N-Q 1 dnq.htm BLACKROCK FUNDS BLACKROCK FUNDS

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-05742

Name of Fund: BlackRock Funds

 

All-Cap Global Resources Portfolio    Municipal Money Market Portfolio
Asset Allocation Portfolio    New Jersey Municipal Money Market Portfolio
Aurora Portfolio    North Carolina Municipal Money Market Portfolio
Capital Appreciation Portfolio    Ohio Municipal Money Market Portfolio
Exchange Portfolio    Pennsylvania Municipal Money Market Portfolio
Global Opportunities Portfolio    Small Cap Core Equity Portfolio
Global Resources Portfolio    Small Cap Growth Equity Portfolio
Global Science & Technology Opportunities Portfolio    Small Cap Value Equity Portfolio
Health Sciences Opportunities Portfolio    Small/Mid-Cap Growth Portfolio
International Opportunities Portfolio    U.S. Opportunities Portfolio
Mid-Cap Value Equity Portfolio    U.S. Treasury Money Market Portfolio
Mid-Cap Growth Equity Portfolio    Virginia Municipal Money Market Portfolio
Money Market Portfolio   

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: Donald C. Burke, Chief Executive Officer, BlackRock Funds, 800 Scudders

Mill Road, Plainsboro, NJ, 08536. Mailing address: P.O. Box 9011, Princeton, NJ, 08543-9011

Registrant’s telephone number, including area code: (800) 441-7762

Date of fiscal year end: 09/30/2008

Date of reporting period: 04/01/2008 – 06/30/2008

Item 1 – Schedule of Investments

 

Schedule of Investments June 30, 2008 (Unaudited)   

Capital Appreciation Portfolio

   (Percentages shown are based on Net Assets)

 

      Shares    Value

Common Stocks

      

Brazil — 0.8%

      

Oil & Gas — 0.8%

      

Petroleo Brasileiro SA - ADR

    30,400    $ 2,153,232
         

Ireland — 1.5%

      

Pharmaceuticals — 1.5%

      

Elan Corp. Plc - ADR

    112,100      3,985,155
         

United States — 97.1%

      

Aerospace — 1.1%

      

Northrop Grumman Corp.

    41,800      2,796,420
         

Banks — 0.6%

      

JPMorgan Chase & Co.

    45,600      1,564,536
         

Beverages & Bottling — 4.1%

      

The Coca-Cola Co.

    165,100      8,581,898

PepsiCo, Inc.

    34,700      2,206,573
         
        10,788,471
         

Business Services — 0.7%

      

Fluor Corp.

    9,300      1,730,544
         

Computer & Office Equipment — 5.0%

      

Apple, Inc.

    42,046      7,040,182

Cisco Systems, Inc.(a)

    255,308      5,938,464
         
        12,978,646
         

Computer Software & Services — 11.0%

      

Activision, Inc.

    171,400      5,839,598

Adobe Systems, Inc.(a)(b)

    188,029      7,406,462

Google, Inc. - Class A(a)

    12,794      6,735,017

Microsoft Corp.

    163,603      4,500,719

Salesforce.com, Inc.(a)

    61,230      4,177,723
         
        28,659,519
         

Energy & Utilities — 1.7%

      

Exelon Corp.

    48,751      4,385,640
         

Finance — 0.7%

      

NYSE Euronext, Inc.

    34,900      1,768,034
         

Food & Agriculture — 1.6%

      

Monsanto Co.

    32,540      4,114,358
         

Machinery & Heavy Equipment — 1.8%

      

Joy Global, Inc.

    61,000      4,625,630
         

Manufacturing — 8.1%

      

BorgWarner, Inc.

    47,200      2,094,736

Corning, Inc.

    148,893      3,431,984

Cummins, Inc.

    67,000      4,389,840

Danaher Corp.(b)

    89,300      6,902,890

Honeywell International, Inc.

    87,218      4,385,321
         
        21,204,771
         

Measuring & Controlling Devices — 2.3%

      

Thermo Electron Corp.(b)

    108,300      6,035,559
         

Medical & Medical Services — 2.9%

      

Henry Schein, Inc.

    62,300      3,212,811

Medco Health Solutions, Inc.(a)

    91,822      4,333,998
         
        7,546,809
         

Medical Instruments & Supplies — 3.8%

      

C.R. Bard, Inc.

    26,700      2,348,265

DENTSPLY International, Inc.

    49,500      1,821,600

Johnson & Johnson

    89,600      5,764,864
         
        9,934,729
         

Metal & Mining — 6.2%

      

Agnico-Eagle Mines Ltd.

    58,400      4,343,208

CONSOL Energy, Inc.

    36,018      4,047,343

Freeport-McMoRan Copper & Gold, Inc.—Class B

    43,337      5,078,663

Massey Energy Co.

    30,584      2,867,250
         
        16,336,464
         

Oil & Gas — 8.7%

      

Cameron International Corp.

    99,200      5,490,720

EOG Resources, Inc.

    23,620      3,098,944

Schlumberger Ltd.

    114,037      12,250,995

Transocean, Inc.(a)

    12,905      1,966,593
         
        22,807,252
         

Pharmaceuticals — 8.0%

      

Abbott Laboratories

    94,300      4,995,071

Celgene Corp.(a)

    68,900      4,400,643

Genentech, Inc.(a)

    46,100      3,498,990

Genzyme Corp.(a)

    41,600      2,996,032

Gilead Sciences, Inc.(a)

    96,900      5,130,855
         
        21,021,591
         

Restaurants — 0.9%

      

McDonald’s Corp.

    44,600      2,507,412
         

Retail Merchandising — 7.9%

      

Amazon.com, Inc.

    39,622      2,905,481

CVS Caremark Corp.

    20,100      795,357

Kohl’s Corp.(a)

    69,840      2,796,394

Nordstrom, Inc.

    64,767      1,962,440

Ross Stores, Inc.

    71,470      2,538,614

Wal-Mart Stores, Inc.

    171,686      9,648,753
         
        20,647,039
         

Security Brokers & Dealers — 1.8%

      

Janus Capital Group, Inc.

    183,283      4,851,501
         

Semiconductors & Related Devices — 2.2%

      

Broadcom Corp. - Class A

    80,100      2,185,929

PMC-Sierra, Inc.(a)(b)

    452,700      3,463,155
         
        5,649,084
         

Portfolios Abbreviations

 

To simplify the listings of Portfolios’ holdings in the Schedules of Investments, we have abbreviated certain descriptions according to the list on the right.    ADR    American Depository Receipts    JPY    Japanese Yen
   AUD    Australian Dollar    LLC    Limited Liability Company
   CAD    Canadian Dollar    LP    Limited Partnership
   CHF    Swiss Francs    NOK    Norwegian Krone
   DKK    Danish Krone    PLN    Polish Zloty
   EUR    Euro    REIT    Real Estate Investment Trust
   GBP    British Pound    SEK    Swedish Krona
   GDR    Global Depository Reciepts    SGD    Singapore Dollar
   HKD    Hong Kong Dollar    ZAR    South African Rand

 

         JUNE 30, 2008    1

Schedule of Investments (concluded)   

Capital Appreciation Portfolio

   (Percentages shown are based on Net Assets)

 

      Shares    Value  

Common Stocks

      

United States (Continued)

      

Soaps & Cosmetics — 3.1%

      

Avon Products, Inc.

    107,100    $ 3,857,742  

The Procter & Gamble Co.

    69,900      4,250,619  
           
        8,108,361  
           

Telecommunications — 8.1%

      

American Tower Corp. - Class A

    131,214      5,543,792  

AT&T, Inc.

    69,928      2,355,874  

QUALCOMM, Inc.

    266,106      11,807,123  

Research In Motion Ltd.(a)

    12,220      1,428,518  
           
        21,135,307  
           

Tobacco — 2.6%

      

Philip Morris International, Inc.

    140,412      6,934,949  
           

Transportation — 1.1%

      

Expeditors International of Washington, Inc.(b)

    65,028      2,796,204  
           

Waste Management — 1.1%

      

Waste Management, Inc.

    74,200      2,798,082  
           

Total United States

         253,726,912  
           

Total Common Stocks
(Cost — $223,474,483) — 99.4%

         259,865,299  
           

Short-Term Investments

      

BlackRock Liquidity Series, LLC Money Market Series, 2.70%(c)(d)(e)

    22,081,200      22,081,200  

Galileo Money Market Fund, 2.32%(e)

    1,267,604      1,267,604  
           

Total Short-Term Investments
(Cost — $23,348,804) — 8.9%

         23,348,804  
           

Total Investments
(Cost — $246,823,287*) — 108.3%

         283,214,103  

Obligation to Return Securities Lending Collateral — (8.4)%

         (22,081,200 )

Other Assets in Excess of Liabilities — 0.1%

         335,852  
           

Net Assets — 100.0%

       $ 261,468,755  
           

 

* The cost and unrealized appreciation (depreciation) of investments as of June 30, 2008, as computed for federal income tax purposes, were as follows:

 

Aggregate cost

    $ 247,494,876  
        

Gross unrealized appreciation

    $ 44,778,150  

Gross unrealized depreciation

      (9,058,923 )
        

Net unrealized appreciation

    $ 35,719,227  
        

 

(a) Non-income producing security.

 

(b) Security, or a portion of security, is on loan.

 

(c) Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

 

Affiliate

    Net
Activity		    Interest
Income

BlackRock Liquidity Series, LLC Money Market Series

    $ 22,081,200    $ 87,271

 

(d) Security purchased with the cash proceeds from securities loans.

 

(e) Represents current yield as of report date.

 

•  

For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the Securities Exchange Commission (“SEC”). This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

2

        JUNE 30, 2008     

Schedule of Investments June 30, 2008 (Unaudited)   

Mid-Cap Value Equity Portfolio

   (Percentages shown are based on Net Assets)

 

      Shares    Value

Common Stocks

      

Bermuda — 0.9%

      

Medical & Medical Services — 0.9%

      

Covidien Ltd.

    174,800    $ 8,371,172
         

United States — 94.4%

      

Banks — 6.4%

      

The Bank of New York Mellon Corp.

    258,200      9,767,706

Cullen/Frost Bankers, Inc.

    174,635      8,705,555

First Midwest Bancorp, Inc.(a)

    456,313      8,510,237

People’s United Financial, Inc.

    834,720      13,021,632

Wintrust Financial Corp.

    377,900      9,012,915

Zions Bancorporation(a)

    342,600      10,788,474
         
        59,806,519
         

Beverages & Bottling — 1.0%

      

Constellation Brands, Inc.

    476,300      9,459,318
         

Broadcasting — 1.3%

      

Belo Corp.

    1,702,026      12,441,810
         

Business Services — 1.5%

      

The Brink’s Co.

    139,300      9,113,006

W.W. Grainger, Inc.

    56,492      4,621,046
         
        13,734,052
         

Chemicals — 3.8%

      

Albemarle Corp.

    197,100      7,866,261

Ashland, Inc.(a)

    236,800      11,413,760

Celanese Corp. - Series A

    148,900      6,798,774

Hercules, Inc.(a)

    515,500      8,727,415
         
        34,806,210
         

Computer & Office Equipment — 0.5%

      

Electronics for Imaging, Inc.

    310,100      4,527,460

Phase Metrics, Inc.(b)(c)

    108,409      2,168
         
        4,529,628
         

Computer Software & Services — 1.4%

      

Tech Data Corp.

    219,700      7,445,633

Teradata Corp.(b)

    226,500      5,241,210
         
        12,686,843
         

Containers — 2.3%

      

Owens-Illinois, Inc.

    223,000      9,296,870

Pactiv Corp.(b)

    577,100      12,251,833
         
        21,548,703
         

Electronics — 2.3%

      

Agilent Technologies, Inc.

    287,700      10,224,858

Intersil Corp. - Class A

    291,000      7,077,120

Jabil Circuit, Inc.

    258,600      4,243,626
         
        21,545,604
         

Energy & Utilities — 12.6%

      

Constellation Energy Group, Inc.

    142,800      11,723,880

Edison International

    316,000      16,236,080

Entergy Corp.

    99,100      11,939,568

Equitable Resources, Inc.

    190,700      13,169,742

Integrys Energy Group, Inc.

    254,500      12,936,235

NRG Energy, Inc.(b)

    280,000      12,012,000

PPL Corp.

    243,400      12,722,518

Questar Corp.

    156,000      11,082,240

Wisconsin Energy Corp.

    326,100      14,746,242
         
        116,568,505
         

Entertainment & Leisure — 1.1%

      

Pinnacle Entertainment, Inc.(b)

    953,100      9,998,019
         

Finance — 6.1%

      

Affiliated Managers Group, Inc.

    61,300      5,520,678

AllianceBernstein Holding LP

    213,000      11,646,840

Astoria Financial Corp.

    553,000      11,104,240

Capital One Financial Corp.

    92,400      3,512,124

Freedom Pay, Inc.(c)

    43,051      431

Invesco Ltd.

    475,000      11,390,500

TD Ameritrade Holding Corp.(b)

    723,800      13,093,542
         
        56,268,355
         

Food & Agriculture — 3.8%

      

Dean Foods Co.

    531,900      10,435,878

Del Monte Foods Co.

    1,760,517      12,499,671

Lorillard, Inc.(b)

    176,000      12,172,160
         
        35,107,709
         

Insurance — 7.8%

      

Assurant, Inc.

    168,900      11,140,644

AXIS Capital Holdings Ltd.

    363,200      10,826,992

Hanover Insurance Group, Inc.

    294,969      12,536,182

HCC Insurance Holdings, Inc.

    646,200      13,660,668

Lincoln National Corp.

    256,000      11,601,920

W.R. Berkley Corp.

    510,800      12,340,928
         
        72,107,334
         

Machinery & Heavy Equipment — 1.2%

      

Albany International Corp. - Class A

    387,700      11,243,300
         

Manufacturing — 6.0%

      

Dover Corp.

    235,200      11,376,624

Eaton Corp.

    125,900      10,697,723

General Cable Corp.(a)(b)

    56,700      3,450,195

Jones Apparel Group, Inc.(a)

    428,900      5,897,375

Sherwin-Williams Co.

    109,100      5,010,963

Teleflex, Inc.

    223,400      12,418,806

Textron, Inc.

    138,200      6,623,926
         
        55,475,612
         

Medical & Medical Services — 4.5%

      

Coventry Health Care, Inc.

    307,400      9,351,108

DaVita, Inc.(b)

    144,100      7,656,033

Laboratory Corp. of America Holdings(a)(b)

    182,100      12,679,623

Quest Diagnostics, Inc.(a)

    249,400      12,088,418
         
        41,775,182
         

Medical Instruments & Supplies — 1.0%

      

The Cooper Cos., Inc.

    247,200      9,183,480
         

Metal & Mining — 1.7%

      

CONSOL Energy, Inc.

    63,300      7,113,021

Reliance Steel & Aluminum Co.

    111,500      8,595,535
         
        15,708,556
         

Motor Vehicles — 0.5%

      

Ford Motor Co.(b)

    941,614      4,529,163
         

Oil & Gas — 7.5%

      

BJ Services Co.

    385,600      12,316,064

EOG Resources, Inc.

    37,300      4,893,760

National Oilwell Varco, Inc.(b)

    163,675      14,521,246

Newfield Exploration Co.(b)

    190,800      12,449,700

Noble Corp.

    166,300      10,802,848

Southwestern Energy Co.(b)

    125,500      5,975,055

Swift Energy Co.(b)

    134,600      8,891,676
         
        69,850,349
         

 

         JUNE 30, 2008    3

Schedule of Investments (concluded)   

Mid-Cap Value Equity Portfolio

   (Percentages shown are based on Net Assets)

 

      Shares     Value  

Common Stocks

     

United States (Continued)

     

Publishing & Printing — 1.4%

     

R.R. Donnelley & Sons Co.

    441,100     $ 13,096,259  
          

Railroad & Shipping — 0.6%

     

Norfolk Southern Corp.

    94,700       5,934,849  
          

Real Estate — 2.4%

     

Boston Properties, Inc. (REIT)

    139,900       12,621,778  

Simon Property Group, Inc. (REIT)(a)

    102,000       9,168,780  
          
       21,790,558  
          

Restaurants — 0.4%

     

Brinker International, Inc.

    191,500       3,619,350  
          

Retail Merchandising — 9.0%

     

Advance Auto Parts, Inc.

    74,000       2,873,420  

Chico’s FAS, Inc.(b)

    777,700       4,176,249  

Foot Locker, Inc.

    714,300       8,893,035  

Limited Brands, Inc.

    741,600       12,495,960  

Longs Drug Stores Corp.(a)

    181,100       7,626,121  

Macy’s, Inc.

    482,300       9,366,266  

OfficeMax, Inc.

    301,600       4,192,240  

Safeway, Inc.(a)

    767,000       21,897,850  

Saks, Inc.(a)(b)

    620,100       6,808,698  

The Talbots, Inc.(a)

    479,074       5,552,468  
          
       83,882,307  
          

Security Brokers & Dealers — 0.6%

     

Piper Jaffray Cos., Inc.

    177,900       5,217,807  
          

Semiconductors & Related Devices — 0.8%

     

Micron Technology, Inc.(b)

    1,284,800       7,708,800  
          

Telecommunications — 3.4%

     

Amdocs Ltd.

    367,914       10,824,030  

Anixter International, Inc.(a)(b)

    182,475       10,855,438  

CommScope, Inc.(a)(b)

    185,400       9,783,558  
          
       31,463,026  
          

Tobacco — 1.5%

     

UST, Inc.

    255,500       13,952,855  
          

Total United States

        875,040,062  
          

Total Common Stocks
(Cost — $872,336,900) — 95.3%

        883,411,234  
          

Short-Term Investments

     

BlackRock Liquidity Series, LLC Money Market Series, 2.70%(d)(e)(f)

    141,488,150       141,488,150  

Galileo Money Market Fund, 2.32%(f)

    36,005,928       36,005,928  
          

Total Short-Term Investments
(Cost — $177,494,078) — 19.1%

        177,494,078  
          

Total Investments Before Option Written
(Cost — $1,049,830,978*) — 114.4%

        1,060,905,312  
          
      Contracts     Value  

Call Option Written

     

Assurant, Inc., expiring July 2008 at USD 70

     

(Premiums received — $11,060) — (0.0)%

    (140 )   $ (6,650 )
          

Total Investments Net of Outstanding Option Written
(Cost — $1,049,819,918) — 114.4%

        1,060,898,662  

Obligation to Return Securities Lending Collateral — (15.3)%

        (141,488,150 )

Other Assets in Excess of Liabilities — 0.9%

        7,940,828  
          

Net Assets — 100.0%

      $ 927,351,340  
          

 

* The cost and unrealized appreciation (depreciation) of investments as of June 30, 2008, as computed for federal income tax purposes, were as follows:

 

Aggregate cost

    $ 1,069,429,561  
        

Gross unrealized appreciation

    $ 92,833,850  

Gross unrealized depreciation

      (101,358,099 )
        

Net unrealized depreciation

    $ (8,524,249 )
        

 

(a) Security, or a portion of security, is on loan.

 

(b) Non-income producing security.

 

(c) Security is fair valued by the Board of Trustees.

 

(d) Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

 

Affiliate

    Net
Activity		    Interest
Income

BlackRock Liquidity Series, LLC Money Market Series

    $ 141,488,150    $ 1,005,076

 

(e) Security purchased with the cash proceeds from securities loans.

 

(f) Represents current yield as of report date.

 

• For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

4

        JUNE 30, 2008     

Schedule of Investments June 30, 2008 (Unaudited)   

Mid-Cap Growth Equity Portfolio

   (Percentages shown are based on Net Assets)

 

      Shares    Value

Common Stocks

      

Bermuda — 1.2%

      

Business Services — 1.2%

      

Genpact Ltd.(b)

    265,000    $ 3,953,800
         

Canada — 0.6%

      

Retail Merchandising — 0.6%

      

Lululemon Athletica, Inc.(b)

    66,300      1,926,678
         

Luxembourg — 1.3%

      

Oil & Gas — 1.3%

      

Acergy SA - ADR

    197,600      4,398,576
         

United Kingdom — 1.2%

      

Pharmaceuticals — 1.2%

      

Shire Plc - ADR

    85,056      4,178,801
         

United States — 91.6%

      

Aerospace — 2.0%

      

BE Aerospace, Inc.

    153,800      3,582,002

Goodrich Corp.

    64,800      3,075,408
         
        6,657,410
         

Banks — 1.8%

      

Fidelity National Information Services, Inc.

    160,600      5,927,746
         

Broadcasting — 0.9%

      

CKX, Inc.

    353,000      3,088,750
         

Business Services — 2.6%

      

Iron Mountain, Inc.(b)

    248,800      6,605,640

Strayer Education, Inc.

    9,500      1,986,165
         
        8,591,805
         

Chemicals — 4.5%

      

Agrium, Inc.

    63,900      6,871,806

Celanese Corp. - Series A

    167,400      7,643,484

Intrepid Potash, Inc.(a)

    5,200      342,056
         
        14,857,346
         

Computer & Office Equipment — 1.4%

      

Intuit, Inc.

    171,600      4,731,012
         

Computer Software & Services — 7.2%

      

ACI Worldwide, Inc.(b)

    117,200      2,061,548

Adobe Systems, Inc.(a)

    180,600      7,113,834

Foundry Networks, Inc.(a)

    193,400      2,285,988

IHS, Inc.(a)

    87,400      6,083,040

International Game Technology

    96,000      2,398,080

Jack Henry & Associates, Inc.

    182,300      3,944,972

Move, Inc.(a)

    945      2,201
         
        23,889,663
         

Electronics — 5.8%

      

Ametek, Inc.

    174,300      8,230,446

Amphenol Corp.

    174,100      7,813,608

Intersil Corp. - Class A

    131,700      3,202,944
         
        19,246,998
         

Energy & Utilities — 1.9%

      

Airgas, Inc.

    15,600      910,884

Quanta Services, Inc.(a)(b)

    158,100      5,259,987
         
        6,170,871
         

Entertainment & Leisure — 5.3%

      

DreamWorks Animation SKG, Inc. - Class A

    191,400      5,705,634

Orient-Express Hotels Ltd. - Class A

    77,200      3,353,568

Scientific Games Corp. - Class A(a)

    280,100      8,296,562
         
        17,355,764
         

Finance — 3.4%

      

Affiliated Managers Group, Inc.

    23,500      2,116,410

AllianceBernstein Holding LP

    42,300      2,312,964

CME Group, Inc.

    10,900      4,176,771

Invesco Ltd.

    107,507      2,578,018
         
        11,184,163
         

Food & Agriculture — 1.1%

      

Panera Bread Co. - Class A(b)

    77,400      3,580,524
         

Machinery & Heavy Equipment - 2.1%

      

Joy Global, Inc.

    91,700      6,953,611
         

Manufacturing — 2.6%

      

IDEX Corp.

    188,200      6,933,288

Quanex Building Products Corp.

    111,889      1,662,670
         
        8,595,958
         

Measuring & Controlling Devices — 2.4%

      

Thermo Electron Corp.

    142,000      7,913,660
         

Medical & Medical Services — 5.7%

      

Magellan Health Services, Inc.

    94,500      3,499,335

Medco Health Solutions, Inc.(a)

    133,400      6,296,480

Pediatrix Medical Group, Inc.(a)

    133,500      6,572,205

ResMed, Inc.(a)

    66,500      2,376,710
         
        18,744,730
         

Medical Instruments & Supplies — 2.5%

      

Hologic, Inc.(b)

    184,100      4,013,380

Martek Biosciences Corp.(a)(b)

    129,300      4,358,703
         
        8,372,083
         

Metal & Mining — 5.0%

      

Century Aluminum Co.

    36,900      2,453,481

CONSOL Energy, Inc.

    65,300      7,337,761

Massey Energy Co.

    70,500      6,609,375
         
        16,400,617
         

Miscellaneous Services — 1.6%

      

TeleTech Holdings, Inc.

    259,200      5,173,632
         

Motor Vehicles — 1.1%

      

Oshkosh Truck Corp.

    173,100      3,581,439
         

Oil & Gas — 10.9%

      

BJ Services Co.

    156,600      5,001,804

Chesapeake Energy Corp.

    109,000      7,189,640

National Oilwell Varco, Inc.(a)

    68,500      6,077,320

Noble Corp.

    92,300      5,995,808

Plains Exploration & Production Co.(a)

    81,100      5,917,867

Superior Energy Services, Inc.(a)

    108,800      5,999,232
         
        36,181,671
         

Personal Services — 1.0%

      

MSCI, Inc.

    87,900      3,189,891
         

Pharmaceuticals — 3.0%

      

Endo Pharmaceuticals Holdings, Inc.

    118,600      2,868,934

Forest Laboratories, Inc.(a)

    91,700      3,185,658

Medicis Pharmaceutical Corp.

    191,600      3,981,448
         
        10,036,040
         

Real Estate — 0.0%

      

FX Real Estate & Entertainment, Inc.

    70,600      134,140
         

Retail Merchandising — 4.6%

      

GameStop Corp.

    149,300      6,031,720

 

         JUNE 30, 2008    5

Schedule of Investments (concluded)   

Mid-Cap Growth Equity Portfolio

   (Percentages shown are based on Net Assets)

 

      Shares    Value  

Common Stocks

      

United States (Continued)

      

Retail Merchandising (Continued)

      

TJX Cos., Inc.(b)

    142,500    $ 4,484,475  

Urban Outfitters, Inc.(a)

    150,300      4,687,857  
           
        15,204,052  
           

Semiconductors & Related Devices — 4.2%

      

Broadcom Corp.—Class A(b)

    226,100      6,170,269  

Lam Research Corp.(a)

    84,800      3,065,520  

PMC-Sierra, Inc.(a)

    598,600      4,579,290  
           
        13,815,079  
           

Soaps & Cosmetics — 1.8%

      

Bare Escentuals, Inc.(b)

    313,700      5,875,601  
           

Telecommunications — 5.2%

      

Amdocs Ltd.

    276,000      8,119,920  

American Tower Corp.—Class A

    62,600      2,644,850  

Harris Corp.

    124,581      6,290,095  
           
        17,054,865  
           

Total United States

         302,509,121  
           

Total Common Stocks
(Cost — $267,545,343) — 95.9%

         316,966,976  
           

Short-Term Investments

      

BlackRock Liquidity Series, LLC Money Market Series, 2.70%(c)(d)(e)

    45,667,800      45,667,800  

Galileo Money Market Fund, 2.32%(e)

    12,165,976      12,165,976  
           

Total Short-Term Investments
(Cost — $57,833,776) — 17.5%

         57,833,776  
           

Total Investments
(Cost — $325,379,119*) — 113.4%

         374,800,752  

Obligation to Return Securities Lending Collateral — (13.8)%

         (45,667,800 )

Other Assets in Excess of Liabilities — 0.4%

         1,204,785  
           

Net Assets — 100.0%

       $ 330,337,737  
           

 

* The cost and unrealized appreciation (depreciation) of investments as of June 30, 2008, as computed for federal income tax purposes, were as follows:

 

Aggregate cost

    $ 325,621,246  
        

Gross unrealized appreciation

    $ 78,869,104  

Gross unrealized depreciation

      (29,689,598 )
        

Net unrealized appreciation

    $ 49,179,506  
        

 

(a) Non-income producing security.

 

(b) Security, or a portion of security, is on loan.

 

(c) Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

 

Affiliate

    Net
Activity		    Interest
Income

BlackRock Liquidity Series, LLC Money Market Series

    $ 45,667,800    $ 208,609

 

(d) Security purchased with the cash proceeds from securities loans.

 

(e) Represents current yield as of report date.

 

•  

For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

6

        JUNE 30, 2008     

Schedule of Investments June 30, 2008 (Unaudited)   

Aurora Portfolio

   (Percentages shown are based on Net Assets)

 

     Shares    Value

Common Stocks

      

Canada — 2.4%

      

Entertainment & Leisure — 0.8%

      

Lions Gate Entertainment Corp.

    708,400    $ 7,339,024
         

Real Estate — 1.6%

      

Boardwalk Real Estate Investment Trust (REIT)

    393,844      14,734,872
         

Total Canada

         22,073,896
         

Ireland — 0.4%

      

Computer Software & Services — 0.4%

      

SkillSoft Plc - ADR

    402,781      3,641,140
         

United States — 94.3%

      

Aerospace — 3.1%

      

Curtiss-Wright Corp.

    135,900      6,080,166

Orbital Sciences Corp.(a)

    463,377      10,917,162

Teledyne Technologies, Inc.(a)

    233,200      11,377,828
         
        28,375,156
         

Banks — 3.8%

      

Cullen/Frost Bankers, Inc.

    171,800      8,564,230

First Midwest Bancorp, Inc.

    384,200      7,165,330

KBW, Inc.(a)(b)

    224,100      4,611,978

Sterling Bancshares, Inc.

    755,021      6,863,141

United Bankshares, Inc.(b)

    330,172      7,577,447
         
        34,782,126
         

Business Services — 6.5%

      

Acxiom Corp.

    515,939      5,928,139

The Brink’s Co.

    440,651      28,827,388

Corrections Corp. of America(a)

    449,600      12,350,512

Forrester Research, Inc.(a)

    241,441      7,455,698

PHH Corp.(a)

    343,325      5,270,039
         
        59,831,776
         

Chemicals — 2.7%

      

Albemarle Corp.

    485,800      19,388,278

Celanese Corp. - Series A

    128,400      5,862,744
         
        25,251,022
         

Computer Software & Services — 3.2%

      

Blackboard, Inc.

    170,500      6,518,215

Lawson Software, Inc.(a)

    1,294,200      9,408,834

Tech Data Corp.(a)

    115,300      3,907,517

Teradata Corp.(a)

    419,400      9,704,916
         
        29,539,482
         

Construction — 1.0%

      

Texas Industries, Inc.

    160,097      8,986,245
         

Containers — 3.4%

      

Crown Holdings, Inc.

    559,800      14,549,202

Silgan Holdings, Inc.

    182,500      9,260,050

Tupperware Corp.

    227,600      7,788,472
         
        31,597,724
         

Electronics — 2.4%

      

Intersil Corp.- Class A

    310,100      7,541,632

Jabil Circuit, Inc.

    878,695      14,419,385
         
        21,961,017
         

Energy & Utilities — 2.6%

      

Integrys Energy Group, Inc.

    80,455      4,089,528

ITC Holdings Corp.

    189,858      9,703,642

Vectren Corp.

    335,900      10,483,439
         
        24,276,609
         

Entertainment & Leisure — 7.3%

      

LeapFrog Enterprises, Inc.

    404,800      3,367,936

Morgans Hotel Group Co.(a)(b)

    1,013,593      10,440,008

Orient-Express Hotels Ltd. - Class A

    341,800      14,847,792

Pinnacle Entertainment, Inc.(a)(b)

    1,193,334      12,518,074

Scientific Games Corp. - Class A(a)

    900,554      26,674,409
         
        67,848,219
         

Finance — 1.0%

      

Affiliated Managers Group, Inc.(b)

    102,900      9,267,174
         

Food & Agriculture — 3.2%

      

Hain Celestial Group, Inc.(b)

    917,208      21,536,044

McCormick & Co., Inc.(b)

    218,100      7,777,446
         
        29,313,490
         

Insurance — 2.1%

      

Hanover Insurance Group, Inc.

    336,030      14,281,275

Platinum Underwriters Holdings Ltd.

    154,277      5,030,973
         
        19,312,248
         

Machinery & Heavy Equipment — 2.9%

      

Albany International Corp. - Class A

    213,000      6,177,000

Astec Industries, Inc.(a)

    171,200      5,502,368

Lufkin Industries, Inc.

    187,974      15,654,475
         
        27,333,843
         

Manufacturing — 8.3%

      

Actuant Corp. - Class A

    379,600      11,900,460

Elizabeth Arden, Inc.(a)

    406,000      6,163,080

General Cable Corp.(a)(b)

    207,000      12,595,950

Hexel Corp.(a)(b)

    499,700      9,644,210

Lennox International, Inc.(b)

    146,000      4,228,160

Phillips-Van Heusen Corp.

    125,236      4,586,142

Polo Ralph Lauren Corp.(b)

    148,900      9,347,942

Watson Wyatt Worldwide, Inc.(b)

    354,697      18,759,925
         
        77,225,869
         

Medical & Medical Services — 8.1%

      

Community Health Systems, Inc.

    211,800      6,985,164

DaVita, Inc.(a)

    310,600      16,502,178

GEO Group, Inc.(a)

    275,800      6,205,500

Kindred Healthcare, Inc.(a)

    470,875      13,542,365

Magellan Health Services, Inc.(a)

    665,100      24,628,653

Pediatrix Medical Group, Inc.(a)

    144,900      7,133,427
         
        74,997,287
         

Medical Instruments & Supplies — 3.6%

      

The Cooper Cos., Inc.

    257,200      9,554,980

DENTSPLY International, Inc.(b)

    445,051      16,377,877

PerkinElmer, Inc.

    274,500      7,644,825
         
        33,577,682
         

Motor Vehicles — 1.3%

      

LKQ Corp.

    646,800      11,687,676

Oil & Gas — 6.5%

      

Cal Dive International, Inc.

    506,300      7,235,027

Oceaneering International, Inc.(a)(b)

    132,200      10,186,010

Penn Virginia Corp.

    117,100      8,831,682

Petrohawk Energy Corp.(a)

    237,800      11,012,518

Southwest Gas Corp.(b)

    484,066      14,391,282

Swift Energy Co.(a)

    132,900      8,779,374
         
        60,435,893
         

 

         JUNE 30, 2008    7

Schedule of Investments (concluded)   

Aurora Portfolio

   (Percentages shown are based on Net Assets)

 

     Shares    Value  

Common Stocks

      

United States (Continued)

      

Pharmaceuticals — 0.5%

      

Dyax Corp.

    1,407,300    $ 4,362,630  
           

Restaurants — 0.8%

      

Jack-in-the-Box, Inc.

    324,400      7,269,804  
           

Retail Merchandising — 8.7%

      

AnnTaylor Stores Corp.(b)

    249,400      5,975,624  

BJ’s Wholesale Club, Inc.(a)(b)

    437,900      16,946,730  

Copart, Inc.(a)

    162,900      6,975,378  

Ruddick Corp.

    618,300      21,213,873  

Saks, Inc.(a)

    823,918      9,046,619  

Sally Beauty Holdings, Inc.(a)(b)

    1,123,200      7,255,872  

Spartan Stores, Inc.

    313,000      7,199,000  

The Talbots, Inc.(b)

    525,603      6,091,739  
           
        80,704,835  
           

Security Brokers & Dealers — 1.7%

      

Piper Jaffray Cos., Inc.(b)

    524,700      15,389,451  
           

Semiconductors & Related Devices — 3.0%

      

ON Semiconductor Corp.

    3,033,400      27,816,278  
           

Soaps & Cosmetics — 1.2%

      

Alberto-Culver Co.

    428,300      11,251,441  
           

Telecommunications — 5.4%

      

ADTRAN, Inc.

    318,100      7,583,504  

Amdocs Ltd.(a)

    653,940      19,238,915  

Anixter International, Inc.(a)

    123,100      7,323,219  

Arris Group, Inc.(a)

    940,200      7,944,690  

Polycom, Inc.(a)

    341,300      8,314,068  
           
        50,404,396  
           

Total United States

         872,799,373  
           

Total Common Stocks
(Cost — $923,181,365) — 97.1%

         898,514,409  
           

Short-Term Investments

      

BlackRock Liquidity Series, LLC Money Market Series, 2.70%(c)(d)(e)

    153,402,900      153,402,900  

Galileo Money Market Fund, 2.32%(e)

    34,988,879      34,988,879  
           

Total Short-Term Investments
(Cost — $188,391,779) — 20.4%

         188,391,779  
           

Total Investments
(Cost — $1,111,573,144*) — 117.5%

         1,086,906,188  

Obligation to Return Securities Lending Collateral — (16.6)%

         (153,402,900 )

Liabilities in Excess of Other Assets — (0.9)%

         (7,996,257 )
           

Net Assets — 100.0%

       $ 925,507,031  
           

 

* The cost and unrealized appreciation (depreciation) of investments as of June 30, 2008, as computed for federal income tax purposes, were as follows:

 

Aggregate cost

    $ 1,119,010,500  
        

Gross unrealized appreciation

    $ 67,390,116  

Gross unrealized depreciation

      (99,494,428 )
        

Net unrealized depreciation

    $ (32,104,312 )
        

 

(a) Non-income producing security.

 

(b) Security, or a portion of security, is on loan.

 

(c) Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

 

Affiliate

    Net
Activity		    Interest
Income

BlackRock Liquidity Series, LLC Money Market Series

    $ 153,402,900    $ 1,556,569

 

(d) Security purchased with the cash proceeds from securities loans.

 

(e) Represents current yield as of report date.

 

•  

For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

8

        JUNE 30, 2008     

Schedule of Investments June 30, 2008 (Unaudited)   

Small/Mid-Cap Growth Portfolio

   (Percentages shown are based on Net Assets)

 

     Shares    Value

Common Stocks

      

Bermuda — 1.5%

      

Business Services — 1.5%

      

Genpact Ltd.

    239,300    $ 3,570,356
         

Ireland — 3.1%

      

Computer Software & Services — 3.1%

      

SkillSoft Plc - ADR

    807,500      7,299,800
         

United Kingdom — 1.6%

      

Pharmaceuticals — 1.6%

      

Shire Plc - ADR

    74,676      3,668,832
         

United States — 92.1%

      

Aerospace — 2.3%

      

Argon ST, Inc.

    109,074      2,705,035

BE Aerospace, Inc.(a)

    109,900      2,559,571
         
        5,264,606
         

Banks — 3.2%

      

Fidelity National Information Services, Inc.

    97,448      3,596,806

Signature Bank(a)

    65,500      1,687,280

UMB Financial Corp.

    43,400      2,225,118
         
        7,509,204
         

Beverages & Bottling — 1.2%

      

Green Mountain Coffee Roasters, Inc.(b)

    74,000      2,780,180
         

Broadcasting — 1.9%

      

CKX, Inc.

    508,300      4,447,625
         

Business Services — 6.6%

      

The Advisory Board Co.(b)

    76,600      3,012,678

ExlService Holdings, Inc.(a)

    244,501      3,430,349

Forrester Research, Inc.(a)

    123,351      3,809,079

Net1 UEPS Technologies, Inc.(a)

    106,300      2,583,090

Strayer Education, Inc.(b)

    12,400      2,592,468
         
        15,427,664
         

Chemicals — 1.9%

      

Celanese Corp. - Series A

    89,100      4,068,306

Intrepid Potash, Inc.(a)

    7,500      493,350
         
        4,561,656
         

Computer & Office Equipment — 1.2%

      

Intuit, Inc.

    99,000      2,729,430
         

Computer Software & Services — 11.0%

      

ACI Worldwide, Inc.(b)

    82,324      1,448,079

Blackboard, Inc.(a)

    61,800      2,362,614

comScore, Inc.(a)

    144,900      3,161,718

Foundry Networks, Inc.(a)

    123,900      1,464,498

IHS, Inc.(a)

    73,708      5,130,077

International Game Technology

    66,900      1,671,162

Jack Henry & Associates, Inc.

    100,446      2,173,652

SonicWALL, Inc.(a)

    488,900      3,153,405

Sykes Enterprises, Inc.(a)

    265,384      5,005,142
         
        25,570,347
         

Electronics — 3.4%

      

Ametek, Inc.

    77,500      3,659,550

Intersil Corp. - Class A

    76,600      1,862,912

TiVo, Inc.(a)(b)

    392,200      2,419,874
         
        7,942,336
         

Energy & Utilities — 1.3%

      

Airgas, Inc.

    51,478      3,005,800
         

Entertainment & Leisure — 4.7%

      

DreamWorks Animation SKG, Inc. - Class A

    103,632      3,089,270

Orient-Express Hotels Ltd. - Class A

    57,800      2,510,832

Scientific Games Corp. - Class A(a)

    180,400      5,343,448
         
        10,943,550
         

Finance — 4.1%

      

Affiliated Managers Group, Inc.

    20,800      1,873,248

CME Group, Inc.

    5,190      1,988,756

Invesco Ltd.

    113,300      2,716,934

Wright Express Corp.(a)

    119,318      2,959,086
         
        9,538,024
         

Machinery & Heavy Equipment — 1.7%

      

Joy Global, Inc.

    51,700      3,920,411
         

Manufacturing — 3.3%

      

IDEX Corp.

    99,892      3,680,021

Ladish Co., Inc.(a)

    59,100      1,216,869

Quanex Building Products Corp.

    80,400      1,194,744

Smith & Wesson Holding Corp.(a)(b)

    321,500      1,675,015
         
        7,766,649
         

Medical & Medical Services — 5.8%

      

Arthrocare Corp.(b)

    67,700      2,762,837

Magellan Health Services, Inc.(a)

    77,500      2,869,825

MedCath Corp.(a)

    135,400      2,434,492

Pediatrix Medical Group, Inc.(a)

    75,300      3,707,019

ResMed, Inc.(a)

    46,600      1,665,484
         
        13,439,657
         

Medical Instruments & Supplies — 6.1%

      

Hologic, Inc.

    162,100      3,533,780

SonoSite, Inc.(a)

    105,878      2,965,643

Wright Medical Group, Inc.(a)

    152,248      4,325,366

Zoll Medical Corp.(a)

    99,742      3,358,313
         
        14,183,102
         

Metal & Mining — 4.3%

      

CONSOL Energy, Inc.

    41,600      4,674,592

Massey Energy Co.

    57,039      5,347,406
         
        10,021,998
         

Miscellaneous Services — 1.3%

      

TeleTech Holdings, Inc.

    153,740      3,068,650
         

Motor Vehicles — 0.7%

      

Oshkosh Truck Corp.

    82,200      1,700,718
         

Oil & Gas — 9.3%

      

BJ Services Co.

    82,700      2,641,438

Delta Petroleum Corp.(a)(b)

    190,318      4,856,915

ION Geophysical Corp.(a)

    115,600      2,017,220

Noble Corp.

    57,600      3,741,696

Plains Exploration & Production Co.(a)

    66,700      4,867,099

Superior Energy Services, Inc.(a)

    62,800      3,462,792
         
        21,587,160
         

Paper & Forest Products — 0.7%

      

Rock-Tenn Co. - Class A

    57,936      1,737,501
         

Personal Services — 0.7%

      

MSCI, Inc.

    43,300      1,571,357
         

Pharmaceuticals — 4.2%

      

Alpharma, Inc. - Class A(b)

    85,500      1,926,315

Endo Pharmaceuticals Holdings, Inc.(a)

    119,700      2,895,543

 

         JUNE 30, 2008    9

Schedule of Investments (concluded)    Small/Mid-Cap Growth Portfolio
   (Percentages shown are based on Net Assets)

 

     Shares    Value  

Common Stocks

      

United States (Continued)

      

Pharmaceuticals (Continued)

      

Forest Laboratories, Inc.(a)

    76,878    $ 2,670,742  

Medicis Pharmaceutical Corp.

    112,300      2,333,594  
           
        9,826,194  
           

Publishing & Printing — 0.9%

      

Dolan Media Co.

    118,800      2,162,160  
           

Real Estate — 0.1%

      

FX Real Estate & Entertainment, Inc.

    96,760      183,844  
           

Retail Merchandising — 2.8%

      

Deckers Outdoor Corp.

    25,100      3,493,920  

GameStop Corp.(a)

    73,166      2,955,906  
           
        6,449,826  
           

Semiconductors & Related Devices — 2.4%

      

Microsemi Corp.

    108,300      2,726,994  

Standard Microsystems Corp.(a)

    109,400      2,970,210  
           
        5,697,204  
           

Soaps & Cosmetics — 1.0%

      

Bare Escentuals, Inc.(b)

    121,800      2,281,314  
           

Telecommunications — 2.4%

      

Amdocs Ltd.

    110,075      3,238,407  

Harris Corp.

    46,000      2,322,540  
           
        5,560,947  
           

Waste Management — 1.6%

      

Clean Harbors, Inc.

    51,300      3,645,378  
           

Total United States

         214,524,492  
           

Total Common Stocks
(Cost — $201,961,771) — 98.3%

         229,063,480  
           

Short-Term Investments

      

BlackRock Liquidity Series, LLC Money Market Series, 2.70%(c)(d)(e)

    23,577,800      23,577,800  

Galileo Money Market Fund, 2.32%(e)

    5,092,829      5,092,829  
           

Total Short-Term Investments
(Cost — $28,670,629) — 12.3%

         28,670,629  
           

Total Investments
(Cost — $230,632,400*) — 110.6%

         257,734,109  

Obligation to Return Securities Lending Collateral — (10.1)%

         (23,577,800 )

Liabilities in Excess of Other Assets — (0.5)%

         (1,078,079 )
           

Net Assets — 100.0%

       $ 233,078,230  
           

 

* The cost and unrealized appreciation (depreciation) of investments as of June 30, 2008, as computed for federal income tax purposes, were as follows:

 

Aggregate cost

    $ 231,562,779  
        

Gross unrealized appreciation

    $ 46,797,934  

Gross unrealized depreciation

      (20,626,604 )
        

Net unrealized appreciation

    $ 26,171,330  
        

 

(a) Non-income producing security.

 

(b) Security, or a portion of security, is on loan.

 

(c) Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

 

Affiliate

    Net
Activity		    Interest
Income

BlackRock Liquidity Series, LLC Money Market Series

    $ 23,577,800    $ 230,236

 

(d) Security purchased with the cash proceeds from securities loans.

 

(e) Represents current yield as of report date.

 

•  

For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

10

        JUNE 30, 2008     

Schedule of Investments June 30, 2008 (Unaudited)   

Small Cap Value Equity Portfolio

   (Percentages shown are based on Net Assets)

 

     Shares    Value

Common Stocks

      

Canada — 2.5%

      

Entertainment & Leisure — 0.9%

      

Lions Gate Entertainment Corp.

    40,300    $ 417,508
         

Oil & Gas — 1.6%

      

North American Energy Partners, Inc.(a)

    34,710      752,513
         

Total Canada

         1,170,021
         

Ireland — 0.8%

      

Computer Software & Services — 0.8%

      

SkillSoft Plc - ADR

    43,998      397,742
         

United States — 94.9%

      

Aerospace — 2.6%

      

Orbital Sciences Corp.

    30,700      723,292

Teledyne Technologies, Inc.(a)

    10,500      512,295
         
        1,235,587
         

Banks — 6.4%

      

First Midwest Bancorp, Inc.

    17,773      331,466

First Niagara Financial Group, Inc.

    43,300      556,838

KBW, Inc.(a)(b)

    19,900      409,542

Sterling Bancshares, Inc.

    75,728      688,368

Umpqua Holdings Corp.(b)

    22,100      268,073

United Bankshares, Inc.

    26,556      609,460

Wintrust Financial Corp.

    10,022      239,025
         
        3,102,772
         

Business Services — 8.8%

      

Acxiom Corp.

    40,700      467,643

The Brink’s Co.

    16,700      1,092,514

Forrester Research, Inc.(a)

    25,300      781,264

PHH Corp.(a)

    56,500      867,275

Rollins, Inc.

    34,100      505,362

Viad Corp.

    20,351      524,852
         
        4,238,910
         

Chemicals — 1.9%

      

Sensient Technologies Corp.

    32,000      901,120
         

Computer Software & Services — 1.4%

      

Lawson Software, Inc.

    69,400      504,538

Tech Data Corp.(a)

    5,000      169,450
         
        673,988
         

Construction — 1.0%

      

Texas Industries, Inc.

    8,300      465,879
         

Containers — 1.7%

      

Silgan Holdings, Inc.

    16,100      816,914
         

Energy & Utilities — 4.2%

      

Black Hills Corp.

    14,800      474,488

Cleco Corp.

    18,900      440,937

El Paso Electric Co.(a)

    24,300      481,140

UIL Holdings Corp.

    20,700      608,787
         
        2,005,352
         

Entertainment & Leisure — 9.1%

      

LeapFrog Enterprises, Inc.(b)

    107,460      894,067

Morgans Hotel Group Co.(a)(b)

    49,704      511,951

Orient-Express Hotels Ltd. - Class A

    22,600      981,744

Pinnacle Entertainment, Inc.(a)

    59,400      623,106

Scientific Games Corp. - Class A(a)

    46,601      1,380,322
         
        4,391,190
         

Finance — 0.5%

      

Jefferies Group, Inc.

    14,146      237,936
         

Food & Agriculture — 4.5%

      

Del Monte Foods Co.

    77,146      547,737

Diamond Foods, Inc.

    17,700      407,808

Hain Celestial Group, Inc.(a)

    51,500      1,209,220
         
        2,164,765
         

Insurance — 3.2%

      

Hanover Insurance Group, Inc.

    17,309      735,633

Navigators Group, Inc.(a)

    9,962      538,446

Platinum Underwriters Holdings Ltd.

    7,789      253,999
         
        1,528,078
         

Machinery & Heavy Equipment — 3.5%

      

Albany International Corp. - Class A

    14,900      432,100

Astec Industries, Inc.(a)

    14,100      453,174

H&E Equipment Services, Inc.(a)

    19,390      233,068

Lufkin Industries, Inc.

    6,776      564,305
         
        1,682,647
         

Manufacturing — 4.5%

      

Actuant Corp. - Class A

    24,300      761,805

Chart Industries, Inc.(a)

    5,300      257,792

Elizabeth Arden, Inc.(a)

    15,996      242,819

Watsco, Inc.(b)

    15,700      656,260

Watson Wyatt Worldwide, Inc.

    4,500      238,005
         
        2,156,681
         

Medical & Medical Services — 10.0%

      

Amedisys, Inc.

    5,100      257,142

Amsurg Corp.(a)

    23,472      571,543

GEO Group, Inc.(a)

    41,400      931,500

Health Management Assoc., Inc.(a)

    81,800      532,518

Kindred Healthcare, Inc.(a)

    25,329      728,462

Magellan Health Services, Inc.(a)

    39,966      1,479,941

Sun Healthcare Group, Inc.(a)

    24,466      327,600
         
        4,828,706
         

Medical Instruments & Supplies — 1.4%

      

The Cooper Cos., Inc.

    13,300      494,095

Symmetry Medical, Inc.(a)

    12,306      199,603
         
        693,698
         

Oil & Gas — 7.2%

      

Cal Dive International, Inc.

    58,400      834,536

Delta Petroleum Corp.(a)(b)

    22,100      563,992

Oil States International, Inc.(a)

    5,300      336,232

Southwest Gas Corp.

    21,412      636,579

Swift Energy Co.(a)

    12,500      825,750

Venoco, Inc.(a)

    10,700      248,347
         
        3,445,436
         

Real Estate — 0.6%

      

Gramercy Capital Corp. (REIT)

    25,618      296,913
         

Restaurants — 1.3%

      

Jack-in-the-Box, Inc.

    28,100      629,721
         

Retail Merchandising — 13.3%

      

BJ’s Wholesale Club, Inc.

    20,300      785,610

Charming Shoppes, Inc.(a)(b)

    75,100      344,709

Genesco, Inc.(a)

    19,300      595,791

 

         JUNE 30, 2008    11

Schedule of Investments (concluded)   

Small Cap Value Equity Portfolio

   (Percentages shown are based on Net Assets)

 

     Shares    Value  

Common Stocks

      

United States (Continued)

      

Retail Merchandising (Continued)

      

Jos. A. Bank Clothiers, Inc.(a)(b)

    17,900    $ 478,825  

RC2 Corp.(a)

    19,300      358,208  

Ruddick Corp.

    38,688      1,327,385  

Saks, Inc.(a)

    42,700      468,846  

Sally Beauty Holdings, Inc.(a)

    87,884      567,731  

Spartan Stores, Inc.

    50,600      1,163,800  

The Talbots, Inc.

    26,751      310,044  
           
        6,400,949  
           

Security Brokers & Dealers — 1.7%

      

Piper Jaffray Cos., Inc.

    28,650      840,304  
           

Semiconductors & Related Devices — 1.5%

      

Verigy Ltd.

    31,000      704,010  
           

Telecommunications — 3.0%

      

ADTRAN, Inc.

    21,900      522,096  

Arris Group, Inc.(a)

    61,000      515,450  

Polycom, Inc.(a)

    17,500      426,300  
           
        1,463,846  
           

Waste Management — 1.6%

      

Waste Connections, Inc.

    23,800      759,934  
           

Total United States

         45,665,336  
           

Total Common Stocks
(Cost — $48,702,784) — 98.2%

         47,233,099  
           

Short-Term Investments

      

BlackRock Liquidity Series, LLC Money Market Series, 2.70%(c)(d)(e)

    3,936,100      3,936,100  

Galileo Money Market Fund, 2.32%(e)

    2,042,506      2,042,506  
           

Total Short-Term Investments
(Cost — $5,978,606) — 12.4%

         5,978,606  
           

Total Investments
(Cost — $54,681,390*) — 110.6%

         53,211,705  

Obligation to Return Securities Lending Collateral — (8.2)%

         (3,936,100 )

Liabilities in Excess of Other Assets — (2.4)%

         (1,169,397 )
           

Net Assets — 100.0%

       $ 48,106,208  
           

 

* The cost and unrealized appreciation (depreciation) of investments as of June 30, 2008, as computed for federal income tax purposes, were as follows:

 

Aggregate cost

    $ 55,152,623  
        

Gross unrealized appreciation

    $ 3,524,789  

Gross unrealized depreciation

      (5,465,707 )
        

Net unrealized depreciation

    $ (1,940,918 )
        

 

(a) Non-income producing security.

 

(b) Security, or a portion of security, is on loan.

 

(c) Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

 

Affiliate

    Net
Activity		    Interest
Income

BlackRock Liquidity Series, LLC Money Market Series

    $ 3,936,100    $ 80,225

 

(d) Security purchased with the cash proceeds from securities loans.

 

(e) Represents current yield as of report date.

 

•  

For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

12

        JUNE 30, 2008     

Schedule of Investments June 30, 2008 (Unaudited)   

Small Cap Core Equity Portfolio

   (Percentages shown are based on Net Assets)

 

      Shares    Value

Common Stocks

      

Ireland — 3.1%

      

Computer Software & Services — 2.3%

      

SkillSoft Plc - ADR

    260,108    $ 2,351,376
         

Pharmaceuticals — 0.8%

      

ICON Plc - ADR

    10,700      808,064
         

Total Ireland

         3,159,440
         

United States — 92.7%

      

Aerospace — 1.4%

      

Orbital Sciences Corp.

    59,850      1,410,066
         

Banks — 5.7%

      

CoBiz Financial, Inc.

    71,600      471,128

Columbia Banking System, Inc.

    21,760      420,621

KBW, Inc.(a)(b)

    55,100      1,133,958

Prosperity Bancshares, Inc.

    52,200      1,395,306

Sterling Bancshares, Inc.

    107,850      980,356

Umpqua Holdings Corp.(b)

    44,900      544,637

Wintrust Financial Corp.

    34,000      810,900
         
        5,756,906
         

Business Services — 4.6%

      

Forrester Research, Inc.

    48,250      1,489,960

HMS Holdings Corp.(a)

    86,945      1,866,709

Martha Stewart Living Omnimedia, Inc.(a)(b)

    35,100      259,740

Parexel International Corp.(a)

    42,000      1,105,020
         
        4,721,429
         

Chemicals — 2.0%

      

Hercules, Inc.

    56,300      953,159

Minerals Technologies, Inc.

    16,600      1,055,594
         
        2,008,753
         

Computer Software & Services — 8.2%

      

Aladdin Knowledge Systems Ltd.

    73,900      997,650

Blackboard, Inc.(a)

    66,100      2,527,003

DemandTec, Inc.(a)

    62,800      471,628

Guidance Software, Inc.(a)

    43,735      417,669

Lawson Software, Inc.(a)(b)

    126,350      918,565

Phase Forward, Inc.(a)

    65,500      1,177,035

SRA International, Inc. - Class A(a)

    59,881      1,344,927

The TriZetto Group, Inc.(a)

    25,068      535,954
         
        8,390,431
         

Containers — 1.9%

      

Silgan Holdings, Inc.

    38,750      1,966,175
         

Electronics — 3.5%

      

Benchmark Electronics, Inc.

    63,800      1,042,492

Brady Corp.

    39,500      1,363,935

TTM Technologies, Inc.(a)

    86,100      1,137,381
         
        3,543,808
         

Energy & Utilities — 2.8%

      

El Paso Electric Co.

    64,500      1,277,100

UIL Holdings Corp.

    52,600      1,546,966
         
        2,824,066
         

Entertainment & Leisure — 3.2%

      

Morgans Hotel Group Co.(b)

    58,950      607,185

Orient-Express Hotels Ltd. - Class A

    39,035      1,695,680

Pinnacle Entertainment, Inc.(a)(b)

    91,500      959,835
         
        3,262,700
         

Finance — 0.7%

      

Evercore Partners, Inc.

    75,800      720,100
         

Food & Agriculture — 0.7%

      

Diamond Foods, Inc.

    29,500      679,680
         

Insurance — 2.3%

      

First Mercury Financial Corp.

    101,300      1,786,932

Platinum Underwriters Holdings Ltd.

    18,579      605,861
         
        2,392,793
         

Machinery — 1.0%

      

Franklin Electric Co., Inc.

    25,900      1,004,402
         

Machinery & Heavy Equipment — 2.5%

      

Altra Holdings, Inc.

    76,600      1,287,646

Astec Industries, Inc.(a)

    38,100      1,224,534
         
        2,512,180
         

Manufacturing — 9.3%

      

Actuant Corp. - Class A

    76,900      2,410,815

Chart Industries, Inc.(a)

    42,100      2,047,744

Chattem, Inc.(a)(b)

    24,882      1,618,574

Elizabeth Arden, Inc.(a)

    65,600      995,808

Fuller (H.B.) Co.

    63,700      1,429,428

Hexel Corp.(a)

    47,800      922,540
         
        9,424,909
         

Medical & Medical Services — 6.1%

      

Amedisys, Inc.

    27,000      1,361,340

GEO Group, Inc.(a)

    58,400      1,314,000

Pediatrix Medical Group, Inc.(a)

    39,550      1,947,047

Sun Healthcare Group, Inc.(a)

    116,900      1,565,291
         
        6,187,678
         

Medical Instruments & Supplies — 2.2%

      

MWI Veterinary Supply, Inc.

    35,881      1,188,020

Symmetry Medical, Inc.(a)(b)

    63,700      1,033,214
         
        2,221,234
         

Miscellaneous Services — 1.5%

      

Rent-A-Center, Inc.

    74,300      1,528,351
         

Oil & Gas — 10.0%

      

Allis-Chalmers Energy, Inc.(b)

    52,400      932,720

Cal Dive International, Inc.(a)(b)

    120,000      1,714,800

Goodrich Petroleum Corp.(a)

    8,750      725,550

ION Geophysical Corp.(a)

    112,600      1,964,870

Mariner Energy, Inc.(a)

    15,000      554,550

Oil States International, Inc.(a)

    22,600      1,433,744

Parallel Petroleum Corp.(a)

    40,000      805,200

Penn Virginia Corp.

    7,900      595,818

Trico Marine Services, Inc.(a)(b)

    39,770      1,448,424
         
        10,175,676
         

Pharmaceuticals — 0.9%

      

Dyax Corp.

    282,321      875,195
         

Real Estate — 2.4%

      

Arbor Realty Trust, Inc. (REIT)

    52,720      472,898

BioMed Realty Trust, Inc. (REIT)

    31,600      775,148

Corporate Office Properties Trust (REIT)

    21,000      720,930

Gramercy Capital Corp. (REIT)(b)

    41,700      483,303
         
        2,452,279
         

 

         JUNE 30, 2008    13

Schedule of Investments (concluded)   

Small Cap Core Equity Portfolio

   (Percentages shown are based on Net Assets)

 

      Shares    Value  

Common Stocks

      

United States (Continued)

      

Restaurants — 0.9%

      

Carrols Restaurant Group, Inc.

    42,977    $ 223,051  

Sonic Corp.(a)

    49,400      731,120  
           
        954,171  
           

Retail Merchandising — 5.4%

      

AnnTaylor Stores Corp.

    39,400      944,024  

Buckle, Inc.

    17,700      809,421  

Christopher & Banks Corp.

    96,600      656,880  

Copart, Inc.(a)

    33,400      1,430,188  

Golfsmith International Holdings, Inc.(a)

    50,500      115,140  

Jos. A. Bank Clothiers, Inc.(a)(b)

    36,300      971,025  

Sally Beauty Holdings, Inc.(a)

    82,450      532,627  
           
        5,459,305  
           

Security Brokers & Dealers — 0.6%

      

Piper Jaffray Cos., Inc.

    22,250      652,593  
           

Semiconductors & Related Devices — 3.5%

      

Netlogic Microsystems, Inc.(b)

    20,700      687,240  

ON Semiconductor Corp.(a)

    198,200      1,817,494  

Ultra Clean Holdings, Inc.(a)

    128,334      1,021,539  
           
        3,526,273  
           

Soaps & Cosmetics — 0.9%

      

Bare Escentuals, Inc.(b)

    50,100      938,373  
           

Telecommunications — 4.7%

      

Arris Group, Inc.

    140,300      1,185,535  

EMS Technologies, Inc.(a)

    73,200      1,598,688  

Iowa Telecommunications Services, Inc.

    59,400      1,046,034  

iPCS, Inc.(a)

    31,080      920,900  
           
        4,751,157  
           

Textiles — 1.5%

      

Carter’s, Inc.

    62,800      867,896  

Kenneth Cole Productions, Inc.(b)

    50,600      642,620  
           
        1,510,516  
           

Transportation — 1.2%

      

Knight Transportation, Inc.

    30,200      552,660  

Vitran Corp., Inc.(a)

    42,997      644,525  
           
        1,197,185  
           

Waste Management — 1.1%

      

Clean Harbors, Inc.

    16,500      1,172,490  
           

Total United States

         94,220,874  
           

Total Common Stocks
(Cost — $101,241,068) — 95.8%

         97,380,314  
           
     

Short-Term Investments

      

BlackRock Liquidity Series, LLC Money Market Series, 2.70%(c)(d)(e)

    16,139,000      16,139,000  

Galileo Money Market Fund, 2.32%(e)

    5,879,678      5,879,678  
           

Total Short-Term Investments
(Cost — $22,018,678) — 21.7%

         22,018,678  
           

Total Investments
(Cost — $123,259,746*) — 117.5%

         119,398,992  

Obligation to Return Securities Lending Collateral — (15.9)%

         (16,139,000 )

Liabilities in Excess of Other Assets — (1.6)%

         (1,680,501 )
           

Net Assets — 100.0%

       $ 101,579,491  
           

 

* The cost and unrealized appreciation (depreciation) of investments as of June 30, 2008, as computed for federal income tax purposes, were as follows:

 

Aggregate cost

    $ 123,518,173  
        

Gross unrealized appreciation

    $ 10,513,429  

Gross unrealized depreciation

      (14,632,610 )
        

Net unrealized depreciation

    $ (4,119,181 )
        

 

(a) Non-income producing security.

 

(b) Security, or a portion of security, is on loan.

 

(c) Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

 

Affiliate

    Net
Activity		    Interest
Income

BlackRock Liquidity Series, LLC Money Market Series

    $ 16,139,000    $ 137,875

 

(d) Security purchased with the cash proceeds from securities loans.

 

(e) Represents current yield as of report date.

 

•  

For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

14

        JUNE 30, 2008     

Schedule of Investments June 30, 2008 (Unaudited)   

Small Cap Growth Equity Portfolio

   (Percentages shown are based on Net Assets)

 

      Shares    Value

Common Stocks

      

Canada — 0.5%

      

Retail Merchandising — 0.5%

      

Lululemon Athletica, Inc.(b)

    177,500    $ 5,158,150
         

Ireland — 3.0%

      

Computer Software & Services — 3.0%

      

SkillSoft Plc - ADR

    3,236,030      29,253,711
         

Netherlands — 0.7%

      

Medical & Medical Services — 0.7%

      

Qiagen NV(b)

    330,160      6,646,122
         

United States — 88.7%

      

Aerospace — 2.3%

      

Argon ST, Inc.

    480,481      11,915,929

BE Aerospace, Inc.(a)

    457,160      10,647,256
         
        22,563,185
         

Banks — 1.5%

      

Signature Bank(b)

    221,500      5,705,840

UMB Financial Corp.(b)

    179,700      9,213,219
         
        14,919,059
         

Beverages & Bottling — 1.0%

      

Green Mountain Coffee Roasters, Inc.(b)

    244,300      9,178,351
         

Broadcasting — 1.7%

      

CKX, Inc.

    1,561,800      13,665,750

Outdoor Channel Holdings, Inc.(a)(b)

    332,619      2,321,681
         
        15,987,431
         

Business Services — 8.0%

      

The Advisory Board Co.(b)

    323,808      12,735,369

CommVault Systems, Inc.(a)

    343,836      5,721,431

DeVry, Inc.(b)

    143,181      7,677,365

Diamond Management & Technology Consultants, Inc.

    1,209,196      6,299,911

ExlService Holdings, Inc.(a)

    954,755      13,395,213

Forrester Research, Inc.(a)

    691,400      21,350,432

Gartner, Inc. - Class A(a)

    284,750      5,900,020

Healthcare Services Group, Inc.

    20,378      309,942

Heckmann Corp.(a)

    377,211      3,379,810
         
        76,769,493
         

Chemicals — 1.7%

      

Agrium, Inc.

    119,000      12,797,260

Intrepid Potash, Inc.(a)

    55,400      3,644,212
         
        16,441,472
         

Computer Software & Services — 13.3%

      

ACI Worldwide, Inc.(b)

    106,900      1,880,371

Aladdin Knowledge Systems Ltd.(a)

    430,400      5,810,400

Blackboard, Inc.(a)

    324,952      12,422,915

comScore, Inc.(a)

    432,175      9,430,058

DemandTec, Inc.(a)(b)

    729,900      5,481,549

Foundry Networks, Inc.(a)

    452,400      5,347,368

Greenfield Online, Inc.(a)

    432,433      6,451,900

i2 Technologies, Inc.(a)(b)

    804,800      10,003,664

IHS, Inc.(a)

    343,045      23,875,932

Jack Henry & Associates, Inc.(b)

    482,701      10,445,650

SonicWALL, Inc.(a)

    1,881,000      12,132,450

Sykes Enterprises, Inc.(a)

    1,297,700      24,474,622
         
        127,756,879
         

Electronics — 1.2%

      

TiVo, Inc.(b)

    1,930,000      11,908,100
         

Energy & Utilities — 1.3%

      

Airgas, Inc.

    208,700      12,185,993
         

Entertainment & Leisure — 5.1%

      

Ameristar Casinos, Inc.

    396,100      5,474,102

Orient-Express Hotels Ltd. - Class A

    406,800      17,671,392

RHI Entertainment, Inc.(a)

    508,100      6,600,219

Scientific Games Corp. - Class A(a)

    459,900      13,622,238

World Wrestling Entertainment, Inc.

    349,700      5,409,859
         
        48,777,810
         

Finance — 2.4%

      

Affiliated Managers Group, Inc.(b)

    96,000      8,645,760

Riskmetrics Group, Inc.(a)(b)

    70,900      1,392,476

Wright Express Corp.(a)

    519,500      12,883,600
         
        22,921,836
         

Machinery — 0.9%

      

iRobot Corp.(b)

    630,608      8,664,554
         

Machinery & Heavy Equipment — 1.9%

      

Bucyrus International, Inc. - Class A

    250,200      18,269,604
         

Manufacturing — 5.7%

      

Chattem, Inc.(b)

    140,700      9,152,535

Kaydon Corp.(b)

    198,400      10,199,744

Ladish Co., Inc.(a)

    213,400      4,393,906

Quanex Building Products Corp.(b)

    371,500      5,520,490

RBC Bearings, Inc.(a)

    312,640      10,417,165

Smith & Wesson Holding Corp.(a)(b)

    406,086      2,115,708

The Warnaco Group, Inc.(a)(b)

    165,053      7,273,885

Watson Wyatt Worldwide, Inc.

    116,200      6,145,818
         
        55,219,251
         

Medical & Medical Services — 5.4%

      

Arthrocare Corp.(b)

    296,900      12,116,489

Magellan Health Services, Inc.(a)

    345,000      12,775,350

MedCath Corp.(a)

    451,400      8,116,172

Pediatrix Medical Group, Inc.(a)

    329,600      16,226,208

Santarus, Inc.(a)(b)

    1,384,400      2,782,644
         
        52,016,863
         

Medical Instruments & Supplies — 8.7%

      

Bruker BioSciences Corp.

    720,700      9,260,995

Hologic, Inc.(a)(b)

    317,500      6,921,500

Martek Biosciences Corp.(a)(b)

    336,200      11,333,302

SonoSite, Inc.(a)(b)

    453,000      12,688,530

Wright Medical Group, Inc.(a)(b)

    757,208      21,512,279

Zoll Medical Corp.(a)

    646,900      21,781,123
         
        83,497,729
         

Metal & Mining — 1.7%

      

Massey Energy Co.

    176,052      16,504,875
         

Oil & Gas — 9.1%

      

Atwood Oceanics, Inc.(b)

    177,000      22,008,180

Comstock Resources, Inc.(a)

    249,110      21,032,357

Dawson Geophysical Co.(a)

    119,692      7,116,887

Delta Petroleum Corp.(a)(b)

    428,000      10,922,560

ION Geophysical Corp.(a)

    498,500      8,698,825

Oceaneering International, Inc.(a)

    114,900      8,853,045

Superior Energy Services, Inc.(a)

    166,900      9,202,866
         
        87,834,720
         

 

         JUNE 30, 2008    15

Schedule of Investments (concluded)   

Small Cap Growth Equity Portfolio

     (Percentages shown are based on Net Assets)

 

      Shares    Value  

Common Stocks

      

United States (Continued)

      

Paper & Forest Products — 0.9%

      

Rock-Tenn Co. - Class A

    273,258    $ 8,195,007  
           

Personal Services — 0.2%

      

MSCI, Inc.

    65,400      2,373,366  
           

Pharmaceuticals — 2.8%

      

Alpharma, Inc. - Class A(b)

    570,486      12,853,050  

Medicis Pharmaceutical Corp.

    669,100      13,903,898  
           
        26,756,948  
           

Publishing & Printing — 1.3%

      

Dolan Media Co.

    703,079      12,796,038  
           

Real Estate — 0.1%

      

FX Real Estate & Entertainment, Inc.(b)

    297,860      565,934  
           

Retail Merchandising — 1.1%

      

Deckers Outdoor Corp.

    78,800      10,968,960  
           

Security Brokers & Dealers — 1.8%

      

Waddell & Reed Financial, Inc.

    492,400      17,238,924  
           

Semiconductors & Related Devices — 3.0%

      

Microsemi Corp.(b)

    500,500      12,602,590  

Semtech Corp.(a)

    273,500      3,848,145  

Standard Microsystems Corp.(a)

    473,806      12,863,833  
           
        29,314,568  
           

Soaps & Cosmetics — 1.0%

      

Bare Escentuals, Inc.(b)

    517,300      9,689,029  
           

Telecommunications — 1.7%

      

EMS Technologies, Inc.

    478,445      10,449,239  

Neutral Tandem, Inc.(a)

    249,832      4,372,060  

Occam Networks, Inc.(a)

    400,800      1,599,192  
           
        16,420,491  
           

Waste Management — 1.9%

      

Clean Harbors, Inc.

    253,800      18,035,028  
           

Total United States

         853,771,498  
           

Total Common Stocks
(Cost — $782,973,981) — 92.9%

         894,829,481  
           

Exchange-Traded Funds

      

iShares Russell 2000 Growth Index Fund

      

(Cost — $19,783,839) — 2.0%

    249,600      19,009,536  
           

Short-Term Investments

      

BlackRock Liquidity Series, LLC Money Market Series, 2.70%(c)(d)(e)

    206,601,850      206,601,850  

Galileo Money Market Fund, 2.32%(e)

    52,271,225      52,271,225  
           

Total Short-Term Investments
(Cost — $258,873,075) — 26.9%

         258,873,075  
           

Total Investments
(Cost — $1,061,630,895*) — 121.8%

         1,172,712,092  

Obligation to Return Securities Lending Collateral — (21.5)%

         (206,601,850 )

Liabilities in Excess of Other Assets — (0.3)%

         (3,079,607 )
           

Net Assets — 100.0%

       $ 963,030,635  
           

 

* The cost and unrealized appreciation (depreciation) of investments as of June 30, 2008, as computed for federal income tax purposes, were as follows:

 

Aggregate cost

    $ 1,066,893,101  
        

Gross unrealized appreciation

    $ 187,290,070  

Gross unrealized depreciation

      (81,471,079 )
        

Net unrealized appreciation

    $ 105,818,991  
        

 

(a) Non-income producing security.

 

(b) Security, or a portion of security, is on loan.

 

(c) Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

 

Affiliate

    Net
Activity		    Interest
Income

BlackRock Liquidity Series, LLC Money Market Series

    $ 206,601,850    $ 1,616,137

 

(d) Security purchased with the cash proceeds from securities loans.

 

(e) Represents current yield as of report date.

 

•  

For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

16

        JUNE 30, 2008     

Schedule of Investments June 30, 2008 (Unaudited)   

Global Science & Technology Opportunities Portfolio

   (Percentages shown are based on Net Assets)

 

      Shares    Value

Common Stocks

      

Bermuda — 1.0%

      

Electronics — 0.4%

      

Tyco Electronics Ltd.

    4,900    $ 175,518
         

Medical & Medical Services — 0.6%

      

Covidien Ltd.

    4,700      225,083
         

Total Bermuda

         400,601
         

Canada — 0.5%

      

Computer Software & Services — 0.5%

      

Open Text Corp.(b)

    6,900      221,490
         

Cayman Islands — 0.3%

      

Medical Instruments & Supplies — 0.3%

      

China Medical Technologies, Inc. - ADR

    2,900      143,260
         

China — 1.4%

      

Computer Software & Services — 1.4%

      

Baidu.Com

    900      281,664

Sina Corp.(a)

    7,600      323,380
         

Total China

         605,044
         

Finland — 0.8%

      

Telecommunications — 0.8%

      

Nokia Corp. - ADR

    13,300      325,850
         

France — 0.5%

      

Entertainment & Leisure — 0.5%

      

Ubisoft Entertainment

    2,500      219,361
         

Germany — 1.2%

      

Computer Software & Services — 0.9%

      

SAP AG - ADR

    7,400      385,614
         

Semiconductors & Related Devices — 0.3%

      

Infineon Technologies AG - ADR

    14,000      119,420
         

Total Germany

         505,034
         

Hong Kong — 1.2%

      

Semiconductors & Related Devices — 0.7%

      

ASM Pacific Technology Ltd.

    40,900      308,694
         

Telecommunications — 0.5%

      

China Mobile Ltd.

    15,200      204,298
         

Total Hong Kong

         512,992
         

India — 0.5%

      

Telecommunications — 0.5%

      

Bharti Tele-Ventures Ltd.

    12,400      207,867
         

Israel — 0.6%

      

Pharmaceuticals — 0.6%

      

Teva Pharmaceutical Industries Ltd. - ADR

    5,000      229,000
         

Japan — 3.9%

      

Computer Software & Services — 0.7%

      

Nintendo Co. Ltd.

    500      282,055
         

Electronics — 0.4%

      

Nidec Corp.

    2,400      159,796
         

Energy & Utilities — 1.2%

      

Kurita Water Industries Ltd.

    13,400      495,946
         

Machinery & Heavy Equipment — 0.3%

      

Disco Corp.

    2,900      122,626
         

Manufacturing — 0.8%

      

Konica Corp.

    20,100      339,401
         

Transportation — 0.5%

      

Canon, Inc.

    4,200      215,963
         

Total Japan

         1,615,787
         

South Korea — 1.2%

      

Electronics — 1.2%

      

LG Electronics, Inc.

    1,400      158,597

Samsung Electronics Co. Ltd.

    600      358,491
         

Total South Korea

         517,088
         

Switzerland — 0.7%

      

Pharmaceuticals — 0.7%

      

Roche Holding AG

    1,300      234,154

Roche Holding AG - ADR

    800      72,256
         

Total Switzerland

         306,410
         

Taiwan — 2.5%

      

Computer & Office Equipment — 1.3%

      

ASUSTek Computer, Inc.

    90,200      245,462

High Tech Computer Corp.

    12,700      284,519
         
        529,981
         

Computer Software & Services — 0.4%

      

Inventec Co. Ltd.

    280,900      165,655
         

Semiconductors & Related Devices — 0.8%

      

AV TECH Corp.

    15,759      69,831

Taiwan Semiconductor Manufacturing Co. Ltd. - ADR(a)

    19,400      211,654

Vanguard International Semiconductor Corp.

    91,658      67,189
         
        348,674
         

Total Taiwan

         1,044,310
         

United Kingdom — 0.5%

      

Aerospace — 0.5%

      

Meggitt Plc

    45,200      191,315
         

United States — 76.9%

      

Aerospace — 2.6%

      

Lockheed Martin Corp.

    6,500      641,290

Raytheon Co.

    7,700      433,356
         
        1,074,646
         

Business Services — 0.3%

      

Akamai Technologies, Inc.

    4,100      142,639
         

Computer & Office Equipment — 11.8%

      

Apple, Inc.

    11,600      1,942,304

Cisco Systems, Inc.(a)

    33,400      776,884

Hewlett-Packard Co.

    17,900      791,359

International Business Machines Corp.

    12,300      1,457,919
         
        4,968,466
         

Computer Software & Services — 21.2%

      

Adobe Systems, Inc.

    10,000      393,900

Ariba, Inc.(a)

    20,200      297,142

Automatic Data Processing, Inc.

    5,300      222,070

BMC Software, Inc.(a)

    11,200      403,200

CA, Inc.

    8,700      200,883

Citrix Systems, Inc.(a)

    15,400      452,914

eBay, Inc.(a)

    8,100      221,373

Electronic Arts, Inc.(a)

    5,200      231,036

EMC Corp.(a)

    25,700      377,533

Google, Inc. - Class A(a)

    700      368,494

Ingram Micro, Inc. - Class A(a)

    9,300      165,075

Juniper Networks, Inc.(a)

    19,100      423,638

McAfee, Inc.(a)

    13,100      445,793

Microsoft Corp.

    34,500      949,095

Move, Inc.(a)

    1,111      2,588

Oracle Corp.(a)

    37,800      793,800

 

         JUNE 30, 2008    17

Schedule of Investments (continued)   

Global Science & Technology Opportunities Portfolio

   (Percentages shown are based on Net Assets)

 

      Shares    Value  

Common Stocks

      

United States (Continued)

      

Computer Software & Services (Continued)

      

priceline.com, Inc.(a)

    3,000    $ 346,380  

Progress Software Corp.(a)

    6,600      168,762  

Red Hat, Inc.(a)

    7,100      146,899  

Salesforce.Com, Inc.(a)

    4,900      334,327  

Seagate Technology, Inc.

    11,400      218,082  

Sybase, Inc.(a)(b)

    16,500      485,430  

Symantec Corp.(a)

    14,200      274,770  

Synopsys, Inc.(a)

    8,000      191,280  

VeriSign, Inc.(a)

    12,900      487,620  

Yahoo!, Inc.(a)

    15,800      326,428  
           
        8,928,512  
           

Electronics — 4.0%

      

Agilent Technologies, Inc.

    7,000      248,780  

Amphenol Corp.

    7,500      336,600  

Flextronics International Ltd.(a)

    27,600      259,440  

Intel Corp.

    38,200      820,536  
           
        1,665,356  
           

Manufacturing — 1.7%

      

Corning, Inc.

    31,200      719,160  
           

Measuring & Controlling Devices — 0.7%

      

KLA-Tencor Corp.

    7,600      309,396  
           

Medical & Medical Services — 1.3%

      

Baxter International, Inc.

    5,800      370,852  

Millipore Corp.(a)

    2,700      183,222  
           
        554,074  
           

Medical Instruments & Supplies — 7.5%

      

Alcon, Inc.

    1,500      244,185  

Beckman Coulter, Inc.

    1,200      81,036  

Becton, Dickinson & Co.

    4,900      398,370  

C.R. Bard, Inc.

    3,500      307,825  

Charles River Laboratories International, Inc.(a)

    4,500      287,640  

Cyberonics, Inc.(a)

    7,800      169,260  

Johnson & Johnson

    2,200      141,548  

Medtronic, Inc.

    14,000      724,500  

SenoRx, Inc.(a)

    6,600      50,952  

St. Jude Medical, Inc.(a)

    5,500      224,840  

Varian Medical Systems, Inc.(a)

    4,600      238,510  

Zimmer Holdings, Inc.(a)

    4,300      292,615  
           
        3,161,281  
           

Pharmaceuticals — 7.3%

      

Alexion Pharmaceuticals, Inc.

    4,000      290,000  

Applera Corp. - Celera Genomics Group

    12,200      138,592  

Celgene Corp.(a)

    3,028      193,399  

Genentech, Inc.(a)

    7,800      592,020  

Genzyme Corp.(a)

    12,300      885,846  

Gilead Sciences, Inc.(a)

    15,700      831,315  

Vertex Pharmaceuticals, Inc.(a)

    4,000      133,880  
           
        3,065,052  
           

Retail Merchandising — 0.6%

      

CVS Caremark Corp.

    6,100      241,377  
           

Semiconductors & Related Devices — 10.6%

      

Altera Corp.

    14,000      289,800  

Analog Devices, Inc.

    13,300      422,541  

Applied Materials, Inc.

    22,400      427,616  

Broadcom Corp. - Class A(a)

    14,100      384,789  

Cavium Networks, Inc.(a)

    5,600      117,600  

Kulicke & Soffa Industries, Inc.(a)

    23,100      168,399  

Lam Research Corp.(a)

    5,000      180,750  

Linear Technology Corp.

    10,400      338,728  

Marvell Technology Group Ltd.(a)

    17,800      314,348  

Maxim Integrated Products, Inc.

    10,900      230,535  

Microchip Technology, Inc.

    7,300      222,942  

Netlogic Microsystems, Inc.(a)

    6,700      222,440  

ON Semiconductor Corp.(a)

    18,300      167,811  

Teradyne, Inc.(a)

    16,400      181,548  

Texas Instruments, Inc.

    7,700      216,832  

Varian Semiconductor Equipment Associates, Inc.(a)

    4,900      170,618  

Xilinx, Inc.

    15,400      388,850  
           
        4,446,147  
           

Telecommunications — 7.3%

      

American Tower Corp. - Class A

    6,100      257,725  

AT&T, Inc.

    10,100      340,269  

Ciena Corp.(a)

    6,900      159,873  

Harris Corp.

    6,300      318,087  

JDS Uniphase Corp.(a)

    13,800      156,768  

Motorola, Inc.

    14,800      108,632  

QUALCOMM, Inc.

    21,400      949,518  

Research In Motion Ltd.(a)

    3,100      362,390  

Syniverse Holdings, Inc.(a)

    8,900      144,180  

Verizon Communications, Inc.

    7,600      269,040  
           
        3,066,482  
           

Total United States

         32,342,588  
           

Total Common Stocks
(Cost — $36,322,977) — 93.7%

         39,387,997  
           

Short-Term Investments

      

BlackRock Liquidity Series, LLC Money Market Series, 2.70%(c)(d)(e)

    679,500      679,500  

Galileo Money Market Fund, 2.32%(e)

    1,977,468      1,977,468  
           

Total Short-Term Investments
(Cost — $2,656,968) — 6.3%

         2,656,968  
           

Total Investments
(Cost — $38,979,945*) — 100.0%

         42,044,965  

Obligation to Return Securities Lending Collateral — (1.6)%

         (679,500 )

Other Assets in Excess of Liabilities — 1.6%

         675,829  
           

Net Assets — 100.0%

       $ 42,041,294  
           

 

* The cost and unrealized appreciation (depreciation) of investments as of June 30, 2008, as computed for federal income tax purposes, were as follows:

 

Aggregate cost

    $ 39,056,998  
        

Gross unrealized appreciation

    $ 4,806,642  

Gross unrealized depreciation

      (1,818,675 )
        

Net unrealized appreciation

    $ 2,987,967  
        

 

(a) Non-income producing security.

 

(b) Security, or a portion of security, is on loan.

 

18        JUNE 30, 2008     

Schedule of Investments (concluded)   

Global Science & Technology Opportunities Portfolio

   (Percentages shown are based on Net Assets)

 

(c) Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

 

Affiliate

    Net
Activity		    Interest
Income

BlackRock Liquidity Series, LLC Money Market Series

    $ 679,500    $ 5,384

 

(d) Security purchased with the cash proceeds from securities loans.

 

(e) Represents current yield as of report date.

 

•  

Forward foreign exchange contracts purchased as of June 30, 2008 were as follows:

 

Foreign Currency Purchased

    Settlement
Date		    Unrealized
Appreciation
(Depreciation)		  

CHF

    94,000    07/23/08    $ 1,469  

EUR

    241,000    07/23/08      4,836  

GBP

    19,000    07/23/08      377  

JPY

    38,379,000    07/23/08      (7,465 )
              

Total Net Unrealized Depreciation on Forward Foreign Exchange Contracts
(USD Commitment - $871,858)

    $ (783 )
              

 

•  

Forward foreign exchange contracts sold as of June 30, 2008 were as follows:

 

Foreign Currency Sold

    Settlement
Date		    Unrealized
Appreciation
(Depreciation)		  

JPY

    110,000    07/01/08    $ —    

GBP

    5,000    07/02/08      18  

JPY

    170,000    07/02/08      6  

CHF

    303,000    07/23/08      4,246  

EUR

    375,500    07/23/08      408  

GBP

    99,000    07/23/08      (3,500 )

HKD

    787,000    07/23/08      261  

JPY

    201,033,468    07/23/08      80,976  
              

Total Net Unrealized Appreciation on Forward Foreign Exchange Contracts
(USD Commitment - $3,175,805)

    $ 82,415  
              

 

•  

For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

         JUNE 30, 2008    19

Schedule of Investments June 30, 2008 (Unaudited)   

Global Resources Portfolio

   (Percentages shown are based on Net Assets)

 

      Shares    Value

Common Stocks

      

Bermuda — 0.1%

      

Oil & Gas — 0.1%

      

Energy XXI Bermuda Ltd.

    329,629    $ 2,281,033
         

Canada — 15.7%

      

Banks — 0.0%

      

Quest Capital Corp.

    61,000      105,884
         

Energy & Utilities — 0.5%

      

Epsilon Energy, Inc. (acquired 10/24/07, cost $1,357,489)(a)(b)(c)

    332,500      2,608,610

MGM Energy Corp.(a)

    15,084      8,580

Tanganyika Oil Co. Ltd.

    232,700      6,062,744
         
        8,679,934
         

Metal & Mining — 3.6%

      

Alexco Resource Corp.

    593,683      1,950,415

Aurora Energy Resources, Inc.(a)

    546,000      2,270,315

Baja Mining Corp.(a)

    3,654,800      4,838,658

Corriente Resources, Inc. - Class A(a)

    982,800      4,356,434

Crosshair Exploration & Mining Corp.(a)

    352,800      276,787

Crosshair Exploration & Mining Corp. (acquired 04/04/08, cost $256,432)(a)(c)

    206,800      162,244

Denison Mines Corp.(a)

    218,500      1,909,223

Erdene Gold, Inc. (acquired 04/12/07, cost $959,233)(a)(c)(d)

    1,100,000      1,014,024

European Goldfields Ltd.(a)

    561,400      2,620,637

Frontier Pacific Mining Corp.(a)

    3,024,300      3,173,483

Gold Reserve, Inc.(a)(e)

    123,948      223,106

Goldcorp, Inc.

    4,600      212,068

Golden Star Resources Ltd.(a)

    789,408      2,121,191

Linear Gold Corp.(a)

    1,000,000      1,912,327

MAG Silver Corp.(a)

    964,000      9,463,215

Minefinders Corp. Ltd.(a)(e)

    250,000      2,600,000

Nevsun Resources Ltd.(a)(f)

    804,800      1,681,106

Nevsun Resources Ltd. (acquired 01/20/05, cost $2,915,995)(a)(c)

    750,000      1,566,637

Northern Star Mining Corp.(a)

    1,133,500      1,111,601

NovaGold Resources, Inc.(a)(e)

    371,843      2,770,230

Polymet Mining Corp.(a)

    2,250,000      8,627,538

Q2 Gold Resources, Inc. (acquired 06/18/07, cost $0)(c)(d)

    327,600      —  

Romarco Minerals, Inc.(a)

    223,000      47,019

Rusoro Mining Ltd.(a)

    11,764      14,998

Selkirk Metals Corp.(a)

    2,000,000      755,124

Southwestern Resources Corp.(a)

    1,066,900      763,790

Sunridge Gold Corp.(a)

    3,325,559      2,772,115

Triex Minerals Corp.(a)

    156,050      131,610

Triex Minerals Corp.(a)

    312,100      263,221

Uranium One, Inc.(a)

    500,365      2,355,352

Virginia Mines, Inc.(a)

    216,350      1,179,667

West Timmins Mining, Inc.(a)

    2,660,128      1,513,067

X-Cal Resources Ltd.(a)

    1,755,500      146,335
         
        64,803,537
         

Motor Vehicles — 0.3%

      

Westport Innovations, Inc.

    773,800      3,771,488

Westport Innovations, Inc. (acquired 01/20/05, cost $258,513)(a)(c)

    185,700      905,098
         
        4,676,586
         

Oil & Gas — 11.3%

      

Accrete Energy, Inc.

    13,690      79,748

Alberta Clipper Energy, Inc.(a)

    95,415      319,079

Bayou Bend Petroleum Ltd.(a)

    2,237,500      1,162,965

Baytex Energy Trust

    421,948      14,395,970

Bow Valley Energy Ltd.(a)

    634,600      3,870,954

Canadian Superior Energy, Inc.(a)

    3,029,100      13,994,442

Canext Energy Ltd.(a)

    207,829      203,814

Cinch Energy Corp. (acquired 07/12/05, cost $1,418,282)(a)(c)

    901,980      1,503,742

Compton Petroleum Corp.(a)

    1,267,329      16,094,842

Cork Exploration, Inc.(a)

    89,600      421,771

Crescent Point Energy Trust

    102,001      4,039,228

Crew Energy, Inc.(a)

    535,837      9,705,707

Crew Energy, Inc. (acquired 01/20/05, cost $737,366)(a)(c)

    191,300      3,465,050

Daylight Resources Trust

    346,361      4,106,604

Delphi Energy Corp.(a)

    831,300      2,510,939

Ember Resources, Inc.(a)

    274,224      508,270

Endev Energy, Inc.(a)

    1,538,300      2,096,928

Fairborne Energy Ltd.

    259,558      3,324,338

First Calgary Petroleums Ltd.(a)

    740,786      1,649,097

Galleon Energy, Inc. - Class A(a)

    1,576,882      31,856,202

Galleon Energy, Inc. - Class A (acquired 2/10/05, cost $1,885,603)(a)(c)

    173,600      3,507,071

Gastar Exploration Ltd.(a)

    1,055,300      2,701,568

Highpine Oil & Gas Ltd.(a)

    323,650      4,240,428

HSE Integrated Ltd.(a)

    28,238      28,523

Iteration Energy Ltd.(a)

    226,744      1,836,722

Leader Energy Services Ltd.(a)

    454,104      31,173

Lynden Ventures Ltd.(a)

    200,400      373,404

Masters Energy, Inc.(a)

    27,741      101,747

Midnight Oil Exploration Ltd.(a)

    550,300      1,111,717

Midnight Oil Exploration Ltd. (acquired 12/12/05, cost $1,971,490)(a)(c)

    577,400      1,166,465

Niko Resources Ltd. (acquired 01/20/05, cost $689,948)(c)

    39,000      3,738,217

Open Range Energy Corp.(a)

    48,061      377,060

Pacific Rodera Energy, Inc.(a)

    990,200      456,403

Pan Orient Energy Corp.(a)

    198,600      1,986,584

Paramount Resources Ltd. - Class A(a)

    377,100      7,669,956

Pengrowth Energy Trust

    21,699      436,236

Penn West Energy Trust

    90,263      3,052,141

Petro Andina Resources, Inc. (acquired 05/23/07, cost $405,719)(a)(b)(c)

    49,500      548,544

Petro Rubiales Energy Corp.(a)

    678,950      8,942,138

Petrolifera Petroleum Ltd.(a)

    392,415      3,344,205

ProspEx Resources Ltd.(a)

    1,504,120      5,103,712

Tag Oil Ltd. (acquired 09/22/05, cost $218,247)(a)(c)

    198,000      33,981

Technicoil Corp.(a)

    547,800      682,265

Technicoil Corp. (acquired 01/20/05, cost $548,935)(a)(c)

    753,100      937,959

Trafalgar Energy Ltd.(a)

    21,717      83,273

TransCanada Corp.

    40,700      1,576,591

Trilogy Energy Trust

    152,791      2,036,314

TriStar Oil & Gas Ltd.(a)

    772,437      15,619,938

TriStar Oil & Gas Ltd. (acquired 01/20/05, cost $107,665)(a)(c)

    34,400      695,624

True Energy Trust

    188,332      812,652

Tusk Energy (acquired 03/14/05 through 06/07/06, cost $2,915,907)(a)(c)

    681,846      1,945,839

Tusk Energy Corp.(a)

    1,566,340      4,469,992

Vero Energy, Inc.(a)

    55,374      590,830

Vero Energy, Inc. (acquired 11/28/05, cost $80,519)(a)(c)

    36,268      386,972

West Energy Ltd.(a)

    1,199,235      4,539,617

 

20

        JUNE 30, 2008     

Schedule of Investments (continued)   

Global Resources Portfolio

   (Percentages shown are based on Net Assets)

 

      Shares    Value

Common Stocks

      

Canada (Continued)

      

Oil & Gas (Continued)

      

WesternZagros Resources Ltd.(a)

    76,800    $ 224,442
         
        200,699,993
         

Transportation — 0.0%

      

Railpower Technologies Corp.

    360,600      152,062
         

Total Canada

         279,117,996
         

Greece — 0.2%

      

Transportation — 0.2%

      

Navios Maritime Holdings, Inc.

    418,700      4,057,203
         

Norway — 0.4%

      

Transportation — 0.4%

      

Stolt-Nielsen SA

    296,100      6,736,661
         

United Kingdom — 2.0%

      

Energy & Utilities — 0.0%

      

ITM Power Plc

    525,200      593,668
         

Oil & Gas — 2.0%

      

Archipelago Resources Plc

    2,247,400      1,051,965

Gulfsands Petroleum Plc

    422,500      1,830,889

Heritage Oil Ltd.

    2,523,000      17,199,413

Tullow Oil Plc

    544,198      10,341,323

Venture Production Plc

    289,729      4,997,273
         
        35,420,863
         

Total United Kingdom

         36,014,531
         

United States — 67.9%

      

Energy & Utilities — 2.3%

      

Calpine Corp.

    874,200      19,721,952

Dynegy, Inc. - Class A(a)

    1,560      13,338

Equitable Resources, Inc.

    256,500      17,713,890

Evergreen Energy, Inc.(a)(e)

    393,400      684,516

Longview Energy Co. (acquired 01/20/05, cost $1,281,000)(c)(d)(f)

    85,400      2,836,134

Ocean Power Technologies, Inc.(a)

    63,900      575,100
         
        41,544,930
         

Metal & Mining — 25.7%

      

Arch Coal, Inc.

    1,324,400      99,369,732

CONSOL Energy, Inc.

    922,600      103,672,562

Foundation Coal Holdings, Inc.

    72,000      6,377,760

James River Coal Co.(a)(e)

    131,100      7,694,259

Kinross Gold Corp.

    111,175      2,624,842

Massey Energy Co.

    1,569,840      147,172,500

Patriot Coal Corp.(a)

    88,673      13,592,684

Peabody Energy Corp.(e)

    895,436      78,843,140
         
        459,347,479
         

Oil & Gas — 39.9%

      

American Oil & Gas, Inc.(e)

    224,088      878,425

Approach Resources, Inc.(a)(e)

    93,700      2,510,223

ATP Oil & Gas Corp.(a)(e)

    168,800      6,662,536

Aventine Renewable Energy Holdings, Inc.(a)(e)

    436,000      1,918,400

Baker Hughes, Inc.

    46,200      4,035,108

BJ Services Co.(e)

    812,400      25,948,056

Bois d’Arc Energy, Inc.(a)

    165,300      4,018,443

Callon Petroleum Co.(a)

    92,200      2,522,592

CanArgo Energy Corp.(a)

    5,184,600      1,519,088

Clayton Williams Energy, Inc.(a)

    240,321      26,423,294

Complete Production Services, Inc.(a)

    34,400      1,252,848

Comstock Resources, Inc.(a)

    100,000      8,443,000

Delta Petroleum Corp.(a)(e)

    2,093,397      53,423,491

Denbury Resources, Inc.(a)

    595,200      21,724,800

ENSCO International, Inc.

    94,100      7,597,634

EXCO Resources, Inc.(a)

    812,800      30,000,448

Gasco Energy, Inc.(a)(e)

    927,600      3,849,540

GMX Resources, Inc.(a)(e)

    4,300      318,630

Goodrich Petroleum Corp.(a)(e)

    263,300      21,832,836

Halliburton Co.

    390,726      20,735,829

Hercules Offshore, Inc.(a)(e)

    68,900      2,619,578

Marathon Oil Corp.

    6,447      334,406

Matador Resources Co. (acquired 01/20/05 through 04/19/06, cost $2,957,155)(c)(d)(f)

    171,131      6,456,773

Nabors Industries Ltd.(a)

    527,600      25,973,748

National Oilwell Varco, Inc.(a)

    43,270      3,838,914

Newfield Exploration Co.(a)

    959,310      62,594,977

Parallel Petroleum Corp.(a)

    107,032      2,154,554

Particle Drilling Technologies, Inc.(a)

    374,820      937,050

Patterson-UTI Energy, Inc.

    1,236,800      44,574,272

Penn Virginia Corp.

    896,200      67,591,404

Petrohawk Energy Corp.(a)

    406,600      18,829,646

Pioneer Natural Resources Co.(e)

    209,200      16,376,176

Plains Exploration & Production Co.(a)

    1,005,525      73,373,159

Range Resources Corp.

    200,000      13,108,000

Schlumberger Ltd.

    210,136      22,574,910

Southwestern Energy Co.(a)

    1,248,600      59,445,846

Treasure Island Royalty Trust(a)

    366,922      278,861

TXCO Resources, Inc.(a)(e)

    179,600      2,112,096

Verasun Energy Corp.(a)(e)

    383,900      1,585,507

Warren Resources, Inc.(a)(e)

    222,282      3,263,100

Weatherford International Ltd.(a)

    754,396      37,410,498
         
        711,048,696
         

Waste Management — 0.0%

      

Republic Resources, Inc.

    28,750      34
         

Total United States

         1,211,941,139
         

Total Common Stocks
(Cost — $682,040,365) — 86.3%

         1,540,148,563
         

Warrants

      

Crosshair Exploration & Mining Corp. (issued 4/4/08, 1 share for 1 warrant, expiring 10/4/08, strike price 1.80 CAD) (acquired 4/4/08, cost $2,004)(c)(d)(f)

    206,800      63,397

Point North Energy Ltd. (issued/exercisable 7/24/03, 1 share for 1 warrant, expiring 7/23/08, strike price 5.00 CAD) (acquired 7/24/03, cost $74)(c)(d)(f)

    147,124      14
         

Total Warrants
(Cost — $2,078) — 0.0%

         63,411
         

 

         JUNE 30, 2008    21

Schedule of Investments (concluded)   

Global Resources Portfolio

   (Percentages shown are based on Net Assets)

 

Short-Term Investments

    Shares    Value  

BlackRock Liquidity Series, LLC Money Market Series, 2.70%(g)(h)(i)

    135,307,900    $ 135,307,900  

Galileo Money Market Fund, 2.32%(i)

    242,233,269      242,233,269  
           

Total Short-Term Investments
(Cost — $377,541,169) — 21.2%

         377,541,169  
           

Total Investments
(Cost — $1,059,583,612*) — 107.5%

         1,917,753,143  

Obligation to Return Securities Lending Collateral — (7.6)%

         (135,307,900 )

Other Assets in Excess of Liabilities — 0.1%

         1,945,889  
           

Net Assets — 100.0%

       $ 1,784,391,132  
           

 

* The cost and unrealized appreciation (depreciation) of investments as of June 30, 2008, as computed for federal income tax purposes, were as follows:

 

Aggregate cost

    $ 1,090,891,986  
        

Gross unrealized appreciation

    $ 872,607,123  

Gross unrealized depreciation

      (45,745,966 )
        

Net unrealized appreciation

    $ 826,861,157  
        

 

(a) Non-income producing security.

 

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. Unless otherwise indicated, these securities are considered to be liquid.

 

(c) Restricted security as to resale. As of report date the Portfolio held 1.9% of its net assets, with a current market value of $33,542,395 and an original cost of $20,967,576 in these securities.

 

(d) Security is fair valued by the Board of Trustees.

 

(e) Security, or a portion of security, is on loan.

 

(f) Illiquid security.

 

(g) Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

 

Affiliate

    Net
Activity		    Interest
Income

BlackRock Liquidity Series, LLC Money Market Series

    $ 135,307,900    $ 956,702

 

(h) Security purchased with the cash proceeds from securities loans.

 

(i) Represents current yield as of report date.

 

•  

Forward foreign exchange contracts sold as of June 30, 2008 were as follows:

 

Foreign Currency Sold

         Settlement
Date		    Unrealized
Appreciation

CAD

    2,000    07/03/08    $ 11
            

Total Unrealized Appreciation on Forward Foreign Exchange Contracts
(USD Commitment - $1,972)

       $ 11
            

 

•  

For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

22

        JUNE 30, 2008     

Schedule of Investments June 30, 2008 (Unaudited)   

All-Cap Global Resources Portfolio

   (Percentages shown are based on Net Assets)

 

     Shares    Value

Common Stocks

      

Australia — 1.4%

      

Metal & Mining — 1.4%

      

BHP Billiton Ltd. - ADR

    286,190    $ 24,380,526
         

Bermuda — 0.9%

      

Oil & Gas — 0.9%

      

Seadrill Ltd.

    522,400      15,945,273
         

Brazil — 2.4%

      

Oil & Gas — 2.4%

      

OGX Petroleo e Gas Participacoes SA

    13,000      10,274,387

Petroleo Brasileiro SA - ADR(a)

    425,400      30,131,082
         

Total Brazil

         40,405,469
         

Canada — 8.9%

      

Metal & Mining — 2.5%

      

Eldorado Gold Corp.

    1,407,500      11,994,876

NovaGold Resources, Inc.(a)(b)

    743,100      5,536,095

Teck Cominco Ltd.

    523,660      25,250,919
         
        42,781,890
         

Oil & Gas — 6.4%

      

Canadian Natural Resources Ltd.

    207,160      20,767,790

Compton Petroleum Corp.(b)

    1,067,280      13,554,257

Crescent Point Energy Trust

    677,800      26,840,800

Galleon Energy, Inc. - Class A(b)

    838,774      16,944,929

Nexen, Inc.

    365,614      14,578,666

Trican Well Service Ltd.

    470,231      11,690,062

TriStar Oil & Gas Ltd.(b)

    261,554      5,289,049

TriStar Oil & Gas Ltd. (acquired 12/22/05 through 12/28/05, cost $153,855)(b)(c)

    6,000      121,330
         
        109,786,883
         

Total Canada

         152,568,773
         

China — 0.3%

      

Oil & Gas — 0.3%

      

PetroChina Co. Ltd. - ADR

    38,800      4,999,768
         

France — 0.5%

      

Oil & Gas — 0.5%

      

Total SA - ADR

    109,760      9,359,235
         

Netherlands — 2.0%

      

Oil & Gas — 2.0%

      

Core Laboratories NV

    235,240      33,486,414
         

Norway — 1.4%

      

Oil & Gas — 1.4%

      

StatoilHydro ASA

    434,652      16,216,762

StatoilHydro ASA - ADR

    183,280      6,851,007
         

Total Norway

         23,067,769
         

United Kingdom — 2.7%

      

Oil & Gas — 2.7%

      

BG Group Plc - ADR

    180,780      23,511,795

Heritage Oil Ltd.

    572,000      3,899,351

Petrofac Ltd.

    1,236,800      18,123,677
         

Total United Kingdom

         45,534,823
         

United States — 79.2%

      

Energy & Utilities — 3.8%

      

Equitable Resources, Inc.

    304,000      20,994,240

NRG Energy, Inc.(b)

    486,600      20,875,140

Questar Corp.

    325,120      23,096,525
         
        64,965,905
         

Food & Agriculture — 3.7%

      

Potash Corp. of Saskatchewan, Inc.

    277,800      63,496,746
         

Metal & Mining — 19.7%

      

Agnico-Eagle Mines Ltd.

    304,300      22,630,791

Arch Coal, Inc.

    398,500      29,899,455

Cameco Corp.

    91,900      3,939,753

CONSOL Energy, Inc.

    649,500      72,984,315

Goldcorp, Inc.(a)

    907,802      41,913,218

Massey Energy Co.

    756,229      70,896,469

Newmont Mining Corp.(a)

    134,900      7,036,384

Patriot Coal Corp.(b)

    38,358      5,879,898

Peabody Energy Corp.

    489,080      43,063,494

Silver Standard Resources, Inc.(a)(b)

    817,790      23,429,683

Silver Wheaton Corp.(a)(b)

    963,574      14,116,359
         
        335,789,819
         

Oil & Gas — 52.0%

      

Apache Corp.

    230,300      32,011,700

Bill Barrett Corp.(a)(b)

    649,691      38,598,142

Cameron International Corp.(a)(b)

    254,500      14,086,575

Chesapeake Energy Corp.(a)

    421,430      27,797,523

ConocoPhillips

    187,806      17,727,008

Denbury Resources, Inc.(b)

    680,500      24,838,250

Devon Energy Corp.

    239,700      28,802,352

EnCana Corp.

    288,900      26,269,677

ENSCO International, Inc.

    183,478      14,814,014

EOG Resources, Inc.

    317,270      41,625,824

Exterran Holdings, Inc.(a)(b)

    265,880      19,007,761

FMC Technologies, Inc.(a)(b)

    404,300      31,102,799

Forest Oil Corp.(a)(b)

    350,100      26,082,450

Gasco Energy, Inc.(a)(b)

    1,322,782      5,489,545

Helix Energy Solutions Group, Inc.(a)(b)

    347,400      14,465,736

Helmerich & Payne, Inc.(a)

    541,300      38,984,426

Hess Corp.

    260,040      32,814,448

Hugoton Royalty Trust

    1      37

Marathon Oil Corp.

    341,900      17,734,353

Murphy Oil Corp.

    164,800      16,158,640

Nabors Industries Ltd.(a)(b)

    201,400      9,914,922

Newfield Exploration Co.(b)

    392,400      25,604,100

Noble Corp.

    192,000      12,472,320

Occidental Petroleum Corp.

    321,550      28,894,483

Oceaneering International, Inc.(a)(b)

    164,100      12,643,905

Pioneer Natural Resources Co.

    202,400      15,843,872

Plains Exploration & Production Co.(b)

    338,900      24,729,533

Pride International, Inc.(b)

    207,100      9,793,759

Quicksilver Resources, Inc.(a)(b)

    419,800      16,221,072

Range Resources Corp.

    447,700      29,342,258

Rowan Cos., Inc.(a)

    364,100      17,021,675

Schlumberger Ltd.

    371,500      39,910,245

Smith International, Inc.(a)

    240,400      19,986,856

Southwestern Energy Co.(b)

    424,740      20,221,872

Suncor Energy, Inc.

    198,860      11,557,743

TXCO Resources, Inc.(a)(b)

    285,300      3,355,128

Unit Corp.(b)

    429,800      35,660,506

Warren Resources, Inc.(b)

    381,025      5,593,447

 

         JUNE 30, 2008    23

Schedule of Investments (concluded)

   

All-Cap Global Resources Portfolio

   (Percentages shown are based on Net Assets)

 

      Shares    Value  

Common Stocks

      

United States (Continued)

      

Oil & Gas (Continued)

      

Weatherford International Ltd.(b)

    847,260    $ 42,015,623  

Whiting Petroleum Corp.(b)

    72,500      7,690,800  

XTO Energy, Inc.(a)

    424,491      29,081,879  
           
        885,967,258  
           

Total United States

         1,350,219,728  
           

Total Common Stocks
(Cost — $976,787,423) — 99.7%

         1,699,967,778  
           

Short-Term Investments

      

BlackRock Liquidity Series, LLC Money Market Series, 2.70%(d)(e)(f)

    224,407,500      224,407,500  

Galileo Money Market Fund, 2.32%(f)

    11,205,161      11,205,161  
           

Total Short-Term Investments
(Cost — $235,612,661) — 13.8%

         235,612,661  
           

Total Investments
(Cost — $1,212,400,084*) — 113.5%

         1,935,580,439  

Obligation to Return Securities Lending Collateral — (13.2)%

         (224,407,500 )

Liabilities in Excess of Other Assets — (0.3)%

         (6,021,203 )
           

Net Assets — 100.0%

       $ 1,705,151,736  

 

* The cost and unrealized appreciation (depreciation) of investments as of June 30, 2008, as computed for federal income tax purposes, were as follows:

 

Aggregate cost

    $ 1,215,740,689  
        

Gross unrealized appreciation

    $ 728,730,762  

Gross unrealized depreciation

      (8,891,012 )
        

Net unrealized appreciation

    $ 719,839,750  
        

 

(a) Security, or a portion of security, is on loan.

 

(b) Non-income producing security.

 

(c) Restricted security as to resale. As of report date the Portfolio held less than 0.1% of its net assets, with a current market value of $121,330 and an original cost of $153,855 in these securities.

 

(d) Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

 

Affiliate

    Net
Activity		    Interest
Income

BlackRock Liquidity Series, LLC Money Market Series

    $ 224,407,500    $ 789,817

 

(e) Security purchased with the cash proceeds from securities loans.

 

(f) Represents current yield as of report date.

 

• For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

24        JUNE 30, 2008     

Schedule of Investments June 30, 2008 (Unaudited)   

Health Sciences Opportunities Portfolio

   (Percentages shown are based on Net Assets)

 

      Shares     Value  

Common Stocks

     

Bermuda — 0.8%

     

Medical & Medical Services — 0.8%

     

Covidien Ltd.

    196,500     $ 9,410,385  
          

Cayman Islands — 1.4%

     

Medical Instruments & Supplies — 1.4%

     

China Medical Technologies, Inc. - ADR

    321,900       15,901,860  
          

Germany — 1.3%

     

Medical Instruments & Supplies — 1.3%

     

Fresenius Medical Care AG & Co. KGgA

    276,400       15,235,640  
          

Israel — 1.8%

     

Pharmaceuticals — 1.8%

     

Teva Pharmaceutical Industries Ltd. - ADR

    456,200       20,893,960  
          

Switzerland — 5.8%

     

Pharmaceuticals — 5.8%

     

Novartis AG - ADR

    444,600       24,470,784  

Roche Holding AG

    233,600       42,075,669  
          

Total Switzerland

        66,546,453  
          

United States — 80.1%

     

Computer Software & Services — 0.2%

     

MedAssets, Inc.

    129,000       2,199,450  
          

Insurance — 1.4%

     

Aetna, Inc.

    390,700       15,835,071  
          

Manufacturing — 0.5%

     

Varian, Inc.(b)

    118,800       6,065,928  
          

Medical & Medical Services — 11.2%

     

Amgen, Inc.

    312,000       14,713,920  

Baxter International, Inc.

    823,700       52,667,378  

BioForm Medical, Inc.(a)(b)

    79,600       321,584  

Covance, Inc.(b)

    37,000       3,182,740  

DaVita, Inc.(b)

    117,200       6,226,836  

Integra LifeSciences Holdings Corp.(a)(b)

    276,000       12,276,480  

Medco Health Solutions, Inc.(b)

    487,000       22,986,400  

Millipore Corp.(b)

    219,200       14,874,912  

Sequenom, Inc.(b)

    127,500       2,034,900  
          
       129,285,150  
          

Medical Instruments & Supplies — 30.0%

     

Alcon, Inc.

    285,400       46,460,266  

Alphatec Holdings, Inc.(b)

    419,700       1,712,376  

Beckman Coulter, Inc.

    87,100       5,881,863  

Becton, Dickinson & Co.

    681,000       55,365,300  

C.R. Bard, Inc.(a)

    164,500       14,467,775  

Charles River Laboratories International, Inc.(a)(b)

    464,400       29,684,448  

Cyberonics, Inc.(a)(b)

    704,100       15,278,970  

Halozyme Therapeutics, Inc.(a)(b)

    254,600       1,369,748  

Immucor, Inc.(b)

    434,600       11,247,448  

Johnson & Johnson

    644,400       41,460,696  

Medtronic, Inc.

    1,067,600       55,248,300  

SenoRx, Inc.(b)

    264,900       2,045,028  

St. Jude Medical, Inc.(a)(b)

    291,100       11,900,168  

Stryker Corp.(a)

    184,000       11,569,920  

Varian Medical Systems, Inc.(a)(b)

    629,900       32,660,315  

Zimmer Holdings, Inc.(b)

    165,100       11,235,055  
          
       347,587,676  
          

Pharmaceuticals — 34.0%

     

Abbott Laboratories

    292,100       15,472,537  

Alexion Pharmaceuticals, Inc.(b)

    697,100       50,539,750  

Applera Corp. - Celera Genomics Group(a)

    686,400       7,797,504  

Aryx Therapeutics, Inc.(b)

    122,000       961,360  

Auxilium Pharmaceuticals, Inc.(b)

    606,600       20,393,892  

BioMarin Pharmaceutical, Inc.(a)(b)

    559,179       16,205,007  

Bristol-Myers Squibb Co.

    1,172,300       24,067,319  

Celgene Corp.(b)

    510,937       32,633,546  

Eli Lilly & Co.

    181,900       8,396,504  

Genentech, Inc.(b)

    448,500       34,041,150  

Genzyme Corp.(b)

    562,700       40,525,654  

Gilead Sciences, Inc.(a)(b)

    1,504,300       79,652,685  

InterMune, Inc.(a)(b)

    210,681       2,764,135  

Merck & Co., Inc.

    583,600       21,995,884  

Nanosphere, Inc.(b)

    79,600       625,656  

Poniard Pharmaceuticals, Inc.(a)(b)

    401,100       1,700,664  

Rigel Pharmaceuticals, Inc.(b)

    285,400       6,467,164  

United Therapeutics Corp.(a)(b)

    104,600       10,224,650  

Vertex Pharmaceuticals, Inc.(b)

    357,400       11,962,178  

Wyeth

    132,102       6,335,612  
          
       392,762,851  
          

Retail Merchandising — 2.8%

     

CVS Caremark Corp.

    820,100       32,451,357  
          

Total United States

        926,187,483  
          

Total Common Stocks
(Cost — $932,589,751) — 91.2%

        1,054,175,781  
          

Short-Term Investments

     

BlackRock Liquidity Series, LLC Money Market Series, 2.70%(c)(d)(e)

    129,555,200       129,555,200  

Galileo Money Market Fund, 2.32%(e)

    112,582,834       112,582,834  
          

Total Short-Term Investments
(Cost — $242,138,034) — 20.9%

        242,138,034  
          

Total Investments Before Outstanding Options Written
(Cost — $1,174,727,785*) — 112.1%

        1,296,313,815  
          
      Contracts        

Call Option Written

     

Zimmer Holdings, Inc., expiring July 2008, at $75

     

(Premiums received — $177,019) — (0.0)%

    (1,651 )     (16,510 )
          

Put Options Written

     

Vertex Pharmaceuticals, Inc., expires July 2008 at $25

    (2,380 )     (11,900 )

Vertex Pharmaceuticals, Inc., expires July 2008 at $30

    (1,983 )     (69,405 )
          

Total Put Options Written
(Premiums received — $401,933) — (0.0)%

        (81,305)  
          

Total Options Written
(Premiums received — $578,952) — (0.0)%

        (97,815 )
          

 

         JUNE 30, 2008    25

Schedule of Investments (concluded)   

Health Sciences Opportunities Portfolio

   (Percentages shown are based on Net Assets)

 

     Value  

Total Investments Net of Outstanding Options Written
(Cost — $1,174,148,833) — 112.1%

    $ 1,296,216,000  

Obligation to Return Securities Lending Collateral — (11.2)%

      (129,555,200 )

Liabilities in Excess of Other Assets — (0.9)%

      (10,129,576 )
        

Net Assets — 100.0%

    $ 1,156,531,224  
        

 

* The cost and unrealized appreciation (depreciation) of investments as of June 30, 2008, as computed for federal income tax purposes, were as follows:

 

Aggregate cost

    $ 1,176,686,028  
        

Gross unrealized appreciation

    $ 135,530,271  

Gross unrealized depreciation

      (15,902,484 )
        

Net unrealized appreciation

    $ 119,627,787  
        

 

(a) Security, or a portion of security, is on loan.

 

(b) Non-income producing security.

 

(c) Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

 

Affiliate

    Net
Activity		    Interest
Income

BlackRock Liquidity Series, LLC Money Market Series

    $ 129,555,200    $ 659,844

 

(d) Security purchased with the cash proceeds from securities loans.

 

(e) Represents current yield as of report date.

 

•  

Forward foreign exchange contracts purchased as of June 30, 2008 were as follows:

 

Foreign Currency Purchased

         Settlement
Date		    Unrealized
Appreciation

CHF

    8,604,000    07/23/08    $ 129,587

EUR

    1,265,000    07/23/08      36,390
            

Total Net Unrealized Appreciation on Forward Foreign Exchange Contracts
(USD Commitment - $10,248,398)

       $ 165,977
            

 

•  

Forward foreign exchange contracts sold as of June 30, 2008 were as follows:

 

Foreign Currency Sold

         Settlement
Date		    Unrealized
Appreciation
(Depreciation)		  

CHF

    53,989,000    07/23/08    $ 756,544  

EUR

    10,913,500    07/23/08      (15,765 )
              

Total Net Unrealized Appreciation on Forward Foreign Exchange Contracts
(USD Commitment - $70,769,115)

       $ 740,779  
              

 

•  

For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

26

        JUNE 30, 2008     

Schedule of Investments June 30, 2008 (Unaudited)   

U.S. Opportunities Portfolio

   (Percentages shown are based on Net Assets)

 

     Shares    Value

Common Stocks

      

Aerospace — 2.0%

      

Alliant Techsystems, Inc.

    57,400    $ 5,836,432

Curtiss-Wright Corp.

    140,000      6,263,600

Orbital Sciences Corp.(a)

    286,400      6,747,584
         
        18,847,616
         

Banks — 3.2%

      

Commerce Bancshares, Inc.

    107,000      4,243,620

Greenhill & Co., Inc.(b)

    47,800      2,574,508

Hudson City Bancorp, Inc.

    193,300      3,224,244

National Penn Bancshares, Inc.(b)

    257,500      3,419,600

New York Community Bancorp, Inc.(b)

    205,800      3,671,472

Northern Trust Corp.

    73,500      5,039,895

SVB Financial Group(a)

    78,400      3,771,824

UMB Financial Corp.

    70,500      3,614,535
         
        29,559,698
         

Beverages & Bottling — 0.5%

      

Molson Coors Brewing Co. - Class B

    82,320      4,472,446
         

Broadcasting — 0.2%

      

Sinclair Broadcast Group, Inc. - Class A

    276,200      2,099,120
         

Business Services — 2.3%

      

Apollo Group, Inc. - Class A

    38,100      1,686,306

The Dun & Bradstreet Corp.

    82,200      7,204,008

FTI Consulting, Inc.(a)

    143,800      9,844,548

ITT Educational Services, Inc.(a)

    30,600      2,528,478
         
        21,263,340
         

Chemicals — 1.5%

      

Celanese Corp. - Series A

    185,900      8,488,194

CF Industries Holdings, Inc.

    38,300      5,852,240
         
        14,340,434
         

Computer & Office Equipment — 0.5%

      

Western Digital Corp.

    147,200      5,082,816
         

Computer Software & Services — 6.9%

      

Ariba, Inc.

    416,800      6,131,128

BMC Software, Inc.(a)

    174,400      6,278,400

Citrix Systems, Inc.(a)

    123,100      3,620,371

Ingram Micro, Inc. - Class A(a)

    200,900      3,565,975

McAfee, Inc.(a)

    153,400      5,220,202

priceline.com, Inc.(a)(b)

    60,200      6,950,692

Quest Software, Inc.(a)

    375,900      5,567,079

Salesforce.Com, Inc.(a)

    105,400      7,191,442

Seagate Technology, Inc.(b)

    248,900      4,761,457

Sybase, Inc.(a)

    163,800      4,818,996

SYNNEX Corp.(a)

    91,600      2,298,244

VeriSign, Inc.(a)(b)

    210,600      7,960,680
         
        64,364,666
         

Containers — 1.4%

      

Ball Corp.

    90,900      4,339,566

Crown Holdings, Inc.(a)

    217,200      5,645,028

Owens-Illinois, Inc.(a)

    73,900      3,080,891
         
        13,065,485
         

Electronics — 3.0%

      

Amphenol Corp.

    164,300      7,373,784

Flextronics International Ltd.(a)

    603,400      5,671,960

GrafTech International Ltd.(a)

    436,200      11,703,246

Molex, Inc.

    137,200      3,349,052
         
        28,098,042
         

Energy & Utilities — 6.1%

      

Airgas, Inc.

    138,100      8,063,659

DPL, Inc.(b)

    187,700      4,951,526

Edison International

    132,000      6,782,160

MDU Resources Group, Inc.

    204,400      7,125,384

Mirant Corp.(a)(b)

    198,300      7,763,445

PPL Corp.

    104,000      5,436,080

Questar Corp.

    153,500      10,904,640

Sempra Energy(b)

    117,700      6,644,165
         
        57,671,059
         

Entertainment & Leisure — 1.4%

      

Gaylord Entertainment Co.(b)

    91,400      2,189,944

Liberty Media Corp. - Entertainment - Series A(a)

    183,700      4,451,051

WMS Industries, Inc.(a)(b)

    202,600      6,031,402
         
        12,672,397
         

Finance — 1.6%

      

Invesco Ltd.

    299,800      7,189,204

Investment Technology Group, Inc.(a)(b)

    117,900      3,944,934

Knight Capital Group, Inc.(a)

    235,100      4,227,098
         
        15,361,236
         

Food & Agriculture — 1.6%

      

Flowers Foods, Inc.

    145,000      4,109,300

The Mosaic Co.(a)

    74,100      10,722,270
         
        14,831,570
         

Insurance — 3.7%

      

Aon Corp.

    128,100      5,884,914

Assurant, Inc.

    57,800      3,812,488

AXIS Capital Holdings Ltd.

    111,300      3,317,853

Reinsurance Group of America, Inc.

    115,900      5,043,968

RenaissanceRe Holdings Ltd.

    69,400      3,100,098

Solera Holdings, Inc.(a)

    153,900      4,256,874

Torchmark Corp.

    89,900      5,272,635

Unum Group

    209,300      4,280,185
         
        34,969,015
         

Machinery & Heavy Equipment — 3.2%

      

Flowserve Corp.

    71,700      9,801,390

Joy Global, Inc.

    88,200      6,688,206

Lufkin Industries, Inc.

    52,500      4,372,200

Wabtec Corp.

    180,800      8,790,496
         
        29,652,292
         

Manufacturing — 5.2%

      

Actuant Corp. - Class A

    177,800      5,574,030

Commercial Metals Co.

    112,900      4,256,330

Cummins, Inc.

    92,500      6,060,600

Gardner Denver, Inc.(a)

    150,000      8,520,000

Greif, Inc.

    108,500      6,947,255

Guess?, Inc.(b)

    149,900      5,613,755

VF Corp.

    48,800      3,473,584

Watson Wyatt Worldwide, Inc.

    158,300      8,372,487
         
        48,818,041
         

Medical & Medical Services — 1.3%

      

DaVita, Inc.

    101,500      5,392,695

Millipore Corp.(a)

    102,600      6,962,436
         
        12,355,131
         

Medical Instruments & Supplies — 3.6%

      

Beckman Coulter, Inc.

    71,500      4,828,395

 

         JUNE 30, 2008    27

Schedule of Investments (continued)    U.S. Opportunities Portfolio
   (Percentages shown are based on Net Assets)

 

     Shares    Value

Common Stocks

      

Medical Instruments & Supplies (Continued)

      

Becton, Dickinson & Co.

    81,800    $ 6,650,340

C.R. Bard, Inc.

    56,100      4,933,995

Charles River Laboratories International, Inc.(a)

    112,200      7,171,824

Immucor, Inc.(a)

    184,300      4,769,684

Varian Medical Systems, Inc.(a)

    95,800      4,967,230
         
        33,321,468
         

Metal & Mining — 6.3%

      

Arch Coal, Inc.

    124,800      9,363,744

CONSOL Energy, Inc.

    159,400      17,911,778

Kinross Gold Corp.

    407,600      9,623,436

Pan American Silver Corp.(a)

    118,900      4,111,562

Reliance Steel & Aluminum Co.

    76,700      5,912,803

Schnitzer Steel Industries, Inc. - Class A

    66,200      7,586,520

Yamana Gold, Inc.

    290,500      4,804,870
         
        59,314,713
         

Oil & Gas — 12.1%

      

AGL Resources, Inc.

    108,900      3,765,762

Atwood Oceanics, Inc.(a)

    37,300      4,637,882

Bill Barrett Corp.(a)(b)

    91,458      5,433,520

Chesapeake Energy Corp.

    186,800      12,321,328

Forest Oil Corp.(a)

    76,400      5,691,800

Helmerich & Payne, Inc.

    58,200      4,191,564

Hercules Offshore, Inc.(a)

    108,100      4,109,962

Layne Christensen Co.(a)

    85,900      3,761,561

Mariner Energy, Inc.(a)

    131,100      4,846,767

Nabors Industries Ltd.(a)(b)

    54,200      2,668,266

Newfield Exploration Co.(a)

    152,500      9,950,625

Noble Energy, Inc.

    50,800      5,108,448

Oil States International, Inc.(a)

    89,000      5,646,160

Petrohawk Energy Corp.(a)(b)

    368,200      17,051,342

Petroleum Development Corp.(a)

    57,800      3,843,122

Pioneer Natural Resources Co.

    71,000      5,557,880

Pride International, Inc.(a)

    100,300      4,743,187

Suburban Propane Partners LP(b)

    72,700      2,779,321

Willbros Group, Inc.(a)(b)

    159,200      6,974,552
         
        113,083,049
         

Pharmaceuticals — 2.0%

      

Alexion Pharmaceuticals, Inc.

    86,000      6,235,000

Auxilium Pharmaceuticals, Inc.(a)

    143,400      4,821,108

Celgene Corp.(a)

    40,445      2,583,222

Vertex Pharmaceuticals, Inc.(a)

    153,300      5,130,951
         
        18,770,281
         

Railroad & Shipping — 1.0%

      

Genesee & Wyoming, Inc. - Class A

    124,000      4,218,480

Kansas City Southern(a)(b)

    126,400      5,560,336
         
        9,778,816
         

Real Estate — 1.0%

      

Boston Properties, Inc. (REIT)

    53,900      4,862,858

Taubman Centers, Inc. (REIT)(b)

    102,000      4,962,300
         
        9,825,158
         

Restaurants — 1.0%

      

Burger King Holdings, Inc.

    176,800      4,736,472

Darling International, Inc.(a)

    280,000      4,625,600
         
        9,362,072
         

Retail Merchandising — 2.7%

      

Hanesbrands, Inc.(b)

    153,600      4,168,704

Jarden Corp.(a)(b)

    206,900      3,773,856

Nordstrom, Inc.(b)

    175,300      5,311,590

Ross Stores, Inc.

    205,100      7,285,152

Saks, Inc.(a)

    292,000      3,206,160

SUPERVALU, Inc.

    57,200      1,766,908
         
        25,512,370
         

Security Brokers & Dealers — 0.8%

      

Waddell & Reed Financial, Inc.

    204,500      7,159,545
         

Semiconductors & Related Devices — 3.1%

      

Altera Corp.

    173,500      3,591,450

Analog Devices, Inc.

    177,900      5,651,883

Cavium Networks, Inc.(a)(b)

    37,500      787,500

Hittite Microwave Corp.(a)

    129,000      4,594,980

Microsemi Corp.(a)

    12,283      309,286

Netlogic Microsystems, Inc.(a)(b)

    145,700      4,837,240

PMC-Sierra, Inc.(a)

    706,700      5,406,255

Varian Semiconductor Equipment Associates, Inc.(a)(b)

    106,200      3,697,884
         
        28,876,478
         

Telecommunications — 3.4%

      

American Tower Corp. - Class A

    121,300      5,124,925

Ciena Corp.(a)

    93,700      2,171,029

Cincinnati Bell, Inc.(a)

    849,600      3,381,408

Harris Corp.

    109,600      5,533,704

JDS Uniphase Corp.(a)(b)

    225,600      2,562,816

SBA Communications Corp.(a)(b)

    178,600      6,431,386

Syniverse Holdings, Inc.(a)

    191,500      3,102,300

Tekelec(a)

    243,200      3,577,472
         
        31,885,040
         

Tires & Rubber — 1.3%

      

The Goodyear Tire & Rubber Co.

    270,600      4,824,798

Titan International, Inc.

    204,100      7,270,042
         
        12,094,840
         

Transportation — 1.2%

      

C.H. Robinson Worldwide, Inc.

    97,200      5,330,448

Landstar System, Inc.

    108,900      6,013,458
         
        11,343,906
         

Waste Management — 1.5%

      

Metalico, Inc.(b)

    454,868      7,969,287

Republic Services, Inc.

    210,300      6,245,910
         
        14,215,197
         

Total Common Stocks
(Cost — $735,849,486) — 86.6%

         812,067,337
         

Exchange-Traded Funds

      

iShares Dow Jones U.S. Real Estate Index Fund(b)

    392,200      23,904,589

SPDR S&P Homebuilders(b)

    54,000      887,220

SPDR S&P Retail(b)

    173,700      5,078,988

Vanguard Consumer Discretionary

    64,400      2,900,576
         

Total Exchange-Traded Funds
(Cost — $35,024,740) — 3.5%

         32,771,373
         

 

28        JUNE 30, 2008     

Schedule of Investments (concluded)   

U.S. Opportunities Portfolio

   (Percentages shown are based on Net Assets)

 

     Shares    Value  

Short-Term Investments

      

BlackRock Liquidity Series, LLC Money Market Series, 2.70%(c)(d)(e)

    138,958,300    $ 138,958,300  

Galileo Money Market Fund, 2.32%(e)

    86,037,300      86,037,300  
           

Total Short-Term Investments
(Cost — $224,995,600) — 24.0%

         224,995,600  
           

Total Investments
(Cost — $995,869,826*) — 114.1%

         1,069,834,310  

Obligation to Return Securities Lending Collateral — (14.8)%

         (138,958,300 )

Other Assets in Excess of Liabilities — 0.7%

         6,640,112  
           

Net Assets — 100.0%

       $ 937,516,122  
           

 

* The cost and unrealized appreciation (depreciation) of investments as of June 30, 2008, as computed for federal income tax purposes, were as follows:

 

Aggregate cost

    $ 996,457,426  
        

Gross unrealized appreciation

    $ 109,670,259  

Gross unrealized depreciation

      (36,293,375 )
        

Net unrealized appreciation

    $ 73,376,884  
        

 

(a) Non-income producing security.

 

(b) Security, or a portion of security, is on loan.

 

(c) Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

 

Affiliate

    Net
Activity		    Interest
Income

BlackRock Liquidity Series, LLC Money Market Series

    $ 138,958,300    $ 446,031

 

(d) Security purchased with the cash proceeds from securities loans.

 

(e) Represents current yield as of report date.

 

•  

Cash of $3,150,000 pledged as collateral in connection with open financial futures contracts.

Financial futures contracts purchased as of June 30, 2008 were as follows:

 

Contracts

   

Issue

   

Expiration

Date

    Notional
Amount		    Unrealized
Depreciation		  

655

    E-Mini Russell 2000    September 2008    $ 45,306,350    $ (2,605,334 )

 

•  

For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

         JUNE 30, 2008    29

Schedule of Investments June 30, 2008 (Unaudited)   

Global Opportunities Portfolio

   (Percentages shown are based on Net Assets)

 

      Shares    Value

Common Stocks

      

Australia — 1.6%

      

Metal & Mining — 0.7%

      

BHP Billiton Ltd. - ADR

    10,000    $ 851,900
         

Oil & Gas — 0.9%

      

Oil Search Ltd.

    157,500      1,027,653
         

Total Australia

         1,879,553
         

Belgium — 0.7%

      

Telecommunications — 0.7%

      

Belgacom SA

    18,300      785,104
         

Bermuda — 0.6%

      

Oil & Gas — 0.6%

      

Seadrill Ltd.

    23,000      702,031
         

Brazil — 2.8%

      

Banks — 0.9%

      

Banco Industrial e Comercial SA

    57,900      299,775

Unibanco SA - ADR

    6,200      786,966
         
        1,086,741
         

Energy & Utilities — 0.5%

      

Companhia Energetica de Minas Gerais- CEMIG - ADR

    25,049      614,953
         

Paper & Forest Products — 0.5%

      

Aracruz Celulose SA - ADR

    8,700      638,493
         

Real Estate — 0.3%

      

PDG Realty SA Empreendimentos e Participacoes

    24,300      346,970
         

Telecommunications — 0.6%

      

Bovespa Holding SA

    15,400      190,206

GVT Holding SA(a)

    21,400      519,949
         
        710,155
         

Total Brazil

         3,397,312
         

Canada — 3.3%

      

Metal & Mining — 1.7%

      

Barrick Gold Corp.

    22,100      1,005,550

Kinross Gold Corp.

    40,400      954,830
         
        1,960,380
         

Oil & Gas — 1.3%

      

EnCana Corp.

    7,900      723,295

Nexen, Inc.

    20,600      821,414
         
        1,544,709
         

Retail Merchandising — 0.3%

      

Shoppers Drug Mart Corp.

    7,300      400,115
         

Total Canada

         3,905,204
         

Chile — 0.1%

      

Banks — 0.1%

      

Banco Santander Chile SA - ADR

    4,000      172,040
         

China — 0.5%

      

Computer Software & Services — 0.5%

      

Sina Corp.

    15,400      655,270
         

Denmark — 0.8%

      

Energy & Utilities — 0.8%

      

Vestas Wind Systems A/S

    7,600      989,497
         

Finland — 0.3%

      

Manufacturing — 0.3%

      

Wartsila Oyj - Series B

    6,700      418,366
         

France — 2.4%

      

Banks — 0.2%

      

BNP Paribas SA

    2,600      234,045
         

Beverages & Bottling — 0.6%

      

LVMH Moet Hennessy Louis Vuitton SA

    6,800      709,356
         

Entertainment & Leisure — 0.3%

      

Vivendi Universal SA

    8,900      335,587
         

Insurance — 0.3%

      

AXA SA

    10,900      321,178
         

Oil & Gas — 0.6%

      

Total SA

    8,300      706,484
         

Telecommunications — 0.4%

      

France Telecom SA

    17,400      510,292
         

Total France

         2,816,942
         

Germany — 2.0%

      

Manufacturing — 0.6%

      

Adidas-Salomon AG

    11,800      743,081
         

Medical Instruments & Supplies — 0.5%

      

Fresenius Medical Care AG & Co. KGgA

    11,500      633,617
         

Oil & Gas — 0.6%

      

Linde AG

    4,600      646,119
         

Security Brokers & Dealers — 0.3%

      

Deutsche Boerse AG

    3,200      361,730
         

Total Germany

         2,384,547
         

Greece — 0.4%

      

Banks — 0.4%

      

National Bank of Greece SA

    9,640      433,867
         

Hong Kong — 2.5%

      

Entertainment & Leisure — 0.5%

      

The Hongkong & Shanghai Hotels Ltd.

    406,000      614,258
         

Real Estate — 1.2%

      

Kerry Properties Ltd.

    89,900      472,792

New World Development Co. Ltd.

    145,900      298,013

Sun Hung Kai Properties Ltd.

    45,000      611,733
         
        1,382,538
         

Retail Merchandising — 0.4%

      

Esprit Holdings Ltd.

    50,400      524,791
         

Telecommunications — 0.4%

      

China Mobile Ltd.

    32,700      438,927
         

Total Hong Kong

         2,960,514
         

Italy — 0.5%

      

Telecommunications — 0.5%

      

Enel SpA

    60,100      570,134
         

Japan — 7.0%

      

Banks — 1.1%

      

Gunma Bank Ltd.

    57,000      379,996

Mizuho Financial Group, Inc.

    100      465,284

The Sumitomo Industries Ltd.

    74,400      519,767
         
        1,365,047
         

Computer Software & Services — 0.9%

      

Nintendo Co. Ltd.

    1,800      1,020,732
         

Electronics — 1.5%

      

Fanuc Ltd.

    6,500      635,682

 

30

        JUNE 30, 2008     

Schedule of Investments (continued)   

Global Opportunities Portfolio

   (Percentages shown are based on Net Assets)

 

      Shares    Value

Common Stocks

      

Japan (Continued)

      

Electronics (Continued)

      

NGK Insulators Ltd.

    43,800    $ 853,909

Star Micronics Co. Ltd.

    16,000      252,293
         
        1,741,884
         

Energy & Utilities — 1.1%

      

Kurita Water Industries Ltd.

    34,000      1,261,524
         

Machinery & Heavy Equipment — 0.5%

      

Daikin Industries Ltd.

    13,100      662,373
         

Manufacturing — 0.8%

      

Daihatsu Motor Co. Ltd.

    30,000      343,996

Mitsubishi Electric Corp.

    59,000      638,136
         
        982,132
         

Retail Merchandising — 0.4%

      

ITOCHU Corp.

    44,300      472,316
         

Transportation — 0.7%

      

Mitsui OSK Lines Ltd.

    55,700      794,392
         

Total Japan

         8,300,400
         

Malaysia — 0.9%

      

Banks — 0.3%

      

Alliance Financial Group Bhd

    495,900      420,803
         

Telecommunications — 0.6%

      

Telekom Malaysia Bhd

    234,200      228,370

TM International Bhd(a)

    234,200      440,805
         
        669,175
         

Total Malaysia

         1,089,978
         

Mexico — 0.8%

      

Beverages & Bottling — 0.8%

      

Fomento Economico Mexicano S.A.B. de C.V. - ADR

    22,000      1,001,220
         

Netherlands — 0.4%

      

Beverages & Bottling — 0.4%

      

Heineken Holding NV

    9,400      430,242
         

Norway — 0.8%

      

Chemicals — 0.8%

      

Yara International ASA

    10,900      962,640
         

Russia — 0.5%

      

Oil & Gas — 0.5%

      

Gazprom, Inc.- ADR

    11,000      638,000
         

Singapore — 0.5%

      

Banks — 0.5%

      

United Overseas Bank Ltd.

    43,400      595,808
         

South Africa — 0.4%

      

Telecommunications — 0.4%

      

Naspers Ltd.

    20,400      443,826
         

South Korea — 1.3%

      

Electronics — 1.1%

      

LG Electronics, Inc.

    3,900      441,022

Samsung Electronics Co. Ltd.

    1,400      836,414
         
        1,277,436
         

Security Brokers & Dealers — 0.2%

      

Korea Investment Holdings Co. Ltd.

    5,768      230,579
         

Total South Korea

         1,508,015
         

Spain — 0.2%

      

Banks — 0.2%

      

Banco Bilbao Vizcaya Argentaria SA

    11,500      219,119
         

Sweden — 0.3%

      

Banks — 0.3%

      

Nordea Bank AB

    27,700      379,560
         

Switzerland — 2.9%

      

Banks — 0.4%

      

Julius Baer Holding Ltd.

    7,300      489,559
         

Chemicals — 0.7%

      

Syngenta AG

    2,500      809,932
         

Food & Agriculture — 0.9%

      

Nestle SA

    25,000      1,126,617
         

Pharmaceuticals — 0.9%

      

Novartis AG - ADR

    11,100      610,944

Roche Holding AG

    2,500      449,431
         
        1,060,375
         

Total Switzerland

         3,486,483
         

Taiwan — 2.3%

      

Chemicals — 0.8%

      

Taiwan Fertilizer Co. Ltd.

    269,300      1,009,610
         

Computer & Office Equipment — 0.9%

      

ASUSTek Computer, Inc.

    181,000      491,631

High Tech Computer Corp.

    23,700      529,693
         
        1,021,324
         

Telecommunications — 0.6%

      

Taiwan Mobile Co. Ltd.

    368,619      684,758
         

Total Taiwan

         2,715,692
         

Thailand — 0.3%

      

Banks — 0.3%

      

Bangkok Bank Public Co. Ltd.

    115,100      413,625
         

United Kingdom — 5.1%

      

Banks — 0.2%

      

HSBC Holdings Plc

    15,200      234,042
         

Construction — 0.5%

      

AMEC Plc

    35,000      616,743
         

Energy & Utilities — 1.4%

      

British Energy Group Plc

    66,700      938,336

International Power Plc

    77,100      660,491
         
        1,598,827
         

Finance — 0.4%

      

ICAP Plc

    45,600      488,432
         

Insurance — 0.2%

      

Prudential Plc

    23,400      246,817
         

Metal & Mining — 0.7%

      

Rio Tinto Plc - ADR

    1,700      841,500
         

Oil & Gas — 0.6%

      

BP Plc

    61,200      709,343
         

Telecommunications — 0.7%

      

Vodafone Group Plc

    195,100      574,825

Vodafone Group Plc - ADR

    9,800      288,708
         
        863,533
         

 

         JUNE 30, 2008    31

Schedule of Investments (continued)   

Global Opportunities Portfolio

   (Percentages shown are based on Net Assets)

 

     Shares    Value

Common Stocks

      

United Kingdom (Continued)

      

Transportation — 0.4%

      

Arriva Plc

    31,700    $ 430,494
         

Total United Kingdom

         6,029,731
         

United States — 47.2%

      

Banks — 2.0%

      

Dime Community Bancshares

    28,000      462,280

Hudson City Bancorp, Inc.

    24,700      411,996

JPMorgan Chase & Co.

    13,100      449,461

KBW Bank Corp.

    18,000      515,700

U.S. Bancorp

    8,700      242,643

Wells Fargo & Co.

    13,100      311,125
         
        2,393,205
         

Beverages & Bottling — 1.0%

      

Anheuser-Busch Cos., Inc.

    9,700      602,564

Molson Coors Brewing Co. - Class B

    10,600      575,898
         
        1,178,462
         

Business Services — 0.3%

      

FTI Consulting, Inc.

    5,400      369,684
         

Chemicals — 0.7%

      

Celanese Corp. - Series A

    17,400      794,484
         

Computer & Office Equipment — 1.9%

      

Apple, Inc.

    1,700      284,648

Cisco Systems, Inc.(a)

    32,000      744,320

Hewlett-Packard Co.

    10,600      468,626

International Business Machines Corp.

    6,300      746,739
         
        2,244,333
         

Computer Software & Services — 1.8%

      

EMC Corp.

    46,800      687,492

Microsoft Corp.

    25,900      712,509

Oracle Corp.(a)

    33,400      701,400
         
        2,101,401
         

Electronics — 2.3%

      

Flextronics International Ltd.

    82,300      773,620

GrafTech International Ltd.(a)

    43,500      1,167,105

Intel Corp.

    39,400      846,312
         
        2,787,037
         

Energy & Utilities — 1.7%

      

American Electric Power Co., Inc.

    14,400      579,312

FPL Group, Inc.

    6,700      439,386

PPL Corp.

    10,900      569,743

Public Service Enterprise Group, Inc.

    10,900      500,637
         
        2,089,078
         

Finance — 0.2%

      

The Goldman Sachs Group, Inc.

    1,500      262,350
         

Food & Agriculture — 1.3%

      

H.J. Heinz Co.

    13,400      641,190

Kellogg Co.

    19,400      931,588
         
        1,572,778
         

Insurance — 2.0%

      

ACE Ltd.

    8,700      479,283

Aon Corp.

    12,000      551,280

Reinsurance Group of America, Inc.

    12,900      561,408

Travelers Cos., Inc.

    9,100      394,940

Willis Group Holdings Ltd.

    13,000      407,810
         
        2,394,721
         

Machinery & Heavy Equipment — 2.4%

      

Flowserve Corp.

    6,100      833,870

Joy Global, Inc.

    10,900      826,547

Wabtec Corp.

    24,700      1,200,914
         
        2,861,331
         

Manufacturing — 2.8%

      

Corning, Inc.

    41,100      947,355

Cummins, Inc.

    12,300      805,896

NIKE, Inc. - Class B

    14,100      840,501

Nucor Corp.

    10,200      761,634
         
        3,355,386
         

Medical & Medical Services — 0.7%

      

Baxter International, Inc.

    14,000      895,160
         

Medical Instruments & Supplies — 3.4%

      

Alcon, Inc.

    4,000      651,160

Becton, Dickinson & Co.

    11,100      902,430

C.R. Bard, Inc.

    6,300      554,085

Johnson & Johnson

    11,500      739,910

Medtronic, Inc.

    24,300      1,257,525
         
        4,105,110
         

Metal & Mining — 5.3%

      

Arch Coal, Inc.

    12,000      900,360

Freeport-McMoRan Copper & Gold, Inc. - Class B

    10,000      1,171,900

Pan American Silver Corp.(a)

    14,900      515,242

Peabody Energy Corp.

    13,500      1,188,675

Reliance Steel & Aluminum Co.

    10,200      786,318

Schnitzer Steel Industries, Inc. - Class A

    8,700      997,020

Southern Copper Corp.

    7,100      757,073
         
        6,316,588
         

Oil & Gas — 8.2%

      

Chesapeake Energy Corp.

    13,000      857,480

Chevron Corp.

    5,700      565,041

Forest Oil Corp.(a)

    11,400      849,300

Halliburton Co.

    9,600      509,472

Helmerich & Payne, Inc.

    7,800      561,756

Nabors Industries Ltd.(a)

    7,300      359,379

Newfield Exploration Co.(a)

    14,400      939,600

Occidental Petroleum Corp.

    6,500      584,090

Petrohawk Energy Corp.(a)

    30,000      1,389,300

Petroleum Development Corp.(a)

    7,800      518,622

Pioneer Natural Resources Co.

    10,800      845,424

Pride International, Inc.(a)

    21,000      993,090

Ultra Petroleum Corp.(a)

    8,000      785,600
         
        9,758,154
         

Pharmaceuticals — 2.5%

      

Genentech, Inc.

    14,100      1,070,190

Genzyme Corp.(a)

    9,100      655,382

Gilead Sciences, Inc.(a)

    24,400      1,291,980
         
        3,017,552
         

Railroad & Shipping — 1.3%

      

Genesee & Wyoming, Inc. - Class A

    20,300      690,606

 

32        JUNE 30, 2008     

Schedule of Investments (concluded)   

Global Opportunities Portfolio

   (Percentages shown are based on Net Assets)

 

     Shares    Value

Common Stocks

      

United States (Continued)

      

Railroad & Shipping (Continued)

      

Norfolk Southern Corp.

    13,000    $ 814,710
         
        1,505,316
         

Restaurants — 1.1%

      

Darling International, Inc.

    34,100      563,332

Yum! Brands, Inc.

    20,600      722,854
         
        1,286,186
         

Retail Merchandising — 1.1%

      

CVS Caremark Corp.

    19,300      763,701

Wal-Mart Stores, Inc.

    8,900      500,180
         
        1,263,881
         

Semiconductors & Related Devices — 0.5%

      

Analog Devices, Inc.

    18,800      597,276
         

Soaps & Cosmetics — 0.4%

      

Colgate-Palmolive Co.

    7,700      532,070
         

Telecommunications — 1.1%

      

QUALCOMM, Inc.

    20,400      905,148

Research In Motion Ltd.(a)

    3,400      397,460
         
        1,302,608
         

Tires & Rubber — 0.9%

      

Titan International, Inc.

    29,300      1,043,666
         

Tobacco — 0.3%

      

Philip Morris International, Inc.

    6,200      306,218
         

Total United States

         56,334,035
         

Total Common Stocks
(Cost — $99,950,146) — 89.4%

         106,618,755
         

Exchange-Traded Funds

      

iShares Dow Jones U.S. Consumer Services Sector Index Fund

    17,700      968,190

iShares Dow Jones U.S. Real Estate Index Fund

    19,100      1,164,145
         

Total Exchange-Traded Funds
(Cost $2,246,529) — 1.8%

         2,132,335
         

Short-Term Investment

      

Galileo Money Market Fund, 2.32%(b)

      

(Cost — $9,243,510) — 7.8%

    9,243,510      9,243,510
         

Total Investments
(Cost — $111,440,185*) — 99.0%

         117,994,600

Other Assets in Excess of Liabilities — 1.0%

         1,235,342
         

Net Assets — 100.0%

       $ 119,229,942
         

 

* The cost and unrealized appreciation (depreciation) of investments as of June 30, 2008, as computed for federal income tax purposes, were as follows:

 

Aggregate cost

    $ 111,542,608  
        

Gross unrealized appreciation

    $ 12,090,160  

Gross unrealized depreciation

      (5,638,168 )
        

Net unrealized appreciation

    $ 6,451,992  
        

 

(a) Non-income producing security.

 

(b) Represents current yield as of report date.

 

•  

Forward foreign exchange contracts purchased as of June 30, 2008 were as follows:

 

Foreign Currency Purchased

         Settlement
Date		    Unrealized
Appreciation
(Depreciation)		  

CAD

    121,000    07/02/08    $ (1,117 )

CAD

    210,000    07/03/08      (1,175 )

AUD

    2,835,000    07/23/08      113,041  

CAD

    3,635,000    07/23/08      (12,022 )

CHF

    663,000    07/23/08      7,699  

DKK

    2,426,000    07/23/08      786  

EUR

    5,657,000    07/23/08      49,219  

GBP

    2,212,500    07/23/08      81,878  

HKD

    8,121,000    07/23/08      (2,862 )

JPY

    408,731,500    07/23/08      (209,842 )

NOK

    2,358,000    07/23/08      3,743  

PLN

    1,000,000    07/23/08      6,808  

SEK

    7,942,000    07/23/08      (17,104 )

ZAR

    2,463,000    07/23/08      5,148  
              

Total Net Unrealized Appreciation on Forward Foreign Exchange Contracts
(USD Commitment — $28,483,443)

       $ 24,200  
              

 

•  

Forward foreign exchange contracts sold as of June 30, 2008 were as follows:

 

Foreign Currency Sold

         Settlement
Date		    Unrealized
Appreciation
(Depreciation)		  

JPY

    350,000    07/01/08    $ —    

EUR

    14,000    07/02/08      48  

GBP

    5,000    07/02/08      18  

JPY

    310,000    07/02/08      11  

CAD

    1,296,500    07/23/08      24,478  

CHF

    1,526,000    07/23/08      12,658  

DKK

    4,476,000    07/23/08      (15,876 )

EUR

    755,000    07/23/08      (19,708 )

GBP

    749,000    07/23/08      (17,201 )

JPY

    202,153,000    07/23/08      25,305  

NOK

    5,493,000    07/23/08      17,853  

SEK

    2,562,500    07/23/08      (2,420 )

ZAR

    2,718,500    07/23/08      11,941  
              

Total Net Unrealized Appreciation on Forward Foreign Exchange Contracts
(USD Commitment — $10,213,677)

       $ 37,107  
              

 

•  

For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

         JUNE 30, 2008    33

Schedule of Investments June 30, 2008 (Unaudited)   

International Opportunities Portfolio

   (Percentages shown are based on Net Assets)

 

     Shares    Value

Common Stocks

      

Australia — 2.3%

      

Metal & Mining — 1.1%

      

BHP Billiton Ltd. - ADR

    118,500    $ 10,095,015

Sims Group Ltd.

    178,200      7,121,985
         
        17,217,000
         

Oil & Gas — 1.2%

      

Oil Search Ltd.

    2,949,000      19,224,060
         

Total Australia

         36,441,060
         

Belgium — 1.1%

      

Banks — 0.3%

      

KBC Groep NV

    42,200      4,686,157
         

Metal & Mining — 0.8%

      

Umicore

    249,880      12,353,548
         

Total Belgium

         17,039,705
         

Bermuda — 0.6%

      

Oil & Gas — 0.6%

      

Seadrill Ltd.

    302,800      9,259,621
         

Brazil — 4.0%

      

Banks — 1.0%

      

Banco Industrial e Comercial SA

    890,600      4,611,054

Unibanco SA - ADR

    92,200      11,702,946
         
        16,314,000
         

Energy & Utilities — 0.9%

      

Companhia Energetica de Minas Gerais- CEMIG - ADR(a)

    562,765      13,815,881
         

Paper & Forest Products — 0.7%

      

Aracruz Celulose SA - ADR

    60,000      4,403,400

Votorantim Celulose ADR

    254,300      6,792,353
         
        11,195,753
         

Real Estate — 0.5%

      

MRV Engenharia

    367,100      8,175,079
         

Telecommunications — 0.9%

      

GVT Holding SA

    300,700      7,306,010

Tele Norte Leste Participacoes SA - ADR

    285,000      7,099,350
         
        14,405,360
         

Total Brazil

         63,906,073
         

Canada — 6.1%

      

Manufacturing — 0.4%

      

Bombardier, Inc. - Class B

    868,900      6,314,160
         

Metal & Mining — 2.6%

      

Kinross Gold Corp.

    959,200      22,670,118

Yamana Gold, Inc.

    1,189,500      19,784,172
         
        42,454,290
         

Oil & Gas — 2.8%

      

Canadian Natural Resources Ltd.

    95,400      9,434,281

EnCana Corp.

    107,200      9,814,840

Husky Energy, Inc.

    150,900      7,224,613

Nexen, Inc.

    274,400      10,941,555

Suncor Energy, Inc.

    118,100      6,856,448
         
        44,271,737
         

Retail Merchandising — 0.3%

      

Shoppers Drug Mart Corp.

    96,100      5,267,264
         

Total Canada

         98,307,451
         

Chile — 0.2%

      

Banks — 0.2%

      

Banco Santander Chile SA - ADR

    88,800      3,819,288
         

Czech Republic — 0.3%

      

Banks — 0.3%

      

Komercni Banka AS

    16,700      3,885,935
         

Denmark — 1.9%

      

Energy & Utilities — 0.8%

      

Vestas Wind Systems AS

    98,000      12,827,767
         

Insurance — 0.4%

      

TrygVesta AS

    96,900      6,853,334
         

Retail Merchandising — 0.7%

      

FLSmidth & Co. AS

    100,800      11,066,165
         

Total Denmark

         30,747,266
         

France — 3.1%

      

Banks — 0.6%

      

BNP Paribas SA

    62,600      5,671,197

Societe Generale

    53,300      4,639,854
         
        10,311,051
         

Entertainment & Leisure — 0.6%

      

Ubisoft Entertainment

    109,400      9,599,241
         

Food & Agriculture — 0.5%

      

Casino Guichard-Perrachon SA

    73,200      8,298,013
         

Insurance — 0.5%

      

AXA SA

    240,700      7,147,404
         

Metal & Mining — 0.5%

      

Vallourec SA

    24,000      8,423,088
         

Oil & Gas — 0.4%

      

Total SA

    74,200      6,331,895
         

Total France

         50,110,692
         

Germany — 7.5%

      

Banks — 0.4%

      

ThyssenKrupp AG

    112,000      7,032,402
         

Chemicals — 0.6%

      

SGL Carbon AG

    135,400      9,505,756
         

Computer Software & Services — 0.6%

      

United Internet AG

    494,800      9,753,592
         

Construction — 0.6%

      

Bauer AG

    98,500      9,509,746
         

Durable Goods — 0.6%

      

Gerry Weber International AG

    289,200      9,115,760
         

Insurance — 0.7%

      

Hannover Rueckversicherung AG

    224,300      11,071,268
         

Manufacturing — 1.1%

      

Adidas-Salomon AG

    147,500      9,314,836

 

34

        JUNE 30, 2008     

Schedule of Investments (continued)   

International Opportunities Portfolio

   (Percentages shown are based on Net Assets)

 

     Shares    Value

Common Stocks

      

Germany (Continued)

      

Manufacturing (Continued)

      

K+S AG

    14,500    $ 8,362,487
         
        17,677,323
         

Medical & Medical Services — 0.6%

      

Rhoen Klinikum AG

    315,300      10,012,912
         

Medical Instruments & Supplies — 0.7%

      

Fresenius Medical Care AG & Co. KGgA

    201,300      11,095,999
         

Miscellaneous Services — 0.8%

      

GEA Group AG

    365,900      12,927,537
         

Security Brokers & Dealers — 0.1%

      

Deutsche Boerse AG

    19,700      2,223,593
         

Telecommunications — 0.5%

      

Deutsche Telekom AG

    449,200      7,355,355
         

Waste Management — 0.2%

      

Zhongde Waste Technology AG

    85,694      3,402,719
         

Total Germany

         120,683,962
         

Greece — 0.3%

      

Banks — 0.3%

      

National Bank of Greece SA

    114,420      5,155,872
         

Hong Kong — 2.2%

      

Chemicals — 0.6%

      

Huabao International Holdings Ltd.

    10,194,200      9,674,832
         

Finance — 0.3%

      

REXCAPITAL Financial Holdings Ltd.

    55,933,500      5,595,323
         

Manufacturing — 0.2%

      

Peace Mark Holdings Ltd.

    4,112,900      2,858,946
         

Real Estate — 1.1%

      

New World Development Co. Ltd.

    3,155,700      6,426,947

Wheelock & Co. Ltd.

    4,002,900      10,729,502
         
        17,156,449
         

Total Hong Kong

         35,285,550
         

India — 1.4%

      

Beverages & Bottling — 0.2%

      

United Spirits Ltd.

    137,900      3,992,610
         

Chemicals — 0.5%

      

Tata Chemicals Ltd.

    1,111,900      7,414,389
         

Telecommunications — 0.7%

      

Bharti Tele-Ventures Ltd.

    638,457      10,702,780
         

Total India

         22,109,779
         

Indonesia — 0.7%

      

Metal & Mining — 0.7%

      

PT Bumi Resources Tbk

    12,814,000      11,396,399
         

Italy — 1.5%

      

Energy & Utilities — 1.5%

      

AEM SpA

    3,891,800      14,261,682

Terna Rete Elettrica Nazionale SpA

    2,292,200      9,708,124
         

Total Italy

         23,969,806
         

Japan — 12.2%

      

Banks — 2.1%

      

Bank of Kyoto Ltd.

    928,700      9,699,377

The Chiba Bank Ltd.

    1,347,500      9,441,446

The Iyo Bank Ltd.

    800,100      9,365,958

The Sumitomo Industries Ltd.

    822,600      5,748,168
         
        34,254,949
         

Chemicals — 1.3%

      

Nihon Nohyaku Co. Ltd.

    1,541,400      14,762,950

Nippon Carbon Co. Ltd.

    1,118,800      5,310,309
         
        20,073,259
         

Construction — 0.4%

      

Shinko Plantech Co. Ltd.

    414,200      6,405,014
         

Electronics — 2.1%

      

Hosiden Corp.

    737,300      15,692,405

NGK Insulators Ltd.

    502,200      9,766,379

Star Micronics Co. Ltd.

    469,300      7,380,807
         
        32,839,591
         

Energy & Utilities — 2.1%

      

Air Water, Inc.

    1,031,700      12,145,077

Kurita Water Industries Ltd.

    569,000      21,059,189
         
        33,204,266
         

Entertainment & Leisure — 0.7%

      

Shimano, Inc.

    224,500      11,268,870
         

Finance — 0.2%

      

Shinko Securities Co. Ltd.

    1,299,800      3,831,402
         

Machinery & Heavy Equipment — 0.4%

      

Mori Seiki Co. Ltd.

    383,300      6,465,040
         

Metal & Mining — 0.4%

      

Yamato Kogyo Co. Ltd.

    135,700      6,466,469
         

Retail Merchandising — 1.0%

      

Circle K Sunkus Co. Ltd.

    552,100      9,702,111

Tsuruha Holdings, Inc.

    196,700      6,446,447
         
        16,148,558
         

Transportation — 1.5%

      

Hino Motors Ltd.

    1,232,700      7,638,712

Kintetsu World Express, Inc.

    242,600      6,202,938

Mitsui OSK Lines Ltd.

    726,300      10,348,843
         
        24,190,493
         

Total Japan

         195,147,911
         

Kazakhstan — 0.4%

      

Oil & Gas — 0.4%

      

Kamunaigaz Exploration Production, Inc.

    208,500      6,505,200
         

Luxembourg — 1.5%

      

Electronics — 1.0%

      

ArcelorMittal

    168,300      16,640,804
         

Telecommunications — 0.5%

      

SES SA

    317,000      8,035,551
         

Total Luxembourg

         24,676,355
         

Malaysia — 0.5%

      

Entertainment & Leisure — 0.5%

      

Tanjong Plc

    1,723,300      7,225,466
         

Mexico — 1.3%

      

Beverages & Bottling — 0.8%

      

Fomento Economico Mexicano S.A.B. de C.V. - ADR

    289,000      13,152,390
         

 

         JUNE 30, 2008    35

Schedule of Investments (continued)   

International Opportunities Portfolio

   (Percentages shown are based on Net Assets)

 

     Shares    Value

Common Stocks

      

Mexico (Continued)

      

Telecommunications — 0.5%

      

America Movil S.A.B. de C.V. - Series L - ADR

    128,900    $ 6,799,475
         

Total Mexico

         19,951,865
         

Morocco — 0.3%

      

Food & Agriculture — 0.3%

      

Kuala Lumpur Kepong Bhd

    903,250      4,865,249
         

Netherlands — 1.2%

      

Beverages & Bottling — 0.3%

      

Heineken NV

    108,900      5,558,677
         

Construction — 0.6%

      

Koninklijke Boskalis Westminster NV

    187,800      10,068,001
         

Medical & Medical Services — 0.3%

      

Qiagen NV

    200,300      4,055,575
         

Total Netherlands

         19,682,253
         

Norway — 3.2%

      

Chemicals — 1.4%

      

Yara International ASA

    254,400      22,526,977
         

Oil & Gas — 0.6%

      

Fred Olsen Energy ASA

    157,700      9,567,522
         

Telecommunications — 0.5%

      

Telenor ASA

    450,000      8,464,227
         

Transportation — 0.7%

      

Songa Offshore ASA

    630,900      10,188,393
         

Total Norway

         50,747,119
         

Philippines — 0.4%

      

Telecommunications — 0.4%

      

Philippine Long Distance Telephone Co. - ADR

    129,600      6,923,232
         

Russia — 2.8%

      

Oil & Gas — 2.2%

      

Gazprom, Inc. - ADR

    112,200      6,507,600

Lukoil - ADR

    104,500      10,303,700

NovaTek OAO - ADR

    84,100      7,308,290

Rosneft Oil Co. - GDR

    982,700      11,399,320
         
        35,518,910
         

Telecommunications — 0.6%

      

Mobile Telesystems - ADR

    113,800      8,718,218
         

Total Russia

         44,237,128
         

Singapore — 0.6%

      

Real Estate — 0.4%

      

CapitaCommercial Trust Management Ltd.

    5,087,800      7,142,478
         

Retail Merchandising — 0.2%

      

Hongguo International Holdings Ltd.

    7,841,157      2,535,819
         

Total Singapore

         9,678,297
         

South Africa — 1.3%

      

Oil & Gas — 0.6%

      

Sasol Ltd. - ADR

    156,000      9,194,640
         

Telecommunications — 0.7%

      

MTN Group Ltd.

    336,800      5,355,249

Naspers Ltd.

    267,700      5,846,322
         
        11,201,571
         

Total South Africa

         20,396,211
         

South Korea — 2.3%

      

Banks — 0.5%

      

Pusan Bank

    539,200      7,216,481
         

Chemicals — 0.4%

      

LG Chemical Ltd.

    72,100      6,892,596
         

Electronics — 1.0%

      

LG Electronics, Inc.

    51,500      5,834,090

Samsung Electronics Co. Ltd.

    18,200      10,874,241
         
        16,708,331
         

Security Brokers & Dealers — 0.4%

      

Korea Investment Holdings Co. Ltd.

    163,900      6,557,254
         

Total South Korea

         37,374,662
         

Spain — 0.3%

      

Banks — 0.3%

      

Banco Bilbao Vizcaya Argentaria SA

    285,800      5,476,251
         

Sweden — 1.4%

      

Banks — 0.6%

      

Nordea Bank AB

    713,200      9,840,998
         

Soaps & Cosmetics — 0.8%

      

Oriflame Cosmetics SA

    183,054      11,778,168
         

Total Sweden

         21,619,166
         

Switzerland — 3.5%

      

Chemicals — 0.9%

      

Lonza Group AG

    105,000      14,564,632
         

Food & Agriculture — 0.7%

      

Nestle SA

    247,000      11,161,000
         

Insurance — 0.3%

      

Swiss Life Holding

    17,400      4,649,993
         

Machinery & Heavy Equipment — 0.5%

      

Meyer Burger Technology AG

    26,700      8,023,983
         

Pharmaceuticals — 0.5%

      

Novartis AG

    160,100      8,815,648
         

Retail Merchandising — 0.6%

      

Compagnie Financiere Richemont AG

    163,700      9,118,036
         

Total Switzerland

         56,333,292
         

Taiwan — 3.8%

      

Chemicals — 1.1%

      

Polaris Securities Co. Ltd.

    10,930,100      6,553,811

Taiwan Fertilizer Co. Ltd.

    3,122,700      11,728,257
         
        18,282,068
         

Computer & Office Equipment — 0.2%

      

High Tech Computer Corp.

    159,200      3,566,567
         

Computer Software & Services — 0.2%

      

GeoVision, Inc.

    491,000      2,766,152
         

Finance — 0.5%

      

Yuanta Financial Holding Co. Ltd.

    10,301,000      7,211,684
         

Semiconductors & Related Devices — 0.7%

      

Taiwan Semiconductor Manufacturing Co. Ltd. - ADR(b)

    780,300      8,513,073

Vanguard International Semiconductor Corp.

    3,176,038      2,328,167
         
        10,841,240
         

Telecommunications — 0.5%

      

Chunghwa Telecom Co. Ltd.

    3,248,000      8,400,092
         

 

36        JUNE 30, 2008     

Schedule of Investments (continued)   

International Opportunities Portfolio

   (Percentages shown are based on Net Assets)

 

     Shares    Value

Common Stocks

      

Taiwan (Continued)

      

Transportation — 0.6%

      

U-Ming Marine Transport Corp.

    3,510,224    $ 9,251,735
         

Total Taiwan

         60,319,538
         

Thailand — 1.1%

      

Banks — 0.6%

      

Siam Commercial Bank Public Co. Ltd.

    4,140,200      9,596,695
         

Metal & Mining — 0.5%

      

Banpu Public Co. Ltd.

    478,100      7,707,564
         

Total Thailand

         17,304,259
         

United Kingdom — 13.4%

      

Aerospace — 1.1%

      

Cobham Plc

    2,526,500      9,954,020

Meggitt Plc

    1,647,800      6,974,553
         
        16,928,573
         

Banks — 0.6%

      

HSBC Holdings Plc

    372,000      5,748,012

Standard Chartered Plc

    156,100      4,446,229
         
        10,194,241
         

Business Services — 0.9%

      

De La Rue Plc

    725,733      12,901,441

Intertek Group Plc

    88,200      1,735,715
         
        14,637,156
         

Construction — 0.5%

      

AMEC Plc

    444,846      7,885,925
         

Energy & Utilities — 0.9%

      

International Power Plc

    1,635,700      14,074,738
         

Entertainment & Leisure — 0.3%

      

InterContinental Hotels Group Plc

    313,304      4,199,851
         

Finance — 0.3%

      

ICAP Plc

    472,900      5,105,303
         

Food & Agriculture — 0.6%

      

Britvic Plc

    1,557,300      8,979,947
         

Insurance — 0.9%

      

Hiscox Ltd.

    1,828,300      7,574,670

Prudential Plc

    606,400      6,437,827
         
        14,012,497
         

Machinery & Heavy Equipment — 1.0%

      

VT Group Plc

    497,900      6,282,633

The Weir Group Plc

    530,300      9,907,803
         
        16,190,436
         

Manufacturing — 0.8%

      

Charter Plc

    724,600      12,549,339
         

Measuring & Controlling Devices — 0.7%

      

Rotork Plc

    529,312      11,565,683
         

Metal & Mining — 0.7%

      

Rio Tinto Plc - ADR

    21,200      10,494,000
         

Oil & Gas — 1.7%

      

BP Plc

    940,000      10,920,324

JKX Oil & Gas Plc

    673,800      7,039,299

Wellstream Holdings Plc

    358,900      9,293,295
         
        27,252,918
         

Publishing & Printing — 0.3%

      

United Business Media Plc

    517,200      5,619,610
         

Telecommunications — 0.5%

      

Vodafone Group Plc - ADR

    280,700      8,269,422
         

Tobacco — 0.5%

      

Imperial Tobacco Group Plc

    235,350      8,770,835
         

Transportation — 1.1%

      

Arriva Plc

    743,900      10,149,813

National Express Group Plc

    423,700      8,034,306
         
        18,184,119
         

Total United Kingdom

         214,914,593
         

United States — 2.5%

      

Insurance — 0.4%

      

Willis Group Holdings Ltd.

    170,100      5,336,037
         

Medical Instruments & Supplies — 0.5%

      

Alcon, Inc.

    50,100      8,155,779
         

Metal & Mining — 1.3%

      

Pan American Silver Corp.

    350,200      12,109,916

Southern Copper Corp.(a)

    84,900      9,052,887
         
        21,162,803
         

Telecommunications — 0.3%

      

Research In Motion Ltd.

    44,600      5,213,740
         

Total United States

         39,868,359
         

Total Common Stocks
(Cost — $1,251,529,141) — 87.2%

         1,395,364,865
         

Preferred Stock

      

Insurance — 0.2%

      

ING Groep NV

      

(Cost $4,752,059) — 0.2%

    129,100      4,117,077
         

Exchange-Traded Fund

      

Lyxor Dow Jones Stoxx 600 Banks

      

(Cost $6,524,259) — 0.4%

    125,000      5,868,785
         

Short-Term Investments

      

BlackRock Liquidity Series, LLC Money Market Series, 2.70%(c)(d)(e)

    16,381,000      16,381,000

Galileo Money Market Fund, 2.32%(e)

    174,372,090      174,372,090
         

Total Short-Term Investments
(Cost — $190,753,090) — 11.9%

         190,753,090
         

 

         JUNE 30, 2008    37

Schedule of Investments (concluded)   

International Opportunities Portfolio

   (Percentages shown are based on Net Assets)

 

     Value  

Total Investments
(Cost — $1,453,558,549*) — 99.7%

    $ 1,596,103,817  

Obligation to Return Securities Lending Collateral — (1.0)%

      (16,381,000 )

Other Assets in Excess of Liabilities — 1.3%

      21,030,912  
        

Net Assets — 100.0%

    $ 1,600,753,729  
        

 

* The cost and unrealized appreciation (depreciation) of investments as of June 30, 2008, as computed for federal income tax purposes, were as follows:

 

Aggregate cost

    $ 1,456,236,569  
        

Gross unrealized appreciation

    $ 221,917,324  

Gross unrealized depreciation

      (82,050,076 )
        

Net unrealized appreciation

    $ 139,867,248  
        

 

(a) Security, or a portion of security, is on loan.

 

(b) Non-income producing security.

 

(c) Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

 

Affiliate

    Net
Activity		    Interest
Income

BlackRock Liquidity Series, LLC Money Market Series

    $ 16,381,000    $ 43,257

 

(d) Security purchased with the cash proceeds from securities loans.

 

(e) Represents current yield as of report date.

 

•  

Forward foreign exchange contracts purchased as of June 30, 2008 were as follows:

 

Foreign Currency Purchased

         Settlement
Date		    Unrealized
Appreciation
(Depreciation)		  

CAD

    1,602,000    7/02/08    $ (14,790 )

CAD

    2,742,000    7/03/08      (15,340 )

AUD

    52,356,000    7/23/08      1,912,509  

CAD

    80,179,000    7/23/08      (814,650 )

CHF

    16,427,000    7/23/08      426,680  

EUR

    99,202,100    7/23/08      1,571,458  

GBP

    10,868,500    7/23/08      389,609  

HKD

    193,075,000    7/23/08      (68,045 )

JPY

    6,326,556,370    7/23/08      (1,825,761 )

NOK

    154,062,000    7/23/08      127,753  

PLN

    53,974,000    7/23/08      367,468  

SEK

    76,896,000    7/23/08      (165,590 )

SGD

    8,207,000    7/23/08      (56,588 )

ZAR

    86,232,000    7/23/08      180,227  
              

Total Net Unrealized Appreciation on Forward Foreign Exchange Contracts
(USD Commitment - $494,159,712)

       $ 2,014,940  
              

 

•  

Forward foreign exchange contracts sold as of June 30, 2008 were as follows:

 

Foreign Currency Sold

         Settlement
Date		    Unrealized
Appreciation
(Depreciation)		  

JPY

    17,670,000    7/01/08    $ (24 )

EUR

    2,162,000    7/02/08      7,446  

GBP

    766,000    7/02/08      2,732  

CAD

    48,283,500    7/23/08      704,735  

CHF

    25,410,000    7/23/08      (387,537 )

CZK

    66,378,200    7/23/08      (173,152 )

DKK

    72,736,500    7/23/08      (188,959 )

EUR

    40,941,500    7/23/08      (452,955 )

GBP

    20,628,000    7/23/08      (314,587 )

HKD

    19,613,500    7/23/08      1,525  

JPY

    1,831,539,000    7/23/08      77,727  

NOK

    330,473,500    7/23/08      1,053,639  

SEK

    30,201,500    7/23/08      (30,408 )

ZAR

    76,923,500    7/23/08      124,354  
              

Total Net Unrealized Appreciation on Forward Foreign Exchange Contracts
(USD Commitment - $302,441,516)

       $ 424,536  
              

 

•  

Cash of $10,086,496 pledged as collateral in connection with open financial futures contracts.

Financial futures contracts purchased as of June 30, 2008 were as follows:

 

Contracts

    Issue    Expiration
Date		    Notional Amount    Unrealized Depreciation  

740

    E-Mini MSCI EAFE    September 2008    $ 72,867,800    $ (2,957,247 )

 

•  

For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

38        JUNE 30, 2008     

Schedule of Investments June 30, 2008 (Unaudited)    (Percentages shown are based on Net Assets)

 

Common Stocks

    Shares    Value

Australia — 0.5%

      

Manufacturing — 0.2%

      

United Group Ltd.

    80,920    $ 954,939
         

Metal & Mining — 0.1%

      

Oxiana Ltd.

    105,692      266,476

Sims Group Ltd.

    8,800      351,703
         
        618,179
         

Oil & Gas — 0.1%

      

Oil Search Ltd.

    142,800      930,890
         

Retail Merchandising — 0.1%

      

Woolworths Ltd.

    33,144      776,864
         

Total Australia

         3,280,872
         

Belgium — 0.2%

      

Beverages & Bottling — 0.1%

      

Inbev NV

    7,909      548,901
         

Metal & Mining — 0.1%

      

Umicore

    11,900      588,311
         

Total Belgium

         1,137,212
         

Bermuda — 0.2%

      

Business Services — 0.0%

      

Genpact Ltd.

    15,500      231,260
         

Electronics — 0.1%

      

Tyco Electronics Ltd.

    11,250      402,975
         

Manufacturing — 0.1%

      

Tyco International Ltd.

    12,400      496,496
         

Medical & Medical Services — 0.0%

      

Covidien Ltd.

    5,130      245,676
         

Oil & Gas — 0.0%

      

Energy XXI Bermuda Ltd.

    7,755      53,664
         

Total Bermuda

         1,430,071
         

Brazil — 0.5%

      

Banks — 0.1%

      

Banco Industrial e Comercial SA

    42,500      220,042

Unibanco SA - ADR

    3,400      431,562
         
        651,604
         

Energy & Utilities — 0.1%

      

Companhia Energetica de Minas Gerais- CEMIG - ADR

    24,853      610,145
         

Oil & Gas — 0.1%

      

Petroleo Brasileiro SA - ADR

    11,200      793,296
         

Paper & Forest Products — 0.1%

      

Votorantim Celulose ADR

    15,300      408,663
         

Real Estate — 0.0%

      

MRV Engenharia

    15,100      336,267
         

Telecommunications — 0.1%

      

GVT Holding SA

    14,200      345,013

Tele Norte Leste Participacoes SA - ADR

    8,500      211,735
         
        556,748
         

Total Brazil

         3,356,723
         

Canada — 1.7%

      

Chemicals — 0.0%

      

Methanex Corp.

    8,400      221,842
         

Energy & Utilities — 0.0%

      

Epsilon Energy, Inc. (acquired 10/24/07, cost $23,600)(a)(b)

    5,900      46,288

Tanganyika Oil Co. Ltd.

    3,700      96,763
         
        143,051
         

Metal & Mining — 0.6%

      

Agnico-Eagle Mines Ltd.

    16,149      1,211,373

Alexco Resource Corp.(a)

    12,122      39,824

Aurora Energy Resources, Inc.(a)

    5,300      22,038

Baja Mining Corp.(a)

    59,300      78,508

Crosshair Exploration & Mining Corp.(a)

    5,600      4,393

Crosshair Exploration & Mining Corp. (acquired 04/04/08, cost $6,572)(a)(b)

    5,300      4,158

Denison Mines Corp.(a)

    4,700      41,068

European Goldfields Ltd.(a)

    12,100      56,483

Fording Canadian Coal Trust

    7      669

Frontier Pacific Mining Corp.(a)

    79,200      83,107

Gold Reserve, Inc.(a)

    26,280      47,304

Kinross Gold Corp.

    40,500      957,193

Minefinders Corp. Ltd.(a)(c)

    40,000      416,000

NovaGold Resources, Inc.(a)(c)

    16,792      125,100

Southwestern Resources Corp.(a)

    47,300      33,862

Sunridge Gold Corp.(a)

    146,757      122,334

Triex Minerals Corp.(a)

    9,900      8,350

Uranium One, Inc.(a)

    11,270      53,051

West Timmins Mining, Inc.(a)

    36,372      20,688

Yamana Gold, Inc.

    41,700      693,569
         
        4,019,072
         

Motor Vehicles — 0.1%

      

Westport Innovations, Inc.

    63,200      308,036

Westport Innovations, Inc. (acquired 01/31/05, cost $10,162)(a)(b)

    7,300      35,580
         
        343,616
         

Oil & Gas — 0.9%

      

Accrete Energy, Inc.

    4,960      28,893

Alberta Clipper Energy, Inc.(a)

    5,026      16,808

Bayou Bend Petroleum Ltd.(a)

    40,700      21,154

Canadian Superior Energy, Inc.(a)

    57,300      264,726

Canext Energy Ltd.(a)

    4,021      3,943

 

Portfolio Abbreviations

                    
To simplify the listings of Portfolio’s holdings in the Schedule of Investments, we have abbreviated certain descriptions according to the list on the right.    ADR    American Depository Receipts    LLC    Limited Liability Corporation
   AUD    Australian Dollar    LP    Limited Partnership
   CAD    Canadian Dollar    NOK    Norwegian Krone
   CHF    Swiss Francs    PLN    Polish Zloty
   DKK    Danish Krone    PO    Principal Only
   EUR    Euro    REIT    Real Estate Investment Trust
   GBP    British Pound    SEK    Swedish Krona
   HKD    Hong Kong Dollar    SGD    Singapore Dollar
   IO    Interest Only    TBA    To Be Announced
   JPY    Japanese Yen    ZAR    South African Rand

 

     BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008    1

Schedule of Investments (continued)    (Percentages shown are based on Net Assets)

 

Common Stocks

    Shares    Value

Canada (Continued)

      

Oil & Gas (Continued)

      

Cinch Energy Corp. (acquired 01/31/05 through 07/12/05, cost $69,404)(a)(b)

    40,320    $ 67,220

Compton Petroleum Corp.(a)

    68,499      869,925

Cork Exploration, Inc.(a)

    1,400      6,590

Crescent Point Energy Trust

    1,800      71,280

Crew Energy, Inc.(a)

    20,000      362,263

Crew Energy, Inc. (acquired 01/31/05, cost $36,232)(a)(b)

    9,400      170,264

Daylight Resources Trust

    13,410      158,995

Delphi Energy Corp.(a)

    24,700      74,606

Ember Resources, Inc.(a)

    12,136      22,495

Endev Energy, Inc.(a)

    231,700      315,841

Fairborne Energy Ltd.

    1,482      18,981

First Calgary Petroleums Ltd.(a)

    14,554      32,399

Galleon Energy, Inc. - Class A(a)

    42,317      854,889

Galleon Energy, Inc. - Class A (acquired 2/10/05, cost $68,429)(a)(b)

    6,300      127,273

Gastar Exploration Ltd.(a)

    15,900      40,704

Highpine Oil & Gas Ltd.(a)

    8,993      117,825

HSE Integrated Ltd.(a)

    561      567

Iteration Energy Ltd.(a)

    4,021      32,572

Leader Energy Services Ltd.(a)

    15,957      1,095

Lynden Ventures Ltd.(a)

    3,500      6,522

Midnight Oil Exploration Ltd.(a)

    69,600      140,606

Midnight Oil Exploration Ltd. (acquired 12/12/05, cost $39,607)(a)(b)

    11,600      23,434

Niko Resources Ltd. (acquired 01/31/05, cost $52,500)(b)

    2,000      191,703

Open Range Energy Corp.(a)

    1,976      15,500

OPTI Canada, Inc.(d)

    9,900      224,272

Pacific Rodera Energy, Inc.(a)

    37,300      17,192

Pan Orient Energy Corp.(a)

    3,600      36,011

Pengrowth Energy Trust

    1,505      30,260

Penn West Energy Trust

    819      27,694

Petro Andina Resources, Inc. (acquired 05/23/07, cost $7,200)(a)(b)

    800      8,865

Petro Rubiales Energy Corp.(a)

    12,467      164,193

Petrolifera Petroleum Ltd.(a)

    30,150      256,942

ProspEx Resources Ltd.(a)

    43,140      146,381

Suncor Energy, Inc.

    12,000      696,676

Tag Oil Ltd. (acquired 09/22/05, cost $5,200)(a)(b)

    4,000      687

Technicoil Corp.(a)

    12,900      16,067

Technicoil Corp. (acquired 01/31/05, cost $24,418)(a)(b)

    33,500      41,723

Trafalgar Energy Ltd.(a)

    841      3,224

TransCanada Corp.

    700      27,116

TriStar Oil & Gas Ltd.(a)

    11,885      240,334

TriStar Oil & Gas Ltd. (acquired 08/24/05, cost $15,750)(a)(b)

    700      14,155

True Energy Trust

    11,382      49,115

Tusk Energy Corp.(a)

    37,409      106,757

Tusk Energy Corp. (acquired 03/14/05, cost $47,507)(a)(b)

    10,557      30,127

Tusk Energy Corp. (acquired 06/07/06, cost $41,000)(a)(b)

    10,000      28,538

Vero Energy, Inc.(a)

    2,688      28,680

Vero Energy, Inc. (acquired 11/28/05, cost $3,907)(a)(b)

    1,759      18,768

West Energy Ltd.(a)

    143      541

WesternZagros Resources Ltd.(a)

    1,800      5,260
         
        6,278,651
         

Retail Merchandising — 0.1%

      

Lululemon Athletica, Inc.(c)

    5,800      168,548

Shoppers Drug Mart Corp.

    3,300      180,874
         
        349,422
         

Transportation — 0.0%

      

Railpower Technologies Corp.

    17,600      7,422
         

Total Canada

         11,363,076
         

Chile — 0.0%

      

Banks — 0.0%

      

Banco Santander Chile SA - ADR

    4,100      176,341
         

China — 0.0%

      

Computer Software & Services — 0.0%

      

Sina Corp.

    3,600      153,180
         

Denmark — 0.1%

      

Retail Merchandising — 0.1%

      

FLSmidth & Co. AS

    6,700      735,549
         

Finland — 0.5%

      

Banks — 0.0%

      

OKO Bank Plc - Series A

    16,100      279,343
         

Manufacturing — 0.1%

      

Wartsila Oyj - Series B

    6,700      421,427
         

Paper & Forest Products — 0.1%

      

UPM-Kymmene Oyj

    44,456      727,938
         

Telecommunications — 0.3%

      

Nokia Oyj

    70,060      1,708,646
         

Total Finland

         3,137,354
         

France — 1.2%

      

Banks — 0.2%

      

Credit Agricole SA

    59,737      1,220,818
         

Entertainment & Leisure — 0.1%

      

Ubisoft Entertainment

    4,800      421,173
         

Food & Agriculture — 0.2%

      

Carrefour SA

    25,771      1,459,088

Casino Guichard-Perrachon SA

    2,600      294,738
         
        1,753,826
         

Machinery & Heavy Equipment — 0.2%

      

Alstom

    4,668      1,077,960
         

Medical Instruments & Supplies — 0.1%

      

Essilor International SA

    16,664      1,019,035
         

Oil & Gas — 0.2%

      

Total SA

    16,958      1,447,120
         

Telecommunications — 0.2%

      

France Telecom SA

    44,851      1,321,224
         

Total France

         8,261,156
         

Germany — 2.2%

      

Banks — 0.1%

      

Commerzbank AG

    31,838      944,403
         

Chemicals — 0.4%

      

Bayer AG

    22,361      1,882,135

SGL Carbon AG

    9,000      631,845
         
        2,513,980
         

 

2

   BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008     

Schedule of Investments (continued)    (Percentages shown are based on Net Assets)

 

Common Stocks

    Shares    Value

Germany (Continued)

      

Computer Software & Services — 0.1%

      

United Internet AG

    18,800    $ 370,589
         

Construction — 0.0%

      

Bauer AG

    3,500      337,910
         

Durable Goods — 0.1%

      

Gerry Weber International AG

    12,101      381,431
         

Energy & Utilities — 0.3%

      

E.ON AG

    9,181      1,852,418
         

Insurance — 0.3%

      

Allianz AG

    11,115      1,958,259

Hannover Rueckversicherung AG

    8,300      409,681
         
        2,367,940
         

Manufacturing — 0.4%

      

Adidas-Salomon AG

    6,700      423,115

K+S AG

    700      403,706

Siemens AG

    15,159      1,683,113
         
        2,509,934
         

Medical & Medical Services — 0.0%

      

Rhoen Klinikum AG

    11,600      368,379
         

Medical Instruments & Supplies — 0.1%

      

Fresenius Medical Care AG & Co. KGgA

    9,000      496,095
         

Miscellaneous Services — 0.1%

      

GEA Group AG

    16,200      572,359
         

Pharmaceuticals — 0.1%

      

Celesio AG

    28,801      1,042,049
         

Transportation — 0.2%

      

Deutsche Post AG

    44,149      1,153,877
         

Waste Management — 0.0%

      

Zhongde Waste Technology AG

    3,246      128,891
         

Total Germany

         15,040,255
         

Greece — 0.1%

      

Banks — 0.0%

      

Piraeus Bank SA

    6,600      179,356
         

Computer & Office Equipment — 0.1%

      

Intralot SA

    15,000      257,423
         

Transportation — 0.0%

      

Navios Maritime Holdings, Inc.

    7,700      74,613
         

Total Greece

         511,392
         

Hong Kong — 1.0%

      

Banks — 0.3%

      

Hang Seng Bank Ltd.

    86,000      1,814,358
         

Chemicals — 0.1%

      

Huabao International Holdings Ltd.

    501,800      476,234
         

Conglomerates — 0.2%

      

Hutchison Whampoa Ltd.

    126,000      1,270,140
         

Entertainment & Leisure — 0.1%

      

The Hongkong & Shanghai Hotels Ltd.

    195,300      295,558
         

Finance — 0.0%

      

REXCAPITAL Financial Holdings Ltd.

    1,978,300      197,900
         

Manufacturing — 0.0%

      

Peace Mark Holdings Ltd.

    152,700      106,144

Ports Design Ltd.

    22,900      65,494
         
        171,638
         

Real Estate — 0.2%

      

Henderson Land Development Co. Ltd.

    121,000      754,189

New World Development Co. Ltd.

    161,100      328,099

Wheelock & Co. Ltd.

    185,600      497,488
         
        1,579,776
         

Retail Merchandising — 0.1%

      

Esprit Holdings Ltd.

    71,500      742,762
         

Total Hong Kong

         6,548,366
         

India — 0.0%

      

Chemicals — 0.0%

      

Tata Chemicals Ltd.

    40,600      270,730
         

Indonesia — 0.1%

      

Metal & Mining — 0.0%

      

PT Bumi Resources Tbk

    377,300      335,560
         

Motor Vehicles — 0.1%

      

PT Astra International Tbk

    305,000      636,795
         

Total Indonesia

         972,355
         

Ireland — 0.3%

      

Computer Software & Services — 0.1%

      

SkillSoft Plc - ADR

    77,690      702,318
         

Pharmaceuticals — 0.2%

      

Elan Corp. Plc - ADR

    41,300      1,468,215

ICON Plc - ADR(a)

    1,100      83,072
         
        1,551,287
         

Total Ireland

         2,253,605
         

Italy — 0.2%

      

Energy & Utilities — 0.2%

      

AEM SpA

    192,750      706,341

Terna Rete Elettrica Nazionale SpA

    134,600      570,070
         

Total Italy

         1,276,411
         

Japan — 3.3%

      

Banks — 0.4%

      

Bank of Kyoto Ltd.

    29,100      303,921

The Chiba Bank Ltd.

    40,200      281,667

The Iyo Bank Ltd.

    40,600      475,263

Mizuho Financial Group, Inc.

    312      1,457,381
         
        2,518,232
         

Chemicals — 0.1%

      

Nihon Nohyaku Co. Ltd.

    73,500      703,956

Nippon Carbon Co. Ltd.

    57,100      271,021
         
        974,977
         

Conglomerates — 0.2%

      

Mitsui & Co. Ltd.

    59,000      1,302,962
         

Construction — 0.1%

      

Daito Trust Construction Co. Ltd.

    6,300      305,552

Shinko Plantech Co. Ltd.

    18,700      289,169
         
        594,721
         

 

     BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008    3

Schedule of Investments (continued)    (Percentages shown are based on Net Assets)

 

Common Stocks

    Shares    Value

Japan (Continued)

      

Electronics — 0.3%

      

Denso Corp.

    28,700    $ 986,533

Hosiden Corp.

    33,200      706,616

Nidec Corp.

    3,200      213,062

Star Micronics Co. Ltd.

    23,500      369,591
         
        2,275,802
         

Energy & Utilities — 0.2%

      

Air Water, Inc.

    47,200      555,634

Kurita Water Industries Ltd.

    27,200      1,006,696
         
        1,562,330
         

Entertainment & Leisure — 0.1%

      

Shimano, Inc.

    8,700      436,700
         

Finance — 0.0%

      

Shinko Securities Co. Ltd.

    62,000      182,756
         

Insurance — 0.2%

      

T&D Holdings, Inc.

    18,500      1,137,684
         

Machinery & Heavy Equipment — 0.3%

      

Komatsu Ltd.

    30,800      858,577

Mori Seiki Co. Ltd.

    22,600      381,190

Nabtesco Corp.

    43,100      659,174
         
        1,898,941
         

Manufacturing — 0.1%

      

Daihatsu Motor Co. Ltd.

    27,300      312,632

Tokai Rika Co. Ltd.

    16,200      334,878
         
        647,510
         

Metal & Mining — 0.2%

      

Marubeni Corp.

    130,000      1,085,935

Yamato Kogyo Co. Ltd.

    9,100      433,639
         
        1,519,574
         

Motor Vehicles — 0.3%

      

Futaba Industrial Co. Ltd.

    18,600      430,033

Toyota Motor Corp.

    35,600      1,679,672
         
        2,109,705
         

Retail Merchandising — 0.1%

      

Circle K Sunkus Co. Ltd.

    19,800      347,947

Shimachu Co. Ltd.

    10,500      256,110

Tsuruha Holdings, Inc.

    10,100      331,007
         
        935,064
         

Telecommunications — 0.2%

      

KDDI Corp.

    171      1,056,420
         

Transportation — 0.5%

      

Canon, Inc.

    22,300      1,146,659

East Japan Railway Co.

    165      1,344,116

Hino Motors Ltd.

    58,400      361,889

Kawasaki Kisen Kaisha Ltd.

    38,500      361,487

Kintetsu World Express, Inc.

    12,200      311,937
         
        3,526,088
         

Total Japan

         22,679,466
         

Kazakhstan — 0.1%

      

Oil & Gas — 0.1%

      

Kamunaigaz Exploration Production, Inc.

    12,400      391,840
         

Luxembourg — 0.3%

      

Oil & Gas — 0.0%

      

Acergy SA - ADR

    9,750      217,035
         

Telecommunications — 0.3%

      

SES SA

    74,190      1,872,582
         

Total Luxembourg

         2,089,617
         

Malaysia — 0.1%

      

Entertainment & Leisure — 0.1%

      

Tanjong Plc

    79,500      333,328
         

Morocco — 0.0%

      

Food & Agriculture — 0.0%

      

Kuala Lumpur Kepong Bhd

    54,200      291,942
         

Netherlands — 0.6%

      

Construction — 0.1%

      

Koninklijke Boskalis Westminster NV

    15,900      852,402
         

Medical & Medical Services — 0.1%

      

Qiagen NV

    18,634      376,771
         

Publishing & Printing — 0.2%

      

Reed Elsevier NV

    71,326      1,202,729
         

Telecommunications — 0.2%

      

Koninklijke KPN NV

    101,885      1,748,507
         

Total Netherlands

         4,180,409
         

Norway — 0.6%

      

Chemicals — 0.2%

      

Yara International ASA

    11,300      1,000,608
         

Oil & Gas — 0.3%

      

Fred Olsen Energy ASA

    8,700      527,821

StatoilHydro ASA

    43,471      1,620,817
         
        2,148,638
         

Transportation — 0.1%

      

Songa Offshore ASA

    43,500      702,481

Stolt-Nielsen SA

    13,000      296,081
         
        998,562
         

Total Norway

         4,147,808
         

Philippines — 0.1%

      

Telecommunications — 0.1%

      

Philippine Long Distance Telephone Co. - ADR

    6,100      325,862
         

Singapore — 0.5%

      

Finance — 0.3%

      

DBS Group Holdings Ltd.

    130,107      1,803,548
         

Real Estate — 0.2%

      

CapitaCommercial Trust Management Ltd.

    259,900      364,859

Keppel Corp. Ltd.

    136,000      1,113,550
         
        1,478,409
         

Retail Merchandising — 0.0%

      

Hongguo International Holdings Ltd.

    337,775      109,236
         

Total Singapore

         3,391,193
         

South Africa — 0.0%

      

Telecommunications — 0.0%

      

Naspers Ltd.

    9,400      205,287
         

 

4

   BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008     

Schedule of Investments (continued)    (Percentages shown are based on Net Assets)

 

Common Stocks

    Shares    Value

South Korea — 0.2%

      

Banks — 0.0%

      

Pusan Bank

    19,800    $ 264,997
         

Chemicals — 0.0%

      

LG Chemical Ltd.

    2,500      238,994
         

Electronics — 0.1%

      

Samsung Electronics Co. Ltd.

    962      574,782
         

Publishing & Printing — 0.0%

      

Woongjin Thinkbig Co. Ltd.

    11,770      272,295
         

Security Brokers & Dealers — 0.1%

      

Korea Investment Holdings Co. Ltd.

    8,400      336,064
         

Total South Korea

         1,687,132
         

Sweden — 0.2%

      

Banks — 0.1%

      

Nordea Bank AB

    59,280      817,967
         

Soaps & Cosmetics — 0.1%

      

Oriflame Cosmetics SA

    6,987      449,562
         

Total Sweden

         1,267,529
         

Switzerland — 1.6%

      

Chemicals — 0.4%

      

Lonza Group AG

    6,300      873,878

Syngenta AG

    6,308      2,051,620
         
        2,925,498
         

Food & Agriculture — 0.4%

      

Barry Callebaut AG

    278      180,834

Nestle SA

    57,000      2,575,615
         
        2,756,449
         

Insurance — 0.0%

      

Swiss Life Holding

    700      187,069
         

Machinery & Heavy Equipment — 0.1%

      

Meyer Burger Technology AG

    1,500      450,786
         

Pharmaceuticals — 0.7%

      

Novartis AG

    40,567      2,233,756

Roche Holding AG

    13,556      2,441,686
         
        4,675,442
         

Total Switzerland

         10,995,244
         

Taiwan — 0.2%

      

Chemicals — 0.1%

      

Polaris Securities Co. Ltd.

    464,300      278,400

Taiwan Fertilizer Co. Ltd.

    113,400      425,908
         
        704,308
         

Computer & Office Equipment — 0.0%

      

High Tech Computer Corp.

    5,900      132,178
         

Computer Software & Services — 0.0%

      

GeoVision, Inc.

    19,500      109,857
         

Finance — 0.0%

      

Yuanta Financial Holding Co. Ltd.

    438,500      306,992
         

Semiconductors & Related Devices — 0.0%

      

Vanguard International Semiconductor Corp.

    127,965      93,804
         

Transportation — 0.1%

      

U-Ming Marine Transport Corp.

    127,430      335,861
         

Total Taiwan

         1,683,000
         

Thailand — 0.1%

      

Banks — 0.1%

      

Siam Commercial Bank Public Co. Ltd.

    174,600      404,711
         

Metal & Mining - 0.0%

      

Banpu Public Co. Ltd.

    23,900      385,141
         

Total Thailand

         789,852
         

United Kingdom — 3.2%

      

Aerospace — 0.4%

      

BAE Systems Plc

    196,073      1,728,160

Cobham Plc

    129,200      509,028

Meggitt Plc

    57,700      244,224
         
        2,481,412
         

Banks — 0.1%

      

Standard Chartered Plc

    30,394      865,719
         

Business Services — 0.2%

      

Babcock International Group

    56,600      692,210

De La Rue Plc

    33,867      602,051

Intertek Group Plc

    4,500      88,557

RPS Group Plc

    41,400      246,973
         
        1,629,791
         

Construction — 0.0%

      

AMEC Plc

    18,100      320,864
         

Energy & Utilities — 0.1%

      

International Power Plc

    83,500      718,494

ITM Power Plc

    12,000      13,564
         
        732,058
         

Entertainment & Leisure — 0.1%

      

IG Group Holdings Plc

    27,000      177,607

InterContinental Hotels Group Plc

    15,219      204,008
         
        381,615
         

Finance — 0.0%

      

ICAP Plc

    20,500      221,313
         

Food & Agriculture — 0.1%

      

Britvic Plc

    79,600      459,002
         

Insurance — 0.2%

      

Hiscox Ltd.

    92,900      384,886

Prudential Plc

    126,940      1,347,655
         
        1,732,541
         

Machinery & Heavy Equipment — 0.2%

      

VT Group Plc

    32,300      407,570

The Weir Group Plc

    40,600      758,546
         
        1,166,116
         

Manufacturing — 0.1%

      

Charter Plc

    25,400      439,902

Fenner Plc

    53,400      258,199
         
        698,101
         

Measuring & Controlling Devices — 0.1%

      

Rotork Plc

    26,900      587,776
         

Miscellaneous Services — 0.3%

      

Aggreko Plc

    37,700      551,551

Anglo American Plc

    21,210      1,489,611
         
        2,041,162
         

 

     BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008    5

Schedule of Investments (continued)    (Percentages shown are based on Net Assets)

 

Common Stocks

    Shares    Value

United Kingdom (Continued)

      

Oil & Gas — 0.5%

      

Archipelago Resources Plc

    78,900    $ 36,932

BG Group Plc

    102,218      2,661,067

Gulfsands Petroleum Plc

    6,700      29,026

Heritage Oil Ltd.

    40,000      272,682

Wellstream Holdings Plc

    13,300      344,388
         
        3,344,095
         

Pharmaceuticals — 0.3%

      

GlaxoSmithKline Plc

    72,604      1,609,565

Shire Plc - ADR

    4,100      201,433
         
        1,810,998
         

Publishing & Printing — 0.0%

      

United Business Media Plc

    29,000      315,098
         

Telecommunications — 0.4%

      

Vodafone Group Plc

    829,594      2,464,573
         

Transportation — 0.1%

      

Arriva Plc

    36,700      500,737

National Express Group Plc

    22,200      420,962
         
        921,699
         

Total United Kingdom

         22,173,933
         

United States — 39.6%

      

Aerospace — 0.5%

      

Alliant Techsystems, Inc.

    550      55,924

Argon ST, Inc.(a)

    5,417      134,342

BE Aerospace, Inc.(a)

    14,150      329,553

The Boeing Co.

    5,350      351,602

DRS Technologies, Inc.

    350      27,552

Goodrich Corp.

    3,300      156,618

Lockheed Martin Corp.

    6,350      626,491

Northrop Grumman Corp.

    26,700      1,786,230

Orbital Sciences Corp.(a)

    6,250      147,250
         
        3,615,562
         

Banks — 1.5%

      

Bank of America Corp.

    28,700      685,069

Bank of Hawaii Corp.

    1,275      60,945

The Bank of New York Mellon Corp.

    34,400      1,301,352

Citigroup, Inc.

    27,300      457,548

CoBiz Financial, Inc.

    7,658      50,390

Columbia Banking System, Inc.

    2,194      42,410

Cullen/Frost Bankers, Inc.

    5,431      270,735

Fidelity National Information Services, Inc.

    8,550      315,581

First Midwest Bancorp, Inc.

    11,554      215,482

Hudson City Bancorp, Inc.

    33,475      558,363

JPMorgan Chase & Co.

    51,450      1,765,250

KBW, Inc.(a)

    5,800      119,364

New York Community Bancorp, Inc.

    3,300      58,872

Northern Trust Corp.

    12,848      880,987

People’s United Financial, Inc.

    24,620      384,072

Prosperity Bancshares, Inc.

    5,500      147,015

Signature Bank(a)

    2,950      75,992

Sterling Bancshares, Inc.

    11,100      100,899

Susquehanna Bancshares, Inc.

    2,100      28,749

U.S. Bancorp

    29,100      811,599

UMB Financial Corp.

    2,450      125,612

Umpqua Holdings Corp.(c)

    4,750      57,618

Valley National Bancorp

    13,055      205,877

Wells Fargo & Co.

    22,900      543,875

Westamerica Bancorp

    1,000      52,590

Wintrust Financial Corp.

    14,610      348,448

Zions Bancorporation

    10,050      316,474
         
        9,981,168
         

Beverages & Bottling — 1.0%

      

The Coca-Cola Co.

    84,625      4,398,808

Constellation Brands, Inc.(a)

    35,185      698,774

Green Mountain Coffee Roasters, Inc.(a)

    3,200      120,224

Molson Coors Brewing Co. - Class B

    11,225      609,854

Pepsi Bottling Group, Inc.

    14,500      404,840

PepsiAmericas, Inc.

    1,200      23,736

PepsiCo, Inc.

    12,900      820,311
         
        7,076,547
         

Broadcasting — 0.3%

      

Belo Corp.

    50,002      365,515

CBS Corp. - Class B

    23,150      451,193

CKX, Inc.(a)

    53,900      471,625

DIRECTV Group, Inc.(a)

    28,600      741,026

Outdoor Channel Holdings, Inc.(a)

    4,846      33,825
         
        2,063,184
         

Business Services — 0.5%

      

Accenture Ltd.

    6,050      246,356

The Advisory Board Co.(a)

    3,800      149,454

The Brink’s Co.

    5,185      339,203

CommVault Systems, Inc.(a)

    4,250      70,720

DeVry, Inc.

    3,352      179,734

Diamond Management & Technology Consultants, Inc.

    18,994      98,959

ExlService Holdings, Inc.(a)

    13,023      182,713

Expedia, Inc.(a)

    16,975      312,000

Fluor Corp.

    3,500      651,280

Forrester Research, Inc.(a)

    15,550      480,184

Gartner, Inc. - Class A(a)

    3,600      74,592

Healthcare Services Group, Inc.

    300      4,571

Heckmann Corp.(a)

    4,692      42,040

Hewitt Associates, Inc. - Class A(a)

    1,925      73,785

HMS Holdings Corp.(a)

    9,025      193,767

Iron Mountain, Inc.(a)

    13,200      350,460

Martha Stewart Living Omnimedia, Inc.(a)(c)

    3,700      27,380

Strayer Education, Inc.

    500      104,535

W.W. Grainger, Inc.

    1,644      134,479
         
        3,716,212
         

Chemicals — 0.6%

      

Agrium, Inc.

    5,000      537,700

Albemarle Corp.

    5,900      235,469

Ashland, Inc.

    7,210      347,522

Celanese Corp. - Series A

    19,020      868,453

CF Industries Holdings, Inc.

    700      106,960

Church & Dwight Co., Inc.

    2,600      146,510

The Dow Chemical Co.

    9,800      342,118

Eastman Chemical Co.

    6,550      451,033

Hercules, Inc.

    21,560      365,011

Intrepid Potash, Inc.(a)

    1,000      65,780

The Lubrizol Corp.

    10,225      473,724

Minerals Technologies, Inc.

    1,700      108,103

Rockwood Holdings, Inc.(a)

    1,800      62,640

Terra Industries, Inc.

    1,725      85,129
         
        4,196,152
         

 

6

   BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008     

Schedule of Investments (continued)    (Percentages shown are based on Net Assets)

 

Common Stocks

    Shares    Value

United States (Continued)

      

Computer & Office Equipment — 1.3%

      

Apple, Inc.

    17,959    $ 3,007,055

Cisco Systems, Inc.(a)

    101,993      2,372,357

Dell, Inc.

    9,350      204,578

Electronics for Imaging, Inc.(a)

    9,280      135,488

Hewlett-Packard Co.

    19,675      869,832

International Business Machines Corp.

    11,800      1,398,654

Intuit, Inc.(a)

    9,050      249,509

Lexmark International, Inc. - Class A

    1,675      55,995

NCR Corp.(a)

    1,600      40,320

Phase Metrics, Inc.(a)(e)

    50,574      1,011

Western Digital Corp.(a)

    23,746      819,949
         
        9,154,748
         

Computer Software & Services — 2.6%

      

ACI Worldwide, Inc.

    7,650      134,564

Activision, Inc.

    67,225      2,290,356

Adobe Systems, Inc.(a)

    79,158      3,118,034

Affiliated Computer Services, Inc. - Class A(a)

    3,950      211,285

Aladdin Knowledge Systems Ltd.(a)

    13,450      181,575

Blackboard, Inc.(a)

    10,989      420,109

BMC Software, Inc.(a)

    1,925      69,300

Broadridge Financial Solutions, Inc.

    2,125      44,731

comScore, Inc.(a)

    5,111      111,522

DemandTec, Inc.(a)

    15,500      116,405

eBay, Inc.(a)

    2,700      73,791

Foundry Networks, Inc.(a)

    16,650      196,803

Google, Inc. - Class A(a)

    5,272      2,775,286

Greenfield Online, Inc.(a)

    4,949      73,839

Guidance Software, Inc.(a)

    4,569      43,634

i2 Technologies, Inc.(a)(c)

    12,250      152,267

IHS, Inc.(a)

    9,150      636,840

International Game Technology

    5,100      127,398

Jack Henry & Associates, Inc.

    15,919      344,487

Lawson Software, Inc.(a)

    12,200      88,694

McAfee, Inc.(a)

    1,100      37,433

Microsoft Corp.

    97,569      2,684,123

Nuance Communications, Inc.(a)

    17,150      268,740

Oracle Corp.(a)

    23,950      502,950

Phase Forward, Inc.(a)

    6,800      122,196

Salesforce.Com, Inc.(a)

    22,660      1,546,092

SonicWALL, Inc.(a)

    29,350      189,308

SRA International, Inc. - Class A(a)

    6,173      138,646

Sybase, Inc.(a)

    2,150      63,253

Sykes Enterprises, Inc.(a)

    17,550      330,993

Symantec Corp.(a)

    18,450      357,007

Tech Data Corp.(a)

    6,590      223,335

Teradata Corp.(a)

    6,640      153,650

The TriZetto Group, Inc.(a)

    2,633      56,294

Yahoo!, Inc.(a)

    5,200      107,432
         
        17,992,372
         

Construction — 0.1%

      

EMCor Group, Inc.

    1,900      54,207

Lennar Corp. - Class A

    13,400      165,356

NVR, Inc.(a)

    45      22,504

United Rentals, Inc.(a)

    10,125      198,551
         
        440,618
         

Containers — 0.2%

      

Owens-Illinois, Inc.

    6,570      273,903

Pactiv Corp.(a)

    17,500      371,525

Silgan Holdings, Inc.

    4,050      205,497

Tupperware Corp.

    7,100      242,962
         
        1,093,887
         

Electronics — 0.4%

      

Agilent Technologies, Inc.

    8,490      301,735

Ametek, Inc.

    8,150      384,843

Amphenol Corp.

    10,250      460,020

Arrow Electronics, Inc.(a)

    2,300      70,656

Benchmark Electronics, Inc.(a)

    6,800      111,112

Brady Corp.

    4,100      141,573

Gentex Corp.

    2,700      38,988

Intel Corp.

    25,500      547,740

Intersil Corp. - Class A

    15,310      372,339

Jabil Circuit, Inc.

    7,600      124,716

TiVo, Inc.(a)

    22,800      140,676

TTM Technologies, Inc.(a)

    9,100      120,211
         
        2,814,609
         

Energy & Utilities — 1.5%

      

Airgas, Inc.

    3,500      204,365

Calpine Corp.(a)

    16,100      363,216

CenterPoint Energy, Inc.

    6,025      96,701

Constellation Energy Group, Inc.

    4,350      357,135

DPL, Inc.

    2,050      54,079

DTE Energy Co.

    16,200      687,528

Duke Energy Corp.

    10,650      185,097

Edison International

    23,760      1,220,789

El Paso Electric Co.(a)

    6,300      124,740

Energy East Corp.

    1,375      33,990

Entergy Corp.

    2,910      350,597

Equitable Resources, Inc.

    9,670      667,810

Evergreen Energy, Inc.(a)(c)

    11,500      20,010

Exelon Corp.

    17,879      1,608,395

FPL Group, Inc.

    6,600      432,828

Integrys Energy Group, Inc.

    7,550      383,766

KBR, Inc.

    1,500      52,365

Longview Energy Co. (acquired 01/31/05, cost $48,000)(b)(e)

   

3,200

   

 

106,272

MDU Resources Group, Inc.

    1,875      65,363

NRG Energy, Inc.(a)

    8,360      358,644

Ocean Power Technologies, Inc.(a)

    1,000      9,000

Pepco Holdings, Inc.

    1,450      37,192

PPL Corp.

    7,200      376,344

Quanta Services, Inc.(a)

    8,150      271,150

Questar Corp.

    9,620      683,405

SCANA Corp.

    16,750      619,750

Sierra Pacific Resources

    15,675      199,229

UIL Holdings Corp.

    5,600      164,696

Vectren Corp.

    1,875      58,519

Wisconsin Energy Corp.

    9,530      430,947

Xcel Energy, Inc.

    13,000      260,910
         
        10,484,832
         

Entertainment & Leisure — 0.5%

      

Ameristar Casinos, Inc.

    5,100      70,482

DreamWorks Animation SKG, Inc. - Class A(a)

    10,150      302,572

Morgans Hotel Group Co.(a)

    7,265      74,829

Orient-Express Hotels Ltd. - Class A

    13,437      583,703

Pinnacle Entertainment, Inc.(a)

    37,660      395,053

RHI Entertainment, Inc.(a)

    6,400      83,136

Royal Caribbean Cruises Ltd.

    9,650      216,836

Scientific Games Corp. - Class A(a)

    20,700      613,134

 

     BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008    7

Schedule of Investments (continued)    (Percentages shown are based on Net Assets)

 

Common Stocks

    Shares    Value

United States (Continued)

      

Entertainment & Leisure (Continued)

      

Time Warner, Inc.

    11,075    $ 163,910

The Walt Disney Co.

    30,150      940,680

World Wrestling Entertainment, Inc.

    4,700      72,709
         
        3,517,044
         

Finance — 1.1%

      

Affiliated Managers Group, Inc.

    3,390      305,303

AllianceBernstein Holding LP

    8,700      475,716

American Express Co.

    5,275      198,709

Astoria Financial Corp.

    16,540      332,123

Capital One Financial Corp.

    10,915      414,879

CME Group, Inc.

    550      210,755

Deluxe Corp.

    2,175      38,759

Eaton Vance Corp.

    4,050      161,028

Evercore Partners, Inc.

    7,600      72,200

Federated Investors, Inc. - Class B

    1,150      39,583

The Goldman Sachs Group, Inc.

    4,900      857,010

Invesco Ltd.

    19,638      470,919

Knight Capital Group, Inc.(a)

    2,700      48,546

Market Vectors Russia

    20,000      1,084,400

Mastercard, Inc.

    1,075      285,434

Morgan Stanley

    18,200      656,474

NGP Capital Resources Co.

    2,700      41,607

NYSE Euronext, Inc.

    12,900      653,514

Raymond James Financial, Inc.

    9,075      239,489

Regions Financial Corp.

    12,200      133,102

Riskmetrics Group, Inc.(a)

    900      17,676

T. Rowe Price Group, Inc.

    3,400      191,998

TD Ameritrade Holding Corp.(a)

    21,610      390,925

Wright Express Corp.(a)

    6,950      172,360
         
        7,492,509
         

Food & Agriculture — 0.6%

      

Bunge Ltd.

    4,575      492,682

Dean Foods Co.(a)

    15,660      307,249

Del Monte Foods Co.

    51,796      367,752

Diamond Foods, Inc.

    3,100      71,424

Fresh Del Monte Produce, Inc.(a)

    1,125      26,516

Lorillard, Inc.(a)

    8,025      555,009

Monsanto Co.

    14,786      1,869,542

Panera Bread Co. - Class A(a)(c)

    7,100      328,446
         
        4,018,620
         

Insurance — 1.1%

      

ACE Ltd.

    9,150      504,074

Aetna, Inc.

    12,300      498,519

American Financial Group, Inc.

    2,175      58,181

American International Group, Inc.

    10,950      289,737

Amerigroup Corp.(a)

    1,975      41,080

Arch Capital Group Ltd.(a)

    2,700      179,064

Assurant, Inc.

    10,920      720,283

AXIS Capital Holdings Ltd.

    10,710      319,265

CHUBB Corp.

    9,650      472,946

Endurance Specialty Holdings Ltd.

    4,650      143,174

Everest Re Group Ltd.

    650      51,812

First Mercury Financial Corp.(a)

    10,700      188,748

Genworth Financial, Inc.

    7,675      136,692

Hanover Insurance Group, Inc.

    8,687      369,198

HCC Insurance Holdings, Inc.

    21,060      445,208

Lincoln National Corp.

    7,570      343,072

MetLife, Inc.

    11,600      612,132

PartnerRe Ltd.

    2,900      200,477

Platinum Underwriters Holdings Ltd.

    1,841      60,035

RenaissanceRe Holdings Ltd.

    3,300      147,411

Travelers Cos., Inc.

    15,050      653,170

Unum Group

    22,600      462,170

W.R. Berkley Corp.

    18,915      456,986

WellPoint, Inc.(a)

    6,100      290,726
         
        7,644,160
         

Leasing — 0.0%

      

GATX Corp.

    1,400      62,062
         

Machinery — 0.0%

      

Franklin Electric Co., Inc.

    2,700      104,706

iRobot Corp.(a)(c)

    7,124      97,884
         
        202,590
         

Machinery & Heavy Equipment — 0.6%

      

AGCO Corp.

    9,425      493,964

Albany International Corp. - Class A

    11,380      330,020

Altra Holdings, Inc.(a)

    8,500      142,885

Astec Industries, Inc.(a)

    4,000      128,560

Bucyrus International, Inc. - Class A

    3,200      233,664

Caterpillar, Inc.

    3,050      225,151

Flowserve Corp.

    1,025      140,117

Joy Global, Inc.

    28,525      2,163,051

Wabtec Corp.

    750      36,465
         
        3,893,877
         

Manufacturing — 2.4%

      

Actuant Corp. - Class A

    9,925      311,149

Acuity Brands, Inc.

    1,350      64,908

BorgWarner, Inc.

    17,400      772,212

Chart Industries, Inc.(a)

    4,400      214,016

Chattem, Inc.(a)

    4,298      279,585

Corning, Inc.

    79,650      1,835,932

Crane Co.

    1,300      50,089

Cummins, Inc.

    33,925      2,222,766

Danaher Corp.

    32,900      2,543,170

Dover Corp.

    6,920      334,720

Eaton Corp.

    3,700      314,389

Elizabeth Arden, Inc.(a)

    6,800      103,224

Fuller (H.B.) Co.

    6,800      152,592

Gardner Denver, Inc.(a)

    6,100      346,480

General Cable Corp.(a)

    1,640      99,794

General Electric Co.

    74,450      1,987,070

Hexel Corp.(a)

    4,250      82,025

Honeywell International, Inc.

    32,126      1,615,295

IDEX Corp.

    9,875      363,795

Jones Apparel Group, Inc.

    12,950      178,062

Kaydon Corp.

    2,400      123,384

Ladish Co., Inc.(a)

    2,650      54,564

Lear Corp.(a)

    2,500      35,450

Leggett & Platt, Inc.

    10,700      179,439

NIKE, Inc. - Class B

    5,150      306,992

Parker Hannifin Corp.

    6,875      490,325

Quanex Building Products Corp.

    11,181      166,150

RBC Bearings, Inc.(a)

    3,529      117,586

Sherwin-Williams Co.

    3,190      146,517

Smith & Wesson Holding Corp.(a)

    6,072      31,635

SPX Corp.

    1,075      141,610

Teleflex, Inc.

    6,650      369,674

Textron, Inc.

    3,920      187,886

Timken Co.

    1,375      45,292

The Warnaco Group, Inc.(a)

    3,759      165,659

 

8

   BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008     

Schedule of Investments (continued)    (Percentages shown are based on Net Assets)

 

Common Stocks

    Shares    Value

United States (Continued)

      

Manufacturing (Continued)

      

Watson Wyatt Worldwide, Inc.

    2,875    $ 152,059
         
        16,585,495
         

Measuring & Controlling Devices — 0.4%

      

Thermo Electron Corp.

    50,200      2,797,646
         

Medical & Medical Services — 1.1%

      

Amedisys, Inc.

    2,800      141,176

Amgen, Inc.(a)

    6,250      294,750

Arthrocare Corp.(a)(c)

    3,700      150,997

Coventry Health Care, Inc.(a)

    9,040      274,997

DaVita, Inc.(a)

    4,290      227,928

Express Scripts, Inc.(a)

    4,250      266,560

GEO Group, Inc.(a)

    6,000      135,000

Henry Schein, Inc.(a)

    23,000      1,186,110

Invitrogen Corp.(a)

    13,775      540,806

Kindred Healthcare, Inc.(a)

    2,750      79,090

Laboratory Corp. of America Holdings(a)

    5,480      381,572

LifePoint Hospitals, Inc.

    2,175      61,553

Magellan Health Services, Inc.(a)

    9,350      346,230

MedCath Corp.(a)

    5,800      104,284

Medco Health Solutions, Inc.(a)

    41,270      1,947,944

Pediatrix Medical Group, Inc.(a)

    15,750      775,372

Quest Diagnostics, Inc.

    7,560      366,433

ResMed, Inc.(a)

    3,600      128,664

Santarus, Inc.(a)

    23,650      47,537

Sun Healthcare Group, Inc.(a)

    12,300      164,697

WellCare Health Plans, Inc.(a)

    325      11,749
         
        7,633,449
         

Medical Instruments & Supplies — 1.3%

      

Becton, Dickinson & Co.

    2,875      233,738

Boston Scientific Corp.

    46,600      572,714

Bruker BioSciences Corp.(a)

    8,050      103,442

C.R. Bard, Inc.

    9,850      866,307

Charles River Laboratories International, Inc.(a)

    575      36,754

The Cooper Cos., Inc.

    7,290      270,824

DENTSPLY International, Inc.

    20,575      757,160

Hologic, Inc.(a)

    15,250      332,450

Intuitive Surgical, Inc.(a)

    135      36,369

Johnson & Johnson

    58,850      3,786,409

Kinetic Concepts, Inc.(a)

    8,725      348,215

Martek Biosciences Corp.(a)

    12,375      417,161

MWI Veterinary Supply, Inc.(a)

    3,747      124,063

SonoSite, Inc.(a)

    6,100      170,861

Symmetry Medical, Inc.(a)

    5,200      84,344

Wright Medical Group, Inc.(a)

    9,710      275,861

Zoll Medical Corp.(a)

    8,200      276,094
         
        8,692,766
         

Metal & Mining — 3.1%

      

Agnico-Eagle Mines Ltd.

    21,500      1,598,955

Arch Coal, Inc.

    32,150      2,412,215

Century Aluminum Co.(a)

    2,000      132,980

Cleveland-Cliffs, Inc.

    675      80,453

CONSOL Energy, Inc.

    40,109      4,507,048

Foundation Coal Holdings, Inc.

    900      79,722

Freeport-McMoRan Copper & Gold, Inc. - Class B

    22,682      2,658,104

James River Coal Co.(a)

    2,300      134,987

Kinross Gold Corp.

    22,235      524,968

Massey Energy Co.

    53,568      5,022,000

Pan American Silver Corp.(a)

    13,900      480,662

Patriot Coal Corp.(a)

    1,399      214,453

Peabody Energy Corp.

    26,498      2,333,149

Reliance Steel & Aluminum Co.

    5,195      400,483

Steel Dynamics, Inc.

    4,100      160,187

United States Steel Corp.

    3,012      556,557
         
        21,296,923
         

Miscellaneous Services — 0.1%

      

Owens & Minor, Inc.

    1,725      78,815

Rent-A-Center, Inc.(a)

    7,700      158,389

TeleTech Holdings, Inc.(a)

    13,050      260,478
         
        497,682
         

Motor Vehicles — 0.1%

      

Ford Motor Co.(c)

    28,018      134,767

Oshkosh Truck Corp.

    8,850      183,106

Polaris Industries, Inc.(c)

    1,150      46,437

TRW Automotive Holdings Corp.(a)

    9,200      169,924
         
        534,234
         

Oil & Gas — 6.5%

      

Allis-Chalmers Energy, Inc.

    5,100      90,780

American Oil & Gas, Inc.(a)

    5,947      23,312

Apache Corp.

    8,050      1,118,950

Approach Resources, Inc.(a)

    1,700      45,543

ATP Oil & Gas Corp.(a)

    4,300      169,721

Atwood Oceanics, Inc.(a)

    2,300      285,982

Aventine Renewable Energy Holdings, Inc.(a)(c)

    7,900      34,760

Baker Hughes, Inc.

    15,300      1,336,302

BJ Services Co.

    28,550      911,887

Bois d’Arc Energy, Inc.(a)

    3,400      82,654

Cal Dive International, Inc.(a)

    12,600      180,054

Callon Petroleum Co.(a)

    2,500      68,400

Cameron International Corp.(a)

    36,500      2,020,275

CanArgo Energy Corp.(a)

    194,100      56,871

Chesapeake Energy Corp.

    21,700      1,431,332

Chevron Corp.

    20,450      2,027,208

Cimarex Energy Co.

    6,825      475,498

Clayton Williams Energy, Inc.(a)

    18,723      2,058,594

Complete Production Services, Inc.(a)

    900      32,778

Comstock Resources, Inc.(a)

    4,533      382,721

ConocoPhillips

    21,075      1,989,269

Dawson Geophysical Co.(a)

    1,500      89,190

Delta Petroleum Corp.(a)(c)

    60,155      1,535,156

Denbury Resources, Inc.(a)

    1,600      58,400

Devon Energy Corp.

    2      240

Encore Acquisition Co.(a)

    1,550      116,545

Energen Corp.

    6,200      483,786

ENSCO International, Inc.

    10,050      811,437

EOG Resources, Inc.

    9,800      1,285,760

EXCO Resources, Inc.(a)

    13,100      483,521

Exxon Mobil Corp.

    40,875      3,602,314

FMC Technologies, Inc.(a)

    2,100      161,553

Forest Oil Corp.(a)

    1,300      96,850

Gasco Energy, Inc.(a)

    19,600      81,340

GMX Resources, Inc.(a)

    100      7,410

Goodrich Petroleum Corp.(a)

    3,850      319,242

Halliburton Co.

    22,730      1,206,281

Helmerich & Payne, Inc.

    1,925      138,639

Hercules Offshore, Inc.(a)

    1,400      53,228

ION Geophysical Corp.(a)

    17,800      310,610

Marathon Oil Corp.

    151      7,832

Mariner Energy, Inc.(a)

    1,500      55,455

 

     BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008    9

Schedule of Investments (continued)    (Percentages shown are based on Net Assets)

 

Common Stocks

    Shares    Value

United States (Continued)

      

Oil & Gas (Continued)

      

Matador Resources Co. (acquired 01/31/05, cost $8,950)(b)(e)

   

895

   

$

33,768

Matador Resources Co. (acquired 04/19/06, cost $54,000)(a)(b)(e)

   

2,000

   

 

75,460

Nabors Industries Ltd.(a)

    12,100      595,683

National Oilwell Varco, Inc.(a)

    9,229      818,787

Newfield Exploration Co.(a)

    5,585      364,421

Noble Corp.

    9,960      647,002

Occidental Petroleum Corp.

    5,200      467,272

Oceaneering International, Inc.(a)

    1,500      115,575

Oil States International, Inc.(a)

    2,300      145,912

ONEOK, Inc.

    2,200      107,426

Parallel Petroleum Corp.(a)

    9,079      182,760

Particle Drilling Technologies, Inc.(a)

    5,995      14,988

Patterson-UTI Energy, Inc.

    51,550      1,857,862

Penn Virginia Corp.

    15,800      1,191,636

Plains Exploration & Production Co.(a)

    11,550      842,804

Precision Drilling Trust

    3,300      89,892

Schlumberger Ltd.

    63,147      6,783,882

Smith International, Inc.

    6,400      532,096

Southwestern Energy Co.(a)

    3,720      177,109

Spectra Energy Corp.

    12,200      350,628

St. Mary Land & Exploration Co.

    1,600      103,424

Superior Energy Services, Inc.(a)

    7,800      430,092

Swift Energy Co.(a)

    3,950      260,937

Transocean, Inc.(a)

    4,756      724,767

Treasure Island Royalty Trust(a)

    217,129      165,018

Trico Marine Services, Inc.(a)(c)

    4,155      151,325

TXCO Resources, Inc.(a)

    8,700      102,312

Verasun Energy Corp.(a)(c)

    6,900      28,497

W&T Offshore, Inc.

    5,675      332,044

Warren Resources, Inc.(a)

    4,034      59,219

Weatherford International Ltd.(a)

    14,600      724,014

The Williams Cos., Inc.

    4,750      191,473
         
        44,395,765
         

Paper & Forest Products — 0.0%

      

Rock-Tenn Co. - Class A

    3,429      102,836
         

Personal Services — 0.0%

      

MSCI, Inc.

    6,400      232,256
         

Pharmaceuticals — 1.9%

      

Abbott Laboratories

    35,200      1,864,544

Alpharma, Inc. - Class A(a)

    7,200      162,216

Applera Corp. - Applied Biosystems Group

    6,900      231,012

Celgene Corp.(a)

    25,500      1,628,685

Cephalon, Inc.(a)

    1,225      81,695

Dyax Corp.(a)

    30,702      95,176

Eli Lilly & Co.

    11,450      528,532

Endo Pharmaceuticals Holdings, Inc.(a)

    5,800      140,302

Forest Laboratories, Inc.(a)

    4,850      168,489

Genentech, Inc.(a)

    17,000      1,290,300

Genzyme Corp.(a)

    15,300      1,101,906

Gilead Sciences, Inc.(a)

    39,375      2,084,906

Hospira, Inc.

    6,225      249,685

Medicis Pharmaceutical Corp.

    18,650      387,547

Merck & Co., Inc.

    34,275      1,291,825

Pfizer, Inc.

    97,050      1,695,463

Schering-Plough Corp.

    10,775      212,160

Watson Pharmaceuticals, Inc.(a)

    2,700      73,359
         
        13,287,802
         

Plastics — 0.0%

      

Sonoco Products Co.

    11,250      348,188
         

Publishing & Printing — 0.1%

      

Dolan Media Co.

    8,512      154,918

R.R. Donnelley & Sons Co.

    19,950      592,316

Valassis Communications, Inc.(a)

    3,600      45,072
         
        792,306
         

Railroad & Shipping — 0.2%

      

CSX Corp.

    17,200      1,080,332

Norfolk Southern Corp.

    2,810      176,103
         
        1,256,435
         

Real Estate — 0.4%

      

Alexandria Real Estate Equities, Inc. (REIT)

    700      68,138

AMB Property Corp. (REIT)

    1,725      86,906

Annaly Capital Management, Inc. (REIT)

    5,750      89,183

Arbor Realty Trust, Inc. (REIT)(c)

    5,477      49,129

BioMed Realty Trust, Inc. (REIT)

    3,300      80,949

Boston Properties, Inc. (REIT)

    4,110      370,804

CBL & Associates Properties, Inc. (REIT)

    5,275      120,481

Corporate Office Properties Trust (REIT)

    2,200      75,526

FX Real Estate & Entertainment, Inc.(a)

    7,730      14,687

Gramercy Capital Corp. (REIT)

    4,300      49,837

Health Care, Inc. (REIT)

    1,350      60,075

Hospitality Properties Trust (REIT)

    9,575      234,204

HRPT Properties Trust (REIT)

    23,200      157,064

Mack-Cali Realty Corp. (REIT)

    1,175      40,150

Nationwide Health Properties, Inc. (REIT)

    2,200      69,278

ProLogis (REIT)

    10,300      559,805

Simon Property Group, Inc. (REIT)

    5,460      490,799

Ventas, Inc. (REIT)

    1,400      59,598
         
        2,676,613
         

Restaurants — 0.3%

      

Brinker International, Inc.

    5,600      105,840

Carrols Restaurant Group, Inc.(a)

    4,535      23,537

Chipotle Mexican Grill, Inc.(a)

    350      28,917

Jack-in-the-Box, Inc.(a)

    2,175      48,742

McDonald’s Corp.

    30,475      1,713,304

Sonic Corp.(a)

    5,300      78,440
         
        1,998,780
         

Retail Merchandising — 2.3%

      

Advance Auto Parts, Inc.

    4,770      185,219

Aeropostale, Inc.(a)

    2,600      81,458

Amazon.com, Inc.(a)

    14,791      1,084,624

AnnTaylor Stores Corp.(a)

    4,100      98,236

AutoZone, Inc.(a)

    3,450      417,485

Big Lots, Inc.

    4,625      144,485

BJ’s Wholesale Club, Inc.(a)

    7,150      276,705

Buckle, Inc.

    1,800      82,314

Chico’s FAS, Inc.(a)

    22,850      122,704

Christopher & Banks Corp.

    10,200      69,360

Collective Brands, Inc.

    5,000      58,150

Copart, Inc.(a)

    3,400      145,588

CVS Caremark Corp.

    7,400      292,818

Deckers Outdoor Corp.(a)

    1,000      139,200

Foot Locker, Inc.

    21,020      261,699

GameStop Corp.(a)

    14,350      579,740

Golfsmith International Holdings, Inc.(a)

    5,800      13,224

Hanesbrands, Inc.(a)

    2,877      78,082

 

10

   BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008     

Schedule of Investments (continued)    (Percentages shown are based on Net Assets)

 

Common Stocks

    Shares    Value

United States (Continued)

      

Retail Merchandising (Continued)

      

Jos. A. Bank Clothiers, Inc.(a)(c)

    3,800    $ 101,650

Kohl’s Corp.(a)

    25,877      1,036,115

Limited Brands, Inc.

    31,550      531,618

Longs Drug Stores Corp.

    5,340      224,867

Macy’s, Inc.

    22,975      446,175

Nordstrom, Inc.

    23,984      726,715

OfficeMax, Inc.

    9,020      125,378

Ross Stores, Inc.

    28,929      1,027,558

Safeway, Inc.

    23,280      664,644

Saks, Inc.(a)

    18,250      200,385

Sally Beauty Holdings, Inc.(a)

    8,635      55,782

SUPERVALU, Inc.

    16,575      512,002

The Talbots, Inc.(c)

    14,116      163,604

TJX Cos., Inc.

    19,850      624,680

Urban Outfitters, Inc.(a)

    9,550      297,864

Wal-Mart Stores, Inc.

    88,336      4,964,483
         
        15,834,611
         

Security Brokers & Dealers — 0.3%

      

GFI Group, Inc.

    3,400      30,634

Janus Capital Group, Inc.

    67,708      1,792,231

Piper Jaffray Cos., Inc.(a)

    7,400      217,042

Waddell & Reed Financial, Inc.

    7,400      259,074
         
        2,298,981
         

Semiconductors & Related Devices — 0.7%

      

Amkor Technology, Inc.

    3,400      35,394

Avnet, Inc.(a)

    2,700      73,656

Broadcom Corp. - Class A(a)

    48,300      1,318,107

Lam Research Corp.(a)

    4,600      166,290

LSI Logic, Corp.

    68,575      421,050

MEMC Electronic Materials, Inc.(a)

    2,850      175,389

Micron Technology, Inc.(a)

    37,830      226,980

Microsemi Corp.(a)

    6,400      161,152

Netlogic Microsystems, Inc.(a)

    2,100      69,720

ON Semiconductor Corp.(a)

    26,325      241,400

PMC-Sierra, Inc.(a)

    198,750      1,520,438

Semtech Corp.(a)

    3,700      52,059

Standard Microsystems Corp.(a)

    6,050      164,258

Texas Instruments, Inc.

    5,275      148,544

Ultra Clean Holdings, Inc.(a)

    13,304      105,900
         
        4,880,337
         

Soaps & Cosmetics — 0.7%

      

Avon Products, Inc.

    39,500      1,422,790

Bare Escentuals, Inc.(a)(c)

    28,100      526,313

Colgate-Palmolive Co.

    5,650      390,415

The Procter & Gamble Co.

    43,680      2,656,181
         
        4,995,699
         

Telecommunications — 2.1%

      

ADC Telecommunications, Inc.

    5,100      75,327

Amdocs Ltd.(a)

    26,067      766,891

American Tower Corp. - Class A

    51,550      2,177,987

Anixter International, Inc.(a)

    5,479      325,946

Arris Group, Inc.(a)

    14,400      121,680

AT&T, Inc.

    82,317      2,773,260

CenturyTel, Inc.

    5,200      185,068

CommScope, Inc.(a)

    5,400      284,958

Embarq Corp.

    4,300      203,261

EMS Technologies, Inc.(a)

    12,200      266,448

Harris Corp.

    8,871      447,897

Iowa Telecommunications Services, Inc.

    7,000      123,270

iPCS, Inc.(a)

    3,670      108,742

Netflix, Inc.(c)

    7,248      188,955

Neutral Tandem, Inc.(a)

    3,219      56,332

Occam Networks, Inc.(a)

    6,400      25,536

Plantronics, Inc.

    1,800      40,176

QUALCOMM, Inc.

    98,172      4,355,892

Research In Motion Ltd.(a)

    4,570      534,233

Verizon Communications, Inc.

    30,694      1,086,568
         
        14,148,427
         

Textiles — 0.0%

      

Carter’s, Inc.

    6,100      84,302

Kenneth Cole Productions, Inc.

    5,200      66,040
         
        150,342
         

Tobacco — 0.6%

      

Altria Group, Inc.

    18,450      379,332

Philip Morris International, Inc.

    61,627      3,043,758

UST, Inc.

    7,530      411,213
         
        3,834,303
         

Transportation — 0.3%

      

C.H. Robinson Worldwide, Inc.

    4,050      222,102

Expeditors International of Washington, Inc.

    24,265      1,043,395

J.B. Hunt Transport Services, Inc.

    1,800      59,904

Kirby Corp.(a)

    1,125      54,000

Knight Transportation, Inc.(c)

    3,100      56,730

Ryder Systems, Inc.

    4,400      303,072

Vitran Corp., Inc.(a)

    4,407      66,061
         
        1,805,264
         

Waste Management — 0.3%

      

Allied Waste Industries, Inc.

    47,175      595,348

Clean Harbors, Inc.(a)

    4,800      341,088

Waste Management, Inc.

    27,300      1,029,483
         
        1,965,919
         

Total United States

         272,503,812
         

Total Common Stocks
(Cost — $343,882,860) — 59.5%

         409,041,902
         

Preferred Stocks

      

United Kingdom — 0.3%

      

Food & Agriculture — 0.3%

      

Tesco Plc

    247,016      1,817,010
         

United States — 0.0%

      

Banks — 0.0%

      

Citigroup, Inc.

    13,500      302,400
         

Total Preferred Stocks
(Cost — $2,520,928) — 0.3%

         2,119,410
         

 

     BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008    11

Schedule of Investments (continued)    (Percentages shown are based on Net Assets)

 

Trust Preferred Stocks

    Par
(000)		    Value

Banks — 0.7%

      
Bank of America Corp., Capital Securities,      

8.07%, 12/31/26(f)

    $ 225    $ 225,835

Bank of America Corp., Depositary Shares,

      

8.00%(g)

      720      674,546

8.13%(g)

      375      354,473
Citigroup Capital XXI, Trust Preferred Securities,      

8.30%, 12/21/57(h)

      615      580,762
First Union Capital l, Capital Securities,      

7.94%, 1/15/27

      325      328,198
JPMorgan Chase & Co., Depositary Shares,      

7.90%(g)

      775      726,671
JPMorgan Chase Capital XXV, Capital Securities,      

6.80%, 10/01/37

      1,150      1,032,223
UBS Preferred Funding Trust, Inc., Capital Securities,      

8.62%(g)(h)

      35      35,169
Wachovia Corp., Preferred Stock,      

7.98%(g)(h)

      875      803,600
         
        4,761,477
         

Finance — 0.2%

      
American International Group, Inc., Junior Subordinated Debentures,      

8.18%, 5/15/58(f)

      700      658,776
General Electric Capital Corp., Subordinated Debentures,      

6.38%, 11/15/67(h)

      475      449,259
Goldman Sachs Capital Trust II, Unsecured Notes,      

5.79%(g)(h)

      300      208,608
Lehman Brothers Holdings Capital Trust VII, Trust Preferred Securities,      

5.86%(g)(h)

      110      71,775
         
        1,388,418
         

Insurance — 0.1%

      

CHUBB Corp., Capital Securities,

      

6.38%, 3/29/67(h)

      175      160,080

MetLife, Inc., Junior Subordinated Debentures,

      

6.40%, 12/15/36(h)

      390      340,517

Progressive Corp., Junior Subordinated Notes,

      

6.70%, 6/15/37(h)

      310      271,831
         
        772,428
         

Yankee — 0.2%

      

Banks — 0.1%

      

Barclays Bank Plc (United Kingdom), Unsecured Notes,

      

7.43%(d)(f)(g)(h)

      350      328,292

Royal Bank of Scotland Group Plc (United Kingdom), Subordinated Notes,

      

7.64%, 9/29/17(d)(h)

      500      457,165
         
        785,457
         

Finance — 0.1%

      

Credit Suisse (Guernsey), Unsecured Notes,

      

5.86%, 5/15/17(d)(h)

      530      441,833
         

Total Trust Preferred Stocks
(Cost — $8,948,980) — 1.2%

         8,149,613
         
     Shares     

Warrants

      

Crosshair Exploration & Mining Corp. (issued/exercisable 4/4/08, 1 share for 1 warrant, expiring 10/4/08, strike price 1.80 CAD) (acquired 4/4/08, cost $51)(b)(e)

      5,300      1,625

Point North Energy Ltd. (issued/exercisable 7/24/03, 1 share for 1 warrant, expiring 7/23/08, strike price 5.00 CAD) (acquired 7/24/03, cost $0)(b)(e)

      13,755      1
         

Total Warrants
(Cost — $51) — 0.0%

         1,626
         
      Par
(000)		     

U.S. Government & Agency Obligations

      

Resolution Funding Corp., Strip Bonds,

      

6.29%, 7/15/18(i)

    $ 150      95,578

6.30%, 10/15/18(i)

      150      94,045

U.S. Treasury Bonds,

      

5.00%, 5/15/37

      1,075      1,155,290

4.38%, 2/15/38

      775      755,383

U.S. Treasury Inflation Protected Bonds,

      

2.38%, 1/15/25

      625      746,867

2.00%, 1/15/26

      400      429,170

U.S. Treasury Notes,

      

3.50%, 5/31/13

      2,540      2,558,852
         

Total U.S. Government & Agency Obligations
(Cost — $5,774,206) — 0.9%

         5,835,185
         

Mortgage Pass-Throughs

      

Federal Home Loan Mortgage Corp. ARM,

      

5.04%, 12/01/35(h)

      590      596,125

Federal Home Loan Mortgage Corp. Gold,

      

8.50%, 7/01/09(j)

      —        1

4.00%, 5/01/10-5/01/19

      151      147,796

6.00%, 4/01/13-6/01/16

      90      92,864

5.50%, 9/01/21-8/01/33(k)

      2,207      2,223,062

9.50%, 12/01/22

      177      202,052

8.00%, 2/01/23-8/01/27

      20      22,051

7.50%, 9/01/27(j)

      —        290

6.50%, 1/01/29-8/01/32

      57      59,083

5.00%, 5/01/34

      192      184,847

Federal Home Loan Mortgage Corp. Gold 15 Year,

      

4.50%, 7/01/23(l)

      1,000      965,940

6.00%, 7/01/23(l)

      300      307,032

Federal Home Loan Mortgage Corp. Gold 30 Year,

      

5.00%, 7/01/38(l)

      2,000      1,916,880

Federal National Mortgage Assoc.,

      

7.00%, 8/01/08-10/01/32

      231      242,003

8.50%, 2/01/09(j)

      —        8

6.00%, 9/01/11-8/01/36

      2,605      2,645,751

5.50%, 4/01/17-6/01/36

      4,546      4,583,845

5.00%, 6/01/23-7/01/35

      418      406,129

6.50%, 5/01/29-9/01/36

      315      327,381

7.50%, 2/01/30-1/01/31

      347      374,270

8.00%, 2/01/33

      122      133,179

 

12

   BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008     

Schedule of Investments (continued)    (Percentages shown are based on Net Assets)

 

Mortgage Pass-Throughs

    Par
(000)		    Value

Federal National Mortgage Assoc. 15 Year,

      

4.50%, 7/01/23(l)

    $ 5,500    $ 5,317,840

5.00%, 7/01/23(l)

      15,600      15,434,328

Federal National Mortgage Assoc. 30 Year,

      

5.00%, 7/01/38(l)

      9,100      8,721,804

5.50%, 7/01/38(l)

      28,700      28,287,294

6.00%, 7/01/38(l)

      13,500      13,622,310

6.50%, 7/01/38(l)

      9,600      9,878,976

Federal National Mortgage Assoc. ARM,

      

4.19%, 12/01/34(h)

      905      914,813

4.78%, 1/01/35(h)

      625      624,448

Government National Mortgage Assoc. I,

      

6.50%, 2/15/09-7/01/38

      2,260      2,335,177

7.50%, 12/15/10

      20      20,935

6.00%, 10/15/23-12/20/37

      407      414,615

7.00%, 4/15/29-6/15/35

      1,699      1,805,975

5.50%, 4/15/33-12/15/34

      574      574,011
Government National Mortgage Assoc. I 30 Year,      

6.00%, 7/01/38(l)

      1,800      1,827,558
Government National Mortgage Assoc. II,      

5.00%, 10/20/33(m)

      1,041      1,007,778

Government National Mortgage Assoc. II 30 Year,

      

6.50%, 9/01/37(l)

      3,400      3,481,804

5.00%, 7/01/38-8/01/38(l)

      1,000      965,753

5.50%, 7/01/38(l)

      1,600      1,589,504

Government National Mortgage Assoc. II ARM,

      

4.75%, 5/20/34(h)

      130      130,371
         

Total Mortgage Pass-Throughs
(Cost — $112,019,054) — 16.3%

         112,385,883
         

Collateralized Mortgage Obligations

      

Banc of America Alternative Loan Trust, Series 04-6, Class 4A1,

      

5.00%, 7/25/19

      164      156,997

Bear Stearns Mortgage Trust, Series 06-2, Class 2A1,

      

5.65%, 7/25/36(h)

      1,805      1,601,666

CitiMortgage Alternative Loan Trust, Series 07-A8, Class A1,

      

6.00%, 10/25/37

      1,233      1,083,321

Commercial Mortgage Pass Through Certificates, Series 04-LB3A, Class A3,

      

5.09%, 6/10/11

      515      511,795

Countrywide Alternative Loan Trust, Series 06-OA10, Class 1A1,

      

4.75%, 8/25/46(h)

      206      168,604

Countrywide Home Loans, Series 03-27, Class M,

      

4.60%, 6/25/33(h)

      502      351,170

Countrywide Home Loans, Series 03-56, Class 4A1,

      

4.93%, 12/25/33(h)

      1,285      1,204,095

Countrywide Home Loans, Series 03-58, Class B1,

      

4.54%, 2/19/34(h)

      156      93,491

Countrywide Home Loans, Series 06-OA5, Class 2A1,

      

2.68%, 4/25/46(h)

      241      172,321

Countrywide Home Loans, Series 06-OA5, Class 3A1,

      

2.68%, 4/25/46(h)

      465      325,663

Countrywide Home Loans, Series 07-J3, Class A10,

      

6.00%, 7/25/37(h)

      955      870,853

Credit Suisse Mortgage Capital Backed Trust, Series 06-8, Class 3A1,

      

6.00%, 10/25/21

      308      284,749

Fannie Mae Grantor Trust, Series 03-T1, Class R (IO),

      

0.50%, 11/25/12(n)

      6,440      129,947

Federal Home Loan Mortgage Corp., Series 235 (IO),

      

5.50%, 2/01/36(n)

      1,196      313,573

Federal Home Loan Mortgage Corp., Series 2529, Class MB,

      

5.00%, 11/15/17

      100      100,321

Federal Home Loan Mortgage Corp., Series 2684, Class SP (IO),

      

5.03%, 1/15/33(h)(n)

      215      35,811

Federal Home Loan Mortgage Corp., Series 2707, Class PW,

      

4.00%, 7/15/14

      64      64,419

Federal Home Loan Mortgage Corp., Series 2864, Class NA,

      

5.50%, 1/15/31

      117      119,232

Federal Home Loan Mortgage Corp., Series 3208, Class PS (IO),

      

4.63%, 8/15/36(h)(n)

      1,067      120,360

Federal Home Loan Mortgage Corp., Series 3316, Class SB (IO),

      

4.73%, 8/15/35(h)(n)

      193      22,364

Federal National Mortgage Assoc., Series 04-88, Class HA,

      

6.50%, 7/25/34

      45      47,147

Federal National Mortgage Assoc., Series 07-108, Class AN,

      

8.94%, 11/25/37(h)(n)

      877      962,510

Federal National Mortgage Assoc., Series 379, Class 5 (IO),

      

5.00%, 7/01/36(n)

      1,951      472,431

Homebanc Mortgage Trust, Series 06-2, Class A1,

      

2.66%, 12/25/36(h)

      605      466,467

JPMorgan Mortgage Trust, Series 06-S2, Class 2A2,

      

5.88%, 7/25/36

      155      152,146

JPMorgan Mortgage Trust, Series 07-S1, Class 1A2,

      

5.50%, 3/25/22

      159      153,827

Master Alternative Loans Trust, Series 04-4, Class 1A1,

      

5.50%, 5/25/34

      112      102,494

Residential Accredit Loans, Inc., Series 06-QS2, Class 2B1,

      

2.70%, 2/25/46(h)

      363      250,869

Residential Accredit Loans, Inc., Series 07-QO3, Class A1,

      

2.64%, 3/25/47(h)

      280      210,341

Residential Funding Mortgage Securities I, Series 04-S9, Class 2A1,

      

4.75%, 12/25/19

      1,699      1,665,028

Salomon Brothers Mortgage Securities VI, Series 87-1 (IO),

      

11.00%, 2/17/17(n)

      30      44

Salomon Brothers Mortgage Securities VI, Series 87-1 (PO),

      

11.50%, 2/17/17(n)

      34      29,652

Salomon Brothers Mortgage Securities VI, Series 87-2 (IO),

      

11.00%, 3/06/17(n)

      21      31

 

     BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008    13

Schedule of Investments (continued)    (Percentages shown are based on Net Assets)

 

Collateralized Mortgage Obligations

    Par
(000)		    Value

Salomon Brothers Mortgage Securities VI, Series 87-2 (PO),

      

11.50%, 3/06/17(n)

    $ 21    $ 18,152

Structured Asset Securities Corp., Series 01-21A, Class B2,

      

5.37%, 1/25/32(h)

      5      3,974

Structured Asset Securities Corp., Series 03-2A, Class B2II,

      

5.93%, 2/25/33(h)

      61      46,097

Washington Mutual Mortgage Loan Trust, Series 03-AR3, Class B2,

      

5.55%, 4/25/33(h)

      52      50,692

Washington Mutual Mortgage Loan Trust, Series 03-AR5, Class B2,

      

4.56%, 6/25/33(h)

      187      129,647

Washington Mutual Mortgage Loan Trust, Series 03-AR8, Class B1,

      

4.16%, 8/25/33(h)

      245      119,169

Washington Mutual Mortgage Loan Trust, Series 04-AR1, Class B1,

      

4.48%, 3/25/34(h)

      960      576,276

Washington Mutual Mortgage Loan Trust, Series 04-AR3, Class B1,

      

4.17%, 6/25/34(h)

      223      142,311

Washington Mutual Mortgage Pass-Through Certificates, Series 06-AR18 Class 1A1,

      

5.35%, 1/25/37(h)

      919      868,869

Washington Mutual Mortgage Pass-Through Certificates, Series 07-HY3, Class 1A1,

      

5.67%, 3/25/37(h)

      3,507      3,254,822

Washington Mutual Mortgage Pass-Through Certificates, Series 07-HY3, Class 4A1,

      

5.35%, 3/25/37(h)

      1,658      1,546,299

Washington Mutual Mortgage Pass-Through Certificates, Series 07-OA4, Class 1A,

      

4.56%, 5/25/47(h)

      280      206,866

Washington Mutual Mortgage Pass-Through Certificates, Series 07-OA5, Class 1A,

      

4.54%, 6/25/47(h)

      459      371,731

Washington Mutual Mortgage Pass-Through Certificates, Series 07-OC1, Class A1,

      

2.72%, 5/25/37(h)

      1,555      1,097,098

Wells Fargo Mortgage Backed Securities Trust, Series 04-K, Class 1A2,

      

4.47%, 7/25/34(h)

      372      357,435

Wells Fargo Mortgage Backed Securities Trust, Series 05-AR15, Class 2A1,

      

5.11%, 9/25/35(h)

      1,973      1,916,993

Wells Fargo Mortgage Backed Securities Trust, Series 06-AR10, Class 2A2,

      

4.11%, 6/25/35(h)

      2,272      2,147,593

Wells Fargo Mortgage Backed Securities Trust, Series 06-AR12, Class 2A1,

      

6.10%, 9/25/36(h)

      391      373,641

Wells Fargo Mortgage Backed Securities Trust, Series 06-AR15, Class A1,

      

5.34%, 10/25/36(h)

      683      653,660

Wells Fargo Mortgage Backed Securities Trust, Series 06-AR2, Class 2A5,

      

5.11%, 3/25/36(h)

      2,108      2,041,674
         

Total Collateralized Mortgage Obligations
(Cost — $30,643,919) — 4.1%

         28,166,738
         

Commercial Mortgage Backed Securities

      

Banc of America Commercial Mortgage, Inc., Series 07-2, Class A4,

      

5.87%, 4/10/49(h)

      1,000      950,760

Bank of America-First Union Commercial Mortgage, Series 01-3, Class A2,

      

5.46%, 4/11/37

      1,375      1,376,844

Bear Stearns Commercial Mortgage Securities, Inc., Series 99-WF2, Class A2,

      

7.08%, 7/15/31

      204      206,560

Bear Stearns Commercial Mortgage Securities, Inc., Series 00-WF2, Class A2,

      

7.32%, 10/15/32

      475      492,763

Bear Stearns Commercial Mortgage Securities, Inc., Series 02-TOP6, Class A1,

      

5.92%, 10/15/36

      475      480,096

Bear Stearns Commercial Mortgage Securities, Inc., Series 03-T12, Class A4,

      

4.68%, 9/13/13

      1,025      998,825

Bear Stearns Mortgage Trust, Series 05-4, Class 3A1,

      

5.37%, 8/25/35(h)

      4,263      4,131,574

CDC Commercial Mortgage Trust, Series 02-FX1, Class A1,

      

5.25%, 5/15/19

      1,038      1,044,443

Citigroup Commercial Mortgage Securities, Series 07-CD5, Class A4,

      

5.89%, 11/15/44

      475      453,425

Citigroup Commercial Mortgage Trust, Series 07-C6, Class AM,

      

5.89%, 6/10/17(h)

      475      431,678

Citigroup-Deutsche Bank Commercial Mortgage Trust, Series 07-CD4, Class A4,

      

5.32%, 12/11/49

      1,970      1,821,096

Commercial Mortgage Acceptance Corp., Series 98-C2, Class C,

      

6.53%, 9/15/30(h)

      256      255,822

Commercial Mortgage Acceptance Corp., Series 98-C2, Class E,

      

7.31%, 6/15/10(h)

      930      953,240

Countrywide Alternative Loan Trust, Series 05-21CB, Class A-17,

      

6.00%, 6/25/35

      1,293      1,175,104

Credit Suisse First Boston Mortgage Securities Corp., Series 01-CP4, Class D,

      

6.61%, 12/15/35

      1,450      1,493,568

Credit Suisse First Boston Mortgage Securities Corp., Series 02-CKN2, Class A3,

      

6.13%, 3/15/12

      1,000      1,020,527

Credit Suisse First Boston Mortgage Securities Corp., Series 02-CKS4, Class A2,

      

5.18%, 8/15/12

      1,090      1,076,902

Credit Suisse First Boston Mortgage Securities Corp., Series 02-CP5, Class A2,

      

4.94%, 12/15/35

      1,010      981,238

Credit Suisse First Boston Mortgage Securities Corp., Series 03-C3, Class A5,

      

3.94%, 5/15/38

      1,020      945,137

Donaldson, Lufkin & Jenrette, Inc., Commercial Mortgage Corp., Series 99-CG1, Class A1B,

      

6.46%, 3/10/32

      119      120,034

First Horizon Mortgage Pass-Through Trust, Series 05-AR3, Class 3A1,

      

5.50%, 8/25/35(h)

      514      499,441

 

14

   BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008     

Schedule of Investments (continued)    (Percentages shown are based on Net Assets)

 

Commercial Mortgage Backed Securities

    Par
(000)		    Value

First Union National Bank Commercial Mortgage Trust, Series 01-C2, Class A2,

      

6.66%, 1/12/43

    $ 970    $ 999,388

First Union National Bank Commercial Mortgage Trust, Series 01-C4, Class A2,

      

6.22%, 12/12/33

      1,140      1,163,296

General Motors Acceptance Corp. Commercial Mortgage Securities, Inc., Series 99-C3, Class A2,

      

7.18%, 8/15/36

      121      123,578

General Motors Acceptance Corp. Commercial Mortgage Securities, Inc., Series 00-C3, Class A2,

      

6.96%, 11/15/10

      1,289      1,332,586

Impac Commercial Mortgage Backed Trust, Series 04-5, Class 1A1,

      

2.84%, 10/25/34(h)

      91      72,966

Impac Commercial Mortgage Backed Trust, Series 04-7, Class 1A1,

      

3.22%, 11/25/34(h)

      224      163,420

Impac Commercial Mortgage Backed Trust, Series 04-7, Class M4,

      

4.28%, 11/25/34(h)

      74      19,284

JPMorgan Chase Commercial Mortgage Securities Corp., Series 06-CB17, Class A4,

      

5.43%, 12/12/43(h)

      150      142,080

JPMorgan Commercial Mortgage Finance Corp., Series 99-C7, Class A2,

      

6.51%, 10/15/35

      40      40,374

JPMorgan Commercial Mortgage Finance Corp., Series 99-PLSI, Class D,

      

7.26%, 2/15/32(h)

      650      657,652

Lehman Brothers Commercial Conduit Mortgage Trust, Series 98-C4, Class A1B,

      

6.21%, 10/15/08

      281      281,320

Lehman Brothers Commercial Conduit Mortgage Trust, Series 99-C2, Class A2,

      

7.33%, 10/15/32

      241      245,273

Lehman Brothers Commercial Conduit Mortgage Trust, Series 99-C2, Class E,

      

7.47%, 10/15/32

      125      128,913

Lehman Brothers-UBS Commercial Mortgage Trust, Series 01-C7, Class A4,

      

5.93%, 12/15/25

      825      835,692

Lehman Brothers-UBS Commercial Mortgage Trust, Series 01-WM, Class A1,

      

6.16%, 7/14/16(f)

      468      476,751

Lehman Brothers-UBS Commercial Mortgage Trust, Series 03-C8, Class A1,

      

3.64%, 11/15/27

      275      274,723

Lehman Brothers-UBS Commercial Mortgage Trust, Series 04-C2, Class A1,

      

2.95%, 3/15/29

      209      207,829

Lehman Brothers-UBS Commercial Mortgage Trust, Series 04-C6, Class A1,

      

3.88%, 8/15/29

      136      134,987

Lehman Brothers-UBS Commercial Mortgage Trust, Series 06-C6, Class A4,

      

5.37%, 9/15/39

      470      444,690

Lehman Brothers-UBS Commercial Mortgage Trust, Series 07-C7, Class A3,

      

5.87%, 9/15/45

      1,050      1,001,698

Morgan Stanley Capital I, Inc., Series 99-WF1, Class A2,

      

6.21%, 11/15/31

      50      50,075

Morgan Stanley Capital I, Inc., Series 02-TOP7, Class A1,

      

5.38%, 1/15/39

      201      202,478

Morgan Stanley Capital I, Inc., Series 03-IQ4, Class A2,

      

4.07%, 5/15/40

      1,025      957,967

Morgan Stanley Capital I, Inc., Series 05-HQ6, Class A4A,

      

4.99%, 8/13/42

      2,405      2,283,673

Morgan Stanley Capital I, Inc., Series 07-IQ13, Class A4,

      

5.36%, 3/15/44

      1,540      1,423,719

Morgan Stanley Capital I, Inc., Series 07-IQ16, Class A4,

      

5.81%, 12/12/49

      480      455,694

Morgan Stanley Dean Witter Capital I, Inc., Series 01-TOP1, Class A4,

      

6.66%, 2/15/33

      863      886,660

Nationslink Funding Corp., Series 99-2, Class D,

      

7.35%, 6/20/31(h)

      175      175,939

Salomon Brothers Mortgage Securities VII, Series 00-C3, Class A2,

      

6.59%, 12/18/33

      1,324      1,355,393

Structured Asset Receivables Trust, Series 03-2,

      

5.72%, 1/21/09(f)(h)

      223      219,949

Structured Asset Securities Corp., Series 96-CFL, Class X1 (IO),

      

2.15%, 2/25/28(n)

      553      26

Structured Mortgage Loan, Series 07-3, Class 2A1,

      

5.73%, 4/25/37(h)

      1,363      1,253,758

TIAA Retail Commercial LLC, Series 01-C1A, Class A4,

      

6.68%, 6/19/31(f)

      1,140      1,159,346

Wachovia Bank Commercial Mortgage Trust, Series 05-C21, Class A3,

      

5.38%, 10/15/44(h)

      490      489,980

Wachovia Bank Commercial Mortgage Trust, Series 06-C25, Class A5,

      

5.93%, 5/15/43(h)

      1,050      1,023,714

Wachovia Bank Commercial Mortgage Trust, Series 07-C33, Class A4,

      

6.10%, 7/15/17(h)

      1,405      1,355,844

Washington Mutual Asset Securities Corp., Series 05-C1A, Class X (IO),

      

1.99%, 5/25/36(f)(n)

      6,937      236,158
         

Total Commercial Mortgage Backed Securities
(Cost — $44,828,466) — 6.3%

         43,185,950
         

Asset Backed Securities

      

Amortizing Residential Collateral Trust, Series 02-BC5, Class M2,

      

4.19%, 7/25/32(h)

      22      6,330

Carrington Mortgage Loan Trust, Series 06-NC4, Class A1,

      

2.53%, 10/25/36(h)

      439      425,069

Centex Home Equity Loan Trust, Series 02-A, Class MF2,

      

6.54%, 1/25/32(e)

      202      157,541

Centex Home Equity Loan Trust, Series 03-B, Class M3,

      

5.58%, 6/25/33(h)

      144      67,308

Chase Issuance Trust, Series 06, Class A3,

      

2.46%, 7/15/11(h)

      1,075      1,071,465

Chase Issuance Trust, Series 07-A17, Class A,

      

5.12%, 10/15/14

      1,200      1,212,749

 

     BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008    15

Schedule of Investments (continued)    (Percentages shown are based on Net Assets)

 

Asset Backed Securities

    Par
(000)		    Value

Chase Issuance Trust, Series 08-A9, Class A9,

      

4.26%, 5/15/11

    $ 1,360    $ 1,351,106

Citibank OMNI Master Trust, Series 07, Class A9,

      

3.58%, 12/23/13(f)(h)

      1,435      1,445,346

Countrywide Alternative Loan Trust, Series 06-18, Class 2A1,

      

2.53%, 7/25/36(h)

      731      708,656

Countrywide Certificates, Series 02-2, Class M2,

      

4.12%, 12/25/31(h)

      4      2,572

Countrywide Certificates, Series 03-2, Class M2,

      

4.96%, 3/26/33(h)

      134      65,039

Countrywide Certificates, Series 03-3, Class M6,

      

5.29%, 7/25/32(h)

      61      13,834

Countrywide Certificates, Series 03-BCI, Class M2,

      

4.79%, 9/25/32(h)

      41      19,970

Credit-Based Asset Servicing and Securitization, Series 04-CB4, Class M1,

      

5.77%, 5/25/35(h)

      275      239,226

General Electric Business Loan Trust, Series 03-1, Class A,

      

2.90%, 4/15/31(f)(h)

      145      134,402

General Electric Business Loan Trust, Series 03-1, Class B,

      

3.77%, 4/15/31(f)(h)

      97      77,648

General Electric Business Loan Trust, Series 03-2A, Class B,

      

3.47%, 11/15/31(f)(h)

      653      514,230

General Electric Business Loan Trust, Series 04-1, Class B,

      

3.17%, 5/15/32(f)(h)

      170      142,976

Green Tree Financial Corp., Series 96-6, Class A6,

      

7.95%, 9/15/27

      387      410,449

Green Tree Financial Corp., Series 96-7, Class A6,

      

7.65%, 10/15/27

      184      192,876

Harborview Mortgage Loan Trust, Series 05-10, Class 2A1A,

      

2.79%, 11/19/35(h)

      706      536,343

Harborview Mortgage Loan Trust, Series 06-9, Class 2A1A,

      

2.69%, 11/19/36(h)

      399      280,913

Harley-Davidson Motorcycle Trust, Series 05-2, Class A2,

      

4.07%, 2/15/12

      829      833,310

Home Equity Asset Trust, Series 07-2, Class 2A1,

      

2.59%, 7/25/37(e)(h)

      479      455,235

LB-UBS Commercial Mortgage Trust, Series 06-C1, Class A4,

      

5.16%, 2/15/31

      1,085      1,021,082

Lehman XS Trust, Series 05-5N, Class 3A2,

      

2.84%, 11/25/35(h)

      628      391,058

Long Beach Mortgage Loan Trust, Series 03-4, Class M5A,

      

6.39%, 8/25/33(h)

      56      5,571

Long Beach Mortgage Loan Trust, Series 04-1, Class M5,

      

3.49%, 2/25/34(h)

      456      364,945

Massachusetts RRB Special Purpose Trust, Series 01-1, Class A,

      

6.53%, 6/01/15

      773      812,596

MBNA Credit Card Master Notes Trust, Series 06-A4, Class A4,

      

2.46%, 9/15/11(h)

      1,650      1,645,015

Nationstar Home Equity Loan Trust, Series 06-B, Class AV1,

      

2.55%, 9/25/36(h)

      120      119,046

Option One Mortgage Loan Trust, Series 02-6, Class M1,

      

3.52%, 11/25/32(e)(h)

      24      16,960

Option One Mortgage Loan Trust, Series 02-6, Class M2,

      

4.94%, 11/25/32(e)(h)

      66      20,773

Option One Mortgage Loan Trust, Series 03-4, Class A4,

      

2.71%, 7/25/33(h)

      87      70,454

Option One Mortgage Loan Trust, Series 03-4, Class M5A,

      

6.14%, 7/25/33(h)

      55      8,756

Option One Mortgage Loan Trust, Series 03-5, Class M4,

      

5.29%, 8/25/33(h)

      37      4,586

Residential Asset Mortgage Products, Inc., Series 03-RZ2, Class B,

      

5.50%, 4/25/33(h)

      99      38,774

Residential Asset Securities Corp., Series 02-KS4, Class AIIB,

      

2.89%, 7/25/32(h)

      45      41,529

Small Business Administration Participation Certificates, Series 97-20F, Class 1,

      

7.20%, 6/01/17

      337      349,852

Structured Asset Investment Loan Trust, Series 03-BC2, Class M2,

      

5.41%, 4/25/33(h)

      47      9,431

Structured Asset Investment Loan Trust, Series 03-BC3, Class M2,

      

5.32%, 4/25/33(h)

      11      2,144

Student Loan Marketing Assoc. Student Loan Trust, Series 08-5, Class A2,

      

4.00%, 10/25/16(h)

      1,720      1,743,323

Student Loan Marketing Assoc. Student Loan Trust, Series 08-5, Class A3,

      

4.20%, 1/25/18(h)

      440      447,872

Student Loan Marketing Assoc. Student Loan Trust, Series 08-5, Class A4,

      

4.60%, 7/25/23(h)

      1,170      1,209,499

USAA Auto Owner Trust, Series 06-2, Class A3,

      

5.32%, 9/15/10

      718      721,788

Total Asset Backed Securities
(Cost — $20,561,743) — 2.8%

         19,409,647

Collateralized Debt Obligations

      

Knollwood Ltd., Series 04-1A, Class C,
5.93%, 1/10/39(e)(f)(h)

      

(Cost — $105,543) — 0.0%

      106      106

Corporate Bonds

      

Banks — 1.0%

      

Bank of America Corp., Senior Unsecured Notes,

      

6.00%, 9/01/17

      315      303,506

5.75%, 12/01/17

      1,090      1,023,637

Bank of America Corp., Subordinated Notes,

      

7.40%, 1/15/11

      325      338,954

Citigroup, Inc., Senior Unsecured Notes,

      

5.30%, 10/17/12

      725      707,198

Citigroup, Inc., Subordinated Notes,

      

5.00%, 9/15/14

      500      463,082

JPMorgan Chase Bank N.A., Subordinated Notes,

      

6.00%, 7/05/17

      425      416,618

 

16

   BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008     

Schedule of Investments (continued)    (Percentages shown are based on Net Assets)

 

Corporate Bonds

    Par
(000)		    Value

Banks (Continued)

      

U.S. Bank N.A., Senior Bank Notes,

      

4.40%, 8/15/08

    $ 575    $ 575,632

UBS AG, Senior Notes,

      

5.88%, 12/20/17

      935      909,521

Wachovia Bank N.A., Subordinated Notes,

      

6.60%, 1/15/38

      900      784,251

Wells Fargo & Co., Senior Unsecured Notes,

      

4.20%, 1/15/10

      1,200      1,203,498
        6,725,897

Broadcasting — 0.3%

      

Cablevision Systems Corp., Senior Unsecured Notes,

      

7.13%, 4/01/09(h)

      325      325,000

Charter Communications Holdings II LLC, Unsecured Notes,

      

10.25%, 9/15/10

      255      246,712

EchoStar DBS Corp., Senior Unsecured Notes,

      

7.00%, 10/01/13

      4      3,810

7.13%, 2/01/16

      25      23,063

News America, Inc., Senior Debentures,

      

7.75%, 1/20/24

      25      27,013

7.28%, 6/30/28

      35      35,969

News America, Inc., Senior Unsecured Notes,

      

6.20%, 12/15/34

      100      92,218

Time Warner Cable, Inc., Senior Unsecured Notes,

      

6.20%, 7/01/13

      1,025      1,042,289
        1,796,074

Chemicals — 0.0%

      

Huntsman International LLC, Senior Subordinated Notes,

      

7.88%, 11/15/14

      45      41,175

Computer & Office Equipment — 0.1%

      

International Business Machines Corp., Unsecured Notes,

      

5.70%, 9/14/17

      360      365,369

Computer Software & Services — 0.1%

      

Oracle Corp., Senior Unsecured Notes,

      

4.95%, 4/15/13

      570      575,508

Electronics — 0.0%

      

L-3 Communications Corp., Senior Subordinated Notes,

      

6.38%, 10/15/15

      35      32,725

Energy & Utilities — 0.4%

      

AES Eastern Energy LP, Pass-Through Certificates, Series 99-A,

      

9.00%, 1/02/17

      211      225,385

Florida Power & Light Co., First Mortgage Bonds,

      

5.63%, 4/01/34

      150      141,663

5.95%, 2/01/38

      225      222,425

Florida Power Corp., First Mortgage Bonds,

      

6.40%, 6/15/38

      150      152,349

Forest Oil Corp., Senior Unsecured Notes,

      

7.25%, 6/15/19

      130      124,800

MidAmerican Energy Holdings Co. Bonds,

      

6.50%, 9/15/37

      250      252,493

NRG Energy, Inc., Senior Unsecured Notes,

      

7.38%, 2/01/16

      190      178,837

PacifiCorp, First Mortgage Bonds,

      

6.25%, 10/15/37

      200      197,777

Tesoro Corp., Senior Unsecured Notes,

      

6.50%, 6/01/17

      250      224,375

Texas Competitive Electric Holding LLC, Senior Notes,

      

10.25%, 11/01/15(f)

      350      343,000

Texas Competitive Electric Holding LLC, Toggle Notes,

      

10.50%, 11/01/16(f)(o)

      110      107,800

Transocean, Inc., Senior Unsecured Notes,

      

6.00%, 3/15/18

      75      75,112

XTO Energy, Inc., Senior Unsecured Notes,

      

6.75%, 8/01/37

      250      253,504
        2,499,520

Entertainment & Leisure — 0.4%

      

Comcast Cable Holdings LLC, Senior Debentures,

      

7.88%, 8/01/13-2/15/26

      7      7,574

Comcast Cable Holdings LLC, Senior Notes,

      

7.13%, 2/15/28

      35      35,347

Comcast Corp., Senior Unsecured Notes,

      

7.05%, 3/15/33

      115      116,837

Comcast Corp., Unsecured Notes,

      

6.50%, 1/15/17

      850      855,052

6.95%, 8/15/37

      360      354,092

CSC Holdings, Inc., Senior Unsecured Notes,

      

8.13%, 7/15/09

      640      644,800

Directv Holdings LLC, Senior Notes,

      

7.63%, 5/15/16(f)

      280      275,800

Harrahs Operating Co., Inc., Unsecured Notes,

      

10.75%, 2/01/18(f)

      360      265,500

Riddell Bell Holdings, Inc., Senior Subordinated Notes,

      

8.38%, 10/01/12

      65      51,350

Seneca Gaming Corp., Senior Unsecured Notes,

      

7.25%, 5/01/12

      125      117,188

Time Warner Cos., Inc., Senior Debentures,

      

7.57%, 2/01/24

      30      30,512

Time Warner, Inc., Senior Debentures,

      

7.63%, 4/15/31(m)

      200      203,049
        2,957,101

Finance — 2.1%

      

Arch Western Finance, Senior Notes,

      

6.75%, 7/01/13(h)

      400      392,000

The Bear Stearns Cos., Inc., Senior Unsecured Notes,

      

6.95%, 8/10/12

      655      681,051

Berkshire Hathaway Finance Corp., Senior Unsecured Notes,

      

4.75%, 5/15/12

      355      359,866

Ford Motor Credit Co., Senior Notes,

      

5.80%, 1/12/09

      235      224,391

Ford Motor Credit Co., Senior Unsecured Notes,

      

8.63%, 11/01/10

      250      212,076

Ford Motor Credit Co., Unsecured Notes,

      

9.75%, 9/15/10

      135      117,704

7.80%, 6/01/12

      225      174,017

General Electric Capital Corp., Senior Unsecured Notes,

      

5.00%, 12/01/10

      300      307,756

6.75%, 3/15/32(m)

      50      50,347

General Electric Capital Corp., Unsecured Notes,

      

3.01%, 7/28/08(h)

      150      149,985

 

     BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008    17

Schedule of Investments (continued)    (Percentages shown are based on Net Assets)

 

Corporate Bonds

    Par
(000)		    Value

Finance (Continued)

      

5.00%, 11/15/11

    $ 3,445    $ 3,511,247

6.15%, 8/07/37

      505      473,881

GlaxoSmithKline Capital, Inc., Senior Unsecured Notes,

      

4.85%, 5/15/13

      400      399,461

Goldman Sachs Group, Inc., Unsecured Notes,

      

5.25%, 10/15/13

      1,050      1,027,803

JPMorgan Chase & Co., Unsecured Notes,

      

5.60%, 6/01/11

      550      557,535

Lehman Brothers Holdings, Inc., Senior Notes,

      

5.63%, 1/24/13

      320      302,881

7.00%, 9/27/27

      475      439,188

Lehman Brothers Holdings, Inc., Subordinated Notes,

      

6.75%, 12/28/17

      190      178,491

Lehman Brothers Holdings, Inc., Unsecured Notes,

      

5.25%, 2/06/12

      440      416,387

Leucadia National Corp., Senior Unsecured Notes,

      

7.13%, 3/15/17

      200      191,000

Morgan Stanley, Senior Notes,

      

2.96%, 1/09/12(h)

      1,655      1,538,120

5.55%, 4/27/17

      115      102,856

6.25%, 8/28/17

      1,025      955,618

Morgan Stanley, Unsecured Notes,

      

5.05%, 1/21/11

      360      355,894

NSG Holdings LLC, Notes,

      

7.75%, 12/15/25(f)

      140      137,900

Russian Federation, Unsubordinated Notes,

      

7.50%, 3/31/30(h)

      591      663,037

Student Loan Marketing Corp., Senior Unsecured Notes,

      

3.06%, 7/27/09(h)

      525      492,213

TL Acquisitions, Inc., Senior Unsecured Notes,

      

10.50%, 1/15/15(f)

      290      250,850
        14,663,555

Food & Agriculture — 0.1%

      

Kraft Foods, Inc., Senior Unsecured Notes,

      

6.50%, 8/11/17

      535      535,681

6.13%, 2/01/18

      475      461,739
        997,420

Insurance — 0.1%

      

Metropolitan Life Global Funding I, Senior Unsecured Notes,

      

5.13%, 4/10/13(f)

      850      836,985

Leasing — 0.0%

      

Rent-A-Center, Senior Subordinated Notes,

      

7.50%, 5/01/10

      180      174,150

Manufacturing — 0.1%

      

Aleris International, Inc., Senior Unsecured Notes,

      

9.00%, 12/15/14(o)

      230      179,400

Georgia-Pacific Corp., Senior Unsecured Notes,

      

7.13%, 1/15/17(f)

      125      117,500

Jarden Corp., Senior Subordinated Notes,

      

7.50%, 5/01/17

      75      65,250

Rexnord LLC, Senior Notes,

      

8.88%, 9/01/16

      30      28,050

Rock-Tenn Co., Senior Unsecured Notes,

      

8.20%, 8/15/11

      250      257,500
        647,700

Medical & Medical Services — 0.1%

      

Health Management Plc, Senior Unsecured Notes,

      

6.13%, 4/15/16

      230      201,250

Reable Therapeutics, Inc., Unsecured Notes,

      

10.88%, 11/15/14(f)

      280      280,000
        481,250

Metal & Mining — 0.1%

      

Freeport-McMoRan Copper & Gold, Inc., Senior Unsecured Notes,

      

5.88%, 4/01/15(h)

      130      131,282

8.25%, 4/01/15

      145      152,431

8.38%, 4/01/17

      445      469,475
        753,188

Motor Vehicles — 0.0%

      

Lear Corp., Senior Unsecured Notes,

      

8.75%, 12/01/16

      90      70,200

Oil & Gas — 0.2%

      

Chesapeake Energy Corp., Senior Unsecured Notes,

      

7.25%, 12/15/18

      400      389,000

Consolidated Natural Gas, Inc., Senior Debentures,

      

5.00%, 3/01/14

      20      19,210

EXCO Resources, Inc., Senior Secured Notes,

      

7.25%, 1/15/11

      65      63,862

Gazprom, Unsecured Notes,

      

9.63%, 3/01/13

      680      751,822

Newfield Exploration Co., Senior Subordinated Notes,

      

6.63%, 9/01/14-4/15/16

      250      232,300

Targa Resources, Inc., Senior Unsecured Notes,

      

8.50%, 11/01/13

      10      9,800

Transocean, Inc., Senior Unsecured Notes,

      

6.80%, 3/15/38

      105      107,387
        1,573,381

Paper & Forest Products — 0.0%

      

NewPage Corp., Senior Secured Notes,

      

10.00%, 5/01/12

      140      141,750

Pharmaceuticals — 0.1%

      

Bristol-Myers Squibb Co., Senior Debentures,

      

6.88%, 8/01/49

      25      24,658

Merck & Co., Inc., Senior Unsecured Notes,

      

4.38%, 2/15/13

      410      410,622
        435,280

Real Estate — 0.1%

      

American Real Estate Partners LP, Senior Unsecured Notes,

      

7.13%, 2/15/13

      420      381,150

The Rouse Co., Unsecured Notes (REIT),

      

3.63%, 3/15/09

      90      86,587
        467,737

Restaurants — 0.0%

      

Landry’s Restaurants, Inc., Senior Notes,

      

9.50%, 12/15/14

      90      88,200

Retail Merchandising — 0.2%

      

Michaels Stores, Inc., Senior Unsecured Notes,

      

10.00%, 11/01/14

      120      103,950

 

18

   BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008     

Schedule of Investments (continued)    (Percentages shown are based on Net Assets)

 

Corporate Bonds

    Par
(000)		    Value

Retail Merchandising (Continued)

      

Rite Aid Corp., Notes,

      

7.50%, 3/01/17

    $ 320    $ 258,400

Wal-Mart Stores, Inc., Senior Unsecured Notes,

      

5.80%, 2/15/18

      1,250      1,294,243
        1,656,593

Telecommunications — 0.5%

      

American Tower Corp., Senior Unsecured Notes,

      

7.50%, 5/01/12

      800      808,000

AT&T, Inc., Unsecured Notes,

      

5.50%, 2/01/18

      250      242,252

6.50%, 9/01/37

      800      774,255

Cincinnati Bell, Inc., Senior Unsecured Notes,

      

7.25%, 7/15/13

      520      507,000

Citizens Communications Co., Senior Unsecured Notes,

      

7.88%, 1/15/27

      25      21,875

Qwest Communications International, Inc., Senior Unsecured Notes,

      

7.50%, 2/15/14

      310      294,500

Qwest Corp., Unsecured Notes,

      

6.05%, 6/15/13(h)

      75      71,625

Superior Essex Communications & Essex Group, Senior Notes,

      

9.00%, 4/15/12

      425      433,500

Verizon Maryland, Inc., Debentures,

      

5.13%, 6/15/33

      10      7,722

Windstream Corp., Senior Unsecured Notes,

      

8.63%, 8/01/16

      105      104,738
        3,265,467

Tires & Rubber — 0.0%

      

Goodyear Tire & Rubber Co., Unsecured Notes,

      

8.63%, 12/01/11

      125      126,250

Yankee — 1.7%

      

Banks — 0.4%

      

Anz National Bank International Ltd. (New Zealand), Unsecured Notes,

      

2.82%, 4/14/10(d)(f)(h)

      1,645      1,631,649

Banco Central de la Republica Dominicana (Dominican Republic), Unsecured Notes,

      

9.04%, 1/23/18(d)

      33      33,445

Banque Centrale de Tunisie (Tunisia), Senior Unsecured Notes,

      

7.38%, 4/25/12(d)

      425      449,437

UBS AG (Switzerland), Senior Unsecured Notes,

      

5.75%, 4/25/18(d)

      600      572,530

VTB Capital SA (Luxembourg), Unsecured Notes,

      

7.50%, 10/12/11(d)

      110      112,165
        2,799,226

Electronics — 0.0%

      

NXP BV (Netherlands), Notes,

      

7.01%, 10/15/13(d)(h)

      190      167,200

Energy & Utilities — 0.0%

      

Suncor Energy, Inc. (Canada), Unsecured Notes,

      

6.50%, 6/15/38(d)

      20      19,402

Finance — 0.0%

      

Wind Acquisition Finance SA (Luxembourg), Senior Unsecured Notes,

      

10.75%, 12/01/15(d)(f)

      115      120,750

Government — 0.7%

      

AID-Israel (Israel), Unsecured Notes,

      

5.50%, 4/26/24-9/18/33(d)

      185      199,204

Oriental Republic of Uruguay Bonds,

      

7.63%, 3/21/36(d)

      165      168,960

Republic of Argentina, Unsecured Notes,

      

1.33%, 12/31/38(d)(h)

      170      57,800

Republic of Brazil Bonds,

      

8.00%, 1/15/18(d)

      340      377,570

8.25%, 1/20/34(d)

      100      122,950

11.00%, 8/17/40(d)

      705      932,362

Republic of El Salvador, Unsecured Notes,

      

7.65%, 6/15/35(d)(f)

      55      56,925

Republic of Indonesia Bonds,

      

6.63%, 2/17/37(d)(f)

      100      83,500

Republic of Panama, Debentures,

      

8.88%, 9/30/27(d)

      95      119,225

Republic of Panama, Unsecured Notes,

      

7.13%, 1/29/26(d)

      170      179,350

Republic of Peru Bonds,

      

6.55%, 3/14/37(d)

      115      116,438

Republic of Philippines, Senior Unsecured Notes,

      

9.00%, 2/15/13(d)

      370      406,075

Republic of Turkey, Unsecured Notes,

      

6.75%, 4/03/18(d)

      730      678,900

Republic of Venezuela Bonds,

      

9.25%, 9/15/27(d)

      280      262,780

Republic of Venezuela, Unsecured Notes,

      

8.50%, 10/08/14(d)

      200      188,500

Ukraine Government, Unsecured Notes,

      

6.58%, 11/21/16(d)(f)

      100      88,750

United Mexican States (Mexico), Senior Unsecured Notes,

      

8.30%, 8/15/31(d)

      94      118,910

United Mexican States (Mexico), Unsecured Notes,

      

7.50%, 4/08/33(d)

      185      213,212

6.05%, 1/11/40(d)

      125      120,188
        4,491,599

Manufacturing — 0.1%

      

Ford Capital BV (Netherlands), Debentures,

      

9.50%, 6/01/10(d)

      390      317,850

Metal & Mining — 0.0%

      

Ispat Inland ULC (Canada), Senior Secured Notes,

      

9.75%, 4/01/14(d)

      10      10,688

Oil & Gas — 0.2%

      

ConocoPhillips Funding Co. (Australia), Unsecured Notes,

      

2.81%, 4/09/09(d)(h)

      1,129      1,129,580

Gazprom Capital (Luxembourg), Unsecured Notes,

      

9.63%, 3/01/13(d)(f)

      200      221,860

Opti, Inc. (Canada), Notes,

      

8.25%, 12/15/14(d)

      175      174,125
        1,525,565

Paper & Forest Products — 0.0%

      

Ainsworth Lumber Co. Ltd. (Canada), Senior Unsecured Notes,

      

6.55%, 10/01/10(d)(h)

      285      131,100

7.25%, 10/01/12(d)

      25      11,500

 

     BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008    19

Schedule of Investments (continued)    (Percentages shown are based on Net Assets)

 

Corporate Bonds

    Par
(000)		     Value

Yankee (Continued)

     

Paper & Forest Products (Continued)

     

Norske Skog Canada Ltd. (Canada), Senior Unsecured Notes,

     

8.63%, 6/15/11(d)

    $ 50     $ 42,500
       185,100

Telecommunications — 0.3%

     

America Movil SAB de CV (Mexico), Unsecured Notes,

     

6.38%, 3/01/35(d)

      75       71,242

Rogers Wireless, Inc. (Canada), Senior Secured Notes,

     

7.50%, 3/15/15(d)

      500       529,296

Shaw Communications, Inc. (Canada), Unsecured Notes,

     

7.20%, 12/15/11(d)

      175       176,750

Telecom Italia Capital (Italy), Senior Unsecured Notes,

     

4.95%, 9/30/14(d)

      475       434,745

Telefonica Emisiones SAU (Spain), Senior Unsecured Notes,

     

6.42%, 6/20/16(d)

      150       152,261

7.05%, 6/20/36(d)

      150       153,938

Vimpelcom (Luxembourg), Notes,

     

8.25%, 5/23/16(d)

      100       96,750

Vodafone Group Plc (United Kingdom), Senior Unsecured Notes,

     

7.75%, 2/15/10(d)

      125       130,621
       1,745,603

Total Corporate Bonds
(Cost — $54,338,414) — 7.7%

        52,755,458

Foreign Bonds

     

Germany — 0.1%

     

Bundesrepublic Deutschland (EUR)

     

4.00%, 1/04/37

      425       578,649

4.25%, 7/04/39

      250       354,729

Total Foreign Bonds
(Cost — $921,065) — 0.1%

        933,378

Taxable Municipal Bonds

     

Atlantic Marine Corp. Communities, Notes (Delaware)

     

5.34%, 12/01/49(f)

      600       492,600

Ohana Hawaii Military Communities LLC, Military Housing Revenue Bonds (Navy Housing Privatization Project), Series 04-A, Class 1

     

6.19%, 4/01/49(f)

      25       23,284

Total Taxable Municipal Bonds
(Cost — $625,000) — 0.1%

        515,884
     Shares      

Exchange-Traded Funds

     

iShares MSCI Brazil Index Fund

      23,000       2,060,570

iShares MSCI Mexico Investable Market Index Fund

      25,000       1,423,500

iShares MSCI South Korea Index Fund

      40,000       2,047,200

iShares Russell 2000 Value Index Fund

      1,463       93,632

iShares Russell Midcap Growth Index Fund

      1,700       179,996

iShares Silver Trust(a)

      15,000       2,587,950

SPDR Gold Trust

      42,000       3,838,800

Total Exchange-Traded Funds
(Cost — $12,044,404) — 1.8%

        12,231,648
     Par/Shares
(000)		      

Short-Term Investments

     

BlackRock Liquidity Series, LLC Money Market Series,

     

2.70%(p)(q)(r)

    $ 4,090       4,090,100

CBA (Delaware) Finance,

     

2.62%, 9/11/08(s)

      14,000       13,922,668

Dexia Delaware LLC,

     

2.61%, 8/11/08(s)

      14,000       13,957,124

Federal Home Loan Bank, Discount Notes,

     

2.10%, 8/08/08(s)

      1,900       1,895,588

Galileo Money Market Fund, 2.32%(r)

      39,138       39,138,455

Galleon Capital LLC,

     

2.86%, 8/01/08(s)

      14,000       13,965,521

Total Short-Term Investments
(Cost — $86,974,689) — 12.6%

        86,969,456
     Contracts      

Call Options Purchased

     

EURIBOR Future, expiring September 2008 at USD 95

      39       8,443

Call Swaptions Purchased

     

Receive a fixed rate of 5.210% and pay a floating rate based on 3-month USD LIBOR, expiring March 2011, Broker Goldman Sachs & Co.

     300 (t)     155,935

Receive a fixed rate of 5.338% and pay a floating rate based on 3-month USD LIBOR, expiring February 2011, Broker JPMorgan Chase

      200 (t)     113,443

Receive a fixed rate of 5.345% and pay a floating rate based on 3-month USD LIBOR, expiring November 2009, Broker Lehman Brothers

      450 (t)     245,069

Receive a fixed rate of 5.360% and pay a floating rate based on 3-month USD LIBOR, expiring June 2013, Broker UBS Securities

      300 (t)     106,491

Receive a fixed rate of 5.390% and pay a floating rate based on 3-month USD LIBOR, expiring March 2012, Broker Lehman Brothers

      330 (t)     195,127

Receive a fixed rate of 5.470% and pay a floating rate based on 3-month USD LIBOR, expiring May 2012, Broker Bank of America

      560 (t)     346,623

Receive a fixed rate of 6.025% and pay a floating rate based on 3-month USD LIBOR, expiring June 2012, Broker Lehman Brothers,

      391 (t)     327,906

Total Call Options Purchased
(Cost — $1,054,331) — 0.2%

        1,499,037

 

20

   BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008     

Schedule of Investments (continued)    (Percentages shown are based on Net Assets)

 

Put Options Purchased

    Contracts     Value  

Put Swaptions Purchased

     

Pay a fixed rate of 5.210% and receive a floating rate based on 3-month USD LIBOR, expiring March 2011, Broker Goldman Sachs & Co.

     300 (t)   $ 140,565  

Pay a fixed rate of 5.338% and receive a floating rate based on 3-month USD LIBOR, expiring February 2011, Broker JPMorgan Chase

      200 (t)     84,693  

Pay a fixed rate of 5.345% and receive a floating rate based on 3-month USD LIBOR, expiring November 2009, Broker Lehman Brothers

      450 (t)     127,520  

Pay a fixed rate of 5.360% and receive a floating rate based on 3-month USD LIBOR, expiring June 2013, Broker UBS Securities

      300 (t)     90,215  

Pay a fixed rate of 5.390% and receive a floating rate based on 3-month USD LIBOR, expiring March 2012, Broker Lehman Brothers

      330 (t)     154,229  

Pay a fixed rate of 5.470% and receive a floating rate based on 3-month USD LIBOR, expiring May 2012, Broker Bank of America 5/08/12

      560 (t)     251,318  

Pay a fixed rate of 6.025% and receive a floating rate based on 3-month USD LIBOR, expiring June 2012, Broker Lehman Brothers

      391 (t)     120,090  
          

Total Put Options Purchased
(Cost — $1,045,024) — 0.1%

        968,630  
          

Total Investments Before TBA Sale Commitments and Outstanding Options Written
(Cost — $726,288,677*) — 114.0%

        784,169,551  
          
     Par
(000)		        

TBA Sale Commitments

     

Federal Home Loan Mortgage Corp. Gold 15 Year,

     

5.50%, 7/01/23

    $ (2,100 )     (2,106,552 )

Federal National Mortgage Assoc. 15 Year,

     

4.50%, 7/01/23(l)

      (2,900 )     (2,803,952 )

5.00%, 7/01/23-7/01/38(l)

      (18,819 )     (18,591,347 )

5.50%, 7/01/23

      (3,100 )     (3,111,625 )

Federal National Mortgage Assoc. 30 Year,

     

6.50%, 7/01/38(l)

      (3,400 )     (3,477,554 )

Government National Mortgage Assoc. I 30 Year,

     

5.50%, 7/01/38

      (500 )     (497,031 )

6.00%, 7/01/38(l)

      (1,800 )     (1,827,558 )

6.50%, 7/01/38

      (2,200 )     (2,271,500 )

Government National Mortgage Assoc. II 30 Year,

     

6.00%, 7/01/38

      (100 )     (101,344 )

5.50%, 8/01/38(l)

      (300 )     (296,648 )
          

Total TBA Sale Commitments
(Proceeds — $34,917,238) — 114.0%

        (35,085,111 )
          
     Contracts        

Call Options Written

     

U.S. Treasury Notes (10 Year), expiring August 2008 at $117

      (21 )     (7,219 )

Call Swaptions Written

     

Pay a fixed rate of 4.200% and receive a floating rate based on 3-month USD LIBOR, expiring November 2008, Broker UBS Securities

      (400 )(t)     (31,091 )

Pay a fixed rate of 4.580% and receive a floating rate based on 3-month USD LIBOR, expiring May 2009, Broker Bank of America

      (150 )(t)     (33,724 )

Pay a fixed rate of 4.820% and receive a floating rate based on 3-month USD LIBOR, expiring May 2010, Broker Goldman Sachs & Co.

      (350 )(t)     (127,065 )

Pay a fixed rate of 4.870% and receive a floating rate based on 3-month USD LIBOR, expiring February 2010, Broker Deutsche Bank

      (570 )(t)     (209,867 )

Pay a fixed rate of 5.050% and receive a floating rate based on 3-month USD LIBOR, expiring May 2011, Broker Citibank

      (500 )(t)     (234,408 )

Pay a fixed rate of 5.400% and receive a floating rate based on 3-month USD LIBOR, expiring December 2010, Broker UBS Securities

      (260 )(t)     (153,039 )

Pay a fixed rate of 5.460% and receive a floating rate based on 3-month USD LIBOR, expiring August 2008, Broker Chase Securities

      (170 )(t)     (101,660 )

Pay a fixed rate of 5.485% and receive a floating rate based on 3-month USD LIBOR, expiring October 2009, Broker Chase Securities

      (140 )(t)     (85,408 )

Pay a fixed rate of 5.670% and receive a floating rate based on 3-month USD LIBOR, expiring January 2010, Broker Citibank

      (50 )(t)     (35,157 )
          

Total Call Options Written
(Premiums received — $1,017,002) — (0.2)%

        (1,018,638 )
          

Put Options Written

     

U.S. Treasury Notes (10 Year), expiring August 2008 at $113

      (21 )     (18,703 )

Put Swaptions Written

     

Receive a fixed rate of 3.100% and pay a floating rate based on 3-month USD LIBOR, expiring October 2008, Broker Citibank

      (880 )(t)     (133,085 )

Receive a fixed rate of 3.300% and pay a floating rate based on 3-month USD LIBOR, expiring October 2008, Broker Deutsche Bank

      (1800 )(t)     (228,358 )

Receive a fixed rate of 4.580% and pay a floating rate based on 3-month USD LIBOR, expiring May 2009, Broker Bank of America

      (150 )(t)     (70,311 )

Receive a fixed rate of 4.700% and pay a floating rate based on 3-month USD LIBOR, expiring November 2008, Broker UBS Securities

      (400 )(t)     (109,292 )

 

     BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008    21

Schedule of Investments (continued)    (Percentages shown are based on Net Assets)

 

Put Options Written

    Contracts     Value  

Receive a fixed rate of 4.820% and pay a floating rate based on 3-month USD LIBOR, expiring May 2010, Broker Goldman Sachs & Co.

    (350 )(t)   $ (189,554 )

Receive a fixed rate of 4.870% and pay a floating rate based on 3-month USD LIBOR, expiring February 2010, Broker Deutsche Bank

    (570 )(t)     (278,317 )

Receive a fixed rate of 5.050% and pay a floating rate based on 3-month USD LIBOR, expiring May 2011, Broker Citibank

    (500 )(t)     (269,589 )

Receive a fixed rate of 5.400% and pay a floating rate based on 3-month USD LIBOR, expiring December 2010, Broker UBS Securities

    (260 )(t)     (101,326 )

Receive a fixed rate of 5.460% and pay a floating rate based on 3-month USD LIBOR, expiring August 2008, Broker Chase Securities

    (170 )(t)     (1,963 )

Receive a fixed rate of 5.485% and pay a floating rate based on 3-month USD LIBOR, expiring October 2009, Broker Chase Securities

    (140 )(t)     (33,343 )

Receive a fixed rate of 5.670% and pay a floating rate based on 3-month USD LIBOR, expiring January 2010, Broker Citibank

    (50 )(t)     (10,907 )
          

Total Put Options Written
(Premiums received — $1,210,874) — (0.2)%

        (1,444,748 )
          

Total Options Written
(Premiums received — $2,227,876) — (0.4)%

      $ (2,463,386 )
          

Total Investments Net of TBA Sale Commitments and Outstanding Options Written
(Cost — $689,143,563) — 108.6%

        746,621,054  

Obligation to Return Securities Lending Collateral — (0.6)%

        (4,090,100 )

Liabilities in Excess of Other Assets — (8.0)%

        (54,716,190 )
          

Net Assets — 100.0%

      $ 687,814,764  
          

 

* The cost and unrealized appreciation (depreciation) of investments as of June 30, 2008, as computed for federal income tax purposes, were as follows:

 

Aggregate cost

    $ 730,954,487  
        

Gross unrealized appreciation

    $ 85,423,591  

Gross unrealized depreciation

      (32,208,527 )
        

Net unrealized appreciation

    $ 53,215,064  
        

 

(a) Non-income producing security.

 

(b) Restricted security as to resale. As of report date the Portfolio held 0.1% of its net assets, with a current market value of $1,025,909 and an original cost of $562,489 in these securities.

 

(c) Security, or a portion of security, is on loan.

 

(d) U.S. dollar denominated security issued by foreign domiciled entity.

 

(e) Security is fair valued by the Board of Trustees.

 

(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. Unless otherwise indicated, these securities are considered to be liquid.

 

(g) Security is perpetual in nature and has no stated maturity date. In certain instances, a final maturity date may be extended and/or the final payment of principal may be deferred at the issuer’s option for a specified time without default.

 

(h) Variable rate security. Rate shown is as of report date. Maturity shown is the final maturity date.

 

(i) The rate shown is the effective yield at the time of purchase.

 

(j) Par is less than $500.

 

(k) Security, or a portion thereof, with a market value of $964,995, has been pledged as collateral for swap and interest rate swap contracts.

 

(l) Represents or includes a “to-be-announced” transaction. The Portfolio has committed to purchasing securities for which all specific information is not available at this time.

 

(m) All or a portion of security, with a market value of $2,263,029 has been pledged as collateral in connection with open financial futures contracts.

 

(n) The rate shown is the effective yield as of report date.

 

(o) Represents a payment-in-kind security which may pay interest/dividends in additional face/shares.

 

(p) Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

 

Affiliate

    Net
Activity		    Interest
Income

BlackRock Liquidity Series, LLC Money Market Series

    $ 4,090,100    $ 34,607

 

(q) Security purchased with the cash proceeds from securities loans.

 

(r) Represents current yield as of report date.

 

(s) Rate shown reflects the discount rate at the time of purchase.

 

(t) One contract represents a notional amount of $10,000.

 

•  

Forward foreign exchange contracts purchased as of June 30, 2008 were as follows:

 

Foreign Currency Purchased

    Currency
Amount		    Settlement
Date		    Unrealized
Appreciation
(Depreciation)		  

CAD

    55,000    07/02/08    $ (508 )

CAD

    96,000    07/03/08      (537 )

JPY

    214,207,163    07/11/08      (82,302 )

AUD

    1,578,000    07/23/08      57,343  

CAD

    2,462,000    07/23/08      (11,634 )

CHF

    1,522,500    07/23/08      (12,155 )

EUR

    7,553,300    07/23/08      70,048  

GBP

    524,000    07/23/08      19,046  

HKD

    4,902,500    07/23/08      (1,728 )

JPY

    470,267,653    07/23/08      (35,137 )

NOK

    3,157,000    07/23/08      1,166  

PLN

    1,302,000    07/23/08      8,864  

SEK

    4,290,100    07/23/08      (5,081 )

SGD

    437,000    07/23/08      (3,013 )

ZAR

    2,372,000    07/23/08      4,958  
              

Total Net Unrealized Appreciation on Forward Foreign Exchange Contracts
(USD Commitment - $26,140,444)

          $ 9,330  
              

 

22

   BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008     

Schedule of Investments (continued)    (Percentages shown are based on Net Assets)

 

•  

Forward foreign exchange contracts sold as of June 30, 2008 were as follows:

 

Foreign Currency Sold

    Currency
Amount		    Settlement
Date		    Unrealized
Appreciation
(Depreciation)		  

JPY

    810,000    07/01/08    $ (1 )

EUR

    92,000    07/02/08      317  

GBP

    49,000    07/02/08      175  

JPY

    920,000    07/02/08      32  

CAD

    759,000    07/23/08      5,347  

CHF

    853,000    07/23/08      (10,652 )

DKK

    403,500    07/23/08      (411 )

EUR

    4,500,241    07/23/08      (90,091 )

GBP

    2,271,500    07/23/08      (59,507 )

HKD

    1,202,000    07/23/08      180  

JPY

    663,290,486    07/23/08      157,583  

NOK

    11,459,000    07/23/08      36,583  

ZAR

    1,286,500    07/23/08      5,651  
              

Total Net Unrealized Appreciation on Forward Foreign Exchange Contracts (USD Commitment - $22,094,703)

          $ 45,206  
              

 

•  

Financial futures contracts purchased as of June 30, 2008 were as follows:

 

Contracts

   

Issue

   

Expiration Date

    Notional
Amount		    Unrealized
Appreciation
(Depreciation)		  
   U.S. Treasury         

23

    Notes (2 Year)    September 2008    $ 4,857,672    $ 1,883  
   U.S. Treasury         

80

    Notes (10 Year)    September 2008    $ 9,113,750      38,205  

26

    Euro-Bund    September 2008    $ 4,529,273      (54,482 )

31

    Euro Dollar Futures    December 2008    $ 7,503,550      13,270  

219

    Euro Dollar Futures    March 2009    $ 52,932,300      39,368  

51

    Euro Dollar Futures    June 2009    $ 12,299,925      (57,530 )

80

    MSCI Taiwan Index    July 2008    $ 2,244,000      (150,890 )

16

    S&P/ASX 200 Index    September 2008    $ 1,994,008      (79,043 )

12

    S&P/TSE 60 Index    September 2008    $ 2,047,351      (85,991 )
                 

Total Net Unrealized Depreciation

          $ (335,210 )
                 

 

•  

Financial futures contracts sold as of June 30, 2008 were as follows:

 

Contracts

   

Issue

   

Expiration Date

    Notional
Amount		    Unrealized
Appreciation
(Depreciation)		  
   U.S. Treasury         

319

    Notes (5 Year)    September 2008    $ 35,266,945    $ (208,423 )

73

    U.S. Treasury Bonds    September 2008    $ 8,438,344      (172,210 )

109

    Euro Dollar Futures    June 2010    $ 26,044,187      224,371  
                 

Total Net Unrealized Depreciation

          $ (156,262 )
                 

 

•  

Swaps outstanding as of June 30, 2008 were as follows:

 

         Notional
Amount		    Unrealized
Appreciation
(Depreciation)		  

Receive (pay) a variable return based on the change in the spread return of the Lehman Brothers CMBS Aaa 8.5+ Yr Index and receive a fixed rate of 3.5708%

        

Broker, Goldman Sachs

Expires, August 2008

   USD    2,135,000    $ (78,143 )

Receive (pay) a variable return based on the change in the spread return of the Lehman Brothers Equity Swap Index and receive a floating rate based on 1-month USD LIBOR

        

Broker, Lehman Brothers

Expires, February 2009

   USD    19,838,300      (316,889 )

Receive a fixed rate of 5.50% and pay a floating rate based on 3-month USD LIBOR

        

Broker, Bank of America

Expires, July 2009

   USD    7,500,000      316,931  

Receive a fixed rate of 4.78% and pay a floating rate based on 3-month USD LIBOR

        

Broker, Citibank

Expires, August 2009

   USD    8,400,000      269,119  

Receive a fixed rate of 4.05% and pay a floating rate based on 3-month USD LIBOR

        

Broker, Barclays Bank

Expires, December 2009

   USD    2,600,000      29,181  

Pay a fixed rate of 4.39% and receive a floating rate based on 3-month USD LIBOR

        

Broker, Morgan Stanley

Expires, July 2010

   USD    6,300,000      (63,276 )

Receive a fixed rate of 5.11% and pay a floating rate based on 3-month USD LIBOR

        

Broker, Union Bank of Switzerland

Expires, November 2011

   USD    9,100,000      348,630  

Receive a fixed rate of 3.77% and pay a floating rate based on 3-month USD LIBOR

        

Broker, Barclays Bank

Expires, January 2013

   USD    4,100,000      (25,453 )

Pay a fixed rate of 3.48% and receive a floating rate based on 3-month USD LIBOR

        

Broker, Goldman Sachs

Expires, March 2013

   USD    1,400,000      30,438  

 

     BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008    23

Schedule of Investments (continued)    (Percentages shown are based on Net Assets)

 

         Notional
Amount		    Unrealized
Appreciation
(Depreciation)		  

Pay a fixed rate of 3.46% and receive a floating rate based on 3-month USD LIBOR

        

Broker, Goldman Sachs

Expires, March 2013

   USD    1,400,000    $ 31,874  

Receive a fixed rate of 5.14% and pay a floating rate based on 6-month LIBOR rate

        

Broker, Deutsche Bank

Expires, April 2013

   GBP    1,100,000      (86,565 )

Receive a fixed rate of 5.29% and pay a floating rate based on 6-month LIBOR rate

        

Broker, Deutsche Bank

Expires, April 2013

   GBP    1,100,000      (71,822 )

Receive a fixed rate of 4.27% and pay a floating rate based on 3-month USD LIBOR

        

Broker, Deutsche Bank

Expires, July 2013

   USD    7,900,000      —    

Pay a fixed rate of 4.96% and receive a floating rate based on 3-month USD LIBOR

        

Broker, Union Bank of Switzerland

Expires, March 2015

   USD    5,000,000      (209,286 )

Pay a fixed rate of 4.50% and receive a floating rate based on 3-month USD LIBOR

        

Broker, JP Morgan Chase

Expires, May 2015

   USD    1,700,000      (6,848 )

Receive a fixed rate of 6.55% and pay a floating rate based on 3-month NZD Bank Bill Rate

        

Broker, Citibank

Expires, December 2015

   NZD    2,400,000      (71,666 )

Receive a fixed rate of 5.30% and pay a floating rate based on 3-month USD LIBOR

        

Broker, Union Bank of Switzerland

Expires, February 2017

   USD    6,700,000      446,714  

Pay a fixed rate of 5.64% and receive a floating rate based on 3-month USD LIBOR

        

Broker, Citibank

Expires, July 2017

   USD    1,000,000      (96,787 )

Pay a fixed rate of 5.29% and receive a floating rate based on 3-month USD LIBOR

        

Broker, Deutsche Bank

Expires, October 2017

   USD    3,600,000      (196,036 )

Pay a fixed rate of 5.01% and receive a floating rate based on 3-month USD LIBOR

        

Broker, Deutsche Bank

Expires, November 2017

   USD    3,300,000      (104,231 )

Pay a fixed rate of 5.12% and receive a floating rate based on 3-month USD LIBOR

        

Broker, Lehman Brothers

Expires, March 2018

   USD    3,300,000      (160,910 )

Pay a fixed rate of 5.14% and receive a floating rate based on 3-month USD LIBOR

        

Broker, Barclays Bank

Expires, April 2018

   USD    3,200,000      8,964  

Receive a fixed rate of 4.47% and pay a floating rate based on 3-month USD LIBOR

        

Broker, Morgan Stanley

Expires, May 2018

   USD    2,900,000      (40,576 )

Receive a fixed rate of 4.36% and pay a floating rate based on 3-month USD LIBOR

        

Broker, JP Morgan Chase

Expires, May 2018

   USD    500,000      (11,576 )

Pay a fixed rate of 4.55% and receive a floating rate based on 3-month USD LIBOR

        

Broker, Deutsche Bank

Expires, June 2018

   USD    2,300,000      19,616  

Pay a fixed rate of 4.68% and receive a floating rate based on 3-month USD LIBOR

        

Broker, Deutsche Bank

Expires, July 2018

   USD    4,400,000      —    

 

24

   BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008     

Schedule of Investments (continued)    (Percentages shown are based on Net Assets)

 

         Notional
Amount		    Unrealized
Appreciation
(Depreciation)

Pay a fixed rate of 4.65% and receive a floating rate based on 3-month USD LIBOR

        

Broker, Union Bank of Switzerland

Expires, November 2018

   USD    700,000    $ 7,439

Receive a fixed rate of 5.41% and pay a floating rate based on 3-month USD LIBOR

        

Broker, JP Morgan Chase

Expires, August 2022

   USD    1,130,000      86,797

Receive a fixed rate of 5.41% and pay a floating rate based on 3-month USD LIBOR

        

Broker, Goldman Sachs

Expires, April 2027

   USD    750,000      49,083
           

Total

         $ 104,722
           

 

•  

For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

     BLACKROCK ASSET ALLOCATION PORTFOLIO    JUNE 30, 2008    25

Schedule of Investments June 30, 2008 (Unaudited)    (Percentages shown are based on Net Assets)

 

     Shares    Value

Common Stocks

      

Aerospace — 6.4%

      

The Boeing Co.

    131,800    $ 8,661,896

General Dynamics Corp.

    93,000      7,830,600
         
        16,492,496
         

Banks — 1.7%

      

JPMorgan Chase & Co.

    124,728      4,279,418
         

Beverages & Bottling — 6.4%

      

Anheuser-Busch Cos., Inc.

    192,315      11,946,608

The Coca-Cola Co.

    87,735      4,560,465
         
        16,507,073
         

Computer & Office Equipment — 8.6%

      

Hewlett-Packard Co.

    255,074      11,276,821

International Business Machines Corp.

    92,371      10,948,735
         
        22,225,556
         

Computer Software & Services — 3.9%

      

Microsoft Corp.

    367,277      10,103,790
         

Conglomerates — 5.8%(a)

      

Berkshire Hathaway, Inc. - Class B

    3,687      14,792,244
         

Electronics — 1.0%(a)

      

Agilent Technologies, Inc.

    29,749      1,057,280

Intel Corp.

    70,215      1,508,218
         
        2,565,498
         

Finance — 7.5%

      

American Express Co.

    271,045      10,210,265

Ameriprise Financial, Inc.

    61,125      2,485,954

Western Union Co.

    266,480      6,587,386
         
        19,283,605
         

Food & Agriculture — 0.8%

      

General Mills, Inc.

    8,497      516,363

Kraft Foods, Inc. - Class A

    53,285      1,515,958
         
        2,032,321
         

Insurance — 1.0%

      

American International Group, Inc.

    94,900      2,511,054
         

Machinery & Heavy Equipment — 3.6%

      

Caterpillar, Inc.

    124,256      9,172,578
         

Manufacturing — 3.3%

      

General Electric Co.

    317,848      8,483,363
         

Medical & Medical Services — 1.7%(a)

      

Millipore Corp.

    64,313      4,364,280
         

Medical Instruments & Supplies — 4.2%

      

Johnson & Johnson

    120,414      7,747,437

Medtronic, Inc.

    60,000      3,105,000
         
        10,852,437
         

Oil & Gas — 17.7%

      

BP Plc - ADR

    116,846      8,128,976

Exxon Mobil Corp.

    188,062      16,573,904

Schlumberger Ltd.

    172,339      18,514,379

Transocean, Inc.

    14,795      2,254,610
         
        45,471,869
         

Pharmaceuticals — 8.8%

      

AstraZeneca Plc

    76,000      3,232,280

Merck & Co., Inc.

    83,999      3,165,922

Novartis AG - ADR

    161,364      8,881,475

Pfizer, Inc.

    80,583      1,407,785

Wyeth

    125,465      6,017,301
         
        22,704,763
         

Retail Merchandising — 7.9%

      

Target Corp.

    248,429      11,549,464

Wal-Mart Stores, Inc.

    154,700      8,694,140
         
        20,243,604
         

Soaps & Cosmetics — 5.8%

      

The Procter & Gamble Co.

    246,400      14,983,584
         

Telecommunications — 0.7%

      

Vodafone Group Plc - ADR

    64,452      1,898,756
         

Tobacco — 2.1%

      

Altria Group, Inc.

    77,000      1,583,120

Philip Morris International, Inc.

    77,000      3,803,030
         
        5,386,150
         

Total Common Stocks
(Cost – $55,855,695) — 98.9%

         254,354,439
         

Short-Term Investment

      

Galileo Money Market Fund, 2.32%(b)

      

(Cost – $2,663,035) — 1.0%

    2,663,035      2,663,035
         

Total Investments
(Cost – $58,518,730*) — 99.9%

         257,017,474

Other Assets in Excess of Liabilities — 0.1%

         190,695
         

Net Assets — 100.0%

       $ 257,208,169
         

 

* The cost and unrealized appreciation (depreciation) of investments as of June 30, 2008, as computed for federal income tax purposes, were as follows:

 

Aggregate cost

    $ 54,201,114  
        

Gross unrealized appreciation

    $ 207,327,024  

Gross unrealized depreciation

      (4,510,664 )
        

Net unrealized appreciation

    $ 202,816,360  
        

Portfolio Abbreviations

 

To simplify the listings of Portfolio’s holdings in the Schedule of Investments, the names of many of the securities have been abbreviated according to the list on the right.    ADR      American Depository Receipt

 

   

BLACKROCK EXCHANGE PORTFOLIO

    JUNE 30, 2008    1

Schedule of Investments (concluded)

 

(a) Non-income producing security.

 

(b) Represents current yield as of report date.

 

• For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

2

   BLACKROCK EXCHANGE PORTFOLIO    JUNE 30, 2008     

Schedule of Investments June 30, 2008 (Unaudited)

   Money Market Portfolio
  (Percentages shown are based on Net Assets)

 

 

     Par
(000)		    Value

Agency Obligations

      

Federal Home Loan Bank Variable Rate Notes — 1.9%(a)

      

2.62%, 3/20/09

    $ 8,535    $ 8,540,715

2.40%, 8/13/09

      9,050      9,050,000

2.38%, 8/14/09

      13,255      13,253,514
        30,844,229

Federal Home Loan Mortgage Corp. Discount Note — 0.2%(b)

      

2.50%, 8/18/08

      3,755      3,742,483

Federal Home Loan Mortgage Corp. Variable Rate Notes — 2.4%(a)

      

2.67%, 9/25/09

      24,015      24,006,274

2.41%, 9/28/09

      14,820      14,815,431
        38,821,705

Federal National Mortgage Assoc. Discount Notes — 2.2%(b)

      

2.50%, 8/06/08

      4,140      4,129,650

2.50%, 8/20/08

      3,465      3,452,993

2.51%, 8/20/08

      15,000      14,947,708

2.49%, 9/08/08

      7,415      7,379,612

2.49%, 9/10/08

      4,555      4,532,631
        34,442,594

Total Agency Obligations
(Cost — $107,851,011) — 6.7%

         107,851,011

Certificates of Deposit

      

Domestic — 0.6%

      

American Express Centurion Bank,

      

2.81%, 9/24/08

      10,000      10,000,000

Yankee — 26.6%(c)

      

Banco Bilbao Vizcaya Argentaria S.A., New York,

      

3.00%, 10/24/08

      16,260      16,260,000

3.19%, 12/24/08

      10,000      10,000,000

Bank of Scotland Plc, New York,

      

4.39%, 7/07/08

      5,000      5,000,000

3.07%, 7/31/08

      11,000      11,000,000

2.68%, 10/02/08

      4,000      4,000,000

Barclays Bank Plc, New York,

      

2.81%, 7/16/08

      2,000      2,000,000

2.95%, 7/24/08

      25,000      25,000,000

2.63%, 8/27/08

      3,000      3,000,000

BNP Paribas, New York,

      

2.91%, 8/19/08

      20,000      20,000,000

2.63%, 10/02/08

      12,375      12,375,000

2.74%, 10/16/08

      24,187      24,187,000

2.95%, 10/28/08

      10,000      10,000,000

2.85%, 12/08/08

      12,000      12,000,000

Dexia Bank, New York,

      

2.65%, 9/08/08

      5,000      5,000,048

DNB NOR Bank ASA, New York,

      

2.85%, 12/05/08

      10,000      10,000,000

3.10%, 12/23/08

      10,000      10,000,000

Natixis, New York,

      

5.42%, 7/10/08

      5,170      5,170,479

2.77%, 8/08/08

      3,651      3,651,000

Nordea Bank Finland Plc, New York,

      

2.65%, 10/15/08

      4,335      4,335,000

4.82%, 10/17/08

      18,675      18,675,535

Rabobank Nederland N.V., New York,

      

2.67%, 9/12/08

      5,000      5,000,000

San Paolo IMI SpA, New York,

      

2.77%, 7/03/08

      12,000      12,000,000

3.01%, 7/21/08

      20,500      20,500,113

3.15%, 12/12/08

      25,000      25,000,000

Societe Generale, New York,

      

3.00%, 7/08/08

      18,000      18,000,000

2.90%, 7/14/08

      5,000      5,000,000

2.99%, 7/24/08

      29,410      29,410,000

2.92%, 11/14/08

      17,000      17,000,316

2.92%, 12/05/08

      10,000      10,000,000

Svenska Handelsbanken, New York,

      

2.61%, 10/01/08

      10,825      10,825,000

Toronto Dominion Bank, New York,

      

2.74%, 9/19/08

      15,000      15,000,000

2.83%, 12/05/08

      4,200      4,200,000

3.00%, 12/16/08

      2,150      2,150,000

3.11%, 12/30/08

      28,000      28,000,000

Westpac Banking Corp., New York,

      

2.74%, 9/16/08

      10,000      10,000,000
        423,739,491

Total Certificates of Deposit
(Cost — $433,739,491) — 27.2%

         433,739,491

Portfolios Abbreviations

 

To simplify the listings of Portfolios’ holdings in the Schedules of Investments, the names of many of the securities have been abbreviated according to the list on the right.    AAC    Aid Anticipation Certificate    ISD    Independent School District
   AMBAC    American Municipal Bond Assurance Corp.    LOC    Letter of Credit
   AMT    Alternative Minimum Tax (subject to)    MB    Municipal Bond
   BAN    Bond Anticipation Note    MBIA    Municipal Bond Insurance Association
   COP    Certificate of Participation    MERLOTS    Municipal Exempt Receipt-Liquidity Optional Tender
   DN    Demand Note    PCRB    Pollution Control Revenue Bond
   FGIC    Financial Guaranty Insurance Co.    PUTTERS    Putable Tax-Exempt Receipt
   FSA    Financial Security Assurance    RAN    Revenue Anticipation Note
   GAN    Grant Anticipation Note    RB    Revenue Bond
   GO    General Obligation    ROC    Reset Option Certificate
   HFA    Housing Finance Authority    SBPA    Stand-by Bond Purchase Agreement
   IDA    Industrial Development Authority    TAN    Tax Anticipation Note
   IDRB    Industrial Development Revenue Bond    TECP    Tax-Exampt Commercial Paper
         TRAN    Tax & Revenue Anticipation Note

 

         JUNE 30, 2008    1

Schedule of Investments (continued)   

Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

 

      Par
(000)		    Value

Commercial Paper

      

Asset Backed Securities — 36.8%(b)

      

Apreco LLC,

      

2.71%, 9/08/08

    $ 17,752    $ 17,659,793

2.86%, 9/19/08

      25,000      24,841,111

Atlantis One Funding Corp.,

      

2.57%, 7/07/08

      13,000      12,994,432

2.65%, 8/01/08

      15,400      15,364,858

2.67%, 9/04/08

      2,914      2,899,952

2.80%, 9/12/08

      10,000      9,943,222

Cafco LLC,

      

2.92%, 7/07/08

      20,000      19,990,267

2.68%, 9/04/08

      5,000      4,975,806

Cancara Asset Securitisation LLC,

      

2.80%, 7/14/08

      5,000      4,994,945

Clipper Receivables Co. LLC,

      

3.00%, 7/14/08

      10,000      9,989,167

2.80%, 8/04/08

      10,579      10,551,024

3.00%, 9/10/08

      10,000      9,940,833

Curzon Funding LLC,

      

2.80%, 7/07/08

      20,000      19,990,667

Dakota Notes Program,

      

2.85%, 8/25/08

      15,000      14,934,688

2.88%, 9/12/08

      5,415      5,383,376

Ebbets Funding LLC,

      

3.15%, 7/01/08

      13,199      13,199,000

Elysian Funding LLC,

      

2.70%, 7/16/08

      10,000      9,988,750

2.90%, 8/04/08

      11,000      10,969,872

Erasmus Capital Corp.,

      

2.70%, 8/04/08

      25,000      24,936,250

Galleon Capital LLC,

      

2.75%, 7/14/08

      10,000      9,990,069

Govco LLC,

      

2.89%, 7/21/08

      20,000      19,967,889

Liberty Street Funding LLC,

      

2.70%, 9/08/08

      17,332      17,242,307

Long Lane Master Trust IV,

      

2.62%, 8/14/08

      3,630      3,618,376

2.58%, 8/20/08

      18,000      17,935,500

Mont Blanc Capital Corp.,

      

2.72%, 9/03/08

      10,000      9,951,644

Nieuw Amsterdam Receivables Corp.,

      

2.90%, 9/24/08

      48,412      48,080,512

Palisades Commercial Paper Program,

      

2.95%, 8/05/08

      7,350      7,328,920

Picaros Funding LLC,

      

2.97%, 7/24/08

      29,500      29,444,024

Regency Markets No. 1 LLC,

      

2.82%, 7/15/08

      3,000      2,996,710

Salisbury Receivables Co. LLC,

      

2.70%, 8/13/08

      2,000      1,993,550

Solitaire Funding LLC,

      

2.85%, 8/07/08

      18,000      17,947,275

2.83%, 8/20/08

      10,000      9,960,694

Surrey Funding Corp.,

      

2.98%, 7/28/08

      20,000      19,955,300

Tempo Finance Corp.,

      

2.67%, 8/27/08

      30,000      29,873,175

2.86%, 9/15/08

      25,000      24,849,056

Thames Asset Global Securitization No. 1, Inc.,

      

2.72%, 7/15/08

      3,000      2,996,827

2.89%, 7/17/08

      5,000      4,993,578

Tulip Funding Corp.,

      

2.65%, 7/24/08

      10,000      9,983,069

Versailles Commercial Paper LLC,

      

2.87%, 7/15/08

      10,000      9,988,839

3.02%, 8/06/08

      10,000      9,969,800

3.10%, 9/02/08

      7,000      6,962,025

3.10%, 9/05/08

      5,000      4,971,583

Victory Receivables Corp.,

      

2.65%, 7/07/08

      500      499,779

2.65%, 8/01/08

      23,287      23,233,860
        588,282,374

Banks — 9.8%(b)

      

Bank of America Corp.,

      

3.80%, 7/11/08

      11,275      11,263,099

2.83%, 8/19/08

      9,095      9,059,979

Citigroup Funding, Inc.,

      

2.79%, 8/28/08

      5,000      4,977,525

2.94%, 10/02/08

      10,000      9,924,050

Danske Corp.,

      

2.63%, 7/07/08

      5,000      4,997,808

2.76%, 9/18/08

      10,000      9,939,433

2.78%, 9/19/08

      10,000      9,938,222

DNB NOR Bank ASA,

      

3.02%, 10/20/08

      20,000      19,813,767

2.97%, 10/27/08

      25,000      24,757,035

JPMorgan Chase & Co.,

      

2.86%, 7/07/08

      21,500      21,489,752

Raiffeisen Zentralbank Osterreich AG,

      

2.75%, 8/05/08

      10,000      9,973,264

2.92%, 9/17/08

      5,000      4,968,367

San Paolo IMI U.S. Financial Co.,

      

2.69%, 8/08/08

      15,000      14,957,408
        156,059,709

Finance Services — 3.8%(b)

      

General Electric Capital Corp.,

      

3.83%, 7/10/08

      9,500      9,490,904

KBC Financial Products International Ltd.,

      

2.77%, 9/15/08

      10,000      9,941,522

2.72%, 10/14/08

      18,000      17,857,200

2.87%, 10/22/08

      23,000      22,793,163
        60,082,789

Total Commercial Paper
(Cost — $804,424,872) — 50.4%

         804,424,872

Master Notes

      

Security Brokers & Dealers — 1.9%

      

Bank of America Securities LLC,

      

2.58%, 7/01/08(d)

      

(Cost — $30,250,000) — 1.9%

      30,250      30,250,000

Variable Rate Obligations

      

Banks — 6.6%

      

Bank of Montreal, Chicago,

      

2.83%, 11/10/08(a)

      15,885      15,885,000

2.95%, 5/29/09(a)(e)

      14,550      14,550,000

Deutsche Bank AG, New York,

      

3.01%, 1/21/09(a)

      12,265      12,265,000

HSBC (USA), Inc.,

      

3.22%, 5/15/09(a)

      2,580      2,580,000

 

2        JUNE 30, 2008     

Schedule of Investments (concluded)   

Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

      Par
(000)		    Value

Variable Rate Obligations

      

Banks (Continued)

      

ING USA Global Funding Trust VI,

      

3.14%, 7/17/09(a)

    $ 4,070    $ 4,070,000

Park Street Properties I LLC Series 2004 DN (U.S. Bank N.A. LOC),

      

2.58%, 7/07/08(d)

      445      445,000

Park Village (Bank One N.A. LOC),

      

2.58%, 7/07/08(d)

      6,495      6,495,000

Royal Bank of Scotland Plc,

      

2.96%, 9/26/08(a)(e)

      15,000      15,000,000

Wachovia Bank, N.A.,

      

2.91%, 5/01/09(a)

      9,300      9,300,000

Westpac Banking Corp., New York,

      

2.75%, 10/10/08(a)

      24,250      24,250,000
        104,840,000

Life Insurance — 3.8%

      

Transamerica Occidental Life Insurance Co.,

      

2.98%, 7/02/09(a)

      60,000      60,000,000

Municipal Bonds — 1.3%

      

Savannah College Georgia RB (Art & Design Project) Series 2004 DN (Bank of America N.A. LOC),

      

2.50%, 7/07/08(d)

      6,500      6,500,000

South Central Texas IDRB (Rohr Industries Project) Series 1990 DN (Bank One N.A. LOC),

      

2.98%, 7/07/08(d)

      14,800      14,800,000
        21,300,000

Total Variable Rate Obligations
(Cost — $186,140,000) — 11.7%

         186,140,000

Promissory Note

      

Security Brokers & Dealers — 2.2%

      

The Goldman Sachs Group, Inc.,

      

2.53%, 8/22/08(a)(e)(f)

      

(Cost — $34,850,000) — 2.2%

      34,850      34,850,000

Total Investments
(Cost — $1,597,255,374*) — 100.1%

         1,597,255,374

Liabilities in Excess of Other Assets — (0.1)%

         (879,357)

Net Assets — 100.0%

       $ 1,596,376,017

 

* Aggregate cost for federal income tax purposes.

 

(a) Rate shown is as of report date and the date shown is the final maturity date.

 

(b) Rate shown reflects the discount rate at the time of purchase.

 

(c) Issuer is a U.S. branch of a foreign domiciled bank.

 

(d) Rate shown is as of report date and maturities shown are the next interest readjustment date or the date the principal owed can be recovered through demand.

 

(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. Unless otherwise indicated, these securities are considered to be liquid.

 

(f) Illiquid security.

 

• For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

         JUNE 30, 2008    3

Schedule of Investments June 30, 2008 (Unaudited)   

U.S. Treasury Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

     Par
(000)		    Value

Repurchase Agreements

      

Credit Suisse Securities (USA) LLC,

      

1.83%, 7/01/08

    $ 25,000    $ 25,000,000

(Agreement dated 6/25/08 to be repurchased at $25,007,625, collateralized by $22,130,000 U.S. Treasury Inflation Indexed Securities 2.375% due 4/15/11. The value of the collateral is $25,501,475.)

      

Deutsche Bank Securities Inc.,

      

1.75%, 7/01/08

      100,000      100,000,000

(Agreement dated 6/30/08 to be repurchased at $100,004,861, collateralized by $210,669,200 U.S. Treasury Strip Principals due from 8/15/22 to 8/15/26. The value of the collateral is $102,000,017.)

      

Goldman Sachs & Co.,

      

1.70%, 7/02/08

      25,000      25,000,000

(Agreement dated 6/25/08 to be repurchased at $25,008,264, collateralized by $18,006,400 U.S. Treasury Bonds 8.75% due 5/15/20. The value of the collateral is $25,500,078.)

      

Greenwich Capital Markets, Inc.,

      

1.85%, 7/01/08

      100,000      100,000,000

(Agreement dated 6/30/08 to be repurchased at $100,005,139, collateralized by $68,550,000 U.S. Treasury Bonds 11.25% due 2/15/15. The value of the collateral is $102,006,031.)

      

Greenwich Capital Markets, Inc.,

      

1.40%, 7/25/08

      25,000      25,000,000

(Agreement dated 3/18/08 to be repurchased at $25,125,417, collateralized by $17,140,000 U.S. Treasury Bonds 11.25% due 2/15/15. The value of the collateral is $25,505,228.)

      

HSBC Securities (USA) Inc.,

      

1.75%, 7/01/08

      100,000      100,000,000

(Agreement dated 6/30/08 to be repurchased at $100,004,861, collateralized by $301,673,943 U.S. Treasury Strips due from 2/15/20 to 11/15/36. The value of the collateral is $102,000,064.)

      

JPMorgan Securities Inc.,

      

1.75%, 7/01/08

      100,000      100,000,000

(Agreement dated 6/30/08 to be repurchased at $100,004,861, collateralized by $254,606,000 U.S. Treasury Strip Principals 6.125% due from 2/15/27 to 11/15/27. The value of the collateral is $102,000,825.)

      

Morgan Stanley & Co., Inc.,

      

1.70%, 7/01/08

      56,232      56,232,000

(Agreement dated 6/30/08 to be repurchased at $56,234,655, collateralized by $202,017,000 U.S. Treasury Strip Principals due 2/15/36. The value of the collateral is $57,356,667.)

      

UBS Securities LLC,

      

1.92%, 7/02/08

      50,000      50,000,000

(Agreement dated 6/06/08 to be repurchased at $50,069,333, collateralized by $49,998,500 U.S. Treasury Bonds and Notes 2.875% to 8.75% due from 6/30/10 to 5/15/17. The value of the collateral is $51,004,198.)

      

Total Repurchase Agreements
(Cost $581,232,000*) — 100.1%

         581,232,000

Liabilities in Excess of Other Assets — (0.1)%

         (758,020)

Net Assets — 100.0%

       $ 580,473,980

 

* Aggregate cost for federal income tax purposes.

 

• For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

4        JUNE 30, 2008     

Schedule of Investments June 30, 2008 (Unaudited)   

Municipal Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

 

     Par
(000)		    Value

Municipal Bonds

      

Alabama — 1.1%

      

Alabama HFA Single Family Mortgage RB Series 2006H AMT DN (Bayerische Landesbank Girozentrale Guaranty),

      

1.86%, 7/07/08(a)

    $ 345    $ 345,000

Alexander Industrial Board IDRB (Precision Millwork Project) Series 2000 AMT DN (Wachovia Bank N.A. LOC),

      

1.57%, 7/07/08(a)

      865      865,000

Geneva County Health Care Authority RB Series 2001 DN (Wachovia Bank N.A. LOC),

      

1.57%, 7/07/08(a)

      2,833      2,833,000
        4,043,000

Arizona — 0.9%

      

Scottsdale IDA RB (Scottsdale Health Care Project) Series 2006C DN (FSA Insurance, Citibank N.A. Liquidity Facility),

      

1.52%, 7/07/08(a)

      3,200      3,200,000

Arkansas — 0.6%

      

Little Rock Residential Housing & Public Facilities Board Capital Improvement RB (Park Systems Project) Series 2001 DN (Bank of America N.A. LOC),

      

1.65%, 7/07/08(a)

      1,965      1,965,000

Colorado — 4.7%

      

Colorado Educational & Cultural Facilities Authority RB (Parker & Denver High Schools Project) Series 2006 DN (Bank of America N.A. LOC),

      

2.23%, 7/01/08(a)

      12,450      12,450,000

Colorado HFA Single Family Mortgage RB Series 2003B-3 AMT DN (JPMorgan Chase Bank SBPA),

      

1.72%, 7/07/08(a)

      1,600      1,600,000

Colorado HFA Single Family Mortgage RB Series 2008A-3 AMT DN (Dexia Credit Local SBPA),

      

1.72%, 7/07/08(a)

      1,000      1,000,000

Southglenn Metropolitan District RB Series 2007 DN (BNP Paribas LOC),

      

1.60%, 7/07/08(a)

      1,500      1,500,000
        16,550,000

Delaware — 0.5%

      

Delaware Economic Development Authority RB (St. Anne’s Episcopal School Project) Series 2001 DN (Wilmington Trust Co. LOC),

      

1.55%, 7/07/08(a)

      1,935      1,935,000

Florida — 15.2%

      

Branch Banking & Trust RB Municipal Trust Receipts Floaters Series 2008-1020 DN (Branch Banking & Trust Co. LOC, Branch Banking & Trust Co. Liquidity Facility),

      

1.63%, 7/07/08(a)(b)

      3,600      3,600,000

Brevard County Health Facilities Authority RB (Health First, Inc. Project) Series 2003 DN (SunTrust Bank LOC),

      

1.50%, 7/01/08(a)

      2,000      2,000,000

Florida Housing Finance Corp. Multi-Family Mortgage RB Series 2006 ROC-RR-II-R-600CE AMT DN (Citigroup Financial Products Guaranty, Citigroup Financial Products Liquidity Facility),

      

1.67%, 7/07/08(a)(b)

      1,000      1,000,000

Florida Housing Finance Corp. RB Series 2007 ROC-RR-II-R-11209 AMT DN (Government National Mortgage Assoc. Insurance, Federal National Mortgage Assoc. Insurance, Federal Home Loan Mortgage Corp. Insurance),

      

1.63%, 7/07/08(a)(b)

      3,200      3,200,000

Gainesville Utilities System RB Series 2008B DN (Bank of New York SBPA),

      

1.45%, 7/07/08(a)

      2,300      2,300,000

Greater Orlando Aviation Authority RB (Special Purpose Cessna Aircraft Project) Series 2001 AMT DN (Textron, Inc. Guaranty),

      

2.73%, 7/07/08(a)

      3,000      3,000,000

Gulfstream Park Community Development District Special Assessment RB Municipal Trust Receipts Floaters Series 2008-2G DN (The Goldman Sachs Group, Inc. Guaranty, The Goldman Sachs Group, Inc. Liquidity Facility),

      

1.58%, 7/07/08(a)(b)

      5,055      5,055,000

Highlands County Health Facilities Authority RB (Adventist Health System Project) Series 2007A-2 DN,

      

1.55%, 7/07/08(a)

      2,300      2,300,000

Jacksonville Electric Authority RB (Electric Systems Project) Series 2001B DN (Bank of America N.A. SBPA),

      

1.70%, 7/07/08(a)

      3,000      3,000,000

Jacksonville Health Facilities Authority Hospital RB (Baptist Medical Center Project) Series 2001 DN (Wachovia Bank N.A. LOC),

      

2.10%, 7/01/08(a)

      4,950      4,950,000

Jacksonville Transportation RB Series 2008A DN (JPMorgan Chase Bank SBPA),

      

1.40%, 7/07/08(a)

      2,000      2,000,000

JEA Water & Sewer Systems RB Series 2008B-1 DN (State Street Bank & Trust Co. SBPA),

      

1.54%, 7/07/08(a)

      5,100      5,100,000

Lee County IDRB (Raymond Building Supply Corp. Project) Series 1997 AMT DN (SunTrust Bank LOC),

      

1.76%, 7/07/08(a)

      1,125      1,125,000

Palm Beach County RB (Morse Obligation Group Project) Series 2003 DN (Commerce Bank N.A. LOC),

      

1.50%, 7/07/08(a)

      1,000      1,000,000

Pasco County School Board COP Series 2008C DN (Bank of America N.A. LOC),

      

1.55%, 7/07/08(a)

      5,000      5,000,000

Sunrise Utility System RB Series 2008-518 DN (Deutsche Bank Guaranty, Deutsche Bank Liquidity Facility),

      

1.58%, 7/07/08(a)(b)

      1,400      1,400,000

Sunshine State Government Financial Commission GO Series 2008F TECP,

      

1.85%, 8/14/08

      5,000      5,000,000

Wauchula IDRB (Hardee County Center Project) Series 1993 DN (JPMorgan Chase Bank LOC),

      

1.56%, 7/07/08(a)

      2,275      2,275,000
        53,305,000

 

         JUNE 30, 2008    5

Schedule of Investments (continued)   

Municipal Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

     Par
(000)		    Value

Municipal Bonds

      

Illinois — 4.9%

      

Harvard Multi-Family Housing RB (Northfield Court Project) Series 1999 AMT DN (Fifth Third Bank N.A. LOC),

      

1.65%, 7/07/08(a)

    $ 7,350    $ 7,350,000

Illinois Development Finance Authority PCRB (Amoco Oil Co. Project) Series 1994 DN,

      

2.05%, 7/01/08(a)

      700      700,000

Illinois Housing Development Authority RB Series 2007H-2 AMT MB,

      

3.48%, 10/01/08(a)

      520      520,000

Quad Cities Regional Economic Development Authority RB (Whitey’s Ice Cream Manufacturing Project) Series 1995 AMT DN (Bank One N.A. LOC),

     

3.05%, 7/07/08(a)

      325      325,000

Rockford County RB (Fairhaven Christian Center Project) Series 2000 DN (JPMorgan Chase Bank LOC),

      

2.30%, 7/07/08(a)

      1,100      1,100,000

Rockford County RB (Wesley Willows Obligation Project) Series 2007 DN (M & I Marshall & Ilsley LOC),

      

1.98%, 7/01/08(a)(b)

      6,800      6,800,000

Roselle Village IDRB (Abrasive-Form, Inc. Project) Series 1995 AMT DN (Lasalle Bank N.A. LOC),

      

1.75%, 7/07/08(a)(c)

      500      500,000
        17,295,000

Indiana — 2.5%

      

Elkhart County Industrial Hospital Authority RB (Oaklawn Center Project) Series 2006 DN (Royal Bank of Scotland LOC),

      

1.60%, 7/07/08(a)

      3,305      3,305,000

Hendricks County Industrial Redevelopment Commission Tax Increment RB (Heartland Crossing Project) Series 2000A DN (Huntington National Bank LOC),

      

2.00%, 7/07/08(a)

      2,600      2,600,000

Indiana Bond Bank RB (Mid-Year Funding Program Notes Project) Series 2008A RAN (Bank of New York LOC),

      

3.00%, 5/28/09

      3,000      3,031,347
        8,936,347

Iowa — 0.3%

      

Urbandale IDRB (Meredith Drive Assoc. Project) Series 1985 DN (Wells Fargo Bank N.A. LOC),

      

1.64%, 7/07/08(a)

      1,000      1,000,000

Kentucky — 0.4%

      

Newport Industrial Building RB (Newport Holdings Project) Series 2001A AMT DN (Huntington National Bank LOC),

      

1.87%, 7/07/08(a)

      1,525      1,525,000

Louisiana — 0.6%

      

Lake Charles Harbor & Terminal District RB (Lake Charles Cogeneration Project) Series 2008 MB (Rabobank N.A. GIC),

      

2.25%, 3/15/09

      2,000      2,000,000

Maine — 0.3%

      

Maine School Administrative District No. 051 GO Series 2007 BAN,

      

3.75%, 12/30/08

      1,000      1,003,130

Maryland — 3.6%

      

Baltimore County RB (Odyssey School Facility Project) Series 2001 DN (M&T Bank Corp. LOC),

      

1.16%, 7/07/08(a)

      2,175      2,175,000

Baltimore County RB (St. Paul’s School for Girls Facility Project) Series 2000 DN (M&T Bank Corp. LOC),

      

1.16%, 7/07/08(a)

      1,160      1,160,000

Maryland Community Development Administration Department of Housing & Community Development RB (Residential Project) Series 2003C AMT DN (State Street Bank & Trust Co. SBPA),

      

1.58%, 7/07/08(a)

      4,200      4,200,000

Maryland Economic Development Corp. RB (Assoc. of Catholic Charities Project) Series 1999B DN (M&T Bank Corp. LOC),

      

1.16%, 7/07/08(a)

      1,275      1,275,000

Maryland Economic Development Corp. RB (Assoc. of Catholic Charities Project) Series 2001 DN (M&T Bank Corp. LOC),

      

1.21%, 7/07/08(a)

      2,035      2,035,000

Maryland Economic Development Corp. RB (Assoc. of Catholic Charities Project) Series 2002 DN (M&T Bank Corp. LOC),

      

1.16%, 7/07/08(a)

      1,800      1,800,000
        12,645,000

Massachusetts — 5.0%

      

Massachusetts GO MERLOTS Trust Receipts Series 2002A-9 DN (FSA Insurance, Wachovia Bank N.A. SBPA),

      

1.76%, 7/07/08(a)(b)

      1,480      1,480,000

Massachusetts Water Resources Authority RB Series 2008B DN (GO of Authority Insurance, Bank of America N.A. SBPA),

      

1.45%, 7/07/08(a)

      16,000      16,000,000
        17,480,000

Michigan — 12.0%

      

Detroit Economic Development Corp. RB (E.H. Assoc. Ltd. Project) Series 2002 DN (First Federal Bank of Northern Michigan LOC),

      

1.64%, 7/07/08(a)

      2,490      2,490,000

Detroit Water Supply System RB Series 2008 ROC-RR-II-R-11448 DN (BHAC Insurance, Citibank N.A. Liquidity Facility),

      

1.59%, 7/07/08(a)(b)

      5,000      5,000,000

Michigan Hospital Finance Authority RB (Ascension Health Senior Credit Group Project) Series 2008B-1 DN,

      

1.35%, 7/07/08(a)

      900      900,000

Michigan Hospital Finance Authority RB (Ascension Health Senior Credit Group Project) Series 2008B-3 DN,

      

1.35%, 7/07/08(a)

      1,600      1,600,000

Michigan Hospital Finance Authority RB (Ascension Health Senior Credit Group Project) Series 2008B-7 DN,

      

1.35%, 7/07/08(a)

      8,000      8,000,000

Michigan Hospital Finance Authority RB (Trinity Health Credit Group Project) Series 2005F DN (Bank of America N.A. SBPA),

      

2.10%, 7/01/08(a)

      1,100      1,100,000

 

6        JUNE 30, 2008     

Schedule of Investments (continued)   

Municipal Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

     Par
(000)		    Value

Municipal Bonds

      

Michigan (Continued)

      

Michigan Housing Development Authority Ltd. Obligation RB (Woodland Meadows Apartments Project) Series 1993 AMT DN (JPMorgan Chase Bank LOC),

     

2.18%, 7/07/08(a)

    $ 2,000    $ 2,000,000

Michigan Housing Development Authority Multi-Family Housing RB (Berrien Woods III Project) Series 2000A AMT DN (Citibank N.A. LOC),

      

1.66%, 7/07/08(a)

      300      300,000

Michigan Municipal Bond Authority GO Series 2007B-2 RAN (Scotiabank LOC),

      

4.50%, 8/20/08

      2,400      2,402,590

Michigan Strategic Fund Ltd. Obligation RB (Apollo Plating, Inc. Project) Series 2007 AMT DN (Fifth Third Bank N.A. LOC),

      

1.70%, 7/07/08(a)

      1,680      1,680,000

Michigan Strategic Fund Ltd. Obligation RB (Continental Carbonic Products, Inc. Project) Series 2007 AMT DN (JPMorgan Chase Bank LOC),

      

1.85%, 7/03/08(a)

      2,880      2,880,000

Michigan Strategic Fund Ltd. Obligation RB (Horizons of Michigan Project) Series 2001 DN (Huntington National Bank LOC),

      

1.80%, 7/07/08(a)

      1,255      1,255,000

Michigan Strategic Fund Ltd. Obligation RB (Surefil Properties LLC Project) Series 2006 AMT DN (Huntington National Bank LOC),

      

2.10%, 7/07/08(a)

      4,300      4,300,000

University of Michigan RB (Hospital Project) Series 1998A-2 DN,

      

2.05%, 7/01/08(a)

      500      500,000

University of Michigan RB (Hospital Project) Series 2005A DN,

      

2.05%, 7/07/08(a)

      4,500      4,500,000

University of Michigan RB Series 2005B DN,

      

1.45%, 7/07/08(a)

      3,200      3,200,000
        42,107,590

Minnesota — 0.9%

      

Minnesota School District Tax & Aid Anticipation Borrowing Program COP Series 2007 AAC,

      

4.50%, 8/28/08

      3,000      3,003,941

Missouri — 2.1%

      

Missouri Health & Educational Facilities Authority RB (SSM Health Care Project) Series 2005A-2 DN (FSA Insurance, Dexia Credit Local SBPA),

      

1.52%, 7/02/08(a)

      3,000      3,000,000

Taney County IDRB (Keeter Heights Project) Series 2006 AMT DN (U.S. Bank N.A. LOC),

      

1.66%, 7/07/08(a)

      4,500      4,500,000
        7,500,000

Nevada — 0.9%

      

Clark County Airport System Junior Subordinate Lien GO Series 2008 AMT RAN,

      

3.00%, 7/01/09

      3,000      3,031,015

New York — 8.6%

      

Livonia Central School District GO Series 2008 BAN (State Aid Withholding Insurance),

      

2.50%, 6/25/09

      215      215,640

New York City GO Series 2005E-3 DN (Bank of America N.A. LOC),

      

1.44%, 7/07/08(a)

      1,400      1,400,000

New York City GO Series 2006I-3 DN (Bank of America N.A. LOC),

      

2.10%, 7/01/08(a)

      2,100      2,100,000

New York City GO Series 2008J-3 DN (Allied Irish Bank Plc LOC),

      

1.60%, 7/01/08(a)

      2,500      2,500,000

New York City Municipal Water Finance Authority TECP,

      

1.80%, 7/07/08

      4,000      4,000,000

New York City Municipal Water Finance Authority Water & Sewer System RB (Second General Resolution Project) Series 2005AA-1 DN (State Street Bank & Trust Co. & CALSTERS SBPA),

      

2.00%, 7/01/08(a)

      400      400,000

New York City Transitional Finance Authority RB Series 2002-2A DN (Dexia Credit Local Liquidity Facility),

      

1.60%, 7/01/08(a)

      1,400      1,400,000

New York City Transitional Finance Authority RB Series 2003-2D DN (Lloyds TSB Bank Plc Liquidity Facility),

      

1.35%, 7/07/08(a)

      2,175      2,175,000

New York Dormitory Authority RB (Royal Charter Properties-East, Inc. Project) Series 2006 DN (Federal National Mortgage Assoc. Insurance, Federal National Mortgage Assoc. Liquidity Facility),

      

1.40%, 7/07/08(a)

      11,800      11,800,000

New York Housing Finance Agency RB (Worth Street Housing Project) Series 2002 AMT DN (Federal National Mortgage Assoc. Insurance, Federal National Mortgage Assoc. Liquidity Facility),

      

1.55%, 7/07/08(a)

      1,100      1,100,000

Rockland County IDRB (Northern River Assisted Living Project) Series 1999 DN (M&T Bank Corp. LOC),

      

1.21%, 7/07/08(a)

      1,065      1,065,000

South Colonie Central School District GO Series 2008 BAN (State Aid Withholding Insurance),

      

2.75%, 6/19/09

      520      524,541

South Glens Falls Central School District GO Series 2008 BAN (State Aid Withholding Insurance),

      

2.75%, 6/19/09

      315      317,660

South Glens Falls Central School District GO Series 2008 RAN (State Aid Withholding Insurance),

      

2.75%, 6/19/09

      350      352,887

Thousand Islands Central School District GO Series 2008 BAN,

      

3.00%, 6/30/09

      640      644,678

Williamsville Central School District GO Series 2008 BAN (State Aid Withholding Insurance),

      

2.75%, 6/25/09

      275      276,747
        30,272,153

North Carolina — 6.8%

      

Charlotte Water & Sewer System RB Munitops Trust Certificates Series 2007-10 DN (Bank of America N.A. SBPA),

      

1.60%, 7/07/08(a)(b)

      4,000      4,000,000

 

         JUNE 30, 2008    7

Schedule of Investments (continued)   

Municipal Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

     Par
(000)		    Value

Municipal Bonds

      

North Carolina (Continued)

      

Charlotte-Mecklenburg Hospital Authority RB (Carolina’s Healthcare System Project) Series 2006-1388 DN (Morgan Stanley Group Liquidity Facility),

      

1.60%, 7/07/08(a)(b)

    $ 300    $ 300,000

Guilford County Industrial Facilities PCRB (Recreational Facilities-YMCA Project) Series 2002 DN (Branch Banking & Trust Co. LOC),

     

1.61%, 7/07/08(a)

      1,550      1,550,000

North Carolina Capital Facilities Finance Agency Educational Facilities RB (High Point University Project) Series 2006 DN (Branch Banking & Trust Co. LOC),

      

1.61%, 7/07/08(a)

      3,160      3,160,000

North Carolina Educational Facilities Finance Agency RB (Duke University Project) Series 1991B DN,

      

1.45%, 7/07/08(a)

      3,000      3,000,000

North Carolina GO Series 2003A-23 MB (Wachovia Bank N.A. SBPA),

      

2.00%, 2/09/09(b)

      300      300,000

North Carolina Medical Care Commission Health Care Facilities RB Series 2007 ROC-RR-II-R-10313 DN (Citigroup Financial Products Liquidity Facility),

      

1.62%, 7/07/08(a)(b)

      4,300      4,300,000

North Carolina State University Raleigh RB Series 2003B DN (Bayerische Landesbank Girozentrale LOC),

      

1.45%, 7/07/08(a)

      6,000      6,000,000

University of North Carolina at Chapel Hill RB Munitops Trust Certificates Series 2005-52 DN (Bank of America N.A. SBPA),

      

1.60%, 7/07/08(a)(b)

      1,400      1,400,000
         
        24,010,000
         

Ohio — 2.0%

      

American Municipal Power, Inc. GO (Cleveland Public Power Project) Series 2007 BAN,

      

3.78%, 8/14/08

      265      265,000

Butler Hospital Facilities RB (Ucpha, Inc. Project) Series 2004 DN (Huntington Capital LOC),

      

1.95%, 7/07/08(a)

      1,400      1,400,000

Franklin County Health Care Facilities RB (Worthington Christian Project) Series 2007 DN (Huntington National Bank LOC),

      

2.00%, 7/07/08(a)

      1,620      1,620,000

Summit County Civic Facility RB (Akron Area Electric Junction Project) Series 2001 DN (KeyBank N.A. LOC),

      

1.64%, 7/07/08(a)

      1,185      1,185,000

Tallmadge GO Series 2008 BAN,

      

2.50%, 6/04/09

      1,300      1,305,782

Wapakoneta School District GO (School Improvement Project) Series 2008 BAN,

      

2.50%, 5/27/09

      1,200      1,205,103
         
        6,980,885
         

Oklahoma — 0.3%

      

Oklahoma Development Finance Authority GO (ConocoPhillips Co. Project) Series 2003 AMT DN,

      

1.58%, 7/07/08(a)

      1,000      1,000,000
         

Pennsylvania — 3.0%

      

Butler County IDRB (Concordia Lutheran Project) Series 2000C DN (Bank of America N.A. LOC),

      

1.55%, 7/07/08(a)

      2,000      2,000,000

Delaware County IDRB (Scott Paper Co. Project) Series 1984A DN,

      

1.80%, 7/07/08(a)

      2,500      2,500,000

Lancaster County Hospital Authority RB (Masonic Homes Project) Series 2008A DN (Wachovia Bank N.A. LOC),

      

2.10%, 7/01/08(a)

      1,200      1,200,000

Pennsylvania Economic Development Financing Authority RB UBS Municipal Certificates Floaters Series 2007-07-15 DN (Landebank Hessen-Thruingen Girozentrale Liquidity Facility),

      

1.61%, 7/07/08(a)(b)

      2,975      2,975,000

Pennsylvania Housing Finance Agency Single Family Mortgage RB Series 2006-92B AMT DN (Landesbank Hessen-Thueringen Girozentrale SBPA),

      

2.05%, 7/07/08(a)

      400      400,000

Philadelphia Authority IDRB (Gift of Life Donor Program Project) Series 2003 DN (Commerce Bank N.A. LOC),

      

1.53%, 7/07/08(a)

      965      965,000

Upper Merion General Authority Lease RB Series 2003 DN (Commerce Bank N.A. LOC),

      

1.53%, 7/07/08(a)

      500      500,000
         
        10,540,000
         

South Carolina — 0.4%

      

Greenwood County Exempt Facility IDRB (FUJIFILM Photo Project) Series 2004 AMT DN (FUJIFILM Corp. Guaranty),

      

1.71%, 7/07/08(a)

      1,500      1,500,000
         

Tennessee — 2.5%

      

Municipal Energy Acquisition Corp. of Tennessee Gas RB PUTTERS Series 2006-1578 DN (JPMorgan Chase & Co. Liquidity Facility),

      

1.60%, 7/07/08(a)(b)

      5,425      5,425,000

Tennergy Corp. Gas RB BNP Paribas STARS Certificates Trust Series 2006-001 DN (BNP Paribas Liquidity Facility),

      

1.60%, 7/07/08(a)(b)

      1,755      1,755,000

Tennergy Corp. Gas RB PUTTERS Series 2006-1258Q DN (JPMorgan Chase & Co. Liquidity Facility),

      

1.60%, 7/07/08(a)(b)

      1,755      1,755,000
         
        8,935,000
         

Texas — 10.2%

      

Dallas ISD Building GO Munitops Trust Certificates Series 2006-8 DN (PSF Guaranty, Bank of America N.A. SBPA),

      

1.59%, 7/07/08(a)(b)

      3,000      3,000,000

Harris County RB (Toll Road Unlimited Tax & Subordinate Lien Revenue Refunding Bonds Project) Series 2003 MB,

      

5.00%, 8/01/08

      400      404,774

Houston ISD GO (Schoolhouse Project) Series 2004 MB (PSF Guaranty, Bank of America N.A. SBPA),

      

3.75%, 6/15/09

      3,000      3,000,000

 

8        JUNE 30, 2008     

Schedule of Investments (continued)   

Municipal Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

     Par
(000)		    Value

Municipal Bonds

      

Texas (Continued)

      

Houston Water & Sewer System RB Municipal Trust Receipts Floaters Series 2007-2043 DN (Branch Banking & Trust Co. Liquidity Facility),

      

1.57%, 7/07/08(a)(b)

    $ 1,375    $ 1,375,000

Hutto ISD GO Series 2007-1001 DN (PSF Guaranty, Bank of New York SBPA),

      

1.61%, 7/07/08(a)(b)

      1,000      1,000,000

Lower Colorado River Authority RB MERLOTS Trust Receipts Series 2000 DN (FSA Insurance, Wachovia Bank N.A. SBPA),

      

1.76%, 7/07/08(a)(b)

      3,385      3,385,000

North Texas Tollway Authority GO Series 2007 BAN,

      

4.13%, 11/19/08

      4,200      4,201,065

Red River Education Finance RB (Texas Christian University Project) Series 2000 DN,

      

1.60%, 7/07/08(a)

      1,300      1,300,000

Texas GO Series 2007 TRAN,

      

4.50%, 8/28/08

      15,000      15,018,735

Texas Municipal Gas Acquisition & Supply Corp. II RB Series 2007 ROC-RR-II-R-10014 DN (Dexia Credit Local Liquidity Facility),

      

1.62%, 7/07/08(a)(b)

      2,100      2,100,000

Texas Municipal Gas Acquisition & Supply Corp. II RB Series 2007 ROC-RR-II-R-10015 DN (Landesbank Hessen-Thueringen Girozentrale Liquidity Facility),

      

1.62%, 7/07/08(a)(b)

      1,100      1,100,000
         
        35,884,574
         

Virginia — 3.9%

      

Capital Beltway Funding Corp. RB (Senior Lien-I-495 Hot Lanes Project) Series 2008A AMT DN (DEPFA Bank Plc LOC),

      

1.60%, 7/07/08(a)

      3,000      3,000,000

Capital Beltway Funding Corp. RB (Senior Lien-I-495 Hot Lanes Project) Series 2008B AMT DN (Banco Espirito Santo LOC),

      

1.60%, 7/07/08(a)

      2,000      2,000,000

Capital Beltway Funding Corp. RB (Senior Lien-I-495 Hot Lanes Project) Series 2008C AMT DN (National Australia Bank Ltd. LOC),

      

1.60%, 7/07/08(a)

      3,000      3,000,000

Capital Beltway Funding Corp. RB (Senior Lien-I-495 Hot Lanes Project) Series 2008D AMT DN (Bank of Nova Scotia LOC),

      

1.55%, 7/07/08(a)

      2,000      2,000,000

Norfolk Redevelopment & Housing Authority Multi-Family Housing RB (Residential Rental Project) Series 2003 AMT DN (SunTrust Bank LOC),

      

1.98%, 7/07/08(a)

      1,920      1,920,000

Virginia College Building Authority Educational Facilities RB Series 2003-379 DN (JPMorgan Chase & Co. LOC),

      

1.60%, 7/07/08(a)(b)

      1,865      1,865,000
         
        13,785,000
         

Washington — 2.7%

      

Seattle GO Series 1996 DN (Dexia Credit Local SBPA),

      

1.45%, 7/07/08(a)

      7,000      7,000,000

Washington Housing Finance Commission Non-Profit RB (Eastside Catholic School Project) Series 2007A DN (KeyBank N.A. LOC),

      

1.59%, 7/07/08(a)

      1,000      1,000,000

Washington Housing Finance Commission Non-Profit RB (Eastside Catholic School Project) Series 2007B DN (KeyBank N.A. LOC),

      

1.58%, 7/07/08(a)

      1,200      1,200,000

Yakima County Public Corp. RB (Michelsen Packaging Co. Project) Series 2000 AMT DN (Bank of America N.A. LOC),

      

1.75%, 7/07/08(a)

      315      315,000
         
        9,515,000
         

West Virginia — 0.9%

      

Kanawha County RB (Bible Center Church Project) Series 2006 DN (Huntington National Bank LOC),

      

2.00%, 7/07/08(a)

      3,200      3,200,000
         

Wisconsin — 1.2%

      

Amery IDRB (Plastech Corp. Project) Series 1997 AMT DN (U.S. Bank N.A. LOC),

      

1.79%, 7/07/08(a)

      2,000      2,000,000

Mequon IDRB (Johnson Level GRW Investment Project) Series 1995 AMT DN (Bank One N.A. LOC),

      

3.05%, 7/07/08(a)

      355      355,000

Sheboygan Falls IDRB (HTT, Inc. Project) Series 2007A AMT DN (U.S. Bank N.A. LOC),

      

1.65%, 7/07/08(a)

      1,890      1,890,000
         
        4,245,000
         

Wyoming — 0.6%

      

Campbell County IDRB (Two Elk Partners Project) Series 2007 MB (Royal Bank of Canada GIC),

      

3.65%, 11/28/08

      2,000      2,000,000
         

Total Investments
(Cost — $350,392,635*) — 99.6%

         350,392,635

Other Assets in Excess of Liabilities — 0.4%

         1,249,281
         

Net Assets — 100.0%

       $ 351,641,916
         

 

* Aggregate cost for federal income tax purposes.

 

(a) Rate shown is as of report date and maturities shown are the next interest readjustment date or the date the principal owed can be recovered through demand.

 

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. Unless otherwise indicated, these securities are considered to be liquid.

 

(c) Restricted security as to resale. As of report date the Portfolio held 0.1% of its net assets, with a current market value of $500,000 and an original cost of $500,000 in these securities.

 

•  

Investments in companies considered to be an affiliate of the Portfolio were as follows:

 

Affiliate

    Purchase
Cost		    Sales
Cost		    Realized
Gain		    Interest
Income

Golden State Tobacco Settlement Securitization Corp. RB P-Float Trust Receipts Series 2004 PA-1236 DN (Merrill Lynch & Co. Guaranty, Merrill Lynch Capital Services SBPA)

    —      $ 1,330,000    —      $ 4,934

 

         JUNE 30, 2008    9

Schedule of Investments (concluded)   

Municipal Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

Affiliate

    Purchase
Cost		    Sales
Cost		    Realized
Gain		    Interest
Income

Municipal Securities Pool Trust Receipts RB Series 2004-18 DN (Multiple Insurers, Societe Generale Group SBPA)

    —      $ 975,000    —      $ 11,982

 

•  

For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

10        JUNE 30, 2008     

Schedule of Investments June 30, 2008 (Unaudited)   

New Jersey Municipal Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

     Par
(000)		    Value

Municipal Bonds

      

New Jersey — 92.3%

      

Alexandria Township GO Series 2007 BAN,

      

4.00%, 12/17/08

    $ 200    $ 200,779

Bergen County Import Authority GO (Shared Department of Public Works Project) Series 2008 BAN (County Guaranteed Insurance),

      

2.50%, 4/30/09

      500      503,262

Camden County Improvement Authority RB (Harvest Village Project) Series 1999A DN (JPMorgan Chase Bank LOC),

      

2.29%, 7/01/08(a)

      8,100      8,100,000

Chester Township Board of Education GO Series 2007 GAN,

      

4.13%, 8/15/08

      515      515,217

Clinton GO Series 2008 BAN,

      

3.25%, 1/23/09

      300      300,755

Cranberry Township GO Series 2008 BAN,

      

2.50%, 1/14/09

      300      300,984

Cranford Township GO Series 2008 BAN,

      

2.25%, 2/04/09

      500      500,610

Demarest School District GO Series 2007 TAN,

      

4.00%, 7/11/08

      295      295,016

Dennis Township GO Series 2008 BAN,

      

2.25%, 3/20/09

      100      100,182

East Brunswick Township GO Series 2008 BAN,

      

3.50%, 1/09/09

      1,805      1,809,681

East Windsor Township GO Series 2007 BAN,

      

3.75%, 11/28/08

      1,300      1,302,057

Elizabeth GO Series 2008 BAN,

      

2.50%, 8/18/08

      300      300,274

Elmwood Park GO Series 2007 TAN,

      

3.75%, 11/14/08

      950      951,537

Essex County Utilities Authority GO Series 2007 MB,

      

3.75%, 11/14/08

      750      751,076

Evesham Township GO Series 2007 BAN,

      

4.13%, 8/08/08

      605      605,215

Ewing Township GO Series 2008 TAN,

      

2.50%, 10/24/08

      700      701,021

Gloucester City GO Series 2008A BAN,

      

2.25%, 4/28/09

      400      401,326

Haddon Heights GO Series 2008A BAN,

      

2.10%, 8/08/08

      150      150,026

Hamilton Township GO Series 2008 BAN,

      

2.00%, 2/06/09

      300      300,282

Hammonton GO Series 2008 BAN,

      

3.50%, 1/09/09

      1,100      1,103,420

Harrison Township GO Series 2008 BAN,

      

2.75%, 5/19/09

      1,000      1,006,307

Highlands GO Series 2008 BAN,

      

3.13%, 1/29/09

      400      401,162

Hillsborough Township GO Series 2007 BAN,

      

3.75%, 12/12/08

      140      140,395

Hillside Township GO Series 2008 BAN,

      

2.00%, 7/15/08

      450      449,826

Howell Township GO Series 2007B BAN,

      

4.00%, 9/16/08

      705      705,385

Hudson County Improvement Authority RB (Essential Purpose Pooled Government Project) Series 1986 DN (Bank of New York LOC),

      

1.60%, 7/07/08(a)

      6,320      6,320,000

Keyport GO Series 2007 BAN,

      

4.13%, 8/08/08

      980      980,338

Lakewood Township GO Series 2007 BAN,

      

4.25%, 7/11/08

      250      250,030

Lakewood Township GO Series 2008 BAN,

      

2.75%, 7/10/09

      400      402,736

Lambertville GO Series 2008 BAN,

      

2.50%, 6/12/09

      550      553,121

Leonia GO Series 2008 BAN,

      

2.50%, 2/27/09

      400      401,281

Linwood GO Series 2008 BAN,

      

3.00%, 6/23/09

      100      100,621

Long Beach Township GO Series 2007A BAN,

      

3.50%, 12/18/08

      160      160,295

Lower Township GO Series 2008 BAN,

      

2.00%, 4/03/09

      400      400,741

2.50%, 5/29/09

      400      401,281

Manasquan Township GO Series 2008 BAN,

      

2.50%, 1/30/09

      200      200,354

Maple Shade Township GO Series 2007 BAN,

      

4.00%, 8/01/08

      560      560,105

Maywood GO Series 2008 BAN,

      

2.50%, 3/20/09

      200      200,718

Middlesex County GO Series 2008 BAN,

      

2.75%, 4/06/09

      700      703,192

New Jersey Building Authority RB Series 2003A-1 DN (Bank of New York LOC),

      

1.38%, 7/02/08(a)

      3,600      3,600,000

New Jersey Economic Development Authority Multi-Mode IDRB (V&S Amboy Galvanizing LLC Project) Series 1999 AMT DN (KeyBank N.A. LOC),

      

1.76%, 7/07/08(a)

      1,475      1,475,000

New Jersey Economic Development Authority PCRB (Exxon Mobil Project) Series 1989 DN (Exxon Mobile Corp. Guaranty),

      

2.05%, 7/01/08(a)

      300      300,000

New Jersey Economic Development Authority RB (Applewood Estates Project) Series 2005 DN (Commerce Bank N.A. LOC),

      

1.60%, 7/07/08(a)

      3,750      3,750,000

New Jersey Economic Development Authority RB (Cedar Crest Village, Inc. Project) Series 2006B DN (Sovereign Bank LOC, Bank of New York LOC),

     

1.42%, 7/07/08(a)

      8,200      8,200,000

New Jersey Economic Development Authority RB (Facilities Construction Project) Series 2006R-1 DN (Bank of Nova Scotia LOC, Lloyds TSB Bank Plc LOC),

      

1.70%, 7/01/08(a)

      1,600      1,600,000

New Jersey Economic Development Authority RB (Frisch School Project) Series 2006 DN (Princeton University Guaranty, Kredietbank N.V. LOC, Sovereign Bank LOC),

      

1.40%, 7/07/08(a)

      1,550      1,550,000

New Jersey Economic Development Authority RB (Hamilton Industrial Development Project) Series 1998 DN (Wachovia Bank N.A. LOC),

      

1.60%, 7/07/08(a)

      1,340      1,340,000

New Jersey Economic Development Authority RB (J. James Realty Co. Project) Series 1998 AMT DN (Wachovia Bank N.A. LOC),

      

1.60%, 7/07/08(a)

      370      370,000

 

         JUNE 30, 2008    11

Schedule of Investments (continued)   

New Jersey Municipal Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

      Par
(000)		    Value

Municipal Bonds

      

New Jersey (Continued)

      

New Jersey Economic Development Authority RB (Jacea LLC Project) Series 2004 DN (Wachovia Bank N.A. LOC),

      

1.60%, 7/07/08(a)

    $ 3,045    $ 3,045,000

New Jersey Economic Development Authority RB (Jewish Family Service Project) Series 2002 DN (Wachovia Bank N.A. LOC),

      

1.50%, 7/07/08(a)

      660      660,000

New Jersey Economic Development Authority RB (Lawrenceville School Project) Series 1996B DN (JPMorgan Chase Bank SBPA),

      

1.20%, 7/01/08(a)

      7,100      7,100,000

New Jersey Economic Development Authority RB (Morris Museum Project) Series 2006 DN (JPMorgan Chase Bank LOC),

      

1.42%, 7/07/08(a)

      3,300      3,300,000

New Jersey Economic Development Authority RB (Nandan Co. Project) Series 2000 AMT DN (M&T Bank Corp. LOC),

      

1.21%, 7/07/08(a)

      2,650      2,650,000

New Jersey Economic Development Authority RB (Nandan Co. Project) Series 2001 AMT DN (M&T Bank Corp. LOC),

      

1.21%, 7/07/08(a)

      1,025      1,025,000

New Jersey Economic Development Authority RB (Paddock Realty LLC Project) Series 2006 AMT DN (Wells Fargo Bank N.A. LOC),

      

1.75%, 7/07/08(a)

      1,200      1,200,000

New Jersey Economic Development Authority RB (Pennington Montessori School Project) Series 1998 DN (Wachovia Bank N.A. LOC),

      

1.60%, 7/07/08(a)

      1,045      1,045,000

New Jersey Economic Development Authority RB (Presbyterian Homes Project) Series 2006 DN (Commerce Bank LOC),

      

1.50%, 7/07/08(a)

      1,400      1,400,000

New Jersey Economic Development Authority RB (Princeton Montessori Society Project) Series 2008 DN (Sovereign Bank LOC),

      

1.63%, 7/07/08(a)

      2,000      2,000,000

New Jersey Economic Development Authority RB (Stuart Country Day School Project) Series 2002 DN (Allied Irish Bank Plc LOC),

      

1.80%, 7/07/08(a)

      1,640      1,640,000

New Jersey Economic Development Authority RB Eagle Trust Receipts Series 2008A-3 DN (FSA Insurance, Citigroup Financial Products Liquidity Facility),

      

1.61%, 7/07/08(a)(b)

      1,000      1,000,000

New Jersey Economic Development Authority RB MERLOTS Trust Receipts Series 2007D-41 DN (FSA Insurance, Wachovia Bank N.A. SBPA),

      

1.76%, 7/07/08(a)(b)

      5,990      5,990,000

New Jersey Economic Development Authority RB PUTTERS Series 2008-2712 DN (FSA Insurance, JPMorgan Chase & Co. Liquidity Facility),

     

1.61%, 7/07/08(a)(b)

      540      540,000

New Jersey Economic Development Authority Thermal Energy Facilities RB (Marina Energy LLC Project) Series 2001A AMT DN (Wachovia Bank N.A. LOC),

      

1.75%, 7/07/08(a)

      1,100      1,100,000

New Jersey Economic Development Authority Thermal Energy Facilities RB (Thermal Energy LP Project) Series 1995 AMT DN (Bank One N.A. LOC),

     

2.00%, 7/07/08(a)

      500      500,000

New Jersey Environmental Infrastructure Trust RB Series 2004-585 AMT DN (JPMorgan Chase Bank Liquidity Facility),

      

1.78%, 7/07/08(a)(b)

      3,965      3,965,000

New Jersey Health Care Facilities Financing Authority RB (Hospital Capital Asset Financing Project) Series 1985A DN (Wachovia Bank N.A. LOC),

     

1.60%, 7/07/08(a)

      1,175      1,175,000

New Jersey Health Care Facilities Financing Authority RB (Meridian Health System Project) Series 2003B DN (Fleet National Bank LOC),

      

1.70%, 7/07/08(a)

      3,400      3,400,000

New Jersey Health Care Facilities Financing Authority RB (South Jersey Hospital Systems Project) Series 2004A-4 DN (Wachovia Bank N.A. LOC),

     

1.52%, 7/07/08(a)

      700      700,000

New Jersey Health Care Facilities Financing Authority RB (Virtua Health Project) Series 2004 DN (Wachovia Bank N.A. LOC),

      

1.40%, 7/07/08(a)

      1,880      1,880,000

New Jersey Health Care Facilities Financing Authority RB P-Float Trust Receipts (JFK Health System Obligation Group Project) Series 2008-2397 DN (Morgan Stanley Municipal Funding Liquidity Facility),

      

1.75%, 7/07/08(a)(b)

      870      870,000

New Jersey Higher Education Assistance Authority Student Loan RB Municipal Trust Receipts Floaters Series 2008L-36 DN (Royal Bank of Canada LOC, Royal Bank of Canada Liquidity Facility),

      

1.80%, 7/07/08(a)(b)

      8,500      8,500,000

New Jersey Housing & Mortgage Finance Agency RB (Single Family Housing Project) Series 2005O AMT DN (Dexia Credit Local LOC),

      

1.35%, 7/07/08(a)

      500      500,000

New Jersey Housing & Mortgage Finance Agency RB (Single Family Housing Project) Series 2008Y AMT DN (BNP Paribas SBPA),

      

1.63%, 7/07/08(a)

      1,000      1,000,000

New Jersey Housing & Mortgage Finance Agency RB (Single Family Housing Project) Series 2008Z AMT DN (BNP Paribas SBPA),

      

1.60%, 7/07/08(a)

      1,580      1,580,000

New Jersey Transportation Trust Fund Authority Capital Appreciation RB DB SPEARS TOB Series 2007DB-447 DN (FSA Insurance, AMBAC Insurance, Deutsche Bank Liquidity Facility),

      

1.59%, 7/07/08(a)(b)

      3,750      3,750,000

New Jersey Transportation Trust Fund Authority RB Municipal Trust Receipts Floaters Series 2004-963D DN (Transamerica Life Insurance Co. Guaranty, Morgan Stanley Municipal Funding Liquidity Facility),

      

1.75%, 7/07/08(a)(b)

      5,100      5,100,000

New Jersey Transportation Trust Fund Authority RB PUTTERS Series 2001-241 DN (FSA Insurance, JPMorgan Chase & Co. Liquidity Facility),

      

1.61%, 7/07/08(a)(b)

      1,540      1,540,000

New Jersey Turnpike Authority RB Series 2006 DN (FSA Insurance, Dexia Credit Local SBPA),

      

1.55%, 7/07/08(a)

      1,600      1,600,000

New Milford GO Series 2008 BAN,

      

2.25%, 1/30/09

      200      200,240

 

12        JUNE 30, 2008     

Schedule of Investments (continued)   

New Jersey Municipal Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

      Par
(000)		    Value

Municipal Bonds

      

New Jersey (Continued)

      

New Providence GO Series 2008 BAN,

      

2.50%, 2/20/09

    $ 100    $ 100,435

Newton GO Series 2008 BAN,

      

2.50%, 6/25/09

      400      402,121

North Wildwood GO Series 2007 BAN,

      

3.75%, 12/12/08

      1,100      1,102,914

Northvale GO Series 2008 BAN,

      

2.50%, 2/20/09

      100      100,435

Oakland GO Series 2008 BAN,

      

2.25%, 2/11/09

      100      100,192

2.50%, 2/11/09

      500      502,134

Park Ridge GO Series 2008 BAN,

      

2.00%, 2/06/09

      200      200,105

Pascack Valley Regional High School District GO Series 2008 TAN,

      

2.00%, 2/06/09

      200      200,106

Pennsauken Township GO Series 2007A BAN,

      

4.00%, 9/10/08

      1,220      1,220,683

Pilesgrove Township GO Series 2007 BAN,

      

4.00%, 8/28/08

      1,100      1,100,252

Port Authority of New York & New Jersey RB Eagle Trust Receipts Series 2006A-107 AMT DN (Landesbank Hessen-Thuringen Girozentrale Liquidity Facility),

      

1.62%, 7/07/08(a)(b)

      2,000      2,000,000

Port Authority of New York & New Jersey RB Municipal Trust Receipts Floaters Series 2008-2773 DN (GO of Authority Insurance, Morgan Stanley Municipal Funding Liquidity Facility),

      

1.60%, 7/07/08(a)(b)

      5,000      5,000,000

Port Authority of New York & New Jersey RB Series 2006-1546 DN (JPMorgan Chase Bank Liquidity Facility),

      

1.58%, 7/07/08(a)(b)

      1,300      1,300,000

Port Authority of New York & New Jersey Special Obligation RB (Versatile Structure Obligation Project) Series 1994-2 DN (JPMorgan Chase & Co. SBPA),

      

2.29%, 7/01/08(a)

      10,300      10,300,000

Port Authority of New York & New Jersey TECP,

      

1.60%, 8/01/08

      4,000      4,000,000

Ridgefield Park GO Series 2008 BAN,

      

2.75%, 4/24/09

      200      201,035

Ringwood Borough GO Series 2007 BAN,

      

3.75%, 11/07/08

      800      801,063

Robbinsville GO Series 2008 BAN,

      

2.50%, 12/11/08

      400      401,076

Rutgers University RB Series 2002A DN (Landesbank Hessen-Thuringen Girozentrale SBPA),

      

1.35%, 7/01/08(a)

      2,200      2,200,000

Rutherford Borough GO Series 2007 BAN,

      

3.50%, 7/01/08

      300      300,000

4.00%, 7/17/08

      685      685,063

Rutherford Borough GO Series 2008 BAN,

      

2.75%, 5/01/09

      800      805,247

Scotch Plains-Fanwood School District GO Series 2008A BAN,

      

2.50%, 6/11/09

      200      200,925

South Bound Brook GO Series 2007 BAN,

      

4.00%, 8/22/08

      395      395,146

South Plainfield GO Series 2008 BAN,

      

2.75%, 7/01/09

      800      806,712

Summit GO Series 2007 BAN,

      

3.75%, 12/12/08

      530      531,311

Sussex County GO Series 2008 BAN,

      

2.50%, 6/24/09

      300      301,586

Sussex County Municipal Utilities Authority GO Series 2008 BAN,

      

2.75%, 9/25/08

      400      400,834

Tinton Falls GO Series 2008 BAN,

      

3.13%, 1/23/09

      150      150,440

Union County Industrial Pollution Control Financing Authority PCRB (Exxon Mobil Corp. Project) Series 1989 DN (Exxon Mobil Corp. Guaranty),

     

2.05%, 7/01/08(a)

      100      100,000

Union Township GO Series 2008 BAN,

      

3.50%, 1/09/09

      650      652,021

Upper Freehold Township GO Series 2008 BAN,

      

2.50%, 8/29/08

      400      400,307

Warren Township GO Series 2008 BAN,

      

2.50%, 4/23/09

      400      402,485

Washington Township & Warren County GO Series 2008 BAN,

      

2.50%, 5/15/09

      400      401,568

Washington Township GO Series 2007 BAN,

      

4.00%, 10/24/08

      1,039      1,040,607

3.25%, 12/26/08

      350      350,362

West Long Branch GO Series 2008 BAN,

      

3.00%, 5/21/09

      400      402,777

West Orange Township GO Series 2008 BAN,

      

2.50%, 4/09/09

      300      301,936

Westfield GO Series 2007 BAN,

      

4.00%, 7/18/08

      775      775,172

Westfield GO Series 2008 BAN,

      

2.50%, 4/09/09

      300      301,410

Woodbury School District GO Series 2007 GAN,

      

4.00%, 12/04/08

      600      601,506
         
        167,210,814
         

Puerto Rico — 7.1%

      

Commonwealth of Puerto Rico GO Series 2007A-3 DN (FSA Insurance, Dexia Credit Local SBPA),

      

1.80%, 7/01/08(a)

      5,600      5,600,000

Commonwealth of Puerto Rico GO Series 2007A-4 DN (FSA Insurance, Dexia Credit Local SBPA),

      

1.80%, 7/01/08(a)

      1,400      1,400,000

Commonwealth of Puerto Rico GO Series 2007A-8 DN (Wachovia Bank N.A. LOC),

      

1.32%, 7/03/08(a)

      2,000      2,000,000

Puerto Rico Public Buildings Authority RB Municipal Trust Receipts Floaters Series 2008-2562D DN (Morgan Stanley Municipal Funding Liquidity Facility, Transamerica International Guaranty),

      

1.67%, 7/07/08(a)(b)

      4,000      4,000,000
         
        13,000,000
         

Total Investments
(Cost — $180,210,814*) — 99.4%

         180,210,814

Other Assets in Excess of Liabilities — 0.6%

         998,026
         

Net Assets — 100.0%

       $ 181,208,840
         

 

* Aggregate cost for federal income tax purposes.

 

(a) Rate shown is as of report date and maturities shown are the next interest readjustment date or the date the principal owed can be recovered through demand.

 

(b)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions.

 

         JUNE 30, 2008    13

Schedule of Investments (concluded)   

New Jersey Municipal Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

 

These securities may be resold in transactions exempt from registration to qualified institutional investors. Unless otherwise indicated, these securities are considered to be liquid.

 

•  

Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

 

Affiliate

    Purchase
Cost		    Sales
Cost		    Realized
Gain		    Interest
Income

New Jersey Economic Development Authority RB P-Float Trust Receipts Series 2004 MT-035 DN (Assured Guaranty Ltd. Insurance, Landesbank Hessen-Thuringen Girozentrale SBPA)

    —      $ 6,795,000    —      $ 108,370

New Jersey Health Care Facilities Financing Authority RB P-Float Trust Receipts Series 2001 PT-1319 DN (AMBAC Insurance, Merrill Lynch Capital Services SBPA)

    —      $ 7,415,000    —      $ 27,616

Port Authority of New York & New Jersey RB P-Float Trust Receipts Series 2004-056 DN (FGIC Insurance, Banque Nationale de Paribas SBPA)

    —      $ 7,855,000    —      $ 88,829

 

•  

For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

14        JUNE 30, 2008     

Schedule of Investments June 30, 2008 (Unaudited)

   

North Carolina Municipal Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

     Par
(000)		    Value
Municipal Bonds      

North Carolina — 96.9%

      

Branch Banking & Trust RB Municipal Trust Receipts Floaters Series 2008-1011 DN (Branch Banking & Trust Co. LOC, Branch Banking & Trust Co. Liquidity Facility),

      

1.63%, 7/07/08(a)(b)

    $ 1,800    $ 1,800,000

Carrboro GO Series 2007 BAN,

      

3.75%, 8/27/08

      715      715,304

Charlotte COP (Transit Projects Phase II Project) Series 2005F DN (Depfa Bank Plc SBPA),

      

1.60%, 7/07/08(b)

      1,465      1,465,000

Charlotte GO Series 2007 DN (KBC Bank N.V. SBPA),

      

1.50%, 7/07/08(b)

      2,400      2,400,000

Charlotte Water & Sewer System GO Series 2007 TECP,

      

3.05%, 7/22/08

      3,500      3,500,000

Charlotte Water & Sewer System RB Munitops Trust Certificates Series 2007-10 DN (Bank of America N.A. SBPA),

      

1.60%, 7/07/08(a)(b)

      5,995      5,995,000

Charlotte-Mecklenburg Hospital Authority RB (Carolina’s Healthcare System Project) Series 2005B DN (Bank of America N.A. SBPA),

      

2.10%, 7/01/08(b)

      200      200,000

Charlotte-Mecklenburg Hospital Authority RB (Carolina’s Healthcare System Project) Series 2005C DN (Bank of America N.A. SBPA),

      

2.50%, 7/01/08(b)

      1,200      1,200,000

Charlotte-Mecklenburg Hospital Authority RB (Carolina’s Healthcare System Project) Series 2006-1388 DN (Morgan Stanley Group Liquidity Facility),

      

1.60%, 7/07/08(a)(b)

      2,900      2,900,000

Charlotte-Mecklenburg Hospital Authority RB (Carolina’s Healthcare System Project) Series 2007F DN (FSA Insurance, Dexia Credit Local SBPA),

      

1.50%, 7/07/08(b)

      120      120,000

Edgecombe County Water & Sewer District No. 5 GO Series 2008 BAN,

      

2.00%, 1/21/09

      878      878,959

Fayetteville Public Works Commission RB Series 2003A DN (FSA Insurance, Dexia Credit Local SBPA),

      

1.52%, 7/07/08(b)

      1,900      1,900,000

Guilford County GO Series 2005B DN (Wachovia Bank N.A. SBPA),

      

1.55%, 7/07/08(b)

      600      600,000

Halifax County GO Series 2008 BAN,

      

2.50%, 2/25/09

      1,315      1,319,214

Mecklenburg County COP Series 2005 DN (Wachovia Bank N.A. SBPA),

      

1.45%, 7/07/08(b)

      300      300,000

Mecklenburg County GO Series 1996C DN (Bank of America N.A. LOC),

      

1.52%, 7/07/08(b)

      2,200      2,200,000

Mecklenburg County GO Series 2005B DN (Wachovia Bank N.A. SBPA),

      

1.45%, 7/07/08(b)

      515      515,000

Mecklenburg County GO Series 2006A DN (DEPFA Bank Plc SBPA),

      

1.45%, 7/07/08(b)

      1,465      1,465,000

New Hanover County COP Series 2007 DN (DEFPA Bank Plc SBPA),

      

1.45%, 7/07/08(b)

      1,300      1,300,000

North Carolina Bank Capital Facilities GO Series 2008 TECP,

      

1.70%, 10/06/08

      2,000      2,000,000

North Carolina Capital Facilities Finance Agency Educational Facilities RB (High Point University Project) Series 2006 DN (Branch Banking & Trust Co. LOC),

      

1.61%, 7/07/08(b)

      790      790,000

North Carolina Capital Facilities Finance Agency Educational Facilities RB (Megellan Charter School Project) Series 2007 DN (Wachovia Bank N.A. LOC),

      

1.52%, 7/07/08(b)

      1,300      1,300,000

North Carolina Capital Facilities Finance Agency Educational Facilities RB (The Downtown Middle School Project) Series 2006 DN (Branch Banking & Trust Co. LOC),

      

1.61%, 7/07/08(b)

      150      150,000

North Carolina Capital Facilities Finance Agency RB (Aquarium Society Project) Series 2004 DN (Bank of America N.A. LOC),

      

1.55%, 7/07/08(b)

      410      410,000

North Carolina Capital Facilities Finance Agency RB Eagle Trust Receipts Series 2006A DN (Citibank N.A. Liquidity Facility),

      

1.56%, 7/07/08(a)(b)

      1,000      1,000,000

North Carolina Educational Facilities Finance Agency RB (Duke University Project) Series 1992A DN,

      

1.45%, 7/07/08(b)

      3,025      3,025,000

North Carolina GO MERLOTS Trust Receipts Series 2008C-04 DN (Wachovia Bank N.A. LOC),

      

2.05%, 7/07/08(a)(b)

      1,400      1,400,000

North Carolina GO Series 2002F DN (Landesbank Hessen-Thuringen Girozentrale SBPA),

      

1.30%, 7/07/08(b)

      2,000      2,000,000

North Carolina GO Series 2003A-23 MB (Wachovia Bank N.A. SBPA),

      

2.00%, 2/09/09(a)(b)

      800      800,000

North Carolina HFA RB (Home Ownership Project) Series 2003-17-C AMT DN (Bank of America N.A. Liquidity Facility),

      

1.70%, 7/07/08(b)

      350      350,000

North Carolina Medical Care Commission Health Care Facilities RB (Duke University Health System Project) Series 2005A DN,

      

1.54%, 7/07/08(b)

      1,650      1,650,000

North Carolina Medical Care Commission Health Care Facilities RB (Novant Health Group Project) Series 2004A DN (JPMorgan Chase Bank SBPA),

     

1.54%, 7/07/08(b)

      1,450      1,450,000

North Carolina Medical Care Commission Health Care Facilities RB (Watauga Medical Center Project) Series 2005 DN (Wachovia Bank N.A. LOC),

     

1.47%, 7/07/08(b)

      1,000      1,000,000

North Carolina Medical Care Commission Health Care Facilities RB Series 2007 ROC-RR-II-R-10313 DN (Citigroup Financial Products Liquidity Facility),

      

1.62%, 7/07/08(a)(b)

      3,700      3,700,000

 

         JUNE 30, 2008    15

Schedule of Investments (concluded)

   

North Carolina Municipal Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

     Par
(000)		    Value  

Municipal Bonds

      

North Carolina (Continued)

      

North Carolina Medical Care Commission Hospital RB (Duke University Hospital Project) Series 1985B DN (Wachovia Bank N.A. SBPA),

      

1.48%, 7/07/08(b)

    $ 250    $ 250,000  

North Carolina Medical Care Commission Hospital RB (Moses Cone Health System Project) Series 2001A DN (JPMorgan Chase & Co. SBPA),

     

1.40%, 7/07/08(b)

      850      850,000  

North Carolina Medical Care Commission Retirement Facilities RB (Aldersgate Project) Series 2001 DN (Branch Banking & Trust Co. LOC),

     

1.63%, 7/07/08(b)

      3,900      3,900,000  

North Carolina Medical Care Commission Retirement Facilities RB (United Church Homes & Services Project) Series 2007 DN (Branch Banking & Trust Co. LOC),

      

1.61%, 7/07/08(b)

      500      500,000  

Oneals Water District GO Series 2007 BAN,

      

3.75%, 7/23/08

      885      885,130  

Raleigh Comb Enterprise System RB Eagle Trust Receipts Series 2007A-0010 DN (Landesbank Hessen-Thueringen Girozentrale Liquidity Facility),

     

1.54%, 7/07/08(a)(b)

      1,275      1,275,000  

Raleigh County COP (Packaging Facilities Project) Series 2000A DN (Bank of America N.A. SBPA),

      

1.55%, 7/07/08(b)

      1,000      1,000,000  

Sampson County COP Eclipse Funding Trust Series 2006-0160 DN (FSA Insurance, U.S. Bank N.A. Liquidity Facility),

      

3.60%, 7/07/08(a)(b)

      700      700,000  

South Central Water & Sewer District GO Series 2008 BAN,

      

2.25%, 12/17/08

      795      795,901  

2.75%, 12/17/08

      1,715      1,716,932  

University of North Carolina at Chapel Hill RB Munitops Trust Certificates Series 2005-52 DN (Bank of America N.A. SBPA),

      

1.60%, 7/07/08(a)(b)

      2,600      2,600,000  

University of North Carolina at Chapel Hill RB Series 2001B DN,

      

1.60%, 7/07/08(b)

      790      790,000  

University of North Carolina Hospitals at Chapel Hill RB Series 2001B DN (Landesbank Hessen-Thuringen Girozentrale LOC),

      

2.50%, 7/01/08(b)

      4,900      4,900,000  

Wilmington GO Series 2002 DN (Wachovia Bank N.A. SBPA),

      

1.60%, 7/07/08(b)

      400      400,000  

Winston-Salem COP (Risk Acceptance Management Corp. Project) Series 1988 DN (Dexia Credit Local LOC),

      

1.57%, 7/07/08(b)

      400      400,000  

Winston-Salem Water & Sewer Systems RB Series 2002B DN (Dexia Credit Local LOC),

      

1.54%, 7/07/08(b)

      1,400      1,400,000  

Winston-Salem Water & Sewer Systems RB Series 2002C DN (Dexia Credit Local LOC),

      

1.55%, 7/07/08(b)

      2,605      2,605,000  
           
        76,766,440  
           

Puerto Rico — 3.7%

      

Commonwealth of Puerto Rico GO Series 2007 TRAN (Bank of Nova Scotia, BNP Paribas, Dexia Credit Local, Fortis Bank S.A./N.V., Banco Bilbao Vizcaya Argentaria S.A., KBC Bank N.V. and Banco Santander Central Hisapano LOC),

      

4.25%, 7/30/08

      3,000      3,001,980  
           

Total Investments
(Cost — $79,768,420*) — 100.6%

         79,768,420  

Liabilities in Excess of Other Assets — (0.6)%

         (522,696 )
           

Net Assets — 100.0%

       $ 79,245,724  
           

 

* Aggregate cost for federal income tax purposes.

 

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. Unless otherwise indicated, these securities are considered to be liquid.

 

(b) Rate shown is as of report date and maturities shown are the next interest readjustment date or the date the principal owed can be recovered through demand.

 

• For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

16        JUNE 30, 2008     

Schedule of Investments June 30, 2008 (Unaudited)

   

Ohio Municipal Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

     Par
(000)		    Value

Municipal Bonds

      

Ohio — 100.6%

      

Allen County RB (Catholic Healthcare Project) Series 2008B DN (JPMorgan Chase & Co. LOC),

      

1.70%, 7/07/08(a)

    $ 4,300    $ 4,300,000

American Municipal Power, Inc. GO (Amherst City Project) Series 2007 BAN,

      

3.50%, 11/25/08

      150      150,000

American Municipal Power, Inc. GO (Bowling Green Project) Series 2007 BAN,

      

3.50%, 11/25/08

      550      550,000

American Municipal Power, Inc. GO (Brewster Village Project) Series 2008 RAN,

      

3.50%, 1/09/09

      150      150,310

American Municipal Power, Inc. GO (Electric System-Lodi Village Project) Series 2008 BAN,

      

3.00%, 3/12/09

      300      301,032

American Municipal Power, Inc. GO (Hubbard Project) Series 2007 BAN,

      

3.70%, 9/25/08

      175      175,000

American Municipal Power, Inc. GO (Oberlin Project) Series 2007 BAN,

      

3.50%, 12/04/08

      115      115,000

American Municipal Power, Inc. GO (Shelby Project) Series 2007 BAN,

      

3.45%, 11/13/08

      1,500      1,500,000

American Municipal Power, Inc. GO (St. Mary’s Electric System Project) Series 2007 BAN,

      

3.70%, 10/02/08

      145      145,000

American Municipal Power, Inc. GO (Tipp City Project) Series 2008 BAN,

      

2.50%, 5/13/09

      300      300,643

American Municipal Power, Inc. GO Series 2007 BAN,

      

3.50%, 10/30/08

      600      600,000

American Municipal Power, Inc. GO Series 2008A TECP (JPMorgan Chase Bank LOC),

      

1.70%, 7/07/08

      3,000      3,000,000

American Municipal Power, Inc. RB (Combustion Turbine Project) Series 2006 DN (KeyBank N.A. LOC),

      

1.59%, 7/07/08(a)

      520      520,000

American Municipal Power, Inc. RB (Electric Systems Project) Series 2007 BAN,

      

3.85%, 8/15/08

      1,200      1,200,000

Ashland GO Series 2008 BAN,

      

2.50%, 1/13/09

      1,000      1,002,624

Avon GO (Miller Road Extension Project) Series 2008 BAN,

      

2.50%, 11/26/08

      600      601,196

Avon Local School District GO Series 2008 BAN,

      

3.50%, 1/08/09

      550      551,449

Barberton GO (Fire Station Improvement Project) Series 2008 BAN,

      

2.75%, 7/07/09

      600      600,000

Barberton GO (Street Improvement Project) Series 2007 BAN,

      

3.75%, 11/13/08

      200      200,192

Barberton GO Series 2008 BAN,

      

2.25%, 4/08/09

      350      351,056

Berea GO Series 2008 BAN,

      

2.50%, 7/02/09

      300      301,173

Brooklyn GO Series 2008 BAN,

      

3.25%, 5/14/09

      200      201,441

Brooklyn IDRB (Dylon Industries, Inc. Project) Series 1999 AMT DN (KeyBank N.A. LOC),

      

1.76%, 7/07/08(a)

      610      610,000

Brunswick GO Series 2007 BAN,

      

3.70%, 12/04/08

      100      100,103

Buckeye Tobacco Settlement Financing Authority RB Municipal Trust Receipts Floaters Series 2007-2125 DN (Morgan Stanley Municipal Funding Liquidity Facility, Morgan Stanley Municipal Funding Guaranty),

      

1.75%, 7/07/08(a)(b)

      2,800      2,800,000

Buckeye Tobacco Settlement Financing Authority RB Series 2007 ROC-RR-II-R-10308 DN (Citigroup Financial Products Liquidity Facility, Citigroup Financial Products Guaranty),

      

1.59%, 7/07/08(a)(b)

      1,000      1,000,000

Buckeye Tobacco Settlement Financing Authority RB Series 2008-619 DN (Deutsche Bank Guaranty, Deutsche Bank Liquidity Facility),

      

1.58%, 7/07/08(a)(b)

      4,625      4,625,000

Butler County GO Series 2007 BAN,

      

4.10%, 8/07/08

      260      260,169

Butler County Technology and Career Development Schools GO (School Improvement Project) Series 2008 BAN,

      

2.50%, 3/19/09

      1,700      1,706,111

Celina GO Series 2007 BAN,

      

3.75%, 11/12/08

      400      400,410

Chillicothe GO Series 2008 BAN,

      

2.50%, 6/08/09

      300      301,403

Cincinnati School District COP Series 2007 ROC-RR-II-R-12049 DN (FSA Insurance, Citigroup Financial Products Liquidity Facility),

      

1.61%, 7/07/08(a)(b)

      1,000      1,000,000

Clark County GO Series 2008 BAN,

      

2.50%, 2/11/09

      100      100,240

Cleveland Airport System RB Series 1997D AMT DN (WestLB AG LOC),

      

1.66%, 7/07/08(a)

      5,345      5,345,000

Cleveland Waterworks RB Series 2006 DN (FSA Insurance, Dexia Credit Local SBPA),

      

1.50%, 7/07/08(a)

      420      420,000

Clinton Massie Local School District GO Series 2007 BAN,

      

4.00%, 11/18/08

      600      601,243

Columbus GO (Police-Firemen Disability Project) Series 1998 MB,

      

5.00%, 7/07/08

      250      254,972

Columbus Sewerage System RB Series 2008B DN,

      

1.36%, 7/07/08(a)

      1,000      1,000,000

Cuyahoga Community College District GO Series 2008 TAN,

      

2.35%, 12/18/08

      1,000      1,002,751

Cuyahoga County Civic Facility RB (Orion Services, Inc. Project) Series 2001 DN (Bank One N.A. LOC),

      

2.30%, 7/07/08(a)

      2,470      2,470,000

Cuyahoga County Economic Development RB (Cleveland Botanical Garden Project) Series 2001 DN (M&T Bank Corp. LOC),

      

1.56%, 7/07/08(a)

      635      635,000

Cuyahoga County IDRB (AFI Generations LLC Project) Series 2007B AMT DN (Royal Bank of Scotland LOC),

      

1.65%, 7/07/08(a)

      2,015      2,015,000

 

         JUNE 30, 2008    17

Schedule of Investments (continued)   

Ohio Municipal Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

     Par
(000)		    Value

Municipal Bonds

      

Ohio (Continued)

      

Cuyahoga County IDRB (All Foils, Inc. Project) Series 2007A AMT DN (Royal Bank of Scotland LOC),

      

1.65%, 7/07/08(a)

    $ 900    $ 900,000

Cuyahoga County IDRB (Trio Diversified Co. Project) Series 2000 AMT DN (KeyBank N.A. LOC),

      

1.76%, 7/07/08(a)

      1,055      1,055,000

Delaware County Economic Development RB (The Columbus Zoological Park Assoc., Inc. Project) Series 2003 DN (Huntington National Bank LOC),

     

2.00%, 7/07/08(a)

      1,605      1,605,000

Delaware County IDRB (Air Waves, Inc. Project) Series 1995 DN (KeyBank N.A. LOC),

      

1.76%, 7/07/08(a)

      60      60,000

Elyria GO Series 2007-2 BAN,

      

4.00%, 10/02/08

      1,100      1,101,023

Elyria GO Series 2007 BAN,

      

4.25%, 7/03/08

      260      260,005

Fairborn GO Series 2007 BAN,

      

4.50%, 8/15/08

      100      100,083

Fairborn GO Series 2008 BAN,

      

3.25%, 10/30/08

      80      80,156

2.50%, 5/20/09

      300      301,169

Findlay GO Series 2008 BAN,

      

2.38%, 10/21/08

      750      750,967

Franklin County Economic Development RB (Columbus Montessori Educational Center Project) Series 2000 DN (Huntington National Bank LOC),

      

1.65%, 7/07/08(a)

      1,460      1,460,000

Franklin County Economic Development RB (Dominican Sisters Project) Series 1994 DN (Fifth Third Bank N.A. LOC),

      

1.64%, 7/07/08(a)

      850      850,000

Franklin County Health Care Facilities RB (Heritage Day Health Centers Project) Series 2002 DN (Huntington National Bank LOC),

      

2.00%, 7/07/08(a)

      366      366,000

Franklin County Health Care Facilities RB (Willow Brook Christian Project) Series 2004 DN (Fifth Third Bank N.A. LOC),

      

1.87%, 7/07/08(a)

      500      500,000

Franklin County Hospital RB (Nationwide Children’s Hospital Project) Series 2008F DN (JPMorgan Chase Bank SBPA),

      

1.54%, 7/03/08(a)

      12,000      12,000,000

Franklin County Senior Housing RB (St. George on the Commons Apartments Project) Series 2007 AMT DN (Federal National Mortgage Assoc. Insurance, Federal National Mortgage Assoc. Liquidity Facility),

      

1.66%, 7/07/08(a)

      915      915,000

Fulton County RB (Fulton Couth Health Center Project) Series 2005 DN (JPMorgan Chase Bank LOC),

      

1.50%, 7/07/08(a)

      775      775,000

Geauga County GO (Human Services Building Project) Series 2007 BAN,

      

4.00%, 12/04/08

      150      150,247

Geauga County GO (Safety Center Project) Series 2007 BAN,

      

4.00%, 8/27/08

      250      250,093

Geauga County RB (Thistle Lane Project) Series 2000 AMT DN (Huntington National Bank LOC),

      

1.78%, 7/07/08(a)

      2,210      2,210,000

Greene County IDRB (AFC Stamping & Production, Inc., Barsplice Products Project) Series 1995 AMT DN (KeyBank N.A. LOC),

      

1.76%, 7/07/08(a)

      85      85,000

Hamilton County GO Series 2007 BAN,

      

4.00%, 9/11/08

      1,240      1,240,588

Hamilton County Hospital Facilities RB P-Float Trust Receipts Series 2001 PT-507 DN (FSA Insurance, Svenska Handelsbanken SBPA),

      

1.54%, 7/07/08(a)(b)(c)

      4,855      4,855,000

Hamilton County Sales Tax RB Municipal Trust Receipts Floaters Series 2008-2671 DN (FSA Insurance, Morgan Stanley Municipal Funding Liquidity Facility),

      

1.60%, 7/07/08(a)(b)

      1,697      1,697,000

Independence GO Series 2008 BAN,

      

2.10%, 4/30/09

      1,000      1,002,439

Indian Lake Local School District GO (School Construction Project) Series 2007 BAN,

      

4.00%, 12/11/08

      290      290,749

Kent GO Series 2007 BAN,

      

4.00%, 10/16/08

      300      300,339

Lake County GO Series 2007 BAN,

      

4.25%, 7/18/08

      235      235,052

Lancaster GO Series 2007 BAN,

      

4.00%, 10/16/08

      300      300,406

Lancaster Port Authority Gas RB Series 2008 DN (Royal Bank of Canada SBPA),

      

1.57%, 7/07/08(a)

      2,000      2,000,000

Lorain County IDRB (Ohio Metallurgical Services Project) Series 2001 AMT DN (First Merit Bank N.A. LOC),

      

1.91%, 7/07/08(a)

      1,205      1,205,000

Lorain County RB (Catholic Healthcare Partners Project) Series 2008-1094 DN (FSA Insurance, Bank of America N.A. Liquidity Facility),

      

1.60%, 7/07/08(a)(b)

      5,250      5,250,000

Lucas County Economic Development RB (Hammill Manufacturing Co. Project) Series 1996 AMT DN (Fifth Third Bank N.A. LOC),

      

1.64%, 7/07/08(a)(b)

      525      525,000

Mahoning County Housing RB (Youngstown State University Project) Series 2002 DN (National City Bank N.A. LOC),

      

2.00%, 7/07/08(a)

      4,320      4,320,000

Marion County GO (Legacy Crossing Project) Series 2008 BAN,

      

2.25%, 4/29/09

      300      301,095

Mason GO (Real Estate Project) Series 2008 BAN,

      

2.75%, 7/01/09

      1,100      1,109,141

Miami County GO Series 2007 BAN,

      

4.00%, 11/27/08

      550      551,276

Muskingum County GO Series 2007 BAN,

      

4.00%, 9/25/08

      200      200,459

4.15%, 9/25/08

      205      205,256

Muskingum County GO Series 2008 BAN,

      

3.50%, 1/15/09

      710      712,124

North Olmsted GO (Capital Improvement Project) Series 2008 BAN,

      

2.35%, 4/02/09

      550      550,808

Ohio Building Authority Facilities RB (Administrative Building Fund Projects) Series 1998A MB,

      

5.25%, 7/07/08

      55      56,257

Ohio GO (Common Schools Project) Series 2005A DN,

      

1.45%, 7/07/08(a)

      280      280,000

 

18        JUNE 30, 2008     

Schedule of Investments (continued)   

Ohio Municipal Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

     Par
(000)		    Value

Municipal Bonds

      

Ohio (Continued)

      

Ohio Higher Educational Facility RB (Case Western Reserve University Project) Series 2008A DN (Allied Irish Bank Plc LOC),

      

1.50%, 7/07/08(a)

    $ 5,000    $ 5,000,000

Ohio Higher Educational Facility RB (Kenyon College Project) Series 1999 DN (JPMorgan Chase Bank Liquidity Facility),

      

1.55%, 7/07/08(a)

      200      200,000

Ohio Housing Finance Agency Mortgage RB (Residential Mortgage-Backed Securities Program) Series 2006F AMT DN (Citibank N.A. LOC),

      

1.70%, 7/07/08(a)(c)

      1,400      1,400,000

Ohio Housing Finance Agency Mortgage RB (Residential Mortgage-Backed Securities Program) Series 2007B AMT DN (Government National Mortgage Assoc. Insurance, Federal National Mortgage Assoc. Insurance, KBC Bank N.V. SBPA),

      

1.60%, 7/07/08(a)(c)

      11,250      11,250,000

Ohio Housing Finance Agency Mortgage RB MERLOTS Trust Receipts Series 2001A-78 DN (Wachovia Bank N.A. LOC),

      

1.96%, 7/07/08(a)(b)

      1,165      1,165,000

Ohio Housing Finance Agency Mortgage RB MERLOTS Trust Receipts Series 2005A-10 AMT DN (Government National Mortgage Assoc. Insurance, Federal National Mortgage Assoc. Insurance, Bank of New York Liquidity Facility),

      

1.96%, 7/07/08(a)(b)

      535      535,000

Ohio Housing Finance Agency Mortgage RB Various Certificates Series 2001 DN (Bank of America N.A. LOC),

      

1.70%, 7/07/08(a)(b)

      1,105      1,105,000

Ohio Water Development Authority Facilities PCRB (First Energy Nuclear Project) Series 2006A AMT DN (Barclays Bank Plc LOC),

      

1.70%, 7/07/08(a)

      125      125,000

Ohio Water Development Authority Facilities PCRB (First Energy Nuclear Project) Series 2006C AMT DN (Wachovia Bank N.A. LOC),

      

1.65%, 7/07/08(a)

      15,500      15,500,000

Olmsted Falls School District GO Series 2008 BAN,

      

3.75%, 12/18/08

      150      150,393

3.50%, 1/15/09

      300      300,945

Painesville GO Series 2007 BAN,

      

4.00%, 11/07/08

      200      200,340

Parma IDRB (FDC Realty Project) Series 2006 AMT DN (Huntington National Bank LOC),

      

2.10%, 7/07/08(a)

      1,890      1,890,000

Pickerington GO Series 2008 BAN,

      

2.25%, 2/27/09

      750      752,550

Port of Greater Cincinnati RB (Springdale Public Infrastructure Project) Series 2006 MB (U.S. Bank N.A. LOC),

      

2.25%, 2/01/09

      2,800      2,800,000

Portage County IDRB (Action Super Abrasive Project) Series 1996 AMT DN (Huntington National Bank LOC),

      

1.92%, 7/07/08(a)

      615      615,000

Portage County IDRB (Singer Steel Co. Project) Series 2007 AMT DN (Huntington National Bank LOC),

      

2.10%, 7/07/08(a)

      2,090      2,090,000

Putnam County Health Care Facilities RB (Hilty Memorial Home Project) Series 2004 DN (LaSalle Bank N.A. LOC),

      

1.64%, 7/07/08(a)

      3,330      3,330,000

Richland County GO (Correctional Facilities Project) Series 2008 BAN,

      

3.50%, 1/15/09

      1,000      1,003,149

Ross County GO Series 2008A BAN,

      

2.75%, 8/28/08

      700      700,897

Sandusky GO Series 2007 BAN,

      

4.25%, 10/22/08

      700      701,565

Seneca County GO Series 2007 BAN,

      

3.80%, 11/13/08

      200      200,228

Seven Hills GO (Street Improvement Project) Series 2007 BAN,

      

3.45%, 12/04/08

      500      500,000

Sharonville GO Series 2007 BAN,

      

4.25%, 7/25/08

      380      380,113

Sharonville GO Series 2008 BAN,

      

3.50%, 1/21/09

      170      170,552

Sidney GO Series 2008 BAN,

      

2.75%, 6/25/09

      400      402,501

Solon GO Series 2007 BAN,

      

3.75%, 11/20/08

      850      851,115

St. Marys GO Series 2008 BAN,

      

2.55%, 6/02/09

      200      200,449

Stark County IDRB (Thakar Properties LLC Project) Series 2002 AMT DN (National City Bank N.A. LOC),

      

1.99%, 7/07/08(a)

      750      750,000

Stark County Port Authority Economic Development RB (Slesnick Iron & Metal Project) Series 2007 AMT DN (Huntington National Bank LOC),

      

2.10%, 7/07/08(a)

      700      700,000

Summit County Civic Facility RB (Akron Area Electric Junction Project) Series 2001 DN (KeyBank N.A. LOC),

      

1.64%, 7/07/08(a)

      165      165,000

Summit County IDRB (Flutes LLC Project) Series 2002 AMT DN (M & I Marshall & Ilsley Bank LOC),

      

1.86%, 7/07/08(a)

      1,670      1,670,000

Summit County IDRB (Jendrisak Properties Project) Series 2001 AMT DN (First Merit Bank N.A. LOC),

      

1.91%, 7/07/08(a)

      1,480      1,480,000

Summit County IDRB (KB Compost Services, Inc. Project) Series 2001 AMT DN (KeyBank N.A. LOC),

      

1.76%, 7/07/08(a)

      900      900,000

Summit County Port Authority RB (Meadow Lane Building LLC Project) Series 2003A AMT DN (KeyBank N.A. LOC),

      

1.76%, 7/07/08(a)

      340      340,000

Toledo Multi-Family Housing RB (Cherrywood Apartments Project) Series 2001 AMT DN (KeyBank N.A. LOC),

      

1.76%, 7/07/08(a)

      2,385      2,385,000

Trumbull County IDRB (Ellwood Engineered Project) Series 2004 AMT DN (KeyBank N.A. LOC),

      

1.76%, 7/07/08(a)

      3,100      3,100,000

Trumbull County IDRB (United Steel Service, Inc. Project) Series 2000B AMT DN (Bank One N.A. LOC),

      

3.00%, 7/07/08(a)

      165      165,000

Union County GO Series 2007 BAN,

      

3.50%, 12/10/08

      345      345,741

 

         JUNE 30, 2008    19

Schedule of Investments (concluded)   

Ohio Municipal Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

     Par
(000)		    Value  

Municipal Bonds

      

Ohio (Continued)

      

University of Akron General Receipts RB Series 2008C-2 DN (Assured Guaranty Ltd. Insurance, Dexia Credit Local SBPA),

      

1.40%, 7/03/08(a)

    $ 4,400    $ 4,400,000  

Wapakoneta GO Series 2007 BAN,

      

3.85%, 12/04/08

      255      255,262  

Warren County GO Series 2007 BAN,

      

4.15%, 9/05/08

      200      200,139  

Western Reserve Housing Development Corp. Economic RB (Trumbull Metropolitan Housing Project) Series 2003 DN (KeyBank N.A. LOC),

      

1.95%, 7/07/08(a)

      3,275      3,275,000  

Wilmington GO (Lowes Drive Construction Project) Series 2007 BAN,

      

4.50%, 7/25/08

      255      255,116  
           

Total Investments
(Cost — $170,332,305*) — 100.6%

         170,332,305  

Liabilities in Excess of Other Assets — (0.6)%

         (1,013,055 )
           

Net Assets — 100.0%

       $ 169,319,250  
           

 

* Aggregate cost for federal income tax purposes.

 

(a) Rate shown is as of report date and maturities shown are the next interest readjustment date or the date the principal owed can be recovered through demand.

 

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. Unless otherwise indicated, these securities are considered to be liquid.

 

(c) Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

 

Affiliate

    Purchase
Cost		    Sales
Cost		    Realized
Gain		    Interest
Income

Hamilton County Hospital Facilities RB P-Float Trust Receipts Series 2001 PT-507 DN (FSA Insurance, Svenska Handelsbanken SBPA)

      —      —      —      $ 6,286

Ohio Housing Finance Agency Mortgage RB (Residential Mortgage - Backed Securities Program) Series 2006F AMT DN (Citibank N.A. LOC)

      —      —      —      $ 2,144

Ohio Housing Finance Agency Mortgage RB (Residential Mortgage-Backed Securities Program) Series 2007B AMT DN (Government National Mortgage Assoc. Insurance, Federal National Mortgage Assoc. Insurance, KBC Bank N.V. SBPA)

    $ 11,250,000    —      —      $ 16,675

 

• For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

20        JUNE 30, 2008     

Schedule of Investments June 30, 2008 (Unaudited)

   

Pennsylvania Municipal Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

      Par
(000)		    Value

Municipal Bonds

      

Pennsylvania — 98.7%

      

Allegheny County Hospital Development Authority RB (Dialysis Clinic, Inc. Project) Series 2000 DN (Bank of America N.A. LOC),

      

1.55%, 7/07/08(a)

    $ 3,400    $ 3,400,000

Allegheny County Hospital Development Authority RB (Presbyterian University Hospital Project) Series 1988B-1 DN (Bank One N.A. LOC),

      

1.50%, 7/07/08(a)

      2,000      2,000,000

Allegheny County Hospital Development Authority RB (Presbyterian University Hospital Project) Series 1988B-3 DN (Bank One N.A. LOC),

      

1.50%, 7/07/08(a)

      2,175      2,175,000

Allegheny County Hospital Development Authority RB (University of Pittsburgh Medical Center Project) PUTTERS Series 2007-2327 DN (JPMorgan Chase Bank LOC, JPMorgan Chase & Co. Liquidity Facility),

      

1.60%, 7/07/08(a)(b)

      4,000      4,000,000

Allegheny County IDRB (Carnegie Museums Pittsburgh Project) Series 2005 DN (Citizens Bank of Pennsylvania LOC),

      

1.64%, 7/07/08(a)

      3,600      3,600,000

Allegheny County IDRB (UPMC Health System Project) Series 2002C DN (Comerica Bank N.A. LOC),

      

1.57%, 7/07/08(a)

      1,270      1,270,000

Beaver County IDA PCRB (FirstEnergy Generation Corp. Project) Series 2006B DN (Wachovia Bank LOC),

      

1.47%, 7/07/08(a)

      8,600      8,600,000

Beaver County IDA PCRB (FirstEnergy Generation Corp. Project) Series 2006 DN (Barclays Bank Plc LOC),

      

2.50%, 7/01/08(a)

      100      100,000

Berks County IDRB (Tray Pak Co. Project) Series 2001A AMT DN (Wachovia Bank N.A. LOC),

      

1.67%, 7/07/08(a)

      1,620      1,620,000

Bermudian Springs School District GO Series 2006 DN (FSA Insurance, Royal Bank of Canada SBPA),

      

1.70%, 7/07/08(a)

      10,495      10,495,000

Bethlehem Area School District GO Series 2007 DN (FSA Insurance, Dexia Credit Local SBPA),

      

1.70%, 7/07/08(a)

      2,800      2,800,000

Butler County General Authority RB Municipal Securities Trust Receipts Series 2002A DN (FSA Insurance, Societe Generale Liquidity Facililty),

     

1.59%, 7/07/08(a)(b)

      4,350      4,350,000

Butler County General Authority RB Municipal Securities Trust Receipts Series 2007 DN (FSA Insurance, Societe Generale Liquidity Facility),

     

1.70%, 7/07/08(a)(b)

      3,000      3,000,000

Cambria County IDA Resource Recovery RB (Cambria Cogen Co. Project) Series 1998A-2 AMT DN (Bayerische Landesbank Girozentrale LOC),

      

1.70%, 7/07/08(a)

      16,000      16,000,000

Chester County IDA Student Housing RB (University Student Housing LLC Project) Series 2003 DN (Royal Bank of Scotland LOC),

      

1.64%, 7/07/08(a)

      790      790,000

Chester County IDA Student Housing RB (University Student Housing LLC Project) Series 2008A DN (Citizens Bank of Pennsylvania LOC),

      

1.50%, 7/07/08(a)

      4,000      4,000,000

Chester County IDRB (RV Industrial, Inc. Project) Series 2001 AMT DN (M&T Bank Corp. LOC),

      

1.31%, 7/07/08(a)

      2,200      2,200,000

Crawford County IDRB (Uniplast International, Inc. Project) Series 2000 AMT DN (National City Bank N.A. LOC),

      

2.14%, 7/07/08(a)

      755      755,000

Cumberland County Municipal Authority RB (Dickinson College Project) Series 1996B DN (Citizens Bank N.A. LOC),

      

3.45%, 11/01/08(a)

      2,295      2,295,000

Delaware County Authority RB (Dunwoody Village Project) Series 2006 DN (Citizens Bank of Pennsylvania LOC),

      

1.50%, 7/07/08(a)

      2,100      2,100,000

Delaware County Authority RB (White Horse Village Project) Series 2008 DN (Citizens Bank of Pennsylvania LOC),

      

2.10%, 7/01/08(a)

      3,900      3,900,000

Delaware County IDA PCRB (Exploration & Oil Project) Series 1995 DN (Wachovia Bank N.A. LOC),

      

1.70%, 7/01/08(a)

      200      200,000

Delaware County IDRB (Resource Recovery Facility Project) Series 1997G DN,

      

1.35%, 7/07/08(a)

      600      600,000

Delaware County IDRB (Scott Paper Co. Project) Series 1984A DN,

      

1.80%, 7/07/08(a)

      100      100,000

Delaware County IDRB (Sunoco, Inc., Project) Series 1998 DN (Bank of America N.A. LOC),

      

1.55%, 7/07/08(a)

      1,260      1,260,000

Delaware Valley Regional Finance Authority Local Government RB Municipal Securities Trust Receipts Series 2007A DN (Societe Generale Liquidity Facility),

      

1.60%, 7/07/08(a)(b)

      5,500      5,500,000

East Hempfield Township IDRB (Herley Industrial, Inc. Project) Series 2001 AMT DN (M&T Bank Corp. LOC),

      

1.31%, 7/07/08(a)

      2,355      2,355,000

Emmaus General Authority RB Series 1989B-29 DN (DEPFA Bank Plc LOC),

      

1.50%, 7/07/08(a)

      8,500      8,500,000

Emmaus General Authority RB Series 1989F-19 DN (State Aid Withholding Insurance, DEPFA Bank Plc LOC),

      

1.50%, 7/07/08(a)

      1,300      1,300,000

Emmaus General Authority RB Series 1989F-24 DN (DEPFA Bank Plc LOC),

      

1.50%, 7/07/08(a)

      1,500      1,500,000

Emmaus General Authority RB Series 1989G-18 DN (DEPFA Bank Plc LOC),

      

1.50%, 7/07/08(a)

      3,000      3,000,000

Emmaus General Authority RB Series 1996 DN (FSA Insurance, Wachovia Bank N.A. SBPA),

      

1.47%, 7/07/08(a)

      9,315      9,315,000

Erie Water Authority RB Series 2006A DN (FSA Insurance, JPMorgan Chase Bank SBPA),

      

1.50%, 7/07/08(a)

      1,200      1,200,000

Franklin County IDRB (Precast System Project) Series 2001A AMT DN (M&T Bank Corp. LOC),

      

1.31%, 7/07/08(a)

      1,760      1,760,000

 

         JUNE 30, 2008    21

Schedule of Investments (continued)   

Pennsylvania Municipal Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

     Par
(000)		    Value

Municipal Bonds

      

Pennsylvania (Continued)

      

Geisinger Authority Health System RB (Geisinger Health System Project) Series 2005A DN (Bank of America N.A. SBPA),

      

2.30%, 7/07/08(a)

    $ 2,850    $ 2,850,000

Geisinger Authority Health System RB Series 2007 ROC-RR-II-R-11013 DN (Citibank N.A. Liquidity Facility),

      

1.55%, 7/07/08(a)(b)

      2,020      2,020,000

Horizon Hospital System Authority Health & Housing Facility RB (St. Paul Homes Project) Series 2002 DN (M&T Bank Corp. LOC),

      

1.21%, 7/07/08(a)

      7,160      7,160,000

Horizon Hospital System Authority Health & Housing Facility RB (St. Paul Homes Project) Series 2005 DN (M&T Bank Corp. LOC),

      

1.21%, 7/07/08(a)

      7,900      7,900,000

Indiana County IDRB (Conemaugh Project) Series 1997A AMT DN (Bank One N.A. LOC),

      

1.70%, 7/07/08(a)

      3,160      3,160,000

Lancaster County Hospital Authority RB (Landis Homes Retirement Community Project) Series 2002 DN (M&T Bank Corp. LOC),

      

1.16%, 7/07/08(a)

      7,965      7,965,000

Lancaster County Hospital Authority RB (Luthercare Project) Series 1999 DN (M&T Bank Corp. LOC),

      

1.16%, 7/07/08(a)

      4,760      4,760,000

Lancaster County Hospital Authority RB (Masonic Homes Project) Series 1996 DN (Wachovia Bank N.A. LOC),

      

1.47%, 7/07/08(a)

      13,015      13,015,000

Lancaster County Hospital Authority RB (Masonic Homes Project) Series 2008A DN (Wachovia Bank N.A. LOC),

      

2.10%, 7/01/08(a)

      1,700      1,700,000

Lancaster County Hospital Authority RB (Masonic Homes Project) Series 2008D DN (JPMorgan Chase Bank LOC),

      

2.10%, 7/01/08(a)

      100      100,000

Lancaster County IDRB (Clean Creek Partners Project) Series 2000 AMT DN (M&T Bank Corp. LOC),

      

1.31%, 7/07/08(a)

      4,115      4,115,000

Lancaster County IDRB (D&P Skibo LLC Project) Series 2001 AMT DN (Wachovia Bank N.A. LOC),

      

1.67%, 7/07/08(a)

      1,250      1,250,000

Lancaster County IDRB (Oakfront LP Project) Series 2001 AMT DN (M&T Bank Corp. LOC),

      

1.31%, 7/07/08(a)

      1,875      1,875,000

Lawrence County IDRB (L&N Metallurgical Products Project) Series 1996 AMT DN (BNP Paribas LOC),

      

1.74%, 7/07/08(a)

      3,645      3,645,000

Lebanon County Health Facility RB (Evangelican Long Church Retirement Village Project) Series 2000 DN (Northern Trust LOC),

      

1.60%, 7/07/08(a)

      2,730      2,730,000

Lehigh County General Purpose Authority RB (Lehigh Valley Health Network Project) Series 2008B DN (Assured Guaranty Ltd. Insurance, Wachovia Bank SBPA),

      

2.10%, 7/01/08(a)

      10,000      10,000,000

Lehigh County General Purpose Authority RB (Lehigh Valley Health Network Project) Series 2008C DN (Bank of America N.A. LOC),

      

2.50%, 7/07/08(a)

      2,000      2,000,000

Lehigh County General Purpose Authority RB (Muhlenberg College Project) Series 2008 DN (Bank of America N.A. LOC),

      

1.70%, 7/07/08(a)

      2,500      2,500,000

Montgomery County Higher Education & Health Authority RB (Pennsylvania Higher Education & Health Loan Project) Series 1996A DN (M&T Bank Corp. LOC),

      

1.58%, 7/07/08(a)

      1,600      1,600,000

Montgomery County IDA TECP (Wachovia Bank N.A. LOC),

      

1.60%, 7/01/08

      3,000      3,000,000

Montgomery County IDRB (Apple Fresh Foods Ltd. Project) Series 1996 AMT DN (Wachovia Bank N.A. LOC),

      

1.58%, 7/07/08(a)

      550      550,000

Montgomery County IDRB (PECO Energy Project) Series 1999B AMT DN (Wachovia Bank N.A. LOC),

      

1.65%, 7/07/08(a)

      4,060      4,060,000

Moon IDRB (Providence Point Project) Series 2007 DN (Bank of Scotland Plc LOC),

      

1.40%, 7/07/08(a)

      23,220      23,220,000

New Garden General Purpose Authority RB (Municipal Pooled Financing Project) Series 2003 II DN (FSA Insurance, Bank of Nova Scotia SPBA),

      

1.45%, 7/07/08(a)

      1,095      1,095,000

Northampton County General Purpose Authority RB (Lafayette College Project) Series 2006 DN (JPMorgan Chase & Co. SBPA),

      

1.70%, 7/07/08(a)

      1,150      1,150,000

Northampton County General Purpose Authority RB (Lafayette College Project) Series 2007 MB,

      

3.35%, 12/01/08

      3,000      3,000,000

Northampton County IDRB (Bethlehem Contracting Project) Series 2001A AMT DN (M&T Bank Corp. LOC),

      

1.31%, 7/07/08(a)

      2,285      2,285,000

Northampton County IDRB (Trent Family Partnership Project) Series 2002 AMT DN (Wachovia Bank N.A. LOC),

      

1.67%, 7/07/08(a)

      1,795      1,795,000

Pennsylvania Economic Development Financing Authority RB (AMC Delancey Traditions Project) Series 2006 AMT DN (Citizens Bank of Pennsylvania LOC),

      

1.63%, 7/07/08(a)

      3,200      3,200,000

Pennsylvania Economic Development Financing Authority RB (Evergreen Community Power Facility Project) Series 2007 AMT DN (Manufacturers & Traders Trust Co. LOC),

      

1.31%, 7/07/08(a)

      3,000      3,000,000

Pennsylvania Economic Development Financing Authority RB (Homewood Retirement Project) Series 1992E DN (M&T Bank Corp. LOC),

      

1.66%, 7/07/08(a)

      3,925      3,925,000

Pennsylvania Economic Development Financing Authority RB (Material Technology Project) Series 2000D AMT DN (Wachovia Bank N.A. LOC),

      

1.67%, 7/07/08(a)

      500      500,000

 

22        JUNE 30, 2008     

Schedule of Investments (continued)   

Pennsylvania Municipal Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

      Par
(000)		    Value

Municipal Bonds

      

Pennsylvania (Continued)

      

Pennsylvania Economic Development Financing Authority RB (Penn Waste, Inc. Project) Series 2007 AMT DN (Manufacturers & Traders Trust Co. LOC),

      

1.26%, 7/07/08(a)

    $ 2,000    $ 2,000,000

Pennsylvania Economic Development Financing Authority RB Series 2008 DN (Commerce Bank LOC),

      

1.94%, 7/07/08(a)

      7,400      7,400,000

Pennsylvania Economic Development Financing Authority RB UBS Municipal Certificates Floaters Series 2007-07-15 DN (Landebank Hessen-Thruingen Girozentrale Liquidity Facility),

      

1.61%, 7/07/08(a)(b)

      8,600      8,600,000

Pennsylvania Economic Development Financing Authority Solid Waste Disposal RB (IESI, Corp. Project) Series 2006V AMT DN (Bank of America N.A. Liquidity Facility),

      

1.72%, 7/07/08(a)(b)

      8,700      8,700,000

Pennsylvania Economic Development Financing Authority Wastewater Treatment RB (Sunoco, Inc. Project) Series 2004A AMT DN (Sunoco, Inc. Guaranty),

      

1.89%, 7/07/08(a)

      4,700      4,700,000

Pennsylvania Energy Development Authority RB (B&W Ebensburg Project) Series 1986 AMT DN (Landesbank Hessen-Thueringen Girozentrale LOC),

     

1.65%, 7/07/08(a)

      1,125      1,125,000

Pennsylvania Energy Development Authority RB (B&W Ebensburg Project) Series 1988 AMT DN (Landesbank Hessen-Thuringen Girozentrale LOC),

     

1.65%, 7/07/08(a)

      2,000      2,000,000

Pennsylvania GO PUTTERS Series 2006-1382 DN (JPMorgan Chase Bank Liquidity Facility),

      

1.58%, 7/07/08(a)(b)

      2,110      2,110,000

Pennsylvania GO Series 1999 MB,

      

5.25%, 10/01/08

      675      677,721

Pennsylvania GO Series 2004 MB,

      

5.00%, 7/01/08

      2,450      2,450,000

Pennsylvania GO Series 2006 MB,

      

4.75%, 9/01/08

      1,170      1,173,788

Pennsylvania GO Series 2007 ROC-RR-II-R-11056 DN (Citibank N.A. Liquidity Facility),

      

1.55%, 7/07/08(a)(b)

      2,000      2,000,000

Pennsylvania Higher Educational Facilities Authority RB (Drexel University Project) Series 2003B DN (Allied Irish Bank Plc LOC),

      

1.55%, 7/07/08(a)

      2,350      2,350,000

Pennsylvania Higher Educational Facilities Authority RB (Honeysuckle Student Holding Project) Series 2004A DN (Allied Irish Bank Plc LOC),

     

1.55%, 7/07/08(a)

      4,200      4,200,000

Pennsylvania Higher Educational Facilities Authority RB (Rosemont College Project) Series 2004O DN (Wachovia Bank N.A. LOC),

      

3.42%, 11/01/08(a)

      900      900,000

Pennsylvania Higher Educational Facilities Authority RB (St. Joesph’s University Project) Series 1998C-4 DN (Allied Irish Bank Plc LOC),

     

1.45%, 7/07/08(a)

      300      300,000

Pennsylvania Higher Educational Facilities Authority RB (Student Assoc. Housing, Inc. Project) Series 2006A DN (Citizens Bank of Pennsylvania LOC),

      

1.55%, 7/07/08(a)

      7,895      7,895,000

Pennsylvania Higher Educational Facilities Authority RB PUTTERS (Trustees of the University of Pennsylvania) Series 2008-2844 (JPMorgan Chase Bank Liquidy Facility),

      

1.58%, 7/07/08(a)(b)

      6,190      6,190,000

Pennsylvania Higher Educational Facilities Authority RB PUTTERS Series 2006-1271 DN (JPMorgan Chase Bank Liquidity Facility),

      

1.58%, 7/07/08(a)(b)

      4,870      4,870,000

Pennsylvania Higher Educational Facilities Authority RB Series 2008A MB,

      

1.70%, 7/07/08

      4,500      4,500,000

Pennsylvania Housing Finance Agency RB (Rental Housing Project) Series 2008A DN (GO of Agency HUD Section 8 Insurance, Bank of America N.A. SBPA),

      

1.55%, 7/07/08(a)

      10,000      10,000,000

Pennsylvania Housing Finance Agency RB (Rental Housing Project) Series 2008B DN (GO of Agency HUD Section 8 Insurance, Bank of America N.A. SBPA),

      

1.55%, 7/07/08(a)

      2,000      2,000,000

Pennsylvania Housing Finance Agency RB (Rental Housing Project) Series 2008C DN (GO of Agency HUD Section 8 Insurance, Bank of America N.A. SBPA),

      

1.55%, 7/07/08(a)

      1,400      1,400,000

Pennsylvania Housing Finance Agency RB (Rental Housing Project) Series 2008D DN (GO of Agency HUD Section 8 Insurance, Bank of America N.A. SBPA),

      

1.55%, 7/07/08(a)

      2,000      2,000,000

Pennsylvania Housing Finance Agency Single Family Mortgage RB Municipal Trust Receipts Floaters Series 2007-2158 AMT DN (Morgan Stanley Municipal Funding Liquidity Facility),

      

1.70%, 7/07/08(a)(b)

      746      746,500

Pennsylvania Housing Finance Agency Single Family Mortgage RB Municipal Trust Receipts Floaters Series 2008-2380 AMT DN (Morgan Stanley Municipal Funding Liquidity Facility),

      

1.70%, 7/07/08(a)(b)

      2,300      2,300,000

Pennsylvania Housing Finance Agency Single Family Mortgage RB Municipal Trust Receipts Floaters Series 2008-2494 AMT DN (Morgan Stanley Municipal Funding Liquidity Facility),

      

1.70%, 7/07/08(a)(b)

      1,600      1,600,000

Pennsylvania Housing Finance Agency Single Family Mortgage RB PUTTERS Series 2006-1592 AMT DN (JPMorgan Chase Bank Liquidity Facility),

      

1.78%, 7/07/08(a)(b)

      4,390      4,390,000

Pennsylvania Housing Finance Agency Single Family Mortgage RB PUTTERS Series 2007-1213B AMT DN (JPMorgan Chase & Co. Liquidity Facility),

      

1.78%, 7/07/08(a)(b)

      1,355      1,355,000

Pennsylvania Housing Finance Agency Single Family Mortgage RB Series 2004-83B AMT DN (Landesbank Hessen-Thuringen Girozentrale SBPA),

      

1.95%, 7/07/08(a)

      1,810      1,810,000

Pennsylvania Housing Finance Agency Single Family Mortgage RB Series 2004-83C AMT DN (Landesbank Hessen-Thuringen Girozentrale SBPA),

      

1.95%, 7/07/08(a)

      1,400      1,400,000

 

         JUNE 30, 2008    23

Schedule of Investments (continued)   

Pennsylvania Municipal Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

     Par
(000)		    Value

Municipal Bonds

      

Pennsylvania (Continued)

      

Pennsylvania Housing Finance Agency Single Family Mortgage RB Series 2004-84D AMT DN (GO of Agency Insurance, Dexia Credit Local SBPA),

      

1.50%, 7/07/08(a)

    $ 5,000    $ 5,000,000

Pennsylvania Housing Finance Agency Single Family Mortgage RB Series 2004-85B AMT DN (Landesbank Hessen-Thuringen Girozentrale SBPA),

      

1.95%, 7/07/08(a)

      3,300      3,300,000

Pennsylvania Housing Finance Agency Single Family Mortgage RB Series 2004-85C AMT DN (Landesbank Hessen-Thuringen Girozentrale SBPA),

      

1.95%, 7/07/08(a)

      7,145      7,145,000

Pennsylvania Housing Finance Agency Single Family Mortgage RB Series 2004-86C AMT DN (GO of Agency Insurance, DEPFA Bank Plc SBPA),

      

1.50%, 7/07/08(a)

      2,400      2,400,000

Pennsylvania Housing Finance Agency Single Family Mortgage RB Series 2005-89 AMT DN (GO of Agency Insurance, DEPFA Bank Plc SBPA),

      

1.50%, 7/07/08(a)

      7,300      7,300,000

Pennsylvania Housing Finance Agency Single Family Mortgage RB Series 2005-90C AMT DN (DEPFA Bank Plc SBPA),

      

1.90%, 7/07/08(a)

      9,000      9,000,000

Pennsylvania Housing Finance Agency Single Family Mortgage RB Series 2005-91B AMT DN (GO of Agency Insurance, DEPFA Bank Plc SBPA),

      

1.50%, 7/07/08(a)

      6,200      6,200,000

Pennsylvania Housing Finance Agency Single Family Mortgage RB Series 2006-92B AMT DN (Landesbank Hessen-Thueringen Girozentrale SBPA),

      

2.05%, 7/07/08(a)

      4,270      4,270,000

Pennsylvania Housing Finance Agency Single Family Mortgage RB Series 2006-95C AMT DN (Dexia Bank SBPA),

      

2.05%, 7/07/08(a)

      8,000      8,000,000

Pennsylvania Housing Finance Agency Single Family Mortgage RB Series 2007-99C AMT DN (Dexia Credit Local SBPA),

      

1.50%, 7/07/08(a)

      2,400      2,400,000

Pennsylvania Housing Finance Agency Single Family Mortgage RB Series 2008-101A AMT MB,

      

2.35%, 3/01/09

      1,300      1,300,000

Pennsylvania Housing Finance Agency Single Family Mortgage RB Series 2008-101B MB,

      

2.15%, 3/01/09

      1,600      1,600,000

Pennsylvania Intergovernmental Cooperation Authority Special Tax RB (Philadelphia Funding Program) Series 2008A DN (FSA Insurance, JPMorgan Chase Bank SBPA),

      

1.70%, 7/07/08(a)

      15,000      15,000,000

Pennsylvania Public School Building Authority RB (Philadelphia School District Project) PUTTERS Series 2007-1970 DN (FSA Insurance, State Aid Withholding Insurance, JPMorgan Chase Bank Liquidity Facility),

      

1.61%, 7/07/08(a)(b)

      3,330      3,330,000

Pennsylvania Turnpike Commission RB Series 2001U DN (Dexia Credit Local SBPA),

      

1.50%, 7/07/08(a)

      6,800      6,800,000

Pennsylvania Turnpike Commission RB Series 2002A-1 DN (WestLB SBPA),

      

1.55%, 7/07/08(a)

      7,225      7,225,000

Pennsylvania Turnpike Commission RB Series 2002B DN (Dexia Credit Local SBPA),

      

1.60%, 7/07/08(a)

      440      440,000

Philadelphia Airport RB Floaters Series 2007-2157 AMT DN (FSA Insurance, Morgan Stanley Municipal Funding Liquidity Facility),

      

1.68%, 7/07/08(a)(b)

      1,700      1,700,000

Philadelphia Airport RB Series 2008DB-495 DN (FSA Insurance, Deutsche Bank A.G. Liquidity Facility),

      

1.61%, 7/07/08(a)(b)

      2,880      2,880,000

Philadelphia Authority IDRB (Evangelical Manor Project) Series 2008 DN (Citizens Bank N.A. LOC),

      

1.61%, 7/07/08(a)

      2,600      2,600,000

Philadelphia Authority IDRB (Fox Chase Cancer Center Project) Series 2007A DN (Citizens Bank N.A. LOC),

      

1.65%, 7/01/08(a)

      9,000      9,000,000

Philadelphia Authority IDRB (Gift of Life Donor Program Project) Series 2003 DN (Commerce Bank N.A. LOC),

      

1.53%, 7/07/08(a)

      2,560      2,560,000

Philadelphia Authority IDRB (Girard Estate Aramark Tower Acquisition Project) Series 2002 DN (JPMorgan Chase Bank LOC),

      

1.50%, 7/07/08(a)

      1,050      1,050,000

Philadelphia Authority IDRB (Girard Estate Facilities Leasing Project) Series 2001 DN (Morgan Guaranty Trust LOC),

      

1.50%, 7/07/08(a)

      2,600      2,600,000

Philadelphia Authority IDRB (Greater Philadelphia Health System Project) Series 2003 DN (Commerce Bank N.A. Liquidity Facility),

      

1.53%, 7/07/08(a)

      5,400      5,400,000

Philadelphia Authority IDRB (Liberty Lutheran Services Project) Series 2008 DN (Bank of America N.A. LOC),

      

1.50%, 7/07/08(a)

      2,000      2,000,000

Philadelphia Authority IDRB (Settlement Music School Project) Series 2004 DN (Allied Irish Bank Plc),

      

1.80%, 7/07/08(a)

      1,000      1,000,000

Philadelphia Authority IDRB (Universal Community Homes Project) Series 2003 DN (Wachovia Bank N.A. LOC),

      

1.57%, 7/07/08(a)

      1,930      1,930,000

Philadelphia Hospitals & Higher Education Facilities Authority RB (Children’s Hospital Project) Series 2002B DN (Landesbank Hessen-Thuringen Girozentrale LOC, JPMorgan Chase & Co. SBPA),

      

1.65%, 7/01/08(a)

      2,535      2,535,000

Philadelphia Redevelopment Authority Multi-Family Housing RB Municipal Trust Receipts Floaters Series 2006G-1 AMT DN (The Goldman Sachs Group, Inc. Guaranty, The Goldman Sachs Group, Inc. SBPA),

      

1.61%, 7/07/08(a)(b)

      20,395      20,395,000

Philadelphia School District GO Series 2008B-1 DN (State Aid Withholding Insurance, Wachovia Bank N.A. LOC),

      

1.43%, 7/07/08(a)

      5,000      5,000,000

 

24        JUNE 30, 2008     

Schedule of Investments (continued)   

Pennsylvania Municipal Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

     Par
(000)		    Value

Municipal Bonds

      

Pennsylvania (Continued)

      

Philadelphia School District GO Series 2008C-1 DN (State Aid Withholding Insurance, Commerce Bank N.A. LOC),

      

1.55%, 7/07/08(a)

    $ 12,100    $ 12,100,000

Philadelphia Water & Wastewater RB Series 2003 DN (FSA Insurance, Dexia Credit Local SBPA),

      

1.52%, 7/07/08(a)

      2,990      2,990,000

Philadelphia Water & Wastewater RB Series 2005B DN (FSA Insurance, DEFPA Bank Plc SBPA),

      

1.52%, 7/07/08(a)

      1,000      1,000,000

Philadelphia Water RB Munitops Trust Certificates Series 2005-15 DN (FSA Insurance, ABN-AMRO Bank N.V. SBPA),

      

1.60%, 7/07/08(a)(b)

      5,395      5,395,000

Pittsburgh Water & Sewer System RB Series 2007B-1 DN (FSA Insurance, JPMorgan Chase Bank SBPA),

      

1.50%, 7/07/08(a)

      695      695,000

Quakertown General Authority RB (The Trustees of the University of Pennsylvania Project) Series 2008 MB,

      

1.65%, 3/05/09

      3,800      3,800,000

Schuylkill County IDRB (KP-Tamaqua LP Project) Series 2007 AMT DN (Citizens Bank of Pennsylvania LOC),

      

1.65%, 7/07/08(a)

      1,535      1,535,000

Shippensburg Borough Authority RB (Bethlehem School District Project) Series 2007 DN (FSA Insurance, Dexia Credit Local SBPA),

      

1.70%, 7/07/08(a)

      5,600      5,600,000

Southcentral General Authority RB (Homewood Hanover Project) Series 2003 DN (M&T Bank Corp. LOC),

      

1.16%, 7/07/08(a)

      18,500      18,500,000

Southcentral General Authority RB (York Cerebral Palsy Home Project) Series 2000 DN (Fulton Bank LOC),

      

1.65%, 7/07/08(a)

      100      100,000

St. Mary Hospital Authority Bucks County RB (Catholic Health Initiatives Project) Series 2004B DN (Landesbank Hessen-Thuringen Girozentrale SBPA),

      

1.80%, 7/07/08(a)

      1,100      1,100,000

State Public School Building Authority RB (Philadelphia School District Project) ROC-RR-II-R-11268 DN (FSA State Aid Withholding Insurance, Citibank N.A. Liquidity Facility),

      

1.60%, 7/07/08(a)(b)

      2,405      2,405,000

Union County IDRB (Stabler Cos., Inc. Project) Series 2001 AMT DN (M&T Bank Corp. LOC),

      

1.31%, 7/07/08(a)

      5,945      5,945,000

University of Pittsburgh of the Commonwealth System of Higher Education RB (University Capital Project) Series 2000B DN (GO of University Insurance, Lloyds TSB Bank Plc SBPA),

      

1.60%, 7/07/08(a)

      1,300      1,300,000

University of Pittsburgh of the Commonwealth System of Higher Education RB (University Capital Project) Series 2005A DN (DEPFA Bank Plc SBPA),

     

1.60%, 7/07/08(a)

      2,200      2,200,000

University of Pittsburgh of the Commonwealth System of Higher Education RB (University Capital Project) Series 2005C DN (GO of the University Insurance, DEPFA Bank LOC),

      

1.60%, 7/07/08(a)

      1,000      1,000,000

University of Pittsburgh of the Commonwealth System of Higher Education RB (University Capital Project) Series 2006C DN (Lloyds TSB Bank Plc SBPA),

      

1.60%, 7/07/08(a)

      800      800,000

University of Pittsburgh of the Commonwealth System of Higher Education RB (University Capital Project) Series 2007A DN (Fortis Bank S.A./N.V. SBPA, Banco Bilbao Vizcaya Argentaria S.A. SBPA),

      

1.60%, 7/07/08(a)

      24,950      24,950,000

Upper Merion General Authority Lease RB Series 2003 DN (Commerce Bank N.A. LOC),

      

1.53%, 7/07/08(a)

      105      105,000

Upper Merion Municipal Utility Authority RB (Sewer Project) Series 2003 DN (Commerce Bank N.A. LOC),

      

1.53%, 7/07/08(a)

      6,190      6,190,000

Venango County IDRB (Scrubgrass Project) AMT TECP (Dexia Credit Local LOC),

      

1.75%, 9/03/08-9/10/08

      17,888      17,888,000

Venango County IDRB (Scrubgrass Project) TECP (Dexia Credit Local LOC),

      

2.02%, 7/01/08

      10,734      10,734,000

Washington County Authority RB (Girard Estate Refunding Project) Series 1999 DN (Chase Manhattan LOC),

      

1.50%, 7/07/08(a)

      1,495      1,495,000

West Cornwall Township Municipal Authority RB (General Government Loan Program) Series 2003A DN (FSA Insurance, Dexia Credit Local SBPA),

      

1.70%, 7/07/08(a)

      1,670      1,670,000

Westmoreland County IDRB (Industrial Development McCutcheon Enterprise Project) Series 1999 AMT DN (National City Bank N.A. LOC),

      

2.14%, 7/07/08(a)

      1,445      1,445,000

York County Hospital Authority RB (Homewood Retirement Centers of The United Church of Christ, Inc. Project) Series 1990 DN (M&T Bank Corp. LOC),

      

1.66%, 7/07/08(a)

      3,600      3,600,000

York County IDRB (Allied-Signal, Inc. Project) Series 1993 DN,

      

2.25%, 7/07/08(a)

      1,000      1,000,000

York County IDRB (Interstate Holdings Co. Project) Series 2003 AMT DN (Wachovia Bank N.A. Liquidity Facility),

      

1.67%, 7/07/08(a)

      1,195      1,195,000

York County IDRB (Raich Family Ltd. Partner Project) Series 2000 AMT DN (M&T Bank Corp. LOC),

      

1.31%, 7/07/08(a)

      1,880      1,880,000

York County IDRB (York Sheet Metal, Inc. Project) Series 1998 DN (Wachovia Bank N.A. LOC),

      

1.58%, 7/07/08(a)

      2,165      2,165,000

 

         JUNE 30, 2008    25

Schedule of Investments (concluded)

   

Pennsylvania Municipal Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

     Par
(000)		    Value

Municipal Bonds

      

Pennsylvania (Continued)

      

York General Authority RB (Strand Capital Performing Arts Center Project) Series 2002 DN (M&T Bank Corp. LOC),

      

1.21%, 7/07/08(a)

    $ 5,410    $ 5,410,000
         
        647,860,009
         

Puerto Rico — 1.2%

      

Commonwealth of Puerto Rico GO Series 2007 TRAN (Bank of Nova Scotia, BNP Paribas, Dexia Credit Local, Fortis Bank S.A./N.V., Banco Bilbao Vizcaya Argentaria S.A., KBC Bank N.V. and Banco Santander Central Hisapano LOC),

      

4.25%, 7/30/08

      7,500      7,504,950
         

Total Investments
(Cost — $655,364,959*) — 99.9%

         655,364,959

Other Assets in Excess of Liabilities — 0.1%

         796,713
         

Net Assets — 100.0%

       $ 656,161,672
         

 

* Aggregate cost for federal income tax purposes.

 

(a) Rate shown is as of report date and maturities shown are the next interest readjustment date or the date the principal owed can be recovered through demand.

 

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. Unless otherwise indicated, these securities are considered to be liquid.

 

•  

Investments in companies considered to be an affiliate of the Portfolio were as follows:

 

Affiliate

    Purchase
Cost		    Sales
Cost		    Realized
Gain		    Interest
Income

Pennsylvania Economic Development Financing Authority RB P-Float Trust Receipts Series 2004-1282 AMT DN (Merrill Lynch & Co. Guaranty, Merrill Lynch Capital Services SBPA)

    —      $ 5,000,000    —      $ 18,945

Pennsylvania Higher Educational Facilities Authority RB P-Float Trust Receipts Series 2004 MT-042 DN (Lloyds TSB Bank Plc LOC, Merrill Lynch Capital Services SBPA)

    —      $ 19,225,000    —      $ 72,017

Pennsylvania Housing Finance Agency Single Family Mortgage RB Series 2004-82B AMT DN (Landesbank Hessen-Thuringen Girozentrale SBPA)

    —      $ 10,835,000    —      $ 41,025

Philadelphia Redevelopment Authority RB Spear DB-134 Series 2005 AMT DN (FGIC Insurance, Deutsche Bank Liquidity Facility)

    —      $ 10,295,000    —      $ 70,548

 

•  

For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

26        JUNE 30, 2008     

Schedule of Investments June 30, 2008 (Unaudited)   

Virginia Municipal Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

     Par
(000)		    Value

Municipal Bonds

      

Puerto Rico — 10.9%

      

Commonwealth of Puerto Rico GO Series 2007 TRAN (Bank of Nova Scotia, BNP Paribas, Dexia Credit Local, Fortis Bank S.A./N.V., Banco Bilbao Vizcaya Argentaria S.A., KBC Bank N.V. and Banco Santander Central Hisapano LOC),

      

4.25%, 7/30/08

    $ 4,000    $ 4,002,640

Puerto Rico Electric Power Authority RB Series 2007 SGB-69 DN (FSA Insurance, Societe General Group LOC),

      

1.65%, 7/01/08(a)(b)

      1,000      1,000,000

Puerto Rico Electric Power Authority RB Series 2007 SGC-19 DN (FSA Insurance, Societe General Group Liquidity Facility),

      

1.55%, 7/07/08(a)(b)

      1,780      1,780,000

Puerto Rico Sales Tax Financing Corp. RB Municipal Trust Receipts Floaters Series 2007-2006-1991 DN (Morgan Stanley Municipal Funding Guaranty, Morgan Stanley Municipal Funding Liquidity Facility),

      

1.75%, 7/07/08(a)(b)

      2,890      2,890,000
         
        9,672,640
         

Virginia — 88.8%

      

Albemarle County IDRB (Jefferson Scholars Foundation Project) Series 2007 DN (SunTrust Bank LOC),

      

1.53%, 7/07/08(b)

      2,400      2,400,000

Alexandria IDRB (Goodwin House Project) Series 2005 DN (Wachovia Bank N.A. LOC),

      

1.95%, 7/01/08(b)

      100      100,000

Alexandria IDRB (YMCA of Billings Project) Series 1998 DN (M&T Bank Corp. LOC),

      

1.71%, 7/07/08(b)

      3,205      3,205,000

Arlington County IDRB (Woodbury Park Project) Series 2005A DN (Federal Home Loan Mortgage Liquidity Facility),

      

1.55%, 7/07/08(b)

      1,420      1,420,000

Charlottesville IDA Educational Facilities RB (University of Virginia Foundation Project) Series 2006B DN (Wachovia Bank N.A. LOC),

      

1.48%, 7/07/08(b)

      2,400      2,400,000

Clarke County IDA Hospital Facilities RB (Winchester Medical Center, Inc. Project) Series 2000 DN (FSA Insurance, Morgan Guaranty Trust SBPA),

     

1.57%, 7/07/08(b)

      925      925,000

Fairfax County Economic Development Authority RB (National Industries for Severe Handicap Project) Series 2002 DN (SunTrust Bank LOC),

      

1.53%, 7/07/08(b)

      450      450,000

Fairfax County Economic Development Authority RB (Smithsonian Institute Project) Series 2006A DN (Bank of America N.A. LOC),

      

1.40%, 7/07/08(b)

      4,185      4,185,000

Fairfax County Economic Development Authority RB Munitops Trust Certificates (Route 28 Project) Series 2003 DN (MBIA Insurance, ABN-AMRO Bank SBPA),

      

1.90%, 7/07/08(a)(b)

      2,500      2,500,000

Fairfax County IDRB (Inova Health Systems Project) Series 2005A-1 DN,

      

1.54%, 7/07/08(b)

      3,200      3,200,000

Fairfax County IDRB (Inova Health Systems Project) Series 2005C-1 DN,

      

1.54%, 7/07/08(b)

      3,245      3,245,000

Farmville IDA Educational Facilities RB (Longwood Student Housing Projects) Series 2007 DN (Assured Guaranty Ltd., Bank of America N.A. SBPA),

     

1.55%, 7/07/08(b)

      3,000      3,000,000

Hampton Redevelopment & Housing Authority RB (Multi-Family Housing Project) Series 1998 DN (Federal National Mortgage Assoc. Credit Support & LOC),

      

1.55%, 7/07/08(b)

      400      400,000

Hanover County IDA Residential Care Facility RB (Covenent Woods Project) Series 1999 DN (Branch Banking & Trust Co. LOC),

      

1.61%, 7/07/08(b)

      350      350,000

Henrico County Public Improvement GO Series 2008 MB,

      

5.00%, 12/01/08

      1,190      1,204,254

Loudoun County IDRB (Hill School Project) Series 2002 DN (SunTrust Bank LOC),

      

1.53%, 7/07/08(b)

      2,490      2,490,000

Loudoun County IDRB (Howard Hughes Medical Institute Project) Series 2003A DN,

      

1.35%, 7/07/08(b)

      1,300      1,300,000

Loudoun County IDRB (Howard Hughes Medical Institute Project) Series 2003B DN,

      

1.35%, 7/07/08(b)

      3,000      3,000,000

Loudoun County IDRB (Howard Hughes Medical Institute Project) Series 2003E DN,

      

1.48%, 7/01/08(b)

      1,000      1,000,000

Loudoun County IDRB (Howard Hughes Medical Institute Project) Series 2003F DN,

      

1.48%, 7/07/08(b)

      1,095      1,095,000

Louisa County IDRB (Pooled Financing Project) Series 1995 DN (Bank of America N.A. LOC),

      

1.55%, 7/07/08(b)

      165      165,000

Louisa IDA PCRB (Virginia Electric & Power Co. Project) Series 2008 TECP,

      

1.85%, 7/16/08

      1,100      1,100,000

Newport News IDRB (CNU Warwick LLC Student Apartments Project) Series 2004 DN (Bank of America N.A. LOC),

      

1.55%, 7/07/08(b)

      200      200,000

Norfolk Redevelopment & Housing Authority RB (Harbor’s Edge Project) Series 2004B DN (HSH Nordbank AG LOC),

      

1.57%, 7/07/08(b)

      3,700      3,700,000

Richmond IDRB (Diocese of Virginia Church School Project) Series 2005 DN (SunTrust Bank LOC),

      

2.73%, 7/01/08(b)

      2,100      2,100,000

Roanoke Public Improvement GO Series 2008 MB (State Aid Withholding Insurance),

      

3.25%, 2/01/09

      1,660      1,670,066

University of Virginia RB Munitops Trust Certificates Series 2005-48 DN (ABN-AMRO Bank N.V. SBPA),

      

1.59%, 7/07/08(a)(b)

      3,500      3,500,000

Upper Occoquan Sewer Authority RB Munitops Trust Certificates Series 2007-30 DN (ABN-AMRO Bank N.V. SBPA),

      

1.60%, 7/07/08(a)(b)

      1,600      1,600,000

Virginia Beach Development Authority IDRB (Ocean Ranch Motel Corp. Project) Series 1998 DN (Branch Banking & Trust Co. LOC),

      

1.61%, 7/07/08(b)

      700      700,000

 

         JUNE 30, 2008    27

Schedule of Investments (concluded)

   

Virginia Municipal Money Market Portfolio

   (Percentages shown are based on Net Assets)

 

      Par
(000)		    Value

Municipal Bonds

      

Virginia (Continued)

      

Virginia Beach GO MERLOTS Trust Receipts Series 2007D-11 DN (Wachovia Bank N.A. LOC),

      

1.86%, 7/07/08(a)(b)

    $ 1,470    $ 1,470,000

Virginia Biotechnology Research Partnership Authority RB (Virginia Blood Services Project) Series 2006 DN (SunTrust Bank LOC),

      

1.53%, 7/07/08(b)

      600      600,000

Virginia College Building Authority Educational Facilities RB (21st Century College & Equipment Project) Series 2006B DN (Wachovia Bank N.A. SBPA),

      

2.90%, 7/01/08(b)

      600      600,000

Virginia College Building Authority Educational Facilities RB Series 2003-379 DN (JPMorgan Chase & Co. LOC),

      

1.60%, 7/07/08(a)(b)

      4,605      4,605,000

Virginia Commonwealth Transportation Board RB Series 2007-1807B DN (JPMorgan Chase & Co. LOC),

      

1.60%, 7/07/08(a)(b)

      1,105      1,105,000

Virginia Commonwealth Transportation Board RB Series 2007 ROC-RR-II-R-10076 DN (Citibank N.A. Liquidity Facility),

      

1.55%, 7/07/08(a)(b)

      1,200      1,200,000

Virginia Commonwealth University Health Systems Authority RB Series 2008B DN (Branch Banking & Trust Co. LOC),

      

2.25%, 7/01/08(b)

      600      600,000

Virginia Public Building Authority RB Series 2003A MB,

      

4.00%, 8/01/08

      500      500,505

Virginia Public Building Authority RB Series 2005D DN (Dexia Bank SBPA),

      

1.45%, 7/07/08(b)

      2,200      2,200,000

Virginia Public School Authority RB (School Financing Project) Series 2004A MB (State Aid Withholding Insurance),

      

5.00%, 8/01/08

      620      620,886

Virginia Public School Authority RB Series 2003 ROC-RR-II-R-4050 DN (Citigroup, Inc. Liquidity Facility),

      

1.55%, 7/07/08(a)(b)

      1,840      1,840,000

Virginia Resources Authority Clean Water RB Municipal Trust Receipts Floaters Series 2007-1860 DN (Wells Fargo Bank N.A. LOC),

      

1.55%, 7/07/08(a)(b)

      3,600      3,600,000

Virginia Resources Authority Clean Water RB UBS Municipal Certificates Floaters (Clean Water State Revolving Project) Series 2007 DN (Bank of New York LOC),

      

1.61%, 7/07/08(a)(b)

      2,700      2,700,000

Virginia Small Business Financing Authority RB (Children’s Hospital-Kings Project) Series 2006 DN (Wachovia Bank N.A. LOC),

      

1.45%, 7/07/08(b)

      3,380      3,380,000

Winchester Authority Residential Care Facility IDRB (Westminster-Canterbury Project) Series 2005B DN (Branch Banking & Trust Co. LOC),

      

1.61%, 7/07/08(b)

      1,500      1,500,000
         
        79,125,711
         
          Value

Total Investments
(Cost — $88,798,351*) — 99.7%

       $ 88,798,351

Other Assets in Excess of Liabilities — 0.3%

         252,270
         

Net Assets — 100.0%

       $ 89,050,621
         

 

* Aggregate cost for federal income tax purposes.

 

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. Unless otherwise indicated, these securities are considered to be liquid.

 

(b) Rate shown is as of report date and maturities shown are the next interest readjustment date or the date the principal owed can be recovered through demand.

 

•  

Investments in companies considered to be an affiliate of the Portfolio were as follows:

 

Affiliate

    Purchase
Cost		    Sales
Cost		    Realized
Gain		    Interest
Income

Virginia Commonwealth University RB Series 2006A DN (AMBAC Insurance, Wachovia Bank N.A. Liquidity Facility)

    —      $ 2,400,000    —      $ 21,709

Virginia Resources Authority Clean Water RB P-Float Trust Receipts Series 2000 PA-790 DN (Merrill Lynch & Co. Guaranty, Merrill Lynch Captial Services SBPA)

    —      $ 505,000    —      $ 1,916

 

•  

For Portfolio compliance purposes, the Portfolio’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

28        JUNE 30, 2008     

Item 2 – Controls and Procedures

 

2(a)– The registrant’s principal executive and principal financial officers or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.

 

2(b)– There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3 – Exhibits

Certifications – Attached hereto

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.

 

BlackRock Funds
By:  

/s/ Donald C. Burke

  Donald C. Burke
 

Chief Executive Officer of

BlackRock Funds

Date: August 22, 2008

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:  

/s/ Donald C. Burke

  Donald C. Burke
 

Chief Executive Officer (principal executive officer) of

BlackRock Funds

Date: August 22, 2008

 

By:  

/s/ Neal J. Andrews

  Neal J. Andrews
 

Chief Financial Officer (principal financial officer) of

BlackRock Funds

Date: August 22, 2008