Audiovox | 1285731 | PRUDENTIAL SERIES FUND (Form: N

SECURITIES AND EXCHANGE COMMISSION
FORM N-Q
Quarterly schedule of portfolio holdings of registered management investment company filed on
Form N-Q
Filing Date: 2007-05-30 | Period of Report: 2007-03-31
SEC Accession No. 0001193125-07-125927
(HTML Version on secdatabase.com)
FILER
PRUDENTIAL SERIES FUND
CIK:711175| IRS No.: 860446842 | State of Incorp.:DE | Fiscal Year End: 1231
Type: N-Q | Act: 40 | File No.: 811-03623 | Film No.: 07887782
Mailing Address
GATEWAY CENTER THREE
100 MULBERRY STREET
NEWARK NJ 07102
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Business Address
GATEWAY CENTER THREE
100 MULBERRY STREET
NEWARK NJ 07102
9738026469
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS 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:
12/31/2007
Date of reporting period:
3/31/2007
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Item 1.
Schedule of Investments
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CONSERVATIVE BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
as of March 31, 2007 (Unaudited)
Shares
Value
LONG-TERM INVESTMENTS — 88.8%
COMMON STOCKS — 55.4%
Aerospace & Defense — 1.2%
Boeing Co.(b)
86,100
$7,655,150
31,759
985,111
41,000
3,132,400
14,300
736,164
84,412
3,888,017
12,400
1,084,628
37,600
3,647,952
35,862
2,661,678
48,200
2,528,572
18,100
1,211,433
104,300
6,779,500
European Aeronautic Defense and Space Co. EADS N.V. (Netherlands)
General Dynamics Corp.
Goodrich Corp.
Honeywell International, Inc.
L-3 Communications Holdings, Inc.
Lockheed Martin Corp.
Northrop Grumman Corp.
Raytheon Co.
Rockwell Collins, Inc.
United Technologies Corp.
34,310,605
Air Freight & Logistics — 0.4%
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C.H. Robinson Worldwide, Inc.(b)
15,800
754,450
32,200
3,459,246
6,970
319,641
112,500
7,886,250
FedEx Corp.
TNT Post Group N.V.
United Parcel Service, Inc.(b)
12,419,587
Airlines — 0.1%
Air France KLM (France)
25,467
1,161,782
11,347
108,520
48,426
258,112
135,223
574,397
8,000
87,533
81,200
1,193,639
British Airways PLC (United Kingdom)(a)
Iberia Lineas Aereas de Espana, SA (Spain)
Qantas Airways Ltd. (Australia)
Singapore Airlines Ltd. (Singapore)
Southwest Airlines Co.
3,383,983
Auto Components — 0.2%
Aisin Seiki Co. Ltd.
6,500
227,809
21,800
810,285
20,500
639,395
19,600
1,854,552
Denso Corp.
Goodyear Tire & Rubber Co. (The)(a)(b)
Johnson Controls, Inc.
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Michelin (CDGE) “Class B” (France)
6,090
672,545
7,000
130,983
148
73,747
15,900
323,154
7,100
168,402
NGK Spark Plug Co. Ltd. (Japan)
Rieter Holding AG (Switzerland)
Stanley Electric Co. Ltd.
Tokai Rika Co. Ltd.
4,900,872
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Automobiles — 0.4%
Fiat SpA (Italy)
25,458
641,730
Ford Motor Co.(b)
192,995 1,522,731
General Motors Corp.(b)
59,991
1,838,124
27,400
1,609,750
38,200
1,332,332
4,890
571,901
58,500
3,748,090
2,865
430,942
Harley-Davidson, Inc.
Honda Motor Co. Ltd. (Japan)
Renault SA (France)
Toyota Motor Corp. (Japan)
Volkswagen AG (Germany)
11,695,600
Beverages — 1.1%
Anheuser-Busch Cos., Inc.
79,200
3,996,432
7,700
504,812
Brown-Forman Corp. “Class B”
Coca-Cola Co. (The)
214,400 10,291,200
Coca-Cola Enterprises, Inc.
25,400
514,350
3,180
133,812
6,500
140,933
19,100
404,538
Coca-Cola Hellenic Bottling Co. SA (Greece)
Coca-Cola West Japan Co. Ltd.
Constellation Brands, Inc.(a)
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Foster’s Group Ltd. (Australia)
44,164
244,772
5,275
380,868
4,200
397,404
16,600
529,374
InBev NV (Belgium)
Molson Coors Brewing Co. “Class B”
Pepsi Bottling Group, Inc.
PepsiCo, Inc.
173,130 11,004,142
SABMiller PLC (United Kingdom)
58,364
1,280,592
29,823,229
Biotechnology — 0.6%
Amgen, Inc.(a)
122,560 6,848,653
Biogen Idec, Inc.(a)(b)
36,690
1,628,302
39,700
2,082,662
20,409
1,360,171
25,900
1,554,518
44,000
3,366,000
22,700
826,053
Celgene Corp.(a)(b)
CSL Ltd. (Australia)
Genzyme Corp.(a)
Gilead Sciences, Inc.(a)
MedImmune, Inc.(a)(b)
17,666,359
Building Products — 0.1%
American Standard Cos., Inc.
19,100
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1,012,682
Cie de Saint-Gobain (France)
7,322
715,680
267
410,888
2,000
43,364
40,100
1,098,739
19,000
118,347
Geberit AG (Switzerland)
JS Group Corp. (Japan)
Masco Corp.
Sanwa Shutter Corp. (Japan)
3,399,700
Capital Markets — 2.1%
3I Group PLC
2,400
53,651
25,020
1,429,643
79,100
3,207,505
14,616
2,197,516
Ameriprise Financial, Inc.
Bank of New York Co., Inc. (The)
Bear Stearns Cos., Inc. (The)
Charles Schwab Corp. (The)
107,450 1,965,261
Credit Suisse Group (Switzerland)
28,140
2,019,346
8,200
170,569
D Carnegie AB (Sweden)
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Deutsche Bank AG (Germany)
15,355
2,066,779
41,500
880,630
6,700
246,024
17,100
2,066,193
45,700
9,442,990
31,900
667,029
13,500
1,271,835
60,100
4,211,207
4,918
329,275
43,400
1,872,276
99,100
8,093,497
E*TRADE Financial Corp.(a)(b)
Federated Investors, Inc. “Class B”
Franklin Resources, Inc.
Goldman Sachs Group, Inc.
Janus Capital Group, Inc.
Legg Mason, Inc.
Lehman Brothers Holdings, Inc.
Macquarie Bank Ltd. (Australia)
Mellon Financial Corp.
Merrill Lynch & Co., Inc.
Morgan Stanley
116,680 9,189,717
Northern Trust Corp.
19,700
1,184,758
34,100
2,207,975
27,600
1,302,444
41,395
2,459,547
State Street Corp.
T. Rowe Price Group, Inc.
UBS AG (Switzerland)
58,535,667
Chemicals — 0.9%
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Air Products and Chemicals, Inc.
22,400
1,656,704
48,000
349,491
7,100
465,760
6,117
687,212
13,000
51,629
20,000
93,686
98,531
4,518,632
96,020
4,746,268
9,800
620,634
17,400
748,200
11,500
224,710
9,100
429,702
21,674
971,087
78,500
668,156
43,000
412,339
63,000
550,662
56,194
3,088,422
Asahi Chemical Industry Co. Ltd.
Ashland, Inc.
BASF AG (Germany)
Dainippon Ink & Chemicals, Inc.
Denki Kagaku Kogyo K K (Japan)
Dow Chemical Co. (The)
Du Pont E. I. de Nemours & Co.
Eastman Chemical Co.
Ecolab, Inc.
Hercules, Inc.(a)
International Flavors & Fragrances, Inc.
Koninklijke DSM NV (Netherlands)
Mitsubishi Chemical Holdings Corp. (Japan)
Mitsubishi Gas Chemical Co., Inc. (Japan)
Mitsui Chemicals Inc.
Monsanto Co.
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Nippon Shokubai Co. Ltd.
18,000
194,297
17,600
1,237,456
33,100
2,083,976
13,711
709,133
15,800
656,016
24,000
123,625
9,000
248,384
PPG Industries, Inc.
Praxair, Inc.
Rohm & Haas Co.
Sigma-Aldrich Corp.
Tosoh Corp.
Yara International ASA (Norway)
25,536,181
Commercial Banks — 3.1%
Allied Irish Banks PLC (Ireland)
6,099
180,870
4,298
136,073
34,769
835,509
3,401
100,632
42,919
1,053,783
15,561
135,116
Alpha Bank (Greece)
Australia And New Zealand Banking Group Ltd. (Australia)
Banche Popolari Unite Scpa (Italy)
Banco Bilbao Vizcaya Argentaria SA (Spain)
Banco BPI SA
Banco Comercial Portugues SA (Portugal)
109,821 397,567
Banco Espirito Santo SA (Portugal)
28,554
545,074
22,948
712,728
Banco Popolare di Verona (Italy)
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Banco Popular Espanol SA (Spain)
17,980
370,845
Banco Santander Central Hispano SA (Spain)
142,521 2,543,556
Bank of Ireland (Ireland)
2,739
59,091
85,086
1,207,214
56,900
2,334,038
21,962
2,293,924
15,200
898,624
16,700
557,446
11,366
503,323
10,357
421,172
12,800
880,640
26,812
1,045,489
29,480
1,371,532
36,000
507,794
28,302
844,610
80,100
1,130,675
57,621
2,229,356
Barclay’s PLC (United Kingdom)
BB&T Corp.(b)
BNP Paribas (France)
Comerica, Inc.
Commerce Bancorp, Inc.(b)
Commerzbank AG (Germany)
Commonwealth Bank of Australia (Australia)
Compass Bancshares, Inc.
Credit Agricole SA (France)
Danske Bank A/S (Denmark)
DBS Group Holdings Ltd. (Singapore)
Dexia (Belgium)
DNB NOR ASA (Norway)
Fifth Third Bancorp
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First Horizon National Corp.
13,600
564,808
50,000
354,294
65,115
1,341,587
Gunma Bank Ltd. (The) (Japan)
HBOS PLC
HSBC Holdings PLC (United Kingdom)
176,695 3,092,867
Huntington Bancshares, Inc.
26,136
571,072
18,000
112,424
42,400
1,588,728
60,232
663,753
8,300
961,389
23,700
1,097,547
32
361,168
63,000
621,232
11,319
369,992
64,500
2,402,625
34,100
2,454,177
75,203
2,659,930
72,646
2,836,249
Joyo Bank Ltd. (The)
KeyCorp
Lloyds TSB Group PLC (United Kingdom)
M&T Bank Corp.(b)
Marshall & Ilsley Corp.(b)
Mitsubishi Financial Group, Inc. (Japan)
Mitsui Trust Holdings, Inc. (Japan)
National Australia Bank Ltd. (Australia)
National City Corp.(b)
PNC Financial Services Group, Inc.
Regions Financial Corp.
Royal Bank of Scotland Group PLC (United Kingdom)
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Sapporo Hokuyo Holdings, Inc. (Japan)
3
30,041
9,000
95,850
17,400
556,926
11,377
1,966,153
11
99,881
36,300
3,014,352
21,100
627,005
772
41,522
28,050
907,137
Shizuoka Bank Ltd. (Japan)
Skandinaviska Enskilda Banken AB “A Shares” (Sweden)
Societe Generale (France)
Sumitomo Mitsui Financial Group, Inc. (Japan)
SunTrust Banks, Inc.(b)
Svenska Handelbanken “A Shares” (Sweden)
Sydbank A/S
Synovus Financial Corp.
U.S. Bancorp
185,985 6,503,895
UniCredito Italiano SpA (Italy)
198,310 1,887,493
Wachovia Corp.(e)
203,540 11,204,877
Wells Fargo & Co.
362,000 12,463,659
Westpac Banking Corp. (Australia)
40,139
855,756
11,350
959,302
Zions Bancorporation
86,564,372
Commercial Services & Supplies — 0.3%
Allied Waste Industries, Inc.(a)
26,400
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332,376
Avery Dennison Corp.
9,900
636,174
15,100
545,110
97,380
537,349
Cintas Corp.
Downer EDI Ltd.
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Equifax, Inc.
10,800
393,660
26,133
275,385
13,100
620,547
21,600
980,424
1,545
119,829
25,500
943,755
23,000
841,570
56,942
1,959,374
Michael Page International PLC (United Kingdom)
Monster Worldwide, Inc.(a)
Pitney Bowes, Inc.
Randstad Holding NV (Netherlands)
Robert Half International, Inc.(b)
RR Donnelley & Sons Co.
Waste Management, Inc.
8,185,553
Communications Equipment — 1.3%
ADC Telecommunications, Inc.(a)
14,771
247,267
49,570
585,422
9,142
255,519
Avaya, Inc.(a)
Ciena Corp.(a)
Cisco Systems, Inc.(a)
632,700 16,152,831
Corning, Inc.(a)
150,100 3,413,274
JDS Uniphase Corp.(a)(b)
11,375
173,241
47,400
932,832
Juniper Networks, Inc.(a)
Motorola, Inc.
249,725 4,412,641
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Nokia Corp. (Finland)
58,200
1,339,566
QUALCOMM, Inc.
172,600 7,363,116
Telent PLC (United Kingdom)(a)
4,333
40,395
45,800
453,420
Tellabs, Inc.(a)(b)
35,369,524
Computers & Peripherals — 1.8%
Apple Computer, Inc.(a)
89,700
8,334,027
Dell, Inc.(a)
237,700 5,517,017
EMC Corp.(a)(b)
228,750 3,168,188
Hewlett-Packard Co.
284,548 11,421,757
International Business Machines Corp.
156,500 14,751,690
Lexmark International, Inc.(a)(b)
9,833
574,837
20,900
998,393
41,700
1,522,884
16,600
282,200
15,600
683,280
NCR Corp.(a)
Network Appliance, Inc.(a)
QLogic Corp.(a)
SanDisk Corp.(a)(b)
Sun Microsystems, Inc.(a)
369,400 2,220,094
Wincor Nixdorf AG (Germany)
972
90,631
49,564,998
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Construction & Engineering — 0.1%
Acciona SA
1,775
384,478
4,417
268,174
22,000
236,168
9,700
870,284
821
84,393
ACS Actividades de Construccion y Servicios SA (Spain)
COMSYS Holdings Corp. (Japan)
Fluor Corp.
Fomento de Construcciones Y Contratas SA (Spain)
Obayashi Corp. (Japan)
147,000 948,065
2,791,562
Construction Materials — 0.1%
CRH PLC (Ireland)
1,105
47,235
8,419
66,155
2,444
244,772
Fletcher Building Ltd. (New Zealand)
Holcim Ltd. “B Shares” (Switzerland)
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Italcementi SpA (Italy)
10,014
299,916
8,393
1,319,511
35,000
154,744
11,200
1,304,576
Lafarge SA (France)
Taiheiyo Cement Corp. (Japan)
Vulcan Materials Co.
3,436,909
Consumer Finance — 0.5%
American Express Co.
126,800 7,151,520
Capital One Financial Corp.
42,161
3,181,469
4,730
1,232,273
43,200
1,766,880
ORIX Corp. (Japan)
SLM Corp.(b)
13,332,142
Containers & Packaging — 0.1%
Ball Corp.(b)
12,000
550,200
11,300
377,307
15,600
526,344
18,600
587,760
9,700
579,478
Bemis Co.
Pactiv Corp.(a)(b)
Sealed Air Corp.
Temple-Inland, Inc.
2,621,089
Distributors — 0.1%
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Genuine Parts Co.
18,800
921,200
Li & Fung Ltd. (Hong Kong)
178,000 559,276
Pacific Brands Ltd. (Australia)
202,173 502,185
1,982,661
Diversified Consumer Services — 0.1%
ABC Learning Centres Ltd.
22,435
132,148
14,800
649,720
36,100
759,544
Apollo Group, Inc.(a)
H&R Block, Inc.
1,541,412
Diversified Financial Services — 2.8%
Babcock & Brown Ltd. (Australia)
33,032
734,169
Bank of America Corp.
474,738 24,221,133
Challenger Financial Services Group Ltd. (Australia)
62,164
239,916
3,400
1,810,364
20,600
1,090,152
Chicago Mercantile Exchange Holdings, Inc.
CIT Group, Inc.
Citigroup, Inc.
515,358 26,458,481
Fortis (Belgium)
29,287
1,337,611
34,000
331,362
Hong Kong Exchanges and Clearing Ltd.
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ING Groep NV (Netherlands)
39,644
1,676,128
JPMorgan Chase & Co.
365,401 17,678,100
Moody’s Corp.(b)
26,100
1,619,766
18,000
306,817
10,583
178,104
OKO Bank PLC (Finland)
Suncorp-Metway Ltd.
77,682,103
Diversified Telecommunication Services — 1.8%
AT&T, Inc.
652,268 25,718,928
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Belgacom SA (Belgium)
25,357
1,126,278
BT Group PLC (United Kingdom)
126,583 756,628
CenturyTel, Inc.
10,400
469,976
25,000
373,750
15,643
881,483
33,307
879,626
207
1,094,374
Citizens Communications Co.
Embarq Corp.
France Telecom SA (France)
Nippon Telegraph & Telephone Corp. (Japan)
Qwest Communications International, Inc.(a)(b)
171,257 1,539,601
Swisscom AG (Switzerland)
2,936
1,061,299
Telecom Corp. of New Zealand Ltd. (New Zealand)
324,738 1,097,252
Telecom Italia SpA (Italy)
324,574 802,557
Telefonica SA (Spain)
20,281
447,022
41,000
353,762
Telia Sonera AB (Sweden)
Verizon Communications Group, Inc.
305,976 11,602,611
Windstream Corp.
47,457
697,143
48,902,290
Electric Utilities — 1.1%
Allegheny Energy, Inc.(a)
16,900
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830,466
American Electric Power Co., Inc.
41,660
2,030,925
35,500
259,202
CLP Holdings Ltd. (Hong Kong)
Duke Energy Corp.
131,324 2,664,564
E.ON AG (Germany)
16,525
2,234,415
33,000
1,621,290
13,519
731,040
27,024
289,160
Edison International
Endesa SA (Spain)
Enel SpA (Italy)
Energias de Portugal SA (Portugal)
126,637 680,053
Entergy Corp.
19,600
2,056,432
69,274
4,759,817
33,401
2,212,482
40,800
2,495,736
23,100
613,569
2,700
77,673
6,600
187,627
11,500
554,875
41,500
1,697,350
Exelon Corp.
FirstEnergy Corp.(b)
FPL Group, Inc.(b)
Hokkaido Electric Power Co., Inc. (Japan)
Kansai Electric Power Co., Inc. (The) (Japan)
Kyushu Electric Power Co., Inc.
Pinnacle West Capital Corp.
PPL Corp.
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Progress Energy, Inc.(b)
27,683
1,396,331
77,500
2,840,375
20,200
690,818
5,956
321,195
Southern Co. (The)
Tokyo Electric Power Co., Inc. (The) (Japan)
Union Fenosa SA (Spain)
31,245,395
Electrical Equipment — 0.3%
ABB Ltd. (Switzerland)
36,137
618,565
20,600
926,794
82,900
3,572,161
Cooper Industries Ltd.
Emerson Electric Co.
Mitsubishi Electronics Corp. (Japan)
114,000 1,174,440
Rockwell Automation, Inc.
16,900
1,011,803
7,303,763
Electronic Equipment & Instruments — 0.2%
Agilent Technologies, Inc.(a)
41,214
1,388,500
18,600
398,226
6,800
641,107
Jabil Circuit, Inc.
Kyocera Corp. (Japan)
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Molex, Inc.
11,700
329,940
24,000
420,570
54,200
196,204
Nippon Electric Glass Co. Ltd.
Sanmina-SCI Corp.(a)
Solectron Corp.(a)(b)
109,300 344,295
TDK Corp. (Japan)
14,000
1,214,189
10,600
298,496
13,000
125,103
85,000
1,004,073
Tektronix, Inc.
Venture Manufacturing Ltd. Corp. (Singapore)
Yaskawa Electric Corp. (Japan)
6,360,703
Energy Equipment & Services — 0.9%
B.J. Services Co.
33,000
920,700
34,350
2,271,566
13,500
734,400
1,681
85,331
Baker Hughes, Inc.
ENSCO International, Inc.
Fugro NV (Netherlands)
Halliburton Co.(b)
106,600 3,383,484
Nabors Industries Ltd. (Bermuda)(a)
29,900
887,133
18,800
1,462,452
14,800
1,164,464
National Oilwell Varco, Inc.(a)
Noble Corp.
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Rowan Cos., Inc.
1,100
35,717
Schlumberger Ltd.
122,400 8,457,839
Smith International, Inc.
17,900
860,095
31,597
2,581,475
36,100
1,628,110
18,995
427,101
Transocean, Inc.(a)
Weatherford International Ltd.(a)
WorleyParsons Ltd. (Australia)
24,899,867
Food & Staples Retailing — 1.3%
Axfood AB (Sweden)
5,150
203,557
6,946
701,290
49,200
2,648,928
Casino GuichardPerrachon SA (France)
Costco Wholesale Corp.
CVS Corp.(b)
159,648 5,450,383
Delhaize Group (Belgium)
1,837
168,856
3,000
83,503
74,197
802,315
3,334
86,847
77,146
2,179,375
44,100
1,615,824
FamilyMart Co. Ltd. (Japan)
J. Sainsbury PLC (United Kingdom)
Jeronimo Martins SGPS SA
Kroger Co. (The)
Safeway, Inc.
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Supervalu, Inc.
20,010
781,791
63,600
2,151,588
11,000
150,942
Sysco Corp.
Uny Co. Ltd.
Walgreen Co.
105,100 4,823,039
Wal-Mart Stores, Inc.
255,500 11,995,725
Whole Foods Market, Inc.
14,100
632,385
27,084
595,833
Woolworths Ltd. (Australia)
35,072,181
Food Products — 0.8%
Archer-Daniels-Midland Co.
67,526
2,478,204
20,700
806,265
60,300
1,502,073
12,000
560,880
38,173
901,050
35,400
2,060,988
Campbell Soup Co.(b)
ConAgra Foods, Inc.
Dean Foods Co.(a)
Ebro Puleva SA (Spain)
General Mills, Inc.(b)
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H.J. Heinz Co.
35,100
1,653,912
18,300
1,000,278
27,400
1,409,182
15,000
577,800
3,454
1,345,188
76,500
1,294,380
31,115
595,624
8,575
412,012
22,700
440,607
64,172
1,868,779
37,773
1,138,014
23,100
1,176,483
14,000
127,716
Hershey Co. (The)(b)
Kellogg Co.(b)
McCormick & Co., Inc.
Nestle SA “B Shares” (Switzerland)
Sara Lee Corp.
Suedzucker AG (Germany)
The East Asiatic Co. Ltd. (Denmark)
Tyson Foods, Inc. “Class A”(b)
Unilever NV (Netherlands)
Unilever PLC (United Kingdom)
WM Wrigley Jr. Co.(b)
Yamazaki Baking Co. Ltd.
21,349,435
Gas Utilities — 0.1%
Gaz De France SA (France)
24,820
1,151,828
4,600
222,732
9,400
838,574
Nicor, Inc.
Questar Corp.
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2,213,134
Healthcare Equipment & Supplies — 0.8%
Bard C.R., Inc.
10,900
866,659
6,700
342,772
69,000
3,634,230
25,200
1,937,628
17,500
743,575
Bausch & Lomb, Inc.
Baxter International, Inc.
Becton Dickinson & Co.
Biomet, Inc.
Boston Scientific Corp.(a)
111,967 1,628,000
Cochlear Ltd. (Australia)
2,266
118,659
16,760
685,484
Hospira, Inc.(a)
Medtronic, Inc.
120,000 5,887,200
Phonak Holding AG (Switzerland)
3,545
271,312
34,800
1,308,828
30,000
1,989,600
8,500
405,365
24,900
2,126,709
St. Jude Medical, Inc.(a)
Stryker Corp.(b)
Varian Medical Systems, Inc.(a)
Zimmer Holdings, Inc.(a)
21,946,021
Healthcare Providers & Services — 1.2%
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Aetna, Inc.
63,200
2,767,528
20,500
1,081,375
41,550
3,031,073
10,300
1,469,398
16,450
922,023
17,600
1,420,672
583
84,655
17,400
1,009,548
13,100
951,453
7,500
407,700
32,130
1,880,890
31,549
2,288,249
10,000
354,900
18,300
912,621
44,600
286,778
AmerisourceBergen Corp.(b)
Cardinal Health, Inc.
Cigna Corp.
Coventry Health Care, Inc.(a)
Express Scripts, Inc.(a)
Fresenius Medical Care AG (Germany)
Humana, Inc.(a)(b)
Laboratory Corp. of America Holdings(a)(b)
Manor Care, Inc.
McKesson Corp.
Medco Health Solutions, Inc.(a)
Patterson Cos., Inc.(a)
Quest Diagnostics, Inc.
Tenet Healthcare Corp.(a)
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UnitedHealth Group, Inc.
142,100
7,527,036
64,600
5,239,060
WellPoint, Inc.(a)
31,634,959
Healthcare Technology
IMS Health, Inc.
22,500
667,350
47,800
2,239,908
12,900
621,684
15,150
624,029
41,184
541,777
19,600
1,655,220
32,700
1,175,892
35,900
1,449,642
34,400
1,684,224
130,000
5,856,500
77,400
2,427,264
21,900
1,420,215
9,600
300,480
Hotels, Restaurants & Leisure — 0.8%
Carnival Corp.(b)
Carnival PLC (United Kingdom)
Darden Restaurants, Inc.(b)
Enterprise Inns PLC
Harrah’s Entertainment, Inc.
Hilton Hotels Corp.
International Game Technology
Marriott International, Inc. “Class A”
McDonald’s Corp.
Starbucks Corp.(a)
Starwood Hotels & Resorts Worldwide, Inc.
Wendy’s International, Inc.
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Wyndham Worldwide Corp.(a)
16,720
570,988
26,300
1,519,088
Yum! Brands, Inc.
22,086,911
Household Durables — 0.4%
Barratt Developments PLC (United Kingdom)
34,117
741,864
7,664
239,797
6,900
563,178
7,889
178,840
8,700
363,486
23,700
521,400
16,300
1,284,766
65,831
823,260
6,400
614,912
9,200
392,564
22,500
510,075
13,300
561,393
21,600
801,018
32,314
1,004,642
Bellway PLC
Black & Decker Corp.(b)
Bovis Homes Group PLC (United Kingdom)
Centex Corp.
D.R. Horton, Inc.(b)
Fortune Brands, Inc.
George Wimpey PLC (United Kingdom)
Harman International Industries, Inc.
KB Home
Leggett & Platt, Inc.
Lennar Corp.
Makita Corp. (Japan)
Newell Rubbermaid, Inc.
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Pulte Homes, Inc.
13,200
349,272
4,900
235,690
16,900
859,055
5,900
326,624
35,294
339,973
40,866
786,651
7,526
639,033
Snap-On, Inc.
Sony Corp. (Japan)
Stanley Works (The)
Taylor Woodrow PLC (United Kingdom)
Thomson Multimedia Ltd.
Whirlpool Corp.(b)
12,137,493
Household Products — 1.1%
Clorox Co.
16,500
1,050,885
53,200
3,553,228
47,100
3,225,879
331,725
20,951,751
22,401
1,166,402
Colgate-Palmolive Co.
Kimberly-Clark Corp.
Procter & Gamble Co.
Reckitt Benckiser PLC (United Kingdom)
29,948,145
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Independent Power Producers & Energy Traders — 0.3%
AES Corp. (The)(a)
71,700
1,542,984
18,200
1,582,490
37,500
347,250
115,618
902,110
47,000
3,012,700
Constellation Energy Group, Inc.
Dynegy, Inc. “Class A”(a)
International Power PLC (United Kingdom)
TXU Corp.
7,387,534
Industrial Conglomerates — 1.9%
3M Co.
77,100
5,892,753
16,043
196,208
1,074,100
37,980,177
17,650
1,244,266
2,872
306,962
13,800
1,239,240
209,061
6,595,875
Cookson Group PLC (United Kingdom)
General Electric Co.
Orkla ASA (Norway)
Siemens AG (Germany)
Textron, Inc.
Tyco International Ltd. (Bermuda)
53,455,481
Insurance — 2.6%
ACE Ltd. (Bermuda)
33,200
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1,894,392
Aegon NV (Netherlands)
49,143
979,459
50,500
2,376,530
11,366
2,338,215
67,500
4,054,050
11,300
976,207
274,988
18,484,694
34,200
1,298,232
85,093
1,253,362
19,383
821,834
45,800
2,366,486
17,837
756,289
2,118
246,660
1,320
124,717
44,900
1,568,806
33,100
3,163,698
30,917
2,095,863
45,800
2,080,694
Aflac, Inc.
Allianz AG (Germany)
Allstate Corp. (The)
AMBAC Financial Group, Inc.(b)
American International Group, Inc.
AON Corp.(b)
Aviva PLC (United Kingdom)
AXA SA (France)
Chubb Corp.
Cincinnati Financial Corp.
CNP Assurances (France)
Codan A/S
Genworth Financial, Inc.(b)
Hartford Financial Services Group, Inc.
Lincoln National Corp.(b)
Loews Corp.
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Marsh & McLennan Cos., Inc.
57,300
1,678,317
14,350
939,782
78,600
4,963,590
8,091
1,364,550
19,030
61,452
27,900
1,670,373
76,500
1,669,230
272,806
869,681
11,000
730,730
16,967
1,549,880
600
116,176
9,000
590,310
74,635
3,863,854
32,210
741,796
18,900
1,322,244
MBIA, Inc.
MetLife, Inc.
Muenchener Rueckversicherungs—Gesellschaft AG (Germany)
Old Mutual PLC
Principal Financial Group
Progressive Corp. (The)
Royal & Sun Alliance Insurance Group PLC (United Kingdom)
SAFECO Corp.
Swiss Reinsurance (Switzerland)
Topdanmark A/S (Denmark)(a)
Torchmark Corp.
Travelers Cos., Inc. (The)
UnumProvident Corp.(b)
XL Capital Ltd. “Class A” (Bermuda)(b)
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Zurich Financial Services AG (Switzerland)
5,755
1,661,166
70,673,319
Internet & Catalog Retail — 0.1%
Amazon.com, Inc.(a)(b)
29,500
1,173,805
9,339
107,601
67,186
587,020
20,700
780,597
Experian Group Ltd. (Ireland)
Home Retail Group (United Kingdom)
IAC/InterActiveCorp (a)(b)
2,649,023
Internet Software & Services — 0.7%
eBay, Inc.(a)
129,100
4,279,665
22,600
10,354,416
16,500
414,480
124,900
3,908,121
Google, Inc. “Class A”(a)
Verisign, Inc.(a)
Yahoo!, Inc.(a)(b)
18,956,682
IT Services — 0.6%
Affiliated Computer Services, Inc.(a)
10,400
612,352
57,700
2,792,679
14,900
1,315,223
17,400
907,062
Automatic Data Processing, Inc.
Cognizant Technology Solutions Corp. (a)
Computer Sciences Corp.(a)
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Computershare Ltd.
32,890
288,733
14,800
376,068
54,100
1,497,488
14,600
663,716
74,610
2,007,008
21,300
1,130,178
181
920,053
36,800
1,393,616
14,526
475,727
31,500
265,545
80,610
1,769,390
Convergys Corp.(a)
Electronic Data Systems Corp.
Fidelity National Information Services, Inc.
First Data Corp.
Fiserv, Inc.(a)
NTT Data Corp. (Japan)
Paychex, Inc.
Sabre Holdings Corp.
Unisys Corp.(a)
Western Union Co.
16,414,838
Leisure Equipment & Products — 0.2%
Brunswick Corp.
7,200
229,320
20,400
460,224
12,700
519,467
15,800
452,196
42,651
1,175,889
Eastman Kodak Co.(b)
FUJIFILM Holdings Corp. (Japan)
Hasbro, Inc.
Mattel, Inc.
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Nikon Corp. (Japan)
42,000
885,692
30,500
680,711
Yamaha Corporation (Japan)
4,403,499
Life Sciences, Tools & Services — 0.1%
Applera Corp.—Applied Biosystems Group
20,300
600,271
4,700
340,609
12,800
310,016
36,700
1,715,725
9,600
556,800
Millipore Corp.(a)
PerkinElmer, Inc.
Thermo Electron Corp.(a)(b)
Waters Corp.(a)
3,523,421
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Machinery — 1.0%
Amada Co. Ltd. (Japan)
30,000
342,923
66,700
4,470,900
5,400
781,488
13,900
201,470
24,800
1,771,960
23,300
2,531,312
22,500
1,098,225
16,400
1,370,384
7,400
200,322
44,300
2,285,880
32,700
1,418,199
19,200
1,158,144
55,000
1,157,502
22,000
512,475
10,300
180,495
40,000
350,645
Caterpillar, Inc.
Cummins, Inc.(b)
Daifuku Co. Ltd.
Danaher Corp.
Deere & Co.
Dover Corp.
Eaton Corp.
Hitachi Construction Machinery Co. Ltd. (Japan)
Illinois Tool Works, Inc.
Ingersoll-Rand Co. Ltd. “Class A” (Bermuda)
ITT Corp.
Komatsu Ltd. (Japan)
Komori Corp. (Japan)
Koyo Seiko Co. Ltd.
Kubota Corp. (Japan)
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MAN AG (Germany)
7,561
878,728
37,000
239,257
43,000
410,149
10,000
86,558
26,262
1,927,631
10,000
380,000
13,710
1,183,310
8,000
79,701
11,400
818,064
6,600
171,550
1,494
382,346
8,400
707,338
Mitsubishi Heavy Industries Ltd. (Japan)
NSK Ltd. (Japan)
NTN Corp. (Japan)
Paccar, Inc.
Pall Corp.
Parker Hannifin Corp.
Sumitomo Heavy Industries Ltd. (Japan)
Terex Corp.(a)
Trelleborg AB “B Shares” (Sweden)
Vallourec
Volvo AB “B Shares” (Sweden)
27,096,956
Marine — 0.1%
Kawasaki Kisen Kaisha Ltd. (Japan)
16,000
151,799
102,000
1,132,179
50,000
106,779
43,000
344,832
Mitsui O.S.K. Lines Ltd. (Japan)
Neptune Orient Lines Ltd.
Nippon Yusen KK (Japan)
1,735,589
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Media — 1.8%
CBS Corp. “Class B”
80,334
2,457,417
49,600
1,737,984
319,590
8,293,360
3,834
61,263
76,000
1,753,320
6,800
234,396
8,600
384,248
10,434
155,328
15,000
189,573
25,200
1,418,508
37,200
457,932
38,100
2,395,728
2,700
154,953
17,800
418,478
Clear Channel Communications, Inc.
Comcast Corp. “Class A”(a)(b)
Daily Mail & General Trust PLC
DIRECTV Group, Inc. (The) (a)
Dow Jones & Co., Inc.(b)
E.W. Scripps Co.
EMAP PLC (United Kingdom)
Eniro AB (Sweden)
Gannett Co., Inc.
Interpublic Group of Cos., Inc.(a)(b)
McGraw-Hill Cos., Inc. (The)(b)
Meredith Corp.
New York Times Co. (The) “Class A”(b)
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News Corp. “Class A”
234,500
5,421,640
17,400
1,781,412
7,548
90,234
17,760
314,114
414,700
8,177,884
18,850
605,274
72,234
2,969,540
42,595
1,730,907
219,100
7,543,613
Omnicom Group, Inc.
Reed Elsener PLC (UK)
Reed Elsevier NV (New Zealand)
Time Warner, Inc.
Tribune Co.
Viacom, Inc. “Class B”(a)
Vivendi (France)
Walt Disney Co.
48,747,106
Metals & Mining — 0.8%
Acerinox SA (Spain)
18,445
469,385
91,140
3,089,647
9,000
960,210
30,860
1,625,681
11,895
287,669
11,721
261,328
1,268
121,957
Alcoa, Inc.
Allegheny Technologies, Inc.(b)
Anglo American PLC (United Kingdom)
BHP Billiton Ltd. (Australia)
BHP Billiton PLC (United Kingdom)
Boehler-Uddeholm AG (Austria)
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Freeport-McMoRan Copper & Gold, Inc.
36,194
2,395,681
24,400
1,443,211
46,900
1,969,331
37,000
104,871
69,000
484,827
32,200
2,097,186
18,000
618,683
1,900
88,554
25,934
1,481,010
1,493
217,591
1,682
51,909
258,000
1,333,350
25,213
1,247,531
11,400
1,130,538
10,090
518,627
5,121
65,383
JFE Holdings, Inc. (Japan)
Newmont Mining Corp. (Netherlands)
Nippon Light Metal Co. Ltd. (Japan)
Nippon Steel Corp. (Japan)
Nucor Corp.
Outokumpu Oyj “Class A” (Finland)
Rautaruukki Oyj
Rio Tinto Group PLC (United Kingdom)
Salzgitter AG (Germany)
SSAB Svenskt Stal Aktiebolaget (Sweden)
Sumitomo Metal Industries Ltd. (Japan)
ThyssenKrupp AG (Germany)
United States Steel Corp.
Xstrata PLC (Switzerland)
Zinifex Ltd. (Australia)
22,064,160
Multiline Retail — 0.7%
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Big Lots, Inc.(a)
14,100
441,048
7,800
255,294
29,356
620,879
13,700
405,794
55,174
2,485,589
27,400
2,251,184
33,700
2,581,757
66,968
891,510
23,400
1,238,796
8,542
1,538,927
90,500
5,363,030
Dillard’s, Inc.
Dollar General Corp.
Family Dollar Stores, Inc.
Federated Department Stores, Inc.
J.C. Penney Co., Inc.
Kohl’s Corp.(a)
Marks & Spencer Group PLC (United Kingdom)
Nordstrom, Inc.
Sears Holding Corp.(a)
Target Corp.
18,073,808
Multi-Utilities — 0.7%
Ameren Corp.
21,400
1,076,420
27,800
498,732
CenterPoint Energy, Inc.(b)
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CMS Energy Corp.
25,000
445,000
27,000
1,378,620
35,816
3,179,386
20,000
958,000
5,620
311,966
18,200
748,930
93,691
1,470,346
29,500
720,980
37,000
1,785,990
27,100
2,250,384
2,557
270,528
27,819
1,697,237
22,300
383,783
39,110
965,626
Consolidated Edison, Inc.(b)
Dominion Resources, Inc.
DTE Energy Co.(b)
Integrys Energy Group, Inc.
KeySpan Corp.
National Grid PLC (United Kingdom)
NiSource, Inc.
PG&E Corp.
Public Service Enterprise Group, Inc.
RWE AG (Germany)
Sempra Energy
TECO Energy, Inc.
Xcel Energy, Inc.
18,141,928
Office Electronics — 0.2%
Canon, Inc. (Japan)
29,550
1,587,335
8,000
105,092
Konica Corp. (Japan)
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Ricoh Co. Ltd. (Japan)
48,000
1,081,466
98,100
1,656,909
Xerox Corp.(a)
4,430,802
Oil, Gas & Consumable Fuels — 4.4%
Anadarko Petroleum Corp.
48,354
2,078,255
35,214
2,489,630
331,078
3,596,337
45,600
1,408,128
226,422
16,746,170
173,177
11,836,648
17,300
676,949
46,300
3,204,886
76,136
1,101,688
58,785
1,912,933
24,800
1,769,232
599,240
45,212,657
24,800
1,375,656
10,800
1,149,660
Apache Corp.
BP PLC (United Kingdom)
Chesapeake Energy Corp.
Chevron Corp.
ConocoPhillips
CONSOL Energy, Inc.
Devon Energy Corp.
El Paso Corp.
ENI SpA (Italy)
EOG Resources, Inc.
Exxon Mobil Corp.(b)
Hess Corp.
Kinder Morgan, Inc.
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Marathon Oil Corp.
36,491
3,606,406
19,500
1,041,300
24,400
840,941
88,000
713,917
3,654
121,133
91,900
4,531,589
11,521
83,988
22,800
917,472
8,111
273,476
34,918
1,161,941
57,915
1,927,195
31,077
255,216
65,662
1,724,941
12,300
866,412
17,654
1,236,928
62,600
4,037,074
60,500
1,721,830
Murphy Oil Corp.
Neste Oil Oyj (Finland)
Nippon Oil Corp. (Japan)
Norsk Hydro ASA (Norway)
Occidental Petroleum Corp.
Origin Energy Ltd.
Peabody Energy Corp.
Repsol YPF SA (Spain)
Royal Dutch Shell (Netherlands)
Royal Dutch Shell PLC “B Shares” (Netherlands)
Santos Ltd. (Australia)
Spectra Energy Corp.
Sunoco, Inc.
Total SA (France)
Valero Energy Corp.
Williams Cos., Inc.
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XTO Energy, Inc.
37,233
2,040,741
121,661,329
Paper & Forest Products — 0.2%
International Paper Co.(b)
46,873
1,706,177
20,714
638,820
21,800
1,167,612
22,300
1,666,702
MeadWestvaco Corp.
Svenska Cellulosa AB (SCA) “B Shares” (Sweden)
Weyerhaeuser Co.(b)
5,179,311
Personal Products — 0.1%
Avon Products, Inc.(b)
44,400
1,654,344
13,500
659,475
Estee Lauder Cos., Inc. (The) “Class A”
2,313,819
Pharmaceuticals — 3.4%
Abbott Laboratories
161,700
9,022,860
14,100
1,562,562
10,406
676,274
35,709
1,921,176
11,500
533,025
207,400
5,757,424
Allergan, Inc.(b)
Altana AG (Germany)
AstraZeneca PLC (United Kingdom)
Barr Pharmaceuticals, Inc.(a)
Bristol-Myers Squibb Co.
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Eisai Co. Ltd. (Japan)
1,100
52,741
102,900
5,526,759
33,000
1,697,520
84,951
2,335,371
303,748
18,303,854
28,366
557,959
225,500
9,960,335
20,900
441,826
17,746
1,017,896
8,050
734,606
2,223
53,571
756,545
19,110,328
10,978
1,942,369
12,308
1,070,347
153,400
3,913,234
5,400
354,226
16,000
217,651
Eli Lilly & Co.
Forest Laboratories, Inc.(a)(b)
GlaxoSmithKline PLC (United Kingdom)
Johnson & Johnson
King Pharmaceuticals, Inc.(a)
Merck & Co., Inc.
Mylan Laboratories, Inc.
Novartis AG (Switzerland)
Novo Nordisk, Inc. (Denmark)
Orion Oyj (Finland)
Pfizer, Inc.
Roche Holding AG (Switzerland)
Sanofi-Aventis (France)
Schering-Plough Corp.
Takeda Pharmaceutical Co. Ltd. (Japan)
Tanabe Seiyaku Co. Ltd.
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Watson Pharmaceuticals, Inc.(a)
12,200
322,446
142,000
7,104,260
Wyeth
94,190,620
Real Estate Investment Trusts — 0.6%
Apartment Investment & Management Co. “Class A”
10,800
623,052
23,300
1,264,724
6,500
845,000
11,800
1,385,320
6,336
190,515
318
66,226
8,300
522,070
30,300
1,461,369
216,607
865,769
Archstone-Smith Trust
AvalonBay Communities, Inc.(b)
Boston Properties, Inc.
British Land Co. PLC (United Kingdom)
Cofinimmo SA
Developers Diversified Realty Corp.
Equity Residential
General Property Trust (Australia)
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Host Marriot Corp. (REIT)
42,500
1,118,175
21,500
1,047,910
5,256
221,340
28,849
122,311
14,100
555,822
27,100
1,759,603
10,300
975,101
22,100
2,458,625
25,022
164,999
13,000
1,551,420
Kimco Realty Corp.(b)
Land Securities Group PLC
Mirvac Group (Australia)
Plum Creek Timber Co., Inc.
ProLogis
Public Storage, Inc.
Simon Property Group, Inc.
Stockland Trust Group
Vornado Realty Trust(b)
17,199,351
Real Estate Management & Development — 0.1%
CapitaLand Ltd.
30,000
158,191
18,800
642,584
6,000
57,740
7,831
125,532
86
91,955
17,729
286,748
CB Richard Ellis Group, Inc.(a)
City Developments Ltd. (Singapore)
Immofinanz Immobilien Anlagen (Australia)(a)
K.K. Davinci Advisors (Japan)(a)
Lend Lease Corp. Ltd. (Australia)
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New World Development Ltd.
74,000
167,822
20,775
615,148
7,000
265,530
19,500
218,871
139,000
515,902
2,924
62,811
Realogy Corp.(a)
Sumitono Realty & Development Co. Ltd. (Japan)
Swire Pacific Ltd. (Hong Kong)
Wharf Holdings (Hong Kong)
Wihlborgs Fastigheter AB
3,208,834
Road & Rail — 0.4%
Burlington Northern Santa Fe Corp.
36,200
2,911,566
43,600
1,746,180
30,000
188,136
42,100
2,130,260
6,900
340,446
8,000
75,560
10,868
180,263
28,200
2,863,710
CSX Corp.
Nippon Express Co. Ltd. (Japan)
Norfolk Southern Corp.
Ryder System, Inc.
Seino Transportation Co. Ltd. (Japan)
Toll Holdings Ltd. (Australia)
Union Pacific Corp.
10,436,121
Semiconductors & Semiconductor Equipment — 1.2%
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Advanced Micro Devices, Inc.(a)(b)
34,300
447,958
23,200
463,768
37,700
1,300,273
156,900
2,874,408
7,000
41,300
16,853
416,265
43,950
1,409,477
5,800
224,932
599,000
11,458,871
20,500
1,093,060
31,000
979,290
47,100
491,724
23,600
693,840
58,400
705,472
29,100
702,474
Altera Corp.(a)(b)
Analog Devices, Inc.
Applied Materials, Inc.
ASM Pacific Technology Ltd. (Hong Kong)
ASML Holding N.V.(a)
Broadcom Corp. “Class A”(a)
Elpida Memory, Inc. (Japan)(a)
Intel Corp.
KLA-Tencor Corp.
Linear Technology Corp.(b)
LSI Logic Corp.(a)(b)
Maxim Integrated Products, Inc.
Micron Technology, Inc.(a)
National Semiconductor Corp.
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Novellus Systems, Inc.(a)(b)
16,000
512,320
40,600
1,168,468
10,000
70,100
9,600
399,185
22,100
365,534
157,400
4,737,740
15,800
1,104,820
40,000
1,029,200
NVIDIA Corp.(a)(b)
PMC—Sierra, Inc.(a)(b)
Sumco Corp. (Japan)
Teradyne, Inc.(a)
Texas Instruments, Inc.
Tokyo Electron Ltd. (Japan)
Xilinx, Inc.(b)
32,690,479
Software — 1.6%
Adobe Systems, Inc.(a)
62,000
2,585,400
23,300
876,080
19,100
588,089
3,160
115,030
45,464
1,177,972
16,400
525,292
28,000
265,720
33,100
1,666,916
Autodesk, Inc.(a)
BMC Software, Inc.(a)
Business Objects SA(a)
CA, Inc.
Citrix Systems, Inc.(a)
Compuware Corp.(a)
Electronic Arts, Inc.(a)
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Intuit, Inc.(a)
38,200
1,045,152
911,700
25,409,079
900
261,584
24,200
174,724
419,500
7,605,535
99,578
1,722,699
Microsoft Corp.
Nintendo Co. Ltd. (Japan)
Novell, Inc.(a)
Oracle Corp.(a)
Symantec Corp.(a)
44,019,272
Specialty Retail — 1.0%
Abercrombie & Fitch Co.
6,200
469,216
5,600
177,733
1,600
57,298
16,974
360,528
4,800
615,072
22,800
915,876
43,225
2,105,922
17,200
318,716
52,700
906,967
5,400
310,878
Aoyama Trading Co. Ltd. (Japan)
Autobacs Seven Co. Ltd. (Japan)
AutoNation, Inc.(a)
AutoZone, Inc.(a)
Bed Bath & Beyond, Inc.(a)
Best Buy Co., Inc.
Circuit City Stores, Inc.
Gap, Inc. (The)
H&M AB “B Shares” (Sweden)
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Home Depot, Inc.
215,050
7,900,937
37,506
977,406
161,100
5,073,039
27,800
976,892
7,500
395,550
4,700
127,041
11,800
779,272
74,849
1,934,098
15,200
691,296
46,000
1,240,160
Limited Brands, Inc.
Lowe’s Cos., Inc.
Office Depot, Inc.(a)
OfficeMax, Inc.
RadioShack Corp.(b)
Sherwin-Williams Co. (The)
Staples, Inc.
Tiffany & Co.
TJX Cos., Inc. (The)
26,333,897
Textiles, Apparel & Luxury Goods — 0.2%
Coach, Inc.(a)
44,500
2,227,225
1,260
44,099
12,600
387,198
Folli—Follie SA (Greece)
Jones Apparel Group, Inc.
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Liz Claiborne, Inc.(b)
10,900
467,065
19,200
2,040,192
5,300
467,195
5,674
303,276
10,100
834,462
NIKE, Inc. “Class B”
Polo Ralph Lauren Corp.
Swatch Group AG (Switzerland)
VF Corp.
6,770,712
Thrifts & Mortgage Finance — 0.7%
Countrywide Financial Corp.(b)
65,100
2,189,964
101,300
5,528,954
71,500
4,253,535
36,400
497,952
8,800
518,496
38,955
991,015
98,978
3,996,732
Fannie Mae
Freddie Mac
Hudson City Bancorp, Inc.
MGIC Investment Corp.(b)
Sovereign Bancorp, Inc.(b)
Washington Mutual, Inc.
17,976,648
Tobacco — 0.8%
Altria Group, Inc.(a)
217,700
19,116,238
14,188
443,645
British American Tobacco (United Kingdom)
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Gallaher Group, PLC
18,294
407,877
16,870
755,244
19,400
1,210,754
35,400
632,433
16,900
979,862
Imperial Tobacco Group (United Kingdom)
Reynolds American, Inc.(b)
Swedish Match AB (Sweden)
UST, Inc.
23,546,053
Trading Companies & Distributors — 0.2%
Itochu Corp. (Japan)
79,000
783,028
97,000
589,375
12,200
283,155
73,000
1,362,866
39,000
701,629
8,200
633,368
Marubeni Corp. (Japan)
Mitsubishi Corp. (Japan)
Mitsui & Co. Ltd. (Japan)
Sumitomo Corp. (Japan)
W.W. Grainger, Inc.
4,353,421
Transportation Infrastructure — 0.1%
Hopewell Holdings (Hong Kong)
44,000
171,191
12,000
103,259
367,455
1,141,663
Kamigumi Co. Ltd. (Japan)
Macquarie Infrastructure Group
1,416,113
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Wireless Telecommunication Services — 0.4%
Alltel Corp.
38,700
2,399,400
1,287
99,458
13,470
403,422
1,317
111,364
305,177
5,786,155
1,132,143
3,018,781
Bouygues SA (France)
Cosmote Mobile Telecommunication SA
Mobistar SA (Belgium)
Sprint Nextel Corp.
Vodafone Group PLC (UK)
11,818,580
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TOTAL COMMON STOCKS
1,521,380,461
(cost $ 1,069,321,898)
PREFERRED STOCK — 0.1%
Automobiles — 0.1%
Porsche AG (Germany)
(cost $1,008,430)
859
1,311,042
Units
RIGHTS
Diversified Financial Services
Suncorp Metway—Rights (Australia)(a)
(cost $0)
1,411
6,051
Total long-term investments
(cost $1,070,330,328)
1,522,697,554
Principal
Interest
Rate
Maturity
Moody’’s
Amount
Date
Rating
(000)
LONG-TERM BONDS — 33.3%
Aerospace/Defense — 0.3%
BAE Systems Holdings, Inc.(k)
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(Value)
4.75%
08/15/
10
Baa2
2,000
1,971,349
03/01/
11
A2
975
1,011,935
07/01/
36
Baa3
1,301
1,401,913
09/01/
36
Baa1
670
695,124
02/15/
11
Baa2
1,025
1,096,156
11/15/
07
Baa1
194
192,974
11/15/
12
Baa1
625
635,814
03/15/
10
Baa1
1,150
1,200,198
03/01/
10
Baa1
700
762,965
Boeing Capital Corp.
6.10%
Goodrich Corp.
6.80%
Lockheed Martin Corp.
6.15%
Northrop Grumman Corp.
7.125%
Raytheon Co.
4.50%
5.50%
6.55%
8.30%
8,968,428
Airlines — 0.1%
American Airlines, Inc.(b)
6.817%
05/23/
11
Ba1
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1,460
1,492,850
Continental Airlines, Inc.
6.648%
6.703%
09/15/
17
Baa2
349
361,964
06/15/
21
Baa2
183
189,908
03/01/
12
Baa1
965
1,008,486
Southwest Airlines Co.
6.50%
3,053,208
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Asset Backed Securities — 1.4%
American Express Credit Account Master Trust I,(h)
Series 2004-4, Class C
5.79%
03/
15/
12
Baa1
1,510
1,518,966
02/
15/
12
Baa1
837
839,017
12/
25/
32
Aa2
2,664
2,666,540
01/
15/
16
Baa2
4,159
4,165,676
09/
15/
10
Baa2
2,445
2,427,706
Series 2004-C, Class C
5.82%
Amortizing Residential Collateral Trust,
Series 2002-BC9, Class M1(h)
6.97%
Bank of America Credit Card,
Series 2006, Class C5(h)
5.72%
Bank One Issuance Trust,
Series 2003-C1, Class C1
4.54%
CDC Mortgage Capital Trust,(h)
Series 2002-HE3, Class M1
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6.97%
03/
25/
33
Aa2
1,293
1,294,178
08/
25/
33
A2
103
102,725
01/
25/
35
Aa2
2,250
2,252,079
02/
20/
15
Baa2
1,500
1,506,822
07/
25/
35
Aaa
1,740
1,730,160
07/
25/
34
Aa2
1,660
1,652,479
Series 2003-HE1, Class M2
8.245%
Centex Home Equity,
Series 2005-A, Class M2(h)
5.82%
Citibank Credit Card Issuance Trust,
Series 2006-C1, Class C1(h)
5.72%
Credit-Based Asset Servicing and Securitization,
Series 2005-CB6, Class A3
5.12%
Equity One ABS, Inc.,
Series 2004-3, Class M1
5.70%
First Franklin Mortgage Loan Trust,
Series 2005-FFH1, Class M2(h)
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5.84%
06/
25/
36
Aa2
1,800
1,804,131
01/
20/
35
Aa1
822
819,944
02/
15/
12
Aaa
2,370
2,483,502
03/
25/
34
A2
1,800
1,807,051
07/
25/
32
Aa2
1,850
1,866,430
09/
25/
32
Aaa
1,879
1,879,900
HFC Home Equity Loan Trust,
Series 2005-2, Class M2(h)
5.81%
MBNA Master Credit Card Trust,
Series 1999-J, Class A
7.00%
Morgan Stanley ABS Capital I,
Series 2004-NC3, Class M2(h)
6.42%
Morgan Stanley Dean Witter Capital I, (h)
Series 2002-HE1, Class M1
6.22%
Series 2002-NC4, Class M1
6.595%
Prestige Auto Receivables Trust,
Series 2004-1, Class A2
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3.69%
06/
15/
11
Aaa
522
519,031
10/
25/
35
Aa2
1,480
1,482,837
Saxon Asset Securities Trust,
Series 2005-2, Class M2(h)
5.76%
Securitized Asset Backed Receivables LLC, (h)
Series 2006-FR3, Class A3
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5.57%
05/
25/
36
Aaa
1,400
1,407,284
02/
25/
34
Aa2
1,660
1,663,305
02/
20/
21
Aaa
900
899,107
05/
17/
12
A2
625
617,801
Series 2004-OP1, Class M1
5.83%
SVO VOI Mortgage Corp.,
Series 2005-AA, Class A
5.25%
WFS Financial Owner Trust,
Series 2004-4, Class D
3.58%
37,406,671
Automotive — 0.2%
Auburn Hills Trust, Inc.
12.375%
05/
01/
20
Baa1
640
1,011,530
09/
12/
08
Baa3
410
410,556
12/
19/
08
Baa3
650
649,232
Equus Cayman Finance Ltd. (Cayman Islands)(k)
5.50%
Hyundai Motor Manufacturing LLC(k)
5.30%
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Johnson Controls, Inc.
5.50%
01/
15/
16
Baa1
235
232,724
12/
06/
13
Ba3
1,995
2,001,769
Oshkosh Truck Corp. Bank Loan (h)(l)
7.35%
4,305,811
Banking — 0.7%
Banco Bradesco (Cayman Islands)
8.75%
10/
24/
13
A2
550
632,500
Aa1
850
836,000
Aa1
1,300
1,301,762
Aa3
2,500
2,705,480
Aa2
1,900
1,934,417
Aa2
725
736,383
Bank of America NA
5.30%
6.00%
03/
15/
17
10/
15/
36
Bank One Corp.
7.875%
08/
01/
10
Citigroup, Inc.
5.625%(b)
6.125%
08/
27/
12
08/
25/
36
DEPFA ACS Bank (Ireland)(k)
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5.125%
03/
16/
37
Aaa
1,325
1,261,544
09/
15/
09
Aa2
250
242,669
01/
12/
10
Baa2
1,880
1,882,183
11/
16/
10
Baa2
1,350
1,357,853
Aa2
975
955,772
Aa3
1,100
1,119,561
08/
17/
36
Aa3
690
719,150
04/
15/
14
A2
1,060
1,079,981
07/
29/
49
Baa2
800
825,742
HSBC Bank USA, Senior Notes
3.875%
ICICI Bank Ltd. (India)(h)(k)
5.90%
ICICI Bank Ltd. (Singapore)(k)
5.75%
J.P. Morgan Chase & Co.
01/
17/
11
01/
15/
09
4.60%
6.50%
J.P. Morgan Chase Capital XVIII, Series R
6.95%
Mizuho Finance Group Ltd. (Cayman Islands)(k)
5.79%
MUFG Capital Finance Group Ltd. (Cayman Islands)(g)
6.346%
PNC Preferred Funding Trust I(k)
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12/
31/
49
6.113%
Santander Central Hispano Issuances Ltd. (Cayman Islands)
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A2
700
695,390
7.625%
09/
14/
10
A1
805
873,180
08/
15/
14
A2
270
268,553
02/
01/
11
Aa1
90
94,253
Washington Mutual, Inc.
5.65%
Wells Fargo Bank
6.45%
19,522,373
Brokerage — 0.4%
BCP Crystal US Holdings Corp.
9.625%
06/
15/
14
B
(d)
22
24,990
A1
550
541,610
A1
740
741,450
A1
765
757,731
A1e
1,770
1,797,961
A1
1,850
1,848,304
Bear Stearns Companies, Inc. (The)
5.30%
5.35%
10/
30/
15
02/
01/
12
Goldman Sachs Group, Inc. (The)
5.625%(b)
6.45%
01/
15/
17
05/
01/
36
Lehman Brothers Holdings, Inc.(b)
5.25%
02/
06/
12
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Merrill Lynch & Co., Inc.
4.25%
4.79%
5.45%
5.77%
02/
08/
10
08/
04/
10
07/
15/
14
07/
25/
11 (b)
Aa3
1,470
1,434,254
Aa3
375
371,226
Aa3
200
200,228
Aa3
355
363,148
A1
1,510
1,434,178
Aa3
1,860
1,870,799
Morgan Stanley Group, Inc.
4.75%
5.75%
04/
01/
14
10/
18/
16
11,385,879
Building Materials & Construction — 0.2%
American Standard, Inc.
7.625%
02/
15/
10
Baa3
1,000
1,059,798
09/
30/
16
Baa1
660
669,043
09/
27/
10
Baa1
1,270
1,373,562
CRH America, Inc.
6.00%
Hanson PLC (United Kingdom)
7.875%
Lafarge SA
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6.15%
07/
15/
11
Baa2
1,100
1,134,476
12/
01/
16
Baa3
530
541,341
06/
01/
08
Baa3
575
574,171
Owens Corning, Inc.(k)
6.50%
Ryland Group, Inc.
5.375%
5,352,391
Cable — 0.3%
AT&T Broadband
9.455%
11/
15/
22
Baa2
115
149,338
03/
15/
37
Baa2
45
45,051
Baa3
1,195
1,256,845
Baa3
1,160
1,228,880
B2
2,135
2,159,019
Comcast Corp.
6.45%
Cox Communications, Inc.
03/
15/
11
08/
15/
09
6.75%
7.875%
CSC Holdings, Inc.
12/
15/
07
7.875%
Insight Midwest Holdings LLC, Bank Loan(h)(l)
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6.61%
10/
06/
13
Ba3
1,800
1,812,749
06/
15/
22
Baa2
1,440
1,890,755
Tele-Communications, Inc.
9.875%
8,542,637
Capital Goods — 0.5%
Caterpillar Financial Service Corp.
5.50%
03/
15/
16
A2
780
782,080
09/
15/
09
A2
1,000
1,049,006
04/
15/
07
Baa1
425
424,499
06/
15/
08
Baa1
2,450
2,494,330
Baa2
2,100
2,099,841
Baa2
480
512,487
Caterpillar, Inc.
7.25%
Cooper Cameron Corp.
2.65%
Erac USA Finance Co.(k)
7.35%
FedEx Corp.
2.65%
7.25%
04/
01/
07
02/
15/
11
Honeywell International, Inc.
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6.125%
11/
01/
11
A2
1,120
1,167,657
11/
15/
13
Baa3
1,530
1,608,324
A2
810
847,450
A2
640
830,281
Tyco International Group SA (Luxembourg)
6.00%
United Technologies Corp.(f)
6.35%
8.875%
03/
01/
11
11/
15/
19
11,815,955
Chemicals — 0.1%
Dow Chemical Co.
5.97%
6.125%
01/
15/
09
02/
01/
11
A3
430
434,325
A3
690
709,009
12/
01/
13
Baa2
780
783,133
10/
01/
09
Baa3
1,090
1,076,811
06/
01/
25
Ba2
500
536,065
ICI Wilmington, Inc.
5.625%
Lubrizol Corp.
4.625%
Union Carbide Corp.
7.50%
3,539,343
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Collateralized Mortgage Obligations — 0.6%
Bank of America Alternative Loan Trust,
Series 2005-12, Class 3CB1
6.00%
01/
25/
36
Aaa
4,343
4,366,154
02/
25/
35
Aaa
1,405
1,382,218
03/
25/
35
Aaa
1,350
1,325,376
09/
25/
19
Aaa
2,218
2,169,453
07/
25/
35
Aaa
2,881
2,829,687
Bank of America Mortgage Securities, Inc., (h)
Series 2005-A, Class 2A1
4.462%
Bank of America Mortgage Securities, Inc., (h)
Series 2005-B, Class 2A1
4.387%
Countrywide Alternative Loan Trust, Pass-Thru Certificates,
Series 2004-18CB, Class 3A1
5.25%
J.P. Morgan Chase Commercial Mortgage Securities Corp.,
Series 2007-A1, Class 4A1
4.071%
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Master Alternative Loans Trust, Pass-Thru Certificates,
Series 2004-4, Class 4A1
5.00%
04/
25/
19
Aaa
563
551,812
02/
25/
34
Aaa
1,388
1,384,214
03/
25/
20
AAA(d)
1,259
1,245,748
12/
25/
32
Aaa
684
678,472
Structured Adjustable Rate Mortgage Loan,
Series 2004-1, Class 4A3
4.17%
Washington Mutual Alternative Loan Trust,
Mortgage Pass-Thru Certificates,
Series 2005-1, Class 3A
5.00%
Washington Mutual, Inc.,
Series 2002-AR15, Class A-5(h)
4.38%
15,933,134
Commercial Mortgage Backed Securities — 4.3%
Bank of America Commercial Mortgage, Inc.,
Series 2003-2, Class A3
4.873%
03/
11/
41
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AAA(d)
3,350
3,310,335
Series 2004-2, Class A4
4.153%
11/
10/
38
Aaa
3,680
3,552,896
06/
10/
39
Aaa
2,000
2,002,104
11/
10/
42
AAA(d)
1,100
1,096,841
05/
10/
45
AAA(d)
4,400
4,540,562
01/
15/
49
Aaa
3,500
3,511,119
02/
13/
46
AAA(d)
3,500
3,387,199
02/
13/
42
Aaa
2,250
2,203,917
10/
12/
42
Aaa
3,000
2,999,995
Series 2004-3, Class A4
5.176%
Series 2005-1, Class ASB(h)
5.018%
Series 2006-2 A4
5.930%
Series 2007-1, Class A4
5.451%
Bear Stearns Commercial Mortgage Securities, (h)
Series 2004-T16, Class A6
4.75%
Series 2005-T18, Class AAB
4.823%
Series 2005-T20, Class AAB
5.1394%
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Commercial Mortgage Pass-Thru Certificate,
Series 2004-LB2A, Class X2, I/O(k)
1.112%
03/
10/
39
AAA(d)
15,950
416,773
10/
15/
39
Aaa
1,500
1,450,376
02/
15/
39
AAA(d)
4,330
4,392,124
09/
15/
39
Aaa
5,000
5,028,110
12/
15/
39
Aaa
2,205
2,190,767
06/
10/
33
AAA(d)
3,184
3,379,506
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2004-C4, Class A4
4.283%
Credit Suisse Mortgage Capital Certificates,
Series 2006-C1, Class A4(h)
5.56%
Credit Suisse Mortgage Capital Certificates,
Series 2006-C4, Class A3
5.467%
Series 2006-C5, Class A3
5.311%
DLJ Commercial Mortgage Corp.,
Series 2000-CF1, Class A1B
7.62%
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GE Commercial Mortgage Corp.,
Series 2004-C2, Class X2, I/O(k)
0.763%
03/
10/
40
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Aaa
30,083
548,811
Greenwich Capital Commercial Funding Corp.,
Series 2003-C1, Class A-4
4.111%
07/
05/
35 Aaa
5,000
4,723,521
08/
15/
32 Aaa
6,085
6,386,369
01/
12/
43 Aaa
2,800
2,801,378
12/
15/
44 Aaa
3,630
3,619,110
05/
12/
45 Aaa
2,000
2,025,272
12/
12/
43 Aaa
5,100
5,112,957
04/
15/
43 Aaa
161,659 908,702
J.P. Morgan Chase Commercial Mortgage Securities Corp.,
Series 2000-C10, Class A2
7.371%
Series 2005-CB13, Class A4
5.2943%
Series 2005-LDP5, Class A4(h)
5.1793%
Series 2006-CB16, Class ASB(h)
5.523%
Series 2006-CB17, Class A4
5.429%
Series 2006-LDP6, Class X2, I/O(h)
0.088%
Series 2005-LDP2, Class ASB(h)
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4.659%
07/
15/
42 Aaa
6,380
6,219,542
05/
15/
45 Aaa
2,000
2,005,976
05/
17/
32 Aaa
10,545
11,140,424
11/
15/
27 Aaa
2,720
2,687,831
08/
15/
29 AAA(d) 5,000
4,920,353
07/
15/
30 Aaa
695
668,883
03/
15/
39 Aaa
4,950
5,055,696
08/
12/
39 Aaa
1,900
1,850,404
Series 2006-LDP8, Class ASB
5.37%
Keycorp., Series 2000-C1, Class A2
7.727%
LB-UBS Commercial Mortgage Trust,
Series 2003-C8, Class A3
4.83%
Series 2004-C6, Class A5(h)
4.826%
Series 2005-C3, Class A5
4.739%
Series 2006-C3, Class A4
5.661%
Merrill Lynch Mortgage Trust,
Series 2004-Key 2, Class A3
4.615%
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Merrill Lynch/Countrywide Commercial Mortgage Trust,
Series 2006-2, Class A4(h)
5.9098%
06/
12/
46 Aaa
2,210
2,303,713
01/
12/
17 Aaa
3,400
3,391,174
10/
15/
42 AAA(d) 2,600
2,676,783
02/
20/
44 Aaa
4,400
4,424,910
11/
15/
34 Aaa
1,700
1,681,931
Series 2007-5, Class A4
5.378%
Morgan Stanley Capital I,
Series 2006-IQ11, Class A4
5.7749%
Series 2007-HQ11, Class AAB
5.444%
Wachovia Bank Commercial Mortgage Trust, (m)
Series 2002-C2, Class A4
4.98%
118,616,364
Consumer — 0.3%
K Hovnanian Enterprises, Inc.
10/
01/
07 Ba1
10.50%
Procter & Gamble Co. (The)
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3,865
3,922,974
5.55%
03/
05/
37 Aa3
1,855
1,804,793
10/
15/
11 Baa3
125
127,813
Realogy Corp.(k)
7.15%
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Western Union Telegram Co. (The)
5.93%
10/01/
16
A3
06/15/
11
Baa2 1,045 1,069,081
565
566,215
Whirlpool Corp.
6.125%
7,490,876
Electric — 0.8%
Appalachian Power Co.
4.40%
06/01/
10
Baa2 790
771,447
08/01/
16
Baa2 170
175,433
10/01/
36
Baa2 530
539,182
12/15/
15
A3
650,897
03/15/
13
Baa2 1,070 1,078,535
03/15/
33
Baa2 300
Arizona Public Services Co.
6.25%
Baltimore Gas & Electric(k)
6.35%
Carolina Power & Light Co.
5.25%
660
CenterPoint Energy Houston Electric LLC
5.70%
6.95%
Consolidated Edison, Inc.
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327,968
5.375%
12/15/
15
A1
820
821,342
04/15/
13
Baa2 435
434,438
12/15/
09
Baa2 1,255 1,255,433
02/15/
13
Baa1 205
209,874
10/01/
19
Baa1 140
159,970
05/15/
35
Baa2 845
814,850
04/01/
09
Baa3 1,350 1,429,378
08/01/
15
Baa3 310
365,793
09/15/
33
Baa2 140
146,920
06/15/
15
Baa2 195
182,212
Consumers Energy Co., First Mortgage Bonds, Series D
5.375%
Dominion Resources, Inc.
5.125%
Duke Capital LLC
6.25%
8.00%
El Paso Electric Co.
6.00%
Empresa Nacional de Electricidad S.A. (Chile)
8.50%
8.625%
Energy East Corp.
6.75%
Exelon Corp.
4.90%
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FirstEnergy Corp.
7.375%
11/15/
31
Baa3 720
817,968
10/01/
33
Aa3 380
389,173
11/15/
14
Baa2 575
556,962
05/15/
18
Ba1
09/15/
20
Baa3 500
470,014
04/15/
14
A1
730
709,889
07/15/
16
Baa2 730
769,043
07/15/
36
Baa2 135
146,428
01/15/
15
Baa2 465
483,862
Florida Power & Light Co.
5.95%
Indiana Michigan Power Co.
5.05%
Nevada Power Co.
6.50%
1,180 1,232,127
NiSource Finance Corp.
5.45%
NSTAR Electric Co.
4.875%
Ohio Edison Co.
6.40%
6.875%
Oncor Electric Delivery Co.
6.375%
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7.00%
09/01/
22
Baa2 545
03/01/
34
Baa1 1,610 1,613,939
583,844
Pacific Gas & Electric Co.
6.05%
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Pepco Holdings, Inc.
5.50%
08/15/
07
Baa3 735
08/15/
09
A3
1,900 1,942,928
04/01/
15
A2
610
581,760
02/01/
36
A2
340
329,327
07/01/
08
Baa1 785
768,012
07/01/
36
Baa1 445
467,773
12/01/
10
Baa1 250
265,314
734,713
PPL Electric Utilities Corp.
6.25%
Southern California Edison Co.
4.65%
5.625%
Xcel Energy, Inc.
3.40%
6.50%
7.00%
22,226,748
Energy - Integrated — 0.2%
ConocoPhillips Canada Funding Co. (Canada)
5.625%
5.95%
10/15/
16
A1
1,325 1,346,954
10/15/
36
A1
260
05/25/
10
A1
1,900 2,108,934
262,895
Phillips Petroleum Co.
8.75%
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TNK-BP Finance(k)
07/18/
16
7.50%
Baa2 1,365 1,440,075
5,158,858
Energy - Other — 0.2%
Anadarko Finance (Canada)
7.50%
05/01/
31
Baa3 5
5,519
09/30/
31
Baa2 280
331,906
08/15/
34
Baa2 255
264,615
03/07/
22
A3
10/15/
10
Baa1 200
202,160
05/15/
15
Baa2 185
176,766
02/01/
38
Baa2 510
483,922
Devon Energy Corp.
7.875%
Encana Corp. (Canada)
6.50%
Gaz Capital for Gazprom (Luxembourg)(b)(k)
6.51%
2,100 2,131,499
Halliburton Co.
5.50%
Talisman Energy, Inc. (Canada)
5.125%
6.25%
Valero Energy Corp.
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7.50%
04/15/
32
Baa3 185
210,221
08/01/
36
Baa1 575
574,932
11/15/
13
Baa1 1,660 1,617,994
04/01/
16
Baa2 335
Weatherford International, Inc.
6.50%
Woodside Finance Ltd. (Australia)(k)
5.00%
XTO Energy, Inc.
5.65%
333,832
6,333,366
Foods — 0.5%
Aramark Corp. Bank Loan(h)(l)
7.445%
7.47%
01/26/
14
Ba3
132
01/19/
14
Ba3
1,868 1,873,411
06/01/
12
A2
195
220,120
04/01/
16
A3
415
417,336
132,042
Archer-Daniels-Midland Co.
8.125%
Bottling Group LLC
5.50%
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Bunge Ltd. Finance Corp.
5.35%
04/15/
14
Baa2 1,000 964,097
10/01/
08
Baa2 1,050 1,027,966
10/01/
26
Baa2 290
316,295
09/15/
10
Baa2 585
633,277
12/01/
08
Baa2 1,620 1,647,994
04/01/
11
A3
1,285 1,350,507
06/01/
07
A3
400
399,768
11/01/
11
A3
965
976,768
04/15/
12
Baa2 215
227,536
04/01/
11
Baa2 575
603,138
Cadbury Schweppes American Finance, Inc.(k)
3.875%
ConAgra Foods, Inc.
7.125%
7.875%
HJ Heinz Co.(k)
6.428%
Kellogg Co.
6.60%
Kraft Foods, Inc.
5.25%
5.625%
Kroger Co. (The)
6.75%
6.80%
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Tricon Global Restaurants, Inc.
8.875%
04/15/
11
Baa2 235
263,858
04/01/
16
Ba1
814,290
05/01/
09
Baa1 1,645 1,682,277
Tyson Foods, Inc.
6.85%
785
Whitman Corp.
6.375%
13,550,680
Foreign Government Bonds — 0.1%
Pemex Project Funding Master Trust
5.75%
8.625%
12/15/
15
Baa1 1,610 1,613,220
12/01/
23
Baa1 350
435,750
12/10/
18
Baa2 900
1,080,000
Petrobras International Finance Co. (PIFCO) (Cayman Islands)
8.375%
3,128,970
Gaming — 0.1%
Harrah’s Operating Co., Inc.
5.50%
7.125%
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07/01/
10
Baa3 970
954,965
06/01/
07
Baa3 365
366,369
Mandalay Resort Group
02/15/
10
9.375%
B1
12
12,930
1,334,264
Healthcare & Pharmaceutical — 0.6%
Abbott Laboratories
5.875%
05/15/
16
A1
2,015 2,084,511
09/15/
12
Ba1
915
02/16/
08
Baa1 1,085 1,084,139
06/15/
16
Baa3 1,070 1,072,817
11/15/
36
A2
265
259,700
10/15/
16
Baa2 130
129,527
12/15/
17
Baa2 515
514,138
Amerisourceberger Corp., Series WI
5.625%
916,921
Baxter International, Inc.
5.196%
Boston Scientific
6.40%
Bristol-Myers Squibb Co.
5.875%
Cardinal Health, Inc.
5.80%(k)
5.85%
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Genentech, Inc.
4.75%
07/15/15
A1
270
259,605
02/15/13
Caa1 33
11/14/13
BA3 1,995 2,011,209
02/28/14
Ba3
12/15/15
Baa3 560
553,702
11/15/36
Aa3 65
63,056
12/01/28
Aa3 205
208,492
12/01/13
Baa1 695
708,098
02/01/36
Baa2 1,400 1,350,315
HCA, Inc.
6.25%
29,989
HCA, Inc., Bank Loan(h)(l)
7.60%
Health Management Associate Term B, Bank Loan (h)(l)
7.10%
1,210 1,213,214
Laboratory Corp. of America Holdings
5.625%
Merck & Co., Inc.
5.75%
5.95%
Schering-Plough Corp.
5.55%
Teva Pharmaceutical Finance LLC (Israel)
6.15%
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Wyeth
5.50%
03/15/13-02/01/
14
A3
1,125 1,134,088
04/01/37
A3
1,565 1,541,292
02/01/24
A3
60
5.95%
6.45%
62,959
15,197,772
Healthcare Insurance — 0.3%
Aetna, Inc.
5.75%
06/15/11
A3
430
438,982
06/15/36
A3
575
615,333
11/15/36
Baa2 640
634,230
01/15/15
Ba1
1,070 1,083,269
03/15/11
A3
1,470 1,475,708
09/01/07
Baa1 1,970 1,953,658
12/15/14
Baa1 1,085 1,052,850
6.625%
Cigna Corp.
6.15%
Coventry Health Care, Inc.
6.125%
UnitedHealth Group, Inc.
5.25%
Wellpoint, Inc.
3.50%
5.00%
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5.25%
01/15/16
Baa1 335
328,971
12/15/34
Baa1 210
206,066
5.95%
7,789,067
Insurance — 0.3%
Allstate Corp. (The)
5.95%
04/01/36
A1
155
154,569
05/15/13
Aa2 1,355 1,288,572
10/01/15
Aa2 125
122,298
10/18/16
Aa2 800
813,579
03/15/37
Aa3 520
506,126
12/15/30
A3
230
293,236
05/15/12
Aaa
425
418,567
03/15/34
Baa3 910
938,021
American International Group, Inc.(b)
4.25%
5.05%
5.60%
6.25%
AXA SA (France)(c)
8.60%
Berkshire Hathaway, Inc.
4.75%
Liberty Mutual Group(k)
7.00%
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Marsh & Mclennan Cos., Inc.
5.15%
5.75%
09/15/
10
Baa2 335
332,076
09/15/
15
Baa2 120
119,204
06/15/
35
A2
1,185 1,139,105
12/01/
11
A2
435
453,828
06/15/
34
A2
85
89,400
06/20/
36
A3
740
814,619
05/15/
15
Baa2 705
695,927
08/15/
19
Baa2 575
581,201
09/15/
14
A3
107,793
MetLife, Inc.
5.70%
6.125%
6.375%
St. Paul Travelers
6.75%
W.R. Berkley Corp.
5.60%
6.15%
XL Capital Ltd. (Cayman Islands)
5.25%
110
8,868,121
Lodging
P&O Princess (United Kingdom)
06/01/
07
7.30%
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A3
345
345,919
Media & Entertainment — 0.3%
CBS Corp.
7.875%
07/30/
30
Baa3 345
371,896
11/01/
08
Baa3 745
771,909
11/09/
14
Ba2
1,500 1,508,624
03/15/
29
Ba1
80
11/30/
28
Baa2 1,360 1,524,097
04/15/
11
Baa2 725
764,056
10/15/
17
Baa2 745
822,419
05/01/
32
Baa2 140
158,724
02/01/
23
Baa2 625
778,464
Chancellor Media Corp.
8.00%
Idearc, Inc. Bank Loan(h)(l)
7.31%
Knight Ridder Inc.
6.875%
74,330
News America Holdings, Inc.
7.625%
Time Warner, Inc.
6.75%
7.25%
7.70%
9.15%
Viacom, Inc.
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6.25%
6.875%
04/30/
16
Baa3 710
719,763
04/30/
36
Baa3 740
745,908
06/01/
07
A3
300,084
Walt Disney Co. (The)
5.375%
300
8,540,274
Metals — 0.2%
Alcan, Inc.
4.50%
05/15/
13
Baa1 255
241,547
06/01/
15
Baa1 755
724,169
03/19/
14
Ba2
2,200 2,205,605
11/01/
16
Ba1
1,150 1,210,375
07/27/
35
Baa2 780
Alcan, Inc. (Canada)
5.00%
Freeport McMoran Copper & Gold(h)(l)
Zero
Peabody Energy Corp.
7.375%
Southern Copper Corp.
7.50%
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840,745
Vale Overseas Ltd. (Cayman Islands)
11/21/
36
6.875%
Baa3 540
557,651
5,780,092
Municipals
Illinois State Taxable Pension, G.O.
5.10%
06/01/
33
Aa3 1,060 1,012,300
06/13/
13
A3
10
10,464
09/15/
11
A3
570
575,778
09/01/
16
Baa1 80
81,143
06/01/
15
A3
275
271,216
02/01/
10
A2
480
469,345
11/30/
07
A2
1,285 1,285,802
Non Captive Finance — 0.3%
Capital One Bank (g)
6.50%
Capital One Financial Co.(b)
5.70%
6.15%
Capital One Financial Corp.
5.50%
CIT Group, Inc.
4.25%
5.50%
General Electric Capital Corp., MTN
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6.75%
03/15/
32
Aaa
05/15/
09
Aa3 370
366,817
06/01/
11
Aa3 585
593,921
04/01/
09
A1
750
727,376
02/22/
11
Baa3 325
320,586
06/30/
10
Baa3 610
609,836
04/17/
13
Baa3 1,950 1,931,487
1,785 2,022,462
Household Finance Corp.
4.75%
HSBC Finance Corp.
5.70%
International Lease Finance Corp.
3.50%
Residential Capital Corp.
6.00%
6.375%
Residential Capital Corp.
6.50%
9,266,233
Packaging — 0.1%
Ball Corp.
03/15/
18
6.625%
Paper
Plum Creek Timberlands
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Ba1
1,900 1,888,125
5.875%
11/15/
15
Baa3 745
10/15/
09
Baa3 1,815 1,761,109
08/16/
10
Baa2 1,830 1,976,950
10/15/
07
Baa3 1,000 992,711
10/15/
09
Baa3 710
700,741
03/01/
33
Baa3 140
147,432
02/16/
08
Baa2 1,630 1,632,597
10/01/
36
Baa2 580
740,231
Pipelines & Other — 0.3%
Atmos Energy Corp.
4.00%
Duke Energy Field Services Corp.
7.875%
Enterprise Products Operating LP
4.00%
4.625%
6.875%
Oneok, Inc.
5.51%
Oneok Partners LP
6.65%
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595,913
Sempra Energy
4.621%
6.00%
05/17/
07
Baa1 790
789,156
02/01/
13
Baa1 80
82,365
8,678,974
Railroads — 0.2%
Burlington Northern Santa Fe Corp.
6.70%
08/01/
28
Baa1 735
762,991
05/17/
29
Baa1 571
524,311
05/15/
27
Baa1 24
28,036
06/01/
10
Baa2 1,395 1,329,230
02/01/
08
Baa2 1,755 1,772,970
01/15/
11
Baa2 760
Norfolk Southern Corp.
5.64%
7.80%
Union Pacific Corp.
3.625%
6.625%
6.65%
794,547
5,212,085
Real Estate Investment Trusts — 0.2%
Brandywine Operating Partnership LP
04/01/
12
5.75%
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Baa3 1,405 1,425,645
ERP Operating LP
5.125%
03/15/
16
Baa1 430
03/15/
09
Baa2 1,595 1,651,750
06/01/
12
Baa3 545
538,635
06/01/
13
Baa3 650
672,608
05/01/
12
A3
419,361
Mack-Cali Realty Corp.
7.25%
Post Apartment Homes LP
5.45%
6.30%
Simon Property Group LP
5.75%
1,625 1,661,438
6,369,437
Retailers — 0.1%
Federated Retail Holding, Inc.
5.90%
12/01/
16
Baa2 370
368,620
03/15/
12
Baa2 815
812,866
09/15/
07
Ba1
Federated Retail Holdings, Inc.
5.35%
Gap, Inc. (The)
6.90%
Home Depot, Inc.
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1,550 1,558,912
5.875%
12/16/
36
Aa3 610
581,590
07/15/
24
Baa2 85
83,535
09/01/
35
Aa2 235
213,461
May Department Stores Co.
6.65%
Wal-Mart Stores, Inc.
5.25%
3,618,984
Sovereign — 0.2%
Russian Federation(k)
11.00%
07/24/
18
Baa2 735
01/15/
17
Baa1 1,242 1,251,936
09/27/
34
Baa1 1,030 1,123,215
12/30/
19
Baa1 951
1,061,156
United Mexican States (Mexico)
5.625%
6.75%(b)
8.125%
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1,167,353
United Mexican States (Mexico), Notes,
01/14/
12
7.50%
Baa1 1,630 1,784,850
6,388,510
Structured Notes
TRAINS, Series HY-1 2006(b)(k)
Zero
05/01/
16
B1
558
567,386
10/15/
29
Ba1
120
130,829
11/01/
07
Baa1 475
473,119
12/15/
14
B1
1,100 1,101,375
03/01/
12
A2
620
623,956
11/29/
32
A1
520
531,435
Technology — 0.4%
Elec Data Systems
7.45%
Equifax, Inc.
4.95%
Freescale Semiconductor, Inc.(k)
8.875%
Hewlett-Packard Co.
5.25%
International Business Machines Corp.
5.875%
Intuit, Inc.
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5.40%
03/15/
12
Baa2 575
07/15/
10
Ba2
11/16/
07
Baa1 1,220 1,213,363
11/01/
11
Baa1 128
10/15/
14
Ba2
2,000 2,065,000
01/15/
11
A2
1,080 1,076,027
03/15/
16
Baa3 1,195 1,229,087
573,250
Jabil Circuit, Inc.
5.875%
1,800 1,790,593
Motorola, Inc.
4.608%
8.00%
141,166
NXP Funding LLC(k)
7.875%
Oracle Corp.
5.00%
Xerox Corp.
6.40%
10,949,200
Telecommunications — 1.0%
ALLTEL Ohio LP(k)
8.00%
08/15/
10
A2
408
437,744
07/01/
12
A2
65
68,358
Alltell Corp.
7.00%
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America Movil SA de CV (Mexico)
6.375%
03/01/
35
A3
630
620,587
11/15/
31
A2
570
704,399
05/01/
12
A2
800
900,540
03/01/
31
A2
705
909,410
09/15/
09
A2
1,365 1,336,607
05/23/
07
Baa1 1,400 1,402,020
12/15/
30
Baa1 245
336,388
12/15/
31
Baa1 535
589,060
06/15/
30
A3
427,337
AT&T Corp.
8.00%
AT&T Wireless Services, Inc.
8.125%
8.75%
BellSouth Corp.
4.20%
British Telecommunications PLC (United Kingdom)
7.00%
9.125%
Cingular Wireless LLC
7.125%
Deutsche Telekom International Finance BV (Netherlands)(c)
8.25%
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345
Embarq Corp.
7.082%
06/01/16
Baa3 350
356,841
06/01/36
Baa3 1,035
1,068,752
03/01/31
A3
467,878
03/15/14
Baa3 1,475
1,451,118
10/01/10
Baa2 645
699,656
09/15/09
A2
1,335
1,304,954
11/15/10
A2
1,180
1,185,352
11/15/28
Baa3 265
263,910
03/15/32
Baa3 220
259,494
12/01/16
Baa3 1,335
1,313,782
7.995%(b)
France Telecom SA (France)
8.50%
360
Nextel Communications, Inc.
5.95%
Royal KPN NV (Netherlands)
8.00%
SBC Communications, Inc.
4.125%
5.30%
Sprint Capital Corp.
6.875%
8.75%
Sprint Nextel Corp.
6.00%
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Telecom Italia Finance (Luxemborg)
7.20%
07/18/36
Baa2 680
707,958
11/15/13
Baa2 170
164,822
11/15/33
Baa2 520
490,442
05/15/09
Baa1 2,220
2,273,656
06/20/16
Baa1 630
657,546
06/20/36
Baa1 1,375
1,468,346
06/01/11
Baa1 1,500
1,642,838
12/15/33
Baa3 600
563,140
09/15/35
A3
380
359,357
04/01/37
A3
455
450,678
Telecom Italia Finance (Luxembourg)
5.25%
6.375%
Telecomunicaciones de Puerto Rico, Inc. (Puerto Rico)
6.80%
Telefonica Emisiones Sau (Spain)
6.421%
7.045%
TELUS Corp. (Canada)
8.00%
US Cellular Corp.
6.70%
Verizon Communications, Inc.
5.85%(b)
6.25%
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Vodafone Group PLC (United Kingdom)
6.15%
02/27/37
A3
445
429,595
02/15/10
A3
950
1,014,018
7.75%
26,326,583
Tobacco
Altria Group, Inc.
7.65%
07/01/08
Baa1 765
786,290
01/15/27
Baa1 32
38,247
7.75%
824,537
Mortgage Backed Securities — 12.8%
Federal Home Loan Mortgage Corp.
4.50%
02/01/19-07/01/20
8,379
8,120,869
TBA 30 YR
4,000
3,865,000
07/01/18-05/01/35
15,026 14,758,667
12/01/35
4,254
TBA 30 YR
21,500 21,271,563
5.00%
5.00%
5.236%(h)
4,242,341
5.50%
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5.50%
12/01/33-07/01/34
12,570 12,461,519
03/01/32-12/01/33
3,659
3,711,655
12/01/14-09/01/16
811
828,693
05/01/31-09/01/33
6,441
6,693,078
06/01/19
2,909
2,750,158
11/01/35
4,780
4,738,175
11/01/18-01/01/35
18,554 17,836,014
07/01/33
1,117
TBA 30 YR
19,000 18,352,822
10/01/18-03/01/34
45,043 43,717,834
TBA 30 YR
13,500 13,356,562
TBA 15 YR
10,000 10,021,880
03/01/16-04/01/36
49,977 49,601,782
TBA 30 YR
31,500 31,731,570
TBA 15 YR
3,000
04/01/13-03/01/35
28,214 28,545,944
6.00%
6.50%
7.00%
Federal National Mortage Association
4.00%
4.375%
4.50%
4.916%(h)
1,124,897
5.00%
5.00%
5.50%
5.50%
5.50%
6.00%
6.00%
3,048,750
6.00%
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6.50%
07/01/17-01/01/37
13,801 14,119,887
08/01/11-07/01/32
1,662
1,733,193
05/01/12-05/01/32
1,193
1,238,327
08/15/33-07/15/35
7,189
7,157,185
04/15/33-06/20/34
3,186
3,229,763
10/15/23-08/15/35
7,210
7,409,424
09/15/31
202
210,709
01/15/24-04/15/25
215
227,991
TBA 30 YR
9,500
9,446,563
TBA 30 YR
4,000
4,051,248
TBA 30 YR
1,000
1,025,625
7.00%
7.50%
Government National Mortgage Association
5.50%
6.00%
6.50%
7.00%
8.00%
5.50%
6.00%
6.50%
350,629,688
U.S. Government Agency Obligations — 2.5%
Federal Home Loan Bank
4.375%
10/03/08
7,925
7,861,410
06/11/08
7,520
7,498,042
10/16/09
10,270 10,246,963
4.75%
5.00%
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Federal Home Loan Mortgage Corp.
4.75%
01/18/11, M.T.N.
180
179,504
03/05/09-03-05/12
12,765 12,716,610
02/09/10, M.T.N.
590
590,923
02/16/17, M.T.N. (b) 595
593,797
12/14/18, M.T.N.
5,730
5,593,036
07/18/11, M.T.N.
3,100
3,148,159
07/27/07
6,485
6,463,989
02/16/12-02/13/17
11,585 11,650,894
03/15/12
1,220
1,287,218
04/01/36
85
91,585
4.75%
4.875%
5.00%
5.00%
5.25%
Federal National Mortgage Association
4.25%
5.00%
6.125%
Tennessee Valley Authority, Series B
5.88%
67,922,130
U.S. Treasury Securities — 2.2%
United States Treasury Bonds
4.50%
02/15/36
(b) 3,148
2,967,972
05/15/21-08/15/21(c) 2,395
3,181,460
8.125%
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United States Treasury Inflation Index
0.88%
04/15/10
1,709
1,652,665
01/15/15
1,171
1,124,310
07/15/13-07/15/15
2,282
2,241,921
01/15/14-01/15/26
4,512
4,423,835
04/15/11-01/15/27
3,582
3,615,868
07/15/16
992
1,018,005
07/15/12
1,345
1,409,879
01/15/12-04/15/32
707
800,358
01/15/11
709
748,889
04/15/28
1,039
1,264,126
01/15/09-04/15/29
2,132
2,489,294
01/15/10
722
767,478
09/15/09
420
408,401
11/15/09-02/29/17(b)
18,144
18,132,293
05/15/09
820
824,421
1.625%
1.875%
2.00%
2.375%
2.50%
3.00%
3.375%
3.50%
3.625%
3.875%
4.25%
United States Treasury Notes
3.375%
4.625%
4.875%
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5.00%
07/31/08
120
120,319
02/15/19-11/15/26
27,220
13,285,120
United States Treasury Strips
Zero
60,476,614
TOTAL LONG-TERM BONDS
(cost $922,732,854)
915,058,218
TOTAL LONG-TERM INVESTMENTS
(cost $1,993,063,182)
2,437,755,772
SHORT-TERM INVESTMENTS — 21.3%
Shares
Value
Affiliated Mutual Funds — 21.2%
Dryden Core Investment Fund—Dryden Short Term Bond Series (cost $122,021,902)(j)
12,196,476
121,964,758
Dryden Core Investment Fund—Taxable Money Market Series (cost $461,008,974; includes $167,175,244
of cash collateral received for securities on loan)(i)(j)
461,008,974 461,008,974
TOTAL AFFILIATED MUTUAL FUNDS
(cost $583,030,876)
582,973,732
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Principal
Interest
Rate
Maturity
Amount
Date
(000)
06/14/
07
3,000
U.S. Government Agency Obligation — 0.1%
U.S. Treasury Bills(c)(g)
(cost $2,969,702)
4.98%
2,970,252
TOTAL SHORT-INVESTMENTS
(cost $586,000,578)
585,943,984
TOTAL INVESTMENTS — 110.1%
(cost $2,579,063,760)
3,023,699,756
LIABILITIES IN EXCESS OF OTHER ASSETS(n) — (10.1%)
(276,735,590 )
TOTAL NET ASSETS — 100.0%
$2,746,964,166
The following abbreviations are used in portfolio descriptions:
G.O.
I/O
LP
MTN
TBA
General Obligation
Interest Only
Limited Partnership
Medium Term Note
Securities purchased on a forward commitment basis
(a)
Non-income producing security.
(b)
All or portion of security is on loan. The aggregate market value of such securities is $160,784,244; cash collateral of $167,175,244
(included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.
(c)
Security segregated as collateral for futures contracts.
(d)
Standard & Poor’s rating.
(e)
Indicates an affiliated security.
(f)
Increase/decrease in rate variable upon increase/decrease in Moody’s or Standard & Poor’s rating.
(g)
Rate quoted represents yield-to-maturity as of purchase date.
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(h)
Indicates variable rate security.
(i)
Represents security, or a portion thereof, purchased with cash collateral for securities on loan.
(j)
Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund—Taxable Money
Market Series and Dryden Core Investment Fund – Short-Term Bond Series.
(k)
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.
(l)
Indicates a security that has been deemed illiquid.
(m) Indicates an affiliated security.
(n)
Liabilities in excess of other assets include unrealized appreciation (depreciation) on financial futures, credit default swaps and interest
rate swaps as follows:
Open future contracts outstanding at March 31, 2007:
Unrealized
Number of
Expiration
Value at
Value at
Appreciation
Date
Trade Date
March 31, 2007
(Depreciation)
U.S. Treasury 5 Yr. Notes
Jun. 2007
$86,942,672
$87,282,422
$ 339,750
S&P 500 Index
Jun. 2007
57,318,925
57,248,000
(70,925
U.S. Treasury 10 Yr. Notes
Jun. 2007
751,474
756,875
5,401
U.S. Treasury 20 Yr. Bond
Jun. 2007
23,452,206
23,473,750
21,544
Contracts
Type
Long Positions:
825
160
7
211
295,770
Short Positions:
61
U.S. Treasury 2 Yr. Notes
Jun. 2007
12,515,380
12,498,328
17,052
$ 312,822
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)
Interest rate swap agreements outstanding at March 31, 2007:
Notional
Counterparty(a)
Amount
Fixed
Floating
Appreciation
Date
(000)
Rate
Rate
(Depreciation)
03/30/
2009
Merrill Lynch Capital Services, Inc.
Unrealized
Termination
$9,495
4.95 %
3 month LIBOR
$ 7,100
03/2/2037
1,330
5.25 %
3 month LIBOR
26,894
02/28/
2017
3,250
5.36 %
3 month LIBOR
(308
Merrill Lynch Capital Services, Inc.
Merrill Lynch Capital Services, Inc.
)
$ 33,686
(a)
Portfolio pays the floating rate and receives the fixed rate.
Credit default swap agreements outstanding at March 31, 2007:
Notional
Counterparty(a)
Deutsche Bank AG
Deutsche Bank AG
Credit Suisse International
Credit Suisse International
Merrill Lynch Capital Services, Inc.
Credit Suisse International
Merrill Lynch Capital Services, Inc.
Unrealized
Termination
Amount
Fixed
Underlying
Appreciation
Date
(000)
Rate
Bond
(Depreciation)
05/25/
2036
$1,000
06/25/
2036
1,000
2.25 % Residential Asset Securities Corp.,
7.32%, 06/25/36
(160,506 )
09/25/
2036
1,000
2.47 % Accredited Mortgage Loan Trust
7.22%, 09/25/26
(91,380 )
05/25/
2036
1,000
3.13 % Countrywide Asset-Backed Certificates
7.57%, 05/25/36
(110,184 )
06/25/
2036
1,000
3.77 % First Franklin Mtg. Loan Asset Backed Certificates
7.22%, 06/25/36
(103,297 )
11/25/
2035
1,000
2.17 % Residential Asset Mortgage Products, Inc.
7.57%, 11/25/36
(29,283 )
03/25/
2036
1,000
3.72 % Ameriquest Mortgage Securities, Inc.
7.82%, 03/25/36
(146,505 )
2.74 % Fieldstone Mortgage Investment Corp.,
7.65%, due 05/25/36
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($144,910 )
Merrill Lynch Capital Services, Inc.
Citibank, NA
Merrill Lynch Capital Services, Inc.
06/25/
2036
1,000
3.20 % GSAMP Trust
6.32%, 06/25/36
(84,322 )
06/20/
2017
1,700
0.44 % CVS Corporation
4.675%, 06/20/17
5,459
03/25/
2036
1,000
9.00 % Ameriquest Mortgage Securities, Inc.
7.82%, 03/25/36
6,700
($858,228 )
(a)
The Portfolio pays the fixed rate and receives from the counterparty par in the event that the underlying bond defaults.
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Diversified Bond Portfolio
Schedule of Investments
March 31, 2007 (Unaudited)
Principal
Moody’’s Interest Maturity Amount
Rating
Rate
Date
(000)#
Value
LONG-TERM INVESTMENTS 99.0%
LONG-TERM BONDS 96.1%
Aerospace/Defense 0.1%
Baa1
11/15/
4.50%
07
$335
$333,228
Baa1
8.30
03/01/
10
790,213
Raytheon Co.
Raytheon Co.
725
1,123,441
Airlines 1.0%
Baa1
5.983
04/19/
22
Ba1
7.373
12/15/
15
1,247
1,253,455
Baa2
7.487
10/02/
10
7,954
8,391,469
6.703
06/15/
21
3
3,583
Continental Airlines Inc.
Continental Airlines, Inc.
Continental Airlines, Inc., Series 2000-1, Class A-1
Continental Airlines, Inc., Series 2000-1, Class A-1
Baa2
1,850
1,850,000
11,498,507
Asset-Backed Securities 4.0%
Baa1
5.82
02/15/
12
1,057
1,059,583
Baa2
8.245
10/25/
31
725
726,045
Baa3
8.565
10/25/
33
1,600
1,598,842
American Express Credit Account Master Trust, Series 2004-C, Class C, 144A(g)(h)
AmeriQuest Mortgage Securities, Inc., Series 2001-2, Class M3(g)
Ameriquest Mortgage Securities, Inc., Series 2003-AR3, Class M6(g)
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AA+(f) 6.67
10/25/
32
174
174,601
Baa2
5.72
01/15/
16
5,750
5,759,229
Baa2
4.54
09/15/
10
2,980
2,958,922
A2
8.695
03/25/
33
440
401,109
A1
6.12
01/25/
35
2,400
2,406,094
Baa2
5.00
06/10/
15
6,500
6,350,549
A2
7.045
05/25/
32
2,472
2,474,362
Aa3
5.98
03/25/
35
2,670
2,682,731
A2
7.57
08/25/
32
223
223,344
Aa2
5.70
07/25/
34
2,100
2,090,485
Aa2
5.76
05/25/
36
2,575
2,578,359
Baa2
5.68
06/15/
12
2,100
2,123,375
Aa2
6.02
12/25/
33
500
501,418
Amortizing Residential Collateral Trust, Series 2002-BC7, Class M2(g)
Bank of America Credit Card Trust, Series 2006-C5, Class C5(g)
Bank One Issuance Trust, Series 2003-C1, Class C1
CDC Mortgage Capital Trust, Series 2002-HE3, Class M2(g)
Centex Home Equity, Series 2005-A, Class M4(g)
Citibank Credit Card Issuance Trust, Series 2003-C4, Class C-4
Countrywide Asset-Backed Certificates, Series 2002-BC3, Class M2(g)
Countrywide Asset-Backed Certificates, Series 2004-12, Class MV3(g)
CS First Boston Mortgage Securities Corp., Series 2002-HE4, Class M2(g)
Equity One ABS, Inc., Series 2004-3, Class M1
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2005-FF6, Class M2(g)
Ford Credit Auto Owner Trust, Series 2006-B, Class C
Fremont Home Loan Trust, Series 2003-B, Class M2(g)
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IXIS Real Estate Capital Trust, Series 2006-HE1, Class A4(g)
Aaa
5.62
Aa2
6.12
A2
8.47
Aa3
6.12
Aaa
6.07
Morgan Stanley ABS Capital I, Series 2003-HE1, Class M1(g)
Morgan Stanley ABS Capital I, Series 2002-NC6, Class M2(g)
Residential Asset Mortgage Products, Inc., Series 2004-RS12, Class MII2(g)
Saxon Asset Securities Trust, Series 2002-3, Class M1(g)
Structured Asset Securities Corp., Series 2002-HF2, Class M3(g)
BBB(f) 7.32
Washington Mutual Asset-Backed Certificates, Series 2007-HE2, Class M3(g)
Aa3
5.66
03/
25/
36
05/
25/
33
11/
25/
32
12/
25/
34
12/
25/
32
07/
25/
32
02/
25/
37
3,200 3,215,936
2,187 2,191,850
300
300,653
2,100 2,110,902
1,930 1,931,545
1,345 1,199,428
1,000 974,727
46,034,089
Automotive 0.8%
Auburn Hills Trust, Inc.
Baa1
Equus Cayman Finance, Ltd. (Cayman Islands), 144A(h)
Baa3
Ford Motor Credit Co.
B1
General Motors Acceptance Corp.(a)
Caa1
Hyundai Motor Manufacturing LLC, 144A(h)
Baa3
Johnson Controls, Inc.
Baa1
05/
01/
12.375 20
09/
12/
5.50
08
06/
16/
6.625 08
01/
15/
7.20
11
12/
19/
5.30
08
01/
15/
5.50
16
640
1,011,530
830
831,125
3,500 3,488,958
2,175 2,066,250
1,820 1,817,851
300
297,095
9,512,809
Banking 3.1%
Chuo Mitsui Trust & Banking Co., Ltd. (Japan), 144A(g)(h)
Baa1
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5.506
12/
29/
49
3,050 2,945,559
Depfa ACS Bank, 144A(h)
Aaa
5.125
Ba2
7.75
Baa2
7.25
Baa2
5.75
Aa3
6.45
Baa1
7.875
Aa3
9.86
A2
6.113
Baa1
5.85
Ba2
7.50
A2
5.625
Dresdner Kleinwort Wasserstein for CJSC (The)(Ukraine)
ICICI Bank, Ltd. (Singapore), 144A(a)(g)(h)
ICICI Bank, Ltd. (Singapore), 144A(a)(h)
JPMorgan Chase Capital XXII, Series V(a)
Kazkommerts International BV (Netherlands), 144A(h)(a)
KBC Bank Funding Trust III, 144A(g)(h)
PNC Preferred Funding Trust I(g)
Resona Bank Ltd., 144A(g)(h)
Russian Standard Finance Bank, SA, 144A(h)
Sumitomo Mitsui Banking Corp.(Japan), 144A(g)(h)
03/
16/
37
09/
23/
09
12/
31/
49
11/
16/
10
02/
02/
37
04/
07/
14
11/
29/
49
12/
31/
49
09/
29/
49
10/
07/
10
07/
29/
49
3,065 2,918,214
1,400 1,432,060
2,380 2,466,373
2,500 2,514,543
2,900 2,842,229
2,610 2,655,675
5,000 5,543,110
700
695,390
2,900 2,885,825
3,000 2,883,750
6,380 6,284,401
36,067,129
Brokerage 1.2%
Goldman Sachs Group, Inc.
A1
6.45
A1
6.11
Aa3
5.45
Merrill Lynch & Co. Inc.
Morgan Stanley, MTN
05/
01/
36
01/
29/
37
01/
09/
17
5,575 5,663,068
2,200 2,132,823
5,950 5,852,135
13,648,026
Building Materials & Construction 1.0%
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American Standard, Inc.
Baa3
7.625
Baa1
6.00
CRH America, Inc.
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02/
15/
10
09/
30/
16
3,800 4,027,232
790
800,824
RPM International, Inc.
Baa3
4.45
Baa3
5.375
Ryland Group, Inc.
10/
15/
09 5,150 5,043,848
06/
01/
08 1,900 1,897,262
11,769,166
Cable 0.5%
AT&T Broadband
Baa2
9.455
B2
7.875
Baa2
7.875
CSC Holdings, Inc.
TCI Communications, Inc.
11/
15/
22 1,065 1,383,000
12/
15/
07 3,800 3,842,750
02/
15/
26 750 861,092
6,086,842
Capital Goods 1.4%
FedEx Corp.
Baa2
7.25
A2
5.70
A3
5.20
Baa3
6.75
Baa3
6.00
A2
6.05
Baa3
7.125
Baa3
7.65
Honeywell International, Inc.
Rockwell International Co.
Tyco International Group SA (Luxembourg)
Tyco International Group SA (Luxembourg)
United Technologies Corp.
Waste Management, Inc.
Waste Management, Inc.
02/
15/
11
03/
15/
37
01/
15/
98
02/
15/
11
11/
15/
13
06/
01/
36
10/
01/
07
03/
15/
11
1,750 1,868,444
2,140 2,071,338
6,500 5,251,752
805
858,018
200
210,238
2,055 2,105,650
1,550 1,559,878
2,100 2,265,932
16,191,250
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Chemicals 1.7%
BCP Crystal US Holdings Corp.(a)
B2
Dow Chemical Co.
A3
Huntsman International LLC
Ba1
ICI Wilmington, Inc.
Baa2
Lubrizol Corp.
Baa3
Lubrizol Corp.
Baa3
Potash Corp. of Saskatchewan (Canada)
Baa1
Union Carbide Chemical & Plastics Co.
Ba2
06/
15/
9.625 14
11/
01/
7.375 29
10/
15/
11.625 10
12/
01/
4.375 08
12/
01/
5.875 08
10/
01/
4.625 09
12/
01/
5.875 36
04/
01/
7.875 23
77
86,898
845
940,450
2,100 2,275,875
2,040 2,009,853
550
556,357
5,600 5,532,240
4,545 4,398,487
3,058 3,353,112
19,153,272
Collateralized Mortgage Obligations 0.9%
Countrywide Alternative Loan Trust, Series 2004-18CB, Class 3A1
Aaa
5.25
Aaa
5.00
Aaa
4.17
Master Alternative Loan Trust, Series 2004-4, Class 4A1
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3(g)
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A
AAA(f) 5.00
Washington Mutual, Series 2002-AR15, Class A5(g)
Aaa
4.38
09/
25/
19
04/
25/
19
02/
25/
34
03/
25/
20
12/
25/
32
2,743 2,683,270
563
551,812
3,885 3,875,798
1,931 1,911,091
1,478 1,465,498
10,487,469
Commercial Mortgage-Backed Securities 8.8%
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Banc of America Commercial Mortgage, Inc., Series 2005-1, Class ASB(g)
Banc of America Commercial Mortgage, Inc., Series 2006, Class A4(g)
Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-T18, Class AAB(g)
Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-T20, Class AAB(g)
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11/
10/
AAA(f) 4.8646 42
05/
10/
AAA(f) 5.7405 45
02/
13/
Aaa
4.823 42
10/
12/
Aaa
5.1394 42
5,950 5,932,914
9,400 9,700,293
2,475 2,424,309
3,400 3,399,994
Aaa
Credit Suisse Mortgage Capital Certificates, Series 2006-C5, Class A3
GMAC Commercial Mortgage Securities, Inc., Series 2002-C3, Class A2
Greenwich Capital Commercial Funding Corp., Series 2003-C1, Class A4
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2003-ML1A, Class A2
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CB13, Class A4(g)
JP Morgan Chase Commerical Mortgage Securities Corp., Series 2005-LDP2, Class ASB
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4, Class A4(g)
LB-UBS Commercial Mortgage Trust, Series 2003-C8, Class A3
LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A6(g)
LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4(g)
Merrill Lynch/Countrywide Commercial Mortgage, Series 2006-2, Class A4(g)
Morgan Stanley Dean Witter Capital I, Series 2000-PRIN, Class A3
PNC Mortgage Acceptance Corp., Series 2001-C1, Class A1
Wachovia Bank Commercial Mortgage Trust, Series 2002-C2, Class A4
Wachovia Bank Commercial Mortgage Trust, Series 2003-C3, Class A2
Wachovia Bank Commercial Mortgage Trust, Series 2003-C9, Class A3
Wachovia Bank Commercial Mortgage Trust, Series 2005-C18, Class APB
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5.311
12/
15/
39
Aaa
4.93
07/
10/
39
Aaa
4.111 07/
05/
35
Aaa
4.767 03/
12/
39
Aaa
5.2943 01/
12/
43
Aaa
4.659 07/
15/
42
Aaa
4.918 10/
15/
42
Aaa
4.83
11/
15/
27
Aaa
4.799 12/
15/
29
Aaa
5.8996 06/
15/
38
Aaa
5.9098 06/
12/
46
Aaa
7.36
02/
23/
34
Aaa
5.91
03/
12/
34
Aaa
4.98
11/
15/
34
AAA(f) 4.867 02/
15/
35
AAA(f) 4.608 12/
15/
35
Aaa
4.807 04/
15/
42
2,330
2,314,961
8,500
8,393,282
12,700 11,997,743
4,969
4,858,999
3,275
3,276,612
9,300
9,066,103
3,700
3,594,048
3,375
3,335,084
4,200
4,076,906
6,130
6,392,949
2,325
2,423,589
448
451,079
2,703
2,725,205
2,500
2,473,427
7,330
7,207,871
4,750
4,664,032
1,500
1,469,790
100,179,190
Consumer 0.8%
Playtex Products, Inc.
Ba3
8.00
Aa3
5.55
Ba3
6.15
A3
6.20
Procter & Gamble Co.
Realogy Corp., 144A(h)
Western Union (The) Co., 144A(h)
03/
01/
11
03/
05/
37
10/
15/
11
11/
17/
36
1,850
1,933,250
4,705
4,577,654
310
316,975
2,450
2,326,030
9,153,909
Electric 3.7%
CenterPoint Energy Houston Electric LLC
Baa2
5.70
Ba3
8.90
Baa2
5.00
Baa2
5.375
B1
7.73
Baa2
6.00
Baa3
8.35
Baa2
6.75
Baa2
6.75
Baa3
7.375
CMS Energy Corp.
Consumers Energy Co.
Consumers Energy Co.
Edison Mission Energy(a)
El Paso Electric Co.
Empresa Nacional de Electricidad SA (Chile)
Energy East Corp.
Energy East Corp.
Enersis SA (Chile)(a)
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03/
15/
13
07/
15/
08
02/
15/
12
04/
15/
13
06/
15/
09
05/
15/
35
08/
01/
13
06/
15/
12
09/
15/
33
01/
15/
14
2,950
2,973,532
2,570
2,666,375
1,000
988,104
1,000
998,707
2,420
2,504,700
2,325
2,242,042
625
708,691
750
795,657
1,150
1,206,846
3,700
4,015,943
06/15/
15
500
467,211
11/15/
Baa3 7.375 31
945
1,073,582
Exelon Corp.
Baa2 4.90
FirstEnergy Corp.
04/21/
4.875 11
1,700 1,680,691
Baa3 5.45
09/15/
20
1,345 1,264,338
A2
8.00
08/28/
12
2,800 3,166,674
B1
7.25
02/01/
14
1,840 1,886,000
B1
01/15/
7.375 17
1,735 1,780,544
Korea East-West Power Co., Ltd. (South Korea), 144A(h)
A1
NiSource Finance Corp.
Northern States Power Co.
NRG Energy, Inc.
NRG Energy, Inc.
Ohio Edison Co.
07/15/
Baa2 6.875 36
175
189,815
09/01/
22
300
321,382
Oncor Electric Delivery Co.
Baa2 7.00
B2
05/01/
12.00 10
1,920 2,217,600
A3
01/15/
7.625 10
1,100 1,170,037
Ba2
7.50
06/15/
10
955
Baa2 5.85
09/16/
08
4,315 4,314,649
Baa1 3.40
07/01/
08
1,330 1,301,217
Baa1 7.00
12/01/
10
1,850 1,963,322
Orion Power Holdings, Inc., Sr. Notes
Southern California Edison Co.
Teco Energy, Inc.
TXU Energy Co. LLC, 144A(a)(g)(h)
Xcel Energy, Inc.
Xcel Energy, Inc.
1,012,300
42,909,959
Emerging Markets 0.3%
Alfa Diversified Payment Rights Finance Co., 144A(g)(h)
Baa3 6.96
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03/15/
11
3,052 3,052,000
Energy - Other 1.2%
Baa3 6.45
09/15/
36
5
Baa1 7.75
07/25/
11
3,250 3,550,274
Baa1 5.50
10/15/
10
625
Anadarko Petroleum Corp.
GS Caltex Corp., 144A(h)
Halliburton Co.
631,749
Ba3
04/15/
6.625 16
1,685 1,685,000
A3
4.25
03/15/
10
3,250 3,183,183
Baa2 6.25
02/01/
38
1,600 1,518,186
05/15/
Baa2 5.125 15
1,190 1,137,035
05/01/
8.375 12
1,900 2,123,250
Newfield Exploration Co.(a)
Occidental Petroleum Corp., MTN
Talisman Energy, Inc. (Canada)
Talisman Energy, Inc., (Canada)
4,948
Western Oil Sand, Inc.
Ba3
13,833,625
Financial Services 0.3%
Banco ABN AMRO Real SA (Cayman Island)
NR
02/22/
16.20 10
4,000 2,168,616
11/03/
15
1,360 1,375,368
Kazkommerts International BV (Netherlands)
Baa1 8.00
3,543,984
Foods 1.4%
02/01/
15
1,500 1,560,000
10/01/
Baa2 3.875 08
2,600 2,545,439
10/01/
28
2,100 2,235,826
Aramark Corp., 144A(h)
B3
Cadbury Schweppes US Finance LLC, 144A(h)
8.50
ConAgra Foods, Inc.
Baa2 7.00
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Dole Foods Co., Sr. Notes
Caa1 7.25
06/15/
10
12/01/
Baa2 6.428 08
HJ Heinz Co., 144A(h)
Kraft Foods, Inc.
A3
Tricon Global Restaurants, Inc.
11/01/
5.625 11
77
73,058
3,550 3,611,343
860
870,488
04/15/
Baa2 8.875 11
1,705 1,914,376
1,000 1,037,312
2,550 2,791,936
Ba1
6.85
04/01/
16
Ba2
8.25
10/01/
11
Tyson Foods, Inc.
Tyson Foods, Inc.,
16,639,778
Gaming 0.4%
06/01/
Baa3 5.625 15
Harrah’s Operating Co., Inc.
Mandalay Resorts Group
B1
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02/15/
9.375 10
2,500 2,156,250
33
35,558
MGM Mirage, Inc.(a)
Ba2
04/01/
6.875 16
3,000 2,917,500
5,109,308
Health Care & Pharmaceutical 1.6%
Accellent, Inc.
12/01/
Caa2 10.50 13
1,570 1,624,950
B3
7.25
12/15/
12
1,500 1,470,000
Ba1
09/15/
5.875 15
2,325 2,310,418
Alliance Imaging, Inc., Sr. Sub. Notes(a)
AmerisourceBergen Corp.
Baa3 6.40
06/15/
16
910
912,396
Baa2 5.80
10/15/
16
645
642,652
Baa2 5.85
12/15/
17
870
868,544
Caa1 6.25
02/15/
13
194
176,298
Boston Scientific Corp.
Cardinal Health, Inc., 144A(h)
Cardinal Health, Inc.
HCA, Inc.
HCA, Inc., 144A(h)
B2
11/15/
9.625 16
2,200 2,376,000
Caa1 7.69
06/15/
25
1,100 948,243
Baa3 5.55
03/30/
12
2,500 2,500,985
Baa2 6.15
02/01/
36
750
A3
5.45
04/01/
17
1,460 1,452,199
A3
5.95
04/01/
37
2,360 2,324,248
HCA, Inc.
Hospira Inc.
Teva Pharmaceutical Finance LLC
Wyeth(b)
Wyeth(b)
723,383
18,330,316
Health Care Insurance 1.4%
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06/15/
6.625 36
2,000 2,140,288
03/15/
Baa2 5.375 17
2,125 2,089,277
Baa2 6.15
11/15/
36
2,300 2,279,263
Ba1
5.95
03/15/
17
1,610 1,601,353
Ba1
01/15/
6.125 15
4,025 4,074,913
01/15/
36
3,500 3,381,627
Aetna, Inc.
A3
Cigna Corp.
Cigna Corp.
Coventry Health Care Inc.
Coventry Health Care, Inc.
Wellpoint, Inc.
Baa1 5.85
15,566,721
Insurance 1.0%
5.70
02/15/
17
1,135 1,139,727
Baa1 7.50
08/01/
16
1,700 1,832,809
A1
5.95
04/01/
36
325
Aa2 4.25
05/15/
13
1,820 1,730,776
Aa2 5.05
10/01/
15
315
Baa1 5.75
12/01/
14
3,350 3,333,334
Baa2 5.75
09/15/
15
500
Baa2 6.50
12/31/
49
1,880 1,823,435
A3
09/15/
14
140
Ace INA Holdings, Inc.
A3
Allied World Insurance Holdings, Ltd. (Bermuda)
Allstate Corp.
American International Group, Inc.
American International Group, Inc.
Axis Capital Holdings Ltd. (Bermuda)
Marsh & McLennan Cos., Inc.
XL Capital, Ltd. (Cayman Islands)
XL Capital, Ltd., Class A (Cayman Islands)
5.25
324,097
308,191
496,685
137,191
11,126,245
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Lodging 0.7%
Carnival PLC (United Kingdom)
A3
7.30
Ba3
12/01/
7.275 11
1,800 1,818,000
Ba1
8.00
05/15/
10
1,730 1,839,929
05/01/
Baa3 7.375 07
3,000 3,003,681
Felcor Lodging LP, 144A(g)(h)
Royal Caribbean Cruises Ltd. (Liberia), Sr. Notes
Starwood Hotels & Resorts Worldwide, Inc.
06/01/
07
825
827,199
7,488,809
Media & Entertainment 1.6%
Clear Channel Communications, Inc.
Baa3 8.00
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11/01/
08
4,720 4,890,486
B2
08/15/
9.875 13
2,560
2,793,600
A3
5.75
02/01/
08
2,750
2,760,772
Baa2
11/15/
5.875 16
2,875
2,898,937
Baa3
5.75
04/30/
11
1,300
1,317,841
Baa3
6.25
04/30/
16
4,100
4,156,375
Dex Media West LLC
Thomson Corp. (Canada)
Time Warner, Inc.(a)
Viacom, Inc.
Viacom, Inc.
18,818,011
Metals 0.6%
Ba2
03/01/
6.375 14
1,800
1,723,500
Baa2
7.50
07/27/
35
1,600
1,724,605
Baa2
5.50
11/15/
11
3,430
3,449,321
Russel Metals, Inc., Sr. Notes (Canada)
Southern Copper Corp.
Xstrata Finance Canada Ltd. (Canada)
6,897,426
Non-Captive Finance 2.5%
Baa1
6.15
09/01/
16
A2
5.65
02/13/
17
2,950
2,913,750
6.00
04/15/
15
AUD 4,440
3,433,950
Ba1
6.15
04/05/
07
3,710
3,710,147
Baa3
7.40
09/29/
36
6,500
6,676,430
Aaa
07/03/
6.086 33
3,900
3,927,300
Capital One Financial Corp.(a)
CIT Group, Inc.
General Electric Capital Australia Funding
Aaa
General Motors Acceptance Corp.(a)
Nelnet, Inc.
Preferred Term Securities X, Class A-1, 144A(g)(h)(i)
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700
710,003
Residential Capital Corp.
Baa3
6.50
04/17/
13
7,910
7,834,902
29,206,482
Non-Corporate Foreign Agency 1.7%
10/04/
12
1,400
1,367,632
02/01/
BBB+(f) 7.201 20
2,289
2,403,461
10/21/
10.50 09
1,685
1,889,306
1,530
1,721,250
Credit Suisse First Boston International for CJSC (The) (Ukraine)
Ba2
Gazprom International SA (Chile), 144A(h)
Gazprom OAO (Russia)
A3
6.80
BB-(f)
9.61
08/23/
11
Baa1
8.85
09/15/
07
4,450
4,510,075
7.00
05/22/
12
7,300
7,881,679
National Power Corp. (Philippines), 144A(g)(h)
Pemex Project Funding Master Trust (Mexico)
Petronas Capital, Ltd. (Malaysia), 144A(h)
A1
19,773,403
Non-Corporate Sovereign 6.5%
Deutsche Bundesrepublik (Denmark)
Aaa
4.00
01/04/
37
EUR 595
762,430
B3
08/03/
5.475 12
2,400
2,207,801
B3
3.00
04/30/
13
2,468
1,949,325
Ba2
9.25
10/22/
10
5,325
5,985,300
Ba2
01/05/
12.50 16
BRL 750
417,354
Federal Republic of Argentina (Argentina)(g)
Federal Republic of Argentina (Argentina)(g)
Federal Republic of Brazil (Brazil)
Federal Republic of Brazil (Brazil)(a)
Government of Hungary (Hungary)
02/12/
15
A2
8.00
B1
07/27/
11.00 12
Government of Jamaica (Jamaica)
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HUF 2,025,840 11,604,252
EUR 995
1,598,322
2.20
09/20/
26
JPY 168,250
1,457,201
A2
1.10
03/20/
33
JPY 337,750
2,184,117
Aaa
5.00
05/15/
15
NOK 20,045
3,381,195
Ba3
05/31/
Zero 18
1,837
1,239,975
Ba3
6.55
03/14/
37
7
6,799
Ba1
07/23/
9.375 12
1,295
1,508,675
A2
6.25
PLN 27,855
10,315,665
Ba3
03/19/
9.875 08
1,845
1,919,907
660
693,000
2,385
2,912,085
Government of Japan (Japan)
A2
Government of Japan (Japan)
Norway Government Bond (Norway)
Peru Government International Bond (Peru), 144A(a)(h)
Peru Government International Bond (Peru)
Republic of Panama (Panama)
Republic of Poland (Poland)
Republic of Turkey (Turkey)
Republic of Uruguay (Uruguay)
10/24/
15
02/15/
11
B1
7.25
B2
09/19/
10.75 13
Republic of Venezuela (Venezuela)
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Baa2 8.25
03/31/
10
4,037
4,228,475
Aaa
6.75
05/05/
14
28,455
4,769,803
Baa1 6.06
01/13/
09
2,090
2,107,765
Baa1 7.50
01/14/
12
4,250
4,653,750
Baa1 9.00
12/20/
12
MXP 77,200 7,482,034
Russian Government International Bond (Russia), 144A(h)
Swedish Government Bond (Sweden)
United Mexican States (Mexico)(g)
United Mexican States (Mexico)
United Mexican States (Mexico)
73,385,230
Paper 1.0%
B2
8.625
06/15/
11
B2
7.875
10/15/
11
675
707,063
B2
5.375
12/01/
13
1,000
921,250
8.50
08/15/
11
2,970
3,088,799
Baa3 4.00
04/01/
10
2,815
2,718,685
Ba3
06/01/
13
1,900
1,878,625
Catalyst Paper Corp.
Domtar, Inc. (Canada)
Domtar, Inc. (Canada)
Graphic Packaging International, Inc.
B2
International Paper Co.
Norampac, Inc., Sr. Notes (Canada)
6.75
2,100
2,131,500
11,445,922
Pipelines & Other 1.3%
Baa3 4.00
10/15/
09
5,300
5,142,632
Baa3 4.00
10/15/
07
4,000
3,970,844
Baa2 5.51
02/16/
08
6,000
6,009,558
Atmos Energy Corp.(e)
Enterprise Products Operating LP
Oneok, Inc.
15,123,034
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Real Estate Investment Trusts 0.3%
Baa3 3.875
04/15/
09
1,450
1,405,384
Baa3 5.45
06/01/
12
2,300
2,273,140
Equity One, Inc.
Post Apartment Homes LP
3,678,524
Retailers 0.8%
Aa3 5.875
12/16/
36
720
686,467
Baa2 6.65
07/15/
24
5
4,914
Ba1
09/15/
07
8,875
8,926,031
Home Depot, Inc.
May Department Stores Co.
The Gap, Inc.
6.90
9,617,412
Structured Notes 2.3%
B3
8.25
12/29/
10
B3
8.625
06/29/
11
10,230
10,779,862
7.548
05/01/
16
7,115
7,234,166
Dow Jones CDX High Yield, 144A(h)
Dow Jones CDX High Yield, 144A(h)
TRAINS HY-1 2006, 144A(a)(h)
B1
8,500
8,840,000
26,854,028
Technology 1.4%
4.75
09/15/
08
1,900
1,864,607
Baa1 4.95
11/01/
07
1,340
1,334,692
B1
9.125
12/15/
14
2,600
2,580,500
B2
12/15/
10.125 16
1,500
1,503,750
Certegy, Inc.
Ba2
Equifax, Inc.
Freescale Semiconductor, Inc., 144A(h)
Freescale Semiconductor, Inc., 144A(h)(a)
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07/15/
10
2,000
1,989,548
Baa1 8.00
11/01/
11
121
133,446
Caa1 8.00
05/01/
14
1,110
1,103,063
B3
3.75
01/15/
09
720
691,200
Baa3 6.40
03/15/
16
4,450
4,576,936
Jabil Circuit, Inc.
Ba2
5.875
Motorola, Inc.
Sensata Technologies BV (Netherlands)
SunGard Data Systems, Inc.
Xerox Corp.
15,777,742
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Telecommunications 3.9%
ALLTEL LP, 144A(h)
A2
8.00
08/15/10
735
788,584
A2
8.00
11/15/31
2,475
3,058,573
A2
8.125 05/01/12
1,810
2,037,472
2,375
3,063,615
903
930,090
Baa3 7.082 06/01/16
5,600
5,709,452
NR
7.25
06/15/07
6,675
6,691,687
B3
9.25
11/01/14
1,650
1,695,375
Baa3 6.00
12/01/16
3,625
3,567,384
Baa1 6.80
05/15/09
4,365
4,470,502
Baa2 7.20
07/18/36
1,390
1,447,148
Baa2 4.875 10/01/10
3,400
3,346,617
Baa1 6.421 06/20/16
1,350
1,409,027
Baa1 7.50
06/01/07
6,250
6,269,794
Baa1 8.00
06/01/11
150
164,284
AT&T Corp.
AT&T Wireless Services, Inc.
AT&T Wireless Services, Inc.
Baa1 8.75
03/01/31
Citizens Communications Co.
Ba2
7.625 08/15/08
Embarq Corp.
LCI International, Inc.
Level 3 Financing, Inc., 144A(h)
Sprint Nextel Corp.
Telecom de Puerto Rico (Puerto Rico)
Telecom Italia Capital (Luxembourg)
Telecom Italia Capital (Luxembourg)
Telefonica Emisiones SAU
TELUS Corp. (Canada)
TELUS Corp. (Canada)
44,649,604
Tobacco 0.6%
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Altria Group, Inc.
Baa1 7.65
07/01/08
1,100
1,130,613
Baa1 7.75
01/15/27
315
376,491
Ba2
6.50
07/15/10
4,000
4,102,003
Ba2
7.625 06/01/16
1,020
1,085,108
Altria Group, Inc.
Reynolds American, Inc.
Reynolds American, Inc.
6,694,215
U.S. Government Agency Obligations 0.2%
Federal Home Loan Mortgage Corp.(a)
Aaa
5.00
02/16/17
375
374,242
Aaa
5.50
07/18/16
120
124,388
Aaa
5.00
02/16/12
1,440
1,448,711
Aaa
5.00
02/13/17
330
329,341
Aaa
6.625 11/15/30
170
200,389
Federal Home Loan Mortgage Corp.
Federal National Mortgage Association
Federal National Mortgage Association
Federal National Mortgage Association
2,477,071
U.S. Government Mortgage-Backed Securities 31.2%
Federal Home Loan Mortgage Corp.
Aaa
4.50
02/01/19-07/01/19 16,790 16,279,226
Aaa
5.00
07/01/19-05/01/34 8,332
8,169,184
Aaa
5.00
TBA 30 YR
8,500
8,213,125
Aaa
5.50
10/01/33-06/01/34 6,036
5,991,417
Aaa
5.50
TBA 30 YR
Federal Home Loan Mortgage Corp.
Federal Home Loan Mortgage Corp.
Federal Home Loan Mortgage Corp.
Federal Home Loan Mortgage Corp.
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33,000 32,649,375
Federal Home Loan Mortgage Corp.
Aaa
6.00
11/01/33-06/01/34 6,956
7,036,287
Aaa
6.00
TBA 30 YR
2,500
2,518,750
Aaa
6.50
07/01/32-09/01/32 3,290
3,382,038
Aaa
7.00
10/01/32-11/01/33 6,562
6,815,717
Aaa
4.00
05/01/19-06/01/19 7,996
7,558,356
Aaa
4.50
06/01/18-02/01/35 32,685 31,509,958
Aaa
5.00
01/01/19-03/01/34 47,254 45,904,599
Aaa
5.00
TBA 30 YR
Aaa
5.288 01/01/36
Aaa
5.50
12/01/16-09/01/34 37,795 37,613,438
Aaa
5.50
TBA 15 YR
Aaa
6.00
09/01/17-02/01/35 20,488 20,750,467
Aaa
6.00
TBA 15 YR
Federal Home Loan Mortgage Corp.
Federal Home Loan Mortgage Corp.
Federal Home Loan Mortgage Corp.
Federal National Mortgage Association
Federal National Mortgage Association
Federal National Mortgage Association
Federal National Mortgage Association
33,500 32,358,923
Federal National Mortgage Association
3,893
3,886,913
Federal National Mortgage Association
Federal National Mortgage Association
2,500
2,505,470
Federal National Mortgage Association
Federal National Mortgage Association
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7,500
7,621,875
Federal National Mortgage Association
Aaa 6.00
TBA 30 YR
15,500 15,611,414
Aaa 6.00
TBA 30 YR
16,500 16,623,750
Aaa 6.50
11/01/09-11/01/33 7,465
7,680,128
Aaa 7.00
05/01/32-06/01/32 600
625,676
Aaa 9.00
10/01/16-05/01/17 16
16,590
Aaa 5.50
01/15/33-07/15/35 17,882 17,789,676
Aaa 5.50
TBA 30 YR
Aaa 6.00
12/15/32-11/15/34 11,060 11,213,713
Aaa 6.50
09/15/32-11/15/33 5,992
6,158,027
Aaa 7.50
10/15/25-02/15/26 196
204,994
Federal National Mortgage Association
Federal National Mortgage Association
Federal National Mortgage Association
Federal National Mortgage Association
Government National Mortgage Association
Government National Mortgage Association
250
248,594
Government National Mortgage Association
Government National Mortgage Association
Government National Mortgage Association
356,937,680
U.S. Government Treasury Securities 2.9%
United States Treasury Bonds
Aaa 4.50
02/15/36
6,455
6,085,852
United States Treasury Bonds(a)
Aaa 4.625 02/15/17
21,470 21,426,394
Aaa 3.25
495
483,109
5,158
5,177,141
United States Treasury Notes
01/15/09
United States Treasury Notes
Aaa 4.625 02/29/12
33,172,496
TOTAL LONG-TERM BONDS
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(cost $1,097,898,773)
1,103,014,124
BANK LOANS 2.9%
Automotive 0.7%
Ford Motor Co., Bank Loan(i)
Ba3 8.35
12/12/13
3,890
3,901,056
Ba3 7.34
12/06/13
3,666
3,678,250
Oshkosh Truck Corp., Bank Loan(i)
7,579,306
Cable 0.4%
Insight Midwest Holding LLC, Bank Loan(i)
Ba3 6.86
10/06/13
4,750
4,783,644
Ba3 6.86
06/02/11
2,923
2,929,721
Ba3 8.11
11/14/13
2,494
2,514,012
Ba2 7.11
02/28/14
5,930
5,945,750
Foods 0.3%
Supervalu, Inc., Bank Loan(i)
Health Care & Pharmaceutical 0.7%
HCA, Inc., Bank Loan(i)
Health Management Associates Term B, Bank Loan(i)
8,459,762
Media & Entertainment 0.4%
Idearc, Inc., Bank Loan A(i)
Ba2 6.82
11/17/13
1,000
1,005,750
Ba2 7.36
11/09/14
1,750
1,760,063
Ba3 7.60
09/16/14
121
120,696
Idearc, Inc., Bank Loan B(i)
Univision Communications, Inc., Bank Loan(i)
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Univision Communications, Inc., Bank Loan, First Lien(i)
Ba3 7.60
09/16/14
1,879
1,877,486
4,763,995
Paper 0.2%
Domtar, Inc. (Canada), Bank Loan(i)
Ba1 6.723 03/07/14
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2,000
1,995,834
Telecommunications 0.3%
Hawaiian Telcom Comm, Bank Loan(i)
B1
7.60
04/30/
12
2,916
2,925,356
TOTAL BANK LOANS
33,437,618
(cost $33,296,248)
Shares
SHORT-TERM INVESTMENTS 14.5%
Affiliated Money Market Mutual Funds
Dryden Core Investment Fund- Dryden Short-Term Bond Series(d)
8,028,033
80,280,326
86,626,687
86,626,687
Dryden Core Investment Fund-Taxable Money Market Fund Series
(includes $48,682,807 of cash collateral received for securities on
loan)(c)(d)
TOTAL AFFILIATED MONEY MARKET MUTUAL FUNDS
(cost $166,966,829)
166,907,013
OUTSTANDING OPTIONS PURCHASED
Call Options
U.S. Treasury Bond Future
expiring 5/25/07 @ $111
(cost $89,743)
38
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48,094
TOTAL INVESTMENTS, BEFORE OUTSTANDING OPTIONS
WRITTEN AND SECURITY SOLD SHORT 113.5%
(cost $1,298,251,593)
1,303,406,849
OUTSTANDING OPTIONS WRITTEN
Call Options
U.S. Treasury Bond Future
expiring 5/25/07 @ $115
(premium received $19,507)
38
Moody’’s
Interest
Maturity
Principal
Rating
Rate
Date
Amount (000)
(5,938
)
Value
SECURITY SOLD SHORT (1.7)%
U.S. Government Mortgage-Backed Securities
Federal National Mortgage Association (proceeds $19,409,375)
Aaa
4.50 %
TBA
$20,000
(19,356,240 )
TOTAL INVESTMENTS, NET OF OUTSTANDING OPTIONS
WRITTEN AND SECURITY SOLD SHORT 111.8%
1,284,044,671
(cost $1,278,822,711)
LIABILITIES IN EXCESS OF OTHER ASSETS(j) (11.8%)
(135,599,871 )
TOTAL NET ASSETS 100.0%
$1,148,444,800
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The following abbreviations are used in portfolio descriptions:
Australian Dollar
AUD
Brazilian Real
BRL
Euro
EUR
Hungarian Forint
HUF
Japanese Yen
JPY
Mexican Peso
MXP
Norwegian Krone
NOK
Polish Zloty
PLN
Not Rated by Moody’s or Standard & Poor’s
NR
New Zealand Dollar
NZD
Medium Term Note
MTN
Securities purchased on a forward commitment basis
TBA
#
(a)
(b)
(c)
(d)
(e)
(f)
(g)
(h)
Principal amount shown in U.S. dollars unless otherwise stated.
All or portion of security is on loan. The aggregate market value of such securities is $47,326,683; cash collateral of $48,682,807
(included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.
Increase/decrease in rate variable upon increase/decrease in Moody’s or Standard & Poor’s rating.
Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.
Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund – Taxable
Money Market Series and the Dryden Core Investment Fund – Short-Term Bond Series.
Security segregated as collateral for future contracts.
Standard & Poor’s rating.
Indicates a variable rate security. The maturity date presented for these instruments is the latter of the next date on which the security can
be redeemed at par or the next date on which the rate of interest is adjusted. The interest rate shown reflects the rate in effect at
March 31, 2007.
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.
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(i)
(j)
Indicates a security that has been deemed illiquid.
Liabilities in excess of other assets include net unrealized appreciation (depreciation) on financial futures, interest rate swaps, credit
default swaps and foreign currency contracts as follows:
Open future contracts outstanding at March 31, 2007:
Unrealized
Number of Contracts
Type
Expiration
Value at
Value at
Appreciation
Date
Trade Date
March 31, 2007
(Depreciation)
$3,274,734
$ (6,489
Long Positions:
43
Australian 10 Yr. Bond
Jun. 2007
$3,281,223
)
Euro 10 Yr. Bond
Jun. 2007
23,045,738
22,873,776
(171,962 )
U.K. 10 Yr Bond
Jun. 2007
3,214,301
3,182,301
(32,000
)
U.S. 20 Yr. Bond
Jun. 2007
44,130,933
44,055,000
(75,933
)
149
15
396
(286,384 )
Short Positions:
316
U.S. Treasury 2 Yr. Notes
Jun. 2007
64,790,586
64,745,438
45,148
U.S. Treasury 5 Yr. Notes
Jun. 2007
1,908,790
1,904,344
4,446
U.S. Treasury 10 Yr. Notes
Jun. 2007
81,992,503
81,850,625
141,878
18
757
191,472
$ (94,912
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)
Forward Foreign currency exchange contracts outstanding at March 31, 2007:
Foreign Currency Contract
Value at
Unrealized
Settlement
Appreciation/
Date
Current Value
(Depreciation)
$2,775,000
$3,217,363
$ 442,363
267,193
267,013
(180
)
1,064,999
1,063,795
(1,204
)
1,060,438
1,060,201
(237
)
1,107,991
1,125,883
17,892
4,688,514
4,695,269
6,755
1,338,514
1,337,525
(989
12,302,649
12,767,049
464,400
Purchased:
Brazilian Real
expiring 10/23/08
Euro
expiring 04/26/07
Japanese Yen
expiring 04/03/07
expiring 04/26/07
New Zealand Dollar
expiring 04/23/07
Norwegian Krone
expiring 04/24/07
Pound Sterling
expiring 04/26/07
Sold:
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)
Australian Dollar
expiring 04/23/07
2,178,903
2,204,461
(25,558
)
1,239,229
1,238,394
835
10,770,810
10,790,618
(19,808
4,529,682
4,524,328
5,354
5,571,732
5,649,990
(78,258
)
6,966,901
7,064,290
(97,389
)
10,324,710
10,374,128
(49,418
)
5,041,782
5,042,329
(547
)
46,623,749
46,888,538
(264,789 )
Euro
expiring 04/26/07
Hungarian Forint
expiring 04/24/07
)
Japanese Yen
expiring 04/26/07
Mexican Peso
expiring 04/18/07
Norwegian Krone
expiring 04/24/07
Polish Zloty
expiring 04/24/07
Swedish Krona
expiring 04/24/07
$ 199,611
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Interest rate swap agreements outstanding at March 31, 2007:
Notional
Termination Amount Fixed
Counterparty
Morgan Stanley Capital Services(a)
Unrealized
Floating Rate
Depreciation
$9,490 6.808%
3 month NZD-BBR-FRA
$(40,382 )
1/4/2017
4,735 6.88 %
3 month NZD-BBR-FRA
—
2/5/2017
4,745 6.995%
3 month NZD-BBR-FRA
(60,034 )
2/27/2017
4,745 6.995%
3 month NZD-BBR-FRA
(62,140 )
2/28/2017
7,600 5.169%
3 month LIBOR
3/2/2017
4,745 6.860%
3 month NZD-BBR-FRA
(90,739 )
3/2/2037
3,050 5.250%
3 month LIBOR
(62,754 )
Date
(000)
12/22/
2016
Rate
Morgan Stanley Capital Services(a)
Morgan Stanley Capital Services(a)
Citibank, NA(a)
Merrill Lynch Capital Services, Inc.(a)
(3,385
)
Morgan Stanley Capital Services(a)
Merrill Lynch Capital Services, Inc.(a)
$(319,434 )
(a)
Portfolio pays the floating rate and receives the fixed rate.
Credit default swap agreements outstanding at March 31, 2007:
Notional
Counterparty
Unrealized
Termination
Amount
Fixed
Date
(000)
Rate
6/20/2009
$4,000
Tyco International Group SA,
6.00%, due 11/15/13
Morgan Stanley Capital Services, Inc.(b)
Morgan Stanley Capital Services, Inc.(b)
Deutsche Bank AG(b)
12/20/
2009
12/20/
2009
12/20/
2009
05/25/
2036
4,000
3,295
1,855
1,000
(Depreciation)
0.82 %
Morgan Stanley Capital Services, Inc.(a)
Merrill Lynch Capital Services, Inc.(a)
Appreciation/
Underlying Bond
$ 55,172
4.55 %
General Motors Corp.,
7.125%, due 07/15/13
138,099
RPM International, Inc.,
6.25%, due 12/15/13
(35,767
)
RPM International, Inc.,
6.25%, due 12/15/13
(27,443
)
Fieldstone Mortgage Investment Corp.,
Ser. 2006-1, Class M9,
7.62%, due 05/25/36
143,840
0.60 %
0.75 %
2.74 %
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Morgan Stanley Capital Services, Inc.(b)
Barclays Bank PLC(a)
Morgan Stanley Capital Services, Inc.(a)
Morgan Stanley Capital Services, Inc.(a)
Morgan Stanley Capital Services, Inc.(b)
Morgan Stanley Capital Services, Inc.(b)
Deutsche Bank AG(b)
Merrill Lynch Capital Services, Inc.(b)
Merrill Lynch Capital Services, Inc.(b)
Merrill Lynch Capital Services, Inc.(a)
Merrill Lynch Capital Services, Inc.(b)
Deutsche Bank AG(b)
06/
25/
2036
1,000
6/20/
2012
2,300
12/
20/
2014
5,500
9/20/
2015
4,000
3/25/
2035
3/25/
2035
2,000
1,000
11/
25/
2035
1,000
12/
25/
2035
800
3/25/
2036
1,000
3/25/
2036
4/25/
2036
4/25/
2036
1,000
1,000
550
4.25%
Morgan Stanley ABS Capital I,
Ser. 2006-HE4, Class B3,
7.19%, due 06/25/36
141,674
Western Union Co.,
5.93%, due 10/01/18
(7,350 )
Nextel Communications, Inc.,
7.375%, due 8/1/15
97,084
Dow Chemical Co.,
6.00%, due 10/01/12
28,390
Centex Home Equity,
6.67%, due 03/25/35
25,369
H.S.I. Asset Securitization Corp Trust,
Ser. HASC 2006-OPT3, Class M8,
6.52%, due 02/25/36
34,645
Residential Asset Mortgage Products, Inc.,
Ser. 2005-EFC6, Class M9,
7.57%, due 11/25/35
32,599
Accredited Mortgage Loan Trust,
Ser. 2005-4, Class M9,
7.82%, due 12/25/35
35,444
Ameriquest Mortgage Securities, Inc.
Ser. 2006-R1, Class M9,
7.82%, due 03/25/36
145,059
Ameriquest Mortgage Securities, Inc.
Ser. 2006-R1, Class M9,
7.82%, due 03/25/36
(3,200 )
Accredited Mortgage Loan Trust,
Ser. 2006-1, Class M8,
6.47%, due 04/25/36
—
First Franklin Mortgage Loan Asset
Backed Certificates,
Ser. 2006-FF10, Class M9,
7.22%, due 07/25/36
92,074
0.51%
1.17%
0.57%
1.88%
3.78%
1.98%
2.04%
3.72%
9.00%
2.78%
3.05%
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Morgan Stanley Capital Services, Inc.(b)
Morgan Stanley Capital Services, Inc.(b)
Merrill Lynch Capital Services, Inc.(b)
Citibank, NA(b)
Citibank, NA(b)
Merrill Lynch Capital Services, Inc.(b)
Merrill Lynch Capital Services, Inc.(b)
Barclays Bank PLC(b)
Morgan Stanley Capital Services, Inc.(b)
4/25/
2036
4/25/
2036
4/25/
2036
5/25/
2036
5/25/
2036
6/25/
2036
7/25/
2036
9/25/
2036
1/25/
2037
235
1,500
2,000
1,000
1,000
1,000
1,000
2,200
3,000
3.15%
3.68%
3.25%
4.20%
4.55%
3.20%
3.02%
2.45%
3.33%
First Franklin Mortgage Loan Asset
Backed Certificates,
Ser. 2006-FF5, Class M9,
7.27%, due 04/25/36
29,706
First Franklin Mortgage Loan Asset
Backed Certificates,
Ser. 2006-FF5, Class M9,
7.27%, due 04/25/36
167,565
Residential Asset Securities Corp.,
Ser. 2006-EMX5, Class M9,
7.42%, due 07/25/36
313,736
First Franklin Mortgage Loan Asset
Backed Certificates,
Ser. 2006-FF7, Class M9,
7.17%, due 05/25/36
95,543
Structured Asset Securities Corp.,
Ser. 2006-NC1, Class M9,
7.22%, due 05/25/36
102,615
GSAMP Trust,
Ser. 2006-NC2, Class M8,
7.82%, due 03/25/36
83,078
Residential Asset Securities Corp.,
Ser. 2006-EMX5, Class M9,
7.42%, due 07/25/36
163,813
Accredited Mortgage Loan Trust,
Ser. 2006-2, Class M9,
7.22%, due 09/25/36
200,252
Countrywide Asset-Backed Certificates,
Ser. 2006-13, Class BV,
7.52%, due 01/25/37
429,566
$2,481,563
(a)
The Portfolio receives the fixed rate and pays the counterparty par in the event that the underlying bond defaults.
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(b)
The Portfolio pays the fixed rate and receives from the counterparty par in the event that the underlying bond defaults.
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DIVERSIFIED CONSERVATIVE GROWTH PORTFOLIO
Schedule of Investments
March 31, 2007 (Unaudited)
Shares
Value
LONG-TERM INVESTMENTS — 99.0%
COMMON STOCKS — 40.4%
Aerospace — 0.1%
Aegean Marine Petroleum Network, Inc.
4,770
$80,327
BE Aerospace, Inc.*
3,900
123,630
203,957
Aerospace & Defense — 1.1%
AAR Corp.*
2,300
63,388
5,000
444,550
2,820
102,902
10,100
465,206
2,575
107,249
5,600
364,000
Boeing Co.
HEICO Corp.
Honeywell International, Inc.
Moog, Inc. (Class A Stock)*
United Technologies Corp.
1,547,295
Airlines
Allegiant Travel Co.*
1,560
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49,140
Automobiles
Winnebago Industries, Inc.
1,000
33,630
2,800
89,936
8,400
533,904
4,300
240,284
6,300
517,356
9,100
696,150
Banks — 0.1%
Pacific Capital Bancorp
Beverages — 0.4%
PepsiCo, Inc.
Biotechnology — 1.1%
Amgen, Inc.*
Genentech, Inc.*
Gilead Sciences, Inc.*
1,453,790
Building & Construction — 0.1%
Standard Pacific Corp.
4,000
83,480
1,540
84,300
6,100
323,422
Building Materials — 0.1%
Ceradyne, Inc.*
Building Products — 0.3%
American Standard Cos., Inc.
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Watsco, Inc.
1,400
71,498
394,920
Business Services — 0.1%
Perficient, Inc.*
3,950
78,131
2,200
93,698
URS Corp.*
171,829
Capital Goods — 0.1%
Joy Global, Inc.
3,200
137,280
12,000
486,600
2,100
433,923
5,000
144,750
4,500
367,515
14,400
263,376
13,900
826,077
Capital Markets — 1.8%
Bank of New York Co., Inc. (The)
Goldman Sachs Group, Inc. (The)
Jefferies Group, Inc.
Merrill Lynch & Co., Inc.
Schwab, (Charles) Corp.
UBS AG
2,522,241
Chemicals — 0.8%
E.I. DuPont de Nemours & Co.
6,200
306,466
5,200
285,792
Monsanto Co.
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Mosaic Co. (The)*
11,400
303,924
2,200
96,866
1,600
44,528
Scotts Miracle-Gro Co., (The) (Class A Stock)
Valspar Corp. (The)
1,037,576
Clothing & Apparel — 0.1%
Iconix Brand Group, Inc.*
3,960
80,784
1,300
12,051
4,350
115,667
1,700
36,057
8,094
316,006
Commercial Banks — 0.4%
Accredited Home Lenders Holding Co.*
Astoria Financial Corp.
BankUnited Financial Corp. (Class A Stock)
Royal Bank of Scotland Group PLC (United Kingdom)
479,781
Commercial Services
HMS Holdings Corp.*
3,020
66,138
1,200
42,240
8,000
100,720
4,360
100,498
Commercial Services & Supplies — 0.8%
Administaff, Inc.
Allied Waste Industries, Inc.*
Barrett Business Services, Inc.
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FirstService Corp. (Canada)*
3,470
95,703
2,900
98,774
4,050
93,190
2,650
119,197
1,700
64,855
10,900
375,069
Global Payments, Inc.
Rollins, Inc.
Steiner Leisure Ltd.*
Team, Inc.*
Waste Management, Inc.
1,090,246
Communication Equipment — 1.7%
Avaya, Inc.*
25,100
296,431
25,300
645,909
7,900
139,593
22,300
951,318
2,100
286,629
Cisco Systems, Inc.*
Motorola, Inc.
QUALCOMM, Inc.*
Research in Motion Ltd.*
2,319,880
Computer Hardware
Cray, Inc.*
4,020
55,436
2,240
53,603
Computer Networking
Atheros Communications, Inc.*
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Computer Services & Software — 0.2%
Advent Software, Inc.*
3,140
109,492
2,600
87,724
2,640
90,261
The9 Ltd., ADR (China)*
THQ, Inc.*
287,477
Computers & Peripherals — 1.0%
Apple Computer, Inc.*
6,100
566,751
10,200
409,428
2,400
226,224
8,900
207,370
Hewlett-Packard Co.
International Business Machines Corp.
Seagate Technology
1,409,773
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Consumer Finance — 0.5%
American Express Co.
8,600
485,040
5,300
216,770
SLM Corp.
701,810
Distribution/Wholesale
Houston Wire & Cable Co.*
1,540
43,151
9,300
283,650
25,100
528,104
Diversified Consumer Services — 0.6%
Career Education Corp.*
H&R Block, Inc.
811,754
Diversified Financial Services — 2.0%
Bank of America Corp.
5,590
285,202
11,700
600,678
4,000
142,560
900
109,989
5,900
285,442
11,200
271,600
1,800
43,650
Citigroup, Inc.
Eaton Vance Corp.
Intercontinental Exchange, Inc.*
JPMorgan Chase & Co.
KKR Private Equity Investors LLP , 144A
KKR Private Equity Investors LLP, RDU, 144A(g) (cost $41,122; purchased 08/03/06)
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NYSE Group*
4,700
440,625
4,300
25,499
1,300
15,314
1,730
52,229
2,490
111,178
4,575
136,152
2,400
74,856
500
92,960
Optionable, Inc.*
Oriental Financial Group (Puerto Rico)
Penson Worldwide, Inc.*
Portfolio Recovery Associates, Inc.*
Raymond James Financial, Inc.
Sterling Financial Corp. (WA)
Student Loan Corp. (The)
2,687,934
Diversified Telecommunication Services — 0.2%
Verizon Communications, Inc.
5,800
219,936
2,560
75,136
2,700
185,517
1,550
37,557
Education — 0.1%
DeVry, Inc.
Electric Utilities — 0.1%
Exelon Corp.
Electronic Components
DTS, Inc.*
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Electronic Equipment & Instruments — 0.7%
Checkpoint Systems, Inc.*
4,000
94,640
4,700
167,649
9,500
479,655
5,100
176,511
FLIR Systems, Inc.*
Sony Corp., ADR (Japan)
Suntech Power Holdings Co. Ltd., ADR (China)*
918,455
Electronics — 0.1%
Benchmark Electronics, Inc.*
2,900
59,914
2,600
83,980
PNM Resources, Inc.
143,894
Energy — 0.1%
Headwaters, Inc.*
3,469
75,798
4,200
277,746
3,040
97,554
3,000
207,300
Energy Equipment & Services — 0.4%
Baker Hughes, Inc.
Oil States International, Inc.*
Schlumberger Ltd.
582,600
Entertainment & Leisure — 0.1%
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Life Time Fitness, Inc.*
1,550
79,685
3,400
52,598
2,344
52,318
3,090
63,499
1,720
83,936
2,940
115,248
3,100
86,056
2,520
59,321
Financial Services — 0.4%
Asset Acceptance Capital Corp.*
Calamos Asset Management, Inc.
First Mercury Financial Corp.*
International Securities Exchange, Inc.
Investment Technology Group, Inc.*
Moneygram International, Inc.
optionsXpress Holdings, Inc.
512,976
Food & Staples Retailing — 0.6%
Kroger Co. (The)
13,300
375,725
6,610
78,659
6,100
286,395
2,000
89,700
SunOpta, Inc.*
Wal-Mart Stores, Inc.
Whole Foods Market, Inc.
830,479
Food Products — 0.6%
Cadbury Schweppes PLC, ADR (United Kingdom)
9,000
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462,330
ConAgra Foods, Inc.
12,900
321,339
783,669
Gaming — 0.1%
Century Casinos, Inc.*
9,880
81,510
2,900
382,278
5,040
85,126
4,400
231,748
1,610
58,266
970
43,786
3,590
85,262
15,320
44,734
2,661
112,640
9,880
105,716
7,700
289,597
Healthcare Equipment & Supplies — 1.0%
Alcon, Inc.
AngioDynamics, Inc.*
Baxter International, Inc.
Cutera, Inc.*
Kyphon, Inc.*
NuVasive, Inc.*
Orthovita, Inc.*
PolyMedica Corp.
Spectranetics Corp. (The)*
St. Jude Medical, Inc.*
1,439,153
Healthcare Providers & Services — 1.0%
AMERIGROUP Corp.*
3,300
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100,320
Covance, Inc.*
2,700
160,218
11,330
116,472
2,500
116,875
8,800
349,976
5,000
168,450
2,900
114,608
3,350
63,114
2,700
218,970
Five Star Quality Care, Inc.*
Healthways, Inc.*
Omnicare, Inc.
Pharmaceutical Product Development, Inc.
Sunrise Senior Living, Inc.*
Systems Xcellence, Inc.*
WellPoint, Inc.*
1,409,003
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Healthcare Services
Centene Corp.*
3,000
62,970
3,100
101,370
3,900
140,244
7,600
306,888
6,800
332,928
6,200
244,900
4,590
150,690
3,900
86,892
7,700
241,472
Hotels, Restaurants & Leisure — 1.2%
Brinker International, Inc.
Hilton Hotels Corp.
International Game Technology
Marriott International, Inc.(Class A Stock)
OSI Restaurant Partners, Inc.
Scientific Games Corp. (Class A Stock)*
Sonic Corp.*
Starbucks Corp.*
1,605,384
Household Durables — 0.2%
Harman International Industries, Inc.
1,500
144,120
2,100
67,452
2,100
101,010
Meritage Homes Corp.*
Snap-On, Inc.
312,582
Household Products — 0.8%
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Colgate-Palmolive Co.
4,500
300,555
5,300
362,997
6,787
428,667
Kimberly-Clark Corp.
Procter & Gamble Co.
1,092,219
Independent Power Producers & Energy Traders — 0.3%
NRG Energy, Inc.*
5,300
381,812
20,400
721,344
5,600
176,680
Industrial Conglomerates — 0.7%
General Electric Co.
Tyco International Ltd.
898,024
Insurance — 2.1%
American International Group, Inc.
17,000
1,142,740
3,480
65,598
7,340
77,510
7,200
243,792
2,625
105,604
8,900
404,327
16,800
291,312
Amerisafe, Inc.*
Amtrust Financial Services, Inc.
Axis Capital Holdings Ltd.
Delphi Financial Group, Inc.(Class A Stock)
Loews Corp.
Montpelier Re Holdings Ltd.
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Philadelphia Consolidated Holding Corp.*
3,900
171,561
1,700
74,868
3,330
94,006
2,800
89,964
1,600
56,208
Protective Life Corp.
Security Capital Assurance Ltd.
State Auto Financial Corp.
United Fire & Casualty Co.
2,817,490
Internet
Equinix, Inc.*
675
57,800
4,800
181,008
6,780
84,818
2,070
63,590
6,600
218,790
2,200
1,007,952
4,260
118,087
12,710
76,387
2,320
121,591
Internet & Catalog Retail — 0.1%
IAC/InterActiveCorp.*
Internet Software & Services — 1.6%
Cybersource Corp.*
DealerTrack Holdings, Inc.*
eBay, Inc.*
Google, Inc. (Class A Stock)*
j2 Global Communications, Inc.*
NaviSite, Inc.*
NutriSystem, Inc.*
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Online Resources Corp.*
6,330
72,605
3,140
74,104
3,270
65,433
1,540
87,565
7,000
219,030
RADVision Ltd. (Israel)*
TriZetto Group, Inc.*
WebEx Communications, Inc.*
Yahoo!, Inc.*
2,209,952
IT Services — 0.2%
Infosys Technologies Ltd., ADR (India)
4,100
206,025
2,500
128,750
8,260
88,712
Machinery — 0.2%
Bucyrus International, Inc. (Class A Stock)
Flow International Corp.*
217,462
Manufacturing — 0.2%
Harsco Corp.
3,000
134,580
6,100
121,085
Hexel Corp.*
255,665
Media — 1.8%
Comcast Corp. (Class A Stock)*
10,050
260,798
2,900
48,227
DG FastChannel, Inc.
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Liberty Global, Inc., Series C*
11,783
361,031
2,100
232,239
6,600
101,112
21,000
485,520
7,620
313,258
19,300
664,499
Liberty Media Corp., Capital Series A*
Marchex, Inc. (Class B Stock)
News Corp. (Class A Stock)
Viacom, Inc. (Class B Stock)*
Walt Disney Co. (The)
2,466,684
Medical Supplies & Equipment — 0.2%
Micrus Endovascular Corp.*
3,090
73,666
9,440
61,171
2,030
102,251
1,240
41,242
NovaMed, Inc.*
ResMed, Inc.*
Vital Images, Inc.*
278,330
Metals & Mining — 0.3%
Freeport-McMoRan Copper & Gold, Inc.
2,773
183,545
2,010
75,656
3,400
103,054
Ladish Co., Inc.*
Timken Co.
362,255
Multi-Line Retail — 0.8%
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Federated Department Stores, Inc.
7,500
337,875
2,700
221,832
2,400
183,864
5,200
308,152
J.C. Penney Co., Inc.
Kohl’s Corp.*
Target Corp.
1,051,723
Multi-Utilities — 0.2%
Sempra Energy
5,300
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323,353
Office Electronics — 0.2%
Xerox Corp.*
20,200
341,178
1,800
64,998
980
82,153
5,800
249,284
3,700
249,084
7,200
399,384
2,400
237,192
5,000
306,500
14,000
690,340
3,676
154,833
3,700
368,187
7,100
542,085
2,830
97,550
Office Equipment
School Specialty, Inc.*
Oil & Gas Exploration/Production — 0.1%
Core Laboratories NV (Netherlands)*
Oil, Gas & Consumable Fuels — 2.5%
Anadarko Petroleum Corp.
Cabot Oil & Gas Corp.
Hess Corp.
Marathon Oil Corp.
Nexen, Inc.
Occidental Petroleum Corp.
Oceaneering International, Inc.*
Petroleo Brasileiro SA, ADR (Brazil)
Suncor Energy, Inc.
Superior Energy Services, Inc.*
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Swift Energy Co.*
2,200
91,894
3,386,333
Pharmaceuticals — 1.9%
Abbott Laboratories
12,900
719,820
5,720
121,093
1,300
60,255
3,480
86,060
11,390
73,466
1,510
46,538
11,600
633,708
7,300
642,816
5,300
265,159
American Medical Systems Holdings, Inc.*
Barr Pharmaceuticals, Inc.*
KV Pharmaceutical Co. (Class A Stock)*
LeMaitre Vascular, Inc.*
Medicis Pharmaceutical Corp. (Class A Stock)
Novartis AG, ADR (Switzerland)
Roche Holding AG, ADR (Switzerland)
Wyeth
2,648,915
Real Estate Investment Trusts — 0.2%
Hovnanian Enterprises, Inc. (Class A Stock)*
2,700
67,932
4,110
112,737
1,000
137,180
KKR Financial Corp.
SL Green Realty Corp.
317,849
Retail
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Cash America International, Inc.
1,323
54,243
1,090
51,503
1,560
101,462
9,550
306,268
17,900
300,899
1,270
67,793
Retail & Merchandising
Crocs, Inc.*
Semiconductors — 0.1%
Itron, Inc.*
Semiconductors & Semiconductor Equipment — 0.5%
Broadcom Corp. (Class A Stock)*
Marvell Technology Group Ltd.*
Varian Semiconductor Equipment Associates, Inc.*
674,960
Software — 1.6%
Adobe Systems, Inc.*
16,800
700,560
10,327
267,573
4,500
78,570
3,900
196,404
19,600
546,252
2,500
111,625
CA, Inc.
Concur Technologies, Inc.*
Electronic Arts, Inc.*
Microsoft Corp.
SAP AG, ADR (Germany)
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Symantec Corp.*
17,900
309,670
2,210,654
Specialty Retail — 0.6%
Aaron Rents, Inc.
3,100
81,964
10,400
506,688
9,400
296,006
Best Buy Co., Inc.
Lowe’s Cos., Inc.
884,658
Technology
Sanmina—SCI Corp.*
18,300
66,246
2,980
87,404
1,840
79,635
3,600
74,772
Telecommunications — 0.2%
Cbeyond, Inc.
Dril-Quip, Inc.*
Time Warner Telecom, Inc. (Class A Stock)*
241,811
Textiles, Apparel & Luxury Goods — 1.1%
Cache, Inc.*
3,340
59,285
10,800
540,540
2,960
104,636
5,600
595,056
Coach, Inc.*
Jos. A. Bank Clothiers, Inc.*
NIKE, Inc. (Class B Stock)
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Phillips-Van Heusen Corp.
3,200
188,160
3,400
55,488
Stein Mart, Inc.
1,543,165
Thrifts & Mortgage Finance — 0.3%
Countrywide Financial Corp.
6,400
215,296
3,300
180,114
Fannie Mae
395,410
Tobacco — 0.4%
Altria Group, Inc.
5,700
500,517
1,640
47,248
2,300
103,500
4,900
303,800
4,500
333,810
23,726
449,845
Transportation
Old Dominion Freight Line*
Utilities — 0.1%
ONEOK, Inc.
Wireless Telecommunication Services — 0.8%
Alltel Corp.
NII Holdings, Inc.*
Sprint Nextel Corp.
1,087,455
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TOTAL COMMON STOCKS
(cost $42,726,933)
55,391,409
Units
RIGHTS *
United Mexican States, expiring 06/30/07 (Mexico) (cost $0)
1,300,000 18,850
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WARRANTS*
Media
XM Satellite Radio, Inc., 144A(g) (cost $0)
100
—
Principal
Amount
Interest Rate
Maturity Date
Moody’’s Ratings
(000)#
CORPORATE BONDS — 23.4%
Aerospace & Defense — 0.7%
BE Aerospace, Inc.,
Sr. Sub. Notes
8.875%
05/01/11
B3
$ 115
118,594
02/01/16
B1
75
75,750
02/01/18
B3
50
52,000
06/15/13
B1
125
128,437
04/01/15
B3
100
103,875
11/15/14
Caa1
50
53,125
06/15/12
Ba3
175
180,250
DRS Technologies, Inc.,
Gtd. Notes
6.625%
7.625%
Esterline Technologies Corp.,
Gtd. Notes
7.75%
Hawker Beechcraft Acquisition Co. LLC,
Sr. Notes, 144A
8.50%
K&F Acquisition, Inc.,
Gtd. Notes
7.75%
L-3 Communications Corp.,
Gtd. Notes
7.625%
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Moog, Inc.,
Sr. Sub. Notes
6.25%
01/15/15
Ba3
100
98,500
08/01/09
B2
125
131,875
07/15/14
B3
50
51,625
Sequa Corp.,
Unsec`d. Notes.
9.00%
TransDigm, Inc.,
Sr. Sub. Notes, 144A
7.75%
994,031
Airlines — 0.1%
AMR Corp.,
Notes
10.40%
03/10/11
CCC+(d)
100
103,250
09/15/18
Ba2
33
33,538
Continental Airlines, Inc.,
Pass Through Certificates
6.748%
136,788
Auto Parts and Equipment
Lear Corp.,
Gtd. Notes
8.75%
12/01/16
B3
50
47,750
09/08/11
Baa1
100
101,593
Automobile Manufacturers — 0.1%
DaimlerChrysler NA Holding Corp.,
Gtd. Notes
5.75%
Automotive — 0.7%
Ford Motor Credit Co.,
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Notes
7.875%
06/15/10
B1
470
471,748
08/10/11
B1
100
105,901
01/15/11
Caa1
315
299,250
10/15/08
Caa1
75
74,531
03/10/14
Caa2
40
35,000
Sr. Notes
9.875%
General Motors Corp.,
Notes
7.20%
General Motors Nova Scotia Finance Co.,
Gtd. Notes (Canada)
6.85%
Visteon Corp.,
Sr. Notes
7.00%
986,430
Automotive Parts
American Axle & Manufacturing, Inc.,
Gtd. Notes
7.875%
03/01/17
Ba3
50
49,875
04/07/14
Baa1
95
96,663
11/03/09
Baa1
40
40,350
Banks — 0.1%
Kazkommerts International BV, (Netherlands)
Bank Gtd. Notes, 144A
7.875%
Gtd. Notes, 144A
7.00%
137,013
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Building Materials & Construction — 0.2%
Goodman Global Holdings, Inc.,
Gtd. Notes
8.36% (c)
06/15/12
B1
45
45,338
05/15/16
Ba2
50
46,625
12/15/08
Ba2
80
81,800
09/01/14
B3
50
48,625
K Hovnanian Enterprises, Inc.,
Gtd. Notes
7.50%
KB Home,
Sr. Sub. Notes
8.625%
Nortek, Inc.,
Sr. Sub. Notes
8.50%
222,388
Cable — 0.7%
Callahan Nordrhein-Westfalen GMBH,
Sr. Disc. Notes (Germany)(g)(i)
16.00%
07/15/10
NR
250
3
05/15/14
Caa3
150
143,625
10/01/15
Caa2
173
179,473
09/15/1010/01/13
Caa2
219
232,601
Charter Communications Holdings I LLC
Gtd. Notes
11.75%
Charter Communications Holdings I LLC,
Sec’d. Notes
11.00%
Charter Communications Holdings II LLC,
Sr. Sec’d. Notes
10.25%
Charter Communications Operating LLC,
Sr. Notes, 144A
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8.00%
04/30/12
B3
20
20,825
07/15/09
B2
200
207,000
04/15/12
B2
50
49,625
12/15/07
B2
24
24,270
CSC Holdings, Inc.,
Sr. Notes
8.125%
6.75%
7.875%
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Principal
Amount
Interest Rate
Maturity Date
Moody’’s Ratings
(000)#
Value
Mediacom Broadband LLC,
Sr. Notes, 144A
8.50%
10/15/15
B3
25
25,562
08/15/16
B2
100
105,500
Virgin Media Finance PLC,
Gtd. Notes
9.125%
988,484
Capital Goods — 1.0%
ALH Finance LLC,
Gtd. Notes
8.50%
01/15/13
B3
25
24,937
02/15/11
B1
60
58,500
04/15/13
B1
50
51,875
08/15/16
B3
55
58,575
05/15/14
Ba3
30
30,600
02/15/17
B3
50
52,875
Allied Waste North America, Inc.,
Sec’d. Notes
5.75%
Sr. Notes
7.875%
Ashtead Capital, Inc.,
Notes, 144A
9.00%
Avis Budget Car Rental LLC,
Sr. Notes, 144A
7.625%
Baldor Electric Co.,
Gtd. Notes
8.625%
Blount, Inc.,
Sr. Sub. Notes
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8.875%
08/01/12
B2
150
155,250
11/01/13
B2
50
53,000
03/15/11
B2
7
7,534
05/15/13
Caa1
75
77,437
08/01/12
B2
97
103,184
08/01/14
B3
100
104,000
12/01/14
Caa1
75
79,875
11/01/13
Ba3
125
126,875
01/15/14
B1
75
77,250
02/15/12
B1
100
99,750
11/15/13
B3
40
41,100
Columbus Mckinnon Corp.,
Sr. Sub. Notes
8.875%
Invensys PLC, (United Kingdom)
Sr. Unsec`d. Notes, 144A
9.875%
Johnson Diversified Holdings, Inc.,
Disc. Notes, Zero Coupon (until 05/15/07)
10.67% (v)
Manitowoc Co., Inc., (The),
Gtd. Notes
10.50%
RBS Global, Inc. / Rexnord Corp.,
Gtd. Notes
9.50%
Rental Service Corp.,
Bonds, 144A
9.50%
Stena AB, (Sweden)
Sr. Notes
7.50%
Terex Corp.,
Gtd. Notes
7.375%
United Rentals North America, Inc.,
Gtd. Notes
6.50%
7.75%
Valmont Industries, Inc.,
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Gtd. Notes
6.875%
05/01/14
Ba3
125
125,469
1,328,086
Chemicals — 0.7%
Equistar Chemical Funding,
Sr. Notes
10.625%
05/01/11
B1
55
58,025
10/15/10
Ba1
150
162,562
02/15/16
B2
75
71,812
10/15/13
B2
102
110,670
06/01/13
Ba2
75
82,125
07/15/12
Ba2
50
53,500
04/15/17
Caa1
75
76,875
12/01/14
B3
75
77,250
Huntsman LLC,
Gtd. Notes
11.625%
Ineos Group Holdings PLC, (United Kingdom)
Sr. Sub. Notes, 144A
8.50%
Koppers, Inc.,
Gtd. Notes
9.875%
Lyondell Chemical Co.,
Gtd. Notes
10.50%
Sec’d Notes
11.125%
MacDermid, Inc.,
Sr. Sub. Notes, 144A
9.50%
Momentive Performance Materials, Inc.,
Sr. Notes, 144A
9.75%
Mosaic Co. (The),
Sr. Notes, 144A
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7.375%
12/01/14
B1
25
26,063
12/01/16
B1
25
26,375
11/15/13
B3
5
5,313
11/15/11
B1
140
143,500
06/01/11
B3
78
81,315
05/15/11
B3
36
37,980
7.625%
Nalco Co.,
Sr. Sub. Notes
8.875%
Sr. Unsec’d. Notes
7.75%
Rhodia SA, (France)
Sr. Unsec’d. Notes
8.875%
Rockwood Specialties, Inc.,
Gtd. Notes
10.625%
1,013,365
Consumers — 0.4%
Mac-Gray Corp.,
Sr. Unsec’d. Notes
7.625%
08/15/15
B2
50
51,000
06/01/11
Caa1
100
103,375
06/15/17
B1
125
125,937
03/15/08
B1
200
201,000
Playtex Products, Inc.,
Gtd. Notes
9.375%
Service Corp. International,
Sr. Notes
7.00%
Sr. Unsec’d. Notes
6.50%
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7.375%
10/01/14
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B1
25
26,000
Travelport, Inc,
Sr. Sub. Notes, 144A
11.875%
09/01/16
Caa1
30
32,888
540,200
Diversified — 0.1%
iStar Financial, Inc.,
Sr. Unsec’d. Notes
5.80%
03/15/11
Baa2
100
101,265
06/15/10
Aaa
72
71,445
06/15/10
Aaa
144
142,890
Diversified Financial Services — 0.2%
Petroleum Export Ltd., (Cayman Islands)
Sr. Notes, 144A
4.623%
4.633%
214,335
Electric — 1.6%
AES Corp., (The)
Sr. Notes
9.375%
09/15/10
B1
275
299,062
06/01/09
B1
25
26,625
01/02/17
Ba1
35
39,313
06/15/11
B2
40
43,200
9.50%
AES Eastern Energy LP,
Pass Through Certificates
9.00%
Aquila Canada Finance Corp., (Canada)
Gtd. Notes
7.75%
Aquila, Inc.,
Sr. Notes
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9.95%
02/01/11
B2
3
3,285
01/15/09
Ba3
70
71,837
04/15/11
Ba3
50
54,375
05/01/16
B2
155
161,200
06/15/09
B1
50
51,750
06/15/16
B1
50
52,125
08/01/15
Baa3
55
64,899
10/01/19
Ba2
45
48,938
07/02/09
Ba2
114
116,846
01/02/16
Ba2
71
77,611
05/01/34
Ba2
75
81,375
CMS Energy Corp.,
Sr. Notes
7.50%
8.50%
Dynegy Holdings, Inc.,
Sr. Unsec’d. Notes
8.375%
Edison Mission Energy,
Sr. Notes
7.73%
Sr. Unsec’d. Notes
7.75%
Empresa Nacional de Electricidad SA, (Chile)
Unsub. Notes
8.625%
Homer City Funding LLC,
Gtd. Notes
8.137%
Midwest Generation LLC,
Pass Through Certificates
8.30%
8.56%
Sec’d. Notes
8.75%
Mirant North America LLC,
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Gtd. Notes
7.375%
12/31/13
B2
125
128,125
04/15/12
Ba1
50
52,017
01/15/17
B1
260
267,056
12/15/25
Ba2
125
130,625
05/01/10
B2
40
46,200
07/15/13
B2
140
152,425
03/15/14
B1
40
43,269
06/15/10
Ba2
175
185,500
11/15/24
Ba1
50
42,141
Nevada Power Co.,
General Refinance Mortgage
6.50%
NRG Energy, Inc.,
Gtd. Notes
7.38%
NSG Holdings LLC,
Sec’d. Notes, 144A
7.75%
Orion Power Holdings, Inc.,
Sr. Unsec’d. Notes
12.00%
Reliant Energy, Inc.,
Sec’d. Notes
9.50%
Sierra Pacific Resources,
Sr. Unsec’d. Notes
8.625%
TECO Energy, Inc.,
Sr. Notes
7.50%
TXU Corp.,
Sr. Unsec’d. Notes
6.50%
2,239,799
Energy — 0.8%
Chesapeake Energy Corp.,
Gtd. Notes
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6.375%
06/15/15
Ba2
200
199,000
08/15/17
Ba2
50
49,375
05/15/15
Ba3
125
128,750
12/01/13
B2
25
24,437
04/15/14
B1
50
46,000
06/15/08
B1
40
40,850
04/15/13
B2
100
102,500
06/15/13
B2
25
25,000
03/15/12
B1
10
10,475
04/15/16
Ba3
125
125,000
12/15/14
B1
50
52,000
6.50%
Compagnie Generale de Geophysique Veritas,
Gtd. Notes
7.50%
Compton Petroleum Finance Corp.,
Gtd. Notes
7.625%
Encore Acquisition Corp.,
Gtd. Notes
6.25%
Forest Oil Corp.,
Sr. Unsec’d. Notes
8.00%
Hanover Compressor Co.,
Gtd. Notes
7.50%
Houston Exploration Co.,
Sr. Sub. Notes
7.00%
Magnum Hunter Resources, Inc.,
Gtd. Notes
9.60%
Newfield Exploration Co.,
Sr. Sub. Notes
6.625%
OPTI Canada, Inc.,
Gtd. Notes, 144A
8.25%
Parker Drilling Co.,
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Sr. Notes
9.625%
10/01/13
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B2
80
86,800
Pioneer Natural Resources Co.,
Sr. Notes
5.875%
07/
15/
16
Ba1
100
93,048
03/
15/
17
Ba3
150
150,750
10/
01/
17
B1
15
14,625
Plains Exploration & Production Co.,
Gtd. Notes
7.00%
Pogo Producing Co.,
Sr. Sub. Notes
6.875%
1,148,610
Energy-Other — 0.1%
Petrohawk Energy Corp.,
Gtd. Notes
9.125%
07/
15/
13
B3
75
79,875
11/
01/
15
Ba1
25
25,313
Tesoro Corp.,
Gtd. Notes
6.625%
105,188
Financial - Bank & Trust — 1.1%
Export-Import Bank of Korea,
Notes, 144A
5.57% (c)
10/
04/
11
A3
200
06/
20/
08
Aaa
JPY 137,000
08/
01/
08
A2
100
199,997
Rabobank Nederland, (Japan)
Notes
0.20%
1,155,539
VTB Capital SA, (Luxembourg)
Sr. Notes, 144A
5.96% (c)
100,050
1,455,586
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Financial Services — 0.6%
Bank of America Corp.,
Sr. Notes
5.61% (c)
10/
14/
16
Aa1
400
402,116
06/
01/
15
Aa1
100
107,374
03/
30/
18
Baa1
250
316,750
CitiFinancial, Inc.,
Notes
6.625%
Pemex Project Funding Master Trust,
Gtd. Notes
9.25%
826,240
Food — 0.5%
Ahold Finance USA, Inc.,
Gtd. Notes
6.875%
8.25%
05/
01/
29
07/
15/
10
Ba1
20
20,275
Ba1
25
27,000
08/
01/
29
B1
75
73,780
02/
15/
11
B1
25
26,327
05/
01/
30
B1
25
27,046
02/
01/
15
B3
100
104,000
Albertson’s, Inc.,
Debs.
7.45%
Sr. Notes
7.50%
Sr. Unsec’d. Notes
8.70%
Aramark Corp.,
Sr. Notes, 144A
8.50%
Carrols Corp.,
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Gtd. Notes
9.00%
01/
15/
13
Caa1
50
51,000
09/
01/
16
Ba3
5
5,063
12/
15/
12
B2
35
36,400
06/
15/
10
Caa1
35
33,425
05/
01/
09
Caa1
8
7,980
08/
01/
11
Caa1
50
52,500
10/
15/
09
Ba3
70
72,975
06/
15/
12
B2
25
25,750
11/
15/
14
B1
50
52,125
Constellation Brands, Inc.,
Gtd. Notes
7.25%
Del Monte Corp.,
Sr. Sub. Notes
8.625%
Dole Foods Co., Inc.,
Gtd. Notes
7.25%
Sr. Notes
8.625%
National Beef Packaging Co. LLC,
Sr. Unsec’d. Notes
10.50%
Smithfield Foods, Inc.,
Sr. Unsec’d. Notes
8.00%
Stater Brothers Holdings,
Sr. Notes
8.125%
Supervalu, Inc.,
Sr. Unsec’d. Notes
7.50%
615,646
Gaming — 1.1%
Boyd Gaming Corp.,
Sr. Sub. Notes
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
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8.75%
04/
15/
12
Ba3
90
93,937
04/
15/
14
Ba3
20
19,950
08/
01/
13
B3
125
125,625
Baa3
50
49,225
Baa3
60
51,750
Baa3
25
22,149
B1
300
304,125
Ba2
255
255,319
Ba2
80
76,800
Ba2
50
48,625
B1
105
105,525
Ba2
70
72,625
Sr. Sub. Notes
6.75%
CCM Merger, Inc.,
Notes, 144A
8.00%
Harrahs Operating Co., Inc.,
Gtd. Notes
5.50%
5.625%
6.50%
07/
01/
10
06/
01/
15
06/
01/
16
Mandalay Resort Group,
Sr. Unsec’d. Notes
10.25%
08/
01/
07
MGM Mirage,
Gtd. Notes
6.00%
6.625%
6.875%
9.75%
10/
01/
09
07/
15/
15
04/
01/
16
06/
01/
07
Mohegan Tribal Gaming Authority,
Sr. Sub. Notes
8.00%
04/
01/
12
Park Place Entertainment Corp.,
Gtd. Notes
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8.125%
05/
15/
11
Ba1
30
31,762
02/
01/
14
B3
25
25,438
Snoqualmie Entertainment Authority,
Sec’d. Notes, 144A
9.15% (c)
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Station Casinos, Inc.,
Sr. Notes
6.00%
04/
01/
12
Ba2
170
164,687
03/
15/
18
Ba3
20
17,800
06/
01/
15
Caa1
80
80,800
Sr. Sub. Notes
6.625%
Trump Entertainment Resorts, Inc.,
Sec’d. Notes
8.50%
1,546,142
Health Care——Services —0.1%
Sun Healthcare Group, Inc.,
Sr. Sub. Notes, 144A
9.125%
04/
15/
15
B3
75
76,875
12/
01/
13
Caa2
175
181,125
05/
01/
17
B1
50
50,375
12/
15/
12
B3
75
73,500
06/
01/
12
B3
50
53,375
Healthcare & Pharmaceuticals — 1.3%
Accellant, Inc.,
Gtd. Notes
10.50%
Advanced Medical Optics, Inc.,
Sr. Sub. Notes, 144A
7.50%
Alliance Imaging, Inc.,
Sr. Sub. Notes
7.25%
Concentra Operating Corp.,
Gtd. Notes
9.125%
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
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9.50%
08/
15/
10
B3
50
52,750
11/
15/
11
B3
30
30,525
02/
01/
08
B1
150
151,875
06/
01/
14
Caa2
75
79,687
12/
15/
14
Caa1
50
49,580
B2
250
269,687
B2
175
189,000
02/
15/
12
Caa1
75
78,188
08/
15/
12
Caa1
15
13,650
10/
15/
13
B1
100
102,000
Elan Finance PLC, (Ireland)
Gtd. Notes
9.36% (c)
Fresenius Medical Care Capital Trust II,
Gtd. Notes
7.875%
Hanger Orthopedic Group, Inc.,
Gtd. Notes
10.25%
HCA, Inc.,
Notes
9.00%
Sec’d. Notes, 144A
9.25%
9.625%
11/
15/
16
11/
15/
16
Inverness Medical Innovations, Inc., (g)
Gtd. Notes
8.75%
MedQuest, Inc.,
Gtd. Notes
11.875%
Res-Care, Inc.,
Sr. Notes
7.75%
Select Medical Corp.,
Gtd. Notes
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7.625%
02/
01/
15
B3
20
18,000
04/
15/
15
Ba2
33
34,815
01/
15/
12
Ba2
50
54,625
01/
15/
14
Caa1
170
189,125
02/
01/
15
Caa1
25
24,750
06/
01/
15
Ba2
75
78,563
02/
01/
15
Caa1
56
58,380
Senior Housing Properties Trust,
Sr. Notes
7.875%
Sr. Unsec’d. Notes
8.625%
Skilled Health Care Group, Inc.,
Sr. Sub. Notes, 144A
11.00%
Tenet Healthcare Corp.,
Sr. Unsec’d. Notes
9.25%
Ventas Realty LP,
Gtd. Notes
7.125%
Warner Chilcott Corp.,
Gtd. Notes
8.75%
1,833,575
Insurance — 0.4%
ASIF III Jersey Ltd., (Japan)
Sec’d. Notes
0.95%
07/
15/
09
Aa2
JPY 60,000
507,918
06/
01/
11
Ba3
50
53,563
Lodging — 0.3%
Felcor Lodging LP,
Gtd. Notes
8.50%
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Gaylord Entertainment Co.,
Gtd. Notes
8.00%
11/
15/
13
B3
25
25,594
Ba1
75
75,563
Ba1
100
101,875
11/
01/
13
Ba1
85
86,912
03/
15/
18
Ba1
45
45,813
05/
15/
10
Ba1
50
53,177
Host Marriott LP,
Gtd. Notes
6.75%
7.00%
06/
01/
16
08/
15/
12
Sr. Notes
7.125%
Royal Caribbean Cruises Ltd., (Liberia)
Debs.
7.25%
Sr. Notes
8.00%
442,497
Media — 0.7%
Idearc, Inc.,
Sr. Notes, 144A
8.00%
11/
15/
16
B2
50
51,437
03/
15/
16
B2
25
25,313
01/
15/
15
B2
25
26,250
Quebecor World Cap Corp.,
Sr. Notes, 144A
8.75%
Quebecor World, Inc.,
Sr. Notes, 144A
9.75%
Time Warner, Inc.,
Gtd. Notes
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5.59% (c)
11/
13/
09
Baa2
800
801,245
03/
15/
15
B3
100
99,625
Univision Communications, Inc.,
Sr. Notes, 144A
9.75%
1,003,870
Media & Entertainment —1.6%
AMC Entertainment, Inc.,
Gtd. Notes
8.625%
08/
15/
12
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Ba3
75
79,500
11.00%
02/
01/
16
B3
35
$39,856
03/
01/
14
B3
35
35,613
03/
15/
14
B3
75
68,625
06/
15/
18
Baa3
25
22,941
Baa3
100
84,076
Baa3
75
70,325
08/
15/
13
B2
159
173,509
11/
15/
13
B3
70
73,325
06/
15/
15
Ba3
32
30,400
Ba3
50
50,313
Ba3
150
154,875
Sr. Sub. Notes
8.00%
Cinemark, Inc.,
Sr. Disc. Notes, Zero Coupon (until 03/15/09)
9.75% (v)
Clear Channel Communications, Inc.,
Debs.
6.875%
Sr. Notes
05/
15/
15
01/
15/
13
4.90%
5.75%
Dex Media West LLC,
Gtd. Notes
9.875%
Dex Media, Inc.,
Sr. Unsec’d. Notes
8.00%
DirecTV Holdings LLC,
Gtd. Notes
6.375%
Echostar DBS Corp.,
Gtd. Notes
10/
01/
14
02/
01/
16
6.625%
7.125%
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Gray Television, Inc.,
Gtd. Notes
9.25%
12/
15/
11
B1
125
130,781
06/
15/
16
B2
25
27,688
06/
15/
16
Caa1
225
255,375
01/
15/
13
B2
140
145,950
10/
01/
13
B2
75
68,250
08/
01/
13
B1
25
23,875
08/
01/
14
Caa1
25
27,250
05/
15/
10
B2
75
77,625
01/
15/
16
B3
75
79,687
12/
15/
12
B2
150
162,000
Intelsat Bermuda Ltd., (Bermuda)
Gtd. Notes, 144A
9.25%
Sr. Unsec’d. Notes, 144A
11.25%
Intelsat Subsidiary Holding Co. Ltd., (Bermuda)
Sr. Notes
8.25%
Medianews Group, Inc.,
Sr. Sub. Notes
6.875%
Morris Publishing Group LLC,
Gtd. Notes
7.00%
Nielsen Finance LLC,
Sr. Notes, 144A
10.00%
Primedia, Inc.,
Sr. Notes
10.749% (c)
R.H. Donnelley Corp.,
Sr. Notes
8.875%
R.H. Donnelley Finance Corp.,
Gtd. Notes, 144A
10.875%
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Please Consider the Environment Before Printing This Document
Sun Media Corp., (Canada)
Gtd. Notes
7.625%
02/
15/
13
Ba2
175
177,625
05/
01/
10
B3
75
77,344
04/
01/
09
B1
55
55,962
Universal City Florida Holding Co.,
Sr. Notes
8.375%
Vertis, Inc.,
Gtd. Notes
9.75%
2,192,770
Metals — 0.8%
AK Steel Corp.,
Gtd. Notes
06/
15/
12
7.75%
B2
60
60,975
B3
25
26,375
Caa1
50
52,250
07/
01/
13
B1
50
49,188
08/
15/
14
B1
75
77,062
07/
15/
13
B1
100
111,500
Aleris International, Inc., PIK, 144A
Sr. Notes,
12/
15/
14
12/
15/
16
9.00%
10.00%
Arch Western Finance LLC,
Gtd. Notes
6.75%
Century Aluminum Co.,
Gtd. Notes
7.50%
Chaparral Steel Co.,
Gtd. Notes
10.00%
CSN Islands VII Corp.,
Gtd. Notes, 144A
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10.75%
09/
12/
08
BB-(d)
80
86,800
09/
01/
13
Ba3
40
43,500
04/
01/
17
Ba3
75
81,094
07/
15/
11
Ba2
100
106,250
02/
01/
14
Caa1
20
20,700
04/
01/
14
Baa3
49
54,077
12/
01/
15
B3
125
138,750
02/
15/
15
B2
100
105,750
09/
01/
16
B3
75
80,625
12/
15/
11
B3
45
45,450
FMG Finance Pty Ltd.,
Sec’d. Notes, 144A
10.00%
Freeport-McMoRan Copper & Gold, Inc.,
Sr. Unsec’d. Notes
8.375%
Gerdau Ameristeel Corp., (Canada)
Gtd. Notes
10.375%
Indalex Holding Corp.,
Sec’d. Notes
11.50%
Ispat Inland ULC, (Canada)
Sec’d. Notes
9.75%
Metals USA, Inc.,
Sec’d. Notes
11.125%
Novelis, Inc., (Canada)
Gtd. Notes
7.25%
PNA Group, Inc.,(g)
Sr. Notes
10.75%
Ryerson Tull, Inc.,
Gtd. Notes
8.25%
1,140,346
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Please Consider the Environment Before Printing This Document
Non-Captive — 0.4%
General Motors Acceptance Corp.,
Notes
12/01/
14
6.75%
Ba1
30
29,493
Ba1
460
459,271
Unsub. Notes
09/15/
1108/28/
12
6.875%
488,764
Packaging — 0.5%
Ball Corp.,
Gtd. Notes
6.625%
03/15/
18
Ba1
50
49,688
09/15/
14
B3
75
76,687
11/15/
13
B1
100
102,875
11/15/
15
B1
75
78,000
02/01/
14
B3
50
53,500
10/15/
12
Caa1
60
60,900
10/15/
14
Caa1
25
25,500
Berry Plastics Holding Corp.,
Sec’d. Notes
8.875%
Crown Americas LLC,
Gtd. Notes
7.625%
7.75%
Exopac Holding Corp.,
Gtd. Notes
11.25%
Graham Packaging Co., Inc.,
Gtd. Notes
8.50%
9.875%
Greif, Inc.,
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Sr. Notes, 144A
6.75%
02/01/
17
Ba2
50
50,375
11/15/
12
Ba2
115
121,037
11/15/
13
B1
90
89,100
Owens Brockway Glass Container, Inc.,
Gtd. Notes
8.75%
Silgan Holdings, Inc.,
Sr. Sub. Notes
6.75%
707,662
Paper — 0.6%
Abitibi-Consolidated, Inc., (Canada)
Gtd. Notes
7.75%
06/15/
11
B3
35
33,425
06/20/
08
B3
50
48,750
11/15/
11
B3
25
24,313
02/15/
13
Ba3
85
85,000
06/15/
11
B2
100
101,500
03/01/
14
B2
25
24,188
Notes
5.25%
Bowater Canada Finance, (Canada)
Gtd. Notes
7.95%
Cascades, Inc., (Canada)
Sr. Notes
7.25%
Catalyst Paper Corp., (Canada)
Gtd. Notes
8.625%
Sr. Unsec’d. Notes
7.375%
Cellu Tissue Holdings, Inc.,
Sec’d. Notes
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Please Consider the Environment Before Printing This Document
9.75%
03/15/
10
B2
125
125,000
10/15/
11
B2
25
26,187
01/15/
17
Ba3
50
50,125
05/15/
11
B2
30
31,500
08/15/
11
B2
50
52,000
08/15/
13
B3
50
53,187
06/01/
13
B3
50
48,500
06/01/
13
Ba3
30
29,662
07/15/
14
B3
75
72,000
Domtar, Inc.,
Notes
7.875%
Georgia-Pacific Corp.,
Gtd. Notes, 144A
7.125%
Notes
8.125%
Graphic Packaging International Corp.,
Gtd. Notes
8.50%
Sr. Unsec’d. Notes
9.50%
Jefferson Smurfit Corp.,
Gtd. Notes
7.50%
Norampac, Inc., (Canada)
Gtd. Notes
6.75%
Stone Container Finance, (Canada)
Gtd. Notes
7.375%
Tembec Industries, Inc., (Canada)
Gtd. Notes
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
7.75%
03/15/
12
Ca
70
42,525
08/01/
14
B2
25
25,625
Verso Paper Holdings LLC,
Sec’d. Notes, 144A
9.11% (c)
873,487
Pipelines & Other — 1.6%
AmeriGas Partners LP,
Sr. Notes
7.125%
05/20/
16
B1
50
50,125
05/15/
11
Ba3
250
262,500
08/01/
31
Ba3
100
110,500
06/15/
12
B2
200
207,500
12/15/
14
B1
50
49,250
01/05/
16
Baa2
25
23,440
01/05/
36
Baa2
50
44,772
06/15/
14
Baa3
25
26,108
El Paso Corp.,
Sr. Unsec’d. Notes
7.00%
7.80%
Ferrellgas Partners LP/Ferrellgas Partners Finance,
Sr. Notes
8.75%
Inergy LP Inergy Finance Corp.,
Sr. Unsec’d. Notes
6.875%
Kinder Morgan Finance Co. ULC,
Gtd. Notes
5.70%
6.40%
Pacific Energy Partners LP,
Sr. Notes
7.125%
Pemex Project Funding Master Trust,
Gtd. Notes
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
8.625%
02/01/
22
Baa1
250
311,250
11/01/
13
B3
125
127,500
09/05/
08
Baa1
200
200,212
10/01/
10
Ba2
350
354,812
07/15/
19
Ba2
25
27,188
09/01/
11
Ba2
225
235,687
09/01/
21
Ba2
40
44,000
03/15/
12
Ba2
65
70,688
02/01/
17
Ba3
100
105,750
Targa Resources, Inc.,
Gtd. Notes, 144A
8.50%
Transocean, Inc.,
Unsec’d. Notes
5.548% (c)
Williams Cos., Inc.,
Notes, 144A
6.375%
Sr. Notes
7.625%
Sr. Unsec’d. Notes
7.125%
7.875%
8.125%
Williams Partners LP,
Bonds, 144A
7.25%
2,251,282
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Real Estate Investment Trusts — 0.1%
Nationwide Health Properties, Inc.,
Unsec’d. Notes
6.50%
07/15/
11
Baa3
100
102,864
12/15/
13
Ba2
25
25,687
10/01/
12
B1
75
79,500
08/01/
14
Caa2
25
27,125
08/01/
12
B3
25
26,502
10/15/
15
B2
45
49,275
02/15/
14
B3
55
55,550
05/01/
10
B3
100
102,750
Retailers — 0.3%
Couche-Tard Finance Corp.,
Sr. Sub. Notes
7.50%
GSC Holdings Corp.,
Gtd. Notes
8.00%
Jean Coutu Group, Inc., (Canada)
Gtd. Notes
8.50%
Sr. Notes
7.625%
Neiman Marcus Group, Inc., PIK
Gtd. Notes
9.00%
Pantry, Inc., (The),
Gtd. Notes
7.75%
Rite Aid Corp.,
Unsec’d. Notes
8.125%
Susser Holdings LLC,
Gtd. Notes
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Please Consider the Environment Before Printing This Document
12/15/
13
10.625%
B2
36
39,285
405,674
Services Cyclical - Rental Equipment — 0.1%
Hertz Corp.,
Gtd. Notes
8.875%
01/01/
14
B1
155
167,013
03/15/
11
B1
25
24,500
12/01/
13
B2
85
92,012
12/01/
15
Caa1
30
33,750
11/15/
14
Ba2
50
48,375
05/15/
13
Ba2
50
49,500
12/15/
14
B1
75
75,094
12/15/
14
B1
325
322,562
Technology — 0.9%
Amkor Technology, Inc.,
Sr. Notes
7.125%
Avago Technologies Finance, (Singapore)
Gtd. Notes
10.125%
11.875%
Flextronics International Ltd., (Singapore)
Sr. Sub. Notes
6.25%
Sr. Unsec’d. Notes
6.50%
Freescale Semiconductor, Inc.,
Sr. Notes, 144A
8.875%
Sr. Notes, 144A, PIK
9.125%
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Sr. Sub. Notes, 144A
10.125%
12/15/
16
B2
60
60,150
04/01/
13
B3
95
97,755
09/01/
08
B3
25
24,688
07/15/
13
B3
25
27,438
10/15/
14
Ba2
65
67,113
10/15/
15
B2
50
51,625
05/01/
14
Caa1
75
74,531
03/15/
16
Caa1
95
102,600
01/15/
16
Caa1
50
51,625
10/15/
12
B2
20
20,050
Iron Mountain, Inc.,
Gtd. Notes
8.625%
Nortel Networks Corp., (Canada)
Gtd. Notes, 144A
4.25%
Nortel Networks Ltd., (Canada)
Gtd. Notes
10.125%
NXP BV,
Sec’d. Notes, 144A
7.875%
Sr. Notes, 144A
9.50%
Sensata Technologies, (Netherlands)
Gtd. Notes
8.00%
Serena Software, Inc.,
Gtd. Notes
10.375%
Spansion LLC,
Sr. Notes, 144A
11.25%
Unisys Corp.,
Sr. Notes
8.00%
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
Please Consider the Environment Before Printing This Document
Xerox Corp.,
Gtd. Notes
03/15/
16
6.40%
Baa3
50
51,426
1,274,794
Telecommunications — 2.7%
BellSouth Corp.,
Sr. Unsec’d. Notes
5.46% (c)
08/15/
08
A2
200
200,104
01/01/
13
Caa1
25
26,969
01/15/
14
B2
45
46,013
05/15/
11
Ba2
75
83,625
01/15/
13
Ba2
40
39,700
08/15/
31
Ba2
15
16,425
11/01/
14
Caad2
50
53,000
Centennial Communications Corp.,
Sr. Notes
10.00%
Cincinnati Bell, Inc.,
Gtd. Notes
8.375%
Citizens Communications Co.,
Notes
9.25%
Sr. Unsec’d. Notes
6.25%
9.00%
Cricket Communications, Inc.,
Sr. Notes, 144A
9.375%
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Dobson Cellular Systems, Inc.,
Sec’d. Notes
8.375%
11/
01/
11
Ba2
$50
$53,062
10/
15/
12
Caa1
10
10,288
05/
01/
15
B3
50
54,750
03/
15/
13
B3
175
204,750
B3
50
50,375
B3
25
25,688
11/
01/
14
Caa2
50
52,875
05/
01/
16
B2
90
96,300
09/
15/
33
Ba1
100
96,500
03/
15/
12
Ba1
25
27,625
Dobson Communications Corp.,
Sr. Notes
9.61% (c)
Hawaiian Telcom Communications, Inc.,
Gtd. Notes
12.50%
Level 3 Financing, Inc.,
Gtd. Notes
12.25%
Sr. Notes, 144A
8.75%
9.25%
02/
15/
17
11/
01/
14
MetroPCS Wireless, Inc.,
Sr. Notes, 144A
9.25%
Nordic Telephone Co. Holdings, (Denmark)
Sec’d. Notes, 144A
8.875%
Qwest Communications International, Inc.,
Debs.
6.875%
Notes
8.875%
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Sr. Notes
7.625%
7.875%
06/
15/
15
09/
01/
11
Ba1
575
613,812
Ba1
175
185,937
Ba3
150
154,375
05/
01/
11
Ba3
95
108,300
02/
01/
10
B3
45
47,475
03/
15/
12
Baa3
1,000
1,115,729
02/
15/
14
B3
25
26,750
08/
01/
16
Ba3
100
109,375
03/
15/
19
Ba3
150
150,000
Sr. Unsec’d. Notes
7.50%
10/
01/
1406/
15/
23
Rogers Wireless, Inc., (Canada)
Sec’d. Notes
9.625%
Rural Cellular Corp.,
Sr. Unsec’d. Notes
9.875%
Sprint Capital Corp.,
Gtd. Notes
8.375%
Time Warner Telecom Holdings, Inc.,
Gtd. Notes
9.25%
Windstream Corp.,
Gtd. Notes
8.625%
Sr. Notes, 144A
7.00%
3,649,802
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Textiles & Apparel — 0.1%
Levi Strauss & Co.,
Sr. Unsub. Notes
01/
15/
15
9.75%
B2
75
82,313
Ba2
25
25,637
Ba2
55
58,511
Tobacco — 0.1%
Reynolds American, Inc.,
Gtd. Notes
07/
15/
10
06/
01/
16
6.50%
7.625%
84,148
TOTAL CORPORATE BONDS
(cost $31,169,976)
32,084,468
U.S. GOVERNMENT MORTGAGE BACKED OBLIGATIONS — 20.3%
Federal National Mortgage Assoc.
4.00%
08/
01/
1806/
01/
20
TBA
5,772
5,458,501
1,000
967,812
03/
01/
3509/
01/
35
02/
01/
36
01/
01/
1902/
4,290
4,034,025
391
390,549
1,777
1,721,533
4.50%
4.50%
4.972%
5.00%
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01/
36
TBA
1,500
1,448,907
5,294
5,238,447
189
190,939
1,904
1,918,900
35
35,431
335
346,259
2,000
2,040,000
922
948,369
3,000
2,918,436
79
80,119
7
7,255
59
60,122
5.00%
02/
01/
3506/
01/
36
05/
01/
36
11/
01/
3210/
01/
36
08/
01/
29
06/
01/
1810/
01/
32
TBA
5.50%
5.65%
6.00%
6.252%
6.50%
6.50%
08/
01/
09
6.875%
Government National Mortgage Assoc.
TBA
5.00%
04/
20/
27
08/
20/
24
10/
20/
2711/
5.375%
5.75%
6.125%
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20/
29
08/
20/
31
02/
20/
2604/
20/
31
04/
20/
26
8.00%
8.50%
8.50%
5
5,078
36
37,285
(r)
—
TOTAL U.S. GOVERNMENT MORTGAGE BACKED OBLIGATIONS
(cost $27,964,934)
1,027
27,848,994
U.S. TREASURY OBLIGATION — 7.3%
United States Inflation Index Bonds
0.875%
2.00%
2.375%
04/
15/
10
01/
15/
16
04/
15/
11
1,100
1,136,431
100
100,410
200
206,613
02/
15/
08
02/
15/
21
200
197,336
1,000
1,299,062
02/
15/
10
01/
15/
10
900
874,933
200
195,195
United States Treasury Bonds
3.375%
7.875%
United States Treasury Notes
3.50%
3.625%
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09/
15/
10
02/
15/
14
10/
15/
1011/
15/
14
11/
15/
08
3.875%
4.00%
4.25%
4.375%
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300
293,801
300
289,406
2,200
2,174,539
200
198,953
11/15/
15
300
296,942
1,000
1,003,555
1,200
1,200,637
300
303,609
4.875%
12/31/
1102/29/
12
12/31/
0802/15/
37
04/30/
11
05/15/
16
300
310,184
5.125%
4.50%
4.625%
4.75%
TOTAL U.S. TREASURY OBLIGATIONS
(cost $10,062,341)
10,081,606
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.2%
Small Business Administration Participation Certificates,
Series 2000-20A, Class 1
7.59%
01/01/
20
155
164,393
02/10/
10
83
87,773
Series 2000-P10A, Class 1
8.017%
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $237,925)
252,166
COLLATERALIZED MORTGAGE OBLIGATIONS — 3.8%
Bear Stearns Adjustable Rate Mortgage Trust,
Series 2005-4, Class 23A2
5.393%(c)
05/25/35
Countrywide Alternative Loan Trust,
Series 2006-0A20, Class A1
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Aaa
172
171,865
5.503%(c)
01/25/46
Aaa
200
200,000
07/25/44
Aaa
711
718,960
11/15/30
Aaa
14
13,701
11/15/
1907/15/20
Aaa
1,111
1,037,435
02/20/30
Aaa
273
284,468
10/25/46
Aaa
190
190,233
09/25/36
Aaa
167
167,291
06/15/22
Aaa
178
177,902
05/25/35
Aaa
485
486,269
04/25/36
Aaa
200
199,586
FHLMC Structured Pass Through Securities,
Series T-61, Class 1A1(c)
6.333%
Freddie Mac,
Series 2266, Class F
5.77%
Series 3010, Class WB
4.50%
Government National Mortgage Assoc.,
Series 2000-15, Class Z
7.50%
Greenpoint Mortgage Funding Trust,
Series 2006-AR6, Class A1A
5.40%(c)
Impac Secured Assets CMN Owner Trust,
Series 2006-4, Class A2A
5.40%(c)
Merrill Lynch Floating Trust,
Series 2006-1, Class A1, 144A
5.39%(c)
Structured Asset Mortgage Investments, Inc.,
Series 2005-AR8, Class A1
5.60%(c)
Thornburg Mortgage Securities Trust,
Series 2006-2, Class A1C
5.44%(c)
Washington Mutual, Inc.,
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Series 2002-AR17, Class 1A
6.183%(c)
11/25/42
Aaa
137
137,158
12/25/27
Aaa
686
685,846
10/25/45
Aaa
167
167,161
04/25/45
Aaa
150
150,401
12/25/46
Aaa
197
197,328
12/25/46
Aaa
177
177,504
Series 2003-R1, Class A1
5.59%(c)
Series 2005-AR13, Class A1A1
5.61%(c)
Series 2005-AR6, Class 2AB1
5.51%(c)
Series 2006-AR17, Class 2A
5.892%(c)
Series 2006-AR17, Class1A1A
5.793%(c)
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(cost $5,060,056)
5,163,108
FOREIGN GOVERNMENT BONDS —1.8%
Development Bank of Japan (Japan)
1.75%
06/21/10
Aaa
10,000
86,967
02/08/11
Ba1
150
170,850
Republic of Panama (Panama)
9.625%
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Russian Government International Bond (Russia)
7.50%(v)
03/31/30
Baa2
50
56,745
03/07/11
Aaa
300
568,920
09/07/14
Aaa
800
1,565,106
United Kingdom Gilt (United Kingdom)
4.25%
United Kingdom Treasury Stock (United Kingdom)
5.00%
TOTAL FOREIGN GOVERNMENT BONDS
(cost $2,379,802)
2,448,588
ASSET-BACKED SECURITIES — 1.4%
Arkle Master Issuer PLC,
Series 2006-1A, Class 1A, 144A
5.30%(c)
11/17/07
Aaa
200
200,063
09/25/34
Aaa
53
53,423
06/15/07
Aaa
500
500,078
09/15/08
Aaa
62
62,026
Asset Backed Securities Corp. Home Equity,
Series 2004-HE6, Class A1
5.595%(c)
Bank One Issuance Trust,
Series 2004-A4, Class A4
5.36%(c)
Ford Credit Auto Owner Trust,
Series 2006-A, Class A2B
5.33%(c)
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Honda Auto Receivables Owner Trust,
Series 2006-1, Class A2
5.10%
09/18/08
Aaa
280
280,213
09/15/09
BBB(d)
200
200,260
08/15/08
Aaa
343
342,961
10/19/09
Aaa
268
265,897
MBNA Master Credit Card Trust,
Series 2000-D, Class C
8.40%
Nissan Auto Receivables Owner Trust,
Series 2006-B, Class A2
5.18%
WFS Financial Owner Trust,
Series 2005-1, Class A3
3.59%
TOTAL ASSET-BACKED SECURITIES
(cost $1,907,608)
1,904,921
MUNICIPAL BONDS — 0.4%
Massachusetts Water Resources Authority, Series J(h)
5.00%
08/01/32
Aaa
250
261,770
05/15/39
Baa3
290
309,662
Tobacco Settlement Financing Corp.,
Series 2001, Class B
5.875%
TOTAL MUNICIPAL BONDS
(cost $476,806)
571,432
TOTAL LONG-TERM INVESTMENTS
(cost $121,986,381)
135,765,542
SHORT-TERM INVESTMENTS — 8.4%
COMMERCIAL PAPER — 1.1%
Bank of America Corp.
(cost $1,480,642)
5.22%
06/28/07
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A1
1,500
1,480,933
CERTIFICATES OF DEPOSIT —0.2%
Skandinavia Enskilda Bank
(cost $199,971)
5.27%(c)
10/03/07
200
199,989
06/14/07
160
158,413
05/31/07
EUR 860
1,141,922
U.S. TREASURY OBLIGATION —0.1%
U.S. Treasury Bills(k)(n)
(cost $158,348)
4.955%
FOREIGN TREASURY BILL —0.8%
Dutch Treasury Certificate (Netherlands)
(cost $1,123,456)
Zero
Shares
AFFILIATED MONEY MARKET MUTUAL FUND — 6.0%
Dryden Core Investment Fund—Taxable Money Market Series (cost $8,222,335)(w)
8,222,335 8,222,335
Notional
Amount
(000)
OUTSTANDING OPTIONS PURCHASED* — 0.2%
Call Options — 0.2%
Eurodollar Futures, expiring 09/14/2007, Strike Price $95.00
34,000
37,613
51,000
39,206
1,000
731
Eurodollar Futures, expiring 03/17/2008, Strike Price $95.25
Eurodollar Futures, expiring 09/14/2007, Strike Price $95.25
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Eurodollar Futures, expiring 06/16/2008, Strike Price $95.25
47,000
44,356
4,400
12,209
5,400
47,806
3,000
20,176
Swap on 3 Month LIBOR, expiring 07/02/2007 @ 4.90%
Swap on 3 Month LIBOR, expiring 07/02/2007 @ 5.37%
Swap on 3 Month LIBOR, expiring 12/20/2007 @ 5.00%
Swap on 3 Month LIBOR, expiring 06/15/2009 @ 5.00%
GBP 250
79
Swap on 3 Month LIBOR, expiring 01/25/2010 @ 5.20%
2,900
30,099
11,200
1,750
U.S. Treasury Note Futures, expiring 05/25/2007, Strike Price $114.00
234,025
Put Options
5 year U.S. Treasury Note Futures, expiring 05/25/2007, Strike Price $103.00
6,000
937
51,000
319
106,000
662
22,000
138
30,000
188
5,000
31
18,000
8,550
25,000
156
1,000
6
Eurodollar Futures, expiring 09/17/2007, Strike Price $90.25
Eurodollar Futures, expiring 09/17/2007, Strike Price $90.50
Eurodollar Futures, expiring 12/17/2007, Strike Price $91.75
Eurodollar Futures, expiring 12/17/2007, Strike Price $91.25
Eurodollar Futures, expiring 12/17/2007, Strike Price $91.50
Eurodollar Futures, expiring 12/17/2007, Strike Price $95.25
Eurodollar Futures, expiring 03/17/2008, Strike Price $92.50
Eurodollar Futures, expiring 12/17/2007, Strike Price $92.00
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FNCL, expiring 05/14/2007, Strike Price $82.00
1,000
22
1,000
101
2,900
21,928
FNCL, expiring 06/05/2007, Strike Price $83.00
Swap on 3 Month LIBOR, expiring 01/25/2010 @ 5.20%
33,038
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TOTAL OUTSTANDING OPTIONS PURCHASED (cost $248,955)
267,063
TOTAL SHORT-TERM INVESTMENTS (cost $11,433,707)
11,470,655
TOTAL INVESTMENTS, BEFORE OUTSTANDING OPTIONS WRITTEN AND SECURITIES SOLD
SHORT — 107.4% (cost $133,420,088)
147,236,197
Principal
Amount
Interest Rate
Maturity Date
(000)#
INVESTMENTS SOLD SHORT — (3.2)%
U.S. Treasury Notes
3.625%
05/15/13
1,100
(1,046,289)
TBA
3,350
(3,314,407)
Federal National Mortgage Assoc.
5.50%
Total Investments Sold Short (proceeds $(4,373,837))
(4,360,696)
Notional
Amount
(000)
OUTSTANDING OPTIONS WRITTEN*
Call Options
Swap on 3 Month LIBOR, expiring 06/15/2007 @ 4.85%
GBP
70
(138
)
1,900
(13,486
)
1,800
(47,855
)
1,300
(19,552
)
Swap on 3 Month LIBOR, expiring 07/02/2007 @ 5.00%
Swap on 3 Month LIBOR, expiring 07/02/2007 @ 5.50%
Swap on 3 Month LIBOR, expiring 12/20/2007 @ 5.15%
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Total Outstanding Options Written (premium received $66,952)
(81,031
)
TOTAL INVESTMENTS, NET OF OUTSTANDING OPTIONS WRITTEN AND SECURITIES
SOLD SHORT — 104.2% (cost $128,979,299)
142,794,470
Liabilities in excess of other assets (x) — (4.2)%
(5,718,974 )
NET ASSETS — 100.0%
$137,075,496
The following abbreviations are used in portfolio descriptions:
144A
Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to
qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
American Depositary Receipt
ADR
Not Rated by Moody’s or Standard & Poor’s
NR
Payment-in-kind
PIK
Restricted Depositary Unit
RDU
Securities purchased on a forward commitment basis
TBA
Australian Dollar
AUD
Euro
EUR
British Pound
GBP
Japanese Yen
JPY
Principal amount is shown in U.S. dollars unless otherwise stated.
#
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Non-income producing security.
*
Indicates a variable rate security.
(c)
Standard & Poor’s rating.
(d)
Indicates a security that has been deemed illiquid.
(g)
(h)
Represents all or partial amount utilized in a municipal Tender Option Bond Transaction. The aggregate principal amount of the
inverse floater and the floating rate note (included in laibilities) are $125,000 and $125,000, respectively.
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(i)
(k)
Represents issuer in default on interest payments. Non-income producing security.
Securities or a portion thereof with an aggregate market value of $158,413 have been segregated with the custodian to cover margin
requirements for future contracts open at March 31, 2007.
Unrealized
Number of Contracts
Expiration
Value at
Value at
Appreciation
Date
Trade Date
March 31, 2007
(Depreciation)
90 Day Euro Dollar
Dec 07
$7,597,212
$7,610,000
$ 12,788
90 Day Euro Dollar
Mar 08
7,382,451
7,383,813
1,362
90 Day Euro Dollar
Jun 08
37,114,000
37,184,550
70,550
90 Day Euro Dollar
Sep 08
5,698,537
5,721,900
23,363
90 Day Euro Dollar
Dec 08
4,512,650
4,529,125
16,475
90 Day Euro EURIBOR
Jun 07
6,738,120
6,724,943
(13,177
90 Day Sterling
Mar 08
3,940,807
3,941,225
418
5 Year U.S. Treasury Notes
Jun 07
13,813,235
13,859,391
46,156
Type
Long Positions:
32
20
156
24
19
21
17
131
157,935
Short Positions:
140
10 Year U.S. Treasury Notes
Jun 07
20,308,375
20,219,375
89,000
$ 246,935
(n)
(r)
(v)
(w)
(x)
Rates shown are the effective yields at purchase date.
Less than $1,000 par.
The rate shown reflects the coupon rate after the step date.
Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund-Taxable Money
Market Series.
Liabilities in excess of other assets includes unrealized appreciation (depreciation) on forward foreign currency exchange contracts and
swap.
Forward foreign currency exchange contracts outstanding at March 31, 2007:
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)
Notional
Sale Contracts
Unrealized
Amount
Value at Settlement
Current
Appreciation
(000)
Date Receivable
Value
(Depreciation)
Euros,
expiring 04/26/07
EUR
412
$ 550,679
$550,964
$ (285
)
EUR
594
792,981
793,492
(511
)
JPY
93,412
793,390
792,702
688
GBP
1,138
2,224,175
2,239,381
(15,206
)
$ 4,361,225
$4,376,539
$ (15,314
)
expiring 04/26/07
Japanese Yen,
expiring 04/16/07
Pound Sterling,
expiring 04/05/07
Interest rate swap agreements outstanding at March 31, 2007:
Unrealized
Appreciation
Counter Party
Termination Date
Notional Amount
Floating Rate
Fixed Rate
(Depreciation)
Morgan Stanley & Co.(1)
06/20/37
$
1,600,000
5.00
%
3 Month LIBOR
$ (55,745
)
06/20/37
$
1,700,000
5.00
%
3 Month LIBOR
(26,481
)
06/18/09
$
5,000,000
5.00
%
3 Month LIBOR
20,695
06/18/34
GBP 300,000
5.00
%
6 Month LIBOR
(10,708
12/15/35
10/15/10
GBP 400,000
EUR 100,000
4.00
%
2.1455 %
6 Month LIBOR
FRC-Excluding Tobacco-NonRevised Consumer Price Index
12,590
3,569
01/15/10
AUD200,000
6.50
6 Month Australian Bank Bill rate
(261
Deutsche Bank(1)
UBS AG(1)
Barclays Capital PLC(2)
)
Deutsche Bank(2)
UBS AG(1)
JPMorgan Chase Bank(1)
%
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)
Deutsche Bank(1)
01/15/10
AUD200,000
6.50
%
6 Month Australian Bank Bill rate
(242
)
06/20/14
$
1,100,000
5.00
%
3 Month LIBOR
(4,471
)
06/20/37
$
900,000
5.00
%
3 Month LIBOR
2,323
06/20/07
JPY 30,000,000
2.00
%
6 Month LIBOR
(2,773
)
06/20/07
JPY 10,000,000
2.00
%
6 Month LIBOR
(1,192
)
06/20/17
$
400,000
5.00
%
3 Month LIBOR
(3,189
)
06/20/17
$
100,000
5.00
%
3 Month LIBOR
(952
)
06/20/12
$
3,700,000
5.00
%
3 Month LIBOR
(7,353
)
06/20/37
$
800,000
5.00
%
3 Month LIBOR
(28,546
)
09/15/10
GBP 200,000
5.00
%
6 Month LIBOR
(8,251
)
Bank of America Securities LLC(1)
Citigroup(1)
Merrill Lynch & Co.(2)
Barclays Capital PLC(2)
Deutsche Bank(1)
Barclays Capital(1)
Lehman Brothers(1)
UBS AG(1)
Barclays Capital(1)
$ (110,987 )
(1)
(2)
Portfolio pays the floating rate and receives the fixed rate.
Portfolio pays the fixed rate and receives the floating rate.
Credit default swap agreements outstanding at March 31, 2007:
Unrealized
Termination
Counter Party
Date
Fixed
Appreciation
Underlying Bond
Notional Amount
Rate
(Depreciation)
03/20/12
$
100,000
0.17 %
AIG Corp., 5.4%, due 02/15/12
(61
)
03/20/08
$
300,000
0.06 %
AIG Corp., 5.6%, due 10/18/16
(4
)
12/20/08
$
200,000
0.26 %
Allstate Corp., 6.125%, due 02/15/12
(677
)
12/20/08
$
200,000
0.35 %
AutoZone, Inc., 5.875%, due 10/15/12
(940
)
Barclays Bank PLC(1)
Lehman Brothers(2)
Morgan Stanley & Co.(1)
UBS AG(1)
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12/20/16
$
400,000
0.17 %
Bank of America Corp., 5.62%, 10/14/
16
1,531
06/20/15
09/20/11
$
$
100,000
100,000
0.15 %
0.58 %
CitiFinancial, 6.625%, due 06/01/15
DaimlerChrysler NA Holdings, 5.75%,
due 09/08/11
232
(992
12/20/11
$
1,200,000
0.75 %
Dow Jones CDX HVOL7 Index
3,793
03/20/07
$
300,000
0.46 %
Dow Jones CDX IG5 Index
(722
12/20/12
$
400,000
0.14 %
Dow Jones CDX IG5 Index
213
03/20/07
$
700,000
0.46 %
Dow Jones CDX IG5 Index
(2,279
12/20/12
$
1,000,000
0.14 %
Dow Jones CDX IG5 Index
709
12/20/16
$
500,000
0.65 %
Dow Jones CDX IG7 Index
3,204
12/20/16
12/20/16
$ 500,000
EUR200,000
0.65 %
0.85 %
Dow Jones CDX IG7 Index
Dow Jones CDX iTraxx HiVol Series
6 Version 1 Index
3,017
(218
)
12/20/16
EUR400,000
0.85 %
Dow Jones CDX iTraxx HiVol Series
6 Version 4 Index
(591
)
12/20/16
EUR400,000
0.85 %
Dow Jones CDX iTraxx HiVol Series
6 Version 4 Index
(651
)
12/20/16
EUR600,000
0.85 %
Dow Jones CDX iTraxx HiVol Series
6 Version 4 Index
(709
)
12/20/08
$
100,000
0.13 %
E.I. DuPont, 6.875%, due 10/15/09
(133
)
12/20/08
$
200,000
0.28 %
Eaton Corp., 5.75%, due 07/15/12
(745
)
12/20/08
$
200,000
0.16 %
Eli Lilly & Co., 6.00%, due 03/15/12
(458
)
Citigroup(1)
Barclays Bank PLC(1)
Barclays Bank PLC(1)
)
Barclays Bank PLC(1)
Morgan Stanley & Co.(2)
)
Morgan Stanley & Co.(1)
Morgan Stanley & Co.(2)
)
Morgan Stanley & Co.(1)
Morgan Stanley & Co.(1)
Goldman Sachs(1)
JPMorgan Chase Bank(1)
Goldman Sachs(1)
Deutsche Bank(1)
Barclays Bank PLC(1)
Bank of America Securities LLC(1)
Citigroup(1)
Barclays Bank PLC(1)
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12/20/08
$
100,000
0.21 %
Emerson Electric Co., 6.48%, due 10/
15/12
(247
)
12/20/08
12/20/08
$
$
100,000
100,000
0.29 %
0.97 %
FedEx Corp., 7.25%, due 02/15/11
Goodrich Corp., 7.625%, due 12/15/12
(279
(1,539
)
)
12/20/08
$
200,000
0.32 %
Hewlett-Packard Co., 6.50% due 07/
01/12
(1,038
)
12/20/08
$
200,000
0.12 %
Home Depot, Inc., 5.375%, due 04/01/
06
(110
)
12/20/08
$
100,000
0.32 %
Ingersoll-Rand Corp., 6.48%, due 06/
01/25
(390
)
03/20/11
$
100,000
0.37 %
iStar Financial, Inc., 5.8%, due 03/15/
11
341
12/20/08
$
200,000
0.11 %
Johnson & Johnson, 3.80%, due 05/15/
13
(359
)
12/20/08
$
100,000
0.53 %
Lockheed Martin Corp., 8.20%, due
12/01/09
(877
)
12/20/08
09/20/11
$
$
100,000
100,000
0.30 %
0.62 %
Masco Corp., 5.875%, due 07/15/12
Nationwide Health, 6.5%, due 07/15/
11
(11
(572
)
)
12/20/08
$
100,000
0.48 %
Northrop & Grumman Corp., 7.125%,
due 02/15/11
(792
)
06/20/09
$
400,000
0.40 %
People’s Republic of China, 6.80%,
due 05/23/11
(2,937
)
12/20/08
$
100,000
0.35 %
RadioShack Corp., 7.375%, due 05/15/
11
100
09/20/13
$
100,000
0.58 %
Sealed Air Corp., 5.625%, due 07/15/
13
(1,041
03/20/12
$
1,000,000
0.55 %
Sprint Capital Corp., 8.375%, due 03/
15/12
283
12/20/08
$
300,000
0.14 %
WalMart Stores, Inc., 6.875%, due 08/
10/09
(483
Morgan Stanley & Co.(1)
Citigroup(1)
Lehman Brothers(1)
Bear Stearns International Ltd.(1)
Lehman Brothers(1)
Merrill Lynch & Co.(1)
Barclays Bank PLC(1)
Lehman Brothers(1)
Lehman Brothers(1)
Lehman Brothers(1)
Deutsche Bank(1)
Lehman Brothers(1)
Lehman Brothers(1)
Lehman Brothers(1)
Morgan Stanley & Co.(1)
Bear Stearns International Ltd.(1)
Citigroup(1)
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)
)
12/20/08
$
100,000
0.67 %
Walt Disney Co. (The), 6.375%, due
03/12/12
(1,071
06/20/16
$
100,000
0.63 %
Whirlpool Corp., 6.5%, due 06/15/16
3,430
12/20/08
$
100,000
0.29 %
Whirlpool Corp., 8.60%, due 05/01/10
(163
)
$ (4,236
)
Barclays Bank PLC(1)
)
Bear Stearns International Ltd.(1)
Lehman Brothers(1)
(1)
(2)
Portfolio pays the fixed rate and receives from the counterparty, par in the event that the underlying bond defaults.
Portfolio pays the counterparty par in the event that the underlying bond defaults and receives the fixed rate.
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EQUITY PORTFOLIO
Schedule of Investments
March 31, 2007 (Unaudited)
Shares
Value
LONG-TERM INVESTMENTS — 97.6%
COMMON STOCKS
Aerospace & Defense — 3.1%
Boeing Co. (The)(a)
314,400
$27,953,304
Honeywell International, Inc.
1,376,700
63,410,802
1,326
128,649
1,075,700
20,158,618
2,400
125,904
333,500
21,677,500
Lockheed Martin Corp.
Orbital Sciences Corp.*(a)
Raytheon Co.
United Technologies Corp.
133,454,777
Air Freight & Logistics
United Parcel Service, Inc.(Class B Stock)
1,735
121,623
200,100
5,094,546
982,723
62,461,874
Auto Related — 0.1%
Tenneco, Inc.*
Beverages — 1.4%
PepsiCo, Inc.(a)
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Biotechnology — 1.6%
Genentech, Inc.*(a)
357,813
29,383,604
514,652
39,370,878
Gilead Sciences, Inc.*(a)
68,754,482
Building Materials — 0.8%
Masco Corp.
1,326,962
36,358,759
377,500
20,015,050
796,200
32,285,910
300,312
62,053,468
7,112
306,812
532,800
43,513,776
874,500
15,994,605
1,050,400
62,425,272
Building Products — 0.5%
American Standard Cos., Inc.
Capital Markets — 5.0%
Bank of New York Co., Inc. (The)
Goldman Sachs Group, Inc.(a)
Mellon Financial Corp.(a)
Merrill Lynch & Co., Inc.
Schwab, (Charles) Corp.
UBS AG
216,579,843
Chemicals — 1.2%
Air Products & Chemicals, Inc.
900
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66,501
Arkema, ADR (France)*
70
3,999
1,084,514
53,607,527
DuPont (E.I.) de Nemours & Co.(a)
53,678,027
Clothing & Apparel
Cintas Corp.
844
30,468
500
14,695
Hanesbrands, Inc.*
45,163
Commercial Banks — 2.0%
Bank of America Corp.
732,848
37,389,905
1,401
77,124
1,400,914
48,233,469
Wachovia Corp.
Wells Fargo & Co.
85,700,498
Commercial Services & Supplies — 0.7%
Waste Management, Inc.
883,600
30,404,676
2,016,800
23,818,408
2,946,789
75,231,523
2,475
56,281
3,618,764
63,943,560
Communication Equipment — 6.5%
Avaya, Inc.*
Cisco Systems, Inc.*
Corning, Inc.*
Motorola, Inc.
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Nokia Corp., ADR (Finland)
7,542
172,863
2,488,960
106,179,034
101,700
13,881,033
QUALCOMM, Inc.
Research in Motion Ltd. (Canada)*(a)
283,282,702
Computers & Peripherals — 1.4%
Apple Computer, Inc.*(a)
361,300
33,568,383
10,365
240,572
8,140
112,739
689,300
27,668,502
5,400
32,454
Dell, Inc.*
EMC Corp.*(a)
Hewlett-Packard Co.
Sun Microsystems, Inc.*(a)
61,622,650
Conglomerates
Cooper Industries Ltd.(Class A Stock) (Bermuda)
820
36,892
1,316,600
36,048,508
1,112,746
62,758,874
322,300
13,182,070
Construction — 0.8%
Toll Brothers, Inc.*(a)
Consumer Finance — 1.8%
American Express Co.
SLM Corp.(a)
75,940,944
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Consumer Products & Services — 0.4%
Fortune Brands, Inc.(a)
236,600
18,648,812
925,900
28,239,950
1,220,900
25,687,736
Diversified Consumer Services — 1.2%
Career Education Corp.*(a)
H&R Block, Inc.
53,927,686
Diversified Financial Services — 5.0%
Capital One Financial Corp.
500,475
37,765,844
753,304
38,674,627
295,290
17,566,802
1,017,647
49,233,762
1,295,700
31,420,725
334,700
8,116,475
370,300
34,715,625
Citigroup, Inc.
Freddie Mac
JPMorgan Chase & Co.
KKR Private Equity Investors LP(c)
KKR Private Equity Investors LP, RDU (cost $7,567,532; purchased 7/18/06 - 8/3/06)(c)(e)
NYSE Euronext*(a)
217,493,860
Electric Utilities — 0.8%
Dominion Resources, Inc.
192,800
17,114,856
284,000
19,513,640
Exelon Corp.
36,628,496
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Electronic Components — 1.6%
Dolby Laboratories, Inc.(Class A Stock) *
667,058
23,020,172
107,000
5,565,070
279,700
24,140,907
370,900
18,726,741
First Solar, Inc.
Parker Hannifin Corp.
Sony Corp. (Japan)
71,452,890
Energy Equipment & Services — 1.1%
Baker Hughes, Inc.
362,700
23,985,351
5,010
139,779
BJ Services Co.
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Energy Equipment & Services (cont’’d.)
Cameron International Corp.*
6,490
$407,507
2,000
123,360
272,000
22,222,400
GlobalSantaFe Corp. (Cayman Islands)
Transocean, Inc.*
46,878,397
Financial——Bank & Trust — 0.4%
Hudson City Bancorp, Inc.(a)
1,329,500
18,187,560
1,986
142,932
PNC Financial Services Group, Inc.
18,330,492
Financial——Brokerage
Ameriprise Financial, Inc.
177
10,114
859,800
24,289,350
1,071,792
50,320,634
Food & Staples Retailing — 1.7%
Kroger Co. (The)
Wal-Mart Stores, Inc.(a)
74,609,984
Food Products — 2.2%
Cadbury Schweppes PLC, ADR (United Kingdom)
577,300
29,655,901
1,015,000
25,283,650
792
46,110
ConAgra Foods, Inc.
General Mills, Inc.
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Kellogg Co.
385,515
19,827,037
572,823
22,065,142
4,000
67,680
McCormick & Co., Inc.
Sara Lee Corp.
96,945,520
Healthcare Equipment & Supplies — 0.5%
Alcon, Inc.(a)
158,100
20,840,742
1,486
72,903
833
31,329
Medtronic, Inc.
St. Jude Medical, Inc.*
20,944,974
Healthcare Providers & Services — 1.9%
Coventry Health Care, Inc.*
348,623
19,540,319
611,500
24,319,355
2,352
15,123
484,847
25,682,346
131,900
10,697,090
Omnicare, Inc.
Tenet Healthcare Corp.*(a)
UnitedHealth Group, Inc.
WellPoint, Inc.*
80,254,233
Hotels, Restaurants & Leisure — 2.0%
Marriott International, Inc.(Class A Stock)
444,100
21,743,136
944,561
42,552,473
McDonald’s Corp.
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OSI Restaurant Partners, Inc.
560
22,120
255,078
22,082,103
Station Casinos, Inc.
86,399,832
Household Durables
Newell Rubbermaid, Inc.
2,500
77,725
388,900
26,635,761
799,678
50,507,662
Household Products — 1.8%
Kimberly-Clark Corp.
Procter & Gamble Co.
77,143,423
Independent Power Producers & Energy Traders — 0.7%
NRG Energy, Inc.*(a)
402,400
28,988,896
2,851,463
100,827,732
368,085
33,054,033
16,708
527,137
Industrial Conglomerates — 3.1%
General Electric Co.
Textron, Inc.
Tyco International Ltd.
134,408,902
Insurance — 5.0%
AFLAC, Inc.(a)
737,670
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34,714,750
Allstate Corp. (The)
2,922
175,495
1,179,210
79,266,496
644,600
21,826,156
207
22,560,930
2,165
37,455
614
58,686
839,900
38,156,657
670,700
19,644,803
American International Group, Inc.
Axis Capital Holdings Ltd.
Berkshire Hathaway, Inc.(Class A Stock) *
Conseco, Inc.*(a)
Hartford Financial Services Group, Inc.
Loews Corp.
Marsh & McLennan Cos., Inc.
216,441,428
Internet Software & Services — 1.3%
Google, Inc.(Class A Stock) *
119,900
54,933,384
10,373
188,062
1,140
35,671
Oracle Corp.*
Yahoo!, Inc.*(a)
55,157,117
IT Services — 0.5%
Accenture Ltd.(Class A Stock)
2,802
107,989
508,210
19,245,913
Paychex, Inc.(a)
19,353,902
Leisure Equipment & Products
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Mattel, Inc.
2,812
77,527
550
25,713
304,700
20,424,041
3,523
107,769
4,350
112,883
1,567
39,911
504,619
21,915,603
1,022,450
31,327,868
2,715,326
62,778,337
1,281,138
31,349,447
1,503,506
29,649,138
3,523
144,831
1,248,600
42,989,298
Life Science Tools & Services
Thermo Fisher Scientific, Inc.*(a)
Machinery — 0.5%
Caterpillar, Inc.
Media — 5.1%
CBS Corp.(Class B Stock)
Comcast Corp.(Class A Stock) *(a)
Comcast Corp.(Special Class A Stock) *
EchoStar Communications Corp.(Class A Stock) *
Liberty Global, Inc. (Class C Stock)*
News Corp.(Class A Stock)
News Corp.(Class B Stock) (a)
Time Warner, Inc.
Viacom, Inc.(Class B Stock) *
Walt Disney Co. (The)(a)
220,415,085
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Metals & Mining — 2.0%
Alcoa, Inc.(a)
563,300
19,095,870
1,412,138
40,316,540
Barrick Gold Corp. (Canada)
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Metals & Mining (cont’’d.)
Freeport-McMoRan Copper & Gold, Inc.(a)
391,100
$25,886,909
85,299,319
Multi-Line Retail — 1.2%
Federated Department Stores, Inc.
473,800
21,344,690
1,300
106,808
530
40,603
521,541
13,476,620
322,013
19,082,490
J.C. Penney Co., Inc.
Kohl’s Corp.*
Staples, Inc.
Target Corp.
54,051,211
Multi-Utilities — 1.9%
Sempra Energy
1,371,346
83,665,819
1,515,600
25,598,484
279,786
19,123,373
741,028
55,910,563
565,400
31,362,738
Office Electronics — 0.6%
Xerox Corp.*
Oil, Gas & Consumable Fuels — 7.4%
ConocoPhillips
Exxon Mobil Corp.
Hess Corp.(a)
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Nexen, Inc.
519,500
31,845,350
612,400
30,197,444
276,100
27,474,711
548,529
41,739,517
241,891
18,468,378
628,726
43,872,500
352,100
22,706,929
Occidental Petroleum Corp.
Petroleo Brasileiro SA, ADR (Brazil)
Suncor Energy, Inc. (Canada)
Suncor Energy, Inc. (Canada)
Total SA, ADR (France)(a)
Valero Energy Corp.
322,701,503
Pharmaceuticals — 6.6%
Abbott Laboratories
1,053,855
58,805,109
1,452,100
19,298,409
1,697
91,146
2,172
130,885
301,986
10,989,271
4,000
176,680
689,500
37,667,385
1,800
45,468
476,700
41,976,772
Elan Corp. PLC, ADR (Ireland)*(a)
Eli Lilly & Co.
Johnson & Johnson
MedImmune, Inc.*(a)
Merck & Co., Inc.
Novartis AG, ADR (Switzerland)
Pfizer, Inc.
Roche Holdings Ltd., ADR (Switzerland)
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Sanofi-Aventis, ADR (France)(a)
223,722
9,734,144
1,907,600
48,662,876
1,200
55,956
1,190,409
59,556,162
Schering-Plough Corp.
Sepracor, Inc.*(a)
Wyeth
287,190,263
Retail & Merchandising
CVS / Caremark Corp.
1,060
36,188
1,310
35,318
TJX Cos., Inc.
71,506
Semiconductors & Semiconductor Equipment — 2.0%
Analog Devices, Inc.
1,080
37,249
1,035,416
25,626,546
647,150
20,754,100
4,300
82,259
552
29,433
1,319,510
22,180,963
2,600
76,440
625,355
18,823,186
ASML Holding NV (Netherlands)*(a)
Broadcom Corp.(Class A Stock) *(a)
Intel Corp.
KLA-Tencor Corp.(a)
Marvell Technology Group Ltd.*(a)
Maxim Integrated Products, Inc.
Texas Instruments, Inc.
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Xilinx, Inc.(a)
1,070
27,531
87,637,707
Software — 4.6%
Adobe Systems, Inc.*(a)
1,608,713
67,083,332
318,400
16,034,624
3,383,095
94,286,858
1,322,910
22,886,343
Electronic Arts, Inc.*
Microsoft Corp.
Symantec Corp.*
200,291,157
Specialty Retail — 1.3%
Bed Bath & Beyond, Inc.*(a)
770
30,931
746,000
36,345,120
1,445
53,089
589,784
18,572,298
Best Buy Co., Inc.
Home Depot, Inc. (The)
Lowe’s Cos., Inc.(a)
55,001,438
Telecommunications — 1.0%
Alltel Corp.
261,248
16,197,376
23,803
508,194
661
37,248
1,276,500
25,121,520
Comverse Technology, Inc.*
Embarq Corp.
Juniper Networks, Inc.*(a)
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Nortel Networks Corp. (Canada)*
1,926
46,320
41,910,658
Textiles, Apparel & Luxury Goods — 1.6%
Coach, Inc.*(a)
908,100
45,450,405
242,000
25,714,920
NIKE, Inc.(Class B Stock)
71,165,325
Thrifts & Mortgage Finance — 0.6%
Fannie Mae
491,900
26,847,902
819,500
71,960,295
566
23,387
250
26,858
Tobacco — 1.7%
Altria Group, Inc.
Transportation
Expeditors International Washington, Inc.
FedEx Corp.
50,245
Wireless Telecommunication Services — 1.4%
NII Holdings, Inc.*(a)
442,900
32,854,322
1,528,816
28,986,351
Sprint Nextel Corp.
61,840,673
TOTAL LONG-TERM INVESTMENTS
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(cost $3,475,377,599)
4,239,923,568
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SHORT-TERM INVESTMENT — 12.2%
AFFILIATED MONEY MARKET MUTUAL FUND
Dryden Core Investment Fund—Taxable Money Market Series(b)(w) (cost $530,548,968; includes
$464,537,454 of cash collateral for securities on loan)
530,548,968 $530,548,968
TOTAL INVESTMENTS(d) — 109.8%
(cost $4,005,926,567)
4,770,472,536
Liabilities in excess of other assets — (9.8)%
(424,440,589 )
NET ASSETS — 100.0%
$4,346,031,947
The following abbreviations are used in portfolio descriptions:
ADR American Depositary Receipt
RDU Restricted Depositary Unit
*
Non-income producing security.
(a)
All or a portion of security is on loan. The aggregate market value of such securities is $448,612,619; cash collateral of $464,537,454
(included with liabilities) was received with which the portfolio purchased highly liquid short-term investments.
(b)
Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.
(c)
Securities were 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.
(d)
As of March 31, 2007, 1 security representing $8,116,475 and 0.19% of the Net assets was fair valued in accordance with the policies
adopted by the Board of Trustees’.
(e)
Indicates a security that has been deemed illiquid.
(w)
Prudential Investments LLC, the manager of the Portfolio also serves as manager of the Dryden Core Investment Fund-Taxable
Money Market Series.
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FLEXIBLE MANAGED PORTFOLIO
SCHEDULE OF INVESTMENTS
as of March 31, 2007 (Unaudited)
Shares
Value
186,600
$16,590,606
51,800
2,835,532
41,732
1,294,456
177,400
8,171,044
51,900
4,539,693
145,300
14,097,006
213,200
15,823,704
16,900
886,574
113,200
7,358,000
LONG-TERM INVESTMENTS — 92.9%
COMMON STOCKS — 67.4%
Aerospace/Defense — 1.9%
Boeing Co.
Ceradyne, Inc.(a)(b)
European Aeronautic Defense and Space Company (Netherlands)
Honeywell International, Inc.(b)
L-3 Communications Holdings, Inc.
Lockheed Martin Corp.
Northrop Grumman Corp.
Raytheon Co.
United Technologies Corp.
71,596,615
Air Freight & Logistics — 0.2%
FedEx Corp.
21,500
2,309,745
29,300
849,407
HUB Group, Inc.(a)(b)
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TNT NV (Netherlands)
10,357
474,967
43,800
3,070,380
United Parcel Service, Inc. (Class B Stock)(b)
6,704,499
Airlines — 0.1%
Air France KLM (France)
38,850
1,772,303
35,460
339,130
80,471
428,912
193,053
820,046
11,000
120,357
British Airways PLC (United Kingdom) (a)
Iberia Lineas Aereas de Espana (Spain)
Qantas Airways Ltd. (Australia)
Singapore Airlines Ltd. (Singapore)
3,480,748
Auto Components — 0.2%
Aisin Seiki Co. Ltd. (Japan)
10,500
367,999
5,000
99,924
9,552
1,054,868
35,100
1,304,633
124,900
2,029,625
10,000
187,118
456
227,221
Bridgestone Corp. (Japan)
Compagnie Generale des Etablissements Michelin (France)
Denso Corp. (Japan)
Gentex Corp.
NGK Spark Plug Co., Ltd. (Japan)
Rieter Holding AG (Switzerland)
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Stanley Electric Co. Ltd. (Japan)
27,100
550,785
8,100
192,121
Tokai Rika Co. Ltd. (Japan)
6,014,294
Automobiles — 0.4%
Fiat S.p.A. (Italy)
44,437
1,120,141
65,900
2,019,176
6,000
352,500
59,800
2,085,692
General Motors Corp.(b)
Harley-Davidson, Inc.
Honda Motor Co. Ltd. (Japan)
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Renault SA (France)
7,304
854,226
93,000
5,958,504
4,636
697,329
Toyota Motor Corp. (Japan)
Volkswagen AG (Germany)
13,087,568
Beverages — 1.4%
Anheuser-Busch Cos., Inc.
39,400
1,988,124
Coca-Cola Co. (The)
507,900 24,379,200
Coca-Cola Enterprises, Inc.
224,100 4,538,025
Coca-Cola Hellenic Bottling Co. SA (Greece)
5,730
241,113
10,700
231,997
87,416
484,489
7,948
573,865
48,400
1,543,476
Coca-Cola West Holdings Co. Ltd. (Japan)
Foster’s Group Ltd. (Australia)
InBev NV (Belgium)
Pepsi Bottling Group, Inc.
PepsiCo, Inc.
226,020 14,365,831
SABMiller PLC (United Kingdom)
92,921
2,038,824
50,384,944
Biotechnology — 0.4%
Amgen, Inc.(a)
9,708
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542,483
Biogen Idec, Inc.(a)(b)
161,400 7,162,932
CSL Limited (Australia)
32,413
2,160,185
83,200
4,474,496
United Therapeutics Corp.(a)(b)
14,340,096
Building Products — 0.1%
Cie de Saint-Gobain (France)
11,464
1,120,535
457
703,279
8,900
192,969
25,000
155,720
Geberit AG (Switzerland)
JS Group Corp. (Japan)
Sanwa Shutter Corp. (Japan)
2,172,503
Capital Markets — 2.9%
3i Group PLC (United Kingdom)
9,809
219,277
30,500
4,585,675
45,216
3,244,731
11,300
235,053
24,447
3,290,559
Bear Stearns Cos., Inc.(The)
Credit Suisse Group (Switzerland)
D. Carnegie & Co. AB (Sweden)
Deutsche Bank AG (Germany)
Goldman Sachs Group, Inc.
108,700 22,460,681
Janus Capital Group, Inc.
121,100 2,532,201
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Lehman Brothers Holdings, Inc.(b)
289,900 20,313,293
Macquarie Bank Ltd. (Australia)
10,777
721,553
Merrill Lynch & Co., Inc.
253,900 20,736,013
Morgan Stanley
326,390 25,706,477
UBS AG (Switzerland)
71,441
4,244,777
108,290,290
Chemicals — 1.0%
Air Products and Chemicals, Inc.
47,200
3,490,912
80,000
582,485
79,900
5,241,441
10,777
1,210,737
Asahi Kasei Corp. (Japan)
Ashland, Inc.
BASF AG (Germany)
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Ciba Specialty Chemicals AG (Switzerland)
2,068
136,233
36,000
168,635
24,000
95,316
392,400
17,995,465
22,200
1,405,926
34,472
1,544,491
143,500
1,221,406
74,000
709,606
107,000
935,251
27,000
291,446
40,700
2,105,004
9,000
65,071
34,000
175,136
11,800
325,658
Denki Kagaku Kogyo K K (Japan)
DIC Corp. (Japan)
Dow Chemical Co. (The)
Eastman Chemical Co.
Koninklijke DSM NV (Netherlands)
Mitsubishi Chemical Holdings Corp. (Japan)
Mitsubishi Gas Chemical Co., Inc. (Japan)
Mitsui Chemicals, Inc. (Japan)
Nippon Shokubai Co. Ltd. (Japan)
Rohm and Haas Co.
Sumitomo Bakelite Co. Ltd. (Japan)
Tosoh Corp. (Japan)
Yara International ASA (Norway)
37,700,219
Commercial Banks — 3.7%
Allied Irish Banks PLC (Ireland)
12,749
378,081
6,594
208,763
Alpha Credit Bank (Greece)
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Australia and New Zealand Banking Group Ltd. (Australia)
57,018
1,370,159
4,918
145,519
71,162
1,747,228
34,433
298,981
150,594
545,171
43,906
838,131
33,131
1,028,996
25,932
534,859
226,674
4,045,425
136,015
1,929,803
189,000
7,752,780
34,939
3,649,368
105,800
6,254,896
18,415
815,476
15,737
639,951
42,549
1,659,126
46,600
2,168,025
Banche Popolari Unite Scpa (Italy)
Banco Bilbao Vizcaya Argentaria SA (Spain)
Banco BPI SA (Portugal)
Banco Comercial Portugues SA (Portugal)
Banco Espirito Santo SA (Portugal)
Banco Popolare di Verona e Novara Scrl (Italy)
Banco Popular Espanol SA (Spain)
Banco Santander Central Hispano SA (Spain)
Barclays PLC (United Kingdom)
BB&T Corp.(b)
BNP Paribas (France)
Comerica, Inc.
Comerzbank AG (Germany)
Commonwealth Bank of Australia (Australia)
Credit Agricole SA (France)
Danske Bank A/S (Denmark)
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DBS Group Holdings Ltd. (Singapore)
44,000
620,637
51,666
1,541,857
127,300
1,796,940
75,000
531,441
101,295
2,087,015
277,444
4,856,376
15,800
345,230
37,000
231,093
249,500
9,348,765
101,341
1,116,771
50
564,325
90,000
887,475
10,692
349,497
191,000
7,114,750
220,000
7,781,400
115,536
4,510,763
7
70,095
Dexia (Belgium)
DNB NOR ASA (Norway)
Gunma Bank Ltd. (The) (Japan)
HBOS PLC (United Kingdom)
HSBC Holdings PLC (United Kingdom)
Huntington Bancshares, Inc.(b)
Joyo Bank Ltd. (The) (Japan)
KeyCorp(b)
Lloyds TSB Group PLC (United Kingdom)
Mitsubishi UFJ Financial Group, Inc. (Japan)
Mitsui Trust Holdings, Inc. (Japan)
National Australia Bank Ltd. (Australia)
National City Corp.(b)
Regions Financial Corp.
Royal Bank of Scotland Group PLC (United Kingdom)
Sapporo Hokuyo Holdings, Inc. (Japan)
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Shizuoka Bank Ltd. (The) (Japan)
15,000
159,751
29,600
947,414
18,100
3,128,010
Skandinaviska Enskilda Banken AB (Class A Stock) (Sweden)
Societe Generale (France)
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Sumitomo Mitsui Financial Group, Inc. (Japan)
21
190,682
48,900
4,060,656
24,900
739,925
3,106
167,057
328,632
11,492,261
308,917
2,940,239
131,000
7,211,550
697,000
23,997,709
63,479
1,353,360
SunTrust Banks, Inc.(b)
Svenska Handelbanken (Class A Stock) (Sweden)
Sydbank A/S (Denmark)
U.S. Bancorp
UniCredito Italiano S.p.A (Italy)
Wachovia Corp.(b)
Wells Fargo & Co.(k)
Westpac Banking Corp. (Australia)
136,153,782
Commercial Services & Supplies — 0.6%
Avery Dennison Corp.
66,200
4,254,012
119,201
657,759
25,100
914,895
18,051
55,680
25,400
850,646
29,700
1,521,531
41,662
439,026
Downer EDI Ltd. (Australia)
Equifax, Inc.
Hays PLC (United Kingdom)
Herman Miller, Inc.
John H. Harland Co.
Michael Page International PLC (United Kingdom)
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R. R. Donnelley & Sons Co.
8,900
325,651
2,745
212,900
220,500
8,160,705
152,000
5,230,320
Randstad Holdings NV (Netherlands)
Robert Half International, Inc.(b)
Waste Management, Inc.
22,623,125
Communications Equipment — 1.2%
Cisco Systems, Inc. (a)
1,122,100 28,647,213
Nokia Corp. OYJ (Finland)
90,150
2,074,947
288,900
12,324,474
4,705
43,863
8,000
62,050
QUALCOMM, Inc.
Telent PLC (United Kingdom)
Uniden Corp. (Japan)
43,152,547
Computers & Peripherals — 2.6%
EMC Corp.(a)(b)
948,200
13,132,570
683,565
27,438,299
419,500
39,542,070
342,600
12,511,752
20,400
327,216
Hewlett-Packard Co.(b)
International Business Machines Corp.
Network Appliance, Inc.(a)
Novatel Wireless, Inc.
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Western Digital Corp.(a)
116,300
1,955,003
1,278
119,163
Wincor Nixdorf AG (Germany)
95,026,073
Construction & Engineering — 0.1%
Acciona SA (Spain)
2,564
555,381
8,687
527,424
29,000
311,312
1,708
175,571
234,000
1,509,164
ACS Actividades de Construccion y Servicios SA (Spain)
COMSYS Holdings Corp. (Japan)
Fomento de Construcciones y Contratas SA (Spain)
Obayashi Corp. (Japan)
3,078,852
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Construction Materials — 0.6%
CRH PLC (Ireland)
3,297
140,937
82,300
3,673,049
2,633
263,701
17,660
528,911
13,942
2,191,899
64,000
282,960
Eagle Materials, Inc.
Holcim Ltd. (Switzerland)
Italcementi S.p.A (Italy)
Lafarge SA (France)
Taiheiyo Cement Corp. (Japan)
Vulcan Materials Co.
117,500 13,686,400
20,767,857
Consumer Finance — 0.2%
American Express Co.
12,700
716,280
95,600
2,185,416
7,360
1,917,447
20,300
830,270
AmeriCredit Corp.(a)(b)
ORIX Corp. (Japan)
SLM Corp.(b)
5,649,413
Distributors
Li & Fung Ltd. (Bermuda)
256,000 804,352
Pacific Brands Ltd. (Australia)
245,209 609,084
1,413,436
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Diversified Consumer Services
ABC Learning Centres Ltd. (Australia)
34,532
203,402
16,900
1,377,181
ITT Educational Services, Inc.(a)
1,580,583
Diversified Financial Services — 3.8%
Babcock & Brown Ltd. (Australia)
48,066
1,068,315
Bank of America Corp.
931,982 47,549,723
Challenger Financial Services Group Ltd. (Australia)
103,013 397,569
CIT Group, Inc.
82,000
4,339,440
Citigroup, Inc.
671,462 34,472,859
Fortis (Belgium)
41,591
1,899,566
56,000
545,773
67,982
2,874,244
Hong Kong Exchanges and Clearing Ltd. (Hong Kong)
ING Groep NV (Netherlands)
JPMorgan Chase & Co.
801,894 38,795,632
Moody’s Corp.(b)
160,200 9,942,012
OKO Bank PLC (Finland)
27,600
470,452
20,866
351,160
Suncorp-Metway Ltd. (Australia)
142,706,745
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Diversified Telecommunication Services — 2.0%
AT&T, Inc.
897,247 35,378,449
Belgacom SA (Belgium)
40,340
1,791,775
BT Group PLC (United Kingdom)
210,438 1,257,857
CenturyTel, Inc.
149,300 6,746,867
France Telecom SA (France)
54,952
1,451,263
335
1,771,088
4,671
1,688,464
Nippon Telegraph & Telephone Corp. (Japan)
Swisscom AG (Switzerland)
Telecom Corp. of New Zealand Ltd. (New Zealand)
516,460 1,745,059
Telecom Italia S.p.A (Italy)
528,172 1,305,984
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Telefonica SA (Spain)
25,305
557,759
54,500
470,245
494,488
18,750,985
57,800
849,082
TeliaSonera AB (Sweden)
Verizon Communications, Inc.
Windstream Corp.
73,764,877
Electric Utilities — 1.0%
Allegheny Energy, Inc.(a)
103,300
5,076,162
190,800
9,301,500
54,500
397,930
14,000
368,900
26,290
3,554,781
22,098
1,194,949
15,300
163,712
212,060
1,138,783
131,000
8,677,440
28,400
754,345
5,800
166,853
12,800
363,883
American Electric Power Co., Inc.(b)
CLP Holdings Ltd. (Hong Kong)
EL Paso Electric Co.
E.On AG (Germany)
Endesa SA (Spain)
Enel S.p.A (Italy)
Energias de Portugal SA (Portugal)
FirstEnergy Corp.(b)
Hokkaido Electric Power Co., Inc. (Japan)
Kansai Electric Power Co., Inc. (The) (Japan)
Kyushu Electric Power Co., Inc. (Japan)
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Pinnacle West Capital Corp.
32,200
1,553,650
77,700
3,919,188
36,900
1,261,940
7,205
388,552
Progress Energy, Inc.
The Tokyo Electric Power Co., Inc. (The) (Japan)
Union Fenosa, SA (Spain)
38,282,568
Electrical Equipment — 0.7%
ABB Ltd. (Switzerland)
57,979
992,440
62,400
3,397,056
359,000
15,469,309
10,000
705,500
168,000
1,730,754
46,200
2,765,994
1,141
144,845
Acuity Brands, Inc.(b)
Emerson Electric Co.
Genlyte Group, Inc.(a)
Mitsubishi Electric Corp. (Japan)
Rockwell Automation, Inc.
Schneider Electric SA (France)
25,205,898
Electronic Equipment & Instruments — 0.5%
Agilent Technologies, Inc.(a)(b)
433,700
14,611,354
10,000
75,611
10,100
952,232
Dainippon Screen Manufacturing Co. Ltd. (Japan)
Kyocera Corp. (Japan)
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Nippon Electric Glass Co. Ltd. (Japan)
36,000
630,855
22,200
1,925,356
20,000
192,466
121,000
1,429,328
TDK Corp. (Japan)
Venture Co. Ltd. (Singapore)
Yaskawa Electric Corp. (Japan)
19,817,202
Energy Equipment & Services — 1.5%
B.J. Services Co.
63,000
1,757,700
84,500
5,587,985
34,200
1,860,480
4,306
218,582
39,400
1,963,696
Baker Hughes, Inc.
ENSCO International, Inc.
Fugro NV-CVA (Netherlands)
Grant Prideco, Inc.
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Halliburton Co.(b)
561,900
17,834,706
95,600
2,900,504
127,400
8,803,340
5,550
128,288
96,700
5,664,686
95,500
7,802,350
29,985
674,210
Helmerich & Payne, Inc.
Schlumberger Ltd. (Netherlands Antilles)
TGS Nopec Geophysical Co. ASA (Norway)(a)
Tidewater, Inc.(b)
Transocean, Inc. (Cayman Islands)(a)
WorleyParsons Ltd. (Australia)
55,196,527
Food & Staples Retailing — 1.4%
Axfood AB (Sweden)
7,600
300,395
10,849
1,095,349
365,563
12,480,321
3,965
364,461
4,000
111,337
94,968
1,026,918
6,464
168,381
7,452
87,104
251,600
7,107,700
Casino Guichard-Perrachon SA (France)
CVS Corp.
Delhaize Group (Belgium)
FamilyMart Co. Ltd. (Japan)
J. Sainsbury PLC (United Kingdom)
Jeronimo Martins SGPS SA (Portugal)
Koninklijke Ahold NV (Netherlands)(a)
Kroger Co. (The)
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Safeway, Inc.
247,900
9,083,056
16,000
219,552
75,400
3,460,106
321,200
15,080,340
51,345
1,129,562
Uny Co. Ltd. (Japan)
Walgreen Co.
Wal-Mart Stores, Inc.
Woolworths Ltd. (Australia)
51,714,582
Food Products — 1.3%
Archer-Daniels-Midland Co.
240,900
8,841,030
533,800
13,296,959
8,750
420,420
50,025
1,180,809
191,100
11,125,842
87,000
4,099,440
5,084
1,980,005
16,500
167,884
16,400
277,488
48,464
927,730
81,200
1,576,092
ConAgra Foods, Inc.
East Asiatic Co. Ltd. A/S (Denmark)
Ebro Puleva SA (Spain)
General Mills, Inc.(b)
H.J. Heinz Co.
Nestle SA (Class B Stock) (Switzerland)
Nisshin Seifun Group, Inc. (Japan)
Sara Lee Corp.
Suedzucker AG (Germany)
Tyson Foods, Inc. (Class A Stock)
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Unilever NV (Netherlands)
102,090
2,973,005
62,819
1,892,593
25,000
228,063
Unilever PLC (United Kingdom)
Yamazaki Baking Co. Ltd. (Japan)
48,987,360
Gas Utilities
Gaz de France (France)
39,475
1,831,926
106,300
5,598,821
219,100
16,846,599
3,134
164,112
32,000
1,496,000
16,800
658,560
11,100
544,566
10,800
496,800
7,469
571,631
13,500
358,560
Healthcare Equipment & Supplies — 0.7%
Baxter International, Inc.
Becton, Dickinson & Co.
Cochlear Ltd. (Australia)
Haemonetics Corp.
ICU Medical, Inc.
Medtronic, Inc.
Mentor Corp.
Phonak Holding AG (Switzerland)
STERIS Corp.
26,735,649
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Healthcare Providers & Services — 1.7%
Aetna, Inc.
354,400
15,519,176
77,000
5,617,150
191,800
15,482,096
484
70,280
167,300
8,861,881
240,600
19,512,660
Cardinal Health, Inc.(a)
Express Scripts, Inc. (Class A Stock)(a)
Fresenius Medical Care AG & Co. KGaA (Germany)
UnitedHealth Group, Inc.
WellPoint, Inc.(a)
65,063,243
Healthcare Technology
IMS Health, Inc.
28,800
854,208
192,450
6,293,115
21,032
1,013,585
145,500
5,993,145
54,745
720,173
459,100
20,682,455
121,600
3,806,080
237,300
13,706,448
Hotels, Restaurants & Leisure — 1.4%
Brinker International, Inc. (Australia)
Carnival PLC (United Kingdom)
Darden Restaurants, Inc.(b)
Enterprise Inns PLC (United Kingdom)
McDonald’s Corp.
Wendy’s International, Inc.
Yum! Brands, Inc.
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52,215,001
Household Durables — 0.3%
Barratt Developments PLC (United Kingdom)
46,780
1,017,217
21,800
682,095
10,253
232,431
98,078
1,226,530
34,000
1,260,862
5,700
3,790,500
27,700
1,408,036
57,638
555,204
51,047
982,630
Bellway PLC (United Kingdom)
Bovis Homes Group PLC (United Kingdom)
George Wimpey PLC (United Kingdom)
Makita Corp. (Japan)
NVR, Inc.
Sony Corp. (Japan)
Taylor Woodrow PLC (United Kingdom)
Thomson SA (France)
11,155,505
Household Products — 1.3%
Kimberly-Clark Corp.
245,400
16,807,446
447,305
28,251,784
36,636
1,907,607
Procter & Gamble Co.
Reckitt Benckiser PLC (United Kingdom)
46,966,837
Independent Power Producers & Energy Traders — 0.7%
International Power PLC (United Kingdom)
167,025
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1,303,214
Mirant Corp.
166,300
6,728,498
161,900
11,663,276
79,000
5,063,900
NRG Energy, Inc.(a)
TXU Corp.
24,758,888
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Industrial Conglomerates — 1.9%
3M Co.
73,800
5,640,534
19,042
232,887
Cookson Group PLC (United Kingdom)
General Electric Co.
1,504,000 53,181,440
Orkla ASA (Class A Stock) (Norway)
28,100
1,980,957
4,860
519,441
327,100
10,320,005
Siemens AG (Germany)
Tyco International Ltd. (Bermuda)
71,875,264
Insurance — 3.3%
ACE Ltd. (Cayman Islands)
221,300
12,627,378
97,988
1,952,980
18,076
3,718,596
289,000
17,357,340
429,835
28,893,508
133,120
1,960,767
28,733
1,218,271
199,900
10,328,833
2,207
257,025
Aegon NV (Netherlands)
Allianz AG (Germany)
Allstate Corp. (The)
American International Group, Inc.
Aviva PLC (United Kingdom)
AXA SA (France)
Chubb Corp. (The)
CNP Assurances (France)
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Codan A/S (Denmark)
707
66,799
22,000
768,680
13,800
1,319,004
12,487
2,105,938
47,832
154,461
456,213
1,454,366
100,600
6,682,858
26,984
2,464,901
1,100
212,989
364,600
18,875,341
83,700
5,855,652
9,153
2,641,991
Genworth Financial, Inc. (Class A Stock)
Hartford Financial Services Group, Inc.
Muenchener Rueckversicherungs—Gesellschaft AG (Germany)
Old Mutual PLC (United Kingdom)
Royal & Sun Alliance Insurance Group (United Kingdom)
SAFECO Corp.
Swiss Reinsurance (Switzerland)
Topdanmark A/S (Denmark) (a)
Travelers Cos, Inc. (The)
XL Capital Ltd. (Class A Stock)(b)
Zurich Financial Services AG (Switzerland)
120,917,678
Internet & Catalog Retail — 0.3%
Experian Group Ltd. (United Kingdom) (a)
20,266
233,499
112,201
980,326
120,700
4,551,598
69,300
1,650,726
Home Retail Group (United Kingdom)
IAC/Interactive Corp. (a) (b)
Liberty Media Corp—Interactive
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Priceline.com, Inc.(a)(b)
46,500
2,476,590
9,892,739
Internet Software & Services — 0.6%
Dealertrack Holdings, Inc.(a)
11,300
347,136
547,500
18,149,625
3,900
1,786,824
83,000
1,908,170
eBay, Inc.(a)
Google, Inc. (Class A Stock)(a)
Websense, Inc.(a)
22,191,755
IT Services — 0.9%
Automatic Data Processing, Inc.
159,300
7,710,120
19,700
730,673
46,508
408,282
219,200
6,067,456
CheckFree Corp.(b)
Computershare Ltd. (Australia)
Electronic Data Systems Corp.
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Fiserv, Inc.(a)
295,600 15,684,536
NTT Data Corp. (Japan)
287
1,458,868
32,059,935
Leisure Equipment & Products — 0.1%
FUJIFILM Holdings Corp. (Japan)
27,100
1,108,469
56,000
1,180,923
46,900
1,046,733
Nikon Corp. (Japan)
Yamaha Corp. (Japan)
3,336,125
Life Sciences, Tools & Services — 0.4%
Applera Corp.—Applied Biosystems Group
88,500
2,616,945
71,600
3,312,216
Charles River Laboratories International, Inc.(a)
Waters Corp.(a)(b)
133,300 7,731,400
13,660,561
Machinery — 1.2%
Amada Co. Ltd. (Japan)
51,000
582,968
50,000
3,351,500
10,200
1,476,144
17,988
260,722
Caterpillar, Inc.
Cummins, Inc.(b)
Daifuku Co. Ltd. (Japan)
Dover Corp.
112,300 5,481,363
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Eaton Corp.
49,100
4,102,796
90,800
3,164,380
20,900
818,444
12,700
343,797
68,400
2,966,508
15,700
275,123
88,000
1,852,003
28,000
652,240
47,000
412,008
10,978
1,275,847
72,000
465,580
77,000
734,454
18,000
155,804
Gardner Denver, Inc.(a)
Graco, Inc.
Hitachi Construction Machine (Japan)
Ingersoll-Rand Co. (Class A Stock) (Bermuda)
JTEKT Corp. (Japan)
Komatsu Ltd. (Japan)
Komori Corp. (Japan)
Kubota Corp. (Japan)
MAN AG (Germany)
Mitsubishi Heavy Industries Ltd. (Japan)
NSK Ltd. (Japan)
NTN Corp. (Japan)
Parker Hannifin Corp.
139,100 12,005,721
Sandvik AB (Sweden)
7,266
129,029
13,000
129,515
6,100
437,736
Sumitomo Heavy Industries Ltd. (Japan)
Terex Corp.
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Trelleborg AB (Class B Stock) (Sweden)
8,800
228,733
3,173
812,038
13,300
1,119,952
Vallourec SA (France)
Volvo AB (Class B Stock) (Sweden)
43,234,405
Marine — 0.1%
AP Moller—Maersk A/S (Denmark)
9
93,909
18,000
170,774
Kawasaki Kisen Kaisha Ltd. (Japan)
Mitsui OSK Lines Ltd. (Japan)
161,000 1,787,067
Neptune Orient Lines Ltd. (Singapore)
96,000
205,016
47,000
376,909
Nippon Yusen Kabushiki Kaish (Japan)
2,633,675
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Media — 1.8%
CBS Corp. (Class B Stock)
408,419 12,493,537
Comcast Corp. (Class A Stock) (b)
117,773 3,056,209
Daily Mail & General Trust (United Kingdom)
8,592
137,291
DIRECTV Group, Inc. (The)(a)
156,200 3,603,534
Emap PLC (Class B Stock) (United Kingdom)
16,439
244,723
19,500
246,445
12,700
1,300,226
27,348
483,693
15,443
184,616
30,700
1,930,416
Eniro AB (Sweden)
Omnicom Group, Inc.
Reed Elsevier NV (United Kingdom)
Reed Elsevier PLC (United Kingdom)
McGraw-Hill Cos., Inc. (The)(b)
Time Warner, Inc.(b)
382,450 7,541,914
Tribune Co.
60,600
1,945,866
Viacom, Inc. (Class B Stock)(a)
219,700 9,031,867
Vivendi Universal SA (France)
67,764
2,753,685
Walt Disney Co.(b)
676,000 23,274,680
68,228,702
Metals & Mining — 0.7%
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Acerinox SA (Spain)
30,153
767,329
Alcoa, Inc.
180,600 6,122,339
Anglo American PLC (United Kingdom)
48,896
2,575,803
13,666
330,499
9,023
201,174
1,057
101,663
27,403
1,813,805
38,800
2,294,942
49,000
138,883
BHP Billiton Ltd. (Australia)
BHP Billiton PLC (United Kingdom)
Boehler-Uddeholm AG (Austria)
Freeport-McMoRan Copper & Gold, Inc.
JFE Holdings, Inc. (Japan)
Nippon Light Metal Co. Ltd. (Japan)
Nippon Steel Corp. (Japan)
169,000 1,187,475
Outokumpu OYJ (Finland)
34,000
1,168,624
4,550
212,065
39,715
2,267,999
3,086
449,756
3,765
116,194
Rautaruukki OYJ (Finland)
Rio Tinto PLC (United Kingdom)
Salzgitter AG (Germany)
Ssab Svenskt Stal AB (Sweden)
Sumitomo Metal Industries Ltd. (Japan)
368,000 1,901,833
Thyssenkrupp AG (Germany)
40,662
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2,011,943
Xstrata PLC (United Kingdom)
15,625
803,127
24,465,453
Multiline Retail — 1.2%
Dillard’s, Inc.
13,400
438,582
49,300
1,460,266
Family Dollar Stores, Inc.
Federated Department Stores, Inc.
204,800 9,226,240
Harvey Norman Holdings Ltd. (Australia)
26,202
100,064
J.C. Penney Co., Inc.(b)
199,300 16,374,488
Kohl’s Corp.(a)
215,700 16,524,777
Marks & Spencer Group PLC (United Kingdom)
113,014 1,504,496
Nordstrom, Inc.
11,000
582,340
46,211,253
Multi-Utilities — 0.4%
Ameren Corp.
76,600
3,852,980
National Grid PLC (United Kingdom)
150,205 2,357,252
NiSource, Inc.
61,300
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1,498,172
Public Service Enterprise Group, Inc.
89,100
7,398,864
4,063
429,861
8,373
510,837
RWE AG (Germany)
Sempra Energy
16,047,966
Office Electronics — 0.4%
Canon, Inc. (Japan)
48,450
2,602,584
12,500
164,206
73,000
1,644,730
Konica Minolta Holdings, Inc. (Japan)
Ricoh Co. Ltd. (Japan)
Xerox Corp. (a)
643,500 10,868,715
15,280,235
Oil, Gas & Consumable Fuels — 5.2%
BG Group PLC (United Kingdom)
2,761
39,825
BP PLC (United Kingdom)
525,868 5,712,245
Chesapeake Energy Corp.
308,000 9,511,040
Chevron Corp.
564,156 41,724,977
Cimarex Energy Co.
13,100
484,962
ConocoPhillips (Class B Stock)
180,534 12,339,499
ENI S.p.A (Italy)
89,425
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2,909,995
Exxon Mobil Corp.(b)
972,416 73,368,786
Marathon Oil Corp.
128,000 12,650,240
Neste Oil OYJ (Finland)
33,700
1,161,464
Nippon Oil Corp. (Japan)
162,000 1,314,257
Norsk Hydro ASA (Norway)
6,040
200,230
63,600
3,136,116
20,017
145,924
15,532
523,688
90,079
2,997,493
55,023
1,830,960
76,018
624,288
Occidental Petroleum Corp.
Origin Energy Ltd. (Australia)
Repsol YPF SA (Spain)
Royal Dutch Shell PLC (Class B Stock) (United Kingdom)
Royal Dutch Shell PLC (United Kingdom)
Santos Ltd. (Australia)
Sunoco, Inc.
108,500 7,642,740
Total SA (France)
27,472
1,924,827
Valero Energy Corp.
218,700 14,103,962
194,347,518
Paper & Forest Products
Svenska Cellulosa AB (Sca) (Class B Stock) (Sweden)
34,600
Personal Products
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1,853,182
Beiersdorf AG (Germany)
1,349
92,193
6,000
121,945
Shiseido Co. Ltd. (Japan)
214,138
Pharmaceuticals — 4.6%
Abbott Laboratories
47,600
2,656,080
19,647
1,276,836
56,710
3,051,049
Altana AG (Germany)
AstraZeneca PLC (United Kingdom)
Eli Lilly & Co.
279,400 15,006,574
Forest Laboratories, Inc.(a)(b)
19,800
1,018,512
GlaxoSmithKline PLC (United Kingdom)
136,998 3,766,185
Johnson & Johnson
568,098 34,233,585
King Pharmaceuticals, Inc.(a)
388,700 7,645,729
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Merck & Co., Inc.
570,400
25,194,568
28,254
1,620,626
13,000
1,186,321
4,008
96,587
Novartis AG (Switzerland)
Novo Nordisk A/S (Class B Stock) (Denmark)
Orion OYJ (Finland)
Pfizer, Inc.
1,527,565 38,586,292
Roche Holding AG-Genusshein (Switzerland)
14,400
2,547,834
22,102
1,922,067
211,600
5,397,916
9,900
649,414
27,000
367,286
473,600
23,694,208
Sanofi-Aventis (France)
Schering-Plough Corp.
Takeda Pharmaceutical Co. Ltd. (Japan)
Tanabe Seiyaku Co., Ltd. (Japan)
Wyeth
169,917,669
Real Estate — 0.1%
City Developments Ltd. (Singapore)
15,000
144,350
20,519
328,922
19,500
2,033,459
96
102,648
33,660
544,414
Immofinanz Immobilien Anlagen AG (Austria)(a)
Jones Lang Lasalle, Inc.(b)
KK DaVinci Advisors (Japan)
Lend Lease Corp. Ltd. (Australia)
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New World Development Co. Ltd. (Hong Kong)
110,000
249,466
11,000
417,261
29,000
325,501
251,000
931,593
Sumitomo Realty & Development Co. Ltd. (Japan)
Swire Pacific Ltd. (Hong Kong)
Wharf Holdings Ltd. (Hong Kong)
5,077,614
Real Estate Investment Trusts — 0.4%
American Financial Realty Trust
41,000
413,280
79,000
1,222,920
49,600
592,224
9,755
293,320
425
88,510
18,500
472,305
8,700
225,939
21,700
983,010
341
63,413
297,631
1,189,619
6,900
322,920
19,700
922,551
Annaly Mortgage Management, Inc.
Ashford Hospitality Trust, Inc.
British Land Co. PLC (United Kingdom)
Cofinimmo (Belgium)
Douglas Emmett, Inc.
FelCor Lodging Trust, Inc.
First Industrial Realty Trust, Inc.
Gecina SA (France)
General Property Trust (Australia)
Hospitality Properties Trust
iStar Financial, Inc.
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Land Securities Group PLC (United Kingdom)
10,263
432,194
51,300
1,083,969
79,289
336,161
33,700
934,501
2,700
175,311
34,114
224,954
186,000
4,835,999
Lexington Corporate Properties Trust(b)
Mirvac Group (Australia)
Newcastle Investment Corp.
ProLogis
Stockland (Australia)
Thornburg Mortgage, Inc.(b)
14,813,100
Road & Rail — 0.3%
Burlington Northern Santa Fe Corp.
11,800
949,074
51,000
319,832
165,500
8,374,300
47,900
2,363,386
7,000
66,115
19,051
315,991
Nippon Express Co. Ltd. (Japan)
Norfolk Southern Corp.
Ryder System, Inc.
Seino Holdings Co., Ltd. (Japan)
Toll Holdings Ltd. (Australia)
12,388,698
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Semiconductors & Semiconductor Equipment — 1.2%
Applied Materials, Inc.
857,600
15,711,231
23,745
586,496
55,800
1,705,806
13,300
515,793
437,200
8,363,636
43,100
1,136,547
90,000
2,881,800
17,200
477,472
20,300
844,111
318,100
5,261,374
4,200
126,420
25,300
1,769,111
36,000
1,921,680
168,300
4,330,359
ASML Holding NV (Netherlands)(a)
ATMI, Inc.(a)
Elpida Memory, Inc. (Japan)(a)
Intel Corp.
Intevac, Inc.
Novellus Systems, Inc.(b)
Sirf Technology Holdings, Inc.(a)(b)
Sumco Corp. (Japan)
Teradyne, Inc.(b)
Texas Instruments, Inc.
Tokyo Electron Ltd. (Japan)
Varian Semiconductor Equipment Associates, Inc.
Xilinx, Inc.
45,631,836
Software — 2.3%
BMC Software, Inc.(a)(b)
63,500
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1,955,165
Business Objects SA (France)
6,445
234,609
290,000
6,107,400
19,000
734,920
Cadence Design Systems, Inc.(a)(b)
Fair Isaac Corp.
Microsoft Corp.
1,591,700 44,360,680
MicroStrategy, Inc. (Class A Stock)(a)(b)
31,500
3,981,285
1,600
465,037
Nintendo Co. Ltd. (Japan)
Oracle Corp.(a)
1,015,400 18,409,202
Symantec Corp.(a)
586,600
10,148,180
27,100
710,833
Synopsys, Inc.(a)
87,107,311
Specialty Retail — 0.8%
Aeropostale, Inc.(a)
99,600
4,006,908
8,400
266,599
1,900
68,041
7,000
82,108
112,600
4,511,882
12,150
699,476
162,050
5,953,717
Aoyama Trading Co. Ltd. (Japan)
Autobacs Seven Co. Ltd. (Japan)
Esprit Holdings Ltd. (Hong Kong)
Gymboree Corp.(a)(b)
Hennes & Mauritz AB (Class B Stock) (Sweden)
Home Depot, Inc.
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J Crew Group, Inc.
27,500
1,104,675
41,800
1,316,282
142,300
5,000,422
17,900
500,842
39,700
706,660
228,400
6,157,664
1,500
97,887
Lowe’s Cos., Inc.
Office Depot, Inc.(a)
Rent-A-Center, Inc.(a)
Select Comfort Corp.(a)(b)
TJX Cos., Inc.
USS Co. Ltd. (Japan)
30,473,163
Textiles, Apparel & Luxury Goods — 0.7%
Coach, Inc.(a)
387,600
19,399,381
1,750
61,248
152,200
4,677,106
Folli—Follie SA (Greece)
Jones Apparel Group, Inc.
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Liz Claiborne, Inc.(b)
38,500
1,649,725
9,221
492,864
Swatch Group AG (Switzerland)
26,280,324
Thrifts & Mortgage Finance — 0.5%
Fannie Mae
70,900
3,869,722
38,400
2,284,416
158,300
9,327,036
56,900
3,122,672
41,300
1,667,694
Freddie Mac
MGIC Investment Corp.(b)
Radian Group, Inc.
Washington Mutual, Inc.(b)
20,271,540
Tobacco — 1.0%
Altria Group, Inc.
251,800
22,110,558
19,479
609,090
28,264
630,165
28,488
1,275,365
210,600
13,143,546
61,000
1,089,785
British American Tobacco PLC (United Kingdom)
Gallaher Group PLC (Unted Kingdom)
Imperial Tobacco Group PLC (United Kingdom)
Reynolds American, Inc.(b)
Swedish Match AB (Sweden)
38,858,509
Trading Companies & Distributors — 0.2%
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Itochu Corp. (Japan)
130,000
1,288,527
163,000
990,394
13,400
311,006
115,000
2,146,979
20,300
947,604
66,000
1,187,373
24,300
1,876,932
Marubeni Corp. (Japan)
Mitsubishi Corp. (Japan)
Mitsui & Co. Ltd. (Japan)
MSC Industrial Direct Co.
Sumitomo Corp. (Japan)
W.W. Grainger, Inc.
8,748,815
Transportation Infrastructure — 0.1%
Hopewell Holdings (Hong Kong)
57,000
221,770
25,000
215,122
585,023
1,817,636
Kamigumi Co. Ltd. (Japan)
Macquarie Infrastructure Group (Australia)
2,254,528
Wireless Telecommunication Services — 0.8%
Alltel Corp.
224,800
13,937,600
1,945
150,307
16,860
504,951
1,327
112,210
Bouygues SA (France)
Cosmote Mobile Telecommunications SA (Germany)
Mobistar SA (Belgium)
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Sprint Nextel Corp.(b)
631,300
11,969,448
Vodafone Group PLC (United Kingdom)
1,794,633 4,785,264
31,459,780
Total common stocks
(cost $2,123,918,304)
2,508,207,931
Shares
Value
RIGHTS — 0.0%
Diversified Financial Services
Suncorp-Metway expires 4/5/07 (Australia)
(cost $0)
20,866
11,930
1,366
2,084,847
PREFERRED STOCK — 0.1%
Automobiles
Porsche AG (Germany)
(cost $1,624,285)
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Principal
Interest
Rate
Maturity
Moody’’s
Amount
Date
Rating
(000)
LONG-TERM BONDS — 25.4%
Aerospace/Defense — 0.3%
BAE Systems Holdings, Inc.,(h)
Notes, 144A
4.75%
08/15/
10
Baa2
03/01/
11
A2
925
960,041
07/01/
36
Baa3
1,018
1,096,962
09/01/
36
Baa1
120
124,500
$2,150
2,119,201
Boeing Capital Corp.,(b)
Sr. Notes
6.10%
Goodrich Corp.,
Notes
6.80%
Lockheed Martin Corp.,
Notes, Ser. B
6.15%
Northrop Grumman Corp.,
Gtd. Notes
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7.125%
02/15/
11
Baa2
3,500
3,742,969
11/15/
07
Baa2
177
176,063
11/15/
12
Baa2
595
605,295
03/15/
10
Baa2
870
907,976
03/01/
10
Baa2
530
577,674
Raytheon Co.,
Notes
4.50%
Sr. Notes
5.50%
6.55%
Sr. Unsec. Notes
8.30%
10,310,681
Airlines — 0.1%
American Airlines, Inc.,(b)
Pass-thru Certs.
6.817%
05/23/
11
Ba1
1,530
1,564,426
09/15/
17
Baa3
382
396,620
Continental Airlines, Inc.,
Pass-thru Certs.
6.648%
Southwest Airlines Co.,
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Notes
03/01/
12
6.50%
Baa1
1,005
1,050,288
3,011,334
Asset Backed Securities — 0.8%
American Express Credit Account Master Trust, (g)(h)
Ser. 2004-4, Class C, 144A
03/15/
12
5.82%
Ser. 2004-C, Class C, 144A
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Baa2
1,170
1,176,947
5.82%
02/
15/
12
Baa2
643
644,400
10/
25/
32
AA+(f)
139
139,175
12/
25/
32
Aa2
2,498
2,499,881
01/
15/
16
Baa2
3,209
3,214,151
09/
15/
10
Baa2
1,820
1,807,127
03/
25/
33
Aa2
1,026
1,027,254
Amortizing Residential Collateral Trust,(g)
Ser. 2002-BC7 M2
6.70%
Ser. 2002-BC9 M1
7.00%
Bank of America Credit Card Trust,(g)
Ser. 2006-C5, Class C5
5.75%
Bank One Issuance Trust,
Ser. 2003-C1, Class C1
4.54%
CDC Mortgage Capital Trust,(g)
Ser. 2002-HE3, Class M1
7.00%
Centex Home Equity, (g)
Ser. 2005-A, Class M2
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5.85%
01/
25/
35
Aa2
1,790
1,791,654
02/
20/
15
Baa2
1,350
1,356,140
07/
25/
35
Aaa
1,400
1,392,083
07/
25/
34
Aa2
1,280
1,274,200
06/
25/
36
Aa2
1,450
1,453,328
01/
20/
35
Aa1
664
662,263
Citibank Credit Card Insurance Trust,(g)
Ser. 2006-C1, Class C1
5.75%
Credit-Based Asset Servicing and Securitization,
Ser. 2005-CB6, Class A3
5.12%
Equity One ABS, Inc.,
Ser. 2004-3, Class M1
5.70%
First Franklin Mortgage Loan Trust,(g)
Ser. 2005-FFH1, Class M2
5.87%
Household Home Equity Loan Trust,(g)
Ser. 2005-2, Class M2
5.84%
MBNA Master Credit Card Trust,
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Ser. 1999-J, Class A
7.00%
02/
15/
12
Aaa
1,830
1,917,641
03/
25/
34
A2
1,460
1,465,719
07/
25/
32
Aa2
1,704
1,719,080
04/
25/
32
A(f)
437
385,252
09/
25/
32
Aaa
1,432
1,432,304
06/
15/
11
Aaa
411
408,147
Morgan Stanley ABS Capital I,(g)
Ser. 2004-NC3, Class M2
6.45%
Morgan Stanley Dean Witter Capital I,(g)
Ser. 2002-HE1, Class M1
6.22%
Ser. 2002-NC2, Class M2, 144A (h)(i)
7.645%
Ser. 2002-NC4, Class M1
6.595%
Prestige Auto Receivables Trust,(g)(h)
Ser. 2004-1, Class A2, 144A
3.69%
Saxon Asset Securities Trust,(g)
Ser. 2005-2, Class M2
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5.79%
10/
25/
35
Aa2
1,170
1,172,243
02/
25/
34
Aa2
1,325
1,326,853
05/
25/
36
Aaa
1,100
1,105,724
Securitized Asset Backed Receivables LLC,(g)
Ser. 2004-OP1, Class M1
5.86%
Ser. 2006-FR3, Class A3
5.57%
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SVO VOI Mortgage Corp.,(h)
Ser. 2005-AA, Class A, 144A
5.25%
02/20/
21
Aaa
720
719,285
05/17/
12
A2
497
491,510
WFS Financial Owner Trust,
Ser. 2004-4, Class D
3.58%
30,582,361
Automotive — 0.1%
Auburn Hills Trust,
Debs.
12.375%
05/01/
20
Baa1 510
806,063
09/12/
08
Baa1 315
315,427
12/19/
08
Baa3 500
499,410
Equus Cayman Finance Ltd., (Cayman Islands),(h)
Notes, 144A
5.50%
Hyundai Motor Manufacturing LLC,(h)
Gtd. Notes, 144A
5.30%
Johnson Controls, Inc.,
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Sr. Notes
5.50%
01/15/
16
Baa1 245
12/06/
13
BA3 1,995 2,001,769
242,627
Oshkosh Truck Corp.,(i)
Bank Loan
7.37%
3,865,296
Banking — 0.6%
Banco Bradesco (Cayman Islands),
Notes
8.75%
10/24/
13
A2
08/15/
16
Aa3 1,775 1,805,652
03/15/
17
Aa2 930
914,682
10/15/
36
Aa2 410
410,556
550
632,500
Bank of America Corp.,(b)
Sub. Notes
5.75%
Bank of America NA,
Sub. Notes
5.30%
6.00%
Bank One Corp.,
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Sub. Notes
7.875%
08/01/
10
Aa3 2,250 2,434,932
09/15/
14
Aa2 454
08/27/
12
Aa2 2,800 2,850,718
08/25/
36
Aa2 570
03/16/
37
Aaa
08/18/
10
Aa3 2,100 2,259,281
09/15/
09
Aa2 250
Citigroup, Inc.,
Sub. Notes
5.00%
5.625%(b)
6.125%
443,222
578,950
Depfa ACS Bank (Ireland),(h)
Notes, 144A
5.125%
1,380 1,313,910
First Union National Bank,
Sub. Notes
7.80%
HSBC Bank USA,
Sr. Notes
3.875%
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242,669
Icici Bank Ltd. (India),(h)
Notes, 144A
5.895%
01/12/
10
Baa2 2,385 2,387,769
11/16/
10
Baa2 1,070 1,076,224
08/17/
36
A2
690
719,150
05/30/
07
Aa3 210
209,931
01/17/
11
Aa3 720
705,801
01/15/
09
A1
1,100 1,119,561
04/15/
14
A2
815
Icici Bank Ltd. (India),(h)
Notes, 144A
5.75%
J.P. Morgan Chase & Co.,
Capital XVIII, Series R
6.95%
Sr. Notes
5.25%
Sub. Notes
4.60%
6.50%
Mizuho Finance Ltd. (Cayman Islands),(h)
Bank Gtd. Notes, 144A
5.79%
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830,363
MUFG Capital Finance 1 Ltd., (Cayman Island),(g)
Gtd. Notes
6.346%
07/29/
49
Baa2 800
825,742
03/15/
49
A3
700
695,390
09/14/
10
A1
695
753,864
08/15/
14
A3
290
288,446
02/09/
15
Aa1 585
561,255
02/01/
11
Aa1 65
68,072
PNC Preferred Funding Trust I,(h)
Sr. Unsec. Notes, 144A
6.113%
Santander Central Hispano Issuances (Cayman Islands),
Bank Gtd. Notes
7.625%
Washington Mutual Bank,
Sub. Notes
5.65%
Wells Fargo Bank,
Sub. Notes
4.75%
6.45%
24,128,640
Brokerage — 0.3%
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Bear Stearns Co., Inc. (The),
Sr. Notes.
5.305%
02/01/
12
A1
850
851,666
10/30/
15
A1
515
507,144
01/15/
17
A1
1,190 1,178,693
05/01/
36
A1e 1,615 1,640,512
02/06/
12
A1
02/08/
10
Aa3 1,170 1,141,549
08/04/
10
Aa3 295
292,031
01/15/
15
Aa3 460
445,851
Unsec. Notes
5.30%
Goldman Sachs Group Inc. (The),
Sub. Notes
5.625%(b)
6.45%
Lehman Brothers Holdings, Inc.,(b)
Sr. Notes.
5.25%
1,715 1,713,427
Merrill Lynch & Co., Inc.,
Notes
4.25%
4.79%
5.00%
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5.45%
07/15/
14
Aa3 160
160,182
07/25/
11
Aa3 520
531,936
Notes, M.T.N.
5.77%
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Morgan Stanley,
Notes
5.30%
5.45%
03/01/
13
Aa3 845
843,940
01/09/
17
Aa3 355
349,161
10/18/
16
Aa3 1,300 1,307,548
04/01/
14
A1
Sr. Unsec., M.T.N.
5.75%
Sub. Notes
4.75%
1,170 1,111,251
12,074,891
Building Materials & Construction — 0.2%
American Standard, Inc.,
Gtd. Notes
7.625%
02/15/
10
Baa3 770
816,044
09/30/
16
Baa1 720
729,865
CRH America, Inc.,
Gtd. Notes
6.00%
Hanson PLC (United Kingdom)
Sr. Unsub. Notes
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7.875%
09/27/
10
Baa1 1,000 1,081,545
10/01/
07
Ba1
07/15/
11
Baa2 910
938,521
12/01/
16
Baa3 550
561,769
06/01/
08
Baa3 440
439,366
K Hovnanian Enterprises, Inc.,(b)
Gtd. Notes
10.50%
4,030 4,090,450
Lafarge SA (France),
Notes
6.15%
Owens Corning, Inc.,(h)
Sr. Unsec. Notes, 144A
6.50%
Ryland Group, Inc. (The),
Sr. Notes
5.375%
8,657,560
Cable — 0.2%
AT&T Broadband LLC
11/15/
22
9.455%
Comcast Corp.,
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Baa2 255
331,141
Gtd. Notes
6.45%
03/15/
37
Baa2 780
780,889
11/15/
35
Baa2 450
453,409
03/15/
11
Baa3 950
999,165
08/15/
09
Baa3 1,275 1,350,708
12/15/
07
B2
1,970 1,992,164
10/06/
13
Ba2
1,800 1,812,749
Sr. Unsec. Notes
6.50%
Cox Communications, Inc.,
Notes, Class A
6.75%
7.875%
CSC Holdings, Inc.,
Sr. Notes
7.875%
Insight Midwest Holdings LLC,(i)
Bank Loan
6.61%
7,720,225
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Capital Goods — 0.3%
Cameron International Corp.,
Sr. Notes
2.65%
04/15/
07
Baa1 330
329,611
03/15/
16
A2
825
827,200
09/15/
09
A2
700
734,304
06/15/
08
Baa1 1,950 1,985,284
02/15/
11
Baa2 400
04/01/
07
Baa2 1,600 1,599,879
Caterpillar Financial Services Corp., M.T.N.
5.50%
Caterpillar, Inc.,
Debs.
7.25%
ERAC USA Finance Co.,(h)
Gtd. Notes, 144A
7.35%
Fedex Corp.,
Gtd. Notes
7.25%
427,073
Notes
2.65%
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Honeywell International, Inc.,
Sr. Unsec. Notes
5.70%
03/15/
37
A2
140
11/01/
11
A2
1,095 1,141,593
11/15/
13
Baa3 1,265 1,329,758
11/15/
19
A2
460
596,764
03/01/
11
A2
825
863,143
135,508
Sr. Unsub. Notes
6.125%
Tyco International Group SA (Bermuda),
Gtd. Notes
6.00%
United Technologies Corp.,
Debs.
8.875%
Notes
6.35%
9,970,117
Chemicals — 0.1%
BCP Crystal US Holdings Corp.,
Sr. Sub. Notes
06/15/
14
9.625%
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B2
23
26,126
Dow Chemical Co. (The),
Debs.
5.97%
01/15/
09
A3
390
393,923
02/01/
11
A3
685
703,871
12/01/
13
Baa2 720
722,892
10/01/
09
Baa3 860
849,594
06/01/
25
Ba2
493,180
Sr. Notes
6.125%
ICI Wilmington, Inc.,
Gtd. Notes
5.625%
Lubrizol Corp.,
Sr. Notes
4.625%
Union Carbide Corp.,
Debs.
7.50%
460
3,189,586
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Collateralized Mortgage Obligations — 0.4%
Banc of America Mortgage Securities,(g)
Ser. 2005-A, Class 2A1
4.46%
02/25/35 Aaa
1,162
1,142,633
03/25/35 Aaa
1,116
1,095,644
01/25/36 Aaa
4,343
4,366,156
09/25/19 Aaa
1,751
1,712,726
07/25/35 Aaa
2,981
2,927,262
Ser. 2005-B, Class 2A1
4.39%
Bank of America Alternative Loan Trust,
Ser. 2005-12, Class 3CB1
6.00%
Countrywide Alternative Loan Trust,
Ser. 2004-18CB, Class 3A1
5.25%
JP Morgan Mortgage Trust,(g)
Ser. 2007-A1, Class 4A1
4.071%
Master Alternative Loan Trust,
Ser. 2004-4, Class 4A1
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5.00%
04/25/19 Aaa
563
551,812
02/25/34 Aaa
1,110
1,107,371
Structured Adjustable Rate Mortgage Loan,(g)
Ser. 2004-1, Class 4A3
4.17%
Washington Mutual Mortgage,
Pass-Through Certificates, Ser. 2005-1, Class 3A
5.00%
03/25/20 AAA(f) 644
637,030
12/25/32 Aaa
542,777
Washington Mutual, Inc.,(g)
Ser. 2002-AR15, Class A5
4.38%
547
14,083,411
Commercial Mortgage Backed Securities — 3.2%
Banc of America Commercial Mortgage, Inc.,(g)
Ser. 2003-2, Class A3
4.873%
03/11/41 AAA(f) 2,500
2,470,400
11/10/38 Aaa
2,703,291
Ser. 2004-2, Class A4
4.153%
Ser. 2005-1 , Class ASB
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2,800
4.865%
11/10/42 AAA(f) 900
897,416
05/10/45 AAA(f) 2,300
2,373,476
01/15/49 Aaa
3,600
3,611,436
02/13/46 AAA(f) 4,500
4,354,970
02/13/42 Aaa
1,775
1,738,646
10/12/42 Aaa
2,400
2,399,996
Ser. 2006-2, Class A4
5.741%
Ser. 2007-1, Class A4
5.451%
Bear Stearns Commercial Mortgage Securities,(g)
Ser. 2004-T16, Class A-6
4.75%
Ser. 2005-T18, Class AAB
4.823%
Ser. 2005-T20, Class AAB
5.139%
Commercial Mortgage Pass-Through Certificate, I/O, (g)(h)
Ser. 2004-LB2A, Class X2, 144A
1.112%
03/10/39 AAA(f) 12,256 320,244
Credit Suisse Mortgage Capital Certificates,
Ser. 2006-C5, Class A3
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5.311%
12/15/39 Aaa
1,790
1,778,446
07/15/36 Aaa
880
867,727
10/15/39 Aaa
1,400
1,353,685
CS First Boston Mortgage Securities Corp.,
Ser. 2004-C3, Class A4
4.835%
Ser. 2004-C4, Class A4
4.283%
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CS Mortgage Capital Certificate Corp.,
Ser. 2006-C1, Class A4(g)
5.558%
02/
15/
39 AAA(f) 2,700
2,738,738
09/
15/
39 Aaa
4,100
4,123,050
06/
10/
33 AAA(f) 2,697
2,862,019
03/
10/
40 AAA
23,404
426,952
07/
05/
35 Aaa
7,700
7,274,221
04/
10/
38 AAA(f) 6,650
6,750,509
Ser. 2006-C4, Class A3
5.467%
DLJ Commercial Mortgage Corp.,
Ser. 2000-CF1, Class A1B
7.62%
General Electric Capital Commercial Mortgage Corp., I/O,(g)(h)
Ser. 2004-C2, Class X2, 144A
0.596%
Greenwich Capital Commercial Funding Corp.,
Ser. 2003-C1, Class A4
4.111%
GS Mortgage Securities Corp. II,
Ser. 2006-GG6, Class AAB
5.587%
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JP Morgan Chase Commercial Mortgage Securities Corp.,
Ser. 2005-LDP2, Class ASB
4.659%
07/
15/
42 Aaa
6,350
6,190,296
10/
15/
42 Aaa
2,500
2,428,411
05/
12/
45 Aaa
3,900
3,949,280
12/
12/
43 Aaa
4,750
4,762,067
04/
15/
43 Aaa
146,963 826,092
05/
15/
45 Aaa
3,700
3,711,056
08/
15/
32 Aaa
7,724
8,105,775
Ser. 2005-LDP4, Class A4(g)
4.918%
Ser. 2006-CB16, Class ASB
5.523%
Ser. 2006-CB17, Class A4
5.429%
Ser. 2006-LDP6, Class X2, I\O(g)
0.88%
Ser. 2006-LDP8, Class ASB
5.37%
JP Morgan Commercial Mortgage Finance Corp.,
Ser. 2000-C10, Class A2
7.371%
Ser. 2003-CB6, Class A2
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5.255%
07/
12/
37 Aaa
2,100
2,102,171
01/
12/
43 Aaa
2,340
2,341,152
12/
15/
44 Aaa
5,000
4,985,000
05/
17/
32 Aaa
8,489
8,968,141
11/
15/
27 Aaa
1,460
1,442,733
08/
15/
29 AAA(f) 3,910
3,847,716
03/
15/
39 Aaa
4,677,796
JP Morgan Chase & Co.,(g)
Ser. 2005-CB13, Class A4
5.294%
Ser. 2005-LDP5, Class A4
5.179%
KeyCorp.,
Ser. 2000-C1, Class A2
7.727%
LB-UBS Commercial Mortgage Trust,
Ser. 2003-C8, Class A3
4.83%
Ser. 2004-C6, Class A5(g)
4.826%
Ser. 2006-C3 A4(g)
5.661%
Merrill Lynch Mortgage Trust,
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4,580
Ser. 2004-KEY2, Class A3
4.615%
08/
12/
39 Aaa
2,000
1,947,794
06/
12/
46 Aaa
1,795
1,871,115
Merrill Lynch/Countrywide Commercial Mortgage,(g)
Ser. 2006-2, Class A4
5.910%
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Merrill Lynch/Countrywide Commercial Mortgage Trust,
Ser. 2007-5, Class A4
01/
12/
17 Aaa
5.378%
3,500 3,490,914
Morgan Stanley Capital I,(g)
Ser. 2006-IQ11, Class A4
10/
15/
42 AAA(f) 2,600 2,676,783
5.945%
Ser. 2007-HQ11, Class AAB
02/
20/
44 Aaa
5.444%
4,600 4,626,043
121,995,557
Consumer — 0.1%
Procter & Gamble Co.
Sr. Notes,
5.55%
03/
05/
37 Aa3
1,950 1,897,221
10/
15/
11 Ba3
135
Realogy Corp.,(h)
Notes, 144A
6.15%
Western Union Co.,
Notes,
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138,038
5.93%
10/
01/
16 A3
585
586,258
06/
15/
11 Baa2
965
987,237
Whirlpool Corp.,
Notes
6.125%
3,608,754
Electric — 0.5%
Appalachian Power Co.,
Sr. Notes, Ser. J
4.40%
06/
01/
10 Baa2
620
605,439
08/
01/
16 Baa2
175
180,593
10/
01/
36 Baa2
550
559,528
12/
15/
15 A3
525
517,759
Arizona Public Service Co.,
Unsec. Notes
6.25%
Baltimore Gas & Electric Co., (h)
Sr. Unsec. Notes 144A
6.35%
Carolina Power & Light Co.,
First Mtge.
5.25%
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CenterPoint Energy Houston Electric LLC,
Mtge. Bonds, Ser. J2
5.70%
03/
15/
13 Baa2
740
745,903
03/
15/
33 Baa2
590
645,004
12/
15/
15 A1
730
731,194
04/
15/
13 Baa2
325
324,580
12/
15/
09 Baa2
970
970,336
05/
15/
35 Baa2
670
646,094
Mtge. Bonds, Ser. K2
6.95%
Con Edison Co. of New York,
Sr. Unsec. Notes
5.375%
Consumers Energy Co.,
First Mtge. Bonds, Ser. B
5.375%
Dominion Resources, Inc.,
Sr. Notes, Ser. D
5.125%
El Paso Electric Co.,
Sr. Unsec. Notes
6.00%
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Empresa Nacional de Electricidad S.A. (Chile),
Bonds, Ser. B
8.50%
04/01/
09
Baa3 1,070 1,132,915
08/01/
15
Baa3 360
424,791
09/15/
33
Baa2 145
152,168
06/15/
15
Baa2 155
144,835
11/15/
31
Baa3 615
698,681
10/01/
33
Aa3 295
302,121
Notes
8.625%
Energy East Corp.,
Notes
6.75%
Exelon Corp.,
Notes
4.90%
FirstEnergy Corp.,
Notes, Ser. C
7.375%
Florida Power & Light Co.,
First Mtge.
5.95%
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Indiana Michigan Power Co.,
Sr. Notes
5.05%
11/15/
14
Baa2 460
445,569
03/01/
12
A2
185
201,574
05/15/
18
Ba1
1,080 1,127,709
09/15/
17
Baa3 245
231,393
09/15/
20
Baa3 350
329,010
04/15/
14
A1
549,434
National Rural Utilities Cooperative Finance Corp.,
Notes, Ser. C, M.T.N.
7.25%
Nevada Power Co.,
Mtge. Bonds, Ser. O
6.50%
NiSource Finance Corp.,
Gtd. Notes
5.25%
5.45%
NSTAR Electric Co.,
Debs.
4.875%
Ohio Edison Co.,
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565
Sr. Unsec. Notes
6.40%
6.875%
07/15/
16
Baa2 775
816,450
07/15/
36
Baa2 115
124,735
09/01/
22
Baa2 475
508,855
01/15/
15
Baa2 345
358,994
03/01/
34
Baa1 1,550 1,553,794
08/15/
07
Baa3 565
08/15/
09
A3
Oncor Electric Delivery Co.,
Debs.
7.00%
Sec. Notes
6.375%
Pacific Gas & Electric Co.,
Unsec. Notes
6.05%
Pepco Holdings, Inc.,
Notes
5.50%
564,779
PPL Electric Utilities Corp.,
Sec. Notes
6.25%
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1,500 1,533,892
Southern California Edison Co.,
First Mtge.
4.65%
5.625%
04/01/
15
A2
470
448,241
02/01/
36
A2
355
343,856
07/01/
08
Baa1 605
591,907
07/01/
36
Baa1 445
467,773
12/01/
10
Baa1 190
201,638
Xcel Energy, Inc.,
Sr. Notes
3.40%
6.50%
7.00%
19,181,544
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Energy——Integrated — 0.1%
Conocophilips Canada Funding Co. (Canada),
Gtd. Notes
5.625%
5.95%
10/15/
16
A1
1,395 1,418,114
10/15/
36
A1
360
05/25/
10
A1
1,505 1,670,497
03/15/
12
Baa1 310
07/18/
16
Baa2 1,425 1,503,375
364,009
ConocoPhillips Co.,
Notes
8.75%
Marathon Oil Corp.,
Notes
6.125%
321,127
TNK-BP Finance SA,(h)
Gtd. Notes, 144A
7.50%
5,277,122
Energy——Other — 0.1%
Anadarko Finance Co. (Canada),
Gtd. Notes, Ser. B
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7.50%
05/01/
31
Baa3 5
5,519
09/30/
31
Baa2 225
266,710
08/15/
34
Baa2 290
300,934
10/15/
10
Baa1 150
151,620
05/15/
15
Baa2 170
162,434
02/01/
38
Baa2 545
517,132
Devon Financing Corp. ULC,
Gtd. Notes
7.875%
Encana Corp. (Canada)
Bonds
6.50%
Halliburton Co.,
Sr. Unsec. Notes
5.50%
Talisman Energy, Inc. (Canada),
Notes
5.125%
Sr. Unsec. Notes
6.25%
Valero Energy Corp.,
Sr. Unsec. Notes
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7.50%
04/15/
32
Baa3 145
164,768
08/01/
36
Baa1 575
574,932
11/15/
13
Baa1 1,315 1,281,724
04/01/
16
Baa2 325
Weatherford International Ltd. (Bermuda),
Gtd. Notes
6.50%
Woodside Finance Ltd. (Australia),(h)
Gtd. Notes, 144A
5.00%
XTO Energy Inc.,
Sr. Unsec. Notes
5.65%
323,867
3,749,640
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Please Consider the Environment Before Printing This Document
Foods — 0.4%
Aramark Corp.,(i)
Bank Loan
7.445%
7.47%
01/19/
14
Ba3
132
01/19/
14
Ba3
1,868 1,873,412
06/01/
12
A2
300
338,647
04/01/
16
A3
385
387,167
04/15/
14
Baa2 1,040 1,002,661
10/01/
08
Baa2 810
132,042
Archer-Daniels-Midland Co.,
Debs.
8.125%
Bottling Group LLC,
Sr. Unsec. Notes
5.50%
Bunge Ltd. Finance Corp.,
Notes
5.35%
Cadbury Schweppes US Finance,(h)
Gtd. Notes, 144A
3.875%
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793,002
Cargill, Inc.,(h)
Notes, 144A
3.625%
03/04/
09
A2
09/15/
10
Baa2 430
465,486
10/01/
26
Baa2 355
387,188
12/01/
08
Baa2 1,290 1,312,291
04/01/
11
A3
06/01/
07
Baa1 300
1,875 1,825,631
ConAgra Foods, Inc.,
Notes
7.875%
Sr. Notes
7.125%
Heinz Co.,(h)
Notes, 144A
6.428%
Kellogg Co.,
Notes, Ser. B
6.60%
1,875 1,970,585
Kraft Foods, Inc.,
Notes
5.25%
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299,826
Sr. Unsec. Notes
5.625%
11/01/
11
Baa1 850
860,366
04/15/
12
Baa2 45
47,624
04/01/
11
Baa2 670
702,786
05/01/
18
Baa2 65
68,850
04/15/
11
Baa2 180
202,104
04/01/
16
Ba1
762,424
05/01/
09
Baa1 1,530 1,564,671
Kroger Co., (The)
Gtd. Notes
6.75%
6.80%
Sr. Notes
7.00%
Tricon Global Restaurants,
Sr. Notes
8.875%
Tyson Foods, Inc.,
Sr. Unsec. Notes
6.85%
735
Whitman Corp.,
Notes
6.375%
14,996,763
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Gaming
Harrah’s Operating Co., Inc.,
Gtd. Notes
5.50%
07/01/
10
Baa3 625
615,313
02/15/
10
B1
10,775
Mandalay Resorts Group,
Sr. Sub. Notes
9.375%
10
626,088
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Healthcare & Pharmaceutical — 0.4%
Abbott Laboratories,
Notes
5.875%
05/15/
16
A1
1,965 2,032,787
09/15/
12
Ba1
915
916,921
02/16/
08
Baa1 860
859,317
06/15/
16
Baa3 1,055 1,057,778
11/15/
36
A2
Amerisourcebergen Corp.,
Gtd. Notes
5.625%
Baxter International, Inc.,
Sr. Unsec. Notes
5.196%
Boston Scientific Corp.,
Sr. Notes
6.40%
Bristol-Myers Squibb Co.,
Unsub. Notes
5.875%
Cardinal Health, Inc.,
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275
269,500
Notes, 144A(h)
5.80%
10/15/
16
Baa2 140
139,490
12/15/
17
Baa2 530
529,113
07/15/
15
A1
280
269,220
11/14/
13
Ba3
1,995 2,011,209
02/15/
13
Caa1 30
01/31/
14
Ba3
Unsub. Notes
5.85%
Genentech, Inc.,
Sr. Notes
4.75%
HCA, Inc.
Bank Loan(i)
7.60%
Sr. Unsec. Notes
6.25%
27,263
Health Management Association,(i)
Bank Loan
7.10%
Laboratory Corp. of America Holdings,
Sr. Unsec. Notes
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1,210 1,213,214
5.625%
12/15/
15
Baa3 580
573,477
11/15/
36
Aa3 110
106,710
12/01/
28
Aa3 165
167,811
12/01/
28
Aa1 185
205,052
12/01/
13
Baa1 720
733,569
02/01/
36
Baa2 1,295 1,249,042
Merck & Co., Inc.,
Bonds
5.75%
Debs.
5.95%
Pharmacia Corp.,
Debs.
6.60%
Schering-Plough Corp.,
Sr. Notes
5.55%
Teva Pharmaceutical Finance LLC,
Gtd. Notes
6.15%
Wyeth,
Notes
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5.95%
04/01/
37
A3
1,635 1,610,231
03/15/
13
A3
910
917,766
02/01/
14
A3
255
256,553
02/01/
24
A3
60
62,959
Unsub. Notes
5.50%
5.50%
6.45%
15,208,982
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Healthcare Insurance — 0.2%
Aetna Inc.,
Sr. Unsub. Notes
5.75%
6.625%
06/15/
11
A3
390
398,147
06/15/
36
A3
615
658,139
09/01/
07
Baa1 1,560 1,547,058
11/15/
36
Baa2 670
663,959
01/15/
15
Ba1
990
1,002,277
03/15/
11
A3
1,350 1,355,242
Anthem, Inc.,
Notes
3.50%
Cigna Corp.,
Sr. Unsec. Notes
6.15%
Coventry Health Care, Inc.,
Sr. Notes
6.125%
United Health Group, Inc.,
Sr. Unsec. Notes
5.25%
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Wellpoint, Inc.,
Notes
5.00%
5.95%
12/15/
14
Baa1 860
834,517
12/15/
34
Baa1 635
623,106
7,082,445
Insurance — 0.2%
Allstate Corp. (The),
Sr. Notes
5.95%
04/01/
36
A1
160
159,555
03/15/
37
Aa3 540
525,593
05/15/
13
Aa2 1,080 1,027,054
10/18/
16
Aa2 1,040 1,057,654
10/01/
15
Aa2 180
American International Group, Inc.,
Jr. Sub. Notes(b)
6.25%
Notes
4.25%
5.60%
Sr. Notes
5.05%
AXA SA (France),
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176,109
Sub. Notes
8.60%
12/15/
30
A3
155
197,616
05/15/
12
Aaa
440
433,340
03/15/
34
Baa3 850
876,173
09/15/
10
Baa2 265
262,687
09/15/
15
Baa2 160
158,939
Berkshire Hathaway Finance Corp.,
Gtd. Notes
4.75%
Liberty Mutual Group, Inc.,(h)
Bonds, 144A
7.00%
Marsh & Mclennan Cos., Inc.,
Sr. Unsec. Notes
5.15%
5.75%
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MetLife, Inc.,
Sr. Notes
5.70%
6.125%
6.375%
06/15/
35
A2 1,020 980,495
12/01/
11
A2 335
349,499
06/15/
34
A2 400
420,704
06/20/
36
A3 685
754,073
05/15/
15
Baa2 555
547,857
08/15/
19
Baa2 460
464,961
09/15/
14
83,294
St. Paul Travelers Cos., Inc. (The),
Sr. Unsec. Notes
6.75%
W.R. Berkley Corp.,
Sr. Notes
5.60%
6.15%
XL Capital Ltd. (Cayman Islands),
Sr. Notes
5.25%
A3 85
8,475,603
Lodging — 0.1%
Carnival Corp., (Panama),
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Please Consider the Environment Before Printing This Document
Gtd. Notes
3.75%
11/15/
07
A3 2,205 2,184,149
06/01/
07
A3 260
P&O Princess, (United Kingdom),
Notes
7.30%
260,693
2,444,842
Media & Entertainment — 0.2%
CBS Corp.,
Gtd. Notes
7.875%
07/30/
30
Baa3 320
344,947
11/01/
08
Baa3 575
595,769
Chancellor Media Corp.,
Gtd. Notes
8.00%
Idearc, Inc.,(i)
Bank Loan
11/09/
14
7.31%
Knight Ridder, Inc.,
Debs.
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Ba2 1,500 1,508,624
03/15/
29
6.875%
Ba1 70
65,038
News America, Inc.,
Gtd. Notes
11/30/
28
Baa2 1,050 1,176,693
7.625%
Time Warner Inc.,
Debs.
9.15%
02/01/
23
Baa2 505
628,999
04/15/
11
Baa2 640
674,477
10/15/
17
Baa2 790
872,095
05/01/
32
Baa2 285
323,116
04/30/
16
Baa3 650
658,938
04/30/
36
Baa3 680
685,429
Gtd. Notes
6.75%
7.25%
7.70%
Viacom, Inc.,
Sr. Notes
6.25%
6.875%
Walt Disney Co.,
Notes
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06/01/
07
5.375%
A3 225
225,063
7,759,188
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Metals — 0.2%
Alcan, Inc. (Canada),
Notes
4.50%
5.00%
05/15/
13
Baa1 115
108,933
06/01/
15
Baa1 600
575,498
03/19/
14
Ba2
2,200 2,205,606
11/01/
16
Ba1
1,200 1,263,000
07/27/
35
Baa2 810
873,081
11/21/
36
Baa3 560
578,305
Freeport-McMoRan Copper & Gold, Inc.,(i)
Bank Loan
7.07%
Peabody Energy Corp.,
Gtd. Notes
7.375%
Southern Copper Corp.,
Sr. Notes
7.50%
Vale Overseas Ltd. (Cayman Islands),
Gtd. Notes
6.875%
5,604,423
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Municipals
Illinois St., Taxable Pension, G.O.,
5.10%
06/01/
33
Aa3 975
931,125
06/13/
13
A3
20
20,928
06/01/
15
A3
265
261,353
09/15/
11
A3
600
606,082
09/01/
16
Baa1 80
81,143
06/01/
15
A2
659,176
Non Captive Finance — 0.3%
Capital One Bank Corp.,
Sub. Notes
6.50%
Capital One Financial Corp.,
Notes
5.50%
Sr. Notes, M.T.N.(b)
5.70%
Sub. Notes(b)
6.15%
CIT Group Funding Co. (Canada),
Gtd. Notes
5.20%
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680
CIT Group, Inc.,
Sr. Notes
4.25%
5.50%
02/01/
10
A2
400
391,121
11/30/
07
A2
990
990,618
04/28/
11
Aaa
2,895 2,940,216
10/21/
10
Aaa
1,070 1,064,385
02/22/
11
Aaa
5
5,182
03/15/
32
Aaa
850
963,077
05/15/
09
Aa3 370
366,817
General Electric Capital Corp.,
Notes
5.50%
Notes, M.T.N.
4.875%
Notes, Ser. A, M.T.N.
6.125%
6.75%
Household Finance Corp.,
Notes
4.75%
HSBC Finance Corp.,
Sr. Notes
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Please Consider the Environment Before Printing This Document
06/01/
11
5.70%
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Aa3 440
446,710
International Lease Finance Corp.,
Unsub. Notes
04/01/
09
3.50%
A1 580
562,504
02/22/
11
Baa3 475
468,549
Residential Capital Corp.,
Gtd. Notes
6.00%
04/17/
13
Baa3 2,025 2,005,775
6.50%
Sr. Unsec. Notes
06/30/
10
Baa3 480
6.375%
479,871
12,313,507
Packaging — 0.1%
Ball Corp.,
Gtd. Notes
03/15/
18
6.625%
Ba1 1,900 1,888,125
Plum Creek Timberlands LP,
Gtd. Notes
11/15/
15
Baa3 690
5.875%
685,583
2,573,708
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Pipelines & Other — 0.2%
Atmos Energy Corp.,
Notes
10/15/
09
Baa3 1,680 1,630,117
4.00%
Duke Energy Field Services LLC,
Notes
08/16/
10
Baa2 1,760 1,901,329
7.875%
Enterprise Products Operating LP,
Gtd. Notes, Ser. B
6.875%
03/01/
33
Baa3 140
147,432
10/15/
07
Baa3 780
774,315
10/15/
09
Baa3 740
730,350
Sr. Notes
4.00%
4.625%
Oneok Inc.,
Sr. Unsec. Notes
02/16/
08
Baa2 1,290 1,292,055
5.51%
Oneok Partners LP,
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Notes
6.65%
10/01/
36
Baa2 605
621,599
05/17/
07
Baa1 630
629,327
02/01/
13
Baa1 90
92,660
10/01/
19
Baa1 107
122,263
02/15/
13
Baa1 235
240,587
Sempra Energy,
Sr. Notes
4.621%
Sr. Unsec. Notes
6.00%
Spectra Energy Capital LLC,
Sr. Notes
8.00%
Sr. Unsub. Notes
6.25%
8,182,034
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Railroads — 0.1%
Burlington Northern Santa Fe Corp.,
Debs.
6.70%
08/01/
28
Baa1 670
695,516
05/15/
27
Baa1 18
21,027
05/17/
29
Baa1 477
437,997
Norfolk Southern Corp.,
Sr. Notes
7.80%
Sr. Unsec. Notes
5.64%
Union Pacific Corp.,
Notes
3.625%
06/01/
10
Baa2 1,375 1,310,173
6.625%
02/01/
08
Baa2 1,390 1,404,232
6.65%
01/15/
11
Baa2 750
784,093
4,653,038
Real Estate Investment Trusts — 0.2%
Brandywine Operating Partners LP,
Gtd. Notes
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04/01/
12
Baa3 1,295 1,314,029
5.75%
ERP Operating LP,
Notes
03/15/
16
Baa1 345
5.125%
336,464
Mack-Cali Realty LP,
Notes
03/15/
09
Baa2 1,270 1,315,187
7.25%
Post Apartment Homes LP,
Notes
6.30%
06/01/
13
Baa3 660
682,955
06/01/
12
Baa3 435
429,920
Sr. Notes
5.45%
Simon Property Group LP,
Unsec. Notes
05/01/
12
5.75%
A3 1,500 1,533,634
5,612,189
Retailers — 0.1%
Federated Retail Holdings, Inc.,
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Gtd. Notes
5.35%
5.90%
03/15/
12
Baa2 850
847,775
12/01/
16
Baa2 290
288,918
Gap, Inc.,
Notes
6.90%
09/15/
07
Ba1 1,230 1,237,072
12/16/
36
Aa3 640
610,193
07/15/
24
Baa2 155
152,328
09/01/
35
222,544
Home Depot, Inc.,
Sr. Unsec. Notes
5.875%
May Department Stores Co. (The),
Notes
6.65%
Wal-Mart Stores, Inc.,
Bonds
5.25%
Aa2 245
3,358,830
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Structure Notes
Trains HY-1 2006,(h)
Sec. Notes, 144A
7.548%
05/01/
16
B1
651
661,950
10/15/
29
Ba1
120
130,829
11/01/
07
Baa1 320
318,732
12/15/
14
B1
1,100 1,101,375
03/01/
12
A2
650
Technology — 0.3%
Electronic Data Systems Corp.,
Notes
7.45%
Equifax, Inc.,
Notes
4.95%
Freescale Semiconductor, Inc.,(h)
Sr. Notes, 144A
8.875%
Hewlett-Packard Co.,
Sr. Unsec. Notes
5.25%
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Please Consider the Environment Before Printing This Document
654,147
International Business Machines Corp.,
Debs.
5.875%
11/29/
32
A1
540
551,875
03/15/
12
Baa2 600
598,174
07/15/
10
Ba2
11/16/
07
Baa1 950
944,832
11/01/
11
Baa1 99
109,183
10/15/
14
Ba2
Intuit, Inc.,
Sr. Unsec. Notes
5.40%
Jabil Circuit, Inc.,
Sr. Notes
5.875%
1,875 1,865,201
Motorola, Inc.,
Notes
4.608%
Sr. Notes
8.00%
NXP Funding LLC,(h)
Secd. Notes, 144A
7.875%
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2,000 2,065,001
Oracle Corp. and Ozark Holding, Inc.,
Notes
5.00%
01/15/
11
A2
03/15/
16
Baa3 1,239 1,274,342
980
976,395
Xerox Corp.,
Sr. Unsec. Notes
6.40%
10,590,086
Telecommunications — 0.7%
ALLTEL Ohio LP,(h)
Gtd. Notes, 144A
8.00%
08/15/
10
A2
323
346,548
07/01/
12
A2
139
146,180
03/01/
35
A3
580
571,334
Alltell Corp.,
Sr. Notes
7.00%
America Movil SAB de CV (Mexico),
Unsec. Notes
6.375%
AT&T Corp.,
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Sr. Notes
11/15/
31
8.00%
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A2
615
760,009
AT&T Wireless Services, Inc.,
Notes
05/01/
12
8.125%
A2 640
720,432
Sr. Notes
03/01/
31
Baa1 879
8.75%
1,133,860
AT&T, Inc.,
Notes
4.125%
5.30%
09/15/
09
A2 1,070 1,045,919
11/15/
10
A2 1,260 1,265,715
09/15/
09
A2 1,175 1,150,559
BellSouth Corp.,
Notes
4.20%
British Telecom PLC (United Kingdom),
Bonds
7.00%
05/23/
07
Baa1 1,265 1,266,826
9.125%
12/15/
30
Baa1 210
Cingular Wireless LLC,
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288,333
Sr. Notes
7.125%
12/15/
31
Baa1 505
556,029
06/15/
30
A3 295
365,404
06/01/
16
Baa3 350
356,841
Deutsche Telekom International Finance BV (Netherlands),
Gtd. Notes
8.25%
Embarq Corp.,
Notes
7.082%
06/01/
36
Baa3 1,100 1,135,872
7.995%
France Telecom SA (France),
Notes
03/01/
31
8.50%
A3 375
487,373
10/01/
10
Baa2 530
574,911
Koninklijke (Royal) KPN NV (Netherlands),
Sr. Unsub. Notes
8.00%
Nextel Communications, Inc.,
Sr. Notes, Ser. F
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03/15/
14
Baa3 1,160 1,141,218
5.95%
Sprint Capital Corp.,
Gtd. Notes
6.875%
8.75%
11/15/
28
Baa3 295
293,787
03/15/
32
Baa3 230
271,289
Sprint Nextel Corp.
Usec. Notes
12/01/
16
Baa3 1,580 1,554,887
6.00%
Telecom Italia Capital SA,
Gtd. Notes
5.25%
6.375%
7.20%
11/15/
13
Baa2 320
310,253
11/15/
33
Baa2 395
372,547
07/18/
36
Baa2 780
812,069
Telecomunicaciones de Puerto Rico, Inc. (Puerto Rico),
Gtd. Notes
05/15/
09
Baa1 3,065 3,139,081
6.80%
Telefonica Emisiones SAU (Spain),
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Gtd. Notes
06/20/
16
Baa1 580
6.421%
605,360
06/20/
36
Baa1 1,420 1,516,401
7.045%
TELUS Corp. (Canada),
Notes
06/01/
11
Baa1 1,255 1,374,507
8.00%
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US Cellular Corp.,
Sr. Notes
6.70%
12/15/
33
Baa3 470
441,126
04/01/
37
A3
106
104,993
09/15/
35
A3
625
591,048
02/15/
10
A3
800
853,910
02/27/
37
A3
500
482,691
Verizon Communications, Inc.,
Sr. Unsec. Notes
6.25%
Verizon Global Funding Corp.,(b)
Sr. Notes
5.85%
Vodafone Group PLC (United Kingdom),
Sr. Notes
7.75%
Unsec. Notes
6.15%
26,037,312
Tobacco
Altria Group, Inc.,
Debs.
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7.75%
01/15/
27
Baa1 87
103,983
07/01/
08
Baa1 590
606,420
Notes
7.65%
710,403
Foreign Government Bonds — 0.4%
Gaz Capital for Gazprom, 144A (Russia)(b)(h)(j)
Sr. Unsec. Notes
(cost $2,190,000; purchased 03/01/07)
6.51%
03/07/
22
A3
12/15/
15
Baa1 1,480 1,482,960
12/01/
23
Baa1 350
435,750
12/10/
18
Baa2 935
1,122,000
2,190 2,222,850
Pemex Project Funding Master Trust, (Mexico)
Gtd. Notes
5.75%
8.625%
Petrobras International Finance Co. (Cayman Islands),
Bonds
8.375%
Quebec Province (Canada),
Notes(b)
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4.60%
05/26/
15
Aa2 735
710,236
02/15/
09
Aa2 500
508,170
06/15/
33
NR
782,770
07/24/
18
Baa2 735
01/15/
17
Baa1 1,644 1,657,152
01/14/
12
Baa1 1,290 1,412,550
12/30/
19
Baa1 816
09/27/
34
Baa1 1,070 1,166,835
Sr. Unsec. Notes
5.75%
Republic of Italy (Italy),
Notes
5.375%
800
Russian Government International Bond (Russia),(h)
Unsub. Notes, 144A
11.00%
1,061,156
United Mexican States Global Bond (Mexico),
Notes
5.625%
7.50%
8.125%
1,001,640
Notes, M.T.N.(b)
6.75%
13,564,069
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Mortgage Backed Securities — 10.1%
Federal Home Loan Mortgage Corp.,
4.50%
02/01/19-07/01/20 7,136
6,914,494
5.00%
TBA 30 YR
6,000
5,797,500
5.00%
7/01/18-05/01/34 12,084 11,866,555
5.236%
12/01/35
3,952
3,940,665
5.50%
TBA 30 YR
25,000 24,734,375
5.50%
12/01/33-06/01/34 10,378 10,286,858
6.00%
TBA 30 YR
15,000 15,112,500
6.00%
12/01/32-12/01/33 3,659
3,711,654
6.50%
12/01/14
467
478,066
7.00%
01/01/31-11/01/33 4,872
5,061,190
Federal National Mortgage Assn.,
4.00%
06/01/19
2,182
2,062,619
11/01/35
4,780
4,738,175
4.375%
4.50%
01/01/18-01/01/35 15,112 14,536,269
4.916%(g)
07/01/33
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840
845,389
5.00%
TBA 30 YR
36,000 34,773,768
5.00%
01/01/19-07/01/35 38,831 37,671,356
5.50%
TBA 15 YR
21,000 21,045,948
TBA 30 YR
25,000 24,734,375
5.50%
5.50%
03/01/16-10/01/35 37,437 37,164,352
6.00%
TBA 15 YR
3,000
3,048,750
TBA 30 YR
9,000
9,067,500
TBA 30 YR
17,000 17,122,197
6.00%
6.00%
6.00%
04/01/13-02/01/35 20,187 20,430,573
6.50%
TBA 30 YR
11,000 11,216,568
6.50%
9/01/17-09/01/36 14,543 14,864,843
7.00%
08/01/11-05/01/32 1,505
1,569,447
06/01/12-05/01/32 1,110
1,145,868
7.50%
Government National Mortgage Assn.,
5.50%
TBA 30 YR
5,500
5,469,063
11/15/32-07/15/35 9,521
9,479,831
5.50%
6.00%
TBA 30 YR
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6,000
6,076,872
6.00%
09/15/33-06/20/34 2,825
2,865,194
01/15/24-07/15/35 7,029
7,224,486
01/15/24-04/15/25 258
273,731
6.50%
8.00%
375,331,031
U.S. Government Agency Obligations — 2.0%
Federal Home Loan Bank,
4.375%
10/03/08
8,140
8,074,685
05/13/11
160
157,861
06/11/08
9,190
9,163,165
10/16/09
14,165 14,133,227
4.50%
4.75%
5.00%
Federal Home Loan Mortgage Corp.,
4.75%
03/05/09-03/15/12 13,990 13,938,393
4.875%
02/09/10, M.T.N. 875
876,369
5.00%(b)
02/16/17
695
693,595
07/18/11
4,300
4,366,801
12/14/18, M.T.N. 4,420
4,314,349
5.25%
5.00%
Federal National Mortgage Assn.,
5.00%
02/16/12-02/13/17 12,610 12,681,290
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4.25%
07/27/07
4,021
4,007,972
03/15/12
1,275
1,345,249
6.125%
73,752,956
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U.S. Government Treasury Obligations — 1.8%
United States Treasury Bonds,
4.50%
02/15/36
2,125
2,003,476
02/15/26
115
129,977
08/15/25
545
672,138
08/15/21
3,665
4,877,312
08/15/20
1,270
1,751,509
11/15/18
987
1,356,199
05/15/18
730
1,003,465
04/15/10
1,955
1,890,235
01/15/15
1,394
1,337,980
07/15/15-07/15/15 2,700
2,653,370
01/15/16-01/15/26 5,362
5,255,988
01/15/17-01/15/25 4,245
4,286,233
6.00%
6.875%
8.125%
8.75%
9.00%
9.125%
United States Treasury Inflation Index Bonds,
0.88%
1.625%
1.875%
2.00%
2.375%
2.50%
07/15/16
1,177
1,208,238
07/15/12
1,593
1,669,439
3.00%
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3.375%
01/15/12-04/15/32 826
936,369
3.50%
01/15/11
820
865,519
04/15/28
1,232
1,500,197
04/15/29-04/15/29 2,533
2,954,622
3.625%
3.875%
4.25%
01/15/10
794
844,226
06/15/09
680
671,712
United States Treasury Notes,
4.00%
4.625%
11/15/09-2/15/17 17,607
17,593,541
4.875%
05/15/09
475
477,561
07/31/08
25
25,066
5.00%
United States Treasury Strips,
Zero
05/15/18-05/15/20 18,453
10,208,637
66,173,009
TOTAL LONG-TERM BONDS
(cost $954,671,716)
948,050,300
TOTAL LONG-TERM INVESTMENTS
(cost $3,080,214,305)
3,458,355,008
SHORT-TERM INVESTMENTS — 22.2%
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U.S. Government Obligations — 0.1%
United States Treasury Bill(e)
(cost $3,959,629)
4.91%
06/14/07
4,000
3,960,336
Shares
Affiliated Money Market Mutual Fund — 22.1%
Dryden Core Investment Fund - Dryden Short-Term Bond Series(d)
15,828,308
158,283,078
Dryden Core Investment Fund - Taxable Money Market Series
(cost $663,324,624; includes $391,859,507 of cash collateral for securities on
loan)(c)(d)
663,324,624 663,324,624
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TOTAL SHORT-TERM INVESTMENTS
(cost $825,646,373)
825,568,038
TOTAL INVESTMENTS — 115.1%
(cost $3,905,860,678)
4,283,923,046
LIABILITIES IN EXCESS OF OTHER ASSETS(l) — (15.1%)
(562,115,832 )
NET ASSETS — 100.0%
$3,721,807,214
The following abbreviations are used in portfolio descriptions:
G.O. —General Obligations
I/O—Interest Only
M.T.N. —Medium Term Note
TBA—Securities purchased on a forward commitment basis
(a)
(b)
(c)
(d)
(e)
(f)
(g)
(h)
(i)
(j)
(k)
(l)
Non income-producing security.
All or portion of security is on loan. The aggregate market value of such securities is $385,128,397; cash collateral of $391,859,507
(included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.
Represents security, or portion thereof, purchased with cash collateral received for securities on loan.
Prudential Investments LLC, the manager of the Portfolio, also serves as manager of Dryden Core Investment Fund—Taxable Money
Market Series and the Dryden Core Investment Fund — Short-Term Bond Series.
Security segregated as collateral for futures contracts.
Standard & Poor’s rating.
Indicates a variable rate security.
Securities were 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.
Indicates a security that has been deemed illiquid.
Indicates a restricted security; the aggregate cost of such security is $2,190,000. The aggregate value of $2,222,850 is approximately
0.1% of net assets.
Indicates an affiliated security.
Liabilities in excess of other assets include net unrealized appreciation (depreciation) on financial futures, interest rate and credit default
swap agreements as follows:
Open futures contracts outstanding at March 31, 2007:
Unrealized
Number of Contracts
Type
Expiration
Value at
Value at Trade
Appreciation
Date
March 31, 2007
Date
(Depreciation)
Long Positions:
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1,136
5-Yr. U.S. T-Notes
Jun. 07
$120,185,250
$119,755,154
$ 430,096
U.S. Long Bond
Jun. 07
39,716,250
40,018,874
(302,624 )
S&P 500 Index
Jun. 07
44,009,400
44,690,662
(681,262 )
357
123
(553,790 )
Short Positions:
90
2-Yr. U.S. T-Notes
Jun. 07
18,440,156
18,448,202
8,046
10-Yr. U.S. T-Notes
Jun. 07
8,109,375
8,111,845
2,470
75
10,516
$ (543,274 )
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Interest rate swap agreements outstanding at March 31, 2007:
Notional
Termination
Amount
Fixed
Date
(000)
Rate
Counterparty
Merrill Lynch Capital Services, Inc.(a)
Merrill Lynch Capital Services, Inc.(a)
Merrill Lynch Capital Services, Inc.(a)
(a)
03/30/
2009
$6,610
02/28/
2017
3,355
03/02/
2037
1,385
Unrealized
4.95
Floating Rate
%
(Depreciation)
3 month LIBOR
$ (5,317
)
5.1685
3 month LIBOR
(1,494
)
5.25
3 month LIBOR
(28,497
)
$ (35,308
)
The Portfolio pays the floating rate and receives the fixed rate.
Credit default swap agreements outstanding at March 31, 2007:
Notional
Unrealized
Termination Amount Fixed
Counterparty
Credit Suisse International(a)
Merrill Lynch Capital Services(b)
Merrill Lynch Capital Services(a)
Credit Suisse International(a)
Citibank(a)
Deutsche Bank AG(a)
Date
09/25/
2036
03/25/
2036
03/25/
2036
09/25/
2036
06/20/
2017
05/25/
2036
(000)
Rate
Underlying
Appreciation
Bond
(Depreciation)
1,000 2.47 % Accredited Mortgage Loan Trust,
Ser. 2006-2, Class M9,
7.22%, 09/25/36
$ 90,420
1,000 3.72 % Ameriquest Mortgage Securities, Inc.,
Ser. 2006-R1, Class M9,
7.82%, 03/25/36
145,059
1,000 9.00 % Ameriquest Mortgage Securities, Inc.,
Ser. 2006-R1, Class M9,
7.82%, 03/25/36
(3,200
1,000 3.13 % Countrywide Asset-Backed Certificates,
Ser. 2005-16, Class BV,
7.57%, 05/25/36
108,966
1,800 0.44 % CVS Corp.,
4.75%, 09/15/14
(6,220
$1,000 2.74 % Fieldstone Mortgage Investment Corp.,
Ser. 2006-1, Class M9,
7.62%, due 05/25/36
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143,840
)
)
Merrill Lynch Capital Services(a)
Merrill Lynch Capital Services(a)
Credit Suisse International(a)
09/25/
2036
06/25/
2036
11/25/
2035
1,000 3.77 % First Franklin Mortgage Loan,
Asset-Backed Certificates,
Ser. 2006-FF9, Class M9,
7.22%, 06/25/36
101,831
1,000 3.2 % GSAMP Trust,
Ser. 2006-NC2, Class M8,
7.82%, 03/25/36
1,000 2.17
83,078
Residential Asset Mortgage Products, Inc.,
Ser. 2005-EFC6, Class M9,
7.57%, 11/25/35
Deutsche Bank AG(a)
06/25/
2036
1,000 2.52 % Residential Asset Securities Corp.,
Ser. 2006-EMX4, Class M9,
7.32%, 06/25/36
28,439
159,526
$ 851,739
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(a)
(b)
The Portfolio pays the fixed rate and receives from the counterparty par in the event that the underlying bond defaults.
The Portfolio receives the fixed rate and pays the counterparty par in the event that the underlying bond defaults.
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GLOBAL PORTFOLIO
SCHEDULE OF INVESTMENTS
March 31, 2007 (Unaudited)
Shares
Value
LONG-TERM INVESTMENTS 96.4%
COMMON STOCKS
Australia 2.8%
Allco Finance Group Ltd.
104,171
$943,990
271,500
779,832
251,400
2,135,783
61,000
2,480,590
173,200
477,865
78,000
5,222,340
94,700
2,416,653
515,500
2,189,730
82,000
673,415
936,900
1,546,415
341,300
1,286,841
223,800
4,923,477
84,000
1,072,479
AWB Ltd.
BlueScope Steel Ltd.
Commonwealth Bank of Australia
CSR Ltd.
Macquarie Bank Ltd.
QBE Insurance Group Ltd.
Quantas Airways Ltd.
Santos Ltd.
Smorgon Steel Group Ltd.
Telstra Corp. Ltd.
Woolworths Ltd.
Zinifex Ltd.
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26,149,410
Austria 0.7%
Boehler-Uddeholm AG
23,200
2,231,395
28,652
2,231,410
11,500
1,618,870
9,500
689,096
Erste Bank der Oesterreichischen Sparkassen AG
Raiffeisen International Bank-Holding AG
Voestalpine AG
6,770,771
Belgium 0.8%
Fortis
74,100
3,384,335
53,200
3,841,168
InBev NV
7,225,503
Bermuda 0.5%
Tyco International Ltd.
146,300
4,615,765
107,600
3,980,124
19,800
602,514
69,400
781,478
17,100
1,527,885
Brazil 0.7%
Cia Vale do Rio Doce, ADR
Gol Linhas Aereas Inteligentes SA, ADR(b)
Natura Cosmeticos SA
Petroleo Brasilerio SA, ADR
6,892,001
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Canada 0.6%
Manulife Financial Corp.
103,700
3,565,950
50,800
2,250,689
Shoppers Drug Mart Corp.
5,816,639
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Chile 0.1%
Cencosud SA, ADR, 144A
23,200
1,190,891
217,500
438,702
15,800
1,239,668
China 0.7%
China Merchants Bank Co. Ltd.(a)
Focus Media Holding Ltd., ADR(a)(b)
Industrial & Commercial Bank of China(a)
9,354,000 5,243,556
6,921,926
Colombia 0.1%
BanColombia SA, ADR
32,400
897,156
36,600
1,702,783
73,300
373,065
39,900
1,859,644
88,600
1,538,626
Denmark 0.2%
Danske Bank A/S
Finland 0.4%
Perlos Oyj
Rautaruukki Oyj
Stora Enso Oyj (Class R Stock)
3,771,335
France 7.0%
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Arkema(a)
530
30,387
141,900
6,016,519
41,600
4,345,107
29,400
2,238,216
21,700
2,492,953
5,200
1,096,488
10,300
1,199,527
24,600
2,716,683
58,900
2,296,706
14,145
2,131,982
39,400
6,436,929
9,000
936,921
64,200
7,009,266
38,300
4,249,075
57,000
1,386,567
26,000
1,832,458
13,400
869,956
AXA SA
BNP Paribas SA
Capgemini SA
Cie Generale D’Optique Essilor International SA
Ciments Francais
CNP Assurances
Compagnie Generale des Etablissements Michelin (Class B Stock)
Credit Agricole SA
Eurazeo
Groupe Danone
Iliad SA
L’Oreal SA
LVMH Moet Hennessy Louis Vuitton SA
Natixis
Peugeot SA
Rallye SA
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Renault SA
11,800
1,380,048
8,900
1,129,813
5,300
915,937
10,700
621,197
21,200
1,485,379
79,000
5,512,620
30,700
1,800,768
54,600
4,059,680
31,700
1,288,174
Schneider Electric SA
Societe Generale
Thales SA
Total SA
Total SA, ADR(b)
Valeo SA
Veolia Environnement
Vivendi Universal SA
65,479,356
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Germany 2.5%
BASF AG
39,300
4,415,140
21,600
1,378,944
31,900
2,630,528
21,900
2,947,734
57,400
948,501
8,200
952,992
44,900
4,798,955
60,200
2,978,677
45,600
1,126,309
10,200
1,534,244
Bayer AG
DaimlerChrysler AG
Deutsche Bank AG
Deutsche Telekom AG
MAN AG
Siemens AG
ThyssenKrupp AG
TUI AG
Volkswagen AG
23,712,024
Greece 0.4%
Motor Oil Hellas Corinth Refineries SA
31,000
862,181
252,600
2,707,872
National Bank of Greece SA, ADR(b)
3,570,053
Hong Kong 1.3%
Chaoda Modern Agriculture
1,203,600 844,145
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China Mobile Ltd.
407,500
3,705,494
324,500
1,200,237
231,000
2,709,560
260,000
652,870
993,600
3,121,889
Citic Pacific Ltd.
Esprit Holdings Ltd.
Hopson Development Holdings Ltd.
Li & Fung Ltd.
12,234,195
India 0.5%
Infosys Technologies Ltd., ADR
86,100
4,326,525
Indonesia 0.3%
Bank Rakyat Indonesia
1,929,500 1,067,833
PT Telekomunikasi Indonesia
1,674,500 1,807,542
2,875,375
Ireland 0.6%
Anglo Irish Bank Corp. PLC (Irish Stock Exchange)
108,100
2,310,477
22,600
483,041
29,300
681,040
86,900
2,373,937
Anglo Irish Bank Corp. PLC (London Exchange)
IAWS Group PLC
Irish Life & Permanent PLC
5,848,495
Italy 1.6%
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Banca Intesa SpA
167,275
1,270,333
33,200
982,353
46,500
752,855
121,400
3,950,499
129,000
4,113,373
149,500
4,353,652
Banche Popolari Unite Scpa
Benetton Group SpA
ENI SpA
Luxottica Group SpA
Saipem SpA
15,423,065
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Japan 10.0%
Aeon Mall Co. Ltd.
56,700
1,664,817
41,600
748,405
49,700
582,026
89,400
1,433,859
Alpine Electronics, Inc.
Alps Electric Co. Ltd.
Asahi Breweries Ltd.
Asahi Kasei Corp.
226,100 1,646,247
Bank of Fukuoka Ltd. (The)
183,000 1,476,858
Capcom Co. Ltd.
8,900
127,790
Cosmo Oil Co. Ltd.
303,300 1,271,471
Daiwa Securities Group, Inc.
89,400
1,079,567
Denki Kagaku Kogyo K K
224,900 1,053,503
Denso Corp.
132,300 4,917,465
Fanuc Ltd.
24,400
2,271,453
Fuji Heavy Industries Ltd.
233,000 1,210,081
Hitachi Ltd.
147,900 1,147,154
Hokkaido Electric Power Co., Inc.
53,200
1,413,069
10,400
53,483
Hokuetsu Paper Mills Ltd.
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Honda Motor Co. Ltd.
95,400
3,327,342
14,300
652,868
51,900
744,323
1,681
1,412,245
98,500
801,608
Honeys Co. Ltd.
Hosiden Corp.
Jupiter Telecommunications Co.(a)
Kaken Pharmaceutical Co. Ltd.
Kansai Electric Power Co., Inc. (The)
126,000 3,624,745
Keyence Corp.
10,650
2,403,119
598
639,409
KK Davinci Advisors(a)
Komatsu Ltd.
114,000 2,399,185
Kurabo Industries Ltd.
173,100 480,344
Kyowa Hakko Kogyo Co. Ltd.
65,000
601,239
30,700
872,751
Kyushu Electric Power Co., Inc.
Marubeni Corp.
191,700 1,164,776
Mitsubishi Chemical, Inc.
162,000 1,378,870
Nintendo Co. Ltd.
12,900
3,749,364
Nippon Oil Corp.
284,200 2,305,628
Nippon Paper Group, Inc.
400
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1,422,267
Nippon Telegraph and Telephone Corp.
500
2,643,415
Nissan Motor Co. Ltd.
268,800 2,880,978
Nomura Holdings, Inc.
91,300
1,902,083
66,400
633,347
1,600
2,959,946
NSK Ltd.
NTT DoCoMo, Inc.
Oji Paper Co. Ltd.
185,000 981,203
Okasan Holdings, Inc.
63,100
492,634
22,000
5,731,501
ORIX Corp.
Osaka Gas Co. Ltd.
111,300 431,637
Promise Co. Ltd.
5,100
192,159
Rengo Co. Ltd.
118,900 675,018
Ricoh Co. Ltd.
95,600
2,153,921
26,700
686,533
36,300
2,214,842
83,000
1,493,211
Santen Pharmaceutical Co. Ltd.
Shin-Etsu Chemical Co. Ltd.
Sumitomo Corp.
Suruga Bank Ltd.
121,000 1,577,189
Takefuji Corp.
19,000
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762,644
Tanabe Seiyaku Co. Ltd.
85,600
1,164,433
11,200
284,182
85,000
887,220
35,000
2,242,447
59,828
7,667,557
83,700
2,343,941
Tohoku Electric Power Co., Inc.
Toppan Printing Co. Ltd.
Toyota Motor Corp.
Toyota Motor Corp., ADR
Yamaha Motor Co. Ltd.
Yokohama Rubber Co. Ltd. (The)
174,300 1,070,886
94,150,258
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Mexico 1.5%
America Movil—Ser. L, ADR
128,309
6,131,888
America Movil SA de CV
1,507,500 3,598,634
Wal-Mart de Mexico SA de CV
937,500
4,002,842
13,733,364
Netherlands 2.1%
ABN AMRO Holding NV
22,700
977,029
108,800
2,168,471
132,745
3,459,853
81,100
3,428,866
29,900
2,319,018
31,600
2,095,080
172,200
2,682,179
31,900
1,645,305
30,200
1,230,850
Aegon NV
Heineken NV, ADR
ING Groep NV
Randstad Holdings NV
Royal Dutch Shell PLC, ADR
Royal KPN NV
Royal Numico NV
TomTom NV(a)
20,006,651
New Zealand 0.1%
Fisher & Paykel Appliances Holdings Ltd.
319,700
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838,149
Norway 0.2%
Norsk Hydro ASA
70,500
2,337,126
167,600
900,028
Portugal 0.1%
Energias de Portugal SA
Singapore 1.0%
CapitaLand Ltd.
1,134,000 5,979,634
MobileOne Ltd.
433,700
626,044
432,800
924,280
152,000
1,663,118
Neptune Orient Lines Ltd.
Singapore Airlines Ltd.
9,193,076
South Africa 0.1%
Naspers Ltd.
48,800
1,180,564
83,800
2,057,527
200,200
3,572,946
81,700
5,078,216
93,200
3,142,398
Spain 1.6%
Banco Bilbao Vizcaya Argentaria SA
Banco Santander Central Hispano SA
Inditex SA
Repsol YPF SA
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Telefonica SA
55,700
1,227,708
15,078,795
Sweden 1.0%
Electrolux AB, Ser. B
68,800
1,743,942
68,800
1,135,533
244,700
3,907,323
672,000
2,473,277
Husqvarna AB (Class B Stock)
Nordea Bank AB
Telefonaktiebolaget LM Ericsson (Class B Stock)
9,260,075
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Switzerland 5.3%
ABB Ltd.
312,100 5,342,287
Baloise Holding AG
21,900
2,279,842
68,700
4,929,959
34,400
1,500,391
730
1,123,400
2,500
1,810,476
24,800
2,039,880
16,700
6,503,950
4,250
1,549,397
2,200
1,096,243
22,350
3,954,450
1,600
1,910,546
26,100
2,384,150
6,200
2,241,164
8,200
1,568,942
19,400
1,152,681
Credit Suisse Group
EFG International(a)
Geberit AG
Georg Fischer AG(a)
Kuehne & Nagel International AG
Nestle SA
Nobel Biocare Holding AG
Rieter Holding AG
Roche Holdings AG
SGS SA
Swiss Reinsurance
Swisscom AG
Syngenta AG
UBS AG
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UBS AG—New
110,336 6,557,269
Verwalt & Privat-Bank AG
2,578
632,222
5,900
1,703,020
Zurich Financial Services AG
50,280,269
Taiwan 0.3%
HON HAI Precision Industry Co. Ltd., GDR
202,840 2,744,020
United Kingdom 10.9%
Acergy SA(a)
55,600
1,186,861
76,000
1,695,968
61,200
3,292,615
60,000
883,759
Alliance & Leicester PLC
AstraZeneca PLC
Aviva PLC
Barclays PLC
299,200 4,245,099
BG Group PLC
394,100 5,684,619
BP PLC
391,400 4,251,585
Bradford & Bingley PLC
178,100 1,592,025
Brit Insurance Holdings PLC
227,200 1,441,880
BT Group PLC
756,400 4,521,253
Cairn Energy PLC
36,806
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1,126,263
Cairn Energy PLC (Class B Stock)
45,300
267,430
Capita Group PLC
209,600 2,815,042
Carphone Warehouse Group PLC
170,400 928,000
Davis Service Group PLC
69,100
792,073
DSG International PLC
566,000 1,893,461
GKN PLC
263,300 1,976,680
GlaxoSmithKline PLC
55,000
1,511,994
7,500
120,654
Hanson PLC
HBOS PLC
472,000 9,724,776
Interserve PLC
174,800 1,674,320
Legal & General Group PLC
359,600 1,125,143
Lloyds TSB Group PLC
346,200 3,815,101
Man Group PLC
261,500 2,855,983
Northern Foods PLC
211,500 515,047
Northern Rock PLC
129,400 2,915,619
Old Mutual PLC
319,100 1,030,449
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Reckitt Benckiser PLC
119,900
6,243,096
522,500
5,081,875
Rolls-Royce Group PLC
Rolls-Royce Group PLC, B Share entitlement(a)
30,073,600 59,180
Rotork PLC
48,800
813,862
300,200
957,010
71,600
2,795,411
195,600
6,508,838
71,300
806,767
148,300
1,428,515
785,000
6,862,590
113,100
594,244
81,300
583,548
54,400
1,424,846
1,594,200
4,250,824
Royal & Sun Alliance Insurance Group PLC
Royal Bank of Scotland Group PLC (The)
Royal Dutch Shell PLC (Class B Stock)
Tate & Lyle PLC
Taylor Woodrow PLC
Tesco PLC
Tomkins PLC
Tullow Oil PLC
Vedanta Resources PLC
Vodafone Group PLC
102,294,305
United States 40.4%
3M Co.
27,300
2,086,539
22,200
1,376,400
Alltel Corp.
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Altria Group, Inc.(b)
21,800
1,914,258
34,000
1,917,600
52,100
3,502,162
37,100
2,119,894
69,351
2,590,953
65,400
3,300,084
137,373
5,416,617
66,900
2,492,694
65,100
4,305,063
102,000
5,204,040
48,208
4,286,173
68,300
993,082
31,400
747,948
41,300
1,146,488
104,640
8,416,195
32,800
1,277,560
19,527
667,433
American Express Co.
American International Group, Inc.
Ameriprise Financial, Inc.
Amylin Pharmaceuticals, Inc.(a)(b)
Anheuser-Busch Cos., Inc.
AT&T, Inc.
Avon Products, Inc.(b)
Baker Hughes, Inc.
Bank of America Corp.
Boeing Co.
Boston Scientific Corp.(a)
Bowater, Inc.(b)
Bristol-Myers Squibb Co.
Burlington Northern Santa Fe Corp.
Campbell Soup Co.(b)
CB Richard Ellis Group, Inc.(a)
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CBS Corp. (Class B Stock)
32,700
1,000,293
73,600
5,443,456
192,967
4,926,448
146,376
7,514,944
72,800
3,494,400
402,191
10,436,855
67,800
1,573,638
18,100
830,066
35,100
1,209,897
87,400
1,773,346
54,700
2,703,821
31,000
3,252,520
72,300
5,455,035
31,200
1,702,896
113,892
5,130,835
72,454
7,783,733
65,300
2,526,457
ChevronTexaco Corp.
Cisco Systems, Inc.(a)
Citigroup, Inc.
Coca-Cola Co. (The)
Comcast Corp. (Class A Stock)(a)(b)
Dell, Inc.
Dow Chemical Co. (The)
Dow Jones & Co., Inc.(b)
Duke Energy Corp.
E.I. du Pont de Nemours & Co.
Entergy Corp.
Exxon Mobil Corp.(b)
Fannie Mae
Federated Department Stores, Inc.
FedEx Corp.
Fifth Third Bancorp
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Genentech, Inc.(a)
115,170
9,457,760
85,774
6,553,134
184,000
6,506,240
General Dynamics Corp.
General Electric Co.
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General Mills, Inc.(b)
32,500
1,892,150
45,200
1,384,928
50,600
1,767,964
53,839
3,231,417
39,999
8,264,993
4,713
2,159,308
97,000
2,040,880
25,600
2,446,848
73,200
2,689,368
13,600
626,416
40,700
2,100,120
General Motors Corp.(b)
Genworth Financial, Inc.
Genzyme Corp.(a)
Goldman Sachs Group, Inc.
Google, Inc. (Class A Stock)(a)
H&R Block, Inc.
Hartford Financial Services Group, Inc.
Home Depot, Inc. (The)
Honeywell International, Inc.
Illinois Tool Works, Inc.
Intel Corp.
240,199 4,595,007
International Business Machines Corp.
36,900
3,478,194
90,000
3,276,000
51,000
3,073,260
International Paper Co.(b)
Johnson & Johnson
JPMorgan Chase & Co.
135,500 6,555,490
Las Vegas Sands Corp.(a)
69,251
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5,997,829
Lehman Brothers Holdings, Inc.(b)
92,040
6,449,243
18,280
2,021,585
85,200
2,029,464
25,000
1,694,750
72,935
7,076,154
Liberty Media Holdings Corp.—Capital (Class A Stock)(a)
Liberty Media Holdings Corp.—Interactive (Class A Stock)(a)
Lincoln National Corp.(b)
Lockheed Martin Corp.
Lowe’s Cos., Inc.(b)
177,308 5,583,429
Marsh & McLennan Cos., Inc.
144,200 4,223,618
Mastercard, Inc. (Class A Stock)
40,278
4,279,135
68,500
2,955,090
91,900
4,059,223
31,000
2,531,770
35,629
2,476,928
Mellon Financial Corp.(b)
Merck & Co., Inc.
Merrill Lynch & Co., Inc.
MGM Mirage
Microsoft Corp.
149,800 4,174,926
Monsanto Co.
108,571 5,967,062
Morgan Stanley
40,700
3,205,532
47,600
2,541,840
66,100
1,554,011
Murphy Oil Corp.(b)
New York Times Co. (The) (Class A Stock)(b)
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Newell Rubbermaid, Inc.
79,900
2,484,091
96,900
2,368,236
19,264
1,387,779
15,700
1,022,541
NiSource, Inc.
NRG Energy, Inc.(a)(b)
Nucor Corp.
Pfizer, Inc.
133,200 3,364,632
Praxair, Inc.
91,780
5,778,469
Procter & Gamble Co. (The)
136,019 8,590,960
Qwest Communications International, Inc.(a)(b)
158,800 1,427,612
RadioShack Corp.(b)
57,300
1,548,819
45,300
2,376,438
88,100
2,247,431
64,022
4,423,920
46,150
1,212,361
Raytheon Co.
Schering-Plough Corp.
Schlumberger Ltd.(b)
Spectra Energy Corp.
Sprint Nextel Corp.
134,900 2,557,704
St. Joe Co. (The)(b)
49,051
2,565,858
Starbucks Corp.(a)(b)
115,602 3,625,279
State Street Corp.
37,800
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2,447,550
Station Casinos, Inc.
16,912
1,464,072
90,204
5,345,489
Target Corp.
Time Warner Cos., Inc.(b)
176,800 3,486,496
Travelers Cos., Inc. (The)
28,200
1,459,914
U.S. Bancorp
102,900 3,598,413
Union Pacific Corp.
89,444
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9,083,038
United Technologies Corp.(b)
54,562
3,546,530
303,082
16,054,253
63,300
2,400,336
36,100
1,484,071
55,500
2,605,725
60,000
2,065,800
76,300
2,625,483
125,405
4,317,694
48,300
2,416,449
78,188
7,416,914
UnitedHealth Group, Inc.
Verizon Communications, Inc.
Viacom, Inc. (Class B Stock)(a)
Wal-Mart Stores, Inc.
Walt Disney Co.
Waste Management, Inc.
Wells Fargo & Co.
Wyeth
Wynn Resorts Ltd.(b)
380,241,246
Total long-term investments (cost $753,748,286)
907,661,194
SHORT-TERM INVESTMENT 11.7%
Affiliated Money Market Mutual Fund
Dryden Core Investment Fund - Taxable Money Market Series (includes $85,917,010 of cash collateral
received for securities on loan)(c)(d) (cost $110,429,829)
110,429,829
Total Investments 108.1%
(cost $864,178,115)
110,429,829
1,018,091,023
Liabilities in excess of other assets (8.1%)
(75,980,943 )
Total Net Assets 100.0%
$942,110,080
The following abbreviations are used in portfolio descriptions:
ADR American Depositary Receipt
GDR Global Depositary Receipt
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144A
(a)
(b)
(c)
(d)
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.
Non-income producing security.
All or a portion of security is on loan. The aggregate market value of such securities is $82,832,071; cash collateral of $85,917,010
(included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.
Represents security, or a portion thereof, purchased with cash collateral for securities on loan.
Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund — Taxable
Money Market Series.
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The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of March 31,
2007 were as follows:
Affiliated Money Market Mutual Fund (including 9.1% of collateral received for securities on loan)
11.7 %
Commercial Banks
10.8
Diversified Financial Services
8.1
Oil, Gas & Consumable Fuels
7.6
Telecommunications
6.3
Specialty Retail
5.1
Insurance
4.9
Automobiles
4.3
Food & Staples Retailing
3.8
Aerospace & Defense
3.2
Chemicals
3.1
Household Durables
3.1
Media
3.0
Pharmaceuticals
3.0
Transportation
3.0
Industrial Conglomerates
2.2
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Utilities
2.2
Metal & Mining
2.1
Hotels, Restaurants & Leasure
1.8
Health Care Providers & Services
1.7
Software
1.5
Commercial Services
1.4
Beverages
1.3
Biotechnology
1.3
Computers & Peripherals
1.3
Health Care Equipment & Supplies
1.3
Real Estate
1.2
Electronic Equipment & Instruments
1.0
Textiles, Apparel & Luxury Goods
1.0
Paper & Forest Products
0.9
Construction & Engineering
0.8
Personal Products
0.8
Office Equipment
0.6
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Airlines
0.5
Internet Software & Services
0.5
Machinery
0.5
Agriculture
0.4
Building Materials
0.3
Environmental Control
0.3
Electrical Equipment
0.2
108.1
Liabilities in excess of other assets
(8.1 )
100.0%
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GOVERNMENT INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
March 31, 2007 (Unaudited)
Principal
Interest
Maturity
Amount
Rate
Date
(000)
Value
LONG-TERM INVESTMENTS 102.5%
Asset Backed Securities 3.6%
Small Business Administration Participation Certificates,
7.20 %
10/01/
16
$4,437
$4,613,083
7.15 %
01/01/
17
3,898
4,056,775
6.85 %
07/01/
17
1,260
1,306,389
6.00 %
09/01/
18
2,698
2,760,745
Series 1996-20J, Class 1
Series 1997-20A, Class 1
Series 1997-20G, Class 1
Series 1998-20I, Class 1
12,736,992
Collateralized Mortgage Obligations 6.7%
Federal Home Loan Mortgage Corp.,
5.50 %
09/15/
17
2,819
2,820,500
5.50 %
09/15/
17
2,000
2,018,044
5.00 %
10/15/
17
2,339
2,284,911
5.50 %
06/15/
19
1,920
1,908,171
Series 2496, Class PM
Series 2501, Class MC
Series 2513, Class HC
Series 2518, Class PV
Federal National Mortgage Association,
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6.50 %
01/25/
23
61
60,878
5.50 %
04/25/
17
5,000
5,048,486
5.50 %
09/25/
17
2,481
2,498,981
4.50 %
01/25/
18
6,419
6,125,917
4.17 %
02/25/
34
638
636,737
Series 1993-29, Class PH
Series 2002-18, Class PC
Series 2002-57, Class ND
Series 2002-94, Class HQ
Structured Adjustable Rate Mortgage Loan,
Series 2004-1, Class 4A-3(a)
23,402,625
Commercial Mortgage Backed Securities 7.0%
Bear Stearns Commercial Mortgage Securities, Inc.,
7.64 %
02/15/
32
532
542,564
4.60 %
02/13/
46
4,200
4,065,545
7.739 %
05/17/
32
314
316,208
6.94 %
10/15/
32
114
114,235
5.444 %
03/10/
39
3,100
3,108,927
4.608 %
01/10/
40
6,800
6,602,573
Series 2000-WF1, Class A1(b)
Series 2004-T16, Class A5
First Union National Bank Commercial Mortgage Trust,
Series 2000-C1, Class A1
Series 2000-C2, Class A1
Greenwich Capital Commercial Funding Corp.,
Series 2007-GG9, Class A4
GS Mortgage Securities Corp. II,
Series 2003-C1, Class A3
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5.56 %
11/10/
39
1,700
1,723,614
5.378 %
08/12/
48
2,000
1,994,808
5.66 %
05/12/
39
1,500
1,537,891
4.852 %
06/12/
47
1,375
1,352,426
5.945 %
10/15/
42
2,800
2,882,690
6.32 %
02/15/
33
352
352,244
Series 2006-GG8, Class A4
Merrill Lynch/Countrywide Commercial Mortgage Trust,
Series 2007-5, Class A4
Merrill Lynch Mortgage Trust,
Series 2006-C1, Class ASB
Morgan Stanley Capital I,
Series 2005-T19, Class AAB
Series 2006-IQ11, Class A4
Morgan Stanley Dean Witter I,
Series 2001-TOP1, Class A2
24,593,725
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Corporate Bond 0.4%
DEPFA ACS Bank, 144A(c)
5.125%
03/16/37
1,520
1,447,206
6.25 %
04/15/15
AUD 1,045
862,049
4.00 %
07/04/16
EUR 1,725
2,295,000
1.10 %
03/20/33
JPY 103,600 669,947
2.20 %
09/20/26
JPY 51,950
449,935
5.00 %
05/15/15
NOK 6,135
1,034,853
6.75 %
05/05/14
SEK 8,830
1,480,139
Foreign Government Bonds 2.0%
Australian Government Bond, Series 415
Deutsche Bundesrepublik, Series 06
Japanese Government Bonds,
Series 10
Series 90
Norwegian Government Bonds
Sweden Government Bond, Series 1041
6,791,923
Mortgage Backed Securities 58.7%
Federal Home Loan Morgage Corp.(a)
3.533%
05/01/34
1,901
1,855,017
3.782%
06/01/34
4,699
4,593,926
Federal Home Loan Morgage Corp.(a)
Federal Home Loan Mortgage Corp.
5.00 % 06/01/33-05/01/34 10,985
10,639,982
5.00 %
TBA 30 YR
5,500
5,314,375
5.50 %
TBA 30 YR
9,500
9,399,062
6.00 %
09/01/34
727
734,827
Federal Home Loan Mortgage Corp.
Federal Home Loan Mortgage Corp.
Federal Home Loan Mortgage Corp.
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Federal Home Loan Mortgage Corp.
6.50 % 06/01/08-09/01/32 1,011
1,032,758
7.00 % 08/01/11-10/01/32 1,080
1,097,098
3.49 %
06/01/34
12,523
12,227,434
3.812%
04/01/34
821
809,358
4.023%
08/01/33
3,439
3,355,371
4.25 %
04/01/34
2,235
2,214,955
4.45 %
06/01/34
1,971
1,958,899
4.50 %
TBA 15 YR
5,000
4,839,060
4.876%
10/01/34
3,014
2,981,464
4.979%
06/01/36
4,680
4,675,909
Federal Home Loan Mortgage Corp.
Federal National Mortgage Association(a)
Federal National Mortgage Association(a)
Federal National Mortgage Association(a)
Federal National Mortgage Association(a)
Federal National Mortgage Association(a)
Federal National Mortgage Association
Federal National Mortgage Association(a)
Federal National Mortgage Association(a)
Federal National Mortgage Association
5.00 % 07/01/18-03/01/34 14,578
14,308,302
5.00 %
26,000
25,114,388
5.50 % 01/01/17-11/01/35 42,434
42,064,645
6.00 % 11/01/14-01/01/36 8,958
9,047,535
6.00 %
TBA 15 YR
3,000
3,048,750
6.00 %
TBA 30 YR
18,500
18,635,006
6.276%
03/01/11
1,264
1,312,284
Federal National Mortgage Association
TBA 30 YR
Federal National Mortgage Association
Federal National Mortgage Association
Federal National Mortgage Association
Federal National Mortgage Association
Federal National Mortgage Association
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Federal National Mortgage Association
6.50 % 11/01/09-10/01/32 4,831
4,962,478
7.00 % 02/01/12-01/01/36 2,162
2,242,974
7.50 % 04/01/07-10/01/12 274
280,884
8.00 % 03/01/22-05/01/26 67
70,943
9.00 % 02/01/25-04/01/25 261
283,801
5.00 % 07/15/33-04/15/34 4,382
4,270,487
5.00 %
TBA 30 YR
3,000
2,918,436
5.50 %
TBA 30 YR
4,500
4,474,688
Federal National Mortgage Association
Federal National Mortgage Association
Federal National Mortgage Association
Federal National Mortgage Association
Government National Mortgage Association
Government National Mortgage Association
Government National Mortgage Association
Government National Mortgage Association
6.50 % 07/15/32-08/15/32 966
993,487
7.00 % 03/15/23-08/15/28 2,210
2,310,909
7.50 % 12/15/25-02/15/26 439
458,971
8.50 % 09/15/24-04/15/25 518
559,505
Government National Mortgage Association
Government National Mortgage Association
Government National Mortgage Association
205,087,968
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U.S. Government Agency Obligations 20.0%
Federal Home Loan Mortgage Corp., M.T.N.
4.75 %
01/18/11
645
643,223
5.00 %
02/16/17
4,690
4,680,522
5.35 %
11/14/11
1,210
1,211,170
4.875%
04/10/08
13,785 13,762,296
Federal Home Loan Mortgage Corp., M.T.N.(d)
Federal Home Loan Mortgage Corp., M.T.N.
Federal National Mortgage Association
Federal National Mortgage Association
5.00 % 02/16/12-02/13/17 23,110 23,095,953
Federal National Mortgage Association
5.30 %
02/22/11
14,630 14,591,362
Zero
05/11/18
4,000
2,281,356
4.375%
06/15/15
9,850
9,433,079
FICO Strip Principal
Tennessee Valley Authority, Series B
69,698,961
U.S. Government Treasury Securities 4.1%
United States Treasury Bonds(d)
4.50 %
02/15/36
700
659,968
8.125%
05/15/21
840
1,115,362
4.625%
02/29/12
3,600
3,613,360
4.875%
04/30/08
8
7,999
5.00 %
07/31/08
15
15,040
United States Treasury Bonds
United States Treasury Notes
United States Treasury Notes
United States Treasury Notes
United States Treasury Strips
Zero
02/15/12-05/15/21 15,155 8,991,198
14,402,927
TOTAL LONG-TERM INVESTMENTS
(cost $359,754,966)
358,162,327
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Shares
SHORT-TERM INVESTMENTS 16.4%
Affiliated Money Market Mutual Funds 16.4%
Dryden Core Investment Fund—Short-Term Bond Series
(cost $38,157,755)(f)
38,132,969 38,132,969
Dryden Core Investment Fund—Taxable Money Market Series
(cost $19,085,368; includes $5,440,259 of cash collateral received for securities on loan)(e)(f)
19,085,368 19,085,368
TOTAL AFFILIATED MONEY MARKET MUTUAL FUNDS
(cost $57,243,123)
57,218,337
Contracts
OUTSTANDING OPTIONS PURCHASED*
Call Options
U.S. Long Bond, expiring 05/25/07 @ $111
(cost $25,978)
11
13,922
TOTAL SHORT-TERM INVESTMENTS
(cost $57,269,101)
57,232,259
TOTAL INVESTMENTS, BEFORE OUTSTANDNG OPTIONS WRITTEN AND SECURITIES SOLD
SHORT 118.9%
(cost $417,024,067)
415,394,586
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OUTSTANDING OPTIONS WRITTEN*
Call Options
U.S. Long Bond, expiring 05/25/07 @ $115
(premium received $5,647)
11
(1,719
)
Principal
Interest
Maturity
Amount
Rate
Date
(000)
TBA 30 YR
$59,000
SECURITIES SOLD SHORT (16.7)%
Mortgage Backed Securities
Federal National Mortgage Association
(proceeds received $58,493,281)
5.50 %
TOTAL INVESTMENTS, NET OF OUTSTANDING OPTIONS WRITTEN AND
SECURITIES SOLD SHORT 102.2%
(cost $358,525,139)
(58,373,125 )
357,019,742
OTHER LIABILITIES IN EXCESS OF OTHER ASSETS(g) (2.2%)
(7,831,729 )
TOTAL NET ASSETS 100.0%
$349,188,013
The following abbreviations are used in portfolio descriptions:
AUD — Australian Dollar
EUR — Euro
FICO — Financing Corporation
JPY
— Japanese Yen
M.T.N. — Medium Term Note
NOK — Norwegian Krone
SEK
— Swedish Krona
TBA — Securities purchased on a forward commitment basis
*
Non-income producing security
(a) Indicates a variable rate security. The maturity date presented for these instruments is the later of the next date on which the security can
be redeemed at par or the next date on which the rate of interest is adjusted. The interest rate shown reflects the rate in effect at
March 31, 2007.
(b) Security segregated as collateral for futures contracts.
(c) Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be subject to that rule except to qualified
institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
(d) All or portion of security is on loan. The aggregate market value of such securities is $5,294,107; cash collateral of $5,440,259 (included
in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.
(e) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.
(f) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund — Taxable
Money Market Series and the Dryden Core Investment Fund — Short-Term Bond Series.
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(g)
Other liabilities in excess of other assets include net unrealized appreciation (depreciation) on financial futures contracts, forward
foreign currency contracts and interest rate swap agreements as follows:
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Open futures contracts outstanding at March 31, 2007:
Unrealized
Number of Contracts
Type
Expiration
Value at
Value at
Appreciation
Date
March 31, 2007
Trade Date
(Depreciation)
Long Positions:
15
Australian 10 Yr. Bond
Jun. 07
$1,142,349
$1,144,608
$ (2,259
)
10 Yr. Euro-Bund
Jun. 07
7,829,279
7,890,438
(61,159
)
Long-Term U.K. Gilt
Jun. 07
1,272,920
1,285,731
(12,811
)
U.S. 5 Yr. Notes
Jun. 07
8,357,953
8,366,691
(8,738
)
U.S. 30 Yr. Bond
Jun. 07
16,910,000
16,960,923
(50,923
)
51
6
79
152
(135,890 )
Short Positions:
117
U.S. Treasury 2 Yr. Notes
Jun. 07
23,972,203
23,988,490
16,287
U.S. Treasury 10 Yr. Notes
Jun. 07
55,576,250
55,768,602
192,352
514
208,639
$ 72,749
Open forward foreign currency exchange contracts outstanding at March 31, 2007:
Unrealized
Purchase Contracts:
Contracts to Deliver
Payable at
Value at
Appreciation
Statement Date
March 31, 2007
(Depreciation)
$ (72
Japanese Yen
expiring 04/26/07
JPY
37,820,213
$322,242
$322,170
JPY
38,077,253
323,635
323,269
)
expiring 04/03/07
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(366
)
Pound Sterling expiring 04/26/07
GBP
125,244
246,631
246,449
(182
NZD
241,887
169,786
172,528
2,742
NOK
6,592,436
1,082,911
1,085,337
2,426
NOK
1,061,276
174,900
174,722
(178
)
New Zealand Dollar expiring 04/23/07
Norwegian Krone
expiring 04/24/07
expiring 04/24/07
)
$ 4,370
Unrealized
Sales Contracts:
Contracts to Deliver
Receivable at
Value at
Appreciation
Statement Date
March 31, 2007
(Depreciation)
$697,678
$705,862
$ (8,184
Australian Dollar expiring 04/23/07
AUD
872,982
EUR
1,645,909
)
Euros expiring 04/26/07
2,202,457
2,200,973
1,484
JPY 125,474,200
1,070,261
1,068,845
1,416
JPY
324,595
324,359
236
Japanese Yen
expiring 04/26/07
expiring 04/26/07
38,077,253
Norwegian Krone expiring 04/24/07
NOK
13,132,826
2,132,298
2,162,105
(29,807
)
SEK
10,886,603
1,560,971
1,561,141
(170
)
(35,025
)
$ (30,655
)
Swedish Krona expiring 04/24/07
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Interest rate swap agreements outstanding at March 31, 2007:
Counterparty
Termination
Notional
Fixed
Date
Amount (000)
Rate
Unrealized
Floating Rate
(Depreciation)
Merrill Lynch Capital Services(1)
02/28/17
$7,100
5.169%
3 month LIBOR
$ (3,162
)
03/02/37
2,345
5.25 %
3 month LIBOR
(48,249
)
02/27/17
NZD 1,465
6.955%
3 month NZD-BBR-FRA
(12,779
)
12/22/16
NZD 1,465
6.808%
3 month NZD-BBR-FRA
(11,021
)
02/05/17
NZD 1,465
6.995%
3 month NZD-BBR-FRA
(18,681
)
03/02/17
NZD 1,465
6.86 %
3 month NZD-BBR-FRA
(28,039
)
Merrill Lynch Capital Services(1)
Citibank, NA (2)
Morgan Stanley Capital Services(1)
Morgan Stanley Capital Services(1)
Morgan Stanley Capital Services(1)
$ (121,931 )
(1)
(2)
The Portfolio pays the floating rate and receives the fixed rate.
The Portfolio pays the fixed rate and receives the floating rate.
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High Yield Bond Portfolio
Schedule of Investments
March 31, 2007 (Unaudited)
Principal
LONG-TERM INVESTMENTS 90.1%
CORPORATE BONDS 88.6%
Moody’’s
Interest
Maturity
Amount
Rating
Rate
Date
(000)
3,485
$3,593,906
Value
Aerospace/Defense——2.5%
B3
8.875 %
05/01/
11
Ba2
6.30
05/01/
14
1,000
950,000
6.625
02/01/
16
4,600
4,646,000
B3
7.625
02/01/
18
3,050
3,172,000
B1
7.75
06/15/
13
4,500
4,623,750
Caa1
7.75
11/15/
14
2,750
2,921,875
B2
7.848
11/18/
12
1,903
1,905,459
Ba3
7.625
06/15/
12
11,050
11,381,499
Ba3
6.25
01/15/
15
2,000
1,970,000
9.00
08/01/
09
575
606,625
B2
8.875
04/01/
08
3,475
3,561,875
Caa1
8.25
09/01/
14
560
600,600
7.75
07/15/
14
3,025
3,123,313
BE Aerospace, Inc., Sr. Sub Notes, Ser. B
Bombardier Inc., Notes (Canada)(j)
DRS Technologies, Inc., Gtd. Notes
B1
DRS Technologies, Inc., Gtd. Notes(b)
Esterline Technologies Corp., Sr. Sub. Notes
K&F Acquisition, Inc., Gtd. Notes
K&F Industry, Inc., Bank Loan(f)(h)
L-3 Communications Corp., Gtd. Notes
Moog, Inc., Sr. Sub. Notes
Sequa Corp., Sr. Notes
B2
Sequa Corp., Sr. Notes, Ser. B
Standard Aero Holdings, Inc., Gtd. Notes
Transdigm Inc., Sr. Sub. Notes(j)
B3
43,056,902
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Airlines——0.4%
CCC+(g)
10.40
03/10/
11
CCC+(g)
10.40
03/15/
11
1,000
1,032,500
NR
10.55
03/12/
21
1,425
1,417,875
Caa1
8.125
04/01/
08
1,978
1,992,835
Ba2
6.748
09/15/
18
1,507
1,509,201
7.566
09/15/
21
474
482,901
AMR Corp., MTN
AMR Corp., MTN
AMR Corp., MTN
Calair Capital Corp., Gtd. Notes
1,000
1,032,500
Continental Airlines, Inc., Pass-thru Certs.,
Ser. 98-1, Class B
Ser. 99-2, Class B
Ba2
7,467,812
Automotive——4.7%
8.36
12/12/
13
12,968
13,003,524
8.00
12/15/
16
1,330
1,279,783
B1
7.875
06/15/
10
26,380
26,478,107
B1
9.875
08/10/
11
6,500
6,883,526
7.125
07/15/
13
1,125
1,051,875
7.20
01/15/
11
21,100
20,045,000
6.85
10/15/
08
4,100
4,074,375
Ford Motor Co., Bank Loan(f)(h)
Ba3
Ford Motor Credit Co., Sr., Unsec’d
B1
Ford Motor Credit Co., Notes
Ford Motor Credit Co., Sr. Notes(b)
General Motors Corp, Sr. Notes(b)
Caa1
General Motors Corp., Notes(b)
Caa1
General Motors Nova Scotia Finance Co., Gtd.
Notes (Canada)
Caa1
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8.75
12/01/
16
3,220
3,075,100
Ba3
7.25
03/15/
17
4,000
3,920,000
Caa2
7.00
03/10/
14
2,595
2,270,625
Lear Corp., Sr. Notes(b)
B3
TRW Automotive, Inc.(b)(j)
Visteon Corp., Sr. Notes(b)
82,081,915
Banking——0.7%
9.15
01/15/
16
4,600
4,933,500
Baa1
8.125
10/07/
09
1,305
1,363,725
Baa1
7.00
11/03/
09
1,685
1,699,744
8.50
04/16/
13
3,360
3,553,200
Banco BMG SA(j)
Ba3
Halyk Savings Bank of Kazakhstan, Notes (Kazakhstan)(j)
Kazkommerts International BV, Gtd. Notes (Netherlands)(j)
Kazkommerts International BV, Gtd. Notes (Netherlands)(b)(j)
Baa1
11,550,169
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Building Materials & Construction——1.2%
Beazer Homes USA, Inc., Gtd. Notes(b)
Ba1
8.625
B1
8.36
B3
7.875
Ba1
6.25
Ba1
6.375
Ba2
8.625
Ba2
9.50
B3
8.50
Ba2
8.25
Goodman Global Holdings, Inc., Sr. Notes, Ser. B(h)
Goodman Global Holdings, Inc., Sr. Sub. Notes(b)
K Hovnanian Enterprises, Inc., Gtd. Notes
KB Home, Notes
KB Home, Sr. Sub. Notes
KB Home, Sr. Sub. Notes
Nortek, Inc., Sr. Sub. Notes(b)
Toll Corp., Sr. Sub. Notes(b)
05/
15/
11
06/
15/
12
12/
15/
12
01/
15/
15
08/
15/
11
12/
15/
08
02/
15/
11
09/
01/
14
02/
01/
11
1,820
1,779,050
1,759
1,772,193
950
954,750
2,525
2,190,438
700
678,646
2,800
2,863,000
250
256,250
6,350
6,175,374
4,150
4,253,750
20,923,451
Cable——5.1%
Callahan Nordrhein-Westfalen, Sr. Disc. Notes (Germany)(c)(f)
Charter Communications Holding I LLC, Gtd. Notes(b)
Charter Communications Holding II LLC, Gtd. Notes(b)
Charter Communications Holdings I LLC, Gtd. Notes(b)
Charter Communications Holdings I LLC, Gtd. Notes
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07/
15/
NR 16.00 10
10/
01/
NR 11.00 15
10/
01/
NR 10.25 13
05/
15/
Caa3 10.00 14
01/
15/
Caa3 11.125 14
7,000
70
3,240
3,345,300
4,145
4,528,413
2,517
2,246,423
1,515
1,416,525
Charter Communications Holdings I LLC, Gtd. Notes(b)
Caa3 11.75
Charter Communications Holdings I LLC, Gtd. Notes
Caa3 13.50
Charter Communications Holdings I LLC, Sec’d. Notes
Caa2 11.00
Charter Communications Holdings II LLC, Sr. Notes(b)
Caa2 10.25
Charter Communications Holdings II LLC, Sr. Notes, Ser. B(b)
Caa2 10.25
Charter Communications Holdings LLC, Bank Loan
B1
Zero
B2
7.985
B3
8.375
Charter Communications Holdings LLC, Bank Loan(f)(h)
Charter Communications Operating LLC, Sr. Notes(f)
Comcast Cable Communications Holdings, Inc., Gtd Notes
Baa2 8.375
CSC Holdings, Inc., Debs.
B2
7.625
B2
7.875
B2
8.125
B2
7.875
B2
7.625
B2
8.125
B3
12.25
B3
8.50
CSC Holdings, Inc., Debs.
CSC Holdings, Inc., Debs., Ser. B
CSC Holdings, Inc., Sr. Notes
CSC Holdings, Inc., Sr. Notes, Ser. B
CSC Holdings, Inc., Sr. Notes, Ser. B
Insight Communications Co., Inc., Sr. Notes
Mediacom Broadband LLC, Sr. Notes(b)(j)
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05/
15/
14
01/
15/
14
10/
01/
15
09/
15/
10
09/
15/
10
04/
30/
14
04/
28/
13
04/
30/
14
03/
15/
13
07/
15/
18
02/
15/
18
08/
15/
09
12/
15/
07
04/
01/
11
07/
15/
09
02/
15/
11
10/
15/
15
3,150
3,016,125
1,000
1,010,000
8,928
9,262,799
3,725
3,929,875
1,000
1,053,750
8,500
8,478,749
8,500
8,480,611
3,920
4,081,700
100 (i) 114
4,300
4,343,000
800
822,000
5,450
5,640,750
3,775
3,817,469
350
358,750
2,410
2,494,350
2,000
2,090,000
1,975
2,019,438
Mediacom LLC, Sr. Notes(b)
B3
9.50
B1
7.37
B1
7.37
Ba2
6.375
Ba2
6.875
UPC Broadbank Holdings BV, Bank Loan(f)(h)
UPC Broadbank Holdings BV, Bank Loan(f)(h)
Videotron Ltee, Gtd. Notes (Canada)(b)
Videotron Ltee, Gtd. Notes (Canada)
01/
15/
13
03/
31/
13
12/
31/
13
12/
15/
15
01/
15/
14
875
902,344
2,500
2,504,845
2,500
2,504,688
3,450
3,389,625
4,570
4,615,700
86,353,413
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
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Capital Goods——5.2%
8.50
01/15/
13
1,400 1,396,500
5.75
02/15/
11
5,320 5,187,000
B1
6.875
06/01/
17
500
501,250
B1
7.25
03/15/
15
900
918,000
7.875
04/15/
13
675
700,313
B3
9.00
08/15/
16
3,270 3,482,550
Ba3
7.625
05/15/
14
1,835 1,871,700
8.625
02/15/
17
2,500 2,643,750
B2
8.875
08/01/
12
7,825 8,098,874
Ba3
9.25
08/01/
11
3,360 3,528,000
B2
8.875
11/01/
13
3,990 4,229,400
B1
7.125
04/01/
17
3,725 3,748,281
B1
8.875
01/01/
14
9,275 9,993,812
NR
Zero
01/15/
06
800
8
9.875
03/15/
11
360
387,450
05/15/
13
4,331 4,471,758
ALH Finance LLC, Sr. Sub. Notes(b)
B3
Allied Waste of North America, Inc., Sec’d Notes, Ser. B(b)
B1
Allied Waste of North America, Inc., Sr. Notes
Allied Waste of North America, Inc., Sr. Notes(b)
Allied Waste of North America, Inc., Sr. Notes
B1
Ashtead Capital, Inc., Notes(j)
Avis Budget Car Rental LLC, Sr. Notes(j)
Baldor Electric Co., Sr. Notes
B3
Blount, Inc., Sr. Sub Notes
Case New Holland, Inc., Gtd. Notes
Columbus Mckinnon Corp., Sr. Sub. Notes(b)
General Cable Corp., Sr. Notes(b)(j)
Hertz Corp., Sr. Notes
Holt Group, Inc., Gtd. Notes(c)(f)
Invensys PLC, Sr. Notes (United Kingdom)(j)
B2
Johnsondiversey Holdings, Inc., Disc. Notes(b)
Caa1 .00
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
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9.625
05/15/
12
1,550 1,619,750
B2
10.50
08/01/
12
6,120 6,510,150
B3
9.50
08/01/
14
7,225 7,514,000
Caa1 9.50
12/01/
14
4,900 5,218,500
Ba3
7.50
11/01/
13
5,175 5,252,625
B1
7.375
01/15/
14
2,790 2,873,700
NR
12.00
02/15/
05
1,304 13
6.50
02/15/
12
1,800 1,795,500
B3
7.75
11/15/
13
3,150 3,236,625
Ba3
6.875
05/01/
14
4,920 4,938,450
8.50
10/01/
15
575
Johnsondiversey, Inc., Gtd. Notes, Ser. B(b)
B3
Manitowoc Co., Inc., Gtd. Notes
RBS Global Inc and Rexnord Corp.,
Rental Service Corp.(j)
Stena AB, Sr. Notes (Sweden)
Terex Corp., Gtd. Notes
Trism, Inc., Gtd. Notes(c)(f)
United Rentals North America, Inc., Gtd. Notes
B1
United Rentals North America, Inc., Sr. Sub. Notes(b)
Valmont Industries, Inc., Gtd. Notes
Williams Scotsman, Inc., Sr. Notes
B3
602,313
90,720,272
Chemicals——2.8%
B1
09/01/
10.125 08
5,420 5,704,550
B1
05/01/
10.625 11
2,185 2,305,175
Ba1
10/15/
11.625 10
5,301 5,744,959
B2
8.50
02/15/
16
1,700 1,627,750
9.875
10/15/
13
5,417 5,877,444
Equistar Chemicals LP, Gtd. Notes
Equistar Chemicals LP, Sr. Notes
Huntsman International LLC, Gtd. Notes
Ineos Group Holdings PLC, Notes (United Kingdom)(b)(j)
Koppers, Inc., Gtd. Notes
B2
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10.50
06/01/
13
4,050 4,434,750
B3
9.75
12/01/
14
4,100 4,223,000
B1
7.375
12/01/
14
2,375 2,475,938
B1
7.625
12/01/
16
2,375 2,505,625
B1
7.75
11/15/
11
4,780 4,899,500
B3
8.875
11/15/
13
1,720 1,827,500
B3
8.875
06/01/
11
4,338 4,522,365
B3
05/15/
10.625 11
2,633 2,777,815
Lyondell Chemical Co., Gtd. Notes
Ba2
Momentive Performance Materials, Sr. Notes(b)(j)
Mosaic Co., Sr. Notes(j)
Mosaic Co., Sr. Notes(j)
Nalco Co., Sr. Notes
Nalco Co., Sr. Sub. Notes(b)
Rhodia SA, Sr. Sub. Notes (France)(b)
Rockwood Specialties Group, Inc., Sr. Sub. Notes
48,926,371
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Consumer——1.8%
9.75
01/15/
15
4,870
5,344,825
10.11
04/01/
12
950
969,000
7.625
08/15/
15
2,950
3,009,000
Caa1 9.375
06/01/
11
7,010
7,246,588
Ba3
8.00
03/01/
11
315
329,175
B1
7.875
02/01/
13
2,000
2,070,000
B1
6.50
03/15/
08
2,000
2,010,000
7.00
06/15/
17
2,100
2,115,750
6.25
02/15/
13
3,450
3,346,500
09/01/
Caa1 11.875 16
2,240
2,455,600
10/15/
16
1,520
1,603,600
Levi Strauss & Co., Sr. Unsub. Notes
B2
Levi Strauss & Co., Sr. Unsub. Notes(h)
B2
Mac-Gray Corp., Sr. Notes
B2
Playtex Products, Inc., Gtd. Notes(b)
Playtex Products, Inc., Sec’d Notes
Service Corp. International, Debs.
Service Corp. International, Sr. Unsec’d. Notes
Service Corp., Sr. Notes(b)
B1
Stewart Enterprises, Inc., Sr. Notes(b)
B1
TDS Investor Corp., Sr. Sub. Notes(b)(j)
West Corp., Sr. Sub, Notes(b)(j)
Caa1 11.00
30,500,038
Electric——7.2%
Ba3
9.00
05/15/
15
1,625
Ba3
8.75
05/15/
13
3,195
3,402,675
9.375
09/15/
10
9,200
10,005,000
9.50
06/01/
09
1,325
1,411,125
AES Corp., Sec’d Notes(j)
AES Corp., Sec’d. Notes(j)
AES Corp., Sr. Notes
B1
AES Corp., Sr. Notes
B1
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1,736,719
AES Eastern Energy LP, Pass-thru-Certs,
Ba1
9.67
01/02/
29
2,000
Ba1
9.00
01/02/
17
2,835
3,154,851
B2
9.95
02/01/
11
204
223,380
Ba3
7.50
01/15/
09
3,290
3,376,363
Ba3
8.50
04/15/
11
1,310
1,424,625
Ba3
9.875
10/15/
07
4,725
4,825,406
7.125
05/15/
18
675
648,000
B2
6.875
04/01/
11
1,210
1,213,025
B2
8.375
05/01/
16
5,875
6,110,000
7.73
06/15/
09
6,615
6,846,525
7.75
06/15/
16
3,750
3,909,375
Baa3 8.625
08/01/
15
4,700
5,545,887
Ba2
8.137
10/01/
19
1,463
1,590,469
Ba2
8.30
07/02/
09
3,535
3,630,886
Ba2
8.56
01/02/
16
1,102
1,205,242
8.75
05/01/
34
4,625
5,018,125
Ser. 99-B
Ser. 99-A
Aquila, Inc., Sr. Notes
CMS Energy Corp., Sr. Notes(b)
CMS Energy Corp., Sr. Notes
CMS Energy Corp., Sr. Notes(b)
Dynegy Holdings, Inc., Debs.
B2
Dynegy Holdings, Inc., Sr. Notes
Dynegy Holdings, Inc., Sr. Unsec’d Notes(b)
Edison Mission Energy, Sr. Notes(b)
B1
Edison Mission Energy, Sr. Unsec’d Notes
B1
Empresa Nacional de Electricidad S.A., Notes (Chile)(b)
Homer City Funding LLC, Gtd. Notes
Midwest Generation LLC, Pass-thru Certs., Ser. A
Midwest Generation LLC, Pass-thru Certs., Ser. B
Midwest Generation LLC, Sr. Sec’d. Notes
Ba2
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2,420,000
Caa1 8.30
05/01/
11
6,225
6,380,625
NR
7.40
07/15/
04
1,825
63,875
B2
7.375
12/31/
13
2,625
2,690,625
B2
13.50
07/15/
08
1,775
1,934,750
Ba1
8.25
06/01/
11
1,675
1,841,867
B1
7.375
01/15/
17
5,300
5,439,125
B1
7.375
02/01/
16
11,000 11,302,499
12.00
05/01/
10
5,055
5,838,525
Ba2
9.237
07/02/
17
1,684
1,869,669
Ba2
9.681
07/02/
26
250
290,000
9.50
07/15/
13
4,515
4,915,706
Ba1
8.00
06/01/
08
1,505
1,542,634
B1
8.625
03/15/
14
1,530
1,655,047
7.50
06/15/
10
3,800
4,028,000
Ba1
5.55
11/15/
14
1,200
1,062,814
Ba1
6.50
11/15/
24
2,825
2,380,975
7.75
06/15/
11
1,990
2,149,200
Mirant Americas Generation LLC, Sr. Notes
Mirant Corp., Sr. Notes(f)(j)
Mirant North America LLC, Sr. Notes(b)
Mission Energy Holding Co., Sec’d. Notes
Nevada Power Co., Gen Ref. Mtge. Notes, Ser. A
NRG Energy, Inc., Gtd. Notes
NRG Energy, Inc., Gtd. Notes
Orion Power Holdings, Inc., Sr. Notes
B2
Reliant Energy Mid-Atlantic Power Holdings LLC, Pass-thru Certs., Ser. B(f)
Reliant Energy Mid-Atlantic Power Holdings LLC, Pass-thru Certs., Ser. C
Reliant Energy, Inc., Sec. Notes
B2
Sierra Pacific Power Co., Gen. Ref. Mtge. Notes, Ser. A
Sierra Pacific Resources, Inc., Sr. Notes(b)
TECO Energy, Inc., Sr. Notes
Ba2
TXU Corp., Sr. Notes, Ser. P
TXU Corp., Sr. Notes, Ser. Q
UtiliCorp Finance, Gtd., Notes (Canada)(b)
B2
123,083,614
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Energy-Integrated——0.2%
Baa2 7.50
07/18/
16
3,000 3,165,000
Ba2
6.25
01/15/
18
1,025 1,012,188
Ba2
6.50
08/15/
17
2,235 2,207,063
Ba2
7.75
01/15/
15
3,054 3,183,795
Ba2
06/15/
6.375 15
3,950 3,930,250
Ba2
7.00
08/15/
14
2,350 2,420,500
Ba2
7.50
06/15/
14
1,000 1,047,500
Ba3
7.50
05/15/
15
950
B2
12/01/
7.625 13
B1
6.00
07/15/
15
1,100 979,000
6.25
04/15/
14
2,400 2,208,000
B1
8.00
06/15/
08
440
Ba3
8.50
09/01/
08
2,053 2,063,265
8.75
09/01/
11
3,445 3,582,800
7.00
06/15/
13
1,625 1,625,000
TNK-BP Finance SA, Gtd. Notes (Luxembourg)(j)
Energy-Other——3.2%
Chesapeake Energy Corp., Gtd. Notes(b)
Chesapeake Energy Corp., Gtd. Notes
Chesapeake Energy Corp., Gtd. Notes
Chesapeake Energy Corp., Sr. Notes
Chesapeake Energy Corp., Sr. Notes(b)
Chesapeake Energy Corp., Sr. Notes
Compagnie Generale De Geophysique, Notes(France)
Compton Petroleum Corp., Gtd. Notes (Canada)
Encore Acquisition Co., Sr. Sub. Notes
Encore Acquisition Co., Sr. Sub. Notes
B1
Forest Oil Corp., Sr. Notes
Hanover Equipment Trust, Sec’d. Notes, Ser. A
Hanover Equipment Trust, Sec’d. Notes, Ser. B(b)
Ba3
Houston Exploration Co., Sr. Sub. Notes
B2
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978,500
2,100 2,052,750
449,350
B1
9.60
03/15/
12
341
357,198
Ba3
09/01/
6.625 14
675
675,000
Ba3
04/15/
6.625 16
4,200 4,200,000
B1
8.25
12/15/
14
4,075 4,238,000
B2
10/01/
9.625 13
4,030 4,372,549
B3
07/15/
9.125 13
4,975 5,298,374
Ba1
07/15/
5.875 16
2,150 2,000,528
Ba1
6.65
03/15/
17
3,700 3,660,155
B1
10/01/
6.875 17
Ba1
6.25
Ba1
11/01/
6.625 15
Magnum Hunter Resources, Inc., Gtd. Notes
Newfield Exploration Co., Sr. Sub. Notes
Newfield Exploration Co., Sr. Sub. Notes(b)
OPTI Canada Inc., Gtd. Notes(j)
Parker Drilling Co., Sr. Notes(b)
Petrohawk Energy Corp, Gtd. Notes
Pioneer Natural Resource Co., Sr. Notes
Pioneer Natural Resource Co.,Sr. Unsec’d Notes
Pogo Producing Co., Sr. Sub. Notes(b)
Tesoro Corp, Gtd. Notes
Tesoro Corp, Gtd. Notes
11/01/
12
1,015 989,625
55
55,756
1,175 1,189,688
54,776,834
Foods——2.7%
Ba1
05/01/
6.875 29
1,780 1,804,475
Ba1
8.25
07/15/
10
1,120 1,209,600
B1
7.45
08/01/
29
3,775 3,713,592
B1
8.70
05/01/
30
2,050 2,217,811
7.50
02/15/
11
1,900 2,000,865
Ahold Finance USA, Inc. Gtd. Notes
Ahold Finance USA, Inc., Notes
Alberton’s LLC, Debs.(b)
Alberton’s LLC, Debs.
Albertson’s LLC, Sr. Notes
B1
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8.50
02/01/
15
6,650 6,915,999
Caa1 9.00
01/15/
13
500
510,000
Ba3
7.25
09/01/
16
355
359,438
Ba2
7.00
06/01/
16
2,300 2,308,625
B2
12/15/
8.625 12
2,830 2,943,200
Ba1
04/15/
8.125 11
3,400 3,719,025
06/15/
10
1,760 1,680,800
Aramark Corp, Sr. Notes(b)(j)
B3
Carrols Corp., Gtd. Notes
Constellation Brands, Inc., Gtd. Notes
Dean Foods Co., Gtd. Notes
Del Monte Corp., Sr. Sub. Notes
Delhaize America, Inc., Gtd. Notes(b)
Dole Food Co., Inc., Gtd. Notes
Caa1 7.25
Dole Food Co., Inc., Sr. Notes
National Beef Packing Co., LLC, Sr. Notes
05/01/
Caa1 8.625 09
823
08/01/
Caa1 10.50 11
4,284 4,498,200
02/01/
12
1,590 1,643,663
09/15/
9.625 11
2,125 2,210,000
Ba3
8.00
10/15/
09
2,040 2,126,700
B1
06/15/
8.125 12
2,890 2,976,700
B1
11/15/
14
3,375 3,518,438
Pathmark Stores, Inc., Gtd. Notes
Caa2 8.75
Pilgrim’s Pride Corp., Gtd. Notes
B1
Smithfield Foods, Inc., Sr. Notes, Ser. B
Stater Brothers Holdings, Inc., Sr. Notes(b)
Supervalu Inc. Sr. Notes(b)
7.50
820,943
47,178,074
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Gaming 5.1%
6.75
04/15/
14
3,559
3,550,103
Ba3
8.75
04/15/
12
1,500
1,565,625
Ba1
05/15/
8.125 11
4,430
4,690,263
B3
8.00
08/01/
13
9,090
9,135,449
06/01/
Baa3 5.625 15
7,350
6,339,375
Baa3 6.50
06/01/
16
775
686,604
Baa3 5.50
07/01/
10
1,200
1,181,400
B1
9.00
03/15/
12
2,530
2,637,525
B1
7.00
03/01/
14
750
735,000
Ba2
9.50
08/01/
08
845
881,969
B1
02/15/
9.375 10
581
626,028
Ba2
01/15/
7.625 17
2,225
2,252,813
Ba2
6.00
10/01/
09
7,965
7,974,955
Ba2
04/01/
6.875 16
5,000
4,862,500
B1
02/01/
8.375 11
4,442
4,675,205
B1
06/01/
07
9,051
9,096,254
Boyd Gaming Corp., Sr. Sub. Notes(b)
Ba3
Boyd Gaming Corp., Sr. Sub. Notes
Caesars Entertainment Corp., Sr. Sub. Notes
CCM Merger, Inc., Notes(b)(j)
Harrah’s Operating Co., Inc, Gtd. Notes
Harrah’s Operating Co., Inc, Gtd. Notes
Harrah’s Operating Co., Inc., Gtd. Notes
Isle of Capri Casinos, Inc., Gtd. Notes
Isle of Capri Casinos, Inc., Sr. Sub. Notes
Mandalay Resort Group, Sr. Notes
Mandalay Resort Group, Sr. Sub. Notes
MGM Mirage, Inc., Gtd. Notes(b)
MGM Mirage, Inc., Gtd. Notes(b)
MGM Mirage, Inc., Gtd. Notes(b)
MGM Mirage, Inc., Gtd. Notes
MGM Mirage, Inc., Gtd. Notes(b)
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9.75
02/27/
5.875 14
2,750
2,557,500
02/15/
Baa3 6.125 13
1,000
985,000
Ba2
08/15/
7.125 14
1,000
1,015,000
Ba2
8.00
04/01/
12
2,845
2,951,688
Ba2
07/01/
8.375 11
400
413,000
Ba2
7.25
05/01/
12
5,375
5,408,594
Ba2
6.00
04/01/
12
4,760
4,611,250
Ba3
6.50
02/01/
14
1,500
1,380,000
Ba3
03/15/
6.625 18
375
333,750
Ba2
7.75
08/15/
16
2,000
2,052,500
Caa1 8.50
06/01/
15
5,195
5,246,950
MGM Mirage, Inc., Sr. Notes
Ba2
Mohegan Tribal Gaming Authority, Sr. Notes
Mohegan Tribal Gaming Authority, Sr. Sub. Notes
Mohegan Tribal Gaming Authority, Sr. Sub. Notes
Mohegan Tribal Gaming Authority, Sr. Sub. Notes(f)
Seneca Gaming Corp., Sr. Unsec’d. Notes, Ser. B
Station Casinos, Inc., Sr. Notes(b)
Station Casinos, Inc., Sr. Sub. Notes(b)
Station Casinos, Inc., Sr. Sub. Notes
Station Casinos, Inc., Sr. Unsec’d Notes
Trump Entertainment Resorts, Inc., Sec’d. Notes(b)
87,846,300
Health Care & Pharmaceutical——7.4%
12/01/
Caa2 10.50 13
Accellent Inc., Gtd. Notes
7.50
05/01/
17
4,150
4,181,125
7.25
12/15/
12
2,775
2,719,500
Caa1 7.50
12/15/
23
600
509,113
Caa1 8.70
02/10/
10
1,800
1,883,023
Advanced Medical Optics Inc.(j)
B1
Alliance Imaging, Inc., Sr. Sub. Notes(b)
B3
Columbia/HCA Healthcare Corp., Debs.
Columbia/HCA Healthcare Corp., MTN
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16,563 17,142,704
12/15/
14
4,365
4,328,330
B3
06/01/
9.125 12
2,275
2,428,563
B3
9.50
200
211,000
B1
03/15/
6.625 13
1,400
1,400,000
B3
9.36
11/15/
11
1,020
1,037,850
B3
12/01/
8.875 13
4,500
4,573,125
07/01/
Baa3 6.125 15
3,000
3,007,281
06/01/
Caa2 10.25 14
3,500
3,718,750
8.11
11/14/
13
9,975
10,056,047
Caa1 6.25
02/15/
13
2,700
2,453,625
Caa1 8.75
09/01/
10
2,200
2,307,250
Columbia/HCA Healthcare Corp., MTN
Caa1 9.00
Concentra Operating Corp., Gtd. Notes
Concentra Operating Corp., Gtd. Notes
Davita Inc.(j)
Elan Finance PLC, Gtd. Notes (Ireland)(h)
Elan Finance PLC, Sr. Unsec’d, (Ireland)(j)
Fisher Scientific International Inc., Sr. Sub. Notes
Hanger Orthopedic Group, Inc., Sr. Notes(b)
HCA, Inc., Bank Loan(f)(h)
Ba3
HCA, Inc., Sr. Unsec’d Notes(b)
HCA, Inc., Sr. Unsec’d Notes(b)
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08/15/
10
B2
9.625
11/
15/16 11,100 11,988,000
B2
9.25
11/
15/16 1,300
1,402,375
8.75
06/
15/14 1,025
1,060,875
Caa1
8.75
02/
15/12 4,505
4,696,463
Baa3
7.25
08/
15/13 455
492,089
Caa1
08/
11.875 15/12 540
491,400
HCA, Inc., Sec’d Notes(b)(j)
HCA, Inc., Sec’d Notes(b)(j)
IASIS Healthcare LLC, Sr. Sub. Notes
B3
Inverness Medical Innovations, Inc., Sr. Sub. Notes(b)
Medco Health Solutions, Inc., Sr. Notes
MedQuest, Inc., Gtd. Notes, Ser. B(b)
Ba1
6.375
08/
15/15 1,700
Ba3
6.125
06/
01/13 2,500
2,437,500
6.875
12/
15/15 1,800
1,815,750
B1
7.75
10/
15/13 4,800
4,896,000
B3
7.625
02/
01/15 1,925
1,732,500
Ba2
7.875
04/
15/15 3,300
3,481,500
Ba2
8.625
01/
15/12 3,730
4,075,025
Caa1
11.00
01/
15/14 10,385 11,553,313
Caa1
9.25
02/
01/15 2,710
2,682,900
7.125
06/
01/15 1,550
1,623,625
8.75
05/
01/09 1,400
1,484,000
Mylan Laboratories Inc., Notes
Omnicare, Inc., Sr. Sub. Notes
Omnicare, Inc., Sr. Sub. Notes
Ba3
Res-Care, Inc., Sr. Notes(k)
Select Medical Corp., Gtd. Notes(b)
Senior Housing Properties Trust, Sr. Notes
Senior Housing Properties Trust, Sr. Notes
Skilled Healthcare Group, Inc., Sr. Sub. Notes(j)
Tenet Healthcare Corp., Sr. Notes
Ventas Realty LP, Gtd. Notes
Ba2
Ventas Realty LP, Gtd. Notes
Ba2
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1,678,750
9.00
05/
01/12 3,648
4,104,000
8.75
02/
01/15 4,240
4,420,200
Ventas Realty LP, Gtd. Notes
Ba2
Warner Chilcott Corp., Gtd. Notes
Caa1
128,073,551
Health Care Insurance——0.1%
6.125
01/
15/15 1,000
1,012,401
Ba3
8.50
06/
01/11 6,275
6,722,093
B3
8.00
11/
15/13 2,000
2,047,500
7.50
12/
15/17 450
465,188
BB(g) 6.875
11/
01/14 925
938,875
Ba1
6.75
06/
01/16 4,600
4,634,500
7.125
11/
01/13 3,890
3,977,525
Ba1
7.00
08/
15/12 8,150
8,302,812
Ba1
6.875
12/
01/13 1,300
1,330,150
8.75
02/
02/11 1,150
1,259,242
Coventry Health Care, Inc., Sr. Notes
Ba1
Lodging——1.7%
Felcor Lodging LP, Gtd. Notes
Gaylord Entertainment Co., Sr. Notes
Hilton Hotels Corp., Sr. Notes
Ba1
Host Marriot LP, Sr. Notes(b)
Host Marriott LP, Sr. Notes
Host Marriott LP, Sr. Notes(b)
Ba1
Host Marriott LP, Sr. Notes, Ser. M
Royal Caribbean Cruises, Ltd., Sr. Notes (Liberia)
Royal Caribbean Cruises, Ltd., Sr. Notes (Liberia)
Ba1
29,677,885
Media & Entertainment——8.1%
AMC Entertainment, Inc., Gtd Notes
B3
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11.00
02/
01/16 2,465
2,807,019
8.625
08/
15/12 2,125
2,252,500
B3
8.00
03/
01/14 675
686,813
B3
9.75
03/
15/14 3,050
2,790,750
Baa3
5.50
09/
15/14 1,625
1,438,624
Baa3
5.75
01/
15/13 4,725
4,430,495
Baa3
6.875
06/
15/18 625
573,525
B2
11/
12.125 15/12 7,298
7,982,188
B2
9.875
08/
15/13 7,725
8,429,905
B3
8.00
11/
15/13 2,825
2,959,188
Ba3
6.375
06/
15/15 3,317
3,151,150
8.375
03/
15/13 425
447,844
Ba3
7.00
10/
01/13 1,075
1,107,250
Ba3
7.125
02/
01/16 8,050
8,311,624
6.625
10/
01/14 4,675
4,704,219
AMC Entertainment, Inc., Gtd. Notes, Ser. B(b)
Ba3
AMC Entertainment, Inc., Sr. Sub. Notes(b)
Cinemark, Inc., Sr. Disc. Notes(k)
Clear Channel Communications Inc., Sr. Notes
Clear Channel Communications Inc., Sr. Notes
Clear Channel Communications Inc.,
Dex Media East LLC, Gtd. Notes
Dex Media West LLC, Sr. Sub. Notes, Ser. B
Dex Media, Inc., Notes
DirecTV Holdings LLC, Gtd. Notes
DirecTVHoldings LLC, Sr. Notes
Ba3
Echostar DBS Corp., Gtd. Notes
Echostar DBS Corp., Gtd. Notes
Echostar DBS Corp., Gtd. Notes
Ba3
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Gray Television, Inc., Gtd. Notes
B1
Idearc, Inc., Sr. Notes(j)
B2
Intelsat Bermuda Ltd., Gtd Notes (Bermuda)(j)
B2
Intelsat Bermuda, Ltd., Sr. Notes (Bermuda)(j)
Caa1
Intelsat Subsidiary Holding Co., Ltd., Sr. Notes (Bermuda)
B2
Medianews Group, Inc., Sr. Sub. Notes
B2
Medianews Group, Inc., Sr. Sub. Notes
B2
Morris Publishing Group LLC, Gtd. Notes
B1
Nielsen Finance LLC, Sr. Notes(j)
Caa1
PRIMEDIA, Inc., Sr. Notes(b)
B2
PRIMEDIA, Inc., Sr. Notes(h)
B2
Quebecor Media, Inc. Sr. Notes (Canada)(b)
B2
Quebecor World Capital Corp., Sr. Notes (Canada)(b)
B2
Quebecor World Capital Corp., Sr. Notes (Canada)(j)
B2
R.H. Donnelley Finance Corp I., Gtd. Notes(j)
B2
R.H. Donnelley, Inc., Gtd. Notes
(cost$2,995,000; purchased 11/26/02)(l)
B2
Rainbow National Services LLC, Sr. Notes(j)
B2
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12/
15/
9.25
11
11/
15/
8.00
16
06/
15/
9.25
16
06/
15/
11.25 16
01/
15/
8.25
13
04/
01/
6.375 14
10/
01/
6.875 13
08/
01/
7.00
13
08/
01/
10.00 14
05/
15/
8.875 11
05/
15/
10.735 10
03/
15/
7.75
16
03/
15/
8.75
16
01/
15/
9.75
15
12/
15/
10.875 12
12/
15/
10.875 12
09/
01/
8.75
12
4,605 4,817,981
4,125 4,243,594
2,900 3,211,750
9,275 10,527,124
7,610 7,933,425
2,375 2,084,063
1,375 1,251,250
1,050 1,002,750
2,375 2,588,750
2,000 2,055,000
2,145 2,220,075
2,930 3,010,575
2,615 2,647,688
1,900 1,995,000
2,995 3,234,600
800
864,000
2,000 2,127,500
Rainbow National Services LLC, Sr. Sub. Debs.(j)
B3
RH Donnelley Corp., Sr. Disc. Notes, Ser. A-1(b)
B3
RH Donnelley Corp., Sr. Disc. Notes, Ser. A-2(b)
B3
RH Donnelly Corp., Sr. Notes, Series A-3(b)
B3
Six Flags, Inc., Sr. Notes(b)
Caa1
Umrella Acquisition, Notes(b)
B3
Universal City Florida Holding Co. I/II, Sr. Notes(b)
B3
Univision Communications Inc., Bank Loan(f)(h)
Ba3
Univision Communications Inc., Bank Loan(f)(h)
Ba3
Vertis, Inc., Gtd. Notes, Ser. B(b)
Caa1
Vertis, Inc., Sec’d. Notes(b)
B1
09/
01/
10.375 14
01/
15/
6.875 13
01/
15/
6.875 13
01/
15/
8.875 16
06/
01/
9.625 14
03/
15/
9.75
15
05/
01/
8.375 10
09/
16/
7.60
14
09/
16/
7.57
14
06/
15/
10.875 09
04/
01/
9.75
09
325
363,594
1,300 1,264,250
7,700 7,488,250
1,310 1,391,875
565
531,100
8,000 7,970,000
4,050 4,176,563
242
241,391
3,758 3,754,973
900
909,000
3,765 3,830,888
139,810,103
Metals——4.2%
AK Steel Corp., Gtd. Notes(b)
B2
7.75
B2
7.875
B3
9.00
Caa1
10.00
AK Steel Corp., Gtd. Notes
Aleris International Inc., Sr. Notes(j)
Aleris International Inc., Sr. Sub Notes(b)(j)
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06/
15/
12
02/
15/
09
12/
15/
14
12/
15/
16
2,517 2,557,901
357
357,000
3,000 3,165,000
2,100 2,194,500
Arch Western Finance LLC, Sr. Notes
Century Aluminum Co., Gtd. Notes
Chaparral Steel Co., Gtd. Notes
CSN Islands VII Corp., Gtd. Notes (Cayman Islands)(j)
Freeport-McMoRan Copper & Gold Inc.(b)
Gerdau AmeriSteel Corp., Sr. Notes(b)
Indalex Holding Corp., Sec’d. Notes
Ispat Inland ULC, Sec’d. Notes (Canada)
Massey Energy Co., Sr. Notes
Metals USA, Inc., Sec’d Notes
Novelis Inc., Sr. Notes (Canada)
PNA Group, Inc., Sr. Notes
(cost$3,700,000; purchased 8/04/06)(f)(j)(l)
Ryerson Tull, Inc., Sr. Notes
Southern Copper Corp., Sr. Notes
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07/
01/
B1
6.75
13
08/
15/
B1
7.50
14
07/
15/
B1
10.00 13
09/
12/
BB (g) 10.75 08
04/
01/
Ba3
8.375 17
07/
15/
Ba2
10.375 11
02/
01/
Caa1
11.50 14
04/
01/
Baa3
9.75
14
11/
15/
B2
6.625 10
12/
01/
B3
11.125 15
02/
15/
B2
7.25
15
09/
01/
B3
10.75 16
12/
15/
B3
8.25
11
07/
27/
Baa2
7.50
35
3,085 3,034,869
7,352 7,554,180
5,000 5,575,000
4,945 5,365,325
5,375 5,811,719
4,225 4,489,063
775
802,125
3,164 3,491,860
250
252,500
9,575 10,628,249
5,715 6,043,613
3,700 3,977,500
2,485 2,509,850
3,550 3,826,467
United States Steel Corp., Sr. Notes
Baa3 9.75
05/15/
10
850
892,500
72,529,221
Non Captive Finance——2.1%
6.75
12/01/
14
7,790
7,658,287
Ba1
6.875
09/15/
11
8,750
8,758,479
Ba1
6.875
08/28/
12
17,700 17,628,686
Baa3 6.375
06/30/
10
2,330
General Motors Acceptance Corp., Notes(b)
Ba1
General Motors Acceptance Corp., Notes
General Motors Acceptance Corp., Notes(b)
Residential Capital Corp., Sr. Unsec’d. Notes
2,329,373
36,374,825
Packaging——2.5%
Ba1
6.625
03/15/
18
1,875
1,863,281
B2
09/15/
9.2299 14
2,025
2,075,625
B2
8.875
09/15/
14
4,075
4,166,688
B1
7.625
11/15/
13
8,000
8,229,999
B3
11.25
02/01/
14
2,675
2,862,250
Caa1 8.50
10/15/
12
2,650
2,689,750
Caa1 9.875
10/15/
14
3,025
3,085,500
Ba2
6.75
02/01/
17
3,175
3,198,813
7.75
05/15/
11
4,250
4,388,125
Ball Corp., Notes
Berry Plastics Holding Corp., Sec’d Notes(c)
Berry Plastics Holding Corp., Sec’d Notes
Crown Americas LLC, Sr. Notes
Exopack Holding Corp, Sr. Notes(j)
Graham Packaging Co., Inc. Gtd. Notes(b)
Graham Packaging Co., Inc. Sub. Notes(b)
Greif Brothers Corp., Gtd. Notes(b)(j)
Owens-Brockway Glass Container, Inc., Gtd. Notes
Ba2
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8.75
11/15/
12
7,755
8,162,138
6.75
11/15/
13
2,825
2,796,750
Owens-Brockway Glass Container, Inc., Sr. Sec’d. Notes
Ba2
Silgan Holdings, Inc., Sr. Sub. Notes
B1
43,518,919
Paper——3.8%
5.25
06/20/
08
1,617
1,576,575
6.00
06/20/
13
2,270
1,929,500
B3
7.75
06/15/
11
1,780
1,699,900
B3
8.55
08/01/
10
5,500
5,568,750
6.75
03/15/
14
410
284,950
B3
7.95
11/15/
11
2,150
2,090,875
Ba3
7.25
02/15/
13
4,075
4,075,000
8.625
06/15/
11
6,950
7,054,249
B2
7.375
03/01/
14
1,000
967,500
B2
9.75
03/15/
10
4,600
4,600,000
5.375
12/01/
13
1,200
1,105,500
B2
7.875
10/15/
11
1,525
1,597,438
Ba3
7.125
01/15/
17
4,800
4,812,000
7.375
12/01/
25
1,000
965,000
Abitibi-Consolidated, Inc., Notes (Canada)
B3
Abitibi-Consolidated, Inc., Notes (Canada)(b)
B3
Abitibi-Consolidated, Inc., Notes (Canada)(b)
Abitibi-Consolidated, Inc., Notes (Canada)(b)
Ainsworth Lumber Co., Ltd., Sr. Notes (Canada)
B2
Bowater Canada Finance, Gtd. Notes (Canada)(b)
Cascades, Inc., Sr. Notes (Canada)
Catalyst Paper Corp., Gtd. Notes, Ser. D (Canada)
B2
Catalyst Paper Corp., Sr. Notes (Canada)
Cellu Tissue Holdings, Inc., Sr. Sec’d Notes
Domtar Inc., Notes (Canada)
B2
Domtar, Inc., Notes (Canada)
Georgia-Pacific Corp., Gtd. Notes (cost $4,800,000; purchased 12/13/06)(b)(j)(l)
Georgia-Pacific Corp., Debs.(b)
B2
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8.50
08/15/
11
2,670
2,776,800
B3
9.50
08/15/
13
4,625
4,919,844
B3
7.50
06/01/
13
1,425
1,382,250
B2
7.75
11/15/
13
790
718,900
Ba3
6.75
06/01/
13
3,480
3,440,850
Ba1
7.125
05/01/
16
720
730,800
B3
8.00
03/15/
17
4,225
4,129,938
Graphic Packaging International Corp., Sr. Notes(b)
B2
Graphic Packaging International Corp., Sr. Sub. Notes(b)
Jefferson Smurfit Corp., Gtd. Notes
Millar Western Forest Products Ltd., Sr. Notes (Canada)
Norampac, Inc., Sr. Notes (Canada)(b)
P.H. Glatfelter Inc., Notes
Smurfit-Stone Container Enterprises, Inc., Sr. Notes (b)(j)
Smurfit-Stone Container Enterprises, Inc., Sr.
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B3
8.375
07/01/
12
B3
7.375
07/15/
14
5,875
5,640,000
7.75
03/15/
12
3,870
2,351,025
9.11
08/01/
14
430
440,750
Notes(b)
Stone Container Finance, Gtd. Notes(b)
Tembec Industries, Inc., Gtd. Notes (Canada)
Ca
Verso Paper Holdings LLC, Sec’d Notes(c)(j)
B2
1,340
1,343,350
66,201,744
Pipelines & Others——3.2%
B1
7.125
05/20/
16
Ba3
7.75
01/15/
32
3,700
4,088,500
7.75
06/01/
13
9,015
9,420,674
Ba3
6.75
05/01/
14
1,175
1,151,500
B1
6.875
12/15/
14
3,000
2,955,000
8.25
03/01/
16
1,050
1,102,500
Baa2 6.40
01/05/
36
3,825
3,425,035
Baa2 5.70
01/05/
16
2,200
2,062,735
Baa3 7.125
06/15/
14
1,975
2,062,532
B3
8.50
11/01/
13
1,475
1,504,500
Ba2
8.75
03/15/
32
1,025
1,181,313
Ba2
7.50
01/15/
31
2,075
2,199,500
AmeriGas Partners LP, Sr. Notes
El Paso Corp Corp., Sr. Notes
El Paso Production Holding Co., Gtd. Notes
B1
Ferrellgas Partners LP, Sr. Notes
Inergy LP, Sr. Notes
Inergy LP/Inergy Finance Corp., Gtd. Notes
B1
Kinder Morgan Finance Co., Notes
Kinder Morgan Finance Co., Notes
Pacific Energy Partners LP, Sr. Notes
Targa Resources, Inc., Gtd. Notes(j)
Williams Cos., Inc , Notes
Williams Cos., Inc., Debs., Ser. A (b)
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3,600
3,609,000
7.125
09/01/
11
4,475
4,687,563
Ba2
7.75
06/15/
31
1,925
2,059,750
Ba2
7.875
09/01/
21
4,955
5,450,500
Ba2
7.625
07/15/
19
525
570,938
8.125
03/15/
12
7,445
8,096,437
Williams Cos., Inc., Notes (b)
Ba2
Williams Cos., Inc., Notes
Williams Cos., Inc., Notes(b)
Williams Cos., Inc., Sr. Notes
Williams Cos., Inc., Sr. Unsec’d. Notes
Ba2
55,627,977
Railroads——0.2%
B3
7.50
06/15/
09
B3
8.00
03/15/
14
1,100
1,124,750
7.50
12/15/
13
2,475
2,543,063
B1
8.00
10/01/
12
1,195
1,266,700
B3
7.625
08/01/
12
800
848,063
Caa2 8.50
08/01/
14
2,835
3,075,975
B2
9.00
10/15/
15
1,990
2,179,050
B3
10/15/
10.375 15
1,020
1,137,300
B3
7.75
02/15/
14
3,025
3,055,250
8.125
05/01/
10
5,595
5,748,862
Kansas City Southern Railway, Gtd. Notes
2,750
2,811,875
Retailers——1.4%
Asbury Automotive Group, Inc., Sr. Sub. Notes
Couche-Tard Finance Corp., Sr. Sub. Notes(b)
Ba2
GSC Holdings Corp., Gtd. Notes
Jean Coutu Group (PJC), Inc., Sr. Notes (Canada)
Jean Coutu Group (PJC), Inc., Sr. Sub. Notes (Canada)
Neiman Marcus Group, Inc., Gtd. Notes (b)
Neiman Marcus Group, Inc ., Gtd. Notes
Pantry, Inc., Sr. Sub. Notes
Rite Aid Corp., Sec’d. Notes
B3
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Stripes Acquisition LLC, Sr. Unsec’d. Notes
B2
12/15/
10.625 13
3,000
3,273,750
24,252,763
Technology——4.7%
7.125
03/15/
11
800
784,000
NR
12.00
08/15/
08
757
568,089
B2
12/01/
10.125 13
5,260
5,693,950
12/01/
Caa1 11.875 15
1,360
1,530,000
200
193,500
1,970,100
Amkor Technology, Inc., Sr. Notes
B2
Ampex Corp., Sec’d. Notes(f)(g)
Avago Technologies, Sr. Notes (Singapore)
Avago Technologies, Sr. Sub. Notes (Singapore)(b)
Ba2
6.25
11/15/
14
Ba2
6.50
05/15/
13
1,990
9.125
12/15/
14
20,300 20,147,749
Flextronics International, Ltd., Sr. Sub. Notes (Singapore)
Flextronics International, Ltd., Sr. Sub. Notes (Singapore)
Freescale Semiconductor Inc., Sr. Notes(j)
B1
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B2
10.125
12/15/
16
B1
8.875
12/15/
14
4,425
4,430,531
8.625
04/01/
13
5,225
5,376,525
B3
4.25
09/01/
08
2,175
2,147,813
B3
10.125
07/15/
13
1,200
1,317,000
7.875
10/15/
14
4,035
4,166,138
9.50
10/15/
15
3,700
3,820,250
Caa1 8.00
05/01/
14
5,600
5,565,000
Caa1 10.375
03/15/
16
5,840
6,307,199
Caa1 11.25
01/15/
16
3,750
3,871,875
Ba2
11/15/
11
1,810
1,868,825
Caa1 10.25
08/15/
15
1,580
1,724,175
B2
6.875
03/15/
10
195
195,000
B2
8.00
10/15/
12
465
466,163
Baa3 9.75
01/15/
09
590
632,738
Baa3 6.875
08/15/
11
1,350
1,420,767
Baa3 6.40
03/15/
16
1,525
1,568,501
Freescale Semiconductor Inc., Sr. Sub. Notes(b)(j)
Freescale Semiconductor Inc., Sr. Notes(b)(j)
Iron Mountain, Inc., Gtd. Notes
B3
Nortel Networks Corp., Gtd. Notes (Canada)
Nortel Networks, Ltd., Gtd. Notes (Canada)(b)(j)
NXP Co., Sec’d (b)(j)
Ba2
NXP Co., Sr. Notes(b)(j)
B2
Sensata Technologies BV, Sr. Notes (Netherlands)
Serena Software, Inc., Sr. Sub. Notes
Spansion Inc., Sr. Notes(j)
STATS ChipPAC Ltd., Gtd. Notes (Singapore)
6.75
Sungard Data Systems, Inc., Sr. Sub. Notes(b)
Unisys Corp., Sr. Notes
Unisys Corp., Sr. Notes
Xerox Corp., Gtd. Notes
Xerox Corp., Sr. Notes
Xerox Corp., Sr. Unsec’d. Notes
5,790
5,804,475
81,570,363
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Telecommunications 6.1%
B3
10.00
08/01/
11
B2
10.125
06/15/
13
300
324,000
Caa1 10.00
01/01/
13
1,675
1,806,906
Ba3
7.25
07/15/
13
1,275
1,322,813
B2
8.375
01/15/
14
1,665
1,702,463
Ba2
9.25
05/15/
11
2,475
2,759,625
6.25
01/15/
13
4,400
4,367,000
9.00
08/15/
31
1,710
1,872,450
Caa2 9.375
11/01/
14
3,525
3,736,500
Ba2
11/01/
11
1,400
1,485,750
10/15/
12
975
1,003,031
American Cellular Corp., Sr. Notes, Ser. B
Centennial Communication Corp., Sr. Notes
Centennial Communications Corp., Sr. Notes
Cincinnati Bell, Inc., Gtd. Notes(b)
Cincinnati Bell, Inc., Sr. Sub. Notes(b)
Citizens Communications Co., Notes(b)
Citizens Communications Co., Sr. Notes(b)
Ba2
Citizens Communications Co., Sr. Notes
Ba2
Cricket Communications Inc., Sr. Notes
Dobson Cellular Systems, Inc., Sec’d. Notes
8.375
Dobson Communications Corp., Sr. Notes(h)
Caa1 9.61
174,694
B3
05/01/
10.8894 13
3,350
3,400,250
B3
12.50
05/01/
15
2,075
2,272,125
B3
9.25
11/01/
14
1,900
1,952,250
B3
8.75
02/15/
17
3,750
3,778,125
12.25
03/15/
13
10,950 12,811,499
Hawaiian Telcom Communications, Inc., Gtd. Notes, Ser. B(b)(h)
Hawaiian Telcom Communications, Inc., Gtd. Notes, Ser. B(b)
Level 3 Financing Inc., Sr. Notes(j)
Level 3 Financing Inc., Gtd. Notes(j)
Level 3 Financing, Inc., Sr. Notes(j)
B3
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165
Caa2 9.25
11/01/
14
3,850
4,071,375
NR
8.125
07/01/
11
5,875
6,136,596
B2
8.875
05/01/
16
4,950
5,296,500
Ba3
7.50
02/15/
14
6,045
6,226,350
Ba1
7.50
10/01/
14
3,900
4,114,500
Ba1
6.875
09/15/
33
1,030
993,950
7.50
06/15/
23
500
508,125
Ba1
8.875
03/15/
12
2,375
2,624,375
Ba1
7.625
06/15/
15
10,825 11,555,687
7.875
09/01/
11
7,710
8,191,875
Baa3 9.75
06/01/
16
425
535,500
Baa3 9.625
05/01/
11
1,300
1,482,000
Ba1
8.00
12/15/
12
425
450,500
B3
9.875
02/01/
10
20
21,100
B3
9.25
02/15/
14
2,075
2,220,250
Metropcs Wireless Inc., Sr. Notes
Nextel Partners, Inc., Sr. Notes
Nordic Telephone Co., Holdings ApS, Sr. Notes, (Denmark)(j)
Qwest Communications International, Inc., Gtd.
Notes, Ser. B
Qwest Corp., Gtd. Notes(b)
Qwest Corp., Debs.(b)
Qwest Corp., Debs.
Ba1
Qwest Corp., Notes
Qwest Corp., Sr. Notes
Qwest Corp., Sr. Notes(b)
Ba1
Rogers Wireless, Inc., Debs. (Canada)
Rogers Wireless, Inc., Sec’d. Notes (Canada)
Rogers Wireless, Inc., Sr. Sub. Notes (Canada)
Rural Cellular Corp., Sr. Notes
Time Warner Telecom Holdings, Inc., Gtd. Notes
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Windstream Corp., Sr. Notes(b)
Ba3
08/
01/
8.625 16
5,950
6,507,813
105,705,977
Tobacco 0.3%
RJ Reynolds Tobacco Holdings, Inc., Gtd. Notes(b)
Ba2
RJ Reynolds Tobacco Holdings, Inc., Gtd. Notes
Ba2
07/
15/
6.50 10
06/
01/
7.625 16
1,260
1,292,131
3,400
3,617,026
4,909,157
TOTAL CORPORATE BONDS
(cost $ 1,487,504,568)
1,529,706,926
FOREIGN GOVERNMENT OBLIGATIONS
1.5%
Federal Republic of Argentina, Bonds (h)
B3
3.00
B3
5.475
Ba2
8.75
Ba2
10.00
Ba2
10.00
Ba3
8.375
B1
9.375
Federal Republic of Argentina, Bonds (h)
Federal Republic of Brazil, Notes
Federal Republic of Brazil, Unsub. Notes
Federal Republic of Colombia, Notes
Federal Republic of Peru, Bonds
Federal Republic of Philippines, Bonds
04/
30/
13
08/
03/
12
02/
04/
25
08/
07/
11
01/
23/
12
05/
03/
16
01/
18/
17
4,589
3,625,606
2,685
2,469,977
3,350
4,304,750
1,920
2,256,000
3,352
3,946,980
3,330
3,954,375
5,015
6,180,988
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(cost 23,785,170)
26,738,676
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COMMON STOCKS——0.2%
Shares
Cable
Adelphia Business Solutions, Inc.(a)(f)
25,755
26
Adelphia Cvv(a)
500,000 500
Classic Communications, Inc.(a)(f)
6,000
60
586
Capital Goods
Trism, Inc.(a)
82,628
1,653
4,155
4
17,260
363,150
8,521
215,155
100
2,331
Electric
York Research Corp.(a)
Food
Premium Standard Farms, Inc.
(cost $202,333; purchased 6/13/05)(f)(l)
Media
Virgin Media Inc
Retail
Stage Stores, Inc.
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Technology——0.2%
Xerox Corp.
137,561 2,323,406
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Telecommunications
IMPSAT Fiber Networks, Inc. (Argentina)(a)
29,831
275,340
238,168
339,805
Netia SA (Poland)
615,145
TOTAL COMMON STOCKS
(cost 4,064,420)
3,521,430
PREFERRED STOCK——0.6%
Building Materials & Construction
New Millenium Homes LLC(f)(a)
3,000
1,140
Adelphia Communications Corp., PIK, 13.00%(a)(f)
5,000
5
PTV, Inc., Ser. A, 10.00%(a)
13
49
Cable
54
Food
AmeriKing, Inc., PIK, 13.00%(a)(b)(c)(f)
36,672
37
1,229
9,586,199
Media & Entertainment——0.6%
Ion Media Networks, Inc 14.25%
TOTAL PREFERRED STOCK
(cost $ 10,179,808)
9,587,430
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WARRANTS(a)(f)
Expiration Dates
Units
Cable
TVN Entertainment
8/21/11
9,347
5,421
8/15/08
560
1
9/27/09
18,093
181
3/15/10
5,005
5
1/31/10
45,109
5
2/03/08
3,800
4
2/01/10
3,050
3
8/01/07
6,880
381,020
(cost $1,215,008; purchased 3/30/01-3/15/04)(l)
Chemicals
Sterling Chemical Holdings, Inc.
Consumer
ICON Fitness Corp.
Media & Entertainment
XM Satellite Radio, Inc.(j)
Technology
Viasystems Group, Inc.
Telecommunications
Allegiance Telecommunications, Inc.
GT Group Telecommunications, Inc.
(cost $0: purchased 1/27/00)(Canada)(l)
Price Communications Corp.
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Verado Holdings, Inc., Ser. B
4/15/08
1,175
650
5/15/08
2,000
2
Versatel Telecommunications
381,679
TOTAL WARRANTS
(cost $ 4,213,592)
387,292
TOTAL LONG-TERM INVESTMENTS
(cost $ 1,529,747,558)
1,569,941,754
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Shares
SHORT-TERM INVESTMENTS 25.8%
AFFILIATED MUTUAL FUNDS
Dryden Core Investment Fund – Short Term Bond Series(e)
8,209,908
82,099,079
364,495,604
364,495,604
Dryden Core Investment Fund - Taxable Money Market Series
(cost $364,495,604 includes $318,467,091 of cash collateral received for securities lending)(d)(e)
TOTAL SHORT-TERM INVESTMENTS
(cost $ 446,661,480)
446,594,683
TOTAL INVESTMENTS(m) - 116.7%
(cost $ 1,976,409,038)
2,016,536,437
LIABILITIES IN EXCESS OF OTHER ASSETS(n) - (16.7)%
(288,363,235 )
NET ASSETS——100.0%
$1,728,173,202
The following abbreviations are used in portfolio descriptions:
LLC
LP
MTN
NR
PIK
(a)
(b)
(c)
(d)
(e)
(f)
(g)
Limited Liability Company
Limited Partnership
Medium Term Note
Not Rated by Moody’s or Standard & Poor’s
Payment-in-kind
Non-income producing security.
All or portion of security is on loan. The aggregate market value of such securities is $309,601,515; cash collateral of $318,467,091
(included in liabilities) was received with which the portfolio purchased highly liquid short-term investments.
Represents issuer in default on interest payments and/or principal repayment; non-income producing security.
Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.
Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund – Short-Term
Bond Series and the Dryden Core Investment Fund – Taxable Money Market Series.
Indicates a security that has been deemed illiquid.
Standard & Poor’s rating.
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(h)
(i)
(j)
(k)
(l)
Indicates a variable rate security. The maturity date presented for these instruments is the latter of the next date on which the security can
be redeemed at par or the next date on which the rate of interest is adjusted. The interest rate shown reflects the rate in effect at
March 31, 2007.
Amount is actual; not rounded to thousands.
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.
Interest rate reflected represents the rate that would be in effect from the date the bond steps up from zero to an interest paying bond.
Indicates a restricted security; the aggregate cost of such securities is $12,912,341. The aggregate value of $10,022,074 is approximately
0.6% of net assets.
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(m) As of March 31, 2007, ten securities representing $575,430 and .03% of the Net assets were fair valued in accordance with the policies
adopted by the Board of Trustees.
(n) Liabilities in excess of other assets include credit default swaps as follows:
Credit default swap agreements outstanding at March 31, 2007:
Notional
Counterparty (1)
Termination
Amount
Fixed
Underlying
Unrealized
Date
(000)
Rate
Bond
Appreciation
General Motors Corp.
Merrill Lynch Capital Services
9/20/2009
$2,000
4.65%
7.125%, 7/15/13
$75,990
Leap Corp.,
Morgan Stanley Capital Services, Inc.
9/20/2010
2,500
4.20%
8.11%, 5/15/08
95,999
$171,989
(1)
The portfolio receives the fixed rate and pays the counterparty par in the event that the underlying bond defaults.
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JENNISON 20/ 20 FOCUS PORTFOLIO
SCHEDULE OF INVESTMENTS
March 31, 2007 (Unaudited)
Shares
Value
LONG-TERM INVESTMENTS 96.1%
COMMON STOCKS
Aerospace & Defense 4.6%
Honeywell International, Inc.
197,000
$9,073,820
88,800
5,772,000
United Technologies Corp.
14,845,820
Beverages 2.5%
PepsiCo, Inc.
128,600
8,173,816
79,600
6,536,752
115,200
8,812,800
Biotechnology 4.7%
Genentech, Inc.(a)
Gilead Sciences, Inc.(a)
15,349,552
Capital Markets 5.0%
Bank of New York Co., Inc. (The)
225,600
9,148,080
34,700
7,170,061
Goldman Sachs Group, Inc. (The)
16,318,141
Chemicals 2.6%
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E.I. du Pont de Nemours & Co.
171,100
8,457,473
287,400
9,889,434
270,000
6,893,100
373,700
6,603,279
185,700
7,921,962
Commercial Services & Supplies 3.0%
Waste Management, Inc.
Communications Equipment 6.6%
Cisco Systems, Inc.(a)
Motorola, Inc.
QUALCOMM, Inc.
21,418,341
Computers & Peripherals 2.5%
Apple, Inc.(a)
89,000
8,268,990
264,900
8,079,450
426,600
8,975,664
Diversified Consumer Services 5.2%
Career Education Corp.(a)(b)
H&R Block, Inc.
17,055,114
Diversified Financial Services 2.6%
NYSE Group, Inc.(a)(b)
89,000
8,343,750
42,800
2,957,480
Energy Equipment & Services 0.9%
Schlumberger Ltd.
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Food & Staples Retailing 2.8%
Wal-Mart Stores, Inc.
191,600 8,995,620
Food Products 5.6%
Cadbury Schweppes PLC, ADR (United Kingdom)
179,800 9,236,326
ConAgra Foods, Inc.
359,200 8,947,672
18,183,998
Independent Power Producers & Energy Traders 2.9%
NRG Energy, Inc.(a)(b)
130,200 9,379,608
Insurance 5.0%
American International Group, Inc.
242,500 16,300,850
Internet Software & Services 2.7%
Google, Inc. (Class A stock)(a)
19,000
8,705,040
Media 4.4%
Disney (Walt) Co.(b)
227,400 7,829,382
News Corp. (Class A stock)
285,600 6,603,072
14,432,454
Multiline Retail 2.1%
Federated Department Stores, Inc.
153,500 6,915,175
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Office Electronics 2.3%
Xerox Corp.(a)
453,000 7,651,170
Oil, Gas & Consumable Fuels 8.5%
Hess Corp.
171,100 9,490,917
Suncor Energy, Inc.
138,500 10,574,475
Valero Energy Corp.
118,800 7,661,412
27,726,804
Pharmaceuticals 2.4%
Roche Holding AG, ADR (Switzerland)
90,300
7,991,550
Semiconductors & Semiconductor Equipment 3.8%
Broadcom Corp. (Class A stock)(a)
204,800 6,567,936
Marvell Technology Group Ltd.(a)
345,200 5,802,812
12,370,748
Software 6.6%
Adobe Systems, Inc.(a)(b)
197,700 8,244,090
CA, Inc.
237,700 6,158,807
Symantec Corp.(a)
413,500 7,153,550
21,556,447
Specialty Retail 2.7%
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Best Buy Co., Inc.
182,200 8,876,784
Textiles, Apparel & Luxury Goods 1.3%
Coach, Inc.(a)
87,200
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4,364,360
Wireless Telecommunication Services 2.8%
Sprint Nextel Corp.
480,400
9,108,384
TOTAL LONG-TERM INVESTMENTS
(cost $272,365,677)
313,636,903
SHORT-TERM INVESTMENTS 12.1%
Affiliated Money Market Mutual Fund
Dryden Core Investment Fund—Taxable Money Market Series
(cost $39,439,977; includes 26,511,892 of cash collateral received for securities on loan)(c)(d)
39,439,977
39,439,977
TOTAL INVESTMENTS 108.2%
(cost $311,805,654)
353,076,880
LIABILITIES IN EXCESS OF OTHER ASSETS (8.2%)
(26,691,368 )
NET ASSETS 100.0%
$326,385,512
The following abbreviation is used in the portfolio descriptions:
ADR – American Depositary Receipt
(a)
(b)
(c)
(d)
Non-income producing security.
All or a portion of security is on loan. The aggregate market value of such securities is $25,420,904; cash collateral of $26,511,892
(included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.
Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.
Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund-Taxable Money
Market Series.
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Jennison Portfolio
Schedule of Investments
March 31, 2007 (Unaudited)
Shares
Value
LONG-TERM INVESTMENTS 99.2%
COMMON STOCKS
Aerospace & Defense 3.7%
Boeing Co.
474,200
$42,161,122
531,500
34,547,500
United Technologies Corp.(b)
76,708,622
Beverages 2.3%
PepsiCo, Inc.
746,100
47,422,116
575,400
47,251,848
918,600
70,272,900
Biotechnology 5.7%
Genentech, Inc.(a)
Gilead Sciences, Inc.(a)(b)
117,524,748
Capital Markets 5.1%
Charles Schwab Corp. (The)
1,373,700
25,124,973
199,500
41,222,685
645,000
38,332,350
Goldman Sachs Group, Inc. (The)
UBS AG
104,680,008
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Chemicals 1.3%
Monsanto Co.
493,100
27,100,776
2,392,600
61,083,078
1,543,100
65,828,646
201,400
27,489,086
Communications Equipment 7.5%
Cisco Systems, Inc.(a)
QUALCOMM, Inc.(b)
Research In Motion Ltd.(a)(b)
154,400,810
Computers & Peripherals 4.5%
Apple, Inc.(a)
579,100
53,804,181
984,200
39,505,788
Hewlett-Packard Co.
93,309,969
Consumer Finance 1.3%
American Express Co.
483,900
27,291,960
84,400
10,314,524
452,800
42,450,000
Diversified Financial Services 2.6%
IntercontinentalExchange, Inc.(a)(b)
NYSE Group, Inc.(a)(b)
52,764,524
Electrical Equipment 0.8%
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Suntech Power Holdings Co. Ltd., ADR (China)(a)(b)
487,100
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16,858,531
Electronic Equipment & Instruments 0.9%
Sony Corp., ADR (Japan)
357,000
18,024,930
287,500
19,866,250
196,200
8,799,570
279,200
36,804,144
426,200
22,447,954
746,100
28,060,821
Energy Equipment & Services 1.0%
Schlumberger Ltd.(b)
Food & Staples Retailing 0.4%
Whole Foods Market, Inc.(b)
Health Care Equipment & Supplies 4.2%
Alcon, Inc.
Baxter International, Inc.
St. Jude Medical, Inc.(a)
87,312,919
Health Care Providers & Services 0.8%
WellPoint, Inc.(a)
208,100
16,876,910
726,200
29,323,956
636,300
31,153,248
681,700
21,378,112
Hotels, Restaurants & Leisure 4.0%
International Game Technology
Marriott International, Inc. (Class “A” Stock)
Starbucks Corp.(a)(b)
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81,855,316
Household Products 3.4%
Colgate-Palmolive Co.
431,900
28,846,601
651,857
41,171,288
Procter & Gamble Co.
70,071,889
Industrial Conglomerates 2.0%
General Electric Co.(b)
1,164,100 41,162,576
Insurance 2.8%
American International Group, Inc.
854,400
57,432,768
623,900
20,682,285
201,200
92,181,792
658,900
20,616,981
Internet Software & Services 6.5%
eBay, Inc.(a)
Google, Inc. (Class “A” Stock)(a)
Yahoo!, Inc.(a)(b)
133,481,058
IT Services 1.0%
Infosys Technologies Ltd., ADR (India)
396,700
19,934,175
Media 5.5%
News Corp. (Class “A” Stock)
2,004,800 46,350,976
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Walt Disney Co. (The)(b)
1,933,400 66,566,962
112,917,938
Multiline Retail 4.5%
Federated Department Stores, Inc.
693,200
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31,228,660
J.C. Penney Co., Inc.
256,800
21,098,688
131,200
10,051,232
497,900
29,505,554
Kohl’s Corp.(a)
Target Corp.
91,884,134
Oil, Gas & Consumable Fuels 1.3%
Occidental Petroleum Corp.
380,800
18,777,248
108,800
8,306,880
Suncor Energy, Inc.
27,084,128
Pharmaceuticals 8.0%
Abbott Laboratories
768,300
42,871,140
625,500
34,171,065
715,100
63,286,350
495,800
24,804,874
Novartis AG, ADR (Switzerland)
Roche Holdings Group, ADR (Switzerland)
Wyeth
165,133,429
Semiconductors & Semiconductor Equipment 2.9%
Broadcom Corp. (Class “A” Stock)(a)
958,300
30,732,681
Marvell Technology Group Ltd.(a)(b)
1,685,900 28,339,979
59,072,660
Software 7.3%
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Adobe Systems, Inc.(a)
1,639,500 68,367,150
Electronic Arts, Inc.(a)(b)
378,700
19,071,332
Microsoft Corp.(b)
1,855,000 51,698,850
SAP AG, ADR (Germany)(b)
244,000
10,894,600
150,031,932
Specialty Retail 2.4%
Best Buy Co., Inc.
422,000
20,559,840
916,900
28,873,181
Lowe’s Cos., Inc.
49,433,021
Textiles, Apparel & Luxury Goods 4.1%
Coach, Inc.(a)(b)
1,093,900 54,749,695
NIKE, Inc. (Class “B” Stock)(b)
283,300
30,103,458
84,853,153
Wireless Telecommunication Services 1.4%
NII Holdings, Inc.(a)(b)
373,400
27,698,812
Total long-term investments
(cost $ 1,580,389,026)
2,040,935,632
SHORT-TERM INVESTMENT 21.1%
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Affiliated Money Market Mutual Fund
Dryden Core Investment Fund—Taxable Money Market Series (cost $434,150,393; includes $415,763,076
of cash collateral received for securities on loan)(c)(d)
434,150,393
434,150,393
Total Investments 120.3%
(cost $ 2,014,539,419)
2,475,086,025
Liabilities in excess of other assets (20.3%)
(417,371,158 )
Net Assets 100.0%
$2,057,714,867
The following abbreviation is used in portfolio descriptions:
ADR—American Depositary Receipt
(a)
(b)
(c)
(d)
Non-income producing security.
All or portion of security is on loan. The aggregate market value of such securities is $400,460,704; cash collateral of $415,763,076
(included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.
Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.
Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund-Taxable Money
Market Series.
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Money Market Portfolio
Schedule of Investments
March 31, 2007(Unaudited)
Interest
Maturity
Principal
Rate
Date
Amount (000)
Value
Certificates of Deposit——13.1%
5.310 %
06/01/
07
$ 11,500
$11,500,012
5.265
04/05/
07
30,000
29,999,929
5.240
06/08/
07
25,000
25,000,000
5.290
07/03/
07
10,000
10,000,000
5.350
08/06/
07
25,000
25,000,000
5.315
04/27/
07
15,000
15,000,000
5.700
06/28/
07
14,000
14,000,000
5.350
08/03/
07
10,000
10,000,000
5.240
04/11/
07
20,000
20,000,000
Banco Bilbao Vizcaya Argentaria
Barclays Bank PLC
Branch Banking and Trust Co.
Branch Banking and Trust Co.
Deutsche Bank AG
HBOS Treasury Services PLC
Nordea Bank AB
Suntrust Banks, Inc.(a)
Wells Fargo Bank NA
160,499,941
Commercial Paper——45.2%
5.240
04/11/
07
11,500
11,483,261
5.250
06/22/
07
20,000
19,760,833
5.260
04/13/
07
11,000
10,980,713
5.230
06/07/
07
14,000
13,863,729
Alliance Leicester Plc 144A(c)(d)
Allianz Finance Corp. 144A(c)(d)
Amsterdam Funding Corp.(c)(d)
Bank of America Corp.
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5.195
08/13/
07
14,000
13,729,283
5.200
07/31/
07
10,000
9,825,222
5.300
04/25/
07
7,202
7,176,553
5.240
05/31/
07
35,000
34,694,333
5.150
08/28/
07
27,000
26,424,488
5.260
05/04/
07
10,000
9,951,783
5.235
06/01/
07
13,000
12,884,685
5.240
06/15/
07
10,000
9,890,833
5.235
06/07/
07
4,000
3,961,028
5.240
06/08/
07
46,000
45,544,703
5.240
06/13/
07
5,000
4,946,872
5.200
08/06/
07
27,678
27,170,262
5.275
05/14/
07
20,000
19,873,986
5.195
07/23/
07
5,000
4,918,467
5.200
08/24/
07
16,105
15,767,690
5.300
04/27/
07
12,075
12,028,780
5.230
05/23/
07
1,600
1,587,913
Bank of America Corp.
Bank of America Corp.
Bryant Park Funding 144A(c)(d)
Bryant Park Funding 144A(c)(d)
Cafco LLC 144A
Cafco LLC 144A
Cafco LLC 144A
Cafco LLC 144A
Citigroup Funding, Inc.(d)
Citigroup Funding, Inc.(d)
Citigroup Funding, Inc.(d)
Edison Asset Securitization LLC 144A(c)(d)
Falcon Asset Securitization Corp. 144A(c)(d)
General Electric Capital Corp.
Greenwich Capital Holdings
Hewlett- Packard Co. 144A(c)(d)
ING (US) Funding LLC
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5.240
05/18/
07
17,000
16,883,701
5.280
04/11/
07
5,000
4,992,667
5.255
05/07/
07
38,419
38,217,109
5.550
04/02/
07
15,277
15,274,645
5.230
06/04/
07
6,000
5,944,213
5.200
07/23/
07
9,000
8,853,100
5.250
04/27/
07
1,000
996,208
5.270
04/12/
07
10,000
9,983,897
5.290
04/25/
07
5,000
4,982,367
5.280
04/30/
07
3,230
3,216,262
5.280
05/24/
07
12,000
11,906,720
5.150
09/13/
07
11,000
10,740,354
5.180
06/08/
07
1,000
990,216
5.180
06/11/
07
25,000
24,744,597
5.200
08/03/
07
27,000
26,516,400
ING America Insurance Holdings(d)
Park Granada LLC 144A
PB Finance Delaware
Pepsi Bottling Group 144A
Prudential PLC 144A(c)(d)
Prudential PLC 144A(c)(d)
San Paolo IMI US(d)
Sheffield Receivables 144A
Sheffield Receivables 144A
Sheffield Receivables 144A
Sheffield Receivables 144A
Swedbank Mortgage AB(d)
Toyota Motor Credit Corp.(d)
Toyota Motor Credit Corp.(d)
Toyota Motor Credit Corp.(d)
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5.300
04/25/
07
18,000
17,936,400
5.300
04/26/
07
5,000
4,981,597
5.320
04/30/
07
13,000
12,944,288
5.260
04/11/
07
15,000
14,978,083
Tulip Funding Corp. 144A
Tulip Funding Corp. 144A
Tulip Funding Corp. 144A
Windmill Funding Corp. 144A(c)(d)
551,548,241
Loan Participation——2.1%
5.320
04/30/
07
20,000
20,000,000
5.310
04/30/
07
3,000
3,000,000
5.310
04/27/
07
3,160
3,160,000
Cargill Global Funding PLC(b)
Cargill, Inc. (b)
Caterpillar, Inc.(b)
26,160,000
Other Corporate Obligations——42.1%
5.340
12/12/
07
2,000
2,000,421
5.420
03/05/
08
27,000
27,004,018
5.339
04/18/
08
37,000
37,000,000
5.300
04/04/
08
10,000
10,000,000
5.360
02/13/
08
13,000
13,000,000
5.290
04/0808
7,000
7,000,000
5.445
10/17/
07
21,000
21,000,000
American Express Credit Corp. M.T.N.
American Express Credit Corp. M.T.N.
Banco Espanol De Credit M.T.N. 144A(c)
BMW US Capital LLC 144A(c)
Caja Ahorro Monte Madrid
Caterpillar Finance Service M.T.N.
General Electric Capital Corp. M.T.N.
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5.445
07/09/
07
11,750
11,750,000
5.400
04/24/
08
11,000
11,000,000
5.400
05/10/
07
20,000
20,000,809
5.320
04/15/
08
30,000
30,000,000
5.360
04/21/
08
25,000
24,999,067
5.290
04/02/
08
13,000
13,000,000
5.300
04/11/
08
30,000
30,000,000
5.340
04/22/
08
6,000
6,000,000
5.570
07/11/
07
34,000
34,001,863
General Electric Capital Corp.
Genworth Life Insurance Co.(b)(e)
(cost $11,000,000; purchased 03/26/07)
HSBC Finance Corp. M.T.N.
HSBC USA, Inc. M.T.N.
Irish Life and Permanent PLC M.T.N. 144A(c)
JPMorgan Chase & Co. M.T.N.
JPMorgan Chase & Co. M.T.N.
Kommunalkredit Austria 144A(c)
Merrill Lynch & Co., Inc. M.T.N.
Metropolitan Life Insurance Co.(b)(c)(e)
(cost $9,000,000; purchased 2/1/06)
5.420
02/01/
08
9,000
9,000,000
Metropolitan Life Insurance Co. of Connecticut(b)(e)
(cost $6,000,000; purchased 7/7/06)
5.380
07/07/
07
6,000
6,000,000
Metropolitan Life Insurance Co.(b)(e)
(cost $5,000,000; purchased 10/2/06)
5.380
10/01/
07
5,000
5,000,000
5.360
04/03/
08
31,000
31,000,000
5.340
01/25/
08
16,000
16,001,916
5.350
02/13/
08
20,000
20,004,229
5.430
04/28/
08
15,000
15,005,382
5.263
04/02/
08
3,000
2,998,874
5.330
04/11/
08
20,000
20,000,000
5.300
04/02/
08
10,000
10,000,000
Morgan Stanley, Inc. M.T.N.
National City Bank Credit M.T.N.
National City Bank M.T.N.
Nationwide Building Society 144A(c)
Nordea Bank AB (Finland) 144A(c)
Nordea Bank AB 144A(c)
Paccar Financial Corp. M.T.N.
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Pacific Life Insurance Co. (b)(e)
(cost $7,000,000; purchased 6/15/06)
5.470
07/13/
07
7,000
7,000,000
5.370
04/07/
08
5,000
5,000,000
5.320
04/18/
08
36,000
36,000,000
5.440
10/15/
07
20,000
20,011,909
5.400
04/11/
08
13,000
12,999,945
Royal Bank of Canada M.T.N.
Skandinaviska Enskilda Banken AB 144A(c)
Suntrust Banks, Inc.
Westpac Banking Corp. M.T.N.
513,778,433
Total Investments——102.5%
(amortized cost $1,251,986,615)(f)
1,251,986,615
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Liabilities in excess of other assets (2.5%)
(30,704,685 )
Total Net Assets——100.0%
$1,221,281,930
The following abbreviation is used in portfolio descriptions:
M.T.N. Medium Term Notes
(a)
(b)
(c)
(d)
(e)
(f)
Indicates a variable rate security. The maturity date presented for these instruments is the later of the next date on which the security can
be redeemed at par or the next date on which the rate of interest is adjusted. The interest rate shown reflects the rate in effect at
March 31, 2007.
Indicates an illiquid security.
Securities were 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.
Rate quoted represents yield-to-maturity as of purchase date.
Indicates a restricted security; the aggregate cost of such securities is $37,000,000. The aggregate value of $37,000,000 is approximately
3.0% of net assets.
Federal income tax basis is the same as for financial reporting purposes.
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Natural Resources Portfolio
Schedule of Investments
March 31, 2007 (Unaudited)
Shares
Value
LONG-TERM INVESTMENTS 96.9%
COMMON STOCKS 95.7%
All Other Basic Metals 2.4%
Cameco Corp. (Canada)
529,000
$21,673,192
UraMin, Inc., 144A (South Africa)(a)(h)
1,732,000
8,912,726
30,585,918
Aluminum 1.6%
Century Aluminum Co.(a)(b)
431,600
20,233,408
422,800
6,608,364
561,900
21,987,147
Coal 2.3%
Alpha Natural Resources, Inc.(a)(b)
CONSOL Energy, Inc.
28,595,511
Copper 6.6%
First Quantum Minerals Ltd. (Canada)
408,000
27,176,440
615,419
40,734,584
849,800
3,496,362
Freeport-McMoRan Copper & Gold, Inc.(b)
Peru Copper, Inc. (Canada)(a)
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Southern Copper Corp.(b)
154,500
11,071,470
82,478,856
Diversified Exploration & Production 5.8%
Anadarko Petroleum Corp.
342,800
14,733,544
134,300
7,412,017
382,300
11,388,717
744,100
1,525,405
393,500
5,394,885
221,900
9,255,449
605,300
10,629,068
890,700
11,605,821
Canadian Natural Resources Ltd.
Denbury Resources, Inc.(a)
Endeavour International Corp.(a)
McMoRan Exploration Co.(a)(b)
Newfield Exploration Co.(a)
Talisman Energy, Inc.
Warren Resources, Inc.(a)(b)
71,944,906
Diversified Metals & Mining 2.4%
African Rainbow Minerals Ltd. (South Africa)(a)
552,800
7,848,701
177,800
1,686,366
400,000
3,793,850
336,900
7,382,911
56,300
1,233,772
671,000
7,568,880
First Uranium Corp. (South Africa)(a)
First Uranium Corp., 144A (South Africa)(a)(h)
FNX Mining Co., Inc. (Canada)(a)
FNX Mining Co., Inc. 144A (Canada)(a)(h)
Northern Dynasty Minerals Ltd.(a)(b)
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29,514,480
Diversified Resources 2.6%
Cia Vale do rio Doce, ADR (Brazil)
454,000
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16,793,460
Evergreen Solar, Inc.(a)(b)
353,400
3,445,650
894,180
12,330,312
SXR Uranium One, Inc. (Canada)(a)(b)
32,569,422
Drillers 7.2%
ENSCO International, Inc.
373,400
20,312,960
323,600
19,959,648
270,500
21,282,940
354,900
28,995,330
GlobalSantaFe Corp.
Noble Corp.(b)
Transocean, Inc.(a)
90,550,878
Energy Services 15.6%
Baker Hughes, Inc.
168,700
11,156,131
286,300
17,976,777
182,200
12,710,272
445,500
22,203,720
536,500
17,028,510
389,300
30,283,646
275,400
19,030,140
137,100
13,490,640
Cameron International Corp.(a)(b)
FMC Technologies, Inc.(a)
Grant Prideco, Inc.(a)
Halliburton Co.(b)
National-Oilwell Varco, Inc.(a)
Schlumberger Ltd.
SEACOR Holdings, Inc.(a)(b)
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Smith International, Inc.(b)
288,700
13,872,035
412,000
14,201,640
249,500
11,452,050
177,300
11,999,664
Superior Energy Services, Inc. (a)(b)
Tenaris SA, ADR (Luxembourg)
Universal Compression Holdings, Inc.(a)
195,405,225
Forest Products 1.4%
Plum Creek Timber Co., Inc. (REIT)
313,000
12,338,460
132,200
5,684,600
Rayonier Inc.(b)
18,023,060
Gold 14.0%
AXMIN, Inc. (Canada)(a)
4,169,900 3,214,561
Barrick Gold Corp.
615,494
17,572,354
509,800
15,268,510
Cia de Minas Buenaventura SA, ADR (Peru)(b)
Crystallex International Corp.(a)(b)
2,447,300 9,055,010
Eldorado Gold Corp. (Canada)(a)
2,713,000 15,862,062
European Goldfields Ltd. (Canada)(a)
3,041,600 14,621,810
Gabriel Resources Ltd. (Canada)(a)
1,834,900 6,834,188
Gammon Lake Resources, Inc. (Canada)(a)
718,800
12,638,926
131,900
903,707
Gold Reserve, Inc. (a)
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Goldcorp, Inc.
487,177
11,701,992
587,800
4,582,243
974,300
3,566,126
Greystar Resources Ltd. (Canada)(a)
Highland Gold Mining Ltd. (United Kingdom)(a)
IAMGOLD Corp. (Canada)
1,063,700 8,209,240
Lihir Gold Ltd. ADR (Papua New Guinea)(a)(b)
746,000
19,478,059
Nevsun Resources Ltd. (Canada)(a)
1,137,400 2,394,008
Newcrest Mining Ltd. (Australia)
1,113,691 21,436,888
Orezone Resources, Inc. (Canada)(a)
1,472,300 3,022,392
SEMAFO, Inc., 144A (Canada)(a)(f)(h)
3,216,300 5,153,880
175,515,956
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Integrated Oil/Domestic 3.3%
Hess Corp.
346,800
19,236,996
437,200
21,558,332
Occidental Petroleum Corp.
40,795,328
Integrated Oil/International 2.9%
Petroleo Brasileiro SA, ADR (Brazil)
174,400
17,354,544
591,600
19,552,380
Sasol Ltd., ADR (South Africa)(b)
36,906,924
Iron & Steel 3.3%
Cleveland-Cliffs, Inc.(b)
215,300
13,781,353
70,000
27,010,630
MMX Mineracao e Metalicos SA (Brazil)(a)
40,791,983
Mineral Sands 5.9%
OPTI Canada, Inc. (Canada)(a)
1,500,048 25,830,190
Suncor Energy, Inc.
470,300
35,907,405
UTS Energy Corp. (Canada)(a)
3,225,400 11,566,181
73,303,776
Natural Gas Production 9.5%
BPI Energy Holdings, Inc.(a)
2,800,000 1,932,000
CNX Gas Corp.(a)
89,800
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2,544,034
Gasco Energy, Inc.(a)(b)
919,300
2,243,092
184,800
6,214,824
Goodrich Petroleum Corp.(a)(b)
PetroHawk Energy Corp.(a)(b)
1,027,200 13,528,224
Quicksilver Resources, Inc.(a)(b)
318,600
12,670,722
684,550
22,863,970
711,400
29,153,172
412,657
3,574,335
234,400
12,453,672
213,300
11,690,973
Range Resources Corp.
Southwestern Energy Co.(a)
Trident Resources Corp. (Canada)(Private) (cost $4,402,178; purchased 12/4/03)(a)(f)(g)
Ultra Petroleum Corp.(a)(b)
XTO Energy, Inc.
118,869,018
Non-Natural Resources 1.6%
NRG Energy, Inc.(a)
280,100
20,178,404
386,000
12,599,040
183,900
12,953,916
218,600
14,097,514
Oil & Gas Refining & Marketing 3.2%
Frontier Oil Corp.
Sunoco, Inc.(b)
Valero Energy Corp.
39,650,470
Platinum 1.9%
Impala Platinum Holdings Ltd., ADR (South Africa)
771,700
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24,115,625
Silver 2.2%
Apex Silver Mines Ltd.(a)(b)
448,700
5,792,717
Coeur d’Alene Mines Corp.(a)(b)
2,059,000 8,462,490
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Pan American Silver Corp. (Canada)(a)
84,172
2,489,800
Pan American Silver Corp. (USD)(a)
361,900 10,708,621
27,453,628
TOTAL COMMON STOCKS (cost $807,013,364)
1,197,482,776
Principal
Amount
(000)
LINKED NOTE 1.1%
All Other Basic Metals
USD Palladium Linked Bank Note 7/13/07 (Private)(cost $7,000,000; purchased 6/30/06(a)(f)(g)
$38,088
13,143,073
Units
WARRANTS(a) 0.1%
Natural Gas Production
BPI Industries, Inc., expiring 12/13/07
600,000 1
Silver 0.1%
Pan American Silver Corp. (Canada), expiring 2/20/08
49,786
972,433
TOTAL WARRANTS (cost $271,076)
972,434
TOTAL LONG-TERM INVESTMENTS (cost $814,284,440)
1,211,598,283
Shares
SHORT-TERM INVESTMENT 21.8%
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Affiliated Money Market Mutual Fund
Dryden Core Investment Fund—Taxable Money Market Series (cost $272,499,920; includes $233,071,429
of cash collateral received for securities on loan)(c)(d)
272,499,920
272,499,920
TOTAL INVESTMENTS(e) 118.7%
(cost $1,086,784,360)
1,484,098,203
LIABILITIES IN EXCESS OF OTHER ASSETS (18.7%)
(233,507,218 )
NET ASSETS 100.0%
$1,250,590,985
The following abbreviations are used in portfolio descriptions:
ADR—American Depositary Receipt
USD—United States Dollar – denominated
REIT—Real Estate Investment Trust
(a) Non-income producing security.
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(b)
(c)
(d)
(e)
(f)
(g)
(h)
All or portion of security is on loan. The aggregate market value of such securities is $220,452,250; cash collateral of $233,071,429
(included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.
Represents security, or portion thereof, purchased with cash collateral for securities on loan.
Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund-Taxable Money
Market Series.
As of March 31, 2007, 2 securities representing $16,717,408 and 1.3% of the net assets were fair valued in accordance with the policies
adopted by the Board of Trustees.
Indicates illiquid securities.
Indicates a security restricted to resale. The aggregate cost of such securities was $12,777,198. The aggregate value of $16,717,408 is
approximately 1.3% of the net assets.
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.
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SMALL CAPITALIZATION STOCK PORTFOLIO
SCHEDULE OF INVESTMENTS
March 31, 2007 (Unaudited)
Shares
Value
LONG-TERM INVESTMENTS 97.6%
COMMON STOCKS
Aerospace & Defense 2.1%
AAR Corp.(a)
48,295
$1,331,010
15,789
283,097
39,559
2,663,507
35,526
1,944,693
20,269
438,621
57,780
2,226,841
21,493
563,117
33,405
1,371,943
73,045
1,010,943
55,455
2,309,701
45,545
1,705,205
21,488
1,189,146
Applied Signal Technology, Inc.
Armor Holdings, Inc.(a)(b)
Ceradyne, Inc.(a)(b)
Cubic Corp.
Curtiss-Wright Corp.
EDO Corp.
Esterline Technologies Corp.(a)
GenCorp, Inc.(a)(b)
Moog, Inc. (Class “A” Stock)(a)(b)
Teledyne Technologies, Inc.(a)
Triumph Group, Inc.(b)
17,037,824
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Air Freight & Logistics 0.6%
EGL, Inc.(a)
41,592
1,648,290
39,778
1,307,901
52,046
1,508,814
Forward Air Corp.
HUB Group, Inc.(a)(b)
4,465,005
Airlines 0.4%
Frontier Airlines, Inc.(a)(b)
47,786
287,194
43,265
325,785
84,122
2,256,994
Mesa Air Group, Inc.(a)
SkyWest, Inc.
2,869,973
Auto Components 0.4%
Drew Industries, Inc.(a)
24,423
700,452
59,250
1,295,205
15,447
263,680
29,843
621,630
LKQ Corp.(a)(b)
Standard Motor Products, Inc.
Superior Industries International, Inc.(b)
2,880,967
Automobiles 0.4%
Coachmen Industries, Inc.
20,452
215,360
83,672
661,846
Fleetwood Enterprises, Inc.(a)(b)
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Monaco Coach Corp.
34,939
556,578
41,010
1,379,166
Winnebago Industries, Inc.
2,812,950
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Biotechnology 0.5%
ArQule, Inc.(a)(b)
36,965
275,759
31,400
1,331,674
85,802
1,855,039
60,608
728,508
Digene Corp.(a)
Regeneron Pharmaceuticals, Inc.(a)
Savient Pharmaceuticals, Inc.(a)
4,190,980
Building Products 1.0%
Apogee Enterprises, Inc.
37,038
742,242
34,301
848,950
74,991
2,677,178
26,359
1,258,379
48,113
1,483,804
24,687
1,223,241
Griffon Corp.(a)
Lennox International, Inc.
NCI Building Systems, Inc.(a)
Simpson Manufacturing Co., Inc.(b)
Universal Forest Products, Inc.
8,233,794
Capital Markets 0.7%
Investment Technology Group, Inc.(a)
57,789
2,265,330
69,678
568,572
24,221
1,500,249
LaBranche & Co., Inc.(a)(b)
Piper Jaffray Cos., Inc.(a)(b)
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SWS Group, Inc.
32,241
799,899
33,294
419,171
Tradestation Group, Inc.(a)
5,553,221
Chemicals 1.3%
A. Schulman, Inc.
31,622
745,014
31,633
987,582
44,734
725,138
79,119
2,157,575
32,678
1,139,482
16,528
164,949
38,907
1,738,365
54,849
299,476
11,705
235,739
121,334
740,137
13,110
312,149
53,911
753,676
Arch Chemicals, Inc.
Georgia Gulf Corp.
H.B. Fuller Co.
MacDermid, Inc.
Material Sciences Corp.(a)
OM Group, Inc.(a)
Omnova Solutions, Inc.(a)
Penford Corp.
PolyOne Corp.(a)
Quaker Chemical Corp.
Tronox, Inc. (Class “B” Stock)
9,999,282
Commercial Banks 5.8%
Boston Private Financial Holdings, Inc.
48,067
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1,342,031
Cascade Bancorp(b)
37,000
959,780
40,176
1,469,236
59,218
1,787,791
39,117
818,328
80,370
2,955,204
108,791
1,442,569
82,106
964,746
41,900
633,109
16,831
367,757
65,233
2,397,313
40,438
2,171,521
Central Pacific Financial Corp.
Chittenden Corp.
Community Bank System, Inc.
East West Bancorp, Inc.
First BanCorp/Puerto Rico
First Commonwealth Financial Corp.
First Financial Bancorp
First Indiana Corp.
First Midwest Bancorp, Inc.
First Republic Bank
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Glacier Bancorp, Inc.
68,739
1,652,486
53,948
1,028,249
26,572
541,272
24,493
456,550
27,363
479,126
24,234
885,995
45,010
1,563,647
42,155
1,385,213
97,432
2,408,519
24,459
442,708
94,164
1,052,754
66,727
2,081,215
68,136
1,580,074
Hanmi Financial Corp.
Independent Bank Corp.
Irwin Financial Corp.
Nara Bancorp, Inc.
PrivateBancorp, Inc.(b)
Prosperity Bancshares, Inc.
Provident Bankshares Corp.
South Financial Group, Inc. (The)(b)
Sterling Bancorp
Sterling Bancshares, Inc.
Sterling Financial Corp.
Susquehanna Bancshares, Inc.
UCBH Holdings, Inc.
130,172 2,423,803
Umpqua Holdings Corp.
76,016
2,034,948
47,703
1,671,036
47,200
1,547,688
United Bankshares, Inc.
United Community Banks, Inc.(b)
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Whitney Holding Corp.
86,206
2,636,178
20,156
330,558
32,731
1,460,130
Wilshire Bancorp, Inc.
Wintrust Financial Corp.
44,971,534
Commercial Services & Supplies 3.7%
ABM Industries, Inc.
56,961
1,503,201
31,758
1,117,882
12,372
340,725
37,879
595,837
70,508
2,199,850
16,942
489,963
21,515
477,203
15,390
1,139,630
28,150
1,021,282
36,082
1,033,749
22,898
1,109,408
67,995
1,087,240
33,757
1,729,371
Administaff, Inc.
Angelica Corp.
Bowne & Co., Inc.
Brady Corp.(b)
CDI Corp.
Central Parking Corp.
Consolidated Graphics, Inc.(a)
G&K Services, Inc. (Class “A” Stock)
Healthcare Services Group, Inc.
Heidrick & Struggles International, Inc.(a)
Interface, Inc.
John H. Harland Co.
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Labor Ready, Inc.(a)
66,186
1,256,872
46,902
1,256,036
43,025
533,940
24,323
878,304
73,933
652,089
16,068
203,260
75,698
1,442,804
38,799
2,324,835
27,836
1,074,470
16,840
441,040
89,405
2,676,785
55,393
2,694,868
Mobile Mini, Inc.(a)(b)
On Assignment, Inc.(a)
School Specialty, Inc.(a)(b)
Spherion Corp.(a)
Standard Register Co. (The)
Tetra Tech, Inc.(a)
United Stationers, Inc.(a)
Viad Corp.
Volt Information Sciences, Inc.(a)
Waste Connections, Inc.(a)
Watson Wyatt Worldwide, Inc.
29,280,644
Communications Equipment 1.3%
Bel Fuse, Inc. (Class “B” Stock)
15,467
598,728
22,712
829,896
18,933
695,409
63,777
883,949
Black Box Corp.
Blue Coat Systems, Inc.(a)(b)
C-COR.net Corp.(a)
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Comtech Telecommunications Corp.(a)(b)
30,299
1,173,481
32,806
416,636
43,096
349,940
97,605
958,481
27,949
660,714
44,833
1,279,086
32,993
320,032
29,153
296,486
60,671
503,569
17,315
217,476
32,236
1,062,821
Digi International, Inc.(a)
Ditech Communications Corp.(a)
Harmonic, Inc.(a)
Inter-Tel, Inc.
NETGEAR, Inc.(a)
Network Equipment Technologies, Inc.(a)
PC-Tel, Inc.(a)
Symmetricom, Inc.(a)
Tollgrade Communications, Inc.(a)
ViaSat, Inc.(a)
10,246,704
Computers & Peripherals 0.8%
Adaptec, Inc.(a)(b)
154,637 598,445
Avid Technology, Inc.(a)(b)
53,798
1,876,475
33,896
791,472
40,762
1,334,140
26,082
262,646
Hutchinson Technology, Inc.(a)(b)
Komag, Inc.(a)(b)
Neoware, Inc.(a)(b)
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Novatel Wireless, Inc.(a)(b)
39,154
628,030
34,073
871,587
Synaptics, Inc.(a)(b)
6,362,795
Construction & Engineering 1.2%
EMCOR Group, Inc.(a)
41,594
2,453,214
35,611
740,353
Insituform Technologies, Inc. (Class “A” Stock)(a)(b)
Shaw Group, Inc. (The)(a)(b)
105,565 3,301,017
URS Corp.(a)
68,623
2,922,654
9,417,238
Construction Materials 0.5%
Headwaters, Inc.(a)(b)
55,325
1,208,851
31,436
2,374,361
Texas Industries, Inc.(b)
3,583,212
Consumer Finance 0.4%
Cash America International, Inc.
38,885
1,594,285
35,800
797,624
34,736
184,101
23,023
919,769
First Cash Financial Services, Inc.(a)
Rewards Network, Inc.(a)
World Acceptance Corp.(a)(b)
3,495,779
Containers & Packaging 0.7%
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AptarGroup, Inc.
45,345
3,034,940
37,999
238,634
25,986
392,389
35,249
658,451
44,899
1,490,647
Caraustar Industries, Inc.(a)
Chesapeake Corp.
Myers Industries, Inc.
Rock-Tenn Co. (Class “A” Stock)
5,815,061
Distributors 0.2%
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Audiovox Corp.(a)
23,684
348,865
38,078
689,593
21,375
720,337
Building Materials Holding Corp.
Keystone Automotive Industries, Inc.(a)
1,758,795
Diversified Consumer Services 0.6%
Bright Horizons Family Solutions, Inc.(a)(b)
34,257
1,293,202
36,333
1,137,223
6,790
356,543
11,817
592,150
30,230
697,708
12,727
612,296
Coinstar, Inc.(a)
CPI Corp.
Pre-Paid Legal Services, Inc.(a)(b)
Universal Technical Institute, Inc.(a)(b)
Vertrue, Inc.(a)
4,689,122
Diversified Financial Services 0.2%
Financial Federal Corp.
35,972
946,783
20,942
935,060
Portfolio Recovery Associates, Inc.(a)(b)
1,881,843
Diversified Telecommunication Services 0.2%
CT Communications, Inc.
26,400
636,240
58,438
818,132
General Communication, Inc. (Class “A” Stock)(a)
1,454,372
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Electric Utilities 1.1%
ALLETE, Inc.
39,836
1,857,154
13,256
382,038
75,355
1,946,421
60,301
1,588,931
6,886
240,115
32,753
1,136,529
46,097
1,730,942
Central Vermont Public Services Corp.
Cleco Corp.
El Paso Electric Co.(a)
Green Mountain Power Corp.
UIL Holdings Corp.
Unisource Energy Corp.
8,882,130
Electrical Equipment 1.7%
Acuity Brands, Inc.(b)
56,739
3,088,871
53,827
2,031,431
58,284
3,123,440
33,436
168,183
38,977
196,444
40,785
1,891,608
29,715
1,135,707
25,490
255,410
Baldor Electric Co.
Belden, Inc.
C&D Technologies, Inc.(b)
Magnetek, Inc.(a)
Regal Beloit Corp.
Smith (A.O.) Corp.
Vicor Corp.
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Woodward Governor Co.
38,521
1,585,910
13,477,004
Electronic Equipment & Instruments 4.8%
Aeroflex, Inc.(a)
96,207
1,265,122
40,333
906,283
41,217
2,717,849
39,722
254,221
Agilysys, Inc.
Anixter International, Inc.(a)(b)
Bell Microproducts, Inc. (Class “B” Stock)(a)
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Benchmark Electronics, Inc.(a)(b)
94,112
1,944,354
66,229
757,660
51,253
1,212,646
58,082
1,258,637
40,870
1,297,214
46,738
645,919
41,662
1,143,205
38,115
733,333
85,684
3,056,347
30,166
320,061
65,708
1,281,306
63,119
1,134,880
33,647
2,188,401
18,357
280,679
29,440
1,195,264
24,483
464,687
28,985
402,022
Brightpoint, Inc.(a)
Checkpoint Systems, Inc.(a)
Cognex Corp.
Coherent, Inc.(a)
CTS Corp.
Daktronics, Inc.(b)
Electro Scientific Industries, Inc.(a)
FLIR Systems, Inc.(a)b)
Gerber Scientific, Inc.(a)
Global Imaging Systems, Inc.(a)
Insight Enterprises, Inc.(a)
Itron, Inc.(a)(b)
Keithley Instruments, Inc.
Littelfuse, Inc.(a)
Lojack Corp.(a)
Mercury Computer Systems, Inc.(a)
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Methode Electronics, Inc. (Class “A” Stock)
47,726
704,913
23,909
928,626
26,373
715,236
54,222
1,556,171
21,607
272,464
22,574
195,717
60,600
1,039,290
28,636
467,912
23,080
1,023,598
33,651
903,193
53,255
1,394,748
MTS Systems Corp.
Park Electrochemical Corp.
Paxar Corp.(a)
Photo Dynamics, Inc.(a)
Planar Systems, Inc.(a)
Plexus Corp.(a)
Radisys Corp.(a)
Rogers Corp.(a)
Scansource, Inc.(a)
Technitrol, Inc.
Trimble Navigation, Ltd.(a)
154,392 4,143,880
X-Rite, Inc.
37,405
484,395
38,290,233
Energy Equipment & Services 3.4%
Atwood Oceanics, Inc.(a)
35,360
2,075,278
30,723
1,119,853
26,479
1,232,597
Bristow Group, Inc.(a)(b)
CARBO Ceramics, Inc.(b)
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Campagnie Generale de Geophysique ADR(a)
1
42
31,628
1,368,860
30,375
870,244
23,854
2,295,709
91,901
1,266,396
40,065
2,645,492
19,582
1,100,117
72,475
3,052,647
27,912
2,746,541
94,623
2,338,134
60,573
3,064,388
39,621
1,851,886
Dril-Quip, Inc.(a)(b)
Hornbeck Offshore Services, Inc.(a)
Hydril Co.(a)
Input/Output, Inc.(a)(b)
Lone Star Technologies, Inc.(a)(b)
Lufkin Industries, Inc.
Oceaneering International, Inc.(a)
SEACOR Holdings, Inc.(a)(b)
Tetra Technologies, Inc.(a)
Unit Corp.(a)(b)
W-H Energy Services, Inc.(a)
27,028,184
Exchange Traded Fund 0.2%
27,794
1,886,379
66,046
1,651,810
iShares S&P SmallCap 600 Index(b)
Food & Staples Retailing 1.1%
Casey’s General Stores, Inc.
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Great Atlantic & Pacific Tea Co., Inc.(b)
25,491
845,791
37,122
1,916,981
17,563
605,221
45,737
1,411,901
28,300
758,440
55,914
1,713,205
Longs Drug Stores Corp.
Nash-Finch Co.(b)
Performance Food Group Co.(a)
Spartan Stores Inc.
United Natural Foods, Inc.(a)(b)
8,903,349
Food Products 1.9%
Corn Products International, Inc.
97,324
3,463,760
47,804
1,969,525
67,606
2,039,673
51,556
1,550,289
17,899
706,832
40,287
815,409
35,086
2,256,030
20,744
768,773
40,818
1,243,724
Delta & Pine Land Co.
Flowers Foods, Inc.
Hain Celestial Group, Inc.(a)
J&J Snack Foods Corp.
Lance, Inc.
Ralcorp Holdings, Inc.(a)
Sanderson Farms, Inc.(b)
TreeHouse Foods, Inc.(a)
14,814,015
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Gas Utilities 3.4%
Atmos Energy Corp.
115,837 3,623,381
Cascade Natural Gas Corp.
15,053
396,647
93,697
4,768,241
28,181
875,865
36,404
1,822,020
35,661
1,628,638
97,543
2,573,184
38,114
1,450,238
Energen Corp.
Laclede Group, Inc. (The)
New Jersey Resources Corp.
Northwest Natural Gas Co.
Piedmont Natural Gas Co., Inc.(b)
South Jersey Industries, Inc.
Southern Union Co.
140,923 4,282,650
Southwest Gas Corp.
54,911
2,134,391
UGI Corp.
138,616 3,702,433
27,257,688
Health Care Equipment & Supplies 5.3%
American Medical Systems Holdings, Inc.(a)(b)
93,988
1,989,726
18,261
1,148,252
35,877
1,293,007
30,912
300,774
Analogic Corp.
ArthroCare Corp.(a)(b)
Biolase Technology, Inc.(a)(b)
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Biosite, Inc.(a)
20,910
1,755,813
36,576
1,069,116
58,821
2,859,877
28,852
541,841
16,521
597,895
30,652
1,161,711
34,538
1,614,652
69,595
4,011,456
19,135
750,092
40,745
3,570,484
89,996
2,648,582
25,772
1,174,688
41,794
728,887
15,436
470,798
55,546
2,555,116
CONMED Corp.(a)
Cooper Companies, Inc. (The)(b)
Cyberonics, Inc.(a)(b)
Datascope Corp.
DJ Orthopedics, Inc.(a)
Haemonetics Corp.(a)
Hologic, Inc.(a)(b)
ICU Medical, Inc.(a)
IDEXX Laboratories, Inc.(a)
Immucor, Inc.(a)
Integra LifeSciences Holdings Corp.(a)(b)
Invacare Corp.
Kensey Nash Corp.(a)
Mentor Corp.
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Meridian Bioscience, Inc.
28,198
782,776
35,815
449,478
22,608
172,725
23,752
948,892
29,598
1,252,883
22,431
291,827
95,682
4,017,688
20,404
734,544
43,440
271,934
43,198
1,468,300
10,235
532,015
28,856
735,828
Merit Medical Systems, Inc.(a)
Osteotech, Inc.(a)
Palomar Medical Technologies, Inc.(a)(b)
PolyMedica Corp.(b)
Possis Medical, Inc.(a)
Respironics, Inc.(a)
SurModics, Inc.(a)(b)
Theragenics Corp.(a)
Viasys Healthcare, Inc.(a)
Vital Signs, Inc.
Wilson Greatbatch Technologies, Inc.(a)
41,901,657
Health Care Providers & Services 4.3%
Amedisys, Inc.(a)(b)
33,804
1,096,264
68,356
2,078,022
45,257
1,023,713
39,280
961,967
AMERIGROUP Corp.(a)
AMN Healthcare Services, Inc.(a)
AmSurg Corp.(a)
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Centene Corp.(a)(b)
56,710
1,190,343
34,826
1,705,081
28,402
517,768
29,360
246,918
25,845
1,631,078
35,680
719,666
39,000
1,122,420
45,688
2,135,914
88,393
395,117
39,417
1,509,277
26,018
1,071,681
27,985
737,685
43,985
577,523
34,500
458,850
52,690
1,935,304
63,418
3,618,630
88,050
1,861,377
Chemed Corp.
Cross Country Healthcare, Inc.(a)
CryoLife, Inc.(a)
Genesis Healthcare Corp.(a)
Gentiva Health Services, Inc.(a)
HealthExtras, Inc.(a)
Healthways, Inc.(a)(b)
Hooper Holmes, Inc.(a)
inVentiv Health, Inc.(a)
LCA-Vision, Inc.(b)
Matria Healthcare, Inc.(a)(b)
Odyssey Healthcare, Inc.(a)
Option Care, Inc.
Owens & Minor, Inc.
Pediatrix Medical Group, Inc.(a)
PSS World Medical, Inc.(a)
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RehabCare Group, Inc.(a)
22,411
355,663
72,922
3,002,198
58,525
2,312,908
58,483
1,801,861
Sierra Health Services, Inc.(a)
Sunrise Senior Living, Inc.(a)(b)
United Surgical Partners International, Inc.(a)(b)
34,067,228
Health Care Technology 0.3%
Allscripts Healthcare Solutions, Inc.(a)(b)
63,700
1,707,797
57,225
896,144
Dendrite International, Inc.(a)
2,603,941
Hotels, Restaurants & Leisure 3.5%
California Pizza Kitchen, Inc.(a)(b)
25,000
822,250
43,511
1,807,447
91,038
1,716,977
20,617
1,209,187
44,709
3,090,734
22,114
654,574
CEC Entertainment, Inc.(a)
CKE Restaurants, Inc.(b)
IHOP Corp.
Jack in the Box, Inc.(a)
Landry’s Restaurants, Inc.
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Marcus Corp.
27,847
647,721
13,700
356,200
36,006
428,471
30,453
587,438
33,382
1,398,038
41,580
2,455,716
29,373
863,566
18,078
499,314
77,967
2,266,501
39,813
1,197,973
21,765
844,917
22,700
462,172
45,766
835,230
88,850
1,979,578
36,839
617,790
84,690
1,455,821
31,156
1,222,561
Monarch Casino & Resort, Inc.(a)
Multimedia Games, Inc.(a)
O’Charleys, Inc.(a)
P.F. Chang’s China Bistro, Inc.(a)(b)
Panera Bread Co. (Class “A” Stock)(a)(b)
Papa John’s International, Inc.(a)(b)
Peet’s Coffee & Tea, Inc.(a)
Pinnacle Entertainment, Inc.(a)
RARE Hospitality International, Inc.(a)
Red Robin Gourmet Burgers, Inc.(a)(b)
Ruth’s Chris Steak House(a)
Shuffle Master, Inc.(a)(b)
Sonic Corp.(a)
Steak n Shake Co. (The)(a)
Triarc Co., Inc. (Class “B” Stock)
WMS Industries, Inc.(a)
27,420,176
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Household Durables 1.5%
Bassett Furniture Industries, Inc.
15,396
226,629
Champion Enterprises, Inc.(a)
100,093 880,818
Ethan Allen Interiors, Inc.(b)
41,478
1,465,833
67,091
830,587
18,447
121,381
18,674
261,809
15,837
420,472
28,720
922,486
6,150
379,086
6,392
4,250,681
14,967
211,035
8,894
300,084
84,581
1,765,205
La-Z-Boy, Inc.(b)
Lenox Group, Inc.(a)
Libbey, Inc.
M/I Homes, Inc.
Meritage Home Corp.(a)(b)
National Presto Industries, Inc.
NVR, Inc.(a)(b)
Russ Berrie & Co., Inc.(a)
Skyline Corp.
Standard Pacific Corp.(b)
12,036,106
Household Products 0.3%
Central Garden & Pet Co. (Class “A” Stock)(a)
93,300
1,371,511
50,692
320,880
Spectrum Brands, Inc.(a)(b)
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WD-40 Co.
22,261
705,896
2,398,287
Industrial Conglomerates 0.2%
Standex International Corp.
16,219
462,404
37,009
843,435
Tredegar Industries, Inc.
1,305,839
Insurance 2.8%
Delphi Financial Group, Inc.
56,521
2,273,840
47,266
2,318,397
25,529
1,196,289
22,900
1,692,539
75,001
3,299,294
28,108
554,290
Hilb, Rogal & Hamilton Co.
Infinity Property & Casualty Corp.
LandAmerica Financial Group, Inc.(b)
Philadelphia Consolidated Holding Corp.(a)
Presidential Life Corp.
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ProAssurance Corp.(a)
43,534
2,226,764
26,159
1,436,914
18,744
752,009
13,093
297,211
74,508
1,896,974
23,848
996,608
27,440
963,967
48,448
2,290,137
RLI Corp.
Safety Insurance Group, Inc.
SCPIE Holdings, Inc.(a)
Selective Insurance Group, Inc.
Stewart Information Services Corp.
United Fire & Casualty Co.
Zenith National Insurance Corp.
22,195,233
Internet & Catalog Retail 0.2%
Blue Nile, Inc.(a)(b)
18,225
741,029
31,592
374,365
24,940
358,388
PetMed Express, Inc.(a)
Stamps.com, Inc.(a)
1,473,782
Internet Software & Services 1.2%
Bankrate, Inc.(a)(b)
14,938
526,415
41,148
1,056,269
63,966
1,773,138
InfoSpace, Inc.(a)(b)
j2 Global Communications, Inc.(a)
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MIVA, Inc.(a)
36,616
140,605
86,641
1,215,573
57,519
3,270,531
58,579
1,346,731
United Online, Inc.
WebEx Communications, Inc.(a)
Websense, Inc.(a)
9,329,262
IT Services 1.2%
CACI International, Inc. (Class “A” Stock)(a)
40,269
1,887,006
26,415
211,848
70,585
555,504
61,646
1,643,482
32,916
649,762
58,201
790,370
23,850
796,829
28,369
978,163
14,728
144,187
38,742
706,654
41,164
1,363,763
Carreker Corp.(a)
Ciber, Inc.(a)
eFunds Corp.(a)
Gevity HR, Inc.
Keane, Inc.(a)
ManTech International Corp. (Class “A” Stock)(a)
MAXIMUS, Inc.
Startek, Inc.
Sykes Enterprises, Inc.(a)
TALX Corp.
9,727,568
Leisure Equipment & Products 1.2%
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Arctic Cat, Inc.
15,593
303,908
36,268
866,805
64,402
778,620
24,382
565,175
41,117
634,435
46,400
2,226,272
65,706
2,352,274
27,585
1,114,158
23,930
321,859
JAKKS Pacific, Inc.(a)
K2, Inc.(a)
Marinemax, Inc.(a)
Nautilus Group, Inc. (The)
Polaris Industries, Inc.(b)
Pool Corp.(b)
RC2 Corp.(a)
Sturm Ruger & Co., Inc.(a)
9,163,506
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Life Sciences Tools & Services 0.7%
Cambrex Corp.
34,909
858,761
24,996
1,702,478
40,713
613,952
15,972
567,325
35,746
1,285,784
24,026
624,676
Dionex Corp.(a)
Enzo Biochem, Inc.(a)(b)
Kendle International, Inc.(a)
PAREXEL International Corp.(a)(b)
Pharmanet Development Group, Inc.(a)(b)
5,652,976
Machinery 4.0%
Albany International Corp. (Class “A” Stock)
38,089
1,368,919
24,582
989,426
26,805
409,044
52,212
1,201,398
64,560
1,991,676
13,800
826,344
66,970
2,129,646
27,921
1,006,552
69,068
2,407,020
Astec Industries, Inc.(a)(b)
ASV, Inc.(a)(b)
Barnes Group, Inc.
Briggs & Stratton Corp.(b)
Cascade Corp.
CLARCOR, Inc.
Enpro Industries, Inc.(a)
Gardner Denver, Inc.(a)
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IDEX Corp.
70,358
3,579,814
36,828
1,567,400
15,181
482,604
21,306
338,552
81,203
5,158,826
48,445
1,458,195
22,298
831,492
52,711
2,700,912
22,456
1,298,630
39,906
615,351
38,761
1,474,081
Kaydon Corp.(b)
Lindsay Manufacturing Co.(b)
Lydall, Inc.(a)
Manitowoc Co., Inc.
Mueller Industries, Inc.
Robbins & Myers, Inc.
Toro Co.
Valmont Industries, Inc.
Wabash National Corp.
Watts Water Technologies, Inc. (Class “A” Stock)
31,835,882
Marine 0.3%
Kirby Corp.(a)
69,464
2,429,851
17,088
323,305
38,933
1,827,904
85,650
1,889,439
Media 0.6%
4Kids Entertainment, Inc.(a)
Arbitron, Inc.
Live Nation, Inc.(a)
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Radio One, Inc. (Class “D” Stock)(a)
100,625 650,038
4,690,686
Metals & Mining 2.8%
AMCOL International Corp.
28,512
845,381
26,335
1,276,457
33,563
4,053,067
16,416
481,974
30,245
1,417,886
60,693
3,530,511
53,857
3,447,387
39,000
882,180
48,450
2,051,858
30,056
2,735,397
34,291
1,358,609
Brush Engineered Materials, Inc.(a)(b)
Carpenter Technology Corp.
Castle (A.M.) & Co.
Century Aluminum Co.(a)(b)
Chaparral Steel Co.(b)
Cleveland-Cliffs, Inc.(b)
Gibraltar Industries, Inc
Quanex Corp.(b)
RTI International Metals, Inc.(a)(b)
Ryerson Tull, Inc.(b)
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Steel Technologies, Inc.
14,991
443,434
22,524,141
52,235
767,855
38,924
577,632
Multiline Retail 0.2%
Fred’s, Inc.
Tuesday Morning Corp.
1,345,487
Multi-Utilities 0.3%
Avista Corp.
68,793
1,666,855
17,718
862,689
CH Energy Group, Inc.
2,529,544
Oil, Gas & Consumable Fuels 2.7%
Cabot Oil & Gas Corp. (Class “A” Stock)
63,188
4,253,816
Helix Energy Solutions Group, Inc.(a)
119,238 4,446,385
Massey Energy Corp.
105,982 2,542,508
Penn Virginia Corp.
24,553
1,802,190
19,328
1,035,401
82,101
3,011,465
36,566
1,085,645
38,921
1,625,730
Petroleum Development Corp.(a)
St. Mary Land & Exploration Co.
Stone Energy Corp.(a)
Swift Energy Co.(a)
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World Fuel Services Corp.
37,260
1,723,648
21,526,788
Paper & Forest Products 0.4%
Buckeye Technologies, Inc.(a)
49,427
641,562
13,371
641,273
19,321
767,817
21,292
143,721
20,370
506,195
58,399
838,609
Deltic Timber Corp.
Neenah Paper, Inc.
Pope & Talbot, Inc.(a)
Schweitzer-Mauduit International, Inc.
Wausau-Mosinee Paper Corp.
3,539,177
Personal Products 0.9%
Chattem, Inc.(a)(b)
24,400
1,438,136
20,625
331,238
73,787
3,913,661
72,831
988,317
11,988
561,878
Mannatech, Inc.(b)
NBTY, Inc.(a)
Playtex Products, Inc.(a)
USANA Health Sciences, Inc.(a)(b)
7,233,230
Pharmaceuticals 0.9%
Alpharma, Inc. (Class “A” Stock)(b)
43,994
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1,059,376
Bradley Pharmaceuticals, Inc.(a)(b)
21,464
411,894
MGI Pharma, Inc.(a)(b)
103,950 2,335,757
Noven Pharmaceuticals, Inc.(a)
32,332
750,102
38,630
914,758
91,200
1,308,720
Sciele Pharma, Inc.(a)(b)
ViroPharma, Inc.(a)(b)
6,780,607
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Real Estate Investment Trusts (REITs) 3.8%
Acadia Realty Trust
42,019
1,095,435
60,519
2,763,903
30,996
1,581,726
34,621
2,085,915
31,680
4,101,926
85,013
1,559,138
42,772
3,154,435
91,760
1,938,889
27,092
701,954
64,300
944,567
33,135
1,864,175
85,310
2,063,649
19,434
1,015,427
20,902
1,474,009
97,259
2,324,490
26,856
1,488,091
Colonial Properties Trust(b)
EastGroup Properties, Inc.
Entertainment Properties Trust
Essex Property Trust, Inc.(b)
Inland Real Estate Corp.(b)
Kilroy Realty Corp.(b)
Lexington Corporate Properties Trust(b)
LTC Properties, Inc.
Medical Properties Trust, Inc.(b)
MID-AMERICA Apartment Communities, Inc.(b)
National Retail Properties, Inc.(b)
Parkway Properties, Inc.
PS Business Parks, Inc.
Senior Housing Properties Trust
Sovran Self Storage, Inc.(b)
30,157,729
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Road & Rail 1.5%
Arkansas Best Corp.(b)
32,858
1,168,102
77,046
1,223,490
Heartland Express, Inc.
Kansas City Southern Industries, Inc.(a)(b)
100,327 3,569,635
Knight Transportation, Inc.(b)
75,406
1,343,735
73,235
3,357,092
36,592
1,054,216
Landstar System, Inc.
Old Dominion Freight Line, Inc.(a)
11,716,270
Semiconductors & Semiconductor Equipment 3.4%
Actel Corp.(a)
34,034
562,242
46,344
975,078
46,053
1,407,840
Advanced Energy Industries, Inc.(a)
ATMI, Inc.(a)(b)
Axcelis Technologies, Inc.(a)
132,373 1,011,330
Brooks Automation, Inc.(a)
98,914
1,696,375
31,219
1,046,149
29,637
557,176
48,756
2,025,811
26,229
914,081
Cabot Microelectronics Corp.(a)
Cohu, Inc.
Cymer, Inc.(a)
Diodes, Inc.(a)
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DSP Group, Inc.(a)
37,897
720,043
47,420
627,841
34,035
1,227,302
27,600
727,812
88,703
299,816
75,167
695,295
98,500
2,049,784
48,500
1,237,720
34,289
335,346
54,614
849,248
32,556
567,777
Exar Corp.(a)
FEI Co.(a)
Intevac, Inc.(a)(b)
Kopin Corp.(a)
Kulicke & Soffa Industries, Inc.(a)
Microsemi Corp.(a)
MKS Instruments, Inc.(a)
Pericom Semiconductor Corp.(a)
Phototronics, Inc.(a)
Rudolph Technologies, Inc.(a)(b)
Skyworks Solutions, Inc.(a)(b)
213,281 1,226,366
Standard Microsystems Corp.(a)
29,548
902,396
18,057
599,673
30,369
413,322
71,754
3,830,228
Supertex, Inc.(a)
Ultratech Stepper, Inc.(a)
Varian Semiconductor Equipment Associates, Inc.(a)
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Veeco Instruments, Inc.(a)
40,636
792,402
27,298,453
Software 4.0%
Altiris, Inc.(a)
31,588
1,039,561
50,640
2,570,993
57,600
1,406,592
35,289
204,323
12,943
126,065
36,500
637,290
75,508
1,050,316
18,849
384,143
49,366
3,102,653
77,085
3,995,316
38,301
575,664
41,420
2,215,970
35,593
976,316
28,158
566,821
53,073
2,865,411
ANSYS, Inc.(a)(b)
Blackbaud, Inc.
Captaris, Inc.(a)
Catapult Communications Corp.(a)
Concur Technologies, Inc.(a)
Epicor Software Corp.(a)
EPIQ Systems, Inc.(a)
FactSet Research Systems, Inc.
Hyperion Solution Corp.(a)
JDA Software Group, Inc.(a)
Kronos, Inc.(a)
Manhattan Associates, Inc.(a)
Mapinfo Corp.(a)
MICROS Systems, Inc.(a)
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Napster, Inc.(a)
58,777
243,337
33,437
208,981
53,345
1,664,364
22,192
887,680
33,882
441,482
84,316
649,233
33,967
478,935
25,876
934,124
95,286
1,919,060
85,732
2,931,177
Phoenix Technologies, Ltd.(a)
Progress Software Corp.(a)
Quality Systems, Inc.(b)
Radiant Systems, Inc.(a)
Secure Computing Corp.(a)
Sonic Solutions(a)
SPSS, Inc.(a)
Take -Two Interactive Software, Inc.(a)(b)
THQ, Inc.(a)(b)
32,075,807
Specialty Retail 4.2%
Aaron Rents, Inc.
63,696
1,684,122
37,544
1,576,848
41,191
963,457
30,538
1,702,799
48,603
946,300
28,837
288,370
Brown Shoe Co., Inc.
Cato Corp. (The) (Class “A” Stock)
Children’s Place Retail Stores, Inc. (The)(a)(b)
Christopher & Banks Corp.
Cost Plus, Inc.(a)(b)
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Dress Barn, Inc.(a)
60,212
1,253,012
54,707
689,308
29,363
1,219,445
31,719
1,261,465
38,574
1,740,459
41,321
1,655,732
29,561
413,854
41,462
1,185,399
57,750
641,025
31,906
869,439
23,544
832,280
69,185
3,255,153
15,424
332,696
71,028
1,355,925
65,262
1,161,664
39,246
1,118,511
57,041
1,329,626
Finish Line, Inc. (The) (Class “A” Stock)
Genesco, Inc.(a)(b)
Group 1 Automotive, Inc.
Guitar Center, Inc.(a)(b)
Gymboree Corp. (The)(a)(b)
Haverty Furniture Cos., Inc.
Hibbett Sports, Inc.(a)
Hot Topic, Inc.(a)
Jo-Ann Stores, Inc.(a)(b)
Jos. A. Bank Clothiers, Inc.(a)(b)
Men’s Wearhouse, Inc. (The)
Midas, Inc.(a)
Pep Boys-Manny, Moe & Jack(b)
Select Comfort Corp.(a)(b)
Sonic Automotive, Inc.
Stage Stores, Inc.
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Stein Mart, Inc.
35,246
575,215
45,299
2,332,899
41,802
1,493,167
64,001
1,688,346
Tractor Supply Co.(a)(b)
Tween Brands, Inc.(a)
Zale Corp.(a)
33,566,516
Textiles, Apparel & Luxury Goods 1.9%
Ashworth, Inc.(a)
18,896
143,043
43,910
2,074,748
14,362
1,019,989
59,025
1,562,392
32,859
963,754
34,867
942,106
26,600
783,370
20,018
989,690
Crocs, Inc.(a)(b)
Deckers Outdoor Corp.(a)
Fossil, Inc.(a)(b)
Kellwood Co.
K-Swiss, Inc.
Movado Group, Inc.
Oxford Industries, Inc.
Quiksilver, Inc.(a)(b)
159,596 1,851,314
Skechers USA, Inc., (Class “A” Stock)(a)
35,741
1,199,825
47,655
733,410
18,600
713,682
Stride Rite Corp.
Unifirst Corp.
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Wolverine World Wide, Inc.
72,582
2,073,668
15,050,991
Thrifts & Mortgage Finance 1.7%
Anchor BanCorp Wisconsin, Inc.
23,759
673,568
78,835
896,354
59,866
656,131
41,770
885,942
80,412
1,018,820
43,300
738,698
35,821
473,912
25,465
1,643,510
21,724
1,234,575
50,687
605,710
30,796
550,325
88,473
613,118
36,601
1,513,085
16,000
662,560
97,951
938,371
Bank Mutual Corp.
BankAtlantic Bancorp, Inc. (Class “A” Stock)
BankUnited Financial Corp. (Class “A” Stock)(b)
Brookline Bancorp, Inc.
Corus Bankshares, Inc.(b)
Dime Community Bancshares
Downey Financial Corp.(b)
FirstFed Financial Corp.(a)(b)
Flagstar Bancorp, Inc.
Franklin Bank Corp.(a)(b)
Fremont General Corp.(b)
MAF Bancorp, Inc.
Triad Guaranty, Inc.(a)(b)
TrustCo Bank Corp.(b)
13,104,679
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Tobacco 0.1%
Alliance One International, Inc.(a)
114,746 1,059,106
Trading Companies & Distributors 0.5%
Applied Industrial Technologies, Inc.
49,354
1,211,147
31,536
735,104
5,440
206,067
32,031
1,635,824
Kaman Corp. (Class “A” Stock)
Lawson Products, Inc.
Watsco, Inc.
3,788,142
Water Utilites 0.1%
American States Water Co.
22,229
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819,583
Total long-term investments
(cost $508,479,862)
773,888,307
SHORT-TERM INVESTMENTS 26.7%
Affiliated Money Market Mutual Fund
Dryden Core Investment Fund - Taxable Money Market Series (cost $210,756,167; includes $194,311,996 of
cash collateral received for securities on loan)(c)(d)
210,756,167 210,756,167
Principal
Amount
(000)
U.S. Government Obligation
U.S. Treasury Bills (cost $989,907)(e)(f) 5.05%, 6/14/07
$1,000
990,084
TOTAL SHORT-TERM INVESTMENTS
(cost $211,746,074)
211,746,251
TOTAL INVESTMENTS 124.3%
(cost $720,225,936)
985,634,558
LIABILTIES IN EXCESS OF OTHER ASSETS(g) (24.3)%
(192,899,929)
NET ASSETS 100.0%
$792,734,629
The following abbreviation is used in the Portfolio descriptions:
ADR – American Depositary Receipt
(a) Non-income producing security.
(b) All or a portion of security is on loan. The aggregate market value of such securities is $186,738,373; cash collateral of $194,311,996
(included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.
(c) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.
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(d)
(e)
(f)
(g)
Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund-Taxable Money
Market Series.
Security segregated as collateral for futures contracts.
Rate quoted represents yield-to-maturity as of purchase date.
Liabilities in excess of other assets include net unrealized depreciation on financial futures as follows:
Open future contracts outstanding at March 31, 2007:
Number of
Contracts
Type
Expiration
Value at
Value at
Unrealized
Date
March 31, 2007
Trade Date
Depreciation
$20,230,400
$20,511,728
$(281,328 )
Long Position:
50
Russell 2000
June 07
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SP AGGRESSIVE GROWTH ASSET ALLOCATION PORTFOLIO
SCHEDULE OF INVESTMENTS
March 31, 2007 (Unaudited)
Shares
Value
LONG-TERM INVESTMENTS – 99.5%
Affiliated Mutual Funds
American Skandia Trust-Marsico Capital Growth Portfolio(a)
1,775,540
$36,522,848
1,732,164
36,981,694
190
1,899
66,358
3,241,574
2,747,378
23,242,816
5,047,763
67,236,201
1,962,859
23,318,764
642,922
4,989,078
344,784
4,820,075
The Prudential Series Fund ---
Jennison Portfolio (Class I)(a)
Money Market Portfolio
Natural Resources Portfolio (Class I)(a)
SP International Growth Portfolio (Class I)(a)
SP Large Cap Value Portfolio(a)
SP International Value Portfolio(a)
SP Small Cap Growth Portfolio(a)
SP Small Cap Value Portfolio(a)
TOTAL LONG-TERM INVESTMENTS
(cost $158,499,762)
200,354,949
SHORT-TERM INVESTMENT – 0.4%
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Affiliated Money Market Mutual Fund
Dryden Core Investment Fund - Taxable Money Market Series
783,709
783,709
(cost $783,709)
TOTAL INVESTMENTS – 99.9%
(cost $159,283,471)(b)
201,138,658
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.1%
288,383
NET ASSETS – 100.0%
$201,427,041
(a)
(b)
Non-income producing security.
Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the underlying portfolios in which the Portfolio
invests.
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SP AIM CORE EQUITY PORTFOLIO
Schedule of Invstments
March 31, 2007 (Unuadited)
Shares
Value
LONG-TERM INVESTMENTS — 85.9%
COMMON STOCKS
Aerospace — 2.2%
Northrop Grumman Corp.
6,106
$453,187
5,914
384,410
United Technologies Corp.
837,597
Automobiles — 1.0%
Renault SA (France)
3,112
363,958
13,117
732,978
35,584
504,872
15,943
362,544
15,465
273,266
Biotechnology — 1.9%
Amgen, Inc.*
Commercial Banks — 1.3%
Barclays PLC (United Kingdom)
Communication Equipment — 1.7%
Corning, Inc.*
Motorola, Inc.
635,810
Computer Services & Software — 6.5%
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Cisco Systems, Inc.*
24,185
617,443
26,493
366,928
31,057
865,559
34,951
604,652
EMC Corp.*
Microsoft Corp.
Symantec Corp.*
2,454,582
Computers — 1.0%
International Business Machines Corp.
3,791
357,340
13,300
309,890
18,029
671,760
19,869
970,601
Computers & Peripherals — 0.8%
Seagate Technology (Cayman Islands)
Consumer Products & Services — 4.4%
Avon Products, Inc.
Estee Lauder Cos., Inc.(Class A Stock)
1,642,361
Diversified Manufacturing Operations — 4.2%
General Electric Co.
17,425
616,148
30,557
964,073
Tyco International Ltd.
1,580,221
Electronic Components — 2.1%
Hitachi Ltd. (Japan)
55,000
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426,595
Koninklijke (Royal) Philips Electronics NV (Netherlands)
10,044
383,599
810,194
Electronic Equipment & Instruments — 0.5%
Agilent Technologies, Inc.*
5,953
200,557
12,514
431,608
1,800
523,167
7,287
374,114
1,560
96,814
4,429
181,146
7,392
439,207
Electronics — 1.1%
Analog Devices, Inc.
Entertainment & Leisure — 1.4%
Nintendo Co. Ltd. (Japan)
Financial Services — 2.9%
Citigroup, Inc.
Moody’s Corp.
SLM Corp.
UBS AG (Switzerland)
1,091,281
Food & Beverage — 6.3%
Cadbury Schweppes PLC (United Kingdom)
84,993
1,090,490
13,560
650,880
21,699
631,906
Coca-Cola Co.
Unilever NV (Netherlands)*
2,373,276
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Industrial Conglomerates — 1.4%
3M Co.
6,999
534,934
7
762,930
7,640
394,759
13,497
471,585
11,406
334,082
18,379
401,030
7,498
524,560
Insurance — 7.7%
Berkshire Hathaway, Inc.(Class A Stock) *
Chubb Corp. (The)
Genworth Financial, Inc.(Class A Stock)
Marsh & McLennan Cos., Inc.
Progressive Corp. (The)
XL Capital Ltd.(Class A Stock)
2,888,946
Iron / Steel — 1.4%
Tenaris SA, ADR (Luxembourg)
11,590
531,981
5,694
381,669
4,612
259,609
5,360
337,037
16,130
372,926
Machinery & Equipment — 1.0%
Caterpillar, Inc.
Media — 2.6%
Gannett Co., Inc.
McGraw-Hill Cos., Inc.
News Corp.(Class A Stock)
969,572
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Office Equipment — 1.3%
Xerox Corp.*
28,914
488,357
9,558
721,151
9,307
643,114
12,422
596,877
5,214
365,319
5,063
413,647
12,322
555,722
9,100
498,771
Oil, Gas & Consumable Fuels — 10.1%
Exxon Mobil Corp.
Schlumberger Ltd.
Smith International, Inc.
Total SA(Class B Stock) (France) *
Transocean, Inc. (Cayman Islands)*
Weatherford International Ltd. (Bermuda)*
XTO Energy, Inc.
3,794,601
Pharmaceuticals — 7.4%
Bristol-Myers Squibb Co.*
14,106
391,583
13,228
730,979
9,128
403,184
28,663
724,027
14,054
526,041
GlaxoSmithKline PLC, ADR (United Kingdom)
Merck & Co., Inc.
Pfizer, Inc.
Teva Pharmaceutical Industries Ltd., ADR (Israel)
2,775,814
Pipelines
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Dynegy, Inc. (Class A Stock)*
112
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1,037
Printing & Publishing — 0.5%
Washington Post Co. (The)
250
190,875
6,072
616,612
19,304
332,222
15,863
744,768
Railroads — 1.6%
Union Pacific Corp.
Retail — 2.9%
Gap, Inc. (The)
Wal-Mart Stores, Inc.
1,076,990
Software — 1.0%
Automatic Data Processing, Inc.
8,133
393,637
19,154
755,242
16,825
385,629
Telecommunications — 3.0%
AT&T, Inc.
Nokia Corp., ADR (Finland)
1,140,871
Telecommunications Wireless — 1.1%
SK Telecom Co. Ltd., ADR (South Korea)
16,897
395,728
2,230
156,323
Transportation — 0.4%
United Parcel Service, Inc. (Class B Stock)
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Utilities——Electrical Utilities — 1.9%
FPL Group, Inc.
11,964
731,838
14,759
507,857
Waste Management — 1.3%
Waste Management, Inc.
TOTAL LONG-TERM INVESTMENTS
(cost $27,400,301)
32,427,334
SHORT-TERM INVESTMENT — 13.9%
AFFILIATED MONEY MARKET MUTUAL FUND
Dryden Core Investment Fund Taxable Money Market Series
(cost $5,257,002)(w)
5,257,002
5,257,002
Total Investments — 99.8%
(cost $32,657,303)
37,684,336
Other Assets in Excess of Liabilities — 0.2%
91,488
Net Assets — 100.0%
$37,775,824
The following abbreviations are used in portfolio descriptions:
ADR
American Depositary Receipt
*
Non-income producing security.
(w)
Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund-Taxable
Money Market Series.
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SP BALANCED ASSET ALLOCATION PORTFOLIO
SCHEDULE OF INVESTMENTS
March 31, 2007 (Unaudited)
Shares
Value
LONG-TERM INVESTMENTS – 99.4%
Affiliated Mutual Funds
American Skandia Trust-Marsico Capital Growth Portfolio(a)
8,205,810
$168,793,522
7,988,027
170,544,373
1,110,622
11,106,223
286,389
13,990,091
23,315,792
310,566,352
9,121,490
108,363,298
1,494,588
15,573,610
38,405,913
432,066,519
2,902,982
22,527,143
1,593,614
22,278,723
12,701,963
107,458,603
The Prudential Series Fund ---
Jennison Portfolio (Class I)
Money Market Portfolio
Natural Resources Portfolio (Class I)(a)
SP Large Cap Value Portfolio(a)
SP International Value Portfolio(a)
SP PIMCO High Yield Portfolio
SP PIMCO Total Return Portfolio
SP Small Cap Growth Portfolio(a)
SP Small Cap Value Portfolio(a)
SP International Growth Portfolio (Class I)(a)
TOTAL LONG-TERM INVESTMENTS
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(cost $1,191,760,238)
1,383,268,457
SHORT-TERM INVESTMENT – 0.5%
Affiliated Money Market Mutual Fund
Dryden Core Investment Fund - Taxable Money Market Series
(cost $6,395,574)
6,395,574
6,395,574
TOTAL INVESTMENTS – 99.9%
(cost $1,198,155,812)(b)
1,389,664,031
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.1%
1,345,249
NET ASSETS – 100.0%
$1,391,009,280
(a)
(b)
Non-income producing security.
Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the underlying portfolios in which the Portfolio
invests.
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SP CONSERVATIVE ASSET ALLOCATION PORTFOLIO
SCHEDULE OF INVESTMENTS
March 31, 2007 (Unaudited)
Shares
Value
LONG-TERM INVESTMENTS – 99.5%
Affiliated Mutual Funds
American Skandia Trust-Marsico Capital Growth Portfolio(a)
2,617,436
$53,840,649
2,512,328
53,638,202
988,363
9,883,632
89,140
4,354,467
7,371,974
98,194,691
2,889,143
34,323,017
1,052,426
10,966,276
27,935,689
314,276,501
904,916
7,022,146
481,040
6,724,942
4,018,065
33,992,832
The Prudential Series Fund---
Jennison Portfolio (Class I)
Money Market Portfolio
Natural Resources Portfolio (Class I)
SP Large Cap Value Portfolio(a)
SP International Value Portfolio(a)
SP PIMCO High Yield Portfolio
SP PIMCO Total Return Portfolio
SP Small Cap Growth Portfolio(a)
SP Small Cap Value Portfolio(a)
SP International Growth Portfolio (Class I)(a)
TOTAL LONG-TERM INVESTMENTS
(cost $569,315,611)
627,217,355
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SHORT-TERM INVESTMENT – 0.4%
Affiliated Money Market Mutual Fund
Dryden Core Investment Fund - Taxable Money Market Series
2,747,699
2,747,699
(cost $2,747,699)
TOTAL INVESTMENTS – 99.9%
(cost $572,063,310)(b)
629,965,054
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.1%
569,563
NET ASSETS – 100.0%
$630,534,617
(a)
(b)
Non-income producing security.
Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the underlying portfolios in which the Portfolio
invests.
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SP DAVIS VALUE PORTFOLIO
Schedule of Investments
March 31, 2007 (Unaudited)
Shares
Value
LONG-TERM INVESTMENTS — 98.2%
COMMON STOCKS
Automobile Manufacturers — 0.3%
Carmax, Inc.*(a)
35,600
$873,624
Beverages — 0.9%
Heineken Holding NV (Netherlands)
65,450
2,897,465
147,200
3,846,336
59,117
1,492,704
71,400
3,080,196
140,000
3,249,400
52,200
2,095,308
Business Services — 1.2%
Iron Mountain, Inc.*(a)
Cable Television — 0.5%
Virgin Media, Inc. ( United Kingdom )
Commercial Banks — 1.0%
Mellon Financial Corp.
Computers — 1.7%
Dell, Inc.*
Hewlett-Packard Co.
5,344,708
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Construction — 0.3%
Hunter Douglas NV (Netherlands)
10,453
921,597
20,700
908,730
212,000
6,699,200
36,700
1,367,442
19,100
405,302
433,652
13,681,721
39,200
873,991
14,900
850,892
Consumer Services — 0.3%
Apollo Group, Inc.(Class A Stock) *(a)
Containers & Packaging — 2.1%
Sealed Air Corp.(a)
Cosmetics & Toiletries — 0.4%
Avon Products, Inc.
Diversified Financial Services — 0.1%
E*Trade Financial Corp.*
Diversified Manufacturing Operations — 4.2%
Tyco International Ltd.
Diversified Metals — 0.5%
BHP Billiton PLC (United Kingdom)
Rio Tinto PLC (United Kingdom)
1,724,883
Electronic Equipment & Instruments — 0.1%
Agilent Technologies, Inc.*
8,500
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286,365
Entertainment & Leisure — 1.6%
Harley-Davidson, Inc.
88,600
5,205,250
490,362
8,583,289
131,407
7,233,955
Financial——Bank & Trust — 4.9%
HSBC Holdings PLC (United Kingdom)
Wachovia Corp.
15,817,244
Financial Services — 10.6%
American Express Co.
242,200
13,660,080
66,760
3,814,666
53,500
1,785,830
144,800
3,046,592
62,300
3,866,338
Ameriprise Financial, Inc.
Commerce Bancorp, Inc.(a)
H&R Block, Inc.
Moody’s Corp.(a)
Financial Services (cont’’d.)
State Street Corp.
9,300
$602,175
Wells Fargo & Co.
220,200
7,581,486
34,357,167
Foods — 1.9%
Diageo PLC, ADR (United Kingdom)
50,800
4,112,260
35,200
1,924,032
Hershey Co.(a)
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6,036,292
Healthcare Providers & Services — 2.4%
Cardinal Health, Inc.
43,100
3,144,145
16,600
1,339,952
62,100
3,289,437
Express Scripts, Inc.*
UnitedHealth Group, Inc.
7,773,534
Household Products — 1.0%
Procter & Gamble Co.
53,600
3,385,376
14,500
1,252,655
197,100
13,249,062
57,310
2,175,488
102
11,116,980
16,000
826,720
156,800
7,123,424
534
258,899
8,800
325,594
18,100
1,083,647
272,000
5,935,040
Insurance — 14.5%
Ambac Financial Group, Inc.
American International Group, Inc.
AON Corp.(a)
Berkshire Hathaway, Inc.(Class A Stock) *
Chubb Corp.
Loews Corp.
Markel Corp.*
Millea Holdings, Inc. (Japan)
Principal Financial Group, Inc.
Progressive Corp.
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Sun Life Financial, Inc. (Canada)
11,400
517,560
46,475
3,026,452
Transatlantic Holdings, Inc.
46,891,521
Internet & Catalog Retail — 0.4%
Liberty Media Corp.- Interactive (Class A Stock)*
47,925
1,141,574
20,550
476,349
20,050
756,085
Internet Services — 0.4%
Expedia, Inc.*
IAC/InterActive Corp.*
1,232,434
Internet Software & Services — 0.6%
Amazon.com, Inc.*(a)
52,300
2,081,017
125,700
6,453,438
267,616
12,947,262
28,400
2,236,784
Investment Firms — 6.7%
Citigroup, Inc.
JPMorgan Chase & Co.
Morgan Stanley
21,637,484
Materials — 1.0%
Martin Marietta Materials, Inc.
24,800
Media — 6.6%
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3,352,960
Comcast Corp.(Special Class A Stock) *
379,000
9,653,130
13,400
754,286
37,700
2,902,828
Gannett Co., Inc.
Lagardere SCA (France)
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Media (cont’’d.)
Liberty Media Corp.- Capital (Class A Stock)*
9,825
$1,086,547
News Corp. (Class A Stock)
257,600
5,955,712
12,600
957,474
WPP Group PLC, ADR (United Kingdom)
21,309,977
Metals & Mining — 0.4%
China Coal Energy Co. (Hong Kong)*
1,140,700
1,219,024
25,100
2,923,648
4,700
846,752
24,600
1,357,674
198,140
13,542,869
100,300
6,942,766
85,570
6,104,564
137,000
6,755,470
31,600
2,581,720
Mining — 0.9%
Vulcan Materials Co.
Multi-Line Retail — 0.3%
Sears Holdings Corp.*
Oil, Gas & Consumable Fuels — 11.5%
Canadian Natural Resources Ltd. (Canada)
ConocoPhillips
Devon Energy Corp.
EOG Resources, Inc.(a)
Occidental Petroleum Corp.
Transocean, Inc. (Cayman Islands)*
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37,285,063
Retail & Merchandising — 7.3%
Bed Bath & Beyond, Inc.*(a)
45,400
1,823,718
219,900
11,839,416
121,910
4,162,007
121,700
5,713,815
Costco Wholesale Corp.
CVS/Caremark Corp.
Wal-Mart Stores, Inc.
23,538,956
Software — 3.0%
Dun & Bradstreet Corp.
35,100
3,201,120
232,900
6,490,923
Microsoft Corp.
9,692,043
Specialty Retail — 0.5%
Lowe’s Co., Inc.
52,000
1,637,480
37,100
850,332
66,000
1,545,720
182,500
3,460,200
Telecommunications Wireless — 1.8%
Nokia Corp. (Class A Stock), ADR (Finland)
SK Telecom Co. Ltd., ADR (South Korea)
Sprint Nextel Corp.
5,856,252
Tobacco — 4.4%
Altria Group, Inc.
160,400
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14,084,724
Transportation — 1.1%
Cosco Pacific Ltd. (Hong Kong)
409,200
1,013,901
14,945
1,229,274
20,800
1,458,080
Kuehne & Nagel International AG (Switzerland)
United Parcel Service, Inc.(Class B Stock)
3,701,255
Transportation/Shipping — 0.8%
China Merchants Holdings International Co. Ltd. (Hong Kong)
576,708
2,428,322
TOTAL LONG-TERM INVESTMENTS
(cost $221,015,535)
316,965,622
SHORT-TERM INVESTMENT — 9.1%
AFFILIATED MONEY MARKET MUTUAL FUND
Dryden Core Investment Fund—Taxable Money Market Series (cost $29,567,015; includes $24,899,921
of cash collateral for securities on loan) (b)(w)
29,567,015
29,567,015
TOTAL INVESTMENTS — 107.3%
(cost $250,582,550)
346,532,637
Liabilities in excess of other assets — (7.3)%
(23,712,219 )
NET ASSETS — 100.0%
$322,820,418
The following abbreviations are used in portfolio descriptions:
ADR
American Depositary Receipt
*
Non-income producing security.
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(a)
All or a portion of security is on loan. The aggregate market value of such securities is $23,948,717; cash collateral of $24,899,921
(included with liabilities) was received with which the portfolio purchased highly liquid short-term investments.
(b)
Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.
(w)
Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund - Taxable
Money Market Series.
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SP GROWTH ASSET ALLOCATION PORTFOLIO
SCHEDULE OF INVESTMENTS
March 31, 2007 (Unaudited)
Shares
Value
LONG-TERM INVESTMENTS – 99.5%
Affiliated Mutual Funds
American Skandia Trust-Marsico Capital Growth Portfolio(a)
9,722,697
$199,995,878
9,311,647
198,803,674
392
3,917
356,080
17,394,507
27,453,802
365,684,645
10,725,251
127,415,981
620,795
6,468,688
14,274,010
160,582,609
3,464,632
26,885,547
1,902,047
26,590,617
15,041,462
127,250,772
The Prudential Series Fund ---
Jennison Portfolio (Class I)
Money Market Portfolio
Natural Resources Portfolio (Class I) (a)
SP Large Cap Value Portfolio (a)
SP International Value Portfolio (a)
SP PIMCO High Yield Portfolio
SP PIMCO Total Return Portfolio
SP Small Cap Growth Portfolio (a)
SP Small Cap Value Portfolio (a)
SP International Growth Portfolio (Class I) (a)
TOTAL LONG-TERM INVESTMENTS
(cost $1,034,848,582)
1,257,076,835
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SHORT-TERM INVESTMENT – 0.4%
Affiliated Money Market Mutual Fund
Dryden Core Investment Fund - Taxable Money Market Series
(cost $5,216,948)
5,216,948
5,216,948
TOTAL INVESTMENTS – 99.9%
(cost $1,040,065,530)(b)
1,262,293,783
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.1%
1,747,228
NET ASSETS – 100.0%
$1,264,041,011
(a)
(b)
Non-income producing security.
Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the underlying portfolios in which the Portfolio
invests.
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SP INTERNATIONAL GROWTH PORTFOLIO
Schedule of Investments
March 31, 2007 (Unaudited)
Shares
Value
LONG-TERM INVESTMENTS — 98.0%
COMMON STOCKS
Australia — 5.4%
Allco Finance Group Ltd.
151,654
$1,374,278
23,448
1,562,707
176,896
11,843,734
369,538
1,148,135
134,700
3,437,414
319,200
7,022,224
CSL Ltd.
Macquarie Bank Ltd.
Macquarie Infrastructure Group
QBE Insurance Group Ltd.
Woolworths Ltd.
26,388,492
Austria — 2.0%
Erste Bank der
Oesterreichischen
Sparkassen AG
98,538
7,674,115
16,300
2,294,572
Raiffeisen International Bank
Holding AG
9,968,687
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Belgium — 1.1%
InBev NV
77,900
5,624,567
153,000
5,659,470
62,500
788,720
28,400
864,212
99,500
1,120,419
96,300
2,156,619
2,445
243,302
30,389
2,657,822
Brazil — 2.7%
Cia Vale do Rio Doce, ADR
Gafisa SA
Gol Linhas Aereas Inteligentes
SA, ADR(a)
Natura Cosmeticos SA
Petroleo Brasileiro SA
Petroleo Brasileiro SA, ADR
Unibanco - Uniao de Bancos
Brasileiros, ADR
13,490,564
Canada — 2.3%
Canadian National Railway Co.
33,520
1,479,573
146,900
5,051,477
106,706
4,727,598
Manulife Financial Corp.
Shoppers Drug Mart Corp.
11,258,648
Chile — 0.4%
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Cencosud SA, ADR, 144A
33,200
1,704,206
366,000
1,541,102
23,000
1,804,580
2,625,000
1,471,492
China — 1.0%
China Merchants Holdings International Co. Ltd.
Focus Media Holding Ltd., ADR(a)*
Industrial & Commercial Bank of China (Class H Stock)*
4,817,174
Colombia — 0.3%
Bancolombia SA, ADR
46,400
1,284,816
54,410
5,199,764
305,591
12,956,970
41,700
3,174,613
15,337
1,499,096
3,989
334,428
30,700
3,526,897
20,000
3,014,467
55,800
9,116,259
12,900
1,342,921
France — 13.7%
Accor SA
Axa SA
Cap Gemini SA
Cie de Saint Gobain
Electricite de France
Essilor International SA
Eurazeo
Groupe Danone
Iliad SA
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France (cont’’d.)
JC Decaux SA
59,907
$1,767,784
90,900
9,924,334
61,000
6,767,456
119,808
8,908,098
L’Oreal SA
LVMH Moet Hennessy Louis
Vuitton SA
Veolia Environment
67,533,087
Germany — 2.7%
Continental AG
43,584
5,633,508
8,315
895,824
63,900
6,830,545
Linde AG
Siemens AG
13,359,877
Greece — 0.8%
National Bank of Greece SA
71,976
3,817,106
487,500
4,432,952
16,438
1,440,462
527,800
6,190,935
381,000
956,706
Hong Kong — 4.3%
China Mobile Ltd
CNOOC Ltd., ADR(a)
Esprit Holdings Ltd.
Hopson Development Holdings Ltd.
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Li & Fung Ltd.
1,408,400
4,425,190
125,537
2,026,167
620,000
1,534,626
Melco PBL Entertainment
(Macau) Ltd., ADR(a)*
Shangri La Asia Ltd.
21,007,038
India — 1.6%
ICICI Bank Ltd., ADR(a)
46,188
1,697,409
122,500
6,155,625
Infosys Technologies Ltd., ADR(a)
7,853,034
Indonesia — 0.9%
Bank Rakyat Indonesia
2,823,500
1,562,595
2,432,000
2,625,227
PT Telekomunikasi Indonesia
4,187,822
Ireland — 1.0%
Anglo Irish Bank Corp. PLC
185,100
3,956,238
42,000
976,235
IAWS Group PLC
4,932,473
Italy — 3.5%
Intesa Sanpaolo SpA
695,793
5,284,043
182,800
5,828,873
Luxottica Group SpA
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Saipem SpA
211,800
6,167,916
17,280,832
Japan — 13.6%
Advantest Corp.
30,700
1,362,534
80,400
2,360,692
262,000
2,114,409
129,000
3,262,220
47,200
1,642,227
187,400
6,965,479
34,500
3,211,685
20,500
935,930
2,459
2,065,860
880
940,937
15,140
3,416,264
Aeon Mall Co. Ltd.
Bank of Fukuoka Ltd. (The)
Chugai Pharmaceutical Co. Ltd.
Daikin Industries Ltd.
Denso Corp.
Fanuc Ltd.
Honeys Co. Ltd.
Jupiter Telecommunications Co. Ltd.*
K.K. DaVinci Advisors*
Keyence Corp.
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Japan (cont’’d.)
Komatsu Ltd.
161,400
$3,396,741
382,000
2,321,045
200,000
1,972,166
259
1,668,203
18,400
5,347,929
45,000
788,569
31,200
8,128,310
51,000
3,111,762
171,000
2,228,921
67,700
4,337,534
21,520
2,005,173
118,700
3,324,084
Marubeni Corp.
Mitsui Trust Holdings, Inc.
Mizuho Financial Group, Inc.
Nintendo Co. Ltd.
Nippon Electric Glass Co. Ltd.
ORIX Corp.
Shin Etsu Chemical Co. Ltd.
Suruga Bank Ltd.
Toyota Motor Corp.
Yamada Denki Co. Ltd.
Yamaha Motor Co. Ltd.
66,908,674
Mexico — 3.9%
America Movil SA de CV, Series L
2,135,700
5,098,244
62,299
2,977,269
44,316
1,451,349
America Movil SA de CV, Series L, ADR
Cemex SA de CV, ADR*
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Fomento Economico Mexicano SAB de CV, ADR
14,326
1,581,447
80,590
2,401,582
1,328,200
5,671,014
Grupo Televisia SA, ADR
Wal-Mart de Mexico SA de CV, Series V
19,180,905
Netherlands — 1.7%
Koninklijke Numico NV
45,200
2,331,279
42,300
3,280,752
10,175
703,092
44,200
1,801,443
Randstad Holding NV
Schlumberger Ltd.
TomTom NV*
8,116,566
Norway — 0.3%
Acergy SA*
79,600
1,699,176
1,999,000
10,540,817
69,900
1,691,012
115,700
7,191,548
Singapore — 2.1%
Capitaland Ltd.
South Africa — 0.3%
Naspers Ltd. (Class N Stock)
Spain — 1.5%
Industria de Diseno Textil SA
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Sweden — 0.9%
Ericsson, L.M. Telefonaktiebolaget ( Class B Stock)
953,000
3,507,490
9,750
821,017
Volvo AB (Class B Stock)
4,328,507
Switzerland — 11.7%
ABB Ltd.
532,416
9,113,486
3,216
749,646
51,100
2,228,778
1,040
1,600,461
21,843
2,187,626
35,100
2,887,088
32,391
3,113,417
32,227
12,551,066
6,000
2,187,384
Actelion Ltd.*
EFG International
Geberit AG
Holcim Ltd.
Kuehne & Nagel International AG
Lonza Group AG
Nestle SA
Nobel Biocare Holding AG
Shares
Value
COMMON STOCKS (Continued)
Switzerland (cont’’d.)
Roche Holding AG
53,164
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$9,406,460
SGS Societe Generale
2,270
2,710,587
24,255
2,215,615
16,345
3,127,361
61,819
3,673,071
Swiss Re
Syngenta AG*
UBS AG
57,752,046
Taiwan — 0.8%
Hon Hai Precision Industry Co. Ltd.
602,929
4,044,791
407,013
3,684,318
558,400
8,054,533
130,530
1,448,707
53,788
1,645,897
66,200
390,814
298,500
4,009,018
248,900
1,355,512
109,559
2,219,552
402,900
8,301,086
640,306
6,993,129
United Kingdom — 17.5%
BAE Systems PLC
BG Group PLC*
British Sky Broadcasting Group PLC
Cairn Energy PLC*
Cairn Energy PLC (Class B Stock)
Capita Group PLC
Carphone Warehouse Group
Diageo PLC
HBOS PLC
Man Group PLC
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Northern Rock PLC
313,727
7,068,843
198,768
10,349,689
740,200
7,199,241
43,819,840
88,387
71,800
1,197,444
82,118
3,206,055
1,795,717
15,698,433
119,600
858,455
80,600
2,111,077
Reckitt Benckiser PLC
Rolls-Royce Group PLC*
Rolls-Royce Group PLC (Class B Stock)
Rotork PLC
Royal Bank of Scotland Group PLC
Tesco PLC
Tullow Oil PLC
Vedanta Resources PLC
85,880,190
TOTAL LONG-TERM INVESTMENTS
(cost $385,892,823)
481,842,655
SHORT-TERM INVESTMENT — 4.0%
AFFILIATED MONEY MARKET MUTUAL FUND
Dryden Core Investment Fund - Taxable Money Market Series (cost $19,806,957; includes $12,426,959 of
cash collateral for securities on loan) (b)(w)
19,806,957
19,806,957
TOTAL INVESTMENTS — 102.0%
(cost $405,699,780)
501,649,612
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Liabilities in excess of other assets — (2.0)%
(9,653,149 )
NET ASSETS — 100.0%
$491,996,463
The following abbreviations are used in portfolio descriptions:
144A
Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to
qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
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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 is $11,830,177; cash collateral of $12,426,959
(included with liabilities) was received with which the portfolio purchased highly liquid short-term investments.
(b)
Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.
(w) Prudential Investments LLC, manager of the Portfolio also serves as manager of the Dryden Core Investment Fund-Taxable Money
Market Series.
The industry classification of long-term portfolio holdings, short-term investments and liabilities in excess of other assets shown as a
percentage of net assets as of March 31, 2007 were as follows:
Food
8.3
%
Financial Services
7.1
Financial - Bank & Trust
6.9
Retail & Merchandising
5.9
Real Estate
5.5
Insurance
4.7
Oil, Gas & Consumable Fuels
4.0
Affiliated Money Market Mutual Fund (including 2.5% of
collateral received for securities on loan)
4.0
Telecommunications
3.8
Pharmaceuticals
3.1
Commercial Banks
2.6
Automotive Parts
2.5
Automobile Manufacturers
2.4
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Medical Supplies & Equipment
2.3
Cosmetics & Toiletries
2.2
Banks
2.2
Oil & Gas
2.2
Consumer Products & Services
2.1
Commercial Services
2.1
Beverages
1.9
Chemicals
1.8
Water
1.8
Computer Services & Software
1.7
Entertainment & Leisure
1.5
Electronic Components
1.4
Diversified Manufacturing
1.4
Diversified Operations
1.4
Lodging
1.4
Metals & Mining
1.2
Building Materials
1.0
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Computer Hardware
0.8
Conglomerates
0.8
Broadcasting
0.8
Aerospace
0.8
Advertising
0.8
Media
0.7
Machinery - Construction & Mining
0.7
Leisure Equipment
0.7
Computers
0.6
Transportation
0.6
Electronic Components & Equipment
0.5
Metals
0.4
Building Products
0.3
Diversified Resources
0.3
Construction
0.3
Diversified Financial Services
0.3
Retail
0.3
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Internet
0.3
Instruments - Controls
0.2
Business Services
0.2
Clothing & Apparel
0.2
Engineering/construction
0.2
Airlines
0.2
Oil Comp-integrated
0.2
Diversified Machinery
0.2
Building & Construction
0.2
102.0
Liabilities in excess of other assets
(2.0 )
100.0%
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SP INTERNATIONAL VALUE PORTFOLIO
Schedule of Investments
March 31, 2007 (Unaudited)
Shares
Value
LONG-TERM INVESTMENTS — 99.1%
COMMON STOCKS
Australia — 2.0%
AWB Ltd.
310,900
$893,000
Bluescope Steel Ltd.
260,300
2,211,394
51,400
2,090,202
253,300
698,863
393,600
1,671,926
72,300
593,755
402,800
1,518,721
46,500
593,694
Commonwealth Bank of Australia
CSR Ltd.
Qantas Airways Ltd.
Santos Ltd.
Telestra Corp. Ltd.
Zinifex Ltd.
10,271,555
Austria — 0.5%
Boehler-Uddeholm AG*
14,200
1,365,767
18,800
1,363,684
voestalpine AG
2,729,451
Belgium — 0.6%
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Dexia
24,800
740,101
53,200
2,429,778
Fortis
3,169,879
Brazil — 1.0%
Empresa Brasileira de Aeronautica SA, ADR
107,100
4,911,606
121,700
6,720,117
37,200
5,949,396
190,600
6,238,869
Canada — 3.7%
Canadian Natural Resources Ltd.
Potash Corp. of Saskatchewan*
Rogers Communications, Inc. (Class B Stock)
18,908,382
China — 2.1%
China Merchants Bank Co. Ltd.
2,526,500
5,096,006
486,594
2,048,882
4,276,000
3,617,375
China Merchants Holdings International Co. Ltd.
China Petroleum and Chemical Corp. (Class H Stock)
10,762,263
Denmark — 1.5%
Danske Bank SA
28,900
1,344,548
70,450
6,428,945
Novo Nordisk SA (Class B Stock)
7,773,493
Finland — 2.3%
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Nokia Oyj
401,200
9,234,262
29,600
1,379,585
73,200
1,271,190
Rautaruukki Oyj
Stora Enso Oyj
11,885,037
France — 9.7%
Air Liquide
22,686
5,530,658
130
7,454
31,800
3,321,500
4,300
906,711
8,000
931,672
25,300
2,793,987
62,100
2,421,484
221,467
5,848,866
143,899
4,246,288
65,635
7,281,672
30,000
729,772
19,800
1,395,488
11,000
1,286,485
Arkema*
BNP Paribas SA
Ciments Francais SA*
CNP Assurances SA
Compagnie Generale des Establissements Michelin (Class B Stock)
Credit Agricole SA
France Telecom SA
JC Decaux SA
LVMH Moet Hennessy Louis Vuitton SA
Natixis SA
PSA Peugeot Citroen SA
Renault SA
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Sanofi-Aventis
69,600
6,052,659
9,100
1,155,202
7,000
1,209,728
16,200
940,504
17,200
1,205,119
23,100
1,354,975
29,500
1,198,774
Schneider Electric SA
Societe Generale
Thales SA
Total SA
Valeo SA
Vivendi
49,818,998
Germany — 5.9%
Altana AG
12,200
792,375
69,400
7,813,399
17,100
1,092,806
15,600
1,279,526
18,400
2,478,601
51,300
848,387
68,100
9,259,031
10,600
1,233,332
46,900
2,320,597
BASF AG
Bayer AG
Daimler-Chrysler AG
Deutsche Bank AG
Deutsche Telekom AG
E.ON AG
MAN AG
ThyssenKrup AG
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TUI AG
35,200
870,372
15,000
2,254,238
Volkswagen AG
30,242,664
Greece — 1.1%
OPAP SA
146,593
5,624,108
1,011,000
709,065
851,440
7,742,345
238,000
880,297
431,900
4,209,277
119,500
613,291
169,392
1,573,925
525,000
82,645
Hong Kong — 3.1%
Chaoda Modern Agriculture Holdings Ltd.
China Mobile Ltd.
CITIC Pacific Ltd.
Hong Kong Exchanges and Clearing Ltd.
HongKong Electric Holdings
Orient Overseas International Ltd.
Solomon Systech International Ltd.
15,810,845
Ireland — 1.4%
Allied Irish Banks PLC
200,214
5,924,124
45,500
1,249,048
Irish Life & Permanent PLC
7,173,172
Israel — 3.8%
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Amdocs Ltd.*
251,100
9,160,128
278,800
10,435,484
Teva Pharmaceutical Industries Ltd., ADR
19,595,612
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Italy — 2.5%
Banche Popolari Unite SpA
26,200
$775,231
Banco Ambrosiano Veneto SpA
262,484
1,993,376
37,000
1,149,160
251,638
8,188,597
17,000
780,521
Banco Popolare di Verona e Novara Scrl
Eni SpA
Fondiaria SAI SpA
12,886,885
Japan — 15.2%
Alpine Electronics, Inc.
45,300
814,969
51,800
606,619
79,800
1,279,888
122,000
888,289
167,600
1,250,173
5,600
80,407
149,000
624,627
217,000
1,016,497
53,500
4,980,440
241,100
1,252,149
ALPS Electric Co. Ltd.
Asahi Breweries Ltd.
Asahi Kasei Corp.
Bank of Yokohama Ltd. (The)
Capcom Co. Ltd.
Cosmo Oil Co. Ltd.
Denki Kagaku Kogyo Kabushiki Kiasha
Fanuc Ltd.
Fuji Heavy Industries Ltd.
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Hitachi Ltd.
165,000
1,279,786
40,800
1,083,707
9,100
46,797
74,200
2,587,933
39,900
572,225
78,000
634,776
88,500
2,545,952
152,000
421,792
54,000
499,491
28,200
801,680
124,600
757,074
126,000
1,072,454
33,000
770,112
17,210
5,002,058
243,000
1,971,385
400
2,114,732
700
2,488,968
Hokkaido Electric Power Co., Inc.
Hokuetsu Paper Mills Ltd.
Honda Motor Co. Ltd.
Hosiden Corp.
Kaken Pharmaceutical Co. Ltd.
Kansai Electric Power Co., Inc. (The)
Kurabo Industries Ltd.
Kyowa Hakko Kogyo Co. Ltd.
Kyushu Electric Power Co., Inc.
Marubeni Corp.
Mitsubishi Chemical Holdings Corp.
Nihon Kohden Corp.
Nintendo Co. Ltd.
Nippon Oil Corp.
Nippon Telegraph and Telephone Corp.
Nippon Unipac Group, Inc.
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Nipro Corp.
25,000
487,950
213,100
2,283,989
91,700
1,910,417
39,000
371,996
1,400
2,589,952
132,000
700,102
46,900
366,158
15,200
851,324
82,000
318,007
3,800
143,177
87,000
493,915
59,000
1,329,302
21,200
545,112
23,000
630,431
67,400
3,128,632
237,000
4,816,828
56,000
1,007,468
Nissan Motor Co. Ltd.
Nomura Holdings, Inc.
NSK Ltd.
NTT DoCoMo, Inc.
OJI Paper Co. Ltd.
Okasan Holdings, Inc.
Ono Pharmaceutical Co. Ltd.
Osaka Gas Co. Ltd.
Promise Co. Ltd.
Rengo Co. Ltd.
Ricoh Co. Ltd.
Santen Pharmaceutical Co. Ltd.
Sanyo Electric Credit Co. Ltd.
Secom Co. Ltd.
Shiseido Co. Ltd.
Sumitomo Corp.
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Takefuji Corp.
15,100
606,102
112,000
1,523,557
10,200
258,809
44,400
1,518,432
64,000
668,024
140,200
8,982,604
40,340
3,758,768
172,000
1,056,755
Tanabe Seiyaku Co. Ltd.
Tohoku Electric Power Co., Inc.
Tokyo Electric Power Co., Inc.
Toppan Printing Co. Ltd.
Toyota Motor Corp.
Yamada Denki Co. Ltd.
Yokohama Rubber Co. Ltd.
77,792,791
Mexico — 2.7%
America Movil SA de CV, ADR
116,300
5,557,977
965,400
4,460,435
923,600
3,943,494
Grupo Mexico SAB de CV, Series B
Wal-Mart de Mexico SA de CV
13,961,906
Netherlands — 2.0%
ABN AMRO Holding NV
30,700
1,321,356
48,400
964,651
64,800
2,739,711
134,500
2,094,965
Aegon NV
ING Groep NV, ADR
Koninklijke (Royal) KPN NV
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Oce NV
58,900
1,079,507
60,600
2,015,709
Royal Dutch Shell (Class A Stock)
10,215,899
Norway — 0.3%
Norsk Hydro ASA
40,600
1,345,919
169,300
909,157
940
3,351,100
490,000
707,313
336,000
717,556
131,000
1,433,346
Portugal — 0.2%
EDP Energias de Portugal SA
Russia — 0.7%
Sberbank
Singapore — 0.6%
MobileOne Ltd.
Neptune Orient Lines Ltd.
Singapore Airlines Ltd.
2,858,215
South Korea — 1.3%
Shinhan Financial Group Co. Ltd.
116,000
6,658,163
96,300
2,364,437
Spain — 1.7%
Banco Bilbao Vizcaya Argentaria SA
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Banco Santander Central Hispano SA
197,100
3,517,621
61,200
2,063,463
41,400
912,516
Repsol YPF SA
Telefonica SA
8,858,037
Sweden — 1.2%
Electrolux AB, Series B*
59,500
1,508,206
42,700
704,757
163,000
2,602,752
45,500
1,306,460
Husqvarna AB (Class B Stock)*
Nordea Bank AB
SSAB Svenskt Stal AB, Series B
6,122,175
Switzerland — 9.5%
Baloise Holding
17,700
1,842,612
2,600
171,279
50,800
3,645,443
1,900
1,375,962
Ciba Specialty Chemicals AG
Credit Suisse Group*
Georg Fischer AG*
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Switzerland (cont’’d.)
Givaudan SA
3,472
$3,211,561
19,000
7,399,704
119,615
6,861,018
1,400
697,609
50,685
8,967,843
15,500
1,415,875
5,500
1,988,129
7,100
1,358,474
120,860
7,181,082
2,900
711,188
5,900
1,703,020
Nestle SA
Novartis AG
Rieter Holdings AG
Roche Holding AG
Swiss Re
Swisscom AG
Syngenta AG*
UBS AG*
Verwaltungs und Privat Bank AG
Zurich Financial Services AG
48,530,799
United Kingdom — 20.9%
Alliance & Leicester PLC
41,800
932,782
451,431
9,118,876
22,700
1,195,818
52,900
2,846,067
Alliance Boots PLC
Anglo American PLC
AstraZeneca PLC
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Aviva PLC
60,100
885,232
202,300
2,870,266
388,200
4,216,825
101,000
902,833
169,600
1,076,333
549,700
3,285,739
274,820
3,526,037
101,931
4,912,313
40,400
529,874
158,000
695,683
317,100
1,060,806
203,300
1,526,240
47,500
1,305,813
6,100
98,132
142,700
2,940,097
132,100
1,265,318
1,192,211
6,527,987
Barclays PLC
BP PLC
Bradford & Bingley PLC
Brit Insurance Holdings PLC
BT Group PLC
Cadbury Schweppes PLC
Carnival PLC
Dairy Crest Group PLC
DS Smith PLC
DSG International PLC
GKN PLC
GlaxoSmithKline PLC
Hanson PLC
HBOS PLC
Interserve PLC
Kingfisher
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Legal & General PLC
364,200
1,139,536
979,266
10,791,447
188,964
8,362,950
162,900
396,696
230,800
745,307
116,623
6,072,465
69,409
3,963,731
396,400
1,263,687
56,700
2,213,684
103,100
3,430,783
243,500
5,342,750
65,200
737,745
107,500
1,035,505
125,800
660,972
127,500
600,906
1,254,400
3,344,771
185,700
4,987,902
Lloyds TSB Group PLC
Next PLC
Northern Foods PLC
Old Mutual PLC
Reckitt Benckiser PLC
Rio Tinto PLC
Royal & Sun Alliance Insurance Group PLC
Royal Bank of Scotland Group PLC
Royal Dutch Shell PLC (Class B Stock)
SABMiller PLC
Tate & Lyle PLC
Taylor Woodrow PLC
Tomkins PLC
TT Electronics PLC
Vodafone Group PLC
Vodafone Group PLC, ADR
106,809,908
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United States — 1.6%
Schlumberger Ltd.
118,500
8,188,350
TOTAL LONG-TERM INVESTMENTS
(cost $432,158,794)
507,166,369
SHORT-TERM INVESTMENT — 0.4%
AFFILIATED MONEY MARKET MUTUAL FUND
Dryden Core Investment Fund - Taxable Money Market Series(cost $2,180,592)(w)
2,180,592
2,180,592
TOTAL INVESTMENTS — 99.5%
(cost $434,339,386)
509,346,961
Other assets in excess of liabilities(u) — 0.5%
2,684,842
NET ASSETS — 100.0%
$512,031,803
The following abbreviations are used in portfolio descriptions:
ADR
American Depositary Receipt
*
Non-income producing security.
(u)
Other assets in excess of liabilities includes net unrealized appreciation (depreciation) on forward foreign currency contracts as
follows:
Forward foreign currency exchange contracts outstanding at March 31, 2007:
Notional
Sale Contracts
Unrealized
Amount
Value at Settlement
Current
Appreciation
(000)
Date Receivable
Value
(Depreciation)
Euros,
Expiring 04/04/07
EUR
12,600
$ 16,757,245
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$16,835,017
$ (77,772
)
Japanese Yen,
Expiring 04/03/07
JPY
1,161
9,849
9,850
(1
)
MXP
103,000
9,415,852
9,296,818
119,034
MXP
46,800
4,164,246
4,224,185
(59,939
)
$ 30,347,192
$30,365,870
$ (18,678
)
Mexican Peso,
Expiring 06/06/07
Expiring 06/06/07
(w)
Prudential Investments LLC, the manager of the Portfolio also serves as manager of the Dryden Core Investment Fund-Taxable
Money Market Series.
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The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of March 31, 2007
were as follows:
Financial - Bank & Trust
13.9 %
Telecommunications
10.6
Oil, Gas & Consumable Fuels
8.8
Pharmaceuticals
8.1
Chemicals
5.5
Automobile Manufacturers
4.1
Financial Services
3.7
Consumer Products & Services
3.0
Insurance
2.8
Utilities
2.8
Retail & Merchandising
2.5
Electronic Components
2.2
Entertainment & Leisure
2.2
Diversified Operations
1.9
Building Materials
1.7
Metals & Mining
1.6
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Semiconductors
1.5
Food
1.5
Automobiles
1.3
Automotive Parts
1.3
Beverages
1.3
Media
1.2
Gaming
1.1
Wireless Telecommunication Services
1.0
Aerospace
1.0
Cosmetics & Toiletries
0.9
Advertising
0.8
Diversified Metals
0.8
Retail
0.7
Food Products
0.7
Airlines
0.6
Telecom - Cellular
0.5
Paper & Related Products
0.5
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Office Equipment
0.5
Transportation
0.5
Paper & Forest Products
0.4
Affiliated Money Market Mutual Fund
0.4
Conglomerates
0.4
Diversified Financial Services
0.4
Machinery & Equipment
0.3
Diversified
0.3
Foods
0.3
Furniture
0.3
Iron / Steel
0.3
Medical Supplies & Equipment
0.3
Steel Producers/Products
0.2
Insurance - Property Insurance
0.2
Oil & Gas
0.2
Multimedia
0.2
Electrical Equipment
0.2
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Commercial Banks
0.2
Construction
0.2
Distribution/Wholesale
0.2
Aerospace & Defense
0.2
Agriculture
0.2
Electric
0.2
Farming & Agriculture
0.2
Business Services
0.1
Consumer Products
0.1
Forest Products & Paper
0.1
Commercial Services
0.1
Mining
0.1
Clothing & Apparel
0.1
99.5 %
Other assets in excess of liabilities
0.5
100.0%
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SP LARGE CAP VALUE PORTFOLIO
Schedule of Investments
March 31, 2007 (Unaudited)
Shares
Value
LONG-TERM INVESTMENTS — 98.1%
COMMON STOCKS
Aerospace/Defense — 2.0%
Goodrich Corp.
22,000
$1,132,560
5,500
533,610
171,800
12,750,996
76,700
4,985,500
Lockheed Martin Corp.
Northrop Grumman Corp.
United Technologies Corp.
19,402,666
Auto Components — 0.7%
Johnson Controls, Inc.
56,100
5,308,182
24,400
1,832,684
Magna International, Inc.(Class A Stock)
7,140,866
Automotive Parts
Advance Auto Parts, Inc.
12,300
474,165
246,400
13,448,512
64,900
2,431,803
Banks — 1.6%
Fannie Mae
KeyCorp(a)
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15,880,315
Chemicals — 2.0%
Air Products & Chemicals, Inc.
34,400
2,541,816
65,900
3,022,174
106,200
6,725,646
28,700
1,806,952
93,500
4,835,820
Dow Chemical Co.
Eastman Chemical Co.
Praxair, Inc.
Rohm & Haas Co.
18,932,408
Commercial Banks — 4.7%
Bank of America Corp.
665,545
33,956,106
108,700
6,426,344
73,000
3,380,630
30,300
1,921,626
2,500
211,300
Comerica, Inc.
Marshall & Ilsley Corp.(a)
UnionBanCal Corp.
Zions Bancorp
45,896,006
Commercial Services — 0.1%
Domtar Corp (Canada)*(a)
126,805
1,180,555
3,850
147,917
Travelcenters of America LLC*
1,328,472
Commercial Services & Supplies — 0.1%
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Avis Budget Group*
23,460
640,927
36,900
1,574,154
38,800
1,557,432
281,500
1,691,815
Communication Equipment — 0.2%
QUALCOMM, Inc.
Computers & Peripherals — 0.3%
Hewlett-Packard Co.
Sun Microsystems, Inc.*(a)
3,249,247
Construction — 0.2%
D.R. Horton, Inc.(a)
31,200
686,400
44,100
1,207,458
Toll Brothers, Inc.*
1,893,858
Consumer Products & Services — 3.3%
Avon Products, Inc.
18,600
693,036
268,300
16,945,828
240,900
13,967,382
Procter & Gamble Co.
UST, Inc.(a)
31,606,246
Diversified Financial Services — 9.6%
Bank of New York Co., Inc. (The)
9,600
$389,280
Capital One Financial Corp.
53,300
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4,022,018
CIT Group, Inc.
112,000
5,927,040
462,600
23,749,884
104,300
3,508,652
17,200
364,984
162,500
7,861,750
15,700
1,282,219
154,700
12,184,172
76,200
4,933,950
37,500
3,114,000
77,900
2,053,444
344,200
12,036,674
328,800
11,320,584
Citigroup, Inc.
Countrywide Credit Industries, Inc.
E*Trade Financial Corp.*(a)
JPMorgan Chase & Co.
Merrill Lynch & Co., Inc.
Morgan Stanley
State Street Corp.
SunTrust Banks, Inc.(a)
TCF Financial Corp.
U.S. Bancorp
Wells Fargo & Co.
92,748,651
Diversified Financials — 0.3%
Franklin Resources, Inc.
22,000
2,658,260
8,800
790,240
Diversified Manufacturing Operations — 0.1%
Textron, Inc.
Diversified Telecommunication Services — 4.6%
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AT&T, Inc.
444,000
17,506,920
52,900
1,350,537
80,800
1,837,392
63,500
1,122,045
241,300
4,575,048
472,900
17,932,368
Cisco Systems, Inc.*
Corning, Inc.*
Motorola, Inc.
Sprint Nextel Corp.
Verizon Communications, Inc.
44,324,310
Electric — 0.2%
DTE Energy Co.(a)
42,500
2,035,750
132,500
2,302,850
148,500
7,239,375
180,800
3,218,240
82,000
4,186,920
7,500
665,775
140,900
6,922,417
123,400
8,478,814
Electric——Integrated — 0.2%
Sierra Pacific Resources*
Electric Utilities — 6.6%
American Electric Power Co., Inc.
CMS Energy Corp.(a)
Consolidated Edison, Inc.(a)
Dominion Resources, Inc.
Edison International
Exelon Corp.
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FPL Group, Inc.
81,800
5,003,706
537,700
19,013,072
42,200
1,830,214
83,200
2,726,464
2,500
120,675
17,100
825,075
154,200
3,807,198
General Electric Co.
Ingersoll-Rand Co. Ltd.(Class A Stock)
Northeast Utilities
PG&E Corp.
Pinnacle West Capital Corp.
Xcel Energy, Inc.
64,037,945
Energy Equipment & Services — 0.1%
Weatherford International Ltd.*
32,300
1,456,730
22,200
727,050
Entertainment & Leisure — 0.1%
Sabre Holdings Corp.
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Exchange Traded Fund — 0.2%
iShares Russell 1000 Value Index Fund
19,970
$1,660,306
38,000
2,734,860
167,285
4,255,730
222,600
12,254,130
238,700
9,638,706
Financial - Bank & Trust — 3.0%
PNC Financial Services Group, Inc.
Sovereign Bancorp, Inc.
Wachovia Corp.
Washington Mutual, Inc.(a)
28,883,426
Financial - Brokerage — 0.2%
MGIC Investment Corp.
38,300
2,256,636
261,300
15,544,737
70,100
1,043,088
Financial Services — 1.7%
Freddie Mac
TD Ameritrade Holding Corp.
16,587,825
Food & Staples Retailing — 0.9%
Safeway, Inc.
91,700
3,359,888
14,800
500,684
96,100
4,511,895
Sysco Corp.
Wal-Mart Stores, Inc.
8,372,467
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Food Products — 0.7%
General Mills, Inc.(a)
22,500
1,309,950
48,700
2,504,641
23,300
737,678
60,540
1,820,438
Kellogg Co.
Kraft Foods, Inc.(Class A Stock) (a)
Unilever PLC, ADR (United Kingdom)
6,372,707
Food
Wrigley, (Wm., Jr.) Co.
1,600
81,488
154,100
6,748,039
431,900
2,777,117
171,100
9,063,167
46,100
3,738,710
Healthcare Providers & Services — 2.3%
Aetna, Inc.
Tenet Healthcare Corp.*(a)
UnitedHealth Group, Inc.
WellPoint, Inc.*
22,327,033
Healthcare Services — 0.2%
Burlington North Santa Fe Corp.
18,400
1,479,912
14,100
703,167
Quest Diagnostics, Inc.
2,183,079
Healthcare Supplies — 0.5%
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Amgen, Inc.*
96,400
5,386,832
3,700
239,945
19,500
913,770
68,700
3,094,935
46,920
1,602,318
35,400
2,044,704
Hotels & Motels
Starwood Hotels & Resorts Worldwide, Inc.
Hotels, Restaurants & Leisure — 0.8%
Carnival Corp. (Panama)
McDonald’s Corp.
Wyndham Worldwide Corp.*
Yum! Brands, Inc.
7,655,727
Household Durables — 1.2%
Centex Corp
62,000
Shares
2,590,360
Value
COMMON STOCKS (Continued)
Household Durables (cont’’d.)
Lennar Corp.(Class A Stock) (a)
193,800
$8,180,298
16,500
650,595
Lennar Corp.(Class B Stock)
11,421,253
Industrial Conglomerates — 2.4%
3M Co.
105,000
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8,025,150
Eaton Corp.
36,800
3,075,008
401,100
12,654,705
Tyco International Ltd.
23,754,863
Insurance — 7.8%
Allstate Corp. (The)
1,200
72,072
65,000
5,615,350
63,000
4,234,860
55,100
2,955,013
128,800
6,655,096
13,100
1,868,846
333,600
11,655,984
50,300
2,319,836
77,100
7,369,218
600
40,674
68,100
4,459,869
86,700
5,475,105
27,300
1,202,292
275,500
6,344,765
AMBAC Financial Group, Inc.(a)
American International Group, Inc.
Assurant, Inc.
Chubb Corp. (The)
CIGNA Corp.
Genworth Financial, Inc.(Class A Stock)
Hanover Insurance Group, Inc. (The)
Hartford Financial Services Group, Inc.
Lincoln National Corp.
MBIA, Inc.
MetLife, Inc.
Protective Life Corp.
Provident Corp.(a)
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Travelers Cos Inc The
173,700
8,992,449
71,200
2,358,144
50,200
3,511,992
W.R. Berkely Corp.
XL Capital Ltd.(Class A Stock) (a)
75,131,565
Internet Services
eBay, Inc.*
3,900
129,285
8,700
201,666
Expedia, Inc.*
330,951
IT Consulting & Services — 0.3%
Affiliated Computer Services, Inc. (Class A Stock)*
9,700
571,136
23,600
2,224,536
International Business Machines Corp.
2,795,672
IT Services — 0.8%
Electronic Data Systems Corp.
290,600
8,043,808
6,700
727,888
11,600
566,196
31,000
2,176,200
Machinery — 0.4%
Deere & Co.
Dover Corp.
SPX Corp.(a)
3,470,284
Machinery & Equipment — 0.1%
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Rockwell Automation, Inc.
15,900
951,933
156,500
4,787,335
6,100
213,744
Media — 2.7%
CBS Corp.(Class B Stock) (a)
Clear Channel Communications, Inc.
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Media (cont’’d.)
Comcast Corp. (Class A Stock)*(a)
85,050
$2,207,047
20,100
898,068
5,600
243,208
41,800
2,352,922
147,300
5,170,230
245,200
5,669,024
69,400
1,368,568
84,400
2,905,892
E.W. Scripps Co. (Class A Stock)(Class A Stock)
EchoStar Communications Corp.(Class A Stock) *
Gannett Co., Inc.
Idearc, Inc.
News Corp.(Class A Stock)
Time Warner, Inc.
Walt Disney Co. (The)
25,816,038
Metals & Mining — 1.3%
Alcoa, Inc.(a)
250,600
8,495,340
37,800
3,748,626
United States Steel Corp.
12,243,966
Miscellaneous Manufacturers — 0.1%
Honeywell International, Inc.
11,400
525,084
5,800
438,944
Multi-Line Retail — 0.4%
Abercrombie & Fitch Co.,(Class A Stock)
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Kohl’s Corp.*
17,800
1,363,658
63,000
1,983,870
8,300
491,858
Lowe’s Cos., Inc.
Target Corp.
4,278,330
Multi-Utilities — 0.2%
Dynegy, Inc.(Class A Stock)
33,600
311,136
36,400
1,571,388
SCANA Corp.(a)
1,882,524
Networking Products — 0.1%
Juniper Networks, Inc.*(a)
28,000
551,040
172,400
4,454,816
80,300
5,677,210
264,000
13,017,840
Office Equipment — 0.5%
Staples, Inc.
Oil & Gas — 1.9%
Apache Corp.
Occidental Petroleum Corp.
18,695,050
Oil & Gas Equipment & Services — 0.2%
Schlumberger Ltd. (Netherlands)
23,500
Oil, Gas & Consumable Fuels — 11.3%
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1,623,850
Anadarko Petroleum Corp.
128,800
5,535,824
4,800
133,920
197,700
14,621,892
362,201
24,756,438
196,300
13,587,886
34,000
1,721,420
358,000
27,011,100
96,300
3,056,562
33,400
1,852,698
23,800
2,352,154
52,200
3,477,042
34,200
2,409,048
47,600
3,069,724
BJ Services Co.
ChevronTexaco Corp.
ConocoPhillips
Devon Energy Corp.
Ecnana Corp.(a)
Exxon Mobil Corp.
Halliburton Co.
Hess Corp.
Marathon Oil Corp.
Royal Dutch Shell PLC, ADR (c (Netherlands)
Sunoco, Inc.
Valero Energy Corp.
Oil, Gas & Consumable Fuels (cont’’d.)
XTO Energy, Inc.
102,700 $5,628,987
109,214,695
Paper & Forest Products — 0.5%
Weyerhaeuser Co.
65,784
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4,916,696
Pharmaceuticals — 5.1%
Abbott Laboratories
52,300
2,918,340
51,300
2,755,323
240,100
10,605,217
700,900
17,704,734
96,200
2,454,062
23,500
1,095,805
240,400
12,027,212
Eli Lilly & Co.
Merck & Co., Inc.
Pfizer, Inc.
Schering-Plough Corp.
Sepracor, Inc.*(a)
Wyeth
49,560,693
Real Estate Investment Trusts — 1.5%
Apartment Investment & Management Co.(Class A Stock) (a)
51,400
2,965,266
19,600
2,301,040
38,500
1,801,800
49,500
1,302,345
84,500
5,486,585
7,500
834,375
Boston Properties, Inc.
Hospitality Properties Trust*(a)
Host Marriott Corp.
ProLogis(a)
Simon Property Group, Inc.(a)
14,691,411
Real Estate Management & Development — 0.4%
Realogy Corp*
120,850
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3,578,369
Retail — 0.7%
Borders Group, Inc.(a)
150,700
3,077,294
17,700
524,274
75,200
3,387,760
Family Dollar Stores, Inc.
Federated Department Stores, Inc.
6,989,328
Retail & Merchandising — 0.2%
SUPERVALU, Inc.(a)
26,500
1,035,355
29,900
806,104
TJX Cos., Inc.
1,841,459
Semiconductors — 0.1%
Xilinx, Inc.(a)
32,000
823,360
106,500
3,279,135
354,515
9,185,484
116,100
3,123,090
419,300
11,685,891
32,000
580,160
Software — 2.9%
BMC Software, Inc.*(a)
CA, Inc.(a)
First Data Corp.
Microsoft Corp.
Oracle Corp.*
27,853,760
Specialty Retail — 1.3%
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Home Depot, Inc. (The)
311,200
11,433,488
19,700
1,618,552
J.C. Penney Co., Inc.
13,052,040
Telecommunication Services — 0.3%
Crown Castle International Corp.*(a)
77,600
2,493,288
9,300
465,465
Textiles, Apparel & Luxury Goods — 0.4%
Coach, Inc.*
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Textiles, Apparel & Luxury Goods (cont’’d.)
Jones Apparel Group, Inc.(a)
97,300
$2,990,029
3,455,494
Tobacco — 4.1%
Altria Group, Inc.
423,900
37,222,659
22,700
2,037,098
Imperial Tobacco Group, ADR (United Kingdom)
39,259,757
Transportation — 0.8%
CSX Corp.
42,100
1,686,105
10,800
1,160,244
104,400
5,282,640
FedEx Corp.
Norfolk Southern Corp.
8,128,989
Utilities — 0.6%
Illinois Tool Works, Inc.
14,800
763,680
73,800
4,730,580
TXU Corp.
5,494,260
TOTAL LONG-TERM INVESTMENTS (cost $814,451,698)
948,433,213
SHORT-TERM INVESTMENT — 12.2%
AFFILIATED MONEY MARKET MUTUAL FUND
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Dryden Core Investment Fund - Taxable Money Market Series (cost $118,499,264; includes
$101,104,082 of cash collateral for securities on loan)(b)(w)
118,499,264
118,499,264
TOTAL SHORT-TERM INVESTMENT
(cost $118,499,264)
118,499,264
TOTAL INVESTMENTS — 110.3%
(cost $932,950,962)
1,066,932,477
Liabilities in excess of other assets — (10.3)%
(99,702,245 )
NET ASSETS — 100.0%
$967,230,232
The following abbreviations are used in portfolio descriptions:
ADR
American Depositary Receipt
*
(a)
Non-income producing security.
All or a portion of security is on loan. The aggregate market value of such securities is $97,152,915; cash collateral of $101,104,082
(included with liabilities) was received with which the portfolio purchased highly liquid short-term investments.
Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.
Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund – Taxable
Money Market Series.
(b)
(w)
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SP MID-CAP GROWTH PORTFOLIO
Schedule of Investments
March 31, 2007 (Unaudited)
Shares
Value
LONG-TERM INVESTMENTS — 98.5%
COMMON STOCKS
Advertising — 1.0%
Omnicom Group, Inc.
13,000
$1,330,940
41,000
1,299,700
19,000
1,271,670
Aerospace — 2.0%
BE Aerospace, Inc.*
Rockwell Collins, Inc.
2,571,370
Automobile Manufacturers — 0.9%
CarMax, Inc.*(a)
49,400
1,212,276
55,700
2,109,916
24,000
2,270,880
Beverages — 3.3%
Hansen Natural Corp.*(a)
Molson Coors Brewing Co.(Class B Stock)
4,380,796
Business Services — 0.5%
Thermo Fisher Scientific, Inc.*(a)
15,200
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710,600
Capital Markets — 0.9%
Merrill Lynch & Co., Inc.
14,400
1,176,048
28,675
1,354,034
35,100
2,899,962
10,525
648,550
38,200
970,662
18,500
678,765
20,800
711,152
Chemicals — 1.0%
International Flavors & Fragrances, Inc.
Clothing & Apparel — 2.2%
VF Corp.
Commercial Services — 2.3%
Alliance Data Systems Corp.*
Convergys Corp.*
TeleTech Holdings, Inc.*
THQ, Inc.*(a)
3,009,129
Commercial Services & Supplies — 5.6%
Corrections Corp. of America*(a)
61,000
3,221,410
9,000
663,930
78,000
3,469,440
Manpower, Inc.
Sotheby’s
7,354,780
Communication Equipment — 0.8%
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Avaya, Inc.*
92,500
1,092,425
64,100
5,955,531
198,000
1,884,960
46,700
4,122,209
Computer Hardware — 9.1%
Apple Computer, Inc.*
Brocade Communications Systems, Inc.*
Cognizant Technology Solutions Corp. (Class A Stock) *
11,962,700
Computer Services & Software — 2.2%
BMC Software, Inc.*
71,300
2,195,327
10,300
647,355
FactSet Research Systems, Inc.
2,842,682
Computers — 2.9%
Synopsys, Inc.*(a)
144,000
3,777,120
14,300
683,111
9,200
1,124,332
40,900
2,640,913
Computers & Peripherals — 0.5%
NCR Corp.*
Diversified Financial Services — 0.9%
Intercontinental Exchange, Inc.*
Electronic Components — 4.9%
Amphenol Corp.(Class A Stock)
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Dolby Laboratories, Inc. (Class A Stock) *
21,300
735,063
57,000
3,086,550
Garmin Ltd.(a)
6,462,526
Electronic Equipment & Instruments — 2.3%
Avnet, Inc.*(a)
38,800
1,402,232
30,400
1,624,272
General Cable Corp.*(a)
3,026,504
Energy Equipment & Services — 1.3%
Cameron International Corp.*(a)
26,700
1,676,493
19,600
1,151,500
51,325
2,932,710
3,450
1,836,987
Entertainment & Leisure — 0.9%
Harley-Davidson, Inc.
Financial Services — 3.6%
Ameriprise Financial, Inc.
Chicago Mercantile Exchange Holdings, Inc.
4,769,697
Financial/Business Services — 1.1%
Dun & Bradstreet Corp. (The)
16,000
Healthcare Equipment & Supplies — 1.0%
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1,459,200
Dentsply International, Inc.
41,825
1,369,769
47,000
2,506,040
24,600
2,097,150
Healthcare Services — 3.5%
Davita, Inc.*
WellCare Health Plans, Inc.*(a)
4,603,190
Hotels & Motels — 0.9%
Wynn Resorts Ltd.(a)
12,200
1,157,292
38,600
2,632,906
40,200
2,155,926
Insurance — 3.7%
Arch Capital Group Ltd. (Bermuda)*
Assurant, Inc.
4,788,832
Internet Services — 3.9%
IAC/InterActive Corp.*
25,800
972,918
20,800
1,090,128
117,000
3,057,210
NutriSystem, Inc.*(a)
ValueClick, Inc.*(a)
5,120,256
Internet Software & Services — 4.2%
Akamai Technologies, Inc.*(a)
82,000
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4,093,440
Oracle Corp.*
76,000
1,377,880
5,471,320
Machinery & Equipment — 0.5%
Snap-On, Inc.
13,500
649,350
107,200
3,068,064
Manufacturing — 2.3%
Hasbro, Inc.
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Shares
Value
COMMON STOCKS (Continued)
Media — 0.9%
Comcast Corp. (Class A Stock)*
47,700
$1,237,815
21,500
1,002,545
39,200
1,406,496
24,800
1,349,120
21,400
1,492,864
73,400
3,091,608
Medical Supplies & Equipment — 0.8%
Sepracor, Inc.*(a)
Metals & Mining — 1.1%
Titanium Metals Corp.*
Oil, Gas & Consumable Fuels — 4.5%
ENSCO International, Inc.
FMC Technologies, Inc.*
Oceaneering International, Inc.*
5,933,592
Pharmaceuticals — 4.9%
Forest Laboratories, Inc.*(a)
80,075
4,119,058
35,000
1,078,700
38,800
1,280,400
Medicis Pharmaceutical Corp. (Class A Stock)(a)
OSI Pharmaceuticals, Inc.*(a)
6,478,158
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Real Estate Investment Trusts — 1.0%
Archstone-Smith Trust
25,000
1,357,000
11,300
244,080
40,000
2,230,400
28,000
911,960
60,700
3,113,910
Restaurants — 0.2%
Burger King Holdings, Inc.
Retail & Merchandising — 4.8%
Children’s Place Retail Stores, Inc. (The)*
Gamestop Corp.*
Under Armour, Inc. (Class A Stock)*(a)
6,256,270
Semiconductors — 1.7%
MEMC Electronic Materials, Inc.*
35,700
2,162,706
34,300
654,787
48,000
1,225,440
21,500
1,684,740
19,800
659,934
Software — 0.5%
Parametric Technology Corp.*(a)
Telecommunications — 5.5%
Cisco Systems, Inc.*
Millicom International Cellular SA (Luxembourg)*
Polycom, Inc.*
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Time Warner Telecom, Inc. (Class A Stock)*(a)
147,300
3,059,421
16,500
606,045
VeriFone Holdings, Inc.*
7,235,580
Textiles & Apparel — 2.4%
Skechers USA, Inc. (Class A Stock)*
92,000
3,088,440
TOTAL LONG-TERM INVESTMENTS
(cost $113,433,020)
129,313,767
SHORT-TERM INVESTMENT — 27.3%
AFFILIATED MONEY MARKET MUTUAL FUND
Dryden Core Investment Fund—Taxable Money Market Series (cost $35,835,169; includes $34,006,111 of
cash collateral received for securities on loan)(b)(w)
35,835,169
35,835,169
TOTAL INVESTMENTS — 125.8%
(cost $149,268,189)
165,148,936
Liabilities in excess of other assets — (25.8)%
(33,903,547 )
NET ASSETS — 100.0%
$131,245,389
*
(a)
(b)
(w)
Non-income producing security.
All or a portion of security is on loan. The aggregate market value of such securities is $32,840,793; cash collateral of $34,006,111
(included with liabilities) was received with which the portfolio purchased highly liquid short-term investments.
Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.
Prudential Investments LLC, the manager of the Portfolio also serves as manager of the Dryden Core Investment Fund-Taxable
Money Market Series.
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SP PIMCO HIGH YIELD PORTFOLIO
Schedule of Investments
March 31, 2007 (Unaudited)
Principal
Moody’’s
Interest
Maturity
Amount
Ratings
Rate
Date
(000)#
Value
LONG-TERM INVESTMENTS — 94.0%
BANK NOTES — 5.9%
8.36 %
11/29/
13
$1,000
$1,006,375
8.14 %
04/30/
10
1,500
1,514,374
Ba-
7.60 %
11/13/
13
748
755,205
Ba-
7.32 %
04/30/
11
426
428,267
7.86 %
02/02/
13
1,241
1,250,188
Ba
5.35 %
12/21/
12
111
112,101
Ba+
7.07 %
12/21/
12
585
589,680
Ba+
7.09 %
12/21/
12
38
38,084
Ba-
8.61 %
04/08/
12
997
999,942
Ba+
6.08 %
11/30/
13
EUR 500
675,436
Ba+
6.58 %
11/30/
14
EUR 500
677,133
5.19 %
12/01/
10
429
432,154
B+(d)
7.70 %
12/01/
10
571
576,205
B+(d)
8.07 %
10/27/
11
2
2,498
Ford Motor Co.
BaGoodyear Tire & Rubber Co. (The)
BaHCA, Inc.
Headwaters, Inc.
Healthsouth Corp.
B(d)
Hertz Corp.
Hertz Corp.
Hertz Corp.
MGM Studios
Nordic Telephone (Denmark)
Nordic Telephone (Denmark)
Reliant Energy
B+(d)
Reliant Energy
Roundy’s, Inc.
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8.09 %
10/27/
11
988
996,660
Ba-
8.36 %
10/30/
12
1,500
1,512,500
Ba-
6.25 %
09/15/
14
1,000
1,000,628
B+(d)
7.61 %
08/08/
13
1,995
2,014,120
12.61 %
12/21/
11
301
311,258
Roundy’s, Inc.
BaSpansion LLC
Univision Communication
VNU/Nielsen Finance LLC
Wind Acquisitions Finance
B-(d)
TOTAL BANK NOTES
(cost $14,666,874)
14,892,808
CORPORATE BONDS — 87.8%
Advertising — 0.9%
B3
6.875 %
01/15/
13
B3
8.875 %
01/15/
16
R.H. Donnelley Corp., Sr. Disc. Notes
R.H. Donnelley Corp., Sr. Notes
175
170,188
2,000
2,125,000
2,295,188
Aerospace — 0.2%
7.75 %
07/15/
14
400
413,000
8.25 %
08/15/
13
1,000
1,050,000
B3
7.625 %
02/01/
18
1,000
1,040,000
Ba3
6.375 %
10/15/
15
975
966,469
7.625 %
06/15/
12
630
648,900
TransDigm, Inc., Sr. Sub. Notes, 144A
B3
Aerospace & Defense — 1.5%
Armor Holdings, Inc., Sr. Sub. Notes
B1
DRS Technologies, Inc., Gtd. Notes
L-3 Communications Corp., Gtd. Notes
L-3 Communications Corp., Gtd. Notes
Ba3
3,705,369
Airlines — 0.2%
United AirLines, Inc., Pass-Through Certs., Series 01-1
BBB
(d)
6.201 %
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09/01/
08
343
345,634
United AirLines, Inc., Pass-Through Certs., Series 01-1
BBB
(d)
6.602 %
09/01/
13
202
205,252
550,886
Apparel — 0.7%
6.875 %
04/15/
15
1,875
1,767,188
8.75 %
03/01/
12
790
815,675
B3
7.00 %
12/15/
12
1,250
1,165,625
Caa1
8.25 %
07/15/
23
2,500
2,250,000
8.80 %
03/01/
21
300
288,750
B3
8.625 %
11/15/
14
555
578,587
Ba3
10.25 %
07/15/
13
875
953,750
7.00 %
03/15/
14
250
245,000
7.25 %
03/15/
17
500
490,000
Quiksilver, Inc., Co. Gtd. Notes
Ba3
Automotive — 2.7%
ArvinMeritor, Inc., Unsec’d. Notes
B1
Cooper-Standard Automotive, Inc., Gtd. Notes
General Motors Corp., Debs.
General Motors Corp., Debs.
Caa1
Tenneco, Inc., Gtd. Notes
Tenneco, Inc., Sec’d. Notes
TRW Automotive, Inc., Gtd. Notes, 144A
Ba3
TRW Automotive, Inc., Gtd. Notes, 144A
B2
6,787,387
Automotive Parts — 0.6%
Goodyear Tire & Rubber Co. (The), Sr. Notes
B2
9.00 %
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07/01/
15
850
932,875
Automotive Parts (cont’’d)
Goodyear Tire & Rubber Co. (The), Sr. Notes, 144A
B2
8.625%
12/
01/
11
$600
$645,000
1,577,875
Business Services — 0.2%
NSG Holdings LLC/NSG Holdings, Inc., Sec’d. Notes, 144A
Ba2
7.75 %
12/
15/
25
450
470,250
950
983,250
3,520
3,643,200
1,675
1,716,875
525
543,375
Cable — 2.7%
CanWest MediaWorks, Inc., Gtd. Notes (Canada)
B2
8.00 %
Caa1
8.75 %
B2
7.625%
Ba3
6.75 %
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Notes
CSC Holdings, Inc., Sr. Notes, Series B
Rogers Cable, Inc., Sec’d. Notes (Canada)
09/
15/
12
11/
15/
13
04/
01/
11
03/
15/
15
6,886,700
Capital Goods - Others — 0.2%
Dresser-Rand Group, Inc., Gtd. Notes (Canada)
B1
7.375%
11/
01/
14
396
403,920
225
217,688
2,250
2,154,375
975
1,021,312
250
267,500
850
903,125
475
486,875
Chemicals — 3.2%
Chemtura Corp., Gtd. Notes
Ba1
6.875%
B2
8.50 %
B1
8.00 %
B1
8.25 %
B3
8.875%
B1
7.75 %
Ineos Group Holdings, PLC., Sr. Sub. Notes, 144A (United Kingdom)
Lyondell Chemical Co., Gtd. Notes
Lyondell Chemical Co., Gtd. Notes
Nalco Co., Sr. Sub. Notes
Nalco Co., Sr. Unsec’d. Notes
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06/
01/
16
02/
15/
16
09/
15/
14
09/
15/
16
11/
15/
13
11/
15/
11
PQ Corp., Gtd. Notes
B3
7.50 %
B3
7.50 %
Rockwood Specialties Group, Inc., Sub. Notes
02/
15/
13
11/
15/
14
1,000
1,010,000
2,075
2,106,125
8,167,000
Commercial Services — 0.6%
Aramark Corp., Sr. Notes, 144A
B3
8.50 %
02/
01/
15
1,500
1,560,000
800
776,000
275
275,000
1,275
1,262,250
500
516,250
100
105,250
Containers — 1.2%
Jefferson Smurfit Corp. US, Gtd. Notes
B3
7.50 %
B3
8.25 %
B3
6.75 %
Ba2
7.75 %
Ba2
8.75 %
Jefferson Smurfit Corp. US, Gtd. Notes
Owens-Brockway Glass Container, Inc., Gtd. Notes
Owens-Brockway Glass Container, Inc., Gtd. Notes
Owens-Brockway Glass Container, Inc., Gtd. Notes
06/
01/
13
10/
01/
12
12/
01/
14
05/
15/
11
11/
15/
12
2,934,750
Containers & Packaging — 0.7%
Crown Americas LLC/Crown Americas Capital Corp., Gtd. Notes
B1
7.625%
B1
7.75 %
B3
8.375%
B3
8.00 %
Crown Americas LLC/Crown Americas Capital Corp., Gtd. Notes
Smurfit-Stone Container Enterprises, Inc., Sr. Notes
Smurfit-Stone Container Enterprises, Inc., Sr. Notes, 144A
11/
15/
15
11/
15/
15
07/
01/
12
03/
15/
17
350
360,063
1,125
1,170,000
100
100,250
200
195,500
1,825,813
Distribution/Wholesale — 1.6%
Buhrmann US, Inc., Gtd. Notes
B2
8.25 %
B3
8.00 %
VWR International, Inc., Gtd. Notes
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07/
01/
14
04/
15/
14
1,500
1,515,000
2,300
2,397,750
3,912,750
Diversified Financial Services — 0.4%
Sally Holdings LLC, Sr. Notes, 144A
B2
9.25 %
11/
15/
14
1,000
1,027,500
950
1,316,642
550
569,250
Diversified Manufacturing — 0.8%
Bombardier, Inc., Sr. Unsec’d. Notes, 144A (Canada)
Ba2
7.25 %
Ba2
8.00 %
Bombardier, Inc., Sr. Unsec’d. Notes, 144A (Canada)
11/
15/
16
11/
15/
14
1,885,892
Diversified Operations — 0.3%
Trinity Industries, Inc., Sr. Unsub. Notes
Ba1
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6.50 %
03/
15/
14
700
693,000
Electronic Components — 1.0%
Celestica, Inc., Sr. Sub. Notes (Canada)
B2
7.625%
B2
7.875%
Baa3
8.50 %
B3
8.00 %
Celestica, Inc., Sr. Sub. Notes (Canada)
Legrand France SA, Unsub. Notes (France)
Solectron Global Finance Ltd., Gtd. Notes
07/
01/
13
07/
01/
11
02/
15/
25
03/
15/
16
$450
$420,750
500
483,750
500
587,500
950
947,625
2,439,625
Entertainment — 0.4%
Royal Caribbean Cruises Ltd., Debs. (Liberia)
Ba1
7.25 %
03/
15/
18
1,000
1,018,074
450
463,500
275
286,688
Environmental Services — 0.3%
Compagnie Generale De Geophysique-Veritas, Gtd. Notes (France)
Ba3
7.50 %
Ba3
7.75 %
Compagine Generale De Geophysique-Veritas, Gtd. Notes (France)
05/
15/
15
05/
15/
17
750,188
Financial - Bank & Trust — 0.3%
6.64 %(c)
12/
31/
49
800
790,400
8.50 %
02/
15/
15
600
607,500
1,402
1,576,695
969
1,053,517
1,500
1,703,880
1,000
1,033,750
C8 Capital SPV Ltd., Notes, 144A (Mexico)
Baa2
Financial Services — 0.2%
Yankee Acquisition Corp., Sr. Notes, 144A
B3
Financials — 9.7%
AES Ironwood LLC, Sec’d Notes, Series A
B1
8.857%
B1
8.54 %
B2
9.625%
B2
8.00 %
AES Red Oak LLC, Sec’d. Notes
BCP Crystal US Holdings Corp., Sr. Sub. Notes
Chukchansi Economic Development Authority, Sr. Notes, 144A
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11/
30/
25
11/
30/
19
06/
15/
14
11/
15/
13
Ford Motor Co., Unsec’d. Notes
Caa1
7.45 %
B1
7.375%
B1
7.25 %
B1
8.00 %
Ba1
8.00 %
Ba1
6.75 %
B2
8.00 %
NR
7.63 %
NR
10.00%
B3
8.125%
A3
7.175%
B2
9.625%
B2
7.75 %
Baa2
6.625%
Baa2
7.50 %
B3
8.375%
B3
10.11%(c)
Ford Motor Credit Co., Bonds
Ford Motor Credit Co., Sr. Notes
Ford Motor Credit Co., Sr. Unsec’d. Notes
General Motors Acceptance Corp., Bonds
General Motors Acceptance Corp., Notes
Idearc, Inc., Sr. Notes, 144A
JET Equipment Trust, 144A(i)
JET Equipment Trust, 144A
KRATON Polymers Capital Corp., Gtd. Notes
RSHB Capital NA, Sr. Notes, 144A
Smurfit Kappa Funding PLC, Sr. Notes (Ireland)
Smurfit Kappa Funding PLC, Sr. Sub. Notes (Ireland)
TNK-BP Finance SA, Gtd. Notes, 144A (Luxembourg)
TNK-BP Finance SA, Gtd. Notes, 144A (Luxembourg)
Universal City Florida Holding Co. I/II, Sr. Notes
Universal City Florida Holding Co. I/II, Sr. Notes
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07/
16/
31
02/
01/
11
10/
25/
11
12/
15/
16
11/
01/
31
12/
01/
14
11/
15/
16
08/
15/
12
06/
15/
12
01/
15/
14
05/
16/
13
10/
01/
12
04/
01/
15
03/
20/
17
07/
18/
16
05/
01/
10
05/
01/
10
1,575
1,218,656
6,015
5,915,951
1,175
1,141,986
1,750
1,683,925
825
884,519
1,000
983,092
1,425
1,465,969
42
31,354
160
156,631
1,375
1,376,719
1,000
1,056,250
1,130
1,200,625
100
102,000
300
297,750
400
422,000
950
979,687
50
51,563
24,336,519
Food & Beverage — 1.0%
Delhaize America, Inc., Gtd. Notes
Ba1
9.00 %
B3
8.875%
Ingles Markets, Inc., Gtd. Notes
04/
15/
31
12/
01/
11
1,255
1,507,909
975
1,014,000
2,521,909
Foods — 1.0%
Albertson’s, Inc. LLC, Debs.
B1
7.45 %
B1
7.75 %
B1
8.00 %
B1
7.625%
Albertson’s, Inc. LLC, Debs.
American Stores Co., Sr. Unsec’d. Notes
Pilgrim’s Pride Corp., Sr. Unsec’d. Notes
08/
01/
29
06/
15/
26
06/
01/
26
05/
01/
15
600
590,240
1,000
1,012,726
400
428,970
575
573,563
2,605,499
Forest & Paper Products — 3.6%
Abitibi-Consolidated Co. of Canada, Gtd. Notes (Canada)
B3
8.375%
B3
8.55 %
B3
7.95 %
Ba3
7.25 %
Abitibi-Consolidated, Inc., Unsub. Notes (Canada)
Bowater Canada Finance Corp., Gtd. Notes (Canada)
Cascades, Inc., Sr. Notes (Canada)
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04/
01/
15
08/
01/
10
11/
15/
11
02/
15/
13
600
564,000
500
506,250
625
607,812
900
900,000
Forest & Paper Products (cont’’d)
Georgia-Pacific Corp., Debs.
B2
7.375 %
B2
7.75
%
B2
8.00
%
Ba2
7.50
%
B2
9.125 %
Georgia-Pacific Corp., Notes
Georgia-Pacific Corp., Sr. Unsec’d. Notes
Smurfit Capital Funding PLC, Gtd. Notes (Ireland)
Verso Paper Holdings LLC and Verson Paper, Inc., Sec’d. Notes, 144A
12/
01/
25
11/
15/
29
01/
15/
24
11/
20/
25
08/
01/
14
$
3,625
$3,498,125
300
297,000
800
804,000
700
714,000
1,175
1,222,000
9,113,187
Gaming — 3.0%
Boyd Gaming Corp., Sr. Sub. Notes
Ba3
7.125 %
Ba2
6.625 %
Ba2
6.875 %
Ba2
7.25
Ba3
6.875 %
Ba2
7.75
B1
6.625 %
MGM Mirage, Gtd. Notes
MGM Mirage, Gtd. Notes
Mirage Resorts, Inc., Debs.
%
Station Casinos, Inc., Sr. Sub. Notes
Station Casinos, Inc., Sr. Unsec’d. Notes
%
Wynn Las Vegas LLC, 1st Mortgage
02/
01/
16
07/
15/
15
04/
01/
16
08/
01/
17
03/
01/
16
08/
15/
16
12/
01/
14
600
588,000
1,525
1,464,000
1,025
996,813
500
502,500
780
714,675
1,210
1,241,762
2,000
1,980,000
7,487,750
Healthcare Services — 0.1%
7.625 %
10/
01/
18
350
370,125
7.25
03/
15/
15
1,805
1,825,306
Service Corp. International, Sr. Unsec’d. Notes
B1
Hospitals/Hospital Management — 6.3%
DaVita, Inc., Gtd. Notes
B2
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
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%
Fresenius Medical Care Capital Trust II, Gtd. Notes
B1
7.875 %
B1
7.875 %
Caa1
7.19
%
Caa1
7.69
%
Caa3
9.25
%
Caa1
9.50
%
B2
7.375 %
B3
7.00
Fresenius Medical Care Capital Trust IV, Gtd. Notes
HCA, Inc., Debs.
HCA, Inc., Notes
HCA, Inc., Sec’d. Notes, 144A
Rotech Healthcare, Inc., Gtd. Notes
Tenet Healthcare Corp., Sr. Unsec’d. Notes
Triad Hospitals, Inc., Sr. Sub. Notes
%
02/
01/
08
06/
15/
11
11/
15/
15
06/
15/
25
11/
15/
16
04/
01/
12
02/
01/
13
11/
15/
13
500
506,250
1,425
1,496,250
200
176,411
681
587,049
5,595
6,035,606
2,775
2,747,250
1,550
1,439,562
1,000
1,043,750
15,857,434
Machinery & Equipment — 0.4%
Chart Industries, Inc., Sr. Sub. Notes, 144A
B3
9.125 %
10/
15/
15
1,000
1,045,000
400
421,500
1,985
2,049,512
EUR 1,220
1,768,258
Media — 2.4%
DirecTV Holdings LLC/DirecTV Financing Co., Sr. Notes
Ba3
8.375 %
Ba3
7.125 %
B2
8.00
Caa2
10.375%
B3
7.75
B3
8.625 %
Echostar DBS Corp., Gtd. Notes
Lighthouse International Co. SA, Gtd. Notes, 144A (Luxembourg)
%
Unity Media GmbH, Sr. Notes, 144A (Germany)
UPC Holding BV, Sec’d. Notes (Netherlands)
%
UPC Holding BV, Sr. Notes, 144A (Netherlands)
03/
15/
13
02/
01/
16
04/
30/
14
02/
15/
15
01/
15/
14
01/
15/
14
450
477,000
EUR 675
919,729
EUR 300
419,789
6,055,788
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Metals — 0.2%
Novelis, Inc., Gtd. Notes (Canada)
B1
7.25
%
02/
15/
15
425
449,438
325
349,781
1,125
1,216,406
1,000
1,017,500
Metals & Mining — 1.0%
Freeport-McMoRan Copper & Gold, Inc., Sr. Unsec’d. Notes
Ba3
8.25
%
Ba3
8.375 %
Ba1
6.875 %
Freeport-McMoRan Copper & Gold, Inc., Sr. Unsec’d. Notes
Peabody Energy Corp., Gtd. Notes
04/
01/
15
04/
01/
17
03/
15/
13
2,583,687
Office Equipment — 0.5%
Xerox Capital Trust I, Gtd. Notes
Ba1
8.00
%
02/
01/
27
1,300
1,326,000
800
824,000
875
916,562
325
333,125
1,000
1,105,000
5,710
5,966,950
Oil & Gas Exploration/Production — 9.2%
Chesapeake Energy Corp., Gtd. Notes
Ba2
7.00
%
Ba2
7.50
%
B2
8.00
%
Ba3
7.75
%
B1
7.75
%
Chesapeake Energy Corp., Gtd. Notes
Complete Production Services, Inc., Sr. Notes, 144A
El Paso Corp., Sr. Notes
El Paso Production Holding Co., Gtd. Notes
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08/
15/
14
06/
15/
14
12/
15/
16
01/
15/
32
06/
01/
13
Oil & Gas Exploration/Production (cont’’d)
Hanover Compressor Co., Sr. Unsec’d. Notes
B2
9.00 %
Ba2
8.125%
B1
8.25 %
B1
7.875%
Ba3
7.27 %
Ba3
7.67 %
B1
8.75 %
Ba2
7.50 %
Ba2
7.875%
Naftogaz Ukraine, Bonds
OPTI Canada, Inc., Gtd. Notes, 144A
Pogo Producing Co., Sr. Sub. Notes
Roseton/Danskammer, Pass-Through Certs.
Roseton/Danskammer, Pass-Through Certs.
SemGroup LP, Sr. Notes, 144A
Williams Cos., Inc., Debs.
Williams Cos., Inc., Sr. Unsec’d. Notes
06/
01/
14
09/
30/
09
12/
15/
14
05/
01/
13
11/
08/
10
11/
08/
16
11/
15/
15
01/
15/
31
09/
01/
21
$1,200
$1,299,000
1,000
1,015,390
900
936,000
350
352,625
2,200
2,249,500
675
715,500
1,550
1,573,250
1,500
1,590,000
3,800
4,180,000
23,056,902
Oil, Gas & Consumable Fuels — 0.1%
7.00 %
03/
15/
17
125
125,625
6.75 %
01/
31/
14
700
712,250
6.75 %
04/
01/
17
1,325
1,371,375
7.625%
06/
01/
15
1,000
1,017,500
Plains Exploration & Production Co., Gtd. Notes
Ba3
Personnel Services — 0.3%
Corrections Corp. of America, Gtd. Notes
Ba2
Real Estate Investment Trusts — 0.5%
Ventas Realty LP/Ventas Capital Corp., Gtd. Notes
Ba2
Real Estate Management & Development — 0.4%
Forest City Enterprises, Inc., Sr. Unsec’d. Notes
Ba3
Retail — 3.0%
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Amerigas Partners LP, Sr. Notes
B1
7.125%
B1
7.25 %
Ba3
6.75 %
B2
8.75 %
B1
6.875%
Amerigas Partners LP, Sr. Unsec’d. Notes
Ferrellgas Escrow LLC/Ferrellgas Finance Escrow Corp., Sr. Notes
Ferrellgas Partners LP/Ferrellgas Partners Finance, Sr. Notes
Suburban Propane Partners LP, Sr. Notes
05/
20/
16
05/
20/
15
05/
01/
14
06/
15/
12
12/
15/
13
1,025
1,027,562
1,850
1,868,500
1,825
1,788,500
1,400
1,452,500
1,425
1,403,625
7,540,687
Retail & Merchandising — 0.4%
Bon-Ton Stores, Inc. (The), Gtd. Notes
B3
10.25%
03/
15/
14
1,000
1,073,750
1,575
1,576,969
875
868,437
1,525
1,515,469
Semiconductors — 1.6%
Freescale Semiconductor, Inc., Sr. Notes, 144A
B1
8.875%
B1
9.125%
Caa1
8.00 %
Freescale Semiconductor, Inc., Sr. Notes, 144A, PIK
Sensata Technologies BV, Gtd. Notes (Netherlands)
12/
15/
14
12/
15/
14
05/
01/
14
3,960,875
Services Cyclical - Rental Equipment — 0.8%
Hertz Corp., Gtd. Notes
B1
8.875%
01/
01/
14
1,975
2,128,063
900
846,000
1,750
1,876,875
Technology — 1.1%
Sanmina-SCI Corp., Sr. Sub. Notes
B2
8.125%
Caa1
9.125%
Sungard Data Systems, Inc., Gtd. Notes
03/
01/
16
08/
15/
13
2,722,875
Telecommunications — 9.9%
American Cellular Corp., Gtd. Notes
B3
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10.00%
08/
01/
11
144
152,460
Cincinnati Bell, Inc., Gtd. Notes
B2
8.375%
Ba2
7.125%
Ba2
7.875%
Ba2
9.00 %
B3
9.75 %
B2
9.75 %
B2
9.25 %
B2
9.00 %
B2
8.625%
B2
8.25 %
Citizens Communications Co., Bonds, 144A
Citizens Communications Co., Sr. Notes, 144A
Citizens Communications Co., Sr. Unsec’d. Notes
Hawaiian Telecom Communications, Inc., Gtd. Notes
Insight Midwest LP/Insight Capital, Inc., Sr. Notes
Intelsat Bermuda Ltd., Gtd. Notes, 144A (Bermuda)
Intelsat Corp., Gtd. Notes, 144A (Bermuda)
Intelsat Subsidiary Holding Co. Ltd., Gtd. Notes (Bermuda)
Intelsat Subsidiary Holding Co. Ltd., Sr. Notes (Bermuda)
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01/
15/
14
03/
15/
19
01/
15/
27
08/
15/
31
05/
01/
13
10/
01/
09
06/
15/
16
06/
15/
16
01/
15/
15
01/
15/
13
1,700
1,738,250
725
717,750
500
511,250
1,025
1,122,375
1,300
1,345,500
675
685,969
1,075
1,190,562
900
991,125
75
80,250
1,000
1,042,500
Telecommunications (cont’’d)
Mobile Telesystems Finance SA, Gtd. Notes (Luxembourg)
Ba3
8.375 %
Ba3
8.00
B2
8.875 %
B3
10.125%
B3
10.75 %
Ba1
7.75
%
Ba3
7.50
%
Ba1
7.50
%
Ba1
8.875 %
Ba1
7.625 %
B3
9.875 %
B3
9.25
B2
10.75 %
Mobile Telesystems Finance SA, Gtd. Notes, 144A (Luxembourg)
%
Nordic Telephone Co. Holdings ApS, Sec’d. Notes, 144A (Denmark)
Nortel Networks Ltd., Gtd. Notes, 144A (Canada)
Nortel Networks Ltd., Gtd. Notes, 144A (Canada)
Northwestern Bell Telephone, Debs.
Qwest Communications International, Inc., Gtd. Notes
Qwest Corp., Debs.
Qwest Corp., Notes
Qwest Corp., Sr. Notes
Rural Cellular Corp., Sr. Unsec’d. Notes
Time Warner Telecom Holdings, Inc., Gtd. Notes
%
Wind Acquisition Finance SA, Sec’d. Notes, 144A (Luxembourg)
10/
14/
10
01/
28/
12
05/
01/
16
07/
15/
13
07/
15/
16
05/
01/
30
02/
15/
14
06/
15/
23
03/
15/
12
06/
15/
15
02/
01/
10
02/
15/
14
12/
01/
15
$500
$529,515
350
370,125
1,300
1,391,000
500
548,750
550
610,500
750
751,875
3,630
3,738,900
1,500
1,524,375
1,050
1,160,250
875
934,063
600
633,000
2,250
2,407,500
600
687,000
24,864,844
Telecommunications - Cellular — 0.6%
7.375 %
08/
01/
15
1,350
1,396,304
7.625 %
06/
01/
16
675
718,086
Nextel Communications, Inc., Gtd. Notes
Baa3
Tobacco — 0.7%
Reynolds American, Inc., Gtd. Notes, 144A
Ba2
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Reynolds American, Inc., Gtd. Notes, 144A
Ba2
7.75
%
06/
01/
18
1,065
1,149,143
1,867,229
Transportation — 0.7%
Horizon Lines LLC, Gtd. Notes
B3
9.00
%
11/
01/
12
1,671
1,754,550
1,900
2,023,500
325
442,406
500
521,250
500
480,000
1,466
1,667,859
1,000
1,085,000
725
743,125
3,375
3,467,094
1,000
1,080,000
371
411,670
2,075
2,191,719
800
816,641
Utilities — 7.2%
AES Corp. (The), Sec’d. Notes, 144A
Ba3
8.75
%
Ba3
2.875 %
Ba3
6.875 %
B2
7.125 %
Ba2
8.734 %
Ba2
8.75
%
B1
7.25
%
B1
7.375 %
Ba3
8.50
Ba2
9.237 %
B2
6.75
%
B1
6.75
%
CMS Energy Corp., Sr. Notes
CMS Energy Corp., Sr. Unsec’d. Notes
Dynegy Holdings, Inc., Sr. Unsec’d. Notes
Homer City Funding LLC, Gtd. Notes
Midwest Generation LLC, Sec’d. Notes
NRG Energy, Inc., Gtd. Notes
NRG Energy, Inc., Gtd. Notes
PSE&G Energy Holdings LLC, Sr. Notes
%
Reliant Energy Mid-Atlantic Power Holdings LLC, Pass-Through Certs., Series B
Reliant Energy, Inc., Gtd. Notes
Sierra Pacific Resources, Sr. Unsec’d. Notes
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05/
15/
13
12/
01/
24
12/
15/
15
05/
15/
18
10/
01/
26
05/
01/
34
02/
01/
14
02/
01/
1601/
15/
17
06/
15/
11
07/
02/
17
12/
15/
14
08/
15/
17
Sierra Pacific Resources, Sr. Unsec’d. Notes
B1
South Point Energy Center LLC/Broad River Energy LLC/Rockgen Energy LLC,
Gtd. Notes, 144A(i)
8.625 %
B(d)
8.40
%
Ba2
7.00
%
Tenaska Alabama Partners LP, Sec’d. Notes, 144A
03/
15/
14
05/
30/
12
06/
30/
21
1,300
1,406,249
1,030
1,007,403
793
798,028
18,141,944
Waste Management — 1.2%
Allied Waste North America, Inc., Gtd. Notes
B1
7.125 %
B1
7.25
Allied Waste North America, Inc., Gtd. Notes
%
05/
15/
16
03/
15/
15
625
635,937
2,250
2,295,000
2,930,937
TOTAL CORPORATE BONDS
(cost $215,277,231)
220,888,301
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Shares
Value
PREFERRED STOCKS — 0.3%
Financial Services — 0.1%
Freeport-McMoRan Cooper & Gold, Inc., 6.75%, CVT
2,700
$288,657
4,000
399,320
Oil & Gas Exploration/Production — 0.2%
Chesapeake Energy Corp., 4.5%, CVT
TOTAL PREFERRED STOCKS
(cost $669,676)
687,977
TOTAL LONG-TERM INVESTMENTS
(cost $230,613,781)
236,469,086
SHORT-TERM INVESTMENTS — 3.3%
AFFILIATED MONEY MARKET MUTUAL FUND — 3.3%
Dryden Core Investment Fund - Taxable Money Market Series (cost $8,322,826) (w)
8,322,826
8,322,826
Principal
Interest
Maturity
Amount
Rate
Date
(000)#
Value
U.S. TREASURY OBLIGATION (k)(n)
4.89 %
06/14/
07
$ 50
49,504
4.955 %
06/14/
07
60
59,405
U.S. Treasury Bills
U.S. Treasury Bills
TOTAL U.S. TREASURY OBLIGATIONS
(cost $108,871)
108,909
TOTAL SHORT-TERM INVESTMENTS
(cost $8,431,697)
8,431,735
TOTAL INVESTMENTS——97.3%
(cost $239,045,478)
Other assets in excess of liabilities(u) — 2.7%
NET ASSETS — 100.0%
244,900,821
6,723,790
$251,624,611
The following abbreviations are used in portfolio descriptions:
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
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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.
CVT
Convertible Security
NR
Not Rated by Moody’s or Standard & Poor’s
PIK
Payment-in-kind
EUR
Euro
GBP
British Pound
Principal amount is shown in U.S. dollars unless otherwise stated.
#
Indicates a variable rate security.
(c)
Standard & Poor’s rating.
(d)
Indicates a security that has been deemed illiquid.
(g)
Represents issuer in default on interest payments. Non-income producing security.
(i)
Securities segregated as collateral for futures contracts.
(k)
Rates shown are the effective yields at purchase date.
(n)
(u)
Other assets in excess of liabilities includes unrealized appreciation (depreciation) on futures contracts, forward foreign currency
contracts, interest rate and credit default swap agreements as follows:
Securities or a portion thereof with an aggregate market value of $108,909 have been segregated with the custodian to cover margin
requirements for futures contracts open at March 31, 2007.
Number of Contracts
Type
Expiration
Value at
Value at
Unrealized
Date
Trade Date
March 31, 2007
(Depreciation)
$11,679,763
$11,652,813
$ (26,950
Long Positions:
49
90 Day Euro Dollar
Dec 07
Copyright © 2012 www.secdatabase.com. All Rights Reserved.
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)
45
90 Day Sterling
Mar 08
10,444,831
10,432,655
(12,176
)
$ (39,126
)
Forward foreign currency exchange contracts outstanding at March 31, 2007:
Notional
Purchase Contracts
Unrealized
Amount
Value at Settlement
Current
Appreciation
(000)
Date Payable
Value
(Depreciation)
Euros,
expiring 04/26/07
EUR 955
$ 1,275,365
$1,275,732
Notional
$ 367
Unrealized
Amount
Value at Settlement
Current
Appreciation
(000)
Date Receivable
Value
(Depreciation)
Sale Contracts
Euros,
expiring 04/26/07
EUR 4,792
6,404,992
6,408,302
(3,310
)
EUR322
430,018
430,142
(124
)
EUR955
1,279,130
1,275,732
3,398
GBP105
206,693
206,624
69
$ 8,320,833
$8,320,800
expiring 04/26/07
expiring 04/26/07
Pound Sterling,
expiring 04/05/07
$ 33
Interest rate swap agreements outstanding at March 31, 2007:
Unrealized
Counterparty
Termination Date
Notional Amount
Fixed Rate
12/19/08
$ 300,000
5.00
Floating Rate
UBS AG(1)
(1)
(2)
Appreciation
3 month LIBOR
%
$ 225
Porfolio pays the floating rate and receives the fixed rate.
Portfolio pays the fixed rate and receives the floating rate.
Credit default swap agreements outstanding at March 31, 2007:
Counterparty
Termination Date
Notional Amount
Fixed Rate
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Underlying Bond
Unrealized
Appreciation
(Depreciation)
03/20/08
$1,000,000
0.65
Abitibi-Consol, Co., 8.375%, due 04/
% 01/15
06/20/07
800,000
0.95
% AES Corp., 8.75%, due 06/15/08
1,125
06/20/07
400,000
0.95
% AES Corp., 8.75%, due 06/15/08
563
2.45
Bombardier, Inc., 6.75%, due 05/01/
% 12
5,055
1.11
Chesapeake Energy Corp., 6.875%,
% due 01/15/16
787
459
Credit Suisse International, LTD. (1)
$ (5,013
)
Merrill Lynch International(1)
Merrill Lynch International(1)
Morgan Stanley Capital Services,
Inc.(1)
09/20/07
500,000
Lehman Brothers, Inc.(1)
06/12/12
1,000,000
Morgan Stanley Capital Services,
Inc.(1)
03/20/12
700,000
1.05
Chesapeake Energy Corp., 6.875%,
% due 01/15/16
12/20/11
10,000,000
3.25
% Dow Jones CDX IG4 Index
(102,422 )
12/20/11
7,000,000
3.25
% Dow Jones CDX IG4 Index
(47,500
6,499
Bank of America(2)
Duetsche Bank(2)
02/20/12
1,500,000
0.90
Federal Republic of Brazil, 12.25%,
% due 03/06/30
06/20/07
2,000,000
3.40
Ford Motor Credit Co., 7.00%, due
% 10/01/13
16,214
8,186
Barclays Bank PLC(1)
JPMorgan Chase Bank, N.A.(1)
)
09/20/07
1,000,000
2.20
Ford Motor Credit Co., 7.00%, due
% 10/01/13
03/20/12
1,300,000
1.03
% GMAC LLC, 6.875%, due 08/28/12
(39,700
)
03/20/12
1,000,000
1.30
% GMAC LLC, 6.875%, due 08/28/12
(18,944
)
03/20/12
1,000,000
1.05
% GMAC LLC, 6.875%, due 08/28/12
(28,746
)
04/20/11
1,500,000
1.05
% JSC “GAZPROM”
27,680
02/20/12
1,000,000
0.77
% JSC “GAZPROM”
810
JPMorgan Chase Bank, N.A.(1)
Citigroup(1)
Goldman Sachs(1)
Citigroup(1)
Morgan Stanley Capital Services,
Inc.(1)
JPMorgan Chase Bank, N.A.(1)
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0.76
OJSC Russian Agricultural Bank,
% 6.875%, due 11/29/10
3,544
0.74
OJSC Russian Agricultural Bank,
% 6.875%, due 11/29/10
721
Barclays Bank PLC(1)
02/20/09
1,000,000
Barclays Bank PLC(1)
03/20/09
500,000
$ (170,682 )
(1)
(2)
Portfolio receives the fixed rate and pays the counterparty the notional amount in the event that the underlying bond defaults.
Portfolio pays the fixed rate and receives from the counterparty, par in the event that the underlying bond defaults.
(w) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund – Taxable
Money Market Series.
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SP PIMCO TOTAL RETURN PORTFOLIO
Schedule of Investments
March 31, 2007 (Unaudited)
Principal
Moody’’s
Interest
Maturity
Amount
Ratings
Rate
Date
(000)#
Value
LONG-TERM INVESTMENTS — 120.0%
ASSET-BACKED SECURITIES — 2.8%
5.30 % (c)
11/19/
07
4,500
$4,501,408
5.595 % (c)
09/25/
34
1,561
1,559,951
5.36 % (c)
09/15/
09
1,295
1,295,079
AAA (d)
5.48 % (c)
04/25/
36
1,925
1,925,986
Aaa
5.10 %
09/18/
08
8,634
8,630,559
5.38 % (c)
10/27/
36
1,338
1,337,853
Aaa
5.42 % (c)
12/15/
11
2,000
2,004,793
Aaa
5.36 % (c)
06/25/
36
653
653,365
Aaa
5.37 % (c)
11/25/
36
1,657
1,655,780
Aaa
5.18 %
11/15/
11
10,498
10,494,621
5.37 % (c)
10/25/
36
6,265
6,264,752
Arkle Master Issuer PLC, Series 2006-1A, Class1A, 144A
Aaa
Asset Backed Securities Corp. Home Equity Loan Trust, Series
2004-HE6, Class A1
Aaa
Chase Credit Card Master Trust, Series 2004-2, Class A
Aaa
Countrywide Asset-Backed Certificates, Series 2006-SD1, Class
A1, 144A
Honda Auto Receivables Owner Trust, Series 2006-1, Class A2
Master Asset Backed Securities Trust, Series 2006-AM3, Class A1
Aaa
MBNA Credit Card Master Note Trust, Series 2004-A7, Class A7
Morgan Stanley ABS Capital I, Series 2006-HE4 Class A1
Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-2,
Class A1
Nissan Auto Receivables Owner Trust, Series 2006-B, Class A2
Structured Asset Securities Corp., Series 2006-BC3, Class A2
Aaa
TOTAL ASSET-BACKED SECURITIES
(cost $40,333,398)
40,324,147
BANK NOTES — 0.3%
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Metro Goldwin In Term B1
NR
8.605 %
04/08/
12
Aaa
5.38 % (c)
11/25/
36
1,484
1,484,263
Aaa
6.50 %
10/25/
31
236
238,903
5.625 %
02/25/
33
506
505,087
Aaa
5.393 %
05/25/
35
3,619
3,609,156
Aaa
5.96 % (c)
06/01/
23
63
63,208
Aaa
5.50 % (c)
12/25/
46
7,171
7,157,002
5.503 % (c)
01/25/
46
5,300
5,300,000
Aaa
6.50 %
07/25/
31
293
297,585
Aaa
4.00 %
05/18/
11
1,500
1,446,789
Aaa
5.97 % (c)
02/16/
30
22
22,721
Aaa
5.40 % (c)
10/25/
46
4,185
4,185,119
Aaa
4.54 % (c)
10/25/
35
6,284
6,218,714
Aaa
5.41 % (c)
12/19/
36
2,459
2,460,987
(cost $4,000,000)
4,000
3,997,507
COLLATERALIZED MORTGAGE OBLIGATIONS — 4.2%
Asset Backed Funding Certificates, Series 2006-OPT3, Class A3A
Banc of America Mortgage Securities, Inc., Series 2004-2, Class
5A1
Bear Stearns Adjustable Rate Mortgage Trust, Series 2002-11,
Class 1A1
Aaa
Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-4, Class
23A2
Brazos Student Loan Finance Corp., Series 1998-A, Class A2
Countrywide Alternative Loan Trust, Series 2006-OA19, Class
A1A
Countrywide Alternative Loan Trust, Series 2006-OA20, Class A1
Aaa
Federal National Mortgage Assoc., Series 2001-29, Class Z
Government Lease Trust, Series 1999-C1A, Class B2, 144A
Government National Mortgage Assoc., Series 2000-14, Class F
Greenpoint Mortgage Funding Trust, Series 2006-AR6, Class A1A
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1
Harborview Mortgage Loan Trust, Series 2006-122, Class A1A1
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Impac Secured Assets CMN Owner Trust, Series 2006-4, Class
A2A
Aaa
5.40 % (c)
12/25/
36
418
418,227
Aaa
6.663 % (c)
01/25/
32
7
6,507
Indymac ARM Trust, Series 2001-H2, Class A1
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Master Asset Securitization Trust, Series 2003-7, Class 1A2
AAA (d)
5.50 %
AAA (d)
6.42 % (c)
Mellon Residential Funding Corp., Series 1999-TBC2, Class A3
Merrill Lynch Floating Trust, Series 2006-1, Class A1, 144A
5.39 % (c)
Quest Trust, Series 2004-X2, Class A1, 144A
Aaa
5.88 % (c)
Aaa
6.50 %
Aaa
5.642% (c)
Aaa
6.183% (c)
Aaa
5.384% (c)
Aaa
5.59 % (c)
Aaa
5.61 % (c)
Aaa
5.743% (c)
Aaa
6.433% (c)
Residential Funding Mortgage Securities I, Series 2003-S9, Class A1
Washington Mutual, Inc., Series 2002-AR2, Class A
Washington Mutual, Inc., Series 2002-AR17, Class 1A
Washington Mutual, Inc., Series 2003-AR1, Class 2A
Washington Mutual, Inc., Series 2003-R1, Class A1
Washington Mutual, Inc., Series 2005-AR13, Class A1A1
Washington Mutual, Inc., Series 2006-AR17, Class 1A1A
Washington Mutual, Inc., Series 2007-AR17, Class 2A
09/
25/
33
07/
25/
29
06/
15/
22
06/
25/
34
03/
25/
32
02/
27/
34
11/
25/
42
02/
25/
33
12/
25/
27
10/
25/
45
12/
25/
46
12/
25/
46
2,654
2,606,300
16
15,908
1,779
1,779,018
213
213,507
600
603,958
1,119
1,129,997
1,229
1,234,420
146
145,837
11,580
11,578,700
4,507
4,513,336
2,567
2,573,805
700
699,528
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(cost $60,567,052)
60,508,582
CORPORATE BONDS — 16.0%
Aerospace — 0.1%
6.29 %
07/
01/
16
2,200
2,308,123
Zero
01/
21/
17
82
5,752
Goodrich Corp., Notes
Baa3
Airlines
United AirLines, Inc., Pass Thru Certificates(g)
NR
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Automobile Manufacturers — 0.5%
DaimlerChrysler NA Holding Corp., Gtd. Notes
Baa1
5.77 % (c)
Baa1
5.75 %
DaimlerChrysler NA Holding Corp., Notes
03/
13/
09
09/
08/
11
3,500
3,510,643
3,400
3,454,169
6,964,812
Building Materials — 0.4%
Lennar Corp., Gtd. Notes
Baa2
5.95 %
Baa3
6.25 %
Pulte Homes, Inc. Sr. Unsec’d. Notes
10/
17/
11
02/
15/
13
5,000
4,992,205
600
598,113
5,590,318
Diversified — 1.7%
C10 Capital SPV Ltd., Debs., 144A
BBB-(d)
6.722%
Aaa
5.38 % (c)
Baa2
5.80 %
Aa3
5.41 % (c)
General Electric Co., Unsec’d. Notes
iStar Financial, Inc., Sr Unsec’d. Notes
Siemens Financieringsmat, Notes, 144A (Netherlands)
12/
31/
49
12/
09/
08
03/
15/
11
08/
14/
09
2,500
2,450,125
6,832
6,836,263
1,000
1,012,649
14,700
14,702,676
25,001,713
Financial - Bank & Trust — 6.8%
HSBC Bank USA NA, Sr. Notes
Aa2
5.42 % (c)
A1
6.21 %
Aa3
5.485%
Intesa Bank Overseas Ltd., Bank Gtd. Notes
Morgan Stanley, Sr. Notes
Norddeutsche Landesbank Girozentrale, Notes (Germany)
Aaa
0.45 %
Aaa
0.20 %
Rabobank Nederland, Notes (Netherlands)
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09/
21/
07
01/
02/
08
01/
18/
08
01/
19/
09
06/
20/
08
2,300
2,301,145
16,000
16,135,840
412
412,366
JPY 2,456,000
569,000
20,730,962
4,796,249
Rabobank Nederland, Sr. Notes, 144A (Netherlands)
Aaa
5.38 % (c)
Baa1
5.85 %
Resona Bank Ltd., Notes, 144A
Royal Bank of Scotland Group PLC, Sr. Notes, 144A (United
Kingdom)
Aa1
5.35 %
Aa1
5.42 % (c)
Baa2
5.60 %
A2
5.96 % (c)
Santander US Debt SA Unipersonal, Gtd. Notes, 144A
Vornado Realty LP, Sr. Unsec’d. Notes
VTB Capital SA, Sr. Notes, 144A
01/
15/
09
09/
29/
49
12/
21/
07
02/
06/
09
02/
15/
11
08/
01/
08
6,700
6,702,224
4,000
3,980,448
23,000
23,015,226
15,500
15,519,824
1,000
1,004,683
3,700
3,701,850
98,300,817
Financial Services — 2.4%
ASIF Global Funding XXVIII, Notes, 144A
Aa2
5.40 % (c)
Aa1
6.625%
Aa1
5.416% (c)
Aa3
5.47 % (c)
Baa1
7.375%
Baa1
8.625%
Baa1
9.125%
Baa1
9.25 %
Baa1
5.265%
Citi Financial, Inc., Notes
Citigroup, Inc., Unsec’d. Notes
Morgan Stanley, Sr. Notes
Pemex Project Funding Master Trust, Gtd. Notes
Pemex Project Funding Master Trust, Gtd. Notes
Pemex Project Funding Master Trust, Gtd. Notes
Pemex Project Funding Master Trust, Gtd. Notes
Petroleum Export Ltd., Sr. Notes, 144A (Cayman Islands)
05/
03/
07
06/
01/
15
01/
30/
09
02/
09/
09
12/
15/
14
02/
01/
22
10/
13/
10
03/
30/
18
06/
15/
11
8,600
8,600,602
600
644,245
2,700
2,700,027
15,400
15,412,181
300
331,350
500
622,500
2,000
2,239,000
1,700
2,153,900
2,150
2,102,820
34,806,625
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Gaming — 0.4%
Mandalay Resort Group, Sr. Sub. Notes
Ba3
10.25%
B1
9.75 %
MGM Mirage, Inc., Gtd. Notes
08/
01/
07
06/
01/
07
4,200
4,257,750
1,100
1,105,500
5,363,250
Insurance — 0.5%
ASIF III Jersey Ltd., Sec’d. Notes (Japan)
Aa2
0.95 %
07/
15/
09
JPY 875,000
7,407,138
Oil, Gas & Consumable Fuels — 0.6%
El Paso Corp., Sr. Notes
Caa1
7.00 %
Caa1
7.80 %
B2
7.625%
Baa1
5.548%
El Paso Corp., Sr. Notes
El Paso Corp., Sr. Unsec’d. Notes
Transocean, Inc., Notes
05/
15/
11
08/
01/
31
08/
16/
07
09/
05/
08
200
210,000
1,050
1,160,250
100
98,125
7,800
7,808,268
9,276,643
Paper & Forest Products — 0.3%
Georgia-Pacific Corp., Gtd. Notes, 144A
Ba3
7.00 %
Ba3
7.125%
Ba2
7.75 %
Georgia-Pacific Corp., Gtd. Notes, 144A
Georgia-Pacific Corp., Notes
01/
15/
15
01/
15/
17
11/
15/
29
900
904,500
1,300
1,303,250
3,000
2,970,000
5,177,750
Retail & Merchandising — 0.3%
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5.75 %
08/
15/
11
3,700
3,768,165
5.46 %(c)
08/
15/
08
7,200
7,203,744
CVS Corp., Sr. Unsec’d. Notes
Baa2
Telecom——Integrated/Services — 0.5%
BellSouth Corp., Sr. Unsec’d. Notes
A2
Telecommunications — 1.2%
Nippon Telegraph & Telephone Corp., Notes (Japan)
Aa2
2.50 %
Ba3
8.875%
Ba3
7.625%
A3
5.85 %
Qwest Corp., Notes
Qwest Corp., Sr. Notes
Verizon Global Funding Corp., Sr. Notes
07/
25/
07
03/
15/
12
06/
15/
15
09/
15/
35
JPY 667,000
5,692,243
1,650
1,823,250
7,000
7,472,500
2,500
2,364,192
17,352,185
Tobacco — 0.3%
Reynolds American, Inc., Gtd. Notes
Ba2
7.625%
06/
01/
16
4,000
4,255,324
TOTAL CORPORATE BONDS
(cost $230,851,003)
232,782,359
FOREIGN GOVERNMENT BONDS — 2.2%
Federal Republic of Brazil (Brazil)
Ba3
7.125%
Ba3
7.875%
Ba2
12.50%
Federal Republic of Brazil (Brazil)
Federal Republic of Brazil Notes (Brazil)
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01/
20/
37
03/
07/
15
01/
05/
22
200
221,200
75
85,388
18,300
10,391,376
Federal Republic of France (France)
Aaa
4.00 %
Ba1
8.875%
Ba3
9.125%
Aaa
0.35 %
Baa3
5.00 %
Federal Republic of Panama (Panama)
Federal Republic of Peru (Peru)
Japan Bank International Corp. (Japan)
Russian Federation (Russia)
United Kingdom Treasury Stock (United Kingdom)
Aaa
4.25 %
Aaa
5.75 %
United Kingdom Treasury Stock (United Kingdom)
12/
31/
49
09/
30/
27
01/
15/
08
03/
19/
08
03/
31/
30
03/
01
12/
07/
09
EUR 1,400
1,771,512
750
955,500
400
410,000
JPY 350,000
10
2,963,018
11,349
GBP 5,900
11,188,753
GBP1,700
3,375,111
TOTAL FOREIGN GOVERNMENT BONDS
(cost $30,890,910)
31,373,207
MUNICIPAL BONDS — 1.1%
Aaa
5.00 %
Baa3
6.25 %
Aaa
5.00 %
Aaa
5.00 %
Aaa
5.00 %
03/
01/
21
06/
01/
33
07/
01/
23
08/
01/
32
12/
01/
23
5.58 %(c)
01/
01/
32
Georgia State Road & Tollway Authority
Golden State Tobacco Securitization Corp., Series A1
Honolulu Hawaii City & County, Series A
Massachusetts Water Resources Authority, Series J
Pierce County Washington School District No. 3
Salt River Project Agricultural Improvement & Power District,
144A
AA (d)
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700
734,146
2,500
2,765,825
3,075
(f)
3,245,939
2,500
(f)
2,617,700
3,000
(f)
3,159,420
500
521,120
Salt River Project Agricultural Improvement & Power District,
Series B
Aa1
4.75 %
Baa3
6.125%
Baa3
6.25 %
Tobacco Settlement Financing Corp.
Tobacco Settlement Financing Corp.
01/
01/
32
06/
01/
32
06/
01/
42
1,000
(f)
1,021,890
1,205
1,285,121
400
431,724
TOTAL MUNICIPAL BONDS
(cost $14,828,835)
15,782,885
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Principal
Interest
Maturity
Amount
Rate
Date
(000)#
U.S. GOVERNMENT MORTGAGE BACKED OBLIGATIONS — 76.0%
Federal Home Loan Mortgage Corp.
4.00 %
09/01/18
719
680,334
4.50 %
941
884,450
56,264
54,428,643
78,257
73,982,378
94,690
89,986,841
5.00 %
11/01/35
09/01/
3501/01/37
07/01/
1803/01/20
04/17/
2206/01/36
12/01/
1803/01/36
57,921
56,030,138
5.00 %
TBA
87,000
84,036,606
5.191 %
06/01/35
09/01/
3209/01/35
1,784
1,784,956
364,823
361,430,113
94
95,470
6.00 %
05/01/36
04/01/
1611/01/36
179,854
181,208,425
6.351 %
12/01/36
2,187
2,214,702
4.50 %
09/15/33
41
39,212
5.00 %
TBA
04/20/
2505/20/25
59,000
57,395,908
56
55,793
Federal Home Loan Mortgage Corp.
Federal Home Loan Mortgage Corp.
5.00 %
Federal National Mortgage Assoc.
4.00 %
Federal National Mortgage Assoc.
4.50 %
Federal National Mortgage Assoc.
Federal National Mortgage Assoc.
Federal National Mortgage Assoc.
Federal National Mortgage Assoc.
5.50 %
Federal National Mortgage Assoc.
5.627 %
Federal National Mortgage Assoc.
Federal National Mortgage Assoc.
Government National Mortgage Assoc.
Government National Mortgage Assoc.
Government National Mortgage Assoc.
5.375 %
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5.75 %
08/20/
2408/20/27
183
185,354
6.00 %
04/19/37
136,000
137,742,432
9.00 %
07/15/30
1
1,507
9.00 %
08/15/30
—
Government National Mortgage Assoc.
Government National Mortgage Assoc.
Government National Mortgage Assoc.
Government National Mortgage Assoc.
(r)
993
TOTAL U.S. GOVERNMENT MORTGAGE BACKED OBLIGATIONS
(cost $1,109,117,110)
1,102,184,255
U.S. TREASURY OBLIGATION — 17.4%
U.S. Treasury Bonds
4.50 %
02/28/11
13,050
13,032,161
4.625 %
02/15/17
4,600
4,590,657
0.875 %
10,800
11,157,681
2.00 %
04/15/10
07/15/
1401/15/26
29,100
30,409,124
2.375 %
04/15/11
5,100
5,268,634
3.375 %
02/15/08
660
651,209
3.50 %
12/15/09
8,700
8,467,884
3.75 %
05/15/08
1,100
1,086,895
4.00 %
02/15/14
13,200
12,733,882
4.375 %
01/31/08
3,500
3,483,182
U.S. Treasury Bonds
U.S. Treasury Inflationary Bonds,TIPS
U.S. Treasury Inflationary Bonds,TIPS
U.S. Treasury Inflationary Bonds,TIPS
U.S. Treasury Notes
U.S. Treasury Notes
U.S. Treasury Notes
U.S. Treasury Notes
U.S. Treasury Notes
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4.75 %
12/31/
1102/29/12
12/31/
0801/31/12
6.25 %
05/15/30
18,100
21,444,265
8.125 %
08/15/19
05/15/
1402/15/22
7,800
10,186,316
42,600
28,383,294
U.S. Treasury Notes
4.625 %
U.S. Treasury Notes
50,700
50,882,635
49,900
50,064,461
U.S. Treasury Notes
U.S. Treasury Notes
U.S. Treasury Strips
Zero
TOTAL U.S. TREASURY OBLIGATIONS
(cost $251,820,908)
251,842,280
Expiration
Date
Units
06/01/
2007
1,000,000
WARRANTS
United Mexican State,Series E (Mexico)* (cost $0)
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14,500
TOTAL LONG-TERM INVESTMENTS
1,738,809,722
(cost $1,742,409,216)
Principal
Interest
Maturity
Amount
Rate
Date
(000)#
SHORT-TERM INVESTMENTS — 6.9%
FOREIGN TREASURY BILLS — 5.2%
3.52 %
04/12/
07
EUR
37
49,686,799
3.90 %
05/31/
07
EUR
1
1,858,943
5.50 %
04/25/
07
EUR
18
23,975,423
Belgium Discount Treasury Bill (Belgium)
Dutch Treasury Certificate (Netherlands)
French Treasury Bill (France)
TOTAL FOREIGN TREASURY BILLS
(cost $73,998,461)
75,521,165
Shares
AFFILIATED MONEY MARKET MUTUAL FUND
Dryden Core Investment Fund—Taxable Money Market Series
(cost $511,748)(w)
511,748
Principal
Interest
Maturity
Amount
Rate
Date
(000)#
CERTIFICATES OF DEPOSIT — 0.4%
Skandinavia Enskilda BK/NY
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511,748
5.27 %
10/03/
07
6,600
6,599,644
4.89 %
06/14/
07
100
99,008
4.892 %
06/14/
07
450
445,538
4.955 %
06/14/
07
7,250
7,178,109
4.96 %
06/14/
07
750
742,563
(cost $6,599,036)
U.S. TREASURY OBLIGATIONS (k)(n)—— 0.6%
U.S. Treasury Bills
U.S. Treasury Bills
U.S. Treasury Bills
U.S. Treasury Bills
TOTAL U.S. TREASURY OBLIGATIONS
(cost $8,461,804)
8,465,218
Notional
Amount
(000)
OUTSTANDING OPTIONS PURCHASED* — 0.7%
Call Options — 0.6%
USD Vs. JPY expiring 03/17/2010, Strike Price JPY104.00, forward delta
neutral straddle
18,400
938,161
945,000
1,045,406
2,000
1,462
88,000
29,700
1,197,000
920,194
Eurodollar Futures, expiring 09/14/2007, Strike Price $95.00
Eurodollar Futures, expiring 09/14/2007, Strike Price $95.25
Eurodollar Futures, expiring 09/17/2007, Strike Price $95.00
Eurodollar Futures, expiring 03/17/2008, Strike Price $95.25
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Eurodollar Futures, expiring 06/16/2008, Strike Price $95.25
589,000
555,869
5,000
75
72,100
2,270
161,900
449,219
132,100
1,169,481
82,100
552,152
7,800
531,469
9,800
741,909
79,300
823,063
17,500
11,185
60,900
9,516
22,500
3,516
FNCL, expiring 06/05/2007, Strike Price $104.25
Swap on 3 Month LIBOR, expiring 06/15/2007 @ 5.00%
GBP
Swap on 3 Month LIBOR, expiring 07/02/2007 @ 4.90%
Swap on 3 Month LIBOR, expiring 07/02/2007 @ 5.37%
Swap on 3 Month LIBOR, expiring 12/20/2007 @ 5.00%
Swap on 3 Month LIBOR, expiring 05/02/2008 @ 5.75%
Swap on 3 Month LIBOR, expiring 04/27/2009 @ 5.75%
Swap on 3 Month LIBOR, expiring 01/25/2010 @ 5.20%
Swap on 6 Month LIBOR, expiring 09/14/2007 @ 5.17%
GBP
U.S. Treasury Note Futures, expiring 05/25/2007, Strike Price $116.00
U.S. Treasury Note Futures, expiring 05/25/2007, Strike Price $117.00
7,784,647
Put Options — 0.1%
USD Vs. JPY expiring 03/17/2010, Strike Price JPY104.00, forward delta
neutral straddle
18,400
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712,098
Eurodollar Futures, expiring 06/18/2007, Strike Price $91.25
707,000
4,419
645,000
4,031
Eurodollar Futures, expiring 09/17/2007, Strike Price $90.25
Eurodollar Futures, expiring 09/17/2007, Strike Price $90.50
1,614,000 10,088
Eurodollar Futures, expiring 12/17/2007, Strike Price $91.25
720,000
4,500
798,000
4,988
510,000
242,250
Eurodollar Futures, expiring 12/17/2007, Strike Price $91.75
Eurodollar Futures, expiring 12/17/2007, Strike Price $95.25
Eurodollar Futures, expiring 03/17/2008, Strike Price $91.75
1,650,000 10,312
Eurodollar Futures, expiring 03/17/2008, Strike Price $92.25
1,500,000 9,375
Eurodollar Futures, expiring 03/17/2008, Strike Price $92.50
1,080,000 6,750
FNCL, expiring 06/05/2007, Strike Price $80.00
84,000
4,956
4,500
29,664
13,100
192,387
79,300
599,606
97,600
16,297
62,300
—
134,700
—
72,400
—
Swap on 3 Month LIBOR, expiring 05/02/2008 @ 6.25%
Swap on 3 Month LIBOR, expiring 04/27/2009 @ 6.25%
Swap on 3 Month LIBOR, expiring 01/25/2010 @ 5.20%
Swap on 3 Month EURIBOR, expiring 06/30/2007, Strike Price $95.75
Swap on 3 Month Sterling, expiring 06/19/2008, Strike Price $92.50
Swap on 3 Month Sterling, expiring 03/20/2008, Strike Price $93.00
Swap on 3 Month Sterling, expiring 12/19/2007, Strike Price $92.88
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Swap on 3 Month Sterling, expiring 12/19/2008, Strike Price $93.25
132,900
—
194,000
30,312
141,800
22,156
23,000
3,594
U.S. Treasury Note Futures, expiring 05/25/2007, Strike Price $101.50
U.S. Treasury Note Futures, expiring 05/25/2007, Strike Price $102.50
U.S. Treasury Note Futures, expiring 05/25/2007, Strike Price $103.00
1,907,783
TOTAL OUTSTANDING OPTIONS PURCHASED
(cost $10,198,443)
9,692,430
TOTAL SHORT-TERM INVESTMENTS
(cost $99,769,492)
100,790,205
TOTAL INVESTMENTS, BEFORE OUTSTANDING OPTIONS WRITTEN AND SECURITIES SOLD
SHORT——126.9%
(cost $1,842,178,708)
1,839,599,927
Principal
Interest
Maturity
Amount
Rate
Date
(000)#
5.50 %
TBA
292,600
(289,491,125 )
5.50 %
TBA
13,200
(13,228,881 )
6.00 %
TBA
58,000
(58,416,904 )
SECURITIES SOLD SHORT — (34.5)%
Short Sales — (34.5)%
Federal National Mortgage Assoc.
Federal National Mortgage Assoc.
Federal National Mortgage Assoc.
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U.S. Treasury Bonds
U.S. Treasury Notes
11/15/
9.00 %
18
950
(1,305,359
12/15/
3.50 %
09
22,700
(22,094,364 )
3.625 %
05/15/
13
1,800
(1,712,109
)
4.00 %
02/15/
14
6,600
(6,366,941
)
U.S. Treasury Notes
U.S. Treasury Notes
08/15/
4.375 %
12
81,700
U.S. Treasury Notes
)
(81,186,189 )
4.625 %
11/15/
16
1,200
(1,196,484
4.75 %
05/15/
14
24,200
(24,418,357 )
U.S. Treasury Notes
U.S. Treasury Notes
)
TOTAL SECURITIES SOLD SHORT
(proceeds received $500,777,913)
(499,416,713 )
OUTSTANDING OPTIONS WRITTEN* — (0.1)%
Contracts/
Notional
Amounts
Call Options — (0.1)%
Swap on 3 Month LIBOR, expiring 06/15/2007 @ 4.85%
GBP 20,600
(4,076
)
70,600
(501,096
)
43,300
(1,151,174
)
35,700
(536,942
)
(9,823
)
Swap on 3 Month LIBOR, expiring 07/02/2007 @ 5.00%
Swap on 3 Month LIBOR, expiring 07/02/2007 @ 5.50%
Swap on 3 Month LIBOR, expiring 12/20/2007 @ 5.15%
Swap on 6 Month LIBOR, expiring 09/14/2007 @ 4.85%
GBP 5,000
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TOTAL OUTSTANDING OPTIONS WRITTEN
(premium received $2,044,258)
(2,203,111
TOTAL INVESTMENTS, NET OF OUTSTANDING OPTIONS WRITTEN AND SECURITIES SOLD
SHORT——92.3%
)
(cost $1,339,356,537)
1,337,980,103
Other assets in excess of liabilities(x) — 7.7%
111,312,488
NET ASSETS — 100.0%
$1,449,292,591
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The following abbreviations are used in portfolio descriptions:
144A
Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule
except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
Not Rated by Moody’s or Standard & Poor’s
NR
Securities purchased on a forward commitment basis
TBA
Treasury Inflation Protected Securities
TIPS
Euro
EUR
British Pound
GBP
Japanese Yen
JPY
Principal amount is shown in U.S. dollars unless otherwise stated.
#
Non-income producing security.
*
Indicates a variable rate security.
(c)
Standard & Poor’s rating.
(d)
(f)
Represents all or partial amount utilized in the Municipal Tender Option Bond transaction. The aggregated principal amount of the
inverse floaters and the floating rate notes (included in Liabilities) are $4,787,500 and $4,787,500, respectively.
Indicates a security that has been deemed illiquid.
(g)
Securities segregated as collateral for futures contracts.
(k)
Rates shown are the effective yields at purchase date.
(n)
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Less than $1,000 par.
(r)
(w)
Prudential Investments LLC, the manager of the Portfolio also serves as manager of the Dryden Core Investment Fund-Taxable
Money Market Series.
(x)
Other assets in excess of liabilities includes net unrealized appreciation (depreciation) on futures contracts, forward foreign currency
contracts, interest rate and credit default swaps as follows:
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Financial future contracts outstanding at March 31,2007:
Securities or a portion thereof with an aggregate market value of $8,465,218 have been segregated with the custodian to cover margin
requirements for future contracts open at March 31, 2007.
Unrealized
Number of
Contracts
Type
Expiration
Value at
Value at
Appreciation
Date
Trade Date
March 31, 2007
(Depreciation)
Long Positions:
1,274
90 Day Euro Dollar
Dec 07
$302,616,275 $302,973,125 $356,850
90 Day Euro Dollar
Mar 08
86,216,788
86,223,875
7,087
90 Day Euro Dollar
Jun 08
367,517,863
368,508,425
990,562
90 Day Euro Dollar
Sep 08
233,774,675
234,836,313
1,061,638
90 Day Euro Dollar
Dec 08
207,354,812
208,101,375
746,563
90 Day Euro EURIBOR
Jun 07
481,625,354
480,673,299
(952,055 )
90 Day Sterling
Dec 07
165,552,174
165,461,214
(90,960
90 Day Sterling
Mar 08
551,487,666
551,076,042
(411,624 )
90 Day Sterling
Jun 08
278,812,676
278,351,733
(460,943 )
90 Day Sterling
Dec 08
131,017,759
130,908,554
(109,205 )
5 Year U.S. Treasury Notes
Jun 07
394,632,797
396,103,500
1,470,703
362
1,546
985
873
1,501
714
)
2,377
1,200
564
3,744
2,608,616
Short Positions:
3,817
10 Year U.S. Treasury Notes
Jun 07
415,424,688
412,713,125
2,711,563
$5,320,179
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Forward foreign currency exchange contracts outstanding at March 31, 2007:
Notional
Purchase Contracts
Unrealized
Amount
Value at Settlement
Current
Appreciation
(000)
Date Payable
Value
(Depreciation)
Australian Dollar, expiring 04/23/07
AUD
151
$ 122,002
$122,174
$ 172
EUR
33,563
44,822,047
44,834,956
12,909
JPY
50,000
427,421
425,360
(2,061
Euros, expiring 04/26/07
Japanese Yen, expiring 04/16/07
$ 45,371,470
$45,382,490
Notional
Sale Contracts
)
$ 11,020
Unrealized
Amount
Value at Settlement
Current
Appreciation
(000)
Date Receivable
Value
(Depreciation)
Australian Dollar, expiring 04/19/07
AUD
151
$ 120,724
$122,174
$ (1,450
)
EUR
100,471
134,289,645
134,359,036
(69,391
JPY
68,669
583,237
582,731
506
GBP
3,000
5,867,551
5,903,467
(35,916
GBP
11,609
22,689,330
22,844,448
(155,118 )
$ 163,550,487
$163,811,856
Euros, expiring 04/26/07
)
Japanese Yen, expiring 04/16/07
Pound Sterling,
expiring 04/05/07
)
expiring 04/05/07
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$ (261,369 )
Interest rate swap agreements outstanding at March 31, 2007:
Unrealized
Appreciation
Counterparty
Termination Date
Floating Rate
Notional Amount Fixed Rate
(Depreciation)
Morgan Stanley & Co.(1)
06/20/37
$
13,100,000
5.00
% 3 month LIBOR
$(456,416 )
06/20/37
$
51,500,000
5.00
% 3 month LIBOR
(1,948,240)
06/18/09
$
177,000,000
5.00
% 3 month LIBOR
677,976
06/15/35
$
5,300,000
6.00
% 3 month LIBOR
(37,136
)
06/18/34
GBP 400,000
5.00
% 6 month LIBOR
(16,036
)
10/15/10
EUR 1,400,000
FRC -Excluding Tobacco - Non2.1455 % Revised Consumer Price Index
32,284
12/15/35
GBP 6,300,000
4.00
% 6 month LIBOR
182,566
01/15/10
AUD 6,000,000
6.50
% 3 month Australian Bank Bill
(7,264
)
03/21/09
EUR 4,000,000
4.00
% 6 month EURIBOR
(9,532
)
06/20/14
$
30,000,000
5.00
% 3 month LIBOR
(121,946 )
06/20/17
$
9,900,000
5.00
% 3 month LIBOR
219,605
06/20/16
JPY 830,000,000
2.00
% 6 month LIBOR
(76,728
)
06/20/16
JPY 340,000,000
2.00
% 6 month LIBOR
(40,547
)
06/20/17
$
30,000,000
5.00
% 3 month LIBOR
627,450
06/20/17
$
4,200,000
5.00
% 3 month LIBOR
63,565
06/20/12
$
37,600,000
5.00
% 3 month LIBOR
(74,719
Duetsche Bank(1)
UBS AG(1)
Bank of America, N.A.(1)
Barclays Capital(2)
UBS AG(1)
Barclays Capital(2)
Duetsche Bank(1)
Citigroup(1)
Bank of America, N.A.(1)
Duetsche Bank(2)
Morgan Stanley & Co.(2)
Barclays Capital(2)
Citigroup(2)
Barclays Capital(1)
Lehman Brothers, Inc.(1)
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)
UBS AG(2)
06/20/37
$
09/15/10
5,200,000
5.00
% 3 month LIBOR
(184,505 )
GBP 23,200,000
5.00
% 6 month LIBOR
(583,816 )
06/12/36
GBP 11,600,000
4.25
% 6 month LIBOR
1,921,369
12/20/08
GBP 77,200,000
5.00
% 6 month LIBOR
(213,592 )
09/15/15
GBP 2,000,000
5.00
% 6 month LIBOR
(111,122 )
Barclays Capital(1)
Goldman Sachs(2)
UBS AG(1)
Goldman Sachs(1)
$(156,784 )
(1)
(2)
Porfolio pays the floating rate and receives the fixed rate.
Portfolio pays the fixed rate and receives the floating rate.
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Credit default swap agreements outstanding at March 31, 2007:
Unrealized
Notional
Counterparty
Termination Date
Amount
Appreciation
Fixed Rate
Underlying Bond
(Depreciation)
12/20/08
$
2,700,000 0.26
% Allstate Corp., 6.125%, due 02/15/12
$ (9,132
)
12/20/08
$
300,000
0.26
% Allstate Corp., 6.125%, due 02/15/12
(1,045
)
03/20/08
$
10,000,000 0.05
% American Intl. Group, 5.6%, due 10/
18/16
(620
)
12/20/08
$
800,000
% Anadarko Petroleum Corp., 5.00%,
due 10/01/12
(1,863
)
12/20/08
$
3,200,000 0.35
% AutoZone, Inc., 5.875%, due 10/15/12
(15,040
)
03/20/12
$
2,300,000 0.40
% AutoZone, Inc., 5.875%, due 10/15/12
(11,306
)
06/28/46
$
4,000,000 1.40
% Camber 6A, 6.838%, due 07/12/43
827,867
06/28/46
$
2,000,000 3.30
% Camber 6A, 8.758%, due 07/12/43
425,700
12/20/08
$
400,000
1.09
% Capital One Bank, 4.875%, due 05/15/
08
(6,543
)
12/20/08
$
100,000
1.09
% Capital One Bank, 4.875%, due 05/15/
08
(1,943
)
12/20/08
$
800,000
0.44
% Carnival Corp., 6.15%, due 04/15/08
(5,029
)
12/20/08
$
800,000
0.19
% Caterpillar, Inc., 7.25%, due 09/15/09
(1,884
)
06/20/15
$
700,000
0.15
% CitiFinancial 6.625%, due 06/01/15
1,624
12/20/08
$
700,000
0.24
% Costco Wholesale Corp., 5.50%, due
03/15/07
(2,169
)
12/22/08
$
100,000
0.24
% Costco Wholesale Corp., 5.50%, due
03/15/07
(352
)
12/20/08
$
800,000
0.42
% Countrywide Home Loans, Inc.,
5.625%, due 07/15/09
(490
)
Morgan Stanley & Co.(1)
Morgan Stanley & Co.(1)
Goldman Sachs(2)
0.27
Merrill Lynch & Co.(1)
UBS AG(1)
Goldman Sachs(1)
Barclays Bank PLC(1)
Barclays Bank PLC(1)
Bear Stearns International Ltd.(1)
Bear Stearns International Ltd.(1)
UBS AG(1)
Bear Stearns International Ltd.(1)
Barclays Bank PLC(1)
Lehman Brothers, Inc.(1)
Lehman Brothers, Inc.(1)
Morgan Stanley & Co.(1)
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09/20/11
$
3,800,000 0.24
% CVS Corp., 5.75%, due 08/15/11
(9,087
)
09/20/11
$
3,400,000 0.58
% DaimlerChrysler NA, 5.75%, due 09/
08/11
(33,725
)
12/20/08
$
800,000
% Deere & Co., 7.85%, due 03/15/07
(2,386
)
12/20/08
$
1,600,000 0.35
% Devon Energy Corp., 6.875%, due 09/
30/11
(7,965
)
07/25/45
$
6,000,000 0.54
% Dow Jones CDX IG4 Index
60,420
07/25/45
$
4,500,000 0.54
% Dow Jones CDX IG4 Index
145,683
07/25/45
$
25,000,000 0.54
% Dow Jones CDX IG4 Index
810,560
07/25/45
$
9,000,000 0.54
% Dow Jones CDX IG4 Index
286,065
12/20/15
$
12,200,000 0.46
% Dow Jones CDX IG5 Index
(29,398
12/20/12
$
11,400,000 0.14
% Dow Jones CDX IG5 Index
8,086
12/20/15
$
19,000,000 0.46
% Dow Jones CDX IG5 Index
(61,858
12/20/12
$
26,700,000 0.14
% Dow Jones CDX IG5 Index
18,938
12/20/11
$
38,000,000 3.25
% Dow Jones CDX IG7 Index
120,985
12/20/11
$
39,000,000 0.75
% Dow Jones CDX IG7 Index
3,123
12/20/16
$
18,600,000 0.65
% Dow Jones CDX IG7 Index
112,474
12/20/16
$
13,500,000 0.65
% Dow Jones CDX IG7 Index
85,548
12/20/16
EUR 10,600,000 0.85
% Dow Jones CDX iTraxx HiVol Series
6 Version 1 Index
(16,989
Morgan Stanley & Co.(1)
Barclays Bank PLC(1)
0.24
Bear Stearns International Ltd.(1)
Merrill Lynch & Co.(1)
Bank of America Securities LLC(1)
Goldman Sachs(1)
First Boston(1)
Merrill Lynch & Co.(1)
)
Morgan Stanley & Co.(2)
Morgan Stanley & Co.(1)
)
Morgan Stanley & Co.(2)
Morgan Stanley & Co.(1)
Duetsche Bank(1)
Barclays Bank PLC(1)
Bank of America Securities LLC(1)
Morgan Stanley & Co.(1)
Goldman Sachs(1)
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)
12/20/16
EUR 18,200,000 0.85
% Dow Jones CDX iTraxx HiVol Series
6 Version 1 Index
(30,929
)
12/20/16
EUR 17,400,000 0.85
% Dow Jones CDX iTraxx HiVol Series
6 Version 1 Index
(20,917
)
12/20/08
$
1,700,000 0.13
% E.I. DuPont 6.875%, due 10/15/09
(2,264
)
12/20/08
$
200,000
% E.I. DuPont, 6.875%, due 10/15/09
(306
)
12/20/08
$
2,200,000 0.28
% Eaton Corp., 5.75%, due 07/15/12
(8,191
)
12/20/08
$
300,000
% Eaton Corp., 5.75%, due 07/15/12
(838
)
12/20/08
$
2,300,000 0.16
% Eli Lilly & Co., 6.00%, due 03/15/12
(5,261
)
12/20/08
$
300,000
0.16
% Eli Lilly & Co., 6.00%, due 03/15/12
(512
)
12/20/08
$
1,600,000 0.21
% Emerson Electric Co., 6.48%, due 10/
15/12
(3,966
)
12/20/08
$
200,000
0.21
% Emerson Electric Co., 6.48%, due 10/
15/12
(426
)
12/20/08
$
800,000
0.22
% Emerson Electric Co., 7.125%%, due
08/15/10
(2,120
)
10/05/46
$
4,300,000 1.55
% ESP Funding Ltd., 6.86%, due 10/05/
46
370,615
06/20/07
$
16,300,000 0.27
% Federal Republic of Brazil, 12.25%,
03/06/30
(7,265
)
12/20/08
$
1,700,000 0.29
% FedEx Corp. 7.25%, due 02/15/11
(4,724
)
12/20/08
$
200,000
0.29
% FedEx Corp., 7.25%, due 02/15/11
(426
)
12/20/08
$
600,000
0.22
% Gannett Co., Inc., 6.375%, due 04/01/
12
(1,190
)
09/20/16
$
2,400,000 0.51
% Goodrich Corp., 6.29%, due 07/01/16
(18,435
)
Duetsche Bank(1)
Barclays Bank PLC(1)
Bank of America Securities LLC(1)
0.13
Bank of America Securities LLC(1)
Citigroup(1)
0.28
Citigroup(1)
Barclays Bank PLC(1)
Barclays Bank PLC(1)
Morgan Stanley & Co.(1)
Morgan Stanley & Co.(1)
Morgan Stanley & Co.(1)
Bear Stearns International Ltd.(1)
Barclays Bank PLC(1)
Citigroup(1)
Citigroup(1)
Merrill Lynch & Co.(1)
Duetsche Bank(1)
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12/20/08
$
900,000
0.97
% Goodrich Corp., 7.625%, due 12/15/12
(13,848
)
12/20/08
$
100,000
0.97
% Goodrich Corp., 7.625%, due 12/15/12
(1,032
)
12/20/08
$
2,200,000 0.12
% Home Depot, Inc., 5.375%, due 04/01/
06
(1,209
)
12/20/08
$
300,000
% Home Depot, Inc., 5.375%, due 04/01/
06
(745
)
12/20/08
$
2,200,000 0.32
% H-P Co., 6.50%, due 07/12/12
(11,410
)
12/20/08
$
300,000
% H-P Co., 6.50%, due 07/12/12
(1,351
)
12/20/08
$
1,400,000 0.32
% Ingersoll-Rand Corp., 6.48%, due 06/
01/25
(5,429
)
03/20/12
$
1,500,000 0.17
% International Lease Finance Corp.,
5.40%, due 02/15/12
(912
)
12/20/08
$
800,000
% International Paper Co., 6.75%, due
09/01/11
(6,507
)
08/04/46
$
5,000,000 1.35
% Ipswich Street CDO Ltd., 6.71813%,
due 08/04/46 (3)
504,250
03/20/11
$
1,000,000 0.37
% iStar Financial, Inc., 5.80%, due 03/15/
11
3,404
12/20/13
$
400,000
0.56
% iStar Financial, Inc., 5.95%, due 10/15/
13
2,120
12/20/08
$
2,100,000 0.11
% Johnson & Johnson, 3.80%, due 05/15/
13
(3,768
)
12/20/08
$
300,000
% Johnson & Johnson, 3.80%, due 05/15/
13
(599
)
03/20/13
$
5,000,000 0.56
% Kroger Co., 5.50%, due 02/01/13
(16,092
)
12/20/11
$
5,000,000 0.66
% Lennar Corp., 5.95%, due 10/17/11
78,403
12/20/08
$
900,000
% Lockheed Martin Corp., 8.20%, due
12/01/09
(7,895
Lehman Brothers, Inc.(1)
Lehman Brothers, Inc.(1)
Lehman Brothers, Inc.(1)
0.12
Lehman Brothers, Inc.(1)
Bear Stearns International Ltd.(1)
0.32
Bear Stearns International Ltd.(1)
Merrill Lynch & Co.(1)
Barclays Bank PLC(1)
0.60
Bear Stearns International Ltd.(1)
Bear Stearns International Ltd.(1)
Barclays Bank PLC(1)
Bear Stearns International Ltd.(1)
Lehman Brothers, Inc.(1)
0.11
Lehman Brothers, Inc.(1)
Morgan Stanley & Co.(1)
Duetsche Bank(1)
Lehman Brothers, Inc.(1)
0.53
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)
12/20/08
$
100,000
03/20/16
$
02/25/34
0.53
% Lockheed Martin Corp., 8.20%, due
12/01/09
(929
)
3,100,000 0.28
% Loews Corp., 5.25%, due 03/15/16
(14,459
)
$
4,500,000 2.00
% Long Beach Mortgage Loan Trust
2004-1, 8.82% , due 02/25/34(3)
(1,500
)
02/25/34
$
4,500,000 2.25
% Long Beach Mortgage Loan Trust
2004-1, 8.82% , due 02/25/34(3)
9,281
12/20/08
$
1,200,000 0.30
% Masco Corp., 5.875%, due 07/15/12
(138
)
12/20/08
$
100,000
% Masco Corp., 5.875%, due 07/15/12
(49
)
10/13/46
$
5,000,000 1.40
% Mercury CDO, Ltd., 6.78%, due 07/27/
48 (3)
627,917
12/20/08
$
1,200,000 0.85
% Motorola, Inc, 7.625%, due 11/15/10
(12,900
)
03/20/12
$
2,300,000 0.26
% Newell Rubbermaid, Inc., 6.75%, due
03/15/12
(6,058
)
12/20/08
$
900,000
0.48
% Northrop & Grumman Corp., 7.125%,
due 02/15/11
(7,126
)
12/20/08
$
100,000
0.48
% Northrop & Grumman Corp., 7.125%,
due 02/15/11
(897
)
12/20/08
$
800,000
0.28
% Occidental Petroleum Corp., 6.75%,
due 01/15/12
(3,152
)
06/20/09
$
6,600,000 0.40
% People’s Republic of China, 6.80%,
due 05/23/11
(48,457
)
Lehman Brothers, Inc.(1)
Bear Stearns International Ltd.(1)
Goldman Sachs(1)
Merrill Lynch & Co.(2)
Lehman Brothers, Inc.(1)
0.30
Lehman Brothers, Inc.(1)
Bear Stearns International Ltd.(1)
Merrill Lynch & Co.(1)
Goldman Sachs(1)
Lehman Brothers, Inc.(1)
Lehman Brothers, Inc.(1)
Merrill Lynch & Co.(1)
Lehman Brothers, Inc.(1)
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Barclays Bank PLC(1)
Lehman Brothers, Inc.(1)
UBS AG(1)
Lehman Brothers, Inc.(1)
Morgan Stanley & Co.(1)
JPMorgan Chase Bank(1)
Lehman Brothers, Inc.(1)
Morgan Stanley & Co.(1)
Lehman Brothers, Inc.(1)
Lehman Brothers, Inc.(1)
JPMorgan Chase Bank(2)
JPMorgan Chase Bank(2)
Citigroup(1)
Morgan Stanley & Co.(1)
UBS AG(1)
Bank of America Securities LLC(1)
Morgan Stanley & Co.(1)
03/
20/
13
12/
20/
08
12/
20/
08
12/
20/
08
05/
20/
16
05/
20/
16
09/
20/
08
09/
20/
10
09/
20/
10
10/
20/
10
05/
20/
07
06/
20/
07
03/
20/
12
09/
20/
13
12/
20/
08
08/
07/
45
12/
20/
08
$ 600,000
0.72% Pulte Homes, Inc., 6.25%, due 02/15/13
17,886
$ 1,200,000
0.35% RadioShack Corp., 7.375%, due 05/15/11
1,207
$ 800,000
0.37% RadioShack Corp., 7.375%, due 05/15/11
532
$ 100,000
0.35% RadioShack Corp., 7.375%, due 05/15/11
(82
)
$ 15,900,000 0.54% Republic of Hungary. 4.75%, due 02/03/15
(213,157 )
$ 7,100,000
0.54% Republic of Hungary. 4.75%, due 02/03/15
(97,877 )
$ 3,000,000
2.47% Republic of the Philippines, 8.25%, due 01/15/14
(91,726 )
$ 1,700,000
2.70% Republic of Turkey, 11.875%, due 01/15/30
(78,999 )
$ 400,000
2.26% Republic of Turkey, 11.875%, due 01/15/30
(13,076 )
$ 2,500,000
2.11% Republic of Turkey, 11.875%, due 01/15/30
(90,746 )
$ 300,000
0.77% Russian Federation, 2.25%, due 03/31/30
1,115
$ 16,300,000 0.42% Russian Federation, 5.00%, due 03/31/30
29,189
$ 2,300,000
0.34% Safeway, Inc. 5.8%, 08/15/12
4,790
$ 1,600,000
0.58% Sealed Air Corp., 5.625%, due 07/15/23
(16,659 )
$ 800,000
0.44% Simon Property Group, L.P., 5.45%, due 03/15/13
(5,298
$ 500,000
4.20% TABS Ltd. 2005-2A, 8.11%, due 08/07/45 (3)
28,650
$ 800,000
0.53% The Kroger Co., 4.75%, due 04/15/12
(5,948
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)
)
Goldman Sachs(1)
Bank of America Securities LLC(1)
Bear Stearns International Ltd.(1)
Citigroup(1)
Bear Stearns International Ltd.(1)
Barclays Bank PLC(1)
Barclays Bank PLC(1)
Lehman Brothers, Inc.(1)
Lehman Brothers, Inc.(1)
Barclays Bank PLC(1)
03/
08/
40
08/
07/
45
03/
20/
11
12/
20/
08
12/
20/
08
12/
20/
08
12/
20/
08
12/
20/
08
12/
20/
08
03/
20/
12
$ 500,000
3.90% Trinity CDO Ltd., 8.09%, due 08/07/45(3)
64,858
$ 500,000
4.30% Trinity CDO Ltd., 8.09%, due 08/07/45(3)
54,000
$ 1,000,000
0.33% Vornado Realty, 5.6%, due 02/15/11
(2,359
)
$ 3,600,000
0.14% Wal-Mart Stores, Inc., 6.875%, due 08/10/09
(5,800
)
$ 1,500,000
0.15% Wal-Mart Stores, Inc., 6.875%, due 08/10/09
(2,673
)
$ 900,000
0.67% Walt Disney Co. (The), 6.375%, due 03/12/12
(9,643
)
$ 100,000
0.67% Walt Disney Co. (The), 6.375%, due 03/12/12
(648
)
$ 1,100,000
0.29% Whirlpool Corp., 8.60%, due 05/01/10
(1,794
)
$ 100,000
0.29% Whirlpool Corp., 8.60%, due 05/01/10
(252
)
$ 1,300,000
0.21% XL Cap Europe PLC, 6.50%, due 01/15/12
6,962
$3,582,459
(1)
(2)
(3)
Portfolio pays the fixed rate and receives from the counterparty, par in the event that the underlying bond defaults.
Portfolio pays counterparty par in the event that the underlying bond defaults and receives the fixed rate.
Variable rate, displayed rate is as of 12/31/06.
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SP Prudential U.S. Emerging Growth Portfolio
Schedule of Investments
March 31, 2007 (Unaudited)
LONG-TERM INVESTMENTS 97.5%
COMMON STOCKS
Shares
Value
Air Freight & Logistics 0.8%
UTI Worldwide, Inc.(b)
68,700
1,688,646
144,900
5,164,236
23,400
1,174,212
47,800
2,260,940
19,700
929,643
157,400
2,342,112
Capital Markets 5.8%
Eaton Vance Corp.
Lazard, Ltd. (Class A Stock)
Nuveen Investments, Inc. (Class A Stock)
T. Rowe Price Group, Inc.
TD Ameritrade Holdings Corp.(a)(b)
11,871,143
Chemicals 5.7%
Ecolab, Inc.
58,500
2,515,500
59,300
3,259,128
37,600
1,002,416
115,800
2,767,620
50,300
2,088,456
Monsanto Co.
Mosaic Co.(a)(b)
Nalco Holding Co.
Sigma-Aldrich Corp.
11,633,120
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Commercial Services & Supplies 5.9%
Allied Waste Industries, Inc.(a)(b)
212,900
2,680,411
15,600
583,908
122,100
3,190,473
61,100
2,313,857
41,100
3,349,650
ChoicePoint, Inc.(a)(b)
Iron Mountain, Inc.(a)(b)
Paychex, Inc.
Stericycle, Inc.(a)
12,118,299
Communications Equipment 2.8%
Avaya, Inc.(a)
219,400
2,591,114
152,400
3,253,740
Comverse Technology, Inc.(a)
5,844,854
Consumer Finance 0.6%
Alliance Data Systems Corp.(a)(b)
18,800
1,158,456
27,000
1,185,300
118,100
4,079,174
Diversified Consumer Services 0.6%
Apollo Group, Inc. (Class A Stock)(a)
Electrical Equipment 2.0%
Ametek, Inc .
Electronic Equipment & Instruments 2.7%
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Amphenol Corp. (Class A Stock)
30,000
1,937,100
75,100
1,350,298
77,500
2,182,400
Insight Enterprises, Inc.(a)
Tektronix, Inc.
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5,469,798
Energy Equipment & Services 4.7%
Cameron International Corp.(a)
47,400
2,976,246
34,500
2,406,720
21,600
1,076,544
13,900
1,081,281
71,600
2,155,160
FMC Technologies, Inc.(a)
Grant Prideco, Inc.(a)
National-Oilwell Varco, Inc.(a)
Pride International, Inc.(a)
9,695,951
Food Products 1.5%
ConAgra Foods, Inc.
120,800 3,009,128
Health Care Equipment & Supplies 4.0%
DENTSPLY International, Inc.
82,500
2,701,875
53,900
2,714,943
67,100
2,817,529
ResMed, Inc.(a)(b)
Respironics, Inc.(a)
8,234,347
Health Care Providers & Services 9.0%
DaVita, Inc.(a)
77,300
4,121,636
36,500
2,946,280
27,200
1,500,896
Express Scripts, Inc.(a)
Henry Schein, Inc.(a)
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Medco Health Solutions, Inc.(a)
37,900
2,748,887
76,800
3,054,336
80,900
4,034,483
Omnicare, Inc.
Quest Diagnostics, Inc.
18,406,518
Health Care Technology 1.2%
Cerner Corp.(a)(b)
45,200
2,461,140
78,200
2,812,072
67,100
2,041,182
Hotels, Restaurants & Leisure 2.4%
Hilton Hotels Corp.
Tim Hortons, Inc.
4,853,254
Insurance 1.8%
Axis Capital Holdings, Ltd.
50,100
1,696,386
63,000
2,086,560
W.R. Berkley Corp.
3,782,946
Internet & Catalog Retail 0.9%
GSI Commerce, Inc.(a)(b)
79,600
1,798,164
49,600
2,740,400
31,800
2,723,034
Internet Software & Services 2.7%
Digital River, Inc.(a)(b)
Equinix, Inc.(a)(b)
5,463,434
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IT Services 0.9%
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CheckFree Corp.(a)(b)
50,400
1,869,336
81,900
1,551,186
47,900
1,416,403
44,600
3,186,670
62,600
3,185,088
60,600
3,655,392
35,800
1,964,704
Leisure Equipment & Products 0.7%
Activision, Inc.(a)
Life Sciences Tools & Services 0.7%
Applera Corp.—Applied Biosystems Group
Machinery 5.8%
Danaher Corp.
IDEX Corp.
ITT Corp.
Roper Industries, Inc.
11,991,854
Media 1.9%
E.W. Scripps Co. (The)(Class A Stock)
20,700
924,876
Regal Entertainment Group (Class A Stock)
148,000 2,940,760
3,865,636
Metals & Mining 1.1%
Goldcorp, Inc.
94,800
Multiline Retail 0.5%
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2,277,096
J.C. Penney Co., Inc.
12,600
1,035,216
37,900
2,260,735
Oil, Gas & Consumable Fuels 5.0%
Noble Energy, Inc.
Southwestern Energy Co.(a)(b)
105,800 4,335,684
XTO Energy, Inc.
68,700
3,765,447
10,361,866
Pharmaceuticals 0.8%
Endo Pharmaceuticals Holdings, Inc.(a)
56,400
1,658,160
64,900
1,707,519
65,650
2,105,396
Real Estate Investment Trust (REIT) 0.8%
Host Hotels & Resorts, Inc.(b)
Semiconductors & Semiconductor Equipment 5.0%
Broadcom Corp. (Class A Stock)(a)
Integrated Device Technology, Inc.(a)
210,800 3,250,536
KLA-Tencor Corp.(b)
31,000
1,652,920
Marvell Technology Group, Ltd.(a)(b)
135,200 2,272,712
Teradyne, Inc.(a)
60,700
1,003,978
10,285,542
Software 8.3%
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Adobe Systems, Inc.(a)
89,028
3,712,468
86,300
3,148,224
46,400
1,744,640
Amdocs, Ltd.(a)(b)
Autodesk, Inc.(a)
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BEA Systems, Inc.(a)
197,700
2,291,343
93,200
2,076,496
83,500
2,674,505
28,900
1,455,404
Check Point Software Technologies, Ltd.(a)
Citrix Systems, Inc.(a)(b)
Electronic Arts, Inc.(a)
17,103,080
Specialty Retail 3.4%
Abercrombie & Fitch Co. (Class A Stock)
26,900
2,035,792
67,900
2,335,760
94,800
2,513,148
Ross Stores, Inc.
Urban Outfitters, Inc.(a)
6,884,700
Textiles, Apparel & Luxury Goods 0.3%
Phillips-Van Heusen Corp.
10,600
623,280
122,000
4,751,900
62,700
1,283,469
61,600
1,979,208
91,800
6,809,723
Wireless Telecommunication Services 7.2%
American Tower Corp. (Class A Stock)(a)
Clearwire Corp. (Class A Stock)(a)(b)
Crown Castle International Corp.
NII Holdings, Inc.(a)(b)
14,824,300
TOTAL LONG –TERM INVESTMENTS
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(cost $ 163,019,766)
200,208,846
SHORT-TERM INVESTMENT 23.1%
Affiliated Money Market Mutual Fund
Dryden Core Investment Fund—Taxable Money Market Series(c)(d)
(cost $47,457,120; includes $42,635,420 of cash collateral received for securities on loan)
47,457,120
47,457,120
TOTAL INVESTMENTS 120.6%
(cost $ 210,476,886)
247,665,966
LIABILITIES IN EXCESS OF OTHER ASSETS (20.6%)
(42,337,197 )
NET ASSETS 100.0%
$205,328,769
The following abbreviations are used in the portfolio descriptions:
REIT–Real Estate Investment Trust
(a)
(b)
(c)
(d)
Non-income producing security.
All or a portion of security is on loan. The aggregate market value of such securities is $41,092,841; cash collateral of
$42,635,420 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.
Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.
Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund - Taxable Money
Market Series.
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SP SMALL CAP GROWTH PORTFOLIO
Schedule of Investments
March 31, 2007 (Unaudited)
Shares
Value
LONG-TERM INVESTMENTS — 95.9%
COMMON STOCKS
Aerospace — 0.7%
ARGON ST, Inc.*(a)
34,000
$899,640
38,285
970,142
55,200
1,398,216
31,000
635,500
36,500
598,600
30,400
1,356,144
Apparel Manufacturers — 0.7%
Carter’s, Inc.*
Automobile Manufacturers — 1.1%
Titan International, Inc.(a)
Banking — 2.0%
Texas Capital Banshares, Inc.*
Wilshire Bancorp, Inc.
Wintrust Financial Corp.
2,590,244
Building Materials — 2.1%
Drew Industries, Inc.*
22,500
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645,300
Interline Brands, Inc.*
39,400
863,648
16,315
1,232,272
Texas Industries, Inc.(a)
2,741,220
Business Services — 0.5%
ICON PLC (Ireland)*
16,220
690,972
18,425
924,567
24,300
814,293
12,500
297,625
38,900
1,076,752
11,400
334,476
124,155
2,172,713
40,545
1,048,088
Capital Markets — 0.7%
Lazard Ltd.(Class A Stock) (Bermuda)
Chemicals — 4.4%
Cabot Microelectronics Corp.*(a)
Quaker Chemical Corp.
Rockwood Holdings, Inc.*
Spartech Corp.
Terra Industries, Inc.*(a)
UAP Holding Corp.
5,743,947
Clothing & Apparel — 1.4%
Volcom, Inc.*(a)
51,215
Commercial Services — 3.6%
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1,759,747
Geo Group, Inc. (The)*
9,305
421,702
94,130
1,571,030
13,100
375,315
22,500
529,875
37,600
862,544
43,000
849,680
Global Cash Access Holdings*(a)
Healthcare Services Group, Inc.
Healthspring, Inc.*
Korn/Ferry International*
Navigant Consulting, Inc.*
4,610,146
Commercial Services & Supplies — 2.8%
Advisory Board Co. (The)*
8,000
404,960
28,497
1,504,927
16,100
346,150
57,500
1,323,075
Corrections Corp. of America*
H&E Equipment Services, Inc.*
Rollins, Inc.
3,579,112
Computer Services & Software — 4.1%
ANSYS, Inc.*
28,490
1,446,437
27,580
961,991
16,698
1,049,469
27,060
913,004
9,100
294,749
Avid Technology, Inc.*(a)
FactSet Research Systems, Inc.
The9 Ltd., ADR (China)*(a)
Transactions Systems Architects, Inc.*
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Trident Microsystems, Inc.*(a)
33,315
668,299
5,333,949
Construction — 0.8%
Infrasource Services, Inc.*
23,050
703,716
7,700
367,598
NCI Buildings Systems, Inc.*
1,071,314
Consulting — 0.7%
Watson Wyatt Worldwide, Inc.(Class A Stock)
19,900
968,135
13,500
199,395
26,900
395,430
5,400
318,276
18,700
1,094,324
Consumer Products & Services — 1.6%
Central Garden & Pet Co.*
Central Garden & Pet Co.* (Class A Stock) (a)
Chattem, Inc.*
Ritchie Bros. Auctioneers, Inc. (Canada)
2,007,425
Distribution/Wholesale — 2.4%
Houston Wire & Cable*(a)
27,000
756,540
17,100
564,300
9,900
363,627
20,194
722,945
MWI Veterinary Supply, Inc.*
Owens & Minor, Inc.
Pool Corp.(a)
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ScanSource, Inc.*(a)
27,500
738,100
3,145,512
Diversified Manufacturing Operations — 2.2%
Actuant Corp.(Class A Stock) (a)
40,743
2,068,115
24,100
766,380
CLARCOR, Inc.
2,834,495
Electrical Equipment — 1.8%
Advanced Energy Industries, Inc.*(a)
52,666
1,108,092
23,511
1,256,193
General Cable Corp.*(a)
2,364,285
Electronic Components — 2.8%
Daktronics, Inc.
13,575
372,498
28,910
481,063
28,300
537,134
78,449
2,185,589
Eagle Test Systems, Inc.*
LoJack Corp.*
Universal Electronics, Inc.*
3,576,284
Electronics — 2.2%
Coherent, Inc.*(a)
56,410
1,790,454
31,540
1,088,445
Dolby Laboratories, Inc.(Class A Stock) *
2,878,899
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Entertainment — 0.9%
Vail Resorts, Inc.*(a)
21,270
1,155,599
13,700
553,343
37,720
627,661
Entertainment & Leisure — 0.4%
RC2 Corp.*
Financial——Brokerage — 0.5%
Cowen Group, Inc.*
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Financial Services — 2.9%
Boston Private Financial Holdings, Inc.(a)
32,745
$914,240
24,900
655,368
23,860
490,323
9,400
461,070
18,840
738,528
8,500
442,170
Financial Federal Corp.
First Mercury Financial Corp.*
Hilb Rogal & Hobbs Co.
Investment Technology Group, Inc.*
ITLA Capital Corp.
3,701,699
Food — 0.1%
Tootsie Roll Industries, Inc.
5,122
153,512
27,625
579,849
25,600
686,592
83,520
1,609,430
45,513
889,779
Health Services — 2.9%
Centene Corp.*(a)
Computer Programs & Systems, Inc.
Eclipsys Corp.*
Horizon Health Corp.*
3,765,650
Healthcare——Services — 0.3%
Animal Health International, Inc.*
29,770
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359,919
Healthcare Equipment & Supplies — 0.7%
Cutera, Inc.*
24,210
876,160
31,140
820,850
9,300
434,775
12,300
506,637
Healthcare Providers & Services — 0.6%
Matria Healthcare, Inc.*(a)
Healthcare-Products — 0.7%
Haemonetics Corp.*
LCA-Vision, Inc.(a)
941,412
Household Products — 0.6%
ACCO Brands Corp.*
29,800
717,882
41,100
539,643
17,860
340,412
42,000
791,700
30,459
1,339,891
8,600
277,092
Insurance — 2.5%
American Equity Investment Life Holding Co.(a)
American Safety Insurance Holdings Ltd.*
Amerisafe, Inc.*
Philadelphia Consolidated Holding Co.*
Tower Group, Inc.
3,288,738
Internet Services — 2.8%
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CNET Networks, Inc.*
107,135
933,146
44,151
472,416
47,700
1,322,244
43,300
496,651
23,745
430,259
Internet Capital Group, Inc.*
j2 Global Communications, Inc.*(a)
Online Resources Corp.*
Switch And Data, Inc.*
3,654,716
Internet Software & Services — 0.1%
US Auto Parts Network, Inc.*
33,525
180,029
18,600
961,620
65,442
3,370,263
30,200
1,536,576
11,800
1,555,712
28,800
962,784
13,800
640,044
Leisure — 0.7%
International Speedway Corp.(Class A Stock) *
Machinery & Equipment — 6.2%
Bucyrus International, Inc.(Class A Stock) (a)
IDEX Corp.*
Middleby Corp.*
RBC Bearings, Inc.*
Regal-Beloit Corp.
8,065,379
Media — 2.2%
Entravision Communications Corp.(Class A Stock) *
87,180
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814,261
Journal Communications, Inc.(Class A Stock)
57,300
751,203
22,500
1,291,275
Meredith Corp.
2,856,739
Medical Products — 7.3%
American Medical Systems Holdings, Inc.*(a)
82,526
1,747,075
34,015
1,093,922
14,682
556,448
7,300
286,160
42,855
1,059,804
13,700
691,576
29,944
1,257,349
36,800
977,408
9,700
553,870
24,314
508,163
25,900
704,998
Arrow International, Inc.(a)
DJ Orthopedics, Inc.*(a)
ICU Medical, Inc.*
K-V Pharmaceutical Co.(Class A Stock) *
Landauer, Inc.
Respironics, Inc.*
STERIS Corp.
TECHNE Corp.*
Thoratec Corp.*
Young Innovations, Inc.
9,436,773
Medical Supplies & Equipment — 1.6%
Myriad Genetics, Inc.*(a)
13,005
448,152
22,945
917,800
Quality Systems, Inc.(a)
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Vital Images, Inc.*
21,455
713,594
2,079,546
Metals & Mining — 0.7%
Claymont Steel Holdings, Inc.*
28,575
569,500
7,795
310,475
Northwest Pipe Co*
879,975
Mineral Resources — 0.6%
AMCOL International Corp.
25,300
750,145
25,245
911,597
36,300
443,223
16,000
744,800
113,993
2,816,767
Office Equipment — 0.7%
School Specialty, Inc.*
Oil & Field Services — 0.3%
Cal Dive International, Inc.*
Oil & Gas Equipment & Services — 2.7%
CARBO Ceramics, Inc.(a)
TETRA Technologies, Inc.*
3,561,567
Oil & Gas Exploration/Production — 1.4%
Core Laboratories NV (Netherlands)*(a)
9,462
793,199
19,823
1,002,846
Unit Corp.*
1,796,045
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Oil, Gas & Consumable Fuels — 1.7%
Berry Petroleum Co.(Class A Stock)
29,800
$913,668
13,900
380,582
31,370
392,752
12,555
528,817
Comstock Resources, Inc.*
Edge Petroleum Corp.*(a)
Oceaneering International, Inc.*
2,215,819
Pharmaceuticals — 0.3%
Cubist Pharmaceuticals, Inc.*(a)
20,410
450,449
23,000
898,610
49,826
1,368,720
39,762
1,630,242
42,773
1,776,363
16,430
637,813
21,500
614,900
33,300
558,441
Publishing — 0.7%
Courier Corp.
Retail — 5.1%
Build-A-Bear Workshop, Inc.*(a)
Cash America International, Inc.(a)
Genesco, Inc.*(a)
Red Robin Gourmet Burgers, Inc.*(a)
Ruby Tuesday, Inc.(a)
Steak N Shake Co. (The)*
6,586,479
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Retail & Merchandising — 1.4%
Guitar Center, Inc.*(a)
9,700
437,664
19,200
548,928
18,300
854,244
Hibbett Sports, Inc.*
MSC Industrial Direct, Inc.(Class A Stock) *
1,840,836
Road & Rail — 0.7%
Landstar System, Inc.
18,400
843,456
30,348
2,152,280
43,790
719,908
16,600
582,660
35,439
682,909
60,562
563,227
Semiconductors & Semiconductor Equipment — 1.7%
OYO Geospace Corp.*
Software — 0.6%
Netsmart Technologies, Inc.*
Specialty Retail — 0.5%
Monro Muffler Brake, Inc.
Telecommunications — 1.0%
EMS Technologies, Inc.*
Ixia*
1,246,136
Transportation Services — 1.1%
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Bristow Group, Inc.*(a)
9,100
331,695
30,666
486,976
18,900
547,911
Heartland Express, Inc.
HUB Group, Inc.(Class A Stock) *
1,366,582
Waste Management — 2.1%
Waste Connections, Inc.*(a)
91,729
2,746,366
TOTAL LONG-TERM INVESTMENTS (cost $100,498,958)
124,277,611
SHORT-TERM INVESTMENT — 30.2%
AFFILIATED MONEY MARKET MUTUAL FUND
Dryden Core Investment Fund—Taxable Money Market Series (cost $39,087,744) ; includes $38,437,265
of cash collateral for securities on loan)(b)(w)
39,087,744
$39,087,744
TOTAL INVESTMENTS — 126.1%
(cost $139,586,702)
163,365,355
Liabilities in excess of other assets — (26.1)%
(33,831,531 )
NET ASSETS — 100.0%
$129,533,824
The following abbreviations are used in portfolio descriptions:
ADR American Depositary Receipt
*
Non-income producing security.
(a) All or a portion of security is on loan. The aggregate market value of such securities is $37,194,568; cash collateral of $38,437,265
(included with liabilities) was received with which the portfolio purchased highly liquid short-term investments.
(b) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.
(w) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the underlying portfolios in which the Portfolio
invests.
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SP SMALL CAP VALUE PORTFOLIO
Schedule of Investments
March 31, 2007 (Unaudited)
Shares
Value
LONG-TERM INVESTMENTS — 96.5%
COMMON STOCKS
Aerospace — 0.1%
Ducommun, Inc.*
4,480
$115,271
9,638
202,687
MTC Technologies, Inc.*
317,958
Aerospace & Defense — 1.6%
AAR Corp.*
19,932
549,326
33,410
1,743,000
29,682
777,668
61,000
1,912,350
49,280
923,507
DRS Technologies, Inc.
EDO Corp.
Heico Corp.(Class A Stock)
Orbital Sciences Corp.*
5,905,851
Airlines — 0.8%
AirTran Holdings, Inc.*(a)
213,029
2,187,808
28,900
775,387
SkyWest, Inc.
2,963,195
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Auto Components — 1.5%
Cooper Tire & Rubber Co.
156,500
2,862,385
49,800
1,498,980
61,360
1,278,129
Sauer-Danfoss, Inc.
Superior Industries International, Inc.(a)
5,639,494
Automobile Manufacturers — 0.7%
Wabash National Corp.
165,183
2,547,122
50,382
1,037,869
29,329
556,664
67,593
1,720,918
Automotive Parts — 0.9%
Commercial Vehicle Group, Inc.
LoJack Corp.*
Tenneco Automotive, Inc.*(a)
3,315,451
Banks — 0.2%
Sterling Financial Corp. (WA)
9,764
304,539
17,138
547,902
West Coast Bancorp
852,441
Basic Materials——Mining — 0.2%
Olympic Steel Inc.
21,889
Biotechnology — 0.5%
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678,340
iShares Nasdaq Biotech Index*(a)
24,800
1,878,600
70,128
840,133
3,198
68,853
35,379
1,753,030
Building Materials — 0.7%
Comfort Systems USA, Inc.
Trex Co., Inc.*(a)
Universal Forest Products, Inc.
2,662,016
Building Products — 1.2%
Goodman Global, Inc.*(a)
123,581
2,177,497
85,700
1,027,543
43,100
1,329,204
Patrick Industries, Inc.*
Simpson Manufacturing Co, Inc.(a)
4,534,244
Business Services — 0.7%
efunds Corp.*
66,253
1,766,305
7,398
290,741
16,905
540,791
Macquarie Infrastucture Co. Trust
Resources Connection, Inc.*(a)
2,597,837
Capital Markets — 0.3%
Investors Financial Services Corp.
22,200
Chemicals — 1.9%
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1,290,930
Albemarle Corp.
15,741
650,733
11,258
192,399
41,418
1,129,469
25,212
289,938
33,137
2,059,796
15,708
396,156
17,176
345,925
29,108
177,559
63,530
1,642,250
American Vanguard Corp.
H.B. Fuller Co.
KMG Chemicals, Inc.
Minerals Technologies, Inc.
NuCO2, Inc.*(a)
Penford Corp.
PolyOne Corp.*
UAP Holding Corp.
6,884,225
Clothing & Apparel — 0.3%
Gymboree Corp.*
15,012
601,531
25,071
677,418
K-Swiss, Inc.(Class A Stock)
1,278,949
Commercial Banks — 5.4%
Alabama National Bancorp
24,867
1,760,832
15,943
246,319
57,255
1,488,630
41,900
1,112,445
Alliance Bankshares Corp.*
Bancorp Bank (The)*
Capital Corp of the West
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Cardinal Financial Corp.
50,823
507,213
74,405
1,295,391
90,847
3,322,275
13,000
956,800
29,700
1,554,201
95,190
1,083,262
35,343
595,530
100,646
1,782,441
17,570
312,043
11,260
471,344
101,100
1,882,482
62,400
1,670,448
Cascade Financial Corp.
Central Pacific Financial Corp.
City National Corp.
Cullen Frost Bankers, Inc.
First Security Group, Inc.
FNB Corp.
Midwest Banc Holdings, Inc.(a)
PAB Bankshares, Inc.
Tompkins Trustco, Inc.
UCBH Holdings, Inc.
Umpqua Holdings Corp.
20,041,656
Commercial Services — 0.6%
ITT Educational Services, Inc.*
7,998
651,757
19,293
665,223
38,952
923,941
MAXIMUS, Inc.
Providence Service Corp.*(a)
2,240,921
Commercial Services & Supplies — 1.8%
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Hewitt Associates, Inc. (Class A Stock)*
15,774
461,074
31,900
1,634,237
71,900
1,365,381
29,400
1,761,648
31,400
1,527,610
John H. Harland Co.
Labor Ready, Inc.*(a)
United Stationers, Inc.*
Watson Wyatt & Co. Holdings
6,749,950
Communication Equipment — 2.0%
Bel Fuse, Inc.(Class B Stock)
16,200
627,102
37,900
1,384,866
42,090
534,543
19,900
518,594
Black Box Corp.
Digi International, Inc.*
Dycom Industries, Inc.*
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Communication Equipment (cont’’d.)
Foundry Networks, Inc.*
199,359
$2,705,302
73,810
1,743,392
Plantronics, Inc.(a)
7,513,799
Computer Hardware — 0.8%
Electronics for Imaging, Inc.*
75,951
1,781,051
26,778
598,220
10,928
424,444
Intermec, Inc.*(a)
MTS Systems Corp.
2,803,715
Computer Networking — 0.1%
Adaptec, Inc.*
78,902
305,351
43,355
496,848
82,680
1,242,681
12,971
700,304
107,218
2,046,792
28,705
895,596
27,731
898,207
Computer Services & Software — 1.7%
BISYS Group, Inc. (The)*
JDA Software Group, Inc.*
MICRO Systems, Inc.*(a)
Parametric Technology Corp.*(a)
Progress Software Corp.*
Transactions Systems Architects, Inc.*
6,280,428
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Computers & Peripherals — 0.2%
Rimage Corp.*
25,000
647,750
23,119
671,144
15,786
253,681
42,387
1,066,457
42,777
134,320
27,658
1,166,891
20,171
396,562
Construction — 1.0%
Beazer Homes USA, Inc.(a)
Builders FirstSource, Inc.*(a)
Hovnanian Enterprises, Inc.(Class A Stock) *(a)
Modtech Holdings, Inc.*
Ryland Group, Inc.(a)
Williams Scotsman International,Inc.*
3,689,055
Construction Materials — 0.4%
Florida Rock Industries, Inc.
20,000
1,345,800
70,401
1,536,150
62,538
1,655,381
101,840
1,381,969
44,197
523,734
Consumer Products & Services — 1.4%
Elizabeth Arden, Inc.*
Fossil, Inc.*(a)
Playtex Products, Inc.*(a)
Prestige Brands Holdings, Inc.*
5,097,234
Containers & Packaging — 0.6%
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AptarGroup, Inc.
33,200
2,222,076
43,130
1,584,165
32,733
1,671,674
Distribution/Wholesale — 0.9%
Owens & Minor, Inc.
Watsco, Inc.(a)
3,255,839
Diversified — 0.2%
Technology Investment Capital Corp.
44,391
750,652
35,850
1,612,533
46,800
2,089,620
16,175
573,566
19,600
945,504
19,700
913,686
Diversified Consumer Services — 0.4%
Steiner Leisure Ltd.*
Diversified Financial Services — 0.6%
Portfolio Recovery Associates, Inc.*(a)
Electric Utilities — 0.1%
MGE Energy, Inc.
Electrical Equipment — 0.5%
Hubbell, Inc. (Class B Stock)
Regal-Beloit Corp.
1,859,190
Electronic Components — 0.4%
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Empire District Electric Co. (The)
4,667
115,742
128,556
1,167,288
4,081
176,667
GrafTech International Ltd.*
ITC Holdings Corp.
1,459,697
Electronic Equipment & Instruments — 0.5%
Tektronix, Inc.
67,400
1,897,984
20,396
1,093,022
125,800
1,733,524
30,300
2,357,037
21,000
479,850
Electronics — 0.3%
Belden CDT, Inc.
Energy Equipment & Services — 1.2%
Input Output, Inc.*
National-Oilwell Varco, Inc.*
Superior Well Services, Inc.*
4,570,411
Engineering/Construction — 0.8%
EMCOR Group, Inc.*(a)
22,400
1,321,152
42,100
1,551,806
Perini Corp.*
2,872,958
Entertainment — 0.1%
Macrovision Corp.*
12,348
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309,317
Entertainment & Leisure — 0.4%
Boyd Gaming Corp.
21,848
1,040,839
13,233
339,029
Isle of Capri Casinos*(a)
1,379,868
Environmental Services — 0.4%
Waste Connections, Inc.*(a)
54,827
1,641,520
34,416
909,959
104,540
8,462,513
9,471
272,007
25,209
761,060
20,659
457,803
47,406
943,853
22,176
747,996
16,964
709,434
47,540
1,142,862
Equipment Services — 0.2%
Aaron Rents, Inc.
Exchange Traded Fund — 2.3%
iShares Russell 2000 Value Index Fund(a)
Financial——Bank & Trust — 3.8%
Bank of The Ozarks, Inc.
Chittenden Corp.
Citizens Banking Corp.
CoBiz, Inc.
Columbia Banking System, Inc.
First Financial Bankshare, Inc.
Glacier Bancorp, Inc.
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IBERIABANK Corp.
46,215
2,572,327
12,054
224,687
36,787
376,331
17,287
202,258
40,224
1,397,382
66,266
2,156,296
Irwin Financial Corp.
Millennium Bankshares Corp.
Nexity Financial Corp.*
Prosperity Bancshares, Inc.
Signature Bank*
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Financial - Bank & Trust (cont’’d.)
Southcoast Financial Corp.*
13,558
$302,615
15,064
272,658
10,843
140,959
40,890
1,340,783
Sterling Bancorp
Summit State Bank
United Community Banks, Inc.(a)
14,021,311
Financial Services — 2.3%
Accredited Home*(a)
38,187
353,994
16,808
359,691
19,243
647,527
55,461
702,691
98,656
2,596,626
47,544
661,337
47,065
676,324
26,249
415,784
71,810
2,177,997
Apollo Investment Corp.
Berkshire Hills Bancorp, Inc.
Brookline Bancorp, Inc.
Financial Federal Corp.
First Niagara Financial Group, Inc.
Highland Distressed Opportunities,Inc.*(a)
Knight Trading Group, Inc.(Class A Stock) *
PFF Bancorp, Inc.
8,591,971
Food & Staples Retailing — 0.2%
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Weis Markets, Inc.
14,960
668,712
238,600
2,739,128
27,850
959,711
60,100
1,994,719
34,800
1,042,260
Food Products — 1.8%
Del Monte Foods Co.
Nash Finch Co.(a)
Pilgrim’s Pride Corp.(a)
Smithfield Foods, Inc.*(a)
6,735,818
Gas Utilities — 0.3%
New Jersey Resources Corp.
20,500
1,026,025
70,280
989,542
18,600
599,850
80,600
1,469,338
37,590
1,436,690
75,200
1,193,424
Healthcare Equipment & Supplies — 0.3%
National Dentex Corp.*
Healthcare Providers & Services — 1.3%
Apria Healthcare Group, Inc.*
Cross Country, Inc*
LifePoint Hospitals, Inc.*
Rehabcare Group, Inc.*
4,699,302
Healthcare Services — 0.2%
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Amedisys, Inc.*
23,331
756,624
66,500
1,041,390
46,382
981,907
113,100
2,181,699
50,800
917,956
Healthcare Techology — 0.3%
Dendrite International, Inc.*
Healthcare-Products — 0.3%
American Medical Systems Holdings, Inc.*(a)
Hotels, Restaurants & Leisure — 0.8%
O’ Charleys, Inc.*
Trump Entertainment Resorts Inc.*(a)
3,099,655
Household Durables — 1.8%
Furniture Brands International, Inc.(a)
137,500
2,169,750
28,700
1,380,470
84,100
2,096,613
41,330
881,982
Snap-On, Inc.
Tupperware Corp.(a)
WCI Communities, Inc.*(a)
6,528,815
Household Products — 0.3%
Central Garden And Pet Co.*
66,400
Information Technology Services — 0.7%
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976,080
Medquist, Inc.*
22,370
222,358
131,000
2,340,970
Perot Systems Corp.(Class A Stock) *
2,563,328
Insurance — 3.6%
Allied World Assurance Holdings Ltd.
52,310
2,236,252
104,060
1,366,308
29,336
768,897
75,392
1,590,771
21,919
372,185
19,873
843,013
22,164
286,580
16,815
843,609
14,601
596,451
29,088
1,487,851
50,129
1,162,993
20,896
1,147,817
17,083
839,971
American Equity Investment Life Holding Co.
Aspen Insurance Holdings Ltd. (Bermuda)
CNA Financial Corp.*
Donegal Group, Inc.
Midland Co. (The)
National Atlantic Holdings Corp.*
Navigators Group, Inc.*
NYMAGIC, Inc.
ProAssurance Corp.*(a)
Procentury Corp.
RLI Corp.
StanCorp Financial Group, Inc.
13,542,698
Leisure Equipment & Products — 1.1%
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Callaway Gulf Co.
126,000
1,985,760
167,557
2,025,764
K2, Inc.*(a)
4,011,524
Life Science Tools & Services — 0.2%
Enzo Biochem, Inc.*(a)
56,500
852,020
54,300
1,951,542
36,053
884,380
2,079
78,462
33,810
1,366,600
9,661
449,237
35,200
1,790,976
42,400
1,804,544
28,300
1,913,363
100,830
3,034,983
40,724
1,361,403
13,494
424,926
55,800
1,924,542
Machinery — 4.6%
Albany International Corp.(Class A Stock) (a)
Applied Industrial Technologies, Inc.(a)
Baldor Electric Co.
Crane Co.(a)
Franklin Electric Co., Inc.
IDEX Corp.
Kaydon Corp.(a)
Kennametal, Inc.
Mueller Industries, Inc.
RBC Bearings, Inc.*(a)
Tennant Co.
Wabtec Corp.
16,984,958
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Machinery & Equipment — 0.3%
Actuant Corp.(Class A Stock)
22,776
1,156,110
59,200
2,070,816
Marine — 0.6%
Kirby Corp.*
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Medical Supplies & Equipment — 1.1%
Cardiac Science Corp.*
98,540
$901,641
PerkinElmer, Inc.
71,317
1,727,298
82,384
1,345,330
Symmetry Medical, Inc.*
3,974,269
Metals & Mining — 1.4%
Chaparral Steel Co.(a)
11,774
684,894
49,358
1,547,373
102,690
2,322,848
23,400
597,402
Commercial Metals Co.*
Gibraltar Industries, Inc.
Meridian Gold, Inc.*
5,152,517
Multi-Line Retail — 0.4%
Dillard’s, Inc.(Class A Stock)
47,700
1,561,221
2,965
84,799
77,300
2,302,767
49,664
2,268,155
Multi-Utilities
Vectren Corp.
Oil, Gas & Consumable Fuels — 4.5%
Denbury Resources, Inc.*
Northwest Natural Gas Co.
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Oil States International*(a)
45,458
1,458,747
61,452
1,410,323
52,689
1,759,813
31,063
1,181,947
11,780
89,764
22,742
883,982
21,017
982,335
43,761
2,088,712
43,400
2,378,754
Parallel Petroleum Corp.*(a)
Range Resources Corp.
South Jersey Industries, Inc.
Southeastern Michigan Gas Enterprises, Inc.*
Southwest Gas Corp.
W-H Energy Services, Inc.*
Williams Partners LP
XTO Energy, Inc.
16,805,299
Paper & Forest Products — 0.2%
Caraustar Industries, Inc.*
133,782
840,151
120,500
986,895
109,797
1,420,773
25,793
324,992
Pharmaceuticals — 0.7%
Bentley Pharmaceuticals, Inc.*(a)
Medarex, Inc.*
Salix Pharmaceuticals Ltd.*(a)
2,732,660
Real Estate Investment Trust——Apartment — 0.3%
American Campus Communities, Inc.
34,411
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1,042,309
Real Estate Investment Trust——Office Industrial — 0.4%
Brandywine Realty Trust
47,837
1,598,234
29,446
767,657
22,233
887,097
84,084
1,442,041
129,418
1,928,328
57,388
1,154,646
Real Estate Investment Trust——Other Reit — 1.7%
Acadia Realty Trust
Digital Realty Trust, Inc.
Omega Healthcare Investors, Inc.
Spirit Finance Corp.
U-Store-It Trust*
6,179,769
Real Estate Investment Trusts — 4.9%
American Land Lease, Inc.
30,900
772,500
93,222
2,451,738
24,763
521,756
51,600
1,695,576
20,200
878,094
19,708
1,187,407
57,153
2,649,613
75,144
1,587,793
Biomed Realty Trust, Inc.
Cogdell Spencer, Inc.
Cousins Properties, Inc.(a)
Duke Realty Corp.
Entertainment Properties Trust
LaSalle Hotel Properties
Lexington Corp. Properties Trust(a)
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Liberty Property Trust(a)
18,200
886,704
160,538
1,236,143
17,650
992,989
53,848
1,302,583
39,271
2,051,910
MFA Mortgage Investments, Inc.
Mid-America Apartment Communities, Inc.
National Retail Properties(a)
Parkway Properties, Inc.
18,214,806
Restaurants — 1.2%
California Pizza Kitchen, Inc.*(a)
27,878
916,907
38,666
1,606,186
34,699
1,044,093
44,445
745,343
CEC Entertainment, Inc.*
Rare Hospitality International, Inc.*
Steak N Shake Co. (The)*
4,312,529
Retail — 0.3%
Charming Shoppes, Inc.*(a)
78,022
1,010,385
10,059
284,167
42,875
1,341,130
132,793
3,321,153
9,392
182,862
Retail & Merchandising — 1.9%
Asbury Automotive Group, Inc.
Big Lots, Inc.*
Casey’s General Stores, Inc.
Christopher & Banks Corp.
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Hot Topic, Inc.*
23,489
260,728
49,693
893,480
22,363
807,528
Insight Enterprises, Inc.*
School Specialty, Inc.*(a)
7,091,048
Semiconductors — 0.3%
AMIS Holdings, Inc.*
57,465
629,242
50,941
686,684
Semtech Corp.*
1,315,926
Semiconductors & Semiconductor Equipment — 5.4%
ATMI, Inc.*(a)
25,785
788,247
49,891
855,631
30,100
1,008,651
110,496
2,020,972
213,285
2,282,149
127,400
1,686,776
128,200
2,143,504
14,724
658,899
91,647
1,413,197
244,200
2,258,850
Brooks Automation, Inc.*(a)
Cabot Microelectronics Corp.*(a)
Emulex Corp.*
Entegris, Inc.*(a)
Exar Corp.*
Fairchild Semiconductor International, Inc.*
Form Factor, Inc.*(a)
Intergrated Device Technology, Inc.*
Kulicke & Soffa Industries, Inc.*(a)
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Omnivision Technologies, Inc.*(a)
75,700
981,072
34,780
1,382,157
116,700
2,738,949
Tessera Technologies, Inc.*
Verigy Ltd. (Singapore)*
20,219,054
Software — 1.9%
Blackboard, Inc.*(a)
9,710
326,547
70,100
1,428,638
EPIQ Systems, Inc.*(a)
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Software (cont’’d.)
Lawson Software, Inc.*(a)
520,031
$4,207,051
39,500
1,148,660
McAfee, Inc.*
7,110,896
Specialty Retail — 2.4%
Buckle, Inc. (The)
45,750
1,633,275
76,370
1,786,294
46,710
1,264,907
6,899
311,283
56,478
1,548,062
132,080
2,405,177
Cato Corp.(Class A Stock)
Deb Shops, Inc.
Guitar Center, Inc.*(a)
Lithia Motors, Inc. (Class A Stock)*
West Marine, Inc.*(a)
8,948,998
Telecommunications — 1.9%
Andrew Corp.*(a)
35,561
376,591
17,662
1,164,632
82,015
704,509
20,309
321,492
149,988
1,682,865
Anixter International, Inc.*(a)
Dobson Communications Corp.(Class A Stock) *
Knology, Inc.*
Premiere Global Services, Inc.*
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RCN Corp.*
52,679
1,345,948
100,982
1,505,642
Tekelec*(a)
7,101,679
Textiles — 0.2%
G & K Services, Inc. (Class A Stock)
19,959
724,113
75,200
1,957,456
25,200
809,172
53,600
2,423,792
11,540
477,871
Textiles, Apparel & Luxury Goods — 0.5%
Timberland Co. (The)(Class A Stock) *(a)
Thrifts & Mortgage Finance — 1.0%
City Bank/Lynnwood WA
PMI Group, Inc. (The)
Triad Guaranty, Inc.*(a)
3,710,835
Transportation — 0.4%
Forward Air Corp.
18,199
598,383
48,382
768,306
Heartland Express, Inc.
1,366,689
Utilities — 1.8%
Cleco Corp.
42,814
1,105,886
115,368
3,039,947
El Paso Electric Co.*
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Sierra Pacific Resources*
60,698
1,054,931
8,937
335,584
42,226
1,162,060
Unisource Energy Corp.
Westar Energy, Inc.
6,698,408
TOTAL LONG-TERM INVESTMENTS
(cost $317,213,712)
358,075,693
SHORT-TERM INVESTMENT — 24.4%
AFFILIATED MONEY MARKET MUTUAL FUND
Dryden Core Investment Fund—Taxable Money Market Series (cost $90,554,047 ; includes $77,708,485 of cash
collateral for securities on loan) (b)(w)
90,554,047
90,554,047
TOTAL SHORT-TERM INVESTMENT
(cost $90,554,047)
90,554,047
TOTAL INVESTMENTS — 120.9%
(cost $407,767,759)
448,629,740
Liabilities in excess of other assets — (20.9)%
(77,631,034 )
NET ASSETS — 100.0%
$370,998,706
*
Non-income producing security.
WA Washington State
(a) All or a portion of security is on loan. The aggregate market value of such securities is $74,110,921; cash collateral of $77,708,485
(included with liabilities) was received with which the portfolio purchased highly liquid short-term investments.
(b) Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.
(w) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund-Taxable Money
Market Series.
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SP STRATEGIC PARTNERS FOCUSED GROWTH PORTFOLIO
Schedule of Investments
March 31, 2007 (Unaudited)
Shares
Value
LONG-TERM INVESTMENTS — 99.2%
COMMON STOCKS
Aerospace — 1.9%
Boeing Co. (The)
14,200
$1,262,522
23,100
1,501,500
31,600
2,008,496
28,800
2,365,056
45,300
3,465,450
Aerospace & Defense — 2.3%
United Technologies Corp.
Beverages — 3.0%
PepsiCo, Inc.
Biotechnology — 8.8%
Genentech, Inc.*
Gilead Sciences, Inc.*
5,830,506
Capital Markets — 5.4%
Franklin Resources, Inc.
5,800
700,814
12,950
2,675,859
2,500
204,175
Goldman Sachs Group, Inc.
Merrill Lynch & Co., Inc.
3,580,848
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Communication Equipment — 7.9%
Cisco Systems, Inc.*
120,700
3,081,471
50,600
2,158,596
QUALCOMM, Inc.
5,240,067
Computer Services & Software — 1.3%
Microsoft Corp.
29,900
833,313
42,700
3,967,257
25,100
1,007,514
76,900
462,169
Computers & Peripherals — 8.2%
Apple, Inc.*
Hewlett-Packard Co.
Sun Microsystems, Inc.*
5,436,940
Consumer Products & Services — 1.8%
Procter & Gamble Co.
19,300
1,218,988
18,900
914,382
22,000
2,062,500
Diversified Financial Services — 4.5%
JPMorgan Chase & Co.
NYSE Group, Inc.*
2,976,882
Energy Equipment & Services — 1.2%
Schlumberger Ltd.
11,100
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767,010
Farming & Agriculture — 1.4%
Monsanto Co.
16,300
895,848
1,720
915,831
19,400
1,393,502
10,100
951,521
Financial Services — 4.9%
Chicago Mercantile Exchange Holdings, Inc.
Credit Suisse Group, ADR (Switzerland)
Legg Mason, Inc.
3,260,854
Healthcare Services — 2.6%
WellPoint, Inc.*
21,300
1,727,430
15,000
972,750
28,400
1,909,048
10,600
351,390
8,970
4,109,695
Hotels & Motels — 1.5%
Starwood Hotels & Resorts Worldwide, Inc.
Insurance — 2.9%
American International Group, Inc.
Internet & Catalog Retail — 0.5%
eBay, Inc.*
Internet Software & Services — 6.2%
Google, Inc.(Class A Stock) *
Media — 7.7%
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Comcast Corp.(Special Class A Stock) *
46,200
1,176,714
74,800
1,729,376
63,400
2,182,862
News Corp.(Class A Stock)
Walt Disney Co. (The)
5,088,952
Multi-Line Retail — 4.4%
Federated Department Stores, Inc.
41,700
1,878,585
17,100
1,013,346
Target Corp.
2,891,931
Oil, Gas & Consumable Fuels — 1.3%
Halliburton Co.
27,200
863,328
11,100
619,380
7,600
1,001,832
18,000
795,060
24,500
2,173,150
Pharmaceuticals — 6.9%
Abbott Laboratories
Alcon, Inc. (Switzerland)
Merck & Co., Inc.
Roche Holdings, Ltd., ADR (Switzerland)
4,589,422
Retail & Merchandising — 0.6%
Kohl’s Corp.*
4,900
Semiconductors & Semiconductor Equipment — 6.7%
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375,389
Broadcom Corp.(Class A Stock) *
73,700
2,363,559
92,200
1,549,882
18,800
541,064
Marvell Technology Group Ltd.*
NVIDIA Corp.*
4,454,505
Software — 3.6%
Adobe Systems, Inc.*
57,200
2,385,240
22,700
1,136,135
Textiles, Apparel & Luxury Goods — 1.7%
Coach, Inc.*
TOTAL LONG-TERM INVESTMENTS
(cost $56,709,295)
65,668,989
SHORT-TERM INVESTMENT — 0.5%
AFFILIATED MONEY MARKET MUTUAL FUND
Dryden Core Investment Fund—Taxable Money Market Series (cost $317,848)(w)
317,848
317,848
TOTAL INVESTMENTS — 99.7%
(cost $57,027,143)
65,986,837
Other assets in excess of liabilities — 0.3%
229,254
NET ASSETS — 100.0%
$66,216,091
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The following abbreviations are used in portfolio descriptions:
ADR American Depositary Receipt
*
Non-income producing security.
(w) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of Dryden Core Investment Fund-Taxable Money
Market Series.
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SP T. ROWE PRICE LARGE CAP GROWTH PORTFOLIO
Schedule of Investments
March 31, 2007 (Unaudited)
Shares
Value
LONG-TERM INVESTMENTS — 98.9%
COMMON STOCKS
Advertising — 2.0%
Lamar Advertising Co.
24,600
$1,549,062
101,200
1,487,640
15,000
786,900
17,400
824,238
17,000
725,220
11,500
1,068,465
23,600
887,360
Airlines — 2.0%
Southwest Airlines Co.
Biotechnology Healthcare — 1.0%
Celgene Corp.*
Commercial Services & Supplies — 1.1%
Monster Worldwide, Inc.*
Communication Equipment — 1.0%
QUALCOMM, Inc.*
Computer Hardware — 1.4%
Apple Computer, Inc.*
Computer Services & Software — 9.0%
Autodesk, Inc.*
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Automatic Data Processing, Inc.*
23,600
1,142,240
11,200
564,032
103,000
2,870,610
20,500
707,250
30,100
690,193
Electronic Arts, Inc.*
Microsoft Corp.
NAVTEQ Corp.*
Red Hat, Inc.*
6,861,685
Consumer Products & Services — 1.9%
Accenture Ltd.(Class A Stock)
38,200
1,472,228
50,900
1,080,098
3,300
403,293
18,300
1,441,308
Diversified Financial Services — 3.8%
E*TRADE Financial Corp.*
Intercontinental Exchange, Inc.*
Morgan Stanley
2,924,699
Drugs & Medicine — 8.4%
Amgen, Inc.*
15,700
877,316
17,300
1,420,676
28,500
2,180,250
16,800
631,848
15,900
1,289,490
Genentech, Inc.*
Gilead Sciences, Inc.*
St. Jude Medical, Inc.*
WellPoint, Inc.*
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6,399,580
Electronic Components — 1.5%
Harman International Industries, Inc.
12,100
1,162,568
13,400
736,464
31,200
2,020,200
1,600
31,520
1,300
692,198
12,900
1,558,707
Farming & Agriculture — 1.0%
Monsanto Co.
Financial - Bank & Trust — 2.7%
State Street Corp.
Financial Services — 3.0%
Broadridge Financial Solutions, Inc.*
Chicago Mercantile Exchange Holdings, Inc.
Franklin Resources, Inc.
2,282,425
Food & Staples Retailing — 0.9%
Wal-Mart Stores, Inc.
15,000
704,250
27,800
1,472,566
38,200
1,542,516
Healthcare Providers & Services — 1.9%
UnitedHealth Group, Inc.
Hotels, Restaurants & Leisure — 3.8%
International Game Technology
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Marriott International, Inc.(Class A Stock)
17,400
851,904
5,200
493,272
Wynn Resorts Ltd.
2,887,692
Internet Services — 7.4%
Amazon.com, Inc.*
41,600
1,655,264
31,200
1,034,280
5,000
2,290,800
22,300
697,767
eBay, Inc.*
Google, Inc.(Class A Stock) *
Yahoo!, Inc.*
5,678,111
Manufacturing — 2.1%
Danaher Corp.
22,400
1,600,480
19,400
842,542
28,400
1,393,304
13,900
648,157
Media — 1.1%
EchoStar Communications Corp.(Class A Stock) *
Medical Supplies & Equipment — 2.7%
Medtronic, Inc.*
Sepracor, Inc.*
2,041,461
Oil, Gas & Consumable Fuels — 2.0%
Schlumberger Ltd.
22,400
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1,547,840
Pharmaceuticals — 1.8%
Cephalon, Inc.*
7,100
505,591
12,200
884,866
Medco Health Solutions, Inc.*
1,390,457
Retail & Merchandising — 8.2%
Bed Bath & Beyond, Inc.*
27,400
1,100,658
26,978
921,029
21,400
1,639,454
24,300
1,440,018
25,600
1,174,784
CVS Corp.
Kohl’s Corp.*
Target Corp.
Walgreen Co.
6,275,943
Semiconductors — 11.7%
Analog Devices, Inc.
37,900
1,307,171
77,100
1,412,472
34,100
1,093,587
49,800
952,674
85,600
1,438,936
39,600
1,164,240
62,200
1,600,406
Applied Materials, Inc.
Broadcom Corp. (Class A Stock)*
Intel Corp.
Marvell Technology Group Ltd. (Bermuda)*
Maxim Integrated Products, Inc.
Xilinx, Inc.
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8,969,486
Software — 1.4%
Adobe Systems, Inc.*
24,900
1,038,330
22,100
695,929
81,200
3,162,740
Specialty Retail — 0.9%
Lowe’s Cos., Inc.*
Telecommunications — 7.1%
American Tower Corp.(Class A Stock) *
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Juniper Networks, Inc.*
114,800
$2,259,264
5,422,004
Textiles, Apparel & Luxury Goods — 0.5%
Coach, Inc.*
8,000
400,400
22,900
946,228
95,100
3,362,736
Transportation — 1.2%
Expeditors International Washington, Inc.
Utilities — 4.4%
General Electric Co.
TOTAL LONG-TERM INVESTMENTS
(cost $67,013,196)
75,577,829
SHORT-TERM INVESTMENT — 1.4%
AFFILIATED MONEY MARKET MUTUAL FUND
Dryden Core Investment Fund—Taxable Money Market Series (cost $1,043,841) (w)
1,043,841
1,043,841
TOTAL INVESTMENTS — 100.3%
(cost $68,057,037)
76,621,670
Liabilities in excess of other assets — (0.3)%
(237,960 )
NET ASSETS — 100.0%
$76,383,710
*
Non-income producing security.
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(w) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund-Taxable Money
Market Series.
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STOCK INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS
March 31, 2007 (Unaudited)
Shares
Value
LONG-TERM INVESTMENTS 98.0%
COMMON STOCKS
Aerospace/Defense 2.5%
Boeing Co.
204,136 $18,149,732
General Dynamics Corp.
99,600
7,609,440
31,800
1,637,064
208,550
9,605,813
32,900
2,877,763
90,498
8,780,116
96,226
7,141,894
115,818
6,075,812
41,500
2,777,595
252,200
16,393,000
Goodrich Corp.
Honeywell International, Inc.
L-3 Communications Holdings, Inc.
Lockheed Martin Corp.
Northrop Grumman Corp.
Raytheon Co.
Rockwell Collins, Inc.
United Technologies Corp.
81,048,229
Air Freight & Logistics 0.9%
C.H. Robinson Worldwide, Inc.(b)
33,700
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1,609,175
FedEx Corp.
77,240
8,297,893
269,400
18,884,940
United Parcel Service, Inc. (Class B Stock)(b)
28,792,008
Airlines 0.1%
Southwest Airlines Co.
176,637
2,596,564
49,200
1,534,548
46,100
4,361,982
Auto Components 0.2%
Goodyear Tire & Rubber Co. (The)(a)(b)
Johnson Controls, Inc.
5,896,530
Automobiles 0.4%
Ford Motor Co.(b)
462,045
3,645,535
139,100
4,262,024
69,700
4,094,875
General Motors Corp.(b)
Harley-Davidson, Inc.
12,002,434
Beverages 2.0%
Anheuser-Busch Cos., Inc.
197,600
9,970,896
16,200
1,062,072
514,500
24,696,000
71,800
1,453,950
Brown-Forman Corp.
Coca-Cola Co. (The)(Class B Stock)
Coca-Cola Enterprises, Inc.
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Constellation Brands, Inc. (Class A Stock)(a)
38,200
809,076
11,600
1,097,592
33,600
1,071,504
413,740
26,297,314
Molson Coors Brewing Co. (Class B Stock)
Pepsi Bottling Group, Inc.
PepsiCo, Inc.
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66,458,404
Biotechnology 1.2%
Amgen, Inc.(a)
289,864 16,197,600
Biogen Idec, Inc.(a)(b)
90,825
4,030,814
87,200
4,574,512
56,800
3,409,136
Celgene Corp.(a)(b)
Genzyme Corp.(a)
Gilead Sciences, Inc.(a)
107,800 8,246,700
MedImmune, Inc.(a)(b)
61,200
2,227,068
38,685,830
Building Products 0.1%
American Standard Cos., Inc.
38,900
2,062,478
Masco Corp.
101,400 2,778,360
4,840,838
Capital Markets 3.8%
Ameriprise Financial, Inc.
62,300
3,559,822
Bank of New York Co., Inc. (The)
193,000 7,826,150
Bear Stearns & Co., Inc.
32,110
4,827,739
Charles Schwab Corp.
260,800 4,770,032
E*Trade Financial Corp.(a)(b)
106,800 2,266,296
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Federated Investors, Inc. (Class B Stock)
22,600
829,872
40,400
4,881,532
Franklin Resources, Inc.
Goldman Sachs Group, Inc.
107,600 22,233,388
Janus Capital Group, Inc.
62,000
1,296,420
30,800
2,901,668
Legg Mason, Inc.
Lehman Brothers Holdings, Inc.
141,100 9,886,877
Mellon Financial Corp.(b)
105,700 4,559,898
Merrill Lynch & Co., Inc.
231,000 18,865,770
Morgan Stanley
276,210 21,754,300
Northern Trust Corp.
48,800
2,934,832
85,600
5,542,600
59,600
2,812,524
State Street Corp.
T. Rowe Price Group, Inc.
121,749,720
Chemicals 1.6%
Air Products & Chemicals, Inc.
55,700
4,119,572
18,600
1,220,160
Ashland, Inc.
Dow Chemical Co.
239,561 10,986,267
Du Pont (E.I.) de Nemours & Co.
234,391 11,585,947
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Eastman Chemical Co.
22,400
1,418,592
48,800
2,098,400
27,900
545,166
18,700
883,014
Ecolab, Inc.
Hercules, Inc.(a)
International Flavors & Fragrances, Inc.
Monsanto Co.
131,396 7,221,524
PPG Industries, Inc.
42,600
2,995,206
79,000
4,973,840
38,800
2,006,736
25,600
1,062,912
Praxair, Inc.
Rohm and Haas Co.
Sigma-Aldrich Corp.
51,117,336
Commercial Banks 4.0%
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BB&T Corp.(b)
136,000
5,578,720
41,250
2,438,700
33,300
1,111,554
25,200
1,733,760
143,249
5,542,304
29,600
1,229,288
63,875
1,395,669
107,500
4,028,025
20,100
2,328,183
58,700
2,718,397
151,500
5,643,375
79,800
5,743,206
187,712
6,639,373
90,700
7,531,728
62,100
2,008,314
439,581
15,372,148
491,855
27,076,618
Comerica, Inc.
Commerce Bancorp, Inc.(b)
Compass Bancshares, Inc.
Fifth Third Bancorp
First Horizon National Corp.
Huntington Bancshares, Inc.(b)
KeyCorp
M&T Bank Corp.(b)
Marshall & Ilsley Corp.(b)
National City Corp.(b)
PNC Financial Services Group, Inc.
Regions Financial Corp.
SunTrust Banks, Inc.(b)
Synovus Financial Corp.
US Bancorp
Wachovia Corp.(b)
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Wells Fargo & Co.
858,220
29,548,515
27,700
2,341,204
Zions Bancorporation
130,009,081
Commercial Services & Supplies 0.5%
Allied Waste Industries, Inc.(a)
71,800
903,962
25,000
1,606,500
35,800
1,292,380
57,500
2,103,925
31,100
1,133,595
22,900
1,084,773
58,300
2,646,237
48,800
1,806,088
145,030
4,990,482
Avery Dennison Corp.
Cintas Corp.
Donnelley (R.R.) & Sons Co.
Equifax, Inc.
Monster Worldwide, Inc.(a)
Pitney Bowes, Inc.
Robert Half International, Inc.(b)
Waste Management, Inc.
17,567,942
Communications Equipment 2.5%
ADC Telecommunications, Inc.(a)
27,200
455,328
110,908
1,309,823
19,657
549,413
Avaya, Inc.(a)
Ciena Corp.(a)
Cisco Systems, Inc.(a)
1,543,300 39,400,449
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Corning, Inc.(a)
366,500
8,334,210
24,887
379,029
112,000
2,204,160
611,395
10,803,350
407,200
17,371,152
116,000
1,148,400
JDS Uniphase Corp.(a)(b)
Juniper Networks, Inc.(a)
Motorola, Inc.
QUALCOMM, Inc.
Tellabs, Inc.(a)(b)
81,955,314
Computers & Peripherals 3.7%
Apple, Inc.(a)
210,600
19,566,846
576,500
13,380,565
572,874
7,934,305
689,416
27,673,158
381,700
35,979,042
23,614
1,380,474
46,300
2,211,751
Dell, Inc.(a)
EMC Corp.(a)(b)
Hewlett-Packard Co.
International Business Machines Corp.
Lexmark International, Inc.(a)(b)
NCR Corp.(a)
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Network Appliance, Inc.(a)
96,800
3,535,136
39,100
664,700
43,100
1,887,780
817,800
4,914,978
QLogic Corp.(a)
SanDisk Corp.(a)(b)
Sun Microsystems, Inc.(a)
119,128,735
Construction & Engineering 0.1%
Fluor Corp.
23,500
2,108,420
27,000
3,144,960
296,100
16,700,040
101,269
7,641,759
103,800
4,245,420
Construction Materials 0.1%
Vulcan Materials Co.
Consumer Finance 0.9%
American Express Co.
Capital One Financial Corp.
SLM Corp.(b)
28,587,219
Containers & Packaging 0.2%
Ball Corp.(b)
23,400
1,072,890
25,900
864,801
33,000
1,113,420
Bemis Co.
Pactiv Corp.(a)(b)
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Sealed Air Corp.
39,820
1,258,312
29,600
1,768,304
Temple-Inland, Inc.
6,077,727
Distributors 0.1%
Genuine Parts Co.(b)
46,225
2,265,025
29,800
1,308,220
87,900
1,849,416
Diversified Consumer Services 0.1%
Apollo Group, Inc. (Class A Stock)(a)
H&R Block, Inc.
3,157,636
Diversified Financial Services 5.4%
Bank of America Corp.
1,134,207 57,867,241
Chicago Mercantile Exchange Holdings, Inc.
8,200
4,366,172
52,300
2,767,716
CIT Group, Inc.
Citigroup, Inc.
1,237,776 63,547,419
JPMorgan Chase & Co.
873,285
42,249,528
65,320
4,053,759
Moody’s Corp.(b)
174,851,835
Diversified Telecommunication Services 2.2%
AT&T, Inc.
1,560,811 61,542,777
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CenturyTel, Inc.
30,000
1,355,700
90,300
1,349,985
39,376
2,218,838
411,647
3,700,707
102,565
1,506,680
Citizens Communications Co.(b)
Embarq Corp.
Qwest Communications International, Inc.(a)(b)
Windstream Corp.
71,674,687
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Electric Utilities 1.9%
Allegheny Energy, Inc.(a)
36,200
1,778,868
American Electric Power Co., Inc.
109,940 5,359,575
Duke Energy Corp.(b)
308,482 6,259,100
Edison International
85,100
4,180,963
50,100
5,256,492
Entergy Corp.
Exelon Corp.
171,550 11,787,201
FirstEnergy Corp.(b)
87,436
5,791,761
98,100
6,000,777
26,000
1,254,500
92,500
3,783,250
56,714
2,860,654
FPL Group, Inc.(b)
Pinnacle West Capital Corp.
PPL Corp.
Progress Energy, Inc.(b)
Southern Co.(b)
179,100 6,564,015
60,877,156
Electrical Equipment 0.4%
Cooper Industries Ltd.
50,000
2,249,500
Emerson Electric Co.
207,100 8,923,939
Rockwell Automation, Inc.
45,800
2,742,046
13,915,485
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Electronic Equipment & Instruments 0.2%
Agilent Technologies, Inc.(a)
113,682 3,829,947
Jabil Circuit, Inc.
30,900
661,569
32,600
919,320
Molex, Inc.
Sanmina Corp.(a)
150,600 545,172
Solectron Corp.(a)(b)
261,700 824,355
Tektronix, Inc.
18,300
515,328
7,295,691
Energy Equipment & Services 1.8%
Baker Hughes, Inc.
84,630
5,596,582
80,300
2,240,370
32,200
1,751,680
BJ Services Co.
ENSCO International, Inc.
Halliburton Co.(b)
266,200 8,449,188
Nabors Industries Ltd.(a)(b)
69,600
2,065,032
43,200
3,360,528
32,800
2,580,704
12,700
412,369
National-Oilwell Varco, Inc.(a)
Noble Corp.
Rowan Cos., Inc.
Schlumberger Ltd.
299,800 20,716,180
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Smith International, Inc.
36,300
1,744,215
77,133
6,301,766
85,500
3,856,050
Transocean, Inc.(a)
Weatherford International Ltd.(a)
59,074,664
Food & Staples Retailing 2.4%
Costco Wholesale Corp.
116,432 6,268,699
CVS Corp.(b)
392,638 13,404,661
Kroger Co.
186,300 5,262,975
Safeway, Inc.
117,300 4,297,872
SUPERVALU, Inc.
46,408
1,813,161
Sysco Corp.
153,700 5,199,671
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Walgreen Co.
249,400 11,444,966
Wal-Mart Stores, Inc.
621,700 29,188,815
Whole Foods Market, Inc.(b)
31,300
1,403,805
78,284,625
Food Products 1.1%
Archer-Daniels-Midland Co.
168,138 6,170,665
Campbell Soup Co.(b)
48,800
1,900,760
ConAgra Food, Inc.
140,800 3,507,328
Dean Foods Co.(a)
27,200
1,271,328
87,600
5,100,072
80,350
3,786,092
46,100
2,519,826
66,000
3,394,380
31,300
1,205,676
General Mills, Inc.(b)
Heinz (H.J.) & Co.
Hershey Foods Corp.(b)
Kellogg Co.(b)
McCormick & Co., Inc.
Sara Lee Corp.
185,900 3,145,428
Tyson Foods, Inc. (Class A Stock)(b)
51,800
1,005,438
49,100
2,500,663
Wrigley (William) Jr. Co.(b)
35,507,656
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Gas Utilities 0.1%
Nicor, Inc.
12,200
590,724
21,900
1,953,699
Questar Corp.
2,544,423
Healthcare Equipment & Supplies 1.6%
Bausch & Lomb, Inc.
9,500
486,020
Baxter International, Inc.
164,700 8,674,749
Becton Dickinson & Co.
65,800
5,059,362
46,625
1,981,096
Biomet, Inc.
Boston Scientific Corp.(a)
259,199 3,768,753
C.R. Bard, Inc.
26,600
2,114,966
42,820
1,751,338
Hospira, Inc.(a)
Medtronic, Inc.
294,800 14,462,888
St. Jude Medical, Inc.(a)
83,100
3,125,391
69,500
4,609,240
20,600
982,414
58,686
5,012,371
Stryker Corp.(b)
Varian Medical Systems, Inc.(a)
Zimmer Holdings, Inc.(a)(b)
52,028,588
Healthcare Providers & Services 2.3%
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Aetna, Inc.
147,148 6,443,611
AmerisourceBergen Corp.(b)
58,400
3,080,600
Cardinal Health, Inc.
103,475 7,548,501
CIGNA Corp.
29,000
4,137,140
39,750
2,227,988
34,700
2,800,984
41,900
2,431,038
33,800
2,454,894
12,750
693,090
72,107
4,221,144
74,396
5,395,942
21,400
759,486
Coventry Health Care, Inc.(a)
Express Scripts, Inc.(a)
Humana, Inc.(a)(b)
Laboratory Corp. of America Holdings(a)(b)
Manor Care, Inc.
McKesson Corp.
Medco Health Solutions, Inc.(a)(b)
Patterson Cos., Inc.(a)
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Quest Diagnostics, Inc.
38,300
1,910,021
Tenet Healthcare Corp.(a)
111,100 714,373
UnitedHealth Group, Inc.
342,200 18,126,334
Wellpoint, Inc.(a)
161,200 13,073,320
76,018,466
Healthcare Technology
IMS Health, Inc.
51,320
1,522,151
Hotels, Restaurants & Leisure 1.5%
Carnival Corp.(b)
106,800 5,004,648
Darden Restaurants, Inc.
38,650
1,591,994
40,450
3,416,003
84,000
3,020,640
79,000
3,190,020
77,900
3,813,984
Harrah’s Entertainment, Inc.
Hilton Hotels Corp.
International Game Technology
Marriott International, Inc. (Class A Stock)
McDonald’s Corp.
316,500 14,258,325
Starbucks Corp.(a)
200,100 6,275,136
Starwood Hotels & Resorts Worldwide, Inc.
48,500
3,145,225
21,700
679,210
Wendy’s International, Inc.
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Wyndham Worldwide Corp.(a)
37,963
1,296,436
72,500
4,187,600
Yum! Brands, Inc.
49,879,221
Household Durables 0.5%
Black & Decker Corp.(b)
16,500
1,346,730
25,600
1,069,568
52,200
1,148,400
33,000
2,601,060
16,700
1,604,536
21,932
935,838
50,900
1,153,903
29,000
1,224,090
58,249
1,810,961
36,800
973,728
12,300
591,630
19,100
1,057,376
16,507
1,401,609
Centex Corp.
D.R. Horton, Inc.(b)
Fortune Brands, Inc.
Harman International Industries, Inc.
KB Home
Leggett & Platt, Inc.
Lennar Corp. (Class A Stock)
Newell Rubbermaid, Inc.
Pulte Homes, Inc.
Snap-On, Inc.
Stanley Works
Whirlpool Corp.(b)
16,919,429
Household Products 2.2%
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Clorox Co.
37,900
2,413,851
Colgate-Palmolive Co.
130,400 8,709,416
Kimberly-Clark Corp.
119,088 8,156,337
Procter & Gamble Co.
801,681 50,634,172
69,913,776
Independent Power Producers & Energy Traders 0.5%
AES Corp.(a)
159,700 3,436,744
Constellation Energy Group, Inc.
48,350
4,204,033
87,800
813,028
Dynegy, Inc.(a)
TXU Corp.
123,412 7,910,709
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16,364,514
Industrial Conglomerates 3.8%
3M Co.(b)
183,900
14,055,477
General Electric Co.
2,578,500 91,175,759
Textron, Inc.
32,100
2,882,580
497,843
15,706,947
Tyco International Ltd.
123,820,763
Insurance 4.4%
ACE Ltd.
87,200
4,975,632
113,800
5,355,428
164,888
9,903,173
28,800
2,488,032
649,687
43,671,960
74,725
2,836,561
113,000
5,838,710
45,628
1,934,627
106,800
3,731,592
80,600
7,703,748
71,363
4,837,698
AFLAC, Inc.
Allstate Corp.
Ambac Financial Group, Inc.(b)
American International Group, Inc.
Aon Corp.(b)
Chubb Corp.
Cincinnati Financial Corp.
Genworth Financial, Inc. (Class A Stock)
Hartford Financial Services Group, Inc.
Lincoln National Corp.(b)
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Loews Corp.
104,300
4,738,349
115,800
3,391,782
36,850
2,413,307
192,300
12,143,745
66,300
3,969,381
195,800
4,272,356
28,100
1,866,683
24,100
1,580,719
175,098
9,064,823
86,456
1,991,082
45,300
3,169,188
Marsh & McLennan Cos., Inc.
MBIA, Inc.
MetLife, Inc.
Principal Financial Group, Inc.
Progressive Corp.
SAFECO Corp.
Torchmark Corp.
Travelers Cos., Inc. (The)
UnumProvident Corp.(b)
XL Capital Ltd. (Class A Stock)(b)
141,878,576
Internet & Catalog Retail 0.1%
Amazon.Com, Inc.(a)
63,100
2,510,749
45,200
1,704,492
IAC/InterActiveCorp.(a)(b)
4,215,241
Internet Software & Services 1.4%
eBay, Inc.(a)
285,300
9,457,695
53,950
24,717,732
Google, Inc. (Class A Stock)(a)
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VeriSign, Inc.(a)
50,500
1,268,560
301,300
9,427,677
Yahoo!, Inc.(a)(b)
44,871,664
IT Services 1.1%
Affiliated Computer Services, Inc. (Class A Stock)(a)
25,300
1,489,664
147,100
7,119,640
31,300
2,762,851
47,400
2,470,962
37,600
955,416
123,300
3,412,944
Automatic Data Processing, Inc.
Cognizant Technology Solutions Corp.(a)
Computer Sciences Corp.(a)
Convergys Corp.(a)
Electronic Data Systems Corp.
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Fidelity National Information Services, Inc.
31,500
1,431,990
First Data Corp.
174,604 4,696,848
Fiserv, Inc.(a)
54,900
2,912,994
89,350
3,383,685
39,619
1,297,522
67,000
564,810
Paychex, Inc.
Sabre Holdings Corp.
Unisys Corp.(a)
Western Union Co. (The)
192,004 4,214,488
36,713,814
Leisure Equipment & Products 0.2%
Brunswick Corp.
26,400
840,840
48,000
1,082,880
42,650
1,220,643
98,281
2,709,607
Eastman Kodak Co.(b)
Hasbro, Inc.
Mattel, Inc.
5,853,970
Life Sciences, Tools & Services 0.3%
Applera Corp.-Applied Biosystems Group
49,100
1,451,887
10,800
782,676
31,000
750,820
Millipore Corp.(a)
PerkinElmer, Inc.
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Thermo Fisher Scientific, Inc.(a)(b)
90,700
4,240,225
27,600
1,600,800
Waters Corp.(a)(b)
8,826,408
Machinery 1.5%
Caterpillar, Inc.
161,200 10,805,236
Cummins, Inc.(b)
12,400
1,794,528
61,500
4,394,175
57,600
6,257,664
55,100
2,689,431
35,500
2,966,380
Danaher Corp.
Deere & Co.
Dover Corp.
Eaton Corp.
Illinois Tool Works, Inc.
106,600 5,500,560
Ingersoll-Rand Co. (Class A Stock)
76,100
3,300,457
43,500
2,623,920
60,952
4,473,877
17,600
668,800
32,325
2,789,971
19,800
1,420,848
ITT Corp.
PACCAR, Inc.(b)
Pall Corp.
Parker Hannifin Corp.
Terex Corp.(a)
49,685,847
Media 3.4%
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CBS Corp. (Class B Stock)
190,168 5,817,239
Clear Channel Communications, Inc.
121,100 4,243,344
Comcast Corp. (Class A Stock)(a)(b)
756,945 19,642,723
DIRECTV Group, Inc. (The)(a)
176,600 4,074,162
Dow Jones & Co., Inc.(b)
17,400
599,778
16,700
746,156
59,100
3,326,739
69,800
859,238
89,800
5,646,624
11,000
631,290
41,900
985,069
E.W. Scripps Co. (Class A Stock)
Gannett Co., Inc.
Interpublic Group of Cos., Inc.(a)(b)
McGraw-Hill Cos., Inc.(b)
Meredith Corp.
New York Times Co. (Class A Stock)(b)
News Corp. (Class A Stock)
560,200 12,951,824
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Omnicom Group, Inc.
44,600
4,566,148
Time Warner, Inc.(b)
986,020 19,444,314
Tribune Co.
49,000
1,573,390
Viacom, Inc. (Class B Stock)(a)
174,468 7,172,379
Walt Disney Co.
536,101 18,457,957
110,738,374
Metals & Mining 0.9%
Alcoa, Inc.
228,376 7,741,946
Allegheny Technologies, Inc.(b)
22,640
2,415,462
87,006
5,758,927
Freeport-McMoran Copper & Gold, Inc.
Newmont Mining Corp.
103,503 4,346,091
Nucor Corp.
78,600
5,119,218
27,740
2,750,976
United States Steel Corp.
28,132,620
Multiline Retail 1.3%
Big Lots, Inc.(a)
26,200
819,536
20,750
679,148
48,203
1,019,493
Dillard’s, Inc.
Dollar General Corp.
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Family Dollar Stores, Inc.
45,600
1,350,672
Federated Department Stores, Inc.
131,320 5,915,966
J.C. Penney Co., Inc.
61,900
5,085,704
84,700
6,488,867
56,000
2,964,640
20,412
3,677,426
Kohl’s Corp.(a)
Nordstrom, Inc.
Sears Holdings Corp.(a)
Target Corp.
217,168 12,869,376
40,870,828
Multi-Utilities 1.2%
Ameren Corp.
48,300
2,429,490
82,010
1,471,259
43,000
765,400
62,800
3,206,568
86,842
7,708,964
37,000
1,772,300
11,850
657,794
33,800
1,390,870
73,000
1,784,120
CenterPoint Energy, Inc.(b)
CMS Energy Corp.(b)
Consolidated Edison, Inc.(b)
Dominion Resources, Inc.
DTE Energy Co.(b)
Integrys Energy Group, Inc.
KeySpan Corp.
NiSource, Inc.
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PG&E Corp.
78,200
3,774,714
60,300
5,007,312
70,054
4,273,995
37,900
652,259
Public Service Enterprise Group, Inc.
Sempra Energy
TECO Energy, Inc.
Xcel Energy, Inc.
109,495 2,703,432
37,598,477
Office Electronics 0.1%
Xerox Corp.(a)
246,892 4,170,006
Oil, Gas & Consumable Fuels 8.1%
Anadarko Petroleum Corp.
122,526 5,266,167
Apache Corp.
85,250
6,027,175
Chesapeake Energy Corp.
104,700 3,233,136
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Chevron Corp.
550,992
40,751,368
413,979
28,295,465
30,100
1,177,813
114,800
7,946,456
176,311
2,551,220
59,700
4,258,998
ConocoPhillips
Consol Energy, Inc.
Devon Energy Corp.
El Paso Corp.
EOG Resources, Inc.
Exxon Mobil Corp.(b)
1,436,370 108,374,116
Hess Corp.
66,000
3,661,020
22,600
2,405,770
86,997
8,597,914
43,100
2,301,540
215,500
10,626,305
53,500
2,152,840
154,242
4,051,937
37,000
2,606,280
152,200
9,815,378
150,000
4,269,000
Kinder Morgan, Inc.
Marathon Oil Corp.
Murphy Oil Corp.(b)
Occidental Petroleum Corp.
Peabody Energy Corp.
Spectra Energy Corp.
Sunoco, Inc.(b)
Valero Energy Corp.
Williams Cos., Inc.
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XTO Energy, Inc.
90,000
4,932,900
263,302,798
Paper & Forest Products 0.3%
International Paper Co.(b)
112,767
4,104,719
48,289
1,489,233
51,800
3,871,532
MeadWestvaco Corp.
Weyerhaeuser Co.
9,465,484
Personal Products 0.2%
Avon Products, Inc.(b)
104,100
3,878,766
25,500
1,245,675
Estee Lauder Cos., Inc. (The)
5,124,441
Pharmaceuticals 6.2%
Abbott Laboratories
382,800
21,360,240
33,200
3,679,224
13,200
611,820
501,860
13,931,634
82,600
4,248,944
733,071
44,174,858
71,033
1,397,219
256,000
13,749,760
Allergan, Inc.(b)
Barr Pharmaceuticals, Inc.(a)
Bristol-Myers Squibb Co.
Forest Laboratories, Inc.(a)(b)
Johnson & Johnson
King Pharmaceuticals, Inc.(a)(b)
Lilly (Eli) & Co.
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Merck & Co., Inc.
548,700
24,236,079
40,900
864,626
Mylan Laboratories, Inc.
Pfizer, Inc.
1,804,608 45,584,398
Schering-Plough Corp.
381,400
9,729,514
27,900
737,397
345,100
17,265,353
Watson Pharmaceuticals, Inc.(a)
Wyeth
201,571,066
Real Estate Investment Trust 1.2%
Apartment Investment & Management Co. (Class A Stock)
23,100
1,332,639
56,100
3,045,108
20,300
2,639,000
25,700
3,017,180
Archstone-Smith Trust
AvalonBay Communities, Inc.(b)
Boston Properties, Inc.
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Developers Diversified Realty Corp.
23,800
1,497,020
66,700
3,216,941
106,600
2,804,646
46,700
2,276,158
34,800
1,371,816
65,600
4,259,408
28,700
2,717,029
53,400
5,940,750
29,800
3,556,332
Equity Residential
Host Hotels & Resorts, Inc.
Kimco Realty Corp.(b)
Plum Creek Timber Co., Inc.
ProLogis
Public Storage, Inc.
Simon Property Group, Inc.(b)
Vornado Realty Trust(b)
37,674,027
Real Estate Management & Development 0.1%
CB Richard Ellis Group, Inc.(a)(b)
48,500
1,657,730
56,254
1,665,681
Realogy Corp.(a)
3,323,411
Road & Rail 0.8%
Burlington Northern Santa Fe Corp.
92,126
7,409,694
109,624
4,390,441
98,900
5,004,340
CSX Corp.
Norfolk Southern Corp.
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Ryder System, Inc.
17,600
868,384
69,400
7,047,570
Union Pacific Corp.
24,720,429
Semiconductors & Semiconductor Equipment 2.2%
Advanced Micro Devices, Inc.(a)(b)
87,900
1,147,974
56,200
1,123,438
85,100
2,935,099
390,000
7,144,800
97,850
3,138,050
Altera Corp.(a)(b)
Analog Devices, Inc.
Applied Materials, Inc.
Broadcom Corp.(a)
Intel Corp.
1,463,600 27,998,668
KLA-Tencor Corp.(b)
43,700
2,330,084
64,900
2,050,191
110,800
1,156,752
64,000
1,881,600
131,900
1,593,352
86,000
2,076,040
40,000
1,280,800
80,400
2,313,912
Linear Technology Corp.(b)
LSI Logic Corp.(a)(b)
Maxim Integrated Products, Inc.
Micron Technology, Inc.(a)
National Semiconductor Corp.
Novellus Systems, Inc.(a)(b)
NVIDIA Corp.(a)(b)
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PMC-Sierra, Inc.(a)(b)
20,000
140,200
30,800
509,432
385,500
11,603,550
92,200
2,372,306
Teradyne, Inc.(a)
Texas Instruments, Inc.
Xilinx, Inc.(b)
72,796,248
Software 3.3%
Adobe Systems, Inc.(a)
141,700
5,908,890
46,700
1,755,920
57,900
1,782,741
108,973
2,823,490
34,000
1,089,020
108,600
1,030,614
74,200
3,736,712
Autodesk, Inc.(a)
BMC Software, Inc.(a)
CA, Inc.
Citrix Systems, Inc.(a)
Compuware Corp.(a)
Electronic Arts, Inc.(a)(b)
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Intuit, Inc.(a)
91,600
2,506,176
Microsoft Corp.
2,187,500 60,965,625
Novell, Inc.(a)(b)
73,100
527,782
Oracle Corp.(a)
1,019,020 18,474,833
Symantec Corp.(a)
273,011
4,723,090
105,324,893
Specialty Retail 1.9%
Abercrombie & Fitch Co.
14,100
1,067,088
40,589
862,110
13,600
1,742,704
56,400
2,265,588
104,225
5,077,842
37,000
685,610
104,187
1,793,058
517,419
19,009,974
89,796
2,340,084
386,900
12,183,481
68,800
2,417,632
AutoNation, Inc.(a)
AutoZone, Inc.(a)(b)
Bed Bath & Beyond, Inc.(a)
Best Buy Co., Inc.
Circuit City Stores, Inc.
Gap, Inc.
Home Depot, Inc.
Limited Brands, Inc.
Lowe’s Cos., Inc.
Office Depot, Inc.(a)
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OfficeMax, Inc.
16,786
885,294
31,760
858,473
31,400
2,073,656
180,000
4,651,200
30,300
1,378,044
122,000
3,289,120
RadioShack Corp.(b)
Sherwin-Williams Co.
Staples, Inc.
Tiffany & Co.
TJX Cos., Inc.
62,580,958
Textiles, Apparel & Luxury Goods 0.5%
Coach, Inc.(a)
106,400
5,325,320
28,000
860,440
26,400
1,131,240
44,300
4,707,318
11,200
987,280
24,536
2,027,164
Jones Apparel Group, Inc.
Liz Claiborne, Inc.(b)
NIKE, Inc. (Class B Stock)
Polo Ralph Lauren Corp.
V.F. Corp.
15,038,762
Thrifts & Mortgage Finance 1.3%
Countrywide Financial Corp.(b)
151,098
5,082,937
245,200
13,383,016
173,900
10,345,311
Fannie Mae
Freddie Mac
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Hudson City Bancorp, Inc.
86,500
1,183,320
23,600
1,390,512
87,405
2,223,583
234,526
9,470,160
MGIC Investment Corp.(b)
Sovereign Bancorp, Inc.(b)
Washington Mutual, Inc.(b)
43,078,839
Tobacco 1.6%
Altria Group, Inc.(b)
527,600
46,328,556
46,400
2,895,824
42,200
2,446,756
Reynolds American, Inc.(b)
UST, Inc.
51,671,136
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Trading Companies & Distributors
Grainger (W.W.), Inc.
20,300
1,567,972
92,900
5,759,800
731,622
13,871,553
730,038
27,683,041
Wireless Telecommunication Services 1.5%
Alltel Corp.
Sprint Nextel Corp.
Verizon Communications, Inc.
47,314,394
TOTAL LONG-TERM INVESTMENTS
(cost $ 1,781,076,080)
3,175,793,765
SHORT-TERM INVESTMENTS 15.9%
Affiliated Money Market Mutual Fund 15.8%
Dryden Core Investment Fund—— Taxable Money Market Series
(cost $ 511,900,099; includes $455,520,761 of cash collateral received for securities on loan)(c)(f)
511,900,099 511,900,099
Principal
(000)
U.S. Government Obligation 0.1%
United States Treasury Bills(d)(e)
4.91%, 06/14/07
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(cost $ 3,167,703)
$3,200
3,168,269
TOTAL SHORT-TERM INVESTMENTS
(cost $ 515,067,802)
515,068,368
TOTAL INVESTMENTS 113.9%
(cost $ 2,296,143,882)
3,690,862,133
LIABILITIES IN EXCESS OF OTHER ASSETS(g) (13.9%)
(450,227,305 )
NET ASSETS 100.0%
$3,240,634,828
(a)
(b)
(c)
(d)
(e)
(f)
(g)
Non income-producing security.
All or portion of security is on loan. The aggregate market value of such securities is $437,740,462; cash collateral of $455,520,761
(included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.
Represents security, or portion thereof, purchased with cash collateral received for securities on loan.
Security segregated as collateral for futures contracts.
Rate quoted represents yield-to-maturity at purchase date.
Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund – Taxable
Money Market Series.
Liabilities in excess of other assets include net unrealized appreciation on financial futures as follows:
Open futures contract outstanding at March 31, 2007:
Number of Contracts
Expiration
Value at
Value at
Unrealized
Type
Date
March 31, 2007
Trade Date
Appreciation
S&P 500 Index
June 2007
$64,404,000
$63,473,962
Long Position:
180
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$930,038
VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
March 31, 2007 (Unaudited)
Shares
Value
LONG-TERM INVESTMENTS 99.1%
COMMON STOCKS
Aerospace & Defense 2.2%
Honeywell International, Inc.
918,900
$42,324,534
376,300
21,027,644
538,800
28,567,176
1,081,300
43,846,715
415,200
33,909,384
646,800
38,439,324
Biotechnology 1.1%
Amgen, Inc.(a)
Building Products 1.5%
American Standard Companies, Inc.
Capital Markets 6.0%
Bank of New York Co., Inc. (The)
Merrill Lynch & Co., Inc.
UBS AG
116,195,423
Chemicals 2.9%
E.I. du Pont de Nemours & Co.
565,900
27,972,437
1,057,100
28,182,286
Mosaic Co. (The)(a)(b)
56,154,723
Commercial Banks 1.4%
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Royal Bank of Scotland Group PLC (United Kingdom)
697,747
27,241,475
998,700
34,365,267
2,320,600
27,406,286
733,200
12,955,644
565,400
24,119,964
Commercial Services & Supplies 1.8%
Waste Management, Inc.
Communications Equipment 3.3%
Avaya, Inc.(a)
Motorola, Inc.
QUALCOMM, Inc.
64,481,894
Computers & Peripherals 2.0%
International Business Machines Corp.
218,000
20,548,680
786,400
18,323,120
Seagate Technology
38,871,800
Consumer Finance 1.9%
American Express Co.
320,700
18,087,480
469,700
19,210,730
SLM Corp.(b)
37,298,210
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Diversified Consumer Services 3.7%
Career Education Corp.(a)(b)
815,000
24,857,500
H&R Block, Inc.
2,226,600 46,847,664
71,705,164
Diversified Financial Services 6.9%
Bank of America Corp.
520,872
26,574,889
Citigroup, Inc.
1,046,900 53,747,846
JPMorgan Chase & Co.
560,900
27,136,342
176,100
4,270,425
907,900
22,016,575
KKR Private Equity Investors LLP
KKR Private Equity Investors LLP, RDU, Physical, Private Placement, 144A
(cost $22,639,596; purchased 5/03/06 – 5/05/06)(e)(f)(g)
133,746,077
Diversified Telecommunication Services 1.0%
Verizon Communications, Inc.
525,100
19,911,792
252,200
17,328,662
532,100
26,865,729
Electric Utilities 0.9%
Exelon Corp.
Electronic Equipment & Instruments 1.4%
Sony Corp., ADR (Japan)
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Energy Equipment & Services 1.3%
Baker Hughes, Inc.
385,000
25,460,050
Food & Staples Retailing 3.0%
Kroger Co. (The)
1,180,700 33,354,775
Wal-Mart Stores, Inc.
556,200
26,113,590
59,468,365
Food Products 3.6%
Cadbury Schweppes PLC, ADR (United Kingdom)
807,100
41,460,727
ConAgra Foods, Inc.
1,186,800 29,563,188
71,023,915
Healthcare Providers & Services 1.6%
Omnicare, Inc.(b)
806,000
32,054,620
371,400
13,355,544
561,300
22,171,350
Hotels, Restaurants & Leisure 1.8%
Hilton Hotels Corp.
OSI Restaurant Partners, Inc.
35,526,894
Household Products 1.7%
Kimberly-Clark Corp.
471,400
Independent Power Producers & Energy Traders 1.8%
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32,286,186
NRG Energy, Inc.(a)(b)
493,100
Industrial Conglomerates 2.1%
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35,522,924
General Electric Co.
731,800
25,876,448
505,700
15,954,835
Tyco International Ltd.
41,831,283
Insurance 7.0%
American International Group, Inc.
751,900
50,542,718
650,400
22,022,544
815,000
37,025,450
Axis Capital Holdings Ltd.
Loews Corp.
Montpelier Re Holdings Ltd.
1,534,000 26,599,560
136,190,272
Internet & Catalog Retail 0.9%
IAC/InterActiveCorp(a)(b)
439,100
16,558,461
900,800
23,375,760
Media 5.4%
Comcast Corp. (Class “A” Stock)(a)(b)
Liberty Global, Inc., Series C(a)
1,075,635 32,957,456
Liberty Media Corp.(a)
191,300
21,155,867
686,214
28,210,258
Viacom, Inc. (Class “B” Stock)(a)
105,699,341
Metal & Mining 0.9%
Freeport-McMoRan Copper & Gold, Inc. (Class “B” Stock)
250,318
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16,568,548
Multi-Utilities 1.5%
Sempra Energy
486,100
29,656,961
Office Electronics 1.6%
Xerox Corp.(a)
1,867,500 31,542,075
Oil, Gas & Consumable Fuels 11.3%
Anadarko Petroleum Corp.
510,400
21,936,992
654,400
36,299,568
211,900
20,942,077
457,000
28,014,100
762,000
37,574,220
314,600
31,305,846
522,500
39,892,876
404,537
3,504,002
Hess Corp.
Marathon Oil Corp.
Nexen, Inc.
Occidental Petroleum Corp.
Petroleo Brasileiro SA, ADR (Brazil)
Suncor Energy, Inc.
Trident Resources Corp. (Canada)
(cost $16,980,633; purchased 3/11/05—1/05/06)(a)(e)(f)
219,469,681
Pharmaceuticals 2.6%
Abbott Laboratories
457,600
25,534,080
459,600
25,107,948
Novartis AG, ADR (Switzerland)
50,642,028
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Software 2.7%
CA, Inc.
940,506
24,368,510
Symantec Corp.(a)(b)
1,635,700 28,297,610
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52,666,120
Specialty Retail 1.3%
Best Buy Co., Inc.
518,700
25,271,064
224,600
23,865,996
570,400
19,188,256
334,200
18,240,636
Textiles, Apparel & Luxury Goods 1.2%
NIKE, Inc. (Class “B” Stock)
Thrifts & Mortgage Finance 1.9%
Countrywide Financial Corp.(b)
Fannie Mae
37,428,892
Tobacco 2.3%
Altria Group, Inc.
516,200
45,327,522
451,000
27,962,000
2,192,936
41,578,067
Wireless Telecommunication Services 3.6%
Alltel Corp.
Sprint Nextel Corp.(b)
69,540,067
TOTAL LONG-TERM INVESTMENTS
(cost $ 1,538,563,921)
1,929,686,835
SHORT-TERM INVESTMENT 10.9%
Affiliated Money Market Mutual Fund
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Dryden Core Investment Fund - Taxable Money Market Series
(cost $213,035,599; includes $190,120,429 of cash collateral for securities on loan)(c)(d)
213,035,599
213,035,599
TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT 110.0%
(cost $ 1,751,599,520)
2,142,722,434
SECURITY SOLD SHORT (0.6)%
Food Products
Kraft Foods, Inc.
(proceeds received $ 12,223,693)
367,100
(11,622,386 )
TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT(h) 109.4%
(cost 1,739,375,827)
2,131,100,048
OTHER LIABILITIES IN EXCESS OF OTHER ASSETS (9.4)%
(183,780,653 )
NET ASSETS 100.0%
$1,947,319,395
The following abbreviations are used in portfolio descriptions:
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ADR American Depositary Receipt
RDU Restricted Depositary Unit
(a)Non-income producing security.
(b)All or a portion of security is on loan. The aggregate market value of such securities is $181,785,365; cash collateral of $190,120,429
(included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.
(c)Represents security, or a portion thereof, purchased with cash collateral for securities on loan.
(d)Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund — Taxable Money
Market Series.
(e)Indicates illiquid securities.
(f) Indicates securities restricted to resale. The aggregate cost of such securities was $39,620,229. The aggregate value of $25,520,577 is
approximately 1.3% of the net assets.
(g)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.
(h)As of March 31, 2007, one security representing $3,504,002 and 0.2% of the total market value of the Portfolio was fair valued in
accordance with the policies adopted by the Board of Trustees.
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Notes to Schedule of Investments (Unaudited)
Securities Valuation: Securities listed on a securities exchange (other than options on securities and indices) are valued at the last sale price on
such exchange on the day of valuation or, if there was no sale on such day, at the mean between the last reported bid and asked prices, or at
the last bid price on such day in the absence of an asked price. Securities traded via Nasdaq are valued at the NASDAQ official closing price
(“NOCP”) on the day of valuation, or if there was no NOCP, at the last sale price. Securities that are actively traded in the over-the-counter
market, including listed securities for which the primary market is believed by Prudential Investments LLC (“PI or Manager”), in consultation
with the subadvisers, to be over-the-counter, are valued at market value using prices provided by an independent pricing agent or principal
market maker.
Corporate bonds (other than convertible debt securities) and U.S. government securities that are actively traded in the over-the-counter market,
including listed securities for which the primary market is believed by an Adviser in consultation with the Manager to be over-the-counter, are
valued by an independent pricing agent or more that one principal market maker (if available, otherwise by a principal market maker or
primary market dealer). Convertible debt securities that are actively traded in the over-the-counter market, including listed securities for which
the primary market is believed by an Adviser in consultation with the Manager to be over-the-counter, are valued by an independent pricing
agent or at the mean between the last reported bid and asked prices (or at the last bid price in the absence of an asked price) provided by more
than one principal market maker (if available, otherwise by a principal market maker or a primary market dealer).
Options on securities and indices traded on an exchange are valued at the last sale price as of the close of trading on the applicable exchange
or, if there was no sale, at the mean between the most recently quoted bid and asked prices on such exchange or at the last bid price in the
absence of an asked price.
Futures contracts and options thereon traded on a commodities exchange or board of trade are valued at the last sale price at the close of
trading on such exchange or board of trade or, if there was no sale on the applicable commodities exchange or board of trade on such day, at
the mean between the most recent quoted prices on such exchange or board of trade or at the last bid price in the absence of an asked price.
Securities for which market quotations are not readily available, or whose values have been affected by events occurring after the close of the
security’s foreign market and before the Prudential Series Fund’s (“Series Fund”) normal pricing time, are valued at fair value in accordance
with the Board of Trustees’ approved fair valuation procedures. When determining the fair valuation 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 issuer; the price 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.
Market values of investments traded in a foreign currency are translated into U.S. dollars at the current rates of exchange.
Forward currency contracts are valued daily at current exchange rates.
Swaps are valued by “marking-to-market” the unrealized gains or losses daily.
Investments in mutual funds are valued at the net asset value as of the close of the New York Stock Exchange on the date of valuation.
Short-term securities, which mature in sixty days or less, are valued at amortized cost, which approximates market 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. Short-term securities, which mature in more than sixty days, are valued at
current market quotations.
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Certain Portfolios invest in the Taxable Money Market Series and Short-Term Bond Series (the “Series”), series of Dryden Core Investment
Fund, pursuant to an exemptive order received from the Securities and Exchange Commission. The Series are a money market mutual fund
and short term bond fund, respectively, registered under the Investment Company Act of 1940, as amended, and managed by PI.
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.
Other information regarding the Series Fund is available in the Series Fund’s most recent Report to Shareholders. This information is
available on the Securities and Exchange Commission’s website (www.sec.gov).
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Item 2.
Item 3.
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 have been no significant changes in the registrant’s internal controls or in other factors that could significantly affect
these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant
deficiencies and material weaknesses.
Exhibits
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 – Attached hereto.
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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 (Signature and Title)*
/s/Deborah A. Docs
Deborah A. Docs
Secretary of the Fund
Date
May 23, 2007
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 (Signature and Title)*
/s/David R. Odenath
David R. Odenath
President and Principal Executive Officer
Date
May 23, 2007
By (Signature and Title)*
/s/Grace C. Torres
Grace C. Torres
Treasurer and Principal Financial Officer
Date
May 23, 2007
* Print the name and title of each signing officer under his or her signature.
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CERTIFICATIONS
I, David R. Odenath, certify that:
1.
I have reviewed this report on Form N-Q of Prudential Series Fund;
2.
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to
make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the
period covered by this report;
3.
Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the
registrant as of the end of the fiscal quarter for which the report is filed;
4.
The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as
defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule
30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
5.
(a)
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our
supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to
us by others within those entities, particularly during the period in which this report is being prepared;
(b)
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed
under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of
financial statements for external purposes in accordance with generally accepted accounting principles;
(c)
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions
about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report,
based on such evaluation; and
(d)
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s
most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control
over financial reporting; and
The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s
board of trustees (or persons performing the equivalent functions):
(a)
(b)
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which
are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information;
and
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s
internal control over financial reporting.
Date:
/s/David R. Odenath
May 23, 2007
David R. Odenath
President and Principal
Executive Officer
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CERTIFICATIONS
I, Grace C. Torres, certify that:
1.
I have reviewed this report on Form N-Q of Prudential Series Fund;
2.
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to
make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the
period covered by this report;
3.
Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the
registrant as of the end of the fiscal quarter for which the report is filed;
4.
The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as
defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule
30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
5.
(a)
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our
supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to
us by others within those entities, particularly during the period in which this report is being prepared;
(b)
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed
under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of
financial statements for external purposes in accordance with generally accepted accounting principles;
(c)
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions
about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report,
based on such evaluation; and
(d)
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s
most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control
over financial reporting; and
The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s
board of trustees (or persons performing the equivalent functions):
(a)
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which
are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information;
and
(b)
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s
internal control over financial reporting.
Date:
/s/Grace C. Torres
May 23, 2007
Grace C. Torres
Treasurer and Principal
Financial Officer
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