N-Q 1 nq093010dvs2_vs2.htm DWS VARIABLE SERIES II nq093010dvs2_vs2.htm
 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
_______________________________
 
Investment Company Act file number  811-05002
 
DWS Variable Series II
(Exact name of registrant as specified in charter)

345 Park Avenue
New York, NY  10154
(Address of principal executive offices)             (Zip code)
 

Paul Schubert
100 Plaza One
Jersey City, NJ 07311
(Name and address of agent for service)
 
Registrant's telephone number, including area code:  (201) 593-6408
 
Date of fiscal year end:  12/31
 
Date of reporting period: 9/30/10

ITEM 1.
SCHEDULE OF INVESTMENTS


Investment Portfolio
as of September 30, 2010  (Unaudited)


DWS Alternative Asset Allocation Plus VIP

 
Shares
  
Value ($)
  
 
 
Equity - Equity Funds 31.9%
  
DWS Emerging Markets Equity Fund "Institutional"
  
78,665
  
1,423,055
  
DWS Gold & Precious Metals Fund "Institutional"
  
35,045
  
854,407
  
DWS RREEF Global Infrastructure Fund "Institutional"
  
91,689
  
858,209
  
DWS RREEF Global Real Estate Securities Fund "Institutional"
  
326,161
  
2,416,855
  
 
Total Equity - Equity Funds (Cost $4,840,147)
  
5,552,526
  
 
 
Exchange-Traded Funds 2.8%
  
iShares MSCI EAFE Small Cap Index Fund
  
6,386
  
245,095
  
Vanguard FTSE All World ex-US Small-Cap Fund
  
1,744
  
159,960
  
WisdomTree Emerging Markets SmallCap Dividend Fund
  
1,638
  
82,440
  
 
Total Exchange-Traded Funds (Cost $443,636)
  
487,495
  
 
 
Fixed Income – Bond Funds 43.6%
  
DWS Emerging Markets Fixed Income Fund “Institutional”
  
168,973
  
1,899,253
  
DWS Enhanced Commodity Strategy Fund “Institutional”
  
583,997
  
2,248,390
  
DWS Floating Rate Plus Fund “Institutional”
  
93,735
  
859,551
  
DWS Global Inflation Plus Fund “Institutional”
  
249,189
  
2,581,602
  
 
Total Fixed Income – Bond Funds (Cost $7,138,711)
  
7,588,796
  
 
 
Fixed Income – Money Market Fund 2.1%
  
Central Cash Management Fund  (Cost $364,231)
  
364,231
  
364,231
  
 
 
Fixed Income – Exchange-Traded Fund 2.0%
  
SPDR Barclays Capital International Treasury Bond  (Cost $328,780)
  
5,724
  
343,211
  
 
 
Market Neutral Fund 18.8%
  
DWS Disciplined Market Neutral Fund “Institutional”  (Cost $3,173,426)
  
336,373
  
3,269,547
  

 
% of
Net Assets
  
Value ($)
  
 
Total Investment Portfolio (Cost $16,288,931) †
101.2
  
17,605,806
  
Other Assets and Liabilities, Net
(1.2)
  
(201,232)
  
 
Net Assets
100.0
  
17,404,574
  

For information on the Portfolio’s policies regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio’s most recent semi-annual or annual financial statements.
  
†
The cost for federal income tax purposes was $16,295,736.  At September 30, 2010, net unrealized appreciation for all securities based on tax cost was $1,310,070.  This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $1,316,875 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $6,805.
  
EAFE: Europe, Australasia and Far East
  
FTSE: Financial Times and the London Stock Exchange
  
MSCI: Morgan Stanley Capital International
  
SPDR: Standard & Poor's Depositary Receipt
  

 

Fair Value Measurements

Various inputs are used in determining the value of the Portfolio's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of September 30, 2010 in valuing the Portfolio's investments.
 

   
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets
                  
Equity Funds
   $ 5,552,526     $ —     $ —     $ 5,552,526  
Exchange-Traded Funds(a)
     830,706       —       —       830,706  
Bond Funds
     7,588,796       —       —       7,588,796  
Money Market Fund
     364,231       —       —       364,231  
Market Neutral Fund
     3,269,547       —       —       3,269,547  
Total
   $ 17,605,806     $ —     $ —     $ 17,605,806  

There have been no significant transfers in and out of Level 1 and Level 2 fair value measurements during the period ended September 30, 2010.

(a)
See Investment Portfolio for additional detailed categorizations.


Investment Portfolio
as of September 30, 2010  (Unaudited)


DWS Balanced VIP

 
Shares
  
Value ($)
  
 
 
Common Stocks 54.6%
  
Consumer Discretionary 5.9%
  
Auto Components 0.5%
  
BorgWarner, Inc.* (a)
  
24,000
  
1,262,880
  
Minth Group Ltd.
  
96,300
  
192,635
  
Nippon Seiki Co., Ltd.
  
7,000
  
73,238
  
S&T Dynamics Co., Ltd.
  
5,580
  
110,453
  
 
 
1,639,206
  
Automobiles 0.1%
  
Bayerische Motoren Werke (BMW) AG
  
2,693
  
189,187
  
Daimler AG (Registered)*
  
1,792
  
113,694
  
 
 
302,881
  
Distributors 0.4%
  
Genuine Parts Co.
  
27,724
  
1,236,213
  
Diversified Consumer Services 0.3%
  
H&R Block, Inc.
  
68,530
  
887,464
  
Hotels Restaurants & Leisure 1.1%
  
Carnival Corp. (Units)
  
23,788
  
908,940
  
Darden Restaurants, Inc.
  
14,600
  
624,588
  
Domino's Pizza UK & IRL PLC
  
11,189
  
82,641
  
Marriott International, Inc. "A" (a)
  
26,739
  
958,058
  
McDonald's Corp.
  
6,700
  
499,217
  
Paddy Power PLC
  
3,752
  
131,659
  
PartyGaming PLC*
  
18,718
  
81,178
  
REXLot Holdings Ltd.
  
1,350,000
  
127,891
  
Trump Entertainment Resorts, Inc.*
  
2
  
36
  
 
 
3,414,208
  
Household Durables 0.1%
  
Advanced Digital Broadcast Holdings SA (Registered)
  
1,050
  
27,294
  
Jarden Corp.
  
2,000
  
62,260
  
Panasonic Corp.
  
19,047
  
258,379
  
 
 
347,933
  
Leisure Equipment & Products 0.1%
  
Universal Entertainment Corp.*
  
6,800
  
148,116
  
Media 0.7%
  
Aegis Group PLC
  
27,540
  
53,516
  
Charm Communications, Inc. (ADR)*
  
2,100
  
16,422
  
Dex One Corp.*
  
245
  
3,009
  
JC Decaux SA*
  
4,052
  
107,033
  
Pearson PLC
  
8,187
  
126,815
  
Scripps Networks Interactive “A” (a)
  
24,800
  
1,179,984
  
SuperMedia, Inc.*
  
43
  
454
  
Vertis Holdings, Inc.*
  
1,645
  
0
  
WPP PLC
  
51,337
  
568,513
  
 
 
2,055,746
  
Multiline Retail 0.6%
  
Dollar General Corp.* (a)
  
12,800
  
374,400
  
Kohl’s Corp.* (a)
  
15,580
  
820,754
  
Nordstrom, Inc.
  
17,110
  
636,492
  
 
 
1,831,646
  
Specialty Retail 1.1%
  
Advance Auto Parts, Inc. (a)
  
1,900
  
111,492
  
Aeropostale, Inc.*
  
4,850
  
112,762
  
Guess?, Inc. (a)
  
2,700
  
109,701
  
Hennes & Mauritz AB “B”
  
10,943
  
396,209
  
hhgregg, Inc.* (a)
  
4,200
  
103,992
  
L’Occitane International SA*
  
26,500
  
74,083
  
Limited Brands, Inc.
  
39,970
  
1,070,397
  
Nitori Holdings Co., Ltd.
  
3,069
  
256,612
  
TJX Companies, Inc. (a)
  
14,900
  
664,987
  
Urban Outfitters, Inc.* (a)
  
3,600
  
113,184
  
Yamada Denki Co., Ltd.
  
5,135
  
318,669
  
 
 
3,332,088
  
Textiles, Apparel & Luxury Goods 0.9%
  
Burberry Group PLC
  
4,549
  
74,374
  
Compagnie Financiere Richemont SA “A”
  
7,609
  
366,223
  
Deckers Outdoor Corp.*
  
2,900
  
144,884
  
NIKE, Inc. “B”
  
16,100
  
1,290,254
  
VF Corp.
  
8,739
  
708,034
  
 
 
2,583,769
  
Consumer Staples 5.2%
  
Beverages 1.0%
  
C&C Group PLC
  
32,775
  
143,997
  
Carlsberg AS “B”
  
2,496
  
260,084
  
Central European Distribution Corp.* (a)
  
2,900
  
64,728
  
Diageo PLC
  
26,038
  
448,685
  
PepsiCo, Inc.
  
31,545
  
2,095,850
  
 
 
3,013,344
  
Food & Staples Retailing 1.6%
  
Carrefour SA
  
7,419
  
399,570
  
CVS Caremark Corp.
  
32,525
  
1,023,562
  
Koninklijke Ahold NV
  
24,238
  
326,871
  
Kroger Co.
  
39,046
  
845,736
  
Metro AG
  
5,057
  
329,487
  
Seven & I Holdings Co., Ltd.
  
15,218
  
357,191
  
Sysco Corp.
  
25,100
  
715,852
  
Tesco PLC
  
32,934
  
219,471
  
Wal-Mart Stores, Inc.
  
12,600
  
674,352
  
 
 
4,892,092
  
Food Products 1.1%
  
Darling International, Inc.*
  
6,700
  
57,084
  
Diamond Foods, Inc. (a)
  
3,100
  
127,069
  
General Mills, Inc.
  
16,318
  
596,260
  
Green Mountain Coffee Roasters, Inc.* (a)
  
2,950
  
92,011
  
Indofood CBP Sukses Makmur TBK PT*
  
46,000
  
27,806
  
Kellogg Co.
  
13,832
  
698,654
  
Mead Johnson Nutrition Co.
  
9,997
  
568,929
  
Nestle SA (Registered)
  
16,607
  
885,090
  
SunOpta, Inc.*
  
20,800
  
126,672
  
 
 
3,179,575
  
Household Products 0.4%
  
Church & Dwight Co., Inc. (a)
  
7,000
  
454,580
  
Colgate-Palmolive Co.
  
8,270
  
635,632
  
Reckitt Benckiser Group PLC
  
2,871
  
158,047
  
 
 
1,248,259
  
Tobacco 1.1%
  
Altria Group, Inc.
  
55,898
  
1,342,670
  
British American Tobacco PLC
  
19,987
  
746,745
  
Philip Morris International, Inc.
  
23,569
  
1,320,336
  
 
 
3,409,751
  
Energy 7.1%
  
Energy Equipment & Services 2.2%
  
AMEC PLC
  
32,613
  
505,948
  
Cameron International Corp.*
  
1,800
  
77,328
  
Dresser-Rand Group, Inc.*
  
2,400
  
88,536
  
Ensco PLC (ADR) (a)
  
20,974
  
938,167
  
Halliburton Co.
  
31,962
  
1,056,983
  
John Wood Group PLC
  
11,788
  
80,988
  
Lamprell PLC
  
19,327
  
108,681
  
National Oilwell Varco, Inc.
  
7,400
  
329,078
  
Noble Corp.
  
29,467
  
995,690
  
ProSafe SE
  
10,100
  
62,269
  
Saipem SpA
  
8,710
  
349,675
  
SBM Offshore NV
  
6,672
  
126,650
  
Schlumberger Ltd.
  
15,360
  
946,330
  
Tecnicas Reunidas SA
  
1,250
  
66,574
  
Transocean Ltd.*
  
13,457
  
865,150
  
 
 
6,598,047
  
Oil, Gas & Consumable Fuels 4.9%
  
Alpha Natural Resources, Inc.*
  
24,600
  
1,012,290
  
Anadarko Petroleum Corp.
  
11,500
  
656,075
  
Canadian Natural Resources Ltd.
  
21,688
  
750,405
  
Chevron Corp.
  
16,242
  
1,316,414
  
ConocoPhillips
  
16,636
  
955,406
  
Eni SpA
  
7,545
  
162,893
  
EOG Resources, Inc.
  
8,400
  
780,948
  
EXCO Resources, Inc. (a)
  
3,300
  
49,071
  
ExxonMobil Corp.
  
35,746
  
2,208,745
  
Marathon Oil Corp.
  
38,424
  
1,271,835
  
Nexen, Inc.
  
32,381
  
650,858
  
Northern Oil & Gas, Inc.*
  
4,700
  
79,618
  
Occidental Petroleum Corp.
  
16,800
  
1,315,440
  
Royal Dutch Shell PLC “A”
  
27,759
  
836,051
  
Statoil ASA
  
26,392
  
550,993
  
Suncor Energy, Inc.
  
40,118
  
1,305,841
  
Total SA
  
9,191
  
474,066
  
Ultra Petroleum Corp.*
  
2,600
  
109,148
  
Woodside Petroleum Ltd.
  
11,427
  
484,662
  
 
 
14,970,759
  
Financials 5.5%
  
Capital Markets 1.2%
  
Affiliated Managers Group, Inc.*
  
1,000
  
78,010
  
Ameriprise Financial, Inc.
  
11,518
  
545,147
  
Ashmore Group PLC
  
29,501
  
155,181
  
Charles Schwab Corp.
  
34,000
  
472,600
  
ICAP PLC
  
8,793
  
59,715
  
Jefferies Group, Inc. (a)
  
5,100
  
115,719
  
Lazard Ltd. “A”
  
1,700
  
59,636
  
Morgan Stanley
  
31,400
  
774,952
  
Partners Group Holding AG
  
1,000
  
165,754
  
T. Rowe Price Group, Inc. (a)
  
21,200
  
1,061,378
  
Waddell & Reed Financial, Inc. “A”
  
2,500
  
68,400
  
 
 
3,556,492
  
Commercial Banks 1.4%
  
Australia & New Zealand Banking Group Ltd.
  
7,609
  
174,161
  
Banco Santander SA
  
24,678
  
312,663
  
BNP Paribas
  
5,274
  
376,887
  
Dah Sing Banking Group Ltd.
  
48,800
  
91,830
  
Dexia SA*
  
46
  
202
  
DnB NOR ASA
  
25,149
  
342,875
  
HSBC Holdings PLC
  
60,943
  
617,172
  
Lloyds Banking Group PLC*
  
192,043
  
224,130
  
National Australia Bank Ltd.
  
6,439
  
157,714
  
Nordea Bank AB
  
9,319
  
97,222
  
Prosperity Bancshares, Inc.
  
2,200
  
71,434
  
Sberbank
  
90,279
  
249,905
  
Skandinaviska Enskilda Banken AB “A”
  
45,308
  
336,548
  
Societe Generale
  
7,671
  
444,113
  
Sumitomo Mitsui Financial Group, Inc.
  
6,266
  
182,844
  
Swedbank AB “A”*
  
18,929
  
262,840
  
UniCredit SpA
  
48,835
  
125,055
  
Wing Hang Bank Ltd.
  
11,500
  
137,746
  
 
 
4,205,341
  
Consumer Finance 0.1%
  
Cardtronics, Inc.*
  
6,300
  
97,209
  
Kiatnakin Bank PCL
  
86,300
  
110,896
  
Magma Fincorp Ltd.
  
27,665
  
47,485
  
 
 
255,590
  
Diversified Financial Services 0.8%
  
Bank of America Corp.
  
25,992
  
340,755
  
Hellenic Exchanges SA
  
4,700
  
33,470
  
ING Groep NV (CVA)*
  
62,958
  
650,209
  
IntercontinentalExchange, Inc.*
  
3,800
  
397,936
  
JPMorgan Chase & Co.
  
24,101
  
917,525
  
 
 
2,339,895
  
Insurance 1.9%
  
Allianz SE (Registered)
  
4,432
  
500,334
  
Assurant, Inc.
  
24,542
  
998,859
  
Fidelity National Financial, Inc. “A”
  
48,004
  
754,143
  
HCC Insurance Holdings, Inc.
  
23,693
  
618,150
  
Legal & General Group PLC
  
174,333
  
284,018
  
Lincoln National Corp.
  
43,364
  
1,037,267
  
MetLife, Inc.
  
7,000
  
269,150
  
PartnerRe Ltd.
  
16,468
  
1,320,404
  
Sampo Oyj “A”
  
4,848
  
131,043
  
 
 
5,913,368
  
Real Estate Management & Development 0.1%
  
K Wah International Holdings Ltd.
  
183,572
  
72,722
  
Midland Holdings Ltd.
  
180,000
  
166,541
  
 
 
239,263
  
Health Care 5.7%
  
Biotechnology 1.1%
  
Amgen, Inc.*
  
13,900
  
766,029
  
Celgene Corp.* (a)
  
31,200
  
1,797,432
  
Gilead Sciences, Inc.* (a)
  
23,080
  
821,879
  
Metabolix, Inc.* (a)
  
4,100
  
51,578
  
 
 
3,436,918
  
Health Care Equipment & Supplies 1.3%
  
Accuray, Inc.* (a)
  
8,800
  
54,736
  
Baxter International, Inc.
  
23,270
  
1,110,212
  
Becton, Dickinson & Co.
  
10,614
  
786,497
  
Edwards Lifesciences Corp.*
  
10,700
  
717,435
  
NxStage Medical, Inc.* (a)
  
7,700
  
147,070
  
Thoratec Corp.* (a)
  
18,200
  
673,036
  
Zimmer Holdings, Inc.* (a)
  
9,900
  
518,067
  
 
 
4,007,053
  
Health Care Providers & Services 1.5%
  
Diagnosticos da America SA
  
9,700
  
116,950
  
Express Scripts, Inc.*
  
28,600
  
1,392,820
  
Fleury SA
  
5,200
  
64,539
  
Fresenius Medical Care AG & Co. KgaA
  
6,500
  
401,630
  
McKesson Corp.
  
26,079
  
1,611,161
  
Owens & Minor, Inc. (a)
  
3,400
  
96,764
  
WellPoint, Inc.*
  
12,432
  
704,148
  
 
 
4,388,012
  
Health Care Technology 0.1%
  
M3, Inc. (a)
  
21
  
92,952
  
Merge Healthcare, Inc.*
  
13,766
  
39,922
  
SXC Health Solutions Corp.*
  
2,200
  
80,234
  
 
 
213,108
  
Life Sciences Tools & Services 0.3%
  
ICON PLC (ADR)*
  
4,100
  
88,642
  
Life Technologies Corp.*
  
2,700
  
126,063
  
QIAGEN NV*
  
5,900
  
105,546
  
Thermo Fisher Scientific, Inc.*
  
13,335
  
638,480
  
 
 
958,731
  
Pharmaceuticals 1.4%
  
Abbott Laboratories
  
6,940
  
362,546
  
Flamel Technologies SA (ADR)*
  
14,100
  
102,084
  
GlaxoSmithKline PLC
  
30,575
  
603,201
  
Merck & Co., Inc.
  
35,014
  
1,288,865
  
Questcor Pharmaceuticals, Inc.* (a)
  
8,900
  
88,288
  
Sanofi-Aventis
  
7,929
  
529,114
  
Teva Pharmaceutical Industries Ltd. (ADR)
  
24,272
  
1,280,348
  
VIVUS, Inc.* (a)
  
7,100
  
47,499
  
 
 
4,301,945
  
Industrials 7.0%
  
Aerospace & Defense 2.1%
  
BE Aerospace, Inc.* (a)
  
3,700
  
112,147
  
Honeywell International, Inc.
  
18,843
  
827,961
  
L-3 Communications Holdings, Inc.
  
11,308
  
817,229
  
Lockheed Martin Corp.
  
12,317
  
877,956
  
Rockwell Collins, Inc.
  
15,800
  
920,350
  
Rolls-Royce Group PLC*
  
33,196
  
315,119
  
TransDigm Group, Inc. (a)
  
10,600
  
657,730
  
United Technologies Corp.
  
26,464
  
1,885,031
  
 
 
6,413,523
  
Airlines 0.0%
  
Ryanair Holdings PLC (ADR)
  
3,700
  
113,997
  
Singapore Airlines Ltd.
  
1,000
  
12,403
  
 
 
126,400
  
Commercial Services & Supplies 0.4%
  
Babcock International Group PLC
  
15,965
  
143,038
  
EnerNOC, Inc.* (a)
  
2,500
  
78,525
  
Quad Graphics, Inc.*
  
38
  
1,775
  
Serco Group PLC
  
14,372
  
138,988
  
Stericycle, Inc.* (a)
  
10,800
  
750,384
  
 
 
1,112,710
  
Construction & Engineering 0.2%
  
Aecom Technology Corp.* (a)
  
4,200
  
101,892
  
Chicago Bridge & Iron Co. NV (NY Registered Shares)*
  
4,500
  
110,025
  
Shui On Construction & Materials Ltd.
  
58,000
  
71,542
  
Vinci SA
  
6,568
  
329,960
  
 
 
613,419
  
Electrical Equipment 1.2%
  
AMETEK, Inc.
  
29,700
  
1,418,769
  
Emerson Electric Co.
  
19,218
  
1,012,020
  
Nidec Corp.
  
1,700
  
151,512
  
Prysmian SpA
  
3,930
  
71,936
  
Roper Industries, Inc. (a)
  
17,600
  
1,147,168
  
 
 
3,801,405
  
Industrial Conglomerates 0.2%
  
Koninklijke Philips Electronics NV
  
10,561
  
332,905
  
Siemens AG (Registered)
  
3,771
  
398,843
  
 
 
731,748
  
Machinery 1.7%
  
Alfa Laval AB
  
7,866
  
138,039
  
Austal Ltd.
  
36,964
  
87,576
  
Dover Corp.
  
20,628
  
1,076,988
  
EVA Precision Industrial Holdings Ltd.
  
234,000
  
137,402
  
FANUC Ltd.
  
5,044
  
639,727
  
Joy Global, Inc.
  
1,900
  
133,608
  
Komatsu Ltd.
  
28,037
  
652,764
  
MAN SE
  
1,016
  
110,826
  
Navistar International Corp.*
  
14,800
  
645,872
  
Parker Hannifin Corp. (a)
  
16,700
  
1,170,002
  
Rational AG
  
700
  
148,774
  
Rotork PLC
  
4,068
  
110,127
  
 
 
5,051,705
  
Marine 0.2%
  
A P Moller-Maersk AS “B”
  
53
  
440,486
  
Mitsui O.S.K Lines Ltd.
  
25,400
  
160,122
  
 
 
600,608
  
Professional Services 0.2%
  
Brunel International NV
  
2,060
  
64,346
  
FTI Consulting, Inc.* (a)
  
3,300
  
114,477
  
Michael Page International PLC
  
17,001
  
123,128
  
SGS SA (Registered)
  
181
  
292,686
  
 
 
594,637
  
Road & Rail 0.5%
  
Norfolk Southern Corp.
  
24,700
  
1,469,897
  
Northgate PLC*
  
15,753
  
53,677
  
 
 
1,523,574
  
Trading Companies & Distributors 0.2%
  
MISUMI Group, Inc.
  
6,100
  
128,128
  
Mitsubishi Corp.
  
19,919
  
472,713
  
 
 
600,841
  
Transportation Infrastructure 0.1%
  
Koninklijke Vopak NV
  
3,218
  
153,769
  
Information Technology 9.1%
  
Communications Equipment 1.4%
  
Brocade Communications Systems, Inc.*
  
80,174
  
468,216
  
Cisco Systems, Inc.*
  
105,070
  
2,301,033
  
Harris Corp.
  
2,100
  
93,009
  
QUALCOMM, Inc.
  
25,630
  
1,156,426
  
Sycamore Networks, Inc.
  
2,800
  
90,748
  
Telefonaktiebolaget LM Ericsson “B”
  
7,893
  
86,707
  
 
 
4,196,139
  
Computers & Peripherals 2.3%
  
Apple, Inc.*
  
12,500
  
3,546,875
  
EMC Corp.*
  
62,630
  
1,272,015
  
Hewlett-Packard Co.
  
52,882
  
2,224,746
  
 
 
7,043,636
  
Electronic Equipment, Instruments & Components 0.1%
  
Itron, Inc.* (a)
  
2,500
  
153,075
  
Kingboard Chemical Holdings Ltd.
  
23,500
  
118,942
  
Venture Corp., Ltd.
  
20,000
  
149,481
  
 
 
421,498
  
Internet Software & Services 0.9%
  
Akamai Technologies, Inc.* (a)
  
16,900
  
848,042
  
ChinaCache International Holdings Ltd.*
  
226
  
3,141
  
Google, Inc. "A"*
  
2,565
  
1,348,651
  
Internet Initiative Japan, Inc.
  
35
  
92,641
  
Kakaku.com, Inc.
  
18
  
104,372
  
Meetic
  
1,941
  
61,390
  
NIC, Inc. (a)
  
9,200
  
76,268
  
United Internet AG (Registered)
  
6,800
  
109,960
  
 
 
2,644,465
  
IT Services 1.1%
  
Accenture PLC "A"
  
11,210
  
476,313
  
Atos Origin SA*
  
2,494
  
113,071
  
Automatic Data Processing, Inc.
  
16,276
  
684,080
  
Cap Gemini SA
  
11,915
  
598,783
  
hiSoft Technology International Ltd. (ADR)*
  
5,500
  
135,245
  
iGATE Corp. (a)
  
5,700
  
103,398
  
International Business Machines Corp.
  
5,840
  
783,377
  
Telvent GIT SA* (a)
  
3,400
  
76,908
  
Visa, Inc. "A"
  
3,600
  
267,336
  
 
 
3,238,511
  
Office Electronics 0.2%
  
Canon, Inc.
  
13,393
  
626,270
  
Semiconductors & Semiconductor Equipment 0.7%
  
ARM Holdings PLC
  
24,676
  
153,818
  
FSI International, Inc.*
  
17,100
  
45,486
  
Intel Corp.
  
99,158
  
1,906,808
  
Lam Research Corp.*
  
1,800
  
75,330
  
 
 
2,181,442
  
Software 2.4%
  
Check Point Software Technologies Ltd.* (a)
  
14,590
  
538,809
  
Concur Technologies, Inc.* (a)
  
18,000
  
889,920
  
Microsoft Corp.
  
96,725
  
2,368,795
  
Nintendo Co., Ltd.
  
558
  
139,452
  
Norkom Group PLC*
  
27,634
  
35,516
  
Oracle Corp.
  
66,600
  
1,788,210
  
Rovi Corp.*
  
2,000
  
100,820
  
SAP AG
  
6,209
  
307,569
  
Solera Holdings, Inc.
  
16,500
  
728,640
  
TiVo, Inc.* (a)
  
5,900
  
53,454
  
VanceInfo Technologies, Inc. (ADR)* (a)
  
5,100
  
164,934
  
 
 
7,116,119
  
Materials 4.0%
  
Chemicals 1.8%
  
Air Liquide SA
  
3,310
  
404,980
  
Air Products & Chemicals, Inc.
  
14,324
  
1,186,314
  
Akzo Nobel NV
  
4,289
  
265,342
  
BASF SE
  
4,788
  
302,504
  
Linde AG
  
4,233
  
552,166
  
Praxair, Inc.
  
12,045
  
1,087,182
  
Shin-Etsu Chemical Co., Ltd.
  
9,147
  
446,647
  
The Mosaic Co. (a)
  
21,900
  
1,286,844
  
 
 
5,531,979
  
Containers & Packaging 0.7%
  
FP Corp.
  
1,300
  
70,450
  
Owens-Illinois, Inc.*
  
39,600
  
1,111,176
  
Sonoco Products Co.
  
33,019
  
1,104,155
  
 
 
2,285,781
  
Metals & Mining 1.4%
  
BHP Billiton Ltd.
  
13,750
  
524,243
  
Cliffs Natural Resources, Inc.
  
1,670
  
106,746
  
Freeport-McMoRan Copper & Gold, Inc. (a)
  
15,200
  
1,297,928
  
Kinross Gold Corp.
  
33,739
  
633,956
  
Lynas Corp., Ltd.*
  
102,095
  
134,707
  
Northam Platinum Ltd.
  
9,613
  
63,390
  
Randgold Resources Ltd. (ADR) (a)
  
1,100
  
111,606
  
Rio Tinto PLC
  
11,593
  
680,731
  
Thompson Creek Metals Co., Inc.*
  
6,100
  
65,758
  
Xstrata PLC
  
33,112
  
635,846
  
 
 
4,254,911
  
Paper & Forest Products 0.1%
  
Schweitzer-Mauduit International, Inc. (a)
  
2,800
  
163,268
  
Telecommunication Services 2.9%
  
Diversified Telecommunication Services 1.9%
  
AT&T, Inc.
  
51,844
  
1,482,738
  
BCE, Inc.
  
15,233
  
495,073
  
Belgacom
  
6,058
  
236,486
  
CenturyLink, Inc. (a)
  
41,025
  
1,618,846
  
France Telecom SA
  
10,341
  
223,758
  
Koninklijke (Royal) KPN NV
  
36,237
  
560,952
  
Singapore Telecommunications Ltd.
  
30,070
  
71,755
  
Telefonica SA
  
13,111
  
325,256
  
Verizon Communications, Inc.
  
26,852
  
875,107
  
 
 
5,889,971
  
Wireless Telecommunication Services 1.0%
  
American Tower Corp. "A"* (a)
  
15,500
  
794,530
  
NTT DoCoMo, Inc.
  
243
  
405,831
  
Vodafone Group PLC
  
336,984
  
834,192
  
Vodafone Group PLC (ADR)
  
37,465
  
929,507
  
 
 
2,964,060
  
Utilities 2.2%
  
Electric Utilities 1.8%
  
Allegheny Energy, Inc.
  
31,643
  
775,886
  
American Electric Power Co., Inc.
  
23,702
  
858,724
  
Duke Energy Corp.
  
41,434
  
733,796
  
E.ON AG
  
3,267
  
96,159
  
Entergy Corp.
  
11,288
  
863,871
  
Exelon Corp.
  
9,843
  
419,115
  
FirstEnergy Corp. (a)
  
21,086
  
812,654
  
Southern Co.
  
21,175
  
788,557
  
 
 
5,348,762
  
Multi-Utilities 0.4%
  
PG&E Corp.
  
28,033
  
1,273,259
  
 
Total Common Stocks (Cost $141,509,978)
  
165,411,223
  
 
 
Warrants 0.0%
  
Consumer Discretionary 0.0%
  
Reader's Digest Association, Inc., Expiration Date 2/19/2014*
  
80
  
2
  
Information Technology 0.0%
  
Kingboard Chemical Holdings Ltd., Expiration Date 10/31/2012*
  
3,400
  
2,121
  
Materials 0.0%
  
Ashland, Inc., Expiration Date 3/31/2029*
  
170
  
0
  
 
Total Warrants (Cost $30,283)
  
2,123
  

 
Principal
Amount ($) (b)
  
Value ($)
  
 
 
Corporate Bonds 6.4%
  
Consumer Discretionary 1.0%
  
AMC Entertainment, Inc.:
              
 
8.0%, 3/1/2014
    
35,000
  
35,306
  
 
8.75%, 6/1/2019
    
35,000
  
36,881
  
American Achievement Corp., 144A, 8.25%, 4/1/2012
    
15,000
  
14,944
  
Ameristar Casinos, Inc., 9.25%, 6/1/2014
    
25,000
  
26,687
  
Asbury Automotive Group, Inc.:
              
 
7.625%, 3/15/2017
    
35,000
  
34,125
  
 
8.0%, 3/15/2014
    
15,000
  
15,150
  
CanWest MediaWorks LP, 144A, 9.25%, 8/1/2015 **
    
25,000
  
4,500
  
Carrols Corp., 9.0%, 1/15/2013
    
15,000
  
15,112
  
DIRECTTV Holdings LLC:
              
 
6.0%, 8/15/2040
    
530,000
  
547,370
  
 
6.35%, 3/15/2040
    
51,000
  
55,179
  
Discovery Communications LLC, 5.05%, 6/1/2020
    
500,000
  
544,191
  
DISH DBS Corp.:
              
 
6.625%, 10/1/2014
    
40,000
  
41,800
  
 
7.125%, 2/1/2016
    
35,000
  
36,794
  
Fontainebleau Las Vegas Holdings LLC, 144A, 11.0%, 6/15/2015 **
    
25,000
  
4
  
Goodyear Tire & Rubber Co., 10.5%, 5/15/2016
    
10,000
  
11,325
  
Great Canadian Gaming Corp., 144A, 7.25%, 2/15/2015
    
30,000
  
30,487
  
Home Depot, Inc., 5.4%, 9/15/2040
    
125,000
  
125,549
  
NBC Universal, Inc., 144A, 5.95%, 4/1/2041 (c)
    
123,000
  
126,519
  
Norcraft Holdings LP, 9.75%, 9/1/2012
    
36,000
  
33,750
  
Penske Automotive Group, Inc., 7.75%, 12/15/2016
    
50,000
  
48,812
  
Sabre Holdings Corp., 8.35%, 3/15/2016
    
25,000
  
25,500
  
Sears Holdings Corp., 144A, 6.625%, 10/15/2018 (c)
    
10,000
  
10,000
  
TCI Communications, Inc., 8.75%, 8/1/2015
    
135,000
  
169,922
  
Time Warner Cable, Inc., 8.25%, 2/14/2014
    
50,000
  
59,673
  
Time Warner, Inc.:
              
 
5.875%, 11/15/2016
    
147,000
  
171,173
  
 
6.2%, 3/15/2040
    
175,000
  
190,645
  
 
7.625%, 4/15/2031
    
175,000
  
216,972
  
Travelport LLC, 4.922% ***, 9/1/2014
    
20,000
  
18,600
  
United Components, Inc., 9.375%, 6/15/2013
    
5,000
  
5,088
  
Vertis, Inc., 13.5%, 4/1/2014 (PIK)
    
39,915
  
12,374
  
Young Broadcasting, Inc., 8.75%, 1/15/2014 **
    
130,000
  
1
  
Yum! Brands, Inc., 3.875%, 11/1/2020
    
210,000
  
209,716
  
 
 
2,874,149
  
Consumer Staples 0.7%
  
Anheuser-Busch InBev Worldwide, Inc., 144A, 7.75%, 1/15/2019
    
500,000
  
648,606
  
CVS Caremark Corp.:
              
 
6.125%, 9/15/2039
    
275,000
  
303,582
  
 
6.25%, 6/1/2027
    
300,000
  
342,026
  
General Nutrition Centers, Inc., 5.75% ***, 3/15/2014 (PIK)
    
15,000
  
14,869
  
Kraft Foods, Inc., 5.375%, 2/10/2020
    
500,000
  
558,524
  
Kroger Co., 5.4%, 7/15/2040
    
110,000
  
114,327
  
North Atlantic Trading Co., 144A, 10.0%, 3/1/2012
    
108,750
  
97,875
  
SUPERVALU, Inc., 8.0%, 5/1/2016
    
10,000
  
10,075
  
 
 
2,089,884
  
Energy 0.9%
  
Atlas Energy Operating Co., LLC, 10.75%, 2/1/2018
    
55,000
  
60,912
  
Belden & Blake Corp., 8.75%, 7/15/2012
    
130,000
  
127,400
  
Bristow Group, Inc., 7.5%, 9/15/2017
    
30,000
  
30,750
  
Chaparral Energy, Inc., 8.5%, 12/1/2015
    
40,000
  
38,900
  
DCP Midstream LLC, 144A, 9.75%, 3/15/2019
    
200,000
  
266,134
  
El Paso Corp., 7.25%, 6/1/2018
    
20,000
  
21,556
  
Enterprise Products Operating LLC, 6.125%, 10/15/2039
    
230,000
  
247,565
  
Kinder Morgan Energy Partners LP:
              
 
6.5%, 9/1/2039
    
50,000
  
54,061
  
 
7.3%, 8/15/2033
    
360,000
  
417,770
  
Linn Energy LLC, 11.75%, 5/15/2017
    
35,000
  
40,162
  
Newfield Exploration Co., 7.125%, 5/15/2018
    
40,000
  
42,700
  
ONEOK Partners LP, 6.15%, 10/1/2016
    
201,000
  
232,407
  
OPTI Canada, Inc.:
              
 
7.875%, 12/15/2014
    
35,000
  
26,338
  
 
8.25%, 12/15/2014
    
15,000
  
11,400
  
Petrohawk Energy Corp., 7.875%, 6/1/2015
    
15,000
  
15,713
  
Plains All American Pipeline LP, 8.75%, 5/1/2019
    
600,000
  
761,527
  
Plains Exploration & Production Co., 7.0%, 3/15/2017
    
15,000
  
15,375
  
Regency Energy Partners LP, 8.375%, 12/15/2013
    
31,000
  
32,318
  
Stone Energy Corp., 6.75%, 12/15/2014
    
25,000
  
23,000
  
Weatherford International Ltd., 5.125%, 9/15/2020
    
160,000
  
163,565
  
 
 
2,629,553
  
Financials 2.1%
  
Algoma Acquisition Corp., 144A, 9.875%, 6/15/2015
    
20,000
  
17,825
  
American Express Co., 7.0%, 3/19/2018
    
390,000
  
469,710
  
Ashton Woods USA LLC, 144A, Step-up Coupon, 0% to 6/30/2012, 11.0% to 6/30/2015
    
36,400
  
18,200
  
Bank of America Corp., Series L, 7.625%, 6/1/2019
    
410,000
  
486,199
  
Buffalo Thunder Development Authority, 144A, 9.375%, 12/15/2014 **
    
15,000
  
3,900
  
Calpine Construction Finance Co., LP, 144A, 8.0%, 6/1/2016
    
30,000
  
32,100
  
CIT Group, Inc., 7.0%, 5/1/2015
    
65,355
  
64,865
  
Citigroup, Inc., 5.375%, 8/9/2020
    
500,000
  
517,316
  
Covidien International Finance SA, 4.2%, 6/15/2020
    
395,000
  
420,997
  
Fifth Third Bancorp., 5.45%, 1/15/2017
    
429,000
  
450,055
  
Ford Motor Credit Co., LLC, 9.875%, 8/10/2011
    
60,000
  
63,550
  
General Electric Capital Corp., Series A, 5.25%, 10/19/2012
    
550,000
  
592,157
  
Hartford Financial Services Group, Inc., 5.95%, 10/15/2036
    
150,000
  
137,602
  
iPayment, Inc., 9.75%, 5/15/2014
    
25,000
  
22,812
  
KeyBank NA, 5.7%, 11/1/2017
    
250,000
  
264,359
  
Lincoln National Corp., 8.75%, 7/1/2019
    
190,000
  
244,409
  
MetLife, Inc.:
              
 
6.75%, 6/1/2016
    
113,000
  
134,894
  
 
7.717%, 2/15/2019
    
250,000
  
318,175
  
Morgan Stanley, Series F, 6.625%, 4/1/2018
    
225,000
  
249,447
  
Nielsen Finance LLC, 144A, 7.75%, 10/15/2018 (c)
    
10,000
  
9,927
  
Orascom Telecom Finance SCA, 144A, 7.875%, 2/8/2014
    
100,000
  
96,750
  
PNC Bank NA, 6.875%, 4/1/2018
    
300,000
  
352,453
  
Prudential Financial, Inc.:
              
 
Series B, 5.1%, 9/20/2014
    
100,000
  
109,309
  
 
6.2%, 1/15/2015
    
100,000
  
112,634
  
 
7.375%, 6/15/2019
    
30,000
  
36,544
  
Rainbow National Services LLC, 144A, 10.375%, 9/1/2014
    
4,000
  
4,160
  
Santander US Debt SA Unipersonal, 144A, 2.991%, 10/7/2013 (c)
    
500,000
  
499,100
  
Telecom Italia Capital SA, 5.25%, 11/15/2013
    
200,000
  
214,879
  
The Goldman Sachs Group, Inc., 6.15%, 4/1/2018
    
400,000
  
443,684
  
Tropicana Entertainment LLC, 9.625%, 12/15/2014 **
    
75,000
  
158
  
UCI Holdco, Inc., 9.25% ***, 12/15/2013 (PIK)
    
41,075
  
39,843
  
WMG Acquisition Corp., 9.5%, 6/15/2016
    
20,000
  
21,400
  
 
 
6,449,413
  
Health Care 0.5%
  
Community Health Systems, Inc., 8.875%, 7/15/2015
    
120,000
  
127,500
  
Express Scripts, Inc.:
              
 
6.25%, 6/15/2014
    
250,000
  
287,026
  
 
7.25%, 6/15/2019
    
320,000
  
402,419
  
HCA, Inc.:
              
 
8.5%, 4/15/2019
    
10,000
  
11,150
  
 
9.125%, 11/15/2014
    
35,000
  
36,881
  
 
9.625%, 11/15/2016 (PIK)
    
42,000
  
45,570
  
IASIS Healthcare LLC, 8.75%, 6/15/2014
    
30,000
  
30,675
  
Medco Health Solutions, Inc., 7.125%, 3/15/2018
    
425,000
  
521,936
  
The Cooper Companies, Inc., 7.125%, 2/15/2015
    
45,000
  
45,450
  
 
 
1,508,607
  
Industrials 0.3%
  
Actuant Corp., 6.875%, 6/15/2017
    
20,000
  
20,400
  
ARAMARK Corp., 8.5%, 2/1/2015
    
10,000
  
10,400
  
BE Aerospace, Inc., 8.5%, 7/1/2018
    
50,000
  
54,500
  
Belden, Inc., 7.0%, 3/15/2017
    
25,000
  
25,062
  
Cenveo Corp., 144A, 10.5%, 8/15/2016
    
10,000
  
10,225
  
Congoleum Corp., 8.625%, 8/19/2019 **
    
190,000
  
43,700
  
Corrections Corp. of America, 7.75%, 6/1/2017
    
10,000
  
10,750
  
CSX Corp.:
              
 
6.15%, 5/1/2037
    
150,000
  
170,628
  
 
6.25%, 3/15/2018
    
190,000
  
225,566
  
Great Lakes Dredge & Dock Co., 7.75%, 12/15/2013
    
20,000
  
20,100
  
K. Hovnanian Enterprises, Inc., 8.875%, 4/1/2012
    
25,000
  
24,000
  
Kansas City Southern de Mexico SA de CV, 7.375%, 6/1/2014
    
20,000
  
20,700
  
Mobile Mini, Inc., 9.75%, 8/1/2014
    
25,000
  
26,125
  
Navios Maritime Holdings, Inc., 9.5%, 12/15/2014
    
35,000
  
35,700
  
Owens Corning, Inc., 9.0%, 6/15/2019
    
10,000
  
11,829
  
Titan International, Inc., 8.0%, 1/15/2012
    
85,000
  
91,375
  
TransDigm, Inc., 7.75%, 7/15/2014
    
15,000
  
15,169
  
United Rentals North America, Inc., 10.875%, 6/15/2016
    
35,000
  
39,506
  
 
 
855,735
  
Information Technology 0.1%
  
Alcatel-Lucent USA, Inc., 6.45%, 3/15/2029
    
30,000
  
21,825
  
MasTec, Inc., 7.625%, 2/1/2017
    
35,000
  
34,912
  
Microsoft Corp., 4.5%, 10/1/2040
    
100,000
  
99,347
  
SunGard Data Systems, Inc., 10.25%, 8/15/2015
    
70,000
  
73,675
  
Vangent, Inc., 9.625%, 2/15/2015
    
15,000
  
13,744
  
 
 
243,503
  
Materials 0.2%
  
Appleton Papers, Inc., 144A, 11.25%, 12/15/2015
    
15,000
  
11,100
  
CPG International I, Inc., 10.5%, 7/1/2013
    
50,000
  
50,500
  
Crown Americas LLC, 7.625%, 5/15/2017
    
10,000
  
10,800
  
Domtar Corp., 10.75%, 6/1/2017
    
20,000
  
24,900
  
Exopack Holding Corp., 11.25%, 2/1/2014
    
80,000
  
81,800
  
GEO Specialty Chemicals, Inc.:
              
 
144A, 7.5%, 3/31/2015 (PIK)
    
209,283
  
184,169
  
 
10.0%, 3/31/2015
    
206,080
  
181,350
  
Georgia-Pacific LLC, 144A, 7.125%, 1/15/2017
    
15,000
  
15,881
  
Graphic Packaging International, Inc., 9.5%, 6/15/2017
    
30,000
  
31,950
  
Millar Western Forest Products Ltd., 7.75%, 11/15/2013
    
15,000
  
13,388
  
NewMarket Corp., 7.125%, 12/15/2016
    
65,000
  
64,350
  
Owens-Brockway Glass Container, Inc., 7.375%, 5/15/2016
    
10,000
  
10,763
  
Radnor Holdings Corp., 11.0%, 3/15/2010 **
    
40,000
  
4
  
Silgan Holdings, Inc., 7.25%, 8/15/2016
    
20,000
  
21,225
  
Wolverine Tube, Inc., 15.0%, 3/31/2012 (PIK)
    
43,120
  
22,638
  
 
 
724,818
  
Telecommunication Services 0.4%
  
American Tower Corp., 5.05%, 9/1/2020
    
350,000
  
358,469
  
AT&T Mobility LLC, 6.5%, 12/15/2011
    
275,000
  
293,374
  
Cricket Communications, Inc.:
              
 
9.375%, 11/1/2014
    
40,000
  
41,400
  
 
10.0%, 7/15/2015
    
50,000
  
54,000
  
Crown Castle Towers LLC, 144A, 4.883%, 8/15/2020
    
100,000
  
103,313
  
ERC Ireland Preferred Equity Ltd., 144A, 7.899% ***, 2/15/2017 (PIK)
EUR
  
106,351
  
21,734
  
Intelsat Corp., 9.25%, 6/15/2016
    
110,000
  
117,287
  
Intelsat Subsidiary Holding Co. SA, 8.875%, 1/15/2015
    
60,000
  
62,100
  
iPCS, Inc., 2.591% ***, 5/1/2013
    
10,000
  
9,500
  
MetroPCS Wireless, Inc., 9.25%, 11/1/2014
    
35,000
  
36,662
  
Telesat Canada, 11.0%, 11/1/2015
    
70,000
  
79,100
  
West Corp., 144A, 8.625%, 10/1/2018
    
10,000
  
10,000
  
Windstream Corp.:
              
 
7.0%, 3/15/2019
    
25,000
  
24,500
  
 
8.625%, 8/1/2016
    
10,000
  
10,575
  
 
 
1,222,014
  
Utilities 0.2%
  
AES Corp.:
              
 
8.0%, 10/15/2017
    
35,000
  
37,800
  
 
8.0%, 6/1/2020
    
30,000
  
32,550
  
DTE Energy Co., 7.625%, 5/15/2014
    
81,000
  
96,305
  
FirstEnergy Solutions Corp., 6.8%, 8/15/2039
    
234,000
  
235,809
  
Mirant North America LLC, 7.375%, 12/31/2013
    
20,000
  
20,600
  
NRG Energy, Inc.:
              
 
7.375%, 2/1/2016
    
50,000
  
51,437
  
 
7.375%, 1/15/2017
    
60,000
  
61,500
  
NV Energy, Inc.:
              
 
6.75%, 8/15/2017
    
25,000
  
25,733
  
 
8.625%, 3/15/2014
    
8,000
  
8,230
  
Sempra Energy, 6.5%, 6/1/2016
    
135,000
  
161,522
  
Texas Competitive Electric Holdings Co., LLC, Series A, 10.25%, 11/1/2015
    
20,000
  
13,100
  
 
 
744,586
  
 
Total Corporate Bonds (Cost $18,237,469)
  
19,342,262
  
 
 
Asset-Backed 0.3%
  
Automobile Receivables 0.1%
  
Ford Credit Auto Owner Trust, "B", Series 2007-B, 5.69%, 11/15/2012
  
379,000
  
399,113
  
Credit Card Receivables 0.2%
  
Citibank Omni Master Trust, "A8", Series 2009-A8, 144A, 2.357% ***, 5/16/2016
  
500,000
  
505,683
  
 
Total Asset-Backed (Cost $885,529)
  
904,796
  
 
 
Mortgage-Backed Securities Pass-Throughs 7.0%
  
Federal Home Loan Mortgage Corp.:
              
 
4.0%, 8/1/2039
    
1,770,263
  
1,818,530
  
 
6.0%, 3/1/2038
    
40,426
  
43,428
  
Federal National Mortgage Association:
              
 
3.5%, 3/1/2025 (c)
    
2,750,000
  
2,837,656
  
 
3.579% ***, 8/1/2037
    
176,085
  
184,868
  
 
4.0%, with various maturities from 4/1/2039 until 9/1/2040 (c)
    
5,020,856
  
5,166,859
  
 
4.5%, 9/1/2035
    
63,210
  
66,304
  
 
5.5%, with various maturities from 3/1/2035 until 4/1/2038 (c)
    
4,171,331
  
4,451,480
  
 
6.0%, with various maturities from 1/1/2024 until 8/1/2037 (c)
    
3,238,393
  
3,499,949
  
 
6.5%, with various maturities from 5/1/2017 until 1/1/2038 (c)
    
564,669
  
616,393
  
 
8.0%, 9/1/2015
    
78,581
  
85,472
  
Government National Mortgage Association:
              
 
4.5%, 5/1/2039 (c)
    
750,000
  
789,375
  
 
5.0%, 4/1/2038 (c)
    
750,000
  
798,633
  
 
5.5%, 4/1/2036 (c)
    
750,000
  
806,309
  
 
Total Mortgage-Backed Securities Pass-Throughs (Cost $20,867,346)
  
21,165,256
  
 
 
Commercial Mortgage-Backed Securities 1.4%
  
Banc of America Commercial Mortgage, Inc., "A4", Series 2007-4, 5.741% ***, 2/10/2051
  
750,000
  
806,689
  
Bear Stearns Commercial Mortgage Securities, Inc., "A4", Series 2007-PW18, 5.7%, 6/13/2050
  
862,000
  
927,623
  
LB-UBS Commercial Mortgage Trust:
              
 
"A2", Series 2005-C2, 4.821%, 4/15/2030
    
84,690
  
84,822
  
 
"A4", Series 2006-C1, 5.156%, 2/15/2031
    
1,250,000
  
1,359,611
  
 
"A3", Series 2006-C7, 5.347%, 11/15/2038
    
700,000
  
748,999
  
 
"A4", Series 2007-C6, 5.858%, 7/15/2040
    
300,000
  
312,987
  
 
Total Commercial Mortgage-Backed Securities (Cost $3,765,810)
  
4,240,731
  
 
 
Collateralized Mortgage Obligations 0.2%
  
FDIC Structured Sale Guaranteed Notes, "1A", Series 2010-S1, 144A, 0.806% ***, 2/25/2048
  
635,728
  
636,936
  
Federal Home Loan Mortgage Corp., "H", Series 2278, 6.5%, 1/15/2031
  
5,470
  
6,010
  
 
Total Collateralized Mortgage Obligations (Cost $642,458)
  
642,946
  
 
 
Government & Agency Obligations 11.3%
  
Sovereign Bonds 2.7%
  
Federal Republic of Germany, 2.25%, 4/15/2013
EUR
  
213,272
  
309,458
  
Government of Canada, 4.0%, 12/1/2031
CAD
  
268,365
  
400,928
  
Government of France:
              
 
1.0%, 7/25/2017
EUR
  
242,231
  
343,400
  
 
2.25%, 7/25/2020
EUR
  
506,352
  
778,089
  
 
3.15%, 7/25/2032
EUR
  
539,554
  
997,771
  
Government of Japan, Series 9, 1.1%, 9/10/2016
JPY
  
41,538,000
  
494,844
  
Government of Sweden, Series 3105, 3.5%, 12/1/2015
SEK
  
2,650,000
  
540,037
  
Republic of Italy, 2.1%, 9/15/2017
EUR
  
151,725
  
210,924
  
Republic of Poland, 6.375%, 7/15/2019
    
100,000
  
117,817
  
State of Qatar, 144A, 6.4%, 1/20/2040
    
100,000
  
119,000
  
United Kingdom Treasury-Inflation Linked Bonds:
              
 
1.125%, 11/22/2037
GBP
  
409,108
  
727,673
  
 
1.875%, 11/22/2022
GBP
  
527,411
  
954,154
  
 
2.0%, 1/26/2035
GBP
  
225,000
  
590,096
  
 
2.5%, 8/16/2013
GBP
  
120,000
  
523,127
  
 
2.5%, 7/26/2016
GBP
  
112,000
  
552,535
  
 
2.5%, 4/16/2020
GBP
  
91,000
  
456,757
  
 
 
8,116,610
  
US Treasury Obligations 8.6%
  
US Treasury Bill, 0.185% ****, 3/17/2011 (d)
    
97,000
  
96,919
  
US Treasury Bonds:
              
 
4.75%, 2/15/2037
    
1,750,000
  
2,092,071
  
 
5.375%, 2/15/2031
    
2,500,000
  
3,218,750
  
US Treasury Inflation-Indexed Bonds:
              
 
2.375%, 1/15/2025
    
792,247
  
911,023
  
 
3.625%, 4/15/2028
    
842,438
  
1,126,826
  
US Treasury Inflation-Indexed Notes:
              
 
1.875%, 7/15/2015
    
184,935
  
201,045
  
 
2.375%, 1/15/2017
    
729,709
  
822,519
  
 
2.5%, 7/15/2016
    
480,382
  
544,032
  
 
3.375%, 1/15/2012
    
536,540
  
561,858
  
US Treasury Notes:
              
 
1.75%, 1/31/2014
    
8,000,000
  
8,261,248
  
 
3.125%, 5/15/2019
    
500,000
  
531,289
  
 
4.5%, 11/15/2015 (a)
    
6,750,000
  
7,833,165
  
 
 
26,200,745
  
 
Total Government & Agency Obligations (Cost $31,524,850)
  
34,317,355
  
 
 
Loan Participations and Assignments 0.0%
  
Senior Loans ***
    
Hawker Beechcraft Acquisition Co., LLC:
              
 
Term Loan, 2.256%, 3/26/2014
    
22,346
  
18,115
  
 
Letter of Credit, 2.633%, 3/26/2014
    
1,336
  
1,083
  
IASIS Healthcare LLC, Term Loan, 5.725%, 6/13/2014 (PIK)
    
90,062
  
85,972
  
Sabre, Inc., Term Loan B, 2.256%, 9/30/2014
    
22,817
  
21,168
  
Sbarro, Inc., Term Loan, 4.775%, 1/31/2014
    
15,000
  
13,575
  
 
Total Loan Participations and Assignments (Cost $147,249)
  
139,913
  
 
 
Municipal Bonds and Notes 0.3%
  
California, University Revenues, Build America Bonds, 5.946%, 5/15/2045
  
125,000
  
127,703
  
Chicago, IL, Transit Authority, Sales Tax Receipts Revenue, Build America Bonds, Series B, 6.2%, 12/1/2040 (e)
  
185,000
  
188,548
  
Kentucky, Asset/Liability Commission, General Fund Revenue, 3.165%, 4/1/2018
  
500,000
  
505,810
  
 
Total Municipal Bonds and Notes (Cost $810,268)
  
822,061
  
 
 
Preferred Securities 0.1%
  
Financials 0.1%
  
Farm Credit Bank of Texas, Series 1, 7.561%, 12/15/2013 (f)
    
218,000
  
188,029
  
Materials 0.0%
  
Hercules, Inc., 6.5%, 6/30/2029
    
40,000
  
32,700
  
 
Total Preferred Securities (Cost $245,144)
  
220,729
  

 
Units
  
Value ($)
  
 
 
Other Investments 0.0%
  
Consumer Discretionary
    
AOT Bedding Super Holdings LLC* (Cost $2,000)
    
2
  
2,000
  

 
Shares
  
Value ($)
  
 
 
Exchange-Traded Funds 10.8%
  
iShares Barclays Aggregate Bond Fund
  
131,967
  
14,338,215
  
iShares JPMorgan USD Emerging Markets Bond Fund
  
21,603
  
2,405,494
  
iShares Russell 2000 Value Index Fund
  
97,763
  
6,051,530
  
SPDR Barclays Capital International Treasury Bond Fund
  
14,517
  
870,439
  
Vanguard Emerging Markets Fund
  
202,657
  
9,200,628
  
 
Total Exchange-Traded Funds (Cost $26,925,608)
  
32,866,306
  
 
 
Securities Lending Collateral 7.4%
  
Daily Assets Fund Institutional, 0.29% (g) (h)
(Cost $22,402,501)
    
22,402,501
  
22,402,501
  
 
 
Cash Equivalents 9.8%
  
Central Cash Management Fund, 0.21% (g)
(Cost $29,733,491)
    
29,733,491
  
29,733,491
  

 
% of
Net Assets
  
Value ($)
  
 
Total Investment Portfolio (Cost $297,729,984) †
109.6
  
332,213,693
  
Other Assets and Liabilities, Net (a)
(9.6)
  
(29,095,919)
  
 
Net Assets
100.0
  
303,117,774
  

For information on the Portfolio's policies regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio's most recent semi-annual or annual financial statements.
*
Non-income producing security.
**
Non-income producing security.  Issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.  The following table represents bonds that are in default:

Security
  
Coupon
  
Maturity
Date
Principal Amount ($)
  
Acquisition
Cost ($)
    
Value ($)
  
Buffalo Thunder Development Authority
     9.375 %
12/15/2014
   15,000
USD
     15,000       3,900  
CanWest MediaWorks LP
     9.25 %
8/1/2015
   25,000
USD
     25,000       4,500  
Congoleum Corp.
     8.625 %
8/19/2019
   190,000
USD
     190,156       43,700  
Fontainebleau Las Vegas Holdings LLC
     11.0 %
6/15/2015
   25,000
USD
     25,000       4  
Radnor Holdings Corp.
     11.0 %
3/15/2010
   40,000
USD
     25,775       4  
Tropicana Entertainment LLC
     9.625 %
12/15/2014
   75,000
USD
     55,245       158  
Young Broadcasting, Inc.
     8.75 %
1/15/2014
   130,000
USD
     111,175       1  
                      447,351       52,267  

***
These securities are shown at their current rate as of September 30, 2010.  Floating rate securities' yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate.
****
Annualized yield at time of purchase; not a coupon rate.
†
The cost for federal income tax purposes was $303,888,723. At September 30, 2010, net unrealized appreciation for all securities based on tax cost was $28,324,970. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $37,886,491 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $9,561,521.
(a)
All or a portion of these securities were on loan amounting to 21,779,735. In addition, included in other assets and liabilities, net are pending sales, amounting to $13,101, that are also on loan.  The value of all securities loaned at September 30, 2010 amounted to $21,792,836 which is 7.2% of net assets.
(b)
Principal amount stated in US dollars unless otherwise noted.
(c)
When-issued or delayed delivery security included.
(d)
At September 30, 2010, this security has been pledged, in whole or in part, to cover initial margin requirements for open futures contracts.
(e)
Taxable issue.
(f)
Date shown is call date; not a maturity date for the perpetual preferred securities.
(g)
Affiliated fund managed by Deutsche Investment Management Americas Inc.  The rate shown is the annualized seven-day yield at period end.
(h)
Represents collateral held in connection with securities lending.  Income earned by the Fund is net of borrower rebates.
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
ADR: American Depositary Receipt
CVA: Certificaten Van Aandelen
FDIC: Federal Deposit Insurance Corp.
PIK: Denotes that all or a portion of the income is paid in kind.
SPDR: Standard & Poor's Depositary Receipt
Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets.  Effective maturities of these investments may be shorter than stated maturities due to prepayments.  Some separate investments in the Federal National Mortgage Association issues which have similar coupon rates have been aggregated for presentation purposes in this investment portfolio.

At September 30, 2010, open futures contracts purchased were as follows:

Futures
Currency
Expiration
Date
  
Contracts
    
Notional
Value ($)
    
Unrealized
Appreciation/
(Depreciation) ($)
  
 
10 Year Japanese Government Bond
JPY
12/9/2010
     5       8,590,081       140,752  
10 Year US Treasury Note
USD
12/21/2010
     113       14,243,297       24,719  
2 Year US Treasury Note
USD
12/31/2010
     44       9,657,313       19,938  
AEX Index
EUR
10/15/2010
     9       820,200       (6,748 )
CAC 40 Index
EUR
10/15/2010
     50       2,528,829       (28,117 )
DAX Index
EUR
12/17/2010
     3       638,103       (3,323 )
Federal Republic of Germany Euro-Schatz
EUR
12/8/2010
     444       66,027,311       (199,175 )
FTSE 100 Index
GBP
12/17/2010
     3       260,589       (589 )
IBEX 35 Index
EUR
10/15/2010
     1       142,303       (3,810 )
NASDAQ 1000 E-Mini Index
USD
12/17/2010
     14       558,740       22,050  
TOPIX Index
JPY
12/10/2010
     2       198,012       311  
Total net unrealized depreciation
       (33,992 )  

At September 30, 2010, open futures contracts sold were as follows:

Futures
Currency
Expiration
Date
  
Contracts
    
Notional
Value ($)
    
Unrealized
Appreciation/
(Depreciation) ($)
  
   
10 Year Australian Treasury Bond
AUD
12/15/2010
     28       2,919,497       (19,817 )
10 Year Canadian Government Bond
CAD
12/20/2010
     71       8,727,845       (55,895 )
10 Year US Treasury Note
USD
12/21/2010
     20       2,520,938       (36,547 )
2 Year US Treasury Note
USD
12/31/2010
     85       18,656,172       (39,844 )
5 Year US Treasury Note
USD
12/31/2010
     15       1,813,008       (11,836 )
ASX SPI 200 Index
AUD
12/16/2010
     11       1,222,685       16,214  
DJ Euro Stoxx 50 Index
EUR
12/17/2010
     57       2,127,570       44,292  
Federal Republic of Germany Euro-Bund
EUR
12/8/2010
     153       27,413,314       (221,092 )
FTSE MIB Index
EUR
12/17/2010
     6       834,350       9,775  
Hang Seng Index
HKD
10/28/2010
     1       143,887       193  
Russell 2000 Mini Index
USD
12/17/2010
     13       876,850       (34,255 )
S&P 500 E-Mini Index
USD
12/17/2010
     19       1,079,865       (19,475 )
S&P TSX 60 Index
CAD
12/16/2010
     1       138,556       (1,586 )
United Kingdom Long Gilt Bond
GBP
12/29/2010
     49       9,569,417       10,847  
Total net unrealized depreciation
       (359,026 )  

As of September 30, 2010, the Portfolio had the following open forward foreign currency exchange contracts:

Contracts to Deliver
  
In Exchange For
  
Settlement
Date
  
Unrealized
Appreciation ($)
  
Counterparty
 
USD
     451,895  
NZD
     619,000  
10/21/2010
     1,481  
HSBC Bank USA
USD
     5,531,282  
SEK
     39,625,000  
10/21/2010
     344,197  
HSBC Bank USA
USD
     4,336,730  
CAD
     4,469,000  
10/21/2010
     4,706  
Morgan Stanley
USD
     3,046,284  
AUD
     3,280,000  
10/21/2010
     115,701  
UBS AG
USD
     1,365,223  
NOK
     8,368,000  
10/21/2010
     56,009  
UBS AG
Total unrealized appreciation
         522,094    
 
Contracts to Deliver
  
In Exchange For
  
Settlement
Date
  
Unrealized
Depreciation ($)
  
Counterparty
 
JPY
     29,124,000  
USD
     346,818  
10/21/2010
     (2,121 )
HSBC Bank USA
CHF
     3,605,000  
USD
     3,559,685  
10/21/2010
     (109,698 )
HSBC Bank USA
GBP
     3,856,000  
USD
     5,948,150  
10/21/2010
     (108,293 )
Morgan Stanley
EUR
     4,185,000  
USD
     5,371,678  
10/21/2010
     (332,617 )
UBS AG
EUR
     17,000  
USD
     22,644  
10/27/2010
     (526 )
Citigroup, Inc.
Total unrealized depreciation
         (553,255 )  
 

Currency Abbreviations
  
 
AUD
Australian Dollar
JPY
Japanese Yen
  
CAD
Canadian Dollar
NOK
Norwegian Krone
  
CHF
Swiss Franc
NZD
New Zealand Dollar
  
EUR
Euro
SEK
Swedish Krona
  
GBP
British Pound
USD
United States Dollar
  
HKD
Hong Kong Dollar
      
 

 
Fair Value Measurements

Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used as of September 30, 2010 in valuing the Fund's investments.

   
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets
                        
Common Stock and/or Other Equity Investments(i)
                        
Consumer Discretionary
   $ 13,900,822     $ 3,878,412       38     $ 17,779,272  
Consumer Staples
     11,439,977       4,275,238       27,806       15,743,021  
Energy
     17,759,356       3,809,450       —       21,568,806  
Financials
     9,998,674       6,511,275       —       16,509,949  
Health Care
     15,573,324       1,732,443       —       17,305,767  
Industrials
     15,443,803       5,880,536       —       21,324,339  
Information Technology
     24,770,108       2,700,093       —       27,470,201  
Materials
     8,154,933       4,081,006       0       12,235,939  
Telecommunication Services
     6,195,801       2,658,230       —       8,854,031  
Utilities
     6,525,862       96,159       —       6,622,021  
Fixed Income Investments(i)
                                
     Corporate Bonds
     —       18,933,042       409,220       19,342,262  
     Asset Backed
     —       904,796       —       904,796  
     Mortgage-Backed Securities Pass-
     Throughs
     —       21,165,256       —       21,165,256  
     Commercial Mortgage-Backed
     Securities
     —       4,240,731       —       4,240,731  
     Collateralized Mortgage Obligations
     —       642,946       —       642,946  
     Government & Agency Obligations
     —       34,220,436       —       34,220,436  
     Loan Participations and Assignments
     —       139,913       —       139,913  
     Municipal Bonds and Notes
     —       822,061       —       822,061  
     Preferred Securities
     —       220,729       —       220,729  
Other Investments
     —       —       2,000       2,000  
Exchange-Traded Funds
     32,866,306       —       —       32,866,306  
Short-Term Investments(i)
     52,135,992       96,919       —       52,232,911  
Derivatives (j)
     —       522,094       —       522,094  
Total
   $ 214,764,958     $ 117,531,765     $ 439,064     $ 332,735,787  
Liabilities
                                
Derivatives (j)
   $ (393,018 )   $ (553,255 )   $ —     $ (946,273 )
Total
   $ (393,018 )   $ (553,255 )   $ —     $ (946,273 )

There have been no significant transfers in and out of Level 1 and Level 2 fair value measurements during the period ended September 30 2010.

(i)
See Investment Portfolio for additional detailed categorizations.
(j)
Derivatives include unrealized appreciation (depreciation) on open futures contracts and forward foreign currency exchange contracts.


Level 3 Reconciliation

The following is a reconciliation of the Portfolio's Level 3 investments for which significant unobservable inputs were used in determining value:

   
Common Stock and/or Other Equity Investments
                    
   
Consumer Discretionary
    
Consumer Staples
    
Financials
    
Materials
    
Corporate Bonds
    
Other Investments
    
Total
  
Balance as of
December 31, 2009
   $ 0     $ —     $ 278,682     $ 0     $ 383,110     $ —     $ 661,792  
Realized gain (loss)
     (8,344 )     —       107,337       —       —       —       98,993  
Change in unrealized appreciation (depreciation)
     8,342       (145 )     (37,614 )     —       33,714       0       4,297  
Amortization premium/discount
     —       —       —       —       2,861       —       2,861  
Net purchases (sales)
     40       27,951       (348,405 )     —       —       2,000       (318,414 )
Transfers into Level 3
     —       —       —       —       455 (k)     —       455  
Transfers (out) of Level 3
     —       —       —       —       (10,920 )(l)     —       (10,920 )
Balance as of
September 30, 2010
   $ 38     $ 27,806     $ —     $ 0     $ 409,220     $ 2,000     $ 439,064  
Net change in unrealized appreciation (depreciation) from investments still held at September 30, 2010
   $ 8,342     $ (145 )   $ —     $ —     $ 33,714     $ 0     $ 4,297  

Transfers between price levels are recognized at the beginning of the reporting period.
(k)           The investment was transferred from Level 2 to Level 3 because of the lack of observable market data due to a decrease in market activity.
(l)           The investment was transferred from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs.

Derivatives
The following table presents, by major type of derivative contract, the unrealized appreciation (depreciation) of the Portfolio's derivative instruments as of September 30, 2010 categorized by the primary underlying risk exposure. 

 
 
Primary Underlying Risk Disclosure
  
Futures
    
Forward Currency Contracts
  
Equity Contracts
   $ (5,068 )   $ —  
Foreign Exchange Contracts
   $ —     $ (31,161 )
Interest Rate Contracts
   $ (387,950 )   $ —  



Investment Portfolio
as of September 30, 2010  (Unaudited)


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Shares
  
Value ($)
  
 
 
Common Stocks 99.8%
  
Consumer Discretionary 9.3%
  
Auto Components 0.2%
  
Magna International, Inc.
  
1,900
  
156,294
  
Automobiles 0.2%
  
Toyota Motor Corp. (ADR)
  
2,200
  
157,477
  
Diversified Consumer Services 0.3%
  
Career Education Corp.*
  
11,900
  
255,493
  
DeVry, Inc.
  
2,000
  
98,420
  
 
 
353,913
  
Hotels Restaurants & Leisure 0.5%
  
Panera Bread Co. "A"*
  
1,300
  
115,193
  
Starbucks Corp. (a)
  
16,400
  
419,512
  
 
 
534,705
  
Household Durables 0.7%
  
Garmin Ltd. (a)
  
12,700
  
385,445
  
Whirlpool Corp.
  
3,600
  
291,456
  
 
 
676,901
  
Internet & Catalog Retail 1.0%
  
Liberty Media Corp. - Interactive "A"*
  
35,600
  
488,076
  
Priceline.com, Inc.*
  
1,600
  
557,344
  
 
 
1,045,420
  
Media 2.6%
  
Comcast Corp. "A" (a)
  
55,200
  
998,016
  
Discovery Communications, Inc. "A"*
  
1,900
  
82,745
  
Liberty Media-Starz "A"*
  
1,900
  
123,272
  
News Corp. "A"
  
10,000
  
130,600
  
Time Warner, Inc.
  
27,633
  
846,951
  
Walt Disney Co.
  
14,100
  
466,851
  
 
 
2,648,435
  
Multiline Retail 1.1%
  
Dillard's, Inc. "A" (a)
  
17,800
  
420,792
  
Kohl's Corp.*
  
11,400
  
600,552
  
Sears Holdings Corp.* (a)
  
1,700
  
122,638
  
 
 
1,143,982
  
Specialty Retail 1.6%
  
Advance Auto Parts, Inc.
  
8,900
  
522,252
  
Barnes & Noble, Inc. (a)
  
10,200
  
165,342
  
Rent-A-Center, Inc.
  
3,500
  
78,330
  
Ross Stores, Inc.
  
3,700
  
202,094
  
TJX Companies, Inc. (a)
  
14,200
  
633,746
  
 
 
1,601,764
  
Textiles, Apparel & Luxury Goods 1.1%
  
Coach, Inc.
  
7,300
  
313,608
  
Deckers Outdoor Corp.*
  
2,300
  
114,908
  
NIKE, Inc. "B"
  
6,100
  
488,854
  
VF Corp.
  
2,200
  
178,244
  
 
 
1,095,614
  
Consumer Staples 8.5%
  
Beverages 0.6%
  
Fomento Economico Mexicano SAB de CV (ADR)
  
6,900
  
350,037
  
Hansen Natural Corp.*
  
2,100
  
97,902
  
Molson Coors Brewing Co. "B"
  
2,600
  
122,772
  
 
 
570,711
  
Food & Staples Retailing 1.6%
  
Wal-Mart Stores, Inc.
  
27,100
  
1,450,392
  
Whole Foods Market, Inc.*
  
3,900
  
144,729
  
 
 
1,595,121
  
Food Products 4.0%
  
Archer-Daniels-Midland Co.
  
35,800
  
1,142,736
  
Corn Products International, Inc.
  
5,600
  
210,000
  
Del Monte Foods Co.
  
6,600
  
86,526
  
Fresh Del Monte Produce, Inc.*
  
7,000
  
151,900
  
H.J. Heinz Co.
  
6,000
  
284,220
  
Hormel Foods Corp.
  
3,300
  
147,180
  
The Hershey Co.
  
15,900
  
756,681
  
The J.M. Smucker Co.
  
1,600
  
96,848
  
Tyson Foods, Inc. "A"
  
62,000
  
993,240
  
Unilever PLC (ADR)
  
6,200
  
180,420
  
 
 
4,049,751
  
Household Products 1.3%
  
Colgate-Palmolive Co.
  
3,000
  
230,580
  
Kimberly-Clark Corp. (a)
  
10,100
  
657,005
  
Procter & Gamble Co.
  
7,300
  
437,781
  
 
 
1,325,366
  
Personal Products 0.5%
  
Herbalife Ltd.
  
6,400
  
386,240
  
Medifast, Inc.*
  
3,400
  
92,242
  
 
 
478,482
  
Tobacco 0.5%
  
Lorillard, Inc.
  
6,800
  
546,108
  
Energy 11.5%
  
Energy Equipment & Services 4.4%
  
Complete Production Services, Inc.*
  
7,900
  
161,555
  
Helmerich & Payne, Inc.
  
3,600
  
145,656
  
National-Oilwell Varco, Inc.
  
33,100
  
1,471,957
  
Noble Corp.
  
8,700
  
293,973
  
Oil States International, Inc.*
  
11,700
  
544,635
  
Patterson-UTI Energy, Inc.
  
19,300
  
329,644
  
Rowan Companies, Inc.*
  
11,300
  
343,068
  
Transocean Ltd.*
  
18,200
  
1,170,078
  
 
 
4,460,566
  
Oil, Gas & Consumable Fuels 7.1%
  
Anadarko Petroleum Corp.
  
3,200
  
182,560
  
Chevron Corp.
  
37,900
  
3,071,795
  
Cimarex Energy Co.
  
4,900
  
324,282
  
ConocoPhillips
  
10,300
  
591,529
  
Devon Energy Corp.
  
7,600
  
492,024
  
ExxonMobil Corp.
  
1,300
  
80,327
  
Marathon Oil Corp.
  
13,800
  
456,780
  
Murphy Oil Corp.
  
14,400
  
891,648
  
Tesoro Corp.
  
18,800
  
251,168
  
Valero Energy Corp.
  
49,400
  
864,994
  
 
 
7,207,107
  
Financials 16.8%
  
Capital Markets 1.0%
  
American Capital Ltd.*
  
8,300
  
48,223
  
Ameriprise Financial, Inc.
  
5,400
  
255,582
  
Legg Mason, Inc.
  
4,800
  
145,488
  
Morgan Stanley
  
21,800
  
538,024
  
 
 
987,317
  
Commercial Banks 3.9%
  
CIT Group, Inc.*
  
8,900
  
363,298
  
Fifth Third Bancorp.
  
45,100
  
542,553
  
Huntington Bancshares, Inc.
  
56,300
  
319,221
  
KeyCorp
  
31,200
  
248,352
  
M&T Bank Corp.
  
1,800
  
147,258
  
PNC Financial Services Group, Inc.
  
10,000
  
519,100
  
Popular, Inc.*
  
20,000
  
58,000
  
Regions Financial Corp.
  
35,600
  
258,812
  
SunTrust Banks, Inc.
  
34,300
  
885,969
  
Webster Financial Corp.
  
4,000
  
70,240
  
Wells Fargo & Co.
  
22,400
  
562,912
  
 
 
3,975,715
  
Consumer Finance 2.6%
  
Capital One Financial Corp. (a)
  
41,400
  
1,637,370
  
Discover Financial Services
  
57,900
  
965,772
  
 
 
2,603,142
  
Diversified Financial Services 2.9%
  
Citigroup, Inc.*
  
76,300
  
297,570
  
ING Groep NV (ADR)*
  
3,900
  
40,131
  
JPMorgan Chase & Co.
  
62,700
  
2,386,989
  
PHH Corp.*
  
7,600
  
160,056
  
The NASDAQ OMX Group, Inc.*
  
5,400
  
104,922
  
 
 
2,989,668
  
Insurance 6.1%
  
ACE Ltd.
  
22,900
  
1,333,925
  
Allied World Assurance Co. Holdings Ltd.
  
5,500
  
311,245
  
Arch Capital Group Ltd.*
  
2,500
  
209,500
  
Aspen Insurance Holdings Ltd. (a)
  
6,200
  
187,736
  
Assurant, Inc.
  
8,300
  
337,810
  
Axis Capital Holdings Ltd.
  
3,300
  
108,702
  
Berkshire Hathaway, Inc. "A"* (a)
  
3
  
373,500
  
Berkshire Hathaway, Inc. "B"*
  
5,640
  
466,315
  
Chubb Corp.
  
10,200
  
581,298
  
Everest Re Group Ltd.
  
2,900
  
250,763
  
Old Republic International Corp.
  
8,800
  
121,880
  
Platinum Underwriters Holdings Ltd.
  
2,800
  
121,856
  
Prudential Financial, Inc.
  
11,300
  
612,234
  
The Travelers Companies, Inc.
  
22,000
  
1,146,200
  
 
 
6,162,964
  
Real Estate Investment Trusts 0.1%
  
Hospitality Properties Trust (REIT)
  
2,400
  
53,592
  
Thrifts & Mortgage Finance 0.2%
  
People's United Financial, Inc.
  
10,300
  
134,827
  
Radian Group, Inc.
  
15,800
  
123,556
  
 
 
258,383
  
Health Care 15.0%
  
Biotechnology 1.6%
  
Amgen, Inc.*
  
11,200
  
617,232
  
Biogen Idec, Inc.*
  
7,400
  
415,288
  
Cephalon, Inc.* (a)
  
10,300
  
643,132
  
 
 
1,675,652
  
Health Care Providers & Services 8.6%
  
Aetna, Inc.
  
29,400
  
929,334
  
AmerisourceBergen Corp.
  
44,400
  
1,361,304
  
Cardinal Health, Inc.
  
38,600
  
1,275,344
  
Coventry Health Care, Inc.*
  
28,700
  
617,911
  
Health Net, Inc.*
  
7,000
  
190,330
  
Humana, Inc.*
  
14,500
  
728,480
  
UnitedHealth Group, Inc.
  
54,100
  
1,899,451
  
WellPoint, Inc.*
  
29,500
  
1,670,880
  
 
 
8,673,034
  
Pharmaceuticals 4.8%
  
Eli Lilly & Co.
  
37,500
  
1,369,875
  
Endo Pharmaceuticals Holdings, Inc.*
  
19,400
  
644,856
  
Forest Laboratories, Inc.*
  
57,000
  
1,763,010
  
Johnson & Johnson (a)
  
9,000
  
557,640
  
King Pharmaceuticals, Inc.*
  
10,200
  
101,592
  
Medicis Pharmaceutical Corp. "A"
  
5,600
  
166,040
  
Par Pharmaceutical Companies, Inc.*
  
6,400
  
186,112
  
Perrigo Co.
  
800
  
51,376
  
 
 
4,840,501
  
Industrials 11.7%
  
Aerospace & Defense 2.5%
  
General Dynamics Corp.
  
4,900
  
307,769
  
Honeywell International, Inc.
  
8,300
  
364,702
  
Northrop Grumman Corp.
  
21,000
  
1,273,230
  
Raytheon Co.
  
13,500
  
617,085
  
 
 
2,562,786
  
Air Freight & Logistics 1.9%
  
FedEx Corp.
  
10,800
  
923,400
  
United Parcel Service, Inc. "B"
  
14,300
  
953,667
  
 
 
1,877,067
  
Airlines 0.2%
  
Alaska Air Group, Inc.*
  
3,800
  
193,914
  
Commercial Services & Supplies 0.8%
  
Cintas
  
9,200
  
253,460
  
R.R. Donnelley & Sons Co.
  
21,300
  
361,248
  
Republic Services, Inc.
  
6,400
  
195,136
  
 
 
809,844
  
Construction & Engineering 0.5%
  
EMCOR Group, Inc.*
  
11,500
  
282,785
  
KBR, Inc.
  
4,000
  
98,560
  
Shaw Group, Inc.* (a)
  
4,000
  
134,240
  
 
 
515,585
  
Electrical Equipment 0.2%
  
Regal-Beloit Corp.
  
800
  
46,952
  
Rockwell Automation, Inc.
  
2,300
  
141,979
  
 
 
188,931
  
Industrial Conglomerates 2.5%
  
3M Co. (a)
  
25,700
  
2,228,447
  
Koninklijke Philips Electronics NV (NY Registered Shares)
  
3,600
  
112,752
  
Siemens AG (ADR)
  
1,600
  
168,640
  
 
 
2,509,839
  
Machinery 1.2%
  
Deere & Co.
  
3,000
  
209,340
  
Dover Corp.
  
3,100
  
161,851
  
Eaton Corp.
  
4,300
  
354,707
  
Oshkosh Corp.*
  
11,000
  
302,500
  
Trinity Industries, Inc.
  
9,400
  
209,338
  
 
 
1,237,736
  
Professional Services 0.3%
  
Manpower, Inc.
  
5,600
  
292,320
  
Road & Rail 1.2%
  
Norfolk Southern Corp.
  
8,100
  
482,031
  
Ryder System, Inc. (a)
  
18,300
  
782,691
  
 
 
1,264,722
  
Trading Companies & Distributors 0.4%
  
W.W. Grainger, Inc.
  
3,600
  
428,796
  
Information Technology 16.8%
  
Communications Equipment 1.2%
  
Cisco Systems, Inc.*
  
7,600
  
166,440
  
Motorola, Inc.*
  
40,700
  
347,171
  
QUALCOMM, Inc.
  
7,400
  
333,888
  
Tellabs, Inc.
  
40,800
  
303,960
  
 
 
1,151,459
  
Computers & Peripherals 3.1%
  
Apple, Inc.*
  
4,600
  
1,305,250
  
Dell, Inc.*
  
23,500
  
304,560
  
EMC Corp.* (a)
  
9,300
  
188,883
  
Lexmark International, Inc. "A"*
  
17,000
  
758,540
  
SanDisk Corp.*
  
13,500
  
494,775
  
STEC, Inc.* (a)
  
4,500
  
56,025
  
 
 
3,108,033
  
Electronic Equipment, Instruments & Components 3.9%
  
Anixter International, Inc.*
  
1,800
  
97,182
  
Arrow Electronics, Inc.*
  
21,800
  
582,714
  
Avnet, Inc.*
  
18,600
  
502,386
  
Corning, Inc.
  
13,300
  
243,124
  
Flextronics International Ltd.*
  
18,200
  
109,928
  
Ingram Micro, Inc. "A"*
  
25,200
  
424,872
  
Jabil Circuit, Inc.
  
26,300
  
378,983
  
Tech Data Corp.*
  
11,800
  
475,540
  
Tyco Electronics Ltd.
  
28,100
  
821,082
  
Vishay Intertechnology, Inc.* (a)
  
34,600
  
334,928
  
 
 
3,970,739
  
Internet Software & Services 0.8%
  
AOL, Inc.*
  
13,200
  
326,700
  
IAC/InterActiveCorp.*
  
17,500
  
459,725
  
 
 
786,425
  
IT Services 4.4%
  
Automatic Data Processing, Inc.
  
6,500
  
273,195
  
Computer Sciences Corp.
  
28,700
  
1,320,200
  
International Business Machines Corp.
  
19,600
  
2,629,144
  
Western Union Co.
  
14,400
  
254,448
  
 
 
4,476,987
  
Semiconductors & Semiconductor Equipment 1.7%
  
Analog Devices, Inc.
  
13,000
  
407,940
  
Fairchild Semiconductor International, Inc.*
  
8,800
  
82,720
  
Intel Corp.
  
48,100
  
924,963
  
Micron Technology, Inc.* (a)
  
38,300
  
276,143
  
TriQuint Semiconductor, Inc.*
  
5,700
  
54,720
  
 
 
1,746,486
  
Software 1.7%
  
Microsoft Corp.
  
70,300
  
1,721,647
  
Materials 4.6%
  
Chemicals 2.5%
  
Ashland, Inc.
  
11,200
  
546,224
  
Cytec Industries, Inc.
  
5,200
  
293,176
  
E.I. du Pont de Nemours & Co.
  
15,700
  
700,534
  
Lubrizol Corp.
  
10,000
  
1,059,700
  
 
 
2,599,634
  
Construction Materials 0.2%
  
Cemex SAB de CV (ADR)
  
20,200
  
171,700
  
Containers & Packaging 0.0%
  
Sealed Air Corp.
  
2,100
  
47,208
  
Metals & Mining 1.8%
  
Barrick Gold Corp.
  
7,500
  
347,175
  
Eldorado Gold Corp.
  
12,800
  
236,672
  
Freeport-McMoRan Copper & Gold, Inc.
  
8,400
  
717,276
  
Newmont Mining Corp.
  
8,000
  
502,480
  
 
 
1,803,603
  
Paper & Forest Products 0.1%
  
MeadWestvaco Corp.
  
3,200
  
78,016
  
Telecommunication Services 3.6%
  
Diversified Telecommunication Services 3.2%
  
AT&T, Inc.
  
72,200
  
2,064,920
  
Verizon Communications, Inc. (a)
  
37,500
  
1,222,125
  
 
 
3,287,045
  
Wireless Telecommunication Services 0.4%
  
Vodafone Group PLC (ADR)
  
14,500
  
359,745
  
Utilities 2.0%
  
Electric Utilities 0.9%
  
Duke Energy Corp.
  
35,100
  
621,621
  
Edison International
  
2,300
  
79,097
  
Korea Electric Power Corp. (ADR)*
  
6,800
  
87,924
  
Progress Energy, Inc.
  
3,900
  
173,238
  
 
 
961,880
  
Independent Power Producers & Energy Traders 0.9%
  
Constellation Energy Group, Inc.
  
5,500
  
177,320
  
NRG Energy, Inc.* (a)
  
33,708
  
701,801
  
 
 
879,121
  
Multi-Utilities 0.2%
  
Ameren Corp.
  
6,900
  
195,960
  
 
Total Common Stocks (Cost $91,848,533)
  
101,094,913
  
 
 
Securities Lending Collateral 10.9%
  
Daily Assets Fund Institutional, 0.29% (b) (c)
(Cost $11,047,467)
    
11,047,467
  
11,047,467
  
 
 
Cash Equivalents 0.5%
  
Central Cash Management Fund, 0.21% (b)
(Cost $429,002)
    
429,002
  
429,002
  

 
% of
Net Assets
  
Value ($)
  
 
Total Investment Portfolio (Cost $103,325,002) †
111.2
  
112,571,382
  
Other Assets and Liabilities, Net
(11.2)
  
(11,294,142)
  
 
Net Assets
100.0
  
101,277,240
  

For information on the Portfolio's policies regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio's most recent semi-annual or annual financial statements.
*
Non-income producing security.
†
The cost for federal income tax purposes was $104,732,417.  At September 30, 2010, net unrealized appreciation for all securities based on tax cost was $7,838,965.  This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $10,872,804 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $3,033,839.
(a)
All or a portion of these securities were on loan.  The value of all securities loaned at September 30, 2010 amounted to $10,745,933 which is 10.6% of net assets.
(b)
Affiliated fund managed by Deutsche Investment Management Americas Inc.  The rate shown is the annualized seven-day yield at period end.
(c)
Represents collateral held in connection with securities lending.  Income earned by the Portfolio is net of borrower rebates.
ADR: American Depositary Receipt
REIT: Real Estate Investment Trust
At September 30, 2010, open futures contracts purchased were as follows:

Futures
Currency
Expiration
Date
  
Contracts
    
Notional
Value ($)
    
Unrealized
Appreciation ($)
  
   
S&P 500 E-Mini Index
USD
12/17/2010
     9       511,515       6,606  
   

Currency Abbreviation
  
 
USD
United States Dollar
      
 

 
Fair Value Measurements

Various inputs are used in determining the value of the Portfolio's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used as of September 30, 2010 in valuing the Portfolio's investments.

Assets
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Common Stocks(d)
   $ 101,094,913     $ —     $ —     $ 101,094,913  
Short-Term Investments(d)
     11,476,469       —       —       11,476,469  
Derivatives(e)
     6,606       —       —       6,606  
Total
   $ 112,577,988     $ —     $ —     $ 112,577,988  

There have been no significant transfers in and out of Level 1 and Level 2 fair value measurements during the period ended September 30, 2010.
(d)
See Investment Portfolio for additional detailed categorizations.
(e)
Derivatives include unrealized appreciation (depreciation) on open futures contracts.

 
Derivatives

The following table presents, by major type of derivative contract, the unrealized appreciation (depreciation) of the Fund's derivative instruments as of September 30, 2010 categorized by the primary underlying risk exposure. 

 
 
Primary Underlying Risk Disclosure
  
Futures
  
Equity Contracts
   $ 6,606  


 

Investment Portfolio
as of September 30, 2010  (Unaudited)


DWS Core Fixed Income VIP

 
Principal
Amount ($)
  
Value ($)
  
 
 
Corporate Bonds 21.4%
  
Consumer Discretionary 2.6%
  
Comcast Cable Holdings LLC, 10.125%, 4/15/2022
    
180,000
  
260,082
  
DirecTV Holdings LLC:
              
 
3.125%, 2/15/2016
    
200,000
  
201,947
  
 
6.35%, 3/15/2040
    
312,000
  
337,567
  
Discovery Communications LLC, 5.05%, 6/1/2020
    
500,000
  
544,191
  
Home Depot, Inc., 5.4%, 9/15/2040
    
175,000
  
175,768
  
NBC Universal, Inc., 144A, 5.95%, 4/1/2041 (a)
    
172,000
  
176,921
  
Time Warner Cable, Inc., 6.75%, 7/1/2018
    
47,000
  
56,054
  
Time Warner, Inc.:
              
 
6.2%, 3/15/2040
    
250,000
  
272,350
  
 
7.625%, 4/15/2031
    
250,000
  
309,960
  
Yum! Brands, Inc., 3.875%, 11/1/2020
    
300,000
  
299,594
  
 
 
2,634,434
  
Consumer Staples 2.5%
  
Anheuser-Busch InBev Worldwide, Inc., 144A, 7.75%, 1/15/2019
    
400,000
  
518,885
  
CVS Caremark Corp., 6.125%, 9/15/2039
    
825,000
  
910,745
  
Kraft Foods, Inc., 5.375%, 2/10/2020
    
825,000
  
921,565
  
Kroger Co., 5.4%, 7/15/2040
    
150,000
  
155,900
  
 
 
2,507,095
  
Energy 2.8%
  
DCP Midstream LLC, 144A, 9.75%, 3/15/2019
    
330,000
  
439,121
  
Enterprise Products Operating LLC, 4.6%, 8/1/2012
    
500,000
  
526,571
  
Kinder Morgan Energy Partners LP, 6.5%, 9/1/2039
    
300,000
  
324,366
  
ONEOK Partners LP, 6.15%, 10/1/2016
    
321,000
  
371,157
  
Plains All American Pipeline LP, 8.75%, 5/1/2019
    
750,000
  
951,909
  
Weatherford International Ltd., 5.125%, 9/15/2020
    
250,000
  
255,570
  
 
 
2,868,694
  
Financials 9.3%
  
American Express Co., 7.0%, 3/19/2018
    
500,000
  
602,192
  
Bank of America Corp.:
              
 
5.65%, 5/1/2018
    
865,000
  
916,472
  
 
6.5%, 8/1/2016
    
80,000
  
89,952
  
Citigroup, Inc., 5.375%, 8/9/2020
    
800,000
  
827,706
  
Covidien International Finance SA, 4.2%, 6/15/2020
    
600,000
  
639,488
  
Fifth Third Bancorp., 5.45%, 1/15/2017
    
390,000
  
409,141
  
General Electric Capital Corp., 5.625%, 5/1/2018
    
600,000
  
665,986
  
Hartford Financial Services Group, Inc., 5.95%, 10/15/2036
    
270,000
  
247,683
  
JPMorgan Chase & Co., 5.125%, 9/15/2014
    
1,000,000
  
1,096,435
  
KeyBank NA, 5.7%, 11/1/2017
    
300,000
  
317,231
  
Lincoln National Corp., 8.75%, 7/1/2019
    
350,000
  
450,226
  
MetLife, Inc., 7.717%, 2/15/2019
    
395,000
  
502,716
  
Morgan Stanley, Series F, 6.0%, 4/28/2015
    
490,000
  
538,723
  
National Rural Utilities Cooperative Finance Corp., 10.375%, 11/1/2018
    
200,000
  
286,403
  
PNC Funding Corp., 5.25%, 11/15/2015
    
450,000
  
499,799
  
Prudential Financial, Inc.:
              
 
Series B, 5.1%, 9/20/2014
    
130,000
  
142,101
  
 
6.2%, 1/15/2015
    
90,000
  
101,370
  
 
7.375%, 6/15/2019
    
50,000
  
60,907
  
Telecom Italia Capital SA, 5.25%, 11/15/2013
    
445,000
  
478,107
  
The Goldman Sachs Group, Inc., 6.0%, 6/15/2020
    
550,000
  
604,938
  
 
 
9,477,576
  
Health Care 1.3%
  
Express Scripts, Inc.:
              
 
6.25%, 6/15/2014
    
205,000
  
235,361
  
 
7.25%, 6/15/2019
    
405,000
  
509,312
  
Medco Health Solutions, Inc., 7.125%, 3/15/2018
    
500,000
  
614,041
  
 
 
1,358,714
  
Industrials 0.7%
  
CSX Corp.:
              
 
6.15%, 5/1/2037
    
250,000
  
284,380
  
 
6.25%, 3/15/2018
    
380,000
  
451,132
  
 
 
735,512
  
Information Technology 0.2%
  
Microsoft Corp., 4.5%, 10/1/2040
    
150,000
  
149,020
  
Materials 0.5%
  
ArcelorMittal, 6.125%, 6/1/2018
    
500,000
  
540,758
  
Telecommunication Services 0.7%
  
American Tower Corp., 5.05%, 9/1/2020
    
550,000
  
563,308
  
Crown Castle Towers LLC, 144A, 4.883%, 8/15/2020
    
150,000
  
154,969
  
 
 
718,277
  
Utilities 0.8%
  
DTE Energy Co., 7.625%, 5/15/2014
    
148,000
  
175,964
  
FirstEnergy Solutions Corp., 6.8%, 8/15/2039
    
292,000
  
294,257
  
Sempra Energy, 6.5%, 6/1/2016
    
290,000
  
346,974
  
 
 
817,195
  
 
Total Corporate Bonds (Cost $19,688,642)
  
21,807,275
  
 
 
Mortgage-Backed Securities Pass-Throughs 31.7%
  
Federal Home Loan Mortgage Corp.:
              
 
4.0%, 8/1/2039
    
1,304,404
  
1,339,970
  
 
6.0%, with various maturities from 12/1/2034 until 3/1/2038
    
833,619
  
903,828
  
Federal National Mortgage Association:
              
 
3.5%, 3/1/2025 (a)
    
4,675,000
  
4,824,016
  
 
3.579% *, 8/1/2037
    
213,786
  
224,450
  
 
4.0%, with various maturities from 4/1/2039 until 9/1/2040 (a)
    
8,621,695
  
8,867,203
  
 
4.5%, 10/1/2033
    
447,650
  
471,030
  
 
5.0%, 8/1/2040
    
299,589
  
315,329
  
 
5.102% *, 9/1/2038
    
208,751
  
222,618
  
 
5.5%, with various maturities from 12/1/2032 until 9/1/2036 (a)
    
5,778,370
  
6,169,585
  
 
6.0%, with various maturities from 4/1/2024 until 9/1/2035 (a)
    
4,265,378
  
4,602,326
  
 
6.5%, with various maturities from 3/1/2017 until 4/1/2037
    
1,128,572
  
1,238,917
  
 
8.0%, 9/1/2015
    
14,154
  
15,396
  
Government National Mortgage Association:
              
 
4.5%, 5/1/2039 (a)
    
1,000,000
  
1,052,500
  
 
5.0%, 4/1/2038 (a)
    
1,000,000
  
1,064,844
  
 
5.5%, 4/1/2036 (a)
    
1,000,000
  
1,075,078
  
 
Total Mortgage-Backed Securities Pass-Throughs (Cost $31,881,985)
  
32,387,090
  
 
 
Asset-Backed 1.2%
  
Credit Card Receivables
    
Citibank Omni Master Trust, "A8", Series 2009-A8, 144A, 2.357% *, 5/16/2016 (Cost $1,215,844)
    
1,200,000
  
1,213,640
  
 
 
Commercial Mortgage-Backed Securities 5.8%
  
Banc of America Commercial Mortgage, Inc.:
              
 
"A2", Series 2007-2, 5.634%, 4/10/2049
    
325,000
  
337,520
  
 
"A4", Series 2007-4, 5.741% *, 2/10/2051
    
750,000
  
806,689
  
Bear Stearns Commercial Mortgage Securities, Inc., "A4", Series 2007-PW18, 5.7%, 6/13/2050
    
1,923,000
  
2,069,395
  
Citigroup/Deutsche Bank Commercial Mortgage Trust, "A4", Series 2006-CD2, 5.348% *, 1/15/2046
    
250,000
  
269,461
  
LB-UBS Commercial Mortgage Trust:
              
 
"A3", Series 2006-C7, 5.347%, 11/15/2038
    
400,000
  
428,000
  
 
"A4", Series 2007-C6, 5.858%, 7/15/2040
    
1,000,000
  
1,043,288
  
Merrill Lynch Mortgage Trust, "ASB", Series 2007-C1, 5.826% *, 6/12/2050
    
900,000
  
977,511
  
 
Total Commercial Mortgage-Backed Securities (Cost $5,214,197)
  
5,931,864
  
 
 
Collateralized Mortgage Obligations 1.6%
  
FDIC Structured Sale Guaranteed Notes, "1A", Series 2010-S1, 144A, 0.806% *, 2/25/2048
    
766,965
  
768,422
  
Federal National Mortgage Association, "QD", Series 2005-29, 5.0%, 8/25/2033
    
435,000
  
474,509
  
MASTR Alternative Loans Trust, "5A1", Series 2005-1, 5.5%, 1/25/2020
    
334,498
  
349,190
  
 
Total Collateralized Mortgage Obligations (Cost $1,539,532)
  
1,592,121
  
 
 
Government & Agency Obligations 30.0%
  
US Treasury Obligations
    
US Treasury Bill, 0.185% **, 3/17/2011 (b)
    
182,000
  
181,848
  
US Treasury Bonds:
              
 
4.75%, 2/15/2037
    
3,250,000
  
3,885,274
  
 
5.375%, 2/15/2031 (c)
    
2,500,000
  
3,218,750
  
US Treasury Notes:
              
 
1.75%, 1/31/2014 (c)
    
16,000,000
  
16,522,496
  
 
3.625%, 2/15/2020
    
6,250,000
  
6,854,982
  
 
Total Government & Agency Obligations (Cost $29,268,037)
  
30,663,350
  
 
 
Municipal Bonds and Notes 6.8%
  
California, University Revenues, Build America Bonds, 5.946%, 5/15/2045
  
180,000
  
183,892
  
Chicago, IL, Transit Authority, Sales Tax Receipts Revenue, Build America Bonds, Series B, 6.2%, 12/1/2040 (d)
  
265,000
  
270,083
  
Florida, State Board of Education, Capital Outlay 2006, Series E, 5.0%, 6/1/2035
  
500,000
  
541,750
  
Glendale, AZ, Municipal Property Corp., Excise Tax Revenue, Series B, 6.157%, 7/1/2033 (e)
  
420,000
  
437,195
  
Jicarilla, NM, Sales & Special Tax Revenue, Apache Nation Revenue, 144A, 5.2%, 12/1/2013
  
790,000
  
786,342
  
Kentucky, Asset/Liability Commission, General Fund Revenue, 3.165%, 4/1/2018
  
775,000
  
784,005
  
Miami-Dade County, FL, Educational Facilities Authority Revenue, University of Miami, Series B, 6.1%, 4/1/2015
  
825,000
  
889,160
  
Michigan, Western Michigan University Revenue, 4.41%, 11/15/2014 (d) (e)
  
755,000
  
775,158
  
Nashville & Davidson County, TN, Metropolitan Government, Convention Center Authority Revenue, Build America Bonds, Series A2, 7.431%, 7/1/2043
  
250,000
  
287,338
  
New Jersey, Economic Development Authority Revenue, Series B, 6.5%, 11/1/2014 (e)
  
585,000
  
680,958
  
New Jersey, State Educational Facilities Authority Revenue, NJ City University, Series F, 6.85%, 7/1/2036 (e)
  
395,000
  
448,001
  
Newark, NJ, Pension Obligation, 5.853%, 4/1/2022 (e)
  
865,000
  
908,769
  
 
Total Municipal Bonds and Notes (Cost $6,627,772)
  
6,992,651
  

 
Shares
  
Value ($)
  
 
 
Securities Lending Collateral 18.5%
  
Daily Assets Fund Institutional, 0.29% (f) (g)
(Cost $18,877,764)
    
18,877,764
  
18,877,764
  
 
 
Cash Equivalents 22.1%
  
Central Cash Management Fund, 0.21% (f)
(Cost $22,617,400)
    
22,617,400
  
22,617,400
  

 
% of
Net Assets
  
Value ($)
  
 
Total Investment Portfolio (Cost $136,931,173) †
139.1
  
142,083,155
  
Other Assets and Liabilities, Net
(39.1)
  
(39,931,437)
  
 
Net Assets
100.0
  
102,151,718
  

For information on the Portfolio's policies regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio's most recent semi-annual or annual financial statements.
*
These securities are shown at their current rate as of September 30, 2010.  Floating rate securities' yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate.
**
Annualized yield at time of purchase; not a coupon rate.
†
The cost for federal income tax purposes was $137,019,798.  At September 30, 2010, net unrealized appreciation for all securities based on tax cost was $5,063,357.  This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $5,193,898 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $130,541.
(a)
When-issued or delayed delivery security included.
(b)
At September 30, 2010, this security has been pledged, in whole or in part, to cover initial margin requirements for futures closed on September 30, 2010.
(c)
All or a portion of these securities were on loan.  The value of all securities loaned at September 30, 2010 amounted to $18,431,645 which is 18.0% of net assets.
(d)
Taxable issue.
(e)
Bond is insured by one of these companies:

Insurance Coverage
  
As a % of Total
Investment Portfolio
  
Ambac Financial Group, Inc.
     0.5  
Assured Guaranty Corp.
     0.8  
Assured Guaranty Municipal Corp.
     1.0  

Many insurers who have traditionally guaranteed payment of municipal issues have been downgraded by the major rating agencies.
  
(f)
Affiliated fund managed by Deutsche Investment Management Americas Inc.  The rate shown is the annualized seven-day yield at period end.
(g)
Represents collateral held in connection with securities lending.  Income earned by the Portfolio is net of borrower rebates.
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
FDIC: Federal Deposit Insurance Corp.
Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets.  Effective maturities of these investments may be shorter than stated maturities due to prepayments.  Some separate investments in the Federal Home Loan Mortgage Corp. and Federal National Mortgage Association issues which have similar coupon rates have been aggregated for presentation purposes in this investment portfolio.

At September 30, 2010, open futures contracts sold were as follows:

Futures
Currency
Expiration
Date
  
Contracts
    
Notional
Value ($)
    
Unrealized
Depreciation ($)
  
   
10 Year US Treasury Note
USD
12/21/2010
     90       11,344,219       (154,687 )
2 Year US Treasury Note
USD
12/31/2010
     65       14,266,484       (30,469 )
Total unrealized depreciation
     (185,156 )  
 

Currency Abbreviations
  
 
USD
United States Dollar
      
 

 
Fair Value Measurements

Various inputs are used in determining the value of the Portfolio's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used as of September 30, 2010 in valuing the Portfolio's investments.

   
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets
                  
Fixed Income Investments(h)
                        
Corporate Bonds
   $ —     $ 21,807,275     $ —     $ 21,807,275  
Mortgage-Backed Securities Pass-Throughs
     —       32,387,090       —       32,387,090  
Asset-Backed
     —       1,213,640       —       1,213,640  
Commercial Mortgage-Backed Securities
     —       5,931,864       —       5,931,864  
Collateralized Mortgage Obligations
     —       1,592,121       —       1,592,121  
Government & Agency Obligations
     —       30,481,502       —       30,481,502  
Municipal Bonds and Notes
     —       6,992,651       —       6,992,651  
Short-Term Investments(h)
     41,495,164       181,848       —       41,677,012  
Total
   $ 41,495,164     $ 100,587,991     $ —     $ 142,083,155  
Liabilities
                                
Derivatives(i)
   $ (185,156 )   $ —     $ —     $ (185,156 )
Total
   $ (185,156 )   $ —     $ —     $ (185,156 )

There have been no significant transfers in and out of Level 1 and Level 2 fair value measurements during the period ended September 30, 2010.
(h)
See Investment Portfolio for additional detailed categorizations.
(i)
Derivatives include unrealized appreciation (depreciation) on open futures contracts.


Derivatives

The following table presents, by major type of derivative contract, the unrealized appreciation (depreciation) of the Portfolio's derivative instruments as of September 30, 2010 categorized by the primary underlying risk exposure. 

 
 
Primary Underlying Risk Disclosure
  
Futures
  
Interest Rate Contracts
   $ (185,156 )



Investment Portfolio
as of September 30, 2010  (Unaudited)


DWS Diversified International Equity VIP

 
Shares
  
Value ($)
  
 
 
Common Stocks 88.8%
  
Australia 4.2%
  
Asciano Group*
  
17,279
  
27,558
  
Australia & New Zealand Banking Group Ltd.
  
2,823
  
64,615
  
BHP Billiton Ltd.
  
11,197
  
426,905
  
Brambles Ltd.
  
13,105
  
79,627
  
Coca-Cola Amatil Ltd.
  
3,584
  
41,527
  
Cochlear Ltd.
  
862
  
58,575
  
Commonwealth Bank of Australia
  
1,574
  
77,851
  
Crown Ltd.
  
9,187
  
74,503
  
CSL Ltd.
  
9,735
  
310,986
  
Dart Energy Ltd.*
  
4,046
  
4,615
  
Fairfax Media Ltd.
  
54,011
  
76,482
  
Foster's Group Ltd.
  
10,776
  
63,687
  
Leighton Holdings Ltd.
  
1,643
  
52,503
  
National Australia Bank Ltd.
  
2,600
  
63,683
  
Newcrest Mining Ltd.
  
1,579
  
60,545
  
Origin Energy Ltd.
  
8,027
  
123,116
  
Paladin Energy Ltd.*
  
7,326
  
25,422
  
Qantas Airways Ltd.*
  
18,444
  
49,740
  
QBE Insurance Group Ltd.
  
2,063
  
34,417
  
Rio Tinto Ltd.
  
900
  
66,785
  
Santos Ltd.
  
9,683
  
120,047
  
Sonic Healthcare Ltd.
  
5,537
  
58,947
  
TABCORP Holdings Ltd.
  
15,130
  
102,369
  
Tatts Group Ltd.
  
24,689
  
57,034
  
Telstra Corp., Ltd.
  
144,475
  
365,874
  
Toll Holdings Ltd.
  
7,945
  
50,685
  
Transurban Group (Units)
  
14,907
  
71,676
  
Wesfarmers Ltd.
  
5,593
  
177,806
  
Westfield Group (REIT) (Units)
  
3,912
  
46,358
  
Westpac Banking Corp.
  
2,569
  
57,703
  
Woodside Petroleum Ltd.
  
5,329
  
226,023
  
Woolworths Ltd.
  
6,442
  
179,708
  
WorleyParsons Ltd.
  
2,509
  
53,960
  
 
(Cost $2,310,507)
  
3,351,332
  
Austria 0.5%
  
Erste Group Bank AG
  
3,997
  
160,295
  
Immofinanz AG*
  
21,500
  
80,286
  
Raiffeisen International Bank-Holding AG*
  
1,267
  
58,969
  
Vienna Insurance Group
  
1,323
  
71,155
  
 
(Cost $249,456)
  
370,705
  
Belgium 1.4%
  
Ageas
  
27,095
  
77,641
  
Anheuser-Busch InBev NV
  
6,331
  
371,946
  
Compagnie Nationale a Portefeuille
  
907
  
47,320
  
Delhaize Group
  
1,198
  
86,858
  
Dexia SA*
  
9,616
  
42,298
  
Groupe Bruxelles Lambert SA
  
588
  
48,955
  
KBC Groep NV*
  
1,952
  
87,770
  
Solvay SA
  
1,904
  
203,306
  
Umicore
  
4,165
  
180,164
  
 
(Cost $787,402)
  
1,146,258
  
Bermuda 0.2%
  
Seadrill Ltd.  (Cost $63,651)
  
4,800
  
139,161
  
Canada 5.1%
  
Agnico-Eagle Mines Ltd.
  
700
  
49,767
  
Bank of Montreal
  
700
  
40,466
  
Bank of Nova Scotia
  
1,100
  
58,715
  
Barrick Gold Corp.
  
2,600
  
120,157
  
BCE, Inc.
  
4,300
  
139,920
  
Bombardier, Inc. "B"
  
8,400
  
41,228
  
Canadian Imperial Bank of Commerce
  
400
  
29,021
  
Canadian National Railway Co.
  
3,100
  
198,251
  
Canadian Natural Resources Ltd.
  
2,800
  
96,853
  
Canadian Pacific Railway Ltd.
  
1,200
  
73,313
  
Canadian Tire Corp., Ltd. "A"
  
1,000
  
55,691
  
Canadian Utilities Ltd. "A"
  
2,800
  
135,687
  
CGI Group, Inc. "A"*
  
8,100
  
121,945
  
EnCana Corp.
  
1,500
  
45,325
  
Fortis, Inc.
  
5,800
  
180,049
  
George Weston Ltd.
  
800
  
61,386
  
Gildan Activewear, Inc.*
  
900
  
25,314
  
Goldcorp, Inc.
  
1,800
  
78,200
  
Imperial Oil Ltd.
  
2,100
  
79,579
  
Kinross Gold Corp.
  
2,300
  
43,143
  
Loblaw Companies Ltd.
  
2,100
  
83,212
  
Magna International, Inc. "A"
  
1,153
  
94,613
  
Manulife Financial Corp.
  
2,800
  
35,323
  
Metro, Inc. "A"
  
1,700
  
73,756
  
Open Text Corp.*
  
2,100
  
99,091
  
Potash Corp. of Saskatchewan, Inc.
  
700
  
100,355
  
Research In Motion Ltd.*
  
9,300
  
452,843
  
Rogers Communications, Inc. "B" (a)
  
5,000
  
187,142
  
Royal Bank of Canada
  
1,400
  
72,919
  
Saputo, Inc.
  
2,200
  
75,094
  
Shaw Communications, Inc. "B"
  
3,800
  
83,689
  
Shoppers Drug Mart Corp.
  
2,900
  
112,714
  
SNC-Lavalin Group, Inc.
  
1,200
  
61,347
  
Suncor Energy, Inc.
  
3,520
  
114,608
  
Teck Resources Ltd. "B"
  
1,900
  
78,149
  
Telus Corp.
  
1,700
  
72,055
  
Thomson Reuters Corp. (b)
  
3,000
  
112,781
  
Thomson Reuters Corp. (b)
  
1,158
  
43,460
  
Tim Hortons, Inc.
  
3,400
  
123,853
  
Toronto-Dominion Bank
  
1,000
  
72,359
  
TransAlta Corp.
  
8,100
  
172,880
  
Viterra, Inc.*
  
4,900
  
42,766
  
 
(Cost $3,106,005)
  
4,039,019
  
Cyprus 0.1%
  
Bank of Cyprus Public Co., Ltd.  (Cost $60,706)
  
9,587
  
48,205
  
Denmark 2.3%
  
A P Moller-Maersk AS "A"
  
10
  
80,831
  
A P Moller-Maersk AS "B"
  
25
  
207,777
  
Carlsberg AS "B"
  
5,037
  
524,857
  
Coloplast AS "B"
  
299
  
35,666
  
Danske Bank AS*
  
12,075
  
291,099
  
DSV AS
  
3,456
  
70,397
  
Novo Nordisk AS "B"
  
4,056
  
401,459
  
Topdanmark AS*
  
244
  
30,738
  
Tryg AS
  
621
  
37,293
  
Vestas Wind Systems AS*
  
3,931
  
147,974
  
William Demant Holding AS*
  
427
  
31,422
  
 
(Cost $1,319,435)
  
1,859,513
  
Finland 3.2%
  
Fortum Oyj
  
22,604
  
592,079
  
Kone Oyj "B"
  
5,039
  
260,565
  
Metso Corp.
  
4,165
  
191,344
  
Nokia Oyj
  
37,878
  
380,893
  
Outokumpu Oyj
  
4,027
  
80,175
  
Pohjola Bank PLC
  
5,199
  
63,186
  
Rautaruukki Oyj
  
2,774
  
57,377
  
Sampo Oyj "A"
  
9,439
  
255,139
  
Stora Enso Oyj "R"
  
19,919
  
197,517
  
UPM-Kymmene Oyj
  
16,621
  
285,236
  
Wartsila Corp.
  
2,823
  
184,359
  
 
(Cost $1,811,269)
  
2,547,870
  
France 7.7%
  
Air Liquide SA
  
2,497
  
305,509
  
Alcatel-Lucent*
  
27,533
  
93,022
  
Atos Origin SA*
  
697
  
31,600
  
AXA SA
  
3,081
  
54,099
  
BNP Paribas
  
1,550
  
110,765
  
Bouygues SA
  
1,062
  
45,621
  
Cap Gemini
  
1,723
  
86,589
  
Carrefour SA
  
6,517
  
350,990
  
Casino Guichard-Perrachon SA
  
996
  
91,351
  
Compagnie de Saint-Gobain
  
1,739
  
77,536
  
Credit Agricole SA
  
3,149
  
49,472
  
DANONE SA
  
6,358
  
380,756
  
Dassault Systemes SA
  
1,404
  
103,444
  
Electricite de France
  
964
  
41,609
  
Essilor International SA
  
3,351
  
230,672
  
France Telecom SA
  
50,588
  
1,094,619
  
GDF Suez
  
6,014
  
215,966
  
Iliad SA
  
426
  
44,450
  
L'Oreal SA
  
2,731
  
307,717
  
Lafarge SA
  
1,526
  
87,579
  
LVMH Moet Hennessy Louis Vuitton SA
  
420
  
61,734
  
Pernod Ricard SA
  
2,240
  
187,399
  
Sanofi-Aventis
  
13,946
  
930,638
  
Schneider Electric SA
  
627
  
79,666
  
Societe Generale
  
1,401
  
81,111
  
Suez Environnement Co.
  
1,869
  
34,589
  
Technip SA
  
889
  
71,729
  
Total SA
  
10,370
  
534,878
  
Unibail-Rodamco SE (REIT)
  
265
  
58,924
  
Vallourec SA
  
689
  
68,562
  
Veolia Environnement
  
2,122
  
55,927
  
Vinci SA
  
1,171
  
58,828
  
Vivendi
  
3,089
  
84,683
  
 
(Cost $5,042,943)
  
6,112,034
  
Germany 5.4%
  
Allianz SE (Registered)
  
1,458
  
164,595
  
BASF SE
  
3,418
  
215,948
  
Bayer AG
  
2,784
  
194,406
  
Bayerische Motoren Werke (BMW) AG
  
1,555
  
109,241
  
Beiersdorf AG
  
4,260
  
261,483
  
Daimler AG (Registered)*
  
3,150
  
199,853
  
Deutsche Boerse AG
  
688
  
45,946
  
Deutsche Post AG (Registered)
  
3,555
  
64,557
  
Deutsche Telekom AG (Registered)
  
81,553
  
1,113,610
  
E.ON AG
  
6,205
  
182,635
  
HeidelbergCement AG
  
833
  
40,207
  
Henkel AG & Co. KGaA
  
5,352
  
242,370
  
Infineon Technologies AG*
  
8,199
  
56,953
  
K+S AG
  
629
  
37,668
  
Linde AG
  
769
  
100,311
  
MAN SE
  
758
  
82,683
  
Merck KGaA
  
430
  
36,133
  
Metro AG
  
5,411
  
352,552
  
Muenchener Rueckversicherungs-Gesellschaft AG (Registered)
  
598
  
82,870
  
RWE AG
  
1,021
  
68,871
  
SAP AG
  
5,623
  
278,541
  
Siemens AG (Registered)
  
2,260
  
239,031
  
Suedzucker AG
  
3,769
  
84,319
  
ThyssenKrupp AG
  
1,086
  
35,468
  
 
(Cost $3,187,799)
  
4,290,251
  
Greece 0.3%
  
Alpha Bank AE*
  
9,054
  
56,559
  
EFG Eurobank Ergasias*
  
4,435
  
26,589
  
National Bank of Greece SA*
  
9,753
  
94,912
  
Piraeus Bank SA*
  
7,558
  
37,241
  
 
(Cost $343,864)
  
215,301
  
Hong Kong 2.4%
  
Cheung Kong (Holdings) Ltd.
  
7,000
  
106,027
  
Cheung Kong Infrastructure Holdings Ltd.
  
7,000
  
27,771
  
CLP Holdings Ltd.
  
19,500
  
155,572
  
Esprit Holdings Ltd.
  
18,495
  
99,573
  
Genting Singapore PLC*
  
143,000
  
202,704
  
Hang Seng Bank Ltd.
  
2,200
  
32,353
  
Hong Kong & China Gas Co., Ltd.
  
51,500
  
130,232
  
Hong Kong Exchanges & Clearing Ltd.
  
3,500
  
68,811
  
HongKong Electric Holdings Ltd.
  
17,500
  
106,267
  
Hutchison Whampoa Ltd.
  
36,000
  
335,148
  
Li & Fung Ltd.
  
32,000
  
179,933
  
MTR Corp., Ltd.
  
28,500
  
107,840
  
Noble Group Ltd.
  
29,363
  
42,210
  
NWS Holdings Ltd.
  
20,000
  
39,174
  
Shangri-La Asia Ltd.
  
24,000
  
54,408
  
Sun Hung Kai Properties Ltd.
  
6,000
  
102,701
  
Swire Pacific Ltd. "A"
  
5,000
  
68,708
  
Yue Yuen Industrial (Holdings) Ltd.
  
14,500
  
53,637
  
 
(Cost $1,223,606)
  
1,913,069
  
Ireland 0.7%
  
CRH PLC (b)
  
9,913
  
163,101
  
CRH PLC (b)
  
20,956
  
345,408
  
Experian PLC
  
6,430
  
70,035
  
 
(Cost $580,105)
  
578,544
  
Italy 3.8%
  
A2A SpA
  
20,926
  
32,109
  
Assicurazioni Generali SpA
  
3,242
  
65,403
  
Atlantia SpA
  
5,502
  
114,166
  
Enel SpA
  
46,072
  
245,946
  
Eni SpA
  
20,641
  
445,630
  
Fiat SpA
  
12,889
  
199,377
  
Finmeccanica SpA
  
12,332
  
146,594
  
Intesa Sanpaolo
  
25,029
  
81,523
  
Luxottica Group SpA
  
2,649
  
72,601
  
Mediaset SpA
  
10,870
  
77,102
  
Prysmian SpA
  
6,182
  
113,157
  
Saipem SpA
  
2,103
  
84,428
  
Snam Rete Gas SpA
  
9,753
  
49,434
  
Telecom Italia SpA
  
492,686
  
687,716
  
Telecom Italia SpA (RSP)
  
372,172
  
420,210
  
Terna - Rete Elettrica Nationale SpA
  
14,939
  
63,527
  
UBI Banca - Unione di Banche Italiane ScpA
  
3,919
  
38,051
  
UniCredit SpA
  
41,574
  
106,461
  
 
(Cost $2,621,209)
  
3,043,435
  
Japan 19.5%
  
AEON Co., Ltd.
  
11,300
  
121,470
  
Ajinomoto Co., Inc.
  
11,000
  
107,753
  
Alfresa Holdings Corp.
  
1,000
  
42,648
  
Asahi Breweries Ltd.
  
7,000
  
140,278
  
Asahi Glass Co., Ltd.
  
8,000
  
81,783
  
Asahi Kasei Corp.
  
14,000
  
77,323
  
Astellas Pharma, Inc.
  
5,900
  
213,435
  
Canon, Inc.
  
6,200
  
289,918
  
Central Japan Railway Co.
  
5
  
36,776
  
Chubu Electric Power Co., Inc.
  
8,600
  
212,645
  
Chugai Pharmaceutical Co., Ltd.
  
3,700
  
68,105
  
Chugoku Electric Power Co., Inc.
  
3,500
  
69,053
  
Cosmo Oil Co., Ltd.
  
50,000
  
130,261
  
Dai-ichi Life Insurance Co., Ltd.
  
62
  
74,875
  
Daiichi Sankyo Co., Ltd.
  
9,500
  
193,473
  
Daikin Industries Ltd.
  
1,100
  
41,491
  
Daiwa House Industry Co., Ltd.
  
3,000
  
30,247
  
Daiwa Securities Group, Inc.
  
10,000
  
40,397
  
Denso Corp.
  
1,100
  
32,597
  
East Japan Railway Co.
  
926
  
55,966
  
Eisai Co., Ltd.
  
3,700
  
129,529
  
Electric Power Development Co., Ltd.
  
2,600
  
78,175
  
FamilyMart Co., Ltd.
  
1,400
  
50,246
  
Fanuc Ltd.
  
900
  
114,146
  
FUJIFILM Holdings Corp.
  
2,300
  
76,381
  
Fujitsu Ltd.
  
13,000
  
91,466
  
Hisamitsu Pharmaceutical Co., Inc.
  
900
  
36,797
  
Hitachi Ltd.
  
18,000
  
78,780
  
Hokkaido Electric Power Co., Inc.
  
2,400
  
47,805
  
Hokuriku Electric Power Co.
  
2,800
  
63,958
  
Honda Motor Co., Ltd.
  
3,500
  
124,502
  
HOYA
  
2,100
  
51,322
  
Idemitsu Kosan Co., Ltd.
  
1,700
  
145,813
  
INPEX Corp.
  
135
  
635,574
  
ITOCHU Corp.
  
6,000
  
55,056
  
Japan Petroleum Exploration Co., Ltd.
  
2,300
  
86,809
  
Japan Prime Realty Investment Corp. (REIT)
  
10
  
22,018
  
Japan Retail Fund Investment Corp. (REIT)
  
20
  
28,185
  
Japan Tobacco, Inc.
  
73
  
243,437
  
JFE Holdings, Inc.
  
5,300
  
162,516
  
JX Holdings, Inc.
  
127,020
  
738,045
  
Kansai Electric Power Co., Inc.
  
9,900
  
240,469
  
Kao Corp.
  
7,800
  
190,379
  
KDDI Corp.
  
69
  
330,686
  
Keyence Corp.
  
200
  
43,618
  
Kikkoman Corp.
  
4,000
  
44,211
  
Kirin Holdings Co., Ltd.
  
14,000
  
198,738
  
Kobe Steel Ltd.
  
33,000
  
77,657
  
Komatsu Ltd.
  
4,200
  
97,785
  
Kubota Corp.
  
10,000
  
91,776
  
Kuraray Co., Ltd.
  
6,000
  
75,941
  
Kyocera Corp.
  
800
  
76,000
  
Kyowa Hakko Kirin Co., Ltd.
  
5,000
  
49,620
  
Kyushu Electric Power Co., Inc.
  
4,800
  
109,649
  
Lawson, Inc.
  
900
  
41,239
  
MEIJI Holdings Co., Ltd.
  
1,200
  
56,556
  
Mitsubishi Chemical Holdings Corp.
  
12,000
  
61,082
  
Mitsubishi Corp.
  
6,300
  
149,510
  
Mitsubishi Electric Corp.
  
11,000
  
94,877
  
Mitsubishi Estate Co., Ltd.
  
5,000
  
81,523
  
Mitsubishi Heavy Industries Ltd.
  
18,000
  
66,535
  
Mitsubishi Materials Corp.*
  
37,000
  
106,674
  
Mitsubishi Tanabe Pharma Corp.
  
3,000
  
48,876
  
Mitsubishi UFJ Financial Group, Inc.
  
51,400
  
239,905
  
Mitsui & Co., Ltd.
  
5,000
  
74,395
  
Mitsui Fudosan Co., Ltd.
  
3,000
  
50,602
  
Mitsui O.S.K Lines Ltd.
  
7,000
  
44,128
  
Mizuho Financial Group, Inc.
  
61,400
  
89,173
  
MS&AD Insurance Group Holdings, Inc.
  
2,400
  
55,240
  
Murata Manufacturing Co., Ltd.
  
1,300
  
68,533
  
NEC Corp.
  
26,000
  
69,146
  
Nidec Corp.
  
500
  
44,562
  
Nintendo Co., Ltd.
  
500
  
124,957
  
Nippon Steel Corp.
  
58,000
  
197,753
  
Nippon Telegraph & Telephone Corp.
  
12,109
  
527,450
  
Nishi-Nippon City Bank Ltd.
  
13,000
  
37,268
  
Nissan Motor Co., Ltd.
  
6,000
  
52,552
  
Nisshin Seifun Group, Inc.
  
4,000
  
52,669
  
Nissin Foods Holdings Co., Ltd.
  
1,100
  
39,760
  
Nitto Denko Corp.
  
1,900
  
74,516
  
NKSJ Holdings, Inc.*
  
12,000
  
75,495
  
Nomura Holdings, Inc.
  
12,000
  
58,192
  
Nomura Real Estate Office Fund, Inc. (REIT)
  
7
  
38,868
  
NTT DoCoMo, Inc.
  
354
  
591,211
  
OJI Paper Co., Ltd.
  
11,000
  
48,688
  
Olympus Corp.
  
3,500
  
91,924
  
Ono Pharmaceutical Co., Ltd.
  
1,500
  
65,316
  
Oriental Land Co., Ltd.
  
700
  
65,279
  
ORIX Corp.
  
260
  
19,913
  
Osaka Gas Co., Ltd.
  
30,000
  
108,224
  
Panasonic Corp.
  
4,600
  
62,401
  
Resona Holdings, Inc.
  
2,600
  
23,361
  
Ricoh Co., Ltd.
  
4,000
  
56,577
  
ROHM Co., Ltd.
  
1,100
  
68,023
  
Santen Pharmaceutical Co., Ltd.
  
1,300
  
45,045
  
Sapporo Hokuyo Holdings, Inc.
  
10,400
  
48,166
  
Sapporo Holdings Ltd.
  
7,000
  
32,848
  
Seven & I Holdings Co., Ltd.
  
12,000
  
281,659
  
Sharp Corp.
  
3,000
  
29,865
  
Shikoku Electric Power Co., Inc.
  
2,400
  
68,891
  
Shin-Etsu Chemical Co., Ltd.
  
4,100
  
200,203
  
Shionogi & Co., Ltd.
  
5,000
  
91,579
  
Shiseido Co., Ltd.
  
5,000
  
112,442
  
Showa Shell Sekiyu KK
  
17,200
  
131,458
  
SOFTBANK Corp.
  
17,300
  
566,919
  
Sony Corp.
  
2,100
  
64,955
  
Sumitomo Chemical Co., Ltd.
  
14,000
  
61,524
  
Sumitomo Corp.
  
5,300
  
68,483
  
Sumitomo Electric Industries Ltd.
  
6,500
  
79,467
  
Sumitomo Metal Industries Ltd.
  
26,000
  
65,890
  
Sumitomo Metal Mining Co., Ltd.
  
4,000
  
61,230
  
Sumitomo Mitsui Financial Group, Inc.
  
5,700
  
166,328
  
Sumitomo Realty & Development Co., Ltd.
  
2,000
  
41,431
  
Sumitomo Trust & Banking Co., Ltd.
  
9,000
  
45,158
  
Suzuken Co., Ltd.
  
1,300
  
43,030
  
Sysmex Corp.
  
3,000
  
208,081
  
Taiheiyo Cement Corp.*
  
23,000
  
27,005
  
Taisho Pharmaceutical Co., Ltd.
  
2,000
  
40,467
  
Takeda Pharmaceutical Co., Ltd.
  
10,200
  
469,974
  
TDK Corp.
  
1,200
  
67,141
  
Terumo Corp.
  
2,300
  
122,357
  
Tohoku Electric Power Co., Inc.
  
5,600
  
123,898
  
Tokio Marine Holdings, Inc.
  
2,200
  
59,468
  
Tokyo Electric Power Co., Inc.
  
16,000
  
390,375
  
Tokyo Electron Ltd.
  
900
  
45,274
  
Tokyo Gas Co., Ltd.
  
31,000
  
140,741
  
TonenGeneral Sekiyu KK
  
22,000
  
203,796
  
Toray Industries, Inc.
  
10,000
  
55,704
  
Toshiba Corp.
  
25,000
  
121,277
  
Toyo Suisan Kaisha Ltd.
  
2,000
  
41,274
  
Toyota Motor Corp.
  
4,600
  
164,876
  
Tsumura & Co.
  
1,500
  
46,648
  
Unicharm Corp.
  
1,500
  
60,443
  
UNY Co., Ltd.
  
5,600
  
44,426
  
Yakult Honsha Co., Ltd.
  
1,700
  
52,566
  
Yamaguchi Financial Group, Inc.
  
3,000
  
28,322
  
 
(Cost $13,860,652)
  
15,491,220
  
Luxembourg 0.6%
  
ArcelorMittal
  
7,990
  
264,437
  
Millicom International Cellular SA (SDR)
  
943
  
90,008
  
Tenaris SA
  
4,211
  
80,870
  
 
(Cost $280,219)
  
435,315
  
Macau 0.1%
  
Sands China Ltd.*
  
32,000
  
57,496
  
Wynn Macau Ltd.*
  
30,000
  
51,851
  
 
(Cost $91,291)
  
109,347
  
Netherlands 5.5%
  
AEGON NV*
  
13,839
  
83,001
  
Akzo Nobel NV
  
4,125
  
255,197
  
ASML Holding NV
  
11,111
  
333,155
  
Fugro NV (CVA)
  
811
  
53,366
  
Heineken Holding NV
  
913
  
39,982
  
Heineken NV
  
3,364
  
174,864
  
ING Groep NV (CVA)*
  
27,945
  
288,606
  
Koninklijke (Royal) KPN NV
  
73,369
  
1,135,760
  
Koninklijke (Royal) Philips Electronics, NV
  
8,829
  
278,309
  
Koninklijke Ahold NV
  
14,948
  
201,587
  
Koninklijke DSM NV
  
2,400
  
123,134
  
Randstad Holding NV*
  
1,215
  
55,242
  
Reed Elsevier NV
  
17,980
  
227,082
  
Royal Dutch Shell PLC "A"
  
3,949
  
118,937
  
Royal Dutch Shell PLC "B"
  
3,179
  
92,803
  
TNT NV
  
4,235
  
113,949
  
Unilever NV (CVA)
  
21,114
  
632,606
  
Wolters Kluwer NV
  
9,269
  
195,011
  
 
(Cost $3,231,913)
  
4,402,591
  
Norway 2.8%
  
Aker Solutions ASA
  
3,600
  
52,240
  
DnB NOR ASA
  
24,684
  
336,536
  
Norsk Hydro ASA
  
44,400
  
268,320
  
Orkla ASA
  
33,980
  
313,384
  
Renewable Energy Corp. ASA*
  
25,303
  
85,837
  
Statoil ASA
  
17,400
  
363,264
  
Telenor ASA
  
25,300
  
396,638
  
Yara International ASA
  
8,873
  
401,689
  
 
(Cost $1,509,540)
  
2,217,908
  
Portugal 0.4%
  
Brisa Auto-Estradas de Portugal SA
  
5,209
  
33,620
  
EDP - Energias de Portugal SA
  
79,204
  
271,270
  
 
(Cost $301,207)
  
304,890
  
Singapore 1.7%
  
CapitaLand Ltd.
  
20,000
  
61,704
  
DBS Group Holdings Ltd.
  
10,000
  
106,994
  
Fraser & Neave Ltd.
  
15,000
  
74,264
  
Jardine Cycle & Carriage Ltd.
  
3,000
  
89,843
  
K-Green Trust (Units)*
  
2,800
  
2,320
  
Keppel Corp., Ltd.
  
14,000
  
95,758
  
Oversea-Chinese Banking Corp., Ltd.
  
14,000
  
94,143
  
SembCorp Industries Ltd.
  
19,000
  
62,949
  
Singapore Airlines Ltd.
  
6,000
  
74,415
  
Singapore Exchange Ltd.
  
7,000
  
48,097
  
Singapore Press Holdings Ltd.
  
44,000
  
142,332
  
Singapore Technologies Engineering Ltd.
  
15,000
  
38,383
  
Singapore Telecommunications Ltd.
  
167,000
  
398,506
  
United Overseas Bank Ltd.
  
7,000
  
97,445
  
 
(Cost $800,762)
  
1,387,153
  
Spain 4.1%
  
Abertis Infraestructuras SA
  
5,893
  
109,897
  
ACS, Actividades de Construccion y Servicios SA
  
2,437
  
121,853
  
Banco Bilbao Vizcaya Argentaria SA
  
9,332
  
126,380
  
Banco Santander SA
  
14,432
  
182,849
  
EDP Renovaveis SA*
  
11,598
  
65,686
  
Enagas
  
2,258
  
45,824
  
Ferrovial SA
  
9,049
  
84,774
  
Gamesa Corp. Tecnologica SA*
  
3,474
  
24,296
  
Gas Natural SDG SA
  
2,049
  
30,512
  
Iberdrola Renovables
  
11,066
  
36,827
  
Iberdrola SA
  
31,585
  
243,393
  
Industria de Diseno Textil SA
  
4,605
  
365,543
  
Red Electrica Corporacion SA
  
1,144
  
53,875
  
Repsol YPF SA
  
22,674
  
585,227
  
Telefonica SA
  
45,620
  
1,131,734
  
Zardoya Otis SA
  
3,050
  
54,642
  
 
(Cost $2,500,124)
  
3,263,312
  
Sweden 3.2%
  
AB SKF "B"
  
3,095
  
71,256
  
Assa Abloy AB "B"
  
2,544
  
64,258
  
Atlas Copco AB "A"
  
5,936
  
114,799
  
Boliden AB
  
7,309
  
110,970
  
Electrolux AB "B"
  
3,335
  
82,196
  
Hennes & Mauritz AB "B"
  
11,314
  
409,642
  
Holmen AB "B"
  
2,160
  
66,682
  
Husqvarna AB "B"
  
7,799
  
57,817
  
Nordea Bank AB
  
12,273
  
128,040
  
Sandvik AB
  
5,637
  
86,530
  
Skandinaviska Enskilda Banken AB "A"
  
6,486
  
48,178
  
Skanska AB "B"
  
3,667
  
67,380
  
SSAB AB "A"
  
5,874
  
93,767
  
SSAB AB "B"
  
4,185
  
58,858
  
Svenska Cellulosa AB "B"
  
18,870
  
287,442
  
Svenska Handelsbanken AB "A"
  
2,807
  
92,115
  
Tele2 AB "B"
  
4,023
  
84,501
  
Telefonaktiebolaget LM Ericsson "B"
  
28,799
  
316,368
  
TeliaSonera AB
  
21,657
  
175,141
  
Volvo AB "B"*
  
7,507
  
110,356
  
 
(Cost $1,569,847)
  
2,526,296
  
Switzerland 6.6%
  
ABB Ltd. (Registered)*
  
12,087
  
255,041
  
Adecco SA (Registered)
  
824
  
43,126
  
Aryzta AG
  
543
  
23,715
  
Compagnie Financiere Richemont SA "A"
  
5,960
  
286,856
  
Credit Suisse Group AG (Registered)
  
1,994
  
85,399
  
Geberit AG (Registered)
  
332
  
59,174
  
Givaudan SA (Registered)
  
102
  
104,283
  
Holcim Ltd. (Registered)
  
2,786
  
179,100
  
Lonza Group AG (Registered)
  
466
  
39,830
  
Nestle SA (Registered)
  
19,546
  
1,041,728
  
Novartis AG (Registered)
  
9,930
  
572,205
  
Roche Holding AG (Genusschein)
  
3,411
  
465,739
  
Sika AG
  
37
  
68,304
  
Sonova Holding AG (Registered)
  
289
  
35,309
  
STMicroelectronics NV
  
7,073
  
54,292
  
Swatch Group AG (Bearer)
  
445
  
167,727
  
Swiss Reinsurance Co., Ltd. (Registered)
  
1,091
  
47,780
  
Swisscom AG (Registered)
  
2,866
  
1,157,011
  
Syngenta AG (Registered)
  
861
  
214,109
  
UBS AG (Registered)*
  
7,534
  
128,145
  
Xstrata PLC
  
5,455
  
104,752
  
Zurich Financial Services AG
  
398
  
93,353
  
 
(Cost $3,408,700)
  
5,226,978
  
United Kingdom 7.0%
  
Anglo American PLC
  
3,286
  
130,760
  
ARM Holdings PLC
  
33,347
  
207,869
  
AstraZeneca PLC
  
8,391
  
426,015
  
Autonomy Corp. PLC*
  
5,572
  
158,820
  
BAE Systems PLC
  
18,633
  
100,299
  
Barclays PLC
  
8,467
  
39,759
  
BG Group PLC
  
5,435
  
95,567
  
BHP Billiton PLC
  
4,437
  
141,673
  
BP PLC
  
25,484
  
174,219
  
British American Tobacco PLC
  
2,268
  
84,736
  
British Sky Broadcasting Group PLC
  
6,799
  
75,357
  
BT Group PLC
  
57,356
  
126,224
  
Cable & Wireless Communications PLC
  
24,059
  
21,465
  
Cable & Wireless Worldwide PLC
  
8,759
  
10,109
  
Capita Group PLC
  
5,549
  
68,579
  
Centrica PLC
  
28,642
  
145,625
  
Compass Group PLC
  
11,814
  
98,514
  
Diageo PLC
  
2,849
  
49,094
  
GlaxoSmithKline PLC
  
27,730
  
547,073
  
HSBC Holdings PLC
  
12,924
  
130,882
  
Imperial Tobacco Group PLC
  
881
  
26,291
  
Inmarsat PLC
  
5,084
  
53,021
  
International Power PLC
  
9,966
  
60,816
  
Kingfisher PLC
  
14,696
  
54,052
  
Marks & Spencer Group PLC
  
8,450
  
51,552
  
National Grid PLC
  
13,726
  
116,517
  
Next PLC
  
1,325
  
46,159
  
Pearson PLC
  
4,110
  
63,663
  
Reed Elsevier PLC
  
7,134
  
60,386
  
Rio Tinto PLC
  
3,179
  
186,668
  
Rolls-Royce Group PLC*
  
12,478
  
118,450
  
SABMiller PLC
  
1,731
  
55,383
  
Scottish & Southern Energy PLC
  
5,665
  
99,537
  
Severn Trent PLC
  
2,133
  
43,955
  
Shire PLC
  
4,174
  
93,990
  
Smith & Nephew PLC
  
6,163
  
56,228
  
Smiths Group PLC
  
3,914
  
75,054
  
Standard Chartered PLC
  
1,687
  
48,476
  
Tesco PLC
  
11,554
  
76,995
  
The Sage Group PLC
  
36,069
  
156,715
  
Unilever PLC
  
1,529
  
44,302
  
United Utilities Group PLC
  
6,323
  
56,946
  
Vodafone Group PLC
  
363,432
  
899,663
  
William Morrison Supermarkets PLC
  
8,072
  
37,512
  
Wolseley PLC*
  
2,345
  
59,036
  
WPP PLC
  
7,538
  
83,477
  
 
(Cost $4,025,559)
  
5,557,483
  
 
Total Common Stocks (Cost $54,287,771)
  
70,577,190
  
 
 
Preferred Stocks 0.6%
  
Germany
    
Fresenius SE
  
632
  
51,036
  
Henkel AG & Co. KGaA
  
7,281
  
391,628
  
Volkswagen AG
  
513
  
62,015
  
 
Total Preferred Stocks (Cost $271,561)
  
504,679
  
 
 
Rights 0.0%
  
Cyprus 0.0%
    
Bank of Cyprus Public Co., Ltd., Expiration Date 10/21/2010*  (Cost $0)
  
9,587
  
6,348
  
Greece 0.0%
  
National Bank of Greece SA, Expiration Date 10/11/2010*   (Cost $0)
  
19,506
  
15,061
  
 
Total Rights (Cost $0)
  
21,409
  
 
 
Exchange-Traded Funds 9.9%
  
Emerging Markets
    
iShares MSCI Emerging Markets Index (a)
  
87,400
  
3,912,898
  
Vanguard Emerging Markets
  
86,000
  
3,904,400
  
 
Total Exchange-Traded Funds (Cost $5,737,823)
  
7,817,298
  
 
 
Securities Lending Collateral 5.0%
  
Daily Assets Fund Institutional, 0.29% (c) (d)
(Cost $3,963,053)
    
3,963,053
  
3,963,053
  
 
 
Cash Equivalents 0.3%
  
Central Cash Management Fund, 0.21% (c)
(Cost $253,833)
    
253,833
  
253,833
  

 
% of
Net Assets
  
Value ($)
  
 
Total Investment Portfolio (Cost $64,514,041) †
104.6
  
83,137,462
  
Other Assets and Liabilities, Net
(4.6)
  
(3,666,252)
  
 
Net Assets
100.0
  
79,471,210
  

For information on the Portfolio's policies regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio's most recent semi-annual or annual financial statements.
*
Non-income producing security.
†
The cost for federal income tax purposes was $65,094,809. At September 30, 2010, net unrealized appreciation for all securities based on tax cost was $18,042,653. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $19,646,684 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $1,604,031.
(a)
All or a portion of these securities were on loan. The value of all securities loaned at September 30, 2010 amounted to $3,892,011 which is 4.9% of net assets.
(b)
Securities with the same description are the same corporate entity but trade on different stock exchanges.
(c)
Affiliated fund managed by Deutsche Investment Management Americas Inc.  The rate shown is the annualized seven-day yield at period end.
(d)
Represents collateral held in connection with securities lending.  Income earned by the Portfolio is net of borrower rebates.
CVA: Certificaten Van Aandelen
MSCI: Morgan Stanley Capital International
REIT: Real Estate Investment Trust
RSP: Risparmio (Convertible Savings Shares)
SDR: Swedish Depositary Receipt
At September 30, 2010, open futures contracts purchased were as follows:

Futures
Currency
Expiration
Date
  
Contracts
    
Notional
Value ($)
    
Unrealized
Appreciation/
(Depreciation) ($)
  
 
   
ASX SPI 200 Index
AUD
12/16/2010
     1       111,153       (1,716 )
DJ Euro Stoxx 50 Index
EUR
12/17/2010
     9       335,932       (6,380 )
FTSE 100 Index
GBP
12/17/2010
     1       86,863       (110 )
Nikkei 225 Index
USD
12/9/2010
     3       141,675       5,400  
Total net unrealized depreciation
     (2,806 )  
 

Currency Abbreviations
  
 
AUD
Australian Dollar
      
EUR
Euro
      
GBP
British Pound
      
USD
United States Dollar
      

At September 30, 2010 the DWS Diversified International Equity VIP had the following sector diversification:

Sector
  
Market Value ($)
  
As a % of Common Stocks, Preferred Stocks & Rights
Telecommunication Services
     11,821,643       16.6 %
Consumer Staples
     8,947,071       12.6 %
Materials
     7,772,831       10.9 %
Industrials
     7,562,112       10.7 %
Financials
     7,230,326       10.2 %
Health Care
     6,583,233       9.3 %
Energy
     5,853,623       8.2 %
Consumer Discretionary
     5,570,233       7.8 %
Utilities
     5,415,816       7.6 %
Information Technology
     4,346,390       6.1 %
Total
     71,103,278       100.0 %


Fair Value Measurements

Various inputs are used in determining the value of the Portfolio's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used as of September 30, 2010 in valuing the Portfolio's investments.

   
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets
                        
Common Stock and/or Other Equity Investments(e)
              
 
        
Australia
   $ —     $ 3,351,332     $ —     $ 3,351,332  
Austria
     —       370,705       —       370,705  
Belgium
     —       1,146,258       —       1,146,258  
Bermuda
     —       139,161       —       139,161  
Canada
     4,039,019       —       —       4,039,019  
Cyprus
     6,348       48,205       —       54,553  
Denmark
     —       1,859,513       —       1,859,513  
Finland
     —       2,547,870       —       2,547,870  
France
     —       6,112,034       —       6,112,034  
Germany
     —       4,794,930       —       4,794,930  
Greece
     15,061       215,301       —       230,362  
Hong Kong
     —       1,913,069       —       1,913,069  
Ireland
     —       578,544       —       578,544  
Italy
     —       3,043,435       —       3,043,435  
Japan
     —       15,491,220       —       15,491,220  
Luxembourg
     —       435,315       —       435,315  
Macau
     —       109,347       —       109,347  
Netherlands
     —       4,402,591       —       4,402,591  
Norway
     —       2,217,908       —       2,217,908  
Portugal
     —       304,890       —       304,890  
Singapore
     —       1,387,153       —       1,387,153  
Spain
     —       3,263,312       —       3,263,312  
Sweden
     —       2,526,296       —       2,526,296  
Switzerland
     —       5,226,978       —       5,226,978  
United Kingdom
     —       5,557,483       —       5,557,483  
Exchange-Traded Funds
     7,817,298       —       —       7,817,298  
Short-Term Investments(e)
     4,216,886       —       —       4,216,886  
Total
   $ 16,094,612     $ 67,042,850     $ —     $ 83,137,462  
Liabilities
                                
Derivatives(f)
   $ (2,806 )   $ —     $ —     $ (2,806 )
Total
   $ (2,806 )   $ —     $ —     $ (2,806 )

There have been no significant transfers in and out of Level 1 and Level 2 fair value measurements during the period ended September 30, 2010.
(e)
See Investment Portfolio for additional detailed categorizations.
(f)
Derivatives include unrealized appreciation (depreciation) on open futures contracts.


Derivatives

The following table presents, by major type of derivative contract, the unrealized appreciation (depreciation) of the Fund's derivative instruments as of September 30, 2010 categorized by the primary underlying risk exposure. 

 
 
Primary Underlying Risk Disclosure
  
Futures
  
Equity Contracts
   $ (2,806 )



Investment Portfolio
as of September 30, 2010  (Unaudited)


DWS Dreman Small Mid Cap Value VIP

 
Shares
  
Value ($)
  
 
 
Common Stocks 95.3%
  
Consumer Discretionary 10.6%
  
Diversified Consumer Services 1.5%
  
Regis Corp. (a)
  
187,925
  
3,595,005
  
Hotels Restaurants & Leisure 3.9%
  
Brinker International, Inc. (a)
  
192,550
  
3,631,493
  
International Speedway Corp. "A"
  
113,475
  
2,768,790
  
LIFE TIME FITNESS, Inc.* (a)
  
80,775
  
3,188,189
  
 
 
9,588,472
  
Leisure Equipment & Products 1.2%
  
Mattel, Inc.
  
131,425
  
3,083,231
  
Multiline Retail 1.2%
  
Big Lots, Inc.* (a)
  
91,179
  
3,031,702
  
Textiles, Apparel & Luxury Goods 2.8%
  
Hanesbrands, Inc.* (a)
  
129,900
  
3,359,214
  
Jones Apparel Group, Inc. (a)
  
181,325
  
3,561,223
  
 
 
6,920,437
  
Consumer Staples 6.2%
  
Beverages 1.4%
  
Constellation Brands, Inc. "A"*
  
195,975
  
3,466,798
  
Food Products 3.4%
  
Del Monte Foods Co.
  
214,750
  
2,815,372
  
Ralcorp Holdings, Inc.* (a)
  
53,300
  
3,116,984
  
Sanderson Farms, Inc. (a)
  
57,675
  
2,496,751
  
 
 
8,429,107
  
Household Products 1.4%
  
Energizer Holdings, Inc.*
  
50,975
  
3,427,049
  
Energy 9.4%
  
Energy Equipment & Services 5.5%
  
Atwood Oceanics, Inc.* (a)
  
100,950
  
3,073,927
  
Cal Dive International, Inc.*
  
481,725
  
2,635,036
  
McDermott International, Inc.*
  
126,125
  
1,864,127
  
Superior Energy Services, Inc.* (a)
  
111,975
  
2,988,613
  
Tidewater, Inc. (a)
  
65,875
  
2,951,859
  
 
 
13,513,562
  
Oil, Gas & Consumable Fuels 3.9%
  
Arch Coal, Inc. (a)
  
123,000
  
3,285,330
  
Forest Oil Corp.* (a)
  
102,800
  
3,053,160
  
Newfield Exploration Co.* (a)
  
59,775
  
3,433,476
  
 
 
9,771,966
  
Financials 18.2%
  
Capital Markets 1.3%
  
Raymond James Financial, Inc. (a)
  
129,875
  
3,289,734
  
Commercial Banks 2.2%
  
Bank of Hawaii Corp. (a)
  
60,100
  
2,699,692
  
BOK Financial Corp. (a)
  
61,025
  
2,754,058
  
 
 
5,453,750
  
Insurance 6.9%
  
Allied World Assurance Co. Holdings Ltd.
  
62,450
  
3,534,045
  
Argo Group International Holdings Ltd. (a)
  
104,813
  
3,641,204
  
Axis Capital Holdings Ltd.
  
93,800
  
3,089,772
  
Endurance Specialty Holdings Ltd.
  
77,525
  
3,085,495
  
Platinum Underwriters Holdings Ltd. (a)
  
85,925
  
3,739,456
  
 
 
17,089,972
  
Real Estate Investment Trusts 7.8%
  
CBL & Associates Properties, Inc. (REIT) (a)
  
225,500
  
2,945,030
  
CommonWealth REIT (REIT) (a)
  
126,756
  
3,244,954
  
Hospitality Properties Trust (REIT)
  
146,750
  
3,276,928
  
Medical Properties Trust, Inc. (REIT) (a)
  
341,500
  
3,462,810
  
MFA Financial, Inc. (REIT)
  
411,975
  
3,143,369
  
Weingarten Realty Investors (REIT) (a)
  
149,400
  
3,259,908
  
 
 
19,332,999
  
Health Care 8.7%
  
Health Care Equipment & Supplies 3.5%
  
Alere, Inc.* (a)
  
107,275
  
3,318,016
  
Beckman Coulter, Inc. (a)
  
47,700
  
2,327,283
  
Teleflex, Inc. (a)
  
54,200
  
3,077,476
  
 
 
8,722,775
  
Health Care Providers & Services 2.6%
  
Healthspring, Inc.*
  
125,175
  
3,234,522
  
LifePoint Hospitals, Inc.* (a)
  
88,825
  
3,114,205
  
 
 
6,348,727
  
Life Sciences Tools & Services 1.2%
  
Charles River Laboratories International, Inc.* (a)
  
93,375
  
3,095,381
  
Pharmaceuticals 1.4%
  
Endo Pharmaceuticals Holdings, Inc.* (a)
  
100,625
  
3,344,775
  
Industrials 13.5%
  
Aerospace & Defense 2.6%
  
Alliant Techsystems, Inc.* (a)
  
45,250
  
3,411,850
  
Spirit AeroSystems Holdings, Inc. "A"* (a)
  
155,000
  
3,089,150
  
 
 
6,501,000
  
Commercial Services & Supplies 2.3%
  
Pitney Bowes, Inc. (a)
  
124,950
  
2,671,431
  
The Brink's Co. (a)
  
129,275
  
2,973,325
  
 
 
5,644,756
  
Construction & Engineering 1.2%
  
Tutor Perini Corp.* (a)
  
155,900
  
3,132,031
  
Electrical Equipment 3.1%
  
Babcock & Wilcox Co.* (a)
  
63,062
  
1,341,959
  
GrafTech International Ltd.*
  
183,925
  
2,874,748
  
Hubbell, Inc. "B"
  
69,050
  
3,504,288
  
 
 
7,720,995
  
Machinery 3.0%
  
Crane Co.
  
89,925
  
3,411,754
  
Joy Global, Inc.
  
56,675
  
3,985,386
  
 
 
7,397,140
  
Trading Companies & Distributors 1.3%
  
Textainer Group Holdings Ltd. (a)
  
118,450
  
3,167,353
  
Information Technology 14.3%
  
Communications Equipment 2.1%
  
Arris Group, Inc.* (a)
  
260,450
  
2,544,596
  
CommScope, Inc.* (a)
  
114,200
  
2,711,108
  
 
 
5,255,704
  
Computers & Peripherals 1.2%
  
Synaptics, Inc.* (a)
  
103,375
  
2,908,973
  
Electronic Equipment, Instruments & Components 2.4%
  
Arrow Electronics, Inc.* (a)
  
119,375
  
3,190,894
  
Jabil Circuit, Inc. (a)
  
196,500
  
2,831,565
  
 
 
6,022,459
  
Internet Software & Services 1.3%
  
VeriSign, Inc.* (a)
  
104,550
  
3,318,417
  
IT Services 1.3%
  
Amdocs Ltd.*
  
114,125
  
3,270,822
  
Semiconductors & Semiconductor Equipment 2.6%
  
Microsemi Corp.*
  
188,600
  
3,234,490
  
Teradyne, Inc.* (a)
  
276,650
  
3,081,881
  
 
 
6,316,371
  
Software 3.4%
  
Jack Henry & Associates, Inc. (a)
  
120,100
  
3,062,550
  
Net 1 UEPS Technologies, Inc.*
  
156,665
  
1,811,047
  
Synopsys, Inc.* (a)
  
138,575
  
3,432,503
  
 
 
8,306,100
  
Materials 8.0%
  
Chemicals 2.7%
  
CF Industries Holdings, Inc. (a)
  
34,200
  
3,266,100
  
Lubrizol Corp. (a)
  
32,900
  
3,486,413
  
 
 
6,752,513
  
Containers & Packaging 1.1%
  
Owens-Illinois, Inc.*
  
98,125
  
2,753,388
  
Metals & Mining 4.2%
  
Coeur d'Alene Mines Corp.* (a)
  
194,375
  
3,871,950
  
Pan American Silver Corp. (a)
  
120,150
  
3,555,238
  
Reliance Steel & Aluminum Co. (a)
  
68,800
  
2,857,264
  
 
 
10,284,452
  
Utilities 6.4%
  
Electric Utilities 2.5%
  
IDACORP, Inc. (a)
  
86,800
  
3,117,856
  
NV Energy, Inc. (a)
  
235,400
  
3,095,510
  
 
 
6,213,366
  
Gas Utilities 2.5%
  
AGL Resources, Inc.
  
78,575
  
3,014,137
  
ONEOK, Inc.
  
70,775
  
3,187,706
  
 
 
6,201,843
  
Multi-Utilities 1.4%
  
Ameren Corp. (a)
  
121,650
  
3,454,860
  
 
Total Common Stocks (Cost $194,994,741)
  
236,127,985
  
 
 
Closed-End Investment Company 1.3%
  
Financials
    
Apollo Investment Corp. (a) (Cost $3,305,969)
  
302,775
  
3,097,388
  
 
Total Closed-End Investment Company (Cost $3,305,969)
  
3,097,388
  
 
 
Securities Lending Collateral 43.0%
  
Daily Assets Fund Institutional, 0.29% (b) (c)
(Cost $106,605,700)
    
106,605,700
  
106,605,700
  
 
 
Cash Equivalents 3.5%
  
Central Cash Management Fund, 0.21% (b)
(Cost $8,632,049)
    
8,632,049
  
8,632,049
  

 
% of
Net Assets
  
Value ($)
  
 
Total Investment Portfolio (Cost $313,538,459) †
143.1
  
354,463,122
  
Other Assets and Liabilities, Net
(43.1)
  
(106,697,910)
  
 
Net Assets
100.0
  
247,765,212
  

For information on the Portfolio's policies regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual or annual financial statements.
*
Non-income producing security.
†
The cost for federal income tax purposes was $314,580,782. At September 30, 2010, net unrealized appreciation for all securities based on tax cost was $39,882,340. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $50,738,081 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $10,855,741.
(a)
All or a portion of these securities were on loan. The value of all securities loaned at September 30, 2010 amounted to $104,457,803 which is 42.2% of net assets.
(b)
Affiliated fund managed by Deutsche Investment Management Americas Inc.  The rate shown is the annualized seven-day yield at period end.
(c)
Represents collateral held in connection with securities lending.  Income earned by the Portfolio is net of borrower rebates.
REIT: Real Estate Investment Trust


Fair Value Measurements

Various inputs are used in determining the value of the Portfolio's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used as of September 30, 2010 in valuing the Portfolio's investments.

Assets
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Common Stocks(d)
   $ 236,127,985     $ —     $ —     $ 236,127,985  
Closed-End Investment Company
     3,097,388       —       —       3,097,388  
Short-Term Investments(d)
     115,237,749       —       —       115,237,749  
Total
   $ 354,463,122     $ —     $ —     $ 354,463,122  

There have been no significant transfers in and out of Level 1 and Level 2 fair value measurements during the period ended September 30, 2010.
(d)
See Investment Portfolio for additional detailed categorizations.



Investment Portfolio
as of September 30, 2010  (Unaudited)


DWS Global Thematic VIP

 
Shares
  
Value ($)
  
 
 
Common Stocks 96.8%
  
Austria 5.1%
  
Erste Group Bank AG
  
52,872
  
2,120,375
  
Raiffeisen International Bank-Holding AG
  
18,513
  
861,633
  
Wienerberger AG*
  
27,612
  
454,560
  
 
(Cost $3,184,571)
  
3,436,568
  
Bermuda 1.1%
  
Lazard Ltd. "A"  (Cost $641,054)
  
20,929
  
734,189
  
Brazil 3.7%
  
All America Latina Logistica (Units)
  
3,731
  
37,729
  
Banco Bradesco SA (ADR) (Preferred) (a)
  
27,211
  
554,560
  
BR Properties SA
  
53,799
  
518,276
  
Santos Brasil Participacoes SA (Units)
  
57,017
  
616,336
  
SLC Agricola SA
  
65,200
  
719,050
  
 
(Cost $1,991,847)
  
2,445,951
  
Cayman Islands 0.6%
  
Herbalife Ltd.  (Cost $276,490)
  
6,660
  
401,931
  
China 1.8%
  
China Metal Recycling Holdings Ltd.
  
198,600
  
201,952
  
China Railway Construction Corp., Ltd. "H"
  
66,108
  
88,780
  
Li Ning Co., Ltd.
  
35,403
  
107,463
  
Mindray Medical International Ltd. (ADR) (a)
  
14,587
  
431,338
  
Ping An Insurance (Group) Co. of China Ltd. "H"
  
39,046
  
399,325
  
 
(Cost $1,109,764)
  
1,228,858
  
Egypt 0.7%
  
Commercial International Bank Egypt SAE
  
9,612
  
71,738
  
Orascom Telecom Holding SAE (GDR) REG S*
  
96,210
  
417,818
  
 
(Cost $246,428)
  
489,556
  
Germany 6.8%
  
Axel Springer AG
  
2,663
  
352,062
  
Bayer AG (Registered)
  
5,020
  
350,546
  
Commerzbank AG* (a)
  
39,855
  
329,832
  
Deutsche Boerse AG
  
6,609
  
441,364
  
Deutsche Lufthansa AG (Registered)*
  
23,191
  
426,985
  
Deutsche Post AG (Registered)
  
42,765
  
776,596
  
E.ON AG
  
60,349
  
1,776,280
  
Fraport AG
  
1,678
  
102,122
  
 
(Cost $4,293,712)
  
4,555,787
  
Greece 0.3%
  
Hellenic Exchanges SA  (Cost $229,890)
  
31,200
  
222,185
  
Hong Kong 2.1%
  
China Mobile Ltd. (ADR)
  
9,400
  
480,622
  
Cosco Pacific Ltd.
  
224,252
  
341,938
  
Esprit Holdings Ltd.
  
98,745
  
531,619
  
Yingde Gases* (b)
  
69,500
  
65,507
  
 
(Cost $1,341,812)
  
1,419,686
  
Hungary 0.9%
  
OTP Bank Nyrt.*  (Cost $517,116)
  
22,958
  
601,082
  
India 1.4%
  
Bank of Baroda
  
2,829
  
55,071
  
Bank of India
  
16,230
  
187,246
  
Deccan Chronicle Holdings Ltd.
  
66,993
  
192,379
  
Hindustan Unilever Ltd.
  
48,904
  
335,282
  
Union Bank of India Ltd.
  
20,105
  
173,716
  
 
(Cost $789,940)
  
943,694
  
Indonesia 1.3%
  
PT Semen Gresik (Persero) Tbk
  
417,298
  
463,603
  
PT Telekomunikasi Indonesia Tbk (ADR)
  
10,201
  
421,199
  
 
(Cost $672,441)
  
884,802
  
Israel 0.9%
  
NICE Systems Ltd. (ADR)*
  
8,100
  
253,449
  
Teva Pharmaceutical Industries Ltd. (ADR)
  
6,690
  
352,898
  
 
(Cost $563,524)
  
606,347
  
Italy 0.6%
  
Parmalat SpA  (Cost $458,986)
  
165,367
  
424,802
  
Japan 5.7%
  
FANUC Ltd.
  
4,400
  
558,049
  
Fujitsu Ltd.
  
74,000
  
520,651
  
Hitachi Ltd.
  
69,000
  
301,990
  
INPEX Corp.
  
170
  
800,352
  
Mitsubishi UFJ Financial Group, Inc.
  
65,900
  
307,583
  
Mizuho Financial Group, Inc.
  
250,700
  
364,099
  
Nomura Holdings, Inc.
  
87,314
  
423,411
  
Sumitomo Mitsui Financial Group, Inc.
  
17,200
  
501,901
  
 
(Cost $3,774,318)
  
3,778,036
  
Kazakhstan 0.4%
  
Kazakhstan Kagazy PLC (GDR) 144A*
  
181,200
  
27,180
  
KazMunaiGas Exploration Production (GDR)
  
13,950
  
246,497
  
 
(Cost $1,254,339)
  
273,677
  
Korea 1.9%
  
KT&G Corp.
  
15,907
  
948,640
  
Samsung Electronics Co., Ltd.
  
493
  
335,958
  
 
(Cost $1,207,206)
  
1,284,598
  
Malaysia 0.4%
  
Axiata Group Bhd.*  (Cost $213,918)
  
185,200
  
262,118
  
Mexico 1.7%
  
America Movil SAB de CV "L" (ADR)
  
9,122
  
486,476
  
Banco Compartamos SA de CV
  
200
  
1,274
  
Grupo Aeroportuario del Sureste SAB de CV (ADR)
  
8,482
  
402,725
  
Grupo Financiero Banorte SAB de CV "O"
  
55,400
  
210,141
  
 
(Cost $1,049,223)
  
1,100,616
  
Netherlands 2.8%
  
QIAGEN NV*
  
32,531
  
581,956
  
VimpelCom Ltd. (ADR)* (c)
  
84,926
  
1,261,151
  
 
(Cost $1,823,053)
  
1,843,107
  
Panama 1.1%
  
Copa Holdings SA "A"  (Cost $600,601)
  
13,675
  
737,219
  
Puerto Rico 0.7%
  
Popular, Inc.*  (Cost $512,978)
  
176,079
  
510,629
  
Russia 0.2%
  
Far Eastern Shipping Co.*  (Cost $362,397)
  
335,553
  
142,610
  
South Africa 3.8%
  
Aquarius Platinum Ltd.
  
32,717
  
175,270
  
MTN Group Ltd.
  
52,742
  
953,049
  
Murray & Roberts Holdings Ltd.
  
58,057
  
373,789
  
Standard Bank Group Ltd.
  
63,397
  
1,008,836
  
 
(Cost $2,224,757)
  
2,510,944
  
Sweden 2.0%
  
Telefonaktiebolaget LM Ericsson "B"  (Cost $1,307,773)
  
123,275
  
1,354,221
  
Switzerland 2.6%
  
EFG International AG
  
17,139
  
197,694
  
Roche Holding AG (Genusschein)
  
6,114
  
834,807
  
Syngenta AG (Registered)
  
1,593
  
396,139
  
UBS AG (Registered)* (a)
  
17,053
  
290,412
  
 
(Cost $1,739,826)
  
1,719,052
  
Thailand 0.7%
  
Kasikornbank PCL (Foreign Registered)
  
84,200
  
343,560
  
Seamico Securities PCL (Foreign Registered)*
  
1,403,300
  
103,572
  
 
(Cost $337,752)
  
447,132
  
United Kingdom 9.1%
  
Afren PLC* (c)
  
96,959
  
168,782
  
African Minerals Ltd.* (d)
  
19,512
  
121,238
  
Anglo American PLC
  
31,383
  
1,248,830
  
BAE Systems PLC
  
141,496
  
761,656
  
Barratt Developments PLC*
  
330,082
  
513,302
  
Diageo PLC
  
41,982
  
723,432
  
G4S PLC
  
127,760
  
511,234
  
GlaxoSmithKline PLC
  
35,371
  
697,819
  
Imperial Tobacco Group PLC
  
18,166
  
542,120
  
Tesco PLC
  
64,594
  
430,452
  
Vodafone Group PLC
  
162,881
  
403,206
  
 
(Cost $5,692,224)
  
6,122,071
  
United States 36.4%
  
Abbott Laboratories
  
15,303
  
799,429
  
Advanced Micro Devices, Inc.*
  
48,728
  
346,456
  
Aecom Technology Corp.*
  
21,024
  
510,042
  
Air Products & Chemicals, Inc.
  
6,204
  
513,815
  
Apache Corp.
  
3,775
  
369,044
  
Bank of America Corp.
  
93,268
  
1,222,744
  
Calpine Corp.*
  
33,576
  
418,021
  
Cisco Systems, Inc.*
  
48,841
  
1,069,618
  
Citigroup, Inc.*
  
101,267
  
394,941
  
Devon Energy Corp.
  
4,980
  
322,405
  
EMC Corp.*
  
10,800
  
219,348
  
Emdeon, Inc. "A"*
  
4,700
  
57,246
  
Emerson Electric Co.
  
7,765
  
408,905
  
ExxonMobil Corp.
  
7,685
  
474,856
  
General Dynamics Corp.
  
12,187
  
765,465
  
General Electric Co.
  
37,051
  
602,079
  
Harris Corp.
  
10,674
  
472,751
  
Hewlett-Packard Co.
  
39,963
  
1,681,243
  
Janus Capital Group, Inc.
  
40,447
  
442,895
  
JPMorgan Chase & Co.
  
25,834
  
983,500
  
Kinetic Concepts, Inc.*
  
13,024
  
476,418
  
Laboratory Corp. of America Holdings*
  
15,299
  
1,199,901
  
Lear Corp.*
  
5,635
  
444,771
  
Life Technologies Corp.*
  
25,673
  
1,198,672
  
MasterCard, Inc. "A"
  
5,065
  
1,134,560
  
Medco Health Solutions, Inc.*
  
19,585
  
1,019,595
  
Morgan Stanley
  
43,211
  
1,066,447
  
New York Times Co. "A"*
  
21,847
  
169,096
  
Owens-Illinois, Inc.*
  
16,818
  
471,913
  
Pfizer, Inc.
  
32,004
  
549,509
  
Rock-Tenn Co. "A"
  
6,905
  
343,938
  
SAIC, Inc.*
  
15,000
  
239,700
  
Schweitzer-Mauduit International, Inc.
  
10,919
  
636,687
  
The NASDAQ OMX Group, Inc.*
  
35,441
  
688,619
  
Wal-Mart Stores, Inc.
  
16,748
  
896,353
  
Williams Companies, Inc.
  
33,729
  
644,561
  
World Fuel Services Corp.
  
16,286
  
423,599
  
Yahoo!, Inc.*
  
49,416
  
700,225
  
 
(Cost $23,406,070)
  
24,379,367
  
 
Total Common Stocks (Cost $61,824,010)
  
64,860,835
  
 
 
Preferred Stock 0.2%
  
Russia
    
Surgutneftegas  (Cost $131,474)
  
280,427
  
137,550
  
 
 
Participatory Notes 1.4%
  
Jordan 0.3%
  
Arab Bank PLC (issuer HSBC Bank PLC), Expiration Date 4/12/2013*  (Cost $183,115)
  
11,500
  
170,491
  
Nigeria 0.7%
  
First Bank of Nigeria (issuer HSBC Bank PLC), 144A, Expiration Date 11/15/2010*
  
2,587,600
  
184,237
  
Guaranty Trust Bank PLC (issuer Morgan Stanley BV), Expiration Date 3/18/2011*
  
2,470,402
  
233,228
  
Zenith Bank Ltd. (issuer Morgan Stanley BV), Expiration Date 3/18/2011*
  
1,011,805
  
80,858
  
 
(Cost $603,104)
  
498,323
  
Pakistan 0.4%
  
National Bank of Pakistan (issuer Merrill Lynch International & Co.), Expiration Date 2/25/2015*  (Cost $345,734)
  
397,050
  
291,696
  
 
Total Participatory Notes (Cost $1,131,953)
  
960,510
  
 
 
Securities Lending Collateral 1.6%
  
Daily Assets Fund Institutional, 0.29% (e) (f)
(Cost $1,081,550)
    
1,081,550
  
1,081,550
  
 
 
Cash Equivalents 1.0%
  
Central Cash Management Fund, 0.21% (e)
(Cost $655,121)
    
655,121
  
655,121
  

 
% of
Net Assets
  
Value ($)
  
 
Total Investment Portfolio (Cost $64,824,108) †
101.0
  
67,695,566
  
Other Assets and Liabilities, Net
(1.0)
  
(708,950)
  
 
Net Assets
100.0
  
66,986,616
  

For information on the Portfolio's policies regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio's most recent semi-annual or annual financial statements.
  
*
Non-income producing security.
  
†
The cost for federal income tax purposes was $65,475,647.  At September 30, 2010, net unrealized appreciation for all securities based on tax cost was $2,219,919.  This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $5,589,518 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $3,369,599.
  
(a)
All or a portion of these securities were on loan.  The value of all securities loaned at September 30, 2010 amounted to $1,046,289 which is 1.6% of net assets.
  
(b)
Security is listed in country of domicile.  Significant business activities of company are in China.
  
(c)
Security is listed in country of domicile.  Significant business activities of company are in Eastern Europe and South Asia.
  
(d)
Security is listed in country of domicile.  Significant business activities of company are in Africa.
  
(e)
Affiliated fund managed by Deutsche Investment Management Americas Inc.  The rate shown is the annualized seven-day yield at period end.
  
(f)
Represents collateral held in connection with securities lending.  Income earned by the Portfolio is net of borrower rebates.
  
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
  
ADR: American Depositary Receipt
  
GDR: Global Depositary Receipt
  
REG S: Securities sold under Regulation S may not be offered, sold or delivered within the United States or to, or for the account or benefit of, US persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
  
 

At September 30, 2010 the DWS Global Thematic VIP had the following sector diversification:

Sector
  
Market Value ($)
  
As a % of Common Stocks, Preferred Stock & Participatory Notes
Financials
     17,293,360       26.2 %
Information Technology
     8,630,170       13.1 %
Industrials
     8,618,819       13.1 %
Health Care
     8,550,134       13.0 %
Consumer Staples
     5,422,062       8.2 %
Telecommunication Services
     4,685,639       7.1 %
Materials
     4,666,072       7.1 %
Energy
     3,587,646       5.4 %
Consumer Discretionary
     2,310,692       3.5 %
Utilities
     2,194,301       3.3 %
Total
     65,958,895       100.0 %


Fair Value Measurements

Various inputs are used in determining the value of the Portfolio's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used as of September 30, 2010 in valuing the Portfolio's investments.

   
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets
                        
Common Stocks
              
 
    
 
  
Austria
   $ —     $ 3,436,568     $ —     $ 3,436,568  
Bermuda
     734,189       —       —       734,189  
Brazil
     2,445,951       —       —       2,445,951  
Cayman Islands
     401,931       —       —       401,931  
China
     431,338       797,520       —       1,228,858  
Egypt
     —       489,556       —       489,556  
Germany
     —       4,555,787       —       4,555,787  
Greece
     —       222,185       —       222,185  
Hong Kong
     480,622       939,064       —       1,419,686  
Hungary
     —       601,082       —       601,082  
India
     —       943,694       —       943,694  
Indonesia
     421,199       463,603       —       884,802  
Israel
     606,347       —       —       606,347  
Italy
     —       424,802       —       424,802  
Japan
     —       3,778,036       —       3,778,036  
Kazakhstan
     —       273,677       —       273,677  
Korea
     —       1,284,598       —       1,284,598  
Malaysia
     —       262,118       —       262,118  
Mexico
     1,100,616       —       —       1,100,616  
Netherlands
     1,261,151       581,956       —       1,843,107  
Panama
     737,219       —       —       737,219  
Puerto Rico
     510,629       —       —       510,629  
Russia
     137,550       142,610       —       280,160  
South Africa
     —       2,510,944       —       2,510,944  
Sweden
     —       1,354,221       —       1,354,221  
Switzerland
     290,412       1,428,640       —       1,719,052  
Thailand
     —       447,132       —       447,132  
United Kingdom
     —       6,122,071       —       6,122,071  
United States
     24,379,367       —       —       24,379,367  
Participatory Notes(g)
     —       960,510       —       960,510  
Short-Term Investments(g)
     1,736,671       —       —       1,736,671  
Total
   $ 35,675,192     $ 32,020,374     $ —     $ 67,695,566  

There have been no significant transfers in and out of Level 1 and Level 2 fair value measurements during the period ended September 30, 2010.
(g)
See Investment Portfolio for additional detailed categorizations.



Investment Portfolio
as of September 30, 2010  (Unaudited)


DWS Government & Agency Securities VIP

 
Principal
Amount ($)
  
Value ($)
  
 
 
Mortgage-Backed Securities Pass-Throughs 84.0%
  
Federal Home Loan Mortgage Corp., 7.0%, with various maturities from 6/1/2032 until 8/1/2035
    
263,486
  
284,436
  
Federal National Mortgage Association, 5.0%, with various maturities from 10/1/2033 until 2/1/2036 (a)
    
6,030,452
  
6,355,359
  
Government National Mortgage Association:
            
 
4.5%, 5/1/2039 (a)
    
5,000,000
  
5,262,500
  
 
5.0%, with various maturities from 12/15/2032 until 7/15/2040 (a)
    
37,491,988
  
40,226,208
  
 
5.5%, with various maturities from 10/15/2032 until 3/20/2040 (a)
    
46,145,991
  
49,749,436
  
 
6.0%, with various maturities from 7/15/2014 until 7/20/2039 (a)
    
30,208,498
  
33,070,978
  
 
6.5%, with various maturities from 4/15/2031 until 2/15/2039
    
4,987,078
  
5,472,029
  
 
7.0%, with various maturities from 10/15/2026 until 2/20/2039
    
3,359,788
  
3,682,042
  
 
7.5%, with various maturities from 4/15/2026 until 1/15/2037
    
1,144,161
  
1,308,509
  
 
Total Mortgage-Backed Securities Pass-Throughs (Cost $138,745,206)
  
145,411,497
  
 
 
Collateralized Mortgage Obligations 18.8%
  
Fannie Mae Benchmark Remic, “ZA”, Series 2007-B2, 5.5%, 6/25/2037
    
1,680,996
  
1,881,665
  
Federal Home Loan Mortgage Corp.:
            
 
“OA”, Series 3179, Principal Only, Zero Coupon, 7/15/2036
    
953,290
  
842,873
  
 
“FO”, Series 2418, 1.157% *, 2/15/2032
    
553,861
  
563,543
  
 
“FA”, Series 2419, 1.257% *, 2/15/2032
    
485,923
  
494,947
  
 
“FA”, Series 2436, 1.257% *, 3/15/2032
    
507,594
  
516,555
  
 
“NI”, Series 3657, Interest Only, 4.5%, 8/15/2027
    
2,649,314
  
317,740
  
 
“ZK”, Series 3382, 5.0%, 7/15/2037
    
1,151,853
  
1,277,954
  
 
“S17”, Series 244, Interest Only, 6.193% **, 12/15/2036
    
4,179,475
  
435,961
  
 
“WS”, Series 2877, Interest Only, 6.343% **, 10/15/2034
    
1,260,963
  
92,903
  
 
“A”, Series 172, Interest Only, 6.5%, 1/1/2024
    
53,577
  
8,289
  
 
“ST”, Series 2411, Interest Only, 8.493% **, 6/15/2021
    
2,548,634
  
445,096
  
Federal National Mortgage Association:
            
 
“FA”, Series G92-53, 1.031% *, 9/25/2022
    
1,372,881
  
1,390,141
  
 
“OF”, Series 2001-60, 1.206% *, 10/25/2031
    
239,460
  
243,624
  
 
“FB”, Series 2002-30, 1.256% *, 8/25/2031
    
524,545
  
534,877
  
 
“FG”, Series 2002-66, 1.256% *, 9/25/2032
    
808,703
  
823,715
  
 
“25”, Series 351, Interest Only, 4.5%, 5/1/2019
    
552,328
  
51,116
  
 
“HI”, Series 2009-77, Interest Only, 4.5%, 9/25/2027
    
2,448,549
  
205,688
  
 
“20”, Series 334, Interest Only, 5.0%, 3/1/2018
    
405,892
  
36,094
  
 
“21”, Series 334, Interest Only, 5.0%, 3/1/2018
    
270,535
  
26,109
  
 
‘’23”, Series 339, Interest Only, 5.0%, 7/1/2018
    
571,117
  
56,110
  
 
“ZA”, Series 2008-24, 5.0%, 4/25/2038
    
594,754
  
656,051
  
 
“BP”, Series 2005-96, 5.9%, 2/25/2015
    
1,588,078
  
1,590,945
  
 
“ZQ”, Series G93-39, 6.5%, 12/25/2023
    
473,511
  
525,413
  
 
“SA”, Series G92-57, IOette, 82.35% **, 10/25/2022
    
74,198
  
147,861
  
Government National Mortgage Association:
            
 
“FB”, Series 2001-28, 0.757% *, 6/16/2031
    
510,498
  
514,846
  
 
“HI”, Series 2010-H06, Interest Only, 1.142% **, 4/20/2060
    
1,013,026
  
51,259
  
 
“BI”, Series 2010-H01, Interest Only, 1.638% **, 1/20/2060
    
1,989,432
  
151,794
  
 
“HI”, Series 2010-H21, Interest Only, 1.78% **, 10/20/2060
    
2,031,077
  
168,833
  
 
"FI", Series 2009-H01, Interest Only, 1.843% **, 11/20/2059
    
1,997,937
  
158,636
  
 
"JY", Series 2010-20, 4.0%, 12/20/2033
    
1,768,725
  
1,783,991
  
 
"LI", Series 2009-104, Interest Only, 4.5%, 12/16/2018
    
626,362
  
59,401
  
 
"NI", Series 2010-44, Interest Only, 4.5%, 10/20/2037
    
979,610
  
159,779
  
 
"CI", Series 2010-87, Interest Only, 4.5%, 11/20/2038
    
1,251,588
  
481,547
  
 
"VB", Series 2010-26, 5.0%, 1/20/2024
    
600,000
  
676,963
  
 
"KE", Series 2004-19, 5.0%, 3/16/2034
    
500,000
  
562,909
  
 
"ZM", Series 2004-24, 5.0%, 4/20/2034
    
2,066,036
  
2,309,618
  
 
"Z", Series 2004-61, 5.0%, 8/16/2034
    
1,015,979
  
1,128,266
  
 
"LE", Series 2004-87, 5.0%, 10/20/2034
    
1,000,000
  
1,107,605
  
 
"ZB", Series 2005-15, 5.0%, 2/16/2035
    
1,453,387
  
1,627,079
  
 
"GZ", Series 2005-24, 5.0%, 3/20/2035
    
440,786
  
468,407
  
 
"ZA", Series 2005-75, 5.0%, 10/16/2035
    
495,877
  
554,820
  
 
"CK", Series 2007-31, 5.0%, 5/16/2037
    
1,000,000
  
1,109,778
  
 
"MZ", Series 2009-98, 5.0%, 10/16/2039
    
889,780
  
1,027,281
  
 
"AI", Series 2008-46, Interest Only, 5.5%, 5/16/2023
    
596,418
  
76,925
  
 
"AI", Series 2008-51, Interest Only, 5.5%, 5/16/2023
    
1,263,271
  
164,534
  
 
"GI", Series 2003-19, Interest Only, 5.5%, 3/16/2033
    
1,090,909
  
255,884
  
 
"ZA", Series 2006-7, 5.5%, 2/20/2036
    
2,186,136
  
2,530,147
  
 
"NZ", Series 2009-65, 5.5%, 8/20/2039
    
352,335
  
422,248
  
 
"KZ", Series 2009-78, 5.5%, 9/16/2039
    
323,261
  
378,447
  
 
"DI", Series 2009-10, Interest Only, 6.0%, 4/16/2038
    
591,542
  
87,795
  
 
"PY", Series 2009-122, 6.0%, 12/20/2039
    
718,346
  
779,718
  
 
"SJ", Series 2004-22, Interest Only, 6.343% **, 4/20/2034
    
1,246,367
  
18,595
  
 
"SA", Series 2006-47, Interest Only, 6.543% **, 8/16/2036
    
419,933
  
65,784
  
 
"SM", Series 2004-49, Interest Only, 6.893% **, 1/20/2034
    
1,218,546
  
165,314
  
 
"IC", Series 1997-4, Interest Only, 7.5%, 3/16/2027
    
946,180
  
178,164
  
 
"SA", Series 1999-30, Interest Only, 7.743% **, 4/16/2029
    
742,227
  
81,565
  
 
Total Collateralized Mortgage Obligations (Cost $28,848,262)
  
32,473,202
  
 
 
Government & Agency Obligations 4.3%
  
Other Government Related 2.2%
  
Citibank NA, FDIC Guaranteed, 0.448% *, 5/7/2012
    
2,800,000
  
2,803,540
  
JPMorgan Chase & Co.:
            
 
FDIC Guaranteed, 0.522% *, 6/15/2012
    
537,000
  
539,824
  
 
Series 3, FDIC Guaranteed, 0.539% *, 12/26/2012
    
463,000
  
465,970
  
 
 
3,809,334
  
US Treasury Obligations 2.1%
  
US Treasury Bill, 0.185% ***, 3/17/2011 (b)
    
1,045,000
  
1,044,127
  
US Treasury Note, 0.875%, 2/29/2012
    
2,500,000
  
2,519,050
  
 
 
3,563,177
  
 
Total Government & Agency Obligations (Cost $7,362,602)
  
7,372,511
  

 
Shares
  
Value ($)
  
 
 
 
Cash Equivalents 2.8%
  
Central Cash Management Fund, 0.21% (c)
(Cost $4,846,910)
    
4,846,910
  
4,846,910
  

 
% of
Net Assets
  
Value ($)
  
 
Total Investment Portfolio (Cost $179,802,980) †
109.9
  
190,104,120
  
Other Assets and Liabilities, Net
(9.9)
  
(17,041,575)
  
 
Net Assets
100.0
  
173,062,545
  

For information on the Portfolio's policies regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio's most recent semi-annual or annual financial statements.
*
These securities are shown at their current rate as of September 30, 2010.  Floating rate securities' yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate.
**
These securities are shown at their current rate as of September 30, 2010.
***
Annualized yield at time of purchase; not a coupon rate.
†
The cost for federal income tax purposes was $179,758,833.  At September 30, 2010, net unrealized appreciation for all securities based on tax cost was $10,345,287.  This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $10,581,028 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $235,741.
(a)
When-issued or delayed delivery security included.
(b)
At September 30, 2010, this security has been pledged, in whole or in part, to cover initial margin requirements for open futures contracts.
(c)
Affiliated fund managed by Deutsche Investment Management Americas Inc.  The rate shown is the annualized seven-day yield at period end.
FDIC: Federal Deposit Insurance Corp.
Interest Only: Interest Only (IO) bonds represent the "interest only" portion of payments on a pool of underlying mortgages or mortgage-backed securities. IO securities are subject to prepayment risk of the pool of underlying mortgages.
IOettes: These securities represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s, a nominal amount of principal is assigned to an IOette which is small in relation to the interest flow that constitutes almost all of the IOette cash flow. The effective yield of this security is lower than the stated interest rate.
Principal Only: Principal Only (PO) bonds represent the “principal only” portion of payments on a pool of underlying mortgages or mortgage-backed securities.
Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets.  Effective maturities of these investments may be shorter than stated maturities due to prepayments.  Some separate investments in the Federal Home Loan Mortgage Corp., Federal National Mortgage Association and Government National Mortgage Association issues which have similar coupon rates have been aggregated for presentation purposes in this investment portfolio.
At September 30, 2010, open futures contracts sold were as follows:

Futures
Currency
Expiration
Date
  
Contracts
    
Notional
Value ($)
    
Unrealized
Depreciation ($)
  
   
10 Year US Treasury Note
USD
12/21/2010
     165       20,797,734       (342,500 )
Ultra Long Term US Treasury Bond
USD
12/21/2010
     6       847,688       (19,625 )
Total unrealized depreciation
     (362,125 )  

Currency Abbreviation
    
 
USD
United States Dollar
        
At September 30, 2010, open interest rate swaps were as follows:
  

Effective/
Expiration
Date
  
Notional
Amount ($)
  
Cash Flows
Paid by
the Fund
Cash Flows
Received by
the Fund
  
Value ($)
    
Upfront
Payments
Paid/
(Received) ($)
    
Unrealized
Appreciation/
(Depreciation) ($)
 
9/15/2010
9/15/2014
     10,800,000 1
Fixed — 3.15%
Floating — LIBOR
     (843,814 )     20,400       (864,214)  
4/20/2009
4/20/2024
     1,000,000 1
Floating — LIBOR
Floating — 8.03%††
     30,314       —       30,314  
 
Total net unrealized depreciation
   
  (833,900)  
 

 
†† These interest rate swaps are shown at their current rate as of September 30, 2010.
At September 30, 2010, open total return swap contracts were as follows:

Effective/
Expiration
Date
  
Notional
Amount ($)
    
Fixed
Cash
Flows
Paid
  
Reference
Entity
  
Value ($)
    
Upfront Payments
Paid/
(Received) ($)
    
Unrealized
(Depreciation) ($)
 
6/9/2010
6/1/2012
     6,900,000 2     0.45 %
Citi Global Interest Rate Strategy Index
     1,585       4,600       (3,015 )

Counterparties:
1
Morgan Stanley
2
Citigroup, Inc.
LIBOR: London InterBank Offered Rate
  
 

 
Fair Value Measurements

Various inputs are used in determining the value of the Portfolio's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used as of September 30, 2010 in valuing the Portfolio's investments.

   
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets
                        
Fixed Income Investments(d)
              
 
        
Mortgage-Backed Securities Pass-Throughs
   $ —     $ 145,411,497     $ —     $ 145,411,497  
Collateralized Mortgage Obligations
     —       31,942,680       530,522       32,473,202  
Government & Agency Obligations
     —       6,328,384       —       6,328,384  
Short-Term Investments
     4,846,910       1,044,127       —       5,891,037  
Derivatives (e)
     —       30,314       —       30,314  
Total
   $ 4,846,910     $ 184,757,002     $ 530,522     $ 190,134,434  
 
Liabilities
                      
Derivatives (e)
   $ (362,125 )   $ (867,229 )   $ —     $ (1,229,354 )
Total
   $ (362,125 )   $ (867,229 )   $ —     $ (1,229,354 )

There have been no significant transfers in and out of Level 1 and Level 2 fair value measurements during the period ended September 30, 2010.
(d)
See Investment Portfolio for additional detailed categorizations.
(e)
Derivatives include value of open options purchased, unrealized appreciation (depreciation) on open futures contracts, interest rate swap contracts and total return swap contracts.

Level 3 Reconciliation

The following is a reconciliation of the Portfolio's Level 3 investments for which significant unobservable inputs were used in determining value:
 
   
Collateralized
Mortgage
Obligations
    
Government & Agency Obligations
    
Total
  
Balance as of  December 31, 2009
   $ 135,301     $ 523,600     $ 658,901  
Realized Gains (Loss)
     (1,645 )     —       (1,645 )
Change in unrealized appreciation (depreciation)
     43,655       36,400       80,055  
Amortization premium/discount
     (21,543 )     —       (21,543 )
Net Purchases (sales)
     374,754       (560,000 )     (185,246 )
Transfers into Level 3
     —       —       —  
Transfers (out) of Level 3
     —       —       —  
Balance as of September 30, 2010
   $ 530,522     $ —     $ 530,522  
Net change in unrealized appreciation (depreciation) from investments held at  September 30, 2010
   $ 43,655     $ —     $ 43,655  

Transfers between price levels are recognized at the beginning of the reporting period.


Derivatives

The following table presents, by major type of derivative contract, the unrealized appreciation (depreciation) of the Portfolio's derivative instruments as of September 30, 2010 categorized by the primary underlying risk exposure. 

 
 
Primary Underlying Risk Disclosure
  
Futures
    
 
Swaps
  
Interest Rate Contracts
   $ (362,125 )   $ (836,915 )



Investment Portfolio
as of September 30, 2010  (Unaudited)


DWS High Income VIP

 
Principal
Amount ($) (a)
  
Value ($)
  
 
 
Corporate Bonds 86.1%
  
Consumer Discretionary 15.0%
  
AMC Entertainment, Inc.:
              
 
8.0%, 3/1/2014
    
590,000
  
595,162
  
 
8.75%, 6/1/2019
    
765,000
  
806,119
  
American Achievement Corp., 144A, 8.25%, 4/1/2012
    
255,000
  
254,044
  
Ameristar Casinos, Inc., 9.25%, 6/1/2014 (b)
    
395,000
  
421,662
  
Asbury Automotive Group, Inc.:
              
 
7.625%, 3/15/2017
    
590,000
  
575,250
  
 
8.0%, 3/15/2014
    
250,000
  
252,500
  
Ashtead Holdings PLC, 144A, 8.625%, 8/1/2015
    
380,000
  
391,400
  
Avis Budget Car Rental LLC, 9.625%, 3/15/2018
    
260,000
  
274,950
  
Bon-Ton Department Stores, Inc., 10.25%, 3/15/2014
    
155,000
  
152,675
  
Brunswick Corp., 144A, 11.25%, 11/1/2016
    
295,000
  
339,987
  
Cablevision Systems Corp.:
              
 
7.75%, 4/15/2018
    
65,000
  
68,738
  
 
8.0%, 4/15/2020
    
65,000
  
69,956
  
CanWest MediaWorks LP, 144A, 9.25%, 8/1/2015 **
    
340,000
  
61,200
  
Carrols Corp., 9.0%, 1/15/2013
    
225,000
  
226,688
  
CCO Holdings LLC:
              
 
144A, 7.25%, 10/30/2017
    
520,000
  
527,150
  
 
144A, 7.875%, 4/30/2018
    
225,000
  
233,438
  
 
144A, 8.125%, 4/30/2020
    
150,000
  
159,000
  
Cequel Communications Holdings I LLC, 144A, 8.625%, 11/15/2017
    
1,280,000
  
1,350,400
  
Clear Channel Worldwide Holdings, Inc.:
              
 
Series A, 9.25%, 12/15/2017
    
100,000
  
106,000
  
 
Series B, 9.25%, 12/15/2017
    
150,000
  
160,125
  
Cooper-Standard Automotive, Inc., 144A, 8.5%, 5/1/2018
    
155,000
  
160,813
  
CSC Holdings LLC:
              
 
8.5%, 4/15/2014
    
500,000
  
550,625
  
 
8.5%, 6/15/2015
    
430,000
  
469,775
  
DISH DBS Corp., 7.125%, 2/1/2016
    
465,000
  
488,831
  
Easton-Bell Sports, Inc., 9.75%, 12/1/2016
    
75,000
  
81,469
  
Fontainebleau Las Vegas Holdings LLC, 144A, 11.0%, 6/15/2015 **
    
490,000
  
74
  
Gannett Co., Inc.:
              
 
144A, 8.75%, 11/15/2014
    
145,000
  
159,138
  
 
144A, 9.375%, 11/15/2017
    
295,000
  
322,287
  
Goodyear Tire & Rubber Co., 10.5%, 5/15/2016
    
225,000
  
254,813
  
Great Canadian Gaming Corp., 144A, 7.25%, 2/15/2015
    
505,000
  
513,206
  
Group 1 Automotive, Inc., 144A, 3.0%, 3/15/2020
    
375,000
  
356,250
  
Harrah's Operating Co., Inc.:
              
 
10.0%, 12/15/2018
    
575,000
  
459,281
  
 
11.25%, 6/1/2017
    
1,415,000
  
1,549,425
  
 
144A, 12.75%, 4/15/2018
    
295,000
  
275,087
  
Hertz Corp.:
              
 
144A, 7.5%, 10/15/2018
    
905,000
  
905,000
  
 
8.875%, 1/1/2014
    
1,005,000
  
1,031,381
  
Lear Corp.:
              
 
7.875%, 3/15/2018
    
235,000
  
249,100
  
 
8.125%, 3/15/2020
    
230,000
  
245,813
  
Macy's Retail Holdings, Inc., 8.375%, 7/15/2015
    
85,000
  
97,325
  
Mediacom LLC, 9.125%, 8/15/2019
    
560,000
  
579,600
  
MGM Resorts International:
              
 
144A, 9.0%, 3/15/2020
    
145,000
  
152,613
  
 
10.375%, 5/15/2014
    
340,000
  
378,250
  
 
11.125%, 11/15/2017
    
455,000
  
518,131
  
Michaels Stores, Inc., Step-up Coupon, 0% to 11/1/2011, 13.0% to 11/1/2016
    
150,000
  
144,375
  
Motors Liquidation Co.:
              
 
6.75%, 5/1/2028  **
    
275,000
  
85,250
  
 
8.375%, 7/15/2033  ** (b)
    
460,000
  
155,250
  
Neiman Marcus Group, Inc., 10.375%, 10/15/2015
    
155,000
  
162,750
  
Netflix, Inc., 8.5%, 11/15/2017
    
145,000
  
161,675
  
Norcraft Companies LP, 10.5%, 12/15/2015
    
1,260,000
  
1,316,700
  
Norcraft Holdings LP, 9.75%, 9/1/2012
    
630,000
  
590,625
  
Penske Automotive Group, Inc., 7.75%, 12/15/2016
    
1,085,000
  
1,059,231
  
Phillips-Van Heusen Corp., 7.375%, 5/15/2020
    
160,000
  
168,600
  
Regal Entertainment Group, 9.125%, 8/15/2018
    
140,000
  
146,825
  
Sabre Holdings Corp., 8.35%, 3/15/2016
    
515,000
  
525,300
  
Sears Holdings Corp., 144A, 6.625%, 10/15/2018 (c)
    
345,000
  
345,000
  
Seminole Indian Tribe of Florida, 144A, 7.804%, 10/1/2020
    
450,000
  
409,401
  
Simmons Bedding Co., 144A, 11.25%, 7/15/2015
    
315,000
  
338,231
  
Sirius XM Radio, Inc., 144A, 8.75%, 4/1/2015
    
340,000
  
361,250
  
Sonic Automotive, Inc.:
              
 
5.0%, 10/1/2029
    
155,000
  
164,106
  
 
Series B, 9.0%, 3/15/2018
    
565,000
  
586,187
  
Standard Pacific Corp.:
              
 
8.375%, 5/15/2018
    
100,000
  
100,000
  
 
10.75%, 9/15/2016
    
440,000
  
479,600
  
Tenneco, Inc., 144A, 7.75%, 8/15/2018
    
70,000
  
71,750
  
Toys "R" Us, Inc., 7.375%, 10/15/2018
    
695,000
  
663,725
  
Toys "R" Us-Delaware, Inc., 144A, 7.375%, 9/1/2016
    
200,000
  
203,500
  
Travelport LLC:
              
 
4.922% ***, 9/1/2014
    
390,000
  
362,700
  
 
144A, 9.0%, 3/1/2016
    
390,000
  
388,050
  
 
9.875%, 9/1/2014
    
275,000
  
282,906
  
United Components, Inc., 9.375%, 6/15/2013
    
80,000
  
81,400
  
Unitymedia GmbH, 144A, 9.625%, 12/1/2019
EUR
  
550,000
  
809,771
  
Unitymedia Hessen GmbH & Co., KG, 144A, 8.125%, 12/1/2017
    
945,000
  
982,800
  
UPC Holding BV, 144A, 8.0%, 11/1/2016
EUR
  
405,000
  
568,680
  
Vertis, Inc., 13.5%, 4/1/2014 (PIK)
    
242,357
  
75,131
  
Visant Corp., 144A, 10.0%, 10/1/2017
    
460,000
  
480,700
  
Wynn Las Vegas LLC, 144A, 7.75%, 8/15/2020
    
280,000
  
295,400
  
Young Broadcasting, Inc., 8.75%, 1/15/2014 **
    
2,040,000
  
20
  
 
 
29,391,620
  
Consumer Staples 3.4%
  
B&G Foods, Inc., 7.625%, 1/15/2018
    
170,000
  
177,013
  
Cott Beverages, Inc., 144A, 8.375%, 11/15/2017
    
145,000
  
153,700
  
Dole Food Co., Inc., 144A, 8.0%, 10/1/2016
    
215,000
  
224,944
  
FAGE Dairy Industry SA, 144A, 9.875%, 2/1/2020
    
555,000
  
513,375
  
General Nutrition Centers, Inc., 5.75% ***, 3/15/2014 (PIK)
    
280,000
  
277,550
  
NBTY, Inc., 144A, 9.0%, 10/1/2018 (c)
    
140,000
  
147,000
  
North Atlantic Trading Co., 144A, 10.0%, 3/1/2012
    
2,081,750
  
1,873,575
  
Rite Aid Corp.:
              
 
7.5%, 3/1/2017
    
295,000
  
271,769
  
 
144A, 8.0%, 8/15/2020
    
580,000
  
588,700
  
Smithfield Foods, Inc., 7.75%, 7/1/2017
    
1,880,000
  
1,905,850
  
SUPERVALU, Inc., 8.0%, 5/1/2016
    
210,000
  
211,575
  
Tops Markets LLC, 144A, 10.125%, 10/15/2015
    
330,000
  
354,337
  
 
 
6,699,388
  
Energy 11.7%
  
Arch Coal, Inc., 7.25%, 10/1/2020
    
110,000
  
116,188
  
Atlas Energy Operating Co., LLC, 10.75%, 2/1/2018
    
845,000
  
935,837
  
Belden & Blake Corp., 8.75%, 7/15/2012
    
2,050,000
  
2,009,000
  
Brigham Exploration Co., 144A, 8.75%, 10/1/2018
    
140,000
  
144,200
  
Bristow Group, Inc., 7.5%, 9/15/2017
    
485,000
  
497,125
  
Chaparral Energy, Inc., 8.5%, 12/1/2015
    
1,370,000
  
1,332,325
  
Chesapeake Energy Corp.:
              
 
6.625%, 8/15/2020
    
365,000
  
381,425
  
 
6.875%, 8/15/2018
    
185,000
  
193,788
  
 
6.875%, 11/15/2020
    
510,000
  
540,600
  
 
7.25%, 12/15/2018
    
620,000
  
668,050
  
 
9.5%, 2/15/2015
    
260,000
  
300,950
  
Cloud Peak Energy Resources LLC:
              
 
8.25%, 12/15/2017
    
145,000
  
153,156
  
 
8.5%, 12/15/2019
    
150,000
  
160,875
  
Coffeyville Resources LLC, 144A, 9.0%, 4/1/2015
    
410,000
  
432,550
  
CONSOL Energy, Inc.:
              
 
144A, 8.0%, 4/1/2017
    
655,000
  
709,037
  
 
144A, 8.25%, 4/1/2020
    
250,000
  
273,125
  
Continental Resources, Inc.:
              
 
144A, 7.125%, 4/1/2021
    
175,000
  
182,000
  
 
144A, 7.375%, 10/1/2020
    
195,000
  
205,725
  
 
8.25%, 10/1/2019
    
105,000
  
114,975
  
Crosstex Energy LP, 8.875%, 2/15/2018
    
365,000
  
382,338
  
Dynegy Holdings, Inc., 7.75%, 6/1/2019
    
585,000
  
400,725
  
El Paso Corp.:
              
 
7.25%, 6/1/2018
    
495,000
  
533,520
  
 
8.25%, 2/15/2016
    
310,000
  
344,875
  
Energy Transfer Equity LP, 7.5%, 10/15/2020
    
215,000
  
226,288
  
Global Geophysical Services, Inc., 144A, 10.5%, 5/1/2017
    
775,000
  
788,562
  
Harvest Operations Corp., 144A, 6.875%, 10/1/2017 (c)
    
140,000
  
143,150
  
Holly Corp., 9.875%, 6/15/2017
    
545,000
  
577,019
  
Holly Energy Partners LP, 144A, 8.25%, 3/15/2018
    
330,000
  
344,025
  
Inergy LP, 144A, 7.0%, 10/1/2018
    
350,000
  
358,750
  
Linn Energy LLC:
              
 
144A, 7.75%, 2/1/2021
    
335,000
  
337,931
  
 
144A, 8.625%, 4/15/2020
    
305,000
  
323,300
  
 
11.75%, 5/15/2017
    
650,000
  
745,875
  
Newfield Exploration Co., 7.125%, 5/15/2018
    
640,000
  
683,200
  
Offshore Group Investments Ltd., 144A, 11.5%, 8/1/2015
    
275,000
  
288,750
  
OPTI Canada, Inc.:
              
 
7.875%, 12/15/2014
    
1,260,000
  
948,150
  
 
8.25%, 12/15/2014
    
420,000
  
319,200
  
 
144A, 9.0%, 12/15/2012
    
140,000
  
141,750
  
Petrohawk Energy Corp.:
              
 
144A, 7.25%, 8/15/2018
    
280,000
  
285,600
  
 
7.875%, 6/1/2015
    
220,000
  
230,450
  
 
10.5%, 8/1/2014
    
380,000
  
430,350
  
Plains Exploration & Production Co.:
              
 
7.0%, 3/15/2017
    
220,000
  
225,500
  
 
7.625%, 6/1/2018
    
720,000
  
756,000
  
 
8.625%, 10/15/2019
    
400,000
  
437,000
  
Range Resources Corp., 6.75%, 8/1/2020
    
105,000
  
109,200
  
Regency Energy Partners LP, 8.375%, 12/15/2013
    
515,000
  
536,887
  
Sabine Pass LNG LP:
              
 
7.25%, 11/30/2013
    
930,000
  
897,450
  
 
7.5%, 11/30/2016
    
100,000
  
91,250
  
SandRidge Energy, Inc., 8.625%, 4/1/2015 (PIK)
    
140,000
  
140,000
  
Southwestern Energy Co., 7.5%, 2/1/2018
    
585,000
  
661,050
  
Stone Energy Corp.:
              
 
6.75%, 12/15/2014
    
590,000
  
542,800
  
 
8.625%, 2/1/2017
    
450,000
  
442,125
  
Whiting Petroleum Corp., 6.5%, 10/1/2018
    
130,000
  
132,925
  
 
 
23,156,926
  
Financials 13.1%
  
Algoma Acquisition Corp., 144A, 9.875%, 6/15/2015
    
830,000
  
739,737
  
Ally Financial, Inc.:
              
 
7.0%, 2/1/2012
    
565,000
  
584,069
  
 
144A, 7.5%, 9/15/2020
    
705,000
  
750,825
  
 
144A, 8.0%, 3/15/2020
    
545,000
  
595,412
  
 
8.0%, 11/1/2031
    
215,000
  
230,588
  
Antero Resources Finance Corp., 9.375%, 12/1/2017
    
215,000
  
228,438
  
Ardagh Packaging Finance PLC:
              
 
144A, 7.375%, 10/15/2017 (c)
    
215,000
  
215,000
  
 
144A, 7.375%, 10/15/2017 (c)
EUR
  
140,000
  
190,855
  
Ashton Woods USA LLC, 144A, Step-up Coupon, 0% to 6/30/2012, 11.0% to 6/30/2015
    
712,400
  
356,200
  
Buffalo Thunder Development Authority, 144A, 9.375%, 12/15/2014 **
    
250,000
  
65,000
  
Calpine Construction Finance Co., LP, 144A, 8.0%, 6/1/2016
    
570,000
  
609,900
  
Case New Holland, Inc., 7.75%, 9/1/2013
    
290,000
  
315,013
  
CIT Group, Inc.:
              
 
7.0%, 5/1/2013
    
430,000
  
432,150
  
 
7.0%, 5/1/2015
    
623,195
  
618,521
  
 
7.0%, 5/1/2017
    
2,085,000
  
2,040,694
  
DuPont Fabros Technology LP, (REIT), 8.5%, 12/15/2017
    
435,000
  
466,537
  
E*TRADE Financial Corp.:
              
 
7.375%, 9/15/2013
    
995,000
  
972,612
  
 
12.5%, 11/30/2017 (PIK)
    
632,000
  
720,480
  
Express LLC, 8.75%, 3/1/2018
    
260,000
  
274,300
  
FCE Bank PLC, 9.375%, 1/17/2014
EUR
  
700,000
  
1,061,631
  
Fibria Overseas Finance Ltd., 144A, 7.5%, 5/4/2020
    
257,000
  
272,741
  
Ford Motor Credit Co., LLC:
              
 
6.625%, 8/15/2017
    
355,000
  
378,230
  
 
8.125%, 1/15/2020
    
100,000
  
114,907
  
Fresenius US Finance II, Inc., 144A, 9.0%, 7/15/2015
    
420,000
  
478,800
  
GenOn Escrow Corp., 144A, 9.5%, 10/15/2018 (c)
    
140,000
  
134,750
  
Hellas Telecommunications Finance SCA, 144A, 8.835%, 7/15/2015 (PIK) *
EUR
  
322,107
  
263
  
Hexion US Finance Corp., 8.875%, 2/1/2018
    
1,230,000
  
1,205,400
  
Inmarsat Finance PLC, 144A, 7.375%, 12/1/2017
    
670,000
  
700,150
  
International Lease Finance Corp.:
              
 
144A, 8.625%, 9/15/2015
    
235,000
  
251,450
  
 
144A, 8.75%, 3/15/2017
    
465,000
  
498,712
  
iPayment, Inc., 9.75%, 5/15/2014
    
475,000
  
433,437
  
JBS Finance II Ltd., 144A, 8.25%, 1/29/2018
    
170,000
  
175,313
  
National Money Mart Co., 10.375%, 12/15/2016
    
790,000
  
841,350
  
Nielsen Finance LLC:
              
 
Step-up Coupon, 0% to 8/1/2011, 12.5% to 8/1/2016
    
505,000
  
505,631
  
 
144A, 7.75%, 10/15/2018 (c)
    
150,000
  
148,901
  
 
11.5%, 5/1/2016
    
150,000
  
170,250
  
Nuveen Investments, Inc., 10.5%, 11/15/2015
    
615,000
  
611,156
  
OMEGA Healthcare Investors, Inc., 144A, (REIT), 6.75%, 10/15/2022
    
120,000
  
118,875
  
Orascom Telecom Finance SCA, 144A, 7.875%, 2/8/2014
    
510,000
  
493,425
  
Pinafore LLC, 144A, 9.0%, 10/1/2018
    
230,000
  
241,500
  
Pinnacle Foods Finance LLC:
              
 
144A, 8.25%, 9/1/2017
    
425,000
  
430,313
  
 
9.25%, 4/1/2015
    
345,000
  
358,800
  
 
144A, 9.25%, 4/1/2015
    
350,000
  
364,000
  
Reynolds Group Issuer, Inc.:
              
 
144A, 7.75%, 10/15/2016
    
550,000
  
559,625
  
 
144A, 8.5%, 5/15/2018
    
610,000
  
596,275
  
Roadhouse Financing, Inc., 144A, 10.75%, 10/15/2017 (c)
    
230,000
  
235,750
  
SLM Corp., 8.0%, 3/25/2020
    
135,000
  
133,964
  
Susser Holdings LLC, 8.5%, 5/15/2016
    
175,000
  
182,000
  
Telemovil Finance Co., Ltd, 144A, 8.0%, 10/1/2017
    
345,000
  
354,432
  
Tropicana Entertainment LLC, 9.625%, 12/15/2014 **
    
1,220,000
  
2,562
  
UCI Holdco, Inc., 9.25% ***, 12/15/2013 (PIK)
    
752,300
  
729,731
  
Virgin Media Finance PLC, Series 1, 9.5%, 8/15/2016
    
1,135,000
  
1,282,550
  
Wind Acquisition Finance SA, 144A, 11.75%, 7/15/2017
EUR
  
215,000
  
325,340
  
Wind Acquisition Holdings Finance SA, 144A, 12.25%, 7/15/2017 (PIK)
EUR
  
88,938
  
129,126
  
WMG Acquisition Corp., 9.5%, 6/15/2016
    
375,000
  
401,250
  
 
 
25,328,921
  
Health Care 4.8%
  
Community Health Systems, Inc., 8.875%, 7/15/2015
    
2,815,000
  
2,990,937
  
HCA, Inc.:
              
 
9.25%, 11/15/2016
    
2,040,000
  
2,208,300
  
 
9.625%, 11/15/2016 (PIK)
    
809,000
  
877,765
  
IASIS Healthcare LLC, 8.75%, 6/15/2014
    
525,000
  
536,812
  
LifePoint Hospitals, Inc., 144A, 6.625%, 10/1/2020
    
180,000
  
183,600
  
Mylan, Inc., 144A, 7.875%, 7/15/2020
    
95,000
  
101,769
  
The Cooper Companies, Inc., 7.125%, 2/15/2015
    
840,000
  
848,400
  
Valeant Pharmaceuticals International:
              
 
144A, 6.75%, 10/1/2017
    
245,000
  
249,900
  
 
144A, 7.0%, 10/1/2020
    
385,000
  
393,663
  
Vanguard Health Holding Co. II, LLC:
              
 
144A, 8.0%, 2/1/2018
    
305,000
  
305,000
  
 
8.0%, 2/1/2018
    
285,000
  
289,275
  
Warner Chilcott Co., LLC, 144A, 7.75%, 9/15/2018
    
420,000
  
431,550
  
 
 
9,416,971
  
Industrials 9.9%
  
Acco Brands Corp., 10.625%, 3/15/2015
    
105,000
  
117,338
  
Accuride Corp., 144A, 9.5%, 8/1/2018
    
405,000
  
425,250
  
Actuant Corp., 6.875%, 6/15/2017
    
300,000
  
306,000
  
Aircastle Ltd., 144A, 9.75%, 8/1/2018
    
155,000
  
158,294
  
ARAMARK Corp., 8.5%, 2/1/2015
    
560,000
  
582,400
  
ArvinMeritor, Inc., 8.125%, 9/15/2015
    
280,000
  
283,500
  
BE Aerospace, Inc.:
              
 
6.875%, 10/1/2020
    
210,000
  
214,200
  
 
8.5%, 7/1/2018
    
300,000
  
327,000
  
Belden, Inc., 7.0%, 3/15/2017
    
420,000
  
421,050
  
Cenveo Corp., 8.875%, 2/1/2018
    
1,055,000
  
1,043,131
  
CHC Helicopter SA, 144A, 9.25%, 10/15/2020 (c)
    
540,000
  
545,400
  
Congoleum Corp., 8.625%, 8/19/2019 **
    
1,200,000
  
276,000
  
Corrections Corp. of America, 7.75%, 6/1/2017
    
35,000
  
37,625
  
Delta Air Lines, Inc., 144A, 9.5%, 9/15/2014
    
99,000
  
107,415
  
DynCorp International, Inc., 144A, 10.375%, 7/1/2017 (c)
    
490,000
  
487,550
  
Esco Corp., 144A, 4.167% ***, 12/15/2013
    
430,000
  
393,450
  
FTI Consulting, Inc., 144A, 6.75%, 10/1/2020
    
195,000
  
196,463
  
Garda World Security Corp., 144A, 9.75%, 3/15/2017
    
375,000
  
399,375
  
Great Lakes Dredge & Dock Co., 7.75%, 12/15/2013
    
300,000
  
301,500
  
Iron Mountain, Inc., 8.375%, 8/15/2021
    
80,000
  
86,500
  
K. Hovnanian Enterprises, Inc.:
              
 
8.875%, 4/1/2012
    
435,000
  
417,600
  
 
10.625%, 10/15/2016
    
365,000
  
365,456
  
Kansas City Southern de Mexico SA de CV:
              
 
7.375%, 6/1/2014
    
1,045,000
  
1,081,575
  
 
7.625%, 12/1/2013
    
1,085,000
  
1,122,975
  
 
144A, 8.0%, 2/1/2018
    
715,000
  
768,625
  
Kansas City Southern Railway Co., 8.0%, 6/1/2015
    
655,000
  
704,944
  
Mobile Mini, Inc., 9.75%, 8/1/2014
    
420,000
  
438,900
  
Navios Maritime Holdings, Inc., 9.5%, 12/15/2014
    
680,000
  
693,600
  
Ply Gem Industries, Inc., 13.125%, 7/15/2014
    
515,000
  
524,656
  
RailAmerica, Inc., 9.25%, 7/1/2017
    
304,000
  
333,260
  
RBS Global, Inc. & Rexnord Corp.:
              
 
8.5%, 5/1/2018
    
715,000
  
726,619
  
 
11.75%, 8/1/2016
    
120,000
  
128,400
  
Rearden G Holdings EINS GmbH, 144A, 7.875%, 3/30/2020
    
135,000
  
144,450
  
Sitel LLC, 144A, 11.5%, 4/1/2018
    
565,000
  
452,000
  
Spirit AeroSystems, Inc., 7.5%, 10/1/2017
    
215,000
  
221,987
  
SPX Corp., 144A, 6.875%, 9/1/2017
    
130,000
  
137,800
  
Titan International, Inc.:
              
 
144A, 7.875%, 10/1/2017 (c)
    
945,000
  
954,450
  
 
8.0%, 1/15/2012
    
1,190,000
  
1,279,250
  
TransDigm, Inc.,
              
TransDigm, Inc., 7.75%, 7/15/2014
    
430,000
  
434,838
  
Triumph Group, Inc., 8.0%, 11/15/2017
    
75,000
  
76,875
  
United Rentals North America, Inc.:
              
 
9.25%, 12/15/2019
    
830,000
  
898,475
  
 
10.875%, 6/15/2016
    
390,000
  
440,212
  
USG Corp., 144A, 9.75%, 8/1/2014
    
220,000
  
229,350
  
 
 
19,285,738
  
Information Technology 5.1%
  
Alcatel-Lucent USA, Inc., 6.45%, 3/15/2029
    
570,000
  
414,675
  
Amkor Technology, Inc., 144A, 7.375%, 5/1/2018
    
250,000
  
253,125
  
Aspect Software, Inc., 144A, 10.625%, 5/15/2017
    
350,000
  
363,562
  
CDW LLC, 144A, 11.0%, 10/12/2015
    
440,000
  
445,500
  
Fidelity National Information Services, Inc.:
              
 
144A, 7.625%, 7/15/2017
    
95,000
  
101,413
  
 
144A, 7.875%, 7/15/2020
    
130,000
  
140,075
  
First Data Corp.:
              
 
144A, 8.875%, 8/15/2020
    
495,000
  
513,562
  
 
9.875%, 9/24/2015
    
490,000
  
400,575
  
Freescale Semiconductor, Inc., 144A, 9.25%, 4/15/2018
    
1,520,000
  
1,580,800
  
Jabil Circuit, Inc., 7.75%, 7/15/2016
    
145,000
  
158,956
  
JDA Software Group, Inc., 144A, 8.0%, 12/15/2014
    
145,000
  
153,700
  
MasTec, Inc., 7.625%, 2/1/2017
    
610,000
  
608,475
  
NXP BV:
              
 
3.276% ***, 10/15/2013
    
775,000
  
732,375
  
 
7.875%, 10/15/2014
    
480,000
  
496,800
  
 
144A, 9.75%, 8/1/2018
    
220,000
  
234,300
  
Seagate HDD Cayman, 144A, 6.875%, 5/1/2020
    
125,000
  
122,188
  
Seagate Technology International, 144A, 10.0%, 5/1/2014
    
235,000
  
277,300
  
STATS ChipPAC Ltd., 144A, 7.5%, 8/12/2015
    
285,000
  
307,088
  
SunGard Data Systems, Inc.:
              
 
10.25%, 8/15/2015
    
1,790,000
  
1,883,975
  
 
10.625%, 5/15/2015
    
365,000
  
406,975
  
Vangent, Inc., 9.625%, 2/15/2015
    
350,000
  
320,687
  
 
 
9,916,106
  
Materials 11.4%
  
Appleton Papers, Inc., 144A, 11.25%, 12/15/2015
    
237,000
  
175,380
  
Ashland, Inc., 9.125%, 6/1/2017
    
260,000
  
297,700
  
Berry Plastics Corp.:
              
 
8.25%, 11/15/2015
    
660,000
  
679,800
  
 
9.5%, 5/15/2018
    
390,000
  
366,600
  
Boise Paper Holdings LLC, 8.0%, 4/1/2020
    
170,000
  
175,950
  
Celanese US Holdings LLC, 144A, 6.625%, 10/15/2018
    
200,000
  
204,500
  
CF Industries, Inc., 6.875%, 5/1/2018
    
155,000
  
166,819
  
Chemtura Corp., 144A, 7.875%, 9/1/2018
    
140,000
  
146,300
  
Clondalkin Acquisition BV, 144A, 2.292% ***, 12/15/2013
    
265,000
  
239,825
  
CPG International I, Inc., 10.5%, 7/1/2013
    
880,000
  
888,800
  
Crown Americas LLC, 7.625%, 5/15/2017
    
40,000
  
43,200
  
Crown European Holdings SA, 144A, 7.125%, 8/15/2018
EUR
  
125,000
  
178,927
  
Domtar Corp., 10.75%, 6/1/2017
    
380,000
  
473,100
  
Essar Steel Algoma, Inc., 144A, 9.375%, 3/15/2015
    
1,410,000
  
1,417,050
  
Exopack Holding Corp., 11.25%, 2/1/2014
    
1,415,000
  
1,446,837
  
GEO Specialty Chemicals, Inc.:
              
 
144A, 7.5%, 3/31/2015 (PIK)
    
1,297,793
  
1,142,058
  
 
10.0%, 3/31/2015
    
1,277,440
  
1,124,147
  
Georgia-Pacific LLC:
              
 
144A, 7.125%, 1/15/2017
    
420,000
  
444,675
  
 
144A, 8.25%, 5/1/2016
    
500,000
  
555,625
  
Graham Packaging Co., LP, 144A, 8.25%, 10/1/2018
    
140,000
  
142,275
  
Graphic Packaging International, Inc.:
              
 
7.875%, 10/1/2018
    
70,000
  
71,925
  
 
9.5%, 6/15/2017
    
810,000
  
862,650
  
Hexcel Corp., 6.75%, 2/1/2015
    
1,425,000
  
1,428,562
  
Huntsman International LLC:
              
 
8.625%, 3/15/2020
    
595,000
  
615,825
  
 
144A, 8.625%, 3/15/2021
    
140,000
  
144,900
  
Ineos Finance PLC:
              
 
144A, 9.0%, 5/15/2015
    
325,000
  
339,219
  
 
144A, 9.25%, 5/15/2015
EUR
  
120,000
  
173,405
  
Koppers, Inc., 7.875%, 12/1/2019
    
440,000
  
458,700
  
Lumena Resources Corp., 144A, 12.0%, 10/27/2014
    
1,120,000
  
1,058,400
  
Lyondell Chemical Co., 144A, 8.0%, 11/1/2017
    
360,000
  
393,300
  
Millar Western Forest Products Ltd., 7.75%, 11/15/2013
    
200,000
  
178,500
  
Momentive Performance Materials, Inc.:
              
 
9.0%, 12/1/2014
EUR
  
615,000
  
825,823
  
 
9.75%, 12/1/2014
    
385,000
  
394,625
  
NewMarket Corp., 7.125%, 12/15/2016
    
1,005,000
  
994,950
  
NewPage Corp., 11.375%, 12/31/2014
    
375,000
  
339,375
  
Novelis, Inc., 11.5%, 2/15/2015
    
360,000
  
411,300
  
OI European Group BV, 144A, 6.75%, 9/15/2020
EUR
  
130,000
  
181,228
  
Radnor Holdings Corp., 11.0%, 3/15/2010 **
    
265,000
  
27
  
Silgan Holdings, Inc., 7.25%, 8/15/2016
    
415,000
  
440,419
  
Solo Cup Co., 10.5%, 11/1/2013
    
210,000
  
217,350
  
Texas Industries, Inc., 144A, 9.25%, 8/15/2020
    
465,000
  
482,437
  
United States Steel Corp., 7.375%, 4/1/2020
    
480,000
  
500,400
  
Viskase Companies, Inc., 144A, 9.875%, 1/15/2018
    
940,000
  
958,800
  
Wolverine Tube, Inc., 15.0%, 3/31/2012 (PIK)
    
830,088
  
435,796
  
 
 
22,217,484
  
Telecommunication Services 9.3%
  
Cincinnati Bell, Inc.:
              
 
8.25%, 10/15/2017
    
720,000
  
727,200
  
 
8.75%, 3/15/2018
    
350,000
  
341,250
  
Clearwire Communications LLC, 144A, 12.0%, 12/1/2015
    
240,000
  
259,200
  
Cricket Communications, Inc.:
              
 
9.375%, 11/1/2014
    
1,265,000
  
1,309,275
  
 
10.0%, 7/15/2015 (b)
    
380,000
  
410,400
  
Crown Castle International Corp., 9.0%, 1/15/2015
    
775,000
  
854,437
  
Digicel Group Ltd., 144A, 10.5%, 4/15/2018
    
495,000
  
543,262
  
Digicel Ltd., 144A, 8.25%, 9/1/2017
    
1,090,000
  
1,144,500
  
ERC Ireland Preferred Equity Ltd., 144A, 7.899% ***, 2/15/2017 (PIK)
EUR
  
626,176
  
127,966
  
Frontier Communications Corp.:
              
 
7.875%, 4/15/2015
    
65,000
  
70,200
  
 
8.25%, 4/15/2017
    
395,000
  
432,031
  
 
8.5%, 4/15/2020
    
525,000
  
579,469
  
 
8.75%, 4/15/2022
    
70,000
  
77,000
  
Grupo Iusacell Celular SA de CV, 10.0%, 3/31/2012 **
    
278,182
  
89,366
  
Hughes Network Systems LLC, 9.5%, 4/15/2014
    
1,105,000
  
1,143,675
  
Intelsat Corp., 9.25%, 6/15/2016
    
1,735,000
  
1,849,944
  
Intelsat Jackson Holdings SA:
              
 
144A, 7.25%, 10/15/2020
    
695,000
  
698,475
  
 
11.25%, 6/15/2016
    
65,000
  
70,688
  
Intelsat Luxembourg SA, 11.5%, 2/4/2017 (PIK)
    
210,000
  
227,587
  
Intelsat Subsidiary Holding Co. SA:
              
 
Series B, 144A, 8.875%, 1/15/2015
    
165,000
  
169,950
  
 
8.875%, 1/15/2015
    
960,000
  
993,600
  
MetroPCS Wireless, Inc.:
              
 
7.875%, 9/1/2018
    
135,000
  
139,050
  
 
9.25%, 11/1/2014
    
1,755,000
  
1,838,363
  
Sprint Nextel Corp., 8.375%, 8/15/2017
    
590,000
  
640,150
  
Telesat Canada, 11.0%, 11/1/2015
    
1,545,000
  
1,745,850
  
West Corp., 144A, 8.625%, 10/1/2018
    
75,000
  
75,000
  
Windstream Corp.:
              
 
7.0%, 3/15/2019
    
430,000
  
421,400
  
 
7.875%, 11/1/2017
    
845,000
  
880,912
  
 
144A, 8.125%, 9/1/2018
    
180,000
  
186,300
  
 
8.625%, 8/1/2016
    
70,000
  
74,025
  
 
 
18,120,525
  
Utilities 2.4%
  
AES Corp.:
              
 
8.0%, 10/15/2017
    
415,000
  
448,200
  
 
8.0%, 6/1/2020
    
525,000
  
569,625
  
Calpine Corp., 144A, 7.875%, 7/31/2020
    
560,000
  
575,400
  
Edison Mission Energy, 7.0%, 5/15/2017
    
185,000
  
133,663
  
NRG Energy, Inc.:
              
 
7.375%, 1/15/2017
    
990,000
  
1,014,750
  
 
144A, 8.25%, 9/1/2020
    
490,000
  
505,312
  
NV Energy, Inc.:
              
 
6.75%, 8/15/2017
    
455,000
  
468,332
  
 
8.625%, 3/15/2014
    
200,000
  
205,750
  
RRI Energy, Inc., 7.875%, 6/15/2017
    
150,000
  
139,875
  
Texas Competitive Electric Holdings Co., LLC, Series A, 10.25%, 11/1/2015
    
960,000
  
628,800
  
 
 
4,689,707
  
 
Total Corporate Bonds (Cost $168,246,796)
  
168,223,386
  
 
 
Loan Participations and Assignments 5.3%
  
Senior Loans ***
    
Alliance Mortgage Cycle Loan, Term Loan A, 9.5%, 6/1/2020 **
    
700,000
  
0
  
Buffets, Inc.:
              
 
Letter of Credit, First Lien, 7.525%, 4/22/2015
    
90,648
  
73,651
  
 
Term Loan B, 12.0%, 4/21/2015
    
377,759
  
353,610
  
Charter Communications Operating LLC, New Term Loan, 7.25%, 3/6/2014
    
1,250,154
  
1,293,459
  
Clarke American Corp., Term Loan B, 2.789%, 6/30/2014
    
137,509
  
120,458
  
Hawker Beechcraft Acquisition Co., LLC:
              
 
Term Loan, 2.256%, 3/26/2014
    
1,016,980
  
824,435
  
 
Letter of Credit, 2.633%, 3/26/2014
    
60,643
  
49,167
  
IASIS Healthcare LLC, Term Loan, 5.725%, 6/13/2014 (PIK)
    
671,857
  
641,345
  
Kabel Deutschland GmbH, Term Loan, 7.983%, 11/19/2014 (PIK)
EUR
  
1,633,104
  
2,224,171
  
Nuveen Investments, Inc., First Lien, Term Loan, 3.289%, 11/13/2014
    
590,000
  
531,959
  
Pinafore LLC, Term Loan B, 6.75%, 9/21/2016
    
615,000
  
620,941
  
Sabre, Inc., Term Loan B, 2.256%, 9/30/2014
    
408,838
  
379,283
  
Sbarro, Inc., Term Loan, 4.775%, 1/31/2014
    
305,000
  
276,025
  
Texas Competitive Electric Holdings Co., LLC:
              
 
Term Loan B3, 3.758%, 10/10/2014
    
1,749,119
  
1,358,095
  
 
Term Loan B2, 4.066%, 10/10/2014
    
343,871
  
267,973
  
Tribune Co., Term Loan B, LIBOR plus 3.0%, 6/4/2014 **
    
1,009,426
  
661,461
  
US Foodservice, Inc., Term Loan B, 2.76%, 5/29/2012
    
467,590
  
424,791
  
VML US Finance LLC:
              
 
Delayed Draw Term Loan B, 4.78%, 5/25/2012
    
109,255
  
108,122
  
 
Term Loan B, 4.78%, 5/27/2013
    
189,149
  
187,175
  
 
Total Loan Participations and Assignments (Cost $11,773,974)
  
10,396,121
  
 
 
Preferred Security 0.5%
  
Materials
    
Hercules, Inc., 6.5%, 6/30/2029 (Cost $731,772)
    
1,135,000
  
927,863
  

 
Units
  
Value ($)
  
 
 
Other Investments 0.0%
  
Consumer Discretionary
    
AOT Bedding Super Holdings LLC * (Cost $31,000)
    
31
  
31,000
  

 
Shares
  
Value ($)
  
 
 
Common Stocks 0.2%
  
Consumer Discretionary 0.0%
  
Buffets Restaurants Holdings, Inc.*
  
18,256
  
41,989
  
Dex One Corp.*
  
3,884
  
47,695
  
SuperMedia, Inc.*
  
726
  
7,674
  
Trump Entertainment Resorts, Inc.*
  
45
  
821
  
Vertis Holdings, Inc.*
  
9,993
  
0
  
 
 
98,179
  
Industrials 0.0%
  
Quad Graphics, Inc.*
  
649
  
30,321
  
Materials 0.2%
  
GEO Specialty Chemicals, Inc.*
  
24,225
  
20,591
  
GEO Specialty Chemicals, Inc. 144A*
  
2,206
  
1,875
  
LyondellBasell Industries NV "B"*
  
12,929
  
308,357
  
 
 
330,823
  
 
Total Common Stocks (Cost $2,543,691)
  
459,323
  
 
 
Warrants 0.0%
  
Consumer Discretionary 0.0%
  
Reader's Digest Association, Inc., Expiration Date 2/19/2014*
  
1,115
  
34
  
Materials 0.0%
  
Ashland, Inc., Expiration Date 3/31/2029*
  
1,100
  
0
  
 
Total Warrants (Cost $244,286)
  
34
  
 
 
Securities Lending Collateral 0.5%
  
Daily Assets Fund Institutional, 0.29% (d) (e)
(Cost $979,635)
    
979,635
  
979,635
  
 
 
Cash Equivalents 7.5%
  
Central Cash Management Fund, 0.21% (d)
(Cost $14,608,385)
    
14,608,385
  
14,608,385
  

 
% of
Net Assets
  
Value ($)
  
 
Total Investment Portfolio (Cost $199,159,539) †
100.1
  
195,625,747
  
Other Assets and Liabilities, Net
(0.1)
  
(244,296)
  
 
Net Assets
100.0
  
195,381,451
  

For information on the Portfolio's policies regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio's most recent semi-annual or annual financial statements.
*
Non-income producing security.
**
Non-income producing security.  Issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.  The following table represents bonds and senior loans that are in default:

Security
  
Coupon
  
Maturity
Date
Principal Amount ($)
  
Acquisition
Cost ($)
    
Value ($)
  
Alliance Mortgage Cycle Loan
     9.5 %
6/1/2020
   700,000
USD
     700,000       0  
Buffalo Thunder Development Authority
     9.375 %
12/15/2014
   250,000
USD
     250,000       65,000  
CanWest MediaWorks LP
     9.25 %
8/1/2015
   340,000
USD
     340,000       61,200  
Congoleum Corp.
     8.625 %
8/19/2019
   1,200,000
USD
     1,021,050       276,000  
Fontainebleau Las Vegas Holdings LLC
     11.0 %
6/15/2015
   490,000
USD
     495,962       74  
Grupo Iusacell Celular SA de CV
     10.0 %
3/31/2012
   278,182
USD
     264,717       89,366  
Motors Liquidation Co.
     8.375 %
7/15/2033
   460,000
USD
     164,450       155,250  
Motors Liquidation Co.
     6.75 %
5/1/2028
   275,000
USD
     87,313       85,250  
Radnor Holdings Corp.
     11.0 %
3/15/2010
   265,000
USD
     234,313       27  
Tribune Co.
  
LIBOR plus 3.0%
  
6/4/2014
   1,009,426
USD
     905,407       661,461  
Tropicana Entertainment LLC
     9.625 %
12/15/2014
   1,220,000
USD
     959,601       2,562  
Young Broadcasting, Inc.
     8.75 %
1/15/2014
   2,040,000
USD
     1,981,498       20  
                      7,404,311       1,396,210  
 

***
These securities are shown at their current rate as of September 30, 2010.  Floating rate securities' yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate.
†
The cost for federal income tax purposes was $199,298,993.  At September 30, 2010, net unrealized depreciation for all securities based on tax cost was $3,673,246.  This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $8,939,182 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $12,612,428.
(a)
Principal amount stated in US dollars unless otherwise noted.
(b)
All or a portion of these securities were on loan. The value of all securities loaned at September 30, 2010 amounted to $937,680 which is 0.5% of net assets.
(c)
When-issued security.
(d)
Affiliated fund managed by Deutsche Investment Management Americas Inc.  The rate shown is the annualized seven-day yield at period end.
(e)
Represents collateral held in connection with securities lending.  Income earned by the Portfolio is net of borrower rebates.
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
LIBOR: London InterBank Offered Rate
PIK: Denotes that all or a portion of the income is paid in kind.
REIT: Real Estate Investment Trust

At September 30, 2010, open credit default swap contracts sold were as follows:

Effective/
Expiration
Date
  
Notional
Amount ($) (f)
    
Fixed
Cash
Flows
Received
  
Underlying Debt
Obligation/
Quality Rating (g)
  
Value ($)
    
Upfront Payments
Paid/
(Received) ($)
    
Unrealized
Appreciation ($)
  
   
6/21/2010
9/20/2013
     1,230,000 1     5.0 %
Ford Motor Co.,
6.5%, 8/1/2018, B
     65,455       (37,769 )     103,224  
6/21/2010
9/20/2013
     380,000 2     5.0 %
Ford Motor Co.,
6.5%, 8/1/2018, B
     20,222       4,658       15,564  
6/21/2010
9/20/2015
     560,000 3     5.0 %
Ford Motor Co.,
6.5%, 8/1/2018, B
     9,265       (9,983 )     19,248  
6/21/2010
9/20/2015
     175,000 4     5.0 %
Ford Motor Co.,
6.5%, 8/1/2018, B
     2,895       (16,625 )     19,520  
6/21/2010
9/20/2015
     320,000 5     5.0 %
Ford Motor Co.,
6.5%, 8/1/2018, B
     5,294       (27,750 )     33,044  
6/21/2010
9/20/2015
     100,000 1     5.0 %
Ford Motor Co.,
6.5%, 8/1/2018, B
     1,654       (6,896 )     8,550  
3/22/2010
6/20/2015
     13,825,000 4     5.0 %
MARKIT CDX.NA.HY.14
     (101,804 )     (375,266 )     273,462  
3/22/2010
6/20/2015
     685,000 2     5.0 %
MARKIT CDX.NA.HY.14
     (5,044 )     (23,119 )     18,075  
 
Total unrealized appreciation
490,687 
   
 

(f)
The maximum potential amount of future undiscounted payments that the Portfolio could be required to make under a credit default swap contract would be the notional amount of the contract.  These potential amounts would be partially offset by any recovery values of the referenced debt obligation or net amounts received from the settlement of buy protection credit default swap contracts entered into by the Portfolio for the same referenced debt obligation.
(g)
The quality ratings represent the lower of Moody's Investors Service, Inc. ("Moody's") or Standard & Poor's Corporation ("S&P") credit ratings.
 
Counterparties:
1
The Goldman Sachs & Co.
2
Citigroup, Inc.
3
Bank of America
4
JPMorgan Chase Securities, Inc.
5
Credit Suisse
 
As of September 30, 2010, the Portfolio had the following open forward foreign currency exchange contracts:

Contracts to Deliver
  
In Exchange For
  
Settlement
Date
  
Unrealized
Appreciation ($)
  
Counterparty
 
USD
     210,384  
EUR
     155,000  
10/27/2010
     876  
JPMorgan Chase Securities, Inc.
Contracts to Deliver
  
In Exchange For
  
Settlement
Date
  
Unrealized
Depreciation ($)
  
Counterparty
 
EUR
     5,133,500  
USD
     6,841,762  
10/27/2010
     (155,051 )
Citigroup, Inc.

Currency Abbreviations
  
 
EUR
Euro
USD
United States Dollar
  



Fair Value Measurements

Various inputs are used in determining the value of the Portfolio's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used as of September 30, 2010 in valuing the Portfolio's investments.

   
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets
                        
Fixed Income Investments(h)
              
 
        
Corporate Bonds
   $ —     $ 165,499,933     $ 2,723,453     $ 168,223,386  
Loan Participations and Assignments
     —       10,396,121       0       10,396,121  
Preferred Security
     —       927,863       —       927,863  
Other Investments
     —       —       31,000       31,000  
Common Stocks
     436,036       —       23,287       459,323  
Warrants
     —       —       34       34  
Short-Term Investments
     15,588,020       —       —       15,588,020  
Derivatives (i)
     —       491,563       —       491,563  
Total
   $ 16,024,056     $ 177,315,480     $ 2,777,774     $ 196,117,310  
   
 
Liabilities
                      
Derivatives (i)
   $ —     $ (155,051 )   $ —     $ (155,051 )
Total
   $ —     $ (155,051 )   $ —     $ (155,051 )

There have been no significant transfers in and out of Level 1 and Level 2 fair value measurements during the period ended September 30, 2010.
(h)
See Investment Portfolio for additional detailed categorizations.
(i)
Derivatives include unrealized appreciation (depreciation) on open credit default swap contracts and forward foreign currency exchange contracts.


Level 3 Reconciliation

The following is a reconciliation of the Portfolio's Level 3 investments for which significant unobservable inputs were used in determining value:

   
Corporate Bonds
    
Loan Participations and Assignments
    
Other Investments
    
Common Stocks
    
Convertible Preferred Stocks
    
Warrants
    
Total
  
Balance as of
December 31, 2009
   $ 2,525,906     $ 1,393,416     $ —     $ 22,466     $ 0     $ 5,989     $ 3,947,777  
Realized gain (loss)
     —       98,158       —       —       (45,457 )     —       52,701  
Change in unrealized appreciation (depreciation)
     226,926       38,370       0       (90 )     45,457       (5,955 )     304,708  
Amortization premium/discount
     11,971       11,724       —       —       —       —       23,695  
Net purchases (sales)
     165,230       (1,541,668 )     31,000       911       0       —       (1,344,527 )
Transfers into Level 3
     7,140 (j)     —       —       —       —       —       7,140  
Transfers (out) of Level 3
     (213,720 )(k)     —       —       —       —       —       (213,720 )
Balance as of
September 30, 2010
   $ 2,723,453     $ 0     $ 31,000     $ 23,287     $ —     $ 34     $ 2,777,774  
Net change in unrealized appreciation (depreciation) from investments still held at
September 30, 2010
   $ 226,925     $ 0     $ 0     $ (90 )   $ —     $ 34     $ 226,869  

Transfers between price levels are recognized at the beginning of the reporting period.
(j)
The investment was transferred from Level 2 to Level 3 because of the lack of observable market data due to a decrease in market activity.
(k)
The investment was transferred from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs.


Derivatives

The following table presents, by major type of derivative contract, the unrealized appreciation (depreciation) of the Portfolio's derivative instruments as of September 30, 2010 categorized by the primary underlying risk exposure. 

 
 
Primary Underlying Risk Disclosure
  
Swaps
    
Forward Currency Contracts
  
Credit Contracts
   $ 490,687     $ —  
Foreign Exchange Contracts
   $ —     $ (154,175 )



Investment Portfolio
as of September 30, 2010  (Unaudited)


DWS Large Cap Value VIP

 
Shares
  
Value ($)
  
 
 
Common Stocks 95.5%
  
Consumer Discretionary 5.9%
  
Distributors 1.9%
  
Genuine Parts Co. (a)
  
84,678
  
3,775,792
  
Diversified Consumer Services 1.5%
  
H&R Block, Inc.
  
217,813
  
2,820,678
  
Hotels Restaurants & Leisure 1.4%
  
Carnival Corp. (Units) (a)
  
73,819
  
2,820,624
  
Textiles, Apparel & Luxury Goods 1.1%
  
VF Corp. (a)
  
26,538
  
2,150,109
  
Consumer Staples 11.3%
  
Beverages 1.1%
  
PepsiCo, Inc.
  
32,918
  
2,187,072
  
Food & Staples Retailing 3.0%
  
CVS Caremark Corp.
  
103,849
  
3,268,128
  
Kroger Co.
  
123,703
  
2,679,407
  
 
 
5,947,535
  
Food Products 3.0%
  
General Mills, Inc.
  
50,103
  
1,830,764
  
Kellogg Co. (a)
  
43,279
  
2,186,022
  
Mead Johnson Nutrition Co.
  
32,885
  
1,871,485
  
 
 
5,888,271
  
Tobacco 4.2%
  
Altria Group, Inc.
  
172,422
  
4,141,577
  
Philip Morris International, Inc.
  
73,171
  
4,099,039
  
 
 
8,240,616
  
Energy 17.7%
  
Energy Equipment & Services 6.1%
  
Ensco PLC (ADR) (a)
  
64,045
  
2,864,733
  
Halliburton Co.
  
98,523
  
3,258,156
  
Noble Corp.
  
90,557
  
3,059,921
  
Transocean Ltd.*
  
44,883
  
2,885,528
  
 
 
12,068,338
  
Oil, Gas & Consumable Fuels 11.6%
  
Canadian Natural Resources Ltd.
  
69,548
  
2,406,361
  
Chevron Corp.
  
49,457
  
4,008,490
  
ConocoPhillips
  
51,156
  
2,937,889
  
ExxonMobil Corp.
  
50,290
  
3,107,419
  
Marathon Oil Corp.
  
119,795
  
3,965,214
  
Nexen, Inc.
  
104,342
  
2,097,274
  
Suncor Energy, Inc.
  
131,220
  
4,271,211
  
 
 
22,793,858
  
Financials 10.1%
  
Capital Markets 0.8%
  
Ameriprise Financial, Inc.
  
34,694
  
1,642,067
  
Diversified Financial Services 1.9%
  
Bank of America Corp.
  
80,727
  
1,058,331
  
JPMorgan Chase & Co.
  
70,586
  
2,687,209
  
 
 
3,745,540
  
Insurance 7.4%
  
Assurant, Inc.
  
74,334
  
3,025,394
  
Fidelity National Financial, Inc. "A"
  
148,069
  
2,326,164
  
HCC Insurance Holdings, Inc.
  
73,331
  
1,913,206
  
Lincoln National Corp.
  
133,833
  
3,201,285
  
PartnerRe Ltd. (a)
  
50,697
  
4,064,885
  
 
 
14,530,934
  
Health Care 10.9%
  
Health Care Equipment & Supplies 3.0%
  
Baxter International, Inc.
  
72,472
  
3,457,639
  
Becton, Dickinson & Co.
  
32,656
  
2,419,810
  
 
 
5,877,449
  
Health Care Providers & Services 2.9%
  
McKesson Corp.
  
56,640
  
3,499,219
  
WellPoint, Inc.*
  
38,719
  
2,193,044
  
 
 
5,692,263
  
Life Sciences Tools & Services 1.0%
  
Thermo Fisher Scientific, Inc.*
  
40,838
  
1,955,323
  
Pharmaceuticals 4.0%
  
Merck & Co., Inc.
  
106,108
  
3,905,836
  
Teva Pharmaceutical Industries Ltd. (ADR)
  
77,764
  
4,102,051
  
 
 
8,007,887
  
Industrials 8.3%
  
Aerospace & Defense 5.1%
  
Honeywell International, Inc.
  
57,615
  
2,531,603
  
L-3 Communications Holdings, Inc. (a)
  
34,776
  
2,513,262
  
Lockheed Martin Corp.
  
37,780
  
2,692,958
  
United Technologies Corp.
  
31,674
  
2,256,139
  
 
 
9,993,962
  
Electrical Equipment 1.5%
  
Emerson Electric Co.
  
58,204
  
3,065,023
  
Machinery 1.7%
  
Dover Corp.
  
63,567
  
3,318,833
  
Information Technology 6.2%
  
Communications Equipment 0.8%
  
Brocade Communications Systems, Inc.*
  
254,336
  
1,485,322
  
Computers & Peripherals 1.7%
  
Hewlett-Packard Co.
  
81,776
  
3,440,316
  
IT Services 1.1%
  
Automatic Data Processing, Inc.
  
49,734
  
2,090,320
  
Semiconductors & Semiconductor Equipment 1.4%
  
Intel Corp.
  
140,412
  
2,700,123
  
Software 1.2%
  
Microsoft Corp.
  
98,002
  
2,400,069
  
Materials 6.3%
  
Chemicals 3.6%
  
Air Products & Chemicals, Inc.
  
45,671
  
3,782,472
  
Praxair, Inc.
  
36,876
  
3,328,428
  
 
 
7,110,900
  
Containers & Packaging 1.7%
  
Sonoco Products Co. (a)
  
101,372
  
3,389,880
  
Metals & Mining 1.0%
  
Kinross Gold Corp.
  
105,381
  
1,980,109
  
Telecommunication Services 8.5%
  
Diversified Telecommunication Services 7.0%
  
AT&T, Inc.
  
163,617
  
4,679,447
  
BCE, Inc.
  
45,788
  
1,488,110
  
CenturyLink, Inc. (a)
  
126,161
  
4,978,313
  
Verizon Communications, Inc.
  
82,706
  
2,695,389
  
 
 
13,841,259
  
Wireless Telecommunication Services 1.5%
  
Vodafone Group PLC (ADR) (a)
  
113,690
  
2,820,649
  
Utilities 10.3%
  
Electric Utilities 8.3%
  
Allegheny Energy, Inc.
  
97,123
  
2,381,456
  
American Electric Power Co., Inc. (a)
  
74,383
  
2,694,896
  
Duke Energy Corp. (a)
  
130,206
  
2,305,948
  
Entergy Corp.
  
34,093
  
2,609,137
  
Exelon Corp. (a)
  
30,886
  
1,315,126
  
FirstEnergy Corp. (a)
  
65,378
  
2,519,668
  
Southern Co.
  
64,406
  
2,398,480
  
 
 
16,224,711
  
Multi-Utilities 2.0%
  
PG&E Corp.
  
87,684
  
3,982,607
  
 
Total Common Stocks (Cost $158,006,785)
  
187,988,439
  
 
 
Securities Lending Collateral 16.5%
  
Daily Assets Fund Institutional, 0.29% (b) (c)
(Cost $32,512,246)
    
32,512,246
  
32,512,246
  
 
 
Cash Equivalents 4.5%
  
Central Cash Management Fund, 0.21% (b)
(Cost $8,811,416)
    
8,811,416
  
8,811,416
  

 
% of
Net Assets
  
Value ($)
  
 
Total Investment Portfolio (Cost $199,330,447) †
116.5
  
229,312,101
  
Other Assets and Liabilities, Net
(16.5)
  
(32,425,415)
  
 
Net Assets
100.0
  
196,886,686
  

For information on the Portfolio's policies regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio's most recent semi-annual or annual financial statements.
*
Non-income producing security.
†
The cost for federal income tax purposes was $201,802,954. At September 30, 2010, net unrealized appreciation for all securities based on tax cost was $27,509,147. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $34,331,586 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $6,822,439.
(a)
All or a portion of these securities were on loan. The value of all securities loaned at September 30, 2010 amounted to $31,584,135 which is 16.0% of net assets.
(b)
Affiliated fund managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.
(c)
Represents collateral held in connection with securities lending. Income earned by the Portfolio is net of borrower rebates.
ADR: American Depositary Receipt
 

 
Fair Value Measurements

Various inputs are used in determining the value of the Portfolio's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used as of September 30, 2010 in valuing the Portfolio's investments.

Assets
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Common Stocks(d)
   $ 187,988,439     $ —     $ —     $ 187,988,439  
Short-Term Investments(d)
     41,323,662       —       —       41,323,662  
Total
   $ 229,312,101     $ —     $ —     $ 229,312,101  

There have been no significant transfers in and out of Level 1 and Level 2 fair value measurements during the period ended September 30, 2010.
(d)
See Investment Portfolio for additional detailed categorizations.



Investment Portfolio
as of September 30, 2010  (Unaudited)


DWS Mid Cap Growth VIP

 
Shares
  
Value ($)
  
 
 
Common Stocks 98.5%
  
Consumer Discretionary 18.1%
  
Auto Components 2.3%
  
BorgWarner, Inc.* (a)
  
4,900
  
257,838
  
Gentex Corp.
  
12,700
  
247,777
  
 
 
505,615
  
Diversified Consumer Services 0.4%
  
Strayer Education, Inc.
  
500
  
87,250
  
Hotels Restaurants & Leisure 2.8%
  
Darden Restaurants, Inc.
  
8,500
  
363,630
  
Panera Bread Co. "A"*
  
3,000
  
265,830
  
 
 
629,460
  
Household Durables 1.2%
  
Jarden Corp.
  
8,300
  
258,379
  
Internet & Catalog Retail 1.3%
  
Priceline.com, Inc.*
  
850
  
296,089
  
Specialty Retail 7.7%
  
Advance Auto Parts, Inc.
  
5,500
  
322,740
  
Children's Place Retail Stores, Inc.*
  
7,300
  
356,021
  
Guess?, Inc.
  
8,900
  
361,607
  
Tiffany & Co. (a)
  
6,600
  
310,134
  
Urban Outfitters, Inc.*
  
11,500
  
361,560
  
 
 
1,712,062
  
Textiles, Apparel & Luxury Goods 2.4%
  
Deckers Outdoor Corp.*
  
8,100
  
404,676
  
Hanesbrands, Inc.*
  
4,500
  
116,370
  
 
 
521,046
  
Consumer Staples 4.1%
  
Food Products 1.1%
  
Diamond Foods, Inc. (a)
  
5,800
  
237,742
  
Household Products 1.3%
  
Church & Dwight Co., Inc.
  
4,600
  
298,724
  
Personal Products 1.7%
  
Herbalife Ltd. (a)
  
6,300
  
380,205
  
Energy 10.7%
  
Energy Equipment & Services 6.0%
  
Cameron International Corp.*
  
4,500
  
193,320
  
Complete Production Services, Inc.*
  
11,300
  
231,085
  
Core Laboratories NV (a)
  
2,200
  
193,688
  
Dresser-Rand Group, Inc.*
  
3,600
  
132,804
  
FMC Technologies, Inc.*
  
5,500
  
375,595
  
McDermott International, Inc.*
  
14,000
  
206,920
  
 
 
1,333,412
  
Oil, Gas & Consumable Fuels 4.7%
  
Alpha Natural Resources, Inc.*
  
4,500
  
185,175
  
Concho Resources, Inc.* (a)
  
3,500
  
231,595
  
EXCO Resources, Inc.
  
7,000
  
104,090
  
Pioneer Natural Resources Co.
  
1,600
  
104,048
  
Ultra Petroleum Corp.* (a)
  
4,830
  
202,763
  
Whiting Petroleum Corp.*
  
2,200
  
210,122
  
 
 
1,037,793
  
Financials 6.7%
  
Capital Markets 3.9%
  
Affiliated Managers Group, Inc.* (a)
  
1,800
  
140,418
  
Jefferies Group, Inc. (a)
  
8,900
  
201,941
  
Lazard Ltd. "A" (a)
  
4,100
  
143,828
  
Och-Ziff Capital Management Group "A" (Limited Partnership) (a)
  
16,300
  
242,870
  
TD Ameritrade Holding Corp.* (a)
  
8,800
  
142,120
  
 
 
871,177
  
Commercial Banks 0.6%
  
Prosperity Bancshares, Inc.
  
4,400
  
142,868
  
Diversified Financial Services 1.4%
  
Portfolio Recovery Associates, Inc.* (a)
  
4,800
  
310,320
  
Insurance 0.8%
  
W.R. Berkley Corp.
  
6,500
  
175,955
  
Health Care 15.8%
  
Biotechnology 2.9%
  
Alexion Pharmaceuticals, Inc.*
  
2,800
  
180,208
  
Human Genome Sciences, Inc.*
  
6,800
  
202,572
  
Regeneron Pharmaceuticals, Inc.*
  
6,300
  
172,620
  
Vertex Pharmaceuticals, Inc.*
  
2,800
  
96,796
  
 
 
652,196
  
Health Care Equipment & Supplies 2.4%
  
Kinetic Concepts, Inc.*
  
6,700
  
245,086
  
Thoratec Corp.*
  
7,800
  
288,444
  
 
 
533,530
  
Health Care Providers & Services 4.3%
  
AmerisourceBergen Corp.
  
8,900
  
272,874
  
Fresenius Medical Care AG & Co. KGaA (ADR)
  
4,600
  
284,004
  
Laboratory Corp. of America Holdings* (a)
  
3,200
  
250,976
  
Owens & Minor, Inc.
  
5,050
  
143,723
  
 
 
951,577
  
Health Care Technology 2.2%
  
Cerner Corp.* (a)
  
2,900
  
243,571
  
SXC Health Solutions Corp.*
  
6,600
  
240,702
  
 
 
484,273
  
Life Sciences Tools & Services 1.9%
  
Life Technologies Corp.*
  
5,500
  
256,795
  
QIAGEN NV* (a)
  
9,400
  
166,756
  
 
 
423,551
  
Pharmaceuticals 2.1%
  
Questcor Pharmaceuticals, Inc.*
  
23,700
  
235,104
  
Valeant Pharmaceuticals International, Inc. (a)
  
8,700
  
217,935
  
 
 
453,039
  
Industrials 12.6%
  
Aerospace & Defense 1.3%
  
BE Aerospace, Inc.*
  
9,400
  
284,914
  
Commercial Services & Supplies 1.1%
  
Stericycle, Inc.* (a)
  
3,500
  
243,180
  
Construction & Engineering 0.8%
  
Aecom Technology Corp.*
  
7,400
  
179,524
  
Electrical Equipment 2.7%
  
AMETEK, Inc.
  
4,300
  
205,411
  
Babcock & Wilcox Co.*
  
4,950
  
105,336
  
General Cable Corp.*
  
10,200
  
276,624
  
 
 
587,371
  
Machinery 4.2%
  
Flowserve Corp.
  
1,700
  
186,014
  
Gardner Denver, Inc.
  
4,200
  
225,456
  
Joy Global, Inc.
  
4,000
  
281,280
  
Terex Corp.*
  
10,700
  
245,244
  
 
 
937,994
  
Professional Services 1.8%
  
FTI Consulting, Inc.* (a)
  
7,000
  
242,830
  
Robert Half International, Inc.
  
6,200
  
161,200
  
 
 
404,030
  
Road & Rail 0.7%
  
Genesee & Wyoming, Inc. "A"*
  
3,700
  
160,543
  
Information Technology 22.1%
  
Communications Equipment 2.5%
  
F5 Networks, Inc.*
  
2,550
  
264,715
  
Harris Corp. (a)
  
2,700
  
119,583
  
Juniper Networks, Inc.*
  
5,800
  
176,030
  
 
 
560,328
  
Computers & Peripherals 1.7%
  
Lexmark International, Inc. "A"*
  
2,900
  
129,398
  
NetApp, Inc.*
  
4,900
  
243,971
  
 
 
373,369
  
Electronic Equipment, Instruments & Components 1.0%
  
Itron, Inc.*
  
3,850
  
235,736
  
Internet Software & Services 1.5%
  
Equinix, Inc.* (a)
  
3,200
  
327,520
  
IT Services 2.8%
  
Cognizant Technology Solutions Corp. "A"*
  
6,000
  
386,820
  
Lender Processing Services, Inc.
  
7,000
  
232,610
  
 
 
619,430
  
Semiconductors & Semiconductor Equipment 6.8%
  
Analog Devices, Inc. (a)
  
3,500
  
109,830
  
ARM Holdings PLC (ADR) (a)
  
16,100
  
302,036
  
ASML Holding NV (NY Registered Shares) (a)
  
2,300
  
68,379
  
Broadcom Corp. "A"
  
4,500
  
159,255
  
Cavium Networks, Inc.*
  
6,400
  
184,064
  
First Solar, Inc.*
  
1,300
  
191,555
  
Marvell Technology Group Ltd.*
  
11,000
  
192,610
  
Netlogic Microsystems, Inc.*
  
4,200
  
115,836
  
Novellus Systems, Inc.* (a)
  
7,000
  
186,060
  
 
 
1,509,625
  
Software 5.8%
  
BMC Software, Inc.*
  
4,000
  
161,920
  
Concur Technologies, Inc.* (a)
  
5,900
  
291,696
  
Red Hat, Inc.*
  
6,500
  
266,500
  
Rovi Corp.* (a)
  
6,000
  
302,460
  
Salesforce.com, Inc.* (a)
  
2,400
  
268,320
  
 
 
1,290,896
  
Materials 5.7%
  
Chemicals 0.7%
  
Scotts Miracle-Gro Co. "A"
  
2,900
  
150,017
  
Construction Materials 0.5%
  
Martin Marietta Materials, Inc.
  
1,400
  
107,758
  
Containers & Packaging 0.7%
  
Crown Holdings, Inc.*
  
5,300
  
151,898
  
Metals & Mining 2.7%
  
Cliffs Natural Resources, Inc.
  
3,000
  
191,760
  
Kinross Gold Corp.
  
10,400
  
195,416
  
Thompson Creek Metals Co., Inc.*
  
12,400
  
133,672
  
United States Steel Corp.
  
1,800
  
78,912
  
 
 
599,760
  
Paper & Forest Products 1.1%
  
Schweitzer-Mauduit International, Inc.
  
4,300
  
250,733
  
Telecommunication Services 2.7%
  
Wireless Telecommunication Services
  
American Tower Corp. "A"*
  
7,000
  
358,820
  
MetroPCS Communications, Inc.* (a)
  
23,000
  
240,580
  
 
 
599,400
  
 
Total Common Stocks (Cost $16,505,007)
  
21,870,289
  
 
 
Securities Lending Collateral 26.4%
  
Daily Assets Fund Institutional, 0.29% (b) (c)
(Cost $5,848,040)
    
5,848,040
  
5,848,040
  
 
 
Cash Equivalents 1.8%
  
Central Cash Management Fund, 0.21% (b)
(Cost $396,576)
    
396,576
  
396,576
  

 
% of
Net Assets
  
Value ($)
  
 
Total Investment Portfolio (Cost $22,749,623) †
126.7
  
28,114,905
  
Other Assets and Liabilities, Net
(26.7)
  
(5,917,402)
  
 
Net Assets
100.0
  
22,197,503
  

For information on the Portfolio's policies regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio's most recent semi-annual or annual financial statements.
*
Non-income producing security.
†
The cost for federal income tax purposes was $22,864,588. At September 30, 2010, net unrealized appreciation  for all securities based on tax cost was $5,250,317. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $5,647,400 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $397,083.
(a)
All or a portion of these securities were on loan. The value of all securities loaned at September 30, 2010 amounted to $5,699,720 which is 25.7% of net assets.
(b)
Affiliated fund managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.
(c)
Represents collateral held in connection with securities lending. Income earned by the Portfolio is net of borrower rebates.
ADR: American Depositary Receipt



Fair Value Measurements

Various inputs are used in determining the value of the Portfolio's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used as of September 30, 2010 in valuing the Portfolio's investments.

Assets
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Common Stocks(d)
   $ 21,870,289     $ —     $ —     $ 21,870,289  
Short-Term Investments(d)
     6,244,616       —       —       6,244,616  
Total
   $ 28,114,905     $ —     $ —     $ 28,114,905  

There have been no significant transfers in and out of Level 1 and Level 2 fair value measurements during the period ended September 30, 2010.
(d)
See Investment Portfolio for additional detailed categorizations.



Investment Portfolio
as of September 30, 2010  (Unaudited)


DWS Money Market VIP

 
Principal
Amount ($)
  
Value ($)
  
 
 
Certificates of Deposit and Bank Notes 13.0%
  
Abbey National Treasury Services PLC, 0.41%, 12/7/2010
  
1,000,000
  
1,000,000
  
Bank of Tokyo-Mitsubishi UFJ Ltd., 0.46%, 10/13/2010
  
4,500,000
  
4,500,000
  
BNP Paribas:
              
 
0.41%, 3/17/2011
  
800,000
  
800,037
  
 
0.55%, 5/13/2011
  
750,000
  
750,185
  
 
0.63%, 1/27/2011
  
1,500,000
  
1,500,000
  
Fortis Bank SA, 0.3%, 12/1/2010
  
1,500,000
  
1,500,000
  
Intesa Sanpaolo SpA, 0.25%, 10/27/2010
  
1,000,000
  
1,000,000
  
KBC Bank NV, 0.65%, 11/15/2010
  
1,500,000
  
1,500,000
  
Landeskreditbank Baden-Wuerttemberg Foerderbank, 2.5%, 2/14/2011
  
1,500,000
  
1,511,699
  
Lloyds TSB Bank PLC, 0.53%, 11/29/2010
  
1,200,000
  
1,200,059
  
Mizuho Corporate Bank Ltd., 0.5%, 10/4/2010
  
2,000,000
  
2,000,000
  
Nordea Bank Finland PLC, 0.48%, 10/22/2010
  
1,000,000
  
1,000,003
  
Rabobank Nederland NV:
              
 
0.46%, 11/1/2010
  
1,000,000
  
1,000,004
  
 
0.51%, 12/23/2010
  
2,000,000
  
2,000,023
  
Skandinaviska Enskilda Banken AB, 0.31%, 11/5/2010
  
2,750,000
  
2,750,000
  
Sumitomo Mitsui Banking Corp., 0.29%, 12/2/2010
  
5,000,000
  
5,000,000
  
UBS AG, 0.56%, 10/1/2010
  
1,250,000
  
1,250,000
  
 
Total Certificates of Deposit and Bank Notes (Cost $30,262,010)
  
30,262,010
  
 
 
Commercial Paper 33.8%
  
Issued at Discount **
    
Abbey National North America LLC, 0.9%, 1/19/2011
  
2,000,000
  
1,994,500
  
Amstel Funding Corp.:
              
 
0.38%, 11/24/2010
  
1,000,000
  
999,430
  
 
0.4%, 10/8/2010
  
1,000,000
  
999,922
  
Argento Variable Funding:
              
 
144A, 0.31%, 11/1/2010
  
800,000
  
799,786
  
 
144A, 0.39%, 10/26/2010
  
2,000,000
  
1,999,458
  
 
144A, 0.48%, 12/1/2010
  
800,000
  
799,349
  
ASB Finance Ltd., 0.501%, 2/9/2011
  
1,200,000
  
1,197,817
  
BNZ International Funding Ltd., 144A, 0.52%, 1/21/2011
  
2,500,000
  
2,495,956
  
BPCE SA:
              
 
0.47%, 11/8/2010
  
1,000,000
  
999,504
  
 
0.61%, 11/22/2010
  
2,000,000
  
1,998,238
  
Cancara Asset Securitisation LLC:
              
 
144A, 0.3%, 10/20/2010
  
1,000,000
  
999,842
  
 
144A, 0.5%, 10/18/2010
  
1,000,000
  
999,764
  
Citibank Credit Card Issuance Trust, 144A, 0.26%, 10/19/2010
  
2,500,000
  
2,499,675
  
Coca-Cola Co., 0.45%, 12/17/2010
  
1,000,000
  
999,037
  
DnB NOR Bank ASA, 0.25%, 12/20/2010
  
2,400,000
  
2,398,667
  
General Electric Capital Corp., 0.52%, 10/14/2010
  
2,000,000
  
1,999,624
  
Google, Inc., 0.4%, 9/16/2011
  
800,000
  
796,889
  
Grampian Funding LLC:
              
 
144A, 0.43%, 11/1/2010
  
1,200,000
  
1,199,556
  
 
144A, 0.53%, 10/14/2010
  
500,000
  
499,904
  
Hannover Funding Co., LLC:
              
 
0.42%, 11/19/2010
  
700,000
  
699,600
  
 
0.52%, 10/1/2010
  
750,000
  
750,000
  
KBC Financial Products International Ltd., 144A, 0.58%, 10/26/2010
  
1,250,000
  
1,249,496
  
LMA Americas LLC:
              
 
144A, 0.26%, 10/27/2010
  
1,000,000
  
999,812
  
 
144A, 0.27%, 10/13/2010
  
1,000,000
  
999,910
  
Matchpoint Master Trust, 0.26%, 10/12/2010
  
1,000,000
  
999,921
  
Microsoft Corp., 0.16%, 10/20/2010
  
2,500,000
  
2,499,789
  
Nestle Finance International Ltd., 0.32%, 10/12/2010
  
1,300,000
  
1,299,873
  
Nieuw Amsterdam Receivables Corp., 144A, 0.27%, 10/22/2010
  
5,000,000
  
4,999,212
  
NRW.Bank:
              
 
0.42%, 10/6/2010
  
1,000,000
  
999,942
  
 
0.42%, 3/31/2011
  
2,400,000
  
2,394,932
  
 
0.43%, 3/31/2011
  
750,000
  
748,378
  
 
0.5%, 10/15/2010
  
3,200,000
  
3,199,378
  
 
0.53%, 10/4/2010
  
1,300,000
  
1,299,943
  
Proctor & Gamble Co., 0.27%, 12/1/2010
  
1,000,000
  
999,542
  
Rabobank USA Financial Corp., 0.43%, 12/13/2010
  
1,500,000
  
1,498,692
  
Romulus Funding Corp., 144A, 0.44%, 11/12/2010
  
850,000
  
849,564
  
Santander Central Hispano Finance Delaware, Inc., 0.535%, 11/15/2010
  
1,000,000
  
999,331
  
Scaldis Capital LLC, 0.27%, 10/13/2010
  
2,400,000
  
2,399,784
  
Shell International Finance BV:
              
 
0.4%, 5/2/2011
  
800,000
  
798,107
  
 
0.5%, 2/4/2011
  
800,000
  
798,600
  
Skandinaviska Enskilda Banken AB, 0.39%, 10/5/2010
  
1,000,000
  
999,957
  
Standard Chartered Bank:
              
 
0.32%, 12/10/2010
  
800,000
  
799,502
  
 
0.6%, 10/1/2010
  
2,500,000
  
2,500,000
  
Straight-A Funding LLC:
              
 
144A, 0.24%, 11/19/2010
  
2,000,000
  
1,999,347
  
 
144A, 0.28%, 11/3/2010
  
1,200,000
  
1,199,692
  
Swedish Housing Finance Corp.:
              
 
144A, 0.46%, 11/30/2010
  
1,800,000
  
1,798,620
  
 
144A, 0.46%, 12/1/2010
  
2,200,000
  
2,198,285
  
Tasman Funding, Inc., 144A, 0.32%, 12/9/2010
  
750,000
  
749,540
  
Toyota Credit Canada, Inc., 0.27%, 11/4/2010
  
2,000,000
  
1,999,490
  
Toyota Credit de Puerto Rico, 0.29%, 12/7/2010
  
750,000
  
749,595
  
Victory Receivables Corp., 144A, 0.25%, 10/12/2010
  
5,500,000
  
5,499,580
  
 
Total Commercial Paper (Cost $78,654,332)
  
78,654,332
  
 
 
Short Term Notes * 22.5%
  
ANZ National International Ltd., 144A, 0.624%, 10/19/2010
  
1,500,000
  
1,500,000
  
ASB Finance Ltd., 144A, 0.387%, 12/8/2010
  
1,300,000
  
1,300,047
  
Bank of Nova Scotia:
              
 
0.266%, 11/23/2010
  
2,500,000
  
2,500,000
  
 
0.37%, 9/12/2011
  
800,000
  
800,000
  
Barclays Bank PLC:
              
 
0.426%, 10/22/2010
  
2,200,000
  
2,200,000
  
 
0.657%, 4/21/2011
  
2,200,000
  
2,200,000
  
BNP Paribas, 0.747%, 4/26/2011
  
1,800,000
  
1,800,000
  
Canadian Imperial Bank of Commerce:
              
 
0.257%, 10/15/2010
  
1,300,000
  
1,300,000
  
 
0.46%, 4/26/2011
  
2,000,000
  
2,000,000
  
Commonwealth Bank of Australia, 144A, 0.312%, 1/3/2011
  
1,380,000
  
1,380,000
  
Intesa Sanpaolo SpA, 0.315%, 10/18/2010
  
1,200,000
  
1,199,992
  
JPMorgan Chase Bank NA, 0.256%, 5/31/2011
  
1,300,000
  
1,300,000
  
National Australia Bank Ltd.:
              
 
144A, 0.286%, 1/27/2011
  
1,000,000
  
1,000,000
  
 
0.317%, 6/10/2011
  
1,500,000
  
1,500,000
  
Natixis:
              
 
0.457%, 12/14/2010
  
1,000,000
  
1,000,000
  
 
0.519%, 11/1/2010
  
1,900,000
  
1,900,000
  
 
0.53%, 11/5/2010
  
1,250,000
  
1,250,000
  
Nordea Bank Finland PLC:
              
 
0.821%, 10/20/2011
  
2,000,000
  
2,006,165
  
 
0.825%, 10/14/2011
  
2,000,000
  
2,006,050
  
Rabobank Nederland NV:
              
 
0.246%, 11/22/2010
  
1,000,000
  
1,000,000
  
 
0.257%, 3/11/2011
  
1,800,000
  
1,800,000
  
 
144A, 1.781%, 4/7/2011
  
4,000,000
  
4,000,000
  
Royal Bank of Canada:
              
 
0.256%, 2/24/2011
  
675,000
  
675,000
  
 
0.41%, 8/12/2011
  
1,200,000
  
1,200,000
  
 
0.465%, 11/24/2010
  
1,300,000
  
1,300,000
  
Societe Generale, 0.33%, 11/16/2010
  
1,200,000
  
1,200,000
  
Standard Chartered Bank, 0.44%, 10/28/2010
  
2,500,000
  
2,500,000
  
Toronto-Dominion Bank, 0.257%, 2/4/2011
  
1,500,000
  
1,500,000
  
Westpac Banking Corp.:
              
 
0.3%, 1/10/2011
  
1,300,000
  
1,300,000
  
 
0.307%, 6/1/2011
  
2,000,000
  
2,000,000
  
 
144A, 0.307%, 12/13/2010
  
2,000,000
  
2,000,000
  
 
0.507%, 4/14/2011
  
1,800,000
  
1,800,000
  
 
Total Short Term Notes (Cost $52,417,254)
  
52,417,254
  
 
 
Government & Agency Obligations 10.4%
  
Other Government Related (a) 0.3%
  
European Investment Bank, 2.625%, 5/16/2011
  
750,000
  
760,605
  
US Government Sponsored Agencies 8.0%
  
Federal Home Loan Bank:
              
 
0.27%, 10/29/2010
  
1,250,000
  
1,249,967
  
 
0.4%, 1/4/2011
  
700,000
  
699,972
  
 
0.43%, 2/22/2011
  
800,000
  
800,004
  
 
0.54%, 5/24/2011
  
1,100,000
  
1,100,057
  
Federal Home Loan Mortgage Corp.:
              
 
0.187% **, 11/17/2010
  
1,200,000
  
1,199,702
  
 
0.27% **, 10/26/2010
  
1,300,000
  
1,299,747
  
 
0.326% **, 12/7/2010
  
700,000
  
699,570
  
 
0.366% **, 10/25/2010
  
800,000
  
799,797
  
Federal National Mortgage Association:
              
 
0.156% *, 7/27/2011
  
1,200,000
  
1,199,351
  
 
0.215% **, 11/15/2010
  
1,300,000
  
1,299,643
  
 
0.247% **, 12/13/2010
  
2,500,000
  
2,498,733
  
 
0.272% **, 11/1/2010
  
1,000,000
  
999,759
  
 
0.297% **, 1/18/2011
  
1,500,000
  
1,498,637
  
 
0.35% **, 10/1/2010
  
1,000,000
  
1,000,000
  
 
0.364% **, 12/1/2010
  
1,380,000
  
1,379,135
  
 
4.68%, 6/15/2011
  
750,000
  
773,279
  
 
 
18,497,353
  
US Treasury Obligations 2.1%
  
US Treasury Notes:
              
 
1.125%, 6/30/2011
  
2,500,000
  
2,513,036
  
 
1.5%, 10/31/2010
  
1,000,000
  
1,000,934
  
 
4.5%, 11/15/2010
  
750,000
  
753,813
  
 
4.5%, 2/28/2011
  
650,000
  
660,962
  
 
 
4,928,745
  
 
Total Government & Agency Obligations (Cost $24,186,703)
  
24,186,703
  
 
 
Repurchase Agreements 21.1%
  
Banc of America Securities LLC, 0.24%, dated 9/30/2010, to be repurchased at $24,096,213 on 10/1/2010 (b)
  
24,096,052
  
24,096,052
  
JPMorgan Securities, Inc., 0.23%, dated 9/30/2010, to be repurchased at $14,865,896 on 10/1/2010 (c)
  
14,865,801
  
14,865,801
  
JPMorgan Securities, Inc., 0.30%, dated 9/30/2010, to be repurchased at $10,000,083 on 10/1/2010 (d)
  
10,000,000
  
10,000,000
  
 
Total Repurchase Agreements (Cost $48,961,853)
  
48,961,853
  

 
% of
Net Assets
  
Value ($)
  
 
Total Investment Portfolio (Cost $234,482,152) †
100.8
  
234,482,152
  
Other Assets and Liabilities, Net
(0.8)
  
(1,816,538)
  
 
Net Assets
100.0
  
232,665,614
  

For information on the Portfolio's policies regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio's most recent semi-annual or annual financial statements.
*
These securities are shown at their current rate as of September 30, 2010.  Floating rate securities' yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate.
**
Annualized yield at time of purchase; not a coupon rate.
†
The cost for federal income tax purposes was $234,482,152.
(a)
Government-backed debt issued by financial companies or government sponsored enterprises.
(b)
Collateralized by:

Principal
Amount ($)
  
Security
  
Rate (%)
  
Maturity Date
  
Collateral
Value ($)
  
  10,450,000  
Federal Home Loan Bank
     3.875  
6/14/2013
     11,437,940  
  13,065,000  
Federal National Mortgage Association
     2.6  
1/27/2016
     13,140,777  
Total Collateral Value
                   24,578,717  

(c)
Collateralized by $20,509,887 US Treasury STRIPS, with various maturity dates of 2/15/2021-8/15/2021 with a value of $15,164,125.
(d)
Collateralized by $9,810,000 Federal Home Loan Mortgage Corp., 5.5%, maturing on 5/15/2034 with a value of $10,202,106.
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
STRIPS: Separate Trading of Registered Interest and Principal Securities



Fair Value Measurements

Various inputs are used in determining the value of the Portfolio's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Securities held by a money market fund are reflected as Level 2 because the securities are valued at amortized cost (which approximates fair value) and, accordingly, the inputs used to determine value are not quoted prices in an active market.

The following is a summary of the inputs used as of September 30, 2010 in valuing the Portfolio's investments.

   
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets
                  
Investments in Securities(e)
   $ —     $ 185,520,299     $ —     $ 185,520,299  
Repurchase Agreements
     —       48,961,853       —       48,961,853  
Total
   $ —     $ 234,482,152     $ —     $ 234,482,152  

There have been no transfers in and out of Level 1 and Level 2 fair value measurements during the period ended September 30, 2010.
(e)
See Investment Portfolio for additional detailed categorizations.



Investment Portfolio
as of September 30, 2010  (Unaudited)


DWS Small Cap Growth VIP

 
Shares
  
Value ($)
  
 
 
Common Stocks 98.3%
  
Consumer Discretionary 16.4%
  
Auto Components 0.8%
  
Gentex Corp.
  
29,600
  
577,496
  
Diversified Consumer Services 0.8%
  
Capella Education Co.* (a)
  
7,900
  
613,198
  
Hotels Restaurants & Leisure 1.8%
  
Buffalo Wild Wings, Inc.*
  
20,600
  
986,534
  
Red Robin Gourmet Burgers, Inc.* (a)
  
18,900
  
370,629
  
 
 
1,357,163
  
Media 1.5%
  
Cinemark Holdings, Inc.
  
72,700
  
1,170,470
  
Specialty Retail 8.9%
  
Advance Auto Parts, Inc.
  
19,700
  
1,155,996
  
Children's Place Retail Stores, Inc.*
  
23,300
  
1,136,341
  
DSW, Inc. "A"* (a)
  
41,400
  
1,188,180
  
Guess?, Inc.
  
31,500
  
1,279,845
  
hhgregg, Inc.* (a)
  
44,600
  
1,104,296
  
Urban Outfitters, Inc.* (a)
  
34,000
  
1,068,960
  
 
 
6,933,618
  
Textiles, Apparel & Luxury Goods 2.6%
  
Carter's, Inc.* (a)
  
22,600
  
595,058
  
Deckers Outdoor Corp.*
  
10,700
  
534,572
  
True Religion Apparel, Inc.* (a)
  
42,600
  
909,084
  
 
 
2,038,714
  
Consumer Staples 3.8%
  
Food Products
  
Darling International, Inc.*
  
72,900
  
621,108
  
Diamond Foods, Inc. (a)
  
24,355
  
998,311
  
Green Mountain Coffee Roasters, Inc.* (a)
  
43,050
  
1,342,730
  
 
 
2,962,149
  
Energy 7.7%
  
Energy Equipment & Services 2.1%
  
Dril-Quip, Inc.*
  
14,900
  
925,439
  
Newpark Resources, Inc.*
  
44,400
  
372,960
  
T-3 Energy Services, Inc.*
  
13,500
  
353,025
  
 
 
1,651,424
  
Oil, Gas & Consumable Fuels 5.6%
  
BPZ Resources, Inc.* (a)
  
108,500
  
415,555
  
Carrizo Oil & Gas, Inc.* (a)
  
18,900
  
452,466
  
Clean Energy Fuels Corp.* (a)
  
27,300
  
387,933
  
Cloud Peak Energy, Inc.* (a)
  
32,900
  
600,425
  
Concho Resources, Inc.*
  
11,900
  
787,423
  
EXCO Resources, Inc.
  
19,000
  
282,530
  
Northern Oil & Gas, Inc.*
  
48,000
  
813,120
  
Rosetta Resources, Inc.*
  
24,500
  
575,505
  
 
 
4,314,957
  
Financials 5.6%
  
Capital Markets 1.0%
  
Stifel Financial Corp.* (a)
  
17,900
  
828,591
  
Commercial Banks 0.9%
  
Prosperity Bancshares, Inc.
  
21,100
  
685,117
  
Consumer Finance 2.2%
  
Cardtronics, Inc.*
  
42,700
  
658,861
  
Dollar Financial Corp.* (a)
  
51,300
  
1,070,631
  
 
 
1,729,492
  
Diversified Financial Services 1.5%
  
Portfolio Recovery Associates, Inc.* (a)
  
17,620
  
1,139,133
  
Health Care 19.3%
  
Biotechnology 6.4%
  
Alexion Pharmaceuticals, Inc.*
  
16,600
  
1,068,376
  
Halozyme Therapeutics, Inc.* (a)
  
106,100
  
818,031
  
Human Genome Sciences, Inc.*
  
20,000
  
595,800
  
ImmunoGen, Inc.* (a)
  
65,600
  
411,312
  
Incyte Corp.* (a)
  
26,000
  
415,740
  
InterMune, Inc.*
  
12,100
  
164,802
  
Regeneron Pharmaceuticals, Inc.* (a)
  
31,600
  
865,840
  
United Therapeutics Corp.*
  
10,600
  
593,706
  
 
 
4,933,607
  
Health Care Equipment & Supplies 3.1%
  
Accuray, Inc.*
  
60,600
  
376,932
  
Kinetic Concepts, Inc.*
  
23,700
  
866,946
  
Thoratec Corp.* (a)
  
32,500
  
1,201,850
  
 
 
2,445,728
  
Health Care Providers & Services 1.7%
  
Gentiva Health Services, Inc.*
  
31,400
  
686,090
  
Owens & Minor, Inc.
  
23,400
  
665,964
  
 
 
1,352,054
  
Health Care Technology 3.0%
  
Cerner Corp.* (a)
  
7,500
  
629,925
  
Merge Healthcare, Inc.*
  
75,707
  
219,550
  
SXC Health Solutions Corp.*
  
39,800
  
1,451,506
  
 
 
2,300,981
  
Pharmaceuticals 5.1%
  
Flamel Technologies SA (ADR)* (a)
  
55,700
  
403,268
  
Par Pharmaceutical Companies, Inc.*
  
25,900
  
753,172
  
Questcor Pharmaceuticals, Inc.* (a)
  
149,100
  
1,479,072
  
Valeant Pharmaceuticals International, Inc. (a)
  
40,200
  
1,007,010
  
VIVUS, Inc.* (a)
  
43,400
  
290,346
  
 
 
3,932,868
  
Industrials 14.6%
  
Aerospace & Defense 1.3%
  
BE Aerospace, Inc.*
  
33,200
  
1,006,292
  
Commercial Services & Supplies 1.4%
  
EnerNOC, Inc.* (a)
  
34,100
  
1,071,081
  
Construction & Engineering 0.5%
  
MYR Group, Inc.*
  
23,600
  
386,804
  
Electrical Equipment 4.0%
  
A-Power Energy Generation Systems Ltd.* (a)
  
56,500
  
468,950
  
AZZ, Inc.
  
8,600
  
368,424
  
Baldor Electric Co. (a)
  
31,800
  
1,284,720
  
General Cable Corp.* (a)
  
35,900
  
973,608
  
 
 
3,095,702
  
Machinery 4.3%
  
Ampco-Pittsburgh Corp.
  
18,800
  
466,616
  
Badger Meter, Inc. (a)
  
21,800
  
882,464
  
RBC Bearings, Inc.*
  
33,600
  
1,141,728
  
Terex Corp.*
  
39,400
  
903,048
  
 
 
3,393,856
  
Professional Services 2.2%
  
FTI Consulting, Inc.* (a)
  
26,000
  
901,940
  
TrueBlue, Inc.*
  
58,100
  
793,065
  
 
 
1,695,005
  
Road & Rail 0.9%
  
Genesee & Wyoming, Inc. "A"*
  
15,800
  
685,562
  
Information Technology 26.4%
  
Communications Equipment 2.6%
  
Polycom, Inc.*
  
21,500
  
586,520
  
Riverbed Technology, Inc.*
  
18,700
  
852,346
  
Sycamore Networks, Inc.
  
16,900
  
547,729
  
 
 
1,986,595
  
Computers & Peripherals 0.9%
  
Lexmark International, Inc. "A"* (a)
  
16,500
  
736,230
  
Electronic Equipment, Instruments & Components 1.1%
  
Itron, Inc.*
  
13,300
  
814,359
  
Internet Software & Services 4.0%
  
Digital River, Inc.*
  
41,400
  
1,409,256
  
MercadoLibre, Inc.* (a)
  
18,400
  
1,328,112
  
NIC, Inc.
  
45,100
  
373,879
  
 
 
3,111,247
  
IT Services 5.4%
  
Forrester Research, Inc.*
  
40,300
  
1,333,124
  
hiSoft Technology International Ltd. (ADR)* (a)
  
34,100
  
838,519
  
iGATE Corp. (a)
  
79,500
  
1,442,130
  
Telvent GIT SA*
  
26,800
  
606,216
  
 
 
4,219,989
  
Semiconductors & Semiconductor Equipment 3.0%
  
Atheros Communications*
  
7,600
  
200,260
  
Cavium Networks, Inc.* (a)
  
28,750
  
826,850
  
Netlogic Microsystems, Inc.* (a)
  
23,500
  
648,130
  
Novellus Systems, Inc.* (a)
  
24,400
  
648,552
  
 
 
2,323,792
  
Software 9.4%
  
ArcSight, Inc.*
  
23,200
  
1,010,592
  
ChinaCache International Holdings Ltd. (ADR)*
  
2,714
  
37,725
  
CommVault Systems, Inc.*
  
30,700
  
799,121
  
Concur Technologies, Inc.* (a)
  
25,100
  
1,240,944
  
Epicor Software Corp.*
  
46,300
  
402,810
  
NICE Systems Ltd. (ADR)* (a)
  
14,600
  
456,834
  
QLIK Technologies, Inc.*
  
14,800
  
326,340
  
Sourcefire, Inc.*
  
15,400
  
444,136
  
Taleo Corp. "A"*
  
45,600
  
1,321,944
  
VanceInfo Technologies, Inc. (ADR)* (a)
  
39,200
  
1,267,728
  
 
 
7,308,174
  
Materials 3.6%
  
Metals & Mining 2.5%
  
Molycorp, Inc.*
  
14,300
  
404,547
  
Randgold Resources Ltd. (ADR) (a)
  
3,100
  
314,526
  
Thompson Creek Metals Co., Inc.*
  
73,000
  
786,940
  
Walter Energy, Inc.
  
5,000
  
406,450
  
 
 
1,912,463
  
Paper & Forest Products 1.1%
  
Schweitzer-Mauduit International, Inc. (a)
  
14,700
  
857,157
  
Telecommunication Services 0.9%
  
Wireless Telecommunication Services
  
Syniverse Holdings, Inc.*
  
31,000
  
702,770
  
 
Total Common Stocks (Cost $54,217,103)
  
76,273,838
  
 
 
Securities Lending Collateral 29.9%
  
Daily Assets Fund Institutional, 0.29% (b) (c)
(Cost $23,157,816)
    
23,157,816
  
23,157,816
  
 
 
Cash Equivalents 2.0%
  
Central Cash Management Fund, 0.21% (b)
(Cost $1,584,473)
    
1,584,473
  
1,584,473
  

 
% of
Net Assets
  
Value ($)
  
 
Total Investment Portfolio (Cost $78,959,392) †
130.2
  
101,016,127
  
Other Assets and Liabilities, Net
(30.2)
  
(23,430,218)
  
 
Net Assets
100.0
  
77,585,909
  

For information on the Portfolio's policies regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio's most recent semi-annual or annual financial statements.
*
Non-income producing security.
†
The cost for federal income tax purposes was $79,287,864. At September 30, 2010, net unrealized appreciation for all securities based on tax cost was $21,728,263. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $23,438,051 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $1,709,788.
(a)
All or a portion of these securities were on loan. The value of all securities loaned at September 30, 2010 amounted to $22,450,337 which is 28.9% of net assets.
(b)
Affiliated fund managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.
(c)
Represents collateral held in connection with securities lending. Income earned by the Portfolio is net of borrower rebates.
ADR: American Depositary Receipt



Fair Value Measurements

Various inputs are used in determining the value of the Portfolio's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used as of September 30, 2010 in valuing the Portfolio's investments.

Assets
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Common Stocks(d)
   $ 76,273,838     $ —     $ —     $ 76,273,838  
Short-Term Investments(d)
     24,742,289       —       —       24,742,289  
Total
   $ 101,016,127     $ —     $ —     $ 101,016,127  

There have been no significant transfers in and out of Level 1 and Level 2 fair value measurements during the period ended September 30, 2010.
(d)
See Investment Portfolio for additional detailed categorizations.



Investment Portfolio
as of September 30, 2010  (Unaudited)


DWS Strategic Income VIP

 
Principal
Amount ($) (a)
  
Value ($)
  
 
 
Corporate Bonds 63.3%
  
Consumer Discretionary 7.4%
  
AMC Entertainment, Inc., 8.0%, 3/1/2014
    
105,000
  
105,919
  
American Achievement Corp., 144A, 8.25%, 4/1/2012
    
30,000
  
29,888
  
Ameristar Casinos, Inc., 9.25%, 6/1/2014
    
115,000
  
122,762
  
Asbury Automotive Group, Inc.:
            
 
7.625%, 3/15/2017
    
65,000
  
63,375
  
 
8.0%, 3/15/2014
    
30,000
  
30,300
  
Ashtead Holdings PLC, 144A, 8.625%, 8/1/2015
    
120,000
  
123,600
  
Avis Budget Car Rental LLC, 9.625%, 3/15/2018
    
45,000
  
47,588
  
Bon-Ton Department Stores, Inc., 10.25%, 3/15/2014
    
30,000
  
29,550
  
Brunswick Corp., 144A, 11.25%, 11/1/2016
    
45,000
  
51,862
  
Cablevision Systems Corp.:
            
 
7.75%, 4/15/2018
    
10,000
  
10,575
  
 
8.0%, 4/15/2020
    
10,000
  
10,763
  
CanWest MediaWorks LP, 144A, 9.25%, 8/1/2015 **
    
50,000
  
9,000
  
Carnival Corp., 6.65%, 1/15/2028
    
285,000
  
303,453
  
Carrols Corp., 9.0%, 1/15/2013
    
30,000
  
30,225
  
CCO Holdings LLC:
            
 
144A, 7.25%, 10/30/2017
    
90,000
  
91,237
  
 
144A, 7.875%, 4/30/2018
    
40,000
  
41,500
  
 
144A, 8.125%, 4/30/2020
    
25,000
  
26,500
  
Cequel Communications Holdings I LLC, 144A, 8.625%, 11/15/2017
    
215,000
  
226,825
  
Clear Channel Worldwide Holdings, Inc.:
            
 
Series A, 9.25%, 12/15/2017
    
15,000
  
15,900
  
 
Series B, 9.25%, 12/15/2017
    
25,000
  
26,688
  
Comcast Corp., 5.15%, 3/1/2020
    
145,000
  
158,470
  
Cooper-Standard Automotive, Inc., 144A, 8.5%, 5/1/2018
    
25,000
  
25,938
  
DISH DBS Corp.:
            
 
6.625%, 10/1/2014
    
65,000
  
67,925
  
 
7.125%, 2/1/2016
    
155,000
  
162,944
  
Fontainebleau Las Vegas Holdings LLC, 144A, 11.0%, 6/15/2015 **
    
65,000
  
10
  
Ford Motor Co., 7.45%, 7/16/2031
    
65,000
  
67,762
  
Goodyear Tire & Rubber Co., 10.5%, 5/15/2016
    
25,000
  
28,313
  
Great Canadian Gaming Corp., 144A, 7.25%, 2/15/2015
    
55,000
  
55,894
  
Group 1 Automotive, Inc., 144A, 3.0%, 3/15/2020
    
65,000
  
61,750
  
Harrah's Operating Co., Inc.:
            
 
10.0%, 12/15/2018
    
100,000
  
79,875
  
 
11.25%, 6/1/2017
    
240,000
  
262,800
  
 
144A, 12.75%, 4/15/2018
    
55,000
  
51,287
  
Hertz Corp.:
            
 
144A, 7.5%, 10/15/2018
    
155,000
  
155,000
  
 
8.875%, 1/1/2014
    
285,000
  
292,481
  
Hyundai Motor Manufacturing Czech, 144A, 4.5%, 4/15/2015
    
145,000
  
149,751
  
Lear Corp.:
            
 
7.875%, 3/15/2018
    
40,000
  
42,400
  
 
8.125%, 3/15/2020
    
40,000
  
42,750
  
Limited Brands, Inc., 7.0%, 5/1/2020
    
20,000
  
21,600
  
Macy's Retail Holdings, Inc., 8.375%, 7/15/2015
    
10,000
  
11,450
  
Mediacom Broadband LLC, 8.5%, 10/15/2015
    
75,000
  
76,687
  
Mediacom LLC, 9.125%, 8/15/2019
    
30,000
  
31,050
  
             
MGM Resorts International:
            
 
144A, 9.0%, 3/15/2020
    
65,000
  
68,412
  
 
10.375%, 5/15/2014
    
45,000
  
50,062
  
 
11.125%, 11/15/2017
    
50,000
  
56,937
  
Michaels Stores, Inc., Step-up Coupon, 0% to 11/1/2011, 13.0% to 11/1/2016
    
25,000
  
24,063
  
NBC Universal, Inc., 144A, 4.375%, 4/1/2021 (b)
    
290,000
  
293,533
  
Neiman Marcus Group, Inc., 10.375%, 10/15/2015
    
25,000
  
26,250
  
Norcraft Holdings LP, 9.75%, 9/1/2012
    
71,000
  
66,562
  
Penn National Gaming, Inc., 8.75%, 8/15/2019
    
25,000
  
26,563
  
Penske Automotive Group, Inc., 7.75%, 12/15/2016
    
175,000
  
170,844
  
Phillips-Van Heusen Corp., 7.375%, 5/15/2020
    
25,000
  
26,344
  
Regal Entertainment Group, 9.125%, 8/15/2018
    
25,000
  
26,219
  
Sabre Holdings Corp., 8.35%, 3/15/2016
    
160,000
  
163,200
  
Sears Holdings Corp., 144A, 6.625%, 10/15/2018 (b)
    
60,000
  
60,000
  
Seminole Indian Tribe of Florida, 144A, 7.804%, 10/1/2020
    
70,000
  
63,685
  
Simmons Bedding Co., 144A, 11.25%, 7/15/2015
    
50,000
  
53,687
  
Sirius XM Radio, Inc., 144A, 8.75%, 4/1/2015
    
55,000
  
58,437
  
Sonic Automotive, Inc.:
            
 
5.0%, 10/1/2029
    
25,000
  
26,469
  
 
Series B, 9.0%, 3/15/2018
    
95,000
  
98,562
  
Standard Pacific Corp.:
            
 
8.375%, 5/15/2018
    
10,000
  
10,000
  
 
10.75%, 9/15/2016
    
80,000
  
87,200
  
Tenneco, Inc., 144A, 7.75%, 8/15/2018
    
10,000
  
10,250
  
Toys "R" Us-Delaware, Inc., 144A, 7.375%, 9/1/2016
    
35,000
  
35,613
  
Travelport LLC:
            
 
4.922% ***, 9/1/2014
    
45,000
  
41,850
  
 
144A, 9.0%, 3/1/2016
    
65,000
  
64,675
  
 
9.875%, 9/1/2014
    
45,000
  
46,294
  
United Components, Inc., 9.375%, 6/15/2013
    
10,000
  
10,175
  
Unitymedia Hessen GmbH & Co., KG, 144A, 8.125%, 12/1/2017
    
200,000
  
208,000
  
UPC Holding BV, 144A, 8.0%, 11/1/2016
EUR
  
100,000
  
140,415
  
Vertis, Inc., 13.5%, 4/1/2014 (PIK)
    
22,809
  
7,071
  
Visant Corp., 144A, 10.0%, 10/1/2017
    
80,000
  
83,600
  
Wyndham Worldwide Corp., 5.75%, 2/1/2018
    
210,000
  
210,665
  
Wynn Las Vegas LLC, 144A, 7.75%, 8/15/2020
    
50,000
  
52,750
  
Young Broadcasting, Inc., 8.75%, 1/15/2014 **
    
275,000
  
3
  
 
 
5,612,037
  
Consumer Staples 2.1%
  
Alliance One International, Inc., 10.0%, 7/15/2016
    
25,000
  
27,063
  
Altria Group, Inc., 9.25%, 8/6/2019
    
145,000
  
194,367
  
B&G Foods, Inc., 7.625%, 1/15/2018
    
25,000
  
26,031
  
Central Garden & Pet Co., 8.25%, 3/1/2018
    
35,000
  
35,744
  
Dole Food Co., Inc., 144A, 8.0%, 10/1/2016
    
35,000
  
36,619
  
FAGE Dairy Industry SA, 144A, 9.875%, 2/1/2020
    
85,000
  
78,625
  
General Nutrition Centers, Inc., 5.75% ***, 3/15/2014 (PIK)
    
40,000
  
39,650
  
NBTY, Inc., 144A, 9.0%, 10/1/2018 (b)
    
25,000
  
26,250
  
North Atlantic Trading Co., 144A, 10.0%, 3/1/2012
    
223,000
  
200,700
  
Reddy Ice Corp., 11.25%, 3/15/2015
    
25,000
  
25,563
  
Reynolds American, Inc., 6.75%, 6/15/2017
    
200,000
  
224,943
  
Rite Aid Corp.:
            
 
7.5%, 3/1/2017
    
60,000
  
55,275
  
 
144A, 8.0%, 8/15/2020
    
100,000
  
101,500
  
Sara Lee Corp., 4.1%, 9/15/2020
    
120,000
  
122,954
  
Smithfield Foods, Inc.:
            
 
7.75%, 7/1/2017
    
220,000
  
223,025
  
 
144A, 10.0%, 7/15/2014
    
85,000
  
97,750
  
SUPERVALU, Inc., 8.0%, 5/1/2016
    
35,000
  
35,262
  
TreeHouse Foods, Inc., 7.75%, 3/1/2018
    
25,000
  
26,875
  
 
 
1,578,196
  
Energy 8.1%
  
Anadarko Petroleum Corp., 6.375%, 9/15/2017
    
215,000
  
236,920
  
Arch Coal, Inc., 7.25%, 10/1/2020
    
20,000
  
21,125
  
Atlas Energy Operating Co., LLC:
            
 
10.75%, 2/1/2018
    
115,000
  
127,362
  
 
12.125%, 8/1/2017
    
55,000
  
63,594
  
Belden & Blake Corp., 8.75%, 7/15/2012
    
310,000
  
303,800
  
Bill Barrett Corp., 9.875%, 7/15/2016
    
40,000
  
43,700
  
Brigham Exploration Co., 144A, 8.75%, 10/1/2018
    
20,000
  
20,600
  
Bristow Group, Inc., 7.5%, 9/15/2017
    
70,000
  
71,750
  
Chaparral Energy, Inc., 8.5%, 12/1/2015
    
230,000
  
223,675
  
Chesapeake Energy Corp.:
            
 
6.625%, 8/15/2020
    
60,000
  
62,700
  
 
6.875%, 8/15/2018
    
30,000
  
31,425
  
 
6.875%, 11/15/2020
    
75,000
  
79,500
  
 
7.25%, 12/15/2018
    
100,000
  
107,750
  
 
9.5%, 2/15/2015
    
185,000
  
214,137
  
CITGO Petroleum Corp., 144A, 11.5%, 7/1/2017
    
105,000
  
116,287
  
Coffeyville Resources LLC, 144A, 9.0%, 4/1/2015
    
70,000
  
73,850
  
Colorado Interstate Gas Co., 6.8%, 11/15/2015
    
30,000
  
35,353
  
CONSOL Energy, Inc.:
            
 
144A, 8.0%, 4/1/2017
    
115,000
  
124,487
  
 
144A, 8.25%, 4/1/2020
    
60,000
  
65,550
  
Continental Resources, Inc.:
            
 
144A, 7.125%, 4/1/2021
    
30,000
  
31,200
  
 
144A, 7.375%, 10/1/2020
    
35,000
  
36,925
  
 
8.25%, 10/1/2019
    
20,000
  
21,900
  
Crosstex Energy LP, 8.875%, 2/15/2018
    
55,000
  
57,613
  
El Paso Corp.:
            
 
7.25%, 6/1/2018
    
55,000
  
59,280
  
 
9.625%, 5/15/2012
    
255,000
  
273,366
  
El Paso Pipeline Partners Operating Co., LLC, 6.5%, 4/1/2020
    
155,000
  
167,326
  
Empresa Nacional del Petroleo, 144A, 5.25%, 8/10/2020
    
150,000
  
153,852
  
Energy Transfer Equity LP, 7.5%, 10/15/2020
    
35,000
  
36,838
  
EXCO Resources, Inc., 7.25%, 1/15/2011
    
95,000
  
95,119
  
Global Geophysical Services, Inc., 144A, 10.5%, 5/1/2017
    
130,000
  
132,275
  
Harvest Operations Corp., 144A, 6.875%, 10/1/2017 (b)
    
25,000
  
25,563
  
Holly Energy Partners LP, 144A, 8.25%, 3/15/2018
    
55,000
  
57,338
  
Inergy LP, 144A, 7.0%, 10/1/2018
    
60,000
  
61,500
  
KCS Energy, Inc., 7.125%, 4/1/2012
    
240,000
  
240,600
  
Linn Energy LLC:
            
 
144A, 7.75%, 2/1/2021
    
60,000
  
60,525
  
 
144A, 8.625%, 4/15/2020
    
55,000
  
58,300
  
 
11.75%, 5/15/2017
    
75,000
  
86,062
  
Mariner Energy, Inc.:
            
 
7.5%, 4/15/2013
    
60,000
  
62,175
  
 
8.0%, 5/15/2017
    
95,000
  
104,500
  
Nevada Power Co., 5.375%, 9/15/2040
    
140,000
  
144,408
  
Newfield Exploration Co., 7.125%, 5/15/2018
    
90,000
  
96,075
  
Nexen, Inc., 6.2%, 7/30/2019
    
90,000
  
105,192
  
Niska Gas Storage US LLC, 144A, 8.875%, 3/15/2018
    
55,000
  
58,850
  
OPTI Canada, Inc.:
            
 
7.875%, 12/15/2014
    
215,000
  
161,787
  
 
8.25%, 12/15/2014
    
70,000
  
53,200
  
Petrohawk Energy Corp.:
            
 
144A, 7.25%, 8/15/2018
    
50,000
  
51,000
  
 
7.875%, 6/1/2015
    
30,000
  
31,425
  
Plains Exploration & Production Co.:
            
 
7.0%, 3/15/2017
    
60,000
  
61,500
  
 
7.625%, 6/1/2018
    
110,000
  
115,500
  
 
8.625%, 10/15/2019
    
55,000
  
60,087
  
Quicksilver Resources, Inc., 11.75%, 1/1/2016
    
15,000
  
17,588
  
Range Resources Corp., 6.75%, 8/1/2020
    
20,000
  
20,800
  
Regency Energy Partners LP:
            
 
8.375%, 12/15/2013
    
80,000
  
83,400
  
 
144A, 9.375%, 6/1/2016
    
115,000
  
126,787
  
Sabine Pass LNG LP:
            
 
7.25%, 11/30/2013
    
115,000
  
110,975
  
 
7.5%, 11/30/2016
    
100,000
  
91,250
  
SandRidge Energy, Inc., 8.625%, 4/1/2015 (PIK)
    
25,000
  
25,000
  
Southwestern Energy Co., 7.5%, 2/1/2018
    
85,000
  
96,050
  
Stone Energy Corp.:
            
 
6.75%, 12/15/2014
    
95,000
  
87,400
  
 
8.625%, 2/1/2017
    
80,000
  
78,600
  
Transocean, Inc., 6.5%, 11/15/2020
    
360,000
  
392,071
  
Valero Energy Corp., 6.125%, 2/1/2020
    
160,000
  
174,385
  
Whiting Petroleum Corp., 6.5%, 10/1/2018
    
25,000
  
25,563
  
 
 
6,114,715
  
Financials 17.4%
  
Algoma Acquisition Corp., 144A, 9.875%, 6/15/2015
    
125,000
  
111,406
  
Ally Financial, Inc.:
            
 
6.875%, 9/15/2011
    
297,000
  
306,281
  
 
7.0%, 2/1/2012
    
185,000
  
191,244
  
 
7.25%, 3/2/2011
    
455,000
  
462,962
  
 
144A, 7.5%, 9/15/2020
    
120,000
  
127,800
  
 
144A, 8.0%, 3/15/2020
    
90,000
  
98,325
  
 
8.0%, 11/1/2031
    
75,000
  
80,438
  
 
144A, 8.3%, 2/12/2015
    
35,000
  
38,150
  
American International Group, Inc., Series G, 5.6%, 10/18/2016
    
290,000
  
295,800
  
Antero Resources Finance Corp., 9.375%, 12/1/2017
    
30,000
  
31,875
  
Ashton Woods USA LLC, 144A, Step-up Coupon, 0% to 6/30/2012, 11.0% to 6/30/2015
    
75,400
  
37,700
  
Barclays Bank PLC, 5.125%, 1/8/2020
    
145,000
  
156,767
  
BBVA Bancomer SA, 144A, 7.25%, 4/22/2020
    
115,000
  
123,538
  
BP Capital Markets PLC, 4.5%, 10/1/2020
    
120,000
  
122,714
  
Buffalo Thunder Development Authority, 144A, 9.375%, 12/15/2014 **
    
30,000
  
7,800
  
Calpine Construction Finance Co., LP, 144A, 8.0%, 6/1/2016
    
120,000
  
128,400
  
Case New Holland, Inc., 7.75%, 9/1/2013
    
45,000
  
48,881
  
CIT Group, Inc.:
            
 
7.0%, 5/1/2013
    
80,000
  
80,400
  
 
7.0%, 5/1/2015
    
105,970
  
105,175
  
 
7.0%, 5/1/2017
    
355,000
  
347,456
  
Citigroup Funding, Inc., 5.0%, 4/7/2013
    
295,000
  
293,525
  
Credit Agricole SA, 144A, 3.5%, 4/13/2015
    
171,000
  
176,366
  
Depfa ACS Bank, 144A, 9.118% ***, 10/6/2023
    
1,000,000
  
913,600
  
Discover Bank, 7.0%, 4/15/2020
    
145,000
  
157,740
  
E*TRADE Financial Corp., 7.375%, 9/15/2013
    
120,000
  
117,300
  
Export-Import Bank of Korea, 5.125%, 6/29/2020
    
113,000
  
121,676
  
Express LLC, 8.75%, 3/1/2018
    
45,000
  
47,475
  
FCE Bank PLC, 9.375%, 1/17/2014
EUR
  
100,000
  
151,662
  
Ford Motor Credit Co., LLC:
            
 
7.25%, 10/25/2011
    
60,000
  
62,984
  
 
7.375%, 2/1/2011
    
45,000
  
45,834
  
 
7.5%, 8/1/2012
    
500,000
  
530,779
  
 
9.875%, 8/10/2011
    
145,000
  
153,580
  
GE Capital European Funding, 4.25%, 3/1/2017
EUR
  
290,000
  
416,113
  
General Electric Capital Corp.:
            
 
4.375%, 9/16/2020
    
185,000
  
185,685
  
 
6.0%, 8/7/2019
    
225,000
  
253,167
  
GenOn Escrow Corp., 144A, 9.5%, 10/15/2018 (b)
    
25,000
  
24,063
  
Hartford Financial Services Group, Inc., 6.625%, 3/30/2040
    
135,000
  
135,434
  
Hellas Telecommunications Finance SCA, 144A, 8.835%, 7/15/2015 (PIK) *
EUR
  
109,187
  
89
  
Hexion US Finance Corp., 8.875%, 2/1/2018
    
210,000
  
205,800
  
Hospitality Properties Trust, (REIT), 7.875%, 8/15/2014
    
200,000
  
224,991
  
Host Hotels & Resorts LP, (REIT), 6.875%, 11/1/2014
    
165,000
  
170,362
  
Hutchison Whampoa Finance 09 Ltd., 4.75%, 11/14/2016
EUR
  
150,000
  
217,358
  
Intergas Finance BV, REG S, 6.875%, 11/4/2011
    
275,000
  
287,375
  
International Finance Corp., 5.75%, 3/16/2015
AUD
  
285,000
  
278,218
  
International Lease Finance Corp.:
            
 
144A, 8.625%, 9/15/2015
    
40,000
  
42,800
  
 
144A, 8.75%, 3/15/2017
    
80,000
  
85,800
  
iPayment, Inc., 9.75%, 5/15/2014
    
45,000
  
41,063
  
JBS Finance II Ltd., 144A, 8.25%, 1/29/2018
    
100,000
  
103,125
  
Lincoln National Corp., 7.0%, 6/15/2040
    
290,000
  
330,389
  
Lloyds TSB Bank PLC, 144A, 6.5%, 9/14/2020
    
290,000
  
292,794
  
Manulife Financial Corp., 4.9%, 9/17/2020
    
290,000
  
289,992
  
MetLife, Inc., 5.875%, 2/6/2041
    
100,000
  
108,771
  
Nielsen Finance LLC:
            
 
Step-up Coupon, 0% to 8/1/2011, 12.5% to 8/1/2016
    
45,000
  
45,056
  
 
144A, 7.75%, 10/15/2018 (b)
    
25,000
  
24,817
  
 
11.5%, 5/1/2016
    
20,000
  
22,700
  
Nomura Holdings, Inc., 6.7%, 3/4/2020
    
90,000
  
102,847
  
Nuveen Investments, Inc., 10.5%, 11/15/2015
    
60,000
  
59,625
  
OMEGA Healthcare Investors, Inc., 144A, (REIT), 6.75%, 10/15/2022
    
20,000
  
19,813
  
Orascom Telecom Finance SCA, 144A, 7.875%, 2/8/2014
    
200,000
  
193,500
  
Pacific Life Global Funding, 144A, 3.23% ***, 2/6/2016
    
386,000
  
378,056
  
Pinafore LLC, 144A, 9.0%, 10/1/2018
    
40,000
  
42,000
  
Pinnacle Foods Finance LLC:
            
 
144A, 8.25%, 9/1/2017
    
70,000
  
70,875
  
 
9.25%, 4/1/2015
    
35,000
  
36,400
  
PNC Bank NA, 6.875%, 4/1/2018
    
180,000
  
211,472
  
Rainbow National Services LLC, 144A, 10.375%, 9/1/2014
    
13,000
  
13,520
  
Reynolds Group Issuer, Inc., 144A, 8.5%, 5/15/2018
    
195,000
  
190,612
  
Roadhouse Financing, Inc., 144A, 10.75%, 10/15/2017 (b)
    
40,000
  
41,000
  
Santander US Debt SA Unipersonal, 144A, 3.724%, 1/20/2015
    
145,000
  
147,105
  
SLM Corp., 8.0%, 3/25/2020
    
25,000
  
24,808
  
Societe Generale, 144A, 3.1%, 9/14/2015
    
130,000
  
130,847
  
Sprint Capital Corp.:
            
 
7.625%, 1/30/2011
    
50,000
  
50,813
  
 
8.375%, 3/15/2012
    
135,000
  
144,450
  
Susser Holdings LLC, 8.5%, 5/15/2016
    
30,000
  
31,200
  
Teachers Insurance & Annuity Association of America, 144A, 6.85%, 12/16/2039
    
185,000
  
227,657
  
Telemovil Finance Co., Ltd, 144A, 8.0%, 10/1/2017
    
100,000
  
102,734
  
The Goldman Sachs Group, Inc., 3.7%, 8/1/2015
    
110,000
  
112,542
  
Toyota Motor Credit Corp., 5.25%, 2/3/2012
EUR
  
270,000
  
384,997
  
Toys "R" Us Property Co. I, LLC, 10.75%, 7/15/2017
    
50,000
  
56,500
  
Tropicana Entertainment LLC, 9.625%, 12/15/2014 **
    
150,000
  
315
  
UCI Holdco, Inc., 9.25% ***, 12/15/2013 (PIK)
    
81,638
  
79,189
  
Virgin Media Finance PLC, Series 1, 9.5%, 8/15/2016
    
300,000
  
339,000
  
Virgin Media Secured Finance PLC, 6.5%, 1/15/2018
    
375,000
  
395,625
  
Wind Acquisition Holdings Finance SA, 144A, 12.25%, 7/15/2017 (PIK)
EUR
  
4,287
  
6,224
  
WMG Acquisition Corp., 9.5%, 6/15/2016
    
45,000
  
48,150
  
 
 
13,103,471
  
Health Care 3.9%
  
Community Health Systems, Inc., 8.875%, 7/15/2015
    
575,000
  
610,937
  
Genzyme Corp., 144A, 5.0%, 6/15/2020
    
155,000
  
172,350
  
HCA, Inc.:
            
 
7.875%, 2/15/2020
    
365,000
  
399,219
  
 
8.5%, 4/15/2019
    
45,000
  
50,175
  
 
9.125%, 11/15/2014
    
155,000
  
163,331
  
 
9.25%, 11/15/2016
    
310,000
  
335,575
  
 
9.625%, 11/15/2016 (PIK)
    
152,000
  
164,920
  
IASIS Healthcare LLC, 8.75%, 6/15/2014
    
95,000
  
97,137
  
Life Technologies Corp., 6.0%, 3/1/2020
    
215,000
  
243,555
  
LifePoint Hospitals, Inc., 144A, 6.625%, 10/1/2020
    
30,000
  
30,600
  
Mylan, Inc., 144A, 7.875%, 7/15/2020
    
15,000
  
16,069
  
The Cooper Companies, Inc., 7.125%, 2/15/2015
    
95,000
  
95,950
  
Valeant Pharmaceuticals International:
            
 
144A, 6.75%, 10/1/2017
    
40,000
  
40,800
  
 
144A, 7.0%, 10/1/2020
    
65,000
  
66,463
  
Vanguard Health Holding Co. II, LLC:
            
 
8.0%, 2/1/2018
    
55,000
  
55,825
  
 
144A, 8.0%, 2/1/2018
    
45,000
  
45,000
  
Warner Chilcott Co., LLC, 144A, 7.75%, 9/15/2018
    
75,000
  
77,063
  
Watson Pharmaceuticals, Inc., 6.125%, 8/15/2019
    
220,000
  
255,113
  
 
 
2,920,082
  
Industrials 5.1%
  
Acco Brands Corp., 10.625%, 3/15/2015
    
20,000
  
22,350
  
Accuride Corp., 144A, 9.5%, 8/1/2018
    
75,000
  
78,750
  
Actuant Corp., 6.875%, 6/15/2017
    
40,000
  
40,800
  
Aircastle Ltd., 144A, 9.75%, 8/1/2018
    
25,000
  
25,531
  
ARAMARK Corp., 8.5%, 2/1/2015
    
20,000
  
20,800
  
ArvinMeritor, Inc.:
            
 
8.125%, 9/15/2015
    
55,000
  
55,687
  
 
10.625%, 3/15/2018
    
60,000
  
66,450
  
BE Aerospace, Inc.:
            
 
6.875%, 10/1/2020
    
35,000
  
35,700
  
 
8.5%, 7/1/2018
    
105,000
  
114,450
  
Belden, Inc.:
            
 
7.0%, 3/15/2017
    
45,000
  
45,112
  
 
9.25%, 6/15/2019
    
40,000
  
43,200
  
Bombardier, Inc., 144A, 7.75%, 3/15/2020
    
55,000
  
59,400
  
Cenveo Corp.:
            
 
8.875%, 2/1/2018
    
100,000
  
98,875
  
 
144A, 10.5%, 8/15/2016
    
55,000
  
56,237
  
CHC Helicopter SA, 144A, 9.25%, 10/15/2020 (b)
    
100,000
  
101,000
  
Clean Harbors, Inc., 7.625%, 8/15/2016
    
32,000
  
33,280
  
Congoleum Corp., 8.625%, 8/19/2019 **
    
125,000
  
28,750
  
Corrections Corp. of America, 7.75%, 6/1/2017
    
30,000
  
32,250
  
DynCorp International, Inc., 144A, 10.375%, 7/1/2017
    
85,000
  
84,575
  
FTI Consulting, Inc., 144A, 6.75%, 10/1/2020
    
145,000
  
146,087
  
Garda World Security Corp., 144A, 9.75%, 3/15/2017
    
60,000
  
63,900
  
Great Lakes Dredge & Dock Co., 7.75%, 12/15/2013
    
50,000
  
50,250
  
Hutchison Whampoa International 09/19 Ltd., 144A, 5.75%, 9/11/2019
    
225,000
  
249,916
  
Iron Mountain, Inc., 8.375%, 8/15/2021
    
15,000
  
16,219
  
K. Hovnanian Enterprises, Inc., 8.875%, 4/1/2012
    
55,000
  
52,800
  
Kansas City Southern de Mexico SA de CV:
            
 
7.375%, 6/1/2014
    
115,000
  
119,025
  
 
7.625%, 12/1/2013
    
155,000
  
160,425
  
 
144A, 8.0%, 2/1/2018
    
105,000
  
112,875
  
Kansas City Southern Railway Co., 8.0%, 6/1/2015
    
100,000
  
107,625
  
Masco Corp., 7.125%, 3/15/2020
    
145,000
  
148,541
  
Mobile Mini, Inc., 9.75%, 8/1/2014
    
65,000
  
67,925
  
Navios Maritime Holdings, Inc., 9.5%, 12/15/2014
    
75,000
  
76,500
  
Oshkosh Corp.:
            
 
8.25%, 3/1/2017
    
10,000
  
10,750
  
 
8.5%, 3/1/2020
    
25,000
  
27,063
  
Owens Corning, Inc., 9.0%, 6/15/2019
    
217,000
  
256,690
  
Ply Gem Industries, Inc., 13.125%, 7/15/2014
    
95,000
  
96,781
  
RailAmerica, Inc., 9.25%, 7/1/2017
    
36,000
  
39,465
  
RBS Global & Rexnord Corp., 8.5%, 5/1/2018
    
120,000
  
121,950
  
Republic Services, Inc., 5.0%, 3/1/2020
    
145,000
  
157,846
  
Sitel LLC, 144A, 11.5%, 4/1/2018
    
95,000
  
76,000
  
SPX Corp., 144A, 6.875%, 9/1/2017
    
20,000
  
21,200
  
Textron, Inc., 7.25%, 10/1/2019
    
145,000
  
171,736
  
Titan International, Inc.:
            
 
144A, 7.875%, 10/1/2017 (b)
    
160,000
  
161,600
  
 
8.0%, 1/15/2012
    
195,000
  
209,625
  
TransDigm, Inc., 7.75%, 7/15/2014
    
30,000
  
30,338
  
USG Corp., 144A, 9.75%, 8/1/2014
    
45,000
  
46,912
  
 
 
3,843,241
  
Information Technology 2.5%
  
Agilent Technologies, Inc., 5.0%, 7/15/2020
    
70,000
  
74,276
  
Alcatel-Lucent USA, Inc., 6.45%, 3/15/2029
    
70,000
  
50,925
  
Amkor Technology, Inc., 144A, 7.375%, 5/1/2018
    
45,000
  
45,563
  
Aspect Software, Inc., 144A, 10.625%, 5/15/2017
    
60,000
  
62,325
  
Equinix, Inc., 8.125%, 3/1/2018
    
120,000
  
128,100
  
Fidelity National Information Services, Inc.:
            
 
144A, 7.625%, 7/15/2017
    
20,000
  
21,350
  
 
144A, 7.875%, 7/15/2020
    
25,000
  
26,938
  
First Data Corp.:
            
 
144A, 8.875%, 8/15/2020
    
85,000
  
88,187
  
 
9.875%, 9/24/2015
    
45,000
  
36,788
  
Freescale Semiconductor, Inc., 144A, 9.25%, 4/15/2018
    
265,000
  
275,600
  
Jabil Circuit, Inc., 7.75%, 7/15/2016
    
30,000
  
32,888
  
L-3 Communications Corp.:
            
 
5.875%, 1/15/2015
    
105,000
  
107,362
  
 
Series B, 6.375%, 10/15/2015
    
80,000
  
82,500
  
MasTec, Inc., 7.625%, 2/1/2017
    
65,000
  
64,837
  
NXP BV:
            
 
3.276% ***, 10/15/2013
    
150,000
  
141,750
  
 
7.875%, 10/15/2014
    
75,000
  
77,625
  
Seagate HDD Cayman, 144A, 6.875%, 5/1/2020
    
20,000
  
19,550
  
Seagate Technology International, 144A, 10.0%, 5/1/2014
    
25,000
  
29,500
  
SunGard Data Systems, Inc., 10.25%, 8/15/2015
    
225,000
  
236,812
  
Unisys Corp., 144A, 12.75%, 10/15/2014
    
80,000
  
95,200
  
Vangent, Inc., 9.625%, 2/15/2015
    
35,000
  
32,069
  
Western Union Co., 6.2%, 6/21/2040
    
145,000
  
157,732
  
 
 
1,887,877
  
Materials 6.2%
  
Appleton Papers, Inc., 144A, 11.25%, 12/15/2015
    
25,000
  
18,500
  
ArcelorMittal, 6.125%, 6/1/2018
    
250,000
  
270,379
  
Ashland, Inc., 9.125%, 6/1/2017
    
55,000
  
62,975
  
Ball Corp.:
            
 
7.125%, 9/1/2016
    
30,000
  
32,400
  
 
7.375%, 9/1/2019
    
25,000
  
27,188
  
Berry Plastics Corp., 9.5%, 5/15/2018
    
65,000
  
61,100
  
Boise Paper Holdings LLC, 8.0%, 4/1/2020
    
30,000
  
31,050
  
Celanese US Holdings LLC, 144A, 6.625%, 10/15/2018
    
35,000
  
35,788
  
CF Industries, Inc., 6.875%, 5/1/2018
    
25,000
  
26,906
  
Chemtura Corp., 144A, 7.875%, 9/1/2018
    
25,000
  
26,125
  
Clondalkin Acquisition BV, 144A, 2.292% ***, 12/15/2013
    
75,000
  
67,875
  
CPG International I, Inc., 10.5%, 7/1/2013
    
130,000
  
131,300
  
Crown Americas LLC, 7.625%, 5/15/2017
    
30,000
  
32,400
  
Crown European Holdings SA, 144A, 7.125%, 8/15/2018
EUR
  
50,000
  
71,571
  
Dow Chemical Co.:
            
 
8.55%, 5/15/2019
    
145,000
  
183,090
  
 
9.4%, 5/15/2039
    
145,000
  
205,245
  
Essar Steel Algoma, Inc., 144A, 9.375%, 3/15/2015
    
240,000
  
241,200
  
Exopack Holding Corp., 11.25%, 2/1/2014
    
160,000
  
163,600
  
GEO Specialty Chemicals, Inc.:
            
 
144A, 7.5%, 3/31/2015 (PIK)
    
120,175
  
105,754
  
 
10.0%, 3/31/2015
    
119,040
  
104,755
  
Georgia-Pacific LLC:
            
 
144A, 7.0%, 1/15/2015
    
45,000
  
46,800
  
 
144A, 7.125%, 1/15/2017
    
35,000
  
37,056
  
 
144A, 8.25%, 5/1/2016
    
65,000
  
72,231
  
Graham Packaging Co. LP, 144A, 8.25%, 10/1/2018
    
25,000
  
25,406
  
Graphic Packaging International, Inc.:
            
 
7.875%, 10/1/2018
    
10,000
  
10,275
  
 
9.5%, 6/15/2017
    
130,000
  
138,450
  
Greif, Inc., 7.75%, 8/1/2019
    
195,000
  
210,844
  
Hexcel Corp., 6.75%, 2/1/2015
    
280,000
  
280,700
  
Huntsman International LLC:
            
 
8.625%, 3/15/2020
    
105,000
  
108,675
  
 
144A, 8.625%, 3/15/2021
    
25,000
  
25,875
  
International Paper Co., 7.95%, 6/15/2018
    
145,000
  
175,849
  
Lyondell Chemical Co., 144A, 8.0%, 11/1/2017
    
100,000
  
109,250
  
Millar Western Forest Products Ltd., 7.75%, 11/15/2013
    
35,000
  
31,238
  
Momentive Performance Materials, Inc.:
            
 
9.0%, 12/1/2014
EUR
  
115,000
  
154,422
  
 
9.75%, 12/1/2014
    
65,000
  
66,625
  
NewMarket Corp., 7.125%, 12/15/2016
    
110,000
  
108,900
  
Novelis, Inc., 11.5%, 2/15/2015
    
35,000
  
39,988
  
Owens-Brockway Glass Container, Inc., 7.375%, 5/15/2016
    
110,000
  
118,387
  
Plastipak Holdings, Inc., 144A, 10.625%, 8/15/2019
    
15,000
  
16,650
  
Radnor Holdings Corp., 11.0%, 3/15/2010 **
    
25,000
  
3
  
Silgan Holdings, Inc., 7.25%, 8/15/2016
    
50,000
  
53,062
  
Solo Cup Co., 10.5%, 11/1/2013
    
170,000
  
175,950
  
Teck Resources Ltd.:
            
 
4.5%, 1/15/2021
    
310,000
  
321,167
  
 
10.75%, 5/15/2019
    
67,000
  
84,373
  
Texas Industries, Inc., 144A, 9.25%, 8/15/2020
    
75,000
  
77,812
  
United States Steel Corp., 7.375%, 4/1/2020
    
80,000
  
83,400
  
Viskase Companies, Inc.,
            
Viskase Companies, Inc., 144A, 9.875%, 1/15/2018
    
145,000
  
147,900
  
Wolverine Tube, Inc., 15.0%, 3/31/2012 (PIK)
    
91,631
  
48,106
  
 
 
4,668,595
  
Telecommunication Services 6.8%
  
CC Holdings GS V LLC, 144A, 7.75%, 5/1/2017
    
350,000
  
386,750
  
Cincinnati Bell, Inc., 8.75%, 3/15/2018
    
170,000
  
165,750
  
Cricket Communications, Inc.:
            
 
9.375%, 11/1/2014
    
205,000
  
212,175
  
 
10.0%, 7/15/2015
    
100,000
  
108,000
  
Crown Castle International Corp., 9.0%, 1/15/2015
    
195,000
  
214,987
  
Crown Castle Towers LLC, 144A, 4.883%, 8/15/2020
    
150,000
  
154,969
  
Digicel Group Ltd., 144A, 10.5%, 4/15/2018
    
100,000
  
109,750
  
Digicel Ltd., 144A, 8.25%, 9/1/2017
    
200,000
  
210,000
  
ERC Ireland Preferred Equity Ltd., 144A, 7.899% ***, 2/15/2017 (PIK)
EUR
  
77,989
  
15,938
  
Frontier Communications Corp.:
            
 
6.25%, 1/15/2013
    
36,000
  
37,710
  
 
7.875%, 4/15/2015
    
10,000
  
10,800
  
 
8.25%, 4/15/2017
    
70,000
  
76,563
  
 
8.5%, 4/15/2020
    
90,000
  
99,338
  
 
8.75%, 4/15/2022
    
10,000
  
11,000
  
Grupo Iusacell Celular SA de CV, 10.0%, 3/31/2012 **
    
29,280
  
9,406
  
Hughes Network Systems LLC, 9.5%, 4/15/2014
    
150,000
  
155,250
  
Intelsat Corp., 9.25%, 6/15/2016
    
380,000
  
405,175
  
Intelsat Jackson Holdings SA:
            
 
144A, 7.25%, 10/15/2020
    
120,000
  
120,600
  
 
11.25%, 6/15/2016
    
60,000
  
65,250
  
Intelsat Luxembourg SA, 11.5%, 2/4/2017 (PIK)
    
35,000
  
37,931
  
Intelsat Subsidiary Holding Co. SA, 8.875%, 1/15/2015
    
195,000
  
201,825
  
iPCS, Inc., 2.591% ***, 5/1/2013
    
35,000
  
33,250
  
MetroPCS Wireless, Inc.:
            
 
7.875%, 9/1/2018
    
25,000
  
25,750
  
 
9.25%, 11/1/2014
    
335,000
  
350,913
  
Millicom International Cellular SA, 10.0%, 12/1/2013
    
265,000
  
272,619
  
Nextel Communications, Inc., Series E, 6.875%, 10/31/2013
    
60,000
  
60,375
  
Qwest Communications International, Inc.:
            
 
144A, 7.125%, 4/1/2018
    
55,000
  
57,750
  
 
8.0%, 10/1/2015
    
60,000
  
64,950
  
Qwest Corp., 7.5%, 10/1/2014
    
285,000
  
322,050
  
SBA Telecommunications, Inc.:
            
 
8.0%, 8/15/2016
    
35,000
  
37,625
  
 
8.25%, 8/15/2019
    
25,000
  
27,500
  
Sprint Nextel Corp., 8.375%, 8/15/2017
    
115,000
  
124,775
  
Telefonica Emisiones SAU, 6.421%, 6/20/2016
    
145,000
  
169,950
  
Telesat Canada, 11.0%, 11/1/2015
    
180,000
  
203,400
  
Verizon Communications, Inc., 8.95%, 3/1/2039
    
110,000
  
161,290
  
West Corp.:
            
 
144A, 8.625%, 10/1/2018
    
15,000
  
15,000
  
 
9.5%, 10/15/2014
    
65,000
  
68,006
  
Windstream Corp.:
            
 
7.0%, 3/15/2019
    
60,000
  
58,800
  
 
7.875%, 11/1/2017
    
135,000
  
140,737
  
 
144A, 8.125%, 9/1/2018
    
70,000
  
72,450
  
 
8.625%, 8/1/2016
    
10,000
  
10,575
  
 
 
5,086,932
  
Utilities 3.8%
  
AES Corp.:
            
 
8.0%, 10/15/2017
    
10,000
  
10,800
  
 
8.0%, 6/1/2020
    
175,000
  
189,875
  
 
144A, 8.75%, 5/15/2013
    
257,000
  
260,855
  
AmerenEnergy Generating Co., 6.3%, 4/1/2020 (c)
    
145,000
  
143,301
  
Calpine Corp., 144A, 7.875%, 7/31/2020
    
95,000
  
97,612
  
Mirant Americas Generation LLC, 8.3%, 5/1/2011
    
230,000
  
236,037
  
Mirant North America LLC, 7.375%, 12/31/2013
    
60,000
  
61,800
  
NRG Energy, Inc.:
            
 
7.25%, 2/1/2014
    
390,000
  
400,237
  
 
7.375%, 2/1/2016
    
660,000
  
678,975
  
 
7.375%, 1/15/2017
    
90,000
  
92,250
  
 
144A, 8.25%, 9/1/2020
    
85,000
  
87,656
  
NV Energy, Inc.:
            
 
6.75%, 8/15/2017
    
80,000
  
82,344
  
 
8.625%, 3/15/2014
    
25,000
  
25,719
  
Oncor Electric Delivery Co., 144A, 5.25%, 9/30/2040
    
130,000
  
132,414
  
RRI Energy, Inc., 7.875%, 6/15/2017
    
25,000
  
23,313
  
Suburban Propane Partners LP, 7.375%, 3/15/2020
    
15,000
  
15,938
  
Toledo Edison Co., 7.25%, 5/1/2020
    
230,000
  
289,645
  
 
 
2,828,771
  
 
Total Corporate Bonds (Cost $45,917,576)
  
47,643,917
  
 
 
Mortgage-Backed Securities Pass-Throughs 2.1%
  
Government National Mortgage Association, 4.5%, 5/1/2039 (b) (Cost $1,574,063)
    
1,500,000
  
1,575,117
  
 
 
Commercial Mortgage-Backed Securities 2.6%
  
Credit Suisse Mortgage Capital Certificates Trust, "A2", Series 2007-C1, 5.268%, 2/15/2040
    
814,000
  
840,297
  
JPMorgan Chase Commercial Mortgage Securities Corp.:
            
 
"F", Series 2004-LN2, 144A, 5.634% ***, 7/15/2041
    
500,000
  
324,381
  
 
"A4", Series 2006-LDP7, 5.872% ***, 4/15/2045
    
140,000
  
155,203
  
LB-UBS Commercial Mortgage Trust, "A3", Series 2006-C7, 5.347%, 11/15/2038
    
440,000
  
470,800
  
Wachovia Bank Commercial Mortgage Trust, "A4", Series 2005-C22, 5.437% ***, 12/15/2044
    
140,000
  
153,012
  
 
Total Commercial Mortgage-Backed Securities (Cost $1,927,982)
  
1,943,693
  
 
 
Collateralized Mortgage Obligations 2.2%
  
Banc of America Mortgage Securities, "2A2", Series 2004-A, 3.516% ***, 2/25/2034
    
202,736
  
183,418
  
Bear Stearns Adjustable Rate Mortgage Trust, "2A1", Series 2005-11, 3.538% ***, 12/25/2035
    
279,122
  
266,550
  
Citicorp Mortgage Securities, Inc., "1A7", Series 2006-4, 6.0%, 8/25/2036
    
100,970
  
98,640
  
Federal National Mortgage Association, "BI", Series 2010-13, Interest Only, 5.0%, 12/25/2038
    
461,522
  
65,605
  
Government National Mortgage Association, "XA", Series 2009-118, 5.0%, 12/20/2039
    
358,785
  
364,326
  
Merrill Lynch Mortgage Investors Trust:
            
 
"2A", Series 2003-A6, 3.323% ***, 10/25/2033
    
139,021
  
137,229
  
 
"2A1A", Series 2005-A9, 4.341% ***, 12/25/2035
    
155,817
  
155,666
  
Vericrest Opportunity Loan Transferee, "M", Series 2010-NPL1, 144A, 6.0%, 5/25/2039
    
150,000
  
146,709
  
Washington Mutual Mortgage Pass-Through Certificates Trust, "1A1", Series 2005-AR12, 2.803% ***, 10/25/2035
    
133,819
  
127,055
  
Wells Fargo Mortgage Backed Securities Trust, "A3", Series 2005-4, 5.0%, 4/25/2035
    
131,735
  
131,157
  
 
Total Collateralized Mortgage Obligations (Cost $1,571,849)
  
1,676,355
  
 
 
Government & Agency Obligations 21.5%
  
Other Government Related (d) 5.3%
  
Citibank NA, FDIC Guaranteed, 0.448% ***, 5/7/2012
    
650,000
  
650,822
  
International Bank for Reconstruction & Development, 5.25% ***, 4/9/2025
    
290,000
  
289,710
  
JPMorgan Chase & Co., Series 3, FDIC Guaranteed, 0.539% ***, 12/26/2012
    
232,000
  
233,488
  
Kreditanstalt fuer Wiederaufbau, 1.35%, 1/20/2014
JPY
  
185,000,000
  
2,290,062
  
Pemex Project Funding Master Trust, 5.75%, 3/1/2018
    
460,000
  
504,129
  
 
 
3,968,211
  
Sovereign Bonds 9.2%
  
Federative Republic of Brazil:
            
 
8.875%, 10/14/2019
    
295,000
  
415,212
  
 
12.5%, 1/5/2016
BRL
  
250,000
  
165,874
  
Government of Canada, 4.5%, 6/1/2015
CAD
  
350,000
  
379,316
  
Republic of Argentina, 5.83%, 12/31/2033
ARS
  
448
  
145
  
Republic of El Salvador, 144A, 7.65%, 6/15/2035
    
156,000
  
169,650
  
Republic of Greece, 3.6%, 7/20/2016
EUR
  
850,000
  
817,380
  
Republic of Indonesia, 144A, 6.875%, 3/9/2017
    
440,000
  
530,200
  
Republic of Lithuania:
            
 
144A, 5.125%, 9/14/2017
    
205,000
  
203,206
  
 
144A, 7.375%, 2/11/2020
    
195,000
  
217,846
  
Republic of Panama, 9.375%, 1/16/2023
    
500,000
  
695,000
  
Republic of Peru, 7.35%, 7/21/2025
    
285,000
  
369,787
  
Republic of Poland, 6.375%, 7/15/2019
    
345,000
  
406,469
  
Republic of South Africa, 6.875%, 5/27/2019
    
220,000
  
268,950
  
Republic of Uruguay:
            
 
7.625%, 3/21/2036
    
60,000
  
77,400
  
 
9.25%, 5/17/2017
    
105,000
  
138,600
  
Republic of Venezuela, 9.25%, 9/15/2027
    
150,000
  
109,875
  
Russian Federation, REG S, 7.5%, 3/31/2030
    
478,731
  
571,701
  
Socialist Republic of Vietnam, 144A, 6.875%, 1/15/2016
    
100,000
  
111,000
  
United Kingdom Treasury Bond, 3.75%, 9/7/2019
GBP
  
750,000
  
1,257,466
  
 
 
6,905,077
  
US Government Sponsored Agency 0.1%
  
Federal Home Loan Mortgage Corp., 1.125%, 12/15/2011
    
100,000
  
100,893
  
US Treasury Obligations 6.9%
  
US Treasury Bill, 0.185% ****, 3/17/2011 (e)
    
99,000
  
98,917
  
US Treasury Bond, 4.375%, 5/15/2040
    
1,051,000
  
1,180,410
  
US Treasury Notes:
            
 
0.875%, 2/29/2012
    
1,500,000
  
1,511,430
  
 
2.5%, 3/31/2015
    
180,000
  
190,870
  
 
2.625%, 8/15/2020 (c)
    
2,207,000
  
2,227,691
  
 
 
5,209,318
  
 
Total Government & Agency Obligations (Cost $14,880,499)
  
16,183,499
  
 
 
Loan Participations and Assignments 3.7%
  
Senior Loans*** 3.2%
  
Big West Oil LLC, Term Loan, 12.0%, 7/23/2015
    
31,597
  
32,229
  
Buffets, Inc.:
            
 
Letter of Credit, First Lien, 7.525%, 4/22/2015
    
11,511
  
9,353
  
 
Term Loan B, 12.0%, 4/21/2015
    
69,587
  
65,139
  
Charter Communications Operating LLC:
            
 
Replacement Term Loan, 2.26%, 3/6/2014
    
21,625
  
21,125
  
 
Term Loan, 3.54%, 9/6/2016
    
208,674
  
203,822
  
 
New Term Loan, 7.25%, 3/6/2014
    
112,413
  
116,306
  
Clarke American Corp., Term Loan B, 2.789%, 6/30/2014
    
22,133
  
19,389
  
Ford Motor Co., Term Loan B1, 3.05%, 12/16/2013
    
221,217
  
217,012
  
Hawker Beechcraft Acquisition Co., LLC:
            
 
Term Loan, 2.256%, 3/26/2014
    
166,068
  
134,626
  
 
Letter of Credit, 2.633%, 3/26/2014
    
9,903
  
8,029
  
Hexion Specialty Chemicals, Inc.:
            
 
Term Loan C2, 2.563%, 5/6/2013
    
58,987
  
56,668
  
 
Term Loan C1, 2.813%, 5/6/2013
    
114,960
  
110,441
  
IASIS Healthcare LLC, Term Loan, 5.725%, 6/13/2014 (PIK)
    
107,855
  
102,957
  
Kabel Deutschland GmbH, Term Loan, 7.983%, 11/19/2014 (PIK)
EUR
  
91,111
  
124,087
  
Nuveen Investments, Inc., First Lien, Term Loan, 3.289%, 11/13/2014
    
115,000
  
103,687
  
OSI Restaurant Partners LLC:
            
 
Term Loan, 2.625%, 6/14/2013
    
11,007
  
10,131
  
 
Term Loan B, 2.625%, 6/14/2014
    
121,098
  
111,456
  
Pinafore LLC, Term Loan B, 6.75%, 9/21/2016
    
380,000
  
383,671
  
Sabre, Inc., Term Loan B, 2.256%, 9/30/2014
    
48,148
  
44,667
  
Sbarro, Inc., Term Loan, 4.775%, 1/31/2014
    
40,000
  
36,200
  
Texas Competitive Electric Holdings Co., LLC:
            
 
Term Loan B3, 3.758%, 10/10/2014
    
317,341
  
246,398
  
 
Term Loan B2, 4.066%, 10/10/2014
    
59,271
  
46,189
  
Tribune Co., Term Loan B, LIBOR plus 3.0%, 6/4/2014 **
    
88,875
  
58,238
  
US Foodservice, Inc., Term Loan B, 2.76%, 5/29/2012
    
84,564
  
76,824
  
VML US Finance LLC:
            
 
Delayed Draw Term Loan B, 4.78%, 5/25/2012
    
18,209
  
18,020
  
 
Term Loan B, 4.78%, 5/27/2013
    
31,525
  
31,196
  
 
 
2,387,860
  
Sovereign Loans 0.5%
  
BOM Capital PLC, 144A, 6.699%, 3/11/2015
    
205,000
  
208,342
  
VTB Bank, 144A, 6.875%, 5/29/2018
    
145,000
  
152,801
  
 
 
361,143
  
 
Total Loan Participations and Assignments (Cost $2,784,203)
  
2,749,003
  
 
 
Preferred Securities 0.8%
  
Financials 0.7%
  
Capital One Capital VI, 8.875%, 5/15/2040
    
330,000
  
346,500
  
USB Capital XIII Trust, 6.625%, 12/15/2039
    
145,000
  
148,299
  
 
 
494,799
  
Materials 0.1%
  
Hercules, Inc., 6.5%, 6/30/2029
    
95,000
  
77,662
  
 
Total Preferred Securities (Cost $526,794)
  
572,461
  

 
Shares
  
Value ($)
  
 
 
Common Stocks 0.0%
  
Consumer Discretionary 0.0%
  
Buffets Restaurants Holdings, Inc.*
  
2,318
  
5,331
  
Dex One Corp.*
  
540
  
6,631
  
SuperMedia, Inc.*
  
99
  
1,047
  
Trump Entertainment Resorts, Inc.*
  
6
  
109
  
Vertis Holdings, Inc.*
  
940
  
0
  
 
 
13,118
  
Industrials 0.0%
  
Quad Graphics, Inc.*
  
69
  
3,224
  
Materials 0.0%
  
GEO Specialty Chemicals, Inc.*
  
2,058
  
1,749
  
 
Total Common Stocks (Cost $279,467)
  
18,091
  
 
 
Warrants 0.0%
  
Consumer Discretionary 0.0%
  
Reader's Digest Association, Inc., Expiration Date 2/19/2014*
  
159
  
5
  
Materials 0.0%
  
Ashland, Inc., Expiration Date 3/31/2029*
  
85
  
0
  
 
Total Warrants (Cost $17,432)
  
5
  

 
Units
  
Value ($)
  
 
 
Other Investments 0.0%
  
Consumer Discretionary
    
AOT Bedding Super Holdings LLC* (Cost $4,000)
    
4
  
4,000
  

 
Contracts
  
Value ($)
  
 
 
Call Options Purchased 0.0%
  
Floating Rate— LIBOR, Effective Date 5/16/2011, Expiration Date 5/16/2012, Cap Rate 3.0%  (Cost $54,460)
  
14,000,000
  
225
  

 
Shares
  
Value ($)
  
 
 
Securities Lending Collateral 2.2%
  
Daily Assets Fund Institutional, 0.29% (f) (g)
(Cost $1,690,935)
    
1,690,935
  
1,690,935
  
 
 
Cash Equivalents 6.0%
  
Central Cash Management Fund, 0.21% (f)
(Cost $4,512,584)
    
4,512,584
  
4,512,584
  

 
% of
Net Assets
  
Value ($)
  
 
Total Investment Portfolio (Cost $75,741,844) †
104.4
  
78,569,885
  
Other Assets and Liabilities, Net
(4.4)
  
(3,328,637)
  
 
Net Assets
100.0
  
75,241,248
  

For information on the Portfolio's policies regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio's most recent semi-annual or annual financial statements.
*
Non-income producing security.
**
Non-income producing security.  Issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.  The following table represents bonds and senior loans that are in default:

Security
  
Coupon
  
Maturity
Date
  
Principal Amount ($)
  
Acquisition
Cost ($)
    
Value ($)
  
Buffalo Thunder Development Authority
     9.375 %
12/15/2014
     30,000  
USD
     30,000       7,800  
CanWest MediaWorks LP
     9.25 %
8/1/2015
     50,000  
USD
     50,000       9,000  
Congoleum Corp.
     8.625 %
8/19/2019
     125,000  
USD
     105,994       28,750  
Fontainebleau Las Vegas Holdings LLC
     11.0 %
6/15/2015
     65,000  
USD
     65,225       10  
Grupo Iusacell Celular SA de CV
     10.0 %
3/31/2012
     29,280  
USD
     28,863       9,406  
Radnor Holdings Corp.
     11.0 %
3/15/2010
     25,000  
USD
     15,888       3  
Tribune Co.
LIBOR plus 3.0%
6/4/2014
     88,875  
USD
     88,819       58,238  
Tropicana Entertainment LLC
     9.625 %
12/15/2014
     150,000  
USD
     122,979       315  
Young Broadcasting, Inc.
     8.75 %
1/15/2014
     275,000  
USD
     224,631       3  
                    732,399       113,525  
 

***
These securities are shown at their current rate as of September 30, 2010.  Floating rate securities' yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate.
****
Annualized yield at time of purchase; not a coupon rate.
†
The cost for federal income tax purposes was $75,981,625.  At September 30, 2010, net unrealized appreciation for all securities based on tax cost was $2,588,260.  This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $4,385,561 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $1,797,301.
(a)
Principal amount stated in US dollars unless otherwise noted.
(b)
When-issued or delayed delivery security included.
(c)
All or a portion of these securities were on loan. The value of all securities loaned at September 30, 2010 amounted to $1,647,481 which is 2.2% of net assets.
(d)
Government-backed debt issued by financial companies or government sponsored enterprises.
(e)
At September 30, 2010, this security has been pledged, in whole or in part, to cover initial margin requirements for open futures contracts.
(f)
Affiliated fund managed by Deutsche Investment Management Americas Inc.  The rate shown is the annualized seven-day yield at period end.
(g)
Represents collateral held in connection with securities lending.  Income earned by the Portfolio is net of borrower rebates.
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
FDIC: Federal Deposit Insurance Corp.
Interest Only: Interest Only (IO) bonds represent the "interest only" portion of payments on a pool of underlying mortgages or mortgage-backed securities. IO securities are subject to prepayment risk of the pool of underlying mortgages.
PIK: Denotes that all or a portion of the income is paid in kind.
REG S: Securities sold under Regulation S may not be offered, sold or delivered within the United States or to, or for the account or benefit of, US persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
REIT: Real Estate Investment Trust
At September 30, 2010, open futures contracts purchased were as follows:

Futures
Currency
Expiration
Date
  
Contracts
    
Notional
Value ($)
    
Unrealized
Appreciation/
(Depreciation) ($)
  
   
10 Year Japanese Government Bond
JPY
12/9/2010
     1       1,718,016       28,151  
10 Year US Treasury Note
USD
12/21/2010
     28       3,529,313       6,125  
2 Year US Treasury Note
USD
12/31/2010
     11       2,414,328       4,984  
AEX Index
EUR
10/15/2010
     2       182,267       (1,499 )
CAC 40 Index
EUR
10/15/2010
     13       657,496       (7,307 )
DAX Index
EUR
12/17/2010
     1       212,701       (1,108 )
Federal Republic of Germany Euro-Bund
EUR
12/8/2010
     2       358,344       (2,863 )
Federal Republic of Germany Euro-Schatz
EUR
12/8/2010
     117       17,399,089       (52,984 )
FTSE 100 Index
GBP
12/17/2010
     1       86,863       (196 )
NASDAQ 1000 E-Mini Index
USD
12/17/2010
     3       119,730       4,725  
TOPIX Index
JPY
12/10/2010
     1       99,006       155  
United Kingdom Long Gilt Bond
GBP
12/29/2010
     4       781,177       (2,702 )
Total net unrealized depreciation
       (24,519 )  
 

At September 30, 2010, open futures contracts sold were as follows:

Futures
Currency
Expiration
Date
  
Contracts
    
Notional
Value ($)
    
Unrealized
Appreciation/
(Depreciation) ($)
  
   
10 Year Australian Treasury Bond
AUD
12/15/2010
     7       729,874       (4,954 )
10 Year Canadian Government Bond
CAD
12/20/2010
     18       2,212,693       (14,171 )
ASX SPI 200 Index
AUD
12/16/2010
     3       333,460       4,422  
DJ Euro Stoxx 50 Index
EUR
12/17/2010
     15       559,887       11,656  
Federal Republic of Germany Euro-Bund
EUR
12/8/2010
     38       6,808,536       (54,912 )
FTSE MIB Index
EUR
12/17/2010
     1       139,058       1,629  
Russell 2000 E-Mini Index
USD
12/17/2010
     3       202,350       (7,905 )
S&P 500 E-Mini Index
USD
12/17/2010
     5       284,175       (5,125 )
United Kingdom Long Gilt Bond
GBP
12/29/2010
     12       2,343,531       2,132  
Total net unrealized depreciation
       (67,228 )  
 

At September 30, 2010, open written interest rate option contracts were as follows:

Effective/
Expiration
Date
Cash Flows Paid
  
Contract
Amount
    
Strike Rate (%)
    
Value ($)
    
Premiums
Received ($)
    
Unrealized
(Depreciation) ($)
  
Call Option
 
5/16/2011
5/16/2012
 
30-year USD Swap Rate - 10-year USD Swap Rate
     29,000,000       0.6       (52,536 )     30,740       (21,796 )

At September 30, 2010, open credit default swap contracts purchased were as follows:

Effective/
Expiration
Date
Notional
Amount ($)
Fixed
Cash
Flows
Paid
Underlying Debt
Obligation
Value ($)
Upfront Payments
Paid/
(Received) ($)
Unrealized
Depreciation ($)
  
 
   
3/22/2010
6/20/2015
2,000,0001
1.0%
Markit CDX.NA.IG
479
7,140
(6,661)
    
3/22/2010
6/20/2015
2,000,0002
1.0%
Markit CDX.NA.IG
479
11,070
(10,591)
    
Total unrealized depreciation
(17,252)
    
 

At September 30, 2010, open credit default swap contracts sold were as follows:

Effective/
Expiration
Date
Notional
Amount ($) (i)
Fixed
Cash
Flows
Received
Underlying Debt
Obligation/
Quality Rating (h)
Value ($)
Upfront Payments
Paid/
(Received) ($)
Unrealized
Appreciation/
(Depreciation) ($)
  
   
9/21/2009
12/20/2014
290,0003
1.0%
Berkshire Hathaway Finance Corp.,
4.625%, 10/15/2013, AA
(5,270)
(7,340)
2,070
    
6/21/2010
9/20/2013
70,0001
5.0%
Ford Motor Co.,
6.5%, 8/1/2018, B
3,725
858
2,867
    
6/21/2010
9/20/2015
90,0004
5.0%
Ford Motor Co.,
6.5%, 8/1/2018, B
1,490
(1,604)
3,094
    
3/22/2010
6/20/2015
290,0002
1.0%
Freeport-McMoRan Copper & Gold, Inc.,
8.375%, 4/1/2017, BB
(4,946)
(1,645)
(3,301)
    
Total net unrealized appreciation
4,730
    
 

(h)
The quality ratings represent the lower of Moody's Investors Service, Inc. ("Moody's") or Standard & Poor's Corporation ("S&P") credit ratings.
(i)
The maximum potential amount of future undiscounted payments that the Portfolio could be required to make under a credit default swap contract would be the notional amount of the contract.  These potential amounts would be partially offset by any recovery values of the referenced debt obligation or net amounts received from the settlement of buy protection credit default swap contracts entered into by the Portfolio for the same referenced debt obligation.
At September 30, 2010, open interest rate swaps were as follows:

Effective/
Expiration
Date
Notional
Amount ($)
Cash Flows
Paid by
the Fund
Cash Flows
Received by
the Fund
Value ($)
Upfront
Payments
Paid/
(Received) ($)
Unrealized
Appreciation/
(Depreciation) ($)
  
   
10/27/2010
10/27/2020
1,500,0002
Fixed — 4.12%
Floating — LIBOR
(206,765)
 525
(207,290)
    
11/24/2010
11/24/2020
1,300,0005
Fixed — 3.96%
Floating — LIBOR
(156,631)
591
(157,222)
    
4/20/2009
4/20/2024
500,0002
Floating — LIBOR
Floating — 8.03%††
15,157
—
15,157
    
11/15/2009
11/15/2024
300,0005
Floating — LIBOR
Fixed — 8.7%††
4,275
—
4,275
    
Total net unrealized depreciation
(345,080)
    
 

††
These interest rate swaps are shown at their current rate as of September 30, 2010.
At September 30, 2010, open total return swap contracts were as follows:

Effective/
Expiration
Date
  
Notional
Amount ($)
    
Fixed
Cash
Flows
Paid
  
Reference
Entity
  
Value ($)
    
Upfront Payments
Paid/
(Received) ($)
    
Unrealized
(Depreciation) ($)
 
5/28/2010
6/1/2012
     2,800,000 1     0.45 %
Global Interest Rate Strategy Index
     644       1,867       (1,223 )

Counterparties:
  
1
Citigroup, Inc.
  
2
Morgan Stanley
  
3
JPMorgan Chase Securities, Inc.
  
4
Bank of America
  
5
Barclays Bank PLC
  
LIBOR: London InterBank Offered Rate
As of September 30, 2010, the Portfolio had the following open forward foreign currency exchange contracts:
  

Contracts to Deliver
  
In Exchange For
  
Settlement
Date
  
Unrealized
Appreciation ($)
  
Counterparty
 
USD
     112,426  
NZD
     154,000  
10/21/2010
     368  
HSBC Bank USA
USD
     1,378,598  
SEK
     9,876,000  
10/21/2010
     85,787  
HSBC Bank USA
USD
     1,081,029  
CAD
     1,114,000  
10/21/2010
     1,173  
Morgan Stanley
USD
     759,713  
AUD
     818,000  
10/21/2010
     28,855  
UBS AG
USD
     340,327  
NOK
     2,086,000  
10/21/2010
     13,962  
UBS AG
Total unrealized appreciation
         130,145    
 

Contracts to Deliver
  
In Exchange For
  
Settlement
Date
  
Unrealized
Depreciation ($)
  
Counterparty
 
JPY
     6,654,000  
USD
     79,238  
10/21/2010
     (485 )
HSBC Bank USA
CHF
     891,000  
USD
     879,800  
10/21/2010
     (27,112 )
HSBC Bank USA
GBP
     961,000  
USD
     1,482,410  
10/21/2010
     (26,989 )
Morgan Stanley
EUR
     1,049,000  
USD
     1,346,449  
10/21/2010
     (83,373 )
UBS AG
EUR
     486,100  
USD
     647,480  
10/27/2010
     (15,060 )
Citigroup, Inc.
USD
     970,457  
CAD
     1,000,000  
11/15/2010
     (50 )
Credit Suisse
EUR
     2,985,000  
USD
     3,872,157  
11/17/2010
     (186,137 )
Morgan Stanley
JPY
     195,000,000  
USD
     2,276,237  
12/21/2010
     (59,969 )
Morgan Stanley
GBP
     925,000  
USD
     1,444,950  
12/21/2010
     (9,183 )
UBS AG
Total unrealized depreciation
         (408,358 )  
 

Currency Abbreviations
  
 
ARS
Argentine Peso
GBP
British Pound
  
AUD
Australian Dollar
JPY
Japanese Yen
  
BRL
Brazilian Real
NOK
Norwegian Krone
  
CAD
Canadian Dollar
NZD
New Zealand Dollar
  
CHF
Swiss Franc
SEK
Swedish Krona
  
EUR
Euro
USD
United States Dollar
  



Fair Value Measurements

Various inputs are used in determining the value of the Portfolio's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used as of September 30, 2010 in valuing the Portfolio's investments.

   
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets
                        
Fixed Income Investments(j)
              
 
        
Corporate Bonds
   $ —     $ 46,197,530     $ 1,446,387     $ 47,643,917  
Mortgage-Backed Securities Pass-Throughs
     —       1,575,117       —       1,575,117  
Commercial Mortgage-Backed Securities
     —       1,943,693       —       1,943,693  
Collateralized Mortgage Obligations
     —       1,676,355       —       1,676,355  
Government & Agency Obligations
     —       15,794,872       289,710       16,084,582  
Loan Participations and Assignments
     —       2,749,003       —       2,749,003  
Preferred Securities
     —       572,461       —       572,461  
Common Stocks
     16,233       —       1,858       18,091  
Warrants
     —       —       5       5  
Other Investments
     —       —       4,000       4,000  
Short-Term Investments
     6,203,519       98,917       —       6,302,436  
Derivatives (k)
     —       157,608       225       157,833  
Total
   $ 6,219,752     $ 70,765,556     $ 1,742,185     $ 78,727,493  
 
Liabilities
                      
Derivatives (k)
   $ (91,747 )   $ (794,646 )   $ (52,536 )   $ (938,929 )
Total
   $ (91,747 )   $ (794,646 )   $ (52,536 )   $ (938,929 )

There have been no significant transfers in and out of Level 1 and Level 2 fair value measurements during the period ended September 30, 2010.
(j)
See Investment Portfolio for additional detailed categorizations.
(k)
Derivatives include value of open options purchased, unrealized appreciation (depreciation) on open futures contracts, credit default swap contracts, interest rate swap contracts, total return swap contracts, forward foreign currency exchange contracts and written options, at value.



Level 3 Reconciliation


The following is a reconciliation of the Portfolio's Level 3 investments for which significant unobservable inputs were used in determining value:
 
   
Corporate Bonds
    
Asset-Backed
    
Government & Agency Obligations
    
Loan Participations and Assignments
    
Common Stocks
    
Warrants
  
Balance as of
December 31, 2009
   $ 1,399,392     $ 600,572     $ —     $ 72,237     $ 1,749     $ 625  
Total realized gain (loss)
     —       57,024       —       3,736       —       —  
Change in unrealized appreciation (depreciation)
     56,778       (25,710 )     (290 )     7,898       (12 )     (620 )
Amortization premium/discount
     11,874       —       —       407       —       —  
Net purchases (sales)
     —       (631,886 )     290,000       (84,278 )     121       —  
Transfers into Level 3
     963 (l)     —       —       —       —       —  
Transfers (out) of Level 3
     (22,620 )(m)     —       —       —       —       —  
Balance as of
September 30, 2010
   $ 1,446,387     $ —     $ 289,710     $ —     $ 1,858     $ 5  
Net change in unrealized appreciation (depreciation) from investments still held at September 30, 2010
   $ 56,778     $ —     $ (290 )   $ —     $ (12 )   $ 5  



   
Convertible Preferred
Stocks
    
Call Options Purchased
    
Other Investments
    
Total
    
Written Options
  
Balance as of
December 31, 2009
   $ 0     $ —     $ —     $ 2,074,575     $ —  
Total realized gain (loss)
     (4,191 )     —       —       56,569       —  
Change in unrealized appreciation (depreciation)
     4,191       (54,235 )     0       (12,000 )     (21,796 )
Amortization premium/discount
     —       —       —       12,281       —  
Net purchases (sales)
     0       54,460       4,000       (367,583 )     (30,740 )
Transfers into Level 3
     —       —       —       963       —  
Transfers (out) of Level 3
             —       —       (22,620 )     —  
Balance as of
September 30, 2010
   $ —     $ 225     $ 4,000     $ 1,742,185     $ (52,536 )
Net change in unrealized appreciation (depreciation) from investments still held at September 30, 2010
   $ —     $ (54,235 )   $ 0     $ 2,246     $ (21,796 )


Transfers between price levels are recognized at the beginning of the reporting period.
(l)
The investment was transferred from Level 2 to Level 3 because of the lack of observable market data due to a decrease in market activity.
(m)
The investment was transferred from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs.


Derivatives

The following table presents, by major type of derivative contract, the unrealized appreciation (depreciation) of the Portfolio's derivative instruments as of September 30, 2010 categorized by the primary underlying risk exposure. 

 
 
Primary Underlying Risk Disclosure
  
Futures
    
Swaps
    
Forward Currency Contracts
    
Options
  
Credit Contracts
   $ —     $ (12,522 )   $ —     $ —  
Equity Contracts
   $ (553 )   $ —     $ —     $ —  
Foreign Exchange Contracts
   $ —     $ —     $ (278,213 )   $ —  
Interest Rate Contracts
   $ (91,194 )   $ (346,303 )   $ —     $ (76,031 )



Investment Portfolio
as of September 30, 2010  (Unaudited)


DWS Strategic Value VIP

 
Shares
  
Value ($)
  
 
 
Common Stocks 98.4%
  
Consumer Discretionary 6.6%
  
Auto Components 0.3%
  
Goodyear Tire & Rubber Co.*
  
82,796
  
890,057
  
Hotels Restaurants & Leisure 1.8%
  
McDonald's Corp.
  
60,926
  
4,539,596
  
Leisure Equipment & Products 0.6%
  
Mattel, Inc. (a)
  
61,917
  
1,452,573
  
Media 1.6%
  
Time Warner, Inc.
  
129,321
  
3,963,688
  
Multiline Retail 1.3%
  
Big Lots, Inc.* (a)
  
36,289
  
1,206,609
  
Target Corp. (a)
  
39,110
  
2,090,039
  
 
 
3,296,648
  
Textiles, Apparel & Luxury Goods 1.0%
  
VF Corp. (a)
  
32,989
  
2,672,769
  
Consumer Staples 10.2%
  
Beverages 3.0%
  
PepsiCo, Inc.
  
114,738
  
7,623,193
  
Food & Staples Retailing 1.9%
  
CVS Caremark Corp.
  
85,080
  
2,677,468
  
Safeway, Inc. (a)
  
105,456
  
2,231,449
  
 
 
4,908,917
  
Food Products 1.0%
  
General Mills, Inc.
  
68,512
  
2,503,428
  
Tobacco 4.3%
  
Altria Group, Inc.
  
286,630
  
6,884,852
  
Philip Morris International, Inc.
  
71,037
  
3,979,493
  
 
 
10,864,345
  
Energy 16.6%
  
Energy Equipment & Services 3.4%
  
Ensco PLC (ADR) (a)
  
71,074
  
3,179,140
  
National-Oilwell Varco, Inc.
  
53,365
  
2,373,142
  
Transocean Ltd.*
  
49,384
  
3,174,897
  
 
 
8,727,179
  
Oil, Gas & Consumable Fuels 13.2%
  
Apache Corp. (a)
  
57,464
  
5,617,681
  
Chevron Corp.
  
64,123
  
5,197,169
  
ConocoPhillips
  
157,655
  
9,054,127
  
ExxonMobil Corp.
  
43,021
  
2,658,267
  
Hess Corp.
  
78,847
  
4,661,435
  
Marathon Oil Corp.
  
127,799
  
4,230,147
  
Nexen, Inc.
  
95,000
  
1,909,500
  
 
 
33,328,326
  
Financials 11.5%
  
Capital Markets 1.2%
  
The Goldman Sachs Group, Inc.
  
20,744
  
2,999,168
  
Commercial Banks 1.2%
  
Wells Fargo & Co.
  
121,688
  
3,058,019
  
Consumer Finance 0.6%
  
Capital One Financial Corp. (a)
  
36,175
  
1,430,721
  
Diversified Financial Services 6.4%
  
Bank of America Corp.
  
379,342
  
4,973,174
  
Citigroup, Inc.*
  
966,994
  
3,771,276
  
JPMorgan Chase & Co.
  
193,729
  
7,375,263
  
 
 
16,119,713
  
Insurance 2.0%
  
Hartford Financial Services Group, Inc. (a)
  
88,332
  
2,027,220
  
Lincoln National Corp.
  
130,684
  
3,125,961
  
 
 
5,153,181
  
Thrifts & Mortgage Finance 0.1%
  
Washington Mutual, Inc.*
  
1,394,944
  
266,434
  
Health Care 13.4%
  
Biotechnology 0.9%
  
Amgen, Inc.*
  
42,280
  
2,330,051
  
Health Care Providers & Services 4.7%
  
Aetna, Inc.
  
96,995
  
3,066,012
  
Medco Health Solutions, Inc.*
  
54,986
  
2,862,571
  
UnitedHealth Group, Inc.
  
81,837
  
2,873,297
  
WellPoint, Inc.*
  
56,898
  
3,222,703
  
 
 
12,024,583
  
Life Sciences Tools & Services 1.0%
  
Thermo Fisher Scientific, Inc.*
  
50,557
  
2,420,669
  
Pharmaceuticals 6.8%
  
Abbott Laboratories
  
73,070
  
3,817,177
  
Merck & Co., Inc.
  
111,806
  
4,115,579
  
Mylan, Inc.* (a)
  
170,336
  
3,204,020
  
Novartis AG (ADR) (a)
  
47,254
  
2,725,138
  
Pfizer, Inc.
  
200,136
  
3,436,335
  
 
 
17,298,249
  
Industrials 11.7%
  
Aerospace & Defense 7.6%
  
Boeing Co.
  
60,245
  
4,008,702
  
General Dynamics Corp.
  
20,916
  
1,313,734
  
Honeywell International, Inc.
  
121,510
  
5,339,149
  
ITT Corp. (a)
  
43,113
  
2,018,982
  
United Technologies Corp.
  
93,215
  
6,639,705
  
 
 
19,320,272
  
Construction & Engineering 0.9%
  
URS Corp.*
  
56,672
  
2,152,403
  
Industrial Conglomerates 2.2%
  
General Electric Co.
  
191,244
  
3,107,715
  
Tyco International Ltd. (a)
  
64,807
  
2,380,361
  
 
 
5,488,076
  
Machinery 1.0%
  
Deere & Co. (a)
  
37,593
  
2,623,239
  
Information Technology 15.5%
  
Communications Equipment 1.1%
  
QUALCOMM, Inc.
  
28,409
  
1,281,814
  
Research In Motion Ltd.* (a)
  
30,000
  
1,460,700
  
 
 
2,742,514
  
Computers & Peripherals 3.2%
  
Hewlett-Packard Co.
  
192,713
  
8,107,436
  
IT Services 3.8%
  
Accenture PLC "A"
  
100,485
  
4,269,608
  
International Business Machines Corp.
  
40,068
  
5,374,721
  
 
 
9,644,329
  
Office Electronics 1.5%
  
Xerox Corp.
  
365,794
  
3,785,968
  
Semiconductors & Semiconductor Equipment 0.5%
  
Intel Corp.
  
70,471
  
1,355,157
  
Software 5.4%
  
BMC Software, Inc.*
  
64,152
  
2,596,873
  
CA, Inc.
  
85,593
  
1,807,724
  
Microsoft Corp.
  
379,921
  
9,304,266
  
 
 
13,708,863
  
Materials 1.8%
  
Chemicals 0.7%
  
Air Products & Chemicals, Inc. (a)
  
20,000
  
1,656,400
  
Metals & Mining 1.1%
  
Agnico-Eagle Mines Ltd. (a)
  
21,205
  
1,506,191
  
Kinross Gold Corp. (a)
  
70,000
  
1,315,300
  
 
 
2,821,491
  
Telecommunication Services 6.9%
  
Diversified Telecommunication Services 5.2%
  
AT&T, Inc.
  
143,441
  
4,102,413
  
CenturyLink, Inc. (a)
  
86,210
  
3,401,847
  
Frontier Communications Corp. (a)
  
33,285
  
271,938
  
Verizon Communications, Inc. (a)
  
164,870
  
5,373,113
  
 
 
13,149,311
  
Wireless Telecommunication Services 1.7%
  
Vodafone Group PLC (ADR) (a)
  
172,599
  
4,282,181
  
Utilities 4.2%
  
Electric Utilities 1.7%
  
FirstEnergy Corp. (a)
  
42,655
  
1,643,924
  
NextEra Energy, Inc. (a)
  
50,180
  
2,729,290
  
 
 
4,373,214
  
Multi-Utilities 2.5%
  
Dominion Resources, Inc. (a)
  
28,014
  
1,223,091
  
PG&E Corp.
  
57,477
  
2,610,606
  
Sempra Energy (a)
  
46,514
  
2,502,453
  
 
 
6,336,150
  
 
Total Common Stocks (Cost $226,877,610)
  
249,418,511
  
 
 
Securities Lending Collateral 20.3%
  
Daily Assets Fund Institutional, 0.29% (b) (c)
(Cost $51,438,660)
    
51,438,660
  
51,438,660
  
 
 
Cash Equivalents 2.5%
  
Central Cash Management Fund, 0.21% (b)
(Cost $6,534,529)
    
6,534,529
  
6,534,529
  

 
% of
Net Assets
  
Value ($)
  
 
Total Investment Portfolio (Cost $284,850,799) †
121.2
  
307,391,700
  
Other Assets and Liabilities, Net (a)
(21.2)
  
(53,862,438)
  
 
Net Assets
100.0
  
253,529,262
  

For information on the Portfolio's policies regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio's most recent semi-annual or annual financial statements.
*
Non-income producing security.
†
The cost for federal income tax purposes was $288,017,884. At September 30, 2010, net unrealized appreciation  for all securities based on tax cost was $19,373,816. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $36,833,288 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $17,459,472.
(a)
All or a portion of these securities were on loan amounting to $49,923,879. In addition, included in other assets and liabilities, net is a pending sale, amounting to $191,453. The value of all securities loaned at September 30, 2010 amounted to $50,115,332 which is 19.8% of net assets.
(b)
Affiliated fund managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.
(c)
Represents collateral held in connection with securities lending. Income earned by the Portfolio is net of borrower rebates.
ADR: American Depositary Receipt
 

 
Fair Value Measurements

Various inputs are used in determining the value of the Portfolio's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used as of September 30, 2010 in valuing the Portfolio's investments.

Assets
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Common Stocks(d)
   $ 249,418,511     $ —     $ —     $ 249,418,511  
Short-Term Investments(d)
     57,973,189       —       —       57,973,189  
Total
   $ 307,391,700     $ —     $ —     $ 307,391,700  

There have been no significant transfers in and out of Level 1 and Level 2 fair value measurements during the period ended September 30, 2010.
(d)
See Investment Portfolio for additional detailed categorizations.



Investment Portfolio
as of September 30, 2010  (Unaudited)


DWS Technology VIP

 
Shares
  
Value ($)
  
 
 
Common Stocks 99.5%
  
Consumer Discretionary 3.0%
  
Hotels Restaurants & Leisure 0.3%
  
Ctrip.com International Ltd. (ADR)*
  
4,730
  
225,857
  
Internet & Catalog Retail 2.7%
  
Amazon.com, Inc.* (a)
  
7,480
  
1,174,809
  
Priceline.com, Inc.*
  
1,970
  
686,230
  
 
 
1,861,039
  
Information Technology 96.5%
  
Communications Equipment 18.2%
  
Acme Packet, Inc.*
  
7,613
  
288,837
  
Aviat Networks, Inc.*
  
2,493
  
10,196
  
Cisco Systems, Inc.*
  
186,170
  
4,077,123
  
Comverse Technology, Inc.*
  
126,644
  
852,314
  
F5 Networks, Inc.*
  
8,960
  
930,138
  
Juniper Networks, Inc.*
  
30,190
  
916,266
  
Motorola, Inc.*
  
60,130
  
512,909
  
Polycom, Inc.* (a)
  
24,120
  
657,994
  
QUALCOMM, Inc. (a)
  
79,016
  
3,565,202
  
Research In Motion Ltd.* (a)
  
10,390
  
505,889
  
Sonus Networks, Inc.*
  
116,520
  
411,316
  
 
 
12,728,184
  
Computers & Peripherals 24.0%
  
Apple, Inc.*
  
29,750
  
8,441,563
  
EMC Corp.* (a)
  
56,787
  
1,153,344
  
Gemalto NV
  
7,800
  
320,422
  
Hewlett-Packard Co.
  
91,960
  
3,868,757
  
Isilon Systems, Inc.* (a)
  
79,148
  
1,763,417
  
QLogic Corp.*
  
18,700
  
329,868
  
SanDisk Corp.* (a)
  
17,510
  
641,742
  
Xyratex Ltd.* (a)
  
19,798
  
293,802
  
 
 
16,812,915
  
Electronic Equipment, Instruments & Components 1.0%
  
Corning, Inc.
  
39,760
  
726,813
  
Internet Software & Services 13.8%
  
Akamai Technologies, Inc.*
  
6,800
  
341,224
  
Digital River, Inc.* (a)
  
16,830
  
572,893
  
eBay, Inc.* (a)
  
18,080
  
441,152
  
Equinix, Inc.* (a)
  
5,240
  
536,314
  
Google, Inc. "A"*
  
9,570
  
5,031,810
  
LogMeIn, Inc.* (a)
  
24,623
  
885,936
  
Open Text Corp.* (a)
  
6,990
  
328,810
  
QuinStreet, Inc.* (a)
  
28,248
  
424,567
  
Tencent Holdings Ltd.
  
18,310
  
398,167
  
VistaPrint NV* (a)
  
3,060
  
118,269
  
Yahoo!, Inc.* (a)
  
41,610
  
589,614
  
 
 
9,668,756
  
IT Services 7.3%
  
Accenture PLC "A"
  
9,940
  
422,351
  
Amdocs Ltd.*
  
5,550
  
159,063
  
Cognizant Technology Solutions Corp. "A"*
  
25,720
  
1,658,168
  
Fiserv, Inc.* (a)
  
10,530
  
566,725
  
International Business Machines Corp.
  
12,900
  
1,730,406
  
MasterCard, Inc. "A" (a)
  
970
  
217,280
  
Visa, Inc. "A" (a)
  
4,670
  
346,794
  
 
 
5,100,787
  
Semiconductors & Semiconductor Equipment 14.3%
  
Aixtron AG (a)
  
10,800
  
321,868
  
Altera Corp. (a)
  
11,810
  
356,190
  
Applied Materials, Inc.
  
24,310
  
283,941
  
ASML Holding NV (NY Registered Shares) (a)
  
14,370
  
427,220
  
Avago Technologies Ltd.*
  
17,349
  
390,526
  
Broadcom Corp. "A"
  
21,020
  
743,898
  
Cavium Networks, Inc.*
  
7,100
  
204,196
  
Integrated Device Technology, Inc.*
  
75,580
  
442,143
  
Intel Corp.
  
154,889
  
2,978,515
  
KLA-Tencor Corp. (a)
  
12,900
  
454,467
  
MaxLinear, Inc. "A"* (a)
  
22,590
  
253,460
  
Microchip Technology, Inc. (a)
  
8,370
  
263,236
  
Microsemi Corp.*
  
14,470
  
248,160
  
Netlogic Microsystems, Inc.*
  
11,520
  
317,722
  
Novellus Systems, Inc.* (a)
  
17,130
  
455,315
  
NXP Semiconductors NV*
  
10,350
  
128,237
  
Texas Instruments, Inc. (a)
  
50,550
  
1,371,927
  
Xilinx, Inc. (a)
  
13,190
  
350,986
  
 
 
9,992,007
  
Software 17.9%
  
Activision Blizzard, Inc.
  
36,680
  
396,878
  
Adobe Systems, Inc.* (a)
  
21,260
  
555,949
  
ANSYS, Inc.*
  
5,220
  
220,545
  
ArcSight, Inc.*
  
4,512
  
196,543
  
Ariba, Inc.*
  
56,390
  
1,065,771
  
BMC Software, Inc.*
  
19,290
  
780,859
  
Check Point Software Technologies Ltd.* (a)
  
11,220
  
414,355
  
Citrix Systems, Inc.*
  
4,830
  
329,599
  
Informatica Corp.* (a)
  
21,060
  
808,915
  
McAfee, Inc.*
  
1,970
  
93,102
  
Microsoft Corp.
  
153,600
  
3,761,664
  
Oracle Corp.
  
85,010
  
2,282,518
  
QLIK Technologies, Inc.*
  
3,243
  
71,508
  
RealD, Inc.* (a)
  
6,146
  
113,639
  
Rovi Corp.* (a)
  
3,190
  
160,808
  
Salesforce.com, Inc.*
  
1,580
  
176,644
  
Symantec Corp.*
  
18,800
  
285,196
  
Taleo Corp. "A"*
  
11,030
  
319,760
  
VanceInfo Technologies, Inc. (ADR)* (a)
  
13,830
  
447,262
  
 
 
12,481,515
  
 
Total Common Stocks (Cost $43,103,671)
  
69,597,873
  
 
 
Securities Lending Collateral 25.9%
  
Daily Assets Fund Institutional, 0.29% (b) (c)
(Cost $18,106,732)
    
18,106,732
  
18,106,732
  

 
 
Cash Equivalents 0.7%
Central Cash Management Fund, 0.21% (b)
(Cost $466,918)
    
466,918
  
466,918

 
% of
Net Assets
  
Value ($)
  
 
Total Investment Portfolio (Cost $61,677,321) †
126.1
  
88,171,523
  
Other Assets and Liabilities, Net
(26.1)
  
(18,266,159)
  
 
Net Assets
100.0
  
69,905,364
  

For information on the Portfolio's policies regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio's most recent semi-annual or annual financial statements.
*
Non-income producing security.
†
The cost for federal income tax purposes was $66,628,962.  At September 30, 2010, net unrealized appreciation for all securities based on tax cost was $21,542,561.  This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $27,103,464 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $5,560,903.
(a)
All or a portion of these securities were on loan.  The value of all securities loaned at September 30, 2010 amounted to $17,636,197 which is 25.2% of net assets.
(b)
Affiliated fund managed by Deutsche Investment Management Americas Inc.  The rate shown is the annualized seven-day yield at period end.
(c)
Represents collateral held in connection with securities lending.  Income earned by the Portfolio is net of borrower rebates.
ADR: American Depositary Receipt
 
 

Fair Value Measurements

Various inputs are used in determining the value of the Portfolio's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used as of September 30, 2010 in valuing the Portfolio's investments.

   
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets
                        
Common Stocks(d)
                        
   Consumer Discretionary
   $ 2,086,896     $ —     $ —     $ 2,086,896  
   Information Technology
     66,470,520       1,040,457       —       67,510,977  
Short-Term Investments(d)
     18,573,650       —       —       18,573,650  
Total
   $ 87,131,066     $ 1,040,457     $ —     $ 88,171,523  

There have been no significant transfers in and out of Level 1 and Level 2 fair value measurements during the period ended September 30, 2010.
(d)
See Investment Portfolio for additional detailed categorizations.



Investment Portfolio
as of September 30, 2010  (Unaudited)


DWS Turner Mid Cap Growth VIP

 
Shares
  
Value ($)
  
 
 
Common Stocks 98.0%
  
Consumer Discretionary 19.1%
  
Auto Components 1.3%
  
BorgWarner, Inc.*
  
12,660
  
666,169
  
Hotels Restaurants & Leisure 6.0%
  
P.F. Chang's China Bistro, Inc.
  
5,400
  
249,480
  
Starwood Hotels & Resorts Worldwide, Inc.
  
23,190
  
1,218,635
  
WMS Industries, Inc.*
  
16,775
  
638,624
  
Wynn Resorts Ltd.
  
10,970
  
951,867
  
 
 
3,058,606
  
Media 2.5%
  
Focus Media Holding Ltd. (ADR)*
  
26,910
  
653,913
  
Interpublic Group of Companies, Inc.*
  
61,430
  
616,143
  
 
 
1,270,056
  
Multiline Retail 2.7%
  
Dollar Tree, Inc.*
  
12,495
  
609,256
  
Nordstrom, Inc.
  
20,850
  
775,620
  
 
 
1,384,876
  
Specialty Retail 4.7%
  
Abercrombie & Fitch Co. "A" (a)
  
18,400
  
723,488
  
Dick's Sporting Goods, Inc.*
  
9,300
  
260,772
  
Guess?, Inc.
  
18,850
  
765,875
  
Urban Outfitters, Inc.*
  
20,250
  
636,660
  
 
 
2,386,795
  
Textiles, Apparel & Luxury Goods 1.9%
  
Coach, Inc.
  
23,230
  
997,961
  
Consumer Staples 5.4%
  
Beverages 0.5%
  
Hansen Natural Corp.*
  
6,020
  
280,652
  
Food & Staples Retailing 1.3%
  
Whole Foods Market, Inc.*
  
17,260
  
640,519
  
Food Products 3.6%
  
Green Mountain Coffee Roasters, Inc.*
  
18,010
  
561,732
  
Mead Johnson Nutrition Co.
  
14,080
  
801,293
  
The Hershey Co.
  
10,020
  
476,852
  
 
 
1,839,877
  
Energy 5.3%
  
Energy Equipment & Services 0.8%
  
Cameron International Corp.*
  
10,120
  
434,755
  
Oil, Gas & Consumable Fuels 4.5%
  
Alpha Natural Resources, Inc.*
  
10,860
  
446,889
  
Cimarex Energy Co.
  
7,810
  
516,866
  
Concho Resources, Inc.*
  
9,200
  
608,764
  
QEP Resources, Inc.
  
10,170
  
306,524
  
Whiting Petroleum Corp.*
  
4,190
  
400,187
  
 
 
2,279,230
  
Financials 8.3%
  
Capital Markets 2.5%
  
Invesco Ltd.
  
12,080
  
256,458
  
T. Rowe Price Group, Inc.
  
20,340
  
1,018,322
  
 
 
1,274,780
  
Consumer Finance 0.7%
  
Discover Financial Services
  
22,100
  
368,628
  
Diversified Financial Services 2.3%
  
IntercontinentalExchange, Inc.*
  
7,130
  
746,654
  
MSCI, Inc. "A"*
  
12,530
  
416,121
  
 
 
1,162,775
  
Real Estate Investment Trusts 1.4%
  
Digital Realty Trust, Inc. (REIT) (a)
  
11,550
  
712,635
  
Real Estate Management & Development 1.4%
  
CB Richard Ellis Group, Inc. "A"*
  
40,670
  
743,448
  
Health Care 12.6%
  
Biotechnology 4.3%
  
Alexion Pharmaceuticals, Inc.*
  
12,590
  
810,292
  
Human Genome Sciences, Inc.*
  
14,990
  
446,552
  
Onyx Pharmaceuticals, Inc.*
  
9,670
  
255,095
  
United Therapeutics Corp.*
  
12,050
  
674,921
  
 
 
2,186,860
  
Health Care Equipment & Supplies 2.4%
  
Hospira, Inc.*
  
9,020
  
514,230
  
Intuitive Surgical, Inc.*
  
2,530
  
717,862
  
 
 
1,232,092
  
Health Care Providers & Services 4.8%
  
AMERIGROUP Corp.*
  
6,460
  
274,356
  
AmerisourceBergen Corp.
  
24,650
  
755,769
  
DaVita, Inc.*
  
4,170
  
287,855
  
Emergency Medical Services Corp. "A"*
  
920
  
48,990
  
Henry Schein, Inc.*
  
7,490
  
438,764
  
Universal Health Services, Inc. "B"
  
17,110
  
664,895
  
 
 
2,470,629
  
Health Care Technology 0.5%
  
Cerner Corp.*
  
3,140
  
263,729
  
Pharmaceuticals 0.6%
  
Valeant Pharmaceuticals International, Inc.
  
12,560
  
314,628
  
Industrials 10.2%
  
Aerospace & Defense 1.9%
  
Goodrich Corp.
  
13,350
  
984,295
  
Airlines 1.6%
  
Continental Airlines, Inc. "B"*
  
32,320
  
802,829
  
Machinery 4.3%
  
Cummins, Inc.
  
10,330
  
935,691
  
Joy Global, Inc.
  
11,890
  
836,105
  
Parker Hannifin Corp.
  
5,810
  
407,049
  
 
 
2,178,845
  
Road & Rail 1.0%
  
Canadian Pacific Railway Ltd.
  
8,410
  
512,421
  
Trading Companies & Distributors 1.4%
  
Fastenal Co. (a)
  
13,390
  
712,214
  
Information Technology 26.8%
  
Communications Equipment 4.5%
  
Acme Packet, Inc.*
  
10,800
  
409,752
  
Aruba Networks, Inc.*
  
22,410
  
478,229
  
F5 Networks, Inc.*
  
13,440
  
1,395,207
  
 
 
2,283,188
  
Computers & Peripherals 3.0%
  
NetApp, Inc.*
  
18,210
  
906,676
  
SanDisk Corp.*
  
16,930
  
620,484
  
 
 
1,527,160
  
Internet Software & Services 4.0%
  
Akamai Technologies, Inc.*
  
9,980
  
500,796
  
GSI Commerce, Inc.*
  
21,360
  
527,592
  
LogMeIn, Inc.*
  
9,350
  
336,413
  
MercadoLibre, Inc.* (a)
  
4,270
  
308,209
  
VeriSign, Inc.*
  
12,300
  
390,402
  
 
 
2,063,412
  
IT Services 0.7%
  
Fidelity National Information Services, Inc.
  
12,660
  
343,466
  
Semiconductors & Semiconductor Equipment 10.8%
  
ASML Holding NV (NY Registered Shares) (a)
  
24,590
  
731,061
  
Atheros Communications*
  
14,440
  
380,494
  
Broadcom Corp. "A"
  
17,150
  
606,939
  
Cypress Semiconductor Corp.*
  
50,140
  
630,761
  
First Solar, Inc.* (a)
  
2,320
  
341,852
  
Lam Research Corp.*
  
21,430
  
896,845
  
Micron Technology, Inc.*
  
69,280
  
499,509
  
Netlogic Microsystems, Inc.*
  
22,230
  
613,103
  
Varian Semiconductor Equipment Associates, Inc.*
  
28,540
  
821,381
  
 
 
5,521,945
  
Software 3.8%
  
Citrix Systems, Inc.*
  
8,200
  
559,568
  
Salesforce.com, Inc.*
  
8,590
  
960,362
  
SuccessFactors, Inc.*
  
17,290
  
434,152
  
 
 
1,954,082
  
Materials 7.5%
  
Chemicals 3.2%
  
CF Industries Holdings, Inc.
  
5,740
  
548,170
  
Ecolab, Inc.
  
12,000
  
608,880
  
Valspar Corp.
  
14,320
  
456,092
  
 
 
1,613,142
  
Metals & Mining 4.3%
  
Cliffs Natural Resources, Inc. (a)
  
8,340
  
533,093
  
Silver Wheaton Corp.*
  
14,350
  
382,427
  
United States Steel Corp. (a)
  
13,690
  
600,170
  
Walter Energy, Inc.
  
8,580
  
697,468
  
 
 
2,213,158
  
Telecommunication Services 2.1%
  
Wireless Telecommunication Services
  
Crown Castle International Corp.*
  
24,460
  
1,079,909
  
Utilities 0.7%
  
Gas Utilities
  
Questar Corp.
  
21,780
  
381,803
  
 
Total Common Stocks (Cost $35,669,372)
  
50,141,569
  
 
 
Securities Lending Collateral 7.3%
  
Daily Assets Fund Institutional, 0.29% (b) (c)
(Cost $3,748,615)
    
3,748,615
  
3,748,615
  
 
 
Cash Equivalents 0.9%
  
Central Cash Management Fund, 0.21% (b)
(Cost $441,077)
    
441,077
  
441,077
  

 
% of
Net Assets
  
Value ($)
  
 
Total Investment Portfolio (Cost $39,859,064) †
106.2
  
54,331,261
  
Other Assets and Liabilities, Net
(6.2)
  
(3,190,363)
  
 
Net Assets
100.0
  
51,140,898
  

For information on the Portfolio's policies regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio's most recent semi-annual or annual financial statements.
*
Non-income producing security.
†
The cost for federal income tax purposes was $40,805,718.  At September 30, 2010, net unrealized appreciation for all securities based on tax cost was $13,525,543.  This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $14,681,254 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $1,155,711.
(a)
All or a portion of these securities were on loan.  The value of all securities loaned at September 30, 2010 amounted to $3,635,594 which is 7.1% of net assets.
(b)
Affiliated fund managed by Deutsche Investment Management Americas Inc.  The rate shown is the annualized seven-day yield at period end.
(c)
Represents collateral held in connection with securities lending.  Income earned by the Portfolio is net of borrower rebates.
ADR: American Depositary Receipt
REIT: Real Estate Investment Trust
 

 
Fair Value Measurements

Various inputs are used in determining the value of the Portfolio's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used as of September 30, 2010 in valuing the Portfolio's investments.

Assets
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Common Stocks(d)
   $ 50,141,569     $ —     $ —     $ 50,141,569  
Short-Term Investments(d)
     4,189,692       —       —       4,189,692  
Total
   $ 54,331,261     $ —     $ —     $ 54,331,261  

There have been no significant transfers in and out of Level 1 and Level 2 fair value measurements during the period ended September 30, 2010.
(d)
See Investment Portfolio for additional detailed categorizations.

 

 


ITEM 2.
CONTROLS AND PROCEDURES
   
 
(a)   The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
   
 
(b)   There have been no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting.
   
ITEM 3.
EXHIBITS
   
 
Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.



 

 
SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant:
DWS Variable Series II
   
By:
/s/Michael G. Clark
Michael G. Clark
President
   
Date:
November 23, 2010


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/Michael G. Clark
Michael G. Clark
President
   
Date:
November 23, 2010
   
   
   
By:
/s/Paul Schubert
Paul Schubert
Chief Financial Officer and Treasurer
   
Date:
November 23, 2010



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