560
Viacom, Inc., Sr. Unsec’d. Notes (original cost $44,077; purchased 07/25/13)(c)(d)		4.500%		02/27/42		50		48,746
Viacom, Inc., Sr. Unsec’d. Notes (original cost $141,597; purchased 02/11/14)(c)(d)		4.875%		06/15/43		150		146,597
Viacom, Inc., Sr. Unsec’d. Notes (original cost $322,897; purchased 08/12/13)(c)(d)		5.850%		09/01/43		325		361,423
								6,204,825
Metals — 0.1%
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes(a)		5.000%		09/30/43		700		793,465
Glencore Finance Canada Ltd. (Switzerland), Gtd. Notes, 144A		2.050%		10/23/15		905		910,889
Newmont Mining Corp., Gtd. Notes		6.250%		10/01/39		15		15,215
Southern Copper Corp., Sr. Unsec’d. Notes		7.500%		07/27/35		370		416,247
								2,135,816
Non-Captive Finance — 0.3%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes, 144A		3.750%		05/15/19		600		594,000

SEE NOTES TO FINANCIAL STATEMENTS.

A18

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Captive Finance (continued)
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN(a)		5.875%	01/14/38		580	$	733,909
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN		6.000%	08/07/19		3,010		3,501,151
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN		6.875%	01/10/39		1,085		1,534,740
International Lease Finance Corp., Sr. Unsec’d. Notes		5.750%	05/15/16		230		238,625
Navient Corp., Sr. Unsec’d. Notes, MTN		8.450%	06/15/18		295		328,925
							6,931,350
Packaging
Crown Americas LLC/Crown Americas Capital Corp. IV, Gtd. Notes		4.500%	01/15/23		1,000		970,000
Paper — 0.1%
Georgia-Pacific LLC, Gtd. Notes, 144A (original cost $273,386; purchased 10/27/10)(c)(d)		5.400%	11/01/20		275		309,441
International Paper Co., Sr. Unsec’d. Notes		6.000%	11/15/41		1,270		1,486,827
International Paper Co., Sr. Unsec’d. Notes		7.950%	06/15/18		460		542,300
Rock-Tenn Co., Gtd. Notes		4.900%	03/01/22		675		725,078
							3,063,646
Pipelines & Other — 0.1%
Energy Transfer Partners LP, Sr. Unsec’d. Notes		4.650%	06/01/21		610		637,655
Enterprise Products Operating LLC, Gtd. Notes		3.750%	02/15/25		1,055		1,059,017
Kinder Morgan Energy Partners LP, Gtd. Notes		5.950%	02/15/18		530		585,122
NiSource Finance Corp., Gtd. Notes		5.450%	09/15/20		500		562,656
ONEOK Partners LP, Gtd. Notes		6.650%	10/01/36		130		149,614
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes, 144A		4.125%	11/15/19		650		625,625
							3,619,689
Railroads — 0.1%
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes		3.450%	09/15/21		1,180		1,231,325
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes		6.700%	08/01/28		735		931,124
CSX Corp., Sr. Unsec’d. Notes		6.150%	05/01/37		690		892,445
Norfolk Southern Corp., Sr. Unsec’d. Notes		5.590%	05/17/25		120		142,645
							3,197,539
Real Estate Investment Trusts — 0.2%
Mack-Cali Realty LP, Sr. Unsec’d. Notes		7.750%	08/15/19		685		809,984
Prologis LP, Gtd. Notes		6.875%	03/15/20		68		79,873
Simon Property Group LP, Sr. Unsec’d. Notes		2.800%	01/30/17		235		241,992
Simon Property Group LP, Sr. Unsec’d. Notes		3.375%	03/15/22		190		195,591
Simon Property Group LP, Sr. Unsec’d. Notes		6.125%	05/30/18		2,925		3,328,922
							4,656,362
Retailers — 0.1%
CVS Health Corp., Sr. Unsec’d. Notes		5.300%	12/05/43		170		203,222
Home Depot, Inc. (The), Sr. Unsec’d. Notes		4.400%	03/15/45		565		617,498
L Brands, Inc., Gtd. Notes(a)		5.625%	02/15/22		1,300		1,397,500
Lowe’s Cos., Inc., Sr. Unsec’d. Notes		6.500%	03/15/29		345		437,089
Macy’s Retail Holdings, Inc., Gtd. Notes(a)		3.875%	01/15/22		300		311,811
Target Corp., Sr. Unsec’d. Notes		3.500%	07/01/24		265		275,116
							3,242,236
Technology — 0.1%
Arrow Electronics, Inc., Sr. Unsec’d. Notes		3.375%	11/01/15		370		376,670
Oracle Corp., Sr. Unsec’d. Notes		4.300%	07/08/34		700		749,470
Seagate HDD Cayman, Gtd. Notes, 144A		3.750%	11/15/18		455		466,944
							1,593,084
Telecommunications — 0.5%
America Movil SAB de CV (Mexico), Gtd. Notes		6.125%	03/30/40		400		473,284
AT&T Corp., Gtd. Notes		8.000%	11/15/31		18		26,523
AT&T, Inc., Sr. Unsec’d. Notes(a)		4.800%	06/15/44		400		407,582

SEE NOTES TO FINANCIAL STATEMENTS.

A19

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Telecommunications (continued)
AT&T, Inc., Sr. Unsec’d. Notes		5.350%	09/01/40		1,133	$	1,226,836
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes		9.625%	12/15/30		350		549,518
Embarq Corp., Sr. Unsec’d. Notes (original cost $367,380; purchased 05/04/11-05/11/11)(c)(d)		7.082%	06/01/16		325		350,225
Embarq Corp., Sr. Unsec’d. Notes (original cost $364,974; purchased 05/12/06)(c)(d)		7.995%	06/01/36		365		407,888
Sprint Communications, Inc., Sr. Unsec’d. Notes		6.000%	12/01/16		950		993,724
Verizon Communications, Inc., Sr. Unsec’d. Notes(a)		3.500%	11/01/24		1,220		1,198,649
Verizon Communications, Inc., Sr. Unsec’d. Notes		6.400%	02/15/38		55		67,862
Verizon Communications, Inc., Sr. Unsec’d. Notes(a)		6.400%	09/15/33		701		863,480
Verizon Communications, Inc., Sr. Unsec’d. Notes(a)		6.550%	09/15/43		1,935		2,479,023
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A(a)		4.862%	08/21/46		1,053		1,081,670
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A(a)		5.012%	08/21/54		2,349		2,430,156
							12,556,420
Tobacco — 0.2%
Altria Group, Inc., Gtd. Notes		4.000%	01/31/24		1,585		1,652,491
Altria Group, Inc., Gtd. Notes		9.700%	11/10/18		354		449,512
Altria Group, Inc., Gtd. Notes		9.950%	11/10/38		42		71,847
Altria Group, Inc., Gtd. Notes		10.200%	02/06/39		274		477,073
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A		2.050%	02/11/18		1,680		1,670,587
Lorillard Tobacco Co., Gtd. Notes		8.125%	06/23/19		290		351,575
							4,673,085
TOTAL CORPORATE BONDS (cost $208,640,435)							226,800,671
MUNICIPAL BONDS — 0.6%
California — 0.2%
Bay Area Toll Authority, Revenue Bonds, BABs		6.263%	04/01/49		1,305		1,841,524
State of California, GO, BABs		7.300%	10/01/39		1,250		1,834,175
State of California, GO, BABs		7.500%	04/01/34		350		523,775
State of California, GO, BABs		7.550%	04/01/39		245		377,653
State of California, GO, BABs		7.625%	03/01/40		205		314,665
							4,891,792
Colorado
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs		5.844%	11/01/50		565		785,599
Illinois — 0.1%
Chicago O’Hare International Airport, Revenue Bonds, BABs		6.395%	01/01/40		970		1,312,216
State of Illinois, GO, Taxable Series		4.421%	01/01/15		630		630,000
							1,942,216
New Jersey — 0.1%
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs		7.414%	01/01/40		1,000		1,507,980
New York — 0.1%
New York City Transitional Finance Authority, Revenue Bonds, BABs		5.767%	08/01/36		1,100		1,378,498
Ohio
Ohio State University (The), Revenue Bonds, BABs		4.910%	06/01/40		415		506,599
Ohio State Water Development Authority, Revenue Bonds, BABs		4.879%	12/01/34		275		308,651
							815,250
Oregon
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs		5.834%	11/15/34		425		551,599
Pennsylvania
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs		5.511%	12/01/45		505		623,190

SEE NOTES TO FINANCIAL STATEMENTS.

A20

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

MUNICIPAL BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Tennessee — 0.1%
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs		6.731%		07/01/43		945	$	1,270,458
Texas
Texas State Transportation Commission, Revenue Bonds, Series B, BABs		5.028%		04/01/26		305		355,542
TOTAL MUNICIPAL BONDS (cost $10,635,438)								14,122,124
NON-CORPORATE FOREIGN AGENCIES — 0.8%
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A		3.150%		07/24/24		1,300		1,325,419
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A		4.875%		01/15/24		490		512,050
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes		5.125%		06/29/20		365		411,348
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		9.250%		04/23/19		695		708,553
International Bank for Reconstruction & Development (Supranational Bank), Sr. Unsec’d. Notes(a)		2.250%		06/24/21		3,295		3,321,854
KFW (Germany), Gov’t. Gtd. Notes, MTN(a)		2.750%		10/01/20		2,645		2,762,808
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A		1.125%		05/23/18		2,634		2,604,947
Petrobras Global Finance BV (Brazil), Gtd. Notes		2.000%		05/20/16		1,400		1,337,210
Petroleos Mexicanos (Mexico), Gtd. Notes(a)		3.500%		01/30/23		795		760,417
Petroleos Mexicanos (Mexico), Gtd. Notes		4.875%		01/18/24		425		441,575
Petroleos Mexicanos (Mexico), Gtd. Notes		5.500%		01/21/21		2,240		2,424,800
Petroleos Mexicanos (Mexico), Gtd. Notes		6.625%		06/15/35		513		592,515
Petroleos Mexicanos (Mexico), Gtd. Notes		8.625%		12/01/23		350		433,650
Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.299%		05/15/17		760		671,840
Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A		1.750%		04/10/17		1,235		1,229,109
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A		2.750%		05/07/19		500		502,101
TOTAL NON-CORPORATE FOREIGN AGENCIES (cost $20,204,225)								20,040,196
NON-CORPORATE SOVEREIGNS — 0.4%
Brazilian Government International Bond (Brazil), Sr. Unsec’d. Notes		4.250%		01/07/25		970		970,000
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.000%		02/26/24		1,120		1,145,200
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		4.000%		03/25/19		442		454,155
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A(a)		5.875%		03/13/20		870		963,525
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A		6.875%		01/17/18		845		954,850
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes		3.625%		03/15/22		600		612,900
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN		4.750%		03/08/44		846		881,955
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		4.000%		09/22/24		395		405,863
Panama Government International Bond (Panama), Sr. Unsec’d. Notes(a)		5.200%		01/30/20		475		523,688
Province of British Columbia (Canada), Sr. Unsec’d. Notes		2.000%		10/23/22		1,975		1,931,921
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A		4.875%		01/22/24		140		152,600
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, 144A(a)		4.125%		02/18/19		200		209,504
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes		7.000%		06/05/20		610		709,276
TOTAL NON-CORPORATE SOVEREIGNS (cost $9,552,987)								9,915,437
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.4%
Alternative Loan Trust, Series 2004-18CB, Class 3A1		5.250%		09/25/19		349		356,882
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1		6.000%		01/25/36		1,547		1,309,549
Bank of America Mortgage Trust, Series 2005-A, Class 2A1		2.720%	(b)	02/25/35		355		343,226
Bank of America Mortgage Trust, Series 2005-B, Class 2A1		2.656%	(b)	03/25/35		404		366,067
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5		2.535%	(b)	02/25/37		782		761,069
Fannie Mae Connecticut Avenue Securities, Series 2014-C04, Class 1M1		2.105%		11/25/24		3,893		3,897,236

SEE NOTES TO FINANCIAL STATEMENTS.

A21

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN4, Class M1		1.570%		10/25/24		922	$	921,902
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1		2.489%	(b)	07/25/35		426		428,627
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1		5.000%		04/25/19		86		87,421
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		2.573%	(b)	02/25/34		473		471,925
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A		5.000%		03/25/20		233		233,993
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $9,456,281)								9,177,897
U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.9%
Federal Home Loan Banks		0.375%		08/28/15		375		375,325
Federal Home Loan Banks(g)		5.500%		07/15/36		950		1,302,855
Federal Home Loan Mortgage Corp.		0.750%		01/12/18		455		448,470
Federal Home Loan Mortgage Corp.		2.125%	(b)	06/01/36		299		319,261
Federal Home Loan Mortgage Corp.		2.348%	(b)	12/01/35		350		373,456
Federal Home Loan Mortgage Corp.(a)		2.375%		01/13/22		4,140		4,182,617
Federal Home Loan Mortgage Corp.		2.500%		TBA		1,000		1,017,078
Federal Home Loan Mortgage Corp.		3.000%		10/01/28-01/01/43		4,221		4,356,438
Federal Home Loan Mortgage Corp.		3.000%		TBA		2,000		2,015,234
Federal Home Loan Mortgage Corp.		3.500%		TBA		500		527,813
Federal Home Loan Mortgage Corp.		3.500%		TBA		7,500		7,779,492
Federal Home Loan Mortgage Corp.		4.000%		06/01/26-12/01/40		4,422		4,727,730
Federal Home Loan Mortgage Corp.		4.000%		TBA		4,500		4,784,678
Federal Home Loan Mortgage Corp.		4.500%		02/01/19-10/01/41		12,162		13,170,749
Federal Home Loan Mortgage Corp.		5.000%		07/01/18-05/01/39		3,854		4,193,480
Federal Home Loan Mortgage Corp.		5.500%		12/01/33-07/01/38		3,451		3,860,022
Federal Home Loan Mortgage Corp.		6.000%		03/01/32-08/01/39		1,360		1,549,496
Federal Home Loan Mortgage Corp.		6.500%		09/01/16		2		2,182
Federal Home Loan Mortgage Corp.		7.000%		05/01/31-10/01/31		331		377,922
Federal National Mortgage Assoc.		1.750%		06/20/19		1,180		1,185,815
Federal National Mortgage Assoc.(a)		1.750%		11/26/19		1,345		1,345,807
Federal National Mortgage Assoc.		1.784%	(b)	07/01/33		432		455,393
Federal National Mortgage Assoc.		1.809%	(b)	06/01/37		74		74,864
Federal National Mortgage Assoc.		1.875%		02/19/19		175		177,655
Federal National Mortgage Assoc.		1.917%	(b)	07/01/37		585		622,757
Federal National Mortgage Assoc.		2.500%		01/01/28		1,736		1,770,988
Federal National Mortgage Assoc.		2.500%		TBA		6,000		6,097,032
Federal National Mortgage Assoc.		2.625%		09/06/24		2,110		2,136,841
Federal National Mortgage Assoc.		3.000%		TBA		10,500		10,913,848
Federal National Mortgage Assoc.		3.000%		TBA		20,500		20,685,382
Federal National Mortgage Assoc.		3.500%		TBA		500		528,203
Federal National Mortgage Assoc.		3.500%		06/01/39-03/01/43		18,107		18,915,738
Federal National Mortgage Assoc.		3.500%		TBA		7,500		7,818,165
Federal National Mortgage Assoc.		4.000%		TBA		11,000		11,739,793
Federal National Mortgage Assoc.		4.000%		TBA		7,000		7,451,637
Federal National Mortgage Assoc.		4.500%		11/01/18-03/01/41		8,784		9,574,319
Federal National Mortgage Assoc.		4.500%		TBA		4,000		4,341,875
Federal National Mortgage Assoc.		4.500%		TBA		3,000		3,250,781
Federal National Mortgage Assoc.		5.000%		10/01/18-05/01/36		2,767		3,052,110
Federal National Mortgage Assoc.		5.000%		TBA		3,500		3,866,885
Federal National Mortgage Assoc.		5.500%		03/01/16-04/01/37		5,158		5,776,375
Federal National Mortgage Assoc.		6.000%		09/01/17-06/01/38		5,835		6,645,360
Federal National Mortgage Assoc.		6.500%		07/01/17-01/01/37		2,190		2,501,440
Federal National Mortgage Assoc.		7.000%		02/01/32-07/01/32		229		265,677
Federal National Mortgage Assoc.		7.500%		05/01/32		42		44,031
Government National Mortgage Assoc.		3.000%		TBA		2,000		2,045,250
Government National Mortgage Assoc.		3.000%		TBA		2,000		2,045,250
Government National Mortgage Assoc.		3.500%		TBA		500		524,844

SEE NOTES TO FINANCIAL STATEMENTS.

A22

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Government National Mortgage Assoc.		3.500%		TBA		10,500	$	11,021,719
Government National Mortgage Assoc.		3.500%		05/20/43		1,000		1,051,178
Government National Mortgage Assoc.		4.000%		06/15/40-05/20/41		496		533,112
Government National Mortgage Assoc.		4.000%		TBA		10,500		11,257,846
Government National Mortgage Assoc.		4.500%		TBA		1,000		1,092,617
Government National Mortgage Assoc.		4.500%		01/20/41-03/20/41		5,362		5,886,278
Government National Mortgage Assoc.		5.500%		08/15/33-04/15/36		2,551		2,873,780
Government National Mortgage Assoc.		6.000%		11/15/23-07/15/34		938		1,079,467
Government National Mortgage Assoc.		6.500%		10/15/23-09/15/36		1,761		2,025,041
Government National Mortgage Assoc.		8.000%		01/15/24-07/15/24		26		29,009
Hashemite Kingdom of Jordan, USAID Bond (Jordan), U.S. Gov’t. Gtd. Notes		2.503%		10/30/20		566		575,430
Tennessee Valley Authority, Sr. Unsec’d. Notes		5.880%		04/01/36		85		115,947
Ukraine Government USAID Bonds, U.S. Gov’t. Gtd. Notes		1.844%		05/16/19		1,230		1,238,303
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $224,225,269)								229,998,140
U.S. TREASURY OBLIGATIONS — 5.0%
U.S. Treasury Bonds		2.875%		05/15/43		1,175		1,201,804
U.S. Treasury Bonds		3.375%		05/15/44		3,470		3,906,460
U.S. Treasury Inflation Indexed Bonds, TIPS		0.125%		04/15/19		17,977		17,779,147
U.S. Treasury Inflation Indexed Bonds, TIPS		1.375%		01/15/20		9,471		9,940,693
U.S. Treasury Notes		0.875%		07/31/19		4,980		4,825,540
U.S. Treasury Notes		1.000%		12/15/17-09/30/19		11,670		11,408,192
U.S. Treasury Notes		1.250%		11/30/18		6,845		6,796,873
U.S. Treasury Notes		1.375%		02/28/19		2,030		2,019,056
U.S. Treasury Notes(h)		1.500%		12/31/18		2,320		2,323,081
U.S. Treasury Notes		1.500%		01/31/19-10/31/19		47,835		47,748,451
U.S. Treasury Notes(a)		1.500%		11/30/19		3,045		3,025,731
U.S. Treasury Notes		1.625%		04/30/19-12/31/19		3,150		3,147,417
U.S. Treasury Notes		1.750%		05/15/23		1,560		1,518,928
U.S. Treasury Notes		2.875%		03/31/18		8,335		8,768,679
U.S. Treasury Notes		3.125%		05/15/19-05/15/21		2,105		2,245,954
U.S. Treasury Strips Principal(a)		3.470%	(f)	05/15/44		5,180		2,240,708
TOTAL U.S. TREASURY OBLIGATIONS (cost $127,465,366)								128,896,714
TOTAL LONG-TERM INVESTMENTS (cost $1,472,251,516)								2,281,790,955
SHORT-TERM INVESTMENTS — 19.1%
					Shares
AFFILIATED MUTUAL FUNDS — 18.8%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $99,814,390)(Note 4)(j)						10,420,082		97,323,569
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $386,939,168; includes $80,403,099 of cash collateral for securities on loan)(Note 4)(j)(k)						386,939,168		386,939,168
TOTAL AFFILIATED MUTUAL FUNDS (cost $486,753,558)								484,262,737
					Principal Amount (000)#
U.S. TREASURY OBLIGATION — 0.3%
U.S. Treasury Bill(g) (cost $6,549,511)		0.046%	(i)	03/19/15		6,550		6,549,725

SEE NOTES TO FINANCIAL STATEMENTS.

A23

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

OPTIONS PURCHASED*				Notional Amount (000)#		Value (Note 2)
Call Options
2 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $109.38					42,000	$	32,813
2 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $110.00					42,000		3,281
TOTAL OPTIONS PURCHASED (cost $59,806)							36,094
TOTAL SHORT-TERM INVESTMENTS (cost $493,362,875)							490,848,556
TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT & OPTION WRITTEN — 107.7% (cost $1,965,614,391)							2,772,639,511
	Interest Rate		Maturity Date	Principal Amount (000)#
SECURITY SOLD SHORT — (0.1)%
U.S. GOVERNMENT AGENCY OBLIGATION
Federal National Mortgage Assoc., (proceeds received $3,629,336)		3.500%	TBA		3,500		(3,639,044	)
				Notional Amount (000)#
OPTION WRITTEN*
Call Option
2 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $109.63 (premiums received $38,632)					84,000		(13,125	)
TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT & OPTION WRITTEN — 107.6% (cost $1,961,946,423)							2,768,987,342
LIABILITIES IN EXCESS OF OTHER ASSETS(l) — (7.6)%							(194,632,116	)
NET ASSETS — 100.0%						$	2,574,355,226

See the Glossary for abbreviations used in the Portfolio descriptions.

* Non-income producing security.

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

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

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

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

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

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

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

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

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A24

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

Futures contracts outstanding at December 31, 2014:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2014		Unrealized Appreciation (Depreciation)(1)
Long Positions:
430	2 Year U.S. Treasury Notes		Mar. 2015	$	94,000,860	$	93,995,312	$	(5,548	)
154	10 Year U.S. Treasury Notes		Mar. 2015		19,513,784		19,526,719		12,935
13	MSCI EAFE Mini Futures		Mar. 2015		1,132,071		1,142,635		10,564
865	S&P 500 E-Mini Futures		Mar. 2015		85,743,205		88,766,300		3,023,095
79	S&P 500 Index Futures		Mar. 2015		38,990,454		40,534,900		1,544,446
131	U.S. Ultra Bonds		Mar. 2015		20,998,889		21,639,562		640,673
									5,226,165
Short Positions:
116	5 Year U.S. Treasury Notes		Mar. 2015		13,844,601		13,795,844		48,757
73	U.S. Long Bonds		Mar. 2015		10,474,295		10,553,062		(78,767	)
									(30,010	)
								$	5,196,155

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

Interest rate swap agreements outstanding at December 31, 2014:

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

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at December 31, 2014			Unrealized Appreciation (Depreciation)
	Exchange-traded swap agreements:
	1,945		06/30/16		0.618%	3 Month LIBOR(2)	$	155		$	973		$	818
	11,110		06/30/16		0.655%	3 Month LIBOR(2)		(849	)		(581	)		268
	3,220		06/30/16		0.655%	3 Month LIBOR(2)		158			(175	)		(333	)
	28,410		08/29/16		0.710%	3 Month LIBOR(2)		158			8,945			8,787
	21,970		05/31/19		1.730%	3 Month LIBOR(2)		1,708			22,081			20,373
	22,550		08/29/19		1.804%	3 Month LIBOR(1)		189			93,742			93,553
	7,270		10/31/21		2.152%	3 Month LIBOR(2)		194			(26,776	)		(26,970	)
	6,130		08/29/24		2.560%	3 Month LIBOR(2)		137			(159,687	)		(159,824	)
							$	1,850		$	(61,478	)	$	(63,328	)

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

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

Credit default swap agreements outstanding at December 31, 2014:

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Value at Trade Date			Value at December 31, 2014(4)			Unrealized Appreciation (Depreciation)
Exchange-Traded credit default swaps on credit indices—Buy Protection(1):
CDX.NA.HY.22.V2		06/20/19		5.000%		6,930	$	(492,332	)	$	(472,106	)	$	20,226
CDX.NA.IG.22.V1		06/20/19		1.000%		41,000		(626,651	)		(739,551	)		(112,900	)
CDX.NA.IG.23.V1		12/20/19		1.000%		19,000		(302,121	)		(303,362	)		(1,241	)
							$	(1,421,104	)	$	(1,515,019	)	$	(93,915	)

SEE NOTES TO FINANCIAL STATEMENTS.

A25

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Fair Value(4)		Upfront Premiums Paid (Received)		Unrealized Appreciation		Counterparty
Over-the-counter credit default swaps on credit indices—Sell Protection(2):
CDX.NA.HY.17.V6		12/20/16		5.000%		1,188	$	61,352	$	49,486	$	11,866	Credit Suisse First Boston Corp.
CDX.NA.HY.17.V6		12/20/16		5.000%		3,088		159,514		132,523		26,991	Deutsche Bank AG
CDX.NA.HY.17.V6		12/20/16		5.000%		4,275		220,865		187,328		33,537	Deutsche Bank AG
							$	441,731	$	369,337		$72,394

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

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

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

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

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

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

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

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

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A26

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

	Level 1			Level 2			Level 3
Investments in Securities (continued)
Non-Corporate Sovereigns	$	—		$	9,915,437		$	—
Residential Mortgage-Backed Securities		—			9,177,897			—
U.S. Government Agency Obligations		—			229,998,140			—
U.S. Treasury Obligations		—			135,446,439			—
Affiliated Mutual Funds		484,262,737			—			—
Options Purchased		36,094			—			—
U.S. Government Agency Obligation Security Sold Short		—			(3,639,044	)		—
Option Written		(13,125	)		—			—
Other Financial Instruments*
Futures Contracts		5,196,155			—			—
Over-the-counter interest rate swaps		—			33,052			—
Exchange-traded interest rate swaps		—			(63,328	)		—
Exchange-traded credit default swaps		—			(93,915	)		—
Over-the-counter credit default swaps		—			441,731			—
Total	$	1,888,367,090		$	880,011,669		$	6,122,278

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A27

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

Brokerage	0.1	%
Health Care Technology	0.1
Building Materials & Construction	0.1
Independent Power & Renewable Electricity Producers	0.1
Building Products	0.1
Construction Materials	0.1
Distributors	0.1
	107.7
Security Sold Short	(0.1	)
Liabilities in excess of other assets	(7.6	)
	100.0	%

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

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

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Credit contracts	Premiums paid for swap agreements	$	369,337		—	$	—
Credit contracts	Due from/to broker — variation margin swaps		20,226	*	Due from/to broker — variation margin swaps		114,141	*
Credit contracts	Unrealized appreciation on over-the-counter swap agreements		72,394		—		—
Equity Contracts	Due from/to broker — variation margin futures		4,578,105	*	—		—
Interest rate contracts	Due from/to broker — variation margin futures		702,365	*	Due from/to broker — variation margin futures		84,315	*
Interest rate contracts	Due from/to broker — variation margin swaps		123,799	*	Due from/to broker —variation margin swaps		187,127	*
Interest rate contracts	Unrealized appreciation on over-the-counter swap agreements		33,052		—		—
Interest rate contracts	Unaffiliated investments		36,094		Option written outstanding, at value		13,125
Total		$	5,935,372			$	398,708

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

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

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights*		Options Purchased*			Options Written			Futures		Swaps			Total
Credit contracts	$	—	$	—		$	—		$	—	$	(684,351	)	$	(684,351	)
Equity contracts		13,236		—			—			12,605,835		—			12,619,071
Interest rate contracts		—		(211,635	)		(74,983	)		149,183		292,479			155,044
	$	13,236	$	(211,635	)	$	(74,983	)	$	12,755,018	$	(391,872	)	$	12,089,764

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

SEE NOTES TO FINANCIAL STATEMENTS.

A28

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased*		Options Written		Futures		Swaps		Total
Credit contracts	$	—	$	—	$	—	$	11,244	$	11,244
Equity contracts		—		—		1,972,196		—		1,972,196
Interest rate contracts		58,325		25,507		1,233,867		134,970		1,452,669
Total	$	58,325	$	25,507	$	3,206,063	$	146,214	$	3,436,109

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

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

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

Interest Rate Swaps (Notional Amount in USD (000))	Credit Default Swaps as Buyer (Notional Amount in USD (000))	Credit Default Swaps as Writer (Notional Amount in USD (000))
$75,875	$49,704	$8,809

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

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

Counterparty	Gross amounts of recognized assets(1)		Gross amounts available for offset		Collateral Received(3)			Net Amount
Credit Suisse First Boston Corp.	$	94,404	$	—	$	—		$	94,404
Deutsche Bank AG		380,379		—		(518,142	)		—
	$	474,783

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A29

CONSERVATIVE BALANCED PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014

ASSETS
Investments at value, including securities on loan of $78,183,937:
Unaffiliated investments (cost $1,478,860,833)	$	2,288,376,774
Affiliated investments (cost $486,753,558)		484,262,737
Foreign currency, at value (cost $502,187)		495,000
Receivable for investments sold		113,491,435
Dividends and interest receivable		6,962,384
Premium paid for swap agreements		369,337
Tax reclaim receivable		252,957
Unrealized appreciation on over-the-counter swap agreements		105,446
Due from broker—variation margin futures		58,010
Receivable for Series shares sold		11,844
Prepaid expenses		18,360
Total Assets		2,894,404,284
LIABILITIES
Payable for investments purchased		231,133,318
Payable to broker for collateral for securities on loan		80,403,099
Securities sold short, at value (proceeds received $3,629,336)		3,639,044
Due to broker—variation margin futures		1,537,855
Management fee payable		1,204,527
Payable to custodian		1,103,005
Payable for Series shares repurchased		687,373
Accrued expenses and other liabilities		303,910
Due to broker—variation margin swaps		22,876
Options written outstanding, at value (premiums received $38,632)		13,125
Affiliated transfer agent fee payable		926
Total Liabilities		320,049,058
NET ASSETS	$	2,574,355,226
Net assets were comprised of:
Paid-in capital	$	1,436,989,603
Retained earnings		1,137,365,623
Net assets, December 31, 2014	$	2,574,355,226
Net asset value and redemption price per share $2,574,355,226 / 114,690,795 outstanding shares of beneficial interest	$	22.45

STATEMENT OF OPERATIONS

Year Ended December 31, 2014

NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $529,667)	$	32,168,877
Interest income		22,736,691
Affiliated dividend income		1,773,351
Affiliated income from securities loaned, net		181,272
Total income		56,860,191
EXPENSES
Management fee		13,915,506
Custodian’s fees and expenses		444,000
Shareholders’ reports		200,000
Audit fee		44,000
Insurance expenses		34,000
Trustees’ fees		30,000
Legal fees and expenses		16,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		12,000
Commitment fee on syndicated credit agreement		4,000
Miscellaneous		48,873
Total expenses		14,748,379
NET INVESTMENT INCOME		42,111,812
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		108,285,865
Futures transactions		12,755,018
Options written transactions		(74,983	)
Swap agreement transactions		(391,872	)
Foreign currency transactions		(85,034	)
		120,488,994
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated $307,770)		47,128,881
Futures		3,206,063
Securities sold short		(1,231	)
Options written		25,507
Swap agreements		146,214
Foreign currencies		(48,845	)
		50,456,589
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		170,945,583
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	213,057,395

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	42,111,812		$	44,219,234
Net realized gain on investment and foreign currency transactions		120,488,994			99,020,902
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		50,456,589			214,601,177
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		213,057,395			357,841,313
SERIES SHARE TRANSACTIONS
Series shares sold [657,128 and 937,002 shares, respectively]		14,068,708			18,092,234
Series shares repurchased [7,335,062 and 8,251,336 shares, respectively]		(157,169,187	)		(158,563,701	)
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(143,100,479	)		(140,471,467	)
TOTAL INCREASE		69,956,916			217,369,846
NET ASSETS:
Beginning of year		2,504,398,310			2,287,028,464
End of year	$	2,574,355,226		$	2,504,398,310

SEE NOTES TO FINANCIAL STATEMENTS.

A30

	DIVERSIFIED BOND PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2014

LONG-TERM INVESTMENTS — 84.8% ASSET-BACKED SECURITIES — 10.5%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations — 4.5%
A Voce CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A		1.684%	(a)	07/15/26		500	$	494,914
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		1.411%	(a)	04/20/25		3,300		3,244,119
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A		3.360%		04/20/25		500		483,052
Anchorage Capital CLO Ltd., Series 2014-5A, 144A		1.833%	(a)	10/15/26		1,750		1,744,214
Battalion CLO Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A		1.632%	(a)	10/22/25		1,300		1,286,681
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A		1.800%	(a)	10/17/26		2,750		2,740,481
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A		1.431%	(a)	07/15/24		900		884,537
Benefit Street Partners CLO V Ltd. (Cayman Islands), Series 2014-VA, Class A, 144A		1.600%	(a)	10/20/26		1,250		1,245,749
Black Diamond CLO Delaware Corp. (Cayman Islands), Series 2005-1A, Class A1, 144A		0.517%	(a)	06/20/17		852		850,531
Blue Hill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		1.711%	(a)	01/15/26		700		694,752
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.378%	(a)	04/17/25		2,600		2,553,268
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1A, 144A		1.694%	(a)	07/27/26		250		249,048
ECP CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1A, 144A		1.685%	(a)	07/15/26		1,500		1,484,483
Flagship VII Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A		1.701%	(a)	01/20/26		2,500		2,479,109
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.628%	(a)	01/17/26		1,250		1,236,436
Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A		0.482%	(a)	07/22/20		654		650,656
Fraser Sullivan CLO I Ltd. (Cayman Islands), Series 2006-1A, Class B, 144A		0.711%	(a)	03/15/20		1,500		1,493,694
ING Investment Management CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.370%	(a)	04/15/24		4,200		4,124,420
KVK CLO Ltd. (Cayman Islands), Series 2014-2A, Class A, 144A		1.781%	(a)	07/15/26		250		248,623
Magnetite VIII Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A		1.700%	(a)	07/25/26		1,250		1,235,429
OCP CLO Ltd. (Cayman Islands), Series 2012-2A, Class A2, 144A		1.713%	(a)	11/22/23		500		499,251
OCP CLO Ltd. (Cayman Islands), Series 2013-4A, Class A2, 144A		2.033%	(a)	10/24/25		2,200		2,101,675
Regatta V Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A		1.793%	(a)	10/25/26		4,000		3,977,594
Shackleton CLO Ltd. (Cayman Islands), Series 2013-3A, Class B2, 144A		3.440%		04/15/25		700		679,358
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.281%	(a)	04/15/25		7,300		7,146,074
Sound Point CLO Ltd. (Cayman Islands), Series 2014-2A, Class B, 144A		1.593%	(a)	10/20/26		750		738,594
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2013-2A, Class A1, 144A		1.681%	(a)	01/18/26		3,300		3,270,869
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.351%	(a)	07/15/25		300		293,927
								48,131,538
Non-Residential Mortgage-Backed Securities — 0.3%
GE Business Loan Trust, Series 2006-1A, Class D, 144A		1.161%	(a)	05/15/34		156		131,598
Marriott Vacation Club Owner Trust, Series 2010-1A, Class A, 144A		3.540%		10/20/32		2,278		2,356,822
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A		2.000%		09/20/29		1,306		1,298,693
								3,787,113
Residential Mortgage-Backed Securities — 5.7%
ABFC Trust, Series 2004-OPT1, Class M1		1.220%	(a)	08/25/33		1,321		1,250,661
ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1, Class M1		1.070%	(a)	09/25/33		1,393		1,306,242

SEE NOTES TO FINANCIAL STATEMENTS.

A31

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

SEE NOTES TO FINANCIAL STATEMENTS.

A32

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Residential Mortgage-Backed Securities (continued)
Structured Asset Investment Loan Trust, Series 2004-7, Class A8		1.370%	(a)	08/25/34		1,400	$	1,276,983
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2002-HF2, Class M3		3.170%	(a)	07/25/32		827		769,115
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A		5.000%		03/25/20		358		358,966
								60,762,411
TOTAL ASSET-BACKED SECURITIES (cost $105,060,919)								112,681,062
BANK LOANS(a) — 3.6%
Automotive — 0.1%
Chrysler Group LLC		3.500%		05/24/17		1,342		1,336,339
Chemicals — 0.2%
Axalta Coating Systems US Holdings		3.750%		02/01/20		713		693,511
CeramTec GmbH (Germany)		4.750%		08/30/20	EUR	900		1,089,502
								1,783,013
Financials — 0.2%
Scandlines GmbH (Germany)		4.522%		11/04/20	EUR	2,000		2,422,459
Foods — 0.2%
Pinnacle Foods Finance LLC		3.000%		04/29/20		697		674,762
US Foods, Inc. (original cost $993,706; purchased 08/15/14)(b)(c)		4.500%		03/29/19		995		987,985
								1,662,747
Gaming — 0.2%
CCM Merger, Inc. (original cost $2,375,921; purchased 07/30/14)(b)(c)		4.500%		08/06/21		2,394		2,357,967
Healthcare & Pharmaceutical — 1.3%
Alere, Inc.		3.200%		06/30/16		441		436,885
Biomet, Inc., Term Loan		3.733%		07/25/17		2,800		2,783,668
Capsugel Holdings US, Inc.		3.500%		08/01/18		933		912,371
Davita Healthcare Partners, Inc.		3.500%		06/24/21		1,493		1,473,577
Grifols SA		3.255%		02/26/21		1,492		1,469,726
Mallinckrodt International Finance		3.500%		03/19/21		1,521		1,494,092
Endo Luxembourg Finance		3.250%		03/01/21		1,687		1,632,414
Ortho Clinical Diagnostics		4.750%		06/30/21		498		488,275
Quintiles Transnational Corp.		3.750%		06/08/18		1,451		1,430,514
RPI Finance Trust (Luxembourg)		3.250%		05/09/18		2,316		2,306,440
								14,427,962
Leisure
Activision Blizzard, Inc.		3.250%		10/12/20		500		498,375
Media & Entertainment — 0.1%
CBS Outdoor Americas CAP Co.		3.000%		02/01/21		1,000		974,000
Retailers — 0.3%
Alliance Boots Holdings Ltd. (United Kingdom)		3.985%		07/09/17	GBP	2,000		3,113,310
Technology — 0.9%
Avago Technologies Finance Pte Ltd.		3.750%		05/06/21		398		395,844
BMC Software Finance, Inc.		5.000%		09/10/20		497		481,542
First Data Corp.		3.755%		03/26/18		2,411		2,357,399
First Data Corp.		4.255%		03/24/21		183		180,036
Freescale Semiconductor, Inc.		4.250%		02/28/20		1,720		1,673,080
Interactive Data Corp.		4.750%		05/03/21		1,194		1,183,552
RBS WorldPay, Inc. (United Kingdom)		5.750%		11/29/19	GBP	900		1,395,229
TransUnion LLC/TransUnion Financing Corp.		4.000%		04/09/21		199		195,274

SEE NOTES TO FINANCIAL STATEMENTS.

A33

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

BANK LOANS(a) (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Technology (continued)
Vantiv LLC		2.255%		06/13/19		1,463	$	1,435,078
								9,297,034
Telecommunications — 0.1%
SBA SNR Fin Li LLC		3.250%		03/24/21		1,144		1,117,646
TOTAL BANK LOANS (cost $39,613,801)								38,990,852
COMMERCIAL MORTGAGE-BACKED SECURITIES — 10.0%
Banc of America Commercial Mortgage Trust, Series 2006-3, Class A4		5.889%		07/10/44		1,493		1,571,688
Banc of America Commercial Mortgage Trust, Series 2006-5, Class A2		5.317%		09/10/47		1,239		1,238,377
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A2		5.309%		10/10/45		334		333,745
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A4		5.356%		10/10/45		800		837,282
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A		5.561%	(a)	04/10/49		1,367		1,462,709
Banc of America Commercial Mortgage Trust, Series 2007-5, Class A3		5.620%		02/10/51		58		57,784
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4		5.710%	(a)	12/10/49		1,590		1,724,172
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3		2.815%		04/10/46		2,800		2,765,750
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4		3.575%		05/10/47		3,200		3,330,115
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD2, Class AAB		5.329%	(a)	01/15/46		176		175,821
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A3		5.293%		12/11/49		235		236,622
COMM Mortgage Trust, Series 2014-UBS4, Class A4		3.420%		08/10/47		3,200		3,281,235
Commercial Mortgage Pass-Through Certificates, Series 2007-GG9, Class A2		5.381%		03/10/39		1,398		1,401,967
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3		2.540%		12/10/45		2,000		1,942,190
Commercial Mortgage Pass-Through Certificates, Series 2013-CR7, Class A3		2.929%		03/10/46		3,900		3,905,058
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM		5.467%	(a)	02/15/39		970		1,008,963
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, I/O		1.654%	(a)	06/25/20		9,470		641,486
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O		1.465%	(a)	05/25/22		28,808		2,481,340
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O		1.506%	(a)	06/25/22		16,408		1,459,441
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, I/O		0.900%	(a)	10/25/22		11,205		628,576
FHLMC Multifamily Structured Pass-Through Certificates, Series K036, Class X1, I/O		0.800%	(a)	10/25/23		13,171		742,775
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O		1.685%	(a)	08/25/16		9,737		183,969
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O		1.778%	(a)	05/25/19		23,076		1,526,003
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O		1.707%	(a)	07/25/19		27,645		1,774,263
GS Mortgage Securities Trust, Series 2013-GC12, Class A3		2.860%		06/10/46		4,600		4,560,109
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP4, Class AM		4.999%	(a)	10/15/42		1,820		1,856,513
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A2		5.772%	(a)	06/15/49		154		153,784

SEE NOTES TO FINANCIAL STATEMENTS.

A34

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class A3		5.939%	(a)	02/15/51		490	$	490,440
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4		2.611%		12/15/47		2,000		1,960,912
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4		2.875%		12/15/47		4,600		4,584,705
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46		4,600		4,496,836
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C21, Class A4		3.493%		08/15/47		3,200		3,283,530
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM		5.263%	(a)	11/15/40		2,100		2,165,955
LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class A2		5.300%		11/15/38		880		891,752
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A3		5.835%	(a)	06/12/50		198		198,338
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3		2.863%		12/15/48		1,700		1,686,232
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A3		2.834%		05/15/46		2,300		2,271,498
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A3		3.968%	(a)	07/15/46		4,800		5,173,829
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class A3		3.973%		10/15/46		3,600		3,868,988
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3		3.766%		11/15/46		4,000		4,218,420
Morgan Stanley Capital I Trust, Series 2006-T23, Class A3		5.807%	(a)	08/12/41		1,002		1,001,275
Morgan Stanley Capital I Trust, Series 2007-IQ14, Class AAB		5.654%	(a)	04/15/49		2,835		2,901,453
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4		2.792%		12/10/45		2,300		2,277,032
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3		2.920%		03/10/46		4,600		4,598,901
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3		2.971%		04/10/46		3,800		3,807,893
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class AMFX		5.179%	(a)	07/15/42		3,145		3,211,438
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4(d)		5.509%		04/15/47		5,150		5,424,212
Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A1A		5.716%	(a)	06/15/49		2,710		2,912,561
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class A4		3.548%		08/15/50		4,300		4,458,825
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $108,867,974)								107,166,762
CORPORATE BONDS — 45.2%
Aerospace & Defense — 0.3%
Textron, Inc., Sr. Unsec’d. Notes		7.250%		10/01/19		2,350		2,789,567
Airlines — 0.6%
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1		6.703%		06/15/21		2		2,534
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class B		7.373%		12/15/15		394		414,817
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A		5.983%		04/19/22		1,527		1,676,272
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A(d)		4.750%		01/12/21		465		494,880
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates., Series 2007-1 Class A		6.821%		08/10/22		1,167		1,353,571
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates., Series 2010-2, Class A		4.950%		05/23/19		546		584,228
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates., Series 2011-1, Class A		5.300%		04/15/19		579		629,301

SEE NOTES TO FINANCIAL STATEMENTS.

A35

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Airlines (continued)
United Airlines Pass-Through Trust, Pass-Through Certificates, Series 2007-071A, Class A		6.636%		07/02/22		853	$	921,247
								6,076,850
Automotive — 1.1%
Ford Motor Co., Sr. Unsec’d. Notes		4.750%		01/15/43		750		791,340
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes		1.700%		05/09/16		4,620		4,636,355
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes		2.375%		01/16/18		2,225		2,237,894
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes		3.984%		06/15/16		375		388,275
General Motors Co., Sr. Unsec’d. Notes		4.875%		10/02/23		1,350		1,444,500
General Motors Co., Sr. Unsec’d. Notes		6.250%		10/02/43		1,885		2,251,821
								11,750,185
Banking — 12.1%
American Express Co., Jr. Sub. Notes(d)		5.200%	(a)	05/29/49		655		665,213
Bank of America Corp., Jr. Sub Notes, Series K		8.000%	(a)	12/29/49		3,500		3,758,125
Bank of America Corp., Sr. Unsec’d. Notes		4.000%		04/01/24		1,150		1,197,409
Bank of America Corp., Sr. Unsec’d. Notes		5.700%		01/24/22		1,775		2,056,226
Bank of America Corp., Sr. Unsec’d. Notes		6.000%		09/01/17		4,590		5,061,177
Bank of America Corp., Sr. Unsec’d. Notes, MTN		3.300%		01/11/23		4,275		4,275,329
Bank of America Corp., Sr. Unsec’d. Notes, MTN(d)		4.125%		01/22/24		3,750		3,938,081
Bank of America Corp., Sr. Unsec’d. Notes, Series 1		3.750%		07/12/16		1,340		1,387,917
Bank of America NA, Sub. Notes		5.300%		03/15/17		790		848,590
Barclays Bank PLC (United Kingdom), Sr. Unsec’d. Notes(d)		3.750%		05/15/24		3,375		3,478,785
Branch Banking & Trust Co., Sr. Unsec’d. Notes		2.850%		04/01/21		3,700		3,721,527
Capital One Financial Corp., Sr. Unsec’d. Notes		3.750%		04/24/24		2,400		2,451,838
Capital One Financial Corp., Sr. Unsec’d. Notes		5.250%		02/21/17		2,460		2,649,452
Capital One Financial Corp., Sub. Notes		6.150%		09/01/16		700		752,246
Citigroup, Inc., Sr. Unsec’d. Notes		6.125%		11/21/17		2,050		2,285,922
Citigroup, Inc., Sr. Unsec’d. Notes(d)		8.125%		07/15/39		4,120		6,307,448
Citigroup, Inc., Sr. Unsec’d. Notes		8.500%		05/22/19		1,375		1,713,342
Credit Suisse/New York NY (Switzerland), Sr. Unsec’d. Notes, MTN(d)(e)		3.625%		09/09/24		1,050		1,068,101
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes		3.700%		05/30/24		1,650		1,674,366
Discover Bank, Sr. Unsec’d. Notes		4.250%		03/13/26		1,150		1,192,089
Discover Bank, Sub. Notes		7.000%		04/15/20		2,005		2,362,979
Fifth Third Bank, Sr. Unsec’d. Notes		1.450%		02/28/18		3,275		3,238,271
Fifth Third Bank, Sr. Unsec’d. Notes		2.375%		04/25/19		425		426,935
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(e)		5.750%		01/24/22		4,200		4,858,505
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(d)		6.150%		04/01/18		1,355		1,520,878
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.250%		09/01/17		3,195		3,554,917
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.250%		02/01/41		2,195		2,774,796
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes, Series D		6.000%		06/15/20		2,420		2,797,588
Goldman Sachs Group, Inc. (The), Sub. Notes		6.750%		10/01/37		440		553,245
Huntington Bancshares, Inc., Sub. Notes(d)		7.000%		12/15/20		260		312,918
ICICI Bank Ltd. (India), Jr. Sub. Notes, 144A		7.250%	(a)	08/29/49		2,380		2,388,925
ING Bank NV (Netherlands), Unsec’d. Notes, 144A		2.000%		09/25/15		770		776,012
Intesa Sanpaolo SpA (Italy), Bank Gtd. Notes		3.125%		01/15/16		1,625		1,650,683
JPMorgan Chase & Co., Jr. Sub. Notes, Series 1		7.900%	(a)	04/29/49		6,130		6,597,719
JPMorgan Chase & Co., Jr. Sub. Notes, Series X(d)		6.100%	(a)	10/29/49		1,450		1,446,375
JPMorgan Chase & Co., Sr. Unsec’d. Notes		3.150%		07/05/16		2,245		2,307,719
JPMorgan Chase & Co., Sr. Unsec’d. Notes		3.250%		09/23/22		500		502,912
JPMorgan Chase & Co., Sr. Unsec’d. Notes		4.250%		10/15/20		600		645,060
JPMorgan Chase & Co., Sr. Unsec’d. Notes(e)		4.400%		07/22/20		5,100		5,528,283
JPMorgan Chase & Co., Sub. Notes		5.625%		08/16/43		675		784,959
KeyCorp, Sr. Unsec’d. Notes, MTN(d)		5.100%		03/24/21		1,155		1,303,531
Lloyds Bank PLC (United Kingdom), Bank Gtd. Notes, MTN, 144A		5.800%		01/13/20		2,650		3,062,194
Mizuho Bank Ltd. (Japan), Gtd. Notes, 144A		1.850%		03/21/18		1,125		1,118,882

SEE NOTES TO FINANCIAL STATEMENTS.

A36

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
Morgan Stanley, Jr. Sub. Notes, Series H(d)		5.450%	(a)	12/31/49		975	$	976,755
Morgan Stanley, Sr. Unsec’d. Notes		5.750%		01/25/21		1,920		2,204,066
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		5.450%		01/09/17		4,035		4,332,436
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		5.500%		07/28/21		3,830		4,346,594
Morgan Stanley, Sr. Unsec’d. Notes, MTN(d)		5.625%		09/23/19		2,635		2,974,372
Morgan Stanley, Sub. Notes, GMTN		4.350%		09/08/26		750		754,481
Northern Trust Corp., Sub. Notes		3.950%		10/30/25		3,025		3,148,290
People’s United Bank, Sub. Notes		4.000%		07/15/24		550		557,091
People’s United Financial, Inc., Sr. Unsec’d. Notes		3.650%		12/06/22		1,675		1,688,542
PNC Financial Services Group, Inc. (The), Sub. Notes(d)		3.900%		04/29/24		975		990,960
Royal Bank of Scotland Group PLC (The) (United Kingdom), Sr. Unsec’d. Notes		2.550%		09/18/15		625		631,257
Santander Holdings USA, Inc., Sr. Unsec’d. Notes		3.000%		09/24/15		950		961,387
Santander Holdings USA, Inc., Sr. Unsec’d. Notes(d)		4.625%		04/19/16		525		546,893
State Street Corp., Jr. Sub. Debs.		4.956%		03/15/18		3,025		3,276,223
Sumitomo Mitsui Banking Corp. (Japan), Bank Gtd. Notes		2.450%		01/10/19		625		627,829
								129,014,645
Brokerage — 0.2%
Jefferies Group LLC, Sr. Unsec’d. Notes		6.500%		01/20/43		650		663,053
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(f)		6.875%		05/02/18		2,740		407,575
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN		2.000%		09/13/16		950		957,663
								2,028,291
Building Materials & Construction — 0.9%
Cemex Espana Luxembourg (Mexico), Sr. Sec’d. Notes, RegS		9.875%		04/30/19		1,233		1,353,217
Cemex Finance LLC (Mexico), Sr. Sec’d. Notes, 144A		9.875%		04/30/19		1,360		1,492,600
Cemex SAB de CV (Mexico), Sr. Sec’d. Notes, 144A		4.750%		01/11/22	EUR	900		1,065,906
Mohawk Industries, Inc., Sr. Unsec’d. Notes		3.850%		02/01/23		294		294,118
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A (original cost $1,275,000; purchased 06/19/14)(b)(c)		5.250%		06/27/29		1,275		1,114,988
Toll Brothers Finance Corp., Gtd. Notes		5.150%		05/15/15		4,695		4,741,950
								10,062,779
Cable — 1.7%
British Sky Broadcasting Group PLC (United Kingdom), Gtd. Notes, 144A		6.100%		02/15/18		210		233,713
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes		7.000%		01/15/19		2,000		2,075,000
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes		7.375%		06/01/20		1,100		1,166,000
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes		8.125%		04/30/20		1,000		1,052,500
CSC Holdings LLC, Sr. Unsec’d. Notes		6.750%		11/15/21		2,225		2,458,625
CSC Holdings LLC, Sr. Unsec’d. Notes		8.625%		02/15/19		1,610		1,871,625
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes		3.500%		03/01/16		2,825		2,898,687
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes		3.550%		03/15/15		275		276,632
NBCUniversal Media LLC, Gtd. Notes		4.450%		01/15/43		290		307,288
TCI Communications, Inc., Sr. Unsec’d. Notes		7.875%		02/15/26		750		1,046,106
Time Warner Cable, Inc., Gtd. Notes		6.750%		07/01/18		2,620		3,004,818
Virgin Media Secured Finance PLC (United Kingdom), Sr. Sec’d. Notes, 144A		6.000%		04/15/21	GBP	1,050		1,722,452
								18,113,446
Capital Goods — 1.7%
Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A		6.500%		07/15/22		1,375		1,460,937
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,098,609; purchased 05/30/13)(b)(c)		6.700%		06/01/34		920		1,183,482
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $996,365; purchased 05/14/13)(b)(c)		7.000%		10/15/37		770		1,037,662
General Electric Co., Sr. Unsec’d. Notes		4.125%		10/09/42		500		517,606
General Electric Co., Sr. Unsec’d. Notes		4.500%		03/11/44		740		813,424

SEE NOTES TO FINANCIAL STATEMENTS.

A37

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Capital Goods (continued)
Hertz Corp. (The), Gtd. Notes		6.750%	04/15/19		1,500	$	1,545,000
Ingersoll-Rand Global Holding Co. Ltd., Gtd. Notes		5.750%	06/15/43		425		500,915
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A (original cost $2,022,003; purchased 09/24/12)(b)(c)		2.500%	03/15/16		2,025		2,052,868
Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A (original cost $674,345; purchased 05/08/12)(b)(c)		3.125%	05/11/15		675		680,467
Pentair Finance SA, Gtd. Notes		1.875%	09/15/17		625		624,244
Rockwell Automation, Inc., Sr. Unsec’d. Notes		5.200%	01/15/98		1,100		1,164,830
United Rentals North America, Inc., Gtd. Notes(d)		7.625%	04/15/22		2,700		2,968,650
United Technologies Corp., Sr. Unsec’d. Notes(d)		4.500%	06/01/42		1,675		1,823,722
Xylem, Inc., Sr. Unsec’d. Notes		4.875%	10/01/21		1,960		2,117,468
							18,491,275
Chemicals — 1.6%
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		4.900%	06/01/43		870		901,185
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		5.250%	01/15/45		420		453,648
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		6.125%	01/15/41		450		533,886
Ashland, Inc., Gtd. Notes(d)		4.750%	08/15/22		875		875,000
CF Industries, Inc., Gtd. Notes		4.950%	06/01/43		675		672,870
CF Industries, Inc., Gtd. Notes		5.375%	03/15/44		700		755,227
CF Industries, Inc., Gtd. Notes		6.875%	05/01/18		380		431,995
CF Industries, Inc., Gtd. Notes		7.125%	05/01/20		300		357,410
Dow Chemical Co. (The), Sr. Unsec’d. Notes		4.625%	10/01/44		125		126,587
Dow Chemical Co. (The), Sr. Unsec’d. Notes		9.400%	05/15/39		1,002		1,625,778
LyondellBasell Industries NV, Sr. Unsec’d. Notes		6.000%	11/15/21		3,550		4,085,904
Mexichem SAB de CV (Mexico), Gtd. Notes, 144A		6.750%	09/19/42		1,065		1,104,938
Monsanto Co., Sr. Unsec’d. Notes		4.200%	07/15/34		225		234,450
Monsanto Co., Sr. Unsec’d. Notes		4.400%	07/15/44		275		285,324
Mosaic Co. (The), Sr. Unsec’d. Notes		5.450%	11/15/33		465		526,104
Mosaic Co. (The), Sr. Unsec’d. Notes		5.625%	11/15/43		155		177,632
Union Carbide Corp., Sr. Unsec’d. Notes		7.875%	04/01/23		3,058		3,854,673
							17,002,611
Consumer — 0.2%
Service Corp. International, Sr. Unsec’d. Notes		7.625%	10/01/18		2,000		2,230,800
Electric — 3.5%
AES Corp. (The), Sr. Unsec’d. Notes		8.000%	10/15/17		4,000		4,490,000
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes		3.350%	07/01/23		550		563,751
Calpine Corp., Sr. Unsec’d. Notes(d)		5.375%	01/15/23		800		808,000
Calpine Corp., Sr. Unsec’d. Notes		5.750%	01/15/25		850		860,625
Covanta Holding Corp., Sr. Unsec’d. Notes		7.250%	12/01/20		2,500		2,656,250
Duke Energy Corp., Sr. Unsec’d. Notes		2.100%	06/15/18		3,775		3,809,485
El Paso Electric Co., Sr. Unsec’d. Notes		6.000%	05/15/35		2,325		2,913,809
Enel Finance International NV (Netherlands), Gtd. Notes, 144A		6.000%	10/07/39		1,450		1,703,789
Exelon Corp., Sr. Unsec’d. Notes		4.900%	06/15/15		500		508,942
Exelon Generation Co. LLC, Sr. Unsec’d. Notes(d)		6.200%	10/01/17		1,930		2,144,664
Exelon Generation Co. LLC, Sr. Unsec’d. Notes		6.250%	10/01/39		1,900		2,282,035
FirstEnergy Corp., Series A, Sr. Unsec’d. Notes		2.750%	03/15/18		1,800		1,813,912
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A		5.450%	07/15/44		400		431,146
Iberdrola International BV (Spain), Gtd. Notes		6.750%	09/15/33		1,150		1,426,729
NRG Energy, Inc., Gtd. Notes(d)		6.625%	03/15/23		2,750		2,860,000
Pacific Gas & Electric Co., Sr. Unsec’d. Notes		4.600%	06/15/43		1,950		2,080,225
South Carolina Electric & Gas Co., First Mortgage		4.600%	06/15/43		2,025		2,204,617
TransAlta Corp. (Canada), Sr. Unsec’d. Notes		6.650%	05/15/18		1,953		2,191,430
Xcel Energy, Inc., Sr. Unsec’d. Notes		5.613%	04/01/17		1,947		2,124,820
							37,874,229

SEE NOTES TO FINANCIAL STATEMENTS.

A38

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Energy – Integrated — 0.7%
Lukoil International Finance BV (Netherlands), Gtd. Notes, 144A		7.250%		11/05/19		1,300	$	1,229,740
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A(d)		5.375%		01/26/19		870		749,505
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A		7.250%		12/12/21		1,040		904,800
Pacific Rubiales Energy Corp. (Colombia), Sr. Unsec’d. Notes, RegS		7.250%		12/12/21		1,540		1,339,800
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A		5.400%		02/14/22		510		552,487
Rosneft Finance SA (Russia), Gtd. Notes, 144A		6.625%		03/20/17		585		544,050
Sasol Financing International PLC (South Africa), Gtd. Notes		4.500%		11/14/22		2,725		2,702,928
								8,023,310
Energy – Other — 1.3%
Afren PLC (United Kingdom), Sr. Sec’d. Notes, RegS		11.500%		02/01/16		600		498,000
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		4.677%	(g)	10/10/36		2,000		758,548
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.375%		09/15/17		3,265		3,630,033
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.450%		09/15/36		340		408,576
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.950%		06/15/19		250		292,088
Cameron International Corp., Sr. Unsec’d. Notes		7.000%		07/15/38		450		552,476
Nabors Industries, Inc., Gtd. Notes		4.625%		09/15/21		1,650		1,550,244
Noble Energy, Inc., Sr. Unsec’d. Notes		6.000%		03/01/41		1,530		1,681,525
Pioneer Natural Resources Co., Sr. Unsec’d. Notes		6.875%		05/01/18		1,750		1,958,994
Precision Drilling Corp. (Canada), Gtd. Notes		6.625%		11/15/20		1,000		900,000
Transocean, Inc., Gtd. Notes		2.500%		10/15/17		725		640,932
Weatherford International Ltd., Gtd. Notes		5.125%		09/15/20		1,165		1,144,565
								14,015,981
Foods — 0.9%
Aramark Corp., Gtd. Notes		5.750%		03/15/20		1,350		1,393,875
BRF SA (Brazil), Sr. Unsec’d. Notes, 144A		3.950%		05/22/23		1,655		1,530,047
BRF SA (Brazil), Sr. Unsec’d. Notes, 144A		4.750%		05/22/24		775		752,719
Coca-Cola Icecek A/S (Turkey), Sr. Unsec’d. Notes, 144A		4.750%		10/01/18		375		399,229
Corp. Pesquera Inca SAC (Peru), Gtd. Notes, 144A		9.000%		02/10/17		1,000		990,000
JBS Finance II Ltd. (Brazil), Gtd. Notes, 144A		8.250%		01/29/18		1,200		1,227,000
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A (original cost $1,226,925; purchased 12/08/11)(b)(c)		7.250%		06/01/21		1,330		1,369,900
Minerva Luxembourg SA (Brazil), Gtd. Notes, 144A		12.250%		02/10/22		725		834,475
Tyson Foods, Inc., Gtd. Notes		6.600%		04/01/16		1,000		1,066,004
								9,563,249
Gaming — 0.2%
Pinnacle Entertainment, Inc., Gtd. Notes		7.500%		04/15/21		1,550		1,615,859
Healthcare & Pharmaceutical — 2.5%
Actavis Funding SSC, Gtd. Notes		4.850%		06/15/44		680		690,021
Amgen, Inc., Sr. Unsec’d. Notes		5.150%		11/15/41		2,635		2,970,040
CHS/Community Health Systems, Inc., Gtd. Notes		8.000%		11/15/19		3,400		3,629,500
ConvaTec Finance International SA (Luxembourg), Sr. Unsec’d. Notes, 144A		8.250%		01/15/19		2,300		2,334,500
Gilead Sciences, Inc., Sr. Unsec’d. Notes		5.650%		12/01/41		250		309,545
HCA, Inc., Gtd. Notes		8.000%		10/01/18		2,250		2,576,250
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes(d)		3.750%		08/23/22		225		230,193
LifePoint Hospitals, Inc., Gtd. Notes		6.625%		10/01/20		1,000		1,055,000
Medtronic, Inc., 144A		4.375%		03/15/35		1,450		1,538,241
Medtronic, Inc., Sr. Unsec’d. Notes, 144A		3.500%		03/15/25		3,435		3,513,902
Merck & Co, Inc., Sr. Unsec’d. Notes(d)		4.150%		05/18/43		2,075		2,207,615
Pfizer, Inc., Sr. Unsec’d. Notes(d)		4.300%		06/15/43		1,550		1,659,962
Tenet Healthcare Corp., Sr. Unsec’d. Notes(d)		8.000%		08/01/20		1,570		1,656,350
Valeant Pharmaceuticals International, Gtd. Notes, 144A		6.750%		08/15/18		2,000		2,127,540
								26,498,659

SEE NOTES TO FINANCIAL STATEMENTS.

A39

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Healthcare Insurance — 1.3%
Aetna, Inc., Sr. Unsec’d. Notes		6.750%		12/15/37		1,900	$	2,505,860
Anthem, Inc., Sr. Unsec’d. Notes		4.650%		01/15/43		385		400,693
Cigna Corp., Sr. Unsec’d. Notes		4.375%		12/15/20		745		800,125
Cigna Corp., Sr. Unsec’d. Notes		5.375%		03/15/17		2,125		2,295,557
Cigna Corp., Sr. Unsec’d. Notes		5.875%		03/15/41		750		933,750
Coventry Health Care, Inc., Sr. Unsec’d. Notes		6.125%		01/15/15		4,025		4,030,639
UnitedHealth Group, Inc., Sr. Unsec’d. Notes(d)		4.250%		03/15/43		1,200		1,258,038
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.500%		06/15/37		760		1,018,387
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.625%		11/15/37		195		266,318
								13,509,367
Insurance — 3.5%
Allied World Assurance Co. Ltd., Gtd. Notes		5.500%		11/15/20		430		479,630
Allied World Assurance Co. Ltd., Gtd. Notes		7.500%		08/01/16		2,475		2,701,844
American International Group, Inc., Sr. Unsec’d. Notes		4.500%		07/16/44		1,075		1,135,749
American International Group, Inc., Sr. Unsec’d. Notes		5.050%		10/01/15		315		324,558
American International Group, Inc., Sr. Unsec’d. Notes		6.400%		12/15/20		950		1,132,847
American International Group, Inc., Sr. Unsec’d. Notes, MTN		5.850%		01/16/18		3,700		4,136,970
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes(d)		3.000%		02/11/23		1,850		1,867,390
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes(d)		4.500%		02/11/43		1,350		1,476,375
Chubb Corp. (The), Jr. Sub. Notes(d)		6.375%	(a)	03/29/67		1,775		1,902,889
Dai-ichi Life Insurance Co. Ltd. (The) (Japan), Sub. Notes, 144A		5.100%	(a)	10/29/49		515		536,244
Endurance Specialty Holdings Ltd., Sr. Unsec’d. Notes		7.000%		07/15/34		1,350		1,683,007
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes		5.125%		04/15/22		500		562,044
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A		6.500%		03/15/35		1,030		1,258,419
Lincoln National Corp., Jr. Sub. Notes		6.050%	(a)	04/20/67		350		350,000
Lincoln National Corp., Sr. Unsec’d. Notes		7.000%		06/15/40		1,265		1,754,340
Lincoln National Corp., Sr. Unsec’d. Notes		8.750%		07/01/19		1,265		1,580,655
Markel Corp., Sr. Unsec’d. Notes		5.000%		03/30/43		350		371,663
Massachusetts Mutual Life Insurance Co., Sub. Notes, 144A		8.875%		06/01/39		1,200		1,936,196
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A		5.100%	(a)	10/16/44		2,075		2,168,375
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A		6.063%		03/30/40		500		646,311
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A		6.375%		04/30/20		850		975,879
Principal Financial Group, Inc., Gtd. Notes		4.625%		09/15/42		150		157,450
Progressive Corp. (The), Jr. Sub. Notes		6.700%	(a)	06/15/37		1,015		1,097,976
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A		6.850%		12/16/39		2,310		3,155,065
Unum Group, Sr. Unsec’d. Notes		5.625%		09/15/20		500		563,022
Willis Group Holdings PLC, Gtd. Notes		4.125%		03/15/16		1,280		1,319,236
XLIT Ltd. (Ireland), Jr. Sub. Notes, Series E		6.500%	(a)	10/29/49		1,880		1,795,400
								37,069,534
Lodging — 0.4%
Marriott International, Inc., Sr. Unsec’d. Notes		3.250%		09/15/22		1,325		1,330,324
Wyndham Worldwide Corp., Sr. Unsec’d. Notes		2.950%		03/01/17		2,420		2,471,386
								3,801,710
Media & Entertainment — 1.9%
21st Century Fox America, Inc., Gtd. Notes		6.150%		03/01/37		460		576,521
21st Century Fox America, Inc., Gtd. Notes		6.900%		08/15/39		65		88,119
21st Century Fox America, Inc., Gtd. Notes		7.625%		11/30/28		1,415		1,876,226
AMC Networks, Inc., Gtd. Notes		7.750%		07/15/21		3,750		4,012,500
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes, 144A(d)		5.375%		06/01/24		425		422,875
Gannett Co., Inc., Gtd. Notes, 144A(d)		4.875%		09/15/21		475		471,438
Historic TW, Inc., Gtd. Notes		6.625%		05/15/29		1,837		2,328,708
Liberty Interactive LLC, Sr. Unsec’d. Notes(d)		8.250%		02/01/30		2,250		2,430,000
Myriad International Holdings BV (South Africa), Gtd. Notes, 144A		6.000%		07/18/20		1,035		1,130,738
RR Donnelley & Sons Co., Sr. Unsec’d. Notes		8.600%		08/15/16		4,750		5,201,250

SEE NOTES TO FINANCIAL STATEMENTS.

A40

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Media & Entertainment (continued)
Time Warner Cos., Inc., Gtd. Notes		7.250%		10/15/17		1,440	$	1,650,243
Viacom, Inc., Sr. Unsec’d. Notes (original cost $82,665; purchased 07/25/13-11/25/13)(b)(c)		4.500%		02/27/42		95		92,617
Viacom, Inc., Sr. Unsec’d. Notes (original cost $432,485; purchased 08/06/13-02/11/14)(b)(c)		4.875%		06/15/43		475		464,224
								20,745,459
Metals — 1.0%
Alcoa, Inc., Sr. Unsec’d. Notes		5.125%		10/01/24		425		450,402
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes		5.000%		09/30/43		1,250		1,416,901
CITIC Pacific Ltd. (China), Sr. Unsec’d. Notes, MTN		6.875%		01/21/18		1,100		1,214,774
FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A(d)		6.000%		04/01/17		1,000		956,250
Goldcorp, Inc. (Canada), Sr. Unsec’d. Notes		3.625%		06/09/21		825		826,327
Newmont Mining Corp., Gtd. Notes		6.250%		10/01/39		75		76,077
Peabody Energy Corp., Gtd. Notes(d)		6.000%		11/15/18		4,075		3,698,063
Southern Copper Corp., Sr. Unsec’d. Notes(d)		6.750%		04/16/40		990		1,038,510
Southern Copper Corp., Sr. Unsec’d. Notes		7.500%		07/27/35		550		618,746
Vedanta Resources PLC (India), Sr. Unsec’d. Notes, 144A		6.000%		01/31/19		400		390,000
								10,686,050
Non-Captive Finance — 1.4%
CIT Group, Inc., Sr. Unsec’d. Notes		5.000%		08/15/22		1,350		1,387,125
CIT Group, Inc., Sr. Unsec’d. Notes, 144A		5.500%		02/15/19		4,000		4,220,000
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN(d)		5.875%		01/14/38		675		854,119
General Electric Capital Corp., Sub. Notes(d)		5.300%		02/11/21		1,185		1,353,255
HSBC Finance Corp., Sub. Notes		6.676%		01/15/21		295		350,005
International Lease Finance Corp., Sr. Unsec’d. Notes		5.750%		05/15/16		1,125		1,167,187
International Lease Finance Corp., Sr. Unsec’d. Notes		6.250%		05/15/19		1,400		1,529,500
Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. (Cayman Islands), Sr. Sec’d. Notes, 144A(c)		0.955%	(a)	07/03/33		568		534,001
Schahin II Finance Co. SPV Ltd. (Brazil), Sr. Sec’d. Notes, 144A (original cost $1,741,109; purchased 03/27/12-07/24/12)(b)(c)(d)		5.875%		09/25/22		1,709		1,373,394
SLM Corp., Sr. Unsec’d. Notes, MTN		6.000%		01/25/17		1,075		1,126,062
Trust F/1401 (Mexico), Sr. Unsec’d. Notes, 144A		5.250%		12/15/24		1,235		1,272,173
								15,166,821
Packaging — 0.4%
Ball Corp., Gtd. Notes(d)		6.750%		09/15/20		345		358,800
Greif Luxembourg Finance, Sr. Unsec’d. Notes, MTN, 144A		7.375%		07/15/21	EUR	1,470		2,098,958
Greif, Inc., Sr. Unsec’d. Notes		7.750%		08/01/19		1,815		2,050,950
								4,508,708
Paper — 0.5%
International Paper Co., Sr. Unsec’d. Notes		6.000%		11/15/41		675		790,243
International Paper Co., Sr. Unsec’d. Notes		7.300%		11/15/39		1,000		1,325,910
International Paper Co., Sr. Unsec’d. Notes		7.950%		06/15/18		1,640		1,933,419
Rock-Tenn Co., Gtd. Notes		4.450%		03/01/19		1,165		1,240,057
								5,289,629
Pipelines & Other — 0.7%
AGL Capital Corp., Gtd. Notes		4.400%		06/01/43		1,050		1,106,436
Fermaca Enterprises S de RL de CV (Mexico), Sr. Sec’d. Notes, 144A (original cost $455,119; purchased 07/22/14)(b)(c)		6.375%		03/30/38		435		442,612
NiSource Finance Corp., Gtd. Notes		4.800%		02/15/44		300		319,634
NiSource Finance Corp., Gtd. Notes		5.450%		09/15/20		1,345		1,513,545
ONEOK Partners LP, Gtd. Notes		2.000%		10/01/17		750		745,813
Sempra Energy, Sr. Unsec’d. Notes		6.500%		06/01/16		2,275		2,443,054
Western Gas Partners LP, Sr. Unsec’d. Notes		5.450%		04/01/44		575		605,528
								7,176,622

SEE NOTES TO FINANCIAL STATEMENTS.

A41

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Real Estate Investment Trusts — 0.2%
ProLogis LP, Gtd. Notes		6.875%	03/15/20		8	$	9,397
Simon Property Group LP, Sr. Unsec’d. Notes		3.375%	03/15/22		325		334,563
Simon Property Group LP, Sr. Unsec’d. Notes		6.125%	05/30/18		40		45,523
Simon Property Group LP, Sr. Unsec’d. Notes		10.350%	04/01/19		1,685		2,203,960
							2,593,443
Retailers — 0.2%
Limited Brands, Inc., Gtd. Notes		5.625%	02/15/22		2,200		2,365,000
Technology — 1.5%
Arrow Electronics, Inc., Sr. Unsec’d. Notes		3.375%	11/01/15		600		610,817
Avaya, Inc., Sec’d. Notes, 144A(d)		10.500%	03/01/21		200		171,000
Brightstar Corp., Gtd. Notes, 144A (original cost $2,126,719; purchased 08/06/14)(b)(c)		9.500%	12/01/16		2,000		2,097,500
CDW LLC/CDW Finance Corp., Gtd. Notes		8.500%	04/01/19		1,222		1,287,682
First Data Corp., Gtd. Notes		11.250%	01/15/21		1,750		1,986,250
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A		3.750%	06/01/18		1,925		1,925,000
Oracle Corp., Sr. Unsec’d. Notes		4.300%	07/08/34		1,070		1,145,619
Seagate HDD Cayman, Gtd. Notes		6.875%	05/01/20		2,610		2,740,500
SunGard Data Systems, Inc., Gtd. Notes(d)		7.625%	11/15/20		1,700		1,802,000
Xerox Corp., Sr. Unsec’d. Notes		4.250%	02/15/15		2,000		2,007,902
							15,774,270
Telecommunications — 2.2%
America Movil SAB de CV (Mexico), Gtd. Notes		6.125%	03/30/40		655		775,003
AT&T Corp., Gtd. Notes		8.000%	11/15/31		103		151,772
AT&T, Inc., Sr. Unsec’d. Notes(d)		4.800%	06/15/44		1,975		2,012,438
AT&T, Inc., Sr. Unsec’d. Notes		5.350%	09/01/40		483		523,003
Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A		5.125%	03/11/23		1,305		1,392,800
Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A		5.350%	05/20/24		690		746,525
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes		9.625%	12/15/30		328		514,977
Eileme 2 AB (Sweden), Sr. Sec’d. Notes, RegS		11.750%	01/31/20	EUR	1,400		1,931,245
Embarq Corp., Sr. Unsec’d. Notes (original cost $584,102; purchased 04/22/10)(b)(c)		7.995%	06/01/36		560		625,800
Sprint Capital Corp., Gtd. Notes(d)		6.900%	05/01/19		1,300		1,326,000
Sprint Communications, Inc., Gtd. Notes, 144A		9.000%	11/15/18		1,575		1,791,405
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.750%	11/01/41		745		763,752
Verizon Communications, Inc., Sr. Unsec’d. Notes(d)		6.400%	09/15/33		1,228		1,512,629
Verizon Communications, Inc., Sr. Unsec’d. Notes(d)		6.550%	09/15/43		2,365		3,029,917
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A(d)		4.862%	08/21/46		1,679		1,724,714
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A		5.012%	08/21/54		3,362		3,478,154
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC (Russia), Sr. Unsec’d. Notes, 144A		7.748%	02/02/21		1,300		1,080,300
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC (Russia), Sr. Unsec’d. Notes, 144A		9.125%	04/30/18		200		188,000
							23,568,434
Tobacco — 0.5%
Altria Group, Inc., Gtd. Notes		9.950%	11/10/38		873		1,493,400
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A		2.050%	02/11/18		2,375		2,361,693
Lorillard Tobacco Co., Gtd. Notes		3.500%	08/04/16		515		530,175
Lorillard Tobacco Co., Gtd. Notes		8.125%	06/23/19		895		1,085,033
							5,470,301
TOTAL CORPORATE BONDS (cost $453,608,895)							482,877,084

SEE NOTES TO FINANCIAL STATEMENTS.

A42

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

FOREIGN AGENCIES — 2.3%	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
CNOOC Finance 2013 Ltd. (China), Gtd. Notes		3.000%	05/09/23		750	$	709,805
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A		4.875%	01/15/24		875		914,375
Ecopetrol SA (Colombia), Sr. Unsec’d. Notes		4.125%	01/16/25		100		95,000
Ecopetrol SA (Colombia), Sr. Unsec’d. Notes(d)		5.875%	05/28/45		525		485,625
Export Credit Bank of Turkey (Turkey), Sr. Unsec’d. Notes, 144A		5.375%	11/04/16		790		826,435
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, RegS		9.250%	04/23/19		1,080		1,101,060
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.510%	03/07/22		975		872,869
KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, MTN, 144A		5.750%	04/30/43		1,075		903,000
KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A		7.000%	05/05/20		475		493,644
KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, MTN, 144A		9.125%	07/02/18		1,835		2,007,582
Korea Finance Corp. (South Korea), Sr. Unsec’d. Notes		4.625%	11/16/21		600		664,849
Korea Gas Corp. (South Korea), Sr. Unsec’d. Notes, RegS(d)		4.250%	11/02/20		1,750		1,900,843
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A		4.750%	07/13/21		1,650		1,851,603
Majapahit Holding BV (Indonesia), Gtd. Notes, RegS		7.750%	10/17/16		2,500		2,740,625
Majapahit Holding BV (Indonesia), Gtd. Notes, RegS		7.750%	01/20/20		1,500		1,736,250
Petrobras International Finance Co. (Brazil), Gtd. Notes(d)		5.375%	01/27/21		345		319,667
Petroleos Mexicanos (Mexico), Gtd. Notes(d)		3.500%	01/30/23		1,125		1,076,062
Petroleos Mexicanos (Mexico), Gtd. Notes(d)		4.875%	01/24/22		2,100		2,199,561
Petroleos Mexicanos (Mexico), Gtd. Notes		6.500%	06/02/41		745		854,887
Power Sector Assets & Liabilities Management Corp. (Philippines), Gov’t. Gtd. Notes, RegS		7.390%	12/02/24		1,000		1,303,000
Westpac Banking Corp. (Australia), 144A		2.000%	05/21/19		1,750		1,743,707
TOTAL FOREIGN AGENCIES (cost $24,910,136)							24,800,449
MUNICIPAL BONDS — 2.0%
California — 0.7%
Bay Area Toll Authority, Revenue Bonds, BABs		6.907%	10/01/50		1,125		1,660,792
State of California, General Obligation Unlimited, BABs		7.300%	10/01/39		2,280		3,345,535
State of California, General Obligation Unlimited, BABs		7.625%	03/01/40		725		1,112,839
University of California, Revenue Bonds, BABs		5.770%	05/15/43		1,400		1,795,430
							7,914,596
Colorado — 0.1%
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs		5.844%	11/01/50		770		1,070,639
Illinois — 0.2%
Chicago O’Hare International Airport, Revenue Bonds, BABs		6.395%	01/01/40		1,380		1,866,864
New Jersey — 0.5%
New Jersey State Turnpike Authority, Revenue Bonds, Series A, BABs		7.102%	01/01/41		1,175		1,716,769
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs		7.414%	01/01/40		2,050		3,091,359
							4,808,128
Ohio — 0.1%
Ohio State University (The), Revenue Bonds, BABs		4.910%	06/01/40		695		848,400
Ohio State Water Development Authority, Revenue Bonds, BABs		4.879%	12/01/34		450		505,067
							1,353,467
Oregon — 0.1%
Oregon State Department of Transportation, Revenue Bonds, Series A, BABs		5.834%	11/15/34		615		798,196

SEE NOTES TO FINANCIAL STATEMENTS.

A43

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

MUNICIPAL BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Pennsylvania — 0.1%
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs		5.511%		12/01/45		800	$	987,232
Tennessee — 0.2%
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs		6.731%		07/01/43		1,375		1,848,550
Texas
Texas State Transportation Commission, Revenue Bonds, Series B, BABs		5.028%		04/01/26		425		495,427
TOTAL MUNICIPAL BONDS (cost $15,299,109)								21,143,099
SOVEREIGNS — 5.1%
Brazilian Government International Bond (Brazil), Unsec’d. Notes		11.000%		06/26/17	EUR	2,200		3,211,312
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.000%		02/26/24		2,000		2,045,000
Hellenic Republic Government Bond (Greece), Sr. Unsec’d. Notes		4.750%		04/17/19	EUR	800		770,794
Hellenic Republic Government Bond (Greece), Sr. Unsec’d. Notes, Series 9BR		5.800%		07/14/15	JPY	76,200		601,177
Hellenic Republic Government Bond (Greece), Sr. Unsec’d. Notes, Series 9RG		5.800%		07/14/15	JPY	107,100		844,962
Hellenic Republic Government International Bond (Greece), Sr. Unsec’d. Notes, MTN		3.800%		08/08/17	JPY	680,000		4,664,699
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		4.125%		02/19/18		2,020		2,094,902
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		5.375%		02/21/23		436		469,790
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		6.000%		01/11/19	EUR	715		1,003,791
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		6.375%		03/29/21		776		887,066
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes(d)		7.625%		03/29/41		462		614,229
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A		2.875%		07/08/21	EUR	825		1,010,773
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, RegS		5.875%		03/13/20		2,245		2,486,337
Italy Buoni Poliennali del Tesoro (Italy), Sr. Unsec’d Notes		6.500%		11/01/27	EUR	3,545		6,249,840
Italy Government International Bond (Italy), Sr. Unsec’d. Notes, RegS		3.450%		03/24/17	JPY	170,000		1,498,451
Italy Government International Bond (Italy), Sr. Unsec’d. Notes, RegS		4.500%		06/08/15	JPY	130,000		1,099,527
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes		2.750%		04/22/23	EUR	2,350		2,961,067
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN		4.750%		03/08/44		1,062		1,107,135
Panama Government International Bond (Panama), Sr. Unsec’d. Notes(d)		5.200%		01/30/20		1,115		1,229,288
Peru Enhanced Pass-Through Finance Ltd. (Peru), Pass-Through Certificates, 144A		3.975%	(g)	05/31/18		692		655,474
Philippine Government International Bond (Philippines), Sr. Unsec’d. Notes		6.250%		03/15/16	EUR	850		1,093,508
Portugal Government International Bond (Portugal), Sr. Unsec’d. Notes, RegS		3.500%		03/25/15		2,200		2,215,930
Portugal Government International Bond (Portugal), Unsec’d. Notes, 144A		5.125%		10/15/24		800		840,414
Portugal Obrigacoes do Tesouro OT (Portugal), Sr. Unsec’d. Notes, RegS		4.750%		06/14/19	EUR	4,410		6,077,572

SEE NOTES TO FINANCIAL STATEMENTS.

A44

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

SOVEREIGNS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#			Value (Note 2)
Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A		5.750%	01/20/42			900	$	1,059,750
Republic of Brazil (Brazil), Sr. Unsec’d. Notes		8.250%	01/20/34			510		699,975
Republic of Indonesia (Indonesia), Sr. Unsec’d. Notes, RegS		4.875%	05/05/21			1,600		1,690,000
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A		4.875%	01/22/24			1,370		1,493,300
Slovenia Government International Bond (Slovenia), Bonds, 144A		4.125%	02/18/19			300		314,256
Slovenia Government International Bond (Slovenia), Sr. Unsec’d Notes, RegS		4.750%	05/10/18			1,300		1,391,000
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes		7.000%	06/05/20			1,510		1,755,749
TOTAL SOVEREIGNS (cost $54,927,644)								54,137,068
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.8%
Federal Home Loan Mortgage Corp.		5.000%	07/01/19			121		128,152
Federal Home Loan Mortgage Corp.		5.500%	10/01/33-06/01/34			1,614		1,817,561
Federal Home Loan Mortgage Corp.		6.000%	11/01/33-06/01/34			1,164		1,322,296
Federal Home Loan Mortgage Corp.		6.500%	07/01/32-09/01/32			852		988,268
Federal Home Loan Mortgage Corp.		7.000%	10/01/32			111		121,195
Federal National Mortgage Assoc.		4.000%	05/01/19			81		85,742
Federal National Mortgage Assoc.		4.500%	12/01/18-02/01/35			592		624,102
Federal National Mortgage Assoc.		5.500%	03/01/17-06/01/34			2,447		2,677,494
Federal National Mortgage Assoc.		6.000%	09/01/17-11/01/36			2,148		2,457,383
Federal National Mortgage Assoc.		6.500%	07/01/15-11/01/33			1,614		1,854,052
Federal National Mortgage Assoc.		7.000%	05/01/32-06/01/32			177		202,145
Government National Mortgage Assoc.		5.500%	01/15/33-07/15/35			1,954		2,191,681
Government National Mortgage Assoc.		6.000%	12/15/32-11/15/34			2,276		2,636,268
Government National Mortgage Assoc.		6.500%	09/15/32-11/15/33			1,552		1,774,902
Government National Mortgage Assoc.		7.500%	10/15/25-02/15/26			58		67,649
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $17,103,818)								18,948,890
U.S. TREASURY OBLIGATIONS — 4.2%
U.S. Treasury Bonds(d)		2.250%	11/15/24			4,680		4,711,445
U.S. Treasury Bonds		2.875%	05/15/43			2,670		2,730,908
U.S. Treasury Notes(d)		1.000%	09/15/17			4,450		4,452,434
U.S. Treasury Notes(e)		1.500%	05/31/19			6,340		6,324,150
U.S. Treasury Notes		1.500%	10/31/19			250		248,477
U.S. Treasury Notes(d)		1.500%	11/30/19			990		983,735
U.S. Treasury Notes		1.625%	12/31/19			885		883,687
U.S. Treasury Notes(h)		1.750%	09/30/19			14,385		14,469,282
U.S. Treasury Notes		3.375%	05/15/44			9,290		10,458,505
TOTAL U.S. TREASURY OBLIGATIONS (cost $44,154,336)								45,262,623
					Shares
PREFERRED STOCK — 0.1%
Banking
Citigroup Capital XIII, 7.875%, (Capital Security, fixed to floating preferred) (cost $1,125,000)						45,000		1,196,100
TOTAL LONG-TERM INVESTMENTS (cost $864,671,632)								907,203,989
SHORT-TERM INVESTMENTS — 19.6%
AFFILIATED MUTUAL FUNDS — 19.5%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $104,944,786)(Note 4)(i)						10,735,681		100,271,259

SEE NOTES TO FINANCIAL STATEMENTS.

A45

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

SHORT-TERM INVESTMENTS (continued)	Shares		Value (Note 2)
AFFILIATED MUTUAL FUNDS (continued)
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $107,580,283; includes $66,800,717 of cash collateral for securities on loan)(Note 4)(i)(j)		107,580,283	$	107,580,283
TOTAL AFFILIATED MUTUAL FUNDS (cost $212,525,069)				207,851,542
	Notional Amount (000)#
OPTIONS PURCHASED* — 0.1%
Call Options
2 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $109.38		196,600		153,594
2 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $110.00		196,600		15,359
10 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $127.00		4,100		21,141
10 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $131.00		4,100		641
30 Year U.S. Ultra Treasury Bonds, expiring 01/23/15, Strike Price $165.00		2,800		52,937
30 Year U.S. Ultra Treasury Bonds, expiring 01/23/15, Strike Price $171.00		800		2,375
30 Year U.S. Ultra Treasury Bonds, expiring 01/23/15, Strike Price $175.00		2,000		1,250
				247,297
Put Options — 0.1%
90 Day Euro Dollar, expiring 12/14/15, Strike Price $98.75		17,250		18,544
90 Day Euro Dollar, expiring 12/14/15, Strike Price $98.88		17,250		23,719
90 Day Euro Dollar, expiring 12/14/15, Strike Price $99.13		17,250		40,106
90 Day Euro Dollar, expiring 12/14/15, Strike Price $99.25		17,250		51,750
Eurodollars 1 Year Mid-Curve Futures, expiring 03/13/15, Strike Price $98.50		86,500		34,600
Eurodollars 1 Year Mid-Curve Futures, expiring 03/13/15, Strike Price $98.88		86,500		144,887
				313,606
TOTAL OPTIONS PURCHASED (cost $636,464)				560,903
TOTAL SHORT-TERM INVESTMENTS (cost $213,161,533)				208,412,445
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 104.4% (cost $1,077,833,165)				1,115,616,434
OPTIONS WRITTEN*
Call Options
2 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $109.63		393,200		(61,438	)
10 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $129.00		8,200		(7,687	)
30 Year U.S. Ultra Treasury Bonds, expiring 01/23/15, Strike Price $168.00		1,600		(12,750	)
30 Year U.S. Ultra Treasury Bonds, expiring 01/23/15, Strike Price $170.00		4,000		(16,875	)
				(98,750	)
Put Options
90 Day Euro Dollar, expiring 12/14/15, Strike Price $99.00		69,000		(124,200	)
Eurodollars 1 Year Mid-Curve Futures, expiring 03/13/15, Strike Price $98.63		86,500		(58,388	)
Eurodollars 1 Year Mid-Curve Futures, expiring 03/13/15, Strike Price $98.75		86,500		(95,150	)
				(277,738	)
TOTAL OPTIONS WRITTEN (premiums received $455,618)				(376,488	)
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 104.4% (cost $1,077,377,547)				1,115,239,946
LIABILITIES IN EXCESS OF OTHER ASSETS(k) — (4.4)%				(47,367,933	)
NET ASSETS — 100.0%			$	1,067,872,013

SEE NOTES TO FINANCIAL STATEMENTS.

A46

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

See the Glossary for abbreviations used in the Portfolio descriptions.

* Non-income producing security.

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

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

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

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

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

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

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

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

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

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

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

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

Futures contracts outstanding at December 31, 2014:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2014		Unrealized Appreciation (Depreciation)(1)
Long Positions:
26	2 Year U.S. Treasury Notes		Mar. 2015	$	5,684,694	$	5,683,438	$	(1,256	)
2,070	5 Year U.S. Treasury Notes		Mar. 2015		246,185,367		246,184,453		(914	)
521	10 Year U.S. Treasury Notes		Mar. 2015		65,673,951		66,061,172		387,221
184	U.S. Ultra Treasury Bonds		Mar. 2015		29,419,464		30,394,500		975,036
								$	1,360,087

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A47

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

Purchase Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date Payable		Current Value		Unrealized Appreciation (Depreciation)
Chinese Renminbi,
Expiring 01/15/15	Citigroup Global Markets	CNH	18,969	$	3,065,860	$	3,051,683	$	(14,177	)
Expiring 01/15/15	Citigroup Global Markets	CNH	9,919		1,613,000		1,595,795		(17,205	)
Expiring 01/15/15	Citigroup Global Markets	CNH	6,655		1,079,200		1,070,714		(8,486	)
Expiring 01/15/15	Hong Kong & Shanghai Bank	CNH	18,798		3,038,380		3,024,111		(14,269	)
Expiring 01/15/15	JPMorgan Chase	CNH	37,956		6,135,243		6,106,232		(29,011	)
Expiring 01/15/15	UBS AG	CNH	22,618		3,655,659		3,638,726		(16,933	)
Euro,
Expiring 01/28/15	Bank of America	EUR	13,427		17,041,210		16,251,735		(789,475	)
Indian Rupee,
Expiring 01/28/15	Barclays Capital Group	INR	197,575		3,177,629		3,110,951		(66,678	)
Malaysian Ringgit,
Expiring 01/09/15	Citigroup Global Markets	MYR	2,131		645,312		608,925		(36,387	)
Expiring 01/09/15	Goldman Sachs & Co.	MYR	3,196		967,911		913,388		(54,523	)
Mexican Peso,
Expiring 01/22/15	Citigroup Global Markets	MXN	3,113		213,900		210,696		(3,204	)
Expiring 01/22/15	JPMorgan Chase	MXN	674		49,308		45,642		(3,666	)
Expiring 01/22/15	JPMorgan Chase	MXN	4,611		320,500		312,109		(8,391	)
Expiring 01/22/15	Toronto Dominion	MXN	51,542		3,787,117		3,488,694		(298,423	)
New Zealand Dollar,
Expiring 01/16/15	Barclays Capital Group	NZD	2,790		2,211,024		2,172,552		(38,472	)
Norwegian Krone,
Expiring 01/26/15	JPMorgan Chase	NOK	210		31,625		28,126		(3,499	)
Philippine Peso,
Expiring 02/12/15	Barclays Capital Group	PHP	95,137		2,114,164		2,122,100		7,936
Polish Zloty,
Expiring 01/26/15	Deutsche Bank AG	PLN	2,072		608,134		584,447		(23,687	)
Russian Ruble,
Expiring 02/09/15	Credit Suisse First Boston Corp.	RUB	34,831		622,309		559,755		(62,554	)
Singapore Dollar,
Expiring 01/23/15	Deutsche Bank AG	SGD	1,372		1,079,199		1,034,902		(44,297	)
Expiring 01/23/15	Goldman Sachs & Co.	SGD	1,369		1,078,400		1,032,918		(45,482	)
Expiring 01/23/15	Toronto Dominion	SGD	2,790		2,185,490		2,105,171		(80,319	)
South African Rand,
Expiring 01/23/15	Deutsche Bank AG	ZAR	1,070		94,622		92,152		(2,470	)
Turkish Lira,
Expiring 01/20/15	Barclays Capital Group	TRY	2,424		1,070,800		1,033,264		(37,536	)
Expiring 01/20/15	Citigroup Global Markets	TRY	8,106		3,583,544		3,455,266		(128,278	)
Expiring 01/20/15	JPMorgan Chase	TRY	3,460		1,508,159		1,474,845		(33,314	)
				$	76,911,317	$	74,480,257	$	(2,431,060	)

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

SEE NOTES TO FINANCIAL STATEMENTS.

A48

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

Sale Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date Receivable		Current Value		Unrealized Appreciation (Depreciation)
Canadian Dollar,
Expiring 01/16/15	Goldman Sachs & Co.	CAD	1,102	$	963,700	$	948,011	$	15,689
Expiring 01/16/15	JPMorgan Chase	CAD	1,220		1,071,800		1,049,730		22,070
Expiring 01/16/15	JPMorgan Chase	CAD	1,226		1,068,300		1,054,804		13,496
Expiring 01/16/15	UBS AG	CAD	3,066		2,697,400		2,637,760		59,640
Chilean Peso,
Expiring 01/15/15	Citigroup Global Markets	CLP	902,980		1,498,100		1,485,169		12,931
Expiring 01/15/15	Citigroup Global Markets	CLP	955,396		1,605,600		1,571,380		34,220
Chinese Renminbi,
Expiring 01/15/15	Barclays Capital Group	CNH	3,513		567,797		565,204		2,593
Expiring 01/15/15	Citigroup Global Markets	CNH	16,559		2,678,400		2,663,908		14,492
Expiring 01/15/15	Deutsche Bank AG	CNH	6,698		1,082,598		1,077,566		5,032
Expiring 01/15/15	Deutsche Bank AG	CNH	15,906		2,563,900		2,558,969		4,931
Expiring 01/15/15	Deutsche Bank AG	CNH	72,232		11,672,500		11,620,581		51,919
Hungarian Forint,
Expiring 01/22/15	JPMorgan Chase	HUF	219,665		913,338		839,137		74,201
Indian Rupee,
Expiring 01/28/15	UBS AG	INR	100,273		1,606,300		1,578,866		27,434
Expiring 01/28/15	UBS AG	INR	100,388		1,607,100		1,580,665		26,435
Japanese Yen,
Expiring 01/28/15	Toronto Dominion	JPY	162,438		1,503,292		1,356,471		146,821
Malaysian Ringgit,
Expiring 01/09/15	UBS AG	MYR	5,402		1,606,200		1,543,953		62,247
Mexican Peso,
Expiring 01/22/15	Citigroup Global Markets	MXN	13,704		968,100		927,565		40,535
Expiring 01/22/15	Deutsche Bank AG	MXN	14,947		1,076,100		1,011,725		64,375
Expiring 01/22/15	Deutsche Bank AG	MXN	39,457		2,891,200		2,670,697		220,503
New Zealand Dollar,
Expiring 01/16/15	Deutsche Bank AG	NZD	1,398		1,070,100		1,088,702		(18,602	)
Expiring 01/16/15	UBS AG	NZD	1,397		1,071,800		1,087,626		(15,826	)
Philippine Peso,
Expiring 02/12/15	UBS AG	PHP	96,057		2,142,700		2,142,617		83
Polish Zloty,
Expiring 01/26/15	Barclays Capital Group	PLN	4,386		1,310,665		1,237,187		73,478
Singapore Dollar,
Expiring 01/23/15	Deutsche Bank AG	SGD	1,383		1,070,800		1,043,260		27,540
Expiring 01/23/15	Goldman Sachs & Co.	SGD	4,152		3,215,400		3,132,357		83,043
South African Rand,
Expiring 01/23/15	Citigroup Global Markets	ZAR	3,953		354,792		340,415		14,377
Turkish Lira,
Expiring 01/20/15	Credit Suisse First Boston Corp.	TRY	55,105		24,125,975		23,488,804		637,171
Expiring 01/23/15	JPMorgan Chase	TRY	4,127		1,819,201		1,757,957		61,244
				$	90,240,058	$	88,032,675	$	2,207,383
								$	(223,677	)

Interest rate swap agreements outstanding at December 31, 2014:

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

SEE NOTES TO FINANCIAL STATEMENTS.

A49

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
	Over-the-counter swap agreements (cont’d):
BRL	37,393		01/02/17		10.580%	1 Day Brazil Interbank Rate(2)	$	(579,307	)	$	—	$	(579,307	)	Hong Kong & Shanghai Bank
BRL	18,086		01/01/18		11.770%	1 Day Brazil Interbank Rate(2)		(152,761	)		—		(152,761	)	Deutsche Bank AG
BRL	7,343		01/01/21		12.640%	1 Day Brazil Interbank Rate(2)		156,747			—		156,747		Deutsche Bank AG
BRL	7,360		01/01/21		11.300%	1 Day Brazil Interbank Rate(2)		(115,793	)		—		(115,793	)	Barclays Bank PLC
MXN	76,000		06/20/18		6.020%	28 Day Mexican Interbank Rate(2)		200,106			—		200,106		Credit Suisse First Boston Corp.
MXN	73,100		11/09/18		5.410%	28 Day Mexican Interbank Rate(2)		77,488			—		77,488		Deutsche Bank AG
MXN	20,100		04/28/23		5.100%	28 Day Mexican Interbank Rate(2)		(79,609	)		—		(79,609	)	Barclays Capital Group
	RUB 65,000		05/20/23		7.250%	3 Month MOSPRIME(2)		(269,140	)		—		(269,140	)	Credit Suisse First Boston Corp.
	25,690		11/15/19		1.334%	3 Month LIBOR(1)		458,998			—		458,998		Citigroup Global Markets
ZAR	10,000		09/03/33		8.970%	3 Month JIBAR(2)		48,632			—		48,632		Hong Kong & Shanghai Bank
							$	(725,431	)	$	—	$	(725,431	)

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at December 31, 2014			Unrealized Appreciation (Depreciation)
	Exchange-traded swap agreements:
AUD	2,300		03/07/29		4.743%	6 Month BBSW(2)	$	(23,575	)	$	289,388		$	312,963
EUR	8,050		08/04/16		0.078%	1 Day EUROIS(1)		2,317			(28,404	)		(30,721	)
EUR	6,100		08/01/19		0.346%	1 Day EUROIS(1)		8,259			(125,330	)		(133,589	)
EUR	8,050		08/04/24		1.054%	1 Day EUROIS(1)		(38,513	)		(605,467	)		(566,954	)
GBP	1,490		11/03/24		1.960%	6 Month GBP LIBOR(1)		868			(112,780	)		(113,648	)
MXN	65,000		12/02/15		5.080%	28 Day Mexican Interbank Rate(2)		(8,519	)		57,201			65,720
MXN	70,000		04/18/19		5.480%	28 Day Mexican Interbank Rate(2)		(15,163	)		56,968			72,131
MXN	48,200		05/25/22		6.370%	28 Day Mexican Interbank Rate(2)		(20,475	)		112,161			132,636
MXN	38,000		08/13/24		6.120%	28 Day Mexican Interbank Rate(2)		(3,150	)		11,478			14,628
MXN	13,900		07/27/34		6.720%	28 Day Mexican Interbank Rate(2)		1,499			(18,998	)		(20,497	)
	27,365		06/30/16		0.618%	3 Month LIBOR(1)		218			13,691			13,473
	124,560		06/30/16		0.655%	3 Month LIBOR(1)		(15,650	)		(6,520	)		9,130
	34,630		06/30/16		0.655%	3 Month LIBOR(1)		236			(1,880	)		(2,116	)
	15,400		08/27/16		0.698%	3 Month LIBOR(1)		188			8,081			7,893
	5,000		09/30/16		0.711%	6 Month LIBOR(1)		162			5,152			4,990
	32,800		09/30/16		0.759%	3 Month LIBOR(1)		232			6,713			6,481
	10,050		09/30/16		0.877%	3 Month LIBOR(1)		175			(18,082	)		(18,257	)
	13,200		11/10/16		0.739%	6 Month LIBOR(1)		183			20,844			20,661
	6,815		12/24/17		1.384%	3 Month LIBOR(1)		995			(19,638	)		(20,633	)
	5,150		02/28/19		1.625%	6 Month LIBOR(1)		173			(3,004	)		(3,177	)
	19,300		02/28/19		1.806%	3 Month LIBOR(1)		42,047			(152,617	)		(194,664	)
	7,450		11/06/19		1.753%	6 Month LIBOR(1)		184			(1,418	)		(1,602	)
	9,010		12/02/19		1.639%	6 Month LIBOR(1)		191			52,291			52,100
	16,250		07/31/21		2.290%	3 Month LIBOR(1)		247			(299,837	)		(300,084	)
ZAR	20,000		10/22/23		7.625%	3 Month JIBAR(2)		318			(21,875	)		(22,193	)
ZAR	38,300		11/14/23		8.190%	3 Month JIBAR(2)		(17,452	)		76,961			94,413
							$	(84,005	)	$	(704,921	)	$	(620,916	)

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A50

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

Credit default swap agreements outstanding at December 31, 2014:

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(4)		Implied Credit Spread at December 31, 2014(5)			Fair Value			Upfront Premiums Paid (Received)		Unrealized Depreciation			Counterparty
Over-the-counter credit default swaps on corporate issues—Buy Protection(1):
American International Group, Inc.		03/20/18		3.700%		3,700		0.289	%	$	(408,094	)	$	—	$	(408,094	)	Deutsche Bank AG
R.R. Donnelley & Sons Co.		09/20/16		1.000%		4,750		0.658	%		(36,179	)		229,661		(265,840	)	JPMorgan Chase
Toll Brothers Financial Corp.		03/20/15		1.000%		4,695		0.578	%		(9,906	)		8,900		(18,806	)	Credit Suisse First Boston Corp.
Westvaco Corp.		09/20/19		1.000%		4,400		0.190	%		(70,278	)		49,517		(119,795	)	JPMorgan Chase
										$	(524,457	)	$	288,078	$	(812,535	)

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(4)		Fair Value(3)		Upfront Premiums Paid (Received)		Unrealized Appreciation		Counterparty
Over-the-counter credit default swaps on credit indices—Sell Protection(2):
CDX.NA.HY.17.V5		12/20/16		5.000%		6,650	$	343,569	$	278,931	$	64,638	Credit Suisse First Boston Corp.
CDX.NA.HY.17.V5		12/20/16		5.000%		12,825		662,597		586,032		76,565	Deutsche Bank AG
CDX.NA.HY.17.V5		12/20/16		5.000%		18,525		957,084		800,177		156,907	Deutsche Bank AG
CDX.NA.HY.17.V5		12/20/16		5.000%		11,875		613,515		520,355		93,160	Deutsche Bank AG
							$	2,576,765	$	2,185,495	$	391,270

Reference Entity/ Obligation	Termination Date		Fixed Rate			Notional Amount (000)#(4)		Value at Trade Date			Value at December 31, 2014(3)			Unrealized Appreciation (Depreciation)
Exchange-Traded credit default swaps on credit indices—Buy Protection(1):
CDX.NA.IG.22.V1		06/20/19		1.000	%		140,000	$	(2,140,293	)	$	(2,525,295	)	$	(385,002	)
ITRAXX.XO.22.V1		12/20/19		5.000	%		EUR 10,700		(984,857	)		(866,607	)		118,250
								$	(3,125,150	)	$	(3,391,902	)	$	(266,752	)

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

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

(1) 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 the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A51

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

Currency swap agreements outstanding at December 31, 2014:

Notional Amount (000)#		Fund Receives		Notional Amount (000)#			Fund Pays	Counterparty	Termination Date	Fair Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
	Over-the-counter swap agreements:
	22,206		3 Month LIBOR		EUR	16,740	3 Month EURIBOR minus 26.25 bps	Barclays Capital Group	01/25/15	$	1,966,201		$	—		$	1,966,201
	502		3 Month LIBOR		JPY	50,000	3 Month JPY LIBOR minus 54.00 bps	Barclays Capital Group	10/12/16		86,286			—			86,286
	18,547		3 Month LIBOR		EUR	13,940	3 Month EURIBOR minus 26.00 bps	Citigroup Global Markets	01/25/15		1,693,003			—			1,693,003
	956		3 Month LIBOR		JPY	93,235	3 Month JPY LIBOR minus 32.75 bps	Citigroup Global Markets	05/02/15		179,168			—			179,168
	384		3 Month LIBOR plus 333 bps		JPY	30,000	4.500%	Citigroup Global Markets	06/08/15		128,713			(15,095	)		143,808
	1,284		3 Month LIBOR plus 313 bps		JPY	100,000	4.500%	Citigroup Global Markets	06/08/15		431,867			(56,202	)		488,069
	1,541		3 Month LIBOR plus 432 bps		JPY	120,000	3.450%	Citigroup Global Markets	03/24/17		582,302			7,475			574,827
	5,882		3 Month LIBOR		JPY	600,000	3 Month JPY LIBOR minus 31.25 bps	Deutsche Bank AG	05/14/17		871,363			—			871,363
	1,040		3 Month LIBOR		EUR	780	3 Month EURIBOR minus 25.75 bps	Hong Kong & Shanghai Bank	01/17/15		96,229			—			96,229
	8,984		3 Month LIBOR		EUR	6,770	3 Month EURIBOR minus 26.00 bps	Hong Kong & Shanghai Bank	01/25/15		798,504			—			798,504
TRY	20,000		8.68%			9,749	3 Month LIBOR	Hong Kong & Shanghai Bank	09/05/15		(940,132	)		—			(940,132	)
TRY	23,640		8.69%			11,376	3 Month LIBOR	Hong Kong & Shanghai Bank	09/09/15		(971,920	)		—			(971,920	)
	1,157		3 Month LIBOR		EUR	900	3 Month EURIBOR minus 31.75 bps	Hong Kong & Shanghai Bank	09/28/17		73,805			—			73,805
JPY	265,000		3 Month JPY LIBOR minus 43.35 bps		USD	2,250	3 Month LIBOR	JPMorgan Chase	11/26/16		(40,980	)		—			(40,980	)
JPY	1,060,000		3 Month JPY LIBOR minus 42.10 bps		USD	8,979	3 Month LIBOR	JPMorgan Chase	11/28/16		(142,535	)		—			(142,535	)
	2,250		3 Month LIBOR		JPY	265,000	3 Month JPY LIBOR minus 69.88 bps	JPMorgan Chase	11/26/24		44,578			—			44,578
	8,979		3 Month LIBOR		JPY	1,060,000	3 Month JPY LIBOR minus 67.32 bps	JPMorgan Chase	11/28/24		134,808			—			134,808
										$	4,991,260		$	(63,822	)	$	5,055,082

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A52

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

	Level 1			Level 2			Level 3
Investments in Securities
Asset-Backed Securities
Collateralized Loan Obligations	$	—		$	48,131,538		$	—
Non-Residential Mortgage-Backed Securities		—			3,787,113			—
Residential Mortgage-Backed Securities		—			60,762,411			—
Bank Loans		—			34,245,128			4,745,724
Commercial Mortgage-Backed Securities		—			107,166,762			—
Corporate Bonds		—			476,266,233			6,610,851
Foreign Agencies		—			24,800,449			—
Municipal Bonds		—			21,143,099			—
Sovereigns		—			54,137,068			—
U.S. Government Agency Obligations		—			18,948,890			—
U.S. Treasury Obligations		—			45,262,623			—
Preferred Stock		1,196,100			—			—
Affiliated Mutual Funds		207,851,542			—			—
Options Purchased		560,903			—			—
Options Written		(376,488	)		—			—
Other Financial Instruments*
Futures Contracts		1,360,087			—			—
Forward Foreign Currency Exchange Contracts		—			(223,677	)		—
Over-the-counter interest rate swaps		—			(725,431	)		—
Exchange-traded interest rate swaps		—			(620,916	)		—
Over-the-counter credit default swaps		—			2,052,308			—
Exchange-traded credit default swaps		—			(266,752	)		—
Currency Swap Agreements		—			4,991,260			—
Total	$	210,592,144		$	899,858,106		$	11,356,575

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

	Collateralized Loan Obligations			Bank Loans			Corporate Bonds			Credit Default Swaps
Balance as of 12/31/13	$	2,490,000		$	3,303,636		$	7,438,596		$	(5,934	)
Realized gain (loss)		—			5,249			—			—	**
Change in unrealized appreciation (depreciation)***		—			(283,791	)		180,205			5,934
Purchases		—			1,695,750			—			—
Sales		—			(13,749	)		(1,007,163	)		—
Accrued discount/premium		—			38,629			(787	)		—
Transfer into Level 3		—			—			—			—
Transfer out of Level 3		(2,490,000	)		—			—			—
Balance as of 12/31/14	$	—		$	4,745,724		$	6,610,851		$	—

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

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

*** Of which, $(103,586) was relating to securities held at the reporting period end.

It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. At the reporting period end, 1 Collateralized Loan Obligation transferred out of Level 3 as a result of being valued by an independent pricing source.

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

SEE NOTES TO FINANCIAL STATEMENTS.

A53

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

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

Metals	1.0	%
Building Materials & Construction	0.9
Energy – Integrated	0.7
Pipelines & Other	0.7
Airlines	0.6
Retailers	0.5
Tobacco	0.5
Paper	0.5
Packaging	0.4
Gaming	0.4
Lodging	0.4
Non-Residential Mortgage-Backed Securities	0.3
Aerospace & Defense	0.3
Real Estate Investment Trusts	0.2
Financials	0.2
Consumer	0.2
Brokerage	0.2
Options Purchased	0.1
Options Written	—	**
	104.4
Liabilities in excess of other assets	(4.4	)
	100.0	%

** Less than 0.05%

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

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

Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Credit contracts	Due from/to broker — variation margin swaps	$	118,250	*	Due from/to broker — variation margin swaps	$	385,002	*
Credit contracts	Premiums paid for swap agreements		2,473,573		—		—
Credit contracts	Unrealized appreciation on swap agreements		391,270		Unrealized depreciation on swap agreements		812,535
Foreign exchange contracts	Unrealized appreciation on forward currency contracts		2,258,375		Unrealized depreciation on forward currency contracts		2,482,052
Interest rate contracts	Due from/to broker — variation margin futures		1,362,257	*	Due from/to broker — variation margin futures		2,170	*
Interest rate contracts	Due from/to broker — variation margin swaps		807,219	*	Due from/to broker — variation margin swaps		1,428,135	*
Interest rate contracts	Premiums paid for swap agreements		7,475		Premiums received for swap agreements		71,297
Interest rate contracts	Unaffiliated investments		560,903		Options written outstanding, at value		376,488
Interest rate contracts	Unrealized appreciation on swap agreements		8,374,305		Unrealized depreciation on swap agreements		4,044,654
Total		$	16,353,627			$	9,602,333

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

SEE NOTES TO FINANCIAL STATEMENTS.

A54

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair  value	Options Purchased*		Options Written		Futures		Forward Currency Contracts**			Swaps			Total
Credit contracts	$	—	$	—	$	—	$	—		$	(3,820,533	)	$	(3,820,533	)
Foreign exchange contracts		—		—		—		(4,275,385	)		—			(4,275,385	)
Interest rate contracts		227,647		1,330,804		11,798,002		—			7,569,203			20,925,656
Total	$	227,647	$	1,330,804	$	11,798,002	$	(4,275,385	)	$	3,748,670		$	12,829,738

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

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

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Options Purchased*			Options Written		Futures		Forward and Cross Currency Contracts**			Swaps		Total
Credit contracts	$	—		$	—	$	—	$	—		$	1,054,334	$	1,054,334
Foreign exchange contracts		—			—		—		(1,264,115	)		—		(1,264,115	)
Interest rate contracts		(75,561	)		79,130		7,035,847		—			4,828,759		11,868,175
Total	$	(75,561	)	$	79,130	$	7,035,847	$	(1,264,115	)	$	5,883,093	$	11,658,394

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

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

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

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

Forward Currency Contracts—Sold (Value at Settlement Date  Receivable)	Cross Currency Exchange Contracts (Notional Amount in USD  (000))	Interest Rate Swaps (Notional Amount in USD  (000))	Credit Default Swaps as Buyer (Notional Amount in USD  (000))	Credit Default Swaps as Writer (Notional Amount in USD  (000))
$150,491,222	$5,564	$402,655	$231,179	$50,085

Currency Swaps
(Notional Amount in USD  (000))

$95,016

SEE NOTES TO FINANCIAL STATEMENTS.

A55

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

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

Counterparty	Gross amounts of recognized assets(1)		Gross amounts available for offset			Collateral Received(3)			Net Amount
Bank of America	$	67,966	$	(67,966	)	$	—		$	—
Barclays Capital Group		2,260,585		(782,195	)		(1,314,051	)		164,339
BNP Paribas		—		—			—			—
Citigroup Global Markets		3,961,621		(886,356	)		(2,854,000	)		221,265
Credit Suisse First Boston Corp.		1,189,746		(350,500	)		(612,529	)		226,717
Deutsche Bank AG		3,713,094		(649,911	)		(3,476,748	)		—
Goldman Sachs & Co.		98,732		(98,732	)		—			—
Hong Kong & Shanghai Bank		1,017,170		(1,017,170	)		—			—
JPMorgan Chase		873,424		(767,895	)		—			105,529
Toronto Dominion		146,821		(146,821	)		—			—
UBS AG		175,839		(127,625	)		—			48,214
	$	13,504,998

Counterparty	Gross amounts of recognized liabilities(2)			Gross amounts available for offset		Collateral Pledged(3)		Net Amount
Bank of America	$	(789,475	)	$	67,966	$	652,308	$	(69,201	)
Barclays Capital Group		(782,195	)		782,195		—		—
BNP Paribas		(72,206	)		—		308,537		—
Citigroup Global Markets		(886,356	)		886,356		—		—
Credit Suisse First Boston Corp.		(350,500	)		350,500		—		—
Deutsche Bank AG		(649,911	)		649,911		—		—
Goldman Sachs & Co.		(100,005	)		98,732		—		(1,273	)
Hong Kong & Shanghai Bank		(2,505,628	)		1,017,170		1,734,381		—
JPMorgan Chase		(767,895	)		767,895		—		—
Toronto Dominion		(378,742	)		146,821		—		(231,921	)
UBS AG		(127,625	)		127,625		—		—
	$	(7,410,538	)

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A56

DIVERSIFIED BOND PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014

ASSETS
Investments at value, including securities on loan of $65,304,385:
Unaffiliated investments (cost $865,308,096)	$	907,764,892
Affiliated investments (cost $212,525,069)		207,851,542
Cash		375,987
Foreign currency, at value (cost $3,237,737)		3,237,206
Dividends and interest receivable		9,737,023
Unrealized appreciation on over-the-counter swap agreements		8,765,575
Premium paid for swap agreements		2,481,048
Unrealized appreciation on forward foreign currency exchange contracts		2,258,375
Receivable for Series shares sold		505,324
Due from broker-variation margin futures		495,062
Receivable for investments sold		45,842
Tax reclaim receivable		2,300
Prepaid expenses		8,448
Total Assets		1,143,528,624
LIABILITIES
Payable to broker for collateral for securities on loan		66,800,717
Unrealized depreciation on over-the-counter swap agreements		4,857,189
Unrealized depreciation on forward foreign currency exchange contracts		2,482,052
Options written outstanding, at value (premiums received $455,618)		376,488
Management fee payable		362,628
Payable for investments purchased		330,175
Accrued expenses		182,130
Payable for Series shares repurchased		161,884
Premium received for swap agreements		71,297
Due to broker-variation margin swaps		28,692
Deferred trustees’ fees		2,433
Affiliated transfer agent fee payable		926
Total Liabilities		75,656,611
NET ASSETS	$	1,067,872,013
Net assets were comprised of:
Paid-in capital	$	967,430,105
Retained earnings		100,441,908
Net assets, December 31, 2014	$	1,067,872,013
Net asset value and redemption price per share $1,067,872,013 / 91,577,056 outstanding shares of beneficial interest	$	11.66

STATEMENT OF OPERATIONS

Year Ended December 31, 2014

NET INVESTMENT INCOME
INCOME
Interest income (net of foreign withholding taxes of $23,111)	$	43,932,870
Affiliated dividend income		1,311,372
Affiliated income from securities loaned, net		87,801
Unaffiliated dividend income		86,067
Total income		45,418,110
EXPENSES
Management fee		4,356,571
Custodian’s fees and expenses		221,000
Shareholders’ reports		104,000
Audit fee		50,000
Insurance expenses		17,000
Trustees’ fees		15,000
Commitment fee on syndicated credit agreement		15,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		12,000
Legal fees and expenses		12,000
Loan interest expense		4,216
Miscellaneous		14,611
Total expenses		4,821,398
NET INVESTMENT INCOME		40,596,712
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		7,354,116
Futures transactions		11,798,002
Options written transactions		1,330,804
Swap agreement transactions		3,748,670
Foreign currency transactions		(4,861,173	)
		19,370,419
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $1,442,452)		4,381,251
Futures		7,035,847
Options written		79,130
Swap agreements		5,883,093
Foreign currencies		(1,345,527	)
		16,033,794
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		35,404,213
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	76,000,925

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income	$	40,596,712		$	51,213,022
Net realized gain (loss) on investment and foreign currency transactions		19,370,419			(9,582,132	)
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		16,033,794			(51,666,169	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		76,000,925			(10,035,279	)
DISTRIBUTIONS		(11,827,554	)		(84,677,590	)
SERIES SHARE TRANSACTIONS
Series shares sold [2,077,773 and 2,523,548 shares, respectively]		23,745,718			29,114,479
Series shares issued in reinvestment of distributions [1,060,767 and 7,523,922 shares, respectively]		11,827,554			84,677,590
Series shares repurchased [20,335,487 and 11,154,465 shares, respectively]		(229,380,709	)		(127,474,174	)
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(193,807,437	)		(13,682,105	)
TOTAL DECREASE		(129,634,066	)		(108,394,974	)
NET ASSETS:
Beginning of year		1,197,506,079			1,305,901,053
End of year	$	1,067,872,013		$	1,197,506,079

SEE NOTES TO FINANCIAL STATEMENTS.

A57

	EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2014

LONG-TERM INVESTMENTS — 97.4%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 1.7%
Boeing Co. (The)		526,863	$	68,481,653
Airlines — 1.6%
United Continental Holdings, Inc.*		962,224		64,363,163
Auto Components — 1.2%
Lear Corp.		507,344		49,760,300
Automobiles — 1.6%
General Motors Co.		923,660		32,244,971
Tesla Motors, Inc.*(a)		151,223		33,633,507
				65,878,478
Banks — 6.3%
Bank of America Corp.		2,415,132		43,206,712
Citigroup, Inc.		975,066		52,760,821
JPMorgan Chase & Co.		869,336		54,403,047
PNC Financial Services Group, Inc. (The)		451,475		41,188,064
Wells Fargo & Co.		1,093,957		59,970,723
				251,529,367
Biotechnology — 6.1%
Alexion Pharmaceuticals, Inc.*		204,893		37,911,352
Biogen Idec, Inc.*		193,219		65,588,190
Celgene Corp.*		918,312		102,722,380
Gilead Sciences, Inc.*		393,529		37,094,043
				243,315,965
Capital Markets — 3.0%
Goldman Sachs Group, Inc. (The)		207,328		40,186,386
Morgan Stanley		2,114,441		82,040,311
				122,226,697
Chemicals — 1.2%
FMC Corp.		532,322		30,358,323
Monsanto Co.		134,042		16,013,998
				46,372,321
Communications Equipment — 0.8%
Brocade Communications Systems, Inc.		2,772,634		32,827,987
Consumer Finance — 1.9%
Capital One Financial Corp.		464,458		38,341,008
SLM Corp.		3,725,236		37,960,155
				76,301,163
Diversified Financial Services — 0.7%
Voya Financial, Inc.		622,810		26,394,688
Diversified Telecommunication Services — 0.6%
CenturyLink, Inc.		580,271		22,967,126
Electric Utilities — 1.2%
FirstEnergy Corp.		1,224,023		47,724,657
Electrical Equipment — 1.0%
Eaton Corp. PLC		578,802		39,335,384
Electronic Equipment, Instruments & Components — 0.8%
Flextronics International Ltd.*		2,704,678		30,238,300
Energy Equipment & Services — 1.5%
Halliburton Co.		717,100		28,203,543

COMMON STOCKS (continued)	Shares		Value (Note 2)
Energy Equipment & Services (continued)
Schlumberger Ltd.		351,539	$	30,024,946
				58,228,489
Food & Staples Retailing — 1.2%
Costco Wholesale Corp.		342,759		48,586,088
Food Products — 3.0%
Bunge Ltd.		425,616		38,692,750
Mondelez International, Inc. (Class A Stock)		2,238,738		81,322,158
				120,014,908
Hotels, Restaurants & Leisure — 3.4%
Carnival Corp.		1,075,377		48,746,840
Marriott International, Inc. (Class A Stock)		540,209		42,152,508
Starbucks Corp.		543,281		44,576,206
				135,475,554
Independent Power & Renewable Electricity Producers — 0.7%
NRG Energy, Inc.		1,056,845		28,481,973
Industrial Conglomerates — 0.8%
Siemens AG (Germany), ADR(a)		303,416		33,982,592
Insurance — 1.7%
MetLife, Inc.		855,760		46,288,058
Travelers Cos., Inc. (The)		223,666		23,675,046
				69,963,104
Internet & Catalog Retail — 4.1%
Amazon.com, Inc.*		184,080		57,129,228
Netflix, Inc.*		107,201		36,620,934
Priceline Group, Inc. (The)*		43,052		49,088,321
TripAdvisor, Inc.*		303,125		22,631,312
				165,469,795
Internet Software & Services — 7.7%
Alibaba Group Holding Ltd. (China), ADR*(a)		618,967		64,335,430
Facebook, Inc. (Class A Stock)*		1,424,115		111,109,452
Google, Inc. (Class A Stock)*		58,977		31,296,735
Google, Inc. (Class C Stock)*		59,398		31,267,107
LendingClub Corp.*(a)		43,935		1,111,556
LinkedIn Corp. (Class A Stock)*(a)		190,737		43,814,196
Twitter, Inc*		730,787		26,213,330
				309,147,806
IT Services — 2.9%
FleetCor Technologies, Inc.*		267,564		39,789,442
MasterCard, Inc. (Class A Stock)		879,235		75,754,888
				115,544,330
Life Sciences Tools & Services — 0.9%
Illumina, Inc.*		206,378		38,093,251
Machinery — 1.0%
SPX Corp.		478,749		41,134,114
Media — 3.0%
Comcast Corp. (Class A Stock)		852,659		49,462,749
Walt Disney Co. (The)		756,470		71,251,909
				120,714,658

SEE NOTES TO FINANCIAL STATEMENTS.

A58

	EQUITY PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Multiline Retail — 1.2%
Target Corp.		628,113	$	47,680,058
Oil, Gas & Consumable Fuels — 5.9%
Chevron Corp.		357,838		40,142,267
Concho Resources, Inc.*		269,601		26,892,700
Marathon Oil Corp.		1,177,401		33,308,674
Marathon Petroleum Corp.		334,175		30,162,636
Noble Energy, Inc.		666,719		31,622,482
Occidental Petroleum Corp.		410,422		33,084,117
Suncor Energy, Inc. (Canada)		1,262,075		40,084,840
				235,297,716
Personal Products — 0.5%
Avon Products, Inc.		2,311,950		21,709,211
Pharmaceuticals — 6.8%
Actavis PLC*		379,024		97,564,568
Bayer AG (Germany), ADR		310,713		42,517,967
Bristol-Myers Squibb Co.		871,686		51,455,625
Shire PLC (Ireland), ADR		140,369		29,834,027
Teva Pharmaceutical Industries Ltd. (Israel), ADR		873,714		50,247,292
				271,619,479
Road & Rail — 2.0%
Canadian Pacific Railway Ltd. (Canada)		277,016		53,378,213
Hertz Global Holdings, Inc.*		1,134,552		28,295,727
				81,673,940
Semiconductors & Semiconductor Equipment — 2.3%
Applied Materials, Inc.		3,737,875		93,147,845
Software — 5.6%
Adobe Systems, Inc.*		525,404		38,196,871
Microsoft Corp.		1,027,543		47,729,372
Red Hat, Inc.*		507,601		35,095,533
salesforce.com, Inc.*		860,932		51,061,877
Splunk, Inc.*(a)		471,387		27,788,264
Workday, Inc. (Class A Stock)*(a)		286,207		23,357,353
				223,229,270
Specialty Retail — 1.8%
Inditex SA (Spain), ADR		2,909,759		41,318,578
Tiffany & Co.		306,838		32,788,708
				74,107,286
Technology Hardware, Storage & Peripherals — 6.3%
Apple, Inc.		1,223,254		135,022,777
EMC Corp.		1,423,673		42,340,035
Hewlett-Packard Co.		1,334,678		53,560,628
NCR Corp.*		791,732		23,071,070
				253,994,510
Textiles, Apparel & Luxury Goods — 2.5%
Burberry Group PLC (United Kingdom)		1,110,620		28,178,403
NIKE, Inc. (Class B Stock)		757,417		72,825,644
				101,004,047

COMMON STOCKS (continued)	Shares		Value (Note 2)
Wireless Telecommunication Services — 0.9%
SBA Communications Corp. (Class A Stock)*		337,009	$	37,327,117
TOTAL LONG-TERM INVESTMENTS (cost $2,720,111,496)				3,913,344,390
SHORT-TERM INVESTMENT — 6.5%
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund(cost $262,415,177; includes $166,375,351 of cash collateral for securities on loan) (Note 4)(b)(c)		262,415,177		262,415,177
TOTAL INVESTMENTS — 103.9% (cost $2,982,526,673)				4,175,759,567
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.9)%				(155,961,644	)
NET ASSETS — 100.0%			$	4,019,797,923

See the Glossary for abbreviations used in the Portfolio descriptions.

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $160,971,207; cash collateral of $166,375,351 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

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

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A59

	EQUITY PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	68,481,653	$	—	$	—
Airlines		64,363,163		—		—
Auto Components		49,760,300		—		—
Automobiles		65,878,478		—		—
Banks		251,529,367		—		—
Biotechnology		243,315,965		—		—
Capital Markets		122,226,697		—		—
Chemicals		46,372,321		—		—
Communications Equipment		32,827,987		—		—
Consumer Finance		76,301,163		—		—
Diversified Financial Services		26,394,688		—		—
Diversified Telecommunication Services		22,967,126		—		—
Electric Utilities		47,724,657		—		—
Electrical Equipment		39,335,384		—		—
Electronic Equipment, Instruments & Components		30,238,300		—		—
Energy Equipment & Services		58,228,489		—		—
Food & Staples Retailing		48,586,088		—		—
Food Products		120,014,908		—		—
Hotels, Restaurants & Leisure		135,475,554		—		—
Independent Power & Renewable Electricity Producers		28,481,973		—		—
Industrial Conglomerates		33,982,592		—		—
Insurance		69,963,104		—		—
Internet & Catalog Retail		165,469,795		—		—
Internet Software & Services		309,147,806		—		—
IT Services		115,544,330		—		—
Life Sciences Tools & Services		38,093,251		—		—
Machinery		41,134,114		—		—
Media		120,714,658		—		—
Multiline Retail		47,680,058		—		—
Oil, Gas & Consumable Fuels		235,297,716		—		—
Personal Products		21,709,211		—		—
Pharmaceuticals		271,619,479		—		—
Road & Rail		81,673,940		—		—
Semiconductors & Semiconductor Equipment		93,147,845		—		—
Software		223,229,270		—		—
Specialty Retail		74,107,286		—		—
Technology Hardware, Storage & Peripherals		253,994,510		—		—
Textiles, Apparel & Luxury Goods		72,825,644		28,178,403		—
Wireless Telecommunication Services		37,327,117		—		—
Affiliated Money Market Mutual Fund		262,415,177		—		—
Total	$	4,147,581,164	$	28,178,403	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A60

	EQUITY PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

Internet Software & Services	7.7	%
Pharmaceuticals	6.8
Affiliated Money Market Mutual Fund (including 4.1% of collateral for securities on loan)	6.5
Technology Hardware, Storage & Peripherals	6.3
Banks	6.3
Biotechnology	6.1
Oil, Gas & Consumable Fuels	5.9
Software	5.6
Internet & Catalog Retail	4.1
Hotels, Restaurants & Leisure	3.4
Capital Markets	3.0
Media	3.0
Food Products	3.0
IT Services	2.9
Textiles, Apparel & Luxury Goods	2.5
Semiconductors & Semiconductor Equipment	2.3
Road & Rail	2.0
Consumer Finance	1.9
Specialty Retail	1.8
Insurance	1.7
Aerospace & Defense	1.7

Automobiles	1.6	%
Airlines	1.6
Energy Equipment & Services	1.5
Auto Components	1.2
Food & Staples Retailing	1.2
Electric Utilities	1.2
Multiline Retail	1.2
Chemicals	1.2
Machinery	1.0
Electrical Equipment	1.0
Life Sciences Tools & Services	0.9
Wireless Telecommunication Services	0.9
Industrial Conglomerates	0.8
Communications Equipment	0.8
Electronic Equipment, Instruments & Components	0.8
Independent Power & Renewable Electricity Producers	0.7
Diversified Financial Services	0.7
Diversified Telecommunication Services	0.6
Personal Products	0.5
	103.9
Liabilities in excess of other assets	(3.9	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A61

EQUITY PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014

ASSETS
Investments at value, including securities on loan of $160,971,207:
Unaffiliated investments (cost $2,720,111,496)	$	3,913,344,390
Affiliated investments (cost $262,415,177)		262,415,177
Cash		20,954
Receivable for investments sold		12,726,871
Dividends receivable		3,295,048
Tax reclaim receivable		1,893,059
Receivable for Series shares sold		1,424
Prepaid expenses		32,029
Total Assets		4,193,728,952
LIABILITIES
Payable to broker for collateral for securities on loan		166,375,351
Payable for investments purchased		5,243,514
Management fee payable		1,536,457
Payable for Series shares reacquired		487,209
Accrued expenses		286,499
Affiliated transfer agent fee payable		926
Deferred trustees’ fees		604
Distribution fee payable		469
Total Liabilities		173,931,029
NET ASSETS	$	4,019,797,923
Net assets were comprised of:
Paid-in capital	$	2,153,051,496
Retained earnings		1,866,746,427
Net assets, December 31, 2014	$	4,019,797,923
Class I:
Net asset value and redemption price per share, $4,017,593,708 / 104,202,346 outstanding shares of beneficial interest	$	38.56
Class II:
Net asset value and redemption price per share, $2,204,215 / 57,015 outstanding shares of beneficial interest	$	38.66

STATEMENT OF OPERATIONS

Year Ended December 31, 2014

NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of $1,113,394 foreign withholding tax)	$	38,807,187
Affiliated income from securities lending, net		589,730
Affiliated dividend income		118,263
Total income		39,515,180
EXPENSES
Management fee		17,908,918
Distribution fee—Class II		5,984
Administration fee—Class II		3,590
Custodian’s fees and expenses		441,000
Reports to shareholders		207,000
Insurance fees		49,000
Trustees’ fees		42,000
Audit fee		25,000
Legal fees and expenses		19,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		12,000
Miscellaneous		21,110
Total expenses		18,734,602
NET INVESTMENT INCOME		20,780,578
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		365,924,279
Foreign currency transactions		(34,946	)
		365,889,333
Net change in unrealized appreciation (depreciation) on:
Investments		(92,042,018	)
Foreign currencies		(146,844	)
		(92,188,862	)
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS		273,700,471
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	294,481,049

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	20,780,578		$	30,516,315
Net realized gain on investment and foreign currency transactions		365,889,333			417,610,720
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(92,188,862	)		579,405,992
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		294,481,049			1,027,533,027
SERIES SHARE TRANSACTIONS (Note 7)
Series shares sold		12,816,469			15,823,185
Series shares repurchased		(260,744,091	)		(238,940,216	)
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(247,927,622	)		(223,117,031	)
TOTAL INCREASE		46,553,427			804,415,996
NET ASSETS:
Beginning of year		3,973,244,496			3,168,828,500
End of year	$	4,019,797,923		$	3,973,244,496

SEE NOTES TO FINANCIAL STATEMENTS.

A62

	FLEXIBLE MANAGED PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2014

LONG-TERM INVESTMENTS — 95.1%
COMMON STOCKS — 69.6%	Shares		Value (Note 2)
Aerospace & Defense — 1.3%
BAE Systems PLC (United Kingdom)		33,033	$	241,577
General Dynamics Corp.		138,100		19,005,322
Honeywell International, Inc.		23,300		2,328,136
L-3 Communications Holdings, Inc.		7,200		908,712
Safran SA (France)		3,828		236,169
Spirit AeroSystems Holdings, Inc. (Class A Stock)*		115,200		4,958,208
Thales SA (France)		12,856		695,604
United Technologies Corp.		196,300		22,574,500
				50,948,228
Air Freight & Logistics — 0.7%
C.H. Robinson Worldwide, Inc.		80,300		6,013,667
Deutsche Post AG (Germany)		10,295		334,196
FedEx Corp.		121,100		21,030,226
Royal Mail PLC (United Kingdom)		6,986		46,555
				27,424,644
Airlines — 0.8%
Deutsche Lufthansa AG (Germany)		21,319		353,277
easyJet PLC (United Kingdom)		6,381		165,135
International Consolidated Airlines Group SA (United Kingdom)*		10,892		81,138
Ryanair Holdings PLC (Ireland) ADR*		11,200		798,224
Southwest Airlines Co.		433,900		18,362,648
United Continental Holdings, Inc.*		179,500		12,006,755
				31,767,177
Auto Components — 0.7%
Bridgestone Corp. (Japan)		6,800		235,837
Continental AG (Germany)		1,160		244,671
Delphi Automotive PLC (United Kingdom)		121,000		8,799,120
Johnson Controls, Inc.		309,700		14,970,898
Koito Manufacturing Co. Ltd. (Japan)		1,000		30,592
NGK Spark Plug Co. Ltd. (Japan)		2,000		60,771
NOK Corp. (Japan)		4,700		119,631
Sumitomo Electric Industries Ltd. (Japan)		8,000		99,914
Sumitomo Rubber Industries Ltd. (Japan)		1,800		26,759
Tenneco, Inc.*		46,300		2,621,043
Toyota Industries Corp. (Japan)		6,600		338,262
				27,547,498
Automobiles — 0.3%
Bayerische Motoren Werke AG (Germany)		5,907		637,475
Daimler AG (Germany)		12,168		1,010,604
Fiat Chrysler Automobiles NV (United Kingdom)*		9,150		106,321
Ford Motor Co.		167,800		2,600,900
Fuji Heavy Industries Ltd. (Japan)		32,900		1,164,199
Isuzu Motors Ltd. (Japan)		6,000		73,082
Mazda Motor Corp. (Japan)		2,000		48,031

COMMON STOCKS (continued)	Shares		Value (Note 2)
Automobiles (continued)
Nissan Motor Co. Ltd. (Japan)		26,100	$	227,638
Peugeot SA (France)*		57,600		705,740
Renault SA (France)		1,999		145,600
Thor Industries, Inc.		54,900		3,067,263
Toyota Motor Corp. (Japan)		30,000		1,869,522
Volkswagen AG (Germany)		301		65,258
				11,721,633
Banks — 4.5%
Aozora Bank Ltd. (Japan)		220,000		681,020
Australia & New Zealand Banking Group Ltd. (Australia)		29,473		766,886
Banco Santander SA (Spain)		209,701		1,760,050
Bank Hapoalim BM (Israel)		150,172		706,128
Bank of America Corp.		1,149,500		20,564,555
Bank of Queensland Ltd. (Australia)		20,761		204,536
BNP Paribas SA (France)		3,281		193,691
CIT Group, Inc.		87,600		4,189,908
Citigroup, Inc.		677,350		36,651,408
Commonwealth Bank of Australia (Australia)		22,626		1,572,027
Credit Agricole SA (France)		60,134		776,243
Danske Bank A/S (Denmark)		21,008		567,969
DBS Group Holdings Ltd. (Singapore)		18,284		283,061
DNB ASA (Norway)		50,843		749,966
Fulton Financial Corp.		99,500		1,229,820
HSBC Holdings PLC (United Kingdom)		201,268		1,901,938
Intesa Sanpaolo SpA (Italy)		9,749		24,021
JPMorgan Chase & Co.		751,594		47,034,753
KeyCorp		1,006,400		13,988,960
Lloyds Banking Group PLC (United Kingdom)*		27,715		32,600
Mitsubishi UFJ Financial Group, Inc. (Japan)		257,800		1,416,412
Mizuho Financial Group, Inc. (Japan)		244,000		409,018
Natixis (France)		113,436		748,523
Oversea-Chinese Banking Corp. Ltd. (Singapore)		31,000		243,907
PNC Financial Services Group, Inc. (The)		83,100		7,581,213
Regions Financial Corp.		631,000		6,663,360
Resona Holdings, Inc. (Japan)		91,200		460,697
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		63,024		800,314
Sumitomo Mitsui Financial Group, Inc. (Japan)		30,700		1,109,889
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		35,000		134,060
Svenska Handelsbanken AB (Sweden) (Class A Stock)		19,910		931,547
Swedbank AB (Sweden) (Class A Stock)		9,663		239,748
United Overseas Bank Ltd. (Singapore)		33,000		608,984

SEE NOTES TO FINANCIAL STATEMENTS.

A63

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Banks (continued)
Wells Fargo & Co.		394,112	$	21,605,220
Westpac Banking Corp. (Australia)		8,263		222,240
Yamaguchi Financial Group, Inc. (Japan)		2,000		20,554
				177,075,226
Beverages — 1.7%
Anheuser-Busch InBev NV (Belgium)		13,999		1,575,471
Carlsberg A/S (Denmark) (Class B Stock)		1,092		83,865
Coca-Cola Enterprises, Inc.		228,800		10,117,536
Diageo PLC (United Kingdom)		2,432		69,670
Monster Beverage Corp.*		159,200		17,249,320
PepsiCo, Inc.		378,420		35,783,395
Pernod Ricard SA (France)		2,247		249,727
				65,128,984
Biotechnology — 2.4%
Actelion Ltd. (Switzerland)		4,955		570,425
Alexion Pharmaceuticals, Inc.*		100,300		18,558,509
Amgen, Inc.		115,708		18,431,128
Biogen Idec, Inc.*		84,700		28,751,415
Celgene Corp.*		30,700		3,434,102
CSL Ltd. (Australia)		4,901		344,274
Gilead Sciences, Inc.*		269,200		25,374,792
				95,464,645
Building Products
Assa Abloy AB (Sweden) (Class B Stock)		3,537		186,812
Daikin Industries Ltd. (Japan)		4,400		282,146
Geberit AG (Switzerland)		1,256		424,908
				893,866
Capital Markets — 1.7%
3i Group PLC (United Kingdom)		10,246		71,443
Aberdeen Asset Management PLC (United Kingdom)		52,251		349,139
Bank of New York Mellon Corp. (The)		376,800		15,286,776
Daiwa Securities Group, Inc. (Japan)		11,000		86,132
Franklin Resources, Inc.		229,800		12,724,026
Goldman Sachs Group, Inc. (The)		130,300		25,256,049
Investec PLC (South Africa)		83,607		700,484
Macquarie Group Ltd. (Australia)		3,790		178,725
Partners Group Holding AG (Switzerland)		584		169,907
State Street Corp.		143,000		11,225,500
UBS Group AG (Switzerland)		797		13,700
Waddell & Reed Financial, Inc. (Class A Stock)		51,500		2,565,730
				68,627,611
Chemicals — 1.9%
Asahi Kasei Corp. (Japan)		26,000		237,183
BASF SE (Germany)		2,199		184,455
Cabot Corp.		57,200		2,508,792
Celanese Corp. Series A		196,700		11,794,132

COMMON STOCKS (continued)	Shares		Value (Note 2)
Chemicals (continued)
Daicel Corp. (Japan)		87,000	$	1,016,202
Dow Chemical Co. (The)		269,900		12,310,139
Eastman Chemical Co.		16,100		1,221,346
Givaudan SA (Switzerland)		25		44,846
K+S AG (Germany)		27,359		754,978
Kaneka Corp. (Japan)		3,000		16,075
Kuraray Co. Ltd. (Japan)		3,600		40,902
LyondellBasell Industries NV (Netherlands) (Class A Stock)		231,800		18,402,602
Nitto Denko Corp. (Japan)		1,600		89,401
Novozymes A/S (Denmark)		317		13,344
Sherwin-Williams Co. (The)		53,700		14,125,248
Westlake Chemical Corp.		173,800		10,617,442
Yara International ASA (Norway)		18,067		804,567
				74,181,654
Commercial Services & Supplies — 0.1%
Dai Nippon Printing Co. Ltd. (Japan)		6,000		54,039
Pitney Bowes, Inc.		86,400		2,105,568
Secom Co. Ltd. (Japan)		2,200		126,400
Securitas AB (Sweden) (Class B Stock)		27,965		338,312
Toppan Printing Co. Ltd. (Japan)		6,000		38,985
				2,663,304
Communications Equipment — 1.6%
Cisco Systems, Inc.		963,900		26,810,879
F5 Networks, Inc.*		18,000		2,348,370
QUALCOMM, Inc.		430,600		32,006,498
				61,165,747
Construction & Engineering — 0.1%
ACS Actividades de Construccion y Servicios SA (Spain)		20,089		700,205
Ferrovial SA (Spain)		999		19,749
Hochtief AG (Germany)		9,818		692,646
Leighton Holdings Ltd. (Australia)		40,305		733,895
Obayashi Corp. (Japan)		7,000		45,123
Quanta Services, Inc.*		87,500		2,484,125
Skanska AB (Sweden) (Class B Stock)		2,906		62,393
Taisei Corp. (Japan)		11,000		62,392
				4,800,528
Construction Materials
HeidelbergCement AG (Germany)		3,959		279,427
Taiheiyo Cement Corp. (Japan)		12,000		37,648
				317,075
Consumer Finance — 0.5%
Capital One Financial Corp.		232,700		19,209,385
Synchrony Financial*		64,800		1,927,800
				21,137,185
Diversified Consumer Services — 0.1%
H&R Block, Inc.		95,700		3,223,176
Diversified Financial Services — 1.4%
Berkshire Hathaway, Inc. (Class B Stock)*		289,500		43,468,425

SEE NOTES TO FINANCIAL STATEMENTS.

A64

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Diversified Financial Services (continued)
CME Group, Inc.		101,000	$	8,953,650
Industrivarden AB (Sweden) (Class C Stock)		31,730		550,775
Investment AB Kinnevik (Sweden)		21,448		697,472
Investor AB (Sweden) (Class B Stock)		19,476		708,105
ORIX Corp. (Japan)		14,000		176,159
				54,554,586
Diversified Telecommunication Services — 1.2%
AT&T, Inc.		630,947		21,193,510
Belgacom SA (Belgium)		1,626		58,997
BT Group PLC (United Kingdom)		140,631		874,736
Koninklijke KPN NV (Netherlands)		34,210		108,013
Nippon Telegraph & Telephone Corp. (Japan)		16,900		863,296
Orange SA (France)		66,947		1,138,552
PCCW Ltd. (Hong Kong)		942,000		641,399
Spark New Zealand Ltd. (New Zealand)		82,292		199,489
Telecom Italia SpA (Italy)		853,845		713,855
Telefonica SA (Spain)		43,853		629,622
Telekom Austria AG (Austria)		7,232		48,297
Verizon Communications, Inc.		412,188		19,282,155
Vivendi SA (France)		11,168		277,978
				46,029,899
Electric Utilities — 0.8%
American Electric Power Co., Inc.		77,500		4,705,800
AusNet Services (Australia)		18,046		19,496
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		52,000		382,396
Chubu Electric Power Co., Inc. (Japan)*		6,300		74,032
Chugoku Electric Power Co., Inc. (The) (Japan)		3,000		39,223
Contact Energy Ltd. (New Zealand)		3,837		19,055
EDP-Energias de Portugal SA (Portugal)		116,565		451,999
Electricite de France (France)		2,447		67,362
Fortum OYJ (Finland)		34,195		742,428
Hokuriku Electric Power Co. (Japan)		1,700		21,710
Kansai Electric Power Co., Inc. (The) (Japan)*		7,000		66,592
Kyushu Electric Power Co., Inc. (Japan)*		4,400		44,067
Power Assets Holdings Ltd. (Hong Kong)		18,000		174,024
PPL Corp.		467,200		16,973,376
Red Electrica Corp. SA (Spain)		1,128		99,435
Shikoku Electric Power Co., Inc. (Japan)*		1,800		21,833
Southern Co. (The)		138,200		6,787,002
SSE PLC (United Kingdom)		10,001		252,697
Tohoku Electric Power Co., Inc. (Japan)		4,600		53,528

COMMON STOCKS (continued)	Shares		Value (Note 2)
Electric Utilities (continued)
Tokyo Electric Power Co., Inc. (Japan)*		14,900	$	60,603
				31,056,658
Electrical Equipment — 0.6%
Acuity Brands, Inc.		15,800		2,213,106
AMETEK, Inc.		103,600		5,452,468
Babcock & Wilcox Co. (The)		29,000		878,700
Eaton Corp. PLC		140,700		9,561,972
Emerson Electric Co.		101,100		6,240,903
Fuji Electric Co. Ltd. (Japan)		6,000		23,921
Mitsubishi Electric Corp. (Japan)		76,000		902,733
				25,273,803
Electronic Equipment, Instruments & Components — 0.4%
Arrow Electronics, Inc.*		62,800		3,635,492
Citizen Holdings Co. Ltd. (Japan)		2,700		20,775
Hexagon AB (Sweden) (Class B Stock)		2,669		82,338
Hitachi Ltd. (Japan)		51,000		376,419
Hoya Corp. (Japan)		4,400		148,829
Ingram Micro, Inc. (Class A Stock)*		158,700		4,386,468
Jabil Circuit, Inc.		144,900		3,163,167
Keyence Corp. (Japan)		500		222,797
Murata Manufacturing Co. Ltd. (Japan)		3,300		360,099
Omron Corp. (Japan)		18,000		805,239
TDK Corp. (Japan)		1,300		76,564
Tech Data Corp.*		37,500		2,371,125
				15,649,312
Energy Equipment & Services — 0.9%
Helmerich & Payne, Inc.		103,400		6,971,228
National Oilwell Varco, Inc.		201,200		13,184,636
Noble Corp. PLC(a)		831,700		13,781,269
Transocean Ltd.		3,652		67,014
				34,004,147
Food & Staples Retailing — 2.2%
Carrefour SA (France)		5,959		181,341
Casino Guichard Perrachon SA (France)		4,192		385,516
Costco Wholesale Corp.		92,000		13,041,000
CVS Health Corp.		200,600		19,319,786
Delhaize Group SA (Belgium)		1,068		77,778
J. Sainsbury PLC (United Kingdom)		145,840		556,918
Koninklijke Ahold NV (Netherlands)		45,084		801,274
Kroger Co. (The)		356,700		22,903,707
Lawson, Inc. (Japan)		700		42,300
Metcash Ltd. (Australia)		6,319		9,523
Olam International Ltd. (Singapore)		8,000		12,141
Wal-Mart Stores, Inc.		344,500		29,585,660
Wesfarmers Ltd. (Australia)		11,657		394,679
WM Morrison Supermarkets PLC (United Kingdom)		269,123		767,880
				88,079,503
Food Products — 1.6%
Archer-Daniels-Midland Co.		345,800		17,981,600
Bunge Ltd.		54,600		4,963,686

SEE NOTES TO FINANCIAL STATEMENTS.

A65

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Food Products (continued)
ConAgra Foods, Inc.		96,400	$	3,497,392
Golden Agri-Resources Ltd. (Singapore)		1,172,000		405,627
Hormel Foods Corp.		19,800		1,031,580
Kellogg Co.		129,800		8,494,112
Kraft Foods Group, Inc.		73,400		4,599,244
Lindt & Spruengli AG (Switzerland)		1		57,702
Nestle SA (Switzerland)		24,764		1,805,321
Nippon Meat Packers, Inc. (Japan)		12,000		262,539
Pilgrim’s Pride Corp.*(a)		148,300		4,862,757
Sanderson Farms, Inc.(a)		12,900		1,083,922
Tate & Lyle PLC (United Kingdom)		8,075		75,659
Tyson Foods, Inc. (Class A Stock)		244,200		9,789,978
Unilever NV (United Kingdom)		31,430		1,229,474
Unilever PLC (United Kingdom)		13,566		551,163
Wilmar International Ltd. (Singapore)		299,000		728,554
				61,420,310
Gas Utilities — 0.3%
AGL Resources, Inc.		175,900		9,588,309
Enagas SA (Spain)		1,942		61,253
Snam SpA (Italy)		22,558		111,645
				9,761,207
Health Care Equipment & Supplies — 1.0%
Abbott Laboratories		372,100		16,751,942
Baxter International, Inc.		21,700		1,590,393
Boston Scientific Corp.*		288,700		3,825,275
C.R. Bard, Inc.		89,500		14,912,490
Intuitive Surgical, Inc.*		3,200		1,692,608
Sonova Holding AG (Switzerland)		202		29,676
				38,802,384
Health Care Providers & Services — 2.1%
Aetna, Inc.		206,000		18,298,980
Alfresa Holdings Corp. (Japan)		1,900		22,944
Anthem, Inc.		97,100		12,202,557
Cigna Corp.		85,100		8,757,641
Express Scripts Holding Co.*		130,700		11,066,369
Fresenius Medical Care AG & Co. KGaA (Germany)		941		70,234
Fresenius SE & Co. KGaA (Germany)		3,983		207,093
Medipal Holdings Corp. (Japan)		50,700		592,160
Sonic Healthcare Ltd. (Australia)		3,921		58,990
Suzuken Co. Ltd. (Japan)		700		19,336
UnitedHealth Group, Inc.		271,500		27,445,935
Universal Health Services, Inc. (Class B Stock)		19,600		2,180,696
				80,922,935
Health Care Technology — 0.2%
Cerner Corp.*(a)		142,500		9,214,050
Hotels, Restaurants & Leisure — 1.6%
Chipotle Mexican Grill, Inc.*		6,100		4,175,511
Las Vegas Sands Corp.		248,600		14,458,576
Marriott Vacations Worldwide Corp.		41,300		3,078,502
McDonald’s Corp.		282,000		26,423,400

COMMON STOCKS (continued)	Shares		Value (Note 2)
Hotels, Restaurants & Leisure (continued)
Merlin Entertainments PLC (United Kingdom)		117,113	$	724,655
Oriental Land Co. Ltd. (Japan)		2,000		461,228
Sodexo SA (France)		3,939		385,567
Tabcorp Holdings Ltd. (Australia)		7,837		26,456
Tatts Group Ltd. (Australia)		15,401		43,315
Whitbread PLC (United Kingdom)		1,821		134,766
Wyndham Worldwide Corp.		56,300		4,828,288
Yum! Brands, Inc.		91,600		6,673,060
				61,413,324
Household Durables — 0.1%
Panasonic Corp. (Japan)		91,800		1,081,261
Persimmon PLC (United Kingdom)		11,131		271,863
Sekisui Chemical Co. Ltd. (Japan)		5,000		60,155
Sony Corp. (Japan)		41,200		840,861
Whirlpool Corp.		16,500		3,196,710
				5,450,850
Household Products — 0.9%
Colgate-Palmolive Co.		191,500		13,249,885
Henkel AG & Co. KGaA (Germany)		8,575		830,650
Kimberly-Clark Corp.		97,900		11,311,366
Procter & Gamble Co. (The)		87,405		7,961,721
Svenska Cellulosa AB SCA (Sweden) (Class B Stock)		6,210		133,880
				33,487,502
Independent Power & Renewable Electricity Producers — 0.2%
AES Corp.		612,300		8,431,371
Electric Power Development Co. Ltd. (Japan)		1,200		40,549
				8,471,920
Industrial Conglomerates — 1.5%
Carlisle Cos., Inc.		57,900		5,224,896
General Electric Co.		2,046,700		51,720,109
Hopewell Holdings Ltd. (Hong Kong)		136,000		495,057
Hutchison Whampoa Ltd. (Hong Kong)		22,000		251,495
Keppel Corp. Ltd. (Singapore)		46,000		306,607
NWS Holdings Ltd. (Hong Kong)		16,000		29,348
Roper Industries, Inc.		8,600		1,344,610
Siemens AG (Germany)		8,036		901,673
				60,273,795
Insurance — 1.8%
Aflac, Inc.		289,000		17,655,010
AIA Group Ltd. (Hong Kong)		7,400		40,814
Allianz SE (Germany)		4,823		798,817
American Financial Group, Inc.		55,800		3,388,176
American International Group, Inc.		230,600		12,915,906
AXA SA (France)		48,141		1,109,318
Baloise Holding AG (Switzerland)		5,739		733,511
CNP Assurances (France)		1,812		32,124
Genworth Financial, Inc. (Class A Stock)*		951,300		8,086,050
Hannover Rueck SE (Germany)		3,503		316,011

SEE NOTES TO FINANCIAL STATEMENTS.

A66

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Insurance (continued)
Insurance Australia Group Ltd. (Australia)		24,982	$	126,847
Legal & General Group PLC (United Kingdom)		243,947		941,918
Lincoln National Corp.		17,400		1,003,458
MetLife, Inc.		118,500		6,409,665
NN Group NV (Netherlands)*		8,274		247,008
PartnerRe Ltd.		20,100		2,294,013
Prudential PLC (United Kingdom)		27,111		626,793
Suncorp Group Ltd. (Australia)		66,408		758,631
Swiss Life Holding AG (Switzerland)		3,295		778,779
Swiss Re AG (Switzerland)		2,399		200,968
Tokio Marine Holdings, Inc. (Japan)		1,900		61,708
UnipolSai SpA (Italy)		32,183		86,648
Unum Group		345,300		12,044,064
				70,656,237
Internet & Catalog Retail — 0.3%
Priceline Group, Inc. (The)*		6,100		6,955,281
TripAdvisor, Inc.*(a)		64,900		4,845,434
				11,800,715
Internet Software & Services — 1.6%
Akamai Technologies, Inc.*		18,400		1,158,464
Facebook, Inc. (Class A Stock)*		62,300		4,860,646
Google, Inc. (Class A Stock)*		43,600		23,136,776
Google, Inc. (Class C Stock)*		65,700		34,584,480
Mixi, Inc. (Japan)		400		14,748
United Internet AG (Germany)		1,291		58,153
				63,813,267
IT Services — 2.0%
Broadridge Financial Solutions, Inc.		124,400		5,744,792
Cap Gemini SA (France)		11,638		832,319
Cognizant Technology Solutions Corp. (Class A Stock)*		330,500		17,404,130
Computer Sciences Corp.		20,600		1,298,830
DST Systems, Inc.		68,300		6,430,445
Fiserv, Inc.*		161,100		11,433,267
Fujitsu Ltd. (Japan)		20,000		106,633
iGATE Corp.*		27,700		1,093,596
International Business Machines Corp.		84,100		13,493,004
MasterCard, Inc. (Class A Stock)		112,500		9,693,000
Nomura Research Institute Ltd. (Japan)		1,200		36,702
Syntel, Inc.*		49,400		2,222,012
Visa, Inc. (Class A Stock)		35,200		9,229,440
				79,018,170
Leisure Products — 0.2%
Namco Bandai Holdings, Inc. (Japan)		16,800		355,678
Polaris Industries, Inc.		36,900		5,580,756
Sankyo Co. Ltd. (Japan)		500		17,152
Shimano, Inc. (Japan)		800		103,617
				6,057,203

COMMON STOCKS (continued)	Shares		Value (Note 2)
Life Sciences Tools & Services
QIAGEN NV*		2,456	$	57,208
Machinery — 1.2%
Amada Co. Ltd. (Japan)		3,800		32,561
Atlas Copco AB (Sweden) (Class B Stock)		4,036		103,313
Cummins, Inc.		25,800		3,719,586
Dover Corp.		79,800		5,723,256
FANUC Corp. (Japan)		2,100		346,249
IHI Corp. (Japan)		10,000		50,645
Illinois Tool Works, Inc.		107,700		10,199,190
Kone OYJ (Class B Stock) (Finland)		20,242		921,575
Kubota Corp. (Japan)		12,000		174,177
Lincoln Electric Holdings, Inc.		40,600		2,805,054
MAN SE (Germany)		372		41,429
Minebea Co. Ltd. (Japan)		3,000		44,304
NSK Ltd. (Japan)		12,000		141,681
Oshkosh Corp.		106,200		5,166,630
Parker Hannifin Corp.		106,900		13,784,755
Sumitomo Heavy Industries Ltd. (Japan)		39,000		209,780
THK Co. Ltd. (Japan)		1,200		28,838
Timken Co. (The)		92,100		3,930,828
Vallourec SA (France)		5,452		147,759
Wartsila OYJ Abp (Finland)		3,164		141,615
Yangzijiang Shipbuilding Holdings Ltd. (China)		307,000		278,208
				47,991,433
Marine
A.P. Moeller – Maersk A/S (Denmark) (Class A Stock)		41		78,458
A.P. Moeller – Maersk A/S (Denmark) (Class B Stock)		337		670,277
Kuehne + Nagel International AG (Switzerland)		2,071		281,315
Mitsui OSK Lines Ltd. (Japan)		11,000		32,590
Nippon Yusen K.K. (Japan)		17,000		48,017
				1,110,657
Media — 2.0%
Altice SA (Luxembourg)*		922		72,809
Comcast Corp. (Class A Stock)		451,473		26,189,949
Dentsu, Inc. (Japan)		2,300		96,695
DIRECTV*		187,800		16,282,260
Discovery Communications, Inc. (Class C Stock)*		230,200		7,762,344
Hakuhodo DY Holdings, Inc. (Japan)		2,400		22,968
Lagardere SCA (France)		1,236		32,188
Publicis Groupe SA (France)		5,001		358,649
Reed Elsevier PLC (United Kingdom)		12,188		208,196
RTL Group SA (Germany)		397		37,856
Sky PLC (United Kingdom)		10,982		153,269
Thomson Reuters Corp.		34,700		1,399,798
Walt Disney Co. (The)		269,300		25,365,367
Wolters Kluwer NV (Netherlands)		5,359		163,531
				78,145,879

SEE NOTES TO FINANCIAL STATEMENTS.

A67

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Metals & Mining — 0.5%
Antofagasta PLC (United Kingdom)		54,958	$	640,370
BHP Billiton Ltd. (Australia)		46,427		1,097,657
BHP Billiton PLC (Australia)		31,175		668,123
Century Aluminum Co.*		39,100		954,040
Fortescue Metals Group Ltd. (Australia)(a)		200,628		440,507
Freeport-McMoRan, Inc.		285,200		6,662,272
JFE Holdings, Inc. (Japan)		3,100		69,133
Kobe Steel Ltd. (Japan)		339,000		583,927
Mitsubishi Materials Corp. (Japan)		11,000		36,492
Nippon Steel & Sumitomo Metal Corp. (Japan)		80,000		198,451
Rio Tinto PLC (United Kingdom)		5,358		246,988
Southern Copper Corp.		240,800		6,790,560
Sumitomo Metal Mining Co. Ltd. (Japan)		58,000		865,064
Voestalpine AG (Austria)		18,095		714,991
Worthington Industries, Inc.		40,200		1,209,618
				21,178,193
Multi-Utilities — 0.6%
AGL Energy Ltd. (Australia)		6,971		76,033
Centrica PLC (United Kingdom)		51,880		224,715
Consolidated Edison, Inc.		43,800		2,891,238
E.ON SE (Germany)		18,473		315,736
National Grid PLC (United Kingdom)		88,696		1,258,536
Public Service Enterprise Group, Inc.		355,900		14,737,819
SCANA Corp.		48,700		2,941,480
				22,445,557
Multiline Retail — 0.2%
Big Lots, Inc.(a)		57,900		2,317,158
Dollar Tree, Inc.*		96,000		6,756,480
Takashimaya Co. Ltd. (Japan)		3,000		23,954
				9,097,592
Oil, Gas & Consumable Fuels — 4.4%
Anadarko Petroleum Corp.		202,100		16,673,250
Apache Corp.		95,700		5,997,519
BP PLC (United Kingdom)		191,288		1,214,217
California Resources Corp.*		59,840		329,719
Chevron Corp.		180,956		20,299,644
ConocoPhillips(a)		225,734		15,589,190
Continental Resources, Inc.*(a)		60,200		2,309,272
Devon Energy Corp.		41,000		2,509,610
Eni SpA (Italy)		32,382		567,221
EQT Corp.		48,700		3,686,590
Exxon Mobil Corp.		575,116		53,169,474
ONEOK, Inc.		120,700		6,009,653
Phillips 66		265,600		19,043,520
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		61,506		2,052,637
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		39,136		1,352,193
Showa Shell Sekiyu K.K. (Japan)		2,000		19,701
SM Energy Co.		39,400		1,520,052

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
Statoil ASA (Norway)		29,923	$	526,849
Targa Resources Corp.		10,700		1,134,735
Total SA (France)		33,527		1,717,660
Valero Energy Corp.		344,900		17,072,550
Western Refining, Inc.		38,800		1,465,864
Woodside Petroleum Ltd. (Australia)		7,835		242,316
				174,503,436
Paper & Forest Products
UPM-Kymmene OYJ (Finland)		31,584		517,605
Personal Products
Avon Products, Inc.		181,800		1,707,102
Pharmaceuticals — 4.6%
AbbVie, Inc.		376,400		24,631,616
Allergan, Inc.		41,700		8,865,003
AstraZeneca PLC (United Kingdom)		13,228		934,305
Bayer AG (Germany)		6,588		898,002
Bristol-Myers Squibb Co.		402,500		23,759,575
Eli Lilly & Co.		62,900		4,339,471
GlaxoSmithKline PLC (United Kingdom)		79,961		1,715,454
Johnson & Johnson		273,098		28,557,858
Merck & Co., Inc.		517,800		29,405,862
Merck KGaA (Germany)		2,282		214,756
Mylan, Inc.*		111,200		6,268,344
Novartis AG (Switzerland)		32,251		2,991,070
Novo Nordisk A/S (Denmark) (Class B Stock)		4,080		172,583
Otsuka Holdings Co. Ltd. (Japan)		28,100		842,472
Pfizer, Inc.		1,339,397		41,722,217
Roche Holding AG (Switzerland)		9,700		2,628,140
Sanofi (France)		9,630		877,974
Shire PLC (Ireland)		2,088		148,040
Teva Pharmaceutical Industries Ltd. (Israel)		22,458		1,287,402
				180,260,144
Professional Services
Capita PLC (United Kingdom)		7,028		117,844
Real Estate Investment Trusts (REITs) — 1.1%
American Capital Agency Corp.		300,000		6,549,000
Annaly Capital Management, Inc.		1,110,100		12,000,181
CapitaCommercial Trust (Singapore)		21,000		27,725
CapitaMall Trust (Singapore)		25,000		38,384
Chambers Street Properties(a)		249,900		2,014,194
Federation Centres Ltd. (Australia)		316,717		737,401
Fonciere Des Regions (France)		298		27,543
Franklin Street Properties Corp.		89,800		1,101,846
GPT Group (Australia)		17,850		63,172
Hospitality Properties Trust		201,500		6,246,500
Intu Properties PLC (United Kingdom)		144,554		747,337
Invesco Mortgage Capital, Inc.		198,000		3,061,080
Land Securities Group PLC (United Kingdom)		8,020		144,165

SEE NOTES TO FINANCIAL STATEMENTS.

A68

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Investment Trusts (REITs) (continued)
Link REIT (The) (Hong Kong)		161,000	$	1,007,982
Prologis, Inc.		183,400		7,891,702
Resource Capital Corp.		186,300		938,952
Simon Property Group, Inc.		11,900		2,167,109
				44,764,273
Real Estate Management & Development — 0.6%
CBRE Group, Inc. (Class A Stock)*		371,800		12,734,150
Cheung Kong Holdings Ltd. (Hong Kong)		37,000		619,632
Deutsche Wohnen AG (Germany)		21,280		501,991
Henderson Land Development Co. Ltd. (Hong Kong)		73,100		508,065
Hysan Development Co. Ltd. (Hong Kong)		152,000		674,577
Jones Lang LaSalle, Inc.		57,700		8,650,961
Kerry Properties Ltd. (Hong Kong)		7,000		25,252
Lend Lease Group (Australia)		5,666		75,465
New World Development Co. Ltd. (Hong Kong)		342,000		392,619
Swire Pacific Ltd. (Hong Kong) (Class A Stock)		6,500		84,373
Swire Properties Ltd. (Hong Kong)		12,400		36,486
Swiss Prime Site AG (Switzerland)		605		44,423
				24,347,994
Road & Rail — 1.2%
Asciano Ltd. (Australia)		10,266		50,275
Aurizon Holdings Ltd. (Australia)		20,678		77,383
Central Japan Railway Co. (Japan)		1,500		224,815
ComfortDelGro Corp. Ltd. (Singapore)		21,000		41,095
CSX Corp.		141,400		5,122,922
Hankyu Hanshin Holdings, Inc. (Japan)		12,000		64,369
MTR Corp. Ltd. (Hong Kong)		14,500		59,323
Norfolk Southern Corp.		138,100		15,137,141
Union Pacific Corp.		233,000		27,757,290
West Japan Railway Co. (Japan)		1,700		80,373
				48,614,986
Semiconductors & Semiconductor Equipment — 2.1%
ASM Pacific Technology Ltd. (Hong Kong)		2,500		23,804
Broadcom Corp. (Class A Stock)		119,500		5,177,935
Infineon Technologies AG (Germany)		27,184		287,658
Integrated Device Technology, Inc.*		117,300		2,299,080
Intel Corp.		1,165,400		42,292,366
Rohm Co. Ltd. (Japan)		1,000		60,253
Skyworks Solutions, Inc.		161,600		11,749,936
Texas Instruments, Inc.		415,700		22,225,400
				84,116,432
Software — 3.1%
Manhattan Associates, Inc.*		59,900		2,439,128

COMMON STOCKS (continued)	Shares		Value (Note 2)
Software (continued)
Microsoft Corp.		1,386,100	$	64,384,345
Nexon Co. Ltd. (Japan)		17,700		165,001
Oracle Corp.		796,400		35,814,108
Solera Holdings, Inc.		28,700		1,468,866
Symantec Corp.		555,400		14,248,787
Synopsys, Inc.*		47,900		2,082,213
				120,602,448
Specialty Retail — 2.1%
ABC-Mart, Inc. (Japan)		300		14,517
Dixons Carphone PLC (United Kingdom)		115,538		832,680
DSW, Inc. (Class A Stock)		58,700		2,189,510
Finish Line, Inc. (The) (Class A Stock)		32,800		797,368
Gap, Inc. (The)		359,000		15,117,490
Hennes & Mauritz AB (Class B Stock) (Sweden)		10,100		419,605
Home Depot, Inc. (The)		160,000		16,795,200
Lowe’s Cos., Inc.		262,800		18,080,640
Nitori Holdings Co. Ltd. (Japan)		700		37,610
Ross Stores, Inc.		187,500		17,673,750
TJX Cos., Inc. (The)		168,500		11,555,730
				83,514,100
Technology Hardware, Storage & Peripherals — 2.9%
Apple, Inc.		716,500		79,087,270
Brother Industries Ltd. (Japan)		28,300		513,004
EMC Corp.		159,400		4,740,556
FUJIFILM Holdings Corp. (Japan)		11,300		344,803
Hewlett-Packard Co.		741,900		29,772,447
NEC Corp. (Japan)		28,000		81,368
Nokia OYJ (Finland)		16,587		131,184
Ricoh Co. Ltd. (Japan)		7,500		75,818
Seiko Epson Corp. (Japan)		22,100		924,757
				115,671,207
Textiles, Apparel & Luxury Goods — 0.6%
Luxottica Group SpA (Italy)		1,775		97,303
Michael Kors Holdings Ltd.*		207,400		15,575,740
NIKE, Inc. (Class B Stock)		46,400		4,461,360
Pandora A/S (Denmark)		10,759		872,094
Steven Madden Ltd.*		47,900		1,524,657
Swatch Group AG (The) (Switzerland)		438		37,888
				22,569,042
Tobacco — 0.9%
Altria Group, Inc.		218,600		10,770,422
British American Tobacco PLC (United Kingdom)		19,617		1,063,066
Imperial Tobacco Group PLC (United Kingdom)		25,924		1,141,163
Japan Tobacco, Inc. (Japan)		32,100		883,482
Philip Morris International, Inc.		247,800		20,183,310
				34,041,443
Trading Companies & Distributors — 0.2%
Bunzl PLC (United Kingdom)		3,549		97,020
ITOCHU Corp. (Japan)		15,800		168,667

SEE NOTES TO FINANCIAL STATEMENTS.

A69

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Trading Companies & Distributors (continued)
Marubeni Corp. (Japan)		17,000	$	101,718
Mitsubishi Corp. (Japan)		45,200		827,166
Mitsui & Co. Ltd. (Japan)		18,300		245,094
MRC Global, Inc.*		137,100		2,077,065
Sumitomo Corp. (Japan)		57,100		586,456
United Rentals, Inc.*		33,300		3,396,933
Wolseley PLC (United Kingdom)		1,340		76,610
				7,576,729
Transportation Infrastructure
Hutchison Port Holdings Trust (Singapore)		61,000		42,090
Kamigumi Co. Ltd. (Japan)		2,000		17,816
				59,906
Water Utilities
Severn Trent PLC (United Kingdom)		21,263		663,178
Wireless Telecommunication Services
KDDI Corp. (Japan)		6,200		389,509
Millicom International Cellular SA, (Luxembourg), SDR		681		50,459

COMMON STOCKS (continued)	Shares		Value (Note 2)
Wireless Telecommunication Services (continued)
Vodafone Group PLC (United Kingdom)		282,414	$	968,294
				1,408,262
TOTAL COMMON STOCKS (cost $2,120,222,134)				2,744,382,608
EXCHANGE TRADED FUND — 0.1%
iShares MSCI EAFE Index Fund(a) (cost $1,507,469)		25,300		1,539,252
PREFERRED STOCKS
Automobiles
Bayerische Motoren Werke AG (Germany) (PRFC)		548		44,772
Volkswagen AG (Germany) (PRFC)		2,540		564,530
				609,302
Banks
Citigroup Capital XIII, 7.875%, (Capital Security, fixed to floating preferred)(b)		22,000		584,760
TOTAL PREFERRED STOCKS (cost $1,184,178)				1,194,062

ASSET-BACKED SECURITIES — 1.7%	Interest Rate			Maturity Date	Principal Amount (000)#
Collateralized Debt Obligation
Cent CDO XI Ltd. (Cayman Islands), Series 2006-11A, Class A1, 144A		0.494%	(b)	04/25/19		465	461,180
Collateralized Loan Obligations — 1.5%
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		1.411%	(b)	04/20/25		2,550	2,506,819
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A		3.360%		04/20/25		500	483,052
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A		0.961%	(b)	05/15/20		3,900	3,921,961
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.419%	(b)	07/13/25		2,700	2,653,309
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1, 144A		1.766%	(b)	04/28/26		1,500	1,488,862
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		1.833%	(b)	10/15/26		2,500	2,491,734
Atlas Senior Loan Fund Ltd. (Cayman Islands), Series 2014-6A, Class A, 144A		1.796%	(b)	10/15/26		750	745,311
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A		1.800%	(b)	10/17/26		250	249,135
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A		1.431%	(b)	07/15/24		1,200	1,179,382
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.378%	(b)	04/17/25		2,100	2,062,255
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		1.781%	(b)	04/20/26		2,200	2,189,037
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A2, 144A		2.031%	(b)	04/20/26		450	431,691
Catamaran CLO Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A		1.780%	(b)	10/18/26		500	496,143
Flagship VII Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A		1.701%	(b)	01/20/26		2,300	2,280,781
Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A		0.482%	(b)	07/22/20		393	390,393
Fraser Sullivan CLO I Ltd. (Cayman Islands), Series 2006-1A, Class B, 144A		0.711%	(b)	03/15/20		1,000	995,796
Galaxy XVIII CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A		1.704%	(b)	10/15/26		1,250	1,238,048
GE Capital Credit Card Master Note Trust, Series 2012-4, Class B		1.011%	(b)	06/15/18		5,500	5,501,777
ICG U.S. CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1B, 144A		3.320%		01/25/27		1,000	984,100
ING IM CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.371%	(b)	04/15/24		1,850	1,816,709

SEE NOTES TO FINANCIAL STATEMENTS.

A70

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations (continued)
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		1.822%	(b)	05/15/26		300	$	298,941
Magnetite CLO Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A		1.700%	(b)	07/25/26		3,750		3,706,288
Magnetite VIII Ltd. (Cayman Islands), Series 2014-8A, Class A, 144A		1.711%	(b)	04/15/26		2,300		2,280,932
Magnetite XI Ltd. (Cayman Islands), Series 2014-11A, Class A1, 144A		1.685%	(b)	01/18/27		500		494,517
Marine Park CLO Ltd. (Cayman Islands), Series 2012-1A, Class A1A, 144A		1.702%	(b)	05/18/23		600		597,787
Mayport CLO Ltd. (Cayman Islands), Series 2006-1A, Class A1L, 144A		0.483%	(b)	02/22/20		2		1,784
OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A		1.382%	(b)	07/22/25		1,200		1,177,034
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A		1.704%	(b)	07/17/26		800		797,810
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A		4.350%		07/17/26		500		503,092
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.281%	(b)	04/15/25		3,200		3,132,525
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A		2.882%	(b)	08/17/22		500		501,395
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A		2.931%	(b)	10/20/23		1,100		1,104,383
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A		2.000%		09/20/29		1,155		1,148,844
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2014-3A, Class A, 144A		1.863%	(b)	01/22/27		2,250		2,241,000
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.351%	(b)	07/15/25		2,700		2,645,346
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		1.731%	(b)	04/20/26		1,850		1,836,109
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A		4.250%		04/20/26		500		503,086
								57,077,168
Non-Residential Mortgage-Backed Securities — 0.1%
Ford Credit Auto Owner Trust, Series 2014-REV1, Class A, 144A		2.260%		11/15/25		2,000		2,010,676
Ford Credit Auto Owner Trust, Series 2014-REV2, Class A, 144A		2.310%		04/15/26		3,200		3,208,243
								5,218,919
Residential Mortgage-Backed Securities — 0.1%
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1		1.820%	(b)	03/25/33		244		230,657
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3		4.123%	(b)	07/25/35		302		292,745
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1		5.037%	(b)	07/25/34		355		339,430
GSAMP Trust, Series 2004-HE2, Class A3C		1.330%	(b)	09/25/34		674		655,953
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1		0.965%	(b)	06/25/34		657		633,573
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1		1.370%	(b)	05/25/33		401		376,150
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE5, Class M1		1.115%	(b)	06/25/34		884		829,318
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1		1.220%	(b)	12/27/33		748		722,104
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1		1.070%	(b)	07/25/32		372		355,484
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1		1.445%	(b)	09/25/32		464		457,102
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1		0.935%	(b)	02/25/34		802		753,360
								5,645,876
TOTAL ASSET-BACKED SECURITIES (cost $68,297,256)								68,403,143
BANK LOANS(b) — 0.2%
Automotive
Schaeffler AG		4.250%		05/15/20		750		746,250
Cable
Virgin Media Investment Holdings Ltd. (United Kingdom)		3.500%		06/07/20		1,000		981,250
Foods
ARAMARK Corp.		3.250%		09/07/19		534		525,053
Big Heart Pet Brands, Inc.		3.500%		03/09/20		852		815,922
								1,340,975

SEE NOTES TO FINANCIAL STATEMENTS.

A71

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

BANK LOANS(b) (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Healthcare & Pharmaceutical — 0.1%
Biomet, Inc.		3.733%		07/25/17		1,000	$	994,167
Grifols Worldwide Operations USA, Inc.		3.255%		02/26/21		248		244,403
RPI Finance Trust (Luxembourg)		3.250%		11/09/18		1,037		1,033,535
								2,272,105
Technology — 0.1%
Avago Technologies Finance Pte Ltd.		3.750%		05/06/21		1,095		1,088,571
First Data Corp.		3.755%		03/26/18		1,134		1,109,064
TransUnion LLC		4.000%		04/09/21		496		488,186
								2,685,821
TOTAL BANK LOANS (cost $8,088,020)								8,026,401
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.3%
Alternative Loan Trust, Series 2004-18CB, Class 3A1		5.250%		09/25/19		276		281,749
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1		6.000%		01/25/36		1,857		1,571,458
Bank of America Mortgage Trust, Series 2005-A, Class 2A1		2.720%	(b)	02/25/35		388		375,261
Bank of America Mortgage Trust, Series 2005-B, Class 2A1		2.656%	(b)	03/25/35		334		302,615
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5		2.535%	(b)	02/25/37		810		788,250
Fannie Mae Connecticut Avenue Securities, Series 2014-CO4, Class 1M1		2.105%	(b)	11/25/24		4,866		4,871,545
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN4, Class M1		1.570%	(b)	10/25/24		996		995,852
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1		2.489%	(b)	07/25/35		460		462,622
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1		5.000%		04/25/19		86		87,421
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		2.573%	(b)	02/25/34		378		377,540
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A		5.000%		03/25/20		119		119,655
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $10,410,433)								10,233,968
COMMERCIAL MORTGAGE-BACKED SECURITIES — 3.2%
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3		5.369%		10/10/45		3,900		3,957,307
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A		5.561%	(b)	04/10/49		5,307		5,678,753
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A3		5.585%	(b)	04/10/49		1,500		1,520,496
Banc of America Commercial Mortgage Trust, Series 2007-5, Class A3		5.620%		02/10/51		45		45,377
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4		5.710%	(b)	12/10/49		1,000		1,084,385
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3		2.815%		04/10/46		1,100		1,086,545
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4		3.575%		05/10/47		2,750		2,861,818
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A3		3.356%		07/10/47		2,800		2,869,362
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4		5.223%		08/15/48		1,107		1,166,497
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3		2.540%		12/10/45		1,000		971,095
Commercial Mortgage Pass-Through Certificates, Series 2013-CR7, Class A3		2.929%		03/10/46		1,700		1,702,205
Commercial Mortgage Pass-Through Certificates, Series 2014-CR15, Class A2		2.928%		02/10/47		2,700		2,779,142
Commercial Mortgage Trust, Series 2005-GG5, Class A5		5.224%	(b)	04/10/37		8,050		8,137,061
Commercial Mortgage Trust, Series 2005-GG5, Class AM		5.277%	(b)	04/10/37		4,500		4,598,109
Commercial Mortgage Trust, Series 2007-GG9, Class A2		5.381%		03/10/39		1,116		1,119,335
Commercial Mortgage Trust, Series 2014-CCRE20, Class A3		3.326%		11/10/47		5,000		5,075,255
Commercial Mortgage Trust, Series 2014-CR18, Class A4		3.550%		07/15/47		2,800		2,899,456
Commercial Mortgage Trust, Series 2014-UBS3, Class A2		2.844%		06/10/47		2,300		2,365,980
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class A4		5.467%	(b)	02/15/39		2,700		2,777,814
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM		5.467%	(b)	02/15/39		640		665,708
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C2, Class A4		4.832%		04/15/37		1,624		1,626,660
Federal National Mortgage Assoc., Series 2014-M2, Class A2		3.513%	(b)	12/25/23		2,515		2,680,703

SEE NOTES TO FINANCIAL STATEMENTS.

A72

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
FHLMC Multifamily Structured Pass-Through Certificates, Series K017, Class A2		2.873%		12/25/21		3,500	$	3,606,148
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class A2		2.373%		05/25/22		2,000		1,990,534
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O		1.465%	(b)	05/25/22		25,390		2,186,944
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O		1.506%	(b)	06/25/22		7,173		637,959
FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2		3.320%	(b)	02/25/23		5,800		6,104,976
FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2		3.531%	(b)	07/25/23		2,400		2,562,492
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O		1.685%	(b)	08/25/16		6,154		116,268
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O		1.778%	(b)	05/25/19		19,640		1,298,726
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O		1.707%	(b)	07/25/19		20,734		1,330,697
GE Capital Commercial Mortgage Corp., Series 2005-C4, Class A4		5.313%	(b)	11/10/45		2,585		2,625,137
GE Capital Commercial Mortgage Corp., Series 2006-C1, Class A4		5.274%	(b)	03/10/44		1,980		2,029,060
GS Mortgage Securities Trust, Series 2006-GG6, Class AAB		5.553%	(b)	04/10/38		1,232		1,243,834
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1		3.408%		11/15/47		1,400		1,435,298
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP2, Class A3		4.697%		07/15/42		2		1,547
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP2, Class AM		4.780%		07/15/42		1,000		1,007,794
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP4, Class AM		4.999%	(b)	10/15/42		1,270		1,295,479
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class ASB		5.523%		05/12/45		1,116		1,141,952
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3		3.139%		06/15/45		1,973		2,039,878
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4		2.611%		12/15/47		1,700		1,666,775
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4		2.875%		12/15/47		3,900		3,887,032
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2		3.070%		12/15/46		2,700		2,798,469
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46		1,400		1,368,602
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM		5.263%	(b)	11/15/40		1,510		1,557,425
Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM		5.677%	(b)	05/12/39		930		976,403
ML-CFC Commercial Mortgage Trust, Series 2006-1, Class AM		5.517%	(b)	02/12/39		530		551,967
ML-CFC Commercial Mortgage Trust, Series 2006-2, Class A4		5.869%	(b)	06/12/46		1,736		1,821,270
ML-CFC Commercial Mortgage Trust, Series 2007-6, Class A2		5.331%		03/12/51		1,925		1,947,949
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3		2.863%		12/15/48		1,500		1,487,852
Morgan Stanley Capital I Trust, Series 2006-IQ11, Class A4		5.656%	(b)	10/15/42		2,136		2,194,672
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class A31		5.439%		02/12/44		212		213,054
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB		5.444%		02/12/44		1,775		1,786,204
Morgan Stanley Capital I Trust, Series 2007-T27, Class AAB		5.651%	(b)	06/11/42		249		248,848
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4		2.792%		12/10/45		1,700		1,683,024
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3		2.920%		03/10/46		3,900		3,899,068
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3		2.971%		04/10/46		1,800		1,803,739
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4		5.723%	(b)	05/15/43		584		605,459
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4(a)		5.509%		04/15/47		4,500		4,739,602

SEE NOTES TO FINANCIAL STATEMENTS.

A73

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A		5.608%	(b)	05/15/46		1,321	$	1,406,633
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $127,802,592)								126,967,833
CORPORATE BONDS — 7.6%
Airlines — 0.1%
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A		6.648%		09/15/17		112		116,423
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A		7.250%		11/10/19		612		706,831
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A(a)		4.750%		01/12/21		709		755,575
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A		4.000%		10/29/24		667		677,469
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A		6.821%		08/10/22		327		379,438
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A		4.950%		05/23/19		519		555,199
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A		5.300%		04/15/19		1,011		1,099,426
								4,290,361
Automotive — 0.1%
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes		4.207%		04/15/16		2,090		2,163,244
General Motors Co., Sr. Unsec’d. Notes		6.250%		10/02/43		1,395		1,666,467
Harley-Davidson Financial Services, Inc., Gtd. Notes, MTN, 144A		2.700%		03/15/17		450		461,095
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A		4.250%		11/15/19		715		720,362
Johnson Controls, Inc., Sr. Unsec’d. Notes		5.500%		01/15/16		245		256,570
								5,267,738
Banking — 2.4%
American Express Co., Jr. Sub. Notes(a)		5.200%	(b)	12/31/49		605		614,433
American Express Co., Sr. Unsec’d. Notes		2.650%		12/02/22		2,213		2,170,468
Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A		3.875%		09/20/22		645		638,217
Bank of America Corp., Series K, Jr. Sub. Notes		8.000%	(b)	12/29/49		2,200		2,362,250
Bank of America Corp., Sr. Unsec’d. Notes, MTN		3.300%		01/11/23		780		780,060
Bank of America Corp., Sr. Unsec’d. Notes, MTN(a)		4.125%		01/22/24		3,820		4,011,592
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.500%		04/01/15		595		600,591
Bank of America Corp., Sr. Unsec’d. Notes, MTN		5.000%		05/13/21		630		702,987
Bank of America Corp., Sr. Unsec’d. Notes		5.700%		01/24/22		1,770		2,050,434
Bank of America Corp., Sr. Unsec’d. Notes		6.000%		09/01/17		1,075		1,185,352
Bank of America Corp., Sr. Unsec’d. Notes,		4.000%		04/01/24		975		1,015,194
Bank of America Corp., Sr. Unsec’d. Notes, Series 1		3.750%		07/12/16		870		901,110
Bank of America Corp., Sub. Notes		5.750%		08/15/16		1,775		1,889,647
Bank of America NA, Sub. Notes		5.300%		03/15/17		930		998,973
Bank of America NA, Sub. Notes		6.000%		10/15/36		410		513,550
Bank of Nova Scotia (Canada), Covered Notes, 144A		1.650%		10/29/15		1,535		1,548,318
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes		5.300%		10/30/15		515		533,877
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes		6.400%		10/02/17		330		369,570
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes		7.250%		02/01/18		1,175		1,354,246
Capital One Bank USA NA, Sub. Notes		3.375%		02/15/23		1,560		1,551,328
Capital One Financial Corp., Sr. Unsec’d. Notes(a)		3.750%		04/24/24		2,590		2,645,941
Citigroup, Inc., Sr. Unsec’d. Notes		3.875%		10/25/23		1,900		1,974,864
Citigroup, Inc., Sr. Unsec’d. Notes		3.953%		06/15/16		1,010		1,048,452
Citigroup, Inc., Sr. Unsec’d. Notes(a)		4.500%		01/14/22		2,450		2,677,257
Citigroup, Inc., Sr. Unsec’d. Notes		6.875%		03/05/38		24		32,699
Citigroup, Inc., Sr. Unsec’d. Notes		8.125%		07/15/39		710		1,086,963
Citigroup, Inc., Sr. Unsec’d. Notes		8.500%		05/22/19		1,895		2,361,297
Citigroup, Inc., Sub. Notes		6.125%		08/25/36		570		679,481

SEE NOTES TO FINANCIAL STATEMENTS.

A74

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate	Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
Compass Bank, Sr. Unsec’d. Notes	1.850%	09/29/17		1,270	$	1,264,583
Discover Bank, Sr. Unsec’d. Notes	4.250%	03/13/26		970		1,005,501
Discover Bank, Sub. Notes	7.000%	04/15/20		570		671,770
Discover Financial Services, Sr. Unsec’d. Notes	3.850%	11/21/22		900		915,662
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	3.625%	02/07/16		2,000		2,052,116
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	5.250%	07/27/21		2,055		2,319,400
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(a)	5.750%	01/24/22		3,620		4,187,569
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	6.250%	02/01/41		270		341,319
Goldman Sachs Group, Inc. (The), Sub. Notes	5.625%	01/15/17		1,190		1,276,390
Goldman Sachs Group, Inc. (The), Sub. Notes(a)	6.750%	10/01/37		104		130,767
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes	4.875%	01/14/22		1,910		2,128,980
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes	5.100%	04/05/21		1,025		1,158,658
Huntington Bancshares, Inc., Sub. Notes(a)	7.000%	12/15/20		170		204,600
Intesa Sanpaolo SpA (Italy), Gtd. Notes	3.125%	01/15/16		1,395		1,417,048
JPMorgan Chase & Co., Jr. Sub. Notes(a)	6.100%(b)	12/31/49		1,275		1,271,813
JPMorgan Chase & Co., Jr. Sub. Notes	7.900%(b)	04/29/49		2,000		2,152,600
JPMorgan Chase & Co., Sr. Unsec’d. Notes	4.250%	10/15/20		2,930		3,150,043
JPMorgan Chase & Co., Sub. Notes	5.625%	08/16/43		490		569,823
Lloyds Bank PLC (United Kingdom), Gtd. Notes	6.375%	01/21/21		1,400		1,682,796
Lloyds Bank PLC (United Kingdom), Gtd. Notes, MTN, 144A	5.800%	01/13/20		1,870		2,160,869
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN	6.400%	08/28/17		20		22,283
Morgan Stanley, Jr. Sub. Notes(a)	5.450%(b)	12/31/49		840		841,512
Morgan Stanley, Sr. Unsec’d. Notes, MTN	5.450%	01/09/17		1,345		1,444,145
Morgan Stanley, Sr. Unsec’d. Notes, MTN	5.500%	07/28/21		2,360		2,678,319
Morgan Stanley, Sr. Unsec’d. Notes, MTN(a)	5.625%	09/23/19		1,415		1,597,244
Morgan Stanley, Sr. Unsec’d. Notes	5.750%	01/25/21		1,400		1,607,131
Morgan Stanley, Sr. Unsec’d. Notes(a)	6.375%	07/24/42		780		1,035,867
Morgan Stanley, Sr. Unsec’d. Notes, MTN	6.625%	04/01/18		105		119,599
MUFG Capital Finance 1 Ltd. (Japan), Gtd. Notes	6.346%(b)	07/29/49		800		852,130
Northern Trust Corp., Sub. Notes	3.950%	10/30/25		990		1,030,349
People’s United Bank, Sub. Notes	4.000%	07/15/24		465		470,995
People’s United Financial, Inc., Sr. Unsec’d. Notes	3.650%	12/06/22		1,455		1,466,764
PNC Bank NA, Sub. Notes	3.800%	07/25/23		270		278,315
PNC Funding Corp., Gtd. Notes	6.700%	06/10/19		440		520,972
Royal Bank of Canada (Canada), Covered Notes(a)	2.200%	09/23/19		2,940		2,961,521
Royal Bank of Scotland Group PLC (The) (United Kingdom), Sr. Unsec’d. Notes	2.550%	09/18/15		455		459,555
Santander Holdings USA, Inc., Sr. Unsec’d. Notes	3.000%	09/24/15		955		966,447
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes	2.450%	01/10/19		1,210		1,215,478
US Bancorp, Sub. Notes, MTN	2.950%	07/15/22		1,120		1,104,067
Wells Fargo & Co., Sub. Notes(a)	4.650%	11/04/44		1,165		1,202,118
Westpac Banking Corp. (Australia), Covered Notes, 144A	2.000%	05/21/19		5,315		5,295,887
						95,532,156
Brokerage
Jefferies Group LLC, Sr. Unsec’d. Notes	6.500%	01/20/43		560		571,245
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(c)	6.875%	02/06/12		1,715		250,819
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(c)	6.875%	05/02/18		700		104,125
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN	2.000%	09/13/16		820		826,615
						1,752,804
Building Materials & Construction — 0.1%
Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A (original cost $800,000; purchased 10/27/14)(d)	5.375%	11/15/24		800		798,000
D.R. Horton, Inc., Gtd. Notes(a)	3.625%	02/15/18		450		455,625
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A (original cost $740,000; purchased 06/19/14)(d)(e)	5.250%	06/27/29		740		647,130
Owens Corning, Inc., Gtd. Notes	4.200%	12/15/22		775		786,531
						2,687,286

SEE NOTES TO FINANCIAL STATEMENTS.

A75

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Cable — 0.2%
Cablevision Systems Corp., Sr. Unsec’d. Notes		8.625%	09/15/17		1,000	$	1,112,500
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(a)		7.250%	10/30/17		1,400		1,456,700
Comcast Cable Communications Holdings, Inc., Gtd. Notes		9.455%	11/15/22		255		366,599
Comcast Corp., Gtd. Notes		6.400%	05/15/38		530		707,659
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes		3.500%	03/01/16		920		943,997
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes		3.550%	03/15/15		165		165,979
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes		5.150%	03/15/42		860		888,690
DISH DBS Corp., Gtd. Notes(a)		7.125%	02/01/16		1,000		1,051,250
Time Warner Cable, Inc., Gtd. Notes		5.850%	05/01/17		1,710		1,866,549
Videotron Ltd. (Canada), Gtd. Notes		5.000%	07/15/22		1,040		1,058,200
							9,618,123
Capital Goods — 0.3%
Actuant Corp., Gtd. Notes		5.625%	06/15/22		1,205		1,250,187
Case New Holland Industrial, Inc., Gtd. Notes		7.875%	12/01/17		1,255		1,380,500
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,299,722; purchased 10/10/07)(d)(e)		6.375%	10/15/17		1,302		1,461,888
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $501,539; purchased 05/30/13)(d)(e)		6.700%	06/01/34		420		540,285
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $376,709; purchased 10/10/07)(d)(e)		7.000%	10/15/37		380		512,093
General Electric Co., Sr. Unsec’d. Notes		4.125%	10/09/42		190		196,690
General Electric Co., Sr. Unsec’d. Notes		4.500%	03/11/44		280		307,782
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A (original cost $1,887,203; purchased 09/24/12)(d)(e)		2.500%	03/15/16		1,890		1,916,010
Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A (original cost $499,515; purchased 05/08/12)(d)(e)		3.125%	05/11/15		500		504,050
SPX Corp., Gtd. Notes(a)		6.875%	09/01/17		950		1,037,875
United Rentals North America, Inc., Gtd. Notes		7.375%	05/15/20		1,000		1,080,000
United Technologies Corp., Sr. Unsec’d. Notes(a)		4.500%	06/01/42		1,445		1,573,300
Xylem, Inc., Sr. Unsec’d. Notes		4.875%	10/01/21		1,260		1,361,230
							13,121,890
Chemicals — 0.2%
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		3.150%	10/01/22		780		761,412
CF Industries, Inc., Gtd. Notes(a)		5.375%	03/15/44		585		631,154
Dow Chemical Co. (The), Sr. Unsec’d. Notes		4.625%	10/01/44		45		45,571
Dow Chemical Co. (The), Sr. Unsec’d. Notes		9.400%	05/15/39		347		563,019
Koppers, Inc., Gtd. Notes		7.875%	12/01/19		1,300		1,334,125
LyondellBasell Industries NV, Sr. Unsec’d. Notes		5.000%	04/15/19		1,000		1,090,764
Monsanto Co., Sr. Unsec’d. Notes		4.200%	07/15/34		195		203,190
Monsanto Co., Sr. Unsec’d. Notes		4.400%	07/15/44		235		243,823
Mosaic Co. (The), Sr. Unsec’d. Notes		5.450%	11/15/33		345		390,335
Mosaic Co. (The), Sr. Unsec’d. Notes		5.625%	11/15/43		1,135		1,300,727
Union Carbide Corp., Sr. Unsec’d. Notes		7.500%	06/01/25		460		595,404
							7,159,524
Consumer — 0.1%
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes		6.250%	04/15/18		1,700		1,917,020
Electric — 0.4%
Arizona Public Service Co., Sr. Unsec’d. Notes		6.250%	08/01/16		175		189,528
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes(a)		6.350%	10/01/36		550		750,846
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes		6.125%	04/01/36		310		389,463
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge.		6.950%	03/15/33		590		823,627
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Series 09-C		5.500%	12/01/39		220		264,069
Duke Energy Carolinas LLC, First Mortgage		6.050%	04/15/38		550		715,185
Duke Energy Carolinas LLC, First Ref. Mortgage		4.000%	09/30/42		570		584,906
Dynegy Finance I, Inc./Dynegy Finance II, Inc., Sr. Sec’d. Notes, 144A		7.375%	11/01/22		345		351,038
Dynegy Finance I, Inc./Dynegy Finance II, Inc., Sr. Sec’d. Notes, 144A		6.750%	11/01/19		455		462,963
El Paso Electric Co., Sr. Unsec’d. Notes		6.000%	05/15/35		670		839,678

SEE NOTES TO FINANCIAL STATEMENTS.

A76

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Electric (continued)
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes		8.625%		08/01/15		1,295	$	1,347,034
Exelon Corp., Sr. Unsec’d. Notes		4.900%		06/15/15		155		157,772
Exelon Generation Co. LLC, Sr. Unsec’d. Notes		6.250%		10/01/39		1,425		1,711,526
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A		5.450%		07/15/44		355		382,642
Florida Power & Light Co., First Mortgage		5.950%		10/01/33		295		389,076
Iberdrola International BV (Spain), Gtd. Notes		6.750%		09/15/33		145		179,892
Nevada Power Co., Gen. Ref. Mtge.		6.500%		05/15/18		1,260		1,451,548
Niagara Mohawk Power Corp. (United Kingdom), Sr. Unsec’d. Notes, 144A		4.881%		08/15/19		610		674,659
Northeast Utilities, Sr. Unsec’d. Notes		4.500%		11/15/19		615		668,837
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes		6.375%		01/15/15		345		345,495
Public Service Co. of New Mexico, Sr. Unsec’d. Notes		7.950%		05/15/18		140		164,761
Public Service Electric & Gas Co, Sr. Sec’d. Notes, MTN		5.800%		05/01/37		535		692,572
Xcel Energy, Inc., Sr. Unsec’d. Notes		4.800%		09/15/41		480		535,392
Xcel Energy, Inc., Sr. Unsec’d. Notes		5.613%		04/01/17		199		217,175
								14,289,684
Energy – Integrated
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A		5.375%		01/26/19		460		396,290
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A		5.400%		02/14/22		800		866,646
								1,262,936
Energy – Other — 0.3%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		4.677%	(f)	10/10/36		2,000		758,548
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.375%		09/15/17		1,195		1,328,603
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.450%		09/15/36		325		390,551
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.950%		06/15/19		250		292,088
Cameron International Corp., Sr. Unsec’d. Notes		4.500%		06/01/21		2,200		2,328,304
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes(a)		4.800%		11/01/43		65		70,049
Nabors Industries, Inc., Gtd. Notes		4.625%		09/15/21		1,070		1,005,310
Newfield Exploration Co., Sr. Sub. Notes(a)		6.875%		02/01/20		375		380,625
Phillips 66, Gtd. Notes		2.950%		05/01/17		490		506,064
Pioneer Natural Resources Co., Sr. Unsec’d. Notes		6.875%		05/01/18		1,500		1,679,137
Transocean, Inc., Gtd. Notes		2.500%		10/15/17		620		548,107
Weatherford International Ltd., Gtd. Notes		5.125%		09/15/20		810		795,792
								10,083,178
Foods — 0.2%
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes		8.000%		11/15/39		1,285		1,965,285
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes		8.200%		01/15/39		250		385,955
Bunge Ltd. Finance Corp., Gtd. Notes		8.500%		06/15/19		985		1,207,157
Constellation Brands, Inc., Gtd. Notes		4.250%		05/01/23		1,400		1,389,500
Delhaize Group SA (Belgium), Gtd. Notes		6.500%		06/15/17		480		529,510
Tyson Foods, Inc., Gtd. Notes		6.600%		04/01/16		735		783,513
								6,260,920
Gaming
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes(a)		4.375%		11/01/18		1,000		1,022,500
Healthcare & Pharmaceutical — 0.6%
Actavis Funding SCS, Gtd. Notes		4.850%		06/15/44		545		553,031
Actavis, Inc., Gtd. Notes		6.125%		08/15/19		445		504,738
Amgen, Inc., Sr. Unsec’d. Notes		5.150%		11/15/41		1,640		1,848,526
Bayer U.S. Finance LLC (Germany), Gtd. Notes, 144A		3.375%		10/08/24		500		508,786
Becton Dickinson and Co., Sr. Unsec’d. Notes		3.734%		12/15/24		1,025		1,055,314
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes(a)		5.125%		08/15/18		1,100		1,138,500
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A		4.125%		10/15/20		665		668,325
Gilead Sciences, Inc., Sr. Unsec’d. Notes		3.500%		02/01/25		1,460		1,498,544
Gilead Sciences, Inc., Sr. Unsec’d. Notes		5.650%		12/01/41		185		229,063
HCA, Inc., Sr. Sec’d. Notes(a)		4.250%		10/15/19		555		563,325
HCA, Inc., Sr. Sec’d. Notes(a)		5.000%		03/15/24		1,100		1,130,250

SEE NOTES TO FINANCIAL STATEMENTS.

A77

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Healthcare & Pharmaceutical (continued)
HCA, Inc., Sr. Sec’d. Notes(a)		5.250%		04/15/25		400	$	418,000
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes(a)		3.750%		08/23/22		180		184,154
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes		5.625%		12/15/15		580		603,355
Medtronic, Inc., Sr. Unsec’d. Notes, 144A		3.500%		03/15/25		3,205		3,278,619
Medtronic, Inc., Sr. Unsec’d. Notes, 144A		4.375%		03/15/35		1,355		1,437,460
Mylan, Inc., Gtd. Notes		1.800%		06/24/16		425		427,563
Novartis Capital Corp. (Switzerland), Gtd. Notes		4.400%		05/06/44		1,325		1,484,851
Roche Holdings, Inc. (Switzerland), Gtd. Notes, 144A(a)		2.875%		09/29/21		5,305		5,371,281
Wyeth LLC, Gtd. Notes		6.450%		02/01/24		60		75,277
Zoetis, Inc., Sr. Unsec’d. Notes		4.700%		02/01/43		120		122,133
								23,101,095
Healthcare Insurance — 0.1%
Aetna, Inc., Sr. Unsec’d. Notes		6.625%		06/15/36		515		686,360
Anthem, Inc., Sr. Unsec’d. Notes		4.625%		05/15/42		390		409,250
Anthem, Inc., Sr. Unsec’d. Notes		4.650%		01/15/43		360		374,674
Cigna Corp., Sr. Unsec’d. Notes		5.875%		03/15/41		650		809,250
Cigna Corp., Sr. Unsec’d. Notes		6.150%		11/15/36		670		835,084
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		3.950%		10/15/42		260		258,443
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.000%		06/15/17		195		216,213
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.500%		06/15/37		420		562,793
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.625%		11/15/37		420		573,608
								4,725,675
Insurance — 0.7%
Allied World Assurance Co. Holdings Ltd., Gtd. Notes		5.500%		11/15/20		525		585,595
Allstate Corp. (The), Sr. Unsec’d. Notes		4.500%		06/15/43		150		165,503
American International Group, Inc., Sr. Unsec’d. Notes		4.500%		07/16/44		570		602,211
American International Group, Inc., Sr. Unsec’d. Notes		6.400%		12/15/20		2,425		2,891,740
Aon Corp. (United Kingdom), Gtd. Notes		3.125%		05/27/16		2,655		2,724,367
Axis Specialty Finance LLC, Gtd. Notes		5.875%		06/01/20		1,030		1,166,763
Chubb Corp. (The), Jr. Sub. Notes		6.375%	(b)	03/29/67		1,300		1,393,665
Dai-ichi Life Insurance Co. Ltd. (The) (Japan), Jr. Sub. Notes, 144A		5.100%	(b)	12/29/49		480		499,800
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes		5.125%		04/15/22		755		848,686
Liberty Mutual Group, Inc., Gtd. Notes, 144A		6.500%		05/01/42		365		446,334
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A		7.000%		03/15/34		850		1,079,799
Lincoln National Corp., Jr. Sub. Notes		6.050%	(b)	04/20/67		260		260,000
Lincoln National Corp., Sr. Unsec’d. Notes		6.300%		10/09/37		492		624,220
Lincoln National Corp., Sr. Unsec’d. Notes		7.000%		06/15/40		705		977,715
Lincoln National Corp., Sr. Unsec’d. Notes		8.750%		07/01/19		605		755,966
Markel Corp., Sr. Unsec’d. Notes		5.000%		03/30/43		200		212,379
MetLife, Inc., Sr. Unsec’d. Notes(a)		5.700%		06/15/35		835		1,040,567
MetLife, Inc., Sr. Unsec’d. Notes		6.375%		06/15/34		400		533,016
New York Life Insurance Co., Sub. Notes, 144A(a)		6.750%		11/15/39		660		918,642
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A(a)		5.100%	(b)	10/16/44		1,925		2,011,625
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A		6.063%		03/30/40		370		478,270
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A		6.375%		04/30/20		680		780,703
Pacific Life Insurance Co., Sub. Notes, 144A		9.250%		06/15/39		910		1,431,433
Principal Financial Group, Inc., Gtd. Notes		4.625%		09/15/42		130		136,457
Progressive Corp. (The), Jr. Sub. Notes		6.700%(b)		06/15/37		735		795,086
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A		6.850%		12/16/39		1,450		1,980,452
Unum Group, Sr. Unsec’d. Notes		5.625%		09/15/20		350		394,115
W.R. Berkley Corp., Sr. Unsec’d. Notes		5.600%		05/15/15		555		564,711
W.R. Berkley Corp., Sr. Unsec’d. Notes		6.150%		08/15/19		460		519,182
								26,819,002
Lodging — 0.2%
Choice Hotels International, Inc., Gtd. Notes		5.750%		07/01/22		1,000		1,072,500
Marriott International, Inc., Sr. Unsec’d. Notes		3.000%		03/01/19		580		595,386

SEE NOTES TO FINANCIAL STATEMENTS.

A78

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate	Maturity Date	Principal Amount (000)#		Value (Note 2)
Lodging (continued)
Marriott International, Inc., Sr. Unsec’d. Notes	3.250%	09/15/22		980	$	983,938
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes(a)	6.750%	05/15/18		2,800		3,187,128
Wyndham Worldwide Corp., Sr. Unsec’d. Notes	2.500%	03/01/18		490		489,162
						6,328,114
Media & Entertainment — 0.2%
21st Century Fox America, Inc., Gtd. Notes	6.150%	03/01/37		515		645,453
21st Century Fox America, Inc., Gtd. Notes	6.150%	02/15/41		1,315		1,673,535
21st Century Fox America, Inc., Gtd. Notes	6.900%	08/15/39		90		122,011
CBS Corp., Gtd. Notes (original cost $161,953; purchased 07/16/12)(d)(e)	4.850%	07/01/42		155		157,093
Historic TW, Inc., Gtd. Notes	9.150%	02/01/23		505		686,853
Myriad International Holdings BV (South Africa), Gtd. Notes, RegS	6.375%	07/28/17		1,300		1,417,000
Time Warner, Inc., Gtd. Notes	6.200%	03/15/40		210		255,657
Time Warner, Inc., Gtd. Notes	6.250%	03/29/41		1,465		1,819,148
Time Warner, Inc., Gtd. Notes	7.625%	04/15/31		90		125,472
Viacom, Inc., Sr. Unsec’d. Notes (original cost $44,077; purchased 07/25/13)(d)(e)	4.500%	02/27/42		50		48,746
Viacom, Inc., Sr. Unsec’d. Notes (original cost $188,796; purchased 02/11/14)(d)(e)	4.875%	06/15/43		200		195,463
Viacom, Inc., Sr. Unsec’d. Notes (original cost $422,250; purchased 08/12/13)(d)(e)	5.850%	09/01/43		425		472,630
						7,619,061
Metals — 0.1%
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes	5.000%	09/30/43		920		1,042,839
Glencore Finance Canada Ltd. (Switzerland), Gtd. Notes, 144A	2.050%	10/23/15		1,110		1,117,223
Glencore Finance Canada Ltd. (Switzerland), Gtd. Notes, 144A	2.700%	10/25/17		1,220		1,234,283
Newmont Mining Corp., Gtd. Notes	6.250%	10/01/39		35		35,502
Southern Copper Corp., Sr. Unsec’d. Notes	7.500%	07/27/35		425		478,122
						3,907,969
Non-Captive Finance — 0.2%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes, 144A	3.750%	05/15/19		775		767,250
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN(a)	5.875%	01/14/38		1,040		1,315,975
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN	6.000%	08/07/19		920		1,070,119
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN	6.875%	01/10/39		2,270		3,210,931
International Lease Finance Corp., Sr. Unsec’d. Notes	5.750%	05/15/16		375		389,063
Navient LLC, Sr. Unsec’d. Notes, MTN	8.450%	06/15/18		240		267,600
						7,020,938
Packaging
Crown Americas LLC/Crown Americas Capital Corp. IV, Gtd. Notes	4.500%	01/15/23		1,100		1,067,000
Paper — 0.1%
Georgia-Pacific LLC, Gtd. Notes, 144A (original cost $288,298; purchased 10/27/10)(d)(e)	5.400%	11/01/20		290		326,319
International Paper Co., Sr. Unsec’d. Notes	6.000%	11/15/41		1,595		1,867,315
International Paper Co., Sr. Unsec’d. Notes	7.950%	06/15/18		510		601,246
Rock-Tenn Co., Gtd. Notes	4.900%	03/01/22		800		859,351
						3,654,231
Pipelines & Other — 0.1%
Energy Transfer Partners LP, Sr. Unsec’d. Notes	4.650%	06/01/21		675		705,602
Enterprise Products Operating LLC, Gtd. Notes	3.750%	02/15/25		1,345		1,350,122
Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes	5.950%	02/15/18		510		563,042
NiSource Finance Corp., Gtd. Notes	5.250%	09/15/17		245		267,912
NiSource Finance Corp., Gtd. Notes	5.450%	09/15/20		350		393,859
ONEOK Partners LP, Gtd. Notes	6.650%	10/01/36		145		166,877
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes, 144A	4.125%	11/15/19		775		745,937
						4,193,351

SEE NOTES TO FINANCIAL STATEMENTS.

A79

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Railroads
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes		6.700%	08/01/28		670	$	848,780
CSX Corp., Sr. Unsec’d. Notes		6.150%	05/01/37		715		924,780
Norfolk Southern Corp., Sr. Unsec’d. Notes		5.590%	05/17/25		100		118,870
							1,892,430
Real Estate Investment Trusts (REITs) — 0.1%
Mack-Cali Realty LP, Sr. Unsec’d. Notes		7.750%	08/15/19		765		904,583
ProLogis LP, Gtd. Notes		6.875%	03/15/20		72		84,572
Simon Property Group LP, Sr. Unsec’d. Notes		2.800%	01/30/17		295		303,777
Simon Property Group LP, Sr. Unsec’d. Notes		3.375%	03/15/22		230		236,767
Simon Property Group LP, Sr. Unsec’d. Notes		6.125%	05/30/18		3,080		3,505,326
							5,035,025
Retailers — 0.1%
CVS Health Corp., Sr. Unsec’d. Notes		5.300%	12/05/43		225		268,970
Home Depot, Inc. (The), Sr. Unsec’d. Notes		4.400%	03/15/45		755		825,152
L Brands, Inc., Gtd. Notes(a)		5.625%	02/15/22		1,450		1,558,750
Lowe’s Cos., Inc., Sr. Unsec’d. Notes		6.500%	03/15/29		385		487,766
Macy’s Retail Holdings, Inc., Gtd. Notes(a)		3.875%	01/15/22		360		374,173
Target Corp., Sr. Unsec’d. Notes		3.500%	07/01/24		345		358,170
							3,872,981
Technology — 0.1%
Arrow Electronics, Inc., Sr. Unsec’d. Notes		3.375%	11/01/15		400		407,211
Fiserv, Inc., Gtd. Notes		3.125%	06/15/16		2,410		2,474,338
Oracle Corp., Sr. Unsec’d. Notes(a)		4.300%	07/08/34		920		985,018
Seagate HDD Cayman, Gtd. Notes, 144A		3.750%	11/15/18		605		620,881
							4,487,448
Telecommunications — 0.5%
America Movil SAB de CV (Mexico), Gtd. Notes		6.125%	03/30/40		480		567,941
AT&T Corp., Gtd. Notes		8.000%	11/15/31		7		10,315
AT&T, Inc., Sr. Unsec’d. Notes(a)		4.800%	06/15/44		1,305		1,329,738
AT&T, Inc., Sr. Unsec’d. Notes		5.350%	09/01/40		815		882,499
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes		9.625%	12/15/30		400		628,020
Embarq Corp., Sr. Unsec’d. Notes (original cost $367,380; purchased 05/04/11-05/11/11)(d)(e)		7.082%	06/01/16		325		350,225
Embarq Corp., Sr. Unsec’d. Notes (original cost $479,966; purchased 05/12/06)(d)(e)		7.995%	06/01/36		480		536,400
Sprint Communications, Inc., Sr. Unsec’d. Notes		6.000%	12/01/16		1,075		1,124,477
Verizon Communications, Inc., Sr. Unsec’d. Notes(a)		6.400%	09/15/33		930		1,145,558
Verizon Communications, Inc., Sr. Unsec’d. Notes		6.550%	09/15/43		1,740		2,229,199
Verizon Communications, Inc., Sr. Unsec’d. Notes(a)		3.500%	11/01/24		1,270		1,247,774
Verizon Communications, Inc., Sr. Unsec’d. Notes		6.350%	04/01/19		3,165		3,667,485
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A(a)		4.862%	08/21/46		1,256		1,290,197
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A(a)		5.012%	08/21/54		3,127		3,235,035
							18,244,863
Tobacco — 0.1%
Altria Group, Inc., Gtd. Notes(a)		4.000%	01/31/24		1,500		1,563,871
Altria Group, Inc., Gtd. Notes		9.950%	11/10/38		46		78,690
Altria Group, Inc., Gtd. Notes		10.200%	02/06/39		254		442,250
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A		2.050%	02/11/18		2,050		2,038,514
Lorillard Tobacco Co., Gtd. Notes		3.500%	08/04/16		465		478,702
Lorillard Tobacco Co., Gtd. Notes		8.125%	06/23/19		325		394,006
							4,996,033
TOTAL CORPORATE BONDS (cost $279,703,191)							301,231,336

SEE NOTES TO FINANCIAL STATEMENTS.

A80

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

FOREIGN AGENCIES — 0.6%	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A		3.150%	07/24/24		800	$	815,642
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A		4.875%	01/15/24		645		674,025
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes		5.125%	06/29/20		400		450,792
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		9.250%	04/23/19		930		948,135
Hashemite Kingdom of Jordan Government USAID Bond, U.S. Gov’t. Gtd. Notes		2.503%	10/30/20		1,378		1,400,959
KFW (Germany), Gov’t. Gtd. Notes, GMTN		2.750%	10/01/20		3,525		3,682,003
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A		1.125%	05/23/18		3,158		3,123,167
Pemex Project Funding Master Trust (Mexico), Gtd. Notes		6.625%	06/15/35		1,624		1,875,720
Pemex Project Funding Master Trust (Mexico), Sr. Unsec’d. Notes		8.625%	12/01/23		350		433,650
Petrobras Global Finance BV (Brazil), Gtd. Notes		2.000%	05/20/16		1,665		1,590,325
Petroleos Mexicanos (Mexico), Gtd. Notes(a)		3.500%	01/30/23		970		927,805
Petroleos Mexicanos (Mexico), Gtd. Notes		4.875%	01/18/24		510		529,890
Petroleos Mexicanos (Mexico), Gtd. Notes		5.500%	01/21/21		2,730		2,955,225
Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.299%	05/15/17		1,030		910,520
Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A		1.750%	04/10/17		1,620		1,612,273
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A		2.750%	05/07/19		665		667,794
Ukraine Government USAID Bonds, U.S. Gov’t. Gtd. Notes		1.844%	05/16/19		1,605		1,615,834
TOTAL FOREIGN AGENCIES (cost $24,401,801)							24,213,759
MUNICIPAL BONDS — 0.4%
California — 0.1%
Bay Area Toll Authority, Revenue Bonds, BABs		6.263%	04/01/49		1,325		1,869,747
State of California, GO, BABs		7.300%	10/01/39		1,270		1,863,522
State of California, GO, BABs		7.500%	04/01/34		475		710,837
State of California, GO, BABs		7.550%	04/01/39		245		377,653
State of California, GO, BABs		7.625%	03/01/40		215		330,014
							5,151,773
Colorado
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs		5.844%	11/01/50		680		945,499
Illinois — 0.1%
Chicago O’Hare International Airport, Revenue Bonds, BABs		6.395%	01/01/40		1,030		1,393,384
State of Illinois, GO, Taxable Series		4.421%	01/01/15		740		740,000
							2,133,384
New Jersey — 0.1%
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs		7.414%	01/01/40		1,070		1,613,539
New York — 0.1%
New York City Transitional Finance Authority, Revenue Bonds, BABs		5.767%	08/01/36		1,130		1,416,093
Ohio
Ohio State University (The), Revenue Bonds, BABs		4.910%	06/01/40		455		555,428
Ohio State Water Development Authority, Revenue Bonds, BABs		4.879%	12/01/34		300		336,711
							892,139
Oregon
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs		5.834%	11/15/34		445		577,557
Pennsylvania
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs		5.511%	12/01/45		550		678,722
Tennessee
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs		6.731%	07/01/43		1,000		1,344,400
Texas
Texas State Transportation Commission, Revenue Bonds, Series B, BABs		5.028%	04/01/26		335		390,513
TOTAL MUNICIPAL BONDS (cost $11,417,427)							15,143,619

SEE NOTES TO FINANCIAL STATEMENTS.

A81

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

SOVEREIGN BONDS — 0.3%	Interest Rate	Maturity Date	Principal Amount (000)#		Value (Note 2)
Brazilian Government International Bond (Brazil), Sr. Unsec’d. Notes	4.250%	01/07/25		1,275	$	1,275,000
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes	4.000%	02/26/24		1,475		1,508,187
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes	4.000%	03/25/19		580		595,950
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A	5.875%	03/13/20		1,135		1,257,012
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A	6.875%	01/17/18		1,120		1,265,600
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes	3.625%	03/15/22		700		715,050
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN	4.750%	03/08/44		1,006		1,048,755
Panama Government International Bond (Panama), Sr. Unsec’d. Notes	4.000%	09/22/24		515		529,163
Panama Government International Bond (Panama), Sr. Unsec’d. Notes(a)	5.200%	01/30/20		620		683,550
Province of British Columbia (Canada), Sr. Unsec’d. Notes	2.000%	10/23/22		1,620		1,584,665
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A	4.875%	01/22/24		190		207,100
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, 144A(a)	4.125%	02/18/19		200		209,504
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes	7.000%	06/05/20		810		941,826
TOTAL SOVEREIGN BONDS (cost $11,396,337)						11,821,362
U.S. GOVERNMENT AGENCY OBLIGATIONS — 7.4%
Federal Home Loan Bank	0.375%	08/28/15		460		460,399
Federal Home Loan Bank	5.500%	07/15/36		1,080		1,481,140
Federal Home Loan Mortgage Corp.(g)	0.750%	01/12/18		685		675,170
Federal Home Loan Mortgage Corp.	2.125%(b)	06/01/36		449		478,892
Federal Home Loan Mortgage Corp.	2.348%(b)	12/01/35		325		346,899
Federal Home Loan Mortgage Corp.	2.375%	01/13/22		6,020		6,081,970
Federal Home Loan Mortgage Corp.	2.500%	01/20/30		1,000		1,017,078
Federal Home Loan Mortgage Corp.	3.000%	10/01/28-01/01/43		5,154		5,314,455
Federal Home Loan Mortgage Corp.	3.500%	TBA		1,000		1,055,625
Federal Home Loan Mortgage Corp.	3.500%	02/12/43		9,500		9,854,023
Federal Home Loan Mortgage Corp.	4.000%	06/01/26-12/01/40		5,536		5,918,382
Federal Home Loan Mortgage Corp.	4.000%	TBA		6,000		6,379,570
Federal Home Loan Mortgage Corp.	4.500%	02/01/19-10/01/41		14,617		15,838,927
Federal Home Loan Mortgage Corp.	5.000%	07/01/18-06/01/39		4,571		4,995,487
Federal Home Loan Mortgage Corp.	5.500%	12/01/33-07/01/38		4,797		5,366,859
Federal Home Loan Mortgage Corp.	6.000%	03/01/32-08/01/39		2,288		2,597,609
Federal Home Loan Mortgage Corp.	7.000%	01/01/31-10/01/32		322		370,171
Federal National Mortgage Assoc.	1.750%	06/20/19		1,930		1,939,511
Federal National Mortgage Assoc.(a)	1.750%	11/26/19		2,525		2,526,515
Federal National Mortgage Assoc.	1.784%(b)	07/01/33		354		373,145
Federal National Mortgage Assoc.	1.809%(b)	06/01/37		139		139,225
Federal National Mortgage Assoc.(g)	1.875%	02/19/19		230		233,490
Federal National Mortgage Assoc.	2.500%	01/01/28		2,604		2,656,481
Federal National Mortgage Assoc.	2.500%	TBA		7,500		7,621,290
Federal National Mortgage Assoc.(h)	2.625%	09/06/24		2,485		2,516,612
Federal National Mortgage Assoc.	3.000%	TBA		16,000		16,630,626
Federal National Mortgage Assoc.	3.000%	12/01/42		2,259		2,289,583
Federal National Mortgage Assoc.	3.000%	TBA		24,500		24,721,553
Federal National Mortgage Assoc.	3.500%	TBA		8,500		8,860,587
Federal National Mortgage Assoc.	3.500%	06/01/39-03/01/43		22,146		23,134,698
Federal National Mortgage Assoc.	4.000%	TBA		14,500		15,475,182
Federal National Mortgage Assoc.	4.000%	TBA		10,500		11,177,455
Federal National Mortgage Assoc.	4.500%	11/01/18-07/01/42		11,621		12,670,127
Federal National Mortgage Assoc.	4.500%	TBA		4,000		4,341,875
Federal National Mortgage Assoc.	4.500%	TBA		5,000		5,417,969
Federal National Mortgage Assoc.	5.000%	10/01/18-02/01/36		8,555		9,456,149
Federal National Mortgage Assoc.	5.500%	03/01/16-08/01/37		6,454		7,235,830
Federal National Mortgage Assoc.	6.000%	09/01/17-05/01/38		5,737		6,528,384

SEE NOTES TO FINANCIAL STATEMENTS.

A82

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate	Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal National Mortgage Assoc.	6.500%	07/01/17-09/01/37		2,115	$	2,422,566
Federal National Mortgage Assoc.	7.000%	02/01/32-07/01/32		218		252,387
Federal National Mortgage Assoc.	7.500%	05/01/32		42		44,031
Financing Corp., Strips Principal, Series A-P	1.280%(f)	10/06/17		1,570		1,514,637
Financing Corp., Strips Principal, Series B-P	1.280%(f)	10/06/17		2,140		2,069,078
Government National Mortgage Assoc.	3.000%	TBA		2,500		2,556,562
Government National Mortgage Assoc.	3.000%	TBA		3,000		3,067,875
Government National Mortgage Assoc.	3.500%	TBA		14,000		14,695,625
Government National Mortgage Assoc.	3.500%	05/20/43		1,000		1,051,178
Government National Mortgage Assoc.	4.000%	06/15/40-05/20/41		1,515		1,628,944
Government National Mortgage Assoc.	4.000%	TBA		12,500		13,402,197
Government National Mortgage Assoc.	4.500%	TBA		2,000		2,185,234
Government National Mortgage Assoc.	4.500%	TBA		2,000		2,185,234
Government National Mortgage Assoc.	4.500%	01/20/41-02/20/41		5,092		5,589,189
Government National Mortgage Assoc.	5.500%	11/15/32-02/15/36		2,819		3,174,922
Government National Mortgage Assoc.	6.000%	02/15/33-10/15/34		1,288		1,477,484
Government National Mortgage Assoc.	6.500%	10/15/23-07/15/35		1,543		1,770,413
Government National Mortgage Assoc.	8.000%	01/15/24-04/15/25		42		47,876
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $286,432,883)						293,314,375
U.S. TREASURY OBLIGATIONS — 3.7%
U.S. Treasury Bonds	2.875%	05/15/43		1,085		1,109,751
U.S. Treasury Bonds	3.375%	05/15/44		3,145		3,540,581
U.S. Treasury Inflation Indexed Bonds, TIPS	1.375%	01/15/20		6,105		6,408,146
U.S. Treasury Inflation Indexed Bonds, TIPS	0.125%	04/15/19		26,844		26,548,456
U.S. Treasury Notes	1.000%	12/15/17-09/30/19		14,205		13,885,051
U.S. Treasury Notes	1.250%	11/30/18		3,455		3,430,708
U.S. Treasury Notes	1.375%	06/30/18		6,900		6,913,476
U.S. Treasury Notes	1.500%	12/31/18-10/31/19		53,890		53,822,529
U.S. Treasury Notes(a)	1.500%	11/30/19		2,180		2,166,205
U.S. Treasury Notes	1.625%	04/30/19-12/31/19		2,910		2,910,406
U.S. Treasury Notes	1.750%	05/15/23		1,000		973,672
U.S. Treasury Notes	2.250%	03/31/21		110		112,303
U.S. Treasury Notes	2.375%	05/31/18		9,210		9,546,736
U.S. Treasury Notes	2.875%	03/31/18		6,430		6,764,559
U.S. Treasury Notes	3.125%	05/15/21		130		139,506
U.S. Treasury Strips Principal(a)	3.470%(f)	05/15/44		14,555		6,296,042
TOTAL U.S. TREASURY OBLIGATIONS (cost $142,902,270)						144,568,127
TOTAL LONG-TERM INVESTMENTS (cost $3,093,765,991)						3,751,039,845
SHORT-TERM INVESTMENTS — 10.8%			Shares
AFFILIATED MUTUAL FUNDS — 10.7%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $133,374,308) (Note 4)(i)				13,562,345		126,672,300
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $294,529,119; includes $86,514,898 of cash collateral for securities on loan) (Note 4)(i)(j)				294,529,119		294,529,119
TOTAL AFFILIATED MUTUAL FUNDS (cost $427,903,427)						421,201,419

SEE NOTES TO FINANCIAL STATEMENTS.

A83

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

OPTIONS PURCHASED*			Notional Amount (000)#		Value (Note 2)
Call Options
2 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $109.38				54,400	$	42,500
2 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $110.00				54,400		4,250
TOTAL OPTIONS PURCHASED (cost $77,463)						46,750
U.S. TREASURY OBLIGATION — 0.1%	Interest Rate	Maturity Date	Principal Amount (000)#
U.S. Treasury Bill (cost $4,949,665)(g)	0.032%(k)	03/19/15		4,950		4,949,792
TOTAL SHORT-TERM INVESTMENTS (cost $432,930,555)						426,197,961
TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT & OPTION WRITTEN — 105.9% (cost $3,526,696,546)						4,177,237,806
SECURITY SOLD SHORT
U.S. GOVERNMENT AGENCY OBLIGATION
Federal National Mortgage Assoc. (proceeds received $1,555,430)	3.500%	TBA		1,500		(1,559,590	)
OPTION WRITTEN*			Notional Amount (000)#
Call Option
2 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $109.63 (premiums received $50,037)				108,800		(17,000	)
TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT & OPTION WRITTEN — 105.9% (cost $3,525,091,079)						4,175,661,216
LIABILITIES IN EXCESS OF OTHER ASSETS(l) — (5.9)%						(231,849,606	)
NET ASSETS — 100.0%					$	3,943,811,610

See the Glossary for abbreviations used in the Portfolio descriptions.

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

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $84,082,109; cash collateral of $86,514,898 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

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

(d) Indicates a restricted security; the aggregate original cost of the restricted securities is $8,057,408. The aggregate value of $8,466,332 is approximately 0.2% of net assets.

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

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

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

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A84

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

Futures contracts outstanding at December 31, 2014:

Number of Contracts		Type	Expiration Date		Value at Trade Date		Value at December 31, 2014		Unrealized Appreciation (Depreciation)(1)
	Long Positions:
	532	2 Year U.S. Treasury Notes		Mar. 2015	$	116,293,418	$	116,291,875	$	(1,543	)
	189	10 Year U.S. Treasury Notes		Mar. 2015		23,942,711		23,964,610		21,899
	13	MSCI EAFE Index Mini		Mar. 2015		1,132,070		1,142,635		10,565
	970	S&P 500 E-Mini Futures		Mar. 2015		96,199,071		99,541,400		3,342,329
	132	U.S. Ultra Bonds		Mar. 2015		21,198,211		21,804,750		606,539
										3,979,789
	Short Positions:
	20	5 Year U.S. Treasury Notes		Mar. 2015		2,374,503		2,378,594		(4,091	)
	30	U.S. Long Bonds		Mar. 2015		4,303,611		4,336,875		(33,264	)
										(37,355	)
									$	3,942,434

(1) A U.S. Treasury Obligation with a market value of $4,949,792 has been segregated with Goldman Sachs & Co. and U.S. Government Agency Obligations with a combined market value of $827,446 have been segregated with Citigroup Global Markets to cover requirements for open futures contracts at December 31, 2014.

Interest rate swap agreements outstanding at December 31, 2014:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation		Counterparty
	Over-the-counter swap agreements:
	3,158		05/17/18		0.989%	3 Month LIBOR(1)	$	39,627	$	—	$	39,627	Credit Suisse First Boston Corp.

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at December 31, 2014			Unrealized Appreciation (Depreciation)
	Exchange-traded swap agreements:
	3,670		06/30/16		0.618%	3 Month LIBOR(1)	$	159		$	1,836		$	1,677
	20,700		06/30/16		0.655%	3 Month LIBOR(1)		(2,123	)		(1,083	)		1,040
	5,800		06/30/16		0.655%	3 Month LIBOR(1)		164			(315	)		(479	)
	37,290		08/29/16		0.710%	3 Month LIBOR(1)		181			11,742			11,561
	28,000		05/31/19		1.730%	3 Month LIBOR(1)		2,095			28,141			26,046
	29,600		08/29/19		1.804%	3 Month LIBOR(2)		221			123,050			122,829
	9,270		10/31/21		2.152%	3 Month LIBOR(1)		205			(34,143	)		(34,348	)
	8,040		08/29/24		2.560%	3 Month LIBOR(1)		152			(209,443	)		(209,595	)
							$	1,054		$	(80,215	)	$	(81,269	)

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

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

Credit default swap agreements outstanding at December 31, 2014:

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Value at Trade Date			Value at December 31, 2014			Unrealized Appreciation (Depreciation)
Exchange-traded credit default swaps on credit indices—Buy Protection(1):
CDX.NA.HY.22.V2		06/20/19		5.000%		8,910	$	(632,898	)	$	(606,994	)	$	25,904
CDX.NA.IG.22.V1		06/20/19		1.000%		40,000		(611,363	)		(721,513	)		(110,150	)
CDX.NA.IG.23.V1		12/20/19		1.000%		18,500		(293,896	)		(295,379	)		(1,483	)
													$	(85,729	)

SEE NOTES TO FINANCIAL STATEMENTS.

A85

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Fair Value(4)		Upfront Premiums Paid (Received)		Unrealized Appreciation		Counterparty
Over-the-counter credit default swaps on credit indices—Sell Protection(2):
CDX.NA.HY.17.V5		12/20/16		5.000%		1,425	$	73,622	$	59,771	$	13,851	Credit Suisse First Boston Corp.
CDX.NA.HY.17.V5		12/20/16		5.000%		3,800		196,325		164,139		32,186	Deutsche Bank AG
CDX.NA.HY.17.V5		12/20/16		5.000%		5,225		269,946		228,956		40,990	Deutsche Bank AG
							$	539,893	$	452,866	$	87,027

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.

A U.S. Government Agency Obligation with a market value of $1,792,516 has been segregated with Citigroup Global Markets to cover requirements for open interest rate and credit default exchange-traded swap contracts at December 31, 2014.

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

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

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

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

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

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

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

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

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

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	2,617,521,334	$	126,861,274	$	—
Exchange Traded Fund		1,539,252		—		—
Preferred Stocks		584,760		609,302		—
Asset-Backed Securities
Collateralized Debt Obligation		—		461,180		—
Collateralized Loan Obligations		—		53,852,068		3,225,100
Non-Residential Mortgage-Backed Securities		—		5,218,919		—
Residential Mortgage-Backed Securities		—		5,645,876		—
Bank Loans		—		8,026,401		—
Collateralized Mortgage Obligations		—		10,233,968		—
Commercial Mortgage-Backed Securities		—		126,967,833		—
Corporate Bonds		—		296,940,975		4,290,361
Foreign Agencies		—		24,213,759		—

SEE NOTES TO FINANCIAL STATEMENTS.

A86

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

	Level 1			Level 2			Level 3
Investments in Securities (continued)
Municipal Bonds	$	—		$	15,143,619		$	—
Sovereign Bonds		—			11,821,362			—
U.S. Government Agency Obligations		—			293,314,375			—
U.S. Treasury Obligations		—			149,517,919			—
Affiliated Mutual Funds		421,201,419			—			—
Options Purchased		46,750			—			—
U.S. Government Agency Obligation Security Sold Short		—			(1,559,590	)		—
Option Written		(17,000	)		—			—
Other Financial Instruments*
Futures Contracts		3,942,434			—			—
Over-the-counter interest rate swaps		—			39,627			—
Exchange-traded interest rate swaps		—			(81,269	)		—
Exchange-traded credit default swaps		—			(85,729	)		—
Over-the-counter credit default swaps		—			539,893			—
Total	$	3,044,818,949		$	1,127,681,762		$	7,515,461

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

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

Affiliated Mutual Funds (including 2.2% of collateral for securities on loan)	10.7	%
U.S. Government Agency Obligations	7.4
Pharmaceuticals	4.6
Banks	4.5
Oil, Gas & Consumable Fuels	4.4
U.S. Treasury Obligations	3.8
Commercial Mortgage-Backed Securities	3.2
Software	3.1
Technology Hardware, Storage & Peripherals	2.9
Insurance	2.5
Banking	2.4
Biotechnology	2.4
Food & Staples Retailing	2.2
Semiconductors & Semiconductor Equipment	2.1
Specialty Retail	2.1
Chemicals	2.1
Health Care Providers & Services	2.1
IT Services	2.0
Media	2.0
Capital Markets	1.7
Beverages	1.7
Internet Software & Services	1.6
Food Products	1.6
Hotels, Restaurants & Leisure	1.6
Communications Equipment	1.6
Industrial Conglomerates	1.5
Collateralized Loan Obligations	1.5
Diversified Financial Services	1.4
Aerospace & Defense	1.3
Real Estate Investment Trusts (REITs)	1.2
Road & Rail	1.2
Machinery	1.2
Diversified Telecommunication Services	1.2
Tobacco	1.0
Health Care Equipment & Supplies	1.0

Airlines	0.9	%
Energy Equipment & Services	0.9
Household Products	0.9
Electric Utilities	0.8
Auto Components	0.7
Air Freight & Logistics	0.7
Healthcare & Pharmaceutical	0.7
Electrical Equipment	0.6
Real Estate Management & Development	0.6
Foreign Agencies	0.6
Textiles, Apparel & Luxury Goods	0.6
Multi-Utilities	0.6
Metals & Mining	0.5
Consumer Finance	0.5
Telecommunications	0.5
Electronic Equipment, Instruments & Components	0.4
Municipal Bonds	0.4
Electric	0.4
Capital Goods	0.3
Automobiles	0.3
Sovereign Bonds	0.3
Internet & Catalog Retail	0.3
Collateralized Mortgage Obligations	0.3
Energy – Other	0.3
Gas Utilities	0.3
Cable	0.2
Health Care Technology	0.2
Multiline Retail	0.2
Independent Power & Renewable Electricity Producers	0.2
Media & Entertainment	0.2
Foods	0.2
Trading Companies & Distributors	0.2
Technology	0.2
Non-Captive Finance	0.2
Lodging	0.2
Leisure Products	0.2

SEE NOTES TO FINANCIAL STATEMENTS.

A87

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

Industry table (cont.)
Automotive	0.1	%
Residential Mortgage-Backed Securities	0.1
Household Durables	0.1
Non-Residential Mortgage-Backed Securities	0.1
Construction & Engineering	0.1
Healthcare Insurance	0.1
Pipelines & Other	0.1
Metals	0.1
Retailers	0.1

Paper	0.1	%
Diversified Consumer Services	0.1
Building Materials & Construction	0.1
Commercial Services & Supplies	0.1
Consumer	0.1
Exchange Traded Fund	0.1
	105.9
Liabilities in excess of other assets	(5.9	)
	100.0	%

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

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

Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Credit contracts	Premiums paid for swap agreements	$	452,866		—	$	—
Credit contracts	Unrealized appreciation on over-the-counter swap agreements		87,027		—		—
Credit contracts	Due from/to broker — variation margin swaps		25,904	*	Due from/to broker — variation margin swaps		111,633	*
Equity contracts	Due from/to broker — variation margin futures		3,352,894	*	—		—
Interest rate contracts	Due from/to broker — variation margin futures		628,438	*	Due from/to broker — variation margin futures		38,898	*
Interest rate contracts	Unaffiliated Investments		46,750		Options written outstanding, at value		17,000
Interest rate contracts	Unrealized appreciation on over-the-counter swap agreements		39,627		—		—
Interest rate contracts	Due from/to broker — variation margin swaps		163,153	*	Due from/to broker — variation margin swaps		244,422	*
Total		$	4,796,659			$	411,953

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

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

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted as hedging instruments, carried at fair value	Rights*		Options Purchased*			Options Written			Futures		Swaps			Total
Credit contracts	$	—	$	—		$	—		$	—	$	(498,124	)	$	(498,124	)
Equity contracts		10,630		—			—			8,522,142		—			8,532,772
Interest rate contracts		—		(284,568	)		(94,855	)		684,241		153,039			457,857
Total	$	10,630	$	(284,568	)	$	(94,855	)	$	9,206,383	$	(345,085	)	$	8,492,505

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

SEE NOTES TO FINANCIAL STATEMENTS.

A88

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted as hedging instruments, carried at fair value	Option Purchased**		Options Written		Futures		Swaps			Total
Credit contracts	$	—	$	—	$	—	$	(88,942	)	$	(88,942	)
Equity Contracts		—		—		2,047,031		—			2,047,031
Interest rate contracts		77,030		33,037		1,333,973		169,210			1,613,250
Total	$	77,030	$	33,037	$	3,381,004	$	80,268		$	3,571,339

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

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

Options Purchased (Cost)	Options Written (Notional Amount in USD (000))	Futures Long Position (Value at Trade Date)	Futures Short Position (Value at Trade Date)
$424,315	$73,264	$196,651,922	$25,540,894

Interest Rate Swaps (Notional Amount in USD (000))	Credit Default Swaps as Buyer (Notional Amount in USD (000))	Credit Default Swaps as Writer (Notional Amount in USD (000))
$100,772	$49,224	$10,494

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

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

Counterparty	Gross Amounts of Recognized Assets(1)		Gross Amounts Available for Offset		Collateral Received(3)			Net Amount
Credit Suisse First Boston Corp.	$	113,249	$	—	$	(477,602	)	$	—
Deutsche Bank AG		466,271		—		(605,895	)		—
	$	579,520
Counterparty	Gross Amounts of Recognized Liabilities(2)		Gross Amounts Available for Offset		Collateral Pledged(3)			Net Amount
Credit Suisse First Boston Corp.	$	—	$	—	$	—		$	—
Deutsche Bank AG		—		—		—			—
	$	—

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A89

FLEXIBLE MANAGED PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014

ASSETS
Investments at value, including securities on loan of $84,082,109:
Unaffiliated investments (cost $3,098,793,119)	$	3,756,036,387
Affiliated investments (cost $427,903,427)		421,201,419
Cash		176,311
Foreign currency, at value (cost $634,047)		626,816
Receivable for investments sold		136,037,749
Dividends receivable		10,252,706
Premium paid for swap agreements		452,866
Tax reclaim receivable		235,747
Unrealized appreciation on over-the-counter swap agreements		126,654
Due from broker—variation margin futures		92,258
Receivable for Series shares sold		705
Prepaid expenses		30,376
Total Assets		4,325,269,994
LIABILITIES
Payable for investments purchased		289,345,427
Payable to broker for collateral for securities on loan		86,514,898
Management fee payable		2,011,041
Securities sold short, at value (proceeds received $1,555,430)		1,559,590
Due to broker—variation margin futures		1,185,505
Payable for Series shares repurchased		469,030
Accrued expenses		326,939
Due to broker—variation margin swaps		28,028
Options written outstanding, at value (premiums received $50,037)		17,000
Affiliated transfer agent fee payable		926
Total Liabilities		381,458,384
NET ASSETS	$	3,943,811,610
Net assets were comprised of:
Paid-in capital	$	2,450,598,698
Retained earnings		1,493,212,912
Net assets, December 31, 2014	$	3,943,811,610
Net asset value and redemption price per share $3,943,811,610 / 166,337,144 outstanding shares of beneficial interest	$	23.71

STATEMENT OF OPERATIONS

Year Ended December 31, 2014

NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $482,253)	$	56,509,785
Interest income		29,095,335
Affiliated dividend income		1,960,207
Affiliated income from securities loaned, net		199,487
Total income		87,764,814
EXPENSES
Management fee		23,006,041
Custodian’s fees and expenses		544,000
Shareholders’ reports		196,000
Insurance expenses		51,000
Trustees’ fees		41,000
Audit fee		39,000
Legal fees and expenses		19,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		12,000
Commitment fee on syndicated credit agreement		5,000
Miscellaneous		53,745
Total expenses		23,966,786
NET INVESTMENT INCOME		63,798,028
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		387,662,375
Futures transactions		9,206,383
Options written transactions		(94,855	)
Swap agreement transactions		(345,085	)
Foreign currency transactions		(69,788	)
		396,359,030
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $400,580)		(60,892,589	)
Futures		3,381,004
Securities Sold Short		9,161
Options written		33,037
Swap agreements		80,268
Foreign currencies		(45,012	)
		(57,434,131	)
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		338,924,899
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	402,722,927

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	63,798,028		$	65,087,964
Net realized gain on investment and foreign currency transactions		396,359,030			322,966,584
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(57,434,131	)		253,490,603
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		402,722,927			641,545,151
SERIES SHARE TRANSACTIONS
Series shares sold [562,392 and 651,459 shares, respectively]		12,588,751			12,747,246
Series shares repurchased [8,998,418 and 9,694,842 shares, respectively]		(202,125,849	)		(189,432,596	)
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(189,537,098	)		(176,685,350	)
TOTAL INCREASE		213,185,829			464,859,801
NET ASSETS:
Beginning of year		3,730,625,781			3,265,765,980
End of year	$	3,943,811,610		$	3,730,625,781

SEE NOTES TO FINANCIAL STATEMENTS.

A90

	GLOBAL PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2014

LONG-TERM INVESTMENTS — 96.7%
COMMON STOCKS	Shares		Value (Note 2)
Australia — 1.0%
Arrium Ltd.		894,400	$	154,767
Ausdrill Ltd.		123,200		39,187
Bendigo & Adelaide Bank Ltd.		67,200		698,742
Bradken Ltd.		98,900		378,137
Challenger Ltd.		150,800		796,607
Downer EDI Ltd.		182,200		696,277
Fortescue Metals Group Ltd.		188,800		414,537
Lend Lease Group		114,600		1,526,343
Metcash Ltd.		276,300		416,408
Mineral Resources Ltd.		49,900		305,372
National Australia Bank Ltd.		31,100		848,106
Pacific Brands Ltd.		460,600		202,497
Primary Health Care Ltd.		139,400		533,382
				7,010,362
Austria — 0.2%
OMV AG		24,300		645,246
Voestalpine AG		14,500		572,941
				1,218,187
Belgium — 0.2%
AGFA-Gevaert NV*		86,100		217,748
Delhaize Group SA		21,500		1,565,749
				1,783,497
Brazil — 0.2%
Kroton Educacional SA		196,700		1,146,960
Canada — 2.0%
Alimentation Couche-Tard, Inc. Series B		80,861		3,388,812
Brookfield Asset Management, Inc. (Class A Stock)		70,288		3,523,537
Canadian Natural Resources Ltd.		17,750		548,120
Canadian Pacific Railway Ltd.		16,450		3,169,751
CI Financial Corp.		56,490		1,570,031
Suncor Energy, Inc.		72,300		2,296,325
				14,496,576
China — 1.6%
Alibaba Group Holding Ltd., ADR*(a)		16,888		1,755,339
Baidu, Inc., ADR*		9,235		2,105,303
China Overseas Land & Investment Ltd.		510,000		1,508,698
Lenovo Group Ltd.		1,630,000		2,128,150
NetEase, Inc., ADR		14,824		1,469,651
Poly Property Group Co. Ltd.		846,000		344,883
Shougang Fushan Resources Group Ltd.		1,160,000		252,803
Tencent Holdings Ltd.		139,300		2,015,522
				11,580,349
Denmark — 0.8%
A.P. Moeller – Maersk A/S (Class B Stock)		400		795,581
Coloplast A/S (Class B Stock)		30,211		2,528,192
Novo Nordisk A/S (Class B Stock)		57,372		2,426,823
				5,750,596
Finland — 0.5%
Sampo OYJ (Class A Stock)		55,384		2,592,776

COMMON STOCKS (continued)	Shares		Value (Note 2)
Finland (continued)
Tieto OYJ		25,300	$	655,650
				3,248,426
France — 3.1%
Alstom SA*		26,800		864,372
Arkema SA		7,200		476,186
AXA SA		37,000		852,595
BNP Paribas SA		16,000		944,548
Cap Gemini SA		41,279		2,952,165
Cie Generale des Etablissements Michelin		12,000		1,083,203
CNP Assurances		34,000		602,759
Credit Agricole SA		78,500		1,013,322
Electricite de France SA		53,100		1,461,762
Renault SA		12,300		895,889
Sanofi		18,100		1,650,190
SCOR SE		22,000		666,609
Societe Generale SA		16,000		669,604
Thales SA		27,900		1,509,595
Total SA		82,104		4,206,365
Valeo SA		17,694		2,201,674
				22,050,838
Germany — 2.7%
Allianz SE		9,800		1,623,141
Aurubis AG		6,200		346,582
BASF SE		8,700		729,766
Bayerische Motoren Werke AG		26,231		2,830,811
Continental AG		15,643		3,299,474
Daimler AG		23,700		1,968,386
Deutsche Bank AG		13,700		410,239
E.ON SE		46,000		786,220
Freenet AG		29,700		844,441
Hannover Rueck SE		9,800		884,074
Merck KGaA		9,000		846,978
Muenchener Rueckversicherungs AG		5,700		1,135,087
Rational AG		3,191		999,854
Rheinmetall AG		13,300		579,071
Stada Arzneimittel AG		14,500		439,971
Volkswagen AG		7,400		1,604,350
				19,328,445
Hong Kong — 1.0%
AIA Group Ltd.		454,600		2,507,332
Cheung Kong Holdings Ltd.		46,000		770,354
China Resources Cement Holdings Ltd.		739,000		476,261
First Pacific Co. Ltd.		528,000		521,400
Huabao International Holdings Ltd.		1,045,000		851,611
Kingboard Chemical Holdings Ltd.		216,000		362,690
Singamas Container Holdings Ltd.		2,676,000		443,883
Skyworth Digital Holdings Ltd.		1,072,000		580,122
Yue Yuen Industrial Holdings Ltd.		220,500		792,875
				7,306,528
India — 0.9%
HDFC Bank Ltd., ADR		77,974		3,957,181
Tata Motors Ltd., ADR		62,361		2,636,623
				6,593,804

SEE NOTES TO FINANCIAL STATEMENTS.

A91

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Indonesia — 0.4%
PT Bank Rakyat Indonesia (Persero) Tbk		2,938,800	$	2,762,415
Ireland — 0.7%
Permanent TSB Group Holdings PLC*		51,300		3,849
Ryanair Holdings PLC, ADR*		36,610		2,609,195
Smurfit Kappa Group PLC		35,200		791,594
XL Group PLC		57,352		1,971,188
				5,375,826
Israel — 1.1%
Bank Hapoalim BM		128,000		601,873
Check Point Software Technologies Ltd.*(a)		25,690		2,018,463
Elbit Systems Ltd.		11,400		694,812
Teva Pharmaceutical Industries Ltd., ADR		61,795		3,553,830
Teva Pharmaceutical Industries Ltd.		16,300		934,396
				7,803,374
Italy — 0.7%
Enel SpA		242,800		1,082,288
Eni SpA		70,800		1,240,171
Intesa Sanpaolo SpA		1,036,787		3,007,625
				5,330,084
Japan — 8.7%
Alfresa Holdings Corp.		33,600		405,752
Alpine Electronics, Inc.		22,700		372,672
Aoyama Trading Co. Ltd.		39,100		854,332
Aozora Bank Ltd.		231,000		715,071
Asahi Kasei Corp.		76,000		693,305
Astellas Pharma, Inc.		203,200		2,828,971
Autobacs Seven Co. Ltd.		42,000		594,251
Bank of Yokohama Ltd. (The)		96,000		521,403
Calsonic Kansei Corp.		105,000		581,982
Daihatsu Motor Co. Ltd.		47,500		620,390
Daikin Industries Ltd.		44,800		2,872,759
Daito Trust Construction Co. Ltd.		12,300		1,395,286
FANUC Corp.		15,300		2,522,670
Fuji Heavy Industries Ltd.		80,274		2,840,574
Fukuoka Financial Group, Inc.		85,700		441,824
Heiwa Corp.		24,700		492,145
Hogy Medical Co. Ltd.		11,400		519,899
Hoya Corp.		59,900		2,026,108
ITOCHU Corp.		76,300		814,510
JX Holdings, Inc.		101,400		394,609
Kao Corp.		61,400		2,421,282
KDDI Corp.		13,200		829,277
Keihin Corp.		37,200		552,146
Keyence Corp.		5,100		2,272,533
KYORIN Holdings, Inc.		37,400		693,070
Kyowa Exeo Corp.		66,900		713,468
Marubeni Corp.		109,700		656,376
Medipal Holdings Corp.		21,900		255,785
Mitsubishi Corp.		50,200		918,666
Mitsubishi UFJ Financial Group, Inc.		243,500		1,337,845

COMMON STOCKS (continued)	Shares		Value (Note 2)
Japan (continued)
Mitsui & Co. Ltd.		59,300	$	794,213
Mizuho Financial Group, Inc.		597,700		1,001,926
Murata Manufacturing Co. Ltd.		16,800		1,833,233
Nippon Telegraph & Telephone Corp.		37,000		1,890,057
Nishi-Nippon City Bank Ltd. (The)		167,000		480,517
Nissan Motor Co. Ltd.		101,600		886,132
Nitori Holdings Co. Ltd.		25,500		1,370,077
NTT DOCOMO, Inc.		64,300		936,405
ORIX Corp.		189,400		2,383,182
Otsuka Holdings Co. Ltd.		20,400		611,617
Recruit Holdings Co. Ltd.*		14,600		419,302
Resona Holdings, Inc.		266,300		1,345,215
Ricoh Co. Ltd.		42,700		431,657
Sankyu, Inc.		151,000		612,897
Secom Co. Ltd.		31,700		1,821,311
Seino Holdings Co. Ltd.		65,000		655,174
Shimachu Co. Ltd.		30,700		744,052
SKY Perfect JSAT Holdings, Inc.		107,500		634,342
SMC Corp.		7,500		1,966,681
Sumitomo Corp.		84,300		865,819
Sumitomo Metal Mining Co. Ltd.		38,000		566,766
Sumitomo Mitsui Financial Group, Inc.		102,086		3,690,687
Toagosei Co. Ltd.		147,000		583,121
Toho Holdings Co. Ltd.		41,200		599,898
Toyo Tire & Rubber Co. Ltd.		35,200		690,755
Tsumura & Co.		22,900		506,391
West Japan Railway Co.		9,800		463,327
Yokohama Rubber Co. Ltd. (The)		90,000		819,480
				62,763,195
Liechtenstein
Verwaltungs-und Privat-Bank AG		2,100		179,541
Macau — 0.2%
MGM China Holdings Ltd.		623,200		1,573,527
Netherlands — 1.7%
Aegon NV		95,000		714,019
ING Groep NV, CVA*		58,400		754,510
Koninklijke Ahold NV		78,461		1,394,481
Koninklijke Philips NV		28,400		823,205
NXP Semiconductors NV*		21,625		1,652,150
Royal Dutch Shell PLC (Class A Stock), ADR		26,250		1,757,437
Royal Dutch Shell PLC (Class A Stock)		42,408		1,413,427
Royal Dutch Shell PLC (Class B Stock)		106,900		3,693,515
				12,202,744
New Zealand — 0.2%
Air New Zealand Ltd.		737,900		1,417,332
Norway — 0.7%
DNB ASA		50,500		744,907
Fred Olsen Energy ASA		17,100		156,474
Marine Harvest ASA		85,500		1,173,951
Statoil ASA		36,600		644,410
Telenor ASA		80,749		1,633,440

SEE NOTES TO FINANCIAL STATEMENTS.

A92

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Norway (continued)
Yara International ASA		23,200	$	1,033,152
				5,386,334
Singapore — 0.3%
DBS Group Holdings Ltd.		119,000		1,842,278
South Africa — 0.7%
Bidvest Group Ltd.		70,608		1,845,967
Discovery Ltd.		243,150		2,328,046
Mondi PLC		49,500		804,153
				4,978,166
Spain — 0.7%
ACS Actividades de Construccion y Servicios SA		11,500		400,834
Amadeus IT Holding SA (Class A Stock)		50,848		2,025,145
Banco Santander SA		94,600		793,991
Gas Natural SDG SA		13,900		349,177
Repsol SA		57,200		1,070,835
Telefonica SA		25,100		360,375
				5,000,357
Sweden — 1.2%
Atlas Copco AB (Class A Stock)		86,484		2,406,475
Boliden AB		45,100		720,915
Hexagon AB (Class B Stock)		22,142		683,071
Nordea Bank AB		86,400		1,000,148
Oriflame Cosmetics SA, SDR		13,600		188,437
Securitas AB (Class B Stock)		46,500		562,543
Swedbank AB (Class A Stock)		40,800		1,012,286
Telefonaktiebolaget LM Ericsson (Class B Stock)		77,900		943,221
TeliaSonera AB		154,700		994,623
				8,511,719
Switzerland — 3.2%
Actelion Ltd.*		19,369		2,229,780
Adecco SA*		18,031		1,239,438
Baloise Holding AG		11,400		1,457,052
Credit Suisse Group AG*		62,600		1,572,590
Geberit AG		7,971		2,696,612
Georg Fischer AG*		2,000		1,261,861
Helvetia Holding AG		1,400		665,209
Novartis AG		7,200		667,753
Partners Group Holding AG		8,755		2,547,156
Roche Holding AG		3,644		987,314
Sika AG Series BR		81		238,945
Swiss Life Holding AG*		7,800		1,843,544
Swiss Re AG*		23,900		2,002,144
TE Connectivity Ltd.		27,300		1,726,725
Zurich Insurance Group AG*		5,800		1,812,514
				22,948,637
Taiwan — 0.2%
MediaTek, Inc.		105,000		1,526,430
United Kingdom — 6.1%
3i Group PLC		94,600		659,626
Alent PLC		54		269
Anglo American PLC		47,800		884,515

COMMON STOCKS (continued)	Shares		Value (Note 2)
United Kingdom (continued)
ARM Holdings PLC		46,659	$	716,795
AstraZeneca PLC		43,667		3,084,239
Aviva PLC		129,800		975,239
BAE Systems PLC		227,200		1,661,561
Barclays PLC		287,100		1,079,306
Beazley PLC		129,500		576,527
Bellway PLC		25,400		761,790
BG Group PLC		93,162		1,246,669
BP PLC		395,000		2,507,297
BT Group PLC		198,000		1,231,575
Carillion PLC		145,900		755,999
Centrica PLC		220,400		954,650
Compass Group PLC		236,341		4,039,758
Debenhams PLC		301,400		351,644
GlaxoSmithKline PLC		64,600		1,385,905
Home Retail Group PLC		107,200		345,479
HSBC Holdings PLC		167,100		1,579,058
IG Group Holdings PLC		2,288		25,567
InterContinental Hotels Group PLC		53,638		2,158,202
Intermediate Capital Group PLC		108,800		777,258
J. Sainsbury PLC		259,000		989,042
National Express Group PLC		163,900		630,315
Old Mutual PLC		282,100		831,397
Petrofac Ltd.		34,000		370,395
Premier Foods PLC*		357,756		176,650
Reckitt Benckiser Group PLC		10,285		833,024
Reed Elsevier PLC		176,989		3,023,328
Rio Tinto Ltd.		23,400		1,097,014
St. James’s Place PLC		173,843		2,191,972
Tate & Lyle PLC		81,200		760,802
Tesco PLC		272,000		793,072
Vesuvius PLC		81,100		560,908
WM Morrison Supermarkets PLC		380,500		1,085,669
Wolseley PLC		2,906		166,142
WPP PLC		109,674		2,280,309
				43,548,967
United States — 55.7%
3M Co.		25,175		4,136,756
AES Corp.		214,000		2,946,780
Allstate Corp. (The)		40,100		2,817,025
American Express Co.		26,550		2,470,212
Ameriprise Financial, Inc.		15,650		2,069,713
Amgen, Inc.		18,050		2,875,184
Amphenol Corp. (Class A Stock)		119,622		6,436,860
Anadarko Petroleum Corp.		5,150		424,875
ANSYS, Inc.*		44,428		3,643,096
Apache Corp.		53,800		3,371,646
Apple, Inc.		65,834		7,266,757
AT&T, Inc.		56,250		1,889,438
Avon Products, Inc.		81,600		766,224
Baker Hughes, Inc.		25,600		1,435,392
Bank of America Corp.		303,200		5,424,248
Boeing Co. (The)		16,600		2,157,668
Bristol-Myers Squibb Co.		67,062		3,958,670
Carnival Corp.		100,700		4,564,731
Celanese Corp., Series A		73,800		4,425,048
Charles Schwab Corp. (The)		375,039		11,322,427

SEE NOTES TO FINANCIAL STATEMENTS.

A93

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
United States (continued)
Chevron Corp.		28,850	$	3,236,393
Cisco Systems, Inc.		86,100		2,394,871
Cognizant Technology Solutions Corp. (Class A Stock)*		83,863		4,416,226
Colfax Corp.*		27,809		1,434,110
Comcast Corp. (Class A Stock)		39,250		2,276,893
CONSOL Energy, Inc.		23,900		808,059
Core Laboratories NV		37,493		4,511,908
Costco Wholesale Corp.		36,188		5,129,649
Covance, Inc.*		30,406		3,157,359
Covidien PLC		13,150		1,344,982
Danaher Corp.		87,019		7,458,398
DaVita HealthCare Partners, Inc.*		79,394		6,013,302
Discovery Communications, Inc. (Class A Stock)*		62,940		2,168,283
Discovery Communications, Inc. (Class C Stock)*		96,978		3,270,098
Ecolab, Inc.		58,036		6,065,923
Emerson Electric Co.		17,600		1,086,448
Entergy Corp.		30,800		2,694,384
EQT Corp.		20,050		1,517,785
Estee Lauder Cos., Inc. (The) (Class A Stock)		85,375		6,505,575
Exelon Corp.		62,750		2,326,770
Express Scripts Holding Co.*		115,858		9,809,697
Exxon Mobil Corp.		38,600		3,568,570
Fastenal Co.(a)		127,539		6,065,755
Fifth Third Bancorp		62,100		1,265,288
FirstEnergy Corp.		24,400		951,356
FMC Technologies, Inc.*		122,876		5,755,512
Fossil Group, Inc.*		15,375		1,702,628
General Electric Co.		209,350		5,290,274
General Motors Co.		65,650		2,291,842
Genpact Ltd.*		231,640		4,384,945
Gilead Sciences, Inc.*		72,126		6,798,597
Google, Inc. (Class A Stock)*		7,460		3,958,724
Google, Inc. (Class C Stock)*		7,460		3,926,944
Hess Corp.		27,800		2,052,196
Honeywell International, Inc.		24,700		2,468,024
Illinois Tool Works, Inc.		19,750		1,870,325
Ingersoll-Rand PLC		19,200		1,217,088
International Paper Co.		39,150		2,097,657
Intuitive Surgical, Inc.*		15,638		8,271,564
Invesco Ltd.		45,500		1,798,160
Johnson & Johnson		37,950		3,968,431
JPMorgan Chase & Co.		116,450		7,287,441
Kellogg Co.		21,600		1,413,504
Kohl’s Corp.		46,450		2,835,308
Lockheed Martin Corp.		5,100		982,107
Lowe’s Cos., Inc.		72,250		4,970,800
Marsh & McLennan Cos., Inc.		72,700		4,161,348
Mead Johnson Nutrition Co.		72,894		7,328,763
Medtronic, Inc.		22,700		1,638,940
Merck & Co., Inc.		82,900		4,707,891
MetLife, Inc.		58,750		3,177,787
Microsoft Corp.		89,400		4,152,630
Morgan Stanley		131,550		5,104,140
National Instruments Corp.		103,259		3,210,322

COMMON STOCKS (continued)	Shares		Value (Note 2)
United States (continued)
Navient Corp.		25,200	$	544,572
NetSuite, Inc.*(a)		24,735		2,700,320
News Corp. (Class A Stock)*		50,500		792,345
NRG Energy, Inc.		117,150		3,157,192
PepsiCo, Inc.		30,750		2,907,720
Pfizer, Inc.		163,350		5,088,352
PG&E Corp.		78,400		4,174,016
Philip Morris International, Inc.		25,600		2,085,120
PNC Financial Services Group, Inc.		20,900		1,906,707
Procter & Gamble Co. (The)		36,950		3,365,775
QUALCOMM, Inc.		119,216		8,861,325
Raytheon Co.		20,450		2,212,077
Republic Services, Inc.		26,300		1,058,575
salesforce.com, inc.*		98,313		5,830,944
Schlumberger Ltd.		75,698		6,465,366
Southwest Airlines Co.		103,450		4,378,004
Spectra Energy Corp.		27,000		980,100
Starbucks Corp.		93,312		7,656,250
Stericycle, Inc.*		57,913		7,591,236
T-Mobile U.S., Inc.*		12,100		325,974
Texas Instruments, Inc.		44,450		2,376,519
Thermo Fisher Scientific, Inc.		30,200		3,783,758
Time Warner Cable, Inc.		16,650		2,531,799
Time Warner, Inc.		42,250		3,608,995
TripAdvisor, Inc.*		39,688		2,963,106
U.S. Bancorp		75,450		3,391,477
Union Pacific Corp.		21,500		2,561,295
United Technologies Corp.		45,300		5,209,500
Viacom, Inc. (Class B Stock)		10,800		812,700
Visa, Inc. (Class A Stock)(a)		35,400		9,281,880
Vulcan Materials Co.		24,750		1,626,818
Wal-Mart Stores, Inc.		10,100		867,388
Wells Fargo & Co.		67,400		3,694,868
Western Union Co. (The)		125,300		2,244,123
Weyerhaeuser Co.		77,350		2,776,091
Whole Foods Market, Inc.		164,264		8,282,191
				400,799,202
TOTAL LONG-TERM INVESTMENTS (cost $556,988,871)				695,464,696
SHORT-TERM INVESTMENT — 6.1%
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $43,801,082; includes $19,928,813 of cash collateral for securities on loan) (Note 4)(b)(c)		43,801,082		43,801,082
TOTAL INVESTMENTS — 102.8% (cost $600,789,953)				739,265,778
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.8)%				(20,092,707	)
NET ASSETS — 100.0%			$	719,173,071

See the Glossary for abbreviations used in the Portfolio descriptions.

SEE NOTES TO FINANCIAL STATEMENTS.

A94

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $19,352,676; cash collateral of $19,928,813 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

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

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

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

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

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

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

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Australia	$	—	$	7,010,362	$	—
Austria		—		1,218,187		—
Belgium		217,748		1,565,749		—
Brazil		1,146,960		—		—
Canada		14,496,576		—		—
China		5,583,096		5,997,253		—
Denmark		—		5,750,596		—
Finland		—		3,248,426		—
France		—		22,050,838		—
Germany		—		19,328,445		—
Hong Kong		—		7,306,528		—
India		6,593,804		—		—
Indonesia		—		2,762,415		—
Ireland		4,580,383		795,443		—
Israel		5,572,293		2,231,081		—
Italy		—		5,330,084		—
Japan		419,302		62,343,893		—
Liechtenstein		179,541		—		—
Macau		—		1,573,527		—
Netherlands		3,409,587		8,793,157		—
New Zealand		—		1,417,332		—
Norway		—		5,386,334		—
Singapore		—		1,842,278		—
South Africa		—		4,978,166		—
Spain		—		5,000,357		—
Sweden		—		8,511,719		—
Switzerland		1,726,725		21,221,912		—
Taiwan		—		1,526,430		—
United Kingdom		—		43,548,967		—
United States		400,799,202		—		—
Affiliated Money Market Mutual Fund		43,801,082		—		—
Total	$	488,526,299	$	250,739,479	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A95

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

Banks	7.8	%
Affiliated Money Market Mutual Fund (including 2.8% of collateral for securities on loan)	6.1
Insurance	5.3
Pharmaceuticals	5.3
Oil, Gas & Consumable Fuels	5.1
Capital Markets	3.9
IT Services	3.6
Food & Staples Retailing	3.3
Media	3.0
Hotels, Restaurants & Leisure	2.8
Industrial Conglomerates	2.8
Electronic Equipment, Instruments & Components	2.6
Energy Equipment & Services	2.6
Software	2.5
Health Care Providers & Services	2.5
Aerospace & Defense	2.3
Automobiles	2.3
Chemicals	2.1
Internet Software & Services	2.1
Machinery	2.1
Health Care Equipment & Supplies	2.0
Biotechnology	1.7
Communications Equipment	1.7
Commercial Services & Supplies	1.7
Food Products	1.5
Personal Products	1.4
Technology Hardware, Storage & Peripherals	1.4
Trading Companies & Distributors	1.4
Auto Components	1.3
Real Estate Management & Development	1.3
Airlines	1.2
Electric Utilities	1.2
Specialty Retail	1.2

Diversified Telecommunication Services	1.1	%
Road & Rail	1.1
Life Sciences Tools & Services	1.0
Semiconductors & Semiconductor Equipment	0.9
Building Products	0.8
Independent Power & Renewable Electricity Producers	0.8
Multi-Utilities	0.8
Metals & Mining	0.7
Household Products	0.6
Diversified Financial Services	0.5
Internet & Catalog Retail	0.5
Beverages	0.4
Consumer Finance	0.4
Multiline Retail	0.4
Paper & Forest Products	0.4
Real Estate Investment Trusts (REITs)	0.4
Wireless Telecommunication Services	0.4
Construction & Engineering	0.3
Construction Materials	0.3
Electrical Equipment	0.3
Textiles, Apparel & Luxury Goods	0.3
Tobacco	0.3
Diversified Consumer Services	0.2
Household Durables	0.2
Professional Services	0.2
Containers & Packaging	0.1
Leisure Products	0.1
Marine	0.1
Oil & Gas Exploration & Production	0.1
	102.8
Liabilities in excess of other assets	(2.8	)
	100.0	%

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

The Portfolio did not hold any derivative instruments as of December 31, 2014 accordingly, no derivative positions were presented in the Statement of Assets and Liabilities.

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

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights*
Equity contracts	$	22,194

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

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights*
Equity contracts	$	(1,657	)

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

SEE NOTES TO FINANCIAL STATEMENTS.

A96

GLOBAL PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014

ASSETS
Investments at value, including securities on loan of $19,352,676:
Unaffiliated investments (cost $556,988,871)	$	695,464,696
Affiliated investments (cost $43,801,082)		43,801,082
Cash		360
Foreign currency, at value (cost $1,393,454)		1,329,521
Receivable for investments sold		2,173,998
Tax reclaim receivable		1,180,584
Dividends receivable		593,920
Receivable for Series shares sold		2,417
Prepaid expenses		6,030
Total Assets		744,552,608
LIABILITIES
Payable to broker for collateral for securities on loan		19,928,813
Payable for investments purchased		4,673,910
Management fee payable		454,204
Accrued expenses		188,781
Payable for Series shares repurchased		132,903
Affiliated transfer agent fee payable		926
Total Liabilities		25,379,537
NET ASSETS	$	719,173,071
Net assets were comprised of:
Paid-in capital	$	538,510,059
Retained earnings		180,663,012
Net assets, December 31, 2014	$	719,173,071
Net asset value and redemption price per share $719,173,071 / 27,964,466 outstanding shares of beneficial interest	$	25.72

STATEMENT OF OPERATIONS

Year Ended December 31, 2014

NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $962,474)	$	16,794,078
Affiliated dividend income		24,175
Affiliated income from securities loaned, net		21,635
Total income		16,839,888
EXPENSES
Management fee		5,578,237
Custodian’s fees and expenses		323,000
Shareholders’ reports		85,000
Audit fee		26,000
Trustees’ fees		16,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		12,000
Legal fees and expenses		11,000
Insurance expenses		10,000
Commitment fee on syndicated credit agreement		2,000
Miscellaneous		47,648
Total expenses		6,110,885
Less: Management fee waiver		(74,376	)
Net expenses		6,036,509
NET INVESTMENT INCOME		10,803,379
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		38,780,578
Foreign currency transactions		(310,017	)
		38,470,561
Net change in unrealized appreciation (depreciation) on:
Investments		(25,239,765	)
Foreign currencies		(265,179	)
		(25,504,944	)
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		12,965,617
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	23,768,996

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income	$	10,803,379		$	8,723,957
Net realized gain on investment and foreign currency transactions		38,470,561			65,395,026
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(25,504,944	)		88,778,751
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		23,768,996			162,897,734
SERIES SHARE TRANSACTIONS
Series shares sold [941,874 and 782,060 shares, respectively]		23,729,047			17,649,736
Series shares repurchased [2,863,482 and 2,132,268 shares, respectively]		(72,868,700	)		(47,193,527	)
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(49,139,653	)		(29,543,791	)
TOTAL INCREASE (DECREASE)		(25,370,657	)		133,353,943
NET ASSETS:
Beginning of year		744,543,728			611,189,785
End of year	$	719,173,071		$	744,543,728

SEE NOTES TO FINANCIAL STATEMENTS.

A97

	GOVERNMENT INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2014

LONG-TERM INVESTMENTS — 96.0% ASSET-BACKED SECURITIES — 4.2%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations — 3.1%
Anchorage Capital CLO Ltd., Series 2014-5A, Class A, 144A		1.833%	(a)	10/15/26		750	$	747,520
Ares CLO Ltd., Series 2014-31A, Class A1, 144A		1.678%	(a)	08/28/25		1,000		995,318
Battalion CLO VII Ltd., Series 2014-7A, Class A1, 144A		1.800%	(a)	10/17/26		750		747,404
Galaxy CLO Ltd., Series 2014-18A, Class A, 144A		1.704%	(a)	10/15/26		3,250		3,218,925
Magnetite VIII Ltd., Series 2014-8A, Class A, 144A		1.711%	(a)	04/15/26		260		257,844
Silver Spring Ltd., Series 2014-1A, Class A, 144A		1.721%	(a)	10/15/26		1,500		1,483,925
Voya CLO Ltd., Series 2014-3A, Class A1, 144A		1.649%	(a)	07/25/26		3,000		2,965,204
								10,416,140
Collateralized Mortgage Obligations — 0.4%
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2496, Class PM		5.500%		09/15/17		299		313,730
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2501, Class MC		5.500%		09/15/17		97		100,800
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2513, Class HC		5.000%		10/15/17		596		622,366
Federal National Mortgage Assoc., REMICS, Series 2002-57, Class ND		5.500%		09/25/17		115		119,535
Merrill Lynch Mortgage Investors, Inc., Series 2003-E, Class A1		0.790%	(a)	10/25/28		49		48,562
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		2.573%	(a)	02/25/34		218		217,086
								1,422,079
Non-Residential Mortgage-Backed Securities — 0.7%
Citibank Credit Card Issuance Trust, Series 2007-A8, Class A8		5.650%		09/20/19		1,500		1,663,770
Small Business Administration Participation Certificates, Series 1996-20J, Class 1		7.200%		10/01/16		241		249,627
Small Business Administration Participation Certificates, Series 1997-20A, Class 1		7.150%		01/01/17		181		187,967
Small Business Administration Participation Certificates, Series 1997-20G, Class 1		6.850%		07/01/17		106		109,913
Small Business Administration Participation Certificates, Series 1998-20I, Class 1		6.000%		09/01/18		309		322,717
								2,533,994
TOTAL ASSET-BACKED SECURITIES (cost $14,198,400)								14,372,213
COMMERCIAL MORTGAGE-BACKED SECURITIES — 20.2%
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A3		5.293%		12/11/49		168		169,352
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4		5.223%		08/15/48		1,800		1,896,743
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3		2.540%		12/10/45		1,000		971,095
Commercial Mortgage Trust, Series 2005-GG5, Class AM		5.277%	(a)	04/10/37		1,500		1,532,703
Commercial Mortgage Trust, Series 2007-GG9, Class A2		5.381%		03/10/39		674		675,799
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM		5.467%	(a)	02/15/39		200		208,034
Federal National Mortgage Assoc., Series 2012-M13, Class A2		2.377%		05/25/22		1,850		1,831,261
Federal National Mortgage Assoc., Series 2012-M2, Class A2		2.717%		02/25/22		200		203,045
Federal National Mortgage Assoc., Series 2014-M2, Class A2		3.513%		12/25/23		2,650		2,824,598
FHLMC Multifamily Structured Pass-Through Certificates, Series K003, Class A5		5.085%		03/25/19		250		280,661
FHLMC Multifamily Structured Pass-Through Certificates, Series K004, Class A2		4.186%		08/25/19		4,825		5,269,489
FHLMC Multifamily Structured Pass-Through Certificates, Series K005, Class A2		4.317%		11/25/19		1,100		1,209,960
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, I/O		1.654%	(a)	06/25/20		18,941		1,282,972
FHLMC Multifamily Structured Pass-Through Certificates, Series K019, Class X1, I/O		1.732%	(a)	03/25/22		18,489		1,837,460
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O		1.465%	(a)	05/25/22		9,277		799,075
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O		1.506%	(a)	06/25/22		9,825		873,917

SEE NOTES TO FINANCIAL STATEMENTS.

A98

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
FHLMC Multifamily Structured Pass-Through Certificates, Series K024, Class A2		2.573%		09/25/22		2,000	$	2,005,802
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, I/O		0.900%	(a)	10/25/22		27,665		1,551,972
FHLMC Multifamily Structured Pass-Through Certificates, Series K026, Class A2		2.510%		11/25/22		3,600		3,590,986
FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2		3.320%		02/25/23		3,600		3,789,295
FHLMC Multifamily Structured Pass-Through Certificates, Series K032, Class A2		3.310%	(a)	05/25/23		2,730		2,869,519
FHLMC Multifamily Structured Pass-Through Certificates, Series K033, Class A2		3.060%		07/25/23		3,600		3,716,381
FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2		3.531%		07/25/23		5,200		5,552,066
FHLMC Multifamily Structured Pass-Through Certificates, Series K036, Class X1, I/O		0.800%	(a)	10/25/23		27,958		1,576,645
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O		1.685%	(a)	08/25/16		3,350		63,285
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O		1.778%	(a)	05/25/19		8,347		551,958
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O		1.707%	(a)	07/25/19		7,898		506,932
FHLMC Multifamily Structured Pass-Through Certificates, Series KSMC, Class A2		2.615%		01/25/23		3,600		3,601,073
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A3		5.787%	(a)	06/15/49		1,000		1,013,024
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46		1,700		1,661,874
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C23, Class A3		3.368%		09/15/47		1,700		1,756,397
Morgan Stanley Capital I Trust, Series 2005-IQ10, Class A4B		5.252%	(a)	09/15/42		800		818,871
NCUA Guaranteed Notes, Series 2010-C1, Class A2		2.900%		10/29/20		2,600		2,669,688
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4		2.792%		12/10/45		1,300		1,287,018
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class AMFX		5.179%	(a)	07/15/42		1,800		1,838,025
Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class A5		5.416%	(a)	01/15/45		1,500		1,553,997
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A5		5.723%	(a)	05/15/43		2,000		2,094,274
Wachovia Bank Commercial Mortgage Trust, Series 2006-C27, Class A3		5.765%	(a)	07/15/45		2,333		2,444,008
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $68,392,446)								68,379,254
CORPORATE BOND — 0.7%
Province of British Columbia, Sr. Unsec’d. Notes (cost $2,239,253)(b)		2.000%		10/23/22		2,405		2,352,542
FOREIGN GOVERNMENT AGENCIES — 0.8%
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A		3.150%		07/24/24		1,410		1,437,570
KFW, Gov’t. Gtd., GMTN(b)		2.750%		10/01/20		1,320		1,378,793
TOTAL FOREIGN GOVERNMENT AGENCIES (cost $2,768,198)								2,816,363
MUNICIPAL BOND — 0.2%
Utah
State of Utah, BABs, Series D (cost $630,000)		4.554%		07/01/24		630		708,315
U.S. GOVERNMENT AGENCY OBLIGATIONS — 47.2%
Federal Home Loan Mortgage Corp.		0.750%		01/12/18		1,380		1,360,196
Federal Home Loan Mortgage Corp.		2.354%	(a)	05/01/34		423		451,946
Federal Home Loan Mortgage Corp.(c)		2.500%		TBA		500		508,539

SEE NOTES TO FINANCIAL STATEMENTS.

A99

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal Home Loan Mortgage Corp.		3.000%		06/01/29		948	$	986,764
Federal Home Loan Mortgage Corp.(c)		3.000%		TBA		2,000		2,015,234
Federal Home Loan Mortgage Corp.(c)		3.500%		TBA		1,000		1,055,625
Federal Home Loan Mortgage Corp.(c)		3.500%		TBA		4,000		4,149,062
Federal Home Loan Mortgage Corp.		4.000%		06/01/26-12/01/40		3,651		3,899,738
Federal Home Loan Mortgage Corp.		4.500%		09/01/39		3,609		3,912,448
Federal Home Loan Mortgage Corp.		5.000%		06/01/33-05/01/34		1,620		1,794,486
Federal Home Loan Mortgage Corp.		5.500%		05/01/37-05/01/38		1,068		1,194,220
Federal Home Loan Mortgage Corp.		6.000%		09/01/34-08/01/39		776		878,957
Federal Home Loan Mortgage Corp.		6.500%		09/01/32		108		124,063
Federal National Mortgage Assoc.(b)		0.875%		05/21/18		580		570,356
Federal National Mortgage Assoc.		1.750%		06/20/19		3,690		3,708,184
Federal National Mortgage Assoc.(b)		1.750%		11/26/19		745		745,447
Federal National Mortgage Assoc.		1.875%		02/19/19		90		91,366
Federal National Mortgage Assoc.		1.988%	(a)	04/01/34		170		180,513
Federal National Mortgage Assoc.		2.183%	(a)	07/01/33		1,202		1,273,028
Federal National Mortgage Assoc.		2.195%	(a)	04/01/34		316		336,780
Federal National Mortgage Assoc.		2.225%	(a)	06/01/34		287		304,291
Federal National Mortgage Assoc.		2.392%	(a)	08/01/33		833		880,889
Federal National Mortgage Assoc.(c)		2.500%		TBA		5,500		5,588,946
Federal National Mortgage Assoc.		2.625%		09/06/24		1,950		1,974,806
Federal National Mortgage Assoc.(c)		3.000%		TBA		4,000		4,157,656
Federal National Mortgage Assoc.		3.000%		08/01/28		2,166		2,255,116
Federal National Mortgage Assoc.(c)		3.000%		TBA		9,000		9,081,387
Federal National Mortgage Assoc.		3.500%		03/01/27-06/01/39		1,615		1,701,566
Federal National Mortgage Assoc.(c)		3.500%		TBA		6,000		6,238,361
Federal National Mortgage Assoc.(c)		3.500%		TBA		12,500		13,030,275
Federal National Mortgage Assoc.(c)		4.000%		TBA		13,000		13,874,301
Federal National Mortgage Assoc.(c)		4.000%		TBA		2,500		2,661,299
Federal National Mortgage Assoc.		4.000%		09/01/40		3,694		3,949,391
Federal National Mortgage Assoc.(c)		4.500%		TBA		6,000		6,512,813
Federal National Mortgage Assoc.(c)		4.500%		TBA		6,500		7,043,360
Federal National Mortgage Assoc.		4.500%		05/01/40		4,128		4,513,285
Federal National Mortgage Assoc.		5.000%		07/01/18-05/01/36		2,856		3,124,663
Federal National Mortgage Assoc.(c)		5.000%		TBA		3,500		3,866,885
Federal National Mortgage Assoc.		5.500%		01/01/17-11/01/35		6,984		7,865,473
Federal National Mortgage Assoc.		6.000%		05/01/21-05/01/38		1,488		1,693,087
Federal National Mortgage Assoc.		6.500%		01/01/15-10/01/37		1,591		1,845,856
Federal National Mortgage Assoc.		7.000%		12/01/31-01/01/36		235		274,101
Federal National Mortgage Assoc.		8.000%		03/01/22-02/01/26		10		10,520
Federal National Mortgage Assoc.		9.000%		02/01/25-04/01/25		35		40,124
Financing Corp. Strips Principal, Series 4-P		1.390%	(d)	10/06/17		2,700		2,604,790
Financing Corp. Strips Principal, Series D-P		2.224%	(d)	09/26/19		1,370		1,249,777
Government National Mortgage Assoc.(c)		3.000%		TBA		3,000		3,067,875
Government National Mortgage Assoc.(c)		3.500%		TBA		3,000		3,149,063
Government National Mortgage Assoc.		3.500%		10/20/43		1,977		2,077,533
Government National Mortgage Assoc.		4.000%		06/15/40-06/20/44		2,478		2,660,630
Government National Mortgage Assoc.(c)		4.000%		TBA		3,000		3,216,527
Government National Mortgage Assoc.(c)		4.500%		TBA		2,000		2,185,234
Government National Mortgage Assoc.		4.500%		02/20/41-03/20/41		2,877		3,156,956
Government National Mortgage Assoc.		5.000%		07/15/33-04/15/34		847		941,237
Government National Mortgage Assoc.		5.500%		03/15/34-03/15/36		767		865,031
Government National Mortgage Assoc.		6.500%		07/15/32-08/15/32		241		279,581
Government National Mortgage Assoc.		7.000%		03/15/23-08/15/28		533		593,472
Government National Mortgage Assoc.		7.500%		12/15/25-02/15/26		83		94,434
Government National Mortgage Assoc.		8.500%		09/15/24-04/15/25		173		197,932
Hashemite Kingdom of Jordan, USAID Bond (Jordan), U.S. Gov’t. Gtd. Notes		2.503%		10/30/20		937		952,611
Ukraine Government USAID Bonds, U.S. Gov’t. Gtd. Notes		1.844%		05/16/19		565		568,814

SEE NOTES TO FINANCIAL STATEMENTS.

A100

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Westpac Banking Corp., 144A(b)		2.000%		05/21/19		610	$	607,806
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $156,858,203)								160,194,706
U.S. TREASURY OBLIGATIONS — 22.7%
U.S. Treasury Bonds		2.250%		11/15/24		655		659,401
U.S. Treasury Bonds		2.875%		05/15/43		415		424,467
U.S. Treasury Bonds		3.000%		11/15/44		2,100		2,206,970
U.S. Treasury Inflation Indexed Bonds, TIPS		0.125%		04/15/19		10,417		10,302,685
U.S. Treasury Notes		1.250%		11/30/18		8,865		8,802,670
U.S. Treasury Notes(e)		1.500%		12/31/18		16,585		16,607,025
U.S. Treasury Notes		1.500%		01/31/19-05/31/19		2,465		2,464,244
U.S. Treasury Notes(b)		1.500%		11/30/19		1,015		1,008,577
U.S. Treasury Notes		1.625%		12/31/19		910		908,650
U.S. Treasury Notes		2.375%		05/31/18-08/15/24		6,270		6,478,401
U.S. Treasury Notes		2.875%		03/31/18		6,660		7,006,526
U.S. Treasury Notes		3.125%		08/15/44		350		376,797
U.S. Treasury Notes		3.375%		05/15/44		155		174,496
U.S. Treasury Strips Coupon		1.863%	(d)	05/15/22		8,820		7,542,555
U.S. Treasury Strips Coupon		2.037%	(d)	02/15/22		2,280		1,963,522
U.S. Treasury Strips Coupon(f)		2.404%	(d)	08/15/21		3,370		2,947,190
U.S. Treasury Strips Coupon(b)		4.138%	(d)	02/15/42		5,000		2,297,816
U.S. Treasury Strips Principal(b)		3.591%	(d)	05/15/44		3,515		1,520,480
U.S. Treasury Strips Principal		3.874%	(d)	02/15/44		7,565		3,298,453
TOTAL U.S. TREASURY OBLIGATIONS (cost $75,110,578)								76,990,925
TOTAL LONG-TERM INVESTMENTS (cost $320,197,078)								325,814,318
SHORT-TERM INVESTMENTS — 33.8%					Shares
AFFILIATED MUTUAL FUNDS — 33.8%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $55,240,720)(Note 4)(g)						5,613,042		52,425,815
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $62,007,278; includes $9,678,833 of cash collateral for securities on loan) (Note 4)(g)(h)						62,007,278		62,007,278
TOTAL AFFILIATED MUTUAL FUNDS (cost $117,247,998)								114,433,093
					Notional Amount (000)#
OPTIONS PURCHASED*
Call Options
2 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $109.38						38,200		29,844
2 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $110.00						38,200		2,984
TOTAL OPTIONS PURCHASED (cost $54,395)								32,828
TOTAL SHORT-TERM INVESTMENTS (cost $117,302,393)								114,465,921
TOTAL INVESTMENTS, BEFORE OPTION WRITTEN — 129.8% (cost $437,499,471)								440,280,239

SEE NOTES TO FINANCIAL STATEMENTS.

A101

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

OPTION WRITTEN*	Notional Amount (000)#		Value (Note 2)
Call Option
2 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $109.63 (Premiums received $35,136)		76,400	$	(11,937	)
TOTAL INVESTMENTS, NET OF OPTION WRITTEN — 129.8% (cost $437,464,335)				440,268,302
LIABILITIES IN EXCESS OF OTHER ASSETS(j) — (29.8)%				(101,087,771	)
NET ASSETS — 100.0%			$	339,180,531

See the Glossary for abbreviations used in the Portfolio descriptions.

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

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

(b) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $9,495,771; cash collateral of $9,678,833 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

(c) All or partial principal amount of $87,000,000 represents to-be announced (“TBA”) securities acquired under mortgage dollar roll agreement.

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

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

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

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

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

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

Futures contracts outstanding at December 31, 2014:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2014		Unrealized Appreciation (Depreciation)(1)
Long Positions:
343	2 Year U.S. Treasury Notes		Mar. 2015	$	74,996,918	$	74,977,656	$	(19,262	)
70	5 Year U.S. Treasury Notes		Mar. 2015		8,323,302		8,325,078		1,776
85	10 Year U.S. Treasury Notes		Mar. 2015		10,775,593		10,777,734		2,141
67	U.S. Ultra Bonds		Mar. 2015		10,817,611		11,067,563		249,952
									234,607
Short Position:
71	U.S. Long Bonds		Mar. 2015		10,261,490		10,263,937		(2,447	)
								$	232,160

(1) A U.S. Treasury security with a market value of $493,239 has been segregated with Citigroup Global Markets to cover requirements for open contracts at December 31, 2014.

Interest rate swap agreements outstanding at December 31, 2014:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
	Over-the-counter swap agreements:
	1,360		11/30/16		0.945%	3 Month LIBOR(1)	$	(3,404	)	$	—	$	(3,404	)	Citigroup Global Markets
	4,700		02/15/19		1.656%	3 Month LIBOR(1)		(39,903	)		—		(39,903	)	Citigroup Global Markets
	4,700		02/15/19		1.794%	3 Month LIBOR(2)		68,402			—		68,402		JPMorgan Chase
							$	25,095		$	—	$	25,095

SEE NOTES TO FINANCIAL STATEMENTS.

A102

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at December 31, 2014			Unrealized Appreciation (Depreciation)
	Exchange-traded swap agreements:
	100		02/21/16		0.429%	3 Month LIBOR(1)	$	150		$	71		$	(79	)
	5,820		06/30/16		0.618%	3 Month LIBOR(1)		165			2,912			2,747
	22,440		06/30/16		0.655%	3 Month LIBOR(1)		(2,351	)		(1,175	)		1,176
	6,240		06/30/16		0.655%	3 Month LIBOR(1)		165			(339	)		(504	)
	13,540		08/29/16		0.710%	3 Month LIBOR(1)		121			4,263			4,142
	19,075		05/31/19		1.730%	3 Month LIBOR(1)		1,517			19,171			17,654
	10,750		08/29/19		1.804%	3 Month LIBOR(2)		136			44,689			44,553
	7,855		09/17/21		2.358%	3 Month LIBOR(2)		197			172,206			172,009
	6,285		10/31/21		2.152%	3 Month LIBOR(1)		187			(23,149	)		(23,336	)
	5,100		01/13/22		2.351%	3 Month LIBOR(1)		181			(102,421	)		(102,602	)
	4,850		01/13/22		2.480%	3 Month LIBOR(1)		180			(139,180	)		(139,360	)
	1,710		01/22/22		2.467%	3 Month LIBOR(1)		160			(47,427	)		(47,587	)
	8,720		12/20/23		2.932%	3 Month LIBOR(1)		220			(516,814	)		(517,034	)
	11,725		08/18/24		2.750%	3 Month LIBOR(2)		168			502,899			502,731
	2,920		08/29/24		2.560%	3 Month LIBOR(1)		112			(76,066	)		(76,178	)
	11,600		09/17/24		2.732%	3 Month LIBOR(1)		243			(476,432	)		(476,675	)
	4,230		09/17/29		3.070%	3 Month LIBOR(2)		192			304,782			304,590
							$	1,743		$	(332,010	)	$	(333,753	)

A U.S. Treasury security with a market value of $690,916 has been segregated with Citigroup Global Markets to cover requirements for open exchange-traded interest rate swap contracts at December 31, 2014.

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

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

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

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

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

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

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

	Level 1			Level 2			Level 3
Investments in Securities
Asset-Backed Securities
Collateralized Loan Obligations	$	—		$	10,416,140		$	—
Collateralized Mortgage Obligations		—			1,422,079			—
Non-Residential Mortgage-Backed Securities		—			2,533,994			—
Commercial Mortgage-Backed Securities		—			68,379,254			—
Corporate Bond		—			2,352,542			—
Foreign Government Agencies		—			2,816,363			—
Municipal Bond		—			708,315			—
U.S. Government Agency Obligations		—			160,194,706			—
U.S. Treasury Obligations		—			76,990,925			—
Affiliated Mutual Funds		114,433,093			—			—
Options Purchased		32,828			—			—
Option Written		(11,937	)		—			—
Other Financial Instruments*
Futures Contracts		232,160			—			—
Over-the-counter interest rate swaps		—			25,095			—
Exchange-traded interest rate swaps		—			(333,753	)		—
Total	$	114,686,144		$	325,505,660		$	—

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

SEE NOTES TO FINANCIAL STATEMENTS.

A103

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

U.S. Government Agency Obligations	47.2	%
Affiliated Mutual Funds	33.8
U.S. Treasury Obligations	22.7
Commercial Mortgage-Backed Securities	20.2
Collateralized Loan Obligations	3.1
Foreign Government Agencies	0.8
Non-Residential Mortgage-Backed Securities	0.7
Corporate Bond	0.7
Collateralized Mortgage Obligations	0.4

Municipal Bond	0.2	%
Options Purchased	—	**
Option Written	—	**
	129.8
Liabilities in excess of other assets	(29.8	)
	100.0	%

** Less than 0.05%

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

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

Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Interest rate contracts	Due from broker — variation margin futures	$	253,869	*	Due from broker — variation margin futures	$	21,709	*
Interest rate contracts	Due from broker — variation margin swaps		1,049,602	*	Due from broker — variation margin swaps		1,383,355	*
Interest rate contracts	Unrealized appreciation on swap agreements		68,402		Unrealized depreciation on swap agreements		43,307
Interest rate contracts	Unaffiliated investments		32,828		Option written outstanding, at value		11,937
Total		$	1,404,701			$	1,460,308

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

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

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Options Purchased*			Option Written		Futures		Swaps			Total
Interest rate contracts	$	(232,641	)	$	(60,430)	$	411,559	$	(896,250	)	$	(777,762	)

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

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Options Purchased*		Option Written		Futures		Swaps			Total
Interest rate contracts	$	62,526	$	23,199	$	1,067,196	$	(1,624,660	)	$	(471,739	)

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

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

Options Purchased (Cost)	Options Written (Notional Amount in USD (000))	Futures Long Position (Value at Trade Date)
$314,548	$52,436	$89,304,834

Futures Short Position (Value at Trade Date)	Interest Rate Swaps (Notional Amount in USD (000))
$17,730,843	$135,097

SEE NOTES TO FINANCIAL STATEMENTS.

A104

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

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

Counterparty	Gross Amounts of Recognized Assets(1)			Gross Amounts Available for Offset		Collateral Received(3)		Net Amount
Citigroup Global Markets	$	—		$	—	$	—	$	—
JPMorgan Chase		68,402			—		—		68,402
	$	68,402
Counterparty	Gross Amounts of Recognized Liabilities(2)			Gross Amounts Available for Offset		Collateral Pledged(3)		Net Amount
Citigroup Global Markets	$	(43,307	)	$	—	$	—	$	(43,307	)
JPMorgan Chase		—			—		—		—
	$	(43,307	)

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A105

GOVERNMENT INCOME PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014

ASSETS
Investments at value, including securities on loan of $9,495,771:
Unaffiliated investments (cost $320,251,473)	$	325,847,146
Affiliated investments (cost $117,247,998)		114,433,093
Receivable for investments sold		117,464,769
Dividends receivable		1,012,785
Unrealized appreciation on over-the-counter swap agreements		68,402
Due from broker—variation margin swaps		31,838
Receivable for Series shares sold		769
Prepaid expenses		2,657
Total Assets		558,861,459
LIABILITIES
Payable for investments purchased		208,639,349
Payable to broker for collateral for securities on loan		9,678,833
Payable to custodian		1,005,806
Management fee payable		115,275
Accrued expenses		108,163
Payable for Series shares repurchased		72,779
Unrealized depreciation on over-the-counter swap agreements		43,307
Option written outstanding, at value (premiums received $35,136)		11,937
Due to broker—variation margin futures		4,553
Affiliated transfer agent fee payable		926
Total Liabilities		219,680,928
NET ASSETS	$	339,180,531
Net assets were comprised of:
Paid-in capital	$	326,291,161
Retained earnings		12,889,370
Net assets, December 31, 2014	$	339,180,531
Net asset value and redemption price per share $339,180,531 / 28,454,702 outstanding shares of beneficial interest	$	11.92

STATEMENT OF OPERATIONS

Year Ended December 31, 2014

NET INVESTMENT INCOME
INCOME
Interest income	$	6,759,710
Affiliated dividend income		722,747
Affiliated income from securities loaned, net		35,816
Total income		7,518,273
EXPENSES
Management fee		1,363,330
Custodian’s fees and expenses		85,000
Shareholders’ reports		84,000
Audit fee		33,000
Trustees’ fees		13,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		12,000
Legal fees and expenses		11,000
Insurance expenses		5,000
Commitment fee on syndicated credit agreement		2,000
Miscellaneous		8,580
Total expenses		1,616,910
NET INVESTMENT INCOME		5,901,363
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investment transactions		8,017,354
Futures transactions		411,559
Options written transactions		(60,430	)
Swap agreement transactions		(896,250	)
		7,472,233
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated $166,788)		6,529,006
Futures		1,067,196
Options written		23,199
Swap agreements		(1,624,660	)
		5,994,741
NET GAIN ON INVESTMENT TRANSACTIONS		13,466,974
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	19,368,337

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	5,901,363		$	6,413,372
Net realized gain (loss) on investment transactions		7,472,234			(2,399,719	)
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		5,994,740			(12,420,842	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		19,368,337			(8,407,189	)
DIVIDENDS FROM NET INVESTMENT INCOME		(1,210,720	)		(17,437,795	)
SERIES SHARE TRANSACTIONS
Series shares sold [449,768 and 353,311 shares, respectively]		5,246,081			4,141,803
Series shares issued in reinvestment of distributions [105,280 and 1,506,594 shares, respectively]		1,210,720			17,437,795
Series shares repurchased [2,279,485 and 3,202,620 shares, respectively]		(26,512,995	)		(37,560,842	)
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(20,056,194	)		(15,981,244	)
TOTAL DECREASE		(1,898,577	)		(41,826,228	)
NET ASSETS:
Beginning of year		341,079,108			382,905,336
End of year	$	339,180,531		$	341,079,108

SEE NOTES TO FINANCIAL STATEMENTS.

A106

	HIGH YIELD BOND  PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2014

LONG-TERM INVESTMENTS — 93.1% ASSET-BACKED SECURITIES — 0.4%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations — 0.4%
Primus CLO II Ltd. (Cayman Islands), Series 2007-2A, Class A, 144A		0.463%	(a)	07/15/21		455	$	449,654
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class D, 144A		4.482%	(a)	08/17/22		13,000		12,812,169
								13,261,823
Residential Mortgage-Backed Securities
Argent Securities, Inc./Asset-Backed Pass-Through Certificate, Series 2003-W8, Class M1		1.220%	(a)	12/25/33		103		99,535
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF2		4.099%	(a)	01/25/37		526		283,636
Morgan Stanley Mortgage Loan Trust, Series 2006-12XS, Class A6A		5.726%		10/25/36		349		219,245
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-9XS, Class 2A1		0.470%	(a)	06/25/35		267		233,210
								835,626
TOTAL ASSET-BACKED SECURITIES (cost $12,729,793)								14,097,449
BANK LOANS(a) — 1.9%
Capital Goods — 0.4%
CPM Holdings, Inc.		10.250%		03/01/18		7,750		7,750,000
Neff Rental LLC		7.250%		06/09/21		4,415		4,326,828
								12,076,828
Chemicals — 0.2%
Solenis International LP		7.750%		07/31/22		7,500		7,287,502
Energy – Other — 0.1%
American Energy Marcellus LLC		8.500%		08/04/21		3,675		3,105,375
Fieldwood Energy LLC		8.375%		09/30/20		3,000		2,178,000
								5,283,375
Gaming — 0.2%
CCM Merger, Inc. (original cost $4,291,204; purchased 07/30/14)(b)(c)		4.500%		08/06/21		4,324		4,258,777
Golden Nugget, Inc.		5.500%		11/21/19		1,485		1,468,294
Yonkers Racing Corp.		8.750%		08/20/20		1,180		796,500
								6,523,571
Healthcare & Pharmaceutical
Radnet Mgmt., Inc.		8.000%		03/25/21		1,000		990,000
Lodging — 0.1%
Four Seasons Holdings, Inc. (Canada)		6.250%		12/28/20		1,750		1,736,875
Retailers
Advantage Sales & Marketing, Inc.		7.500%		07/25/22		1,000		984,500
Technology — 0.9%
BMC Software Finance, Inc.		5.000%		09/10/20		4,974		4,815,421
Evergreen Skills Lux Sarl (Luxembourg)		9.250%		04/28/22		16,200		15,228,000
Kronos, Inc.		9.750%		04/30/20		7,956		8,075,542
								28,118,963
TOTAL BANK LOANS (cost $65,659,892)								63,001,614
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.1%
Adjustable Rate Mortgage Trust, Series 2005-7, Class 1A1		2.471%	(a)	10/25/35		94		82,546
American Home Mortgage Assets Trust, Series 2006-4, Class 1A12		0.380%	(a)	10/25/46		40		26,771
American Home Mortgage Assets Trust, Series 2006-5, Class A1		1.033%	(a)	11/25/46		352		192,337
American Home Mortgage Investment Trust, Series 2005-2, Class 4A1		1.827%	(a)	09/25/45		18		17,640
Banc of America Alternative Loan Trust, Series 2005-4, Class CB6		0.570%	(a)	05/25/35		40		30,848
Banc of America Funding Trust, Series 2006-B, Class 2A1		2.634%	(a)	03/20/36		118		101,786

SEE NOTES TO FINANCIAL STATEMENTS.

A107

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COLLATERALIZED MORTGAGE OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Bear Stearns ARM Trust, Series 2005-10, Class A2		2.710%	(a)	10/25/35		45	$	44,487
Citigroup Mortgage Loan Trust, Series 2007-10, Class 22AA		2.745%	(a)	09/25/37		77		68,785
Countrywide Alternative Loan Trust, Series 2005-43, Class 4A3		5.220%	(a)	10/25/35		29		24,609
Countrywide Alternative Loan Trust, Series 2006-HY13, Class 4A1		2.662%	(a)	02/25/37		36		32,090
Countrywide Alternative Loan Trust, Series 2006-OA9, Class 2A1A		0.375%	(a)	07/20/46		32		22,348
Countrywide Alternative Loan Trust, Series 2006-OA11, Class A1B		0.360%	(a)	09/25/46		43		36,371
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-2, Class 2A1		0.490%	(a)	03/25/35		97		92,523
First Horizon Alternative Mortgage Securities Trust, Series 2006-FA2, Class 1A5		6.000%		05/25/36		63		54,181
HarborView Mortgage Loan Trust, Series 2006-1, Class 2A1A		0.404%	(a)	03/19/36		309		226,141
HarborView Mortgage Loan Trust, Series 2006-5, Class 2A1A		0.344%	(a)	07/19/46		48		30,815
HarborView Mortgage Loan Trust, Series 2006-7, Class 2A1B		0.414%	(a)	09/19/46		51		5,266
IndyMac INDX Mortgage Loan Trust, Series 2006-AR12, Class A1		0.360%	(a)	09/25/46		36		30,742
JP Morgan Mortgage Trust, Series 2007-S3, Class 1A96		6.000%		08/25/37		30		26,939
MASTR Adjustable Rate Mortgages Trust, Series 2006-OA1, Class 1A1		0.380%	(a)	04/25/46		25		18,984
Residential Accredit Loans, Inc., Series 2006-QA2, Class 3A1		5.500%		02/25/36		193		152,873
Residential Accredit Loans, Inc., Series 2007-QS4, Class 2A1		0.500%	(a)	03/25/37		158		57,469
Residential Asset Securitization Trust, Series 2007-A5, Class 2A3		6.000%		05/25/37		59		52,262
Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 2A1		0.360%	(a)	07/25/46		49		39,068
SunTrust Alternative Loan Trust, Series 2006-1F, Class 3A		0.520%	(a)	04/25/36		111		45,295
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 2A3		2.301%	(a)	02/25/37		31		26,851
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 4A1		2.362%	(a)	02/25/37		39		34,503
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-OA3, Class 2A1A		0.873%	(a)	04/25/47		43		37,410
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $1,421,811)								1,611,940
CORPORATE BONDS — 90.6%
Aerospace & Defense — 1.9%
Alliant Techsystems, Inc., Gtd. Notes		6.875%		09/15/20		2,475		2,635,875
Alliant Techsystems, Inc., Gtd. Notes, 144A		5.250%		10/01/21		2,965		2,987,237
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A(d)		5.750%		03/15/22		2,450		2,480,625
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A(d)		6.000%		10/15/22		3,425		3,459,250
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A(d)		6.125%		01/15/23		4,850		4,947,000
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A(d)		7.750%		03/15/20		2,476		2,686,460
Esterline Technologies Corp., Gtd. Notes		7.000%		08/01/20		5,400		5,670,000
KLX, Inc., Gtd. Notes, 144A		5.875%		12/01/22		5,850		5,908,500
LMI Aerospace, Inc., Sec’d. Notes, 144A		7.375%		07/15/19		4,225		4,119,375
Sequa Corp., Gtd. Notes, 144A (original cost $8,703,219; purchased 12/10/12-12/17/13)(b)(c)(d)		7.000%		12/15/17		8,659		7,793,100
TransDigm, Inc., Gtd. Notes(d)		6.000%		07/15/22		6,150		6,134,625
TransDigm, Inc., Gtd. Notes		6.500%		07/15/24		6,150		6,180,750
TransDigm, Inc., Gtd. Notes(d)		7.500%		07/15/21		5,245		5,585,925
								60,588,722
Automotive — 2.2%
American Axle & Manufacturing, Inc., Gtd. Notes(d)		6.250%		03/15/21		4,875		5,118,750
American Axle & Manufacturing, Inc., Gtd. Notes(d)		6.625%		10/15/22		5,000		5,300,000
American Axle & Manufacturing, Inc., Gtd. Notes		7.750%		11/15/19		675		756,000
Chrysler Group LLC/CG Co.-Issuer, Inc., Sec’d. Notes		8.000%		06/15/19		3,100		3,258,875
Chrysler Group LLC/CG Co.-Issuer, Inc., Sec’d. Notes		8.250%		06/15/21		9,500		10,521,250
Dana Holding Corp., Sr. Unsec’d. Notes		5.375%		09/15/21		4,050		4,171,500
Dana Holding Corp., Sr. Unsec’d. Notes		6.750%		02/15/21		6,909		7,306,267
General Motors Co., Sr. Unsec’d. Notes		4.875%		10/02/23		5,275		5,644,250
General Motors Financial Co., Inc., Gtd. Notes		3.250%		05/15/18		1,150		1,151,437

SEE NOTES TO FINANCIAL STATEMENTS.

A108

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Automotive (continued)
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A		5.625%		02/01/23		650	$	684,125
Lear Corp., Gtd. Notes		4.750%		01/15/23		775		773,063
Lear Corp., Gtd. Notes		5.250%		01/15/25		11,450		11,593,125
Meritor, Inc., Gtd. Notes		6.250%		02/15/24		3,775		3,831,625
Meritor, Inc., Gtd. Notes(d)		6.750%		06/15/21		5,075		5,303,375
Schaeffler Holding Finance BV (Germany), Sr. Sec’d. Notes, PIK, 144A(d)		6.750%		11/15/22		1,800		1,881,000
Titan International, Inc., Sr. Sec’d. Notes		6.875%		10/01/20		5,350		4,708,000
								72,002,642
Banking — 1.2%
Ally Financial, Inc., Gtd. Notes		8.000%		03/15/20		6,811		8,036,980
Ally Financial, Inc., Sr. Unsec’d. Notes		3.750%		11/18/19		8,775		8,643,375
Bank of America Corp., Series K, Jr. Sub. Notes		8.000%	(a)	12/29/49		730		783,838
Bank of America Corp., Series U, Jr. Sub. Notes(d)		5.200%	(a)	12/31/49		2,925		2,701,969
Citigroup, Inc., Jr. Sub. Notes(d)		5.800%	(a)	12/31/49		9,515		9,515,000
HBOS PLC (United Kingdom), Sub. Notes, GMTN, 144A		6.750%		05/21/18		400		445,798
Morgan Stanley, Series H, Jr. Sub. Notes		5.450%	(a)	12/31/49		4,975		4,983,955
Wells Fargo & Co., Series S, Jr. Sub. Notes		5.900%	(a)	12/31/49		4,975		5,012,312
								40,123,227
Building Materials & Construction — 3.1%
Beazer Homes USA, Inc., Gtd. Notes		5.750%		06/15/19		4,375		4,200,000
Beazer Homes USA, Inc., Gtd. Notes(d)		7.250%		02/01/23		1,425		1,382,250
Beazer Homes USA, Inc., Gtd. Notes		7.500%		09/15/21		7,625		7,663,125
Beazer Homes USA, Inc., Gtd. Notes(d)		9.125%		05/15/19		5,000		5,225,000
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), Gtd. Notes, 144A(d)		6.125%		07/01/22		5,175		5,382,000
Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A(c)		5.375%		11/15/24		6,250		6,234,375
Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A (original cost $2,215,000; purchased 04/19/13)(b)(c)		6.750%		05/01/21		2,000		2,115,000
Cemex Finance LLC (Mexico), Sr. Sec’d. Notes, 144A		9.375%		10/12/22		5,975		6,662,125
Cemex SAB de CV (Mexico), Sr. Sec’d. Notes, 144A		5.700%		01/11/25		6,475		6,280,750
D.R. Horton, Inc., Gtd. Notes		4.750%		02/15/23		8,825		8,780,875
D.R. Horton, Inc., Gtd. Notes		6.500%		04/15/16		900		949,500
HD Supply, Inc., Sr. Sec’d. Notes, 144A		5.250%		12/15/21		4,725		4,807,687
KB Home, Gtd. Notes(d)		7.000%		12/15/21		2,725		2,866,359
KB Home, Gtd. Notes(d)		7.500%		09/15/22		5,425		5,750,500
Masco Corp., Sr. Unsec’d. Notes		5.950%		03/15/22		1,675		1,859,250
Standard Pacific Corp., Gtd. Notes(d)		6.250%		12/15/21		800		820,000
Standard Pacific Corp., Gtd. Notes		8.375%		05/15/18		925		1,045,250
Standard Pacific Corp., Gtd. Notes(d)		8.375%		01/15/21		525		594,563
Standard Pacific Corp., Gtd. Notes(d)		10.750%		09/15/16		3,875		4,388,438
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A		5.625%		03/01/24		2,150		2,074,750
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A(c)(d)		7.750%		04/15/20		5,892		6,245,520
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A(c)		7.750%		04/15/20		1,762		1,867,720
Toll Brothers Finance Corp., Gtd. Notes		4.000%		12/31/18		825		829,125
WCI Communities, Inc., Gtd. Notes		6.875%		08/15/21		8,570		8,591,425
William Lyon Homes, Inc., Gtd. Notes, 144A(d)		7.000%		08/15/22		4,825		4,873,250
								101,488,837
Cable — 3.7%
Cablevision Systems Corp., Sr. Unsec’d. Notes(d)		7.750%		04/15/18		1,375		1,512,500
Cablevision Systems Corp., Sr. Unsec’d. Notes		8.625%		09/15/17		9,975		11,097,187
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes		5.125%		02/15/23		568		555,220
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes		5.250%		03/15/21		635		639,763
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(d)		5.250%		09/30/22		2,200		2,194,500

SEE NOTES TO FINANCIAL STATEMENTS.

A109

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Cable (continued)
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(d)		5.750%		09/01/23		7,625	$	7,720,312
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes		5.750%		01/15/24		3,900		3,939,000
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes		8.125%		04/30/20		1,600		1,684,000
CCOH Safari LLC, Gtd. Notes		5.500%		12/01/22		8,325		8,449,875
CCOH Safari LLC, Gtd. Notes		5.750%		12/01/24		4,600		4,651,750
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A		5.125%		12/15/21		8,505		8,249,850
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A		5.125%		12/15/21		6,125		5,941,250
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A		6.375%		09/15/20		5,375		5,563,125
CSC Holdings LLC, Sr. Unsec’d. Notes		6.750%		11/15/21		4,530		5,005,650
CSC Holdings LLC, Sr. Unsec’d. Notes		7.875%		02/15/18		850		954,125
DISH DBS Corp., Gtd. Notes		5.875%		07/15/22		3,275		3,356,875
DISH DBS Corp., Gtd. Notes, 144A		5.875%		11/15/24		4,000		4,020,000
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes(d)		5.500%		08/01/23		12,000		11,926,800
Mediacom Broadband LLC/Mediacom Broadband Corp., Gtd. Notes		5.500%		04/15/21		7,500		7,537,500
ONO Finance II PLC (Spain), Gtd. Notes, 144A		10.875%		07/15/19		1,625		1,722,500
Quebecor Media, Inc. (Canada), Sr. Unsec’d. Notes(d)		5.750%		01/15/23		11,408		11,664,680
Unitymedia KabelBW GmbH (Germany), Gtd. Notes, 144A		6.125%		01/15/25		3,575		3,691,188
Videotron Ltd. (Canada), Gtd. Notes		5.000%		07/15/22		3,825		3,891,937
Virgin Media Secured Finance PLC (United Kingdom), Sr. Sec’d. Notes, 144A		5.375%		04/15/21		4,000		4,130,000
								120,099,587
Capital Goods — 7.3%
ADS Waste Holdings, Inc., Gtd. Notes		8.250%		10/01/20		3,675		3,675,000
AECOM Technology Corp., Gtd. Notes, 144A		5.875%		10/15/24		10,200		10,429,500
Apex Tool Group LLC, Gtd. Notes, 144A (original cost $1,880,000; purchased 09/17/14)(b)(c)		7.000%		02/01/21		2,000		1,710,000
Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A		6.500%		07/15/22		8,925		9,482,812
Belden, Inc., Gtd. Notes, 144A		5.500%		09/01/22		4,025		3,994,813
BlueLine Rental Finance Corp., Sec’d. Notes, 144A (original cost $4,268,531; purchased 01/16/14-07/01/14)(b)(c)		7.000%		02/01/19		4,125		4,228,125
Case New Holland Industrial, Inc., Gtd. Notes		7.875%		12/01/17		4,150		4,565,000
CBRE Services, Inc., Gtd. Notes		5.000%		03/15/23		1,200		1,226,280
Clean Harbors, Inc., Gtd. Notes		5.250%		08/01/20		6,850		6,884,250
Cleaver-Brooks, Inc., Sr. Sec’d. Notes, 144A (original cost $5,912,938; purchased 04/08/13-12/11/14)(b)(c)		8.750%		12/15/19		5,475		5,762,438
CNH Industrial Capital LLC, Gtd. Notes		3.625%		04/15/18		2,950		2,905,750
Dycom Investments, Inc., Gtd. Notes		7.125%		01/15/21		5,225		5,486,250
EnPro Industries, Inc., Gtd. Notes, 144A		5.875%		09/15/22		4,475		4,519,750
Gates Global LLC/Gates Global Co., Gtd. Notes, 144A(b)(d)		6.000%		07/15/22		9,350		8,954,495
General Cable Corp., Gtd. Notes		5.750%	(a)	10/01/22		3,225		2,354,250
Greystar Real Estate Partners LLC, Sr. Sec’d. Notes, 144A (original cost $5,875,000; purchased 11/10/14)(b)(c)		8.250%		12/01/22		5,875		5,977,812
Griffon Corp., Gtd. Notes		5.250%		03/01/22		13,235		12,391,269
H&E Equipment Services, Inc., Gtd. Notes(d)		7.000%		09/01/22		12,295		12,648,481
International Wire Group Holdings, Inc., Sec’d. Notes, 144A(d)		8.500%		10/15/17		6,250		6,546,875
Jurassic Holdings III, Inc., Sec’d. Notes, 144A		6.875%		02/15/21		7,775		7,230,750
Laureate Education, Inc., Gtd. Notes, 144A(d)		9.750%		09/01/19		12,425		12,797,750
Light Tower Rentals, Inc., Sr. Sec’d. Notes, 144A(d)		8.125%		08/01/19		4,250		3,304,375
Manitowoc Co., Inc. (The), Gtd. Notes		5.875%		10/15/22		2,550		2,588,250
Modular Space Corp., Sec’d. Notes, 144A (original cost $2,550,000; purchased 02/19/14)(b)(c)		10.250%		01/31/19		2,550		2,205,750
NES Rentals Holdings, Inc., Sec’d. Notes, 144A (original cost $7,395,938; purchased 04/12/13-11/10/14)(b)(c)		7.875%		05/01/18		7,275		7,347,750
Rexel SA (France), Sr. Unsec’d. Notes, 144A		6.125%		12/15/19		3,600		3,708,000

SEE NOTES TO FINANCIAL STATEMENTS.

A110

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Capital Goods (continued)
Safway Group Holding LLC/Safway Finance Corp., Sec’d. Notes, 144A		7.000%		05/15/18		1,450	$	1,377,500
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)(b)(c)(d)		6.375%		05/01/22		12,750		12,431,250
Terex Corp., Gtd. Notes(d)		6.000%		05/15/21		8,889		9,066,780
Terex Corp., Gtd. Notes(d)		6.500%		04/01/20		2,175		2,251,125
Unifrax I LLC/Unifrax Holding Co., Gtd. Notes, 144A (original cost $3,045,000; purchased 10/10/13)(b)(c)		7.500%		02/15/19		3,000		2,955,000
United Rentals North America, Inc., Gtd. Notes(d)		5.750%		11/15/24		5,150		5,304,500
United Rentals North America, Inc., Gtd. Notes		6.125%		06/15/23		2,600		2,730,000
United Rentals North America, Inc., Gtd. Notes(d)		7.375%		05/15/20		2,625		2,835,000
United Rentals North America, Inc., Gtd. Notes		7.625%		04/15/22		12,640		13,897,680
United Rentals North America, Inc., Gtd. Notes(d)		8.375%		09/15/20		2,750		2,949,375
United Rentals North America, Inc., Sr. Unsec’d. Notes		8.250%		02/01/21		7,025		7,657,250
Vander Intermediate Holding II Corp., Sr. Unsec’d. Notes, PIK, 144A(d)		9.750%		02/01/19		7,915		8,192,025
WireCo WorldGroup, Inc., Gtd. Notes		9.500%		05/15/17		10,800		10,881,000
								235,454,260
Chemicals — 3.4%
Axalta Coating Systems US Holdings Inc./Axalta Coating Systems Dutch Holding B BV, Gtd. Notes, 144A(d)		7.375%		05/01/21		8,945		9,481,700
Axiall Corp., Gtd. Notes		4.875%		05/15/23		2,175		2,052,656
Chemtura Corp., Gtd. Notes(d)		5.750%		07/15/21		8,375		8,165,625
Eagle Spinco, Inc., Gtd. Notes(d)		4.625%		02/15/21		2,625		2,487,188
Hexion US Finance Corp., Sr. Sec’d. Notes(d)		6.625%		04/15/20		11,585		11,353,300
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, Sec’d. Notes		9.000%		11/15/20		23,835		17,042,025
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, Sr. Sec’d. Notes		8.875%		02/01/18		9,275		8,254,750
Huntsman International LLC, Gtd. Notes, 144A(d)		5.125%		11/15/22		5,075		4,998,875
Koppers, Inc., Gtd. Notes		7.875%		12/01/19		12,902		13,240,677
Rentech Nitrogen Partners LP/Rentech Nitrogen Finance Corp., Sec’d. Notes, 144A		6.500%		04/15/21		7,575		6,741,750
Taminco Global Chemical Corp. (Belgium), Sec’d. Notes, 144A		9.750%		03/31/20		7,805		8,546,475
TPC Group, Inc., Sr. Sec’d. Notes, 144A (original cost $12,099,538; purchased 12/11/12-10/21/14)(b)(c)		8.750%		12/15/20		11,720		11,397,700
Tronox Finance LLC, Gtd. Notes(d)		6.375%		08/15/20		6,481		6,497,203
								110,259,924
Consumer — 2.2%
Acosta, Inc., Sr. Unsec’d. Notes, 144A		7.750%		10/01/22		7,550		7,644,375
Big Heart Pet Brands, Gtd. Notes(d)		7.625%		02/15/19		3,084		3,030,030
Brand Energy & Infrastructure Services, Inc., Gtd. Notes, 144A (original cost $5,325,000; purchased 11/22/13)(b)(c)		8.500%		12/01/21		5,325		4,792,500
Carlson Wagonlit BV (Netherlands), Sr. Sec’d. Notes, 144A (original cost $3,100,000; purchased 05/09/12)(b)(c)		6.875%		06/15/19		3,100		3,239,500
First Quality Finance Co., Inc., Sr. Unsec’d. Notes, 144A(d)		4.625%		05/15/21		5,805		5,311,575
Gibson Brands, Inc., Sr. Sec’d. Notes, 144A(b)		8.875%		08/01/18		2,525		2,424,000
Hearthside Group Holdings LLC/Hearthside Finance Co., Gtd. Notes, 144A		6.500%		05/01/22		5,475		5,338,125
PVH Corp., Sr. Unsec’d. Notes(d)		4.500%		12/15/22		2,950		2,913,125
Service Corp. International, Sr. Unsec’d. Notes(d)		5.375%		05/15/24		8,650		8,823,000
Service Corp. International, Sr. Unsec’d. Notes		4.500%		11/15/20		2,325		2,284,312
Service Corp. International, Sr. Unsec’d. Notes		5.375%		01/15/22		925		948,125
Service Corp. International, Sr. Unsec’d. Notes		7.000%	(a)	06/15/17		4,143		4,453,725
Spectrum Brands, Inc., Gtd. Notes		6.375%		11/15/20		4,200		4,378,500
Springs Industries, Inc., Sr. Sec’d. Notes(d)		6.250%		06/01/21		2,950		2,935,250
Sun Products Corp. (The), Sr. Unsec’d. Notes, 144A(d)		7.750%		03/15/21		8,095		6,840,275
Visant Corp., Gtd. Notes		10.000%		10/01/17		1,369		1,187,608
West Corp., Gtd. Notes, 144A(d)		5.375%		07/15/22		5,450		5,218,375
								71,762,400

SEE NOTES TO FINANCIAL STATEMENTS.

A111

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Electric — 6.5%
AES Corp., Sr. Unsec’d. Notes		4.875%		05/15/23		2,175	$	2,158,688
AES Corp., Sr. Unsec’d. Notes(d)		5.500%		03/15/24		2,400		2,435,520
AES Corp., Sr. Unsec’d. Notes(d)		7.375%		07/01/21		8,275		9,350,750
AES Corp., Sr. Unsec’d. Notes		8.000%		10/15/17		1,100		1,234,750
AES Corp., Sr. Unsec’d. Notes		8.000%		06/01/20		3,625		4,141,562
Calpine Corp., Sr. Sec’d. Notes, 144A(d)		6.000%		01/15/22		2,100		2,236,500
Calpine Corp., Sr. Sec’d. Notes, 144A		7.875%		01/15/23		7,479		8,245,597
Calpine Corp., Sr. Unsec’d. Notes(d)		5.375%		01/15/23		11,610		11,726,100
Calpine Corp., Sr. Unsec’d. Notes(d)		5.750%		01/15/25		7,075		7,163,437
Covanta Holding Corp., Sr. Unsec’d. Notes		5.875%		03/01/24		3,150		3,205,125
Covanta Holding Corp., Sr. Unsec’d. Notes(d)		6.375%		10/01/22		3,750		3,975,000
Covanta Holding Corp., Sr. Unsec’d. Notes		7.250%		12/01/20		3,055		3,245,938
DPL, Inc., Sr. Unsec’d. Notes		6.500%		10/15/16		730		770,150
DPL, Inc., Sr. Unsec’d. Notes		7.250%		10/15/21		15,875		16,192,500
DPL, Inc., Sr. Unsec’d. Notes, 144A		6.750%		10/01/19		4,250		4,292,500
Dynegy Finance I, Inc./Dynegy Finance II, Inc., Sr. Sec’d. Notes, 144A		7.375%		11/01/22		30,605		31,140,587
Dynegy Finance I, Inc./Dynegy Finance II, Inc., Sr. Sec’d. Notes, 144A(d)		7.625%		11/01/24		15,730		16,044,600
Dynegy, Inc., Gtd. Notes		5.875%		06/01/23		7,310		6,944,500
GenOn Americas Generation LLC, Sr. Unsec’d. Notes		8.500%		10/01/21		1,000		860,000
GenOn Energy, Inc., Sr. Unsec’d. Notes(d)		9.500%		10/15/18		3,350		3,333,250
GenOn Energy, Inc., Sr. Unsec’d. Notes		9.875%		10/15/20		9,750		9,603,750
InterGen NV (Netherlands), Sr. Sec’d. Notes, 144A (original cost $3,831,009; purchased 06/07/13)(b)(c)		7.000%		06/30/23		3,900		3,705,000
Mirant Corp., Bonds, 144A(b)		7.400%	(a)(e)	07/15/49		1,825		1,825
Mirant Mid Atlantic LLC, Series B, Pass-Through Certificates		9.125%		06/30/17		5,307		5,704,924
NRG Energy, Inc., Gtd. Notes		6.250%		07/15/22		9,018		9,220,905
NRG Energy, Inc., Gtd. Notes		7.625%		01/15/18		7,070		7,759,325
NRG Energy, Inc., Gtd. Notes(d)		7.875%		05/15/21		4,240		4,568,600
NRG Energy, Inc., Gtd. Notes		8.250%		09/01/20		4,950		5,284,125
NRG Energy, Inc., Gtd. Notes, 144A(d)		6.250%		05/01/24		13,100		13,329,250
NRG REMA LLC, Series B, Pass-Through Certificates(b)		9.237%		07/02/17		1,693		1,710,421
NRG REMA LLC, Series C, Pass-Through Certificates		9.681%		07/02/26		5,910		6,264,600
RJS Power Holdings LLC, Gtd. Notes, 144A		5.125%		07/15/19		5,625		5,554,688
								211,404,467
Energy – Integrated — 0.1%
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A		5.375%		01/26/19		5,000		4,307,500
Energy – Other — 4.5%
Antero Resources Corp., Gtd. Notes, 144A(d)		5.125%		12/01/22		1,975		1,861,438
Bonanza Creek Energy, Inc., Gtd. Notes		5.750%		02/01/23		3,325		2,626,750
Bonanza Creek Energy, Inc., Gtd. Notes		6.750%		04/15/21		1,675		1,474,000
Bristow Group, Inc., Gtd. Notes		6.250%		10/15/22		4,375		4,353,125
California Resources Corp., Gtd. Notes, 144A(d)		5.500%		09/15/21		4,675		3,997,125
California Resources Corp., Gtd. Notes, 144A(d)		6.000%		11/15/24		5,875		4,964,375
CGG SA (France), Gtd. Notes		6.500%		06/01/21		2,125		1,615,000
CGG SA (France), Gtd. Notes(d)		6.875%		01/15/22		1,355		1,029,800
CGG SA (France), Gtd. Notes(d)		7.750%		05/15/17		928		798,080
Compressco Partners LP/Compressco Finance, Inc., Gtd. Notes, 144A		7.250%		08/15/22		5,725		4,923,500
Concho Resources, Inc., Gtd. Notes		5.500%		04/01/23		4,325		4,345,328
Denbury Resources, Inc., Gtd. Notes(d)		6.375%		08/15/21		2,565		2,436,750
EP Energy LLC/EP Energy Finance, Inc., Gtd. Notes(d)		9.375%		05/01/20		4,826		4,874,260
EP Energy LLC/Everest Acquisition Finance, Inc., Sec’d. Notes(d)		6.875%		05/01/19		1,800		1,827,000
Halcon Resources Corp., Gtd. Notes(d)		9.250%		02/15/22		2,700		1,991,250
Halcon Resources Corp., Gtd. Notes(d)		9.750%		07/15/20		10,150		7,612,500
Hercules Offshore, Inc., Gtd. Notes, 144A		8.750%		07/15/21		1,350		621,000
Hilcorp Energy I LP/Hilcorp Finance Co., Sr. Unsec’d. Notes, 144A (original cost $2,707,250; purchased 03/19/13)(b)(c)(d)		7.625%		04/15/21		2,450		2,462,250

SEE NOTES TO FINANCIAL STATEMENTS.

A112

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Energy – Other (continued)
Hilcorp Energy I LP/Hilcorp Finance Co., Sr. Unsec’d. Notes, 144A (original cost $1,653,750; purchased 03/15/13)(b)(c)(d)		8.000%		02/15/20		1,500	$	1,530,000
Hornbeck Offshore Services, Inc., Gtd. Notes(d)		5.875%		04/01/20		3,622		3,205,470
Jupiter Resources, Inc. (Canada), Sr. Unsec’d. Notes, 144A		8.500%		10/01/22		6,325		4,759,562
MEG Energy Corp. (Canada), Gtd. Notes, 144A(d)		6.500%		03/15/21		7,695		7,021,687
MEG Energy Corp. (Canada), Gtd. Notes, 144A(d)		7.000%		03/31/24		1,525		1,380,125
Memorial Resource Development Corp., Gtd. Notes, 144A(d)		5.875%		07/01/22		4,925		4,457,125
Newfield Exploration Co., Sr. Sub. Notes(d)		6.875%		02/01/20		5,044		5,119,660
Newfield Exploration Co., Sr. Unsec’d. Notes		5.750%		01/30/22		1,875		1,856,250
Parker Drilling Co., Gtd. Notes		6.750%		07/15/22		2,070		1,552,500
Parker Drilling Co., Gtd. Notes		7.500%		08/01/20		1,975		1,580,000
PHI, Inc., Gtd. Notes		5.250%		03/15/19		3,525		2,996,250
Pioneer Energy Services Corp., Gtd. Notes		6.125%		03/15/22		2,400		1,824,000
Precision Drilling Corp. (Canada), Gtd. Notes		6.500%		12/15/21		2,075		1,758,563
Precision Drilling Corp. (Canada), Gtd. Notes		6.625%		11/15/20		2,500		2,250,000
QEP Resources, Inc., Sr. Unsec’d. Notes(d)		5.250%		05/01/23		6,075		5,680,125
QEP Resources, Inc., Sr. Unsec’d. Notes		5.375%		10/01/22		2,300		2,173,500
Range Resources Corp., Gtd. Notes		5.000%		08/15/22		2,000		2,000,000
Samson Investment Co., Gtd. Notes(c)		9.750%	(a)	02/15/20		11,525		4,775,672
Sanchez Energy Corp., Gtd. Notes(d)		7.750%		06/15/21		2,160		2,008,800
Sanchez Energy Corp., Gtd. Notes, 144A(d)		6.125%		01/15/23		1,375		1,155,000
SESI LLC, Gtd. Notes		6.375%		05/01/19		3,050		2,958,500
Seventy Seven Energy, Inc.		6.500%		07/15/22		2,275		1,330,875
Triangle USA Petroleum Corp., Sr. Unsec’d. Notes, 144A		6.750%		07/15/22		3,600		2,376,000
Tullow Oil PLC (United Kingdom), Gtd. Notes, 144A		6.000%		11/01/20		6,900		5,727,000
Ultra Petroleum Corp., Sr. Unsec’d. Notes, 144A		5.750%		12/15/18		550		507,375
Western Refining, Inc., Gtd. Notes		6.250%		04/01/21		6,608		6,442,800
WPX Energy, Inc., Sr. Unsec’d. Notes(d)		6.000%		01/15/22		14,303		13,766,637
								146,007,007
Foods — 3.8%
Aramark Services Inc., Gtd. Notes		5.750%		03/15/20		2,785		2,875,513
B&G Foods, Inc., Gtd. Notes(d)		4.625%		06/01/21		4,025		3,928,802
BC ULC/New Red Finance, Inc. (Canada), Sec’d. Notes, 144A(d)		6.000%		04/01/22		6,875		7,046,875
CEC Entertainment, Inc.(d)		8.000%		02/15/22		11,540		11,193,800
Cott Beverages, Inc. (Canada), 144A(d)		6.750%		01/01/20		6,350		6,350,000
Darling Ingredients, Inc., Gtd. Notes(d)		5.375%		01/15/22		4,800		4,728,000
DS Sevices of America, Inc. (Canada), 144A		10.000%		09/01/21		5,655		6,531,525
HJ Heinz Co., Sec’d. Notes(d)		4.250%		10/15/20		2,450		2,474,500
Ingles Market, Inc., Sr. Unsec’d. Notes		5.750%		06/15/23		4,550		4,568,700
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A (original cost $3,017,471; purchased 05/20/11-06/15/11)(b)(c)		7.250%		06/01/21		3,085		3,177,550
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A (original cost $9,130,750; purchased 09/13/13-10/15/13)(b)(c)		7.250%		06/01/21		9,125		9,398,750
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Sr. Unsec’d. Notes, 144A (original cost $6,273,813; purchased 06/11/14-07/10/14)(b)(c)(d)		5.875%		07/15/24		6,275		6,165,187
Landry’s, Inc., Sr. Unsec’d. Notes, 144A (original cost $8,800,500; purchased 04/19/12-06/25/13)(b)(c)		9.375%		05/01/20		8,650		9,169,000
PF Chang’s China Bistro, Inc., Gtd. Notes, 144A(d)		10.250%		06/30/20		9,900		9,875,250
Post Holdings, Inc., Gtd. Notes(d)		7.375%		02/15/22		7,350		7,350,000
Post Holdings, Inc., Gtd. Notes, 144A(d)		6.000%		12/15/22		175		164,063
Post Holdings, Inc., Gtd. Notes, 144A(d)		6.750%		12/01/21		3,375		3,273,750
Roundy’s Supermarkets, Inc., Sec’d. Notes, 144A(d)		10.250%		12/15/20		5,250		4,567,500
Smithfield Foods, Inc., Sr. Unsec’d. Notes		6.625%		08/15/22		4,375		4,571,875
Smithfield Foods, Inc., Sr. Unsec’d. Notes, 144A		5.250%		08/01/18		1,350		1,373,625
Smithfield Foods, Inc., Sr. Unsec’d. Notes, 144A(d)		5.875%		08/01/21		5,125		5,227,500
SUPERVALU, Inc., Sr. Unsec’d. Notes(d)		7.750%		11/15/22		2,725		2,670,500
Tops Holding Corp./Tops Markets LLC, Sr. Sec’d. Notes(c)		8.875%		12/15/17		5,281		5,386,620

SEE NOTES TO FINANCIAL STATEMENTS.

A113

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Foods (continued)
TreeHouse Foods, Inc., Gtd. Notes		4.875%	03/15/22		2,875	$	2,910,938
							124,979,823
Gaming — 6.2%
Affinity Gaming LLC/Affinity Gaming Finance Corp., Gtd. Notes		9.000%	05/15/18		9,625		9,240,000
Boyd Gaming Corp., Gtd. Notes		9.000%	07/01/20		5,209		5,339,225
Boyd Gaming Corp., Gtd. Notes		9.125%	12/01/18		7,760		7,954,000
Caesars Entertainment Operating Co., Inc., Sr. Sec’d. Notes		9.000%	02/15/20		2,700		1,998,000
Caesars Entertainment Operating Co., Inc., Sr. Sec’d. Notes		11.250%	06/01/17		4,870		3,569,710
Caesars Entertainment Resort Properties LLC, Sr. Sec’d. Notes, 144A(d)		8.000%	10/01/20		8,600		8,428,000
CCM Merger, Inc., Gtd. Notes, 144A (original cost $12,251,245; purchased 03/14/12-05/21/14)(b)(c)		9.125%	05/01/19		12,112		12,717,600
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes(d)		4.875%	11/01/20		2,875		2,910,938
Golden Nugget Escrow, Inc., Sr. Unsec’d. Notes, 144A(d)		8.500%	12/01/21		11,875		11,370,312
Isle of Capri Casinos, Inc., Gtd. Notes(d)		7.750%	03/15/19		8,857		9,166,995
Isle of Capri Casinos, Inc., Gtd. Notes(d)		8.875%	06/15/20		4,598		4,781,920
MCE Finance Ltd. (Macau), Gtd. Notes, 144A		5.000%	02/15/21		6,575		6,147,625
MGM Resorts International, Gtd. Notes(d)		6.000%	03/15/23		5,850		5,879,250
MGM Resorts International, Gtd. Notes(d)		6.625%	12/15/21		18,915		19,860,750
MGM Resorts International, Gtd. Notes(d)		6.750%	10/01/20		825		866,250
MGM Resorts International, Gtd. Notes(d)		7.625%	01/15/17		650		700,375
MGM Resorts International, Gtd. Notes(d)		8.625%	02/01/19		3,100		3,514,625
MTR Gaming Group, Inc., Sec’d. Notes		11.500%	08/01/19		9,043		9,788,913
Penn National Gaming, Inc., Sr. Unsec’d. Notes(d)		5.875%	11/01/21		11,725		10,904,250
Pinnacle Entertainment, Inc., Gtd. Notes		6.375%	08/01/21		3,779		3,892,370
Pinnacle Entertainment, Inc., Gtd. Notes(d)		7.750%	04/01/22		6,775		7,046,000
Scientific Games International, Inc., 144A(d)		7.000%	01/01/22		4,500		4,556,250
Scientific Games International, Inc., 144A		10.000%	12/01/22		16,975		15,553,344
Scientific Games International, Inc., Gtd. Notes(d)		6.250%	09/01/20		5,750		4,025,000
Scientific Games International, Inc., Gtd. Notes, 144A(d)		6.625%	05/15/21		9,675		6,748,313
Station Casinos LLC, Gtd. Notes(d)		7.500%	03/01/21		8,835		9,055,875
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., Sr. Sec’d. Notes, 144A(c)		6.375%	06/01/21		12,100		11,011,000
Wynn Macau Ltd. (Macau), Sr. Unsec’d. Notes, 144A(d)		5.250%	10/15/21		3,850		3,619,000
							200,645,890
Healthcare & Pharmaceutical — 7.6%
Acadia Healthcare Co., Inc., Gtd. Notes		6.125%	03/15/21		2,500		2,550,000
Acadia Healthcare Co., Inc., Gtd. Notes		12.875%	11/01/18		4,220		4,747,500
Amsurg Corp., Gtd. Notes, 144A(d)		5.625%	07/15/22		3,450		3,536,250
Biomet, Inc., Gtd. Notes		6.500%	08/01/20		6,875		7,356,250
Capella Healthcare, Inc., Gtd. Notes		9.250%	07/01/17		7,280		7,562,100
Capsugel SA, Sr. Unsec’d. Notes, PIK, 144A(d)		7.000%	05/15/19		6,250		6,312,500
Catamaran Corp., Gtd. Notes		4.750%	03/15/21		2,200		2,200,000
CHS/Community Health Systems, Inc., Gtd. Notes(d)		6.875%	02/01/22		7,150		7,574,531
CHS/Community Health Systems, Inc., Gtd. Notes		7.125%	07/15/20		1,750		1,865,938
CHS/Community Health Systems, Inc., Gtd. Notes		8.000%	11/15/19		16,905		18,046,087
ConvaTec Finance International SA (Luxembourg), Sr. Unsec’d. Notes, PIK, 144A		8.250%	01/15/19		3,575		3,628,625
ConvaTec Healthcare E SA (Luxembourg), Gtd. Notes, 144A		10.500%	12/15/18		11,383		12,009,065
Emdeon, Inc., Gtd. Notes		11.000%	12/31/19		11,300		12,288,750
Endo Finance Co., Gtd. Notes, 144A(d)		5.750%	01/15/22		2,450		2,450,000
Grifols Worldwide Operations Ltd. (Spain), Sr. Unsec’d. Notes, 144A(d)		5.250%	04/01/22		4,375		4,474,312
HCA Holdings, Inc., Sr. Unsec’d. Notes		7.750%	05/15/21		6,000		6,390,000
HCA, Inc., Gtd. Notes(d)		5.875%	05/01/23		11,965		12,608,119
HCA, Inc., Gtd. Notes		7.190%	11/15/15		2,116		2,203,285
HCA, Inc., Gtd. Notes		8.000%	10/01/18		16,250		18,606,250
HCA, Inc., Sr. Sec’d. Notes		5.000%	03/15/24		3,625		3,724,688
HealthSouth Corp., Gtd. Notes		7.750%	09/15/22		1,600		1,696,000

SEE NOTES TO FINANCIAL STATEMENTS.

A114

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Healthcare & Pharmaceutical (continued)
Kindred Escrow Corp., 144A(d)		8.000%		01/15/20		4,725	$	5,020,312
Kindred Escrow Corp., 144A(d)		8.750%		01/15/23		2,625		2,825,156
Kindred Healthcare, Inc., Gtd. Notes, 144A(d)		6.375%		04/15/22		3,506		3,339,465
LifePoint Hospitals, Inc., Gtd. Notes		5.500%		12/01/21		4,100		4,192,250
Mallinckrodt International Finance SA, Gtd. Notes(b)		4.750%		04/15/23		5,175		4,968,000
Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Gtd. Notes, 144A		5.750%		08/01/22		250		256,875
MedAssets, Inc., Gtd. Notes		8.000%		11/15/18		5,800		6,032,000
Ortho Clinical Diagnostics, Sr. Unsec’d. Notes, 144A		6.625%		05/15/22		20,100		18,064,875
Select Medical Corp., Gtd. Notes		6.375%		06/01/21		6,175		6,267,625
STHI Holding Corp., Sec’d. Notes, 144A (original cost $1,225,000; purchased 03/11/11)(b)(c)(d)		8.000%		03/15/18		1,225		1,280,125
Tenet Healthcare Corp., Sr. Sec’d. Notes(d)		4.375%		10/01/21		6,345		6,297,412
Tenet Healthcare Corp., Sr. Sec’d. Notes(d)		4.500%		04/01/21		1,075		1,077,688
Tenet Healthcare Corp., Sr. Sec’d. Notes(d)		4.750%		06/01/20		2,975		3,019,625
Tenet Healthcare Corp., Sr. Sec’d. Notes(d)		6.250%		11/01/18		1,875		2,034,375
Tenet Healthcare Corp., Sr. Unsec’d. Notes(d)		6.750%		02/01/20		4,500		4,736,250
Tenet Healthcare Corp., Sr. Unsec’d. Notes(d)		8.125%		04/01/22		10,750		12,013,125
Tenet Healthcare Corp., Sr. Unsec’d. Notes, 144A(d)		5.000%		03/01/19		3,075		3,078,844
Valeant Pharmaceuticals International, Gtd. Notes, 144A		6.375%		10/15/20		7,660		8,004,700
Valeant Pharmaceuticals International, Gtd. Notes, 144A		6.875%		12/01/18		5,004		5,161,626
Valeant Pharmaceuticals International, Gtd. Notes, 144A		7.000%		10/01/20		1,975		2,083,625
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A(d)		5.625%		12/01/21		1,825		1,838,688
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A		7.500%		07/15/21		2,375		2,565,000
								245,987,891
Lodging — 0.8%
Hilton Worldwide Fin LLC		5.625%		10/15/21		13,400		14,003,000
Royal Caribbean Cruises Ltd., Sr. Unsec’d. Notes		7.250%		03/15/18		3,700		4,125,500
Viking Cruises Ltd., Sr. Unsec’d. Notes, 144A (original cost $6,405,750; purchased 07/17/14)(b)(c)		8.500%		10/15/22		5,850		6,332,625
								24,461,125
Media & Entertainment — 3.0%
AMC Entertainment, Inc., Gtd. Notes		9.750%		12/01/20		11,234		12,216,975
AMC Networks, Inc., Gtd. Notes		7.750%		07/15/21		1,775		1,899,250
Belo Corp., Sr. Unsec’d. Notes		7.750%		06/01/27		4,000		4,380,000
Carmike Cinemas, Inc., Sec’d. Notes		7.375%		05/15/19		4,550		4,834,375
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp., Gtd. Notes, 144A		5.625%		02/15/24		2,275		2,286,375
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes		5.250%		03/15/21		2,300		2,311,500
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes, 144A(d)		5.375%		06/01/24		2,100		2,089,500
Cinemark USA, Inc., Gtd. Notes(d)		5.125%		12/15/22		5,850		5,718,375
Clear Channel Worldwide Holdings, Inc., Gtd. Notes		6.500%		11/15/22		2,970		3,021,975
Clear Channel Worldwide Holdings, Inc., Series A, Gtd. Notes(d)		7.625%		03/15/20		2,700		2,801,250
Entercom Radio LLC, Gtd. Notes		10.500%		12/01/19		4,075		4,421,375
Gannett Co., Inc., Gtd. Notes, 144A(d)		5.500%		09/15/24		2,250		2,255,625
Gray Television, Inc., Gtd. Notes(d)		7.500%		10/01/20		7,130		7,343,900
Inmarsat Finance PLC (United Kingdom), Gtd. Notes, 144A		4.875%		05/15/22		3,600		3,564,000
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes		7.250%		10/15/20		5,700		6,020,625
LIN Television Corp., Gtd. Notes		6.375%		01/15/21		2,000		1,995,000
Live Nation Entertainment, Inc., Gtd. Notes, 144A		5.375%		06/15/22		2,400		2,400,000
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance, Sr. Sec’d. Notes(d)		9.750%	(a)	04/01/21		3,230		3,569,150
Mood Media Corp. (Canada), Gtd. Notes, 144A(d)		9.250%		10/15/20		3,700		3,052,500
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., Sr. Sec’d. Notes, 144A (original cost $2,300,000; purchased 07/30/13)(b)(c)		5.000%		08/01/18		2,300		2,357,500

SEE NOTES TO FINANCIAL STATEMENTS.

A115

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Media & Entertainment (continued)
National CineMedia LLC, Sr. Sec’d. Notes		6.000%		04/15/22		4,350	$	4,350,000
Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes, 144A		5.000%		04/15/22		250		251,250
R.R. Donnelley & Sons Co., Sr. Unsec’d. Notes(d)		6.000%		04/01/24		3,425		3,373,625
R.R. Donnelley & Sons Co., Sr. Unsec’d. Notes(d)		6.500%		11/15/23		2,560		2,624,000
Sinclair Television Group, Inc., Gtd. Notes(d)		5.375%		04/01/21		4,850		4,813,625
Sinclair Television Group, Inc., Sr. Unsec’d. Notes(d)		6.125%		10/01/22		2,825		2,874,437
Telesat Canada/Telesat LLC (Canada), Gtd. Notes, 144A		6.000%		05/15/17		975		994,500
								97,820,687
Metals — 2.9%
AK Steel Corp., Gtd. Notes(d)		7.625%		05/15/20		2,000		1,860,000
AK Steel Corp., Gtd. Notes(d)		7.625%		10/01/21		5,125		4,702,187
AK Steel Corp., Sr. Sec’d. Notes(d)		8.750%		12/01/18		4,200		4,410,000
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(d)		6.000%	(a)	03/01/21		6,700		6,968,000
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes		6.125%		06/01/18		10,175		10,849,094
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(d)		6.750%	(a)	02/25/22		10,400		11,102,000
Arch Coal, Inc., Gtd. Notes		7.250%		10/01/20		1,225		398,125
Arch Coal, Inc., Gtd. Notes(d)		9.875%		06/15/19		2,525		858,500
AuRico Gold, Inc. (Canada), Sec’d. Notes, 144A		7.750%		04/01/20		1,400		1,288,000
CONSOL Energy, Inc., Gtd. Notes, 144A		5.875%		04/15/22		5,775		5,370,750
Eldorado Gold Corp. (Canada), Sr. Unsec’d. Notes, 144A(d)		6.125%		12/15/20		4,841		4,695,770
First Quantum Minerals Ltd. (Canada), Gtd. Notes, 144A		6.750%		02/15/20		5,750		5,203,750
First Quantum Minerals Ltd. (Canada), Gtd. Notes, 144A(d)		7.000%		02/15/21		5,841		5,256,900
First Quantum Minerals Ltd. (Canada), Gtd. Notes, 144A(d)		7.250%		05/15/22		3,600		3,240,000
FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A(d)		6.000%		04/01/17		4,000		3,825,000
FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A(d)		6.875%		02/01/18		1,422		1,290,667
GrafTech International Ltd., Gtd. Notes(d)		6.375%		11/15/20		2,650		2,199,500
JMC Steel Group, Inc., Sr. Unsec’d. Notes, 144A (original cost $4,984,000; purchased 11/04/14-11/26/14)(b)(c)(d)		8.250%		03/15/18		4,900		4,655,000
Lundin Mining Corp. (Canada), Sr. Sec’d. Notes, 144A		7.875%		11/01/22		4,000		4,000,000
New Gold, Inc. (Canada), Sr. Unsec’d. Notes, 144A(d)		6.250%		11/15/22		8,367		8,199,660
Peabody Energy Corp., Gtd. Notes(d)		6.000%		11/15/18		3,250		2,949,375
Peabody Energy Corp., Gtd. Notes(d)		6.250%		11/15/21		1,125		961,875
								94,284,153
Non-Captive Finance — 3.0%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes, 144A		3.750%		05/15/19		1,600		1,584,000
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes, 144A		4.500%		05/15/21		3,875		3,923,437
Aston Escrow Corp., Sr. Sec’d. Notes, 144A (original cost $17,825,000; purchased 07/22/14)(b)(c)		9.500%		08/15/21		17,825		16,488,125
CIT Group, Inc., Sr. Unsec’d. Notes		5.000%		05/15/17		950		985,625
CIT Group, Inc., Sr. Unsec’d. Notes(d)		5.000%		08/15/22		22,600		23,221,500
CIT Group, Inc., Sr. Unsec’d. Notes		5.250%		03/15/18		2,575		2,684,437
CIT Group, Inc., Sr. Unsec’d. Notes(d)		5.375%		05/15/20		750		792,675
CIT Group, Inc., Sr. Unsec’d. Notes, 144A		5.500%		02/15/19		1,775		1,872,625
Community Choice Financial, Inc., Sr. Sec’d. Notes		10.750%		05/01/19		610		396,500
HSBC Finance Capital Trust IX (United Kingdom), Gtd. Notes		5.911%	(a)	11/30/35		100		101,250
International Lease Finance Corp., Sr. Sec’d. Notes, 144A		7.125%		09/01/18		525		588,000
International Lease Finance Corp., Sr. Unsec’d. Notes		3.875%		04/15/18		6,950		6,950,000
International Lease Finance Corp., Sr. Unsec’d. Notes		6.250%		05/15/19		2,120		2,316,100
International Lease Finance Corp., Sr. Unsec’d. Notes(d)		8.250%		12/15/20		1,125		1,355,625
International Lease Finance Corp., Sr. Unsec’d. Notes(d)		8.625%		01/15/22		1,525		1,891,000
International Lease Finance Corp., Sr. Unsec’d. Notes		8.875%		09/01/17		1,200		1,353,000
International Lease Finance Corp. E-Capital Trust II Ltd., Ltd. Gtd. Notes, 144A		6.250%	(a)	12/21/65		4,250		4,101,250
Jet Equipment Trust 1994-A, Equipment Trust, 144A(b)		10.000%	(a)(e)	06/15/15		45		35,718
Jet Equipment Trust 1994-A, Sr. Unsec’d. Notes, 144A		7.630%	(a)(e)	08/15/12		11		—	(f)
National Financial Partners Corp., Sr. Unsec’d. Notes, 144A		9.000%		07/15/21		2,375		2,487,813

SEE NOTES TO FINANCIAL STATEMENTS.

A116

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Captive Finance (continued)
Navient Corp., Sr. Unsec’d. Notes(d)		5.000%	10/26/20		1,500	$	1,471,875
Navient LLC, Sr. Unsec’d. Notes, MTN		8.000%	03/25/20		1,800		1,993,500
OneMain Fin Holdings, Inc., 144A		6.750%	12/15/19		3,225		3,289,500
OneMain Fin Holdings, Inc., 144A(d)		7.250%	12/15/21		5,875		6,021,875
Springleaf Finance Corp., Gtd. Notes		6.000%	06/01/20		9,525		9,429,750
Springleaf Finance Corp., Gtd. Notes		8.250%	10/01/23		1,125		1,260,000
							96,595,180
Packaging — 3.3%
Ardagh Finance Holdings SA (Luxembourg), Sr. Unsec’d. Notes, PIK, 144A(d)		8.625%	06/15/19		8,377		8,251,193
Ardagh Packaging Finance PLC (Ireland), Gtd. Notes, 144A		9.125%	10/15/20		5,950		6,336,750
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A(d)		6.000%	06/30/21		1,725		1,647,375
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A(d)		6.250%	01/31/19		5,875		5,742,812
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A(d)		6.750%	01/31/21		3,635		3,616,825
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A		9.125%	10/15/20		1,350		1,431,000
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Sr. Unsec’d. Notes, 144A		7.000%	11/15/20		988		998,118
Berry Plastics Corp., Sec’d. Notes(d)		9.750%	01/15/21		4,875		5,423,438
Beverage Packaging Holdings Luxembourg II SA/Beverage Packaging Holdings II, Gtd. Notes, 144A		6.000%	06/15/17		5,150		5,021,250
Coveris Holdings SA, Gtd. Notes, 144A		7.875%	11/01/19		6,900		7,107,000
Greif, Inc., Sr. Unsec’d. Notes		6.750%	02/01/17		4,970		5,317,900
PaperWorks Industries, Inc., Sr. Sec’d. Notes, 144A		9.500%	08/15/19		2,250		2,250,000
Plastipak Holdings, Inc., Sr. Unsec’d. Notes, 144A (original cost $3,075,000; purchased 09/25/13)(b)(c)		6.500%	10/01/21		3,075		3,059,625
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, Gtd. Notes		9.000%	04/15/19		9,975		10,324,125
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, Gtd. Notes		9.875%	08/15/19		11,900		12,614,000
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, Sr. Sec’d. Notes(d)		5.750%	10/15/20		7,280		7,462,000
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, Sr. Sec’d. Notes		6.875%	02/15/21		1,575		1,643,906
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, Sr. Sec’d. Notes		7.875%	08/15/19		4,925		5,189,719
Sealed Air Corp., Gtd. Notes, 144A(d)		5.250%	04/01/23		3,500		3,570,000
Sealed Air Corp., Gtd. Notes, 144A(d)		6.500%	12/01/20		1,400		1,533,000
Sealed Air Corp., Gtd. Notes, 144A(d)		8.375%	09/15/21		4,000		4,470,000
Sealed Air Corp., Sr. Unsec’d. Notes, 144A		4.875%	12/01/22		3,200		3,176,000
							106,186,036
Paper — 0.4%
Domtar Corp., Gtd. Notes		10.750%	06/01/17		1,125		1,337,144
Smurfit Kappa Acquisitions (Ireland), Sr. Sec’d. Notes, 144A		4.875%	09/15/18		5,750		5,951,250
Tembec Industries, Inc. (Canada), Sr. Sec’d. Notes, 144A(d)		9.000%	12/15/19		4,275		4,205,531
							11,493,925
Pipelines & Other — 2.6%
AmeriGas Finance LLC/AmeriGas Finance Corp., Gtd. Notes(d)		7.000%	05/20/22		5,635		5,832,225
AmeriGas Partners LP/AmeriGas Finance Corp., Sr. Unsec’d. Notes		6.500%	05/20/21		1,240		1,271,000
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., Gtd. Notes		6.000%	12/15/20		2,900		2,776,750
Energy Transfer Equity LP, Sr. Sec’d. Notes		7.500%	10/15/20		4,300		4,773,000
Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsec’d. Notes		6.500%	05/01/21		4,175		4,070,625
Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsec’d. Notes(d)		6.750%	01/15/22		5,345		5,224,737
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., Sr. Unsec’d. Notes		8.625%	06/15/20		3,659		3,668,148
Global Partners LP/GLP Finance Corp., Gtd. Notes, 144A		6.250%	07/15/22		2,275		2,206,750

SEE NOTES TO FINANCIAL STATEMENTS.

A117

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Pipelines & Other (continued)
Kinder Morgan, Inc., Sr. Unsec’d. Notes, 144A		5.000%		02/15/21		2,775	$	2,886,982
Kinder Morgan, Inc., Sr. Unsec’d. Notes, 144A(d)		5.625%		11/15/23		5,725		6,128,189
Regency Energy Partners LP/Regency Energy Finance Corp., Gtd. Notes		5.500%		04/15/23		3,275		3,160,375
Regency Energy Partners LP/Regency Energy Finance Corp., Gtd. Notes		5.750%		09/01/20		4,050		4,060,125
Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A (original cost $1,717,000; purchased 02/25/14)(b)(c)(d)		3.900%		04/15/15		1,700		1,691,500
Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A (original cost $3,353,375; purchased 02/21/14-02/25/14)(b)(c)(d)		5.625%		04/15/20		3,475		3,414,188
Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A (original cost $5,464,483; purchased 01/10/13-06/13/13)(b)(c)		6.000%		01/15/19		5,522		5,535,805
Selectica, Inc. (Escrow Shares)		—%	(a)(e)	12/31/49		1,350		—	(f)
Suburban Propane Partners LP/Suburban Energy Finance Corp., Sr. Unsec’d. Notes		5.500%		06/01/24		5,700		5,500,500
Suburban Propane Partners LP/Suburban Energy Finance Corp., Sr. Unsec’d. Notes		7.375%		08/01/21		2,200		2,304,500
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes		4.250%		11/15/23		2,825		2,570,750
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes		6.875%		02/01/21		5,475		5,598,187
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes		5.875%		10/01/20		2,847		2,854,118
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes		6.125%		10/15/21		3,025		3,017,438
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes, 144A		6.250%		10/15/22		5,325		5,311,687
								83,857,579
Real Estate Investment Trusts — 1.5%
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., Gtd. Notes		7.750%		02/15/19		15,525		16,177,050
CTR Partnership LP/Caretrust Capital Corp., Gtd. Notes		5.875%		06/01/21		2,125		2,151,563
CyrusOne LP/CyrusOne Finance Corp., Gtd. Notes		6.375%		11/15/22		375		400,313
DuPont Fabros Technology LP, Gtd. Notes		5.875%		09/15/21		4,125		4,202,344
Felcor Lodging LP, Sr. Sec’d. Notes		5.625%		03/01/23		2,425		2,400,750
Felcor Lodging LP, Sr. Sec’d. Notes		6.750%		06/01/19		2,775		2,882,392
MPT Operating Partnership LP/MPT Finance Corp., Gtd. Notes		5.500%		05/01/24		3,275		3,414,187
Omega Healthcare Investors, Inc., Gtd. Notes		6.750%		10/15/22		475		503,500
Omega Healthcare Investors, Inc., Gtd. Notes		7.500%		02/15/20		825		862,125
RHP Hotel Properties LP/RHP Finance Corp., Gtd. Notes		5.000%		04/15/21		2,800		2,786,000
Sabra Health Care LP/Sabra Capital Corp., Gtd. Notes		5.375%		06/01/23		4,300		4,386,000
Sabra Health Care LP/Sabra Capital Corp., Gtd. Notes(d)		5.500%		02/01/21		2,950		3,068,000
Senior Housing Properties Trust, Sr. Unsec’d. Notes		6.750%		12/15/21		5,875		6,782,987
								50,017,211
Retailers — 3.1%
Academy Ltd./Academy Finance Corp., Gtd. Notes, 144A		9.250%		08/01/19		6,375		6,693,750
Claire’s Stores, Inc., Gtd. Notes, 144A(d)		7.750%		06/01/20		2,350		1,327,750
Claire’s Stores, Inc., Sr. Sec’d. Notes, 144A(d)		6.125%		03/15/20		3,000		2,655,000
Claire’s Stores, Inc., Sr. Sec’d. Notes, 144A(d)		9.000%		03/15/19		8,800		8,668,000
CST Brands, Inc., Gtd. Notes		5.000%		05/01/23		3,400		3,434,000
Dufry Finance SCA (Switzerland), Gtd. Notes, 144A		5.500%		10/15/20		9,550		9,934,005
Hot Topic, Inc., Sr. Sec’d. Notes, 144A (original cost $9,346,625; purchased 06/06/13-12/03/14)(b)(c)(d)		9.250%		06/15/21		9,150		9,790,500
HT Intermediate Holdings Corp., Sr. Unsec’d. Notes, PIK, 144A		12.000%		05/15/19		1,000		1,020,000
L Brands, Inc., Gtd. Notes		5.625%		02/15/22		7,385		7,938,875
L Brands, Inc., Gtd. Notes(d)		5.625%		10/15/23		3,450		3,726,000
Men’s Wearhouse, Inc. (The), Gtd. Notes, 144A(d)		7.000%		07/01/22		6,300		6,473,250
Michaels FinCo Holdings LLC/Michaels FinCo, Inc., Sr. Unsec’d. Notes, PIK, 144A(d)		7.500%		08/01/18		1,848		1,880,340
Murphy Oil USA, Inc., Gtd. Notes		6.000%		08/15/23		2,000		2,090,000
Neiman Marcus Group Ltd., Inc., Gtd. Notes, 144A(d)		8.000%		10/15/21		12,304		13,011,480
Pantry Inc. (The), Gtd. Notes		8.375%		08/01/20		17,125		18,751,875
Toys “R” Us Property Co. II LLC, Sr. Sec’d. Notes(d)		8.500%		12/01/17		2,661		2,641,043
								100,035,868

SEE NOTES TO FINANCIAL STATEMENTS.

A118

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Technology — 10.3%
Activision Blizzard, Inc., Gtd. Notes, 144A		5.625%		09/15/21		750	$	787,500
Advanced Micro Devices, Inc., Sr. Unsec’d. Notes		6.750%		03/01/19		6,600		6,204,000
Alcatel-Lucent USA, Inc. (France), Gtd. Notes, 144A(d)		6.750%		11/15/20		5,375		5,673,312
Ancestry.com, Inc., Gtd. Notes		11.000%		12/15/20		1,750		1,970,938
Ancestry.com, Inc., Sr. Unsec’d. Notes, PIK, 144A		9.625%		10/15/18		5,355		5,247,900
Audatex North America, Inc., Gtd. Notes, 144A		6.000%		06/15/21		11,675		12,025,250
Avaya, Inc., Sec’d. Notes, 144A(d)		10.500%		03/01/21		20,675		17,677,125
Avaya, Inc., Sr. Sec’d. Notes, 144A(d)		7.000%		04/01/19		3,905		3,807,375
BMC Software Finance, Inc., Sr. Unsec’d. Notes, 144A		8.125%		07/15/21		12,535		11,782,900
BMC Software Finance, Inc., Sr. Unsec’d. Notes, PIK, 144A(d)		9.000%		10/15/19		17,060		14,501,000
Brightstar Corp., Gtd. Notes, 144A (original cost $3,345,000; purchased 11/23/10)(b)(c)		9.500%		12/01/16		3,345		3,508,069
Brightstar Corp., Sr. Unsec’d. Notes, 144A (original cost $9,408,490; purchased 07/26/13-08/09/13)(b)(c)		7.250%		08/01/18		9,500		10,141,250
CDW LLC/CDW Finance Corp., Gtd. Notes		5.500%		12/01/24		16,125		16,145,156
CDW LLC/CDW Finance Corp., Gtd. Notes		8.500%		04/01/19		5,951		6,270,866
Ceridian HCM Holding, Inc., Sr. Unsec’d. Notes, 144A (original cost $1,950,000; purchased 03/21/13)(b)(c)(d)		11.000%		03/15/21		1,950		2,133,125
CommScope Holding Co., Inc., Sr. Unsec’d. Notes, PIK, 144A(d)		6.625%		06/01/20		22,980		23,669,400
CommScope, Inc., Gtd. Notes, 144A		5.500%		06/15/24		3,350		3,299,750
CoreLogic, Inc., Gtd. Notes		7.250%		06/01/21		4,400		4,620,000
First Data Corp., Gtd. Notes(d)		10.625%		06/15/21		9,444		10,695,330
First Data Corp., Gtd. Notes		11.250%		01/15/21		4,650		5,277,750
First Data Corp., Gtd. Notes(d)		11.750%		08/15/21		25,331		29,067,322
First Data Corp., Gtd. Notes		12.625%		01/15/21		20,687		24,565,812
First Data Corp., Sr. Sec’d. Notes, 144A		6.750%		11/01/20		132		140,910
Freescale Semiconductor, Inc., Gtd. Notes(d)		8.050%		02/01/20		1,429		1,507,595
Freescale Semiconductor, Inc., Sr. Sec’d. Notes, 144A(d)		6.000%		01/15/22		6,180		6,458,100
Infor Software Parent LLC/Infor Software Parent, Inc., Gtd. Notes, PIK, 144A(c)(d)		7.125%		05/01/21		2,150		2,107,000
Interactive Data Corp., Gtd. Notes, 144A		5.875%		04/15/19		500		486,250
Interactive Data Corp., Sr. Unsec’d. Notes, PIK, 144A		8.250%		12/15/17		9,154		9,176,885
Iron Mountain, Inc., Gtd. Notes(d)		6.000%		08/15/23		7,050		7,332,000
NCR Corp., Gtd. Notes		5.875%		12/15/21		3,200		3,288,000
Nortel Networks Ltd. (Canada), Gtd. Notes		10.125%	(a)(e)	07/15/13		3,050		3,391,219
Nuance Communications, Inc., Gtd. Notes, 144A		5.375%		08/15/20		11,075		11,102,687
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A		5.750%		02/15/21		4,660		4,893,000
Sensata Technologies BV (Netherlands), Gtd. Notes, 144A(d)		4.875%		10/15/23		6,075		6,044,625
Sensata Technologies BV (Netherlands), Gtd. Notes, 144A(d)		6.500%		05/15/19		3,531		3,663,413
Sophia LP/Sophia Finance, Inc., Gtd. Notes, 144A		9.750%		01/15/19		12,360		13,194,300
Sungard Availability Services Capital, Inc., Gtd. Notes, 144A(a)		8.750%		04/01/22		4,925		2,905,750
SunGard Data Systems, Inc., Gtd. Notes(d)		6.625%		11/01/19		7,100		7,171,000
SunGard Data Systems, Inc., Gtd. Notes(d)		7.375%		11/15/18		246		255,840
SunGard Data Systems, Inc., Gtd. Notes		7.625%		11/15/20		713		755,780
Syniverse Holdings, Inc., Gtd. Notes		9.125%		01/15/19		4,830		5,047,350
TransUnion Holding Co., Inc., Sr. Unsec’d. Notes		8.125%		06/15/18		750		768,750
TransUnion Holding Co., Inc., Sr. Unsec’d. Notes, PIK		9.625%		06/15/18		18,100		18,512,680
Zebra Technologies Corp., Sr. Unsec’d. Notes, 144A(d)		7.250%		10/15/22		6,775		7,113,750
								334,388,014
Telecommunications — 4.8%
CenturyLink, Inc., Series G, Sr. Unsec’d. Notes		6.875%		01/15/28		4,000		4,000,000
CenturyLink, Inc., Series Q, Sr. Unsec’d. Notes(d)		6.150%		09/15/19		3,031		3,273,480
CenturyLink, Inc., Series W, Sr. Unsec’d. Notes(d)		6.750%		12/01/23		1,280		1,401,600
Crown Castle International Corp., Sr. Unsec’d. Notes(d)		5.250%		01/15/23		5,150		5,253,000
Digicel Group Ltd. (Jamaica), Sr. Unsec’d. Notes, 144A		7.125%		04/01/22		3,600		3,348,000
Digicel Group Ltd. (Jamaica), Sr. Unsec’d. Notes, 144A		8.250%		09/30/20		6,100		5,917,000
Eileme 2 AB (Poland), Sr. Sec’d. Notes, 144A		11.625%		01/31/20		6,315		7,072,800
Frontier Communications Corp., Sr. Unsec’d. Notes(d)		6.250%		09/15/21		1,525		1,532,625

SEE NOTES TO FINANCIAL STATEMENTS.

A119

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Telecommunications (continued)
Frontier Communications Corp., Sr. Unsec’d. Notes		7.125%	01/15/23		1,950	$	1,984,125
Frontier Communications Corp., Sr. Unsec’d. Notes(d)		8.500%	04/15/20		250		278,750
Frontier Communications Corp., Sr. Unsec’d. Notes(d)		8.750%	04/15/22		4,400		4,917,000
Level 3 Financing, Inc., Gtd. Notes		7.000%	06/01/20		3,625		3,819,844
Level 3 Financing, Inc., Gtd. Notes(d)		8.125%	07/01/19		1,275		1,354,688
Level 3 Financing, Inc., Gtd. Notes		8.625%	07/15/20		2,250		2,427,188
Northwestern Bell Telephone, Sr. Unsec’d. Notes		7.750%	05/01/30		750		885,558
SBA Communications Corp., Sr. Unsec’d. Notes, 144A(d)		4.875%	07/15/22		2,500		2,406,250
SoftBank Corp. (Japan), Gtd. Notes, 144A(d)		4.500%	04/15/20		2,565		2,526,525
Sprint Capital Corp., Gtd. Notes		6.875%	11/15/28		16,670		14,669,600
Sprint Capital Corp., Gtd. Notes		6.900%	05/01/19		14,940		15,238,800
Sprint Communications, Inc., Gtd. Notes, 144A		9.000%	11/15/18		2,656		3,020,934
Sprint Communications, Inc., Sr. Unsec’d. Notes(d)		6.000%	11/15/22		1,325		1,219,000
Sprint Communications, Inc., Sr. Unsec’d. Notes		7.000%	08/15/20		2,075		2,075,000
Sprint Communications, Inc., Sr. Unsec’d. Notes(d)		9.125%	03/01/17		2,250		2,474,887
Sprint Corp., Gtd. Notes(d)		7.125%	06/15/24		9,650		8,974,500
Sprint Corp., Gtd. Notes		7.875%	09/15/23		6,305		6,224,296
T-Mobile USA, Inc., Gtd. Notes(d)		6.375%	03/01/25		7,350		7,467,600
T-Mobile USA, Inc., Gtd. Notes(d)		6.464%	04/28/19		695		722,800
T-Mobile USA, Inc., Gtd. Notes		6.633%	04/28/21		5,650		5,798,312
Telecom Italia SpA (Italy), Sr. Unsec’d. Notes, 144A(d)		5.303%	05/30/24		8,525		8,631,562
Wind Acquisition Finance SA (Italy), Gtd. Notes, 144A(d)		7.375%	04/23/21		13,425		12,670,515
Wind Acquisition Finance SA (Italy), Sr. Sec’d. Notes, 144A		6.500%	04/30/20		1,500		1,533,750
Windstream Corp., Gtd. Notes		6.375%	08/01/23		6,675		6,241,125
Windstream Corp., Gtd. Notes		7.500%	06/01/22		925		922,688
Windstream Corp., Gtd. Notes		7.500%	04/01/23		5,085		5,059,575
Windstream Corp., Gtd. Notes(d)		7.750%	10/15/20		1,510		1,555,300
							156,898,677
Tobacco — 0.2%
Vector Group Ltd., Gtd. Notes		7.750%	02/15/21		6,705		7,057,013
Transportation — 1.0%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes		9.750%	03/15/20		3,850		4,196,500
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes, 144A		5.125%	06/01/22		6,650		6,716,500
Hertz Corp. (The), Gtd. Notes		5.875%	10/15/20		1,375		1,385,313
Hertz Corp. (The), Gtd. Notes		6.750%	04/15/19		4,200		4,326,000
Kenan Advantage Group, Inc. (The), Sr. Unsec’d. Notes, 144A (original cost $9,469,750; purchased 12/07/12-12/12/13)(b)(c)		8.375%	12/15/18		9,270		9,548,100
Navios Maritime Holdings, Inc./Navios Maritime Finance II US, Inc., Sr. Sec’d. Notes, 144A(d)		7.375%	01/15/22		5,850		5,352,750
							31,525,163
TOTAL CORPORATE BONDS (cost $2,966,911,375)							2,939,732,808
				Shares
COMMON STOCKS
Cable
Adelphia Recovery Trust*(b)					500,000		500
Media
DEX Media, Inc.*(d)					36,485		327,270
Telecommunications
Netia SA (Poland)*					227,114		357,938
TOTAL COMMON STOCKS (cost $24,646,419)							685,708

SEE NOTES TO FINANCIAL STATEMENTS.

A120

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

PREFERRED STOCKS — 0.1%	Shares		Value (Note 2)
Banking 0.1%
Goldman Sachs Group, Inc. (The)		87,000	$	2,255,040
Building Materials & Construction
New Millennium Homes LLC (original cost $0; purchased 09/25/00)*(b)(c)		3,000		174,000
Cable
Adelphia Communications Corp. (Class A Stock)*		5,000		5
TOTAL PREFERRED STOCKS (cost $2,179,765)				2,429,045
	Units
WARRANTS*
Media & Entertainment
MediaNews Group, Inc., expiring 03/19/17 (original cost $0; purchased 06/30/11)(b)		5,557		56
Telecommunications
Hawaiian Telcom Holdco, Inc., expiring 10/28/15		19,187		264,397
TOTAL WARRANTS (cost $113,781)				264,453
TOTAL LONG-TERM INVESTMENTS (cost $3,073,662,836)				3,021,823,017
SHORT-TERM INVESTMENTS — 22.4%	Shares
AFFILIATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $5,076,947)(Note 4)(g)		534,840		4,995,410
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $723,318,088; includes $557,109,329 of cash collateral for securities on loan)(Note 4)(g)(h)		723,318,088		723,318,088
TOTAL SHORT-TERM INVESTMENTS (cost $728,395,035)				728,313,498
TOTAL INVESTMENTS — 115.5% (cost $3,802,057,871)				3,750,136,515
LIABILITIES IN EXCESS OF OTHER ASSETS(i) — (15.5)%				(504,275,079	)
NET ASSETS — 100.0%			$	3,245,861,436

See the Glossary for abbreviations used in the Portfolio descriptions.

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

* Non-income producing security.

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

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

(c) Indicates a restricted security; the aggregate cost of the securities is $207,025,973. The aggregate value of $204,649,632 is approximately 6.3% of net assets.

(d) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $544,041,505; cash collateral of $557,109,329 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

(f) Less than $0.5 par.

SEE NOTES TO FINANCIAL STATEMENTS.

A121

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

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

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

Credit default swap agreements outstanding at December 31, 2014:

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(2)		Implied Credit Spread at December 31, 2014(3)			Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)	Counterparty
Over-the-counter credit default swaps on corporate issues—Sell Protection(1):
NRG Energy, Inc.		03/20/16		4.100%		3,150		6.130	%	$	138,842	$	—	$                138,842	Goldman Sachs & Co.

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

(2) 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.

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

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

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

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

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

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

	Level 1		Level 2		Level 3
Investments in Securities
Asset-Backed Securities
Collateralized Loan Obligations	$	—	$	13,261,823	$	—
Residential Mortgage-Backed Securities		—		835,626		—
Bank Loans		—		47,401,411		15,600,203
Collateralized Mortgage Obligations		—		1,611,940		—
Corporate Bonds		—		2,927,725,741		12,007,067
Common Stocks		685,208		—		500
Preferred Stocks		2,255,040		—		174,005
Warrants		264,397		—		56
Affiliated Money Market Mutual Funds		728,313,498		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A122

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

	Level 1		Level 2		Level 3
Other Financial Instruments*
Credit Default Swap Agreements
Over-the-counter credit default swaps on corporate issues—Sell Protection	$	—	$	138,842	$	—
Total	$	731,518,143	$	2,990,975,383	$	27,781,831

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

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

	Bank Loans			Corporate Bonds			Common Stock		Preferred Stocks			Warrants
Balance as of 12/31/13	$	17,060,000		$	8,930,787		$	500	$	282,005		$	56
Realized gain (loss)		(79,330	)		(37,229	)		—		—			—
Change in unrealized appreciation (depreciation)**		(699,001	)		235,999			—		(108,000	)		—
Purchases		6,282,500			1,746,656			—		—			—
Sales		(6,985,110	)		(4,017,447	)		—		—			—
Accrued discount/premium		21,144			(68,468	)		—		—			—
Transfer into Level 3		—			7,569,760			—		—			—
Transfer out of Level 3		—			(2,352,991	)		—		—			—
Balance as of 12/31/14	$	15,600,203		$	12,007,067		$	500	$	174,005		$	56

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

** Of which, $571,002 was relating to securities held at the reporting period end.

It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. At the reporting period end, 1 Corporate Bond transferred out of Level 3 as a result of no longer using a single broker quote and being priced by the primary valuation vendor source and 1 Corporate Bond transferred into Level 3 as a result of being valued using a single broker quote.

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

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

Affiliated Money Market Mutual Funds (including 17.2% of collateral for securities on loan)	22.4	%
Technology	11.2
Capital Goods	7.7
Healthcare & Pharmaceutical	7.6
Electric	6.5
Gaming	6.4
Telecommunications	4.8
Energy – Other	4.6
Foods	3.8
Cable	3.7
Chemicals	3.6
Packaging	3.3
Building Materials & Construction	3.1
Retailers	3.1
Media & Entertainment	3.0
Non-Captive Finance	3.0
Metals	2.9

Pipelines & Other	2.6	%
Automotive	2.2
Consumer	2.2
Aerospace & Defense	1.9
Real Estate Investment Trusts	1.5
Banking	1.3
Transportation	1.0
Lodging	0.9
Collateralized Loan Obligations	0.4
Paper	0.4
Tobacco	0.2
Energy – Integrated	0.1
Collateralized Mortgage Obligations	0.1
	115.5
Liabilities in excess of other assets	(15.5	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A123

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

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

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Credit contracts	Unrealized appreciation on over-the-counter swap agreements	$	138,842	—	$	—
Equity contracts	Unaffiliated investments		264,453	—		—
Total		$	403,295		$	—

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

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Swaps		Warrants*			Total
Credit contracts	$	5,755,486	$	—		$	5,755,486
Equity contracts		—		(55,812	)		(55,812	)
	$	5,755,486	$	(55,812	)	$	5,699,674

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

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Swaps			Warrants*		Total
Credit contracts	$	(6,176,050	)	$	—	$	(6,176,050	)
Equity contracts		—			26,200		26,200
	$	(6,176,050	)	$	26,200	$	(6,149,850	)

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

For the year ended December 31, 2014, the Portfolio’s average notional amount for credit default swaps as writer was $71,647,000.

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(3)			Net Amount
Goldman Sachs & Co.	$	138,842	$	—	$	(241,553	)	$	—
	$	138,842
Counterparty	Gross amounts of recognized liabilities(2)		Gross amounts available for offset		Collateral Pledged(3)			Net Amount
Goldman Sachs & Co.	$	—	$	—	$	—		$	—
	$	—

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A124

HIGH YIELD BOND PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014

ASSETS
Investments at value, including securities on loan of $544,041,505:
Unaffiliated investments (cost $3,073,662,836)	$	3,021,823,017
Affiliated investments (cost $728,395,035)		728,313,498
Cash		558,025
Foreign currency, at value (cost $52,546)		46,800
Dividends and interest receivable		54,286,890
Receivable for investments sold		1,940,452
Unrealized appreciation on over-the-counter swap agreements		138,842
Receivable for Series shares sold		47,604
Prepaid expenses		27,412
Total Assets		3,807,182,540
LIABILITIES
Payable to broker for collateral for securities on loan		557,109,329
Payable for investments purchased		2,383,734
Management fee payable		1,486,822
Accrued expenses		212,979
Payable for Series shares repurchased		125,230
Deferred trustees’ fees		2,084
Affiliated transfer agent fee payable		926
Total Liabilities		561,321,104
NET ASSETS	$	3,245,861,436
Net assets were comprised of:
Paid-in capital	$	3,489,945,072
Retained earnings		(244,083,636	)
Net assets, December 31, 2014	$	3,245,861,436
Net asset value and redemption price per share $3,245,861,436 / 634,916,961 outstanding shares of beneficial interest	$	5.11

STATEMENT OF OPERATIONS

Year Ended December 31, 2014

NET INVESTMENT INCOME
INCOME
Interest income	$	207,499,786
Affiliated income from securities loaned, net		1,365,249
Affiliated dividend income		223,428
Unaffiliated dividend income (net of foreign withholding taxes of $5,963)		100,834
Total income		209,189,297
EXPENSES
Management fee		17,634,158
Custodian’s fees and expenses		363,000
Shareholders’ reports		104,000
Audit fee		43,000
Insurance expenses		42,000
Trustees’ fees		35,000
Legal fees and expenses		16,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		12,000
Commitment fee on syndicated credit agreement		5,000
Miscellaneous		20,104
Total expenses		18,274,262
NET INVESTMENT INCOME		190,915,035
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		18,391,754
Swap agreement transactions		5,755,486
Foreign currency transactions		(28	)
		24,147,212
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $15,798)		(120,066,582	)
Swap agreements		(6,176,050	)
Foreign currencies		(7,722	)
		(126,250,354	)
NET LOSS ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(102,103,142	)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	88,811,893

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income	$	190,915,035		$	183,087,862
Net realized gain on investment and foreign currency transactions		24,147,212			53,328,223
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(126,250,354	)		(36,487,575	)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		88,811,893			199,928,510
DISTRIBUTIONS		(195,015,297	)		(184,894,260	)
SERIES SHARE TRANSACTIONS
Series shares sold [46,491,364 and 19,157,710 shares, respectively]		242,512,118			102,403,661
Series shares issued in reinvestment of distributions [37,178,309 and 35,311,797 shares, respectively]		195,015,297			184,894,260
Series shares repurchased [19,914,504 and 23,256,125 shares, respectively]		(105,962,476	)		(123,671,701	)
NET INCREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		331,564,939			163,626,220
TOTAL INCREASE		225,361,535			178,660,470
NET ASSETS:
Beginning of year		3,020,499,901			2,841,839,431
End of year	$	3,245,861,436		$	3,020,499,901

SEE NOTES TO FINANCIAL STATEMENTS.

A125

	JENNISON PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2014

LONG-TERM INVESTMENTS — 99.5%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 3.3%
Boeing Co. (The)		224,078	$	29,125,658
Precision Castparts Corp.		101,371		24,418,247
				53,543,905
Automobiles — 1.0%
Tesla Motors, Inc.*(a)		74,201		16,503,044
Biotechnology — 9.5%
Alexion Pharmaceuticals, Inc.*		136,720		25,297,302
Biogen Idec, Inc.*		125,306		42,535,122
Celgene Corp.*		352,550		39,436,243
Gilead Sciences, Inc.*		234,877		22,139,506
Incyte Corp. Ltd.*(a)		115,158		8,419,201
Vertex Pharmaceuticals, Inc.*		143,584		17,057,779
				154,885,153
Capital Markets — 1.6%
Morgan Stanley		685,802		26,609,118
Chemicals — 1.9%
Monsanto Co.		256,431		30,635,812
Diversified Financial Services — 1.0%
McGraw Hill Financial, Inc.		175,799		15,642,595
Energy Equipment & Services — 1.1%
Schlumberger Ltd.		207,921		17,758,533
Food & Staples Retailing — 1.9%
Costco Wholesale Corp.		216,919		30,748,268
Food Products — 2.1%
Mead Johnson Nutrition Co.		130,981		13,168,830
Mondelez International, Inc. (Class A Stock)		588,668		21,383,365
				34,552,195
Health Care Equipment & Supplies — 1.8%
Abbott Laboratories		634,694		28,573,924
Hotels, Restaurants & Leisure — 4.7%
Chipotle Mexican Grill, Inc.*		29,466		20,169,772
Dunkin’ Brands Group, Inc.		107,416		4,581,292
Marriott International, Inc. (Class A Stock)		335,520		26,180,626
Starbucks Corp.		301,851		24,766,874
				75,698,564
Internet & Catalog Retail — 6.6%
Amazon.com, Inc.*		131,022		40,662,678
Netflix, Inc.*		63,282		21,617,764
Priceline Group, Inc. (The)*		27,379		31,217,810
TripAdvisor, Inc.*		179,199		13,378,997
				106,877,249
Internet Software & Services — 11.4%
Alibaba Group Holding Ltd. (China), ADR*(a)		296,459		30,813,948
Facebook, Inc. (Class A Stock)*		756,850		59,049,437
Google, Inc. (Class A Stock)*		42,073		22,326,458
Google, Inc. (Class C Stock)*		42,299		22,266,194
LendingClub Corp.*(a)		35,245		891,698
LinkedIn Corp. (Class A Stock)*		128,345		29,482,130
Tencent Holdings Ltd. (China)		204,782		2,962,977
Twitter, Inc.*		462,675		16,596,152
				184,388,994

COMMON STOCKS (continued)	Shares		Value (Note 2)
IT Services — 7.6%
FleetCor Technologies, Inc.*		142,456	$	21,184,632
MasterCard, Inc. (Class A Stock)		683,733		58,910,435
Visa, Inc. (Class A Stock)(a)		167,867		44,014,727
				124,109,794
Life Sciences Tools & Services — 1.6%
Illumina, Inc.*		142,597		26,320,554
Media — 3.6%
Twenty-First Century Fox, Inc. (Class A Stock)		620,821		23,842,631
Walt Disney Co. (The)		361,781		34,076,152
				57,918,783
Oil, Gas & Consumable Fuels — 2.3%
Concho Resources, Inc.*		203,157		20,264,911
EOG Resources, Inc.		187,568		17,269,386
				37,534,297
Pharmaceuticals — 7.2%
Actavis PLC*		109,073		28,076,481
Bristol-Myers Squibb Co.		605,782		35,759,311
Novo Nordisk A/S (Denmark), ADR		659,277		27,900,603
Perrigo Co. PLC		34,621		5,787,246
Shire PLC (Ireland), ADR		90,427		19,219,355
				116,742,996
Real Estate Investment Trusts (REITs) — 1.2%
American Tower Corp.		193,429		19,120,457
Road & Rail — 3.2%
Canadian Pacific Railway Ltd. (Canada)		125,823		24,244,834
Union Pacific Corp.		234,496		27,935,508
				52,180,342
Semiconductors & Semiconductor Equipment — 1.1%
ARM Holdings PLC (United Kingdom), ADR		388,430		17,984,309
Software — 7.9%
Adobe Systems, Inc.*		350,470		25,479,169
FireEye, Inc.*(a)		235,845		7,447,985
Red Hat, Inc.*		347,689		24,039,217
salesforce.com, Inc.*		523,708		31,061,121
Splunk, Inc.*		243,224		14,338,055
VMware, Inc. (Class A Stock)*(a)		134,613		11,108,265
Workday, Inc. (Class A Stock)*(a)		190,021		15,507,614
				128,981,426
Specialty Retail — 5.4%
Inditex SA (Spain)		842,647		24,036,899
O’Reilly Automotive, Inc.*		120,134		23,140,211
Tiffany & Co.		228,716		24,440,592
TJX Cos., Inc. (The)		234,699		16,095,657
				87,713,359
Technology Hardware, Storage & Peripherals — 5.5%
Apple, Inc.		808,003		89,187,371
Textiles, Apparel & Luxury Goods — 5.0%
Luxottica Group SpA (Italy)		277,586		15,216,986
Michael Kors Holdings Ltd.*		118,871		8,927,212

SEE NOTES TO FINANCIAL STATEMENTS.

A126

	JENNISON PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Textiles, Apparel & Luxury Goods (continued)
NIKE, Inc. (Class B Stock)		399,202	$	38,383,272
Under Armour, Inc. (Class A Stock)*(a)		283,625		19,258,138
				81,785,608
TOTAL LONG-TERM INVESTMENTS (cost $889,734,603)				1,615,996,650
SHORT-TERM INVESTMENT — 8.3%
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $134,115,966; includes $134,115,965 of cash collateral for securities on loan) (Note 4)(b)(c)		134,115,966		134,115,966
TOTAL INVESTMENTS — 107.8% (cost $1,023,850,569)				1,750,112,616
LIABILITIES IN EXCESS OF OTHER ASSETS — (7.8)%				(126,392,142	)
NET ASSETS 100.0%			$	1,623,720,474

See the Glossary for abbreviations used in the Portfolio descriptions.

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $129,921,856; cash collateral of $134,115,965 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

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

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

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

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

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

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

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	53,543,905	$	—	$	—
Automobiles		16,503,044		—		—
Biotechnology		154,885,153		—		—
Capital Markets		26,609,118		—		—
Chemicals		30,635,812		—		—
Diversified Financial Services		15,642,595		—		—
Energy Equipment & Services		17,758,533		—		—
Food & Staples Retailing		30,748,268		—		—
Food Products		34,552,195		—		—
Health Care Equipment & Supplies		28,573,924		—		—
Hotels, Restaurants & Leisure		75,698,564		—		—
Internet & Catalog Retail		106,877,249		—		—
Internet Software & Services		181,426,017		2,962,977		—
IT Services		124,109,794		—		—
Life Sciences Tools & Services		26,320,554		—		—
Media		57,918,783		—		—
Oil, Gas & Consumable Fuels		37,534,297		—		—
Pharmaceuticals		116,742,996		—		—
Real Estate Investment Trusts (REITs)		19,120,457		—		—
Road & Rail		52,180,342		—		—
Semiconductors & Semiconductor Equipment		17,984,309		—		—
Software		128,981,426		—		—
Specialty Retail		63,676,460		24,036,899		—
Technology Hardware, Storage & Peripherals		89,187,371		—		—
Textiles, Apparel & Luxury Goods		66,568,622		15,216,986		—
Affiliated Money Market Mutual Fund		134,115,966		—		—
Total	$	1,707,895,754	$	42,216,862	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A127

	JENNISON PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

Internet Software & Services	11.4	%
Biotechnology	9.5
Affiliated Money Market Mutual Fund (including 8.3% of collateral for securities on loan)	8.3
Software	7.9
IT Services	7.6
Pharmaceuticals	7.2
Internet & Catalog Retail	6.6
Technology Hardware, Storage & Peripherals	5.5
Specialty Retail	5.4
Textiles, Apparel & Luxury Goods	5.0
Hotels, Restaurants & Leisure	4.7
Media	3.6
Aerospace & Defense	3.3
Road & Rail	3.2

Oil, Gas & Consumable Fuels	2.3	%
Food Products	2.1
Food & Staples Retailing	1.9
Chemicals	1.9
Health Care Equipment & Supplies	1.8
Capital Markets	1.6
Life Sciences Tools & Services	1.6
Real Estate Investment Trusts (REITs)	1.2
Semiconductors & Semiconductor Equipment	1.1
Energy Equipment & Services	1.1
Automobiles	1.0
Diversified Financial Services	1.0
	107.8
Liabilities in excess of other assets	(7.8	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A128

JENNISON PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014

ASSETS
Investments at value, including securities on loan of $129,921,856:
Unaffiliated investments (cost $889,734,603)	$	1,615,996,650
Affiliated investments (cost $134,115,966)		134,115,966
Receivable for investments sold		10,185,937
Dividends receivable		1,362,926
Tax reclaim receivable		266,962
Receivable for Series shares sold		186,227
Prepaid expenses		12,475
Total Assets		1,762,127,143
LIABILITIES
Payable to broker for collateral for securities on loan		134,115,965
Payable to custodian		1,411,358
Loan payable (Note 8)		1,211,000
Management fee payable		831,979
Payable for Series shares repurchased		534,513
Accrued expenses		157,286
Payable for investments purchased		128,016
Distribution fee payable		9,331
Administration fee payable		5,687
Affiliated transfer agent fee payable		926
Deferred trustees’ fees		608
Total Liabilities		138,406,669
NET ASSETS	$	1,623,720,474
Net assets were comprised of:
Paid-in capital	$	1,198,898,438
Retained earnings		424,822,036
Net assets, December 31, 2014	$	1,623,720,474
Class I:
Net asset value and redemption price per share $1,579,974,976 / 38,673,369 outstanding shares of beneficial interest	$	40.85
Class II:
Net asset value and redemption price per share $43,745,498 / 1,099,163 outstanding shares of beneficial interest	$	39.80

STATEMENT OF OPERATIONS

Year Ended December 31, 2014

NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $245,955)	$	11,969,261
Affiliated income from securities loaned, net		341,192
Affiliated dividend income		11,527
Total income		12,321,980
EXPENSES
Management fee		9,545,443
Distribution fee—Class II		102,575
Administration fee—Class II		61,545
Custodian’s fees and expenses		202,000
Shareholders’ reports		130,000
Audit fee		26,000
Trustees’ fees		23,000
Insurance expenses		20,000
Legal fees and expenses		12,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		12,000
Commitment fee on syndicated credit agreement		5,000
Interest expense		809
Miscellaneous		18,460
Total expenses		10,158,832
NET INVESTMENT INCOME		2,163,148
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		141,652,113
Foreign currency transactions		(16,354	)
		141,635,759
Net change in unrealized appreciation (depreciation) on:
Investments		7,692,022
Foreign currencies		(20,852	)
		7,671,170
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		149,306,929
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	151,470,077

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	2,163,148		$	2,402,557
Net realized gain on investment and foreign currency transactions		141,635,759			132,807,455
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		7,671,170			313,910,851
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		151,470,077			449,120,863
SERIES SHARE TRANSACTIONS (Note 7)
Series shares sold		26,462,176			24,077,738
Series shares repurchased		(146,401,640	)		(127,868,729	)
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(119,939,464	)		(103,790,991	)
TOTAL INCREASE		31,530,613			345,329,872
NET ASSETS:
Beginning of year		1,592,189,861			1,246,859,989
End of year	$	1,623,720,474		$	1,592,189,861

SEE NOTES TO FINANCIAL STATEMENTS.

A129

	MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2014

CERTIFICATES OF DEPOSIT — 22.1%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Bank of America NA		0.180%		02/02/15		2,000	$	2,000,000
Bank of America NA		0.250%		03/20/15		3,000		3,000,000
Bank of America NA		0.250%		05/12/15		5,000		5,000,000
Bank of America NA		0.260%		02/02/15		5,500		5,500,000
Bank of America NA		0.260%		03/09/15		2,000		2,000,000
Bank of Montreal		0.242%	(a)	07/06/15		1,000		1,000,006
Bank of Nova Scotia		0.242%	(a)	08/03/15		2,000		2,000,000
Bank of Nova Scotia		0.265%	(a)	06/29/15		2,000		2,000,000
Bank of Tokyo-Mitsubishi UFJ Ltd.		0.210%		02/25/15		7,000		7,000,000
BNP Paribas SA		0.482%	(a)	04/10/15		8,000		8,000,000
Branch Banking & Trust Co.		0.160%		01/28/15		6,000		6,000,000
Branch Banking & Trust Co.		0.160%		02/03/15		3,000		3,000,000
Canadian Imperial Bank of Commerce		0.232%	(a)	05/06/15		2,000		2,000,000
Canadian Imperial Bank of Commerce		0.232%	(a)	06/17/15		3,000		3,000,000
Canadian Imperial Bank of Commerce		0.244%	(a)	08/28/15		2,000		2,000,000
Citibank NA		0.180%		02/03/15		3,500		3,500,000
Citibank NA		0.240%		02/04/15		4,000		4,000,000
Citibank NA		0.250%		03/03/15		4,000		4,000,000
Citibank NA		0.250%		03/11/15		5,000		5,000,478
Citibank NA		0.250%		05/05/15		3,000		3,000,000
HSBC Bank USA NA		0.253%	(a)	10/28/15		3,000		3,000,000
Mizuho Bank Ltd.		0.200%		01/02/15		2,000		2,000,000
Natixis		0.240%		01/02/15		4,000		4,000,000
Natixis		0.550%		01/22/15		4,000		4,000,604
Norinchukin Bank		0.200%		02/11/15		4,000		4,000,000
Norinchukin Bank		0.230%		01/14/15		2,000		2,000,000
Rabobank Nederland		0.280%	(a)	04/14/15		3,000		3,000,000
Rabobank Nederland		0.283%	(a)	02/25/15		5,000		5,000,383
Rabobank Nederland		0.286%	(a)	05/29/15		6,000		6,000,100
Royal Bank of Canada		0.241%	(a)	02/12/15		1,000		1,000,000
Royal Bank of Canada		0.268%	(a)	12/11/15		5,000		5,000,000
Skandinaviska Enskilda Banken AB		0.269%	(a)	07/10/15		4,000		4,000,000
Standard Chartered Bank		0.290%		03/03/15		6,000		6,000,000
State Street Bank & Trust Co.		0.240%	(a)	03/12/15		2,000		2,000,000
State Street Bank & Trust Co.		0.281%	(a)	10/01/15		6,000		6,000,000
Sumitomo Mitsui Banking Corp.		0.260%		04/10/15		8,000		8,000,000
Svenska Handelsbanken AB		0.205%		02/27/15		3,200		3,200,051
Svenska Handelsbanken AB		0.220%		01/28/15		3,000		3,000,011
Toronto-Dominion Bank (The)		0.247%	(a)	10/06/15		10,000		10,000,000
U.S. Bank NA		0.175%	(a)	02/26/15		5,000		5,000,000
U.S. Bank NA		0.233%	(a)	10/30/15		5,000		5,000,000
Wells Fargo Bank NA		0.208%	(a)	02/06/15		3,200		3,199,994
Wells Fargo Bank NA		0.215%	(a)	02/20/15		5,000		5,000,087
Wells Fargo Bank NA		0.220%	(a)	02/28/15		3,000		3,000,010
Wells Fargo Bank NA		0.232%	(a)	03/17/15		1,000		1,000,000
Wells Fargo Bank NA		0.241%	(a)	05/12/15		3,000		3,000,000
Wells Fargo Bank NA		0.252%	(a)	08/20/15		3,000		3,000,000
								182,401,724
COMMERCIAL PAPER — 25.8%
ABN AMRO Funding USA LLC, 144A		0.260%	(b)	02/10/15		3,000		2,999,133
ABN AMRO Funding USA LLC, 144A		0.341%	(b)	01/05/15		1,000		999,962
Caisse Centrale Desjardins du Quebec, 144A		0.231%	(a)	10/22/15		10,000		10,000,000
CDP Financial, Inc., 144A		0.150%	(b)	01/05/15		8,000		7,999,867
CDP Financial, Inc., 144A		0.180%	(b)	02/27/15		3,000		2,999,145
CDP Financial, Inc., 144A		0.180%	(b)	03/16/15		2,000		1,999,260
CDP Financial, Inc., 144A		0.190%	(b)	03/13/15		8,000		7,997,002
Commonwealth Bank of Australia, 144A		0.244%	(a)	04/23/15		8,000		8,000,000
CPPIB Capital, Inc., 144A		0.140%	(b)	01/13/15		4,300		4,299,799

SEE NOTES TO FINANCIAL STATEMENTS.

A130

	MONEY MARKET PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMERCIAL PAPER (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
CPPIB Capital, Inc., 144A		0.140%	(b)	02/18/15		15,000	$	14,997,200
CPPIB Capital, Inc., 144A		0.150%	(b)	01/02/15		1,000		999,996
DNB Bank ASA, 144A		0.230%	(b)	04/20/15		1,100		1,099,234
DNB Bank ASA, 144A		0.244%	(a)	01/16/15		7,000		7,000,000
Eli Lilly & Co., 144A		0.200%	(b)	03/25/15		4,000		3,998,156
General Electric Capital Corp.		0.200%	(b)	01/27/15		2,000		1,999,711
General Electric Capital Corp.		0.200%	(b)	03/05/15		3,000		2,998,950
General Electric Capital Corp.		0.200%	(b)	04/20/15		3,000		2,998,183
General Electric Capital Corp.		0.210%	(b)	02/02/15		3,224		3,223,398
GlaxoSmithKline Finance PLC, 144A		0.160%	(b)	01/22/15		8,000		7,999,253
HSBC Bank PLC, 144A		0.223%	(a)	01/30/15		5,000		5,000,000
HSBC Bank PLC, 144A		0.228%	(a)	05/07/15		3,000		3,000,000
HSBC Bank PLC, 144A		0.233%	(a)	02/12/15		2,000		2,000,000
HSBC USA, Inc.		0.240%	(b)	04/27/15		7,000		6,994,587
ING (U.S.) Funding LLC		0.210%	(b)	02/27/15		8,500		8,497,174
JPMorgan Securities LLC		0.200%	(b)	02/02/15		1,000		999,822
JPMorgan Securities LLC, 144A		0.200%	(b)	02/17/15		4,000		3,998,956
JPMorgan Securities LLC, 144A		0.210%	(b)	03/11/15		4,000		3,998,390
JPMorgan Securities LLC, 144A		0.345%	(a)	10/20/15		3,000		3,000,000
JPMorgan Securities LLC, 144A		0.354%	(a)	09/02/15		2,000		2,000,000
JPMorgan Securities LLC, 144A		0.357%	(a)	08/07/15		4,000		4,000,000
Nordea Bank AB, 144A		0.220%	(b)	03/13/15		2,500		2,498,915
PNC Bank NA		0.281%	(b)	07/01/15		1,000		998,592
PNC Bank NA		0.310%		03/27/15		6,000		6,000,000
PNC Bank NA		0.310%		05/20/15		2,000		2,000,000
PSP Capital, Inc., 144A		0.150%	(b)	01/16/15		4,000		3,999,750
PSP Capital, Inc., 144A		0.150%	(b)	02/13/15		4,000		3,999,283
PSP Capital, Inc., 144A		0.160%	(b)	02/05/15		7,000		6,998,911
Schlumberger Investment SA, 144A		0.200%	(b)	03/16/15		2,000		1,999,178
Skandinaviska Enskilda Banken AB, 144A		0.255%	(b)	04/16/15		4,000		3,997,025
Skandinaviska Enskilda Banken AB, 144A		0.260%	(b)	04/14/15		4,000		3,997,025
Standard Chartered Bank, 144A		0.270%	(b)	04/27/15		3,000		2,997,390
State Street Corp.		0.160%	(b)	01/05/15		5,000		4,999,911
State Street Corp.		0.160%	(b)	01/28/15		3,000		2,999,640
State Street Corp.		0.170%	(b)	03/09/15		5,000		4,998,418
Svenska Handelsbanken AB, 144A		0.210%	(b)	01/16/15		2,000		1,999,825
Swedbank AB		0.230%	(b)	01/05/15		4,000		3,999,898
Swedbank AB		0.245%	(b)	01/22/15		5,000		4,999,286
Toyota Motor Credit Corp.		0.130%	(b)	02/03/15		5,000		4,999,404
Toyota Motor Credit Corp.		0.231%	(a)	04/09/15		3,000		3,000,000
Westpac Banking Corp., 144A		0.243%	(a)	04/29/15		3,000		3,000,000
								212,579,629
OTHER CORPORATE OBLIGATIONS — 7.5%
Bank of Montreal, Sr. Unsec’d. Notes, MTN		0.709%	(a)	09/11/15		3,200		3,209,673
Bank of New York Mellon Corp. (The), Sr. Unsec’d. Notes, MTN		1.200%		02/20/15		2,500		2,502,701
Commonwealth Bank of Australia, Sr. Unsec’d. Notes		1.950%		03/16/15		1,000		1,003,213
Commonwealth Bank of Australia, Unsec’d. Notes, MTN, 144A		0.513%	(a)	01/29/15		2,000		2,000,470
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN		2.150%		01/09/15		5,000		5,002,135
International Bank for Reconstruction & Development, Sr. Unsec’d. Notes		0.161%	(a)	01/14/15		7,000		7,000,015
International Bank for Reconstruction & Development, Sr. Unsec’d. Notes, MTN		0.157%	(a)	08/07/15		3,000		3,000,000
International Finance Corp., Sr. Unsec’d. Notes		0.170%	(a)	08/27/15		7,000		6,999,566
International Finance Corp., Sr. Unsec’d. Notes, MTN		0.170%	(a)	01/28/15		6,000		6,000,046
MetLife Institutional Funding II, Sec’d. Notes, 144A		0.601%	(a)	01/06/15		2,700		2,700,140
Metropolitan Life Global Funding I, Sr. Sec’d. Notes, 144A		2.000%		01/09/15		4,000		4,001,515
National Australia Bank Ltd., Sr. Unsec’d. Notes, MTN		2.000%		03/09/15		2,500		2,508,178
Royal Bank of Canada, Sr. Unsec’d. Notes, MTN		0.461%	(a)	01/06/15		7,000		7,000,237
Toyota Motor Credit Corp., Sr. Unsec’d. Notes, MTN		0.234%	(a)	08/26/15		6,000		6,000,000
Wells Fargo Bank NA, Sr. Unsec’d. Notes		0.511%	(a)	07/20/15		3,000		3,004,185
								61,932,074

SEE NOTES TO FINANCIAL STATEMENTS.

A131

	MONEY MARKET PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

TIME DEPOSITS — 1.5%	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Australia & New Zealand Banking Group Ltd.(c)		0.250%			01/26/15		7,000	$	7,000,000
Credit Agricole SA		0.050%			01/02/15		5,000		5,000,000
									12,000,000
U.S. GOVERNMENT AGENCY OBLIGATIONS — 37.7%
Federal Farm Credit Bank		0.138%	(a)		02/03/16		3,000		3,000,171
Federal Farm Credit Bank		0.155%	(a)		10/01/15		3,000		3,000,795
Federal Farm Credit Bank		0.200%	(a)		06/26/15-07/27/15		9,000		9,003,229
Federal Home Loan Bank		0.053%	(b)		01/02/15		1,409		1,408,998
Federal Home Loan Bank		0.060%	(b)		01/07/15		8,000		7,999,920
Federal Home Loan Bank		0.066%	(b)		01/21/15		16,000		15,999,422
Federal Home Loan Bank		0.070%			04/29/15		6,000		5,999,397
Federal Home Loan Bank		0.071%	(b)		01/23/15-02/05/15		51,000		50,997,398
Federal Home Loan Bank		0.077%	(b)		01/16/15		24,575		24,574,210
Federal Home Loan Bank		0.083%	(b)		02/06/15		13,000		12,998,920
Federal Home Loan Bank		0.087%	(b)		02/04/15		21,100		21,098,260
Federal Home Loan Bank		0.096%	(b)		02/13/15-02/18/15		15,000		14,998,153
Federal Home Loan Bank		0.101%	(b)		03/06/15		5,000		4,999,125
Federal Home Loan Bank		0.104%	(a)		04/02/15		4,000		3,999,975
Federal Home Loan Bank		0.106%	(a)		05/12/15		2,000		1,999,951
Federal Home Loan Bank		0.110%	(b)		03/04/15		12,000		11,997,727
Federal Home Loan Bank		0.112%	(b)		02/11/15		15,000		14,998,080
Federal Home Loan Bank		0.114%	(a)		02/23/15		3,000		3,000,000
Federal Home Loan Bank		0.119%	(b)		03/11/15-03/13/15		11,000		10,997,507
Federal Home Loan Bank		0.120%	(a)		03/26/15-05/28/15		11,000		10,999,908
Federal Home Loan Bank		0.122%	(a)		07/10/15		5,000		5,000,000
Federal Home Loan Bank		0.125%	(a)		06/25/15		5,000		4,999,902
Federal Home Loan Bank		0.127%	(a)		08/10/15		5,000		4,999,929
Federal Home Loan Bank		0.136%	(a)		09/14/15		5,000		5,000,483
Federal Home Loan Bank		0.138%	(a)		12/24/15		5,000		4,998,867
Federal Home Loan Bank		0.180%	(b)		03/20/15		10,000		9,996,165
Federal Home Loan Mortgage Corp.		0.071%	(b)		02/06/15		3,000		2,999,790
Federal Home Loan Mortgage Corp.		0.122%	(a)		02/18/16		9,000		8,998,449
Federal Home Loan Mortgage Corp.		0.141%	(a)		10/16/15		3,000		3,000,334
Federal Home Loan Mortgage Corp.		0.152%	(a)		07/17/15		9,000		9,001,500
Federal National Mortgage Assoc.		0.070%	(b)		01/20/15		13,000		12,999,528
Federal National Mortgage Assoc.		0.127%	(a)		08/05/15		4,000		4,000,251
									310,066,344
U.S. TREASURY OBLIGATIONS — 6.0%
U.S. Treasury Bills		0.047%	(b)		01/08/15		3,000		2,999,973
U.S. Treasury Notes		0.125%			04/30/15		5,000		5,000,498
U.S. Treasury Notes		0.250%			02/15/15		9,000		9,001,997
U.S. Treasury Notes		2.500%			03/31/15-04/30/15		26,000		26,178,026
U.S. Treasury Notes		4.000%			02/15/15		6,000		6,028,874
									49,209,368
TOTAL INVESTMENTS — 100.6% (amortized cost $828,189,139)									828,189,139
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.6)%									(4,601,784	)
NET ASSETS — 100.0%								$	823,587,355

See the Glossary for abbreviations used in the Portfolio descriptions.

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A132

	MONEY MARKET PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

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

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

Level 3— significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. The following is a summary of the inputs used as of December 31, 2014 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Certificates of Deposit	$	—	$	182,401,724	$	—
Commercial Paper		—		212,579,629		—
Other Corporate Obligations		—		61,932,074		—
Time Deposits		—		12,000,000		—
U.S. Government Agency Obligations		—		310,066,344		—
U.S. Treasury Obligations		—		49,209,368		—
Total	$	—	$	828,189,139	$	—

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

U.S. Government Agency Obligations	37.7	%
Commercial Paper	25.8
Certificates of Deposit	22.1
Other Corporate Obligations	7.5
U.S. Treasury Obligations	6.0

Time Deposits	1.5	%
	100.6
Liabilities in excess of other assets	(0.6	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A133

MONEY MARKET PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014

ASSETS
Investments, at amortized cost which approximates fair value:	$	828,189,139
Cash		1,981
Interest receivable		516,960
Receivable for Series shares sold		161,393
Prepaid expenses		6,583
Total Assets		828,876,056
LIABILITIES
Payable for investments purchased		4,999,125
Accrued expenses		134,026
Management fee payable		104,719
Payable for Series shares repurchased		49,905
Affiliated transfer agent fee payable		926
Total Liabilities		5,288,701
NET ASSETS	$	823,587,355
Net assets were comprised of:
Paid-in capital	$	823,587,355
Net assets, December 31, 2014	$	823,587,355
Net asset value and redemption price per share $823,587,355 / 82,355,753 outstanding shares of beneficial interest	$	10.00

STATEMENT OF OPERATIONS

Year Ended December 31, 2014

NET INVESTMENT INCOME
INCOME
Interest income	$	1,330,181
EXPENSES
Management fee		3,383,905
Custodian’s fees and expenses		123,000
Shareholders’ reports		101,000
Audit fee		26,000
Trustees’ fees		17,000
Insurance expenses		12,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		12,000
Legal fees and expenses		11,000
Miscellaneous		8,964
Total expenses		3,694,869
Less: Management fee waiver		(2,364,760	)
Net expenses		1,330,109
NET INVESTMENT INCOME		72
REALIZED GAIN ON INVESTMENTS
Net realized gain on investment transactions		7,039
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	7,111

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	72		$	—
Net realized gain on investment transactions		7,039			14,454
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		7,111			14,454
Dividends from net investment income		(7,111	)		(14,454	)
SERIES SHARE TRANSACTIONS
Series shares sold [22,388,218 and 15,412,796 shares, respectively]		223,882,182			154,127,954
Series shares issued in reinvestment of distributions [711 and 1,445 shares, respectively]		7,111			14,454
Series shares repurchased [26,634,487 and 19,157,649 shares, respectively]		(266,344,871	)		(191,576,491	)
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(42,455,578	)		(37,434,083	)
TOTAL DECREASE		(42,455,578	)		(37,434,083	)
NET ASSETS:
Beginning of year		866,042,933			903,477,016
End of year	$	823,587,355		$	866,042,933

SEE NOTES TO FINANCIAL STATEMENTS.

A134

	NATURAL RESOURCES PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2014

LONG-TERM INVESTMENTS — 95.8%
COMMON STOCKS — 95.7%	Shares		Value (Note 2)
Aluminum — 1.1%
Alcoa, Inc.		21,638	$	341,664
Constellium NV (Netherlands) (Class A Stock)*		376,130		6,179,816
Norsk Hydro ASA (Norway)		57,684		324,936
				6,846,416
Coal & Consumable Fuels — 1.8%
CONSOL Energy, Inc.		341,538		11,547,400
Diversified Metals & Mining — 7.5%
African Rainbow Minerals Ltd. (South Africa)		286,406		2,932,895
Anglo American PLC (United Kingdom)		13,916		257,508
BHP Billiton Ltd. (Australia), ADR(a)		161,294		7,632,432
First Quantum Minerals Ltd. (Canada)		559,594		7,952,227
Freeport-McMoRan Copper & Gold, Inc.		175,557		4,101,011
Glencore PLC (Switzerland)		2,211,779		10,209,215
Ivanhoe Mines Ltd. (Canada)*		357,087		313,504
Ivanhoe Mines Ltd. (Canada) (Class A Stock), 144A*(b)		433,900		384,676
Northern Dynasty Minerals Ltd. (Canada)*(a)		399,636		162,052
Rio Tinto PLC (United Kingdom), ADR(a)		224,785		10,353,597
Southern Copper Corp.		109,359		3,083,924
				47,383,041
Fertilizers & Agricultural Chemicals — 1.2%
Potash Corp. of Saskatchewan, Inc. (Canada)		217,312		7,675,460
Gold — 5.9%
Agnico Eagle Mines Ltd. (Canada)		141,352		3,518,251
Alacer Gold Corp.		727,441		1,458,889
Algold Resources Ltd. (Canada), 144A*(b)		29,193		6,031
Axmin, Inc. (Canada)*		155,620		2,009
B2Gold Corp. (Canada)*(a)		2,155,332		3,524,816
Barrick Gold Corp. (Canada)(a)		340,897		3,664,643
Eldorado Gold Corp. (Canada)		1,487,941		9,067,501
Goldcorp, Inc. (Canada)		15,139		280,374
Guyana Goldfields Inc., Reg. D (Canada), Private Placement (original cost $629,040; purchased 6/24/2014)*(c)		365,319		886,727
Guyana Goldfields, Inc. (Canada), 144A*(b)		726,972		1,764,556
Kinross Gold Corp. (Canada)*		846,489		2,387,099
Newmont Mining Corp.		17,388		328,633
Randgold Resources Ltd. (United Kingdom), ADR(a)		158,208		10,664,801
				37,554,330
Integrated Oil & Gas — 6.0%
Chevron Corp.		1,719		192,837
Hess Corp.		107,065		7,903,538
Occidental Petroleum Corp.		135,993		10,962,396

COMMON STOCKS (continued)	Shares		Value (Note 2)
Integrated Oil & Gas (continued)
Royal Dutch Shell PLC (Netherlands) (Class A Stock), ADR		4,309	$	288,488
Suncor Energy, Inc. (Canada)		585,451		18,605,633
				37,952,892
Oil & Gas Drilling — 2.3%
Ensco PLC (Class A Stock)		4,603		137,860
Helmerich & Payne, Inc.		43,771		2,951,041
Independence Contract Drilling Inc.*		336,881		1,758,519
Patterson-UTI Energy, Inc.		360,405		5,979,119
Rowan Cos. PLC (Class A Stock)		159,273		3,714,246
				14,540,785
Oil & Gas Equipment & Services — 18.7%
Baker Hughes, Inc.		6,110		342,588
Cameron International Corp.*		387,800		19,370,610
Core Laboratories NV(a)		73,141		8,801,788
Dril-Quip, Inc.*		230,659		17,698,465
FMC Technologies, Inc.*		110,644		5,182,565
Halliburton Co.		410,444		16,142,762
National Oilwell Varco, Inc.		228,218		14,955,125
Schlumberger Ltd.		324,753		27,737,154
Superior Energy Services, Inc.		390,426		7,867,084
Tenaris SA (Luxembourg), ADR		6,752		203,978
				118,302,119
Oil & Gas Exploration & Production — 39.6%
Africa Oil Corp. (Canada)*(a)		353,810		733,932
Africa Oil Corp., Reg. D (Canada)*		42,762		88,704
Anadarko Petroleum Corp.		305,164		25,176,030
Antero Resources Corp*(a)		153,140		6,214,421
Apache Corp.		4,853		304,137
Bankers Petroleum Ltd. (Canada)*		718,499		2,016,101
Bonanza Creek Energy, Inc.*		129,895		3,117,480
Cabot Oil & Gas Corp.		11,460		339,331
Canadian Natural Resources Ltd. (Canada)		155,758		4,809,807
Chesapeake Energy Corp.		18,166		355,509
Cimarex Energy Co.		111,386		11,806,916
Cobalt International Energy, Inc.*		378,694		3,366,590
Concho Resources, Inc.*		222,602		22,204,549
ConocoPhillips		5,324		367,675
Continental Resources, Inc.*(a)		6,705		257,204
Crew Energy Inc (Canada)*		438,928		2,236,576
Denbury Resources, Inc.(a)		86,783		705,546
Devon Energy Corp.		308,900		18,907,769
EOG Resources, Inc.		234,735		21,612,051
EQT Corp.		4,227		319,984
Genel Energy PLC (United Kingdom)*		294,586		3,196,650
Gulfport Energy Corp.*		161,551		6,743,139
Kosmos Energy Ltd.*		331,163		2,778,458
Laredo Petroleum, Inc.*		528,375		5,468,681
Lekoil Ltd. (Nigeria)*		820,280		356,379
Lekoil Ltd., Reg. D (Nigeria)*		2,947,579		1,280,607
Marathon Oil Corp.		429,803		12,159,127
MEG Energy Corp. (Canada)*		196,260		3,302,533
MEG Energy Corp. (Canada), 144A*(b)		131,600		2,214,478
Mobius Resources Inc., Reg. D (Canada)*		773,332		109,829

SEE NOTES TO FINANCIAL STATEMENTS.

A135

	NATURAL RESOURCES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil & Gas Exploration & Production (continued)
Mobius Resources, Inc. (Canada)*		321,393	$	45,645
Newfield Exploration Co.*		116,440		3,157,853
Noble Energy, Inc.		462,052		21,915,126
Nuvista Energy Ltd (Canada)*		383,330		2,444,892
Oasis Petroleum, Inc.*(a)		174,409		2,884,725
Oil Search Ltd. (Australia)		661,043		4,238,998
PDC Energy, Inc.*		214,453		8,850,475
Pioneer Natural Resources Co.		42,227		6,285,489
Range Resources Corp.		213,500		11,411,575
Rice Energy, Inc.*		270,745		5,677,523
Rosetta Resources, Inc.*		309,143		6,896,980
Seven Generations Energy Ltd. (Canada), 144A*(a)(b)		129,839		1,954,626
Seven Generations Energy Ltd. (Canada) (Class A Stock)*(a)		53,477		805,055
Southwestern Energy Co.*		114,777		3,132,264
Tullow Oil PLC (United Kingdom)		307,426		1,981,166
Whiting Petroleum Corp.*		189,346		6,248,418
Woodside Petroleum Ltd. (Australia)		4,863		150,400
				250,631,403
Oil & Gas Refining & Marketing — 6.0%
Marathon Petroleum Corp.		227,486		20,532,886
Phillips 66		178,318		12,785,401
Valero Energy Corp.		7,250		358,875
Western Refining, Inc.		115,345		4,357,734
				38,034,896
Oil & Gas Storage & Transportation — 1.7%
Cheniere Energy, Inc.*		85,836		6,042,854
Kinder Morgan, Inc.(a)		5,421		229,363
Williams Cos., Inc. (The)		106,498		4,786,020
				11,058,237
Packaged Foods & Meats — 0.4%
Adecoagro SA (Luxembourg)*		289,976		2,322,708
Precious Metals & Minerals — 0.1%
Platinum Group Metals Ltd. (Canada)*		1,234,422		601,040
Sedibelo Platinum Mines (South Africa), Private Placement (original cost $1,102,975; purchased 11/27/07)*(b)(c)		129,100		11,973
				613,013
Silver — 1.2%
Silver Wheaton Corp. (Canada)		224,465		4,563,373
Tahoe Resources, Inc.*		82,808		1,151,101
Tahoe Resources, Inc., 144A*(b)		116,000		1,612,498
				7,326,972
Specialty Chemicals — 0.9%
Ashland, Inc.		1,239		148,383
Flotek Industries, Inc.*(a)		260,973		4,888,024
PPG Industries, Inc.		1,532		354,122
				5,390,529
Steel — 1.3%
ArcelorMittal (Luxembourg), ADR(a)		29,587		326,345
Nucor Corp.		7,433		364,589

COMMON STOCKS (continued)	Shares		Value (Note 2)
Steel (continued)
Reliance Steel & Aluminum Co.		119,054	$	7,294,438
				7,985,372
TOTAL COMMON STOCKS (cost $533,094,897)				605,165,573
CONVERTIBLE PREFERRED STOCKS* — 0.1%
Steel
Manabi SA (Brazil) (Class A Preferred), Private Placement (original cost $4,587,721; purchased 05/25/11), 144A(b)(c)		3,660		505,080
Manabi SA (Brazil) (Class B Preferred), Private Placement (original cost $1,848,551; purchased 08/21/12), 144A(b)(c)		1,464		202,032
TOTAL CONVERTIBLE PREFERRED STOCKS (cost $6,436,272)				707,112
	Units
RIGHTS*
Oil, Gas & Consumable Fuels
Trident Resources Corp. CVR (Canada), Private Placement expiring 06/30/15 (original cost $0; purchased 06/30/10)(b)(c)		9,007		—	(d)
WARRANTS*
Gold
Algold Resources Ltd. (Canada), Private Placement expiring 06/23/15 (original cost $0; purchased 12/23/13), 144A(b)(c)		14,596		502
Crystallex International Corp. (Canada), Private Placement expiring 11/04/19 (original cost $0; purchased 11/04/09)(b)(c)		221,350		—	(d)
TOTAL WARRANTS (cost $0)				502
TOTAL LONG-TERM INVESTMENTS (cost $539,531,169)				605,873,187
	Shares
SHORT-TERM INVESTMENT — 11.0%
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $69,668,225; includes $42,659,785 of cash collateral for securities on loan)(Note 4)(e)(f)		69,668,225		69,668,225
TOTAL INVESTMENTS — 106.8% (cost $609,199,394)				675,541,412
LIABILITIES IN EXCESS OF OTHER ASSETS — (6.8)%				(43,064,940	)
NET ASSETS 100.0%			$	632,476,472

SEE NOTES TO FINANCIAL STATEMENTS.

A136

	NATURAL RESOURCES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

See the Glossary for abbreviations used in the Portfolio descriptions.

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $40,944,930; cash collateral of $42,659,785 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

(c) Indicates a restricted security; the aggregate original cost of such securities is $8,168,287. The aggregate value of, $1,606,314, is approximately 0.3% of net assets.

(d) Less than $0.50.

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

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

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

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

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

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

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

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aluminum	$	6,521,480	$	324,936	$	—
Coal & Consumable Fuels		11,547,400		—		—
Diversified Metals & Mining		33,598,747		13,784,294		—
Fertilizers & Agricultural Chemicals		7,675,460		—		—
Gold		34,903,047		2,651,283		—
Integrated Oil & Gas		37,952,892		—		—
Oil & Gas Drilling		14,540,785		—		—
Oil & Gas Equipment & Services		118,302,119		—		—
Oil & Gas Exploration & Production		235,504,649		15,126,754		—
Oil & Gas Refining & Marketing		38,034,896		—		—
Oil & Gas Storage & Transportation		11,058,237		—		—
Packaged Foods & Meats		2,322,708		—		—
Precious Metals & Minerals		601,040		—		11,973
Silver		5,714,474		1,612,498		—
Specialty Chemicals		5,390,529		—		—
Steel		7,985,372		—		—
Convertible Preferred Stocks
Steel		—		—		707,112
Rights
Oil, Gas & Consumable Fuels		—		—		—	**
Warrants
Gold		—		502		—	**
Affiliated Money Market Mutual Fund		69,668,225		—		—
Total	$	641,322,060	$	33,500,267	$	719,085

** Less than $.50

SEE NOTES TO FINANCIAL STATEMENTS.

A137

	NATURAL RESOURCES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

	Common Stock			Convertible Preferred Stocks			Rights			Warrants
Balance as of 12/31/13	$	13,044		$	5,002,366		$	—	**	$	—	**
Realized gain (loss)		—			—			—			—
Change in unrealized appreciation (depreciation)*		(1,071	)		(4,295,254	)		—			—
Purchases		—			—			—			—
Sales		—						—			—
Accrued discount/premium		—			—			—			—
Transfer into Level 3		—			—			—			—
Transfer out of Level 3		—			—			—			—
Balance as of 12/31/14	$	11,973		$	707,112		$	—	**	$	—	**

* Of which, $(4,296,325) was relating to securities held at the reporting period end.

** Less than $0.50

Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by the Board. One common stock was fair valued using last traded price adjusted for daily changes in indices deemed directly or indirectly correlated to the security. There were two convertible preferred stocks that were fair valued using a discount approach to address that lack of liquidity at such securities. For equity rights received through a bankruptcy distribution, the fair value is determined to be the residual value of the original bonds and other factors impacting the values of securities being issued pursuant to the reorganization. For certain warrants received in a private placement offering, the Manager has determined the fair value using the Black Scholes method with adjustment for volatility factor which is deemed to be a significant unobservable input. For the common stock, convertible preferred stocks and rights, the securities were private placement and therefore, the prices were a significant unobservable input.

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

Oil & Gas Exploration & Production	39.6	%
Oil & Gas Equipment & Services	18.7
Affiliated Money Market Mutual Fund (including 6.7% of collateral for securities on loan)	11.0
Diversified Metals & Mining	7.5
Oil & Gas Refining & Marketing	6.0
Integrated Oil & Gas	6.0
Gold	5.9
Oil & Gas Drilling	2.3
Coal & Consumable Fuels	1.8
Oil & Gas Storage & Transportation	1.7

Steel	1.4	%
Fertilizers & Agricultural Chemicals	1.2
Silver	1.2
Aluminum	1.1
Specialty Chemicals	0.9
Packaged Foods & Meats	0.4
Precious Metals & Minerals	0.1
	106.8
Liabilities in excess of other assets	(6.8	)
	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 December 31, 2014 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Equity contract	Unaffiliated Investments	$	502	—	$	—

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

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

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Warrants*
Equity contracts	$502

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

SEE NOTES TO FINANCIAL STATEMENTS.

A138

NATURAL RESOURCES PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014

ASSETS
Investments at value, including securities on loan of $40,944,930:
Unaffiliated investments (cost $539,531,169)	$	605,873,187
Affiliated investments (cost $69,668,225)		69,668,225
Cash		23,129
Dividends receivable		272,626
Tax reclaim receivable		218,057
Receivable for Series shares sold		4,075
Prepaid expenses		7,523
Total Assets		676,066,822
LIABILITIES
Payable to broker for collateral for securities on loan		42,659,785
Payable for Series shares repurchased		533,850
Management fee payable		214,888
Accrued expenses		166,365
Distribution fee payable		9,081
Administration fee payable		5,455
Affiliated transfer agent fee payable		926
Total Liabilities		43,590,350
NET ASSETS	$	632,476,472
Net assets were comprised of:
Paid-in capital	$	510,264,969
Retained earnings		122,211,503
Net assets, December 31, 2014	$	632,476,472
Class I:
Net asset value and redemption price per share $588,974,551 / 19,714,898 outstanding shares of beneficial interest	$	29.87
Class II:
Net asset value and redemption price per share $43,501,921 / 1,482,111 outstanding shares of beneficial interest	$	29.35

STATEMENT OF OPERATIONS

Year Ended December 31, 2014

NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $293,483)	$	8,539,784
Affiliated income from securities loaned, net		164,527
Affiliated dividend income		32,068
Total income		8,736,379
EXPENSES
Management fee		3,796,593
Distribution fee—Class II		130,749
Administration fee—Class II		78,450
Custodian’s fees and expenses		131,000
Shareholders’ reports		131,000
Audit fee		30,000
Trustees’ fees		17,000
Insurance expenses		12,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		12,000
Legal fees and expenses		10,000
Commitment fee on syndicated credit agreement		2,000
Miscellaneous		53,331
Total expenses		4,404,123
Less: Management fee waiver		(421,844	)
Net expenses		3,982,279
NET INVESTMENT INCOME		4,754,100
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain on:
Investment transactions		39,019,781
Foreign currency transactions		5,224
		39,025,005
Net change in unrealized depreciation on:
Investments		(199,647,339	)
Foreign currencies		(17,467	)
		(199,664,806	)
NET LOSS ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(160,639,801	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(155,885,701	)

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	4,754,100		$	4,450,112
Net realized gain on investment and foreign currency transactions		39,025,005			11,477,058
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(199,664,806	)		66,874,621
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(155,885,701	)		82,801,791
SERIES SHARE TRANSACTIONS (Note 7)
Series shares sold		36,365,649			22,409,085
Series shares repurchased		(94,184,529	)		(122,377,266	)
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(57,818,880	)		(99,968,181	)
TOTAL DECREASE		(213,704,581	)		(17,166,390	)
NET ASSETS:
Beginning of year		846,181,053			863,347,443
End of year	$	632,476,472		$	846,181,053

SEE NOTES TO FINANCIAL STATEMENTS.

A139

	SMALL CAPITALIZATION STOCK  PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2014

LONG-TERM INVESTMENTS — 98.5%
COMMON STOCKS — 97.8%	Shares		Value (Note 2)
Aerospace & Defense — 2.6%
AAR Corp.		39,871	$	1,107,616
Aerovironment, Inc.*		21,314		580,807
American Science & Engineering, Inc.		8,316		431,600
Cubic Corp.		23,073		1,214,563
Curtiss-Wright Corp.		50,902		3,593,172
Engility Holdings, Inc.*		18,600		796,080
GenCorp, Inc.*(a)		62,275		1,139,632
Moog, Inc. (Class A Stock)*		43,094		3,190,249
National Presto Industries, Inc.(a)		5,199		301,750
Orbital Sciences Corp.*		64,140		1,724,725
TASER International, Inc.*(a)		55,600		1,472,288
Teledyne Technologies, Inc.*		38,696		3,975,627
				19,528,109
Air Freight & Logistics — 0.7%
Atlas Air Worldwide Holdings, Inc.*		26,200		1,291,660
Forward Air Corp.		32,256		1,624,735
Hub Group, Inc. (Class A Stock)*		36,770		1,400,201
UTi Worldwide, Inc.*(a)		97,000		1,170,790
				5,487,386
Airlines — 0.4%
Allegiant Travel Co.		14,494		2,178,883
SkyWest, Inc.		53,860		715,261
				2,894,144
Auto Components — 0.6%
Dorman Products, Inc.*(a)		32,500		1,568,775
Drew Industries, Inc.*		25,089		1,281,295
Standard Motor Products, Inc.		21,999		838,602
Superior Industries International, Inc.		24,318		481,253
				4,169,925
Automobiles — 0.1%
Winnebago Industries, Inc.		28,631		623,011
Banks — 7.8%
Bank of the Ozarks, Inc.		68,472		2,596,458
Banner Corp.		20,700		890,514
BBCN Bancorp, Inc.		83,982		1,207,661
Boston Private Financial Holdings, Inc.		87,302		1,175,958
Cardinal Financial Corp.		33,800		670,254
Central Pacific Financial Corp.		27,700		595,550
City Holding Co.		16,144		751,180
Columbia Banking System, Inc.		56,508		1,560,186
Community Bank System, Inc.		42,996		1,639,437
CVB Financial Corp.		101,600		1,627,632
First BanCorp*		110,372		647,884
First Commonwealth Financial Corp.		96,210		887,056
First Financial Bancorp		64,803		1,204,688
First Financial Bankshares, Inc.(a)		67,878		2,028,195
First Midwest Bancorp, Inc.		79,740		1,364,351
FNB Corp.		183,400		2,442,888
Glacier Bancorp, Inc.		79,473		2,206,965
Hanmi Financial Corp.		33,636		733,601
Home BancShares, Inc.		62,304		2,003,697
Independent Bank Corp.		25,406		1,087,631
LegacyTexas Financial Group, Inc.		38,400		915,840
MB Financial, Inc.		68,183		2,240,493

COMMON STOCKS (continued)	Shares		Value (Note 2)
Banks (continued)
National Penn Bancshares, Inc.		130,676	$	1,375,365
NBT Bancorp, Inc.		46,210		1,213,937
OFG Bancorp		47,300		787,545
Old National Bancorp		112,347		1,671,723
Pinnacle Financial Partners, Inc.		35,071		1,386,707
PrivateBancorp, Inc.		74,449		2,486,597
S&T Bancorp, Inc.		31,573		941,191
Simmons First National Corp. (Class A Stock)		16,778		682,026
Sterling Bancorp		88,558		1,273,464
Susquehanna Bancshares, Inc.		191,709		2,574,652
Texas Capital Bancshares, Inc.*		48,400		2,629,572
Tompkins Financial Corp.		12,564		694,789
UMB Financial Corp.		39,972		2,274,007
United Bankshares, Inc.		67,397		2,524,018
United Community Banks, Inc.		47,787		905,086
Westamerica Bancorporation(a)		27,400		1,343,148
Wilshire Bancorp, Inc.		74,613		755,830
Wintrust Financial Corp.		49,513		2,315,228
				58,313,004
Beverages — 0.4%
Boston Beer Co., Inc. (The) (Class A Stock)*(a)		9,425		2,728,915
Biotechnology — 0.7%
Acorda Therapeutics, Inc.*(a)		44,300		1,810,541
Emergent Biosolutions, Inc.*		31,057		845,682
Ligand Pharmaceuticals, Inc.*(a)		19,300		1,026,953
Momenta Pharmaceuticals, Inc.*		49,000		589,960
Repligen Corp.*		32,500		643,500
Spectrum Pharmaceuticals, Inc.*		61,200		424,116
				5,340,752
Building Products — 1.0%
AAON, Inc.		44,389		993,870
American Woodmark Corp.*		13,100		529,764
Apogee Enterprises, Inc.		30,638		1,298,132
Gibraltar Industries, Inc.*		30,268		492,157
Griffon Corp.		43,429		577,606
PGT, Inc.*		49,600		477,648
Quanex Building Products Corp.		39,788		747,218
Simpson Manufacturing Co., Inc.		43,983		1,521,812
Universal Forest Products, Inc.		21,164		1,125,925
				7,764,132
Capital Markets — 1.9%
Calamos Asset Management, Inc. (Class A Stock)		18,000		239,760
Evercore Partners, Inc. (Class A Stock)		38,100		1,995,297
Financial Engines, Inc.(a)		55,000		2,010,250
FXCM, Inc. (Class A Stock)		44,800		742,336
Greenhill & Co., Inc.		28,000		1,220,800
HFF, Inc. (Class A Stock)		34,800		1,250,016
Investment Technology Group, Inc.*		36,866		767,550
Piper Jaffray Cos.*(a)		17,265		1,002,924
Stifel Financial Corp.*		69,930		3,567,828
Virtus Investment Partners, Inc.		7,510		1,280,380
				14,077,141

SEE NOTES TO FINANCIAL STATEMENTS.

A140

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Chemicals — 2.4%
A. Schulman, Inc.		30,966	$	1,255,052
American Vanguard Corp.		26,648		309,650
Balchem Corp.		32,583		2,171,331
Calgon Carbon Corp.*		56,254		1,168,958
Flotek Industries, Inc.*(a)		53,100		994,563
FutureFuel Corp.		23,200		302,064
H.B. Fuller Co.		53,218		2,369,797
Hawkins, Inc.		10,000		433,300
Innophos Holdings, Inc.		23,000		1,344,350
Intrepid Potash, Inc.*(a)		59,400		824,472
Koppers Holdings, Inc.		21,700		563,766
Kraton Performance Polymers, Inc.*		34,800		723,492
LSB Industries, Inc.*		20,500		644,520
OM Group, Inc.		32,556		970,169
Quaker Chemical Corp.		14,098		1,297,580
Rayonier Advanced Materials, Inc.		45,100		1,005,730
Stepan Co.		20,370		816,430
Tredegar Corp.		26,935		605,768
Zep, Inc.		23,807		360,676
				18,161,668
Commercial Services & Supplies — 2.6%
ABM Industries, Inc.		54,903		1,572,971
Brady Corp. (Class A Stock)		50,322		1,375,803
Brink’s Co. (The)		51,400		1,254,674
G&K Services, Inc. (Class A Stock)		21,119		1,496,281
Healthcare Services Group, Inc.(a)		74,876		2,315,915
Interface, Inc.		69,902		1,151,286
Matthews International Corp. (Class A Stock)		31,300		1,523,371
Mobile Mini, Inc.		48,897		1,980,817
Tetra Tech, Inc.		66,188		1,767,220
UniFirst Corp.		16,630		2,019,714
United Stationers, Inc.		41,142		1,734,547
US Ecology, Inc.		23,000		922,760
Viad Corp.		21,147		563,779
				19,679,138
Communications Equipment — 1.2%
ADTRAN, Inc.		57,500		1,253,500
Bel Fuse, Inc. (Class B Stock)		11,322		309,543
Black Box Corp.		16,393		391,793
CalAmp Corp.*(a)		38,000		695,400
Comtech Telecommunications Corp.		16,959		534,548
Digi International, Inc.*		25,664		238,419
Harmonic, Inc.*		92,124		645,789
Ixia*		60,300		678,375
NETGEAR, Inc.*		36,646		1,303,865
ViaSat, Inc.*(a)		45,615		2,875,113
				8,926,345
Construction & Engineering — 0.8%
Aegion Corp.*		39,537		735,784
Comfort Systems USA, Inc.		39,384		674,254
Dycom Industries, Inc.*		36,031		1,264,328
EMCOR Group, Inc.		68,625		3,053,126
Orion Marine Group, Inc.*		28,700		317,135
				6,044,627

COMMON STOCKS (continued)	Shares		Value (Note 2)
Construction Materials — 0.2%
Headwaters, Inc.*		77,768	$	1,165,742
Consumer Finance — 1.2%
Cash America International, Inc.		30,644		693,167
Encore Capital Group, Inc.*(a)		25,400		1,127,760
Enova International, Inc.*		28,039		624,148
EZCORP, Inc. (Class A Stock)*(a)		51,111		600,554
First Cash Financial Services, Inc.*		30,025		1,671,492
Green Dot Corp. (Class A Stock)*		38,200		782,718
PRA Group, Inc.*(a)		53,067		3,074,171
World Acceptance Corp.*(a)		9,552		758,907
				9,332,917
Containers & Packaging — 0.1%
Myers Industries, Inc.		26,220		461,472
Distributors — 0.4%
Pool Corp.		46,055		2,921,729
VOXX International Corp.*		20,657		180,956
				3,102,685
Diversified Consumer Services — 0.5%
American Public Education, Inc.*		18,333		675,938
Capella Education Co.		11,586		891,658
Career Education Corp.*		62,200		432,912
Regis Corp.*		47,300		792,748
Strayer Education, Inc.*(a)		11,600		861,648
Universal Technical Institute, Inc.		22,306		219,491
				3,874,395
Diversified Financial Services — 0.6%
Interactive Brokers Group, Inc. (Class A Stock)		62,000		1,807,920
MarketAxess Holdings, Inc.		39,600		2,839,716
				4,647,636
Diversified Telecommunication Services — 0.6%
8x8, Inc.*		93,800		859,208
Atlantic Tele-Network, Inc.		10,600		716,454
Cincinnati Bell, Inc.*		221,400		706,266
Consolidated Communications Holdings, Inc.		49,700		1,383,151
General Communication, Inc. (Class A Stock)*		32,224		443,080
Lumos Networks Corp.		19,421		326,661
				4,434,820
Electric Utilities — 0.9%
ALLETE, Inc.		40,697		2,244,033
El Paso Electric Co.		42,808		1,714,888
UIL Holdings Corp.		59,911		2,608,525
				6,567,446
Electrical Equipment — 1.1%
AZZ, Inc.		27,142		1,273,503
Encore Wire Corp.		19,831		740,291
EnerSys		48,100		2,968,732
Franklin Electric Co., Inc.		41,900		1,572,507
General Cable Corp.		51,400		765,860
Powell Industries, Inc.		9,772		479,512
Vicor Corp.*		17,531		212,125
				8,012,530

SEE NOTES TO FINANCIAL STATEMENTS.

A141

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Electronic Equipment, Instruments & Components — 4.1%
Agilysys, Inc.*		14,932	$	187,994
Anixter International, Inc.*		28,864		2,553,309
Badger Meter, Inc.		15,307		908,471
Benchmark Electronics, Inc.*		55,910		1,422,350
Checkpoint Systems, Inc.*		43,839		601,910
Coherent, Inc.*		26,600		1,615,152
CTS Corp.		35,264		628,757
Daktronics, Inc.		40,908		511,759
DTS, Inc.*		18,085		556,114
Electro Scientific Industries, Inc.		28,041		217,598
Fabrinet (Thailand)*		30,900		548,166
FARO Technologies, Inc.*		18,284		1,146,041
II-VI, Inc.*		54,662		746,136
Insight Enterprises, Inc.*		43,335		1,121,943
Littelfuse, Inc.		23,825		2,303,163
Mercury Systems, Inc.*		33,508		466,431
Methode Electronics, Inc.		40,466		1,477,414
MTS Systems Corp.		16,035		1,203,106
Newport Corp.*		42,108		804,684
OSI Systems, Inc.*		19,800		1,401,246
Park Electrochemical Corp.		22,144		552,050
Plexus Corp.*		35,620		1,467,900
Rofin-Sinar Technologies, Inc.*		29,700		854,469
Rogers Corp.*		19,431		1,582,461
Sanmina Corp.*		87,300		2,054,169
ScanSource, Inc.*		30,233		1,214,157
SYNNEX Corp.(a)		29,550		2,309,628
TTM Technologies, Inc.*(a)		55,789		420,091
				30,876,669
Energy Equipment & Services — 1.9%
Basic Energy Services, Inc.*		36,817		258,087
Bristow Group, Inc.		37,255		2,451,006
C&J Energy Services, Inc.*		48,300		638,043
Era Group, Inc.*		20,371		430,847
Exterran Holdings, Inc.		72,200		2,352,276
Geospace Technologies Corp.*		13,910		368,615
Gulf Island Fabrication, Inc.		14,077		272,953
GulfMark Offshore, Inc. (Class A Stock)		27,400		669,108
Hornbeck Offshore Services, Inc.*		34,215		854,349
ION Geophysical Corp.*		134,445		369,724
Matrix Service Co.*		27,973		624,357
Newpark Resources, Inc.*		88,000		839,520
Paragon Offshore PLC(a)		89,700		248,469
Pioneer Energy Services Corp.*		66,317		367,396
SEACOR Holdings, Inc.*(a)		18,671		1,378,107
Tesco Corp.		36,600		469,212
TETRA Technologies, Inc.*(a)		83,841		560,058
U.S. Silica Holdings, Inc.(a)		57,000		1,464,330
				14,616,457
Food & Staples Retailing — 0.8%
Andersons, Inc. (The)		28,524		1,515,765
Casey’s General Stores, Inc.		40,965		3,699,959
SpartanNash Co.		39,706		1,037,915
				6,253,639

COMMON STOCKS (continued)	Shares		Value (Note 2)
Food Products — 1.7%
B&G Foods, Inc.		56,800	$	1,698,320
Cal-Maine Foods, Inc.(a)		31,790		1,240,764
Calavo Growers, Inc.		16,390		775,247
Darling Ingredients, Inc.*		174,320		3,165,651
Diamond Foods, Inc.*(a)		28,449		803,115
J&J Snack Foods Corp.		15,818		1,720,524
Sanderson Farms, Inc.(a)		21,735		1,826,283
Seneca Foods Corp. (Class A Stock)*		7,500		202,725
Snyder’s-Lance, Inc.		55,016		1,680,739
				13,113,368
Gas Utilities — 2.0%
Laclede Group, Inc. (The)		45,814		2,437,305
New Jersey Resources Corp.		44,804		2,742,005
Northwest Natural Gas Co.		28,765		1,435,374
Piedmont Natural Gas Co., Inc.		82,903		3,267,207
South Jersey Industries, Inc.		35,622		2,099,204
Southwest Gas Corp.		49,311		3,047,913
				15,029,008
Health Care Equipment & Supplies — 3.9%
Abaxis, Inc.		22,412		1,273,674
ABIOMED, Inc.*(a)		39,000		1,484,340
Analogic Corp.		13,133		1,111,183
AngioDynamics, Inc.*		27,000		513,270
Anika Therapeutics, Inc.*		15,400		627,396
Cantel Medical Corp.		37,362		1,616,280
CONMED Corp.		29,149		1,310,539
CryoLife, Inc.		26,353		298,579
Cyberonics, Inc.*		27,797		1,547,737
Cynosure, Inc. (Class A Stock)*		22,990		630,386
Greatbatch, Inc.*		26,544		1,308,619
Haemonetics Corp.*		54,294		2,031,681
ICU Medical, Inc.*		14,392		1,178,705
Integra LifeSciences Holdings Corp.*		26,802		1,453,472
Invacare Corp.		30,702		514,566
Masimo Corp.*		50,400		1,327,536
Meridian Bioscience, Inc.		43,975		723,829
Merit Medical Systems, Inc.*		45,748		792,813
Natus Medical, Inc.*		34,425		1,240,677
Neogen Corp.*		39,020		1,935,002
NuVasive, Inc.*		49,900		2,353,284
SurModics, Inc.*		13,252		292,869
West Pharmaceutical Services, Inc.		75,234		4,005,458
				29,571,895
Health Care Providers & Services — 3.3%
Air Methods Corp.*(a)		37,816		1,665,039
Almost Family, Inc.*		8,252		238,895
Amedisys, Inc.*		35,159		1,031,917
AMN Healthcare Services, Inc.*		49,099		962,340
Amsurg Corp.*		50,974		2,789,807
Bio-Reference Laboratories, Inc.*		26,170		840,842
Chemed Corp.		18,011		1,903,222
CorVel Corp.*		9,490		353,218
Cross Country Healthcare, Inc.*		31,063		387,666
Ensign Group, Inc. (The)		21,300		945,507
ExamWorks Group, Inc.*		34,300		1,426,537
Gentiva Health Services, Inc.*		32,992		628,498

SEE NOTES TO FINANCIAL STATEMENTS.

A142

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Health Care Providers & Services (continued)
Hanger, Inc.*		37,409	$	819,257
Healthways, Inc.*(a)		36,986		735,282
IPC Healthcare, Inc.*(a)		18,305		840,016
Kindred Healthcare, Inc.(a)		73,500		1,336,230
Landauer, Inc.		10,168		347,136
LHC Group, Inc.*		12,898		402,160
Magellan Health, Inc.*		29,341		1,761,340
Molina Healthcare, Inc.*		33,322		1,783,727
MWI Veterinary Supply, Inc.*(a)		13,696		2,327,087
PharMerica Corp.*		31,895		660,545
Providence Service Corp. (The)*		12,600		459,144
				24,645,412
Health Care Technology — 1.0%
Computer Programs & Systems, Inc.		11,036		670,437
HealthStream, Inc.*		22,600		666,248
MedAssets, Inc.*		63,700		1,258,712
Medidata Solutions, Inc.*(a)		57,400		2,740,850
Omnicell, Inc.*		37,722		1,249,353
Quality Systems, Inc.		46,434		723,906
				7,309,506
Hotels, Restaurants & Leisure — 4.0%
Biglari Holdings, Inc.*		1,836		733,500
BJ’s Restaurants, Inc.*		22,972		1,153,424
Bob Evans Farms, Inc.		25,000		1,279,500
Boyd Gaming Corp.*		82,100		1,049,238
Buffalo Wild Wings, Inc.*(a)		20,065		3,619,325
Cracker Barrel Old Country Store, Inc.		25,378		3,572,207
DineEquity, Inc.		17,505		1,814,218
Interval Leisure Group, Inc.		41,736		871,865
Jack in the Box, Inc.		40,917		3,271,723
Marcus Corp. (The)		19,358		358,317
Marriott Vacations Worldwide Corp.		30,100		2,243,654
Monarch Casino & Resort, Inc.*		10,531		174,709
Papa John’s International, Inc.		31,530		1,759,374
Pinnacle Entertainment, Inc.*		63,213		1,406,489
Red Robin Gourmet Burgers, Inc.*		14,863		1,144,080
Ruby Tuesday, Inc.*		65,084		445,175
Ruth’s Hospitality Group, Inc.		37,048		555,720
Scientific Games Corp. (Class A Stock)*(a)		51,700		658,141
Sonic Corp.		53,414		1,454,463
Texas Roadhouse, Inc.		66,130		2,232,549
				29,797,671
Household Durables — 1.5%
Ethan Allen Interiors, Inc.		27,499		851,644
Helen of Troy Ltd.*		28,310		1,841,849
iRobot Corp.*(a)		31,200		1,083,264
La-Z-Boy, Inc.		54,601		1,465,491
M/I Homes, Inc.*		25,970		596,271
Meritage Homes Corp.*		39,297		1,414,299
Ryland Group, Inc. (The)		48,900		1,885,584
Standard Pacific Corp.*		159,722		1,164,373
Universal Electronics, Inc.*		16,754		1,089,513
				11,392,288

COMMON STOCKS (continued)	Shares		Value (Note 2)
Household Products — 0.2%
Central Garden & Pet Co. (Class A Stock)*		44,988	$	429,635
WD-40 Co.		14,609		1,242,934
				1,672,569
Insurance — 2.6%
American Equity Investment Life Holding Co.		80,000		2,335,200
AMERISAFE, Inc.		19,914		843,557
eHealth, Inc.*		18,791		468,272
Employers Holdings, Inc.		33,215		780,885
HCI Group, Inc.		9,700		419,428
Horace Mann Educators Corp.		44,400		1,473,192
Infinity Property & Casualty Corp.		12,189		941,722
Meadowbrook Insurance Group, Inc.		48,500		410,310
Montpelier Re Holdings Ltd. (Bermuda)		39,000		1,396,980
Navigators Group, Inc. (The)*		11,518		844,730
ProAssurance Corp.		60,666		2,739,070
RLI Corp.		39,310		1,941,914
Safety Insurance Group, Inc.		13,360		855,174
Selective Insurance Group, Inc.		59,807		1,624,956
Stewart Information Services Corp.		23,402		866,810
United Fire Group, Inc.		22,261		661,819
Universal Insurance Holdings, Inc.		30,800		629,860
				19,233,879
Internet & Catalog Retail — 0.3%
Blue Nile, Inc.*		12,480		449,405
FTD Cos., Inc.*		20,206		703,573
Nutrisystem, Inc.		30,528		596,822
PetMed Express, Inc.(a)		21,181		304,371
				2,054,171
Internet Software & Services — 1.9%
Blucora, Inc.*(a)		43,012		595,716
comScore, Inc.*		36,277		1,684,341
Dealertrack Technologies, Inc.*(a)		46,883		2,077,386
Dice Holdings, Inc.*		37,200		372,372
Digital River, Inc.*		33,600		830,928
j2 Global, Inc.(a)		48,078		2,980,836
Liquidity Services, Inc.*(a)		25,200		205,884
LivePerson, Inc.*		51,600		727,560
LogMeIn, Inc.*		25,800		1,272,972
Monster Worldwide, Inc.*		92,900		429,198
NIC, Inc.		64,100		1,153,159
Perficient, Inc.*		36,314		676,530
QuinStreet, Inc.*		36,100		219,127
Stamps.com, Inc.*		15,420		740,006
XO Group, Inc.*		25,295		460,622
				14,426,637
IT Services — 2.3%
CACI International, Inc. (Class A Stock)*		25,244		2,175,528
Cardtronics, Inc.*		47,100		1,817,118
Ciber, Inc.*		73,923		262,427
CSG Systems International, Inc.		36,324		910,643
ExlService Holdings, Inc.*		32,900		944,559

SEE NOTES TO FINANCIAL STATEMENTS.

A143

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
IT Services (continued)
Forrester Research, Inc.		11,562	$	455,080
Heartland Payment Systems, Inc.		38,411		2,072,273
iGATE Corp.*		37,600		1,484,448
ManTech International Corp. (Class A Stock)		24,800		749,704
MAXIMUS, Inc.		69,772		3,826,296
Sykes Enterprises, Inc.*		40,770		956,872
TeleTech Holdings, Inc.*		18,667		442,035
Virtusa Corp.*		28,400		1,183,428
				17,280,411
Leisure Products — 0.2%
Arctic Cat, Inc.		13,657		484,824
Callaway Golf Co.		81,480		627,396
Sturm Ruger & Co., Inc.		20,627		714,313
				1,826,533
Life Sciences Tools & Services — 0.8%
Affymetrix, Inc.*(a)		77,300		762,951
Albany Molecular Research, Inc.*(a)		25,100		408,628
Cambrex Corp.*		32,432		701,180
Luminex Corp.*		40,300		756,028
PAREXEL International Corp.*		58,257		3,236,759
				5,865,546
Machinery — 3.6%
Actuant Corp. (Class A Stock)		68,864		1,875,855
Albany International Corp. (Class A Stock)		30,304		1,151,249
Astec Industries, Inc.		20,010		786,593
Barnes Group, Inc.		51,816		1,917,710
Briggs & Stratton Corp.		48,046		981,099
CIRCOR International, Inc.		18,788		1,132,541
EnPro Industries, Inc.*		25,378		1,592,723
ESCO Technologies, Inc.		27,821		1,026,595
Federal Signal Corp.		65,900		1,017,496
Hillenbrand, Inc.		66,548		2,295,906
John Bean Technologies Corp.		30,847		1,013,632
Lindsay Corp.(a)		12,979		1,112,820
Lydall, Inc.*		18,156		595,880
Mueller Industries, Inc.		60,098		2,051,746
Standex International Corp.		13,570		1,048,418
Tennant Co.		19,500		1,407,315
Titan International, Inc.		56,700		602,721
Toro Co. (The)		58,966		3,762,621
Watts Water Technologies, Inc. (Class A Stock)		30,121		1,910,876
				27,283,796
Marine — 0.2%
Matson, Inc.		45,500		1,570,660
Media — 0.3%
EW Scripps Co. (The) (Class A Stock)*(a)		31,401		701,812
Harte-Hanks, Inc.		45,000		348,300
Scholastic Corp.		28,400		1,034,328
Sizmek, Inc.*		22,700		142,102
				2,226,542

COMMON STOCKS (continued)	Shares		Value (Note 2)
Metals & Mining — 1.4%
A.M. Castle & Co.*(a)		17,983	$	143,504
AK Steel Holding Corp.*(a)		186,900		1,110,186
Century Aluminum Co.*(a)		54,563		1,331,337
Globe Specialty Metals, Inc.		67,900		1,169,917
Haynes International, Inc.		13,200		640,200
Kaiser Aluminum Corp.		18,900		1,350,027
Materion Corp.		21,378		753,147
Olympic Steel, Inc.		9,638		171,364
RTI International Metals, Inc.*		32,411		818,702
Stillwater Mining Co.*(a)		127,200		1,874,928
SunCoke Energy, Inc.		69,900		1,351,866
				10,715,178
Multi-Utilities — 0.6%
Avista Corp.		60,703		2,145,851
NorthWestern Corp.		48,600		2,749,788
				4,895,639
Multiline Retail — 0.2%
Fred’s, Inc. (Class A Stock)		36,666		638,355
Tuesday Morning Corp.*(a)		46,332		1,005,404
				1,643,759
Oil, Gas & Consumable Fuels — 1.5%
Approach Resources, Inc.*(a)		38,100		243,459
Arch Coal, Inc.(a)		222,200		395,516
Bill Barrett Corp.*(a)		52,400		596,836
Bonanza Creek Energy, Inc.*		32,600		782,400
Carrizo Oil & Gas, Inc.*		44,900		1,867,840
Cloud Peak Energy, Inc.*		64,500		592,110
Comstock Resources, Inc.(a)		47,100		320,751
Contango Oil & Gas Co.*		16,800		491,232
Green Plains, Inc.		36,300		899,514
Northern Oil & Gas, Inc.*(a)		60,400		341,260
PDC Energy, Inc.*		37,926		1,565,206
Penn Virginia Corp.*(a)		73,798		492,971
PetroQuest Energy, Inc.*		62,045		232,048
Rex Energy Corp.*(a)		51,000		260,100
Stone Energy Corp.*(a)		59,394		1,002,571
Swift Energy Co.*(a)		46,244		187,288
Synergy Resources Corp.*		71,200		892,848
				11,163,950
Paper & Forest Products — 1.4%
Boise Cascade Co.*		41,800		1,552,870
Clearwater Paper Corp.*		20,680		1,417,614
Deltic Timber Corp.		11,791		806,504
KapStone Paper & Packaging Corp.		89,500		2,623,245
Neenah Paper, Inc.		17,678		1,065,453
P.H. Glatfelter Co.		45,400		1,160,878
Schweitzer-Mauduit International, Inc.		32,276		1,365,275
Wausau Paper Corp.		52,667		598,824
				10,590,663
Personal Products — 0.1%
Inter Parfums, Inc.		18,000		494,100
Medifast, Inc.*		11,900		399,245
				893,345

SEE NOTES TO FINANCIAL STATEMENTS.

A144

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Pharmaceuticals — 1.6%
Akorn, Inc.*(a)		78,900	$	2,856,180
Depomed, Inc.*(a)		62,000		998,820
Impax Laboratories, Inc.*(a)		70,200		2,223,936
Lannett Co., Inc.*		28,000		1,200,640
Medicines Co. (The)*		69,300		1,917,531
Prestige Brands Holdings, Inc.*		55,200		1,916,544
Sagent Pharmaceuticals, Inc.*		23,900		600,129
				11,713,780
Professional Services — 1.5%
CDI Corp.		15,288		270,750
Exponent, Inc.		13,640		1,125,300
Heidrick & Struggles International, Inc.		17,314		399,088
Insperity, Inc.		23,879		809,259
Kelly Services, Inc. (Class A Stock)		31,139		529,986
Korn/Ferry International*		53,200		1,530,032
Navigant Consulting, Inc.*		51,200		786,944
On Assignment, Inc.*		49,986		1,659,035
Resources Connection, Inc.		40,100		659,645
TrueBlue, Inc.*		44,918		999,426
WageWorks, Inc.*(a)		34,800		2,247,036
				11,016,501
Real Estate Investment Trusts (REITs) — 8.2%
Acadia Realty Trust		71,505		2,290,305
Agree Realty Corp.		18,300		568,947
American Assets Trust, Inc.		39,300		1,564,533
Associated Estates Realty Corp.		61,000		1,415,810
Aviv REIT, Inc.		26,000		896,480
Capstead Mortgage Corp.		101,400		1,245,192
CareTrust REIT, Inc.		28,255		348,384
Cedar Realty Trust, Inc.		72,566		532,635
Chesapeake Lodging Trust		58,200		2,165,622
CoreSite Realty Corp.		23,000		898,150
Cousins Properties, Inc.		217,800		2,487,276
DiamondRock Hospitality Co.		207,070		3,079,131
EastGroup Properties, Inc.		33,863		2,144,205
Education Realty Trust, Inc.		50,333		1,841,685
EPR Properties		60,570		3,490,649
Franklin Street Properties Corp.		93,802		1,150,951
Geo Group, Inc. (The)		78,473		3,167,170
Getty Realty Corp.		27,600		502,596
Government Properties Income Trust		74,300		1,709,643
Healthcare Realty Trust, Inc.		104,000		2,841,280
Inland Real Estate Corp.		93,135		1,019,828
Kite Realty Group Trust(a)		88,172		2,534,063
Lexington Realty Trust(a)		220,616		2,422,364
LTC Properties, Inc.		37,026		1,598,412
Medical Properties Trust, Inc.		181,566		2,501,980
Parkway Properties, Inc.		88,948		1,635,754
Pennsylvania Real Estate Investment Trust		72,922		1,710,750
Post Properties, Inc.		57,661		3,388,737
PS Business Parks, Inc.		20,602		1,638,683
Retail Opportunity Investments Corp.		98,200		1,648,778
Sabra Health Care REIT, Inc.		57,800		1,755,386
Saul Centers, Inc.(a)		11,900		680,561
Sovran Self Storage, Inc.		35,797		3,122,214

COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Investment Trusts (REITs) (continued)
Universal Health Realty Income Trust		13,700	$	659,244
Urstadt Biddle Properties, Inc. (Class A Stock)		29,250		639,990
				61,297,388
Real Estate Management & Development — 0.1%
Forestar Group, Inc.*(a)		36,856		567,582
Road & Rail — 1.0%
ArcBest Corp.(a)		25,595		1,186,840
Celadon Group, Inc.		23,100		524,139
Heartland Express, Inc.		58,548		1,581,382
Knight Transportation, Inc.		64,388		2,167,300
Roadrunner Transportation Systems, Inc.*		29,400		686,490
Saia, Inc.*		26,200		1,450,432
				7,596,583
Semiconductors & Semiconductor Equipment — 3.4%
Advanced Energy Industries, Inc.*		39,697		940,819
Brooks Automation, Inc.		70,505		898,939
Cabot Microelectronics Corp.*		25,311		1,197,717
CEVA, Inc.*		21,300		386,382
Cirrus Logic, Inc.*		66,700		1,572,119
Cohu, Inc.		26,897		320,074
Diodes, Inc.*		38,870		1,071,646
DSP Group, Inc.*		20,628		224,226
Entropic Communications, Inc.*		90,900		229,977
Exar Corp.*		49,723		507,175
Kopin Corp.*		63,196		228,770
Kulicke & Soffa Industries, Inc. (Singapore)*		81,132		1,173,169
Micrel, Inc.		47,202		684,901
Microsemi Corp.*		100,619		2,855,567
MKS Instruments, Inc.		56,185		2,056,371
Monolithic Power Systems, Inc.		38,200		1,900,068
Nanometrics, Inc.*		25,500		428,910
Pericom Semiconductor Corp.*		20,760		281,090
Power Integrations, Inc.		31,300		1,619,462
Rudolph Technologies, Inc.*(a)		34,694		354,920
Synaptics, Inc.*		39,079		2,690,198
Tessera Technologies, Inc.		49,577		1,772,873
Ultratech, Inc.*(a)		29,811		553,292
Veeco Instruments, Inc.*(a)		42,542		1,483,865
				25,432,530
Software — 2.6%
Blackbaud, Inc.		49,083		2,123,331
Bottomline Technologies (de), Inc.*		40,500		1,023,840
Ebix, Inc.(a)		30,657		520,863
Epiq Systems, Inc.		32,617		557,098
Interactive Intelligence Group, Inc.*		17,779		851,614
Manhattan Associates, Inc.*		79,072		3,219,812
MicroStrategy, Inc. (Class A Stock)*		9,660		1,568,784
Monotype Imaging Holdings, Inc.		41,500		1,196,445
NetScout Systems, Inc.*(a)		39,695		1,450,455
Progress Software Corp.*		53,147		1,436,032
Synchronoss Technologies, Inc.*		38,100		1,594,866
Take-Two Interactive Software, Inc.*(a)		89,112		2,497,809

SEE NOTES TO FINANCIAL STATEMENTS.

A145

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Software (continued)
Tangoe, Inc.*		38,600	$	502,958
VASCO Data Security International, Inc.*		31,100		877,331
				19,421,238
Specialty Retail — 4.3%
Aeropostale, Inc.*(a)		82,300		190,936
Barnes & Noble, Inc.*(a)		45,200		1,049,544
Big 5 Sporting Goods Corp.		19,137		279,974
Brown Shoe Co., Inc.		46,334		1,489,638
Buckle, Inc. (The)(a)		29,759		1,562,943
Cato Corp. (The) (Class A Stock)		27,203		1,147,423
Children’s Place, Inc. (The)		22,465		1,280,505
Christopher & Banks Corp.*		39,078		223,135
Finish Line, Inc. (The) (Class A Stock)		50,746		1,233,635
Francesca’s Holdings Corp.*(a)		44,500		743,150
Genesco, Inc.*		25,522		1,955,496
Group 1 Automotive, Inc.		22,664		2,031,148
Haverty Furniture Cos., Inc.		21,541		474,117
Hibbett Sports, Inc.*(a)		26,496		1,283,201
Kirkland’s, Inc.*		15,600		368,784
Lithia Motors, Inc. (Class A Stock)		24,230		2,100,499
Lumber Liquidators Holdings, Inc.*(a)		28,722		1,904,556
MarineMax, Inc.*		26,142		524,147
Men’s Wearhouse, Inc. (The)		48,367		2,135,403
Monro Muffler Brake, Inc.		33,472		1,934,682
Outerwall, Inc.*(a)		20,031		1,506,732
Pep Boys-Manny Moe & Jack (The)*		55,926		549,193
Select Comfort Corp.*		56,400		1,524,492
Sonic Automotive, Inc. (Class A Stock)		35,147		950,375
Stage Stores, Inc.		33,679		697,155
Stein Mart, Inc.		29,683		433,965
Vitamin Shoppe, Inc.*		32,800		1,593,424
Zumiez, Inc.*		22,950		886,559
				32,054,811
Technology Hardware, Storage & Peripherals — 0.6%
Electronics For Imaging, Inc.*		49,900		2,137,217
QLogic Corp.*		92,600		1,233,432
Super Micro Computer, Inc.*		37,100		1,294,048
				4,664,697
Textiles, Apparel & Luxury Goods — 2.0%
Crocs, Inc.*		86,943		1,085,918
G-III Apparel Group Ltd.*		20,300		2,050,503
Iconix Brand Group, Inc.*		50,831		1,717,580
Movado Group, Inc.		19,217		545,186
Oxford Industries, Inc.		15,416		851,117
Perry Ellis International, Inc.*		12,579		326,174
Quiksilver, Inc.*(a)		128,593		284,191
Skechers U.S.A., Inc. (Class A Stock)*(a)		43,476		2,402,049
Steven Madden Ltd.*		59,900		1,906,617
Unifi, Inc.*		14,600		434,058
Wolverine World Wide, Inc.		107,454		3,166,669
				14,770,062

COMMON STOCKS (continued)	Shares		Value (Note 2)
Thrifts & Mortgage Finance — 0.8%
Bank Mutual Corp.		45,135	$	309,626
BofI Holding, Inc.*(a)		13,800		1,073,778
Brookline Bancorp, Inc.		71,532		717,466
Dime Community Bancshares, Inc.		31,581		514,138
Northwest Bancshares, Inc.		100,500		1,259,265
Oritani Financial Corp.		39,200		603,680
Provident Financial Services, Inc.		56,800		1,025,808
TrustCo Bank Corp. NY		99,895		725,238
				6,228,999
Tobacco — 0.2%
Alliance One International, Inc.*		86,138		136,098
Universal Corp.(a)		24,500		1,077,510
				1,213,608
Trading Companies & Distributors — 0.6%
Aceto Corp.		28,800		624,960
Applied Industrial Technologies, Inc.(a)		43,728		1,993,559
DXP Enterprises, Inc.*		13,700		692,261
Kaman Corp.		28,822		1,155,474
Veritiv Corp.*		8,700		451,269
				4,917,523
Water Utilities — 0.2%
American States Water Co.		40,652		1,530,954
Wireless Telecommunication Services — 0.1%
NTELOS Holdings Corp.		16,621		69,642
Spok Holdings, Inc.		22,680		393,725
				463,367
TOTAL COMMON STOCKS (cost $444,523,245)				734,176,754
EXCHANGE TRADED FUND — 0.7%
iShares Core S&P Small-Cap ETF(a) (cost $3,696,185)		45,700		5,212,542
TOTAL LONG-TERM INVESTMENTS (cost $448,219,430)				739,389,296
SHORT-TERM INVESTMENTS — 14.1%
AFFILIATED MONEY MARKET MUTUAL FUND — 14.0%
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $105,314,175; includes $97,161,380 of cash collateral for securities on loan)(Note 4)(b)(c)		105,314,175		105,314,175

SEE NOTES TO FINANCIAL STATEMENTS.

A146

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

	Principal Amount (000)#		Value (Note 2)
U.S. TREASURY OBLIGATION — 0.1%
U.S. Treasury Bill, 0.035%, 03/19/15 (cost $749,928)(d)(e)		750	$	749,968
TOTAL SHORT-TERM INVESTMENTS (cost $106,064,103)				106,064,143
TOTAL INVESTMENTS — 112.6% (cost $554,283,533)				845,453,439
LIABILITIES IN EXCESS OF OTHER ASSETS(f) — (12.6)%				(94,516,529	)
NET ASSETS — 100.0%			$	750,936,910

See the Glossary for abbreviations used in the Portfolio descriptions.

* Non-income producing security.

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

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $94,147,155; cash collateral of $97,161,380 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

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

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

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

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

Futures contracts outstanding at December 31, 2014:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2014		Unrealized Appreciation(1)
Long Position:
95	Russell 2000 Mini Index		Mar. 2015	$	10,931,280	$	11,406,650	$	475,370

(1) A U.S. Treasury obligation with a market value of $749,968 has been segregated with UBS AG to cover requirements for open contracts at December 31, 2014.

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

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

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

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

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

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	19,528,109	$	—	$	—
Air Freight & Logistics		5,487,386		—		—
Airlines		2,894,144		—		—
Auto Components		4,169,925		—		—
Automobiles		623,011		—		—
Banks		58,313,004		—		—
Beverages		2,728,915		—		—
Biotechnology		5,340,752		—		—
Building Products		7,764,132		—		—
Capital Markets		14,077,141		—		—
Chemicals		18,161,668		—		—
Commercial Services & Supplies		19,679,138		—		—
Communications Equipment		8,926,345		—		—
Construction & Engineering		6,044,627		—		—
Construction Materials		1,165,742		—		—
Consumer Finance		9,332,917		—		—
Containers & Packaging		461,472		—		—
Distributors		3,102,685		—		—
Diversified Consumer Services		3,874,395		—		—
Diversified Financial Services		4,647,636		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A147

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

	Level 1		Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Diversified Telecommunication Services	$	4,434,820	$	—	$	—
Electric Utilities		6,567,446		—		—
Electrical Equipment		8,012,530		—		—
Electronic Equipment, Instruments & Components		30,876,669		—		—
Energy Equipment & Services		14,616,457		—		—
Food & Staples Retailing		6,253,639		—		—
Food Products		13,113,368		—		—
Gas Utilities		15,029,008		—		—
Health Care Equipment & Supplies		29,571,895		—		—
Health Care Providers & Services		24,645,412		—		—
Health Care Technology		7,309,506		—		—
Hotels, Restaurants & Leisure		29,797,671		—		—
Household Durables		11,392,288		—		—
Household Products		1,672,569		—		—
Insurance		19,233,879		—		—
Internet & Catalog Retail		2,054,171		—		—
Internet Software & Services		14,426,637		—		—
IT Services		17,280,411		—		—
Leisure Products		1,826,533		—		—
Life Sciences Tools & Services		5,865,546		—		—
Machinery		27,283,796		—		—
Marine		1,570,660		—		—
Media		2,226,542		—		—
Metals & Mining		10,715,178		—		—
Multi-Utilities		4,895,639		—		—
Multiline Retail		1,643,759		—		—
Oil, Gas & Consumable Fuels		11,163,950		—		—
Paper & Forest Products		10,590,663		—		—
Personal Products		893,345		—		—
Pharmaceuticals		11,713,780		—		—
Professional Services		11,016,501		—		—
Real Estate Investment Trusts (REITs)		61,297,388		—		—
Real Estate Management & Development		567,582		—		—
Road & Rail		7,596,583		—		—
Semiconductors & Semiconductor Equipment		25,432,530		—		—
Software		19,421,238		—		—
Specialty Retail		32,054,811		—		—
Technology Hardware, Storage & Peripherals		4,664,697		—		—
Textiles, Apparel & Luxury Goods		14,770,062		—		—
Thrifts & Mortgage Finance		6,228,999		—		—
Tobacco		1,213,608		—		—
Trading Companies & Distributors		4,917,523		—		—
Water Utilities		1,530,954		—		—
Wireless Telecommunication Services		463,367		—		—
Exchange Traded Fund		5,212,542		—		—
Affiliated Money Market Mutual Fund		105,314,175		—		—
U.S. Treasury Obligation		—		749,968		—
Other Financial Instruments*
Futures Contracts		475,370		—		—
Total	$	845,178,841	$	749,968	$	—

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

SEE NOTES TO FINANCIAL STATEMENTS.

A148

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

Affiliated Money Market Mutual Fund (including 12.9% of collateral for securities on loan)	14.0	%
Real Estate Investment Trusts (REITs)	8.2
Banks	7.8
Specialty Retail	4.3
Electronic Equipment, Instruments & Components	4.1
Hotels, Restaurants & Leisure	4.0
Health Care Equipment & Supplies	3.9
Machinery	3.6
Semiconductors & Semiconductor Equipment	3.4
Health Care Providers & Services	3.3
Commercial Services & Supplies	2.6
Aerospace & Defense	2.6
Software	2.6
Insurance	2.6
Chemicals	2.4
IT Services	2.3
Gas Utilities	2.0
Textiles, Apparel & Luxury Goods	2.0
Energy Equipment & Services	1.9
Internet Software & Services	1.9
Capital Markets	1.9
Food Products	1.7
Pharmaceuticals	1.6
Household Durables	1.5
Oil, Gas & Consumable Fuels	1.5
Professional Services	1.5
Metals & Mining	1.4
Paper & Forest Products	1.4
Consumer Finance	1.2
Communications Equipment	1.2
Electrical Equipment	1.1
Building Products	1.0
Road & Rail	1.0
Health Care Technology	1.0
Electric Utilities	0.9

Food & Staples Retailing	0.8	%
Thrifts & Mortgage Finance	0.8
Construction & Engineering	0.8
Life Sciences Tools & Services	0.8
Air Freight & Logistics	0.7
Biotechnology	0.7
Exchange Traded Fund	0.7
Trading Companies & Distributors	0.6
Multi-Utilities	0.6
Technology Hardware, Storage & Peripherals	0.6
Diversified Financial Services	0.6
Diversified Telecommunication Services	0.6
Auto Components	0.6
Diversified Consumer Services	0.5
Distributors	0.4
Airlines	0.4
Beverages	0.4
Media	0.3
Internet & Catalog Retail	0.3
Leisure Products	0.2
Household Products	0.2
Multiline Retail	0.2
Marine	0.2
Water Utilities	0.2
Tobacco	0.2
Construction Materials	0.2
Personal Products	0.1
U.S. Treasury Obligation	0.1
Automobiles	0.1
Real Estate Management & Development	0.1
Wireless Telecommunication Services	0.1
Containers & Packaging	0.1
	112.6
Liabilities in excess of other assets	(12.6	)
	100.0	%

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

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

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Equity contracts	Due from/to broker —variation margin futures	$	475,370	*	—	$	—

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

SEE NOTES TO FINANCIAL STATEMENTS.

A149

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	(29,126	)
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	118,108

As of December 31, 2014, the Portfolio’s average volume at trade date for futures long positions was $10,879,824.

SEE NOTES TO FINANCIAL STATEMENTS.

A150

SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014

ASSETS
Investments at value, including securities on loan of $94,147,155:
Unaffiliated investments (cost $448,969,358)	$	740,139,264
Affiliated investments (cost $105,314,175)		105,314,175
Receivable for investments sold		5,326,159
Dividends and interest receivable		1,006,517
Receivable for Series shares sold		49,810
Prepaid expenses		5,982
Total Assets		851,841,907
LIABILITIES
Payable to broker for collateral for securities on loan		97,161,380
Payable for investments purchased		3,083,325
Management fee payable		219,519
Payable for Series shares repurchased		140,756
Accrued expenses		125,026
Payable to custodian		98,024
Due to broker-variation margin futures		76,041
Affiliated transfer agent fee payable		926
Total Liabilities		100,904,997
NET ASSETS	$	750,936,910
Net assets were comprised of:
Paid-in capital	$	322,275,261
Retained earnings		428,661,649
Net assets, December 31, 2014	$	750,936,910
Net asset value and redemption price per share $750,936,910 / 27,234,949 outstanding shares of beneficial interest	$	27.57

STATEMENT OF OPERATIONS

Year Ended December 31, 2014

NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $1,178)	$	9,491,159
Affiliated income from securities loaned, net		584,470
Affiliated dividend income		11,568
Interest income		295
Total income		10,087,492
EXPENSES
Management fee		2,962,166
Custodian’s fees and expenses		128,000
Shareholders’ reports		96,000
Audit fee		25,000
Trustees’ fees		16,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		12,000
Legal fees and expenses		11,000
Insurance expenses		10,000
Commitment fee on syndicated credit agreement		3,000
Miscellaneous		79,602
Total expenses		3,342,768
Less: Management fee waiver		(370,271	)
Net expenses		2,972,497
NET INVESTMENT INCOME		7,114,995
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investment transactions		56,983,199
Futures transactions		(29,126	)
		56,954,073
Net change in unrealized appreciation (depreciation) on:
Investments		(26,050,627	)
Futures		118,108
		(25,932,519	)
NET GAIN ON INVESTMENT TRANSACTIONS		31,021,554
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	38,136,549

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	7,114,995		$	6,238,439
Net realized gain on investment transactions		56,954,073			53,723,040
Net change in unrealized appreciation (depreciation) on investments		(25,932,519	)		171,173,752
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		38,136,549			231,135,231
SERIES SHARE TRANSACTIONS
Series shares sold [439,963 and 1,159,772 shares, respectively]		11,510,506			25,996,841
Series shares repurchased [2,647,810 and 2,883,214 shares, respectively]		(68,806,270	)		(65,438,115	)
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(57,295,764	)		(39,441,274	)
TOTAL INCREASE (DECREASE)		(19,159,215	)		191,693,957
NET ASSETS:
Beginning of year		770,096,125			578,402,168
End of year	$	750,936,910		$	770,096,125

SEE NOTES TO FINANCIAL STATEMENTS.

A151

	STOCK INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2014

LONG-TERM INVESTMENTS — 96.8%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 2.6%
Boeing Co. (The)		117,136	$	15,225,337
General Dynamics Corp.		56,200		7,734,244
Honeywell International, Inc.		137,050		13,694,036
L-3 Communications Holdings, Inc.		15,200		1,918,392
Lockheed Martin Corp.		47,298		9,108,176
Northrop Grumman Corp.		36,726		5,413,045
Precision Castparts Corp.		25,300		6,094,264
Raytheon Co.		54,318		5,875,578
Rockwell Collins, Inc.		24,000		2,027,520
Textron, Inc.		49,400		2,080,234
United Technologies Corp.		149,000		17,135,000
				86,305,826
Air Freight & Logistics — 0.8%
C.H. Robinson Worldwide, Inc.		26,100		1,954,629
Expeditors International of Washington, Inc.		35,600		1,588,116
FedEx Corp.		47,140		8,186,332
United Parcel Service, Inc. (Class B Stock)		123,300		13,707,261
				25,436,338
Airlines — 0.4%
Delta Air Lines, Inc.		147,300		7,245,687
Southwest Airlines Co.		120,037		5,079,966
				12,325,653
Auto Components — 0.4%
BorgWarner, Inc.		40,000		2,198,000
Delphi Automotive PLC (United Kingdom)		52,400		3,810,528
Goodyear Tire & Rubber Co. (The)		50,000		1,428,500
Johnson Controls, Inc.		116,900		5,650,946
				13,087,974
Automobiles — 0.6%
Ford Motor Co.		677,459		10,500,615
General Motors Co.		231,900		8,095,629
Harley-Davidson, Inc.		38,100		2,511,171
				21,107,415
Banks — 5.9%
Bank of America Corp.		1,837,082		32,865,397
BB&T Corp.(a)		126,100		4,904,029
Citigroup, Inc.		532,622		28,820,176
Comerica, Inc.		31,850		1,491,854
Fifth Third Bancorp		145,649		2,967,598
Huntington Bancshares, Inc.		144,675		1,521,981
JPMorgan Chase & Co.		656,845		41,105,360
KeyCorp		152,900		2,125,310
M&T Bank Corp.(a)		23,400		2,939,508
PNC Financial Services Group, Inc. (The)		94,393		8,611,473
Regions Financial Corp.		241,312		2,548,255
SunTrust Banks, Inc.		92,900		3,892,510
U.S. Bancorp		316,381		14,221,326
Wells Fargo & Co.		829,636		45,480,646
Zions Bancorporation		35,400		1,009,254
				194,504,677

COMMON STOCKS (continued)	Shares		Value (Note 2)
Beverages — 2.1%
Brown-Forman Corp. (Class B Stock)		28,550	$	2,507,832
Coca-Cola Co. (The)		689,850		29,125,467
Coca-Cola Enterprises, Inc.		40,700		1,799,754
Constellation Brands Inc. (Class A Stock)*		29,300		2,876,381
Dr. Pepper Snapple Group, Inc.		34,600		2,480,128
Molson Coors Brewing Co. (Class B Stock)		28,200		2,101,464
Monster Beverage Corp.*		25,200		2,730,420
PepsiCo, Inc.		263,614		24,927,340
				68,548,786
Biotechnology — 2.8%
Alexion Pharmaceuticals, Inc.*		34,600		6,402,038
Amgen, Inc.		133,794		21,312,046
Biogen Idec, Inc.*		41,375		14,044,744
Celgene Corp.*		140,200		15,682,772
Gilead Sciences, Inc.*		265,300		25,007,178
Regeneron Pharmaceuticals, Inc.*		13,100		5,374,275
Vertex Pharmaceuticals, Inc.*		40,600		4,823,280
				92,646,333
Building Products — 0.1%
Allegion PLC		16,833		933,558
Masco Corp.		62,200		1,567,440
				2,500,998
Capital Markets — 2.2%
Affiliated Managers Group, Inc.*		9,800		2,079,952
Ameriprise Financial, Inc.		32,700		4,324,575
Bank of New York Mellon Corp. (The)		198,089		8,036,471
BlackRock, Inc.		22,200		7,937,832
Charles Schwab Corp. (The)		202,800		6,122,532
E*TRADE Financial Corp.*		51,810		1,256,652
Franklin Resources, Inc.		69,500		3,848,215
Goldman Sachs Group, Inc. (The)		72,200		13,994,526
Invesco Ltd.		75,600		2,987,712
Legg Mason, Inc.		18,000		960,660
Morgan Stanley		267,510		10,379,388
Northern Trust Corp.		39,400		2,655,560
State Street Corp.		74,525		5,850,212
T. Rowe Price Group, Inc.		46,500		3,992,490
				74,426,777
Chemicals — 2.3%
Air Products & Chemicals, Inc.		34,100		4,918,243
Airgas, Inc.		11,800		1,359,124
CF Industries Holdings, Inc.		9,000		2,452,860
Dow Chemical Co. (The)		196,211		8,949,184
E.I. du Pont de Nemours & Co.		159,991		11,829,734
Eastman Chemical Co.		26,100		1,979,946
Ecolab, Inc.		47,100		4,922,892
FMC Corp.		24,000		1,368,720
International Flavors & Fragrances, Inc.		14,200		1,439,312
LyondellBasell Industries NV (Class A Stock)		74,800		5,938,372

SEE NOTES TO FINANCIAL STATEMENTS.

A152

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Chemicals (continued)
Monsanto Co.		84,596	$	10,106,684
Mosaic Co. (The)		56,400		2,574,660
PPG Industries, Inc.		24,100		5,570,715
Praxair, Inc.		51,000		6,607,560
Sherwin-Williams Co. (The)		14,800		3,892,992
Sigma-Aldrich Corp.		21,100		2,896,397
				76,807,395
Commercial Services & Supplies — 0.4%
ADT Corp. (The)(a)		31,400		1,137,622
Cintas Corp.		17,200		1,349,168
Pitney Bowes, Inc.		37,800		921,186
Republic Services, Inc.		45,635		1,836,809
Stericycle, Inc.*		14,800		1,939,984
Tyco International PLC		74,200		3,254,412
Waste Management, Inc.		76,830		3,942,915
				14,382,096
Communications Equipment — 1.6%
Cisco Systems, Inc.		891,275		24,790,814
F5 Networks, Inc.*		13,000		1,696,045
Harris Corp.		18,300		1,314,306
Juniper Networks, Inc.		74,000		1,651,680
Motorola Solutions, Inc.		39,527		2,651,471
QUALCOMM, Inc.		292,950		21,774,974
				53,879,290
Construction & Engineering — 0.1%
Fluor Corp.		27,500		1,667,325
Jacobs Engineering Group, Inc.*		23,500		1,050,215
Quanta Services, Inc.*		42,900		1,217,931
				3,935,471
Construction Materials — 0.1%
Martin Marietta Materials, Inc.		10,200		1,125,264
Vulcan Materials Co.		23,200		1,524,936
				2,650,200
Consumer Finance — 0.9%
American Express Co.		157,500		14,653,800
Capital One Financial Corp.		98,969		8,169,891
Discover Financial Services		80,605		5,278,821
Navient Corp.		77,000		1,663,970
				29,766,482
Containers & Packaging — 0.2%
Avery Dennison Corp.		16,900		876,772
Ball Corp.		24,300		1,656,531
MeadWestvaco Corp.		29,889		1,326,773
Owens-Illinois, Inc.*		30,300		817,797
Sealed Air Corp.		37,020		1,570,758
				6,248,631
Distributors — 0.1%
Genuine Parts Co.		26,825		2,858,740
Diversified Consumer Services — 0.1%
H&R Block, Inc.		49,200		1,657,056
Diversified Financial Services — 2.0%
Berkshire Hathaway, Inc. (Class B Stock)*		319,300		47,942,895

COMMON STOCKS (continued)	Shares		Value (Note 2)
Diversified Financial Services (continued)
CME Group, Inc.		55,200	$	4,893,480
Intercontinental Exchange, Inc.		19,698		4,319,575
Leucadia National Corp.		55,900		1,253,278
McGrawHill Financial, Inc.		47,400		4,217,652
Moody’s Corp.		33,320		3,192,389
NASDAQ OMX Group, Inc. (The)		21,100		1,011,956
				66,831,225
Diversified Telecommunication Services — 2.2%
AT&T, Inc.		906,311		30,442,986
CenturyLink, Inc.		100,285		3,969,280
Frontier Communications Corp.		172,916		1,153,350
Level 3 Communications, Inc.*(a)		46,600		2,301,108
Verizon Communications, Inc.		723,638		33,851,786
Windstream Holdings, Inc.		96,265		793,224
				72,511,734
Electric Utilities — 1.8%
American Electric Power Co., Inc.		86,040		5,224,349
Duke Energy Corp.		124,048		10,362,970
Edison International		56,900		3,725,812
Entergy Corp.		31,400		2,746,872
Exelon Corp.		150,073		5,564,707
FirstEnergy Corp.		73,480		2,864,985
NextEra Energy, Inc.		76,375		8,117,899
Northeast Utilities		55,200		2,954,304
Pepco Holdings, Inc.		43,800		1,179,534
Pinnacle West Capital Corp.		19,300		1,318,383
PPL Corp.		118,800		4,316,004
Southern Co. (The)		156,500		7,685,715
Xcel Energy, Inc.		88,295		3,171,556
				59,233,090
Electrical Equipment — 0.6%
AMETEK, Inc.		43,200		2,273,616
Eaton Corp. PLC		84,761		5,760,358
Emerson Electric Co.		122,300		7,549,579
Rockwell Automation, Inc.		24,300		2,702,160
				18,285,713
Electronic Equipment, Instruments & Components — 0.4%
Amphenol Corp. (Class A Stock)		55,200		2,970,312
Corning, Inc.		224,800		5,154,664
FLIR Systems, Inc.		25,100		810,981
TE Connectivity Ltd. (Switzerland)		71,500		4,522,375
				13,458,332
Energy Equipment & Services — 1.3%
Baker Hughes, Inc.		76,048		4,264,011
Cameron International Corp.*		35,400		1,768,230
Diamond Offshore Drilling, Inc.(a)		11,900		436,849
Ensco PLC (Class A Stock)		41,600		1,245,920
FMC Technologies, Inc.*		41,800		1,957,912
Halliburton Co.		150,000		5,899,500
Helmerich & Payne, Inc.		20,000		1,348,400
Nabors Industries Ltd.		50,600		656,788
National Oilwell Varco, Inc.		75,700		4,960,621
Noble Corp. PLC		46,700		773,819
Schlumberger Ltd.		226,472		19,342,974
Transocean Ltd.(a)		61,000		1,118,130
				43,773,154

SEE NOTES TO FINANCIAL STATEMENTS.

A153

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Food & Staples Retailing — 2.4%
Costco Wholesale Corp.		76,622	$	10,861,168
CVS Health Corp.		202,938		19,544,959
Kroger Co. (The)		86,100		5,528,481
Safeway, Inc.		40,200		1,411,824
Sysco Corp.		102,500		4,068,225
Wal-Mart Stores, Inc.		276,100		23,711,468
Walgreens Boots Alliance, Inc.		153,700		11,711,940
Whole Foods Market, Inc.		63,600		3,206,712
				80,044,777
Food Products — 1.6%
Archer-Daniels-Midland Co.		115,238		5,992,376
Campbell Soup Co.		31,300		1,377,200
ConAgra Foods, Inc.		73,900		2,681,092
General Mills, Inc.		107,800		5,748,974
Hershey Co. (The)		26,300		2,733,359
Hormel Foods Corp.		23,600		1,229,560
J.M. Smucker Co. (The)		18,200		1,837,836
Kellogg Co.		44,700		2,925,168
Keurig Green Mountain, Inc.		21,800		2,886,211
Kraft Foods Group, Inc.		104,537		6,550,289
McCormick & Co., Inc.		23,000		1,708,900
Mead Johnson Nutrition Co.		35,593		3,578,520
Mondelez International, Inc. (Class A Stock)		295,511		10,734,437
Tyson Foods, Inc. (Class A Stock)		51,100		2,048,599
				52,032,521
Gas Utilities
AGL Resources, Inc.		20,937		1,141,276
Health Care Equipment & Supplies — 2.2%
Abbott Laboratories		263,350		11,856,017
Baxter International, Inc.		94,600		6,933,234
Becton, Dickinson and Co.		33,800		4,703,608
Boston Scientific Corp.*		231,299		3,064,712
C.R. Bard, Inc.		13,500		2,249,370
CareFusion Corp.*		35,837		2,126,567
Covidien PLC		78,900		8,069,892
DENTSPLY International, Inc.		24,800		1,321,096
Edwards Lifesciences Corp.*		18,600		2,369,268
Intuitive Surgical, Inc.*		6,550		3,464,557
Medtronic, Inc.		171,500		12,382,300
St. Jude Medical, Inc.		50,400		3,277,512
Stryker Corp.		52,400		4,942,892
Varian Medical Systems, Inc.*(a)		18,100		1,565,831
Zimmer Holdings, Inc.		29,586		3,355,644
				71,682,500
Health Care Providers & Services — 2.2%
Aetna, Inc.		62,257		5,530,289
AmerisourceBergen Corp.		38,700		3,489,192
Anthem, Inc.		48,300		6,069,861
Cardinal Health, Inc.		58,975		4,761,052
Cigna Corp.		47,200		4,857,352
DaVita HealthCare Partners, Inc.*		30,600		2,317,644
Express Scripts Holding Co.*		130,826		11,077,038
Humana, Inc.		27,000		3,878,010
Laboratory Corp. of America Holdings*		15,100		1,629,290

COMMON STOCKS (continued)	Shares		Value (Note 2)
Health Care Providers & Services (continued)
McKesson Corp.		40,507	$	8,408,443
Patterson Cos., Inc.		15,200		731,120
Quest Diagnostics, Inc.(a)		25,500		1,710,030
Tenet Healthcare Corp.*(a)		17,200		871,524
UnitedHealth Group, Inc.		170,700		17,256,063
Universal Health Services, Inc. (Class B Stock)		17,000		1,891,420
				74,478,328
Health Care Technology — 0.1%
Cerner Corp.*		53,100		3,433,446
Hotels, Restaurants & Leisure — 1.6%
Carnival Corp.		77,700		3,522,141
Chipotle Mexican Grill, Inc.*		5,500		3,764,805
Darden Restaurants, Inc.(a)		23,150		1,357,284
Marriott International, Inc. (Class A Stock)		38,603		3,012,192
McDonald’s Corp.		172,600		16,172,620
Royal Caribbean Cruises Ltd.		26,200		2,159,666
Starbucks Corp.		130,400		10,699,320
Starwood Hotels & Resorts Worldwide, Inc.		31,800		2,578,026
Wyndham Worldwide Corp.		22,863		1,960,731
Wynn Resorts Ltd.		14,300		2,127,268
Yum! Brands, Inc.		77,600		5,653,160
				53,007,213
Household Durables — 0.4%
D.R. Horton, Inc.		57,900		1,464,291
Garmin Ltd.(a)		21,200		1,119,996
Harman International Industries, Inc.		12,100		1,291,191
Leggett & Platt, Inc.		23,800		1,014,118
Lennar Corp. (Class A Stock)		31,100		1,393,591
Mohawk Industries, Inc.*		10,900		1,693,424
Newell Rubbermaid, Inc.		47,749		1,818,760
PulteGroup, Inc.		61,385		1,317,322
Whirlpool Corp.		14,107		2,733,090
				13,845,783
Household Products — 1.9%
Clorox Co. (The)		22,500		2,344,725
Colgate-Palmolive Co.		150,300		10,399,257
Kimberly-Clark Corp.		65,388		7,554,929
Procter & Gamble Co. (The)		472,906		43,077,008
				63,375,919
Independent Power & Renewable Electricity Producers — 0.1%
AES Corp.		116,200		1,600,074
NRG Energy, Inc.		59,000		1,590,050
				3,190,124
Industrial Conglomerates — 2.3%
3M Co.		113,200		18,601,024
Danaher Corp.		107,000		9,170,970
General Electric Co.		1,756,975		44,398,758
Roper Industries, Inc.		17,500		2,736,125
				74,906,877

SEE NOTES TO FINANCIAL STATEMENTS.

A154

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Insurance — 2.5%
ACE Ltd.		59,100	$	6,789,408
Aflac, Inc.		79,700		4,868,873
Allstate Corp. (The)		76,888		5,401,382
American International Group, Inc.		249,829		13,992,922
Aon PLC		51,525		4,886,116
Assurant, Inc.		14,400		985,392
Chubb Corp. (The)		42,900		4,438,863
Cincinnati Financial Corp.		27,428		1,421,593
Genworth Financial, Inc. (Class A Stock)*		98,200		834,700
Hartford Financial Services Group, Inc. (The)		79,600		3,318,524
Lincoln National Corp.		47,563		2,742,958
Loews Corp.		54,226		2,278,577
Marsh & McLennan Cos., Inc.		96,500		5,523,660
MetLife, Inc.		198,300		10,726,047
Principal Financial Group, Inc.		49,700		2,581,418
Progressive Corp. (The)		97,800		2,639,622
Torchmark Corp.		24,175		1,309,560
Travelers Cos., Inc. (The)		60,198		6,371,958
Unum Group		47,456		1,655,265
XL Group PLC (Ireland)		47,200		1,622,264
				84,389,102
Internet & Catalog Retail — 1.1%
Amazon.com, Inc.*		65,900		20,452,065
Expedia, Inc.		17,400		1,485,264
Netflix, Inc.*		10,300		3,518,583
Priceline Group, Inc. (The)*		9,170		10,455,726
TripAdvisor, Inc.*		20,200		1,508,132
				37,419,770
Internet Software & Services — 3.1%
Akamai Technologies, Inc.*		33,300		2,096,568
eBay, Inc.*		197,800		11,100,536
Facebook, Inc. (Class A Stock)*		364,600		28,446,092
Google, Inc. (Class A Stock)*		50,085		26,578,106
Google, Inc. (Class C Stock)*		49,985		26,312,104
VeriSign, Inc.*(a)		21,500		1,225,500
Yahoo!, Inc.*		156,900		7,925,019
				103,683,925
IT Services — 3.2%
Accenture PLC (Class A Stock)		110,300		9,850,893
Alliance Data Systems Corp.*(a)		10,400		2,974,920
Automatic Data Processing, Inc.		84,300		7,028,091
Cognizant Technology Solutions Corp. (Class A Stock)*		107,600		5,666,216
Computer Sciences Corp.		25,900		1,632,995
Fidelity National Information Services, Inc.		50,600		3,147,320
Fiserv, Inc.*		43,600		3,094,292
International Business Machines Corp.		162,225		26,027,379
MasterCard, Inc. (Class A Stock)		172,400		14,853,984
Paychex, Inc.		57,050		2,633,999
Teradata Corp.*(a)		27,500		1,201,200
Total System Services, Inc.		29,893		1,015,166
Visa, Inc. (Class A Stock)(a)		86,000		22,549,200

COMMON STOCKS (continued)	Shares		Value (Note 2)
IT Services (continued)
Western Union Co. (The)		93,704	$	1,678,239
Xerox Corp.		190,511		2,640,482
				105,994,376
Leisure Products — 0.1%
Hasbro, Inc.(a)		19,450		1,069,556
Mattel, Inc.		59,381		1,837,545
				2,907,101
Life Sciences Tools & Services — 0.4%
Agilent Technologies, Inc.		58,282		2,386,065
PerkinElmer, Inc.		20,000		874,600
Thermo Fisher Scientific, Inc.		69,900		8,757,771
Waters Corp.*		15,000		1,690,800
				13,709,236
Machinery — 1.5%
Caterpillar, Inc.		108,500		9,931,005
Cummins, Inc.		30,100		4,339,517
Deere & Co.		62,450		5,524,952
Dover Corp.		29,300		2,101,396
Flowserve Corp.		24,600		1,471,818
Illinois Tool Works, Inc.		63,975		6,058,432
Ingersoll-Rand PLC		46,800		2,966,652
Joy Global, Inc.		17,700		823,404
PACCAR, Inc.		62,028		4,218,524
Pall Corp.		18,800		1,902,748
Parker Hannifin Corp.		26,087		3,363,919
Pentair PLC (United Kingdom)		34,107		2,265,387
Snap-on, Inc.		10,200		1,394,748
Stanley Black & Decker, Inc.		27,435		2,635,955
Xylem, Inc.		33,000		1,256,310
				50,254,767
Media — 3.5%
Cablevision Systems Corp. (Class A Stock)(a)		35,900		740,976
CBS Corp. (Class B Stock)		84,768		4,691,061
Comcast Corp. (Class A Stock)		452,146		26,228,989
DIRECTV*		87,825		7,614,428
Discovery Communications, Inc. (Class A Stock)*		28,800		992,160
Discovery Communications, Inc. (Class C Stock)*(a)		47,800		1,611,816
Gannett Co., Inc.		43,300		1,382,569
Interpublic Group of Cos., Inc. (The)		75,162		1,561,115
News Corp. (Class A Stock)*		88,525		1,388,957
Omnicom Group, Inc.		44,200		3,424,174
Scripps Networks Interactive, Inc. (Class A Stock)(a)		18,800		1,415,076
Time Warner Cable, Inc.		49,026		7,454,894
Time Warner, Inc.		150,215		12,831,365
Twenty-First Century Fox, Inc. (Class A Stock)		329,000		12,635,245
Viacom, Inc. (Class B Stock)		66,943		5,037,461
Walt Disney Co. (The)		275,776		25,975,341
				114,985,627

SEE NOTES TO FINANCIAL STATEMENTS.

A155

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Metals & Mining — 0.4%
Alcoa, Inc.		207,276	$	3,272,888
Allegheny Technologies, Inc.		20,940		728,084
Freeport-McMoRan, Inc.		184,912		4,319,544
Newmont Mining Corp.		87,603		1,655,697
Nucor Corp.		56,800		2,786,040
				12,762,253
Multiline Retail — 0.7%
Dollar General Corp.*		53,600		3,789,520
Dollar Tree, Inc.*		36,400		2,561,832
Family Dollar Stores, Inc.		16,800		1,330,728
Kohl’s Corp.		35,800		2,185,232
Macy’s, Inc.		63,320		4,163,290
Nordstrom, Inc.		25,000		1,984,750
Target Corp.		111,268		8,446,354
				24,461,706
Multi-Utilities — 1.2%
Ameren Corp.		43,200		1,992,816
CenterPoint Energy, Inc.		79,210		1,855,890
CMS Energy Corp.		48,100		1,671,475
Consolidated Edison, Inc.		51,200		3,379,712
Dominion Resources, Inc.		102,084		7,850,260
DTE Energy Co.		30,900		2,668,833
Integrys Energy Group, Inc.		12,550		977,018
NiSource, Inc.		54,900		2,328,858
PG&E Corp.		83,900		4,466,836
Public Service Enterprise Group, Inc.		89,500		3,706,195
SCANA Corp.		25,600		1,546,240
Sempra Energy		40,454		4,504,957
TECO Energy, Inc.		40,700		833,943
Wisconsin Energy Corp.(a)		39,600		2,088,504
				39,871,537
Oil, Gas & Consumable Fuels — 6.9%
Anadarko Petroleum Corp.		89,326		7,369,395
Apache Corp.		67,150		4,208,290
Cabot Oil & Gas Corp.		73,900		2,188,179
Chesapeake Energy Corp.		90,600		1,773,042
Chevron Corp.		331,942		37,237,254
Cimarex Energy Co.		15,700		1,664,200
ConocoPhillips		215,529		14,884,433
CONSOL Energy, Inc.		40,200		1,359,162
Denbury Resources, Inc.(a)		60,900		495,117
Devon Energy Corp.		68,200		4,174,522
EOG Resources, Inc.		95,900		8,829,513
EQT Corp.		27,100		2,051,470
Exxon Mobil Corp.		744,804		68,857,130
Hess Corp.		46,375		3,423,402
Kinder Morgan, Inc.		294,543		12,462,114
Marathon Oil Corp.		119,194		3,371,998
Marathon Petroleum Corp.		50,447		4,553,346
Murphy Oil Corp.		29,500		1,490,340
Newfield Exploration Co.*		23,700		642,744
Noble Energy, Inc.		62,900		2,983,347
Occidental Petroleum Corp.		137,000		11,043,570
ONEOK, Inc.		36,240		1,804,390
Phillips 66		99,164		7,110,059

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
Pioneer Natural Resources Co.		25,000	$	3,721,250
QEP Resources, Inc.		29,800		602,556
Range Resources Corp.		29,500		1,576,775
Southwestern Energy Co.*		61,700		1,683,793
Spectra Energy Corp.		117,142		4,252,255
Tesoro Corp.		22,600		1,680,310
Valero Energy Corp.		94,600		4,682,700
Williams Cos., Inc. (The)		118,200		5,311,908
				227,488,564
Paper & Forest Products — 0.1%
International Paper Co.		75,567		4,048,880
Personal Products — 0.1%
Avon Products, Inc.		76,700		720,213
Estee Lauder Cos., Inc. (The) (Class A Stock)		39,300		2,994,660
				3,714,873
Pharmaceuticals — 6.1%
AbbVie, Inc.		279,600		18,297,024
Actavis PLC*		46,521		11,974,971
Allergan, Inc.		52,550		11,171,605
Bristol-Myers Squibb Co.		289,540		17,091,546
Eli Lilly & Co.		173,100		11,942,169
Hospira, Inc.*		29,820		1,826,475
Johnson & Johnson		492,596		51,510,764
Mallinckrodt PLC*		19,800		1,960,794
Merck & Co., Inc.		504,203		28,633,688
Mylan, Inc.*		66,800		3,765,516
Perrigo Co. PLC		23,400		3,911,544
Pfizer, Inc.		1,108,523		34,530,491
Zoetis, Inc.		87,600		3,769,428
				200,386,015
Professional Services — 0.2%
Dun & Bradstreet Corp. (The)		6,500		786,240
Equifax, Inc.		21,500		1,738,705
Nielsen NV(a)		56,500		2,527,245
Robert Half International, Inc.		24,000		1,401,120
				6,453,310
Real Estate Investment Trusts (REITs) — 2.3%
American Tower Corp.		69,600		6,879,960
Apartment Investment & Management Co. (Class A Stock)		25,574		950,074
AvalonBay Communities, Inc.		23,018		3,760,911
Boston Properties, Inc.		26,800		3,448,892
Crown Castle International Corp.		58,300		4,588,210
Equity Residential		63,300		4,547,472
Essex Property Trust, Inc.		11,500		2,375,900
General Growth Properties, Inc.		109,600		3,083,048
HCP, Inc.		80,200		3,531,206
Health Care REIT, Inc.		56,700		4,290,489
Host Hotels & Resorts, Inc.		132,326		3,145,389
Iron Mountain, Inc.		32,730		1,265,342
Kimco Realty Corp.		72,100		1,812,594
Macerich Co. (The)		25,600		2,135,296
Plum Creek Timber Co., Inc.		30,900		1,322,211

SEE NOTES TO FINANCIAL STATEMENTS.

A156

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Investment Trusts (REITs) (continued)
Prologis, Inc.		89,128	$	3,835,178
Public Storage		25,400		4,695,190
Simon Property Group, Inc.		54,701		9,961,599
Ventas, Inc.(a)		51,404		3,685,667
Vornado Realty Trust		30,557		3,596,864
Weyerhaeuser Co.		92,110		3,305,828
				76,217,320
Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*		49,300		1,688,525
Road & Rail — 1.0%
CSX Corp.		175,672		6,364,597
Kansas City Southern		19,700		2,403,991
Norfolk Southern Corp.		54,100		5,929,901
Ryder System, Inc.		9,400		872,790
Union Pacific Corp.		156,800		18,679,584
				34,250,863
Semiconductors & Semiconductor Equipment — 2.4%
Altera Corp.		54,000		1,994,760
Analog Devices, Inc.		54,900		3,048,048
Applied Materials, Inc.		210,800		5,253,136
Avago Technologies Ltd. (Singapore)		45,200		4,546,668
Broadcom Corp. (Class A Stock)		96,150		4,166,179
First Solar, Inc.*		13,400		597,573
Intel Corp.		857,100		31,104,159
KLA-Tencor Corp.		29,500		2,074,440
Lam Research Corp.		28,750		2,281,025
Linear Technology Corp.		41,700		1,901,520
Microchip Technology, Inc.(a)		35,100		1,583,361
Micron Technology, Inc.*		189,200		6,623,892
NVIDIA Corp.		96,450		1,933,823
Texas Instruments, Inc.		187,400		10,019,341
Xilinx, Inc.		46,900		2,030,301
				79,158,226
Software — 3.7%
Adobe Systems, Inc.*		82,175		5,974,122
Autodesk, Inc.*		39,700		2,384,382
CA, Inc.		56,873		1,731,783
Citrix Systems, Inc.*		28,900		1,843,820
Electronic Arts, Inc.*		54,600		2,567,019
Intuit, Inc.		49,600		4,572,624
Microsoft Corp.		1,445,000		67,120,250
Oracle Corp.		568,495		25,565,220
Red Hat, Inc.*		33,300		2,302,362
salesforce.com, inc.*		100,700		5,972,517
Symantec Corp.		122,711		3,148,151
				123,182,250
Specialty Retail — 2.3%
AutoNation, Inc.*		13,689		826,952
AutoZone, Inc.*		5,700		3,528,927
Bed Bath & Beyond, Inc.*		34,400		2,620,248
Best Buy Co., Inc.		50,625		1,973,362
CarMax, Inc.*(a)		38,200		2,543,356

COMMON STOCKS (continued)	Shares		Value (Note 2)
Specialty Retail (continued)
GameStop Corp. (Class A Stock)(a)		19,800	$	669,240
Gap, Inc. (The)		47,887		2,016,522
Home Depot, Inc. (The)		233,669		24,528,235
L. Brands, Inc.		43,396		3,755,924
Lowe’s Cos., Inc.		173,025		11,904,120
O’Reilly Automotive, Inc.*		18,500		3,563,470
PetSmart, Inc.		17,800		1,447,051
Ross Stores, Inc.		36,800		3,468,768
Staples, Inc.		110,800		2,007,696
Tiffany & Co.		18,700		1,998,282
TJX Cos., Inc. (The)		121,600		8,339,328
Tractor Supply Co.		24,600		1,938,972
Urban Outfitters, Inc.*		19,000		667,470
				77,797,923
Technology Hardware, Storage & Peripherals — 4.6%
Apple, Inc.		1,033,305		114,056,206
EMC Corp.		357,274		10,625,329
Hewlett-Packard Co.		325,966		13,081,015
NetApp, Inc.		56,400		2,337,780
SanDisk Corp.(a)		39,200		3,840,816
Seagate Technology PLC		57,100		3,797,150
Western Digital Corp.		38,500		4,261,950
				152,000,246
Textiles, Apparel & Luxury Goods — 0.8%
Coach, Inc.		49,000		1,840,440
Fossil Group, Inc.*		8,300		919,142
Michael Kors Holdings Ltd.*		35,800		2,688,580
NIKE, Inc. (Class B Stock)		123,300		11,855,295
PVH Corp.		14,400		1,845,648
Ralph Lauren Corp.		10,600		1,962,696
Under Armour, Inc. (Class A Stock)*(a)		29,000		1,969,100
VF Corp.		60,244		4,512,276
				27,593,177
Thrifts & Mortgage Finance — 0.1%
Hudson City Bancorp, Inc.		81,400		823,768
People’s United Financial, Inc.(a)		56,100		851,598
				1,675,366
Tobacco — 1.4%
Altria Group, Inc.		347,500		17,121,325
Lorillard, Inc.		63,593		4,002,543
Philip Morris International, Inc.		272,800		22,219,560
Reynolds American, Inc.		53,800		3,457,726
				46,801,154
Trading Companies & Distributors — 0.2%
Fastenal Co.(a)		47,600		2,263,856
United Rentals, Inc.*		16,800		1,713,768
W.W. Grainger, Inc.		10,700		2,727,323
				6,704,947
TOTAL LONG-TERM INVESTMENTS (cost $1,155,566,742)				3,207,909,189

SEE NOTES TO FINANCIAL STATEMENTS.

A157

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

SHORT-TERM INVESTMENTS — 5.1%	Shares		Value (Note 2)
AFFILIATED MONEY MARKET MUTUAL FUND — 4.9%
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $161,927,049; includes $65,419,511 of cash collateral for securities on loan) (Note 4)(b)(c)		161,927,049	$	161,927,049
	Principal Amount (000)#
U.S. TREASURY OBLIGATION — 0.2%
U.S. Treasury Bills, 0.020%, 03/19/15 (cost $5,999,434)(d)(e)		6,000		5,999,748
TOTAL SHORT-TERM INVESTMENTS
(cost $167,926,483)				167,926,797
TOTAL INVESTMENTS — 101.9%
(cost $1,323,493,225)				3,375,835,986
LIABILITIES IN EXCESS OF OTHER ASSETS(f) — (1.9)%				(63,162,188	)
NET ASSETS — 100.0%			$	3,312,673,798

See the Glossary for abbreviations used in the Portfolio descriptions.

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

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $63,204,983; cash collateral of $65,419,511 (included with liabilities) was received with which the Portfolio’s purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

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

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

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

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

Futures contracts outstanding at December 31, 2014:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2014		Unrealized Appreciation(1)
Long Positions:
21	S&P 500 E-mini		Mar. 2015	$	2,072,733	$	2,155,020	$	82,287
200	S&P 500 Index		Mar. 2015		98,684,431		102,620,000		3,935,569
								$	4,017,856

(1) A U.S. Treasury Obligation security with a market value of $5,999,748 has been segregated with UBS AG to cover requirements for open contracts at December 31, 2014.

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

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

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

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

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

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	86,305,826	$	—	$	—
Air Freight & Logistics		25,436,338		—		—
Airlines		12,325,653		—		—
Auto Components		13,087,974		—		—
Automobiles		21,107,415		—		—
Banks		194,504,677		—		—
Beverages		68,548,786		—		—
Biotechnology		92,646,333		—		—
Building Products		2,500,998		—		—
Capital Markets		74,426,777		—		—
Chemicals		76,807,395		—		—
Commercial Services & Supplies		14,382,096		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A158

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

	Level 1		Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Communications Equipment	$	53,879,290	$	—	$	—
Construction & Engineering		3,935,471		—		—
Construction Materials		2,650,200		—		—
Consumer Finance		29,766,482		—		—
Containers & Packaging		6,248,631		—		—
Distributors		2,858,740		—		—
Diversified Consumer Services		1,657,056		—		—
Diversified Financial Services		66,831,225		—		—
Diversified Telecommunication Services		72,511,734		—		—
Electric Utilities		59,233,090		—		—
Electrical Equipment		18,285,713		—		—
Electronic Equipment, Instruments & Components		13,458,332		—		—
Energy Equipment & Services		43,773,154		—		—
Food & Staples Retailing		80,044,777		—		—
Food Products		52,032,521		—		—
Gas Utilities		1,141,276		—		—
Health Care Equipment & Supplies		71,682,500		—		—
Health Care Providers & Services		74,478,328		—		—
Health Care Technology		3,433,446		—		—
Hotels, Restaurants & Leisure		53,007,213		—		—
Household Durables		13,845,783		—		—
Household Products		63,375,919		—		—
Independent Power & Renewable Electricity Producers		3,190,124		—		—
Industrial Conglomerates		74,906,877		—		—
Insurance		84,389,102		—		—
Internet & Catalog Retail		37,419,770		—		—
Internet Software & Services		103,683,925		—		—
IT Services		105,994,376		—		—
Leisure Products		2,907,101		—		—
Life Sciences Tools & Services		13,709,236		—		—
Machinery		50,254,767		—		—
Media		114,985,627		—		—
Metals & Mining		12,762,253		—		—
Multiline Retail		24,461,706		—		—
Multi-Utilities		39,871,537		—		—
Oil, Gas & Consumable Fuels		227,488,564		—		—
Paper & Forest Products		4,048,880		—		—
Personal Products		3,714,873		—		—
Pharmaceuticals		200,386,015		—		—
Professional Services		6,453,310		—		—
Real Estate Investment Trusts (REITs)		76,217,320		—		—
Real Estate Management & Development		1,688,525		—		—
Road & Rail		34,250,863		—		—
Semiconductors & Semiconductor Equipment		79,158,226		—		—
Software		123,182,250		—		—
Specialty Retail		77,797,923		—		—
Technology Hardware, Storage & Peripherals		152,000,246		—		—
Textiles, Apparel & Luxury Goods		27,593,177		—		—
Thrifts & Mortgage Finance		1,675,366		—		—
Tobacco		46,801,154		—		—
Trading Companies & Distributors		6,704,947		—		—
Affiliated Money Market Mutual Fund		161,927,049		—		—
U.S. Treasury Obligation		—		5,999,748		—
Other Financial Instruments*
Futures Contracts		4,017,856		—		—
Total	$	3,373,854,094	$	5,999,748	$	—

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

SEE NOTES TO FINANCIAL STATEMENTS.

A159

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

Oil, Gas & Consumable Fuels	6.9	%
Pharmaceuticals	6.1
Banks	5.9
Affiliated Money Market Mutual Fund (including 2.0% of collateral for securities on loan)	4.9
Technology Hardware, Storage & Peripherals	4.6
Software	3.7
Media	3.5
IT Services	3.2
Internet Software & Services	3.1
Biotechnology	2.8
Aerospace & Defense	2.6
Insurance	2.5
Food & Staples Retailing	2.4
Semiconductors & Semiconductor Equipment	2.4
Specialty Retail	2.3
Chemicals	2.3
Real Estate Investment Trusts (REITs)	2.3
Industrial Conglomerates	2.3
Health Care Providers & Services	2.2
Capital Markets	2.2
Diversified Telecommunication Services	2.2
Health Care Equipment & Supplies	2.2
Beverages	2.1
Diversified Financial Services	2.0
Household Products	1.9
Electric Utilities	1.8
Communications Equipment	1.6
Hotels, Restaurants & Leisure	1.6
Food Products	1.6
Machinery	1.5
Tobacco	1.4
Energy Equipment & Services	1.3
Multi-Utilities	1.2
Internet & Catalog Retail	1.1

Road & Rail	1.0	%
Consumer Finance	0.9
Textiles, Apparel & Luxury Goods	0.8
Air Freight & Logistics	0.8
Multiline Retail	0.7
Automobiles	0.6
Electrical Equipment	0.6
Commercial Services & Supplies	0.4
Household Durables	0.4
Life Sciences Tools & Services	0.4
Electronic Equipment, Instruments & Components	0.4
Auto Components	0.4
Metals & Mining	0.4
Airlines	0.4
Trading Companies & Distributors	0.2
Professional Services	0.2
Containers & Packaging	0.2
U.S. Treasury Obligation	0.2
Paper & Forest Products	0.1
Construction & Engineering	0.1
Personal Products	0.1
Health Care Technology	0.1
Independent Power & Renewable Electricity Producers	0.1
Leisure Products	0.1
Distributors	0.1
Construction Materials	0.1
Building Products	0.1
Real Estate Management & Development	0.1
Thrifts & Mortgage Finance	0.1
Diversified Consumer Services	0.1
	101.9
Liabilities in excess of other assets	(1.9	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A160

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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 December 31, 2014 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Equity contracts	Due from/to broker — variation margin futures	$	4,017,856	*	—	$	—

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

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

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	12,948,593
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	1,339,538

For the year ended December 31, 2014, the Fund’s average value at trade date for futures long positions was $95,195,846.

SEE NOTES TO FINANCIAL STATEMENTS.

A161

STOCK INDEX PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014

ASSETS
Investments at value, including securities on loan of $63,204,983:
Unaffiliated investments (cost $1,161,566,176)	$	3,213,908,937
Affiliated investments (cost $161,927,049)		161,927,049
Dividends and interest receivable		4,316,297
Receivable for investments sold		583,775
Receivable for Series shares sold		63,878
Tax reclaim receivable		2,435
Prepaid expenses		23,918
Total Assets		3,380,826,289
LIABILITIES
Payable to broker for collateral for securities on loan		65,419,511
Due to broker—variation margin futures		1,240,515
Management fee payable		843,238
Payable for Series shares repurchased		242,819
Accrued expenses		192,089
Payable for investments purchased		155,159
Payable to custodian		58,234
Affiliated transfer agent fee payable		926
Total Liabilities		68,152,491
NET ASSETS	$	3,312,673,798
Net assets were comprised of:
Paid-in capital	$	1,212,702,596
Retained earnings		2,099,971,202
Net assets, December 31, 2014	$	3,312,673,798
Net asset value and redemption price per share $3,312,673,798 / 67,151,072 outstanding shares of beneficial interest	$	49.33

STATEMENT OF OPERATIONS

Year Ended December 31, 2014

NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $6,110)	$	60,919,160
Affiliated income from securities loaned, net		217,848
Affiliated dividend income		142,886
Interest income		2,308
Total income		61,282,202
EXPENSES
Management fee		10,765,929
Custodian’s fees and expenses		311,000
Shareholders’ reports		100,000
Insurance expenses		39,000
Trustees’ fees		33,000
Audit fee		26,000
Legal fees and expenses		17,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		12,000
Commitment fee on syndicated credit agreement		5,000
Miscellaneous		15,817
Total expenses		11,324,746
Less: Management fee waiver		(1,537,990	)
Net expenses		9,786,756
NET INVESTMENT INCOME		51,495,446
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on:
Investment transactions		28,994,342
Futures transactions		12,948,593
		41,942,935
Net change in unrealized appreciation (depreciation) on:
Investments		294,385,967
Futures		1,339,538
		295,725,505
NET GAIN ON INVESTMENT TRANSACTIONS		337,668,440
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	389,163,886

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	51,495,446		$	46,538,020
Net realized gain on investment transactions		41,942,935			77,667,845
Net change in unrealized appreciation (depreciation) on investments		295,725,505			599,872,780
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		389,163,886			724,078,645
DISTRIBUTIONS		(225,034,357	)		—
SERIES SHARE TRANSACTIONS
Series shares sold [5,571,572 and 952,181 shares, respectively]		260,144,327			39,860,195
Series shares issued in reinvestment of distributions [4,895,244 and 0 shares, respectively]		225,034,357			—
Series shares repurchased [4,786,716 and 5,120,314 shares, respectively]		(227,184,200	)		(213,653,470	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		257,994,484			(173,793,275	)
TOTAL INCREASE		422,124,013			550,285,370
NET ASSETS:
Beginning of year		2,890,549,785			2,340,264,415
End of year	$	3,312,673,798		$	2,890,549,785

SEE NOTES TO FINANCIAL STATEMENTS.

A162

	VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2014

LONG-TERM INVESTMENTS — 96.1%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 1.8%
Boeing Co. (The)		223,684	$	29,074,446
Airlines — 2.4%
United Continental Holdings, Inc.*		571,123		38,202,417
Auto Components — 2.0%
Lear Corp.		325,943		31,968,489
Automobiles — 1.3%
General Motors Co.		618,842		21,603,774
Banks — 11.8%
Bank of America Corp.		1,948,329		34,855,606
Citigroup, Inc.		709,419		38,386,662
JPMorgan Chase & Co.		759,535		47,531,700
PNC Financial Services Group, Inc. (The)		236,738		21,597,608
Wells Fargo & Co.		861,891		47,248,865
				189,620,441
Biotechnology — 1.5%
Celgene Corp.*		210,854		23,586,128
Capital Markets — 4.1%
Goldman Sachs Group, Inc. (The)		185,453		35,946,355
Morgan Stanley		766,950		29,757,660
				65,704,015
Chemicals — 1.1%
FMC Corp.		312,689		17,832,654
Communications Equipment — 1.5%
Brocade Communications Systems, Inc.		2,018,678		23,901,148
Consumer Finance — 4.5%
Capital One Financial Corp.		274,366		22,648,913
Navient Corp.		1,092,354		23,605,770
SLM Corp.		2,584,809		26,339,204
				72,593,887
Diversified Financial Services — 1.3%
Voya Financial, Inc.		502,949		21,314,979
Diversified Telecommunication Services — 2.1%
CenturyLink, Inc.		364,697		14,434,707
Vivendi SA (France)		769,143		19,144,426
				33,579,133
Electric Utilities — 2.4%
FirstEnergy Corp.		983,979		38,365,341
Electrical Equipment — 1.2%
Eaton Corp. PLC		278,485		18,925,841
Electronic Equipment, Instruments & Components — 1.5%
Flextronics International Ltd.*		2,168,516		24,244,009
Energy Equipment & Services — 1.3%
Halliburton Co.		513,346		20,189,898
Food Products — 3.2%
Bunge Ltd.		238,685		21,698,853
Mondelez International, Inc. (Class A Stock)		815,078		29,607,709
				51,306,562

COMMON STOCKS (continued)	Shares		Value (Note 2)
Health Care Providers & Services — 2.7%
Cigna Corp.		246,153	$	25,331,605
HCA Holdings, Inc.*		243,502		17,870,612
				43,202,217
Hotels, Restaurants & Leisure — 4.4%
Carnival Corp.		714,382		32,382,936
Hyatt Hotels Corp. (Class A Stock)*		357,843		21,545,727
International Game Technology		942,126		16,251,674
				70,180,337
Independent Power & Renewable Electricity Producers — 1.4%
NRG Energy, Inc.		849,587		22,896,370
Industrial Conglomerates — 1.4%
Siemens AG (Germany), ADR		195,046		21,845,152
Insurance — 3.5%
MetLife, Inc.		619,016		33,482,575
Travelers Cos., Inc. (The)		216,668		22,934,308
				56,416,883
Internet Software & Services — 0.9%
Google, Inc. (Class A Stock)*		26,028		13,812,018
Machinery — 1.4%
SPX Corp.		268,787		23,094,179
Media — 3.5%
Comcast Corp. (Class A Stock)		499,574		28,980,288
Liberty Global PLC (United Kingdom) (Series C)*		563,947		27,244,279
				56,224,567
Multiline Retail — 1.7%
Target Corp.		357,291		27,121,960
Oil, Gas & Consumable Fuels — 8.6%
Anadarko Petroleum Corp.		204,597		16,879,252
Chevron Corp.		186,245		20,892,964
Marathon Oil Corp.		828,482		23,437,756
Marathon Petroleum Corp.		148,180		13,374,727
Noble Energy, Inc.		439,314		20,836,663
Occidental Petroleum Corp.		231,947		18,697,248
Suncor Energy, Inc. (Canada)		730,914		23,228,447
				137,347,057
Personal Products — 0.7%
Avon Products, Inc.		1,250,184		11,739,228
Pharmaceuticals — 8.7%
Actavis, Inc.*		120,886		31,117,265
Bayer AG (Germany), ADR		164,132		22,459,823
Merck & Co., Inc.		462,272		26,252,427
Mylan, Inc.*(a)		581,603		32,784,961
Teva Pharmaceutical Industries Ltd. (Israel), ADR		475,545		27,348,593
				139,963,069
Road & Rail — 2.6%
Hertz Global Holdings, Inc.*		884,454		22,058,283
Union Pacific Corp.		165,834		19,755,804
				41,814,087

SEE NOTES TO FINANCIAL STATEMENTS.

A163

	VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Semiconductors & Semiconductor Equipment — 1.9%
Applied Materials, Inc.		1,230,850	$	30,672,782
Software — 1.8%
Microsoft Corp.		624,863		29,024,886
Technology Hardware, Storage & Peripherals — 5.9%
Apple, Inc.		160,276		17,691,265
EMC Corp.		808,337		24,039,942
Hewlett-Packard Co.		840,836		33,742,749
NCR Corp.*		636,739		18,554,574
				94,028,530
TOTAL LONG-TERM INVESTMENTS (cost $1,078,167,765)				1,541,396,484

SHORT-TERM INVESTMENT — 3.8%	Shares		Value (Note 2)
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $60,772,823; includes $330,421 of cash collateral for securities on loan) (Note 4)(b)(c)		60,772,823	$	60,772,823
TOTAL INVESTMENTS — 99.9% (cost $1,138,940,588)				1,602,169,307
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%				1,014,144
NET ASSETS — 100.0%			$	1,603,183,451

See the Glossary for abbreviations used in the Portfolio descriptions.

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $315,672; cash collateral of $330,421 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

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

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

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

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

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

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

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	29,074,446	$	—	$	—
Airlines		38,202,417		—		—
Auto Components		31,968,489		—		—
Automobiles		21,603,774		—		—
Banks		189,620,441		—		—
Biotechnology		23,586,128		—		—
Capital Markets		65,704,015		—		—
Chemicals		17,832,654		—		—
Communications Equipment		23,901,148		—		—
Consumer Finance		72,593,887		—		—
Diversified Financial Services		21,314,979		—		—
Diversified Telecommunication Services		14,434,707		19,144,426		—
Electric Utilities		38,365,341		—		—
Electrical Equipment		18,925,841		—		—
Electronic Equipment, Instruments & Components		24,244,009		—		—
Energy Equipment & Services		20,189,898		—		—
Food Products		51,306,562		—		—
Health Care Providers & Services		43,202,217		—		—
Hotels, Restaurants & Leisure		70,180,337		—		—
Independent Power & Renewable Electricity Producers		22,896,370		—		—
Industrial Conglomerates		21,845,152		—		—
Insurance		56,416,883		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A164

	VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

	Level 1		Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Internet Software & Services	$	13,812,018	$	—	$	—
Machinery		23,094,179		—		—
Media		56,224,567		—		—
Multiline Retail		27,121,960		—		—
Oil, Gas & Consumable Fuels		137,347,057		—		—
Personal Products		11,739,228		—		—
Pharmaceuticals		139,963,069		—		—
Road & Rail		41,814,087		—		—
Semiconductors & Semiconductor Equipment		30,672,782		—		—
Software		29,024,886		—		—
Technology Hardware, Storage & Peripherals		94,028,530		—		—
Affiliated Money Market Mutual Fund		60,772,823		—		—
Total	$	1,583,024,881	$	19,144,426	$	—

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

Banks	11.8	%
Pharmaceuticals	8.7
Oil, Gas & Consumable Fuels	8.6
Technology Hardware, Storage & Peripherals	5.9
Consumer Finance	4.5
Hotels, Restaurants & Leisure	4.4
Capital Markets	4.1
Affiliated Money Market Mutual Fund (including 0.0%* of collateral for securities on loan)	3.8
Insurance	3.5
Media	3.5
Food Products	3.2
Health Care Providers & Services	2.7
Road & Rail	2.6
Electric Utilities	2.4
Airlines	2.4
Diversified Telecommunication Services	2.1
Auto Components	2.0
Semiconductors & Semiconductor Equipment	1.9
Aerospace & Defense	1.8

* Less than 0.05%.

Software	1.8	%
Multiline Retail	1.7
Electronic Equipment, Instruments & Components	1.5
Communications Equipment	1.5
Biotechnology	1.5
Machinery	1.4
Independent Power & Renewable Electricity Producers	1.4
Industrial Conglomerates	1.4
Automobiles	1.3
Diversified Financial Services	1.3
Energy Equipment & Services	1.3
Electrical Equipment	1.2
Chemicals	1.1
Internet Software & Services	0.9
Personal Products	0.7
	99.9
Other assets in excess of liabilities	0.1
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A165

VALUE PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014

ASSETS
Investments at value, including securities on loan of $315,672:
Unaffiliated investments (cost $1,078,167,765)	$	1,541,396,484
Affiliated investments (cost $60,772,823)		60,772,823
Receivable for investments sold		3,183,153
Dividends receivable		1,120,336
Tax reclaim receivable		532,472
Receivable for Series shares sold		1,877
Prepaid expenses		12,823
Total Assets		1,607,019,968
LIABILITIES
Payable for investments purchased		2,486,541
Management fee payable		542,826
Payable to broker for collateral for securities on loan		330,421
Payable for Series shares repurchased		317,586
Accrued expenses		149,103
Payable to custodian		4,760
Distribution fee payable		2,246
Administration fee payable		1,347
Affiliated transfer agent fee payable		926
Deferred trustees’ fees		761
Total Liabilities		3,836,517
NET ASSETS	$	1,603,183,451
Net assets were comprised of:
Paid-in capital	$	1,031,169,164
Retained earnings		572,014,287
Net assets, December 31, 2014	$	1,603,183,451
Class I:
Net asset value and redemption price per share $1,592,552,629 / 60,148,344 outstanding shares of beneficial interest	$	26.48
Class II:
Net asset value and redemption price per share $10,630,822 / 401,893 outstanding shares of beneficial interest	$	26.45

STATEMENT OF OPERATIONS

Year Ended December 31, 2014

NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $542,156)	$	24,161,185
Affiliated income from securities loaned, net		83,268
Affiliated dividend income		57,989
Total income		24,302,442
EXPENSES
Management fee		6,369,263
Distribution fee—Class II		20,931
Administration fee—Class II		12,559
Custodian’s fees and expenses		140,000
Shareholders’ reports		100,000
Trustees’ fees		23,000
Audit fee		23,000
Insurance expenses		21,000
Legal fees and expenses		13,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		11,000
Commitment fee on syndicated credit agreement		3,000
Interest expense		198
Miscellaneous		4,051
Total expenses		6,741,002
Less: Management fee waiver		(391,488	)
Net expenses		6,349,514
NET INVESTMENT INCOME		17,952,928
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain on:
Investment transactions		109,073,304
Foreign currency transactions		5,195
		109,078,499
Net change in unrealized appreciation (depreciation) on:
Investments		26,185,947
Foreign currencies		(14,412	)
		26,171,535
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		135,250,034
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	153,202,962

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	17,952,928		$	15,219,628
Net realized gain on investment and foreign currency transactions		109,078,499			184,051,019
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		26,171,535			206,906,734
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		153,202,962			406,177,381
SERIES SHARE TRANSACTIONS (NOTE 7)
Series shares sold		11,406,469			25,700,974
Series shares repurchased		(137,573,230	)		(125,239,881	)
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(126,166,761	)		(99,538,907	)
TOTAL INCREASE		27,036,201			306,638,474
NET ASSETS:
Beginning of year		1,576,147,250			1,269,508,776
End of year	$	1,603,183,451		$	1,576,147,250

SEE NOTES TO FINANCIAL STATEMENTS.

A166

	GLOSSARY
SCHEDULE OF INVESTMENTS		December 31, 2014

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

Currency

AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
CLP	Chilean Peso
CNH	Chinese Renminbi
EUR	Euro
GBP	British Pound
HUF	Hungarian Forint
INR	Indian Rupee
JPY	Japanese Yen
MXN	Mexican Peso
MYR	Malaysian Ringgit
NOK	Norwegian Krone
NZD	New Zealand Dollar
PHP	Philippine Peso
PLN	Polish Zloty
RUB	Russian Ruble
SGD	Singapore Dollar
TRY	Turkish Lira
USD	United States Dollar
ZAR	South African Rand

Index

CDX Credit Derivative Index

Other

144A	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
Reg. D	Security was purchased pursuant to Regulation D under the Securities Act of 1933, providing exemption from the registration requirements. Unless otherwise noted, Regulation D securities are deemed to be liquid.
RegS	Regulation S. Security was purchased pursuant to Regulation S and may not be offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
ABS	Asset-Backed Security
ADR	American Depositary Receipt
BABs	Build America Bonds
BBSW	Australian Bank Bill Swap Reference Rate
bps	Basis Points
CDO	Collateralized Debt Obligation
CLO	Collateralized Loan Obligation
CMBS	Collateralized Mortgage-Backed Security
CVA	Certificate Van Aandelen (Bearer)
CVR	Contingent Value Rights
EAFE	Europe, Australasia and Far East
ETF	Exchange Traded Fund
EURIBOR	Euro Interbank Offered Rate
EUROIS	Euro Overnight Index Swap
FHLMC	Federal Home Loan Mortgage Corp.
GMTN	Global Medium Term Note
GO	General Obligation
I/O	Interest Only
JIBAR	Johannesburg Interbank Agreed Rate
LIBOR	London Interbank Offered Rate
MOSPRIME	Moscow Prime Offered Rate
MSCI	Morgan Stanley Capital International

SEE NOTES TO FINANCIAL STATEMENTS.

A167

	GLOSSARY (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

MTN	Medium Term Note
PIK	Payment-in-Kind
PRFC	Preference Shares
REIT	Real Estate Investment Trust
REMICS	Real Estate Mortgage Investment Conduit Service
SDR	Swedish Depositary Receipt
SWX	Swiss Exchange
TBA	To Be Announced
TIPS	Treasury Inflation Protected Securities
USAID	United States Agency for International Development

SEE NOTES TO FINANCIAL STATEMENTS.

A168

NOTES TO THE FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

Note 1: General

The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”). The Series Fund is composed of eighteen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the thirteen Portfolios which are listed below along with each Portfolio’s investment objective.

Conservative Balanced Portfolio:    Total investment return consistent with a conservatively managed diversified portfolio.

Diversified Bond Portfolio:    High level of income over a longer term while providing reasonable safety of capital.

Equity Portfolio:    Long-term growth of capital.

Flexible Managed Portfolio:    Total return consistent with an aggressively managed diversified portfolio.

Global Portfolio:    Long-term growth of capital.

Government Income Portfolio:    High level of income over the long-term consistent with the preservation of capital.

High Yield Bond Portfolio:    High total return.

Jennison Portfolio:    Long-term growth of capital.

Money Market Portfolio:    Maximum current income consistent with the stability of capital and maintenance of liquidity.

Natural Resources Portfolio:    Long-term growth of capital.

Small Capitalization Stock Portfolio:    Long-term growth of capital.

Stock Index Portfolio:    Achieve investment results that generally correspond to the performance of publicly traded common stocks.

Value Portfolio:    Capital appreciation.

Note 2: Accounting Policies

The Series Fund follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolios consistently follow such policies in the preparation of their financial statements.

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

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

B1

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, as the inputs are observable and considered to be significant to the valuation.

Common and preferred stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy, as the adjustment factors are observable and considered to be significant to the valuation. Such securities are valued using model prices to the extent that the valuation meets the established confidence level for each security. If the confidence level is not met or the vendor does not provide a model price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.

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

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

The Money Market Portfolio values all of its securities of sufficient credit quality, at amortized cost, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 in the fair value hierarchy.

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

Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the respective exchange. These securities are classified as Level 2 in the fair value hierarchy, as the daily settlement price is not public.

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

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

B2

Portfolio has valued the investment. Therefore, the Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its Subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional

buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s Subadviser under the guidelines adopted by the Board of the Portfolio. However, the liquidity of the Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.

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

Foreign Currency Translation:    The books and records of the Portfolios are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:

(i)  market value of investment securities, other assets and liabilities — at the current rates of exchange;

(ii)  purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.

Although the net assets of the Portfolios are presented at the foreign exchange rates and market values at the close of the period, the Portfolios do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, these realized foreign currency gains or losses are included in the reported net realized gains or losses on investment transactions.

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

Concentration of Risk:    The ability of debt securities issuers (other than those issued or guaranteed by the U.S. Government) held by the Portfolios to meet their obligations may be affected by the economic or political developments in a specific industry, region or country. Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political or economic instability or the level of governmental supervision and regulation of foreign securities markets.

Forward Currency Contracts:    A forward currency contract is a commitment between two parties to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios entered into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or specific receivables and payables denominated in a foreign currency. The contracts are valued daily at current exchange rates and any unrealized gain or loss is included in net unrealized appreciation or depreciation on foreign currencies. Gain or loss is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain or loss, if any, is included in net realized gain (loss) on foreign currency transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit

B3

risk in excess of the amounts reflected on the Statement of Assets and Liabilities. A Portfolio’s maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life.

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

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

Loan Participations:    Certain Portfolios may invest in loan participations. When the Portfolio purchases a loan participation, the Portfolio typically enters into a contractual relationship with the lender or third party selling such participations (“Selling Participant”), but not the borrower. As a result, the Portfolio assumes the credit risk of the borrower and any other persons interpositioned between the Portfolio and the borrower. The Portfolio may not directly benefit from the collateral supporting the senior loan in which it has purchased the loan participation.

Financial Futures Contracts:    A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Portfolio is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin.” Subsequent payments, known as “variation margin,” are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain or loss. When the contract expires or is closed, the gain or loss is realized and is presented in the Statement of Operations as net realized gain or loss on financial futures contracts.

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

Options:    Certain Portfolios purchased and wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates and foreign currency exchange rates, with respect to securities which the Portfolio currently owns or intends to purchase. The Portfolios’ principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Portfolio realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost of the purchase in determining whether the Portfolio has realized a gain or loss. The difference between the premium and the amount received or paid at the closing of a purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in net realized gain or loss on investment transactions. Gain or loss on written options is presented separately as net realized gain or loss on options written. The Portfolio, as writer of an option, may have no control over whether the underlying securities may

B4

be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security underlying the written option. The Portfolio, as a purchaser of an over-the-counter option, bears the risk of the potential inability of the counterparties to meet the terms of their contracts. With exchange-traded options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded options, and guarantees the options contracts against default.

Swap Agreements:    Certain Portfolios entered into credit default, interest rate, total return and other forms of swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the over-the-counter market and may be executed either directly with a counterparty (“OTC-traded”) or through a central clearing facility, such as a registered commodities exchange (“Exchange-traded”). Swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation or depreciation on investments. Exchange-traded swaps pay or receive an amount, known as “variation margin”, based on daily changes in the valuation of the swap contract. Payments received or paid by the Portfolio are recorded as realized gains or losses upon termination or maturity of the swap. Risk of loss may exceed amounts recognized on the Statements of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.

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

Credit Default Swaps:    Credit default swaps (“CDS”) involve one party (the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default or as a result of a default (collectively a “credit event”) for the referenced entity (typically corporate issues or sovereign issues of an emerging country) on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index.

Certain Portfolios are subject to credit risk in the normal course of pursuing their investment objectives. Certain Portfolios may enter into credit default swaps to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases. A Portfolios’ maximum risk of loss from counterparty credit risk for purchased credit default swaps is the inability of the counterparty to honor the contract up to the notional value due to a credit event.

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

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

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues of an emerging country as of period end are disclosed in the footnotes to the Schedule of Investments, if applicable. These spreads serve as indicators of the current

B5

status of the payment/performance risk and represent the likelihood of default risk for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as indicators of the current status of the payment/performance risk. Wider credit spreads and increased market value in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

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

Master Netting Arrangements:    Certain Portfolios are subject to various Master Agreements, or netting arrangements, with select counterparties. These are arrangements which a sub-adviser may have negotiated and entered into on behalf of the Portfolio. For multi-sleeve Portfolios, different sub-advisors who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives under the FASB Accounting Standards Update (“ASU”) 2013-01 disclosure. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. The right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there were no instances where the right of set-off existed and management has not elected to offset.

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

In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in the portfolio may be identified or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and to serve as recourse in the event of default or bankruptcy/insolvency of either party. Such over-the-counter derivative agreements include conditions which, when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.

B6

As of December 31, 2014, none of the Portfolios have met conditions under such agreements which give the counterparty the right to call for an early termination.

Forward currency contracts, written options, short sales, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. Such risks may be mitigated by engaging in master netting arrangements.

Warrants and Rights:    Certain Portfolios hold warrants and rights acquired either through a direct purchase, included as part of a private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolio until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.

Securities Lending:    Each Portfolio may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in a highly liquid short-term money market and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities, and any interest on the investment of cash received as collateral. The Portfolio also continues to receive interest and dividends or amounts equivalent thereto, on the securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.

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

When-Issued/Delayed Delivery Securities:    Securities purchased or sold on a when-issued or delayed delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Portfolio enters into such transactions, it instructs the custodian to segregate assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains or losses from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on the accrual basis, which may require the use of certain estimates by management that may differ from actual.

For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees, which are charged to the respective class) and unrealized and realized gains or losses are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.

Taxes:    For federal income tax purposes, each Portfolio is treated as a separate taxpaying entity. The Portfolios are treated as partnerships for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of the Portfolios’ shareholders (Participating Insurance Companies). The Portfolios are not generally subject to entity-level taxation. Shareholders of each Portfolio are subject to taxes on their distributive share of partnership items.

Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Portfolio’s understanding of the applicable country’s tax rules and regulations.

B7

Distributions:    Distributions from each Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. The Money Market Portfolio declares and reinvests distributions, if any, daily. Distributions are recorded on the ex-date.

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

Note 3: Agreements

The Series Fund has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadvisors’ performance of such services. PI has entered into subadvisory agreements with Prudential Investment Management, Inc. (“PIM”), Jennison Associates LLC (“Jennison”), Brown Advisory, LLC (“Brown”), LSV Asset Management (“LSV”), Quantitative Management Associates LLC (“QMA”), T. Rowe Price Associates, Inc. (“T. Rowe”) and William Blair & Co. LLC (“William Blair”) (collectively, the “Subadvisors”), under which each provides investment advisory services for certain Portfolios of the Series Fund. PI pays for the services of the Subadvisors, cost of compensation of officers of the Series Fund, occupancy and certain clerical and administrative expenses of the Series Fund. The Portfolios bear all other costs and expenses.

The management fee paid to PI is accrued daily and payable monthly, using the value of each of the Portfolio’s average daily net assets, at the respective annual rates specified below.

Portfolio	Management Fee	Effective Management Fee
Conservative Balanced Portfolio	0.55%		0.55	%
Diversified Bond Portfolio	0.40		0.40
Equity Portfolio	0.45		0.45
Flexible Managed Portfolio	0.60		0.60
Global Portfolio	0.75		0.74	***
Government Income Portfolio	0.40		0.40
High Yield Bond Portfolio	0.55		0.55
Jennison Portfolio	0.60		0.60
Money Market Portfolio	0.40		0.12	*
Natural Resources Portfolio	0.45		0.40	*****
Small Capitalization Stock Portfolio	0.40		0.35	*****
Stock Index Portfolio	0.35% up to $4 billion 0.30% over $4 billion		0.30	**
Value Portfolio	0.40		0.38	****

* In order to support the income yield, PI has voluntarily agreed to limit the management fees of the Money Market Portfolio such that the 1-day annualized yield of the Portfolio (excluding capital gain or loss) does not fall below 0.00%. Prior to July 1, 2012, PI had voluntarily agreed to limit the management fees of the Money Market Portfolio such that the 1-day annualized yield of the Portfolio (excluding capital gain or loss) did not fall below 0.02%. The waiver is voluntary and may be modified or terminated by PI at any time without notice. During the year ended December 31, 2014, the total waiver as a result of this voluntary agreement was $2,364,760 or an annualized 0.28% of the Money Market Portfolio’s average daily net assets.

** PI had voluntarily agreed, through June 30, 2014, to waive a portion of its management fee equal to an annual rate of 0.05% of the average daily net assets of the Portfolio. Effective July 1, 2014, PI has contractually agreed, through June 30, 2015, to waive a portion of its management fee equal to an annual rate of 0.05% of the average daily net assets of the Portfolio.

*** PI has contractually agreed, through June 30, 2015, to waive a portion of its management fee equal to an annual rate of 0.01% of the average daily net assets of the Portfolio.

**** PI had contractually agreed, through June 30, 2014, to waive a portion of its management fee equal to an annual rate of 0.05% of the average daily net assets of the Portfolio.

***** PI has contractually agreed, through June 30, 2015, to waive a portion of its management fee equal to an annual rate of 0.05% of the average daily net assets of the Portfolio.

B8

At December 31, 2014, the Subadvisors that provide investment advisory services to the Portfolios are listed directly below. Where more than one Subadvisor is listed, each Subadvisor provides services to a segment of the Portfolio:

Portfolio	Subadvisor(s)
Conservative Balanced Portfolio	PIM, QMA
Diversified Bond Portfolio	PIM
Equity Portfolio	Jennison
Flexible Managed Portfolio	PIM, QMA
Global Portfolio	Brown, LSV, QMA, T. Rowe & William Blair
Government Income Portfolio	PIM
High Yield Bond Portfolio	PIM
Jennison Portfolio	Jennison
Money Market Portfolio	PIM
Natural Resources Portfolio	Jennison
Small Capitalization Stock Portfolio	QMA
Stock Index Portfolio	QMA
Value Portfolio	Jennison

The Series Fund has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Series Fund. The Series Fund compensates PIMS for distributing and servicing the Series Fund’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Series Fund. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.

The Series Fund has an administration agreement with PI, which acts as the administrator of the Class II shares of the Series Fund. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.

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

Certain Portfolios have entered into a brokerage commission recapture agreement with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those Portfolios generating the applicable trades. Such amounts are included with realized gain or loss on investment transactions presented in the Statement of Operations. For the year ended December 31, 2014, brokerage commission recaptured under these agreements was as follows:

Portfolio	Amount
Equity Portfolio		$437,725
Global Portfolio		20,640
Jennison Portfolio		88,171
Natural Resources Portfolio		46,261
Value Portfolio		159,764

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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PIM also serves as the Series Fund’s security lending agent. For the year ended December 31, 2014, PIM was compensated for these services as follows:

Portfolio	Amount
Conservative Balanced Portfolio	$	54,146
Diversified Bond Portfolio		26,226
Equity Portfolio		175,533
Flexible Managed Portfolio		59,587
Global Portfolio		6,447
Government Income Portfolio		10,484
High Yield Bond Portfolio		407,802
Jennison Portfolio		101,914
Natural Resources Portfolio		49,144
Small Capitalization Stock Portfolio		174,582
Stock Index Portfolio		65,071
Value Portfolio		24,872

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

Note 5: Portfolio Securities

The aggregate cost of purchases and the proceeds from the sales of securities (excluding government securities and short-term issues) for the year ended December 31, 2014 were as follows:

Portfolio	Cost of Purchases		Proceeds from Sales
Conservative Balanced Portfolio	$	2,472,277,634	$	2,516,413,550
Diversified Bond Portfolio		215,829,643		441,314,280
Equity Portfolio		1,985,014,118		2,192,706,456
Flexible Managed Portfolio		5,285,342,776		5,406,609,988
Global Portfolio		268,094,938		304,352,638
Government Income Portfolio		2,582,450,103		2,584,443,780
High Yield Bond Portfolio		1,710,965,528		1,465,228,676
Jennison Portfolio		547,869,040		661,002,438
Natural Resources Portfolio		195,673,027		246,889,683
Small Capitalization Stock Portfolio		106,802,321		154,651,344
Stock Index Portfolio		200,276,711		135,614,691
Value Portfolio		578,169,151		738,922,867

Options written transactions, during the year ended December 31, 2014, were as follows:

Conservative Balanced Portfolio	Notional Amount (000)			Premiums
Balance as of December 31, 2013		—		$	—
Options written		389,400			608,279
Options terminated in closing purchase transactions		(203,100	)		(371,827	)
Options expired		(102,300	)		(197,820	)
Balance as of December 31, 2014		84,000		$	38,632
Diversified Bond Portfolio	Notional Amount (000)			Premiums
Balance as of December 31, 2013		—		$	—
Options written		1,653,280			2,431,026
Options terminated in closing purchase transactions		(266,980	)		(345,091	)
Options expired		(737,300	)		(1,630,317	)
Balance as of December 31, 2014		649,000		$	455,618

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Flexible Managed Portfolio	Notional Amount (000)			Premiums
Balance as of December 31, 2013		—		$	—
Options written		507,440			791,646
Options terminated in closing purchase transactions		(265,640	)		(484,762	)
Options expired		(133,000	)		(256,847	)
Balance as of December 31, 2014		108,800		$	50,037
Government Income Portfolio	Notional Amount (000)			Premiums
Balance as of December 31, 2013		—		$	—
Options written		364,080			567,303
Options terminated in closing purchase transactions		(192,380	)		(348,297	)
Options expired		(95,300	)		(183,870	)
Balance as of December 31, 2014		76,400		$	35,136

Note 6: Tax Information

All Portfolios are treated as partnerships for tax purposes. The character of the cash distributions made by the partnerships is generally classified as return of capital nontaxable distributions. After each fiscal year each partner will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate its fair market value. The Portfolios generally attempt to manage their diversification in a manner that supports the diversification requirements of the underlying separate accounts.

Management has analyzed the Portfolios’ tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolios’ financial statements for the current period. The Portfolios’ federal, state and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

Note 7: Capital

The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts. As of December 31, 2014, the Equity, Jennison, Natural Resources and Value Portfolios have Class II shares outstanding.

B11

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

Equity Portfolio:

Class I	Shares			Amount
Year ended December 31, 2014:
Series shares sold		334,797		$	12,282,548
Series shares repurchased		(7,032,156	)		(259,927,615	)
Net increase (decrease) in shares outstanding		(6,697,359	)	$	(247,645,067	)
Year ended December 31, 2013:
Series shares sold		497,608		$	15,342,872
Series shares repurchased		(7,725,116	)		(238,388,587	)
Net increase (decrease) in shares outstanding		(7,227,508	)	$	(223,045,715	)
Class II
Year ended December 31, 2014:
Series shares sold		14,613		$	533,921
Series shares repurchased		(21,926	)		(816,476	)
Net increase (decrease) in shares outstanding		(7,313	)	$	(282,555	)
Year ended December 31, 2013:
Series shares sold		14,609		$	480,313
Series shares repurchased		(17,287	)		(551,629	)
Net increase (decrease) in shares outstanding		(2,678	)	$	(71,316	)

Jennison Portfolio:

Class I	Shares			Amount
Year ended December 31, 2014:
Shares sold		437,648		$	16,981,425
Shares repurchased		(3,542,532	)		(136,572,954	)
Net increase (decrease) in shares outstanding		(3,104,884	)	$	(119,591,529	)
Year ended December 31, 2013:
Series shares sold		600,416		$	18,575,262
Series shares repurchased		(3,796,246	)		(117,710,464	)
Net increase (decrease) in shares outstanding		(3,195,830	)	$	(99,135,202	)
Class II
Year ended December 31, 2014:
Shares sold		251,796		$	9,480,751
Shares repurchased		(262,299	)		(9,828,686	)
Net increase (decrease) in shares outstanding		(10,503	)	$	(347,935	)
Year ended December 31, 2013:
Series shares sold		178,735		$	5,502,476
Series shares repurchased		(337,133	)		(10,158,265	)
Net increase (decrease) in shares outstanding		(158,398	)	$	(4,655,789	)

B12

Natural Resources Portfolio:

Class I	Shares			Amount
Year ended December 31, 2014:
Shares sold		439,890		$	17,269,602
Shares repurchased		(1,968,633	)		(74,412,547	)
Net increase (decrease) in shares outstanding		(1,528,743	)	$	(57,142,945	)
Year ended December 31, 2013:
Series shares sold		352,213		$	12,346,615
Series shares repurchased		(2,823,203	)		(99,674,548	)
Net increase (decrease) in shares outstanding		(2,470,990	)	$	(87,327,933	)
Class II
Year ended December 31, 2014:
Shares sold		534,762		$	19,096,047
Shares repurchased		(522,704	)		(19,771,982	)
Net increase (decrease) in shares outstanding		12,058		$	(675,935	)
Year ended December 31, 2013:
Series shares sold		287,501		$	10,062,470
Series shares repurchased		(643,622	)		(22,702,718	)
Net increase (decrease) in shares outstanding		(356,121	)	$	(12,640,248	)

Value Portfolio:

Class I	Shares			Amount
Year ended December 31, 2014:
Shares sold		321,290		$	8,064,035
Shares repurchased		(5,408,640	)		(136,662,414	)
Net increase (decrease) in shares outstanding		(5,087,350	)	$	(128,598,379	)
Year ended December 31, 2013:
Series shares sold		1,155,615		$	25,006,947
Series shares repurchased		(5,836,962	)		(123,779,113	)
Net increase (decrease) in shares outstanding		(4,681,347	)	$	(98,772,166	)
Class II
Year ended December 31, 2014:
Shares sold		129,503		$	3,342,434
Shares repurchased		(35,694	)		(910,816	)
Net increase (decrease) in shares outstanding		93,809		$	2,431,618
Year ended December 31, 2013:
Series shares sold		32,096		$	694,027
Series shares repurchased		(67,319	)		(1,460,768	)
Net increase (decrease) in shares outstanding		(35,223	)	$	(766,741	)

Note 8: Borrowings

The Portfolios (excluding the Money Market Portfolio), along with other affiliated registered investment companies (the “Funds”), are a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period October 9, 2014 through October 8, 2015. The Funds pay an annualized commitment fee of .075% of the unused portion of the SCA. Prior to October 9, 2014, the Funds had another SCA that provided a commitment of $900 million and the Funds paid an

B13

annualized commitment fee of .08% of the unused portion of the SCA. Interest on any borrowings under the SCA is paid at contracted market rates. The commitment fee for the unused amount is accrued daily and paid quarterly.

The following Portfolios utilized the SCA during the year ended December 31, 2014. The average balance outstanding is for the number of days the Portfolios had utilized the credit facility.

Portfolio	Approximate Average Balance Outstanding		Number of Days Outstanding		Weighted Average Interest Rates			Maximum Balance Outstanding		Amount Outstanding at December 31, 2014
Diversified Bond Portfolio	$	12,017,889		9		1.40	%	$	20,171,000	$	—
Jennison Portfolio		505,610		41		1.40	%		1,841,000		1,211,000
Value Portfolio		421,500		12		1.40	%		1,258,000		—

Note 9: Ownership and Affiliates

As of December 31, 2014, all of Class I shares of record of each Portfolio were owned by the Prudential Insurance Company of America (“PICA”), or subsidiaries thereof, on behalf of the owners of the variable insurance products issued by PICA. PICA is an indirect, wholly-owned subsidiary of Prudential.

B14

Financial Highlights

	Conservative Balanced Portfolio
	Year Ended December 31,
	2014(a)			2013(a)			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of year	$	20.63		$	17.77		$	16.32		$	15.96		$	14.65
Income (Loss) From Investment Operations:
Net investment income		.36			.35			.38			.36			.37
Net realized and unrealized gain on investments		1.46			2.51			1.43			.37			1.31
Total from investment operations		1.82			2.86			1.81			.73			1.68
Less Distributions		—			—			(.36	)		(.37	)		(.37	)
Net Asset Value, end of year	$	22.45		$	20.63		$	17.77		$	16.32		$	15.96
Total Return(b)		8.82	%		16.09	%		11.23	%		4.60	%		11.74	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	2,574.4		$	2,504.4		$	2,287.0		$	2,191.6		$	2,234.7
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.58	%		.58	%		.58	%		.59	%		.59	%
Expenses before waivers and/or expense reimbursement		.58	%		.58	%		.58	%		.59	%		.59	%
Net investment income		1.66	%		1.84	%		2.11	%		2.12	%		2.32	%
Portfolio turnover rate		134	%		196	%		188	%		215	%		185	%
	Diversified Bond Portfolio
	Year Ended December 31,
	2014(a)			2013			2012(a)			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of year	$	11.01		$	11.88		$	11.74		$	11.67		$	11.16
Income (Loss) From Investment Operations:
Net investment income		.43			.48			.54			.56			.52
Net realized and unrealized gain (loss) on investments		.34			(.56	)		.66			.30			.63
Total from investment operations		.77			(.08	)		1.20			.86			1.15
Less Distributions		(.12	)		(.79	)		(1.06	)		(.79	)		(.64	)
Net Asset Value, end of year	$	11.66		$	11.01		$	11.88		$	11.74		$11.67
Total Return(b)		7.09	%		(.71	)%		10.68	%		7.51	%		10.57	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	1,067.9		$	1,197.5		$	1,305.9		$	1,556.9		$	1,522.9
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.44	%		.44	%		.44	%		.42	%		.46	%
Expenses before waivers and/or expense reimbursement		.44	%		.44	%		.44	%		.42	%		.46	%
Net investment income		3.73	%		4.10	%		4.57	%		4.76	%		4.46	%
Portfolio turnover rate		50	%		111	%		144	%		167	%		191	%

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

C1

Financial Highlights

	Equity Portfolio
	Class I
	Year Ended December 31,
	2014(c)			2013			2012(c)			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of year	$	35.81		$	26.81		$	23.73		$	24.75		$	22.30
Income (Loss) From Investment Operations:
Net investment income		.19			.27			.27			.13			.15
Net realized and unrealized gain (loss) on investments		2.56			8.73			2.96			(.98	)		2.48
Total from investment operations		2.75			9.00			3.23			(.85	)		2.63
Less Distributions:		—			—			(.15	)		(.17	)		(.18	)
Net Asset Value, end of year	$	38.56		$	35.81		$	26.81		$	23.73		$	24.75
Total Return(a)		7.68	%		33.57	%		13.69	%		(3.47	)%		11.90	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	4,017.6		$	3,970.9		$	3,167.0		$	2,997.5		$	3,324.3
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursements		.47	%		.47	%		.47	%		.48	%		.48	%
Expenses before waivers and/or expense reimbursements		.47	%		.47	%		.47	%		.48	%		.48	%
Net investment income		.52	%		.86	%		1.04	%		.58	%		.71	%
Portfolio turnover rate		51	%		45	%		48	%		49	%		68	%
	Equity Portfolio
	Class II
	Year Ended December 31,
	2014(c)			2013			2012(c)			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of year	$	36.05		$	27.10		$	23.99		$	25.00		$	22.46
Income (Loss) From Investment Operations:
Net investment income		.04			.13			.17			.06			.04
Net realized and unrealized gain (loss) on investments		2.57			8.82			3.00			(1.03	)		2.54
Total from investment operations		2.61			8.95			3.17			(.97	)		2.58
Less Distributions:		—			—			(.06	)		(.04	)		(.04	)
Net Asset Value, end of year	$	38.66		$	36.05		$	27.10		$	23.99		$	25.00
Total Return(a)		7.24	%		33.03	%		13.23	%		(3.87	)%		11.50	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	2.2		$	2.3		$	1.8		$	2.0		$	1.9
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursements		.87	%		.87	%		.87	%		.88	%		.88	%
Expenses before waivers and/or expense reimbursements		.87	%		.87	%		.87	%		.88	%		.88	%
Net investment income		.11	%		.47	%		.63	%		.19	%		.34	%
Portfolio turnover rate		51	%		45	%		48	%		49	%		68	%

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

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

(c) Calculated based on average shares outstanding during the year.

SEE NOTES TO FINANCIAL STATEMENTS.

C2

Financial Highlights

	Flexible Managed Portfolio
	Year Ended December 31,
	2014(a)			2013(a)			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of year	$	21.35		$	17.77		$	15.99		$	15.63		$	14.28
Income (Loss) From Investment Operations:
Net investment income		.37			.36			.37			.33			.31
Net realized and unrealized gain on investments		1.99			3.22			1.74			.34			1.37
Total from investment operations		2.36			3.58			2.11			.67			1.68
Less Distributions		—			—			(.33	)		(.31	)		(.33	)
Net Asset Value, end of year	$	23.71		$	21.35		$	17.77		$	15.99		$	15.63
Total Return(b)		11.05	%		20.15	%		13.37	%		4.34	%		12.03	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	3,943.8		$	3,730.6		$	3,265.8		$	3,036.8		$	3,077.3
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.63	%		.63	%		.63	%		.63	%		.64	%
Expenses before waivers and/or expense reimbursement		.63	%		.63	%		.63	%		.63	%		.64	%
Net investment income		1.66	%		1.86	%		2.05	%		2.01	%		2.06	%
Portfolio turnover rate(d)		161	%		210	%		214	%		246	%		205	%
	Global Portfolio
	Year Ended December 31,
	2014(a)			2013			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of year	$	24.91		$	19.57		$	16.94		$	18.49		$	16.68
Income (Loss) From Investment Operations:
Net investment income		.37			.31			.36			.29			.28
Net realized and unrealized gain (loss) on investments		.44			5.03			2.57			(1.56	)		1.79
Total from investment operations		.81			5.34			2.93			(1.27	)		2.07
Less Distributions		—			—			(.30	)		(.28	)		(.26	)
Net Asset Value, end of year	$	25.72		$	24.91		$	19.57		$	16.94		$	18.49
Total Return(b)		3.25	%		27.29	%		17.52	%		(6.97	)%		12.74	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	719.2		$	744.5		$	611.2		$	564.2		$	648.5
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursements		.81	%		.84	%		.84	%		.84	%		.87	%
Expenses before waivers and/or expense reimbursements		.82	%		.84	%		.84	%		.84	%		.87	%
Net investment income		1.45	%		1.29	%		1.82	%		1.54	%		1.60	%
Portfolio turnover rate		37	%		70	%		57	%		69	%		69	%

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

C3

Financial Highlights

	Government Income Portfolio
	Year Ended December 31,
	2014			2013			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of year	$	11.30		$	12.15		$	12.37		$	12.03		$	11.86
Income (Loss) From Investment Operations:
Net investment income		.21			.21			.25			.30			.35
Net realized and unrealized gain (loss) on investments		.45			(.49	)		.19			.60			.47
Total from investment operations		.66			(.28	)		.44			.90			.82
Less Distributions		(.04	)		(.57	)		(.66	)		(.56	)		(.65	)
Net Asset Value, end of year	$	11.92		$	11.30		$	12.15		$	12.37		$	12.03
Total Return(a)		5.86	%		(2.34	)%		3.63	%		7.63	%		6.99	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	339.2		$	341.1		$	382.9		$	416.7		$	399.2
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursements		.47	%		.49	%		.48	%		.46	%		.50	%
Expenses before waivers and/or expense reimbursement		.47	%		.49	%		.48	%		.46	%		.50	%
Net investment income		1.73	%		1.78	%		1.96	%		2.48	%		2.87	%
Portfolio turnover rate(c)		830	%		1135	%		1154	%		1554	%		1122	%
	High Yield Bond Portfolio
	Year Ended December 31,
	2014			2013			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of year	$	5.29		$	5.26		$	4.93		$	5.06		$	4.83
Income (Loss) From Investment Operations:
Net investment income		.32			.34			.35			.38			.42
Net realized and unrealized gain (loss) on investments		(.18	)		.03			.34			(.13	)		.23
Total from investment operations		.14			.37			.69			.25			.65
Less Distributions		(.32	)		(.34	)		(.36	)		(.38	)		(.42	)
Net Asset Value, end of year	$	5.11		$	5.29		$	5.26		$	4.93		$	5.06
Total Return(a)		2.71	%		7.26	%		14.43	%		5.10	%		14.05	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	3,245.9		$	3,020.5		$	2,841.8		$	2,158.4		$	2,141.2
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursements		.57	%		.57	%		.57	%		.58	%		.58	%
Expenses before waivers and/or expense reimbursements		.57	%		.57	%		.57	%		.58	%		.58	%
Net investment income		5.95	%		6.34	%		6.95	%		7.53	%		8.51	%
Portfolio turnover rate		48	%		54	%		53	%		68	%		89	%

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

C4

Financial Highlights

	Jennison Portfolio
	Class I
	Year Ended December 31,
	2014			2013(a)			2012(a)			2011			2010(a)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	37.15		$	26.98		$	23.26		$	23.26		$	20.87
Income (Loss) From Investment Operations:
Net investment income		.06			.06			.11			.03			.06
Net realized and unrealized gain on investments		3.64			10.11			3.65			.04			2.42
Total from investment operations		3.70			10.17			3.76			.07			2.48
Less Distributions		—			—			(.04	)		(.07	)		(.09	)
Net Asset Value, end of year	$	40.85		$	37.15		$	26.98		$	23.26		$	23.26
Total Return(b)		9.96	%		37.69	%		16.18	%		.30	%		11.95	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	1,580.0		$	1,551.9		$	1,213.3		$	1,126.3		$	1,362.1
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.63	%		.63	%		.63	%		.64	%		.64	%
Expenses before waivers and/or expense reimbursement		.63	%		.63	%		.63	%		.64	%		.64	%
Net investment income		.15	%		.18	%		.42	%		.16	%		.29	%
Portfolio turnover rate		34	%		40	%		45	%		51	%		67	%
	Jennison Portfolio
	Class II
	Year Ended December 31,
	2014			2013(a)			2012(a)			2011			2010(a)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	36.33		$	26.49		$	22.89		$	22.91		$	20.55
Income (Loss) From Investment Operations:
Net investment income (loss)		(.10	)		(.07	)		—	(d)		(.07	)		(.02	)
Net realized and unrealized gain on investments		3.57			9.91			3.60			.05			2.38
Total from investment operations		3.47			9.84			3.60			(.02	)		2.36
Less Distributions		—			—			—			—			—	(d)
Net Asset Value, end of year	$	39.80		$	36.33		$	26.49		$	22.89		$	22.91
Total Return(b)		9.55	%		37.15	%		15.73	%		(.09	)%		11.50	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	43.7		$	40.3		$	33.6		$	31.9		$	33.2
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		1.03	%		1.03	%		1.03	%		1.04	%		1.04	%
Expenses before waivers and/or expense reimbursement		1.03	%		1.03	%		1.03	%		1.04	%		1.04	%
Net investment income (loss)		(.25	)%		(.22	)%		.02	%		(.24	)%		(.10	)%
Portfolio turnover rate		34	%		40	%		45	%		51	%		67	%

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

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

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

(d) Less than $0.005 per share.

SEE NOTES TO FINANCIAL STATEMENTS.

C5

Financial Highlights

	Money Market Portfolio
	Year Ended December 31,
	2014			2013			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of year	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00
Income From Investment Operations:
Net investment income and realized gains		—	(a)		—	(a)		—	(a)		—	(a)		—	(a)
Distributions		—	(a)		—	(a)		—	(a)		—	(a)		—	(a)
Capital contributions(c)		—			—			—			—			—	(a)
Net Asset Value, end of year	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00
Total Return(b)		—	%(d)		—	%(d)		.01	%		.02	%		.03	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	823.6		$	866.0		$	903.5		$	1,016.0		$	1,127.1
Ratios to average net assets:
Expenses after waivers and/or expense reimbursements		.16	%		.17	%		.21	%		.18	%		.25	%
Expenses before waivers and/or expense reimbursements		.44	%		.44	%		.44	%		.42	%		.44	%
Net investment income		.00	%(d)		.00	%(d)		.01	%		.02	%		.03	%

(a) Less than $.005 per share.

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

(c) The Portfolio received payments related to an unaffiliated-third party’s settlement of regulatory proceedings involving allegations of improper trading in Portfolio shares during the fiscal year ended December 31, 2010. The Portfolio was not involved in the proceedings or in the calculation of the amount of settlement.

(d) Less than .005%.

SEE NOTES TO FINANCIAL STATEMENTS.

C6

Financial Highlights

	Natural Resources Portfolio
	Class I
	Year Ended December 31,
	2014(a)			2013(a)			2012			2011(a)			2010(a)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	37.29		$	33.83		$	38.25		$	47.33		$	37.15
Income (Loss) From Investment Operations:
Net investment income		.23			.20			.25			.16			.08
Net realized and unrealized gain (loss) on investments		(7.65	)		3.26			(1.49	)		(9.16	)		10.26
Total from investment operations		(7.42	)		3.46			(1.24	)		(9.00	)		10.34
Less Distributions		—			—			(3.18	)		(.08	)		(.16	)
Net Asset Value, end of year	$	29.87		$	37.29		$	33.83		$	38.25		$	47.33
Total Return(b)		(19.90	)%		10.23	%		(2.47	)%		(19.03	)%		27.98	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	589.0		$	792.1		$	802.2		$	926.6		$	1,259.5
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.45	%		.48	%		.50	%		.50	%		.50	%
Expenses before waivers and/or expense reimbursement		.50	%		.51	%		.50	%		.50	%		.50	%
Net investment income		.59	%		.55	%		.71	%		.36	%		.22	%
Portfolio turnover rate		24	%		22	%		26	%		34	%		28	%
	Natural Resources Portfolio
	Class II
	Year Ended December 31,
	2014(a)			2013(a)			2012			2011(a)			2010(a)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	36.78		$	33.50		$	37.89		$	46.98		$	36.88
Income (Loss) From Investment Operations:
Net investment income (loss)		.07			.05			.12			(.02	)		(.07	)
Net realized and unrealized gain (loss) on investments		(7.50	)		3.23			(1.51	)		(9.07	)		10.20
Total from investment operations		(7.43	)		3.28			(1.39	)		(9.09	)		10.13
Less Distributions		—			—			(3.00	)		—			(.03	)
Net Asset Value, end of year	$	29.35		$	36.78		$	33.50		$	37.89		$	46.98
Total Return(b)		(20.20	)%		9.79	%		(2.94	)%		(19.35	)%		27.48	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	43.5		$	54.1		$	61.2		$	67.9		$	101.9
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.85	%		.88	%		.90	%		.90	%		.90	%
Expenses before waivers and/or expense reimbursement		.90	%		.91	%		.90	%		.90	%		.90	%
Net investment income (loss)		.19	%		.15	%		.31	%		(.04	)%		(.18	)%
Portfolio turnover rate		24	%		22	%		26	%		34	%		28	%

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

C7

Financial Highlights

	Small Capitalization Stock Portfolio
	Year Ended December 31,
	2014(d)			2013			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of year	$	26.16		$	18.56		$	17.00		$	17.27		$	13.83
Income (Loss) From Investment Operations:
Net investment income		.25			.22			.26			.10			.13
Net realized and unrealized gain (loss) on investments		1.16			7.38			2.35			—	(c)		3.43
Total from investment operations		1.41			7.60			2.61			.10			3.56
Less Distributions		—			—			(1.05	)		(.37	)		(.12	)
Net Asset Value, end of year	$	27.57		$	26.16		$	18.56		$	17.00		$	17.27
Total Return(a)		5.39	%		40.95	%		16.03	%		.56	%		25.93	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	750.9		$	770.1		$	578.4		$	542.6		$	589.9
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursements		.40	%		.42	%		.46	%		.48	%		.49	%
Expenses before waivers and/or expense reimbursements		.45	%		.45	%		.46	%		.48	%		.49	%
Net investment income		.96	%		.92	%		1.43	%		.60	%		.88	%
Portfolio turnover rate		15	%		14	%		10	%		17	%		15	%
	Stock Index Portfolio
	Year Ended December 31,
	2014(d)			2013(d)			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of year	$	47.02		$	35.65		$	31.47		$	31.37		$	27.89
Income (Loss) From Investment Operations:
Net investment income		.79			.73			.68			.54			.48
Net realized and unrealized gain on investments		5.20			10.64			4.19			.07			3.51
Total from investment operations		5.99			11.37			4.87			.61			3.99
Less Distributions		(3.68	)		—			(.69	)		(.51	)		(.51	)
Net Asset Value, end of year	$	49.33		$	47.02		$	35.65		$	31.47		$	31.37
Total Return(a)		13.31	%		31.89	%		15.68	%		1.95	%		14.59	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	3,312.7		$	2,890.5		$	2,340.3		$	2,162.4		$	2,277.6
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursements		.32	%		.32	%		.32	%		.33	%		.36	%
Expenses before waivers and/or expense reimbursements		.37	%		.37	%		.37	%		.38	%		.38	%
Net investment income		1.67	%		1.77	%		1.97	%		1.74	%		1.70	%
Portfolio turnover rate		5	%		3	%		2	%		2	%		4	%

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

(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 year.

SEE NOTES TO FINANCIAL STATEMENTS.

C8

Financial Highlights

	Value Portfolio
	Class I
	Year Ended December 31,
	2014(a)			2013			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of year	$	24.05		$	18.07		$	15.93		$	17.04		$	15.10
Income (Loss) From Investment Operations:
Net investment income		.29			.22			.22			.14			.17
Net realized and unrealized gain (loss) on investments		2.14			5.76			2.09			(1.08	)		1.90
Total from investment operations		2.43			5.98			2.31			(.94	)		2.07
Less Distributions		—			—			(.17	)		(.17	)		(.13	)
Net Asset Value, end of year	$	26.48		$	24.05		$	18.07		$	15.93		$	17.04
Total Return(b)		10.10	%		33.09	%		14.62	%		(5.58	)%		13.86	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	1,592.6		$	1,568.7		$	1,263.3		$	1,231.6		$	1,432.9
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.40	%		.40	%		.43	%		.43	%		.44	%
Expenses before waivers and/or expense reimbursement		.42	%		.43	%		.43	%		.43	%		.44	%
Net investment income		1.13	%		1.06	%		1.36	%		.90	%		1.08	%
Portfolio turnover rate		37	%		41	%		28	%		43	%		63	%
	Value Portfolio
	Class II
	Year Ended December 31,
	2014(a)			2013			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of year	$	24.12		$	18.20		$	16.04		$	17.13		$	15.16
Income (Loss) From Investment Operations:
Net investment income		.18			.16			.17			.08			.12
Net realized and unrealized gain (loss) on investments		2.15			5.76			2.08			(1.08	)		1.90
Total from investment operations		2.33			5.92			2.25			(1.00	)		2.02
Less Distributions		—			—			(.09	)		(.09	)		(.05	)
Net Asset Value, end of year	$	26.45		$	24.12		$	18.20		$	16.04		$	17.13
Total Return(b)		9.66	%		32.53	%		14.14	%		(5.89	)%		13.39	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	10.6		$	7.4		$	6.2		$	6.0		$	7.1
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.80	%		.80	%		.83	%		.83	%		.84	%
Expenses before waivers and/or expense reimbursement		.82	%		.83	%		.83	%		.83	%		.84	%
Net investment income		.73	%		.66	%		.95	%		.50	%		.69	%
Portfolio turnover rate		37	%		41	%		28	%		43	%		63	%

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

C9

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

THE BOARD OF TRUSTEES AND SHAREHOLDERS

THE PRUDENTIAL SERIES FUND:

We have audited the accompanying statements of assets and liabilities of the Conservative Balanced Portfolio, Diversified Bond Portfolio, Equity Portfolio, Flexible Managed Portfolio, Global Portfolio, Government Income Portfolio, High Yield Bond Portfolio, Jennison Portfolio, Money Market Portfolio, Natural Resources Portfolio, Small Capitalization Stock Portfolio, Stock Index Portfolio and Value Portfolio (hereafter referred to as the “Portfolios”), each a portfolio of The Prudential Series Fund, including the schedules of investments, as of December 31, 2014, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

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

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

New York, New York

February 17, 2015

D1

INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)

Information about the Trustees and the Officers of the Fund is set forth below. Trustees who are not deemed to be “interested persons” of the Fund, as defined in the Investment Company Act of 1940, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the Investment Company Act of 1940.

Independent Trustees
Name, Age Number of Portfolios in Fund Complex† Overseen by Trustee	Principal Occupation(s) During Past Five Years	Other Directorships Held by Trustee**
Susan Davenport Austin* (47) Trustee Since 2011 No. of Portfolios Overseen: 111	Senior Managing Director of Brock Capital (Since 2014); Vice Chairman (Since 2013), Senior Vice President and Chief Financial Officer (2007-2012) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; Formerly President of Sheridan Gospel Network (2004-2014); Vice President, Goldman, Sachs & Co. (2000-2001); Associate Director, Bear, Stearns & Co. Inc. (1997-2000); Vice President, Salomon Brothers Inc. (1993-1997); President of the Board, The MacDowell Colony (Since 2010); Presiding Director (Since 2014) and Chairman (2011-2014) of the Board of Directors, Broadcast Music, Inc.; Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); President, Candide Business Advisors, Inc. (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010).	None.
Sherry S. Barrat* (65) Trustee Since 2013 No. of Portfolios Overseen: 111	Formerly, Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly, President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly, Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly, President & CEO, Palm Beach/Martin County Region, Northern Trust.	Director of NextEra Energy, Inc. (formerly, FPL Group, Inc.) (1998-Present); Director of Arthur J. Gallagher & Company (Since July 2013).
Kay Ryan Booth* (64) Trustee Since 2013 No. of Portfolios Overseen: 111	Partner of Trinity Private Equity Group (Since September 2014); formerly, Managing Director of Cappello Waterfield & Co. LLC (2011-May 2014); formerly, Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly, Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly, Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995).	None.
Delayne Dedrick Gold* (76) Trustee Since 2001 No. of Portfolios Overseen: 111	Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc.	None.
Robert F. Gunia* (68) Trustee Since 2001 No. of Portfolios Overseen: 111	Independent Consultant (Since October 2009); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of Prudential Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc.	Director (Since May 1989) of The Asia-Pacific Fund, Inc.
W. Scott McDonald, Jr., PhD* (77) Trustee Since 1983 No. of Portfolios Overseen: 111	Formerly Management Consultant (1997-2004) and of Counsel (2004-2005) at Kaludis Consulting Group, Inc. (company serving higher education); formerly principal (1995-1997), Scott McDonald Associates; Chief Operating Officer (1991-1995), Fairleigh Dickinson University; Executive Vice President and Chief Operating Officer (1975-1991), Drew University; interim President (1988-1990), Drew University; formerly Director of School, College and University Underwriters Ltd.	None.

E1

Independent Trustees
Name, Age Number of Portfolios in Fund Complex† Overseen by Trustee	Principal Occupation(s) During Past Five Years	Other Directorships Held by Trustee**
Thomas T. Mooney* (73) Trustee Since 2001 No. of Portfolios Overseen: 111	Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976).	None.
Thomas M. O’Brien* (64) Trustee Since 2003 No. of Portfolios Overseen: 111	Director, Sun Bancorp, Inc. (NASDAQ: SNBC) and Sun National Bank (Since July 2014); Consultant, Valley National Bancorp, Inc. and Valley National Bank (January 2012-June 2012); Formerly President and COO (November 2006-December 2011) and CEO (April 2007-December 2011) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York.	Formerly Director, BankUnited, Inc. and BankUnited N.A. (NYSE: BKU) (May 2012-April 2014); formerly Director (April 2008-January 2012) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (November 2006-January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island.

Interested Trustees
Name, Age Number of Portfolios in Fund Complex† Overseen by Trustee	Principal Occupation(s) During Past Five Years	Other Directorships Held by Trustee**
Robert F. O’Donnell* (46) Trustee & President Since 2012 No. of Portfolios Overseen: 111	President of Prudential Annuities (Since April 2012); Senior Vice President, Head of Product, Investment Management & Marketing for Prudential Annuities (October 2008-April 2012); Senior Vice President, Head of Product (July 2004-October 2008).	None.
Timothy S. Cronin* (49) Trustee Since 2011 No. of Portfolios Overseen: 111	Chief Investment Officer and Strategist of Prudential Annuities (Since January 2004); Director of Investment & Research Strategy (Since February 1998); President of AST Investment Services, Inc. (Since June 2005).	None.
Bruce W. Ferris* (59) Trustee Since 2013 No. of Portfolios Overseen: 111	Senior Vice President, Sales and Distribution, Product, Marketing, Prudential Annuities (Since May 2006); Vice President-Sales, The Hartford Insurance Company (October 1994-April 2005); Sales Manager, Aetna Investment Services (October 1993-September 1994).	None.

* The address of each Trustee is c/o Prudential Investments LLC, Gateway Center Three, 100 Mulberry Street, Newark, New Jersey 07102.

** Includes only directorships of companies required to register or file reports with the Securities and Exchange Commission (SEC) under the Securities Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the Investment Company Act of 1940.

† The Fund Complex consists of all investment companies managed by PI. The Funds for which PI serves as manager include the Prudential Investments Mutual Funds, Target Mutual Funds, The Prudential Variable Contract Accounts 2, 10 and 11, Prudential Short Duration High Yield Fund, Inc., Prudential Global Short Duration High Yield Fund, Inc., The Prudential Series Fund, Advanced Series Trust, and Prudential’s Gibraltar Fund, Inc.

Fund Officers(1)
Name, Age Position with the Fund	Principal Occupation(s) During the Past Five Years
Raymond A. O’Hara* (59) Chief Legal Officer Since 2012	Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of Prudential Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.).
Chad A. Earnst* (39) Chief Compliance Officer Since 2014	Chief Compliance Officer (September 2014-Present) of Prudential Investments LLC; Chief Compliance Officer (September 2014-Present) of the Prudential Investments Funds, Target Funds, Advanced Series Trust, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc., Prudential Global Short Duration High Yield Income Fund, Inc., Prudential Short Duration High Yield Fund, Inc. and Prudential Jennison MLP Income Fund, Inc.; formerly Assistant Director (March 2010-August 2014) of the Asset Management Unit, Division of Enforcement, U.S. Securities & Exchange Commission; Assistant Regional Director (January 2010-August 2014), Branch Chief (June 2006-December 2009) and Senior Counsel (April 2003-May 2006) of the Miami Regional Office, Division of Enforcement, U.S. Securities & Exchange Commission.

E2

Fund Officers(1)
Name, Age Position with the Fund	Principal Occupation(s) During the Past Five Years
Bradley C. Tobin* (40) Vice President Since 2014	Vice President of Prudential Annuities (since March 2012), Vice President of AST Investment Services, Inc. (since April 2011).
Deborah A. Docs* (56) Secretary Since 2005	Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of Prudential Investments LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Jonathan D. Shain* (56) Assistant Secretary Since 2005	Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of Prudential Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Claudia DiGiacomo* (40) Assistant Secretary Since 2005	Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of Prudential Investments LLC (since December 2005); Associate at Sidley Austin Brown & Wood LLP (1999-2004).
Andrew R. French* (52) Assistant Secretary Since 2006	Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of Prudential Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC.
Amanda S. Ryan (36) Assistant Secretary Since 2012	Director and Corporate Counsel (since March 2012) of Prudential; Director and Assistant Secretary (since June 2012) of Prudential Investments LLC; Associate at Ropes & Gray LLP (2008-2012).
Kathleen DeNicholas* (40) Assistant Secretary Since 2013	Vice President and Corporate Counsel (since May 2013) of Prudential; Managing Counsel at The Bank of New York Mellon Corporation (2011-2013); formerly Senior Counsel (2007-2011) and Assistant General Counsel (2001-2007) of The Dreyfus Corporation; Chief Legal Officer and Secretary of MBSC Securities Corporation (2011-2013); Vice President and Assistant Secretary of The Dreyfus Family of Funds (2010-2012).
M. Sadiq Peshimam* (50) Treasurer and Principal Financial & Accounting Officer Since 2014	Assistant Treasurer of funds in the Prudential Mutual Fund Complex (2006-2014); Vice President (since 2005) of Prudential Investments LLC.
Peter Parrella* (56) Assistant Treasurer Since 2007	Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004).
Lana Lomuti* (47) Assistant Treasurer Since 2014	Vice President (since 2007) and Director (2005-2007), within Prudential Mutual Fund Administration; formerly Assistant Treasurer (December 2007-February 2014) of The Greater China Fund, Inc.
Linda McMullin* (53) Assistant Treasurer Since 2014	Vice President (since 2011) and Director (2008-2011) within Prudential Mutual Fund Administration.
Alan Fu* (58) Assistant Treasurer Since 2006	Vice President and Corporate Counsel – Tax, Prudential Financial, Inc. (since October 2003).
Theresa C. Thompson* (52) Deputy Chief Compliance Officer Since 2008	Vice President, Compliance, Prudential Investments LLC (since April 2004); and Director, Compliance, Prudential Investments LLC (2001-2004).
Richard W. Kinville* (46) Anti-Money Laundering Compliance Officer Since 2011	Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2005) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2007); formerly Investigator and Supervisor in the Special Investigations Unit for the New York Central Mutual Fire Insurance Company (August 1994-January 1999); Investigator in AXA Financial’s Internal Audit Department and Manager in AXA’s Anti-Money Laundering Office (January 1999-January 2005); first chair of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (June 2007-December 2009).

* The address for each officer is c/o Prudential Investments LLC, 100 Mulberry Street, Gateway Center Three, Newark, New Jersey 07102.

⁽¹⁾ Excludes Messrs. O’Donnell and Cronin, interested Trustees who serve as President and Vice President, respectively. Biographical and other information with respect to Messrs. O’Donnell and Cronin appears under “Interested Trustees,” above.

E3

This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life contract. The prospectuses contain information on the contract and the investment objectives, risks, charges and expenses of the portfolios, and should be read carefully.

A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request by calling the appropriate phone number listed below. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.

The Fund files with the Commission a complete listing of portfolio holdings as of its first and third quarter-end on Form N-Q. Form N-Q is available on the Commission’s website at www.sec.gov or by visiting the Commission’s Public Reference Room. For more information on the Commission’s Public Reference Room, please visit the Commission’s website or call (800)SEC-0330. Form N-Q is also available on the Fund’s website or by calling the telephone number referenced below.

The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.

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

To contact your client services representative, please call the phone number listed below. Thank you.

Owners of Individual Annuity contracts should call (888) 778-2888.

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Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.

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The Prudential Series Fund is distributed by Prudential Investment Management Services LLC (PIMS), Three Gateway Center, 14th Floor, Newark, NJ 07102-4077, member SIPC, a Prudential Financial company and solely responsible for its own financial condition and contractual obligations.

Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

  The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3777 PRESORTED STD U.S. POSTAGE PAID HARRISONBURG, VA PERMIT No. 250 ZIP CODE 22801

The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, Prudential Annuities Life Assurance Corporation, and The Prudential Insurance Company of America are available upon request. You may call (800)778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.

To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. Householding is not yet available on all products. You should be aware that by calling (877)778-5008, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.

^©2015 Prudential Financial, Inc. and its related entities. Prudential, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

0239280-00004-00    PSF-AR-A

THE PRUDENTIAL SERIES FUND

ANNUAL REPORT  Ÿ DECEMBER 31, 2014

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.

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

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SP International Growth Portfolio

SP International Value Portfolio

SP Prudential U.S. Emerging Growth Portfolio

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The Prudential Series Fund   Table of Contents Annual Report December 31, 2014

n LETTER TO CONTRACT OWNERS

n INVESTMENT MANAGER’S REPORT

n PRESENTATION OF PORTFOLIO HOLDINGS

n FEES AND EXPENSES

n FINANCIAL REPORTS

Section A	Schedule of Investments and Financial Statements
	SP International Growth Portfolio	A1
	SP International Value Portfolio	A7
	SP Prudential U.S. Emerging Growth Portfolio	A13
	SP Small Cap Value Portfolio	A18
Section B	Notes to Financial Statements
Section C	Financial Highlights
Section D	Report of Independent Registered Public Accounting Firm
Section E	Information about Trustees and Officers

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 Annual Report December 31, 2014

n DEAR CONTRACT OWNER

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

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

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

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

Sincerely,

Robert F. O’Donnell

President,

The Prudential Series Fund January 30, 2015

The Prudential Series Fund, SP International Growth Portfolio December 31, 2014

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

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio: Class I		-5.71	%		5.88	%		4.33	%
Portfolio: Class II		-6.12			5.50			3.90
MSCI EAFE® Index (GD)		-4.48			5.81			4.91

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

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

$10,000 INVESTED OVER 10 YEARS¹

For the year ended December 31, 2014 the SP International Growth Portfolio Class I returned -5.71% and the Class II
returned -6.12%.

The net assets of the Portfolio at December 31, 2014 were $81.4 million.

The Portfolio’s investment objective is long-term growth of capital. The Portfolio’s subadvisers are William Blair & Company, Jennison Associates LLC, and Neuberger Berman Management LLC.

The MSCI EAFE (GD) Index (the Index) declined by 4.48% for the year. Losses were common among developed market countries due to the decline in foreign currencies, including the euro, versus the U.S. dollar. The dollar continues to advance due to a stronger U.S. economy and the ending of U.S. quantitative easing. Investors anticipated interest rates hikes in 2015, while weaker areas of the world are forecasted to either continue or to expand monetary policy. In terms of economic sectors, health care and utilities had positive returns, even in dollars, while the technology sector’s decline in dollars was relatively modest. The materials and energy sectors trailed as the price of oil dropped precipitously at the end of the year.

The Portfolio’s assets in the consumer discretionary sector had the largest negative impact on its performance relative to the Index, as Europe’s economy struggled and growth continued to slow in China and the rest of Asia. When the economies in these continents turn around, consumers are expected to spend more, but as of year-end, that was not the case. Since consumer discretionary stocks have high growth potential in an economic turnaround, it is not surprising that the subadvisers invested in this sector.

Allocations to emerging markets countries, which are not in the Index, mitigated the negative returns. Specifically, allocations to China, South Africa, Indonesia, Philippines, and India all significantly enhanced the Portfolio’s returns as emerging markets rebounded following a poor 2013. All three subadvisers routinely invest in emerging markets stocks, as they have found significant growth opportunities there.

In addition, allocations to various economic sectors also contributed to the Portfolio’s relative performance. International technology and health care stocks benefited, while the drop in oil prices led to declines in materials and energy prices. All three subadvisers are looking for companies with higher growth rates and strong balance sheets, so they were overweight in the technology sector and underweight in energy companies, which tend to have lower growth rates and more leveraged balance sheets.

From a country perspective, both William Blair and Jennison showed strong stock selection in Japan and China, also helping returns.

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

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

MSCI EAFE (Morgan Stanley Capital International Europe, Australasia, Far East) Index (GD) is an unmanaged, capitalization-weighted index generally accepted as a benchmark for major overseas markets. The GD version does not reflect the impact of withholding taxes on reinvested dividends. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

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

1

The Prudential Series Fund, SP International Value Portfolio December 31, 2014

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

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		-6.04	%		4.90	%		5.02	%
MSCI EAFE® Index (GD)		-4.48			5.81			4.91

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

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

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2014, the SP International Value Portfolio returned -6.04%.

The net assets of the Portfolio at December 31, 2014 were $83.3 million.

The Portfolio’s investment objective is long-term growth of capital. The Portfolio’s subadvisers are LSV Asset Management (LSV) and Lazard Asset Management, LLC. Thornburg Investment Management subadvised the Portfolio until its replacement by Lazard Asset Management, LLC in November.

The MSCI EAFE Index (GD) (the “Index”) fell by 4.48%. International investors in the value style had a more difficult time outperforming the Index than did international growth managers. The period was shaped by the steep fall in oil prices and the strengthening U.S. dollar, which had a negative impact on emerging economies, as well as by the increasing divergence in monetary policies among various countries’ central banks. In addition to the setbacks in the energy sector (which fell 18%), the Index’s slide was dominated by its financials sector; it makes up a quarter of the Index by capitalization and fell more than five percentage points. Most value managers were overweight in these sectors.

The Portfolio’s underperformance of the Index was largely due to mixed stock selection results. Its strength in the industrials sector was shown particularly by outperforming the Index in road & rail and airlines stocks. Gains in health care were largely driven by holdings in the pharmaceuticals industry. Conversely, the Portfolio’s relative performance was hindered by its stock selection in the consumer discretionary, consumer staples, materials, and utilities sectors. From a regional perspective, holdings in Western Europe, notably France, Germany, and the United Kingdom also detracted from relative performance.

A small, yet consistent, allocation to cash, held to assist with day-to-day cash flow management, had a slight negative impact on performance during the period.

From time-to-time, Thornburg would use currency forwards (a form of a derivative security) as a tool to hedge some of the currency risk from investing in non-U.S. stocks. This intermittent hedging strategy is not expected to have a significant impact on the performance of the overall Portfolio. Overall for 2014, foreign exchange hedging had a positive effect on the Portfolio.

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

MSCI EAFE (Morgan Stanley Capital International Europe, Australasia, Far East) Index (GD) is an unmanaged, capitalization-weighted index generally accepted as a benchmark for major overseas markets. The GD version does not reflect the impact of withholding taxes on reinvested dividends. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

2

The Prudential Series Fund, SP Prudential U.S. Emerging Growth Portfolio December 31, 2014

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

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio: Class I		9.51	%		15.15	%		10.69	%
Portfolio: Class II		9.15			14.68			10.28
Russell Midcap® Growth Index		11.90			16.94			9.43
S&P Midcap 400 Index		9.77			16.54			9.71

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

Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Unless noted otherwise, Index returns reflect performance beginning the closest month-end date to the Portfolio’s inception (Class II). The Russell Midcap^® Growth Index is a trademark/service mark of the Frank Russell Company. Russell^® is a

trademark of the Frank Russell Company. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

$10,000 INVESTED OVER 10 YEARS¹

For the year ended December 31, 2014, the SP Prudential U.S. Emerging Growth Portfolio Class I returned 9.51% and Class II returned 9.15%.

The net assets of the Portfolio at December 31, 2014 were $250.0 million.

The Portfolio’s investment objective is long-term capital appreciation. The Portfolio’s subadviser is Jennison Associates LLC.

The Portfolio underperformed its benchmark, the Russell Midcap Growth Index (the Index), which advanced 11.90%. Stock selection in the energy and materials sectors detracted the most from relative results.

Energy names dominated the Portfolio’s largest detractors, including Noble Energy (NBL), Denbury Resources, Laredo Petroleum, and Whiting Petroleum. Laredo and Whiting were hurt primarily by their higher degree of financial leverage. Company-specific issues affected shares of exploration and production companies Denbury Resources and NBL. Denbury Resources reported disappointing production growth and lowered guidance for the year, as well as delayed plans for the formation of a master limited partnership. The Portfolio no longer holds a position in Denbury Resources. In addition to suffering the effects of the collapse in oil prices, Noble Energy has experienced delays with an agreement that, if signed, could lessen some of the seasonal swings experienced in NBL’s Israel gas production. This would likely help pricing given that Noble’s export agreements are higher than domestic prices. The Portfolio maintains a position in the stock.

The Portfolio’s investment process has not changed with the recent volatility in the energy sector. Jennison has met individually with the energy companies owned by the Portfolio, or have identified as potential candidates, in an attempt to identify the best long-term opportunities. The Portfolio’s current energy exposure is neutral to the Index and production cuts are being closely monitored.

Stock selection in consumer discretionary and information technology drove absolute and relative gain. Electronic Arts, F5 Networks, and Red Hat were standouts in information technology. Electronic Arts is moving faster than expected into digital downloads, which, in Jennison’s opinion, should drive future revenue growth.

Dollar Tree, O’Reilly Automotive, and L Brands led performance in the consumer discretionary sector. Consumer discretionary lagged over the last few quarters and the Portfolio benefited from a rebound in several companies, especially in retail, toward the end of the year. Within consumer discretionary, the Portfolio remains underweight relative to the Index, although less so than for most of 2014. Jennison believes the favorable U.S. economic outlook and lower energy prices are supportive of a number of key holdings in retailing, but the Portfolio’s underweight is largely due to under-exposure to media, where threats continue from the shift in user viewing habits and advertising spending away from traditional broadcast/cable TV.

United Continental holdings also performed well as airlines significantly outperformed the industrials sector and the overall market. Earnings, revenue, and guidance were solid as cost cuts and higher pricing took hold. United further announced a share buyback and appears on track to achieve several key revenue initiatives, including improvements to capacity management on Asian flights.

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

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

Russell Midcap Growth Index is an unmanaged market cap-weighted index that measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. S&P Midcap 400 Index is a widely accepted, unmanaged total return index of 400 domestic stocks measuring the performance of the midsize company segment of the U.S. stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

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

3

The Prudential Series Fund, SP Small Cap Value Portfolio December 31, 2014

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

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		4.94	%		15.50	%		8.00	%
Russell 2000® Value Index		4.22			14.26			6.89
Russell 2500™ Index		7.07			16.36			8.72

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

Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. The Russell 2000^® Value and Russell 2500^TM Index are trademark/service marks of the Frank Russell Company. Russell^® is a trademark of the Frank Russell Company. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2014, the SP Small Cap Value Portfolio returned 4.94%.

The net assets of the Portfolio at December 31, 2014 were $217.1 million.

The Portfolio’s investment objective is long-term growth of capital. The Portfolio’s subadvisers are Goldman Sachs Asset Management, L.P. (Goldman) and ClearBridge Advisors, LLC (ClearBridge).

The Russell 2000 Value Index (the Index) rose 4.22%. In the U.S. market, large cap stocks substantially outperformed shares of smaller firms, in part because small caps began the year with higher prices (valuations). Among Russell small cap indexes, value shares slightly trailed growth. In an improving economy small cap and growth stocks often lead, but this was dampened by the relatively high valuations of smaller firms at the start of the period and by continuing uncertainty about future growth. About 40% of the Index comprises the financials sector, which outperformed and posted a respectable annual return. However, the Index was constrained by the sharply negative return of its energy sector, driven by the precipitous fall in the prices of carbon fuels, and by smaller declines in health care and materials.

Good broad-based stock selection within sectors was the main reason for the Portfolio’s relative outperformance in 2014. Stocks that contributed the most to the year’s gains were in the industrials (especially commercial services and supplies), consumer staples, and technology sectors. Sector allocation, however, detracted from relative results as the Portfolio’s underexposure to utilities and REITs (Real Estate Investment Trusts) served as a headwind, as investors moved to these investments because of their historically higher income in the form of interest and dividends.

The Portfolio also benefited from an overweight compared with the Index in the larger companies within its universe, those with a weighted-average market capitalization above $1.5 billion. Investors substantially preferred the relative safety and liquidity of these shares over the smaller end of the capitalization range.

Of the two subadvisers, ClearBridge trailed the Index, especially in the fourth quarter. While stock selection was a modest advantage for ClearBridge in 2014, its large underweights in REITs and utilities hurt its relative performance.

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

Russell 2000 Value Index is an unmanaged index that measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. Russell 2500 Index is an unmanaged market cap-weighted index that measures the performance of the 2,500 smallest companies in the Russell 3000 Index, which represents approximately 17% of the total market capitalization of the Russell 3000 Index. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

4

Prudential Series Fund   Presentation of Portfolio Holdings — unaudited December 31, 2014

SP International Growth
Five Largest Holdings	(% of Net Assets	)
Tencent Holdings Ltd.	2.4%
Continental AG	2.2%
St. James's Place PLC	2.1%
Alibaba Group Holding Ltd., ADR	1.9%
Bayer AG.	1.9%

SP International Value
Five Largest Holdings	(% of Net Assets	)
Novartis AG	2.1%
Royal Dutch Shell PLC (Class B Stock)	1.7%
KDDI Corp.	1.6%
Lloyds Banking Group PLC	1.3%
Sumitomo Mitsui Financial Group, Inc.	1.3%

SP Prudential U.S. Emerging Growth
Five Largest Holdings	(% of Net Assets	)
SBA Communications Corp. (Class A Stock)	2.7%
Dollar Tree, Inc., Multiline Retail	2.3%
Crown Castle Intl Corp, Real Estate Investment Trusts (REITs)	2.1%
Red Hat, Inc., Software	2.0%
Vantiv, Inc., IT Services	1.9%

SP Small Cap Value
Five Largest Holdings	(% of Net Assets	)
Pebblebrook Hotel Trust	1.5%
iShares Russell 2000 Value Index Fund	1.4%
Wintrust Financial Corp.	1.4%
SVB Financial Group	1.3%
Iberiabank Corp.	1.3%

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

The Prudential Series Fund   Fees and Expenses — unaudited December 31, 2014

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2014 through December 31, 2014.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

The Prudential Series Fund Portfolios		Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		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	$	944.40		1.23	%	$	6.03
	Hypothetical	$	1,000.00	$	1,019.00		1.23	%	$	6.26
SP International Growth (Class II)	Actual	$	1,000.00	$	943.40		1.63	%	$	7.98
	Hypothetical	$	1,000.00	$	1,016.99		1.63	%	$	8.29
SP International Value (Class I)	Actual	$	1,000.00	$	920.00		1.46	%	$	7.07
	Hypothetical	$	1,000.00	$	1,017.85		1.46	%	$	7.43
SP Prudential U.S. Emerging Growth (Class I)	Actual	$	1,000.00	$	1,054.20		0.69	%	$	3.57
	Hypothetical	$	1,000.00	$	1,021.73		0.69	%	$	3.52
SP Prudential U.S. Emerging Growth (Class II)	Actual	$	1,000.00	$	1,052.00		1.09	%	$	5.64
	Hypothetical	$	1,000.00	$	1,019.71		1.09	%	$	5.55
SP Small Cap Value (Class I)	Actual	$	1,000.00	$	999.50		1.02	%	$	5.14
	Hypothetical	$	1,000.00	$	1,020.06		1.02	%	$	5.19

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

	SP INTERNATIONAL GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2014

LONG-TERM INVESTMENTS — 98.5%
COMMON STOCKS — 97.6%	Shares		Value (Note 2)
Australia — 0.5%
Brambles Ltd.		32,575	$	280,609
Insurance Australia Group Ltd.		23,200		117,798
				398,407
Austria — 0.4%
Andritz AG		5,360		294,673
Belgium — 0.2%
Colruyt SA		4,410		205,019
Brazil — 1.3%
Cielo SA		32,804		514,236
Estacio Participacoes SA		42,034		376,665
Kroton Educacional SA		23,200		135,279
				1,026,180
Canada — 4.9%
Alimentation Couche-Tard, Inc. (Class B Stock)		21,311		893,125
Bank of Nova Scotia (The)		2,208		126,022
Brookfield Asset Management, Inc. (Class A Stock)		8,293		415,728
Canadian Pacific Railway Ltd.		7,626		1,469,454
Cenovus Energy, Inc.		6,904		142,442
CI Financial Corp.		6,780		188,437
Home Capital Group, Inc.		1,900		78,482
Shawcor Ltd.		6,045		220,613
Suncor Energy, Inc.		15,365		488,009
				4,022,312
China — 8.1%
Alibaba Group Holding Ltd., ADR*(a)		14,879		1,546,523
Baidu, Inc., ADR*		4,841		1,103,603
China Overseas Land & Investment Ltd.		60,000		177,494
Lenovo Group Ltd.		192,000		250,678
NetEase, Inc., ADR		1,753		173,792
PICC Property & Casualty Co. Ltd. (Class H Stock)		167,000		322,264
Tencent Holdings Ltd.		137,070		1,983,256
Vipshop Holdings Ltd., ADS*(a)		52,440		1,024,678
				6,582,288
Denmark — 2.5%
Coloplast A/S (Class B Stock)		3,565		298,335
Jyske Bank A/S*		6,047		305,654
Novo Nordisk A/S (Class B Stock)		33,001		1,395,935
				1,999,924
Finland — 0.4%
Sampo OYJ (Class A Stock)		6,535		305,933
France — 5.1%
Arkema SA		3,257		215,408
BNP Paribas SA		4,415		260,636
Cap Gemini SA		4,881		349,076
Dassault Systemes SA		12,275		748,536
Pernod Ricard SA		2,270		252,283
Publicis Groupe SA		4,790		343,518
Rexel SA		18,995		340,318
Sanofi		4,510		411,180
Schneider Electric SE		4,680		340,842

COMMON STOCKS (continued)	Shares		Value (Note 2)
France (continued)
Sodexo		4,580	$	448,311
Total SA		5,145		263,589
Valeo SA		1,486		184,904
				4,158,601
Germany — 7.5%
Bayer AG		11,214		1,528,567
Bayerische Motoren Werke AG		2,576		277,998
Brenntag AG		6,585		368,169
Continental AG		8,510		1,794,958
Deutsche Boerse AG		4,595		326,530
KUKA AG		2,926		206,963
Linde AG		1,875		345,380
Rational AG		377		118,128
SAP SE, ADR(a)		4,880		339,892
Wirecard AG		18,466		805,196
				6,111,781
Hong Kong — 0.7%
AIA Group Ltd.		53,600		295,629
Jardine Matheson Holdings Ltd.		4,532		276,679
				572,308
India — 1.0%
HDFC Bank Ltd., ADR		9,200		466,900
Tata Motors Ltd., ADR		7,374		311,773
				778,673
Indonesia — 1.1%
Bank Mandiri Persero Tbk PT		220,912		192,114
Bank Rakyat Indonesia Persero Tbk PT		346,800		325,985
Tower Bersama Infrastructure Tbk PT		205,203		160,493
Tower Bersama Infrastructure Tbk PT, 144A(g)		256,930		200,949
				879,541
Ireland — 2.0%
DCC PLC		1,600		88,085
Ryanair Holdings PLC, ADR*		4,320		307,886
Shire PLC		17,357		1,230,615
				1,626,586
Israel — 2.1%
Bezeq Israeli Telecommunication Corp. Ltd.		229,594		407,258
Check Point Software Technologies Ltd.*(a)		11,531		905,991
Teva Pharmaceutical Industries Ltd., ADR		7,291		419,305
				1,732,554
Italy — 4.2%
Anima Holding SpA*		44,807		225,415
Anima Holding SpA, 144A*(g)		43,922		220,962
Azimut Holding SpA		44,547		967,760
Brembo SpA		10,742		360,037
Brunello Cucinelli SpA(a)		15,228		340,137
Intesa Sanpaolo SpA		122,333		354,877
Luxottica Group SpA		17,591		964,321
				3,433,509

SEE NOTES TO FINANCIAL STATEMENTS.

A1

	SP INTERNATIONAL GROWTH PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Japan — 17.2%
Astellas Pharma, Inc.		24,000	$	334,130
Daikin Industries Ltd.		5,300		339,858
Daito Trust Construction Co. Ltd.		1,400		158,813
FANUC Corp.		8,995		1,483,099
Fuji Heavy Industries Ltd.		38,996		1,379,912
Hoya Corp.		7,100		240,156
Kansai Paint Co. Ltd.		33,600		520,530
Kao Corp.		7,200		283,929
Keyence Corp.		1,400		623,833
Minebea Co. Ltd.		53,843		795,148
Miraca Holdings, Inc.		6,000		258,113
Murata Manufacturing Co. Ltd.		11,666		1,273,006
Nidec Corp.		10,093		651,863
Nihon Kohden Corp.		4,200		206,961
Nitori Holdings Co. Ltd.		3,000		161,186
Ono Pharmaceutical Co. Ltd.		6,472		573,002
ORIX Corp.		22,400		281,855
Pigeon Corp.		14,545		848,062
Recruit Holdings Co. Ltd.*		1,800		51,695
Santen Pharmaceutical Co. Ltd.		4,700		253,023
Secom Co. Ltd.		3,900		224,073
SMC Corp.		3,000		786,672
SoftBank Corp.		5,300		315,473
Sugi Holdings Co. Ltd.		4,700		191,852
Sumitomo Mitsui Financial Group, Inc.		8,500		307,298
Sundrug Co. Ltd.		3,300		134,898
Toyota Motor Corp.		8,500		529,698
Unicharm Corp.		32,950		789,782
				13,997,920
Macau — 0.2%
MGM China Holdings Ltd.		73,600		185,834
Mexico — 0.5%
Alsea SAB de CV*		117,779		325,466
Alsea SAB de CV, 144A*(g)		20,763		57,376
				382,842
Netherlands — 1.9%
Akzo Nobel NV		5,407		374,111
ASML Holding NV		4,860		525,112
Koninklijke Ahold NV		17,255		306,672
NXP Semiconductors NV*		2,552		194,973
Royal Dutch Shell PLC (Class A Stock)		5,015		167,146
				1,568,014
Norway — 0.4%
DnB ASA		11,155		164,543
Telenor ASA		9,528		192,738
				357,281
Philippines — 0.9%
Universal Robina Corp.		162,333		707,753
Singapore — 0.2%
United Overseas Bank Ltd.		10,400		191,922
South Africa — 2.0%
Aspen Pharmacare Holdings Ltd.*		29,951		1,044,873
Aspen Pharmacare Holdings Ltd., 144A*(g)		2,865		99,949

COMMON STOCKS (continued)	Shares		Value (Note 2)
South Africa (continued)
Bidvest Group Ltd. (The)		8,331	$	217,805
Discovery Ltd.		28,690		274,693
				1,637,320
South Korea — 1.7%
NAVER Corp.*		1,484		950,406
Samsung Electronics Co. Ltd.		395		474,886
				1,425,292
Spain — 2.0%
Amadeus IT Holding SA (Class A Stock)		6,000		238,965
Inditex SA		48,177		1,374,271
				1,613,236
Sweden — 2.8%
Assa Abloy AB (Class B Stock)		15,664		827,318
Atlas Copco AB (Class A Stock)		10,204		283,933
Hexagon AB (Class B Stock)		16,413		506,333
Nordea Bank AB		23,045		266,764
Telefonaktiebolaget LM Ericsson (Class B Stock)		33,150		401,384
				2,285,732
Switzerland — 7.2%
Actelion Ltd.*		2,290		263,627
Adecco SA*		2,127		146,209
Cie Financiere Richemont SA		1,470		130,328
Geberit AG		941		318,343
Givaudan SA*		313		561,477
Julius Baer Group Ltd.*		5,690		259,794
Novartis AG		13,525		1,254,356
Partners Group Holding AG		2,037		592,639
Roche Holding AG		4,913		1,331,139
SGS SA		235		479,863
Sika AG		10		29,500
Sonova Holding AG		1,840		270,315
UBS Group AG*		14,490		249,079
				5,886,669
Taiwan — 0.2%
MediaTek, Inc.		12,000		174,449
Thailand — 1.7%
CP ALL PCL		442,910		572,148
Home Product Center PCL		2,125,222		532,920
Minor International PCL		258,931		255,783
				1,360,851
United Kingdom — 13.6%
Amlin PLC		57,179		424,144
ARM Holdings PLC		64,426		989,739
Ashtead Group PLC		51,540		915,347
AstraZeneca PLC		2,976		210,198
Barclays PLC		85,365		320,916
BG Group PLC		10,993		147,105
BTG PLC*		40,721		502,614
Bunzl PLC		18,642		509,621
Burberry Group PLC		40,384		1,024,614
Compass Group PLC		27,886		476,653
Howden Joinery Group PLC		48,030		299,647

SEE NOTES TO FINANCIAL STATEMENTS.

A2

	SP INTERNATIONAL GROWTH PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
United Kingdom (continued)
InterContinental Hotels Group PLC		6,329	$	254,656
Just Eat PLC*		30,796		148,652
Just Eat PLC, 144A*(g)		74,390		359,080
Prudential PLC		16,240		375,461
Reckitt Benckiser Group PLC		1,169		94,682
Reed Elsevier PLC		52,156		890,929
SABMiller PLC		4,785		249,448
Spectris PLC		4,300		140,431
St. James’s Place PLC		137,198		1,729,918
TalkTalk Telecom Group PLC		81,685		384,457
Travis Perkins PLC		11,385		327,707
Wolseley PLC		295		16,866
WPP PLC		12,958		269,419
				11,062,304
United States — 3.1%
AON PLC		4,660		441,908
Jazz Pharmaceuticals PLC*		7,239		1,185,241
Nielsen NV(a)		8,720		390,046
Stratasys Ltd.*(a)		6,320		525,255
				2,542,450
TOTAL COMMON STOCKS (cost $70,094,958)				79,508,158
PREFERRED STOCKS — 0.9%
Germany
Henkel AG & Co. KGaA (PRFC)		3,490		375,937
Volkswagen AG (PRFC)		1,420		315,603
TOTAL PREFERRED STOCKS (cost $653,127)				691,540
	Units
WARRANTS*
Thailand
Minor International PCL(g) (cost $ — )		13,111		1,937
TOTAL LONG-TERM INVESTMENTS (cost $70,748,085)				80,201,635

	Shares		Value (Note 2)
SHORT-TERM INVESTMENT — 5.8%
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $4,753,274; includes $3,358,338 of cash collateral for securities on loan) (Note 4)(b)(w)		4,753,274	$	4,753,274
TOTAL INVESTMENTS — 104.3% (cost $75,501,359)				84,954,909
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.3)%				(3,514,770	)
NET ASSETS — 100.0%			$	81,440,139

See the Glossary for abbreviations used in the Portfolio descriptions.

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $3,256,716; cash collateral of $3,358,338 (included in liabilities) was received with which the Fund purchased highly liquid short-term investments.

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A3

	SP INTERNATIONAL GROWTH PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

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

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

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

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

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Australia	$	—	$	398,407	$	—
Austria		—		294,673		—
Belgium		—		205,019		—
Brazil		1,026,180		—		—
Canada		4,022,312		—		—
China		3,848,596		2,733,692		—
Denmark		—		1,999,924		—
Finland		—		305,933		—
France		—		4,158,601		—
Germany		339,892		5,771,889		—
Hong Kong		276,679		295,629		—
India		778,673		—		—
Indonesia		—		879,541		—
Ireland		307,886		1,318,700		—
Israel		1,325,296		407,258		—
Italy		—		3,433,509		—
Japan		51,695		13,946,225		—
Macau		—		185,834		—
Mexico		325,466		57,376		—
Netherlands		194,973		1,373,041		—
Norway		—		357,281		—
Philippines		—		707,753		—
Singapore		—		191,922		—
South Africa		—		1,637,320		—
South Korea		—		1,425,292		—
Spain		—		1,613,236		—
Sweden		—		2,285,732		—
Switzerland		249,079		5,637,590		—
Taiwan		—		174,449		—
Thailand		1,360,851		—		—
United Kingdom		148,652		10,913,652		—
United States		2,542,450		—		—
Preferred Stocks
Germany		—		691,540		—
Warrants
Thailand		—		1,937		—
Affiliated Money Market Mutual Fund		4,753,274		—		—
Total	$	21,551,954	$	63,402,955	$	—

Fair Value of Level 2 investments at 12/31/13 was $78,768,941. An amount of $930,898 was transferred from Level 1 into Level 2 at 12/31/14 as a result of fair valuing such foreign securities using third party vendor modeling tools. Such fair values are used to reflect the impact of significant market movements between the time at which the fund normally values its securities and the earlier closing of foreign markets. It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period.

SEE NOTES TO FINANCIAL STATEMENTS.

A4

	SP INTERNATIONAL GROWTH PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

Pharmaceuticals	14.5	%
Internet Software & Services	7.6
Affiliated Money Market Mutual Fund (including 4.1% of collateral for securities on loan)	5.8
Insurance	5.2
Machinery	5.0
Banks	3.9
Electronic Equipment, Instruments & Components	3.5
Automobiles	3.4
Capital Markets	3.3
Textiles, Apparel & Luxury Goods	3.1
Trading Companies & Distributors	3.0
Specialty Retail	3.0
Auto Components	2.8
Food & Staples Retailing	2.8
Household Products	2.6
Chemicals	2.5
Hotels, Restaurants & Leisure	2.5
Software	2.4
IT Services	2.4
Semiconductors & Semiconductor Equipment	2.2
Media	1.8
Building Products	1.8
Road & Rail	1.8
Technology Hardware, Storage & Peripherals	1.5

Oil, Gas & Consumable Fuels	1.5	%
Professional Services	1.4
Internet & Catalog Retail	1.3
Electrical Equipment	1.2
Diversified Telecommunication Services	1.2
Health Care Equipment & Supplies	1.0
Real Estate Management & Development	0.9
Food Products	0.9
Wireless Telecommunication Services	0.9
Diversified Financial Services	0.7
Industrial Conglomerates	0.7
Diversified Consumer Services	0.7
Commercial Services & Supplies	0.7
Beverages	0.6
Communications Equipment	0.5
Airlines	0.4
Personal Products	0.3
Biotechnology	0.3
Health Care Providers & Services	0.3
Energy Equipment & Services	0.3
Thrifts & Mortgage Finance	0.1
	104.3
Liabilities in excess of other assets	(4.3	)
	100.0	%

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are foreign exchange and equity risk.

The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

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

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Equity contracts	Unaffiliated investments	$	1,937	—	$	—

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

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(1)		Forward Currency Contracts(2)		Total
Foreign exchange contracts	$	—	$	1,201	$	1,201
Equity contracts		16,228		—		16,228
Total	$	16,228	$	1,201	$	17,429
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Warrants(3)		Forward Currency Contracts(4)		Total
Foreign exchange contracts	$	—	$	514	$	514
Equity contracts		1,937		—		1,937
Total	$	1,937	$	514	$	2,451

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A5

SP INTERNATIONAL GROWTH PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014

ASSETS
Investments at value, including securities on loan of $3,256,716:
Unaffiliated investments (cost $70,748,085)	$	80,201,635
Affiliated investments (cost $4,753,274)		4,753,274
Foreign currency, at value (cost $5,900)		5,696
Tax reclaim receivable		400,385
Receivable for investments sold		342,662
Receivable for Series shares sold		27,084
Dividends receivable		2,401
Prepaid expenses		876
Total assets		85,734,013
LIABILITIES
Payable to broker for collateral for securities on loan		3,358,338
Payable for investments purchased		733,535
Accrued expenses		135,438
Management fee payable		58,752
Payable for Series shares reacquired		4,114
Distribution fee payable		1,501
Administration fee payable		1,270
Affiliated transfer agent fee payable		926
Total liabilities		4,293,874
NET ASSETS	$	81,440,139
Net assets were comprised of:
Paid-in capital	$	104,448,493
Retained earnings		(23,008,354	)
Net assets, December 31, 2014	$	81,440,139
Class I:
Net asset value and redemption price per share, $74,490,384 / 12,543,631 outstanding shares of beneficial interest	$	5.94
Class II:
Net asset value and redemption price per share, $6,949,755 / 1,192,572 outstanding shares of beneficial interest	$	5.83

STATEMENT OF OPERATIONS

Year Ended December 31, 2014

NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of $173,666 foreign withholding tax)	$	1,560,170
Affiliated income from securities lending, net		10,191
Affiliated dividend income		1,876
Total income		1,572,237
EXPENSES
Management fee		748,917
Distribution fee—Class II		19,838
Administration fee—Class II		11,903
Custodian’s fees and expenses		190,000
Reports to shareholders		59,000
Audit fee		28,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		11,000
Trustees’ fees		11,000
Legal fees and expenses		10,000
Commitment fee on syndicated credit agreement		5,000
Insurance fees		1,000
Loan interest expense		144
Miscellaneous		33,756
Total expenses		1,129,558
Less: Management fee waiver		(10,770	)
Net expenses		1,118,788
NET INVESTMENT INCOME		453,449
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		4,373,765
Foreign currency transactions		(39,606	)
		4,334,159
Net change in unrealized appreciation (depreciation) on:
Investments		(10,089,790	)
Foreign currencies		(47,859	)
		(10,137,649	)
NET LOSS ON INVESTMENTS AND FOREIGN CURRENCIES		(5,803,490	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(5,350,041	)

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	453,449		$	300,660
Net realized gain on investment and foreign currency transactions		4,334,159			10,287,070
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(10,137,649	)		5,250,619
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(5,350,041	)		15,838,349
SERIES SHARE TRANSACTIONS (NOTE 7)
Series shares sold		4,090,920			6,792,290
Series shares repurchased		(13,294,205	)		(16,145,802	)
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(9,203,285	)		(9,353,512	)
TOTAL INCREASE (DECREASE)		(14,553,326	)		6,484,837
NET ASSETS:
Beginning of year		95,993,465			89,508,628
End of year	$	81,440,139		$	95,993,465

SEE NOTES TO FINANCIAL STATEMENTS.

A6

	SP INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2014

LONG-TERM INVESTMENTS — 97.1%
COMMON STOCKS	Shares		Value (Note 2)
Australia — 4.6%
Ansell Ltd.		16,315	$	298,509
Arrium Ltd.		539,200		93,303
Ausdrill Ltd.		62,500		19,880
Australia & New Zealand Banking Group Ltd.		7,900		205,558
Bendigo & Adelaide Bank Ltd.		32,600		338,973
Caltex Australia Ltd.		12,062		334,685
Challenger Ltd.		60,800		321,178
Downer EDI Ltd.		65,200		249,162
Fortescue Metals Group Ltd.		50,000		109,782
Independence Group NL		70,900		253,884
Lend Lease Group		28,600		380,920
Mineral Resources Ltd.		25,100		153,604
National Australia Bank Ltd.		14,800		403,600
Pacific Brands Ltd.		311,300		136,859
Primary Health Care Ltd.		35,100		134,302
Toll Holdings Ltd.		82,500		392,990
				3,827,189
Austria — 0.9%
OMV AG		8,300		220,393
UNIQA Insurance Group AG		24,414		229,126
Voestalpine AG		6,500		256,836
				706,355
Belgium — 2.3%
AGFA-Gevaert NV*		84,400		213,448
Anheuser-Busch InBev NV		8,298		933,871
bpost SA		11,100		278,839
Delhaize Group SA		6,400		466,083
				1,892,241
Brazil — 0.3%
Estacio Participacoes SA		24,902		223,146
Canada — 1.1%
MacDonald, Dettwiler & Associates Ltd.		5,652		461,919
Rogers Communications, Inc. (Class B Stock)		12,164		472,928
				934,847
Denmark — 0.8%
A.P. Moeller-Maersk A/S (Class B Stock)		100		198,895
Carlsberg A/S (Class B Stock)		3,165		243,071
TDC A/S		33,100		252,451
				694,417
Finland — 1.2%
Sampo OYJ (Class A Stock)		13,195		617,718
Tieto OYJ		13,600		352,444
				970,162
France — 8.0%
Airbus Group NV		7,746		382,948
Alstom SA*		11,700		377,357
AXA SA		10,900		251,170
BNP Paribas SA		14,374		848,558
Cap Gemini SA		7,263		519,430
Cie Generale des Etablissements Michelin		3,800		343,014

COMMON STOCKS (continued)	Shares		Value (Note 2)
France (continued)
CNP Assurances		7,300	$	129,416
Credit Agricole SA		16,000		206,537
Electricite de France SA		22,500		619,390
Renault SA		3,400		247,644
Sanofi		3,500		319,097
SCOR SE		6,700		203,013
Societe Generale SA		3,200		133,921
Thales SA		8,700		470,734
Total SA		9,600		491,829
Valeo SA		6,165		767,114
Vinci SA		6,038		329,691
				6,640,863
Germany — 7.8%
Allianz SE		2,900		480,317
BASF SE		5,900		494,899
Bayer AG		7,090		966,429
Bayerische Motoren Werke AG		2,707		292,135
Continental AG		1,100		232,016
Daimler AG		10,900		905,291
Deutsche Bank AG		9,300		278,483
E.ON SE		12,200		208,519
Freenet AG		13,900		395,210
Hannover Rueck SE		4,200		378,889
Merck KGaA		3,700		348,202
Muenchener Rueckversicherungs-Gesellshaft AG		2,000		398,276
Rheinmetall AG		4,000		174,157
RTL Group SA		2,154		205,398
Stada Arzneimittel AG		4,800		145,646
Volkswagen AG		1,600		346,887
Wincor Nixdorf AG		5,700		275,266
				6,526,020
Greece — 0.3%
Hellenic Telecommunications Organization SA*		8,374		91,568
Piraeus Bank SA*		167,572		182,341
				273,909
Hong Kong — 1.6%
Cheung Kong Holdings Ltd.		8,000		133,975
China Resources Cement Holdings Ltd.		407,000		262,298
First Pacific Co. Ltd.		134,000		132,325
Huabao International Holdings Ltd.		469,000		382,206
Kingboard Chemical Holdings Ltd.		102,000		171,270
Skyworth Digital Holdings Ltd.		472,000		255,427
				1,337,501
Ireland — 2.3%
C&C Group PLC		57,500		251,872
James Hardie Industries PLC, CDI		25,857		276,030
Permanent TSB Group Holdings PLC*		45,500		3,414
Ryanair Holdings PLC, ADR*		5,610		399,825
Shire PLC		7,553		535,509
Smurfit Kappa Group PLC		18,700		420,535
				1,887,185

SEE NOTES TO FINANCIAL STATEMENTS.

A7

	SP INTERNATIONAL VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Israel — 1.9%
Bank Hapoalim BM		26,000	$	122,255
Elbit Systems Ltd.		3,300		201,130
Teva Pharmaceutical Industries Ltd., ADR		17,114		984,226
Teva Pharmaceutical Industries Ltd.		5,400		309,555
				1,617,166
Italy — 1.8%
Atlantia SpA		20,690		480,877
Azimut Holding SpA		12,370		268,732
Enel SpA		88,200		393,154
Eni SpA		18,400		322,304
				1,465,067
Japan — 19.7%
AEON Financial Service Co. Ltd.		9,400		185,659
Anritsu Corp.		26,000		180,871
Aoyama Trading Co. Ltd.		14,700		321,194
Aozora Bank Ltd.		46,000		142,395
Asics Corp.		8,400		202,233
Central Glass Co. Ltd.		56,000		203,093
Daikin Industries Ltd.		9,800		628,416
Daiwa House Industry Co. Ltd.		37,400		706,533
Don Quijote Holdings Co. Ltd.		10,600		728,718
Fukuoka Financial Group, Inc.		25,300		130,433
Fuyo General Lease Co. Ltd.		3,400		117,388
Hogy Medical Co. Ltd.		2,800		127,694
Japan Tobacco, Inc.		12,700		349,539
KDDI Corp.		21,500		1,350,717
Keihin Corp.		11,700		173,659
Keiyo Bank Ltd. (The)		55,000		306,931
KYORIN Holdings, Inc.		15,300		283,528
Kyowa Exeo Corp.		28,200		300,744
Makita Corp.		5,300		238,828
Marubeni Corp.		42,000		251,302
Medipal Holdings Corp.		12,500		145,996
Miraca Holdings, Inc.		3,100		133,359
Mitsubishi Corp.		8,900		162,871
Mitsubishi UFJ Financial Group, Inc.		94,000		516,458
Mitsui & Co. Ltd.		30,900		413,848
Mizuho Financial Group, Inc.		258,400		433,157
Nichirei Corp.		46,800		211,782
Nikkiso Co. Ltd.		15,700		145,261
Nippon Telegraph & Telephone Corp.		11,100		567,017
Nissan Motor Co. Ltd.		41,500		361,953
NTT DoCoMo, Inc.		20,600		299,999
Otsuka Holdings Co. Ltd.		5,900		176,889
Paramount Bed Holdings Co. Ltd.		4,800		126,522
Resona Holdings, Inc.		110,400		557,686
Sankyu, Inc.		30,000		121,768
Seino Holdings Co. Ltd.		13,000		131,035
Seven & I Holdings Co. Ltd.		13,500		485,613
Shimachu Co. Ltd.		6,300		152,688
Sky Perfect JSAT Holdings, Inc.		25,400		149,882
SoftBank Corp.		9,300		553,567
Sumitomo Corp.		38,400		394,394
Sumitomo Mitsui Financial Group, Inc.		28,800		1,041,198

COMMON STOCKS (continued)	Shares		Value (Note 2)
Japan (continued)
Suzuken Co. Ltd.		9,600	$	265,184
Toagosei Co. Ltd.		82,000		325,278
Toho Holdings Co. Ltd.		7,400		107,749
Tokai Rika Co. Ltd.		11,300		237,199
Toppan Forms Co. Ltd.		31,400		315,169
Tsumura & Co.		6,400		141,524
United Arrows Ltd.		8,700		242,966
West Japan Railway Co.		3,100		146,563
Yokohama Rubber Co. Ltd. (The)		46,700		425,219
				16,419,669
Liechtenstein — 0.2%
VP Bank AG		2,300		196,641
Netherlands — 5.5%
Aegon NV		17,300		130,027
ING Groep NV, CVA*		21,400		276,481
Koninklijke Ahold NV		29,900		531,410
Koninklijke KPN NV*		97,612		308,196
NXP Semiconductor NV*		5,635		431,730
Royal Dutch Shell PLC (Class A Stock)		31,026		1,035,429
Royal Dutch Shell PLC (Class B Stock)		40,400		1,395,865
Wolters Kluwer NV		16,126		492,090
				4,601,228
New Zealand — 0.4%
Air New Zealand Ltd.		191,700		368,211
Norway — 1.2%
DNB ASA		13,600		200,609
Marine Harvest ASA		28,500		391,317
Statoil ASA		11,100		195,436
Yara International ASA		5,600		249,381
				1,036,743
Philippines — 0.5%
Alliance Global Group, Inc.		753,900		376,600
Singapore — 0.8%
DBS Group Holdings Ltd.		41,000		634,734
South Africa — 0.3%
Mondi PLC		16,900		274,549
Spain — 1.8%
Banco Santander SA		43,300		363,423
Gas Natural SDG SA		4,600		115,555
Mediaset Espana Comunicacion SA*		29,578		371,857
Red Electrica Corp. SA		3,982		351,020
Repsol SA		17,100		320,127
				1,521,982
Sweden — 3.7%
Assa Abloy AB (Class B Stock)		11,018		581,932
Boliden AB		11,800		188,621
Nordea Bank AB		28,700		332,225
Oriflame Cosmetics SA, SDR		6,300		87,291
Securitas AB (Class B Stock)		34,700		419,790
Swedbank AB (Class A Stock)		28,270		701,405
Telefonaktiebolaget LM Ericsson (Class B Stock)		32,700		395,935
TeliaSonera AB		62,800		403,764
				3,110,963

SEE NOTES TO FINANCIAL STATEMENTS.

A8

	SP INTERNATIONAL VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Switzerland — 7.4%
Baloise Holding AG		3,200	$	408,997
Cembra Money Bank AG		3,500		192,373
Credit Suisse Group AG*		24,400		612,959
GAM Holding AG*		13,214		237,561
Georg Fischer AG*		500		315,465
Glencore PLC*		107,590		496,618
Helvetia Holding AG		400		190,060
Lonza Group AG*		700		78,814
Novartis AG		18,483		1,714,178
Swatch Group AG (The)		733		325,640
Swiss Life Holding AG*		1,700		401,798
Swiss Re AG*		5,500		460,744
Zurich Insurance Group AG*		2,200		687,505
				6,122,712
Taiwan — 0.7%
Taiwan Semiconductor Manufacturing Co. Ltd., ADR		24,846		556,054
Thailand — 0.3%
Krung Thai Bank PCL		390,100		269,157
Turkey — 0.4%
Turkcell Iletisim Hizmetleri A/S*		53,232		324,848
United Kingdom — 19.3%
3i Group PLC		40,000		278,912
Anglo American PLC		37,948		702,208
AstraZeneca PLC		6,100		430,848
Aviva PLC		38,300		287,763
BAE Systems PLC		74,600		545,566
Barclays PLC		87,400		328,566
Beazley PLC		54,900		244,412
Bellway PLC		9,500		284,921
BP PLC		116,500		739,494
British American Tobacco PLC		13,587		736,294
BT Group PLC		109,200		679,232
Carillion PLC		65,500		339,397
Centrica PLC		63,800		276,346
Dairy Crest Group PLC		40,400		312,930
Direct Line Insurance Group PLC		84,381		381,706
GlaxoSmithKline PLC		21,300		456,963
Home Retail Group PLC		49,500		159,526
HSBC Holdings PLC		51,500		486,664
Informa PLC		71,835		524,634
International Consolidated Airlines Group SA*		69,568		523,713

COMMON STOCKS (continued)	Shares		Value (Note 2)
United Kingdom (continued)
J Sainsbury PLC		83,800	$	320,007
Legal & General Group PLC		4,800		18,534
Lloyds Banking Group PLC*		925,650		1,088,807
Marston’s PLC		59,800		133,309
Old Mutual PLC		83,400		245,794
Petrofac Ltd.		11,200		122,013
Provident Financial PLC		9,006		343,775
Prudential PLC		41,170		951,831
Reed Elsevier PLC		38,219		652,857
Rexam PLC		88,754		624,829
Rio Tinto Ltd.		3,700		173,459
Rolls-Royce Holdings PLC*		19,678		264,352
Taylor Wimpey PLC		209,789		447,568
Tesco PLC		103,300		301,192
Tullett Prebon PLC		57,600		253,892
Unilever PLC		9,901		402,260
Vesuvius PLC		40,500		280,108
William Hill PLC		56,053		314,968
WM Morrison Supermarkets PLC		146,400		417,719
				16,077,369
TOTAL LONG-TERM INVESTMENTS (cost $81,583,114)				80,887,528
SHORT-TERM INVESTMENT — 1.8%
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $1,495,949) (Note 4)(a)		1,495,949		1,495,949
TOTAL INVESTMENTS — 98.9% (cost $83,079,063)				82,383,477
OTHER ASSETS IN EXCESS OF LIABILITIES —1.1%				877,399
NET ASSETS — 100.0%			$	83,260,876

See the Glossary for abbreviations used in the Portfolio descriptions.

* Non-income producing security.

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

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A9

	SP INTERNATIONAL VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Australia	$	—	$	3,827,189	$	—
Austria		—		706,355		—
Belgium		213,448		1,678,793		—
Brazil		223,146		—		—
Canada		934,847		—		—
Denmark		—		694,417		—
Finland		—		970,162		—
France		—		6,640,863		—
Germany		—		6,526,020		—
Greece		—		273,909		—
Hong Kong		—		1,337,501		—
Ireland		655,111		1,232,074		—
Israel		984,226		632,940		—
Italy		—		1,465,067		—
Japan		—		16,419,669		—
Liechtenstein		196,641		—		—
Netherlands		431,730		4,169,498		—
New Zealand		—		368,211		—
Norway		—		1,036,743		—
Philippines		—		376,600		—
Singapore		—		634,734		—
South Africa		—		274,549		—
Spain		—		1,521,982		—
Sweden		—		3,110,963		—
Switzerland		—		6,122,712		—
Taiwan		556,054		—		—
Thailand		269,157		—		—
Turkey		—		324,848		—
United Kingdom		—		16,077,369		—
Affiliated Money Market Mutual Fund		1,495,949		—		—
Total	$	5,960,309	$	76,423,168	$	—

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

Banks	12.3	%
Insurance	8.5
Pharmaceuticals	8.2
Oil, Gas & Consumable Fuels	6.1
Wireless Telecommunication Services	4.1
Food & Staples Retailing	3.0
Media	3.0
Aerospace & Defense	2.8
Diversified Telecommunication Services	2.8
Metals & Mining	2.7
Auto Components	2.6
Automobiles	2.6
Capital Markets	2.5
Affiliated Money Market Mutual Fund	1.8
Chemicals	1.7
Beverages	1.7
Building Products	1.7
Electric Utilities	1.6
Food Products	1.6
Airlines	1.6
Trading Companies & Distributors	1.5
Real Estate Management & Development	1.4

Commercial Services & Supplies	1.4	%
Tobacco	1.3
Containers & Packaging	1.3
Construction & Engineering	1.2
Semiconductors & Semiconductor Equipment	1.2
Household Durables	1.2
IT Services	1.0
Machinery	1.0
Health Care Providers & Services	0.9
Multiline Retail	0.9
Specialty Retail	0.9
Consumer Finance	0.9
Health Care Equipment & Supplies	0.8
Air Freight & Logistics	0.8
Industrial Conglomerates	0.7
Diversified Financial Services	0.7
Construction Materials	0.6
Textiles, Apparel & Luxury Goods	0.6
Transportation Infrastructure	0.6
Multi-Utilities	0.6
Hotels, Restaurants & Leisure	0.5
Road & Rail	0.5

SEE NOTES TO FINANCIAL STATEMENTS.

A10

	SP INTERNATIONAL VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

Industry table (con’t.)
Communications Equipment	0.5	%
Electrical Equipment	0.4
Electronic Equipment, Instruments & Components	0.4
Technology Hardware, Storage & Peripherals	0.3
Paper & Forest Products	0.3
Diversified Consumer Services	0.3
Health Care Technology	0.3
Marine	0.2
Internet & Catalog Retail	0.2

Distributors	0.2	%
Energy Equipment & Services	0.1
Gas Utilities	0.1
Personal Products	0.1
Life Sciences Tools & Services	0.1
	98.9
Other assets in excess of liabilities	1.1
	100.0	%

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are foreign exchange and equity risk.

The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

The Portfolio did not hold any derivative instruments as of December 31, 2014 accordingly, no derivative positions were presented in the Statement of Assets and Liabilities.

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

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(1)			Forward Currency Contracts(2)			Total
Foreign exchange contracts	$	—		$	324,619		$	324,619
Equity contracts		10,469			—			10,469
Total	$	10,469		$	324,619		$	335,088
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(3)			Forward Currency Contracts(4)			Total
Foreign exchange contracts	$	—		$	(201,889	)	$	(201,889	)
Equity contracts		(329	)		—			(329	)
Total	$	(329	)	$	(201,889	)	$	(202,218	)

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

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

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

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

For the year ended December 31, 2014, the Portfolio’s average value at settlement date for foreign currency exchange purchase and sale contracts was $3,588,934 and $10,948,699, respectively.

SEE NOTES TO FINANCIAL STATEMENTS.

A11

SP INTERNATIONAL VALUE PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014

ASSETS
Investments at value:
Unaffiliated investments (cost $81,583,114)	$	80,887,528
Affiliated investments (cost $1,495,949)		1,495,949
Foreign currency, at value (cost $291,439)		285,746
Dividends receivable		759,186
Receivable for investments sold		275,970
Tax reclaim receivable		60,032
Receivable for Series shares sold		5,095
Prepaid expenses		1,213
Total assets		83,770,719
LIABILITIES
Payable for investments purchased		282,205
Accrued expenses		138,299
Management fee payable		64,493
Payable to custodian		23,047
Affiliated transfer agent fee payable		926
Payable for Series shares reacquired		873
Total liabilities		509,843
NET ASSETS	$	83,260,876
Net assets were comprised of:
Paid-in capital	$	81,757,191
Retained earnings		1,503,685
Net assets, December 31, 2014	$	83,260,876
Class I:
Net asset value and redemption price per share, $83,260,876 / 11,151,436 outstanding shares of beneficial interest	$	7.47

STATEMENT OF OPERATIONS

Year Ended December 31, 2014

NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of $349,830 foreign withholding tax)	$	3,928,583
Affiliated dividend income		4,164
Total income		3,932,747
EXPENSES
Management fee		1,045,911
Custodian’s fees and expenses		240,000
Reports to shareholders		45,000
Audit fee		30,000
Commitment fee on syndicated credit agreement		19,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		12,000
Trustees’ fees		11,000
Legal fees and expenses		9,000
Interest expense		8,019
Insurance fees		2,000
Miscellaneous		44,933
Total expenses		1,466,863
NET INVESTMENT INCOME		2,465,884
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain on:
Investment transactions		25,075,672
Foreign currency transactions		654,012
		25,729,684
Net change in unrealized appreciation (depreciation) on:
Investments		(32,421,508	)
Foreign currencies		(313,636	)
		(32,735,144	)
NET LOSS ON INVESTMENTS AND FOREIGN CURRENCIES		(7,005,460	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(4,539,576	)

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	2,465,884		$	2,169,272
Net realized gain on investment and foreign currency transactions		25,729,684			6,402,464
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(32,735,144	)		16,001,291
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(4,539,576	)		24,573,027
SERIES SHARE TRANSACTIONS
Series shares sold [787,399 and 872,737 shares, respectively]		6,161,658			6,158,434
Series shares repurchased [7,784,512 and 1,567,209 shares, respectively]		(62,618,227	)		(11,229,049	)
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(56,456,569	)		(5,070,615	)
TOTAL INCREASE (DECREASE)		(60,996,145	)		19,502,412
NET ASSETS:
Beginning of year		144,257,021			124,754,609
End of year	$	83,260,876		$	144,257,021

SEE NOTES TO FINANCIAL STATEMENTS.

A12

	SP PRUDENTIAL U.S. EMERGING GROWTH  PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2014

LONG-TERM INVESTMENTS — 98.1%
COMMON STOCKS	Shares		Value (Note 2)
Airlines — 2.4%
Spirit Airlines, Inc.*		30,990	$	2,342,224
United Continental Holdings, Inc.*		55,946		3,742,228
				6,084,452
Auto Components — 0.8%
Delphi Automotive PLC (United Kingdom)		28,167		2,048,304
Banks — 0.9%
First Republic Bank		40,956		2,134,627
Beverages — 0.9%
Constellation Brands, Inc. (Class A Stock)*		23,992		2,355,295
Biotechnology — 2.9%
BioMarin Pharmaceutical, Inc.*		24,834		2,244,994
Incyte Corp. Ltd.*		38,106		2,785,930
Vertex Pharmaceuticals, Inc.*		17,808		2,115,590
				7,146,514
Capital Markets — 0.5%
Artisan Partners Asset Management, Inc. (Class A Stock)		26,492		1,338,641
Chemicals — 3.5%
Airgas, Inc.		24,371		2,807,052
Albemarle Corp.(a)		6,076		365,350
Eastman Chemical Co.		32,925		2,497,691
FMC Corp.		53,480		3,049,964
				8,720,057
Commercial Services & Supplies — 2.2%
Copart, Inc.*		51,162		1,866,901
Stericycle, Inc.*		27,346		3,584,514
				5,451,415
Communications Equipment — 0.9%
F5 Networks, Inc.*		17,818		2,324,625
Construction & Engineering — 1.0%
Quanta Services, Inc.*		89,722		2,547,208
Consumer Finance — 0.8%
SLM Corp.		187,602		1,911,664
Electrical Equipment — 1.0%
AMETEK, Inc.		48,074		2,530,135
Electronic Equipment, Instruments & Components — 1.6%
Amphenol Corp. (Class A Stock)		74,008		3,982,370
Energy Equipment & Services — 0.9%
Cameron International Corp.*		45,806		2,288,010
Food & Staples Retailing — 1.7%
Kroger Co. (The)		38,743		2,487,688
Sprouts Farmers Market, Inc.*		47,985		1,630,530
				4,118,218
Food Products — 2.8%
Hain Celestial Group, Inc. (The)*		70,608		4,115,740
Keurig Green Mountain, Inc.		5,260		696,398
Mead Johnson Nutrition Co.		20,684		2,079,569
				6,891,707

COMMON STOCKS (continued)	Shares		Value (Note 2)
Health Care Equipment & Supplies — 1.7%
Align Technology, Inc.*		30,389	$	1,699,049
Cooper Cos., Inc. (The)		15,100		2,447,559
				4,146,608
Health Care Providers & Services — 6.4%
Catamaran Corp.*		79,794		4,129,340
Centene Corp.*		25,284		2,625,743
Envision Healthcare Holdings, Inc.*		65,938		2,287,389
Henry Schein, Inc.*		30,984		4,218,472
Universal Health Services, Inc. (Class B Stock)		25,181		2,801,638
				16,062,582
Hotels, Restaurants & Leisure — 2.7%
Hilton Worldwide Holdings, Inc.*		47,510		1,239,536
Norwegian Cruise Line Holdings Ltd.*		38,791		1,813,867
Starwood Hotels & Resorts Worldwide, Inc.		46,095		3,736,922
				6,790,325
Household Products — 1.0%
Church & Dwight Co., Inc.		30,604		2,411,901
Independent Power & Renewable Electricity Producers — 0.5%
Abengoa Yield PLC (Spain)		48,973		1,337,942
Industrial Conglomerates — 1.8%
Roper Industries, Inc.		28,382		4,437,526
Insurance — 1.0%
W.R. Berkley Corp.		47,897		2,455,200
Internet & Catalog Retail — 0.9%
TripAdvisor, Inc.*(a)		14,632		1,092,425
Vipshop Holdings Ltd. (China), ADR*(a)		33,299		650,662
Wayfair, Inc. (Class A Stock)*(a)		25,770		511,535
				2,254,622
Internet Software & Services — 1.5%
LendingClub Corp.*(a)		5,368		135,811
LinkedIn Corp. (Class A Stock)*		11,390		2,616,397
Twitter, Inc.*		25,559		916,801
				3,669,009
IT Services — 2.5%
FleetCor Technologies, Inc.*		9,842		1,463,604
Vantiv, Inc. (Class A Stock)*		138,176		4,686,930
				6,150,534
Life Sciences Tools & Services — 0.8%
Illumina, Inc.*		11,079		2,044,962
Machinery — 3.2%
Flowserve Corp.		51,171		3,061,561
IDEX Corp.		29,878		2,325,703
Pall Corp.		26,852		2,717,691
				8,104,955
Metals & Mining — 0.9%
Reliance Steel & Aluminum Co.		35,826		2,195,059
Multiline Retail — 2.3%
Dollar Tree, Inc.*		82,920		5,835,910

SEE NOTES TO FINANCIAL STATEMENTS.

A13

	SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels — 4.2%
Concho Resources, Inc.*		34,642	$	3,455,539
Laredo Petroleum, Inc.*		68,792		711,997
Marathon Petroleum Corp.		20,126		1,816,573
Noble Energy, Inc.		50,911		2,414,709
Whiting Petroleum Corp.*		64,654		2,133,582
				10,532,400
Pharmaceuticals — 3.9%
Endo International PLC*		29,968		2,161,292
Jazz Pharmaceuticals PLC*		11,295		1,849,331
Pacira Pharmaceuticals, Inc.*		13,311		1,180,153
Perrigo Co. PLC		20,632		3,448,845
Salix Pharmaceuticals Ltd.*		10,367		1,191,583
				9,831,204
Professional Services — 2.6%
IHS, Inc. (Class A Stock)*		31,393		3,575,035
Towers Watson & Co. (Class A Stock)		26,279		2,973,994
				6,549,029
Real Estate Investment Trusts (REITs) — 3.8%
Crown Castle International Corp.		67,721		5,329,643
MFA Financial, Inc.		240,375		1,920,596
Starwood Property Trust, Inc.		98,223		2,282,702
				9,532,941
Real Estate Management & Development — 1.0%
CBRE Group, Inc. (Class A Stock)*		70,327		2,408,700
Road & Rail — 1.5%
Kansas City Southern		14,687		1,792,254
Old Dominion Freight Line, Inc.*		25,803		2,003,345
				3,795,599
Semiconductors & Semiconductor Equipment — 2.7%
Analog Devices, Inc.		37,397		2,076,282
Applied Materials, Inc.		78,197		1,948,669
Xilinx, Inc.		62,807		2,718,915
				6,743,866
Software — 9.8%
Activision Blizzard, Inc.		85,968		1,732,255
Check Point Software Technologies Ltd. (Israel)*(a)		52,067		4,090,904
Electronic Arts, Inc.*		87,240		4,101,589
Intuit, Inc.		40,427		3,726,965
Red Hat, Inc.*		72,361		5,003,040
ServiceNow, Inc.*		37,104		2,517,506
Splunk, Inc.*		36,056		2,125,501
Ultimate Software Group, Inc. (The)*		8,168		1,199,185
				24,496,945
Specialty Retail — 8.7%
GNC Holdings, Inc. (Class A Stock)		61,344		2,880,714
L Brands, Inc.		38,489		3,331,223
O’Reilly Automotive, Inc.*		15,361		2,958,836
Ross Stores, Inc.		47,835		4,508,927
Signet Jewelers Ltd.		20,585		2,708,368

COMMON STOCKS (continued)	Shares		Value (Note 2)
Specialty Retail (continued)
Tiffany & Co.		19,925	$	2,129,186
Ulta Salon Cosmetics & Fragrance, Inc.*		25,533		3,264,139
				21,781,393
Technology Hardware, Storage & Peripherals — 1.0%
SanDisk Corp.		25,187		2,467,822
Textiles, Apparel & Luxury Goods — 3.0%
Burberry Group PLC (United Kingdom)		77,880		1,975,954
Kate Spade & Co.*		48,285		1,545,603
PVH Corp.		25,833		3,311,016
Under Armour, Inc. (Class A Stock)*		10,826		735,085
				7,567,658
Trading Companies & Distributors — 1.2%
WESCO International, Inc.*(a)		38,974		2,970,208
Wireless Telecommunication Services — 2.7%
SBA Communications Corp. (Class A Stock)*		61,633		6,826,471
TOTAL LONG-TERM INVESTMENTS (cost $166,315,665)				245,274,613
SHORT-TERM INVESTMENT — 5.1%
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $12,762,443; includes $9,202,022 of cash collateral for securities on loan)(b)(w) (Note 4)		12,762,443		12,762,443
TOTAL INVESTMENTS — 103.2% (cost $179,078,108)				258,037,056
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.2)%				(8,032,377	)
NET ASSETS — 100.0%			$	250,004,679

See the Glossary for abbreviations used in the Portfolio descriptions.

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $8,944,508; cash collateral of $9,202,022 (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 Taxable Money Market Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

A14

	SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

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

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

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

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

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Airlines	$	6,084,452	$	—	$	—
Auto Components		2,048,304		—		—
Banks		2,134,627		—		—
Beverages		2,355,295		—		—
Biotechnology		7,146,514		—		—
Capital Markets		1,338,641		—		—
Chemicals		8,720,057		—		—
Commercial Services & Supplies		5,451,415		—		—
Communications Equipment		2,324,625		—		—
Construction & Engineering		2,547,208		—		—
Consumer Finance		1,911,664		—		—
Electrical Equipment		2,530,135		—		—
Electronic Equipment, Instruments & Components		3,982,370		—		—
Energy Equipment & Services		2,288,010		—		—
Food & Staples Retailing		4,118,218		—		—
Food Products		6,891,707		—		—
Health Care Equipment & Supplies		4,146,608		—		—
Health Care Providers & Services		16,062,582		—		—
Hotels, Restaurants & Leisure		6,790,325		—		—
Household Products		2,411,901		—		—
Independent Power & Renewable Electricity Producers		1,337,942		—		—
Industrial Conglomerates		4,437,526		—		—
Insurance		2,455,200		—		—
Internet & Catalog Retail		2,254,622		—		—
Internet Software & Services		3,669,009		—		—
IT Services		6,150,534		—		—
Life Sciences Tools & Services		2,044,962		—		—
Machinery		8,104,955		—		—
Metals & Mining		2,195,059		—		—
Multiline Retail		5,835,910		—		—
Oil, Gas & Consumable Fuels		10,532,400		—		—
Pharmaceuticals		9,831,204		—		—
Professional Services		6,549,029		—		—
Real Estate Investment Trusts (REITs)		9,532,941		—		—
Real Estate Management & Development		2,408,700		—		—
Road & Rail		3,795,599		—		—
Semiconductors & Semiconductor Equipment		6,743,866		—		—
Software		24,496,945		—		—
Specialty Retail		21,781,393		—		—
Technology Hardware, Storage & Peripherals		2,467,822		—		—
Textiles, Apparel & Luxury Goods		5,591,704		1,975,954		—
Trading Companies & Distributors		2,970,208		—		—
Wireless Telecommunication Services		6,826,471		—		—
Affiliated Money Market Mutual Fund		12,762,443		—		—
Total	$	256,061,102	$	1,975,954	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A15

	SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

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

Software	9.8	%
Specialty Retail	8.7
Health Care Providers & Services	6.4
Affiliated Money Market Mutual Fund (including 3.7% of collateral for securities on loan)	5.1
Oil, Gas & Consumable Fuels	4.2
Pharmaceuticals	3.9
Real Estate Investment Trusts (REITs)	3.8
Chemicals	3.5
Machinery	3.2
Textiles, Apparel & Luxury Goods	3.0
Biotechnology	2.9
Food Products	2.8
Wireless Telecommunication Services	2.7
Hotels, Restaurants & Leisure	2.7
Semiconductors & Semiconductor Equipment	2.7
Professional Services	2.6
IT Services	2.5
Airlines	2.4
Multiline Retail	2.3
Commercial Services & Supplies	2.2
Industrial Conglomerates	1.8
Health Care Equipment & Supplies	1.7
Food & Staples Retailing	1.7
Electronic Equipment, Instruments & Components	1.6

Road & Rail	1.5	%
Internet Software & Services	1.5
Trading Companies & Distributors	1.2
Construction & Engineering	1.0
Electrical Equipment	1.0
Technology Hardware, Storage & Peripherals	1.0
Insurance	1.0
Household Products	1.0
Real Estate Management & Development	1.0
Beverages	0.9
Communications Equipment	0.9
Energy Equipment & Services	0.9
Internet & Catalog Retail	0.9
Metals & Mining	0.9
Banks	0.9
Auto Components	0.8
Life Sciences Tools & Services	0.8
Consumer Finance	0.8
Capital Markets	0.5
Independent Power & Renewable Electricity Producers	0.5
	103.2
Liabilities in excess of other assets	(3.2	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A16

SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO  (continued)

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2014

ASSETS
Investments at value, including securities on loan of $8,944,508:
Unaffiliated investments (cost $166,315,665)	$	245,274,613
Affiliated investments (cost $12,762,443)		12,762,443
Cash		646
Receivable for investments sold		1,322,725
Dividends receivable		185,801
Receivable for Series shares sold		5,437
Tax reclaim receivable		2,979
Prepaid expenses		2,253
Total Assets		259,556,897
LIABILITIES
Payable to broker for collateral for securities on loan		9,202,022
Payable for Series shares repurchased		142,673
Management fee payable		126,864
Accrued expenses		77,617
Deferred trustees’ fees		1,817
Affiliated transfer agent fee payable		926
Distribution fee payable		187
Administration fee payable		112
Total Liabilities		9,552,218
NET ASSETS	$	250,004,679
Net assets were comprised of:
Paid-in capital	$	103,960,938
Retained earnings		146,043,741
Net assets, December 31, 2014	$	250,004,679
Class I:
Net asset value and redemption price per share $249,116,834 / 21,000,026 outstanding shares of beneficial interest	$	11.86
Class II:
Net asset value and redemption price per share $887,845 / 78,351 outstanding shares of beneficial interest	$	11.33

STATEMENT OF OPERATIONS

Year Ended December 31, 2014

NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $3,593)	,$	2,174,633
Affiliated income from securities loaned, net		32,578
Affiliated dividend income		7,392
Total income		2,214,603
EXPENSES
Management fee		1,476,673
Distribution fee—Class II		2,068
Administration fee—Class II		1,241
Custodian’s fees and expenses		60,000
Shareholders’ reports		60,000
Audit fee		25,000
Trustees’ fees		14,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		12,000
Legal fees and expenses		10,000
Insurance expenses		3,000
Commitment fee on syndicated credit agreement		2,000
Miscellaneous		9,462
Total expenses		1,675,444
NET INVESTMENT INCOME		539,159
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		34,102,823
Foreign currency transactions		(642	)
		34,102,181
Net change in unrealized appreciation (depreciation) on:
Investments		(12,120,338	)
Foreign currencies		55
		(12,120,283	)
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		21,981,898
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	22,521,057

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	539,159		$	198,770
Net realized gain on investment and foreign currency transactions		34,102,181			23,218,743
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(12,120,283	)		35,765,499
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		22,521,057			59,183,012
SERIES SHARE TRANSACTIONS (Note 7)
Series shares sold		4,977,132			6,115,312
Series shares repurchased		(30,013,613	)		(34,115,247	)
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(25,036,481	)		(27,999,935	)
TOTAL INCREASE (DECREASE)		(2,515,424	)		31,183,077
NET ASSETS:
Beginning of year		252,520,103			221,337,026
End of year	$	250,004,679		$	252,520,103

SEE NOTES TO FINANCIAL STATEMENTS.

A17

	SP SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2014

LONG-TERM INVESTMENTS — 98.9%
COMMON STOCKS — 97.5%	Shares		Value (Note 2)
Aerospace & Defense — 2.1%
Cubic Corp.		4,485	$	236,090
Curtiss-Wright Corp.		8,663		611,521
Esterline Technologies Corp.*(a)		13,697		1,502,287
Moog, Inc. (Class A Stock)*		11,859		877,922
Teledyne Technologies, Inc.*		3,992		410,138
Triumph Group, Inc.		14,020		942,425
				4,580,383
Air Freight & Logistics — 0.3%
Forward Air Corp.		12,416		625,394
Auto Components — 1.1%
American Axle & Manufacturing Holdings, Inc.*		24,920		562,943
Dana Holding Corp.		31,450		683,723
Superior Industries International, Inc.		28,100		556,099
Tenneco, Inc.*		8,697		492,337
				2,295,102
Banks — 15.5%
BancorpSouth, Inc.		44,317		997,576
Bank of the Ozarks, Inc.		33,525		1,271,268
BankUnited, Inc.		44,370		1,285,399
Banner Corp.(g)		13,240		569,585
Boston Private Financial Holdings, Inc.		42,035		566,211
Bridge Capital Holdings*		7,620		170,536
CoBiz Financial, Inc.		15,903		208,806
Community Bank System, Inc.		14,914		568,671
ConnectOne Bancorp, Inc.		7,142		135,698
First Financial Bankshares, Inc.(a)		21,048		628,914
First Midwest Bancorp, Inc.		21,076		360,610
First of Long Island Corp. (The)		5,916		167,837
First Republic Bank		20,400		1,063,248
FirstMerit Corp.		102,440		1,935,092
Flushing Financial Corp.		16,838		341,306
Glacier Bancorp, Inc.		27,171		754,539
Heritage Financial Corp.		9,049		158,810
Home BancShares, Inc.		17,716		569,747
Iberiabank Corp.		43,840		2,843,024
Independent Bank Corp.		10,720		458,923
Independent Bank Group, Inc.		4,968		194,050
Lakeland Financial Corp.		6,125		266,254
MB Financial, Inc.		27,880		916,137
PacWest Bancorp		18,837		856,330
Pinnacle Financial Partners, Inc.		17,223		680,997
PrivateBancorp, Inc.		37,340		1,247,156
Prosperity Bancshares, Inc.		12,137		671,904
Sandy Spring Bancorp, Inc.		7,829		204,180
Sierra Bancorp		3,589		63,023
Signature Bank*		20,168		2,540,361
South State Corp.		9,521		638,669
Southcoast Financial Corp.*		3,566		25,140
Southwest Bancorp, Inc.		12,930		224,465
Summit State Bank		4,086		56,060
SVB Financial Group*		24,650		2,861,125
Texas Capital Bancshares, Inc.*		11,309		614,418
Tompkins Financial Corp.		16,909		935,068

COMMON STOCKS (continued)	Shares		Value (Note 2)
Banks (continued)
Trico Bancshares		7,909	$	195,352
UMB Financial Corp.		14,857		845,215
ViewPoint Financial Group, Inc.		25,507		608,342
Webster Financial Corp.		32,583		1,059,925
Wintrust Financial Corp.		63,700		2,978,612
				33,738,583
Biotechnology — 0.4%
Infinity Pharmaceuticals, Inc.*		30,467		514,588
TESARO, Inc.*		7,019		261,036
				775,624
Building Products — 0.4%
Continental Building Products, Inc.*		17,767		315,009
Gibraltar Industries, Inc.*		18,090		294,143
NCI Building Systems, Inc.*		17,740		328,545
				937,697
Capital Markets — 3.8%
Affiliated Managers Group, Inc.*		11,770		2,498,065
Apollo Investment Corp.		8,901		66,045
Cohen & Steers, Inc.(a)		4,656		195,924
Golub Capital BDC, Inc.		9,470		169,797
Greenhill & Co., Inc.		15,496		675,626
HFF, Inc. (Class A Stock)		15,043		540,345
Moelis & Co.		6,002		209,650
New Mountain Finance Corp.		14,682		219,349
OM Asset Management PLC (United Kingdom)*		31,896		517,991
Raymond James Financial, Inc.		28,470		1,631,046
Stifel Financial Corp.*		18,027		919,737
Virtus Investment Partners, Inc.		3,187		543,352
				8,186,927
Chemicals — 2.5%
Axiall Corp.		4,197		178,246
H.B. Fuller Co.		8,309		370,000
Koppers Holdings, Inc.		33,470		869,550
Kraton Performance Polymers, Inc.*		28,990		602,702
Methanex Corp. (Canada)		12,290		563,251
Minerals Technologies, Inc.		3,728		258,910
PolyOne Corp.		34,325		1,301,261
Quaker Chemical Corp.		5,530		508,981
Tronox Ltd. (Class A Stock)		2,644		63,139
WR Grace & Co.*		6,592		628,811
				5,344,851
Commercial Services & Supplies — 1.4%
ACCO Brands Corp.*		103,352		931,201
Ceco Environmental Corp.		18,451		286,728
G&K Services, Inc. (Class A Stock)		6,523		462,155
Herman Miller, Inc.		8,120		238,972
Mobile Mini, Inc.		15,742		637,708
Progressive Waste Solutions Ltd. (Canada)		18,648		560,932
				3,117,696

SEE NOTES TO FINANCIAL STATEMENTS.

A18

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Communications Equipment — 2.7%
ADTRAN, Inc.		16,186	$	352,855
Bel Fuse, Inc. (Class B Stock)		12,120		331,361
Black Box Corp.		9,690		231,591
Digi International, Inc.*		110,908		1,030,335
Extreme Networks, Inc.*		59,195		208,958
InterDigital, Inc.		22,100		1,169,090
JDS Uniphase Corp.*		31,803		436,337
Plantronics, Inc.		31,430		1,666,419
RADWARE Ltd. (Israel)*		23,938		527,115
				5,954,061
Construction & Engineering — 1.3%
Comfort Systems USA, Inc.		18,011		308,349
EMCOR Group, Inc.		38,321		1,704,901
MYR Group, Inc.*		14,238		390,121
Tutor Perini Corp.*		13,100		315,317
				2,718,688
Consumer Finance — 0.2%
First Cash Financial Services, Inc.*		6,819		379,614
Containers & Packaging — 0.7%
Berry Plastics Group, Inc.*		29,476		929,968
Graphic Packaging Holding Co.*		38,349		522,313
				1,452,281
Distributors — 0.2%
Core-Mark Holding Co., Inc.		7,087		438,898
Diversified Consumer Services — 0.1%
Sotheby’s		6,670		288,011
Diversified Financial Services — 0.2%
MarketAxess Holdings, Inc.		6,565		470,776
Diversified Telecommunication Services — 0.2%
Premiere Global Services, Inc.*		47,836		508,018
Electric Utilities — 3.0%
ALLETE, Inc.		26,951		1,486,078
Cleco Corp.		16,220		884,639
IDACORP, Inc.		16,751		1,108,749
MGE Energy, Inc.		8,205		374,230
Otter Tail Corp.		2,110		65,325
PNM Resources, Inc.		21,901		648,927
Portland General Electric Co.		53,741		2,033,022
				6,600,970
Electrical Equipment — 0.2%
Thermon Group Holdings, Inc.*		16,411		396,982
Electronic Equipment, Instruments & Components — 2.8%
Anixter International, Inc.*		7,896		698,480
AVX Corp.		112,850		1,579,900
Belden, Inc.		7,459		587,844
CTS Corp.		21,646		385,948
Littelfuse, Inc.		4,585		443,232
Newport Corp.*		26,915		514,346
Park Electrochemical Corp.		78,296		1,951,919
				6,161,669
Energy Equipment & Services — 2.0%
C&J Energy Services, Inc.*		22,860		301,981
Forum Energy Technologies, Inc.*		24,022		497,976

COMMON STOCKS (continued)	Shares		Value (Note 2)
Energy Equipment & Services (continued)
Frank’s International NV(a)		25,380	$	422,069
Gulf Island Fabrication, Inc.		31,340		607,682
Key Energy Services, Inc.*		85,020		141,983
Matrix Service Co.*		7,410		165,391
McDermott International, Inc.*(a)		80,790		235,099
Natural Gas Services Group, Inc.*		17,620		405,965
Newpark Resources, Inc.*		20,311		193,767
TETRA Technologies, Inc.*(a)		129,623		865,882
Tidewater, Inc.		16,190		524,718
				4,362,513
Food & Staples Retailing — 0.6%
Weis Markets, Inc.		28,400		1,358,088
Food Products — 0.6%
B&G Foods, Inc.		8,029		240,067
Freshpet, Inc.*(a)		3,475		59,283
Hain Celestial Group, Inc. (The)*		12,858		749,493
J&J Snack Foods Corp.		1,631		177,404
				1,226,247
Gas Utilities — 1.3%
Laclede Group, Inc. (The)		5,540		294,728
New Jersey Resources Corp.		12,179		745,355
Northwest Natural Gas Co.		3,430		171,157
Southwest Gas Corp.		21,160		1,307,899
WGL Holdings, Inc.		5,690		310,788
				2,829,927
Health Care Equipment & Supplies — 0.7%
Endologix, Inc.*		26,392		403,534
Integra LifeSciences Holdings Corp.*		10,844		588,070
Tornier NV*		18,453		470,551
				1,462,155
Health Care Providers & Services — 1.7%
Adeptus Health, Inc.*		6,644		248,486
Air Methods Corp.*(a)		14,724		648,298
Brookdale Senior Living, Inc.*		7,190		263,657
Cross Country Healthcare, Inc.*		53,925		672,984
HealthSouth Corp.		23,957		921,386
LifePoint Hospitals, Inc.*		10,760		773,752
Surgical Care Affiliates, Inc.*		5,396		181,575
				3,710,138
Health Care Technology — 0.7%
Allscripts Healthcare Solutions, Inc.*		86,650		1,106,521
Quality Systems, Inc.		24,170		376,810
				1,483,331
Hotels, Restaurants & Leisure — 1.9%
Bloomin’ Brands, Inc.*		20,563		509,140
Diamond Resorts International, Inc.*		24,617		686,814
DineEquity, Inc.		5,156		534,368
Jack in the Box, Inc.		10,578		845,817
Krispy Kreme Doughnuts, Inc.*		9,973		196,867
Marriott Vacations Worldwide Corp.		7,067		526,774
Vail Resorts, Inc.		9,451		861,270
				4,161,050

SEE NOTES TO FINANCIAL STATEMENTS.

A19

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Household Durables — 1.1%
Meritage Homes Corp.*		12,008	$	432,168
Ryland Group, Inc. (The)(a)		26,960		1,039,578
Standard Pacific Corp.*		54,326		396,036
WCI Communities, Inc.*		18,890		369,866
William Lyon Homes (Class A Stock)*		10,086		204,443
				2,442,091
Household Products — 0.6%
Spectrum Brands Holdings, Inc.		13,548		1,296,273
Independent Power & Renewable Electricity Producers — 0.4%
Dynegy, Inc.*		24,968		757,779
Industrial Conglomerates — 0.5%
Carlisle Cos., Inc.		12,343		1,113,832
Insurance — 5.2%
Allied World Assurance Co. Holdings AG		58,420		2,215,286
American Equity Investment Life Holding Co.		43,169		1,260,103
AMERISAFE, Inc.		6,007		254,456
Axis Capital Holdings Ltd.		29,450		1,504,600
CNO Financial Group, Inc.		68,998		1,188,146
Endurance Specialty Holdings Ltd.		8,937		534,790
Enstar Group Ltd.*(g)		3,310		506,066
Fidelity & Guaranty Life		9,873		239,618
Maiden Holdings Ltd.		52,066		665,924
Meadowbrook Insurance Group, Inc.(a)		18,559		157,009
National General Holdings Corp.		13,262		246,806
ProAssurance Corp.		35,717		1,612,623
RLI Corp.		8,439		416,887
Symetra Financial Corp.		16,406		378,158
				11,180,472
Internet & Catalog Retail — 0.2%
HSN, Inc.		6,853		520,828
Internet Software & Services — 0.2%
Everyday Health, Inc.*		32,201		474,965
IT Services — 0.3%
Convergys Corp.		33,415		680,664
Leisure Products — 0.1%
Brunswick Corp.		4,969		254,711
Machinery — 4.2%
Actuant Corp. (Class A Stock)		31,437		856,344
Alamo Group, Inc.		2,853		138,199
Altra Industrial Motion Corp.		5,090		144,505
Barnes Group, Inc.		12,607		466,585
CIRCOR International, Inc.		6,466		389,770
Clarcor, Inc.		9,457		630,215
Graco, Inc.		5,629		451,333
Harsco Corp.		65,090		1,229,550
Manitowoc Co., Inc. (The)		41,820		924,222
RBC Bearings, Inc.		24,996		1,612,992
Snap-on, Inc.		5,600		765,744
Standex International Corp.		4,026		311,049

COMMON STOCKS (continued)	Shares		Value (Note 2)
Machinery (continued)
Watts Water Technologies, Inc. (Class A Stock)		10,101	$	640,807
Woodward, Inc.		11,885		585,099
				9,146,414
Marine — 0.2%
Diana Shipping, Inc. (Greece)*(a)		56,420		378,578
Media — 0.8%
Carmike Cinemas, Inc.*		14,858		390,320
Live Nation Entertainment, Inc.*		36,517		953,459
Nexstar Broadcasting Group, Inc. (Class A Stock)		6,931		358,956
Townsquare Media, Inc.*		7,803		103,000
				1,805,735
Metals & Mining — 2.5%
AK Steel Holding Corp.*(a)		73,741		438,022
Carpenter Technology Corp.(a)		10,070		495,947
Commercial Metals Co.		34,238		557,737
Globe Specialty Metals, Inc.		12,350		212,790
Haynes International, Inc.		13,044		632,634
Horsehead Holding Corp.*(a)		63,360		1,002,989
Kaiser Aluminum Corp.		11,056		789,730
RTI International Metals, Inc.*		18,150		458,469
Steel Dynamics, Inc.		31,250		616,875
TimkenSteel Corp.		3,792		140,418
				5,345,611
Multiline Retail — 1.0%
Burlington Stores, Inc.*		45,979		2,172,968
Multi-Utilities — 0.7%
Black Hills Corp.		10,627		563,656
NorthWestern Corp.		16,889		955,580
				1,519,236
Oil, Gas & Consumable Fuels — 2.6%
Bill Barrett Corp.*(a)		28,480		324,387
Carrizo Oil & Gas, Inc.*		23,800		990,080
Cloud Peak Energy, Inc.*		35,300		324,054
Jones Energy, Inc. (Class A Stock)*		19,440		221,810
Laredo Petroleum, Inc.*(a)		37,606		389,222
Parsley Energy, Inc. (Class A Stock)*		47,940		765,123
Rex Energy Corp.*(a)		78,774		401,747
Rice Energy, Inc.*(a)		42,921		900,053
RSP Permian, Inc.*(a)		15,169		381,349
SM Energy Co.		18,018		695,135
WPX Energy, Inc.*		19,490		226,669
				5,619,629
Paper & Forest Products — 0.7%
Boise Cascade Co.*		25,590		950,668
KapStone Paper and Packaging Corp.		19,148		561,228
				1,511,896
Pharmaceuticals — 0.5%
Catalent, Inc.*		19,862		553,752
Prestige Brands Holdings, Inc.*		12,669		439,868
				993,620

SEE NOTES TO FINANCIAL STATEMENTS.

A20

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

COMMON STOCKS (continued)	Shares		Value (Note 2)
Professional Services — 0.8%
Korn/Ferry International*		17,600	$	506,176
On Assignment, Inc.*		7,204		239,101
TrueBlue, Inc.*		46,704		1,039,164
				1,784,441
Real Estate Investment Trusts (REITs) — 10.5%
Acadia Realty Trust		35,484		1,136,552
American Campus Communities, Inc.		9,472		391,762
Apollo Commercial Real Estate Finance, Inc.		41,323		676,044
Biomed Realty Trust, Inc.		21,350		459,879
Blackstone Mortgage Trust, Inc. (Class A Stock)		27,945		814,317
CBL & Associates Properties, Inc.		42,742		830,050
Chesapeake Lodging Trust		42,728		1,589,909
Corporate Office Properties Trust		16,750		475,197
Cousins Properties, Inc.		68,473		781,962
CubeSmart		58,030		1,280,722
DuPont Fabros Technology, Inc.		23,655		786,292
EastGroup Properties, Inc.		16,400		1,038,448
Empire State Realty Trust, Inc. (Class A Stock)		22,750		399,945
First Potomac Realty Trust		41,630		514,547
Hersha Hospitality Trust		40,340		283,590
Highwoods Properties, Inc.		23,246		1,029,333
Hudson Pacific Properties, Inc.		31,362		942,742
MFA Financial, Inc.		86,302		689,553
Mid-America Apartment Communities, Inc.		6,540		488,407
National Health Investors, Inc.		17,325		1,212,057
Pebblebrook Hotel Trust		69,241		3,159,467
PS Business Parks, Inc.		11,598		922,505
Strategic Hotels & Resorts, Inc.*		98,444		1,302,414
Terreno Realty Corp.		37,339		770,304
Two Harbors Investment Corp.		54,481		545,900
Washington Real Estate Investment Trust		8,450		233,727
				22,755,625
Real Estate Management & Development — 0.8%
CBRE Group, Inc. (Class A Stock)*		9,200		315,100
Jones Lang LaSalle, Inc.		3,720		557,740
Kennedy-Wilson Holdings, Inc.		37,648		952,494
				1,825,334
Regional Banks — 0.2%
Great Western Bancorp,Inc.*		19,088		435,016
Road & Rail — 0.7%
Old Dominion Freight Line, Inc.*		18,027		1,399,616
Semiconductors & Semiconductor Equipment — 6.1%
Cabot Microelectronics Corp.*		13,430		635,508
Entegris, Inc.*		60,272		796,193
Exar Corp.*		132,290		1,349,358
Fairchild Semiconductor International, Inc.*		33,013		557,260
Intersil Corp. (Class A Stock)		60,964		882,149
MKS Instruments, Inc.		21,294		779,360

COMMON STOCKS (continued)	Shares		Value (Note 2)
Semiconductors & Semiconductor Equipment (continued)
ON Semiconductor Corp.*		164,810	$	1,669,525
Rudolph Technologies, Inc.*		179,060		1,831,784
Semtech Corp.*		19,513		537,973
Silicon Laboratories, Inc.*		11,231		534,820
Teradyne, Inc.		96,706		1,913,812
Veeco Instruments, Inc.*(a)		48,058		1,676,263
				13,164,005
Software — 1.2%
Bottomline Technologies (DE), Inc.*		15,148		382,941
Gigamon, Inc.*		3,534		62,658
Monotype Imaging Holdings, Inc.		14,789		426,367
Pegasystems, Inc.		11,875		246,644
PTC, Inc.*		13,478		493,969
SS&C Technologies Holdings, Inc.		5,634		329,533
Verint Systems, Inc.*		10,995		640,788
				2,582,900
Specialty Retail — 3.0%
Asbury Automotive Group, Inc.*		5,033		382,105
Boot Barn Holdings, Inc.*		5,170		94,094
Cato Corp. (The) (Class A Stock)		7,940		334,909
Express, Inc.*		8,145		119,650
Genesco, Inc.*		763		58,461
GNC Holdings, Inc. (Class A Stock)		26,255		1,232,935
Lithia Motors, Inc. (Class A Stock)		8,839		766,253
MarineMax, Inc.*		64,950		1,302,248
Monro Muffler Brake, Inc.(a)		5,306		306,687
Office Depot, Inc.*		73,811		632,929
Pier 1 Imports, Inc.		87,330		1,344,882
				6,575,153
Technology Hardware, Storage & Peripherals — 0.2%
Electronics For Imaging, Inc.*		9,809		420,119
Textiles, Apparel & Luxury Goods — 0.9%
Carter’s, Inc.		8,144		711,052
Movado Group, Inc.		35,640		1,011,107
Steven Madden Ltd.*		9,855		313,685
				2,035,844
Thrifts & Mortgage Finance — 1.4%
Brookline Bancorp, Inc.		17,161		172,125
Dime Community Bancshares, Inc.		11,015		179,324
Oritani Financial Corp.		15,102		232,571
Provident Financial Services, Inc.		21,848		394,575
Radian Group, Inc.(a)		66,433		1,110,760
Westfield Financial, Inc.		86,160		632,414
WSFS Financial Corp.		3,403		261,657
				2,983,426
Trading Companies & Distributors — 1.3%
Applied Industrial Technologies, Inc.		11,495		524,057
Kaman Corp.		17,461		700,011
Rush Enterprises, Inc. (Class A Stock)*		28,740		921,117
WESCO International, Inc.*(a)		9,431		718,737
				2,863,922
TOTAL COMMON STOCKS (cost $152,028,949)				211,606,377

SEE NOTES TO FINANCIAL STATEMENTS.

A21

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

EXCHANGE TRADED FUND — 1.4%	Shares		Value (Note 2)
iShares Russell 2000 Value Index Fund(a) (cost $2,704,549)		29,979	$	3,048,265
TOTAL LONG-TERM INVESTMENTS (cost $154,733,498)				214,654,642
SHORT-TERM INVESTMENT — 8.2%
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund (cost $17,767,420; includes $15,765,250 of cash collateral for securities on loan)(b)(w) (Note 4)		17,767,420		17,767,420
TOTAL INVESTMENTS — 107.1% (cost $172,500,918)				232,422,062
LIABILITIES IN EXCESS OF OTHER ASSETS — (7.1)%				(15,340,587	)
NET ASSETS — 100.0%			$	217,081,475

See the Glossary for abbreviations used in the Portfolio descriptions.

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $15,305,111; cash collateral of $15,765,250 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

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

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

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

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

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

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

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

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	4,580,383	$	—	$	—
Air Freight & Logistics		625,394		—		—
Auto Components		2,295,102		—		—
Banks		33,738,583		—		—
Biotechnology		775,624		—		—
Building Products		937,697		—		—
Capital Markets		8,186,927		—		—
Chemicals		5,344,851		—		—
Commercial Services & Supplies		3,117,696		—		—
Communications Equipment		5,954,061		—		—
Construction & Engineering		2,718,688		—		—
Consumer Finance		379,614		—		—
Containers & Packaging		1,452,281		—		—
Distributors		438,898		—		—
Diversified Consumer Services		288,011		—		—
Diversified Financial Services		470,776		—		—
Diversified Telecommunication Services		508,018		—		—
Electric Utilities		6,600,970		—		—
Electrical Equipment		396,982		—		—
Electronic Equipment, Instruments & Components		6,161,669		—		—
Energy Equipment & Services		4,362,513		—		—
Food & Staples Retailing		1,358,088		—		—
Food Products		1,226,247		—		—
Gas Utilities		2,829,927		—		—
Health Care Equipment & Supplies		1,462,155		—		—
Health Care Providers & Services		3,710,138		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A22

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

	Level 1		Level 2		Level 3
Investments in Securities (continued)
Health Care Technology	$	1,483,331	$	—	$	—
Hotels, Restaurants & Leisure		4,161,050		—		—
Household Durables		2,442,091		—		—
Household Products		1,296,273		—		—
Independent Power & Renewable Electricity Producers		757,779		—		—
Industrial Conglomerates		1,113,832		—		—
Insurance		11,180,472		—		—
Internet & Catalog Retail		520,828		—		—
Internet Software & Services		474,965		—		—
IT Services		680,664		—		—
Leisure Products		254,711		—		—
Machinery		9,146,414		—		—
Marine		378,578		—		—
Media		1,805,735		—		—
Metals & Mining		5,345,611		—		—
Multiline Retail		2,172,968		—		—
Multi-Utilities		1,519,236		—		—
Oil, Gas & Consumable Fuels		5,619,629		—		—
Paper & Forest Products		1,511,896		—		—
Pharmaceuticals		993,620		—		—
Professional Services		1,784,441		—		—
Real Estate Investment Trusts (REITs)		22,755,625		—		—
Real Estate Management & Development		1,825,334		—		—
Regional Banks		435,016		—		—
Road & Rail		1,399,616		—		—
Semiconductors & Semiconductor Equipment		13,164,005		—		—
Software		2,582,900		—		—
Specialty Retail		6,575,153		—		—
Technology Hardware, Storage & Peripherals		420,119		—		—
Textiles, Apparel & Luxury Goods		2,035,844		—		—
Thrifts & Mortgage Finance		2,983,426		—		—
Trading Companies & Distributors		2,863,922		—		—
Exchange Traded Fund		3,048,265		—		—
Affiliated Money Market Mutual Fund		17,767,420		—		—
Total	$	232,422,062	$	—	$	—

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

Banks	15.5	%
Real Estate Investment Trusts (REITs)	10.5
Affiliated Money Market Mutual Fund (including 7.3% of collateral for securities on loan)	8.2
Semiconductors & Semiconductor Equipment	6.1
Insurance	5.2
Machinery	4.2
Capital Markets	3.8
Electric Utilities	3.0
Specialty Retail	3.0
Electronic Equipment, Instruments & Components	2.8
Communications Equipment	2.7
Oil, Gas & Consumable Fuels	2.6
Metals & Mining	2.5
Chemicals	2.5
Aerospace & Defense	2.1
Energy Equipment & Services	2.0
Hotels, Restaurants & Leisure	1.9
Health Care Providers & Services	1.7
Commercial Services & Supplies	1.4

Exchange Traded Fund	1.4	%
Thrifts & Mortgage Finance	1.4
Trading Companies & Distributors	1.3
Gas Utilities	1.3
Construction & Engineering	1.3
Software	1.2
Household Durables	1.1
Auto Components	1.1
Multiline Retail	1.0
Textiles, Apparel & Luxury Goods	0.9
Real Estate Management & Development	0.8
Media	0.8
Professional Services	0.8
Multi-Utilities	0.7
Paper & Forest Products	0.7
Health Care Technology	0.7
Health Care Equipment & Supplies	0.7
Containers & Packaging	0.7
Road & Rail	0.7
Food & Staples Retailing	0.6
Household Products	0.6

SEE NOTES TO FINANCIAL STATEMENTS.

A23

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2014

Industry table (con’t.)
Food Products	0.6	%
Industrial Conglomerates	0.5
Pharmaceuticals	0.5
Building Products	0.4
Biotechnology	0.4
Independent Power & Renewable Electricity Producers	0.4
IT Services	0.3
Air Freight & Logistics	0.3
Internet & Catalog Retail	0.2
Diversified Telecommunication Services	0.2
Internet Software & Services	0.2
Diversified Financial Services	0.2

Distributors	0.2	%
Regional Banks	0.2
Technology Hardware, Storage & Peripherals	0.2
Electrical Equipment	0.2
Consumer Finance	0.2
Marine	0.2
Diversified Consumer Services	0.1
Leisure Products	0.1
	107.1
Liabilities in excess of other assets	(7.1	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A24

SP SMALL CAP VALUE PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014

ASSETS
Investments at value, including securities on loan of $15,305,111:
Unaffiliated investments (cost $154,733,498)	$	214,654,642
Affiliated investments (cost $17,767,420)		17,767,420
Receivable for investments sold		1,357,734
Dividends receivable		458,534
Receivable for Series shares sold		4,678
Tax reclaim receivable		3,786
Prepaid expenses		1,794
Total assets		234,248,588
LIABILITIES
Payable to broker for collateral for securities on loan		15,765,250
Payable for investments purchased		1,117,612
Management fee payable		161,456
Accrued expenses		76,134
Payable for Series shares reacquired		45,069
Affiliated transfer agent fee payable		926
Deferred trustees’ fees		666
Total liabilities		17,167,113
NET ASSETS	$	217,081,475
Net assets were comprised of:
Paid-in capital	$	104,479,830
Retained earnings		112,601,645
Net assets, December 31, 2014	$	217,081,475
Class I:
Net asset value and redemption price per share, $217,081,475 / 10,986,074 outstanding shares of beneficial interest	$	19.76

STATEMENT OF OPERATIONS

Year Ended December 31, 2014

NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of $4,814 foreign withholding tax)	$	3,327,529
Affiliated income from securities lending, net		48,444
Affiliated dividend income		3,507
Total income		3,379,480
EXPENSES
Management fee		1,965,596
Custodian’s fees and expenses		85,000
Reports to shareholders		41,000
Audit fee		24,000
Trustees’ fees		12,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		12,000
Legal fees and expenses		11,000
Insurance fees		3,000
Miscellaneous		24,262
Total expenses		2,177,858
Less: Management fee waiver		(11,588	)
Net expenses		2,166,270
NET INVESTMENT INCOME		1,213,210
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on investment transactions		23,150,781
Net change in unrealized appreciation (depreciation) on:
Investments		(13,960,854	)
Foreign currencies		(207	)
		(13,961,061	)
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		9,189,720
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	10,402,930

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	1,213,210		$	1,065,586
Net realized gain on investment transactions		23,150,781			28,973,275
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(13,961,061	)		34,404,209
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		10,402,930			64,443,070
SERIES SHARE TRANSACTIONS
Series shares sold [247,570 and 622,114 shares, respectively]		4,704,300			10,373,241
Series shares repurchased [1,385,973 and 1,613,558 shares, respectively]		(26,343,584	)		(26,139,642	)
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(21,639,284	)		(15,766,401	)
TOTAL INCREASE (DECREASE)		(11,236,354	)		48,676,669
NET ASSETS:
Beginning of year		228,317,829			179,641,160
End of year	$	217,081,475		$	228,317,829

SEE NOTES TO FINANCIAL STATEMENTS.

A25

	GLOSSARY
SCHEDULE OF INVESTMENTS		December 31, 2014

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

144A	Security was purchased pursuant to Rule 144A under the Security Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
ADR	American Depositary Receipt
ADS	American Depositary Security
CDI	CREST Depository Interest
CVA	Certificate Van Aandelen (Bearer)
PRFC	Preference Shares

SEE NOTES TO FINANCIAL STATEMENTS.

A26

NOTES TO THE FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

Note 1: General

The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended, (“1940 Act”). The Series Fund is composed of eighteen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the four Portfolios which are listed below along with each Portfolio’s investment objective.

SP International Growth Portfolio:    Long-term growth of capital.

SP International Value Portfolio:    Long-term capital appreciation.

SP Prudential U.S. Emerging Growth Portfolio:    Long-term capital appreciation.

SP Small Cap Value Portfolio:    Long-term growth of capital.

Note 2: Accounting Policies

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

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

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

Common and preferred stocks, exchange-traded funds, and derivative instruments such as futures or options that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy.

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

Common and preferred stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy, as the adjustment factors are observable and considered to be significant to the valuation. Such securities are valued using model prices to the extent that the valuation meets the established confidence level for each security. If the confidence level is not met or the vendor does not provide a model price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.

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.

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

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

Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the respective exchange. These securities are classified as Level 2 in the fair value hierarchy, as the daily settlement price is not public.

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

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 hold up to 15% of its net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, the Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its Subadvisor and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s Subadvisor under the guidelines adopted by the Board. However, the liquidity of the Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.

Foreign Currency Translation:    The books and records of the Portfolios are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:

(i)  market value of investment securities, other assets and liabilities — at the current daily rates of exchange;

(ii)  purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.

Although the net assets of the Portfolios are presented at the foreign exchange rates and market values at the close of the period, the Portfolios do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term securities held at the end of the period. Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, these realized foreign currency gains or losses are included in the reported net realized gains or losses on investment transactions.

B2

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

Concentration of Risk:    The ability of debt securities issuers (other than those issued or guaranteed by the U.S. Government) held by the Portfolios to meet their obligations may be affected by the economic or political developments in a specific industry, region or country. Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political and economic instability or the level of governmental supervision and regulation of foreign securities markets.

Forward Currency Contracts:    A forward currency contract is a commitment between two parties to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios of the Series Fund entered into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or specific receivables and payables denominated in a foreign currency and to gain exposure to certain currencies. The contracts are valued daily at current exchange rates and any unrealized gain or loss is included in net unrealized appreciation or depreciation on foreign currencies. Gain or loss is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain or loss, if any, is included in net realized gain (loss) on foreign currency transactions. Upon entering into these contracts, risks may arise 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.

Master Netting Arrangements:    Certain Portfolios are subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a sub-advisor may have negotiated and entered into on behalf of the Portfolio. For multi-sleeve Portfolios, different sub-advisors who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for over-the-counter (“OTC”) derivatives under FASB Accounting Standards Update (“ASU”) 2013-01 disclosure. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. The right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there were no instances where the right of set-off existed and management has not elected to offset.

Warrants and Rights:    Certain Portfolios hold warrants and rights acquired either through a direct purchase, included as part of a private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. The Portfolio holds such warrants and rights as long positions until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.

Securities Lending:    Each Portfolio may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in a highly liquid short-term money market 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

B3

the open market using the collateral. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities, and any interest on the investment of cash received as collateral. The Portfolio also continues to receive interest and dividends or amounts equivalent thereto, on the securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains or losses from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on an accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management, that may differ from actual.

For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees which are charged directly to the respective class) and unrealized and realized gains or losses are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.

Delayed-Delivery Transactions:    Certain Portfolios may purchase or sell securities on a when-issued or delayed-delivery basis. These transactions involve a commitment by the Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery purchases are outstanding, the Portfolio will set aside and maintain an amount of liquid assets sufficient to meet the purchase price in a segregated account until the settlement date. When purchasing a security on a delayed-delivery basis, the Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Portfolio may dispose of or renegotiate a delayed-delivery transaction subsequent to establishment, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When selling a security on a delayed-delivery basis, the Portfolio forfeits its eligibility to realize future gains and losses with respect to the security.

Taxes:    For federal income tax purposes, each Portfolio is treated as a separate taxpaying entity. The Portfolios are treated as partnerships for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of the Portfolios’ shareholders (Participating Insurance Companies). The Portfolios are not generally subject to entity-level taxation. Shareholders of each Portfolio are subject to taxes on their distributive share of partnership items.

Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Portfolio’s understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts at the time the related income/gain is recorded.

Distributions:    Distributions from each Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. Distributions are recorded on the ex-date.

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

Note 3: Agreements

The Series Fund has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadvisors’ performance of such services. PI has entered into subadvisory agreements with Jennison Associates LLC (“Jennison”), Goldman Sachs Asset Management, L.P. (“GSAM”), LSV Asset Management (“LSV”), Neuberger Berman Management, LLC (“Neuberger Berman”), William Blair & Company LLC (“William Blair”), Lazard Asset Management LLC (“Lazard”), and ClearBridge Advisors LLC (“ClearBridge”) (collectively, the “Subadvisors”), under which each provides investment advisory services for certain Portfolios of the Series Fund. PI pays for the services of the Subadvisors, 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.

B4

The management fee paid to PI is accrued daily and payable monthly, using the value of each of the Portfolio’s average daily net assets, at the respective annual rate specified below.

Portfolio	Management Fee			Effective Management Fee
SP International Growth Portfolio		0.85	%		0.84	%*
SP International Value Portfolio		0.90			0.90
SP Prudential U.S. Emerging Growth Portfolio		0.60			0.60
SP Small Cap Value Portfolio		0.90			0.89	**

* PI has contractually agreed, through June 30, 2015, to waive a portion of its management fee equal to an annual rate of 0.01% of the average net assets of the Portfolio. In addition, PI has contractually agreed, through May 1, 2015, to waive a portion of its management fee equal to an annual rate of 0.003% of the average net assets of the Portfolio.

** PI has contractually agreed, through May 1, 2015, to waive a portion of its management fee equal to an annual rate of 0.008% of the average net assets of the Portfolio.

At December 31, 2014 the Subadvisors that provide investment advisory services to the Portfolios are listed directly below. Where more than one Subadvisor is listed, each Subadvisor provides services to a segment of the Portfolio:

Portfolio	Subadvisor(s)
SP International Growth Portfolio	William Blair, Neuberger Berman, Jennison
SP International Value Portfolio	LSV, Lazard*
SP Prudential U.S. Emerging Growth Portfolio	Jennison
SP Small Cap Value Portfolio	GSAM, ClearBridge

* Effective November 24, 2014, Lazard replaced Thornburg Investment Management, Inc.

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

The Portfolios have entered into a brokerage commission recapture agreement with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those Portfolios generating the applicable trades. Such amounts are included within realized gain or loss on investment transactions presented in the Statement of Operations. For the year ended December 31, 2014, broker commission recaptured under these agreements was as follows:

Portfolio	Amount
SP International Growth Portfolio	$	2,408
SP International Value Portfolio		4,155
SP Prudential U.S. Emerging Growth Portfolio		16,016
SP Small Cap Value Portfolio		8,599

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 Statements of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.

B5

Prudential Investment Management, Inc. (“PIM”), an indirect, wholly-owned subsidiary of Prudential, serves as the Series Fund’s security lending agent. For the year ended December 31, 2014, PIM was compensated for these services as follows:

	Amount
SP International Growth Portfolio	$	3,044
SP Prudential U.S. Emerging Growth Portfolio		9,731
SP Small Cap Value Portfolio		14,478

Certain Portfolios invest in the Prudential Core Taxable Money Market Fund (the “Core Fund”), a portfolio of Prudential Investment Portfolios 2. The Core Fund is a money market mutual fund registered under the 1940 Act, and managed by PI. Earnings from the Core Fund are disclosed on the Statement of Operations as affiliated dividend income.

Note 5: Portfolio Securities

Purchases and sales of portfolio securities, other than short-term investments and U.S. Government securities, for the year ended December 31, 2014, were as follows:

Portfolio	Cost of Purchases		Proceeds from Sales
SP International Growth Portfolio	$	47,675,985	$	55,814,796
SP International Value Portfolio		79,213,076		131,950,605
SP Prudential U.S. Emerging Growth Portfolio		108,362,884		134,091,355
SP Small Cap Value Portfolio		88,015,224		107,448,998

Note 6: Tax Information

All Portfolios are treated as a partnership for tax purposes. The character of the cash distributions made by the partnerships is generally classified as return of capital nontaxable distributions. After each fiscal year each partner will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate its fair market value. The Portfolios generally attempt to manage their diversification in a manner that supports the diversification requirements of the underlying separate accounts.

Management has analyzed the Portfolios’ tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax would be required in the Portfolio’s financial statements for the current period. The Portfolios’ federal, state and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

Note 7: Capital

The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolio. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts. As of December 31, 2014, the SP International Growth and SP Prudential U.S. Emerging Growth Portfolios have Class II shares outstanding.

B6

Transactions in shares of beneficial interest of the SP International Growth and SP Prudential U.S. Emerging Growth Portfolios were as follows:

SP International Growth Portfolio:

Class I	Shares			Amount
Year ended December 31, 2014:
Series shares sold		624,079		$	3,816,899
Series shares repurchased		(1,856,721	)		(11,353,391	)
Net increase (decrease) in shares outstanding		(1,232,642	)	$	(7,536,492	)
Year ended December 31, 2013:
Series shares sold		1,005,050		$	5,635,828
Series shares repurchased		(2,492,981	)		(14,075,216	)
Net increase (decrease) in shares outstanding		(1,487,931	)	$	(8,439,388	)
Class II
Year ended December 31, 2014:
Series shares sold		45,381		$	274,021
Series shares repurchased		(324,195	)		(1,940,814	)
Net increase (decrease) in shares outstanding		(278,814	)	$	(1,666,793	)
Year ended December 31, 2013:
Series shares sold		206,283		$	1,156,462
Series shares repurchased		(373,137	)		(2,070,586	)
Net increase (decrease) in shares outstanding		(166,854	)		(914,124	)

SP Prudential U.S. Emerging Growth Portfolio:

Class I	Shares			Amount
Year ended December 31, 2014:
Shares sold		425,884		$	4,700,683
Shares repurchased		(2,688,562	)		(29,861,411	)
Net increase (decrease) in shares outstanding		(2,262,678	)	$	(25,160,728	)
Year ended December 31, 2013:
Series shares sold		607,127		$	5,854,481
Series shares repurchased		(3,549,073	)		(34,069,600	)
Net increase (decrease) in shares outstanding		(2,941,946	)	$	(28,215,119	)
Class II
Year ended December 31, 2014:
Shares sold		26,631		$	276,449
Shares repurchased		(14,285	)		(152,202	)
Net increase (decrease) in shares outstanding		12,346		$	124,247
Year ended December 31, 2013:
Series shares sold		27,432		$	260,831
Series shares repurchased		(4,849	)		(45,647	)
Net increase (decrease) in shares outstanding		22,583		$	215,184

B7

Note 8: Borrowings

The Portfolios, along with other affiliated registered investment companies (the “Funds”), are a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period October 9, 2014 through October 8, 2015. The Funds pay an annualized commitment fee of .075% of the unused portion of the SCA. Prior to October 9, 2014, the Funds had another SCA that provided a commitment of $900 million and the Funds paid an annualized commitment fee of .08% of the unused portion of the SCA. Interest on any borrowings under the SCA is paid at contracted market rates. The commitment fee for the unused amount is accrued daily and paid quarterly.

The following Portfolio utilized the line of credit during the year ended December 31, 2014. The average balance outstanding is for the number of days the Portfolio had utilized the credit facility.

Portfolio	Approximate Average Balance Outstanding		Number of Days Outstanding		Weighted Average Interest Rate			Maximum Balance Outstanding		Outstanding Borrowings at December 31, 2014
SP International Growth	$	115,600		32		1.40	%	$	258,000		—
SP International Value		17,121,200		12		1.40	%		47,261,000		—

Note 9: Ownership and Affiliates

As of December 31, 2014, all of Class I shares of record of each Portfolio were owned by The Prudential Insurance Company of America (“PICA”), or subsidiaries thereof, on behalf of the owners of the variable insurance products issued by PICA. PICA is an indirect, wholly-owned Subsidiary of Prudential.

Note 10: Reorganization

A special meeting of shareholders of the SP International Value Portfolio will be held on or about March 13, 2015 where shareholders of the SP International Value Portfolio will be asked to approve or disapprove a plan of reorganization of the SP International Value Portfolio. Under the plan, the SP International Value Portfolio would be acquired by the AST International Value Portfolio of the Advanced Series Trust. It is expected that the reorganization, if approved, would be completed on or about April 27, 2015.

B8

Financial Highlights

	SP International Growth Portfolio
	Class I
	Year Ended December 31,
	2014(c)			2013(c)			2012(c)			2011(c)			2010(c)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	6.30		$	5.30		$	4.36		$	5.19		$	4.63
Income (Loss) From Investment Operations:
Net investment income		.03			.02			.08			.02			.04
Net realized and unrealized gain (loss) on investments		(.39	)		.98			.89			(.79	)		.59
Total from investment operations		(.36	)		1.00			.97			(.77	)		.63
Less Distributions:		—			—			(.03	)		(.06	)		(.07	)
Net Asset Value, end of year	$	5.94		$	6.30		$	5.30		$	4.36		$	5.19
Total Return(a)		(5.71	)%		18.87	%		22.40	%		(14.91	)%		14.01	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	74.5		$	86.9		$	80.9		$	75.5		$	162.1
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursements		1.23	%		1.30	%		1.19	%		1.21	%		1.10	%
Expenses before waivers and/or expense reimbursements		1.24	%		1.31	%		1.19	%		1.21	%		1.10	%
Net investment income		.55	%		.37	%		1.59	%		.47	%		.77	%
Portfolio turnover rate		55	%		103	%		111	%		118	%		141	%
	SP International Growth Portfolio
	Class II
	Year Ended December 31,
	2014(c)			2013(c)			2012(c)			2011(c)			2010(c)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	6.21		$	5.24		$	4.30		$	5.10		$	4.54
Income (Loss) From Investment Operations:
Net investment income (loss)		.01			—	(d)		.06			—	(d)		.02
Net realized and unrealized gain (loss) on investments		(.39	)		.97			.88			(.78	)		.59
Total from investment operations		(.38	)		.97			.94			(.78	)		.61
Less Distributions:		—			—			—			(.02	)		(.05	)
Net Asset Value, end of year	$	5.83		$	6.21		$	5.24		$	4.30		$	5.10
Total Return(a)		(6.12	)%		18.51	%		21.86	%		(15.32	)%		13.81	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	6.9		$	9.1		$	8.6		$	7.2		$	10.1
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursements		1.63	%		1.70	%		1.59	%		1.61	%		1.50	%
Expenses before waivers and/or expense reimbursements		1.64	%		1.71	%		1.59	%		1.61	%		1.50	%
Net investment income (loss)		.17	%		(.03	)%		1.16	%		(.09	)%		.39	%
Portfolio turnover rate		55	%		103	%		111	%		118	%		141	%

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

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

(c) Calculation based on average shares outstanding during the year.

(d) Less than $.005.

SEE NOTES TO FINANCIAL STATEMENTS.

C1

Financial Highlights

	SP International Value Portfolio
	Year Ended December 31,
	2014(c)			2013(c)			2012(c)			2011(c)			2010(c)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	7.95		$	6.62		$	5.83		$	6.87		$	6.35
Income (Loss) From Investment Operations:
Net investment income		.17			.12			.16			.20			.12
Net realized and unrealized gain (loss) on investments		(.65	)		1.21			.80			(1.07	)		.54
Total from investment operations		(.48	)		1.33			.96			(.87	)		.66
Less Distributions:		—			—			(.17	)		(.17	)		(.14	)
Net Asset Value, end of year	$	7.47		$	7.95		$	6.62		$	5.83		$	6.87
Total Return(a)		(6.04	)%		20.09	%		16.92	%		(13.10	)%		10.81	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	83.3		$	144.3		$	124.8		$	122.8		$	211.5
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursements		1.26	%		1.15	%		1.13	%		1.10	%		1.05	%
Expenses before waivers and/or expense reimbursements		1.26	%		1.15	%		1.13	%		1.10	%		1.05	%
Net investment income		2.12	%		1.62	%		2.40	%		2.02	%		1.76	%
Portfolio turnover rate		70	%		25	%		17	%		19	%		25	%

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

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

(c) Calculation based on average shares outstanding during the year.

SEE NOTES TO FINANCIAL STATEMENTS.

C2

Financial Highlights

	SP Prudential U.S. Emerging Growth Portfolio
	Class I
	Year Ended December 31,
	2014(d)			2013(d)			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of year	$	10.83		$	8.43		$	7.80		$	7.74		$	6.45
Income From Investment Operations:
Net investment income		.02			.01			.06			.04			.03
Net realized and unrealized gain on investments		1.01			2.39			1.21			.13			1.28
Total from investment operations		1.03			2.40			1.27			.17			1.31
Less Distributions		—			—			(.64	)		(.11	)		(.02	)
Net Asset Value, end of year	$	11.86		$	10.83		$	8.43		$	7.80		$	7.74
Total Return(a)		9.51	%		28.47	%		16.88	%		2.22	%		20.43	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	249.1		$	251.8		$	221.0		$	210.8		$	242.4
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		.68	%		.68	%		.67	%		.64	%		.70	%
Expenses before waivers and/or expense reimbursement		.68	%		.68	%		.67	%		.64	%		.70	%
Net investment income		.22	%		.08	%		.73	%		.39	%		.69	%
Portfolio turnover rate		45	%		38	%		44	%		40	%		73	%
	SP Prudential U.S. Emerging Growth Portfolio
	Class II
	Year Ended December 31,
	2014(d)			2013(d)			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of year	$	10.38		$	8.12		$	7.53		$	7.48		$	6.25
Income (Loss) From Investment Operations:
Net investment income (loss)		(.02	)		(.03	)		.04			—	(c)		.01
Net realized and unrealized gain on investments		.97			2.29			1.16			.13			1.24
Total from investment operations		.95			2.26			1.20			.13			1.25
Less Distributions		—			—			(.61	)		(.08	)		(.02	)
Net Asset Value, end of year	$	11.33		$	10.38		$	8.12		$	7.53		$	7.48
Total Return(a)		9.15	%		27.83	%		16.44	%		1.77	%		19.96	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	1.0		$	.7		$	.4		$	.3		$	.3
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		1.08	%		1.08	%		1.07	%		1.04	%		1.10	%
Expenses before waivers and/or expense reimbursement		1.08	%		1.08	%		1.07	%		1.04	%		1.10	%
Net investment income (loss)		(.19	)%		(.32	)%		.38	%		(.01	)%		.24	%
Portfolio turnover rate		45	%		38	%		44	%		40	%		73	%

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

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

(c) Less than $.005 per share.

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

SEE NOTES TO FINANCIAL STATEMENTS.

C3

Financial Highlights

	SP Small Cap Value Portfolio
	Year Ended December 31,
	2014			2013			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of year	$	18.83		$	13.70		$	11.86		$	12.28		$	9.79
Income (Loss) From Investment Operations:
Net investment income		.14			.10			.16			.07			.07
Net realized and unrealized gain (loss) on investments		.79			5.03			1.74			(.41	)		2.49
Total from investment operations		.93			5.13			1.90			(.34	)		2.56
Less Distributions:		—			—			(.06	)		(.08	)		(.07	)
Net Asset Value, end of year	$	19.76		$	18.83		$	13.70		$	11.86		$	12.28
Total Return(a)		4.94	%		37.45	%		16.06	%		(2.77	)%		26.27	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	217.1		$	228.3		$	179.6		$	177.5		$	232.7
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursements		.99	%		1.01	%		1.01	%		.99	%		1.00	%
Expenses before waivers and/or expense reimbursements		1.00	%		1.01	%		1.01	%		.99	%		1.00	%
Net investment income		.56	%		.52	%		1.14	%		.41	%		.62	%
Portfolio turnover rate		41	%		56	%		39	%		36	%		39	%

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

C4

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

THE BOARD OF TRUSTEES AND SHAREHOLDERS

THE PRUDENTIAL SERIES FUND:

We have audited the accompanying statements of assets and liabilities of SP International Growth Portfolio, SP International Value Portfolio, SP Prudential U.S. Emerging Growth Portfolio and SP Small Cap Value Portfolio (hereafter referred to as the “Portfolios”), each a portfolio of the Prudential Series Fund, including the schedules of investments, as of December 31, 2014, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

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

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

New York, New York

February 17, 2015

D1

INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)

Information about the Trustees and the Officers of the Fund is set forth below. Trustees who are not deemed to be “interested persons” of the Fund, as defined in the Investment Company Act of 1940, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the Investment Company Act of 1940.

Independent Trustees
Name, Age Number of Portfolios in Fund Complex† Overseen by Trustee	Principal Occupation(s) During Past Five Years	Other Directorships Held by Trustee**
Susan Davenport Austin* (47) Trustee Since 2011 No. of Portfolios Overseen: 111	Senior Managing Director of Brock Capital (Since 2014); Vice Chairman (Since 2013), Senior Vice President and Chief Financial Officer (2007-2012) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; Formerly President of Sheridan Gospel Network (2004-2014); Vice President, Goldman, Sachs & Co. (2000-2001); Associate Director, Bear, Stearns & Co. Inc. (1997-2000); Vice President, Salomon Brothers Inc. (1993-1997); President of the Board, The MacDowell Colony (Since 2010); Presiding Director (Since 2014) and Chairman (2011-2014) of the Board of Directors, Broadcast Music, Inc.; Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); President, Candide Business Advisors, Inc. (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010).	None.
Sherry S. Barrat* (65) Trustee Since 2013 No. of Portfolios Overseen: 111	Formerly, Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly, President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly, Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly, President & CEO, Palm Beach/Martin County Region, Northern Trust.	Director of NextEra Energy, Inc. (formerly, FPL Group, Inc.) (1998-Present); Director of Arthur J. Gallagher & Company (Since July 2013).
Kay Ryan Booth* (64) Trustee Since 2013 No. of Portfolios Overseen: 111	Partner of Trinity Private Equity Group (Since September 2014); formerly, Managing Director of Cappello Waterfield & Co. LLC (2011-May 2014); formerly, Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly, Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly, Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995).	None.
Delayne Dedrick Gold* (76) Trustee Since 2001 No. of Portfolios Overseen: 111	Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc.	None.
Robert F. Gunia* (68) Trustee Since 2001 No. of Portfolios Overseen: 111	Independent Consultant (Since October 2009); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of Prudential Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc.	Director (Since May 1989) of The Asia-Pacific Fund, Inc.
W. Scott McDonald, Jr., PhD* (77) Trustee Since 1983 No. of Portfolios Overseen: 111	Formerly Management Consultant (1997-2004) and of Counsel (2004-2005) at Kaludis Consulting Group, Inc. (company serving higher education); formerly principal (1995-1997), Scott McDonald Associates; Chief Operating Officer (1991-1995), Fairleigh Dickinson University; Executive Vice President and Chief Operating Officer (1975-1991), Drew University; interim President (1988-1990), Drew University; formerly Director of School, College and University Underwriters Ltd.	None.

E1

Independent Trustees
Name, Age Number of Portfolios in Fund Complex† Overseen by Trustee	Principal Occupation(s) During Past Five Years	Other Directorships Held by Trustee**
Thomas T. Mooney* (73) Trustee Since 2001 No. of Portfolios Overseen: 111	Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976).	None.
Thomas M. O’Brien* (64) Trustee Since 2003 No. of Portfolios Overseen: 111	Director, Sun Bancorp, Inc. (NASDAQ: SNBC) and Sun National Bank (Since July 2014); Consultant, Valley National Bancorp, Inc. and Valley National Bank (January 2012-June 2012); Formerly President and COO (November 2006-December 2011) and CEO (April 2007-December 2011) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York.	Formerly Director, BankUnited, Inc. and BankUnited N.A. (NYSE: BKU) (May 2012-April 2014); formerly Director (April 2008-January 2012) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (November 2006-January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island.

Interested Trustees
Name, Age Number of Portfolios in Fund Complex† Overseen by Trustee	Principal Occupation(s) During Past Five Years	Other Directorships Held by Trustee**
Robert F. O’Donnell* (46) Trustee & President Since 2012 No. of Portfolios Overseen: 111	President of Prudential Annuities (Since April 2012); Senior Vice President, Head of Product, Investment Management & Marketing for Prudential Annuities (October 2008-April 2012); Senior Vice President, Head of Product (July 2004-October 2008).	None.
Timothy S. Cronin* (49) Trustee Since 2011 No. of Portfolios Overseen: 111	Chief Investment Officer and Strategist of Prudential Annuities (Since January 2004); Director of Investment & Research Strategy (Since February 1998); President of AST Investment Services, Inc. (Since June 2005).	None.
Bruce W. Ferris* (59) Trustee Since 2013 No. of Portfolios Overseen: 111	Senior Vice President, Sales and Distribution, Product, Marketing, Prudential Annuities (Since May 2006); Vice President-Sales, The Hartford Insurance Company (October 1994-April 2005); Sales Manager, Aetna Investment Services (October 1993-September 1994).	None.

* The address of each Trustee is c/o Prudential Investments LLC, Gateway Center Three, 100 Mulberry Street, Newark, New Jersey 07102.

** Includes only directorships of companies required to register or file reports with the Securities and Exchange Commission (SEC) under the Securities Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the Investment Company Act of 1940.

† The Fund Complex consists of all investment companies managed by PI. The Funds for which PI serves as manager include the Prudential Investments Mutual Funds, Target Mutual Funds, The Prudential Variable Contract Accounts 2, 10 and 11, Prudential Short Duration High Yield Fund, Inc., Prudential Global Short Duration High Yield Fund, Inc., The Prudential Series Fund, Advanced Series Trust, and Prudential’s Gibraltar Fund, Inc.

Fund Officers(1)
Name, Age Position with the Fund	Principal Occupation(s) During the Past Five Years
Raymond A. O’Hara* (59) Chief Legal Officer Since 2012	Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of Prudential Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.).
Chad A. Earnst* (39) Chief Compliance Officer Since 2014	Chief Compliance Officer (September 2014-Present) of Prudential Investments LLC; Chief Compliance Officer (September 2014-Present) of the Prudential Investments Funds, Target Funds, Advanced Series Trust, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc., Prudential Global Short Duration High Yield Income Fund, Inc., Prudential Short Duration High Yield Fund, Inc. and Prudential Jennison MLP Income Fund, Inc.; formerly Assistant Director (March 2010-August 2014) of the Asset Management Unit, Division of Enforcement, U.S. Securities & Exchange Commission; Assistant Regional Director (January 2010-August 2014), Branch Chief (June 2006-December 2009) and Senior Counsel (April 2003-May 2006) of the Miami Regional Office, Division of Enforcement, U.S. Securities & Exchange Commission.

E2

Fund Officers(1)
Name, Age Position with the Fund	Principal Occupation(s) During the Past Five Years
Bradley C. Tobin* (40) Vice President Since 2014	Vice President of Prudential Annuities (since March 2012), Vice President of AST Investment Services, Inc. (since April 2011).
Deborah A. Docs* (56) Secretary Since 2005	Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of Prudential Investments LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Jonathan D. Shain* (56) Assistant Secretary Since 2005	Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of Prudential Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Claudia DiGiacomo* (40) Assistant Secretary Since 2005	Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of Prudential Investments LLC (since December 2005); Associate at Sidley Austin Brown & Wood LLP (1999-2004).
Andrew R. French* (52) Assistant Secretary Since 2006	Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of Prudential Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC.
Amanda S. Ryan (36) Assistant Secretary Since 2012	Director and Corporate Counsel (since March 2012) of Prudential; Director and Assistant Secretary (since June 2012) of Prudential Investments LLC; Associate at Ropes & Gray LLP (2008-2012).
Kathleen DeNicholas* (40) Assistant Secretary Since 2013	Vice President and Corporate Counsel (since May 2013) of Prudential; Managing Counsel at The Bank of New York Mellon Corporation (2011-2013); formerly Senior Counsel (2007-2011) and Assistant General Counsel (2001-2007) of The Dreyfus Corporation; Chief Legal Officer and Secretary of MBSC Securities Corporation (2011-2013); Vice President and Assistant Secretary of The Dreyfus Family of Funds (2010-2012).
M. Sadiq Peshimam* (50) Treasurer and Principal Financial & Accounting Officer Since 2014	Assistant Treasurer of funds in the Prudential Mutual Fund Complex (2006-2014); Vice President (since 2005) of Prudential Investments LLC.
Peter Parrella* (56) Assistant Treasurer Since 2007	Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004).
Lana Lomuti* (47) Assistant Treasurer Since 2014	Vice President (since 2007) and Director (2005-2007), within Prudential Mutual Fund Administration; formerly Assistant Treasurer (December 2007-February 2014) of The Greater China Fund, Inc.
Linda McMullin* (53) Assistant Treasurer Since 2014	Vice President (since 2011) and Director (2008-2011) within Prudential Mutual Fund Administration.
Alan Fu* (58) Assistant Treasurer Since 2006	Vice President and Corporate Counsel – Tax, Prudential Financial, Inc. (since October 2003).
Theresa C. Thompson* (52) Deputy Chief Compliance Officer Since 2008	Vice President, Compliance, Prudential Investments LLC (since April 2004); and Director, Compliance, Prudential Investments LLC (2001-2004).
Richard W. Kinville* (46) Anti-Money Laundering Compliance Officer Since 2011	Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2005) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2007); formerly Investigator and Supervisor in the Special Investigations Unit for the New York Central Mutual Fire Insurance Company (August 1994-January 1999); Investigator in AXA Financial’s Internal Audit Department and Manager in AXA’s Anti-Money Laundering Office (January 1999-January 2005); first chair of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (June 2007-December 2009).

* The address for each officer is c/o Prudential Investments LLC, 100 Mulberry Street, Gateway Center Three, Newark, New Jersey 07102.

⁽¹⁾ Excludes Messrs. O’Donnell and Cronin, interested Trustees who serve as President and Vice President, respectively. Biographical and other information with respect to Messrs. O’Donnell and Cronin appears under “Interested Trustees,” above.

E3

Approval of New Subadvisory Agreement: SP International Value Portfolio

Approval of a New Subadvisory Agreement

As required by the Investment Company Act of 1940, as amended (the 1940 Act), the Board of Trustees (the Board) of The Prudential Series Fund considered a proposed subadvisory agreement (the Subadvisory Agreement) between Prudential Investments LLC (PI or the Manager) and Lazard for the SP International Value Portfolio (the Portfolio). The Subadvisory Agreement relates to the appointment of Lazard to replace Thornburg Investment Management, Inc. (Thornburg) as a subadviser for the Portfolio. The Board, including a majority of the trustees who were not parties to the Subadvisory Agreement and were not interested persons of those parties, as defined in the 1940 Act (the Independent Trustees), met on September 17-18, 2014 (the Board Meeting) and approved the Subadvisory Agreement for an initial two year period, after concluding that approval of the Subadvisory Agreement was in the best interests of the Portfolio and its beneficial shareholders.

In advance of the Board Meeting, the Board requested and received materials relating to the Subadvisory Agreement, and had the opportunity to ask questions and request further information in connection with its consideration.

In approving the Subadvisory Agreement, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services to be provided to the Portfolio by Lazard; comparable performance information; the fees paid by the Manager to Lazard; the potential for economies of scale that may be shared with the Portfolio and its shareholders; and other benefits to Lazard. In connection with its deliberations, the Board considered information provided by the Manager and Lazard at or in advance of the Board Meeting. In its deliberations, the Board did not identify any single factor which alone was responsible for the Board’s decision to approve the Subadvisory Agreement with respect to the Portfolio.

The Board determined that the overall arrangements between the Manager and Lazard are appropriate in light of the services to be performed and the fee arrangement under the Subadvisory Agreement and such other matters as the Board considered relevant in the exercise of its business judgment.

The material factors and conclusions that formed the basis for the Board’s reaching its determinations to approve the Subadvisory Agreement are separately discussed below.

Nature, Quality and Extent of Services

The Board received and considered information regarding the nature and extent of services provided to the International Value Portfolios by Thornburg and those that would be provided by Lazard under the proposed Subadvisory Agreement, noting that the nature and extent of services under the existing and new subadvisory agreements were generally similar in that Thornburg and Lazard were each required to provide day-to-day portfolio management services and comply with all portfolio policies and applicable rules and regulations.

With respect to the quality of services, the Board considered, among other things, the background and experience of the portfolio managers of Lazard. The Board was also provided with information pertaining to the organizational structure, senior management, investment operations, and other relevant information pertaining to Lazard. The Board noted that it received a favorable compliance report from the Chief Compliance Officer of The Prudential Series Fund as to Lazard.

The Board concluded that, based on the nature of the proposed services to be rendered, the background information that it reviewed about Lazard, it was reasonable to expect that it would be satisfied with the nature, extent and quality of investment subadvisory services to be provided to the Portfolio by Lazard.

Performance

The Board received and considered information regarding the investment performance of other accounts managed by Lazard utilizing an investment strategy similar to the strategy proposed for the Portfolio. The Board concluded that it was satisfied with the performance of Lazard.

Fee Rates

The Board considered the proposed contractual and effective subadvisory fee rates to be paid by the Manager to Lazard under the Subadvisory Agreement. The Board considered that based on the portion of the net assets managed by Thornburg as of August 14, 2014,

the effective subadvisory fee rate that would be paid to Lazard under the Subadvisory Agreement (i.e., 0.311%) was higher than the effective subadvisory fee rate paid to under Thornburg under the current subadvisory arrangements (i.e., 0.304%).

The Board noted that the subadvisory fees are paid by the Manager to the relevant subadviser(s) for a portfolio, and therefore any change in the subadvisory fee rate for the Portfolio will not change the investment management fee paid by the Portfolio or its shareholders. Instead, the increase in the effective subadvisory fee rate for the Portfolio will decrease the net investment management fee retained by the Manager. The Board also noted that it would review the management fee paid to the Manager by the Portfolio in connection with future annual reviews of advisory agreements. The Board concluded that the proposed subadvisory fees were reasonable.

Profitability

Because the engagement of Lazard is new, there was no historical profitability information with respect to the proposed subadvisory arrangement for the Portfolio. As a result, the Board did not consider this factor. The Board noted that it would consider profitability information as part of future annual reviews of advisory agreements.

Economies of Scale

The Board noted that the proposed subadvisory fee schedules for the Portfolio contained breakpoints that reduced the fee rates on assets above specified levels. The Board noted that it would consider economies of scale in connection with the annual reviews of advisory agreements.

Other Benefits to Lazard

The Board considered potential “fall-out” or ancillary benefits anticipated to be received by Lazard in connection with the Portfolio. The Board concluded that any potential benefits to be derived by Lazard were consistent with those generally derived by other subadvisers to other portfolios of The Prudential Series Fund, and that those benefits are reviewed on an annual basis. The Board concluded that any potential benefits to be derived by Lazard included potential access to additional research resources, larger assets under management and reputational benefits, which were consistent with those generally derived by subadvisers to mutual funds. The Board noted that it would review ancillary benefits in connection with future annual reviews of advisory agreements.

***

After full consideration of these factors, the Board concluded that approving the Subadvisory Agreement was in the best interests of the Portfolio and its beneficial shareholders.

This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life contract. The prospectuses contain information on the contract and the investment objectives, risks, charges and expenses of the portfolios, and should be read carefully.

A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request by calling the appropriate phone number listed below. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.

The Fund files with the Commission a complete listing of portfolio holdings as of its first and third quarter-end on Form N-Q. Form N-Q is available on the Commission’s website at www.sec.gov or by visiting the Commission’s Public Reference Room. For more information on the Commission’s Public Reference Room, please visit the Commission’s website or call (800)SEC-0330. Form N-Q is also available on the Fund’s website or by calling the telephone number referenced below.

The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.

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

To contact your client services representative, please call the phone number listed below. Thank you.

Owners of Individual Annuity contracts should call (888) 778-2888.

Owners of Individual Life Insurance contracts should call (800) 778-2255.

Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.

Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.

The Prudential Series Fund is distributed by Prudential Investment Management Services LLC (PIMS), Three Gateway Center, 14th Floor, Newark, NJ 07102-4077, member SIPC, a Prudential Financial company and solely responsible for its own financial condition and contractual obligations.

Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

  The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3777 PRESORTED STD U.S. POSTAGE PAID HARRISONBURG, VA PERMIT No. 250 ZIP CODE 22801

The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, and The Prudential Insurance Company of America are available upon request. You may call (888)778-2888 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.

^©2015 Prudential Financial, Inc. and its related entities. Prudential Investments, Prudential, the Prudential logo, and the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

0239311-00003-00    PSF-AR-B    

THE PRUDENTIAL SERIES FUND

ANNUAL REPORT  Ÿ DECEMBER 31, 2014

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.

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 life insurance contract prospectus to determine which supplements are applicable to you.

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

Jennison 20/20 Focus Portfolio

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The Prudential Series Fund   Table of Contents Annual Report December 31, 2014

n LETTER TO CONTRACT OWNERS

n INVESTMENT MANAGER’S REPORT

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
Section D	Report of Independent Registered Public Accounting Firm
Section E	Information about Trustees and Officers

The Prudential Series Fund   Letter to Contract Owners Annual Report December 31, 2014

n DEAR CONTRACT OWNER

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

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

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

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

Sincerely,

Robert F. O’Donnell

President,

The Prudential Series Fund January 30, 2015

The Prudential Series Fund, Jennison 20/20 Focus Portfolio December 31, 2014

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

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio: Class I		7.15	%		9.81	%		8.94	%
Portfolio: Class II		6.70			9.38			8.52
Russell 1000® Index		13.24			15.64			7.96
S&P 500 Index		13.66			15.44			7.67

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

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

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2014, the Jennison 20/20 Focus Portfolio’s Class I returned 7.15% and Class II returned 6.70%. The net assets of the Portfolio at December 31, 2014 were $240.1 million.

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

The Portfolio underperformed the S&P 500 (the Index), which returned 13.66%.

In the growth segment, stock selection in health care, led by Allergan and Illumina, as well as an overweight to the sector drove performance. Allergan advanced on a takeover bid and the strength of its business. (Allergan was acquired by Actavis in November.) Illumina’s gain reflected increasing demand for its next-generation gene-sequencing technology.

Other notable contributors to the growth sleeve’s total return included Apple and Facebook. Apple’s strong revenue and earnings reflected expanding global acceptance of its platform. Jennison expects that product updates, especially iPhone 6, will sustain attractive revenue growth in the medium term. Internet-based social platform Facebook reported strong revenue and earnings.

Conversely a combination of stock selection in and a substantial overweight to consumer discretionary was the largest source of relative weakness for the growth sleeve. Amazon.com’s earnings were constrained by increased business investment that is designed to drive unit growth in its core retail business and through digital commerce via the mobile market. Weakness in Industria de Diseño Textil, reflected currency translation issues due to the euro’s strength relative to many other currencies. The holding was sold.

Despite relative strength in the sector, Bristol-Myers Squibb was a detractor in health care. Shares fell on what the market regarded as disappointing initial safety and efficacy data from a Phase II study of experimental nivolumab (a PD-1 antibody) and approved melanoma treatment Yervoy in the treatment of non-small cell lung cancer (NSCLC). While Jennison likes Bristol’s overall immune-oncology program, the position was sold.

In the value segment, stock selection proved detrimental in most sectors, especially in energy and consumer staples. Avon was a laggard in the latter group although Jennison still considers Avon shares to be attractively valued.

Cobalt International, Noble Energy, and Halliburton drove results in energy. These holdings lagged as renewed fears of a global slowdown caused a sharp increase in the U.S. dollar and a rapid decline in many commodity prices, including oil and natural gas. Jennison still expects Halliburton to benefit from internal efficiency initiatives and its global operating footprint. Noble Energy should see sustained benefits from its balanced portfolio of assets, prudent cost management, and efficient use of capital. Cobalt was sold during the period.

The information technology sector contributed the most to the value sleeve’s relative gain due to a large overweight position and stock selection. Applied Materials and Flextronics were standouts. Jennison believes that Applied Materials is positioned to benefit from increased spending and the completion of its merger with Tokyo Electron. Flextronics International enjoyed strength across business segments and made continued progress in improving its efficiencies and productivity. Jennison expects potentially strong growth in its industrial and high reliability solutions businesses.

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

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

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

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

1

The Prudential Series Fund   Presentation of Portfolio Holdings — unaudited December 31, 2014

Jennison 20/20 Focus
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	4.4%
Facebook, Inc. (Class A Stock)	4.4%
Celgene Corp.	3.7%
MasterCard, Inc. (Class A Stock)	3.6%
Biogen Idec, Inc	3.4%

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/Sectors/Industries are subject to change.

The Prudential Series Fund   Fees and Expenses — unaudited December 31, 2014

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2014 through December 31, 2014.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

The Prudential Series Fund Portfolios		Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During  the Six-Month period*
Jennison 20/20 Focus (Class I)	Actual	$	1,000.00	$	1,002.70		0.83	%	$	4.19
	Hypothetical	$	1,000.00	$	1,021.02		0.83	%	$	4.23
Jennison 20/20 Focus (Class II)	Actual	$	1,000.00	$	1,000.50		1.23	%	$	6.20
	Hypothetical	$	1,000.00	$	1,019.00		1.23	%	$	6.26

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

	JENNISON 20/20 FOCUS PORTFOLIO
SCHEDULE OF INVESTMENTS		as of December 31, 2014

LONG-TERM INVESTMENTS — 97.2%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 1.2%
Boeing Co. (The)		21,541	$	2,799,899
Automobiles — 1.7%
Tesla Motors, Inc.*(a)		18,272		4,063,875
Banks — 2.1%
JPMorgan Chase & Co.		81,146		5,078,117
Biotechnology — 7.1%
Biogen Idec, Inc.*		23,704		8,046,323
Celgene Corp.*		79,673		8,912,222
				16,958,545
Chemicals — 3.5%
FMC Corp.		49,572		2,827,091
Monsanto Co.		47,640		5,691,551
				8,518,642
Consumer Finance — 1.8%
SLM Corp.		422,862		4,308,964
Electric Utilities — 2.0%
FirstEnergy Corp.		124,019		4,835,501
Electrical Equipment — 1.8%
Eaton Corp. PLC		65,235		4,433,371
Energy Equipment & Services — 1.3%
Halliburton Co.		78,930		3,104,317
Food & Staples Retailing — 2.4%
Costco Wholesale Corp.		39,966		5,665,180
Food Products — 5.0%
Bunge Ltd.		57,484		5,225,871
Mondelez International, Inc. (Class A Stock)		185,801		6,749,221
				11,975,092
Hotels, Restaurants & Leisure — 2.2%
Carnival Corp.		117,998		5,348,849
Insurance — 2.3%
MetLife, Inc.		100,080		5,413,327
Internet & Catalog Retail — 3.4%
Amazon.com, Inc.*		15,787		4,899,495
Netflix, Inc.*		9,323		3,184,830
				8,084,325
Internet Software & Services — 12.4%
Alibaba Group Holding Ltd. (China), ADR*(a)		66,347		6,896,107
Facebook, Inc. (Class A Stock)*		135,398		10,563,752
Google, Inc. (Class A Stock)*		5,535		2,937,203
Google, Inc. (Class C Stock)*		5,574		2,934,154
LendingClub Corp.*(a)		3,057		77,342
LinkedIn Corp. (Class A Stock)*		27,791		6,383,871
				29,792,429
IT Services — 4.6%
FleetCor Technologies, Inc.*		16,054		2,387,390
MasterCard, Inc. (Class A Stock)		99,249		8,551,294
				10,938,684

COMMON STOCKS (Continued)	Shares		Value (Note 2)
Machinery — 1.1%
SPX Corp.		30,091	$	2,585,419
Media — 5.7%
Comcast Corp. (Class A Stock)		100,404		5,824,436
Walt Disney Co. (The)		83,966		7,908,758
				13,733,194
Multiline Retail — 2.1%
Target Corp.		65,794		4,994,422
Oil, Gas & Consumable Fuels — 2.8%
Anadarko Petroleum Corp.		39,762		3,280,365
Noble Energy, Inc.		73,502		3,486,200
				6,766,565
Pharmaceuticals — 10.7%
Actavis PLC*		21,080		5,426,203
Allergan, Inc.		35,445		7,535,252
Bayer AG (Germany), ADR		36,888		5,047,754
Shire PLC (Ireland), ADR		35,992		7,649,740
				25,658,949
Road & Rail — 1.8%
Canadian Pacific Railway Ltd. (Canada)		22,923		4,417,033
Semiconductors & Semiconductor Equipment — 2.8%
Applied Materials, Inc.		271,897		6,775,673
Software — 4.8%
Microsoft Corp.		89,567		4,160,387
salesforce.com, inc.*		123,529		7,326,505
				11,486,892
Specialty Retail — 1.7%
Inditex SA (Spain), ADR		296,319		4,207,730
Technology Hardware, Storage & Peripherals — 6.4%
Apple, Inc.		96,027		10,599,460
Hewlett-Packard Co.		120,920		4,852,520
				15,451,980
Textiles, Apparel & Luxury Goods — 2.5%
Under Armour, Inc. (Class A Stock)*(a)		88,755		6,026,464
TOTAL LONG-TERM INVESTMENTS (cost $178,298,381)				233,423,438
SHORT-TERM INVESTMENT — 7.3%
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund (cost $17,551,955; includes $10,810,754 of cash collateral for securities on loan) (Note 4)(b)(c)		17,551,955		17,551,955
TOTAL INVESTMENTS — 104.5% (cost $195,850,336)				250,975,393
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.5)%				(10,832,544	)
NET ASSETS — 100.0%			$	240,142,849

SEE NOTES TO FINANCIAL STATEMENTS.

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	JENNISON 20/20 FOCUS PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2014

The following abbreviations is used in the Portfolio descriptions:

ADR	American Depositary Receipt
*	Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $10,547,982; cash collateral of $10,810,754 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

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

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

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

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

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

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

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	2,799,899	$	—	$	—
Automobiles		4,063,875		—		—
Banks		5,078,117		—		—
Biotechnology		16,958,545		—		—
Chemicals		8,518,642		—		—
Consumer Finance		4,308,964		—		—
Electric Utilities		4,835,501		—		—
Electrical Equipment		4,433,371		—		—
Energy Equipment & Services		3,104,317		—		—
Food & Staples Retailing		5,665,180		—		—
Food Products		11,975,092		—		—
Hotels, Restaurants & Leisure		5,348,849		—		—
Insurance		5,413,327		—		—
Internet & Catalog Retail		8,084,325		—		—
Internet Software & Services		29,792,429		—		—
IT Services		10,938,684		—		—
Machinery		2,585,419		—		—
Media		13,733,194		—		—
Multiline Retail		4,994,422		—		—
Oil, Gas & Consumable Fuels		6,766,565		—		—
Pharmaceuticals		25,658,949		—		—
Road & Rail		4,417,033		—		—
Semiconductors & Semiconductor Equipment		6,775,673		—		—
Software		11,486,892		—		—
Specialty Retail		4,207,730		—		—
Technology Hardware, Storage & Peripherals		15,451,980		—		—
Textiles, Apparel & Luxury Goods		6,026,464		—		—
Affiliated Money Market Mutual Fund		17,551,955		—		—
Total	$	250,975,393	$	—	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

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	JENNISON 20/20 FOCUS PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2014

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

Internet Software & Services	12.4	%
Pharmaceuticals	10.7
Affiliated Money Market Mutual Fund (including 4.5% of collateral for securities on loan)	7.3
Biotechnology	7.1
Technology Hardware, Storage & Peripherals	6.4
Media	5.7
Food Products	5.0
Software	4.8
IT Services	4.6
Chemicals	3.5
Internet & Catalog Retail	3.4
Semiconductors & Semiconductor Equipment	2.8
Oil, Gas & Consumable Fuels	2.8
Textiles, Apparel & Luxury Goods	2.5
Food & Staples Retailing	2.4
Insurance	2.3

Hotels, Restaurants & Leisure	2.2	%
Banks	2.1
Multiline Retail	2.1
Electric Utilities	2.0
Electrical Equipment	1.8
Road & Rail	1.8
Consumer Finance	1.8
Specialty Retail	1.7
Automobiles	1.7
Energy Equipment & Services	1.3
Aerospace & Defense	1.2
Machinery	1.1
	104.5
Liabilities in excess of other assets	(4.5	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

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JENNISON 20/20 FOCUS PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

as of December 31, 2014

ASSETS
Investments at value, including securities on loan of $10,547,982:
Unaffiliated investments (cost $178,298,381)	$	233,423,438
Affiliated investments (cost $17,551,955)		17,551,955
Receivable for investments sold		2,597,265
Dividends receivable		194,956
Receivable for Series shares sold		100,634
Tax reclaim receivable		22,861
Prepaid expenses		1,983
Total Assets		253,893,092
LIABILITIES
Payable to broker for collateral for securities on loan		10,810,754
Payable for investments purchased		2,398,046
Payable for Series shares repurchased		197,399
Management fee payable		153,702
Payable to custodian		67,190
Accrued expenses		63,092
Distribution fee payable		36,877
Administration fee payable		22,257
Affiliated transfer agent fee payable		926
Total Liabilities		13,750,243
NET ASSETS	$	240,142,849
Net assets were comprised of:
Paid-in capital	$	82,050,220
Retained earnings		158,092,629
Net assets, December 31, 2014	$	240,142,849
Class I:
Net asset value and redemption price per share $67,196,617 / 3,031,678 outstanding shares of beneficial interest	$	22.16
Class II:
Net asset value and redemption price per share $172,946,232 / 8,047,895 outstanding shares of beneficial interest	$	21.49

STATEMENT OF OPERATIONS

Year Ended December 31, 2014

NET INVESTMENT LOSS
Income
Unaffiliated dividend income (net of foreign withholding taxes of $103,442)	$	2,180,578
Affiliated income from securities loaned, net		29,103
Affiliated dividend income		7,896
Total income		2,217,577
EXPENSES
Management fee		1,839,946
Distribution fee—Class II		441,763
Administration fee—Class II		265,058
Shareholders’ reports		63,000
Custodian’s fees and expenses		54,000
Audit fee		26,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		12,000
Trustees’ fees		12,000
Legal fees and expenses		10,000
Insurance expenses		3,000
Commitment fee on syndicated credit agreement		2,000
Miscellaneous		11,796
Total expenses		2,740,563
NET INVESTMENT LOSS		(522,986	)
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		20,235,017
Foreign currency transactions		(216	)
		20,234,801
Net change in unrealized appreciation (depreciation) on:
Investments		(3,561,378	)
Foreign currencies		(96	)
		(3,561,474	)
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		16,673,327
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	16,150,341

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	(522,986	)	$	406,955
Net realized gain on investment and foreign currency transactions		20,234,801			41,444,921
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(3,561,474	)		17,543,929
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		16,150,341			59,395,805
SERIES SHARE TRANSACTIONS (Note 7)
Series shares sold		26,707,454			19,773,001
Series shares repurchased		(49,979,063	)		(45,776,645	)
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(23,271,609	)		(26,003,644	)
TOTAL INCREASE (DECREASE)		(7,121,268	)		33,392,161
NET ASSETS:
Beginning of year		247,264,117			213,871,956
End of year	$	240,142,849		$	247,264,117

SEE NOTES TO FINANCIAL STATEMENTS.

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NOTES TO THE FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

Note 1: General

The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”). The Series Fund is composed of eighteen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to Jennison 20/20 Focus Portfolio.

The Portfolio’s investment objective is long-term growth of capital.

Note 2: Accounting Policies

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

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

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

Common and preferred stocks, exchange-traded funds, and derivative instruments such as futures or options that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price; they are classified as Level 1 in the fair value hierarchy.

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

Common and preferred stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy, as the adjustment factors are observable and considered to be significant to the valuation. Such securities are valued using model prices to the extent that the valuation meets the established confidence level for each security. If the confidence level is not met or the vendor does not provide a model price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.

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

Fixed income securities traded in the over-the-counter market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices after evaluating observable

B1

inputs including, but not limited to yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations, and reported trades. Securities valued using such vendor prices are classified as Level 2 in the fair value hierarchy.

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

Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the respective exchange. These securities are classified as Level 2 in the fair value hierarchy, as the daily settlement price is not public.

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

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

Foreign Currency Translation:    The books and records of the Portfolio are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:

(i)  market value of investment securities, other assets and liabilities — at the current rates of exchange;

(ii)  purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.

Although the net assets of the Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of 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 portfolio securities sold during the period. Accordingly, these realized foreign currency gains or losses are included in the reported net realized gains or losses on investment transactions.

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

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 their obligations may be affected by the economic or political developments in a specific industry, region or country. Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political or economic instability or the level of governmental supervision and regulation of foreign securities markets.

Master Netting Arrangements:    The Portfolio may be subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a sub-adviser may have negotiated and entered into on behalf of the Portfolio. For multi-sleeve Portfolios, different sub-advisers 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 ASU 2013-01 disclosure. A master netting arrangement between the Portfolio and

B2

the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. The right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there were no instances where the right of set-off existed and management has not elected to offset.

Securities Lending:    The Portfolio may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in a highly liquid short-term money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The Portfolio also continues to receive interest and dividends or amounts equivalent thereto, on the securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains or losses from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date and interest income, including amortization of premium and accretion of discount on debt securities, is recorded on the accrual basis. Expenses are recorded on the accrual basis which may require the use of certain estimates by management, that may differ from actual.

Net investment income or loss (other than administration and distribution fees, which are charged to the respective class) and unrealized and realized gains or losses are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.

Taxes:    For federal income tax purposes, each Portfolio in the Series Fund is treated as a separate taxpaying entity. The Portfolios are treated as partnerships for tax purposes. No provision has been made in the financial statements for U.S. Federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of the Portfolios’ shareholders (Participating Insurance Companies). The Portfolios are not generally subject to entity-level taxation. Shareholders of each Portfolio are subject to taxes on their distributive share of partnership items.

Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Portfolios’ understanding of the applicable country’s tax rules and regulations.

Distributions:    Distributions from each Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. Distributions are recorded on the ex-date.

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

Note 3: Agreements

The Portfolio has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PI has entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”) (the “Subadviser”), under which Jennison provides investment advisory services for the Portfolio. PI pays for the services of the Subadviser, 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 .75% of the Portfolio’s average daily net assets.

B3

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 .25% of the average daily net assets of the Class II shares.

The Portfolio has an administration agreement with PI, which acts as the administrator of the Class II shares of the Portfolio. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of .15% of the average daily net assets of the Class II shares.

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

The Portfolio has entered into a brokerage commission recapture agreement with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those Portfolios generating the applicable trades. Such amounts are included with realized gain or loss on investment transactions presented in the Statement of Operations. For the year ended December 31, 2014, brokerage commission recaptured under these agreements was $27,961.

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. Prudential Investment Management, Inc. (“PIM”), an indirect, wholly-owned subsidiary of Prudential, serves as the Portfolio’s security lending agent. For the year ended December 31, 2014, PIM was compensated $8,693 for these services by the Jennison 20/20 Focus Portfolio.

The Portfolio invests in the Prudential Core Taxable Money Market Fund (the “Core Fund”), a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PI. Earnings from the Core Fund are disclosed on the Statement of Operations as affiliated dividend income.

Note 5: Portfolio Securities

The aggregate cost of purchases and the proceeds from the sales of securities (excluding government securities and short-term issues) for the year ended December 31, 2014 were $232,278,407 and $254,999,041, respectively.

Note 6: Tax Information

The Portfolio is treated as a partnership for tax purposes. The character of the cash distributions made by the partnership is generally classified as return of capital nontaxable distributions. After each fiscal year each partner will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

With respect to the Portfolio, book cost of assets differs from tax cost of assets as a result of the Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate its fair market value.

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 a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I

B4

shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts.

Transactions in shares of beneficial interest of the Jennison 20/20 Focus Portfolio were as follows:

Class I	Shares			Amount
Year ended December 31, 2014:
Series shares sold		132,072		$	2,848,455
Series shares repurchased		(422,009	)		(9,119,394	)
Net increase (decrease) in shares outstanding		(289,937	)	$	(6,270,939	)
Year ended December 31, 2013:
Series shares sold		145,480		$	2,652,652
Series shares repurchased		(533,701	)		(9,716,573	)
Net increase (decrease) in shares outstanding		(388,221	)	$	(7,063,921	)
Class II
Year ended December 31, 2014:
Series shares sold		1,141,073		$	23,858,999
Series shares repurchased		(1,955,942	)		(40,859,669	)
Net increase (decrease) in shares outstanding		(814,869	)	$	(17,000,670	)
Year ended December 31, 2013:
Series shares sold		954,246		$	17,120,349
Series shares repurchased		(2,029,408	)		(36,060,072	)
Net increase (decrease) in shares outstanding		(1,075,162	)	$	(18,939,723	)

Note 8: Borrowings

The Portfolio, along with other affiliated registered investment companies (the “Funds”), is a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period October 9, 2014 through October 8, 2015. The Funds pay an annualized commitment fee of .075% of the unused portion of the SCA. Prior to October 9, 2014, the Funds had another SCA that provided a commitment of $900 million and the Funds paid an annualized commitment fee of .08% of the unused portion of the SCA. Interest on any borrowings under the SCA is paid at contracted market rates. The commitment fee for the unused amount is accrued daily and paid quarterly.

The Portfolio did not utilize the SCA during the year ended December 31, 2014.

Note 9: Ownership and Affiliates

As of December 31, 2014, 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.

B5

Financial Highlights

	Jennison 20/20 Focus Portfolio
	Class I
	Year Ended December 31,
	2014(c)			2013(c)			2012(c)			2011(c)			2010(c)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	20.69		$	15.93		$	14.89		$	15.55		$	14.42
Income (Loss) From Investment Operations:
Net investment income		.02			.09			.05			.04			.05
Net realized and unrealized gain (loss) on investments		1.45			4.67			1.55			(.69	)		1.08
Total from investment operations		1.47			4.76			1.60			(.65	)		1.13
Less Distributions		—			—			(.56	)		(.01	)		—
Net Asset Value, end of year	$	22.16		$	20.69		$	15.93		$	14.89		$	15.55
Total Return(a)		7.10	%		29.88	%		11.04	%		(4.17	)%		7.84	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	67.2		$	68.7		$	59.1		$	58.7		$	66.8
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		.83	%		.84	%		.80	%		.80	%		.80	%
Expenses before waivers and/or expense reimbursement		.83	%		.84	%		.80	%		.80	%		.80	%
Net investment income		.08	%		.46	%		.32	%		.24	%		.36	%
Portfolio turnover rate		97	%		78	%		75	%		83	%		112	%
	Jennison 20/20 Focus Portfolio
	Class II
	Year Ended December 31,
	2014(c)			2013(c)			2012(c)			2011(c)			2010(c)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	20.14		$	15.57		$	14.62		$	15.31		$	14.25
Income (Loss) From Investment Operations:
Net investment income (loss)		(.07	)		.01			(.03	)		(.03	)		(.01	)
Net realized and unrealized gain (loss) on investments		1.42			4.56			1.54			(.66	)		1.07
Total from investment operations		1.35			4.57			1.51			(.69	)		1.06
Less Distributions		—			—			(.56	)		—			—
Net Asset Value, end of year	$	21.49		$	20.14		$	15.57		$	14.62		$	15.31
Total Return(a)		6.70	%		29.35	%		10.62	%		(4.51	)%		7.44	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	172.9		$	178.5		$	154.8		$	383.0		$	476.2
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		1.23	%		1.24	%		1.20	%		1.20	%		1.20	%
Expenses before waivers and/or expense reimbursement		1.23	%		1.24	%		1.20	%		1.20	%		1.20	%
Net investment income (loss)		(.33	)%		.07	%		(.18	)%		(.16	)%		(.05	)%
Portfolio turnover rate		97	%		78	%		75	%		83	%		112	%

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

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

(c) Calculated based upon average shares outstanding during the year.

SEE NOTES TO FINANCIAL STATEMENTS.

C1

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

THE BOARD OF TRUSTEES AND SHAREHOLDERS

THE PRUDENTIAL SERIES FUND:

We have audited the accompanying statement of assets and liabilities of Jennison 20/20 Focus Portfolio (hereafter referred to as the “Portfolio”), a portfolio of The Prudential Series Fund, including the schedule of investments, as of December 31, 2014, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

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

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

New York, New York

February 12, 2015

D1

INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)

Information about the Trustees and the Officers of the Fund is set forth below. Trustees who are not deemed to be “interested persons” of the Fund, as defined in the Investment Company Act of 1940, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the Investment Company Act of 1940.

Independent Trustees
Name, Age Number of Portfolios in Fund Complex† Overseen by Trustee	Principal Occupation(s) During Past Five Years	Other Directorships Held by Trustee**
Susan Davenport Austin* (47) Trustee Since 2011 No. of Portfolios Overseen: 111	Senior Managing Director of Brock Capital (Since 2014); Vice Chairman (Since 2013), Senior Vice President and Chief Financial Officer (2007-2012) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; Formerly President of Sheridan Gospel Network (2004-2014); Vice President, Goldman, Sachs & Co. (2000-2001); Associate Director, Bear, Stearns & Co. Inc. (1997-2000); Vice President, Salomon Brothers Inc. (1993-1997); President of the Board, The MacDowell Colony (Since 2010); Presiding Director (Since 2014) and Chairman (2011-2014) of the Board of Directors, Broadcast Music, Inc.; Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); President, Candide Business Advisors, Inc. (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010).	None.
Sherry S. Barrat* (65) Trustee Since 2013 No. of Portfolios Overseen: 111	Formerly, Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly, President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly, Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly, President & CEO, Palm Beach/Martin County Region, Northern Trust.	Director of NextEra Energy, Inc. (formerly, FPL Group, Inc.) (1998-Present); Director of Arthur J. Gallagher & Company (Since July 2013).
Kay Ryan Booth* (64) Trustee Since 2013 No. of Portfolios Overseen: 111	Partner of Trinity Private Equity Group (Since September 2014); formerly, Managing Director of Cappello Waterfield & Co. LLC (2011-May 2014); formerly, Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly, Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly, Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995).	None.
Delayne Dedrick Gold* (76) Trustee Since 2001 No. of Portfolios Overseen: 111	Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc.	None.
Robert F. Gunia* (68) Trustee Since 2001 No. of Portfolios Overseen: 111	Independent Consultant (Since October 2009); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of Prudential Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc.	Director (Since May 1989) of The Asia-Pacific Fund, Inc.
W. Scott McDonald, Jr., PhD* (77) Trustee Since 1983 No. of Portfolios Overseen: 111	Formerly Management Consultant (1997-2004) and of Counsel (2004-2005) at Kaludis Consulting Group, Inc. (company serving higher education); formerly principal (1995-1997), Scott McDonald Associates; Chief Operating Officer (1991-1995), Fairleigh Dickinson University; Executive Vice President and Chief Operating Officer (1975-1991), Drew University; interim President (1988-1990), Drew University; formerly Director of School, College and University Underwriters Ltd.	None.

E1

Independent Trustees
Name, Age Number of Portfolios in Fund Complex† Overseen by Trustee	Principal Occupation(s) During Past Five Years	Other Directorships Held by Trustee**
Thomas T. Mooney* (73) Trustee Since 2001 No. of Portfolios Overseen: 111	Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976).	None.
Thomas M. O’Brien* (64) Trustee Since 2003 No. of Portfolios Overseen: 111	Director, Sun Bancorp, Inc. (NASDAQ: SNBC) and Sun National Bank (Since July 2014); Consultant, Valley National Bancorp, Inc. and Valley National Bank (January 2012-June 2012); Formerly President and COO (November 2006-December 2011) and CEO (April 2007-December 2011) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York.	Formerly Director, BankUnited, Inc. and BankUnited N.A. (NYSE: BKU) (May 2012-April 2014); formerly Director (April 2008-January 2012) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (November 2006-January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island.

Interested Trustees
Name, Age Number of Portfolios in Fund Complex† Overseen by Trustee	Principal Occupation(s) During Past Five Years	Other Directorships Held by Trustee**
Robert F. O’Donnell* (46) Trustee & President Since 2012 No. of Portfolios Overseen: 111	President of Prudential Annuities (Since April 2012); Senior Vice President, Head of Product, Investment Management & Marketing for Prudential Annuities (October 2008-April 2012); Senior Vice President, Head of Product (July 2004-October 2008).	None.
Timothy S. Cronin* (49) Trustee Since 2011 No. of Portfolios Overseen: 111	Chief Investment Officer and Strategist of Prudential Annuities (Since January 2004); Director of Investment & Research Strategy (Since February 1998); President of AST Investment Services, Inc. (Since June 2005).	None.
Bruce W. Ferris* (59) Trustee Since 2013 No. of Portfolios Overseen: 111	Senior Vice President, Sales and Distribution, Product, Marketing, Prudential Annuities (Since May 2006); Vice President-Sales, The Hartford Insurance Company (October 1994-April 2005); Sales Manager, Aetna Investment Services (October 1993-September 1994).	None.

* The address of each Trustee is c/o Prudential Investments LLC, Gateway Center Three, 100 Mulberry Street, Newark, New Jersey 07102.

** Includes only directorships of companies required to register or file reports with the Securities and Exchange Commission (SEC) under the Securities Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the Investment Company Act of 1940.

† The Fund Complex consists of all investment companies managed by PI. The Funds for which PI serves as manager include the Prudential Investments Mutual Funds, Target Mutual Funds, The Prudential Variable Contract Accounts 2, 10 and 11, Prudential Short Duration High Yield Fund, Inc., Prudential Global Short Duration High Yield Fund, Inc., The Prudential Series Fund, Advanced Series Trust, and Prudential’s Gibraltar Fund, Inc.

Fund Officers(1)
Name, Age Position with the Fund	Principal Occupation(s) During the Past Five Years
Raymond A. O’Hara* (59) Chief Legal Officer Since 2012	Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of Prudential Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.).
Chad A. Earnst* (39) Chief Compliance Officer Since 2014	Chief Compliance Officer (September 2014-Present) of Prudential Investments LLC; Chief Compliance Officer (September 2014-Present) of the Prudential Investments Funds, Target Funds, Advanced Series Trust, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc., Prudential Global Short Duration High Yield Income Fund, Inc., Prudential Short Duration High Yield Fund, Inc. and Prudential Jennison MLP Income Fund, Inc.; formerly Assistant Director (March 2010-August 2014) of the Asset Management Unit, Division of Enforcement, U.S. Securities & Exchange Commission; Assistant Regional Director (January 2010-August 2014), Branch Chief (June 2006-December 2009) and Senior Counsel (April 2003-May 2006) of the Miami Regional Office, Division of Enforcement, U.S. Securities & Exchange Commission.

E2

Fund Officers(1)
Name, Age Position with the Fund	Principal Occupation(s) During the Past Five Years
Bradley C. Tobin* (40) Vice President Since 2014	Vice President of Prudential Annuities (since March 2012), Vice President of AST Investment Services, Inc. (since April 2011).
Deborah A. Docs* (56) Secretary Since 2005	Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of Prudential Investments LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Jonathan D. Shain* (56) Assistant Secretary Since 2005	Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of Prudential Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Claudia DiGiacomo* (40) Assistant Secretary Since 2005	Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of Prudential Investments LLC (since December 2005); Associate at Sidley Austin Brown & Wood LLP (1999-2004).
Andrew R. French* (52) Assistant Secretary Since 2006	Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of Prudential Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC.
Amanda S. Ryan (36) Assistant Secretary Since 2012	Director and Corporate Counsel (since March 2012) of Prudential; Director and Assistant Secretary (since June 2012) of Prudential Investments LLC; Associate at Ropes & Gray LLP (2008-2012).
Kathleen DeNicholas* (40) Assistant Secretary Since 2013	Vice President and Corporate Counsel (since May 2013) of Prudential; Managing Counsel at The Bank of New York Mellon Corporation (2011-2013); formerly Senior Counsel (2007-2011) and Assistant General Counsel (2001-2007) of The Dreyfus Corporation; Chief Legal Officer and Secretary of MBSC Securities Corporation (2011-2013); Vice President and Assistant Secretary of The Dreyfus Family of Funds (2010-2012).
M. Sadiq Peshimam* (50) Treasurer and Principal Financial & Accounting Officer Since 2014	Assistant Treasurer of funds in the Prudential Mutual Fund Complex (2006-2014); Vice President (since 2005) of Prudential Investments LLC.
Peter Parrella* (56) Assistant Treasurer Since 2007	Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004).
Lana Lomuti* (47) Assistant Treasurer Since 2014	Vice President (since 2007) and Director (2005-2007), within Prudential Mutual Fund Administration; formerly Assistant Treasurer (December 2007-February 2014) of The Greater China Fund, Inc.
Linda McMullin* (53) Assistant Treasurer Since 2014	Vice President (since 2011) and Director (2008-2011) within Prudential Mutual Fund Administration.
Alan Fu* (58) Assistant Treasurer Since 2006	Vice President and Corporate Counsel – Tax, Prudential Financial, Inc. (since October 2003).
Theresa C. Thompson* (52) Deputy Chief Compliance Officer Since 2008	Vice President, Compliance, Prudential Investments LLC (since April 2004); and Director, Compliance, Prudential Investments LLC (2001-2004).
Richard W. Kinville* (46) Anti-Money Laundering Compliance Officer Since 2011	Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2005) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2007); formerly Investigator and Supervisor in the Special Investigations Unit for the New York Central Mutual Fire Insurance Company (August 1994-January 1999); Investigator in AXA Financial’s Internal Audit Department and Manager in AXA’s Anti-Money Laundering Office (January 1999-January 2005); first chair of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (June 2007-December 2009).

* The address for each officer is c/o Prudential Investments LLC, 100 Mulberry Street, Gateway Center Three, Newark, New Jersey 07102.

⁽¹⁾ Excludes Messrs. O’Donnell and Cronin, interested Trustees who serve as President and Vice President, respectively. Biographical and other information with respect to Messrs. O’Donnell and Cronin appears under “Interested Trustees,” above.

E3

This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life contract. The prospectuses contain information on the contract and the investment objectives, risks, charges and expenses of the portfolios, and should be read carefully.

A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request by calling the appropriate phone number listed below. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.

The Fund files with the Commission a complete listing of portfolio holdings as of its first and third quarter-end on Form N-Q. Form N-Q is available on the Commission’s website at www.sec.gov or by visiting the Commission’s Public Reference Room. For more information on the Commission’s Public Reference Room, please visit the Commission’s website or call (800)SEC-0330. Form N-Q is also available on the Fund’s website or by calling the telephone number referenced below.

The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.

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

To contact your client services representative, please call the phone number listed below. Thank you.

Owners of Individual Annuity contracts should call (888) 778-2888.

Owners of Individual Life Insurance contracts should call (800) 778-2255.

Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.

Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.

The Prudential Series Fund is distributed by Prudential Investment Management Services LLC (PIMS), Three Gateway Center, 14th Floor, Newark, NJ 07102-4077, member SIPC, a Prudential Financial company and solely responsible for its own financial condition and contractual obligations.

Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

  The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3777 Presorted Standard U.S. Postage PAID Prudential

The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, and The Prudential Insurance Company of America are available upon request. You may call (800)778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.

To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. You should be aware that by calling (877)778-5008, you can revoke, or “opt out,” of householding at any time.

^©2015 Prudential Financial, Inc. and its related entities. Prudential Investments, Prudential, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

0239275-00003-00    PSF-AR-20/20 Focus

Item 2 — Code of Ethics — See Exhibit (a)

As of the end of the period covered by this report, the registrant has adopted a code of ethics (the “Section 406 Standards for Investment Companies – Ethical Standards for Principal Executive and Financial Officers”) that applies to the registrant’s Principal Executive Officer and Principal Financial Officer; the registrant’s Principal Financial Officer also serves as the Principal Accounting Officer.

The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant 973-367-7521, and ask for a copy of the Section 406 Standards for Investment Companies — Ethical Standards for Principal Executive and Financial Officers.

Item 3 — Audit Committee Financial Expert —

The registrant’s Board has determined that Mr. Thomas M. O’Brien, member of the Board’s Audit Committee is an “audit committee financial expert,” and that he is “independent,” for purposes of this Item.

Item 4 — Principal Accountant Fees and Services —

(a) Audit Fees

For the fiscal years ended December 31, 2014 and December 31, 2013, KPMG LLP (“KPMG”), the Registrant’s principal accountant, billed the Registrant $558,800 and $475,500, respectively, for professional services rendered for the audit of the Registrant’s annual financial statements or services that are normally provided in connection with statutory and regulatory filings.

(b) Audit-Related Fees

None.

(c) Tax Fees

None.

(d) All Other Fees

None.

(e) (1) Audit Committee Pre-Approval Policies and Procedures

THE PRUDENTIAL MUTUAL FUNDS

AUDIT COMMITTEE POLICY

on

Pre-Approval of Services Provided by the Independent Accountants

The Audit Committee of each Prudential Mutual Fund is charged with the responsibility to monitor the independence of the Fund’s independent accountants. As part of this responsibility, the Audit Committee must pre-approve any independent accounting firm’s engagement to render audit and/or permissible non-audit services, as required by law. In evaluating a proposed engagement of the independent accountants, the Audit Committee will assess the effect that the engagement might reasonably be expected to have on the accountant’s independence. The Committee’s evaluation will be based on:

• a review of the nature of the professional services expected to be provided,

• a review of the safeguards put into place by the accounting firm to safeguard independence, and

• periodic meetings with the accounting firm.

Policy for Audit and Non-Audit Services Provided to the Funds

On an annual basis, the scope of audits for each Fund, audit fees and expenses, and audit-related and non-audit services (and fees proposed in respect thereof) proposed to be performed by the Fund’s independent accountants will be presented by the Treasurer and the independent accountants to the Audit Committee for review and, as appropriate, approval prior to the initiation of such services. Such presentation shall be accompanied by confirmation by both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants. Proposed services shall be described in sufficient detail to enable the Audit Committee to assess the appropriateness of such services and fees, and the compatibility of the provision of such services with the auditor’s independence. The Committee shall receive periodic reports on the progress of the audit and other services which are approved by the Committee or by the Committee Chair pursuant to authority delegated in this Policy.

The categories of services enumerated under “Audit Services”, “Audit-related Services”, and “Tax Services” are intended to provide guidance to the Treasurer and the independent accountants as to those categories of services which the Committee believes are generally consistent with the independence of the independent accountants and which the Committee (or the Committee Chair) would expect upon the presentation of specific proposals to pre-approve. The enumerated categories are not intended as an exclusive list of audit, audit-related or tax services, which the Committee (or the Committee Chair) would consider for pre-approval.

Audit Services

The following categories of audit services are considered to be consistent with the role of the Fund’s independent accountants:

Ø Annual Fund financial statement audits

Ø Seed audits (related to new product filings, as required)

Ø SEC and regulatory filings and consents

Audit-related Services

The following categories of audit-related services are considered to be consistent with the role of the Fund’s independent accountants:

Ø Accounting consultations

Ø Fund merger support services

Ø Agreed Upon Procedure Reports

Ø Attestation Reports

Ø Other Internal Control Reports

Individual audit-related services that fall within one of these categories and are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000.

Tax Services

The following categories of tax services are considered to be consistent with the role of the Fund’s independent accountants:

Ø Tax compliance services related to the filing or amendment of the following:

¡ Federal, state and local income tax compliance; and,

¡ Sales and use tax compliance

Ø Timely RIC qualification reviews

Ø Tax distribution analysis and planning

Ø Tax authority examination services

Ø Tax appeals support services

Ø Accounting methods studies

Ø Fund merger support services

Ø Tax consulting services and related projects

Individual tax services that fall within one of these categories and are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000.

Other Non-audit Services

Certain non-audit services that the independent accountants are legally permitted to render will be subject to pre-approval by the Committee or by one or more Committee members to whom the Committee has delegated this authority and who will report to the full Committee any pre-approval decisions made pursuant to this Policy. Non-audit services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.

Proscribed Services

The Fund’s independent accountants will not render services in the following categories of non-audit services:

Ø Bookkeeping or other services related to the accounting records or financial statements of the Fund

Ø Financial information systems design and implementation

Ø Appraisal or valuation services, fairness opinions, or contribution-in-kind reports

Ø Actuarial services

Ø Internal audit outsourcing services

Ø Management functions or human resources

Ø Broker or dealer, investment adviser, or investment banking services

Ø Legal services and expert services unrelated to the audit

Ø Any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible.

Pre-approval of Non-Audit Services Provided to Other Entities Within the Prudential Fund Complex

Certain non-audit services provided to Prudential Investments LLC or any of its affiliates that also provide ongoing services to the Prudential Mutual Funds will be subject to pre-approval by the Audit Committee. The only non-audit services provided to these entities that will require pre-approval are those related directly to the operations and financial reporting of the Funds. Individual projects that are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000. Services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.

Although the Audit Committee will not pre-approve all services provided to Prudential Investments LLC and its affiliates, the Committee will receive an annual report from the Fund’s independent accounting firm showing the aggregate fees for all services provided to Prudential Investments and its affiliates.

(e) (2) Percentage of services referred to in 4(b) – 4(d) that were approved by the audit committee —

Not applicable.

(f) Percentage of hours expended attributable to work performed by other than full time employees of principal accountant if greater than 50%.

The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.

(g) Non-Audit Fees

Not applicable to Registrant for the fiscal years 2014 and 2013. The aggregate non-audit fees billed by KPMG for services rendered to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant for the fiscal years 2014 and 2013 was $0 and $0, respectively.

(h) Principal Accountant’s Independence

Not applicable as KPMG has not provided non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.

Item 5	—	Audit Committee of Listed Registrants — Not applicable.
Item 6	—	Schedule of Investments — The schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7	—	Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies — Not applicable.
Item 8	—	Portfolio Managers of Closed-End Management Investment Companies — Not applicable.
Item 9	—	Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers — Not applicable.
Item 10	—	Submission of Matters to a Vote of Security Holders — Not applicable.
Item 11	—	Controls and Procedures

(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b) There has been no significant change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting.

Item 12 — Exhibits

(a) (1) Code of Ethics — Attached hereto as Exhibit EX-99.CODE-ETH

(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act — Attached hereto as Exhibit EX-99.CERT.

(3) Any written solicitation to purchase securities under Rule 23c-1. — Not applicable.

(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act — Attached hereto as Exhibit EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant:	The Prudential Series Fund
By:	/s/Deborah A. Docs
	Deborah A. Docs Secretary
Date:	February 17, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/Robert F. O’Donnell
	Robert F. O’Donnell President and Principal Executive Officer
Date:	February 17, 2015
By:	/s/M. Sadiq Peshimam
	M. Sadiq Peshimam Treasurer and Principal Financial and Accounting Officer
Date:	February 17, 2015