Schedule of Investments as of September 30, 2007 (Unaudited)
Shares
Industry Held Common Stocks Value
Aerospace & Defense - 3.4% 24,000 Boeing Co. $ 2,519,760
7,100 General Dynamics Corp. 599,737
22,100 Honeywell International, Inc. 1,314,287
21,000 L-3 Communications Holdings, Inc. 2,144,940
19,600 Lockheed Martin Corp. 2,126,404
29,700 Northrop Grumman Corp. 2,316,600
28,200 United Technologies Corp. 2,269,536
-------------
13,291,264
Air Freight & Logistics - 1.2% 59,600 United Parcel Service, Inc. Class B 4,475,960
Auto Components - 0.2% 5,600 Johnson Controls, Inc. 661,416
Automobiles - 0.5% 140,500 Ford Motor Co. (b) 1,192,845
16,300 General Motors Corp. 598,210
-------------
1,791,055
Beverages - 1.7% 29,100 Anheuser-Busch Cos., Inc. 1,454,709
56,900 The Coca-Cola Co. 3,270,043
25,600 PepsiCo, Inc. 1,875,456
-------------
6,600,208
Biotechnology - 1.7% 51,500 Amgen, Inc. (b) 2,913,355
11,600 Biogen Idec, Inc. (b) 769,428
11,000 Celgene Corp. (b) 784,410
8,600 Genzyme Corp. (b) 532,856
40,000 Gilead Sciences, Inc. (b) 1,634,800
-------------
6,634,849
Capital Markets - 1.9% 72,200 American Capital Strategies Ltd. 3,085,106
20,700 The Goldman Sachs Group, Inc. 4,486,518
-------------
7,571,624
Chemicals - 2.0% 20,700 Air Products & Chemicals, Inc. 2,023,632
48,300 The Dow Chemical Co. 2,079,798
47,600 E.I. du Pont de Nemours & Co. 2,359,056
18,000 PPG Industries, Inc. 1,359,900
-------------
7,822,386
Commercial Banks - 3.4% 15,400 BB&T Corp. 622,006
17,700 Comerica, Inc. 907,656
9,700 HSBC Holdings Plc (c) 898,220
11,100 KeyCorp 358,863
16,300 National City Corp. 408,967
20,000 Regions Financial Corp. 589,600
140,900 U.S. Bancorp 4,583,477
54,200 Wachovia Corp. 2,718,130
60,700 Wells Fargo & Co. 2,162,134
-------------
13,249,053
Commercial Services & Supplies - 0.1% 6,400 Monster Worldwide, Inc. (b) 217,984
Communications Equipment - 3.7% 15,971 Ciena Corp. (b) 608,176
172,000 Cisco Systems, Inc. (b) 5,694,920
52,100 Corning, Inc. 1,284,265
132,500 Motorola, Inc. 2,455,225
103,300 QUALCOMM, Inc. 4,365,458
-------------
14,408,044
Computers & Peripherals - 3.5% 11,900 Apple Computer, Inc. (b) 1,827,126
64,300 Dell, Inc. (b) 1,774,680
125,800 EMC Corp. (b) 2,616,640
74,200 Hewlett-Packard Co. 3,694,418
11,000 International Business Machines Corp. 1,295,800
33,600 SanDisk Corp. (b) 1,851,360
126,900 Sun Microsystems, Inc. (b) 711,909
-------------
13,771,933
Consumer Finance - 0.3% 11,500 American Express Co. 682,755
23,700 Discover Financial Services, Inc. 492,960
-------------
1,175,715
Containers & Packaging - 0.2% 21,200 Packaging Corp. of America 616,284
8,300 Pactiv Corp. (b) 237,878
-------------
854,162
Diversified Financial Services - 5.1% 123,800 Bank of America Corp. 6,223,426
198,800 Citigroup, Inc. 9,277,996
92,400 JPMorgan Chase & Co. 4,233,768
-------------
19,735,190
Diversified Telecommunication 174,590 AT&T Inc. 7,386,903
Services - 4.5% 147,006 Chunghwa Telecom Co. Ltd. (c) 2,716,676
210,500 Citizens Communications Co. 3,014,360
16,691 Embarq Corp. 928,020
82,190 Verizon Communications, Inc. 3,639,373
-------------
17,685,332
Electric Utilities - 1.2% 11,300 American Electric Power Co., Inc. 520,704
5,600 Entergy Corp. 606,424
19,100 Exelon Corp. 1,439,376
25,300 FPL Group, Inc. 1,540,264
8,600 FirstEnergy Corp. 544,724
-------------
4,651,492
Electrical Equipment - 0.2% 12,400 Rockwell Automation, Inc. 861,924
Electronic Equipment & 29,925 Tyco Electronics Ltd. 1,060,243
Instruments - 0.3%
Energy Equipment & Services - 2.5% 9,600 Baker Hughes, Inc. 867,552
5,000 National Oilwell Varco, Inc. (b) 722,500
21,100 Schlumberger Ltd. 2,215,500
41,100 Smith International, Inc. 2,934,540
27,400 Transocean, Inc. (b) 3,097,570
-------------
9,837,662
Food & Staples Retailing - 1.2% 43,720 CVS/Caremark Corp. 1,732,624
27,600 Wal-Mart Stores, Inc. 1,204,740
38,800 Walgreen Co. 1,832,912
-------------
4,770,276
Food Products - 1.3% 16,600 ConAgra Foods, Inc. 433,758
79,621 Kraft Foods, Inc. 2,747,721
117,400 Sara Lee Corp. 1,959,406
-------------
5,140,885
Health Care Equipment 42,000 Baxter International, Inc. 2,363,760
& Supplies - 2.6% 18,400 Becton Dickinson & Co. 1,509,720
44,046 Boston Scientific Corp. (b) 614,442
29,925 Covidien Ltd. 1,241,887
46,300 Medtronic, Inc. 2,611,783
20,800 Zimmer Holdings, Inc. (b) 1,684,592
-------------
10,026,184
Health Care Providers & Services - 1.3% 16,300 Aetna, Inc. 884,601
18,200 Express Scripts, Inc. (b) 1,015,924
12,600 Medco Health Solutions, Inc. (b) 1,138,914
40,600 UnitedHealth Group, Inc. 1,966,258
-------------
5,005,697
Hotels, Restaurants & Leisure - 1.7% 35,500 Carnival Corp. 1,719,265
87,200 Starbucks Corp. (b) 2,284,640
39,400 Starwood Hotels & Resorts Worldwide, Inc. 2,393,550
7,300 Wendy's International, Inc. 254,843
-------------
6,652,298
Household Durables - 0.8% 1,900 Black & Decker Corp. 158,270
22,700 Fortune Brands, Inc. 1,849,823
2,200 KB Home 55,132
35,000 Tupperware Corp. 1,102,150
-------------
3,165,375
Household Products - 1.7% 95,342 The Procter & Gamble Co. 6,706,356
IT Services - 0.6% 40,300 Automatic Data Processing, Inc. 1,850,979
6,400 Cognizant Technology Solutions Corp. (b) 510,528
-------------
2,361,507
Industrial Conglomerates - 4.9% 38,500 3M Co. 3,602,830
332,300 General Electric Co. 13,757,220
37,125 Tyco International Ltd. 1,646,123
-------------
19,006,173
Insurance - 4.7% 47,000 The Allstate Corp. 2,687,930
73,500 American International Group, Inc. 4,972,275
26,600 Hartford Financial Services Group, Inc. 2,461,830
36,300 Lincoln National Corp. 2,394,711
75,500 Marsh & McLennan Cos., Inc. 1,925,250
62,000 The Progressive Corp. 1,203,420
49,600 The Travelers Cos., Inc. 2,496,864
-------------
18,142,280
Internet & Catalog Retail - 0.2% 6,400 Amazon.com, Inc. (b) 596,160
Internet Software & Services - 2.3% 78,800 eBay, Inc. (b) 3,074,776
9,330 Google, Inc. Class A (b) 5,292,629
23,100 Yahoo! Inc. (b) 620,004
-------------
8,987,409
Leisure Equipment & Products - 0.4% 64,000 Eastman Kodak Co. 1,712,640
Life Sciences Tools & Services - 0.7% 37,000 Charles River Laboratories International, Inc. (b) 2,077,550
12,000 Thermo Fisher Scientific, Inc. (b) 692,640
-------------
2,770,190
Machinery - 0.3% 8,400 Deere & Co. 1,246,728
Media - 3.1% 79,650 CBS Corp. Class B 2,508,975
1,405 Citadel Broadcasting Corp. 5,845
103,200 Comcast Corp. Class A (b) 2,495,376
60,600 The DIRECTV Group, Inc. (b) 1,471,368
7,714 Idearc, Inc. 242,759
129,300 Regal Entertainment Group Series A 2,838,135
26,100 Time Warner, Inc. 479,196
34,650 Viacom, Inc. Class B (b) 1,350,310
18,300 Walt Disney Co. 629,337
-------------
12,021,301
Metals & Mining - 1.2% 30,700 Alcoa, Inc. 1,200,984
13,400 Allegheny Technologies, Inc. 1,473,330
13,700 Freeport-McMoRan Copper & Gold, Inc. Class B 1,436,993
8,500 Nucor Corp. 505,495
-------------
4,616,802
Multi-Utilities - 0.9% 12,000 Ameren Corp. 630,000
32,400 Consolidated Edison, Inc. 1,500,120
8,200 Dominion Resources, Inc. 691,260
7,200 Public Service Enterprise Group, Inc. 633,528
-------------
3,454,908
Multiline Retail - 0.5% 8,500 Family Dollar Stores, Inc. 225,760
24,300 Macy's, Inc. 785,376
2,800 Sears Holdings Corp. (b) 356,160
9,700 Target Corp. 616,629
-------------
1,983,925
Oil, Gas & Consumable Fuels - 10.3% 30,400 Anadarko Petroleum Corp. (e) 1,634,000
9,700 Apache Corp. 873,582
79,806 Chevron Corp. 7,468,245
66,000 ConocoPhillips 5,792,820
33,000 Devon Energy Corp. 2,745,600
17,200 EOG Resources, Inc. 1,244,076
121,900 Exxon Mobil Corp. 11,283,064
22,800 Hess Corp. 1,516,884
53,200 Marathon Oil Corp. 3,033,464
69,900 Nordic American Tanker Shipping Ltd. 2,742,876
15,600 Valero Energy Corp. 1,048,008
12,000 XTO Energy, Inc. 742,080
-------------
40,124,699
Paper & Forest Products - 0.7% 52,500 International Paper Co. 1,883,175
14,200 MeadWestvaco Corp. 419,326
8,000 Weyerhaeuser Co. 578,400
-------------
2,880,901
Pharmaceuticals - 6.7% 43,200 Abbott Laboratories (e) 2,316,384
120,000 Bristol-Myers Squibb Co. 3,458,400
40,600 Eli Lilly & Co. 2,311,358
86,800 Johnson & Johnson 5,702,760
85,800 Merck & Co., Inc. 4,435,002
313,100 Pfizer, Inc. 7,649,033
-------------
25,872,937
Real Estate Investment Trusts 32,900 Annaly Capital Management, Inc. 524,097
(REITs) - 1.1% 8,200 Equity Residential 347,352
59,200 Hospitality Properties Trust 2,406,480
25,200 Plum Creek Timber Co., Inc. 1,127,952
-------------
4,405,881
Semiconductors & Semiconductor 229,500 Intel Corp. 5,934,870
Equipment - 3.7% 28,800 Lam Research Corp. (b) 1,533,888
39,400 Linear Technology Corp. 1,378,606
57,700 National Semiconductor Corp. 1,564,824
69,150 Nvidia Corp. (b) 2,505,996
40,600 Texas Instruments, Inc. 1,485,554
-------------
14,403,738
Software - 3.5% 41,500 Autodesk, Inc. (b) 2,073,755
19,200 Electronic Arts, Inc. (b) 1,075,008
238,500 Microsoft Corp. 7,026,210
112,100 Oracle Corp. (b) 2,426,965
50,000 Symantec Corp. (b) 969,000
-------------
13,570,938
Specialty Retail - 0.6% 64,800 Home Depot, Inc. 2,102,112
5,920 TravelCenters of America LLC (b) 192,992
-------------
2,295,104
Textiles, Apparel & Luxury Goods - 0.5% 11,900 Coach, Inc. (b) 562,513
18,800 Hanesbrands, Inc. (b) 527,528
8,500 VF Corp. 686,375
-------------
1,776,416
Thrifts & Mortgage Finance - 1.6% 37,900 Fannie Mae 2,304,699
44,100 Freddie Mac 2,602,341
21,500 New York Community Bancorp, Inc. 409,575
25,200 Washington Mutual, Inc. 889,812
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6,206,427
Tobacco - 2.4% 59,600 Altria Group, Inc. 4,143,988
34,700 Reynolds American, Inc. 2,206,573
57,300 UST, Inc. 2,842,080
-------------
9,192,641
Total Common Stocks
(Cost - $352,666,406) - 99.1% 385,454,272
Beneficial
Interest Short-Term Securities
$ 9,279,880 BlackRock Liquidity Series, LLC Money
Market Series, 5.26% (a)(d) 9,279,880
Total Short-Term Securities
(Cost - $9,279,880) - 2.4% 9,279,880
Total Investments Before Options Written
(Cost - $361,946,286) - 101.5% 394,734,152
Number of
Contracts Options Written
Call Options Written 250 S&P 500 Index, expiring October 2007 at USD 1450 (2,177,500)
1,025 S&P 500 Index, expiring October 2007 at USD 1550 (1,363,250)
Total Options Written
(Premiums Received - $3,342,675) - (0.9%) (3,540,750)
Total Investments, Net of Options Written
(Cost - $358,603,611*) - 100.6% 391,193,402
Liabilities in Excess of Other Assets - (0.6%) (2,397,897)
-------------
Net Assets - 100.0% $ 388,795,505
=============
* The cost and unrealized appreciation (depreciation) of investments, net
of options written, as of September 30, 2007, as computed for federal
income tax purposes, were as follows:
Aggregate cost $ 358,723,756
=============
Gross unrealized appreciation $ 43,915,204
Gross unrealized depreciation (11,445,558)
-------------
Net unrealized appreciation $ 32,469,646
=============
(a) Investments in companies considered to be an affiliate of the Fund, 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 $ 382,607 $ 827,464
(b) Non-income producing security.
(c) Depositary receipts.
(d) Represents the current yield as of September 30, 2007.
(e) Security held as collateral in connection with open financial futures
contracts.
o For Fund compliance purposes, the Fund's industry classifications refer
to any one or more of the industry sub-classifications used by one or
more widely recognized market indexes or ratings group indexes, and/or as
defined by Fund management. This definition may not apply for purposes
of this report, which may combine industry sub-classifications for
reporting ease. Industries are shown as a percent of net assets.
o Financial futures contracts sold as of September 30, 2007 were as
follows:
Number of Expiration Face Unrealized
Contracts Issue Date Value Depreciation
10 S&P 500 Index December 2007 $ 3,762,986 $ (82,264)
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