UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number: 811-21457
Name of Fund: | BlackRock Allocation Target Shares | |
Series A Portfolio | ||
Series C Portfolio | ||
Series E Portfolio | ||
Series M Portfolio | ||
Series P Portfolio | ||
Series S Portfolio | ||
Fund Address: | 100 Bellevue Parkway, Wilmington, DE 19809 |
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Allocation Target Shares, 55 East 52nd Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 441-7762
Date of fiscal year end: 03/31/2018
Date of reporting period: 03/31/2018
Item 1 – Report to Stockholders
MARCH 31, 2018
ANNUAL REPORT | ![]() |
BlackRock Allocation Target Shares
▶ | Series A Portfolio |
▶ | Series C Portfolio |
▶ | Series E Portfolio |
▶ | Series M Portfolio |
▶ | Series P Portfolio |
▶ | Series S Portfolio |
Not FDIC Insured • May Lose Value • No Bank Guarantee |
Dear Shareholder,
In the 12 months ended March 31, 2018, stocks posted solid performance, while bonds delivered mixed results. Solid corporate profits drove the equity market, while rising interest rates constrained bond returns.
The largest global economies experienced sustained and synchronized growth for the first time since the financial crisis, which led to strong equity performance worldwide. Emerging market stocks posted the strongest performance, as accelerating growth in China, the second-largest economy in the world, improved the outlook for corporate profits in most developing nations.
Short-term U.S. Treasury interest rates rose the fastest, while longer-term rates slightly increased, leading to a substantial flattening of the yield curve. The annual return for the three-month Treasury bill surpassed 1.0%, but remained well below the annual headline inflation rate of 2.4%. However, the ten-year U.S. Treasury — a bellwether of the bond market — posted a negative return, as rising energy prices, modest wage growth, and steady job creation drove expectations of higher inflation and interest rate increases by the U.S. Federal Reserve (the “Fed”). In credit markets, the investment-grade and high-yield bond markets posted modest returns in a relatively benign credit environment.
Even though it faced rising pressure to boost interest rates in 2017, the Fed only increased short-term interest rates three times during the last year. However, strong economic performance may justify a more rapid pace of rate hikes in 2018, as the actual inflation rate and investors’ expectations for inflation surpassed the Fed’s target of 2.0%. In addition, the Fed announced plans to reduce its $4.4 trillion balance sheet by $420 billion this year.
By contrast, the European Central Bank (“ECB”) and the Bank of Japan (“BoJ”) continued to expand their balance sheets despite nascent signs of sustained economic growth. Rising global growth, as well as limited bond supply, pressured other central banks to follow in the Fed’s footsteps. In October 2017, the ECB pledged to cut its bond purchases in half for 2018, while the BoJ reiterated its commitment to economic stimulus, even though the size of its balance sheet nearly matched the total output of the Japanese economy.
If the Fed maintains a measured pace of stimulus reduction, to the extent that inflation rises, it is likely to be accompanied by rising real growth. That could lead to a favorable combination of moderately higher inflation, steadily rising interest rates, and improving growth in 2018. Meanwhile, the market’s appetite for risk was mixed, as bond investors rotated to higher-quality assets, and stock investors continued to invest abroad. We continue to believe the primary risks to the economic expansion are trade protectionism, rapidly rising interest rates, and geopolitical tension. In particular, we are closely monitoring trade protectionism and the rise of populism in Western nations.
In December 2017, Congress passed a sweeping tax reform bill. The U.S. tax overhaul is likely to accentuate the existing reflationary themes, including faster growth and rising interest rates. Changing the corporate tax rate to a flat 21.0% will create many winners and losers among high-and-low tax companies, while the windfall from lower taxes could boost business and consumer spending.
In this environment, investors need to think globally, extend their scope across a broad array of asset classes and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
Rob Kapito
President, BlackRock Advisors, LLC
Total Returns as of March 31, 2018 | ||||
6-month | 12-month | |||
U.S. large cap equities | 5.84% | 13.99% | ||
U.S. small cap equities | 3.25 | 11.79 | ||
International equities | 2.63 | 14.80 | ||
Emerging market | 8.96 | 24.93 | ||
3-month Treasury bills | 0.64 | 1.11 | ||
U.S. Treasury securities | (2.66) | (1.13) | ||
U.S. investment grade | (1.08) | 1.20 | ||
Tax-exempt municipal | (0.29) | 2.53 | ||
U.S. high yield bonds | (0.39) | 3.78 | ||
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
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Fund Summary as of March 31, 2018 | Series A Portfolio |
Investment Objective
Series A Portfolio’s (the “Fund”) investment objective is to seek a high level of current income consistent with capital preservation.
Portfolio Management Commentary
How did the Fund perform?
For the 12-month period ended March 31, 2018, the Fund outperformed both its broad-based benchmark, the Bloomberg Barclays U.S. Universal Index, and its “Reference Benchmark,” consisting of 50% Bloomberg Barclays U.S. Asset-Backed Securities Index and 50% Bloomberg Barclays Non-Agency Investment Grade CMBS Index. Shares of the Fund can be purchased or held only by or on behalf of: (i) certain separately managed account clients; (ii) collective trust funds managed by BlackRock Institutional Trust Company, N.A., an affiliate of the investment adviser; and (iii) mutual funds advised by BlackRock Advisors, LLC or its affiliates. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.
What factors influenced performance?
The largest positive contributors to the Fund’s performance included holdings of non-agency residential mortgage-backed securities (“RMBS”), specifically allocations within the subprime, option adjustable-rate mortgage and credit risk-transfer subsectors. Allocations to commercial mortgage-backed securities (“CMBS”) and floating rate collateralized loan obligations (“CLOs”) also contributed notably to performance. Finally, holdings of asset-backed securities (“ABS”) with underlying auto loan and private student loan collateral added to return relative to the benchmark.
There were no material detractors to Fund performance during the reporting period.
Describe recent portfolio activity.
Over the period, the Fund modestly reduced exposure to ABS and increased allocations to CLOs, CMBS and non-agency RMBS.
The Fund had a somewhat elevated cash position at period end as the investment adviser sought to be opportunistic in deploying investment inflows. The Fund’s cash position did not have a material impact on performance for the period.
Describe portfolio positioning at period end.
The Fund ended the period underweight to duration (and corresponding interest rate sensitivity) relative to the benchmark. The Fund’s allocation within non-agency RMBS favored more market sensitive, higher beta subprime issues relative to Alt-A and Prime. Within CMBS, the Fund had a tilt toward subordinate bonds in both fixed-rate and floating-rate single-asset/single-borrower transactions. With respect to the CLO allocation, the Fund generally favored the top and bottom of the capital stack. The Fund remained cautious in deploying risk given the current level of spreads, while looking to opportunistically add exposure in situations where spreads widen.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
Portfolio Information
PORTFOLIO COMPOSITION
|
| |||
Asset Type | Percent of Total Investments (a) | |||
Asset-Backed Securities | 63 | % | ||
Non-Agency Mortgage-Backed Securities | 33 | |||
U.S. Government Sponsored Agency Securities | 3 | |||
Floating Rate Loan Interests | 1 |
CREDIT QUALITY ALLOCATION(b)
|
| |||
Credit Rating | Percent of Total Investments (a) | |||
AAA/Aaa(c) | 25 | % | ||
AA/Aa | 6 | |||
A | 6 | |||
BBB/Baa | 9 | |||
BB/Ba | 12 | |||
B | 2 | |||
CCC/Caa | 9 | |||
CC/Ca | 7 | |||
C | 2 | |||
N/R | 22 |
(a) | Total investments exclude short-term securities. |
(b) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service (“Moody’s”) if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(c) | The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuers. Using this approach, the investment adviser has deemed not-rated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa. |
4 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Fund Summary as of March 31, 2018 (continued) | Series A Portfolio |
TOTAL RETURN BASED ON A $10,000 INVESTMENT
(a) | The Fund will primarily invest its assets in fixed-income securities, such as ABS, CMBS and RMBS issued or guaranteed by the U.S. Government, various agencies of the U.S. Government or various instrumentalities that have been established or sponsored by the U.S. Government, commercial and residential mortgage-backed securities issued by banks and other financial institutions, collateralized mortgage obligations, loans backed by commercial or residential real estate, derivatives and repurchase agreements and reverse repurchase agreements. |
(b) | An unmanaged, market value weighted index of fixed-income securities issued in U.S. dollars, including U.S. government and investment grade debt, non-investment grade debt, ABS and mortgage-backed securities, Eurobonds, 144A securities and emerging market debt with maturities of at least one year. |
(c) | A customized weighted index comprised of the returns of the Bloomberg Barclays U.S. Asset-Backed Securities Index (50%)/Bloomberg Barclays Non-Agency Investment Grade CMBS Index (50%). The Bloomberg Barclays U.S. Asset-Backed Securities Index is composed of debt securities backed by credit card, auto and home equity loans that are rated investment grade or higher by Moody’s, S&P or Fitch Ratings, Inc. (“Fitch”). Issues must have at least one year to maturity and an outstanding par value of at least $50 million. The Bloomberg Barclays Non-Agency Investment Grade CMBS Index measures the market of conduit and fusion CMBS deals with a minimum current deal size of $300 million that are rated investment grade or higher using the middle rating of Moody’s, S&P, and Fitch after dropping the highest and lowest available ratings. Securities must have a remaining average life of at least one year and must be fixed-rate, weighted average coupon (WAC), or capped WAC securities. |
(d) | Commencement of operations. |
Performance Summary for the Period Ended March 31, 2018
Average Annual Total Returns (a) | ||||||||||||||||||||||||
6-Month Total Returns | 1 Year | Since Inception (b) | ||||||||||||||||||||||
Series A Portfolio | 2.02 | % | 5.55 | % | 6.86 | % | ||||||||||||||||||
Bloomberg Barclays U.S. Universal Index | (1.00 | ) | 1.52 | 2.45 | ||||||||||||||||||||
Reference Benchmark | (0.55 | ) | 1.15 | 1.75 |
(a) | See “About Fund Performance” on page 16 for a detailed description of performance related information. |
(b) | The Fund commenced operations on September 21, 2015. |
Past performance is not indicative of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
Actual | Hypothetical (b) | |||||||||||||||||||||||||||||||
Beginning Account Value (10/01/17) | Ending Account Value (03/31/18) | Expenses Paid During the Period (a) | Beginning Account Value (10/01/17) | Ending Account Value (03/31/18) | Expenses Paid During the Period (a) | Annualized Expense Ratio | ||||||||||||||||||||||||||
Series A Portfolio | $1,000.00 | $1,020.20 | $0.00 | $1,000.00 | $1,024.93 | $0.00 | 0.00 | % |
(a) | For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses and interest expense, incurred by the Fund. This agreement has no fixed term. |
(b) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. See “Disclosure of Expenses” on page 16 for further information on how expenses were calculated. |
FUND SUMMARY | 5 |
Fund Summary as of March 31, 2018 | Series C Portfolio |
Investment Objective
Series C Portfolio’s (the “Fund”) investment objective is to seek to maximize total return, consistent with income generation and prudent investment management.
Portfolio Management Commentary
How did the Fund perform?
For the 12-month period ended March 31, 2018, the Fund outperformed its benchmark, the Bloomberg Barclays U.S. Credit Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.
What factors influenced performance?
The largest contribution to Fund performance came from security selection in the industrials sector, particularly in the wireline telecommunications industry. An overweight in capital securities also had a positive effect on results. (Capital securities are dividend-paying securities that combine some features of both corporate bonds and preferred stocks, while generally providing higher yields to compensate for being less senior in the issuers’ capital structures.) Selection in financials, a sector in which the Fund has been overweight for some time, was also beneficial.
The Fund’s underweight in corporate issues was the largest detractor, followed by security selection in emerging markets.
Describe recent portfolio activity.
The investment adviser remained focused on security selection as the main driver of performance.
The Fund was positioned defensively throughout most of 2017, as the investment adviser did not want to increase risk at a time when valuations were already quite rich. As the market sold off in February 2018, the investment adviser used this opportunity to increase risk on the belief that the supply-and-demand backdrop should provide a tail-wind for the investment-grade corporate market.
The Fund boosted its allocation to the wireline telecommunications sector on the view that companies would use the benefits of tax reform to decrease leverage. Additionally, the Fund increased its weighting in the health care sector by participating in CVS Health Corporation’s offering to finance its purchase of Aetna, Inc. The investment adviser maintained a defensive approach in the industrials sector, although it increased the portfolio’s positions in companies it believes would generally be immune from merger-and-acquisition (“M&A”) risk. From a ratings perspective, the Fund raised its allocation to BBB-rated issues based on the investment adviser’s views on individual issuers rather than a specific bias toward lower-quality debt.
Describe portfolio positioning at period end.
At the close of the period, banking issues continued to represent the Fund’s largest overweight. Within this industry group, the investment adviser generally preferred issues that were lower in the capital structure. Bank earnings and credit quality have been improving since the financial crisis, and M&A risk appears low.
In the industrials sector, the Fund was overweight in the midstream energy and cable and satellite sectors. Its largest underweights were in areas where the investment adviser saw limited upside potential, including electric utilities, food and beverage, and integrated energy.
The Fund moved to a slightly long duration in the middle of the first quarter of 2018 on the belief that geopolitical uncertainty would limit the upward move in yields. (Duration is a measure of interest rate sensitivity.) The Fund also had a slight bias toward a steepening of the corporate yield curve, as it is generally underweight the long end of the curve.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
Portfolio Information
PORTFOLIO COMPOSITION
|
| |||
Asset Type | Percent of Total Investments (a) | |||
Corporate Bonds | 91 | % | ||
Capital Trusts | 4 | |||
Taxable Municipal Bonds | 2 | |||
Foreign Government Obligations | 2 | |||
Foreign Agency Obligations | 1 |
CREDIT QUALITY ALLOCATION (b)
|
| |||
Credit Rating | Percent of Total Investments (a) | |||
AAA/Aaa(c) | 6 | % | ||
AA/Aa | 10 | |||
A | 26 | |||
BBB/Baa | 52 | |||
BB/Ba | 6 |
(a) | Total investments exclude short-term securities and options purchased. |
(b) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(c) | The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuers. Using this approach, the investment adviser has deemed not-rated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa. |
6 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Fund Summary as of March 31, 2018 (continued) | Series C Portfolio |
TOTAL RETURN BASED ON A $10,000 INVESTMENT
(a) | The Fund will primarily invest its assets in investment grade fixed-income securities, such as corporate bonds, notes and debentures, ABS, CMBS and RMBS, obligations of non-U.S. governments and supranational organizations which are chartered to promote economic development, collateralized mortgage obligations, U.S. Treasury and agency securities, cash equivalent investments, when-issued and delayed delivery securities, derivatives, repurchase agreements and reverse repurchase agreements. |
(b) | An unmanaged index that includes publicly issued U.S. corporate and non-corporate securities which include foreign agencies, sovereigns, supranationals and local authorities that meet the specified maturity, liquidity, and quality requirements. |
Performance Summary for the Period Ended March 31, 2018
Average Annual Total Returns (a) | ||||||||||||||||||||||||||||||||||||||||
6-Month Total Returns | 1 Year | 5 Years | 10 Years | |||||||||||||||||||||||||||||||||||||
Series C Portfolio | (1.11 | )% | 2.82 | % | 3.26 | % | 5.52 | % | ||||||||||||||||||||||||||||||||
Bloomberg Barclays U.S. Credit Index | (1.10 | ) | 2.59 | 2.83 | 5.15 |
(a) | See “About Fund Performance” on page 16 for a detailed description of performance related information. |
Past performance is not indicative of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
Actual | Hypothetical (b) | |||||||||||||||||||||||||||||||
Beginning Account Value (10/01/17) | Ending Account Value (03/31/18) | Expenses Paid During the Period (a) | Beginning Account Value (10/01/17) | Ending Account Value (03/31/18) | Expenses Paid During the Period (a) | Annualized Expense Ratio | ||||||||||||||||||||||||||
Series C Portfolio | $ | 1,000.00 | $ | 988.90 | $ | 0.00 | $ | 1,000.00 | $ | 1,024.93 | $ | 0.00 | 0.00 | % |
(a) | For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses and interest expense, incurred by the Fund. This agreement has no fixed term. |
(b) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. See “Disclosure of Expenses” on page 16 for further information on how expenses were calculated. |
FUND SUMMARY | 7 |
Fund Summary as of March 31, 2018 | Series E Portfolio |
Investment Objective
Series E Portfolio’s (the “Fund”) investment objective is to seek to maximize Federal tax-free yield with a secondary goal of total return.
Portfolio Management Commentary
How did the Fund perform?
For the 12-month period ended March 31, 2018, the Fund outperformed both its broad-based benchmark, the S&P® Municipal Bond Index, and its customized “Reference Benchmark,” consisting of 50% S&P® Municipal High-Yield Index, 25% S&P® Municipal Bond A Rating Band Index (using the returns of only those A rated bonds that have maturities greater than five years) and 25% S&P® Municipal Bond BBB Rating Band Index (using the returns of only those BBB rated bonds that have maturities greater than five years). Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.
What factors influenced performance?
The Fund’s long duration posture relative to the benchmark, which it achieved through concentrations in longer-dated maturities, was the primary contributor to performance. (Duration is a measure of interest rate sensitivity.) The yield curve flattened, as short-term yields increased due to the interest-rate hikes by the Fed, while yields on longer-dated bonds fell slightly.
The Fund was helped by having a large underweight in Puerto Rico, as the territory significantly underperformed all U.S. states due to its ongoing fiscal issues and the impact of Hurricane Maria. Specifically, an underweight in the tax-backed (state) sector contributed positively.
Overweights in the transportation, health care, and project-finance sectors also contributed to relative performance.
The Fund sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields generally rose, as prices fell, this aspect of the Fund’s strategy had a positive effect on returns.
The Fund’s underweight positions in non-investment grade bonds, including non-rated securities, detracted. Lower-quality bonds generally outperformed higher-quality issues as a result of their higher income and superior price performance. Underweights in the tax-backed (local) and school district sectors also detracted.
Describe recent portfolio activity.
Given the strong, positive cash flows into the Fund during the period, the investment adviser’s activity largely reflected its efforts to stay fully invested. Other trading activity focused on realizing gains in certain outperforming securities and rotating out of higher-cost positions to help offset tax liabilities.
The Fund added longer-dated maturities in a reflection of its bias toward a flattening yield curve.
The Fund closed the period with a higher-than-average cash balance, as rising short-term rates have decreased the opportunity cost of holding cash. In addition, the investment adviser preferred having cash on hand to take advantage of any future possible market volatility. The Fund’s cash position had no material impact to Fund performance.
Describe portfolio positioning at period end.
The Fund had a moderately long duration relative the benchmark. With regard to yield curve positioning, the Fund was overweight in the 20+ year maturity range in a reflection of the investment adviser’s curve-flattening bias.
The Fund’s largest sector overweights included transportation, project finance and tobacco. Its leading underweights were in the tax-backed local, school districts and utilities sectors.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
Portfolio Information
SECTOR ALLOCATION
Sector | Percent of Total Investments (a) | |||
Transportation | 23 | % | ||
Health Care | 20 | |||
County/City/Special District/School District | 15 | |||
Education | 15 | |||
Tobacco | 13 | |||
Utilities | 6 | |||
Housing | 5 | |||
Corporate | 3 |
CREDIT QUALITY ALLOCATION (b)
Credit Rating | Percent of Total Investments (a) | |||
AAA/Aaa | 2 | % | ||
AA/Aa | 10 | |||
A | 17 | |||
BBB/Baa | 30 | |||
BB/Ba | 9 | |||
B | 10 | |||
N/R | 22 |
(a) | Total investments exclude short-term securities. |
(b) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
8 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Fund Summary as of March 31, 2018 (continued) | Series E Portfolio |
TOTAL RETURN BASED ON A $10,000 INVESTMENT
(a) | The Fund will invest in investment grade and non-investment grade municipal bonds. Under normal circumstances, the Fund maintains an average portfolio duration that is within ±25% of the duration of the Reference Benchmark. |
(b) | The S&P® Municipal Bond Index is composed of bonds held by managed municipal bond fund customers of Standard & Poor’s Securities Pricing, Inc. that are priced daily. Bonds in the S&P® Municipal Bond Index must have an outstanding par value of at least $2 million and a remaining maturity of not less than one month. |
(c) | A customized weighted index comprised of the returns of the S&P® Municipal High-Yield Index (50%)/S&P® Municipal Bond A Rating Band Index (25%) using the returns of only those A rated bonds that have maturities greater than 5 years/S&P® Municipal Bond BBB Rating Band Index (25%) using the returns of only those BBB rated bonds that have the maturities greater than 5 years. The benchmark value used to calculate since inception return is from the close of July 31, 2014. By using this value the benchmark is using 2 extra days of performance (August 1, 2014 and August 4, 2014) compared to the Fund. |
(d) | Commencement of operations. |
Performance Summary for the Period Ended March 31, 2018
Average Annual Total Returns (a) | ||||||||||||||||||||
6-Month Total Returns | 1 Year | Since Inception(b) | ||||||||||||||||||
Series E Portfolio | 2.00 | % | 7.22 | % | 6.80 | % | ||||||||||||||
S&P® Municipal Bond Index | (0.29 | ) | 2.53 | 2.94 | ||||||||||||||||
Reference Benchmark | 1.53 | 4.30 | 5.04(c | ) |
(a) | See “About Fund Performance” on page 16 for a detailed description of performance related information. |
(b) | The Fund commenced operations on August 4, 2014. |
(c) | The benchmark value used to calculate since inception return is from the close of July 31, 2014. By using this value the benchmark is using 2 extra days of performance (August 1, 2014 and August 4, 2014) compared to the Fund. |
Past performance is not indicative of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
Actual | Hypothetical (c) | |||||||||||||||||||||||||||||||||||||||
Including Interest Expense and Fees | Excluding Interest Expense and Fees | Including Interest Expense and Fees | Excluding Interest Expense and Fees | |||||||||||||||||||||||||||||||||||||
Beginning Account Value (10/01/17) | Ending Account Value (03/31/18) | Expenses Paid During the Period (a) | Expenses Paid During the Period (b) | Beginning Account Value (10/01/17) | Ending Account Value (03/31/18) | Expenses Paid During the Period (a) | Ending Account Value (03/31/18) | Expenses Paid During the Period (b) | ||||||||||||||||||||||||||||||||
Series E Portfolio | $ | 1,000.00 | $ | 1,020.00 | $ | 0.60 | $ | 0.00 | $ | 1,000.00 | $ | 1,024.33 | $ | 0.61 | $ | 1,024.93 | $ | 0.00 |
(a) | For shares of the Fund, expenses are equal to the annualized expense ratio of 0.12%, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses and interest expense, incurred by the Fund. This agreement has no fixed term. |
(b) | For shares of the Fund, expenses are equal to the annualized expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses and interest expense, incurred by the Fund. This agreement has no fixed term. |
(c) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. See “Disclosure of Expenses” on page 16 for further information on how expenses were calculated. |
FUND SUMMARY | 9 |
Fund Summary as of March 31, 2018 | Series M Portfolio |
Investment Objective
Series M Portfolio’s (the “Fund”) investment objective is to seek to maximize total return, consistent with income generation and prudent investment management.
Portfolio Management Commentary
How did the Fund perform?
For the 12-month period ended March 31, 2018, the Fund outperformed its benchmark, the Bloomberg Barclays MBS Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.
What factors influenced performance?
The most significant positive contributors to the Fund’s performance were allocations to commercial mortgage-backed securities (“CMBS”), the use of interest rate swaps and swaptions, allocations to agency collateralized mortgage obligations (“CMOs”) with favorable prepayment characteristics and selection within 15-year agency residential mortgage-backed securities (“MBS”). Small allocations to Treasury inflation-protected securities and agency interest-only (“IO”) and principal-only (“PO”) securities also marginally contributed to performance.
The largest detractor from performance was selection within 30-year agency MBS, driven by underperformance of specified pool holdings for which the Fund paid a premium valuation to gain exposure to certain prepayment characteristics. The Fund’s stance with respect to duration (and corresponding interest rate sensitivity) acted as a constraint on performance, as did our positioning along the yield curve. Finally, the Fund’s allocation-based strategies within 15-year agency MBS detracted versus the benchmark.
Describe recent portfolio activity.
During the period, the Fund added to its agency MBS allocation, both in pass-throughs and CMOs. The Fund also increased its allocation to CMBS during the period. The Fund moved from a modestly underweight position to a slightly above-benchmark duration stance over the period.
The Fund held derivatives including options, financial futures contracts and swaps as a means to manage risk against allocations in MBS and securitized assets. The use of derivatives had a positive impact on Fund performance.
Describe portfolio positioning at period end.
The Fund’s positioning at period-end reflected a more or less neutral near-term outlook for MBS, based on supply/demand factors and valuation relative to credit-oriented sectors. The Fund had an allocation to securitized assets within CMBS, with a tilt toward last cash flow securities at the top of the capital structure, and exposure as well to IO tranches and less market sensitive, single asset/single borrower issues. Relative to the Bloomberg Barclays MBS Index, the Fund ended the period modestly overweight overall portfolio duration.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
Portfolio Information
PORTFOLIO COMPOSITION
Asset Type | Percent of Total Investments (a) | |||
U.S. Government Sponsored Agency Securities | 89 | % | ||
Non-Agency Mortgage-Backed Securities | 8 | |||
Asset-Backed Securities | 3 |
CREDIT QUALITY ALLOCATION (b)
Credit Rating | Percent of Total Investments (a) | |||
AAA/Aaa(c) | 97 | % | ||
BBB/Baa | 1 | |||
N/R | 2 |
(a) | Total investments exclude short-term securities, options purchased, TBA sale commitments and options written. |
(b) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(c) | The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuers. Using this approach, the investment adviser has deemed not-rated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa. |
10 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Fund Summary as of March 31, 2018 (continued) | Series M Portfolio |
TOTAL RETURN BASED ON A $10,000 INVESTMENT
(a) | The Fund will primarily invest its assets in investment grade CMBS and RMBS, ABS, CMOs, U.S. Treasury and agency securities, cash equivalent instruments, when-issued and delayed delivery securities, derivatives and dollar rolls. |
(b) | An unmanaged index that includes the mortgage-backed pass-through securities of Ginnie Mae, Fannie Mae and Freddie Mac that meet the maturity and liquidity criteria. |
Performance Summary for the Period Ended March 31, 2018
Average Annual Total Returns (a) | ||||||||||||||||||||||||||||
6-Month Total Returns | 1 Year | �� | 5 Years | 10 Years | ||||||||||||||||||||||||
Series M Portfolio | (1.07 | )% | 0.91 | % | 2.04 | % | 4.00 | % | ||||||||||||||||||||
Bloomberg Barclays MBS Index | (1.04 | ) | 0.77 | 1.80 | 3.46 |
(a) | See “About Fund Performance” on page 16 for a detailed description of performance related information. Past performance is not indicative of future results. Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. |
Expense Example
Actual | Hypothetical (b) | |||||||||||||||||||||||||||||||
Beginning Account Value (10/01/17) | Ending Account Value (03/31/18) | Expenses Paid During the Period (a) | Beginning Account Value (10/01/17) | Ending Account Value (03/31/18) | Expenses Paid During the Period (a) | Annualized Expense Ratio | ||||||||||||||||||||||||||
Series M Portfolio | $ | 1,000.00 | $ | 989.30 | $ | 0.00 | $ | 1,000.00 | $ | 1,024.93 | $ | 0.00 | 0.00 | % |
(a) | For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses and interest expense, incurred by the Fund. This agreement has no fixed term. |
(b) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. See “Disclosure of Expenses” on page 16 for further information on how expenses were calculated. |
FUND SUMMARY | 11 |
Fund Summary as of March 31, 2018 | Series P Portfolio |
Investment Objective
Series P Portfolio’s (the “Fund”) investment objective is to seek to provide a duration that is the inverse of its benchmark.
Effective June 1, 2016, the Bloomberg Barclays U.S. Bellwether 10 Year Swap Index was added as a secondary benchmark against which the Fund measures performance.
Portfolio Management Commentary
How did the Fund perform?
For the 12-month period ended March 31, 2018, the Fund outperformed the Bloomberg Barclays U.S. Treasury 7-10 Year Bond Index and the Bloomberg Barclays U.S. Bellwether 10 Year Swap Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.
What factors influenced performance?
The Fund held cash at the end of the period as collateral in conjunction with its investments in U.S. Treasury futures and interest rate swaps. The Fund’s cash exposure had no material impact on performance. The use and cost of derivatives will result in a negative contribution to returns when interest rates fall; however, the Fund’s strategy is designed to offset these costs by holding shares of BlackRock Allocation Target Shares: Series S Portfolio (“Series S Portfolio”), a short-term proprietary fund. The use of derivatives is necessary to achieve the Fund’s objective and should therefore be evaluated in a portfolio context and not as a standalone strategy. The Fund’s use of derivatives to facilitate an inverse exposure to the 7-year to 10-year part of the U.S. Treasury yield curve contributed to results given that yields rose.
The Fund’s allocation to the Series S Portfolio, which benefited from its duration positioning and its allocations to ABS and investment-grade corporate bonds, was the main contributor to performance. (Duration is a measure of interest rate sensitivity.) Allocations to agency MBS, sovereign foreign agency issues and supranational bonds were the largest detractors from performance within the Series S Portfolio.
Describe recent portfolio activity.
The Fund actively managed interest rate risk on the 7-year to 10-year part of the yield curve by using derivatives as described above. The Fund maintained its allocation to Series S Portfolio in order to offset the cost of the derivatives. Since this is an overlay strategy designed to manage interest-rate risk, the portfolio’s positioning is relatively static.
Describe portfolio positioning at period end.
The Fund held positions in U.S. Treasury futures, interest rate swaps, Series S Portfolio, and the Bank of New York Cash Reserve money market fund.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
Portfolio Information
PORTFOLIO COMPOSITION
Asset Type | Percent of Net Assets | |||
Fixed Income Funds | 30 | % | ||
Other Assets Less Liabilities | 70 |
PORTFOLIO HOLDINGS
Security | Percent of Affiliated Investment Companies | |||
BlackRock Allocation Target Shares: Series S Portfolio | 100 | % |
12 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Fund Summary as of March 31, 2018 (continued) | Series P Portfolio |
TOTAL RETURN BASED ON A $10,000 INVESTMENT
(a) | The Fund may invest in a portfolio of securities and other financial instruments, including derivative instruments, in an attempt to provide returns that are the inverse of its benchmark index. |
(b) | An unmanaged index that includes all publicly issued, U.S. Treasury securities that have a remaining maturity of between 7 and 10 years, are non-convertible, are denominated in U.S. dollars, are rated Baa3 (or better) by Moody’s or BBB- (or better) by S&P, are fixed rate, and have more than $250 million par outstanding. |
(c) | Provides total returns for swaps with varying maturities. For example, the 10-year swap index measures the total return of investing in 10-year par swaps over time. |
(d) | Commencement of operations. |
Performance Summary for the Period Ended March 31, 2018
Average Annual Total Returns (a) | ||||||||||||||||||||||||||||
6-Month Total Returns | 1 Year | 5 Years | Since Inception (b) | |||||||||||||||||||||||||
Series P Portfolio | 3.34 | % | 2.49 | % | (0.73 | )% | (0.78 | )% | ||||||||||||||||||||
Bloomberg Barclays U.S. Treasury 7-10 Year Bond Index | (2.12 | ) | (0.30 | ) | 1.14 | 1.27 | ||||||||||||||||||||||
Bloomberg Barclays U.S. Bellwether 10 Year Swap Index | (3.04 | ) | (0.89 | ) | 1.42 | 1.49 |
(a) | See “About Fund Performance” on page 16 for a detailed description of performance related information. |
(b) | The Fund commenced operations on March 20, 2013. |
Past performance is not indicative of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
Actual | Hypothetical (b) | |||||||||||||||||||||||||||||||
Beginning Account Value (10/01/17) | Ending Account Value (03/31/18) | Expenses Paid During the Period (a) | Beginning Account Value (10/01/17) | Ending Account Value (03/31/18) | Expenses Paid During the Period (a) | Annualized Expense Ratio | ||||||||||||||||||||||||||
Series P Portfolio | $1,000.00 | $1,033.40 | $0.00 | $1,000.00 | $1,024.93 | $0.00 | 0.00 | % |
(a) | For shares of the Fund, expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown). The fees and expenses of the underlying funds in which the Fund invests are not included in the Fund’s annualized expense ratio. BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses and interest expense, incurred by the Fund. This agreement has no fixed term. |
(b) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. See “Disclosure of Expenses” on page 16 for further information on how expenses were calculated. |
FUND SUMMARY | 13 |
Fund Summary as of March 31, 2018 | Series S Portfolio |
Investment Objective
Series S Portfolio’s (the “Fund”) investment objective is to seek to maximize total return, consistent with income generation and prudent investment management.
Portfolio Management Commentary
How did the Fund perform?
For the 12-month period ended March 31, 2018, the Fund outperformed its benchmark, the ICE BofAML 1-3 Year U.S. Treasury Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.
What factors influenced performance?
The main contributors to performance were the Fund’s duration positioning and its allocations to ABS and investment-grade corporate bonds. (Duration is a measure of interest rate sensitivity.) The Fund’s allocations to agency MBS, sovereign foreign agency issues and supranational bonds were the largest detractors from performance.
As part of its investment strategy, the Fund held derivatives during the period. Interest rate derivatives were used primarily as a means of managing the portfolio’s duration risk. The Fund also used credit default swaps against individual securities or broad indices to manage credit risk in the portfolio. Credit default swaps against indices also helped manage market risk. The use of derivatives contributed to the Fund’s performance results.
Describe recent portfolio activity.
The Fund’s overall positioning reflected the investment adviser’s view that accelerating global growth and investors’ demand for yield would continue to support risk assets. In particular, the investment adviser believed that the combination of tax reform, solid corporate earnings reports and stimulative fiscal policy would be a tailwind for corporate bonds. As such, the Fund’s largest allocations were in investment-grade corporate bonds, followed by ABS, agency MBS and CMBS.
As volatility picked up and credit spreads widened in 2018, the Fund slightly reduced its allocations to ABS and CMBS and rotated into corporates. The Fund also increased its allocation to agency MBS, particularly 15-year pass-throughs.
Describe portfolio positioning at period end.
At the end of March, the Fund was positioned with a slightly longer duration relative to the benchmark. The Fund finished the period with overweights in ABS, agency MBS and U.S. investment-grade corporates. Conversely, it was underweight in non-U.S. sovereign debt.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
Portfolio Information
PORTFOLIO COMPOSITION
Asset Type | Percent of Total Investments (a) | |||
Corporate Bonds | 46 | % | ||
Asset-Backed Securities | 23 | |||
U.S. Government Sponsored Agency Securities | 22 | |||
Non-Agency Mortgage-Backed Securities | 9 |
CREDIT QUALITY ALLOCATION (b)
Credit Rating | Percent of Total Investments (a) | |||
AAA/Aaa(c) | 53 | % | ||
AA/Aa | 4 | |||
A | 19 | |||
BBB/Baa | 23 | |||
BB/Ba | 1 |
(a) | Total investments exclude short-term securities and options purchased. |
(b) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(c) | The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuers. Using this approach, the investment adviser has deemed not-rated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa. |
14 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Fund Summary as of March 31, 2018 (continued) | Series S Portfolio |
TOTAL RETURN BASED ON A $10,000 INVESTMENT
(a) | The Fund will primarily invest its assets in investment grade fixed-income securities, such as CMBS and MBS, obligations of non-U.S. governments and supranational organizations, which are chartered to promote economic development, obligations of domestic and non-U.S. corporations, ABS, U.S. Treasury and agency securities, cash equivalent investments, when-issued and delayed delivery securities, derivatives, repurchase agreements, reverse repurchase agreements and dollar rolls. |
(b) | An unmanaged index comprised of Treasury securities with maturities ranging from one to three years. |
Performance Summary for the Period Ended March 31, 2018
Average Annual Total Returns (a) | ||||||||||||||||||||||||||||||||||||||||
6 Months Total Returns | 1 Year | 5 Years | 10 Years | |||||||||||||||||||||||||||||||||||||
Series S Portfolio | (0.37 | )% | 1.15 | % | 1.80 | % | 3.29 | % | ||||||||||||||||||||||||||||||||
ICE BofAML 1-3 Year U.S. Treasury Index | (0.38 | ) | 0.03 | 0.52 | 1.13 |
(a) | See “About Fund Performance” on page 16 for a detailed description of performance related information. |
Past performance is not indicative of future results.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
Actual | Hypothetical (c) | |||||||||||||||||||||||||||||||||||||||
Excluding Interest Expense | Including Interest Expense | Excluding Interest Expense | Excluding Interest Expense | Including Interest Expense | Excluding Interest Expense | |||||||||||||||||||||||||||||||||||
Beginning Account Value (10/01/17) | Ending Account Value (03/31/18) | Expenses Paid During the Period (a) | Expenses Paid During the Period (b) | Beginning Account Value (10/01/17) | Ending Account Value (03/31/18) | Expenses Paid During the Period (a) | Ending Account Value (03/31/18) | Expenses Paid During the Period (b) | ||||||||||||||||||||||||||||||||
Series S Portfolio | $1,000.00 | $996.30 | $3.14 | $0.00 | $1,000.00 | $1,021.79 | $3.18 | $1,024.93 | $0.00 |
(a) | For shares of the Fund, expenses are equal to the annualized expense ratio of 0.63%, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses and interest expense, incurred by the Fund. This agreement has no fixed term. |
(b) | For shares of the Fund, expenses are equal to the annualized expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses and interest expense, incurred by the Fund. This agreement has no fixed term. |
(c) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. |
See | “Disclosure of Expenses” on page 16 for further information on how expenses were calculated. |
FUND SUMMARY | 15 |
About Fund Performance | BlackRock Allocation Target Shares |
Performance information reflects past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Figures shown in the performance tables on the previous pages assume reinvestment of all distributions, if any, at net asset value (“NAV”) on the ex-dividend/payable date. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The performance information also reflects fee waivers and reimbursements that subsidize and reduce the total operating expenses of each Fund. The Funds’ returns would have been lower if there were no such waivers and reimbursements.
Shareholders of each Fund may incur the following charges: (a) transactional expenses and (b) operating expenses, including administration fees and other fund expenses. The expense examples shown on the previous pages (which are based on a hypothetical investment of $1,000 invested on October 1, 2017 and held through March 31, 2018) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense examples provide information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their Fund under the headings entitled “Expenses Paid During the Period.”
The expense examples also provide information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in these Funds and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in shareholder reports of other funds.
The expenses shown in the expense examples are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, if any. Therefore, the hypothetical examples are useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
16 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
The Benefits and Risks of Leveraging
|
| BlackRock Allocation Target Shares
|
|
The Funds may utilize leverage to seek to enhance returns and NAV. However, these objectives cannot be achieved in all interest rate environments.
The Funds may utilize leverage by entering into reverse repurchase agreements.
Series E Portfolio may leverage its assets through the use of proceeds received in tender option bond (“TOB”) transactions, as described in the Notes to Financial Statements. In a TOB Trust transaction, the Fund transfers municipal bonds or other municipal securities into a special purpose entity (a “TOB Trust”). TOB investments generally provide the Fund with economic benefits in periods of declining short-term interest rates, but expose the Fund to risks during periods of rising short-term interest rates. Additionally, fluctuations in the market value of municipal bonds deposited into a TOB Trust may adversely affect the Fund’s NAV per share.
In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by each Fund on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of each Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Funds’ shareholders benefit from the incremental net income.
The interest earned on securities purchased with the proceeds from leverage is distributed to the Funds’ shareholders, and the value of these portfolio holdings is reflected in the Funds’ per share NAV. However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other ongoing costs of leverage exceed a Fund’s return on assets purchased with leverage proceeds, income to shareholders is lower than if the Fund had not used leverage.
Furthermore, the value of each Fund’s portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can also influence the value of portfolio investments. As a result, changes in interest rates can influence each Fund’s NAV positively or negatively in addition to the impact on each Fund’s performance from leverage. Changes in the direction of interest rates are difficult to predict accurately, and there is no assurance that a Fund’s leveraging strategy will be successful.
The use of leverage also generally causes greater changes in each Fund’s NAV and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV of a Fund’s shares than if the Fund were not leveraged. In addition, each Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of the leverage instruments, which may cause the Funds to incur losses. The use of leverage may limit a Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Fund incurs expenses in connection with the use of leverage, all of which are borne by each Fund’s shareholders and may reduce income.
Derivative Financial Instruments
The Funds may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Funds’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Funds’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
THE BENEFITSAND RISKSOF LEVERAGING | 17 |
March 31, 2018 | Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities — 56.2% |
| |||||||
Ajax Mortgage Loan Trust: |
| |||||||
Series 2016-1, Class A, 4.25%, 07/25/47(a)(b) | $ | 230 | $ | 226,682 | ||||
Series 2016-B, Class A, 4.00%, 09/25/65(a)(b) | 141 | 141,430 | ||||||
Series 2017-D, Class A, 3.75%, 12/25/57(b)(c) | 2,421 | 2,433,447 | ||||||
Series 2017-D, Class B, 0.00%, 12/25/57(b)(c)(d) | 1,738 | 1,068,733 | ||||||
Allegro CLO II Ltd.: |
| |||||||
Series 2014-1A, Class A1R, (3 mo. LIBOR US + 1.310%), 3.06%, 01/21/27(b)(e) | 1,000 | 1,001,825 | ||||||
Series 2014-1A, Class CR, (3 mo. LIBOR US + 3.850%), 5.60%, 01/21/27(b)(e) | 250 | 250,260 | ||||||
Allegro CLO Ltd., Series 2016-1X, Class D, (3 mo. LIBOR US + 3.850%), 6.20%, 01/15/29(b)(e) | 500 | 507,025 | ||||||
Allegro CLO VI Ltd., Series 2017-2A, Class A, (3 mo. LIBOR US + 1.130%), | 1,000 | 1,003,570 | ||||||
ALM VI Ltd., Series 2012-6A, Class DRR, (3 mo. LIBOR US + 5.450%), 7.17%, 07/15/26(b)(e) | 600 | 601,155 | ||||||
ALM VII Ltd., Series 2012-7A, Class A1R, (3 mo. LIBOR US + 1.480%), 3.20%, 10/15/28(b)(e) | 1,000 | 1,010,998 | ||||||
ALM XIV Ltd.: |
| |||||||
Series 2014-14A, Class PS, | 1,000 | 752,483 | ||||||
Series 2014-14B, Class PS, 0.00%, 07/28/26(f) | 1,000 | 752,483 | ||||||
AMMC CLO 20 Ltd., Series 2017-20A, Class E, (3 mo. LIBOR US + 5.810%), | 500 | 502,253 | ||||||
Anchorage Capital CLO 1-R Ltd., | 2,000 | 1,997,956 | ||||||
Anchorage Capital CLO 3-R Ltd.: |
| |||||||
Series 2014-3RA, Class A, (3 mo. LIBOR US + 1.050%), 2.81%, 01/28/31(b)(e) | 1,000 | 1,001,878 | ||||||
Series 2014-3RA, Class C, (3 mo. LIBOR US + 1.850%), 3.61%, 01/28/31(b)(e) | 500 | 499,204 | ||||||
Anchorage Capital CLO 4-R Ltd.: |
| |||||||
Series 2014-4RA, Class A, (3 mo. LIBOR US + 1.050%), 2.81%, 01/28/31(b)(e) | 1,000 | 1,001,881 | ||||||
Series 2014-4RA, Class C, (3 mo. LIBOR US + 1.850%), 3.61%, 01/28/31(b)(e) | 1,500 | 1,501,022 | ||||||
Series 2014-4RA, Class D, (3 mo. LIBOR US + 2.600%), 4.36%, 01/28/31(b)(e) | 750 | 751,156 | ||||||
Anchorage Capital CLO 5-R Ltd.: |
| |||||||
Series 2014-5RA, Class B, (3 mo. LIBOR US + 1.450%), 3.17%, 01/15/30(b)(e) | 1,700 | 1,702,124 | ||||||
Series 2014-5RA, Class C, (3 mo. LIBOR US + 1.850%), 3.57%, 01/15/30(b)(e) | 2,000 | 2,004,683 | ||||||
Series 2014-5RA, Class E, (3 mo. LIBOR US + 5.400%), 7.12%, 01/15/30(b)(e) | 1,000 | 999,945 | ||||||
Anchorage Capital CLO 7 Ltd.: |
| |||||||
Series 2015-7A, Class B1R, (3 mo. LIBOR US + 1.300%), 3.02%, 10/15/27(b)(e) | 1,500 | 1,500,724 | ||||||
Series 2015-7A, Class CR, (3 mo. LIBOR US + 1.700%), 3.42%, 10/15/27(b)(e) | 625 | 625,214 | ||||||
Anchorage Capital CLO 8 Ltd.: |
| |||||||
Series 2016-8A, Class D, (3 mo. LIBOR US + 4.200%), 5.96%, 07/28/28(b)(e) | 250 | 251,248 | ||||||
Series 2016-8A, Class E, (3 mo. LIBOR US + 6.500%), 8.26%, 07/28/28(b)(e) | 777 | 785,701 |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Anchorage Capital CLO 9 Ltd., Series 2016-9A, Class E, (3 mo. LIBOR US + 7.250%), | $ | 600 | $ | 615,585 | ||||
Anchorage Capital CLO Ltd.: |
| |||||||
Series 2013-1A, Class BR, (3 mo. LIBOR US + 2.150%), 3.87%, 10/13/30(b)(e) | 500 | 505,174 | ||||||
Series 2013-1A, Class DR, (3 mo. LIBOR US + 6.800%), 8.52%, 01/13/31(b)(e) | 1,000 | 1,019,012 | ||||||
Apidos CLO XII, Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.080%), 3.12%, 04/15/31(b)(e) | 1,900 | 1,905,803 | ||||||
Apidos CLO XV, Series 2013-15A, Class A1RR, (3 mo. LIBOR US + 1.010%), 0.00%, 04/20/31(b)(e) | 1,000 | 999,440 | ||||||
Apidos CLO XVIII, Series 2014-18A, Class CR, | 250 | 250,001 | ||||||
Apidos CLO XXI, Series 2015-21X, Class D, (3 mo. LIBOR US + 5.550%), 7.28%, 07/18/27(e) | 500 | 502,994 | ||||||
Apidos CLO XXII, Series 2015-22A, Class D, (3 mo. LIBOR US + 6.000%), 7.75%, 10/20/27(b)(e) | 500 | 508,315 | ||||||
Apidos CLO XXIII, Series 2015-23A, Class D2, (3 mo. LIBOR US + 5.950%), 7.67%, 01/14/27(b)(e) | 500 | 500,186 | ||||||
Arbor Realty Commercial Real Estate Notes Ltd.: |
| |||||||
Series 2016-FL1A, Class A, (1 mo. LIBOR US + 1.700%), 3.48%, 09/15/26(b)(e) | 190 | 193,166 | ||||||
Series 2017-FL1, Class A, (1 mo. LIBOR US + 1.300%), 3.08%, 04/15/27(b)(e) | 1,920 | 1,931,905 | ||||||
Series 2017-FL1, Class B, (1 mo. LIBOR US + 2.500%), 4.28%, 04/15/27(b)(e) | 438 | 441,333 | ||||||
ARES XL CLO Ltd., Series 2016-40A, Class D, (3 mo. LIBOR US + 6.600%), 8.32%, 10/15/27(b)(e) | 1,000 | 1,019,089 | ||||||
ARES XLIII CLO Ltd., Series 2017-43A, Class E, (3 mo. LIBOR US + 6.470%), 8.19%, 10/15/29(b)(e) | 750 | 768,908 | ||||||
Ares XXXIII CLO Ltd.: |
| |||||||
Series 2015-1A, Class CR, (3 mo. LIBOR US + 4.200%), 6.23%, 12/05/25(b)(e) | 250 | 256,187 | ||||||
Series 2015-1A, Class D, (3 mo. LIBOR US + 6.230%), 8.26%, 12/05/25(b)(e) | 500 | 514,311 | ||||||
Ares XXXIV CLO Ltd., Series 2015-2A, Class E2, (3 mo. LIBOR US + 5.200%), 6.96%, 07/29/26(b)(e) | 500 | 500,221 | ||||||
Ares XXXIX CLO Ltd., Series 2016-39A, Class E, (3 mo. LIBOR US + 7.250%), 8.98%, 07/18/28(b)(e) | 250 | 258,368 | ||||||
ARES XXXVII CLO Ltd., Series 2015-4A, Class A1R, (3 mo. LIBOR US + 1.170%), | 600 | 603,015 | ||||||
Argent Mortgage Loan Trust, Series 2005-W1, Class A2, (1 mo. LIBOR US + 0.240%), | 76 | 56,650 | ||||||
ArrowMark Colorado Holdings, Series 2017-8A, Class A1, (3 mo. LIBOR US + 1.160%), | 1,100 | 1,097,823 | ||||||
Atrium IX, Series 9A, Class AR, (3 mo. LIBOR US + 1.240%), 3.22%, 05/28/30(b)(e) | 1,325 | 1,331,381 | ||||||
Atrium VIII, Series 8A, Class DR, (3 mo. LIBOR | 325 | 329,507 |
18 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Atrium X, Series 10A, Class E, (3 mo. LIBOR US + 4.500%), 6.22%, 07/16/25(b)(e) | $ | 650 | $ | 650,362 | ||||
Babson CLO Ltd.: | ||||||||
Series 2014-3A, Class AR, (3 mo. LIBOR US + 1.320%), 3.04%, 01/15/26(b)(e) | 1,000 | 1,000,371 | ||||||
Series 2015-2A, Class AR, (3 mo. LIBOR US + 1.190%), 2.94%, 10/20/30(b)(e) | 1,000 | 1,005,409 | ||||||
Series 2016-1A, Class E, (3 mo. LIBOR US + 6.550%), 8.29%, 04/23/27(b)(e) | 250 | 250,427 | ||||||
Series 2016-2A, Class E, (3 mo. LIBOR US + 6.900%), 8.65%, 07/20/28(b)(e) | 500 | 510,687 | ||||||
Ballyrock CLO LLC, Series 2014-1A, Class CR, (3 mo. LIBOR US + 3.650%), 5.40%, 10/20/26(b)(e) | 1,750 | 1,750,360 | ||||||
Battalion CLO IV Ltd., Series 2013-4A, Class A1R, | 778 | 778,042 | ||||||
Battalion CLO X Ltd., Series 2016-10A, Class D, (3 mo. LIBOR US + 7.000%), | 500 | 508,846 | ||||||
Battalion CLO XI Ltd., Series 2017-11A, Class E, (3 mo. LIBOR US + 5.980%), | 1,000 | 1,005,959 | ||||||
Bayview Financial Revolving Asset Trust: | ||||||||
Series 2005-A, Class A1, (1 mo. LIBOR US + 1.000%), 2.88%, 02/28/40(b)(e) | 2,117 | 2,015,543 | ||||||
Series 2005-E, Class A1, (1 mo. LIBOR US + 1.000%), 2.88%, 12/28/40(b)(e) | 3,458 | 3,182,434 | ||||||
Series 2005-E, Class A2A, (1 mo. LIBOR US + 0.930%), 2.81%, 12/28/40(b)(e) | 2,419 | 2,176,019 | ||||||
Bear Stearns Asset-Backed Securities I Trust: | ||||||||
Series 2007-HE2, Class 1A4, (1 mo. LIBOR US + 0.320%), 2.19%, 03/25/37(e) | 854 | 628,757 | ||||||
Series 2007-HE2, Class 23A, (1 mo. LIBOR US + 0.140%), 2.01%, 03/25/37(e) | 153 | 150,735 | ||||||
Series 2007-HE3, Class 1A4, (1 mo. LIBOR US + 0.350%), 2.22%, 04/25/37(e) | 324 | 255,432 | ||||||
Bear Stearns Asset-Backed Securities Trust, Series 2005-4, Class M2, (1 mo. LIBOR US + 1.200%), 3.07%, 01/25/36(e) | 173 | 170,246 | ||||||
Benefit Street Partners CLO IV Ltd., | 500 | 502,698 | ||||||
Benefit Street Partners CLO VIII Ltd., | 900 | 901,486 | ||||||
Benefit Street Partners CLO XII Ltd., | 1,000 | 1,013,335 | ||||||
BlueMountain CLO Ltd.: | ||||||||
Series 2013-2A, Class A1R, (3 mo. LIBOR US + 1.180%), 2.93%, 10/22/30(b)(e) | 2,200 | 2,211,559 | ||||||
Series 2015-1A, Class D, (3 mo. LIBOR US + 5.450%), 7.17%, 04/13/27(b)(e) | 250 | 250,438 | ||||||
Series 2015-3A, Class A1R, (3 mo. LIBOR US + 1.000%), 0.00%, 04/20/31(b)(e) | 1,000 | 1,000,000 | ||||||
BSPRT Issuer Ltd., Series 2018-FL3, Class A, | 2,590 | 2,590,000 | ||||||
Canyon Capital CLO Ltd.: | ||||||||
Series 2006-1A, Class A1, (3 mo. LIBOR US + 0.250%), 2.38%, 12/15/20(b)(e) | 63 | 63,090 |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Series 2006-1A, Class C, (3 mo. LIBOR US + 0.700%), 2.83%, 12/15/20(b)(e) | $ | 250 | $ | 249,756 | ||||
Carlyle Global Market Strategies CLO Ltd.: | ||||||||
Series 2012-3A, Class CR, (3 mo. LIBOR US + 4.100%), 5.82%, 10/14/28(b)(e) | 500 | 506,956 | ||||||
Series 2012-4A, Class AR, (3 mo. LIBOR US + 1.450%), 3.20%, 01/20/29(b)(e) | 935 | 939,803 | ||||||
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 0.970%), | 1,515 | 1,515,000 | ||||||
Series 2014-1A, Class CR, (3 mo. LIBOR US + 2.750%), 4.48%, 04/17/25(b)(e) | 500 | 500,620 | ||||||
Series 2014-3A, Class C1R, (3 mo. LIBOR US + 3.270%), | 1,000 | 1,000,869 | ||||||
Series 2014-3A, Class D1, (3 mo. LIBOR US + 5.100%), 6.86%, 07/27/26(b)(e) | 1,400 | 1,406,939 | ||||||
Series 2014-3A, Class D2R, (3 mo. LIBOR US + 5.750%), | 500 | 501,648 | ||||||
Series 2014-5A, Class A1R, (3 mo. LIBOR US + 1.140%), | 1,000 | 1,001,030 | ||||||
Series 2015-4A, Class D, (3 mo. LIBOR US + 6.100%), 7.85%, 10/20/27(b)(e) | 500 | 508,442 | ||||||
Series 2015-4A, Class SBB1, (3 mo. LIBOR US + 8.500%), | 145 | 146,870 | ||||||
Series 2016-1A, Class D, (3 mo. LIBOR US + 7.600%), 9.35%, 04/20/27(b)(e) | 1,250 | 1,252,488 | ||||||
Carrington Mortgage Loan Trust: | ||||||||
Series 2006-FRE2, Class A2, (1 mo. LIBOR US + 0.120%), | 320 | 233,606 | ||||||
Series 2006-FRE2, Class A3, (1 mo. LIBOR US + 0.160%), | 170 | 124,494 | ||||||
Series 2006-FRE2, Class A4, (1 mo. LIBOR US + 0.250%), | 2,608 | 1,935,127 | ||||||
Series 2006-NC2, Class A3, (1 mo. LIBOR US + 0.150%), | 706 | 697,731 | ||||||
Series 2006-NC3, Class A4, (1 mo. LIBOR US + 0.240%), | 630 | 408,303 | ||||||
Series 2006-NC4, Class A3, (1 mo. LIBOR US + 0.160%), | 99 | 90,200 | ||||||
CBAM Ltd.: | ||||||||
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.250%), 3.00%, 07/20/30(b)(e) | 1,500 | 1,516,043 | ||||||
Series 2017-3A, Class A, (3 mo. LIBOR US + 1.230%), 2.60%, 10/17/29(b)(e) | 2,500 | 2,514,799 | ||||||
Series 2017-3A, Class B1, (3 mo. LIBOR US + 1.700%), 3.07%, 10/17/29(b)(e) | 500 | 503,715 | ||||||
Series 2017-3A, Class E1, (3 mo. LIBOR US + 6.500%), 7.87%, 10/17/29(b)(e) | 1,000 | 1,013,169 | ||||||
C-BASS Trust: | ||||||||
Series 2007-CB1, Class AF2, | 315 | 152,964 | ||||||
Series 2006-CB9, Class A2, (1 mo. LIBOR US + 0.110%), | 62 | 39,373 | ||||||
Series 2006-CB9, Class A4, (1 mo. LIBOR US + 0.230%), | 16 | 10,544 | ||||||
Series 2007-CB5, Class A2, (1 mo. LIBOR US + 0.170%), | 62 | 46,681 | ||||||
Cedar Funding IX CLO Ltd., | 2,000 | 2,000,000 |
SCHEDULE OF INVESTMENTS | 19 |
Schedule of Investments (continued) March 31, 2018 | Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Cedar Funding VIII CLO Ltd., Series 2017-8A, Class A1, (3 mo. LIBOR US + 1.250%), 2.98%, 10/17/30(b)(e) | $ | 1,000 | $ | 1,007,436 | ||||
CIFC Funding Ltd.: | ||||||||
Series 2014-3A, Class C1R, (3 mo. LIBOR US + 1.900%), 3.64%, 07/22/26(b)(e) | 250 | 250,137 | ||||||
Series 2014-4A, Class A1R, (3 mo. LIBOR US + 1.380%), 3.11%, 10/17/26(b)(e) | 500 | 500,163 | ||||||
Series 2014-5A, Class CR, (3 mo. LIBOR US + 2.700%), 4.43%, 01/17/27(b)(e) | 750 | 750,645 | ||||||
Series 2016-1A, Class E, (3 mo. LIBOR US + 6.750%), 8.50%, 10/21/28(b)(e) | 500 | 510,886 | ||||||
Series 2018-1A, Class A, (3 mo. LIBOR US + 1.000%), 3.16%, 04/18/31(b)(e) | 1,100 | 1,099,533 | ||||||
Citigroup Mortgage Loan Trust: | ||||||||
Series 2006-NC1, Class A2D, (1 mo. LIBOR US + 0.250%), 2.12%, 08/25/36(e) | 30 | 28,966 | ||||||
Series 2006-WFH4, Class M3, (1 mo. LIBOR US + 0.320%), 2.19%, 11/25/36(e) | 290 | 245,974 | ||||||
Series 2007-AHL2, Class A3C, (1 mo. LIBOR US + 0.270%), 2.14%, 05/25/37(e) | 19 | 13,810 | ||||||
Clear Creek CLO Ltd., Series 2015-1A, Class ER, (3 mo. LIBOR US + 6.300%), 8.05%, 10/20/30(b)(e) | 1,000 | 1,010,312 | ||||||
Conseco Finance Corp.: | ||||||||
Series 1996-10, Class B1, 7.24%, 11/15/28(d) | 63 | 50,256 | ||||||
Series 1998-4, Class M1, 6.83%, 04/01/30(d) | 1,216 | 1,081,460 | ||||||
Series 1998-8, Class M1, 6.98%, 09/01/30(d) | 1,153 | 964,984 | ||||||
Conseco Finance Securitizations Corp.: | ||||||||
Series 2000-1, Class A5, 8.06%, 09/01/29(d) | 2,450 | 1,297,558 | ||||||
Series 2000-4, Class A6, 8.31%, 05/01/32(d) | 2,443 | 1,274,246 | ||||||
Countrywide Asset-Backed Certificates: | ||||||||
Series 2005-16, Class 1AF, 5.00%, 05/25/36(d) | 2,281 | 2,237,043 | ||||||
Series 2006-11, Class 3AV2, (1 mo. LIBOR US + 0.160%), 2.03%, 09/25/46(e) | 16 | 15,698 | ||||||
Series 2007-S3, Class A3, (1 mo. LIBOR US + 0.380%), 2.25%, 05/25/37(e) | 168 | 152,938 | ||||||
Countrywide Revolving Home Equity Loan Trust, Series 2004-U, Class 2A, (1 mo. LIBOR US + 0.270%), 2.05%, 03/15/34(e) | 58 | 52,282 | ||||||
Credit-Based Asset Servicing & Securitization LLC: | ||||||||
Series 2006-CB2, Class AF4, | 25 | 20,553 | ||||||
Series 2006-MH1, Class B1, | 2,900 | 2,931,100 | ||||||
Series 2006-SL1, Class A3, (1 mo. LIBOR US + 0.220%), 2.09%, 09/25/36(b)(e) | 6,691 | 1,118,667 | ||||||
Series 2007-RP1, Class A, (1 mo. LIBOR US + 0.310%), 2.18%, 05/25/46(b)(e) | 88 | 78,002 | ||||||
CWHEQ Home Equity Loan Trust, Series 2006-S2, Class A3, 5.84%, 07/25/27 | 505 | 689,020 | ||||||
CWHEQ Revolving Home Equity Loan Resuritization Trust: | ||||||||
Series 2006-RES, Class 4Q1B, (1 mo. LIBOR US + 0.300%), 2.08%, 12/15/33(b)(e) | 51 | 47,482 |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Series 2006-RES, Class 5B1B, (1 mo. LIBOR US + 0.190%), 1.97%, 05/15/35(b)(c)(e) | $ | 19 | $ | 17,554 | ||||
CWHEQ Revolving Home Equity Loan Trust, Series 2006-G, Class 2A, (1 mo. LIBOR US + 0.150%), 1.93%, 10/15/36(e) | 489 | 444,101 | ||||||
Deer Creek CLO Ltd., Series 2017-1A, Class A, | 1,000 | 1,005,375 | ||||||
Dryden 50 Senior Loan Fund, Series 2018-64A, Class A, 0.00%, 04/15/31(b)(d) | 1,500 | 1,500,000 | ||||||
Dryden 53 CLO Ltd., Series 2017-53A, Class A, | 2,000 | 2,008,947 | ||||||
Elevation CLO Ltd., Series 2016-5A, Class E, | 500 | 505,213 | ||||||
First Franklin Mortgage Loan Trust: | ||||||||
Series 2006-FF16, Class 2A3, (1 mo. LIBOR US + 0.140%), 2.01%, 12/25/36(e) | 716 | 438,955 | ||||||
Series 2006-FF17, Class A5, (1 mo. LIBOR US + 0.150%), 2.02%, 12/25/36(e) | 3,458 | 2,853,686 | ||||||
Series 2006-FF5, Class 2A3, (1 mo. LIBOR US + 0.160%), 2.03%, 04/25/36(e) | 61 | 57,464 | ||||||
Fremont Home Loan Trust, Series 2006-3, Class 1A1, (1 mo. LIBOR US + 0.140%), | 3,082 | 2,456,954 | ||||||
Galaxy XXI CLO Ltd., Series 2015-21A, Class ER, (3 mo. LIBOR US + 5.250%), | 500 | 492,908 | ||||||
GCAT LLC, Series 2017-4, Class A1, | 835 | 828,803 | ||||||
GE-WMC Asset-Backed Pass-Through Certificates, Series 2005-2, Class A2C, (1 mo. LIBOR US + 0.250%), 2.12%, 12/25/35(e) | 30 | 29,898 | ||||||
GE-WMC Mortgage Securities Trust, Series 2006-1, Class A2B, (1 mo. LIBOR US + 0.150%), | 106 | 68,382 | ||||||
Gilbert Park CLO Ltd., Series 2017-1A, Class E, | 1,000 | 1,013,032 | ||||||
GMACM Home Equity Loan Trust, Series 2006-HE1, Class A, (1 mo. LIBOR US + 0.315%), | 436 | 482,107 | ||||||
Goldentree Loan Opportunities XI Ltd., Series 2015-11A, Class AR2, (3 mo. LIBOR US + 1.070%), 2.80%, 01/18/31(b)(e) | 1,350 | 1,353,757 | ||||||
Greywolf CLO IV Ltd., Series 2014-2A, Class BR, | 500 | 500,498 | ||||||
GSAA Trust, Series 2007-2, Class AF3, | 30 | 12,291 | ||||||
GSAMP Trust: | ||||||||
Series 2006-FM2, Class A2B, (1 mo. LIBOR US + 0.120%), 1.99%, 09/25/36(e) | 163 | 78,436 | ||||||
Series 2007-H1, Class A1B, (1 mo. LIBOR US + 0.200%), 2.07%, 01/25/47(e) | 15 | 10,401 | ||||||
Highbridge Loan Management Ltd.: | ||||||||
Series 5X-2015, Class E, (3 mo. LIBOR US + 5.350%), 7.11%, 01/29/26(e) | 900 | 901,187 | ||||||
Series 7A-2015, Class ER, (3 mo. LIBOR US + 5.000%), 7.30%, 03/15/27(b)(e) | 500 | 500,000 |
20 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Home Equity Mortgage Loan Asset-Backed Trust: | ||||||||
Series 2004-A, Class M2, (1 mo. LIBOR US + 2.025%), | $ | 36 | $ | 36,078 | ||||
Series 2007-B, Class 2A3, (1 mo. LIBOR US + 0.200%), | 310 | 204,906 | ||||||
HPS Loan Management Ltd., Series 10A-16, Class C, (3 mo. LIBOR US + 3.650%), 5.40%, 01/20/28(b)(e) | 500 | 505,445 | ||||||
JPMorgan Mortgage Acquisition Trust, Series 2006-WF1, Class A3A, | 1,666 | 850,886 | ||||||
KKR CLO 12 Ltd., Series 12, Class ER, (3 mo. LIBOR US + 5.600%), | 1,000 | 1,002,879 | ||||||
LCM 26 Ltd., Series 26A, Class A1, (3 mo. LIBOR US + 1.070%), | 2,000 | 2,010,592 | ||||||
LCM XVIII LP, Series 18A, Class B1, (3 mo. LIBOR US + 2.300%), | 500 | 500,551 | ||||||
Lehman ABS Manufactured Housing Contract Trust, Series 2002-A, Class C, 0.00%, 06/15/33 | 1,303 | 1,055,351 | ||||||
Lendmark Funding Trust: | ||||||||
Series 2017-1A, Class A, | 2,500 | 2,486,790 | ||||||
Series 2017-1A, Class B, | 1,570 | 1,576,523 | ||||||
Series 2017-2A, Class A, | 4,980 | 4,952,143 | ||||||
Series 2017-2A, Class B, | 2,540 | 2,518,058 | ||||||
Long Beach Mortgage Loan Trust: | ||||||||
Series 2006-2, Class 2A3, (1 mo. LIBOR US + 0.190%), 2.06%, 03/25/46(e) | 3,554 | 1,684,883 | ||||||
Series 2006-2, Class 2A4, (1 mo. LIBOR US + 0.290%), 2.16%, 03/25/46(e) | 788 | 379,404 | ||||||
Series 2006-4, Class 2A4, (1 mo. LIBOR US + 0.260%), 2.13%, 05/25/36(e) | 904 | 430,311 | ||||||
Series 2006-7, Class 2A3, (1 mo. LIBOR US + 0.160%), 2.03%, 08/25/36(e) | 6,882 | 3,862,625 | ||||||
Series 2006-7, Class 2A4, (1 mo. LIBOR US 0.240%), 2.11%, 08/25/36(e) | 1,795 | 1,018,204 | ||||||
Series 2006-8, Class 2A3, (1 mo. LIBOR US + 0.160%), 2.03%, 09/25/36(e) | 5,948 | 2,550,436 | ||||||
Series 2006-9, Class 2A2, (1 mo. LIBOR US + 0.110%), 1.98%, 10/25/36(e) | 7,817 | 3,450,003 | ||||||
Series 2006-9, Class 2A3, (1 mo. LIBOR US + 0.160%), 2.03%, 10/25/36(e) | 2,607 | 1,158,118 | ||||||
Series 2006-10, Class 2A4, (1 mo. LIBOR US + 0.220%), 2.09%, 11/25/36(e) | 3,850 | 1,791,001 | ||||||
Madison Park Funding X Ltd., Series 2012-10A, Class ER, (3 mo. LIBOR US + 7.620%), 9.37%, 01/20/29(b)(e) | 500 | 514,333 | ||||||
Madison Park Funding XI Ltd., Series 2013-11A Class ER (3 mo. LIBOR US + 6.450%), 8.19%, 07/23/29(b)(e) | 500 | 504,501 | ||||||
Madison Park Funding XIII Ltd., Series 2014-13A, Class E, (3 mo. LIBOR US + 5.000%), 6.74%, 01/19/25(b)(e) | 1,000 | 1,000,621 | ||||||
Madison Park Funding XIV Ltd.: | ||||||||
Series 2014-14A, Class A2R, (3 mo. LIBOR US + 1.120%), | 3,250 | 3,252,930 | ||||||
Series 2014-14A, Class DR, (3 mo. LIBOR US + 3.250%), | 500 | 500,371 | ||||||
Madison Park Funding XV Ltd., Series 2014-15A, Class CR, (3 mo. LIBOR US + 3.450%), 5.21%, 01/27/26(b)(e) | 1,000 | 1,001,557 |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Madison Park Funding XVIII Ltd., Series 2015-18A, Class A1R, (3 mo. LIBOR US + 1.190%), 2.94%, 10/21/30(b)(e) | $ | 1,750 | $ | 1,759,505 | ||||
Madison Park Funding XX Ltd., Series 2016-20A, Class E, (3 mo. LIBOR US + 7.400%), 9.16%, 04/27/27(b)(e) | 250 | 250,658 | ||||||
Madison Park Funding XXVI Ltd., Series 2017-26A, Class AR, (3 mo. LIBOR US + 1.200%), 2.96%, 07/29/30(b)(e) | 1,500 | 1,508,571 | ||||||
MASTR Asset-Backed Securities Trust: | ||||||||
Series 2006-AM2, Class A4, (1 mo. LIBOR US + 0.260%), | 500 | 400,833 | ||||||
Series 2006-HE2, Class A3, (1 mo. LIBOR US + 0.150%), | 1,269 | 735,210 | ||||||
Series 2007-HE1, Class A4, (1 mo. LIBOR US + 0.280%), | 83 | 69,407 | ||||||
MASTR Specialized Loan Trust, Series 2006-3, Class A, (1 mo. LIBOR US + 0.260%), 2.13%, 06/25/46(b)(e) | 35 | 32,613 | ||||||
MERIT Securities Corp., Series 13, Class M2, 7.94%, 12/28/33(a) | 1,592 | 1,236,626 | ||||||
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2C, (1 mo. LIBOR US + 0.240%), | 2,663 | 1,848,718 | ||||||
Merrill Lynch Mortgage Investors Trust, Series 2006-OPT1, Class M1, (1 mo. LIBOR US + 0.260%), | 2,275 | 466,326 | ||||||
Morgan Stanley IXIS Real Estate Capital Trust: | ||||||||
Series 2006-2, Class A2, (1 mo. LIBOR US + 0.110%), | 63 | 31,967 | ||||||
Series 2006-2, Class AFPT, (1 mo. LIBOR US + 0.070%), | 2,187 | 1,111,986 | ||||||
Mountain Hawk I CLO Ltd., Series 2013-1A, Class B1, (3 mo. LIBOR US + 2.180%), 3.93%, 01/20/24(b)(e) | 500 | 500,725 | ||||||
Navient Private Education Loan Trust, Series 2015-CA, Class B, | 1,086 | 1,087,740 | ||||||
Neuberger Berman CLO XX Ltd.: | ||||||||
Series 2015-20A, Class DR, (3 mo. LIBOR US + 2.400%), | 1,000 | 1,000,830 | ||||||
Series 2015-20A, Class ER, (3 mo. LIBOR US + 5.000%), | 1,000 | 1,000,165 | ||||||
Neuberger Berman Loan Advisers CLO 26 Ltd., Series 2017-26A, Class A, (3 mo. LIBOR US + 1.170%), | 1,050 | 1,053,946 | ||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-S5, Class A1, (1 mo. LIBOR US + 0.400%), | 819 | 734,768 | ||||||
Oak Hill Credit Partners IX Ltd., Series 2013-9A, Class DR, (3 mo. LIBOR US + 3.300%), 5.05%, 10/20/25(b)(e) | 750 | 750,661 | ||||||
Oak Hill Credit Partners X Ltd., Series 2014-10A, Class DR, (3 mo. LIBOR US + 3.250%), 5.00%, 07/20/26(b)(e) | 1,000 | 1,000,564 | ||||||
Oak Hill Credit Partners XI Ltd., Series 2015-11A, Class E, (3 mo. LIBOR US + 6.700%), 8.45%, 10/20/28(b)(e) | 500 | 508,703 | ||||||
Oakwood Mortgage Investors, Inc.: | ||||||||
Series 2001-D, Class A2, | 46 | 36,160 | ||||||
Series 2002-A, Class M1, | 2,177 | 1,871,841 | ||||||
Series 2002-C, Class M1, | 2,446 | 2,043,335 |
SCHEDULE OF INVESTMENTS | 21 |
Schedule of Investments (continued) March 31, 2018 | Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
OCP CLO Ltd.: | ||||||||
Series 2014-5A, Class A1R, (3 mo. LIBOR US + 1.080%), 2.84%, 04/26/31(b)(e) | $ | 1,000 | $ | 1,003,635 | ||||
Series 2014-7A, Class A1AR, (3 mo. LIBOR US + 0.950%), 2.70%, 10/20/26(b)(e) | 470 | 470,142 | ||||||
Series 2016-12A, Class A1, (3 mo. LIBOR US + 1.570%), 3.30%, 10/18/28(b)(e) | 1,000 | 1,006,670 | ||||||
Series 2016-12A, Class C, (3 mo. LIBOR US + 4.150%), 5.88%, 10/18/28(b)(e) | 1,000 | 1,012,885 | ||||||
Octagon Investment Partners 18-R Ltd., Series 2018-18A, Class A1A, (3 mo. LIBOR US + 0.960%), 0.00%, 04/16/31(b)(e) | 2,000 | 2,000,000 | ||||||
Octagon Investment Partners 24 Ltd., Series 2015-1A, Class A1R, (3 mo. LIBOR US + 0.900%), 2.79%, 05/21/27(b)(e) | 500 | 500,230 | ||||||
Octagon Investment Partners 33 Ltd., Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.190%), 2.59%, 01/20/31(b)(e) | 1,000 | 1,002,495 | ||||||
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class A1R2, (3 mo. LIBOR US + 1.000%), 0.00%, 01/25/31(b)(e) | 750 | 750,669 | ||||||
Octagon Investment Partners XVIII Ltd., Series 2013-1A, Class CR, (3 mo. LIBOR US + 3.480%), 5.33%, 12/16/24(b)(e) | 250 | 250,039 | ||||||
Octagon Investment Partners XXI Ltd., Series 2014-1A, Class D, (3 mo. LIBOR US + 6.600%), 8.43%, 11/14/26(b)(e) | 250 | 250,840 | ||||||
OFSI Fund VI Ltd., Series 2014-6A, Class A2R, | 2,500 | 2,495,934 | ||||||
OHA Credit Partners XIII Ltd., Series 2016-13A, Class E, (3 mo. LIBOR US + 7.150%), | 1,000 | 1,025,878 | ||||||
OHA Loan Funding Ltd., Series 2016-1A, Class D, (3 mo. LIBOR US + 3.750%), | 2,000 | 2,027,034 | ||||||
OneMain Financial Issuance Trust: | ||||||||
Series 2014-2A, Class B, 3.02%, 09/18/24(b) | 375 | 375,528 | ||||||
Series 2014-2A, Class C, 4.33%, 09/18/24(b) | 100 | 100,434 | ||||||
Series 2014-2A, Class D, 5.31%, 09/18/24(b) | 2,000 | 2,007,755 | ||||||
Series 2015-1A, Class A, 3.19%, 03/18/26(b) | 1,605 | 1,608,595 | ||||||
Series 2015-1A, Class C, 5.12%, 03/18/26(b) | 3,500 | 3,531,393 | ||||||
Series 2015-2A, Class A, 2.57%, 07/18/25(b) | 811 | 810,284 | ||||||
Series 2015-2A, Class C, 4.32%, 07/18/25(b) | 2,000 | 1,996,957 | ||||||
Series 2016-1A, Class A, 3.66%, 02/20/29(b) | 2,600 | 2,624,129 | ||||||
Series 2016-1A, Class B, 4.57%, 02/20/29(b) | 3,500 | 3,578,797 | ||||||
Series 2016-2A, Class A, 4.10%, 03/20/28(b) | 2,854 | 2,874,371 | ||||||
Option One Mortgage Loan Trust, Series 2007-FXD1, Class 2A1, 5.87%, 01/25/37(a) | 4,889 | 4,609,086 | ||||||
OZLM Funding II Ltd.: | ||||||||
Series 2012-2A, Class A1R, (3 mo. LIBOR US + 1.440%), 3.21%, 10/30/27(b)(e) | 1,000 | 1,000,163 |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Series 2012-2A, Class DR, (3 mo. LIBOR US + 7.300%), 9.07%, 10/30/27(b)(e) | $ | 500 | $ | 501,438 | ||||
OZLM Funding III Ltd., Series 2013-3A, Class BR, (3 mo. LIBOR US + 3.000%), | 500 | 506,070 | ||||||
OZLM Funding IV Ltd.: | ||||||||
Series 2013-4A, Class A1R, (3 mo. LIBOR US + 1.250%), 3.00%, 10/22/30(b)(e) | 500 | 502,573 | ||||||
Series 2013-4A, Class A2R, (3 mo. LIBOR US + 1.700%), 3.45%, 10/22/30(b)(e) | 500 | 502,908 | ||||||
OZLM IX Ltd., Series 2014-9A, Class CR, (3 mo. LIBOR US + 3.550%), 5.30%, 01/20/27(b)(e) | 1,500 | 1,503,096 | ||||||
OZLM VI Ltd., Series 2014-6A, Class BR, (3 mo. LIBOR US + 2.700%), 4.43%, 04/17/26(b)(e) | 250 | 249,997 | ||||||
OZLM VII Ltd., Series 2014-7A, Class B1R, (3 mo. LIBOR US + 2.250%), 3.98%, 07/17/26(b)(e) | 750 | 750,617 | ||||||
OZLM VIII Ltd., Series 2014-8A, Class BR, (3 mo. LIBOR US + 2.250%), 3.98%, 10/17/26(b)(e) | 500 | 500,411 | ||||||
OZLM XIV Ltd., Series 2015-14A, Class D, (3 mo. LIBOR US + 6.350%), 8.07%, 01/15/29(b)(e) | 500 | 500,305 | ||||||
OZLM XV Ltd., Series 2016-15A, Class A1, (3 mo. LIBOR US + 1.490%), 3.24%, 01/20/29(b)(e) | 500 | 502,714 | ||||||
Palmer Square CLO Ltd.: | ||||||||
Series 2013-2A, Class BR, (3 mo. LIBOR US + 2.250%), 3.98%, 10/17/27(b)(e) | 1,000 | 1,003,245 | ||||||
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 1.130%), 2.86%, 01/17/31(b)(e) | 1,000 | 1,005,948 | ||||||
Series 2014-1A, Class CR2, (3 mo. LIBOR US + 2.650%), 4.38%, 01/17/31(b)(e) | 400 | 398,901 | ||||||
Parallel Ltd.: | ||||||||
Series 2015-1A, Class AR, (3 mo. LIBOR US + 0.850%), 2.60%, 07/20/27(b)(e) | 1,000 | 1,000,608 | ||||||
Series 2015-1A, Class C1R, (3 mo. LIBOR US + 1.750%), 3.50%, 07/20/27(b)(e) | 1,000 | 1,000,739 | ||||||
Park Avenue Institutional Advisers CLO Ltd.: | ||||||||
Series 2016-1A, Class D, (3 mo. LIBOR US + 7.000%), 8.92%, 08/23/28(b)(e) | 1,500 | 1,524,323 | ||||||
Series 2017-1A, Class D, (3 mo. LIBOR US + 6.220%), 7.63%, 11/14/29(b)(e) | 2,250 | 2,269,268 | ||||||
PFS Financing Corp., Series 2017-AA, Class B, (1 mo. LIBOR US + 0.950%), 2.73%, 03/15/21(b)(e) | 3,000 | 3,005,082 | ||||||
Preston Ridge Partners Mortgage LLC, Series 2017-1A, Class A1, 4.25%, 01/25/22(a)(b) | 550 | 549,768 | ||||||
Pretium Mortgage Credit Partners I LLC: | ||||||||
Series 2017-NPL2, Class A1, | 1,863 | 1,852,037 | ||||||
Series 2017-NPL3, Class A1, | 1,279 | 1,272,912 | ||||||
Progress Residential Trust: | ||||||||
Series 2017-SFR1, Class A, 2.77%, 08/17/34(b) | 1,437 | 1,416,803 | ||||||
Series 2016-SFR1, Class E, (1 mo. LIBOR US + 3.850%), 5.66%, 09/17/33(b)(e) | 150 | 152,152 | ||||||
Series 2016-SFR2, Class A, (1 mo. LIBOR US + 1.400%), 3.21%, 01/17/34(b)(e) | 500 | 502,917 | ||||||
Series 2016-SFR2, Class E, (1 mo. LIBOR US + 3.550%), 5.36%, 01/17/34(b)(e) | 200 | 204,850 |
22 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
RAMP Series Trust, Series 2007-RS1, Class A3, (1 mo. LIBOR US + 0.170%), 2.04%, 02/25/37(e) | $ | 3,385 | $ | 1,867,290 | ||||
Regatta V Funding Ltd., Series 2014-1A, Class BR, (3 mo. LIBOR US + 2.300%), | 250 | 250,329 | ||||||
Rockford Tower CLO Ltd.: | ||||||||
Series 2017-1A, Class A, (3 mo. LIBOR US + 1.370%), 3.09%, 04/15/29(b)(e) | 1,500 | 1,508,088 | ||||||
Series 2017-1A, Class D, (3 mo. LIBOR US + 3.250%), 4.97%, 04/15/29(b)(e) | 1,000 | 1,009,448 | ||||||
Series 2017-1A, Class E, (3 mo. LIBOR US + 5.400%), 7.12%, 04/15/29(b)(e) | 2,350 | 2,357,936 | ||||||
Series 2017-2A, Class B, (3 mo. LIBOR US + 1.750%), 3.47%, 10/15/29(b)(e) | 1,250 | 1,258,869 | ||||||
Series 2017-2A, Class C, (3 mo. LIBOR US + 2.300%), 4.02%, 10/15/29(b)(e) | 1,000 | 1,007,877 | ||||||
Series 2017-2A, Class D, (3 mo. LIBOR US + 3.450%), 5.17%, 10/15/29(b)(e) | 1,000 | 1,010,519 | ||||||
Series 2017-2A, Class E, (3 mo. LIBOR US + 6.080%), 7.80%, 10/15/29(b)(e) | 1,000 | 1,006,685 | ||||||
Series 2017-3A, Class A, (3 mo. LIBOR US + 1.190%), 2.86%, 10/20/30(b)(e) | 1,644 | 1,646,147 | ||||||
Series 2017-3A, Class E, (3 mo. LIBOR US + 5.750%), 7.42%, 10/20/30(b)(e) | 250 | 248,805 | ||||||
Romark WM-R Ltd., Series 2018-1A, Class A1, | 1,250 | 1,250,000 | ||||||
RR 3 Ltd., Series 2018-3A, Class A1R2, (3 mo. LIBOR US + 1.090%), 2.80%, 01/15/30(b)(e) | 1,000 | 1,003,772 | ||||||
Seneca Park CLO Ltd., Series 2014-1A, Class D, (3 mo. LIBOR US + 3.500%), | 250 | 250,002 | ||||||
Shackleton CLO Ltd.: | ||||||||
Series 2013-3A, Class AR, (3 mo. LIBOR US + 1.120%), 2.84%, 07/15/30(b)(e) | 1,000 | 1,004,421 | ||||||
Series 2013-3A, Class DR, (3 mo. LIBOR US + 3.020%), 4.74%, 07/15/30(b)(e) | 500 | 500,240 | ||||||
Series 2014-5A, Class AR, (3 mo. LIBOR US + 1.140%), 2.93%, 05/07/26(b)(e) | 1,000 | 1,001,361 | ||||||
Silver Creek CLO Ltd., Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.240%), | 1,500 | 1,507,215 | ||||||
SLM Private Credit Student Loan Trust, Series 2005-B, Class B, (3 mo. LIBOR US + 0.400%), 2.53%, 06/15/39(e) | 3,169 | 3,123,950 | ||||||
SLM Private Education Loan Trust, Series 2013-B, Class B, 3.00%, 05/16/44(b) | 2,500 | 2,483,621 | ||||||
SMB Private Education Loan Trust: | ||||||||
Series 2015-C, Class B, 3.50%, 09/15/43(b) | 1,495 | 1,486,250 | ||||||
Series 2015-C, Class C, 4.50%, 09/17/46(b) | 1,000 | 1,009,084 | ||||||
Series 2017-B, Class A2A, 2.82%, 10/15/35(b) | 1,960 | 1,915,907 | ||||||
Series 2017-B, Class A2B, (1 mo. LIBOR US + 0.750%), 2.53%, 10/15/35(b)(e) | 1,170 | 1,175,846 | ||||||
Series 2018-A, Class A2B, (1 mo. LIBOR US 0.800%), 2.38%, 02/15/36(b)(e) | 5,000 | 5,000,000 | ||||||
Sound Point CLO IV Ltd.: | ||||||||
Series 2013-3A, Class CR, (3 mo. LIBOR US + 2.250%), 4.00%, 01/21/26(b)(e) | 1,000 | 1,001,492 | ||||||
Series 2013-3A, Class DR, (3 mo. LIBOR US + 3.400%), 5.15%, 01/21/26(b)(e) | 500 | 500,645 | ||||||
Sound Point CLO V Ltd., Series 2014-1A, Class E, (3 mo. LIBOR US + 4.250%), | 1,000 | 1,001,056 |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Sound Point CLO VII Ltd., Series 2014-3A, Class AR, (3 mo. LIBOR US + 1.300%), | $ | 250 | $ | 250,093 | ||||
Sound Point CLO X Ltd., Series 2015-3A, Class E, (3 mo. LIBOR US + 6.750%), | 750 | 750,706 | ||||||
Sound Point CLO XI Ltd.: | ||||||||
Series 2016-1A, Class A, (3 mo. LIBOR US + 1.650%), 3.40%, 07/20/28(b)(e) | 250 | 251,037 | ||||||
Series 2016-1A, Class E, (3 mo. LIBOR US + 6.950%), 8.70%, 07/20/28(b)(e) | 500 | 510,850 | ||||||
Sound Point CLO XII Ltd., Series 2016-2A, Class A, (3 mo. LIBOR US + 1.660%), | 250 | 251,279 | ||||||
Sound Point CLO XIV Ltd., Series 2016-3A, Class E, (3 mo. LIBOR US + 6.650%), | 1,000 | 1,021,021 | ||||||
Sound Point CLO XV Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.390%), | 1,500 | 1,508,942 | ||||||
Sound Point CLO XVIII Ltd., Series 2017-4A, Class A1, (3 mo. LIBOR US + 1.120%), | 1,000 | 1,003,977 | ||||||
Soundview Home Loan Trust, Series 2004-WMC1, Class M2, (1 mo. LIBOR US + 0.795%), | 263 | 252,724 | ||||||
SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.05%, 04/25/29(b). | 1,668 | 1,666,111 | ||||||
Springleaf Funding Trust: | ||||||||
Series 2015-AA, Class A, 3.16%, 11/15/24(b) | 1,766 | 1,767,165 | ||||||
Series 2015-AA, Class B, 3.62%, 11/15/24(b) | 250 | 249,603 | ||||||
Series 2016-AA, Class B, 3.80%, 11/15/29(b) | 3,500 | 3,498,562 | ||||||
Stanwich Mortgage Loan Co. LLC: | ||||||||
Series 2016-NPL2, Class NOTE, | 842 | 842,227 | ||||||
Series 2017-NPB1, Class A1, | 1,641 | 1,640,575 | ||||||
Steele Creek CLO Ltd., Series 2017-1A, Class A, | 1,000 | 998,568 | ||||||
Stewart Park CLO Ltd., Series 2015-1A, Class CR, (3 mo. LIBOR US + 1.800%), | 1,000 | 1,000,034 | ||||||
Symphony CLO XII Ltd., Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.030%), | 744 | 745,597 | ||||||
Symphony CLO XVI Ltd., Series 2015-16A, Class E, (3 mo. LIBOR US + 5.450%), | 750 | 748,119 | ||||||
TCI-Flatiron CLO Ltd., Series 2017-1A, Class A, | 1,000 | 1,004,605 | ||||||
Thacher Park CLO Ltd., Series 2014-1A, Class D1R, (3 mo. LIBOR US + 3.400%), | 1,000 | 1,001,275 | ||||||
TICP CLO VI Ltd., Series 2016-6A, Class E, (3 mo. LIBOR US + 6.550%), 8.27%, 01/15/29(b)(e) | 1,000 | 1,013,516 | ||||||
TICP CLO VII Ltd., Series 2017-7A, Class E, (3 mo. LIBOR US + 6.510%), 8.23%, 07/15/29(b)(e) | 500 | 510,739 |
SCHEDULE OF INVESTMENTS | 23 |
Schedule of Investments (continued) March 31, 2018 | Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Venture XVII CLO Ltd., Series 2014-17A, Class B2R, (3 mo. LIBOR US + 1.600%), | $ | 250 | $ | 250,195 | ||||
Venture XXVI CLO Ltd., Series 2017-26A, Class D, (3 mo. LIBOR US + 4.250%), 6.00%, 01/20/29(b)(e) | 500 | 512,044 | ||||||
Vibrant CLO IV Ltd., Series 2016-4A, Class D, (3 mo. LIBOR US + 4.500%), 6.25%, 07/20/28(b)(e) | 1,000 | 1,018,239 | ||||||
Vibrant CLO V Ltd., Series 2016-5A, Class A, (3 mo. LIBOR US + 1.550%), 3.30%, 01/20/29(b)(e) | 500 | 504,358 | ||||||
Voya CLO Ltd.: | ||||||||
Series 2013-2A, Class A1R, (3 mo. LIBOR US + 0.970%), | 1,000 | 1,000,000 | ||||||
Series 2014-3A, Class A1R, (3 mo. LIBOR US + 0.720%), | 1,000 | 999,783 | ||||||
Series 2017-4A, Class A1, (3 mo. LIBOR US + 1.130%), | 1,000 | 1,005,754 | ||||||
WaMu Asset-Backed Certificates Trust: | ||||||||
Series 2007-HE2, Class 2A3, (1 mo. LIBOR US + 0.250%), | 996 | 549,231 | ||||||
Series 2007-HE2, Class 2A4, (1 mo. LIBOR US + 0.360%), | 107 | 59,919 | ||||||
Washington Mutual Asset-Backed Certificates Trust: | ||||||||
Series 2006-HE4, Class 2A2, (1 mo. LIBOR US + 0.180%), | 287 | 143,917 | ||||||
Series 2006-HE5, Class 1A, (1 mo. LIBOR US + 0.155%), | 117 | 96,975 | ||||||
Wellfleet CLO Ltd.: | ||||||||
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.320%), | 1,500 | 1,507,487 | ||||||
Series 2017-3A, Class A1, (3 mo. LIBOR US + 1.150%), | 2,000 | 2,007,645 | ||||||
Westcott Park CLO Ltd., Series 2016-1A, Class E, (3 mo. LIBOR US + 7.200%), | 1,500 | 1,549,908 | ||||||
World Financial Network Credit Card Master Trust, | 460 | 463,631 | ||||||
York CLO 1 Ltd.: | ||||||||
Series 2014-1A, Class CR, (3 mo. LIBOR US + 2.350%), | 700 | 700,872 | ||||||
Series 2014-1A, Class DR, (3 mo. LIBOR US + 3.400%), | 1,500 | 1,501,129 | ||||||
York CLO-2 Ltd., Series 2015-1A, Class ER, (3 mo. LIBOR US + 5.650%), 7.11%, 01/22/31(b)(e) | 1,000 | 994,393 | ||||||
|
| |||||||
Total Asset-Backed Securities — 56.2% |
| 321,036,602 | ||||||
|
| |||||||
Corporate Bonds — 0.1% |
| |||||||
Banks — 0.0% | ||||||||
Washington Mutual Escrow Bonds : | ||||||||
0.00%(c)(g)(h)(i) | 500 | — | ||||||
0.00%(c)(g)(h)(i) | 250 | — | ||||||
|
| |||||||
Insurance — 0.1% | ||||||||
Ambac Assurance Corp., | 58 | 76,509 |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
Insurance (continued) | ||||||||
Ambac LSNI LLC, (3 mo. LIBOR US + 5.000%), 6.81%, 02/12/23(b)(e) | $ | 278 | $ | 280,371 | ||||
|
| |||||||
Total Corporate Bonds — 0.1% |
| 356,880 | ||||||
|
| |||||||
Floating Rate Loan Interests — 0.9% |
| |||||||
Capital Markets — 0.4% | ||||||||
LSTAR Securities Financing Vehicle I LLC, Term | ||||||||
Loan, (1 mo. LIBOR US + 2.500%), 4.17%, 05/10/25(c)(e) | 1,559 | 1,559,724 | ||||||
LSTAR Securities Financing Vehicle II LLC, Term | ||||||||
Loan, (1 mo. LIBOR US + 2.000%), 3.66%, 06/16/25(c)(e) | 589 | 588,913 | ||||||
|
| |||||||
2,148,637 | ||||||||
Equity Real Estate Investment Trusts (REITs) — 0.1% | ||||||||
JAX MEZZ LLC, Mezzanine Loan, (1 mo. LIBOR US + 5.500%), | 1,000 | 995,000 | ||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.4% | ||||||||
Chimera Special Holding LLC, Term Loan (1 mo. LIBOR US + 2.000%), | 2,337 | 2,337,305 | ||||||
|
| |||||||
Total Floating Rate Loan Interests — 0.9% |
| 5,480,942 | ||||||
|
| |||||||
Non-Agency Mortgage-Backed Securities — 29.7% |
| |||||||
Collateralized Mortgage Obligations — 9.1% | ||||||||
Ajax Mortgage Loan Trust, Series 2016-A, | ||||||||
Class A, 4.25%, 08/25/64(a)(b) | 346 | 349,125 | ||||||
American Home Mortgage Assets Trust: | ||||||||
Series 2006-4, Class 1A12, (1 mo. LIBOR US + 0.210%), | 164 | 118,940 | ||||||
Series 2006-5, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.920%), 2.30%, 11/25/46(e) | 1,227 | 682,332 | ||||||
Series 2007-1, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.700%), | 47 | 30,107 | ||||||
Angel Oak Mortgage Trust I LLC, Series 2016-1, Class A1, | 73 | 73,386 | ||||||
APS Resecuritization Trust: | ||||||||
Series 2016-3, Class 3A, (1 mo. LIBOR US + 2.850%), 4.72%, 09/27/46(b)(c)(e) | 619 | 625,345 | ||||||
Series 2016-3, Class 4A, (1 mo. LIBOR US + 2.600%), 4.47%, 04/27/47(b)(c)(e) | 172 | 174,170 | ||||||
ARI Investments LLC, Series 2017-1, Class A, 4.59%, 01/06/25(c)(d) | 735 | 734,657 | ||||||
Banc of America Funding Trust: | ||||||||
Series 2014-R2, Class 1C, | 390 | 77,517 | ||||||
Series 2016-R2, Class 1A1, | 546 | 558,331 | ||||||
Bear Stearns Asset-Backed Securities I Trust, | ||||||||
Series 2006-AC1, Class 1A2, | 262 | 233,221 | ||||||
Bear Stearns Mortgage Funding Trust: | ||||||||
Series 2006-SL1, Class A1, (1 mo. LIBOR US + 0.280%), | 2,141 | 2,153,936 | ||||||
Series 2007-AR2, Class A1, (1 mo. LIBOR US + 0.170%), | 518 | 462,431 |
24 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Collateralized Mortgage Obligations (continued) | ||||||||
Series 2007-AR4, Class 2A1, (1 mo. LIBOR US + 0.210%), 2.08%, 06/25/37(e) | $ | 48 | $ | 45,190 | ||||
Chase Mortgage Finance Trust, Series 2007-S6, Class 1A1, 6.00%, 12/25/37 | 14,634 | 12,101,645 | ||||||
CHL Mortgage Pass-Through Trust, Series 2005-J2, Class 2A4, (1 mo. LIBOR US + 1.400%), 3.27%, 08/25/35(e) | 1,660 | 1,450,550 | ||||||
CIM Trust, Series 2017-6, Class A1, | 3,645 | 3,577,025 | ||||||
Citicorp Mortgage Securities Trust, Series 2008-2, Class 1A1, 6.50%, 06/25/38 | 717 | 625,036 | ||||||
Countrywide Alternative Loan Trust: Series 2005-22T1, Class A1, (1 mo. LIBOR US + 0.350%), 2.22%, 06/25/35(e) | 1,914 | 1,731,090 | ||||||
Series 2005-51, Class 3A3A, (1 mo. LIBOR US + 0.320%), 2.14%, 11/20/35(e) | 991 | 924,625 | ||||||
Series 2005-72, Class A3, (1 mo. LIBOR US + 0.300%), 2.17%, 01/25/36(e) | 714 | 583,370 | ||||||
Series 2005-76, Class 2A1, (12 mo. Federal Reserve Cumulative Average US + 1.000%), 2.28%, 02/25/36(e) | 879 | 795,168 | ||||||
Series 2006-11CB, Class 3A1, 6.50%, 05/25/36 | 1,160 | 895,483 | ||||||
Series 2006-OC10, Class 2A3, (1 mo. LIBOR US + 0.230%), 2.10%, 11/25/36(e) | 172 | 135,627 | ||||||
Series 2006-OC7, Class 2A3, (1 mo. LIBOR US + 0.250%), 2.12%, 07/25/46(e) | 2,436 | 1,938,225 | ||||||
Series 2007-3T1, Class 1A1, 6.00%, 04/25/37 | 2,065 | 1,573,021 | ||||||
Series 2007-9T1, Class 1A1, 6.00%, 05/25/37 | 302 | 224,896 | ||||||
Series 2007-OA2, Class 1A1, (12 mo. Federal Reserve Cumulative Average US + 0.840%), 2.12%, 03/25/47(e) | 417 | 342,627 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-15, Class 2A2, | 1,039 | 794,693 | ||||||
Credit Suisse Commercial Mortgage Trust, Series 2014-9R, Class 9A1, (1 mo. LIBOR US + 0.120%), 1.74%, 08/27/36(b)(c)(e) | 204 | 174,119 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2009-12R, Class 3A1, | 39 | 25,308 | ||||||
Deephaven Residential Mortgage Trust, Series 2016-1A, Class A1, 4.00%, 07/25/46(b) | 98 | 97,957 | ||||||
Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB3, Class A8, 6.36%, 07/25/36(d) | 40 | 35,725 | ||||||
GreenPoint Mortgage Funding Trust, Series 2006-AR2, Class 4A1, (12 mo. Federal Reserve Cumulative Average US + 2.000%), | 35 | 32,793 | ||||||
GSMPS Mortgage Loan Trust: | ||||||||
Series 2005-RP2, Class 1AF, (1 mo. LIBOR US + 0.350%), 2.22%, 03/25/35(b)(e) | 106 | 98,799 | ||||||
Series 2006-RP1, Class 1AF1, (1 mo. LIBOR US + 0.350%), 2.22%, 01/25/36(b)(e) | 81 | 69,579 |
Security | Par (000) | Value | ||||||
Collateralized Mortgage Obligations (continued) | ||||||||
IndyMac IMJA Mortgage Loan Trust, Series 2007-A2, Class 3A1, 7.00%, 10/25/37 | $ | 921 | $ | 645,801 | ||||
IndyMac INDX Mortgage Loan Trust, Series 2007-AR19, Class 3A1, 3.39%, 09/25/37(d) | 371 | 261,817 | ||||||
Lehman XS Trust, Series 2007-20N, Class A1, (1 mo. LIBOR US + 1.150%), 3.02%, 12/25/37(e) | 71 | 70,781 | ||||||
LSTAR Securities Investment Ltd.: | ||||||||
Series 2017-3, Class A1, (1 mo. LIBOR US + 2.000%), 3.89%, 04/01/22(b)(e) | 518 | 518,205 | ||||||
Series 2017-9, Class A, (1 mo. LIBOR US + 1.550%), 3.44%, 12/01/22(b)(e) | 991 | 991,915 | ||||||
Series 2018-1, Class A, (1 mo. LIBOR US + 1.550%), 3.44%, 02/01/23(b)(c)(e) | 1,485 | 1,482,125 | ||||||
LSTAR Securities Investment Ltd. LLC, Series 2017-8, Class A, (1 mo. LIBOR US + 1.650%), 3.54%, 11/01/22(b)(e) | 2,423 | 2,431,267 | ||||||
MASTR Reperforming Loan Trust, Series 2006-2, Class 1A1, 4.41%, 05/25/36(b)(d) | 1,992 | 1,753,768 | ||||||
Mortgage Loan Resecuritization Trust, Series 2009-RS1, Class A85, (1 mo. LIBOR US + 0.340%), 1.93%, 04/16/36(b)(e) | 445 | 378,920 | ||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2007-2, Class A4, (1 mo. LIBOR US + 0.420%), 2.29%, 04/25/47(e) | 1,234 | 1,011,793 | ||||||
Nomura Resecuritization Trust, Series 2014-3R, Class 3A9, 1.57%, 11/26/35(b)(d) | 99 | 90,685 | ||||||
Reperforming Loan REMIC Trust: Series 2005-R2, Class 1AF1, (1 mo. LIBOR US + 0.340%), | 187 | 179,757 | ||||||
Series 2005-R3, Class AF, (1 mo. LIBOR US + 0.400%), 2.27%, 09/25/35(b)(e) | 1,380 | 1,211,165 | ||||||
Seasoned Credit Risk Transfer Trust, Series 2018-1, Class M, 4.75%, 05/25/57(d) | 1,000 | 986,401 | ||||||
Sequoia Mortgage Trust, Series 2017-CH1, Class A2, 3.50%, 10/25/47(b)(d) | 1,810 | 1,813,088 | ||||||
Structured Asset Mortgage Investments II Trust, Series 2006-AR5, Class 2A1, (1 mo. LIBOR US + 0.210%), 2.08%, 05/25/46(e) | 63 | 53,456 | ||||||
Structured Asset Securities Corp., Series 2005-RF3, Class 1A, (1 mo. LIBOR US + 0.350%), | 1,544 | 1,388,375 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-RF4, Class 2A1, | 76 | 65,248 | ||||||
SunTrust Acquisition Closed-End Seconds Trust, Series 2007-1, Class A, (1 mo. LIBOR US + 0.320%), 2.19%, 04/25/37(e) | 406 | 385,325 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR2, Class B1, (1 mo. LIBOR US + 0.530%), 2.40%, 01/25/45(e) | 1,537 | 1,007,894 | ||||||
Washington Mutual Mortgage Pass-Through Certificates Trust: | ||||||||
Series 2006-4, Class 1A1, 6.00%, 04/25/36 | 418 | 381,768 | ||||||
Series 2006-4, Class 3A1, 6.50%, 05/25/36(a) | 226 | 195,603 | ||||||
Series 2006-8, Class A4, 4.52%, 10/25/36(a) | 243 | 153,415 | ||||||
|
| |||||||
52,004,621 |
SCHEDULE OF INVESTMENTS | 25 |
Schedule of Investments (continued) March 31, 2018 | Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities — 18.4% | ||||||||
245 Park Avenue Trust, Series 2017-245P, Class E, 3.78%, 06/05/37(b)(d) | $ | 1,730 | $ | 1,576,618 | ||||
280 Park Avenue Mortgage Trust, Series 2017-280P, Class E, (1 mo. LIBOR US + 2.119%), 3.90%, 09/15/34(b)(e) | 3,410 | 3,410,055 | ||||||
Americold LLC, Series 2010-ARTA, Class C, 6.81%, 01/14/29(b) | 500 | 535,940 | ||||||
Aventura Mall Trust, Series 2013-AVM, Class E, 3.87%, 12/05/32(b)(d) | 280 | 280,119 | ||||||
Banc of America Commercial Mortgage Trust, Series 2007-1, Class AMFX, 5.48%, 01/15/49(d) | 15 | 15,450 | ||||||
Banc of America Merrill Lynch Commercial Mortgage Securities Trust: | ||||||||
Series 2013-DSNY, Class E, (1 mo. LIBOR US + 2.600%), 4.38%, 09/15/26(b)(e) | 250 | 249,974 | ||||||
Series 2013-DSNY, Class F, (1 mo. LIBOR US + 3.500%), 5.28%, 09/15/26(b)(e) | 969 | 967,595 | ||||||
Series 2015-200P, Class F, 3.60%, 04/14/33(b)(d) | 894 | 839,647 | ||||||
Series 2016-ISQ, Class E, | 300 | 269,250 | ||||||
Series 2017-SCH, Class DL, (1 mo. LIBOR US + 2.000%), 3.78%, 11/15/32(b)(e) | 1,090 | 1,090,000 | ||||||
Series 2017-SCH, Class XFCP, | 95,950 | 248,511 | ||||||
Series 2017-SCH, Class XLCP, | 56,050 | 21,860 | ||||||
Barclays Commercial Mortgage Trust, Series 2015-SRCH, Class A1, 3.31%, 08/10/35(b) | 495 | 490,913 | ||||||
Bayview Commercial Asset Trust: | ||||||||
Series 2006-1A, Class A2, (1 mo. LIBOR US + 0.360%), 1.92%, 04/25/36(b)(e) | 38 | 35,767 | ||||||
Series 2007-2A, Class A1, (1 mo. LIBOR US + 0.270%), 1.89%, 07/25/37(b)(e) | 76 | 72,679 | ||||||
Series 2007-4A, Class A1, (1 mo. LIBOR US + 0.450%), 2.32%, 09/25/37(b)(e) | 1,343 | 1,283,294 | ||||||
Series 2007-5A, Class A3, (1 mo. LIBOR US + 1.000%), 2.87%, 10/25/37(b)(e) | 3,616 | 3,590,569 | ||||||
Series 2007-6A, Class A4A, (1 mo. LIBOR US + 1.500%), 3.37%, 12/25/37(b)(e) | 4,500 | 3,350,931 | ||||||
BBCMS Mortgage Trust, Series 2018-TALL, Class D, (1 mo. LIBOR US + 1.449%), 3.23%, 03/15/37(b)(e) | 1,100 | 1,096,821 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PW10, Class B, 5.61%, 12/11/40(d) | 876 | 903,899 | ||||||
BWAY Mortgage Trust: | ||||||||
Series 2013-1515, Class C, 3.45%, 03/10/33(b) | 250 | 244,214 | ||||||
Series 2013-1515, Class D, 3.63%, 03/10/33(b) | 100 | 97,813 | ||||||
Series 2013-1515, Class F, 3.93%, 03/10/33(b)(d) | 810 | 773,689 | ||||||
BXP Trust: | ||||||||
Series 2017-GM, Class A, 3.38%, 06/13/39(b) | 1,000 | 989,246 | ||||||
Series 2017-GM, Class D, 3.43%, 06/13/39(b)(d) | 1,000 | 949,362 | ||||||
CCRESG Commercial Mortgage Trust, | 190 | 188,151 | ||||||
CFCRE Commercial Mortgage Trust: | 1,000 | 1,056,256 |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
Series 2016-C4, Class C, 4.88%, 05/10/58(d) | $ | 130 | $ | 133,187 | ||||
Series 2018-TAN, Class C, 5.30%, 02/15/33(b) | 1,050 | 1,081,507 | ||||||
CGBAM Commercial Mortgage Trust: | 160 | 159,225 | ||||||
Series 2015-SMRT, Class F, 3.79%, 04/10/28(b)(d) | 1,000 | 985,664 | ||||||
CGDBB Commercial Mortgage Trust: | ||||||||
Series 2017-BIOC, Class D, (1 mo. LIBOR US + 1.600%), 3.38%, 07/15/28(b)(e) | 1,060 | 1,060,995 | ||||||
Series 2017-BIOC, Class E, (1 mo. LIBOR US + 2.150%), 3.93%, 07/15/28(b)(e) | 1,290 | 1,287,966 | ||||||
CHT Mortgage Trust, Series 2017-CSMO, Class A, (1 mo. LIBOR US + 0.930%), 2.71%, 11/15/36(b)(e) | 230 | 230,707 | ||||||
Citigroup Commercial Mortgage Trust: | ||||||||
Series 2013-375P, Class C, 3.52%, 05/10/35(b)(d) | 100 | 98,844 | ||||||
Series 2013-375P, Class D, 3.52%, 05/10/35(b)(d) | 100 | 98,031 | ||||||
Series 2013-375P, Class E, 3.52%, 05/10/35(b)(d) | 550 | 525,758 | ||||||
Series 2015-GC27, Class C, 4.43%, 02/10/48(d) | 1,000 | 981,890 | ||||||
Series 2015-SHP2, Class A, (1 mo. LIBOR US + 1.280%), 3.06%, 07/15/27(b)(e) | 400 | 399,998 | ||||||
Series 2015-SHP2, Class F, (1 mo. LIBOR US + 5.200%), 6.98%, 07/15/27(b)(e) | 750 | 755,834 | ||||||
Series 2015-SSHP, Class A, (1 mo. LIBOR US + 1.150%), 2.93%, 09/15/27(b)(e) | 300 | 299,998 | ||||||
Series 2015-SSHP, Class D, (1 mo. LIBOR US + 3.050%), 4.83%, 09/15/27(b)(e) | 456 | 457,067 | ||||||
Series 2016-C1, Class C, 4.95%, 05/10/49(d) | 10 | 10,445 | ||||||
Series 2016-GC37, Class D, 2.79%, 04/10/49(b) | 1,300 | 1,000,166 | ||||||
Series 2016-P3, Class D, 2.80%, 04/15/49(b)(d) | 539 | 410,331 | ||||||
Series 2016-SMPL, Class E, 4.51%, 09/10/31(b) | 510 | 506,942 | ||||||
Citigroup/Deutsche Bank Mortgage Trust, | 1,239 | 1,281,385 | ||||||
CLNS Trust, Series 2017-IKPR, Class E, (1 mo. LIBOR US + 3.500%), 5.24%, 06/11/32(b)(e) | 790 | 793,947 | ||||||
Commercial Mortgage Trust: | ||||||||
Series 2005-C6, Class F, 5.66%, 06/10/44(b)(d) | 566 | 575,882 | ||||||
Series 2013-WWP, Class D, 3.90%, 03/10/31(b) | 110 | 114,498 | ||||||
Series 2014-PAT, Class A, (1 mo. LIBOR US + 0.800%), 2.52%, 08/13/27(b)(e) | 2,250 | 2,250,013 | ||||||
Series 2014-PAT, Class E, (1 mo. LIBOR US + 3.150%), 4.87%, 08/13/27(b)(e) | 1,100 | 1,112,767 | ||||||
Series 2014-PAT, Class F, (1 mo. LIBOR US + 2.441%), 4.16%, 08/13/27(b)(e) | 1,000 | 1,000,004 | ||||||
Series 2014-TCW, Class D, (1 mo. LIBOR US + 2.250%), 3.97%, 02/13/32(b)(e) | 750 | 753,101 | ||||||
Series 2015-3BP, Class F, 3.24%, 02/10/35(b)(d) | 100 | 90,157 | ||||||
Series 2015-CR23, Class C, 4.25%, 05/10/48(d) | 30 | 29,342 | ||||||
Series 2015-CR23, Class CMC, | 2,550 | 2,537,962 |
26 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
Series 2015-CR23, Class CMD, | $ | 4,200 | $ | 4,144,215 | ||||
Series 2015-CR23, Class D, 4.25%, 05/10/48(d) | 732 | 598,591 | ||||||
Series 2015-CR23, Class E, 3.23%, 05/10/48(b) | 160 | 103,319 | ||||||
Series 2015-CR25, Class D, 3.80%, 08/10/48(d) | 290 | 237,843 | ||||||
Series 2015-LC19, Class D, 2.87%, 02/10/48(b) | 460 | 381,923 | ||||||
Series 2016-667M, Class D, 3.18%, 10/10/36(b)(d) | 500 | 457,377 | ||||||
Series 2017-DLTA, Class E, (1 mo. LIBOR US + 1.964%), 3.74%, 08/15/35(b)(e) | 970 | 958,147 | ||||||
Series 2017-DLTA, Class F, (1 mo. LIBOR US + 2.581%), 4.36%, 08/15/35(b)(e) | 920 | 907,194 | ||||||
Core Industrial Trust: | ||||||||
Series 2015-TEXW, Class D, | 100 | 100,751 | ||||||
Series 2015-TEXW, Class E, 3.85%, 02/10/34(b)(d) | 279 | 275,599 | ||||||
Series 2015-TEXW, Class F, 3.85%, 02/10/34(b)(d) | 1,000 | 966,872 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-C4, Class F, | 500 | 505,173 | ||||||
Credit Suisse Mortgage Capital Certificates: | 166 | 167,380 | ||||||
Series 2017-1, Class A, 4.50%, 03/25/21(b) | 780 | 781,737 | ||||||
Series 2017-CHOP, Class E, (1 mo. LIBOR US + 3.300%), 5.08%, 07/15/32(b)(e) | 1,448 | 1,452,868 | ||||||
CSAIL Commercial Mortgage Trust, Series 2016-C6, Class C, 4.75%, 01/15/49(d) | 10 | 10,247 | ||||||
CSMC Trust, Series 2017-PFHP, Class A, (1 mo. LIBOR US + 0.950%), 2.73%, 12/15/19(b)(e) | 240 | 240,000 | ||||||
Deutsche Bank JPMorgan Mortgage Trust, | 140 | 119,181 | ||||||
Deutsche Bank UBS Mortgage Trust: | 990 | 954,627 | ||||||
Series 2017-BRBK, Class F, | 600 | 536,883 | ||||||
FREMF Mortgage Trust: | ||||||||
Series 2017-K64, Class B, 3.98%, 03/25/27(b)(d) | 970 | 957,108 | ||||||
Series 2018-K73, Class B, 3.85%, 01/25/28(b)(d) | 1,000 | 967,114 | ||||||
Series 2018-K74, Class B, 4.23%, 02/25/51(b)(d) | 1,000 | 975,962 | ||||||
GAHR Commercial Mortgage Trust: | ||||||||
Series 2015-NRF, Class EFX, | 1,500 | 1,481,725 | ||||||
Series 2015-NRF, Class FFX, | 860 | 845,100 | ||||||
GP Portfolio Trust, Series 2014-GPP, Class E, | 125 | 123,240 | ||||||
GRACE Mortgage Trust, Series 2014-GRCE, Class F, 3.59%, 06/10/28(b)(d) | 640 | 628,374 | ||||||
GS Mortgage Securities Corp. II: | ||||||||
Series 2013-KING, Class D, 3.44%, 12/10/27(b)(d) | 1,000 | 992,006 | ||||||
Series 2013-KING, Class E, 3.44%, 12/10/27(b)(d) | 3,200 | 3,144,783 |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
GS Mortgage Securities Corp. Trust: | ||||||||
Series 2017-500K, Class F, (1 mo. LIBOR US + 1.800%), 3.58%, 07/15/19(b)(e) | $ | 467 | $ | 468,053 | ||||
Series 2017-500K, Class G, (1 mo. LIBOR US + 2.500%), 4.28%, 07/15/19(b)(e) | 140 | 140,523 | ||||||
GS Mortgage Securities Trust: | ||||||||
Series 2014-GC22, Class D, 4.65%, 06/10/47(b)(d) | 1,110 | 940,200 | ||||||
Series 2015-GC32, Class C, 4.41%, 07/10/48(d) | 1,970 | 1,978,155 | ||||||
Series 2015-GC32, Class D, 3.35%, 07/10/48 | 1,500 | 1,213,703 | ||||||
Hilton Orlando Trust, Series 2018-ORL, Class E, | 1,960 | 1,970,501 | ||||||
JPMBB Commercial Mortgage Securities Trust, | 1,190 | 1,121,397 | ||||||
JPMDB Commercial Mortgage Securities Trust, | 280 | 266,451 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||||||
Series 2014-CBM, Class E, (1 mo. LIBOR US + 3.850%), 5.63%, 10/15/29(b)(e) | 1,250 | 1,249,996 | ||||||
Series 2014-PHH, Class B, (1 mo. LIBOR US + 1.850%), 3.63%, 08/15/27(b)(e) | 210 | 210,000 | ||||||
Series 2015-JP1, Class C, 4.74%, 01/15/49(d) | 315 | 323,872 | ||||||
Series 2015-JP1, Class E, 4.24%, 01/15/49(b)(d) | 470 | 375,235 | ||||||
Series 2015-UES, Class D, 3.74%, 09/05/32(b)(d) | 1,000 | 999,112 | ||||||
Series 2015-UES, Class E, 3.74%, 09/05/32(b)(d) | 600 | 592,382 | ||||||
Series 2016-WPT, Class A, (1 mo. LIBOR US + 1.450%), 3.23%, 10/15/33(b)(e) | 150 | 150,146 | ||||||
Series 2017-JP5, Class D, 4.65%, 03/15/50(b)(d) | 1,240 | 1,171,536 | ||||||
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-1A, Class 1A, (1 mo. LIBOR US + 0.250%), 2.12%, 03/25/37(b)(e) | 387 | 362,678 | ||||||
LMREC, Inc., Series 2016-CRE2, Class A, (1 mo. LIBOR US + 1.700%), 3.55%, 11/24/31(b)(e) | 160 | 160,000 | ||||||
Lone Star Portfolio Trust: | ||||||||
Series 2015-LSP, Class B, (1 mo. LIBOR US + 2.600%), 4.38%, 09/15/28(b)(e) | 589 | 589,766 | ||||||
Series 2015-LSP, Class D, (1 mo. LIBOR US + 4.000%), 5.78%, 09/15/28(b)(e) | 85 | 85,725 | ||||||
Series 2015-LSP, Class E, (1 mo. LIBOR US + 5.600%), 7.38%, 09/15/28(b)(e) | 1,067 | 1,073,455 | ||||||
Series 2015-LSP, Class F, (1 mo. LIBOR US + 6.900%), 8.68%, 09/15/28(b)(e) | 768 | 773,341 | ||||||
Merrill Lynch Mortgage Trust, Series 2005-MKB2, Class F, 6.32%, 09/12/42(b)(d) | 1,000 | 1,045,454 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||
Series 2015-C23, Class D, 4.13%, 07/15/50(b)(d) | 2,000 | 1,748,591 | ||||||
Series 2015-C25, Class D, 3.07%, 10/15/48 | 830 | 685,385 | ||||||
Series 2015-C26, Class C, 4.41%, 10/15/48(d) | 1,000 | 1,003,417 |
SCHEDULE OF INVESTMENTS | 27 |
Schedule of Investments (continued) March 31, 2018 | Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
Series 2015-C26, Class D, | $ | 1,465 | $ | 1,172,979 | ||||
Morgan Stanley Capital I Trust: | ||||||||
Series 2014-CPT, Class E, | 500 | 491,680 | ||||||
Series 2014-CPT, Class F, | 100 | 97,947 | ||||||
Series 2014-CPT, Class G, | 100 | 96,702 | ||||||
Series 2017-CLS, Class F, (1 mo. LIBOR US + 2.600%), 4.38%, 11/15/34(b)(e) | 843 | 845,593 | ||||||
Series 2017-H1, Class D, | 1,010 | 784,770 | ||||||
Series 2017-PRME, Class D, (1 mo. LIBOR US + 3.400%), 5.18%, 02/15/34(b)(e) | 840 | 840,023 | ||||||
Morgan Stanley Capital I, Inc.: | ||||||||
Series 2017-HR2, Class D, 2.73%, 12/15/27 | 160 | 126,426 | ||||||
Series 2017-JWDR, Class D, (1 mo. LIBOR US + 1.950%), 3.73%, 11/15/34(b)(e) | 860 | 861,062 | ||||||
Olympic Tower Mortgage Trust: | ||||||||
Series 2017-OT, Class D, | 930 | 916,615 | ||||||
Series 2017-OT, Class E, | 1,340 | 1,249,871 | ||||||
RAIT Trust, Series 2017-FL7, Class C, (1 mo. LIBOR US + 2.500%), 4.28%, 06/15/37(b)(e) | 880 | 879,997 | ||||||
Resource Capital Corp. Ltd., Series 2017-CRE5, Class B, (1 mo. LIBOR US + 2.000%), 3.79%, 07/15/34(b)(c)(e) | 560 | 559,508 | ||||||
Velocity Commercial Capital Loan Trust, | 58 | 59,075 | ||||||
VNDO Mortgage Trust, Series 2013-PENN, Class D, 3.95%, 12/13/29(b)(d) | 500 | 498,993 | ||||||
VNDO Trust, Series 2016-350P, Class E, 3.90%, 01/10/35(b)(d) | 400 | 368,309 | ||||||
Wachovia Bank Commercial Mortgage Trust, | 65 | 66,549 | ||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||
Series 2015-C27, Class D, | 1,000 | 767,089 | ||||||
Series 2015-NXS4, Class D, | 1,702 | 1,514,762 | ||||||
Series 2016-C34, Class C, | 80 | 82,153 | ||||||
Series 2016-C37, Class C, | 500 | 503,017 | ||||||
Series 2016-NXS5, Class D, | 750 | 723,787 | ||||||
Series 2017-C39, Class D, | 750 | 686,322 | ||||||
Series 2017-HSDB, Class A, (1 mo. LIBOR US + 0.850%), 2.60%, 12/13/31(b)(e) | 846 | 847,332 | ||||||
|
| |||||||
105,407,210 | ||||||||
Interest Only Commercial Mortgage-Backed Securities — 2.2% | ||||||||
B2R Mortgage Trust, Series 2015-2, Class XA, 2.12%, 11/15/48(b)(d) | 11,699 | 463,269 | ||||||
Banc of America Commercial Mortgage Trust: | 970 | 49,047 |
Security | Par (000) | Value | ||||||
Interest Only Commercial Mortgage-Backed Securities (continued) | ||||||||
Series 2017-BNK3, Class XD, | $ | 10,000 | $ | 863,100 | ||||
Barclays Commercial Mortgage Trust, Series 2015-SRCH, Class XB, 0.20%, 08/10/35(b)(d) | 12,500 | 211,125 | ||||||
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class XA, 1.75%, 05/10/58(d) | 369 | 37,655 | ||||||
Citigroup/Deutsche Bank Mortgage Trust, Series 2017-CD3, Class XA, 1.04%, 02/10/50(d) | 11,739 | 834,733 | ||||||
Commercial Mortgage Trust, Series 2015-CR23, Class XA, 0.98%, 05/10/48(d) | 7,461 | 341,903 | ||||||
CSAIL Commercial Mortgage Trust, Series 2016-C5, Class XA, 1.04%, 11/15/48(d) | 2,191 | 116,408 | ||||||
Deutsche Bank JPMorgan Mortgage Trust, Series 2017-C6, Class XD, 1.00%, 06/10/50(d) | 11,214 | 752,908 | ||||||
GS Mortgage Securities Trust: | ||||||||
Series 2014-GC20, Class XA, 1.01%, 04/10/47(d) | 851 | 39,350 | ||||||
Series 2016-GS3, Class XA, 1.27%, 10/10/49(d) | 5,932 | 460,468 | ||||||
Hospitality Mortgage Trust, Series 2017-HIT, Class XCP, 1.08%, 05/08/30(b)(c)(d) | 98,914 | 952,250 | ||||||
JPMDB Commercial Mortgage Securities Trust: | ||||||||
Series 2016-C4, Class XC, | 8,570 | 438,955 | ||||||
Series 2017-C5, Class XB, | 30,000 | 798,300 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class XC, | 17,400 | 867,216 | ||||||
LSTAR Commercial Mortgage Trust, Series 2017-5, Class X, 1.23%, 03/10/50(b)(d) | 13,955 | 664,949 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||
Series 2014-C19, Class XF, 1.19%, 12/15/47(b)(d) | 220 | 12,802 | ||||||
Series 2015-C25, Class XA, 1.13%, 10/15/48(d) | 3,251 | 200,951 | ||||||
Series 2015-C26, Class XA, 1.10%, 10/15/48(d) | 619 | 37,427 | ||||||
Series 2016-C29, Class XB, 0.96%, 05/15/49(d) | 1,020 | 69,381 | ||||||
Morgan Stanley Capital I Trust, Series 2017-H1, Class XD, 2.20%, 06/15/50(b)(c)(d) | 8,625 | 1,410,188 | ||||||
Olympic Tower Mortgage Trust, Series 2017-OT, Class XA, 0.38%, 05/10/39(b)(d) | 28,100 | 902,572 | ||||||
One Market Plaza Trust: | ||||||||
Series 2017-1MKT, Class XCP, | 110,000 | 584,100 | ||||||
Series 2017-1MKT, Class XNCP, | 22,000 | 132,000 | ||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||
Series 2015-LC20, Class XB, | 7,000 | 209,480 | ||||||
Series 2016-BNK1, Class XD, | 1,000 | 81,460 | ||||||
Series 2016-C33, Class XA, 1.80%, 03/15/59(d) | 4,419 | 426,368 |
28 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series A Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Interest Only Commercial Mortgage-Backed Securities (continued) | ||||||||
WFRBS Commercial Mortgage Trust, | $ | 10,512 | $ | 512,219 | ||||
|
| |||||||
12,470,584 | ||||||||
|
| |||||||
Total Non-Agency Mortgage-Backed Securities — 29.7% |
| |||||||
(Cost: $170,488,547) |
| 169,882,415 | ||||||
|
| |||||||
U.S. Government Sponsored Agency Securities — 3.0% |
| |||||||
Collateralized Mortgage Obligations — 2.6% | ||||||||
Fannie Mae: | ||||||||
Series 2016-C02, Class 1M2, (1 mo. LIBOR US + 6.000%), | 50 | 59,853 | ||||||
Series 2016-C04, Class 1M2, (1 mo. LIBOR US + 4.250%), | 231 | 261,097 | ||||||
Series 2016-C06, Class 1M2, (1 mo. LIBOR US + 4.250%), | 68 | 77,597 | ||||||
Series 2017-C01, Class 1M2, (1 mo. LIBOR US + 3.550%), | 1,664 | 1,807,227 | ||||||
Series 2017-C01, Class 1B1, (1 mo. LIBOR US + 5.750%), | 775 | 904,461 | ||||||
Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.000%), | 106 | 112,609 | ||||||
Series 2017-C05, Class 1M2, (1 mo. LIBOR US + 2.200%), | 251 | 254,332 | ||||||
Series 2017-C07, Class 1B1, (1 mo. LIBOR US + 4.000%), | 2,000 | 2,052,867 | ||||||
Freddie Mac: | ||||||||
Series 2016-DNA4, Class M3, (1 mo. LIBOR US +3.800%), | 2,000 | 2,234,635 | ||||||
Series 2017-DNA1, Class M2, (1 mo. LIBOR US + 3.250%), | 1,500 | 1,618,615 | ||||||
Series 2017-DNA1, Class B1, (1 mo. LIBOR US + 4.950%), | 1,000 | 1,101,346 | ||||||
Series 2017-DNA2, Class M2, (1 mo. LIBOR US +3.450%), | 250 | 271,895 | ||||||
Series 2017-DNA3, Class M2, (1 mo. LIBOR US + 2.500%), | 3,000 | 3,075,128 | ||||||
Series 2018-DNA1, Class M2, (1 mo. LIBOR US + 1.800%), | 1,000 | 989,730 | ||||||
|
| |||||||
14,821,392 |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities — 0.1% | ||||||||
Fannie Mae, Series 2017-M8, Class A2, 3.06%, 05/25/27(d) | $ | 170 | $ | 167,366 | ||||
Freddie Mac: | ||||||||
Series KPLB, Class A, | 380 | 369,011 | ||||||
Series K069, Class A2, | 80 | 79,619 | ||||||
|
| |||||||
615,996 | ||||||||
Interest Only Commercial Mortgage-Backed Securities — 0.3% | ||||||||
Fannie Mae, Series 2016-M4, Class X2, 2.73%, 01/25/39(d) | 5,592 | 601,188 | ||||||
Freddie Mac: | ||||||||
Series KW01, Class X1, | 1,176 | 71,449 | ||||||
Series K065, Class X1, | 10,802 | 561,652 | ||||||
Ginnie Mae: | ||||||||
Series 2016-87, Class IO, | 468 | 35,660 | ||||||
Series 2016-128, Class IO, | 6,114 | 477,440 | ||||||
|
| |||||||
1,747,389 | ||||||||
|
| |||||||
Total U.S. Government Sponsored Agency Securities — 3.0% |
| |||||||
(Cost: $16,861,012) |
| 17,184,777 | ||||||
|
| |||||||
Total Long-Term Investments — 89.9% |
| 513,941,616 | ||||||
|
| |||||||
Shares | ||||||||
Short-Term Securities — 12.4% | ||||||||
Dreyfus Treasury Securities Cash Management, Institutional Class, 1.46%(j) | 70,918,751 | 70,918,751 | ||||||
|
| |||||||
Total Short-Term Securities — 12.4% |
| 70,918,751 | ||||||
|
| |||||||
Total Investments — 102.3% |
| 584,860,367 | ||||||
Liabilities in Excess of Other Assets — (2.3)% |
| (13,277,562 | ) | |||||
|
| |||||||
Net Assets — 100.0% |
| $ | 571,582,805 | |||||
|
|
(a) | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end. |
(b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(d) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(e) | Variable rate security. Rate shown is the rate in effect as of period end. |
(f) | Zero-coupon bond. |
(g) | Issuer filed for bankruptcy and/or is in default. |
(h) | Non-income producing security. |
(i) | Perpetual security with no stated maturity date. |
(j) | Annualized 7-day yield as of period end. |
SCHEDULE OF INVESTMENTS | 29 |
Schedule of Investments (continued) March 31, 2018 | Series A Portfolio (Percentages shown are based on Net Assets) |
For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Derivative Financial Instruments Outstanding as of Period End
OTC Credit Default Swaps — Buy Protection
Reference Index | Financing by the | Payment Frequency | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
CMBX.NA.6.AAA | 0.00% | Monthly | Deutsche Bank AG | 05/11/63 | $ | 592 | $ | (4,454 | ) | $ | 191 | $ | (4,645 | ) | ||||||||||||||||
CMBX.NA.6.AAA | 0.00% | Monthly | Deutsche Bank AG | 05/11/63 | $ | 523 | (3,933 | ) | (383 | ) | (3,550 | ) | ||||||||||||||||||
CMBX.NA.6.AAA | 0.00% | Monthly | Deutsche Bank AG | 05/11/63 | $ | 365 | (2,746 | ) | 71 | (2,817 | ) | |||||||||||||||||||
CMBX.NA.6.BBB- | 3.00% | Monthly | J.P. Morgan Securities LLC | 05/11/63 | $ | 40 | 5,873 | 2,567 | 3,306 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (5,260 | ) | $ | 2,446 | $ | (7,706 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps — Sell Protection
Reference Index | Financing Rate Received by the Fund | Payment Frequency | Counterparty | Termination Date | Credit Rating (a) | Notional Amount (000) (b) | Value | Upfront Premium Received | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||
Morgan Stanley & Co. | ||||||||||||||||||||||||||||||||||||
CMBX.NA.8.A | 2.00% | Monthly | International PLC | 10/17/57 | Not Rated | $ | 120 | $ | (5,488 | ) | $ | (11,479 | ) | $ | 5,991 | |||||||||||||||||||||
CMBX.NA.9.A | 2.00% | Monthly | Goldman Sachs International | 09/17/58 | Not Rated | $ | 4,714 | (199,933 | ) | (246,687 | ) | 46,754 | ||||||||||||||||||||||||
CMBX.NA.9.BBB- | 3.00% | Monthly | Deutsche Bank AG | 09/17/58 | Not Rated | $ | 4,620 | (596,303 | ) | (591,602 | ) | (4,701 | ) | |||||||||||||||||||||||
CMBX.NA.10.BBB- | 3.00% | Monthly | Deutsche Bank AG | 11/17/59 | Not Rated | $ | 1,000 | (110,633 | ) | (89,328 | ) | (21,305 | ) | |||||||||||||||||||||||
CMBX.NA.10.BBB- | 3.00% | Monthly | Deutsche Bank AG | 11/17/59 | Not Rated | $ | 500 | (55,316 | ) | (53,876 | ) | (1,440 | ) | |||||||||||||||||||||||
Morgan Stanley & Co. | ||||||||||||||||||||||||||||||||||||
CMBX.NA.6.A | 0.00% | Monthly | International PLC | 05/11/63 | A | $ | 1,000 | (43,817 | ) | (44,020 | ) | 203 | ||||||||||||||||||||||||
CMBX.NA.6.BBB- | 0.00% | Monthly | Credit Suisse International | 05/11/63 | BBB- | $ | 40 | (5,873 | ) | (3,203 | ) | (2,670 | ) | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
$ | (1,017,363 | ) | $ | (1,040,195 | ) | $ | 22,832 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
(a) | Using S&P’s rating of the underlying securities of the index. |
(b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Balances Reported in the Statements of Assets and Liabilities for OTC Derivatives
Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||
OTC Derivatives | $ | 2,829 | $ | 1,040,578 | $ | 56,254 | $ | 41,128 |
30 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series A Portfolio (Percentages shown are based on Net Assets) |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
Assets — Derivative Financial Instruments | Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||||||||
Swaps — OTC | | Unrealized appreciation on OTC swaps; Swap premiums paid | | $ | — | $ | 59,083 | $ | — | $ | — | $ | — | $ | — | $ | 59,083 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||||||
Swaps — OTC | | Unrealized depreciation on OTC swaps; Swap premiums received | | $ | — | $ | 1,081,706 | $ | — | $ | — | $ | — | $ | — | $ | 1,081,706 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended March 31, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:
Net Realized Gain from: | Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||||
Swaps | $ | — | $ | 346,652 | $ | — | $ | — | $ | — | $ | — | $ | 346,652 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Swaps | $ | — | $ | 11,597 | $ | — | $ | — | $ | — | $ | — | $ | 11,597 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Credit default swaps: | ||||
Average notional value — buy protection | $ | 1,567,750 | ||
Average notional value — sell protection | $ | 11,952,000 |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
Assets | Liabilities | |||||||
Derivative Financial Instruments: | ||||||||
Swaps — OTC(a) | $ | 59,083 | $ | 1,081,706 | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | $ | 59,083 | $ | 1,081,706 | ||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | — | — | ||||||
|
|
|
| |||||
Total derivative assets and liabilities subject to an MNA | $ | 59,083 | $ | 1,081,706 | ||||
|
|
|
|
(a) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities. |
SCHEDULE OF INVESTMENTS | 31 |
Schedule of Investments (continued) March 31, 2018 | Series A Portfolio (Percentages shown are based on Net Assets) |
The following table presents the Fund’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
Counterparty | Derivative Assets an MNA by Counterparty | Derivatives Available | Non-cash Received | Cash Collateral Received | Net Amount of Derivative Assets (b) | |||||||||||||||
Deutsche Bank AG | $ | 262 | $ | (262 | ) | $ | — | $ | — | $ | — | |||||||||
Goldman Sachs International | 46,754 | (46,754 | ) | — | — | — | ||||||||||||||
J.P. Morgan Securities LLC | 5,873 | — | — | — | $ | 5,873 | ||||||||||||||
Morgan Stanley & Co. International PLC. | 6,194 | (6,194 | ) | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 59,083 | $ | (53,210 | ) | $ | — | $ | — | $ | 5,873 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Derivative Liabilities an MNA by Counterparty | Derivatives Available for Offset (a) | Non-cash Collateral Pledged | Cash Collateral Pledged | Net Amount of Derivative Liabilities (c) | |||||||||||||||
Credit Suisse International | $ | 5,873 | $ | — | $ | — | $ | — | $ | 5,873 | ||||||||||
Deutsche Bank AG | 773,647 | (262 | ) | — | (690,000 | ) | 83,385 | |||||||||||||
Goldman Sachs International | 246,687 | (46,754 | ) | — | — | 199,933 | ||||||||||||||
Morgan Stanley & Co. International PLC. | 55,499 | (6,194 | ) | — | — | 49,305 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 1,081,706 | $ | (53,210 | ) | $ | — | $ | (690,000 | ) | $ | 338,496 | |||||||||
|
|
|
|
|
|
|
|
|
|
(a) | The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. |
(b) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable due to the counterparty in the event of default. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 314,830,546 | $ | 6,206,056 | $ | 321,036,602 | ||||||||
Corporate Bonds(a) | — | 356,880 | — | 356,880 | ||||||||||||
Floating Rate Loan Interests(a) | — | 2,337,305 | 3,143,637 | 5,480,942 | ||||||||||||
Non-Agency Mortgage-Backed Securities | — | 162,196,072 | 7,686,343 | 169,882,415 | ||||||||||||
U.S. Government Sponsored Agency Securities | — | 17,184,777 | — | 17,184,777 | ||||||||||||
Short-Term Securities | 70,918,751 | — | — | 70,918,751 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 70,918,751 | $ | 496,905,580 | $ | 17,036,036 | $ | 584,860,367 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Financial Instruments(b) | ||||||||||||||||
Assets | ||||||||||||||||
Credit contracts. | $ | — | $ | 56,254 | $ | — | $ | 56,254 | ||||||||
Liabilities | ||||||||||||||||
Credit contracts. | — | (41,128 | ) | — | (41,128 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | — | $ | 15,126 | $ | — | $ | 15,126 | |||||||||
|
|
|
|
|
|
|
|
(a) | See above Schedule of Investments for values in each industry. |
(b) | Derivative financial instruments are swaps, which are valued at the unrealized appreciation (depreciation) on the instrument. |
During the year ended March 31, 2018, there were no transfers between Level 1 and Level 2.
32 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series A Portfolio (Percentages shown are based on Net Assets) |
A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
Asset- Backed Securities | Corporate Bonds | Floating Rate Loan Interests | Non-Agency Mortgage-Backed Securities | U.S. Government Sponsored Agency Securities | Total | |||||||||||||||||||
Assets | ||||||||||||||||||||||||
Opening Balance, as of March 31, 2017 | $ | 16,802,196 | $ | — | $ | 993,500 | $ | 7,641,500 | $ | 1,001,600 | $ | 26,438,796 | ||||||||||||
Transfers into Level 3 | 242,770 | — | — | — | — | 242,770 | ||||||||||||||||||
Transfers out of Level 3(a) | (12,081,376 | ) | — | — | (1,963,427 | ) | — | (14,044,803 | ) | |||||||||||||||
Accrued discounts/premiums | — | — | — | — | — | — | ||||||||||||||||||
Net realized gain (loss) | 120,048 | (5,764 | ) | 25,060 | 48,452 | 58,836 | 246,632 | |||||||||||||||||
Net change in unrealized appreciation (depreciation)(b)(c) | (339,490 | ) | — | (2,492 | ) | (703,252 | ) | (60,436 | ) | (1,105,670 | ) | |||||||||||||
Purchases | 6,061,182 | 5,764 | 4,779,651 | 6,726,545 | — | 17,573,142 | ||||||||||||||||||
Sales | (4,599,274 | ) | — | (2,652,082 | ) | (4,063,475 | ) | (1,000,000 | ) | (12,314,831 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Closing Balance, as of March 31, 2018 | $ | 6,206,056 | $ | — | $ | 3,143,637 | $ | 7,686,343 | $ | — | $ | 17,036,036 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2018(c) | $ | (74,671 | ) | $ | — | $ | (2,492 | ) | $ | (661,503 | ) | $ | — | $ | (738,666 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(a) | As of March 31, 2017, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2018, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. |
(b) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
(c) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at March 31, 2018 is generally due to investments no longer held or categorized as Level 3 at period end. |
The Fund’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.
See notes to financial statements.
SCHEDULE OF INVESTMENTS | 33 |
Schedule of Investments March 31, 2018 | Series C Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Capital Trusts — 4.3% | ||||||||
Banks — 2.2% | ||||||||
BNP Paribas SA, (5 yr. Swap Semi 30/360 US + 2.838%), 5.13%(a)(b)(c) | $ | 575 | $ | 526,844 | ||||
HSBC Holdings PLC: | ||||||||
(USD Swap Rate 11:00 am NY 1 + 3.746%), 6.00%(b)(c) | 520 | 506,740 | ||||||
(USD Swap Rate 11:00 am NY 1 + 3.453%), 6.25%(b)(c) | 440 | 449,900 | ||||||
JPMorgan Chase & Co.: | ||||||||
(3 mo. LIBOR US + 3.300%), 6.00%(b)(c) | 525 | 541,312 | ||||||
(3 mo. LIBOR US + 3.330%), 6.10%(b)(c) | 600 | 630,000 | ||||||
(3 mo. LIBOR US + 3.780%), 6.75%(b)(c) | 925 | 1,009,175 | ||||||
(3 mo. LIBOR US + 3.470%), 7.90%(b)(c) | 500 | 502,550 | ||||||
U.S. Bancorp, Series J, (3 mo. LIBOR US + 2.914%), 5.30%(b)(c) | 1,075 | 1,099,188 | ||||||
Wells Fargo & Co.: | ||||||||
(3 mo. LIBOR US + 3.990%), 5.88%(b)(c) | 2,300 | 2,419,600 | ||||||
(3 mo. LIBOR US + 3.770%), 5.90%(b)(c) | 817 | 828,716 | ||||||
|
| |||||||
8,514,025 | ||||||||
Capital Markets — 0.1% | ||||||||
State Street Corp., (3 mo. LIBOR US + 3.597%), 5.25%(b)(c) | 315 | 322,875 | ||||||
|
| |||||||
Electric Utilities — 0.2% | ||||||||
Exelon Corp., 3.50%, 06/01/22 | 785 | 777,459 | ||||||
|
| |||||||
Industrial Conglomerates — 0.1% | ||||||||
General Electric Co., (3 mo. LIBOR US + 3.330%), 5.00%(b)(c) | 598 | 592,020 | ||||||
|
| |||||||
Insurance — 0.6% | ||||||||
Allstate Corp., (3 mo. LIBOR US + 2.938%), 5.75%, 08/15/53(b) | 835 | 874,663 | ||||||
MetLife Capital Trust IV, 7.88%, 12/15/67(a) | 420 | 527,100 | ||||||
MetLife, Inc., (3 mo. LIBOR US + 3.575%), | 900 | 920,016 | ||||||
|
| |||||||
2,321,779 | ||||||||
Media — 0.6% | ||||||||
NBCUniversal Enterprise, Inc., 5.25%(a)(c) | 2,200 | 2,282,500 | ||||||
|
| |||||||
Multi-Utilities — 0.1% | ||||||||
Dominion Energy, Inc., 2.96%, 07/01/19(d) | 345 | 344,367 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.4% | ||||||||
Enbridge, Inc., (3 mo. LIBOR US + 3.641%), 6.25%, 03/01/78(b) | 780 | 772,682 | ||||||
TransCanada Trust: | ||||||||
(3 mo. LIBOR US + 3.528%), 5.63%, 05/20/75(b) | 359 | 367,975 | ||||||
(3 mo. LIBOR US + 4.640%), 5.88%, 08/15/76(b) | 325 | 338,813 | ||||||
|
| |||||||
1,479,470 | ||||||||
|
| |||||||
Total Capital Trusts — 4.3% | 16,634,495 | |||||||
|
| |||||||
Corporate Bonds — 89.1% | ||||||||
Aerospace & Defense — 1.4% | ||||||||
Lockheed Martin Corp.: | ||||||||
3.10%, 01/15/23 | 95 | 94,427 | ||||||
3.55%, 01/15/26 | 145 | 143,790 | ||||||
4.07%, 12/15/42 | 575 | 567,639 | ||||||
4.09%, 09/15/52 | 124 | 120,253 | ||||||
Northrop Grumman Corp., 3.25%, 01/15/28 | 910 | 868,625 | ||||||
Northrop Grumman Systems Corp., | 1,000 | 1,255,585 | ||||||
Rockwell Collins, Inc.: | ||||||||
1.95%, 07/15/19 | 180 | 178,043 |
Security | Par (000) | Value | ||||||
Aerospace & Defense (continued) | ||||||||
3.20%, 03/15/24 | $ | 550 | $ | 534,597 | ||||
3.50%, 03/15/27 | 520 | 501,694 | ||||||
4.35%, 04/15/47 | 240 | 236,552 | ||||||
United Technologies Corp.: | ||||||||
6.05%, 06/01/36 | 450 | 547,997 | ||||||
4.50%, 06/01/42 | 340 | 345,371 | ||||||
|
| |||||||
5,394,573 | ||||||||
Air Freight & Logistics — 0.3% | ||||||||
FedEx Corp.: | ||||||||
3.25%, 04/01/26 | 120 | 116,603 | ||||||
4.10%, 02/01/45 | 475 | 449,617 | ||||||
4.40%, 01/15/47 | 597 | 589,485 | ||||||
|
| |||||||
1,155,705 | ||||||||
Airlines — 0.6% | ||||||||
American Airlines Pass-Through Trust: | ||||||||
Series 2014-1, Class B, 4.38%, 04/01/24 | 111 | 111,061 | ||||||
Series 2017-1, Class AA, 3.65%, 08/15/30 | 769 | 762,073 | ||||||
Doric Nimrod Air Alpha Pass-Through Trust, | ||||||||
Series 2013-1, Class A, 5.25%, 05/30/25(a) | 644 | 666,599 | ||||||
U.S. Airways Pass-Through Trust, Series 2013-1, Class A, 3.95%, 05/15/27 | 715 | 713,163 | ||||||
Virgin Australia Trust, Series 2013-1A, | 133 | 136,408 | ||||||
|
| |||||||
2,389,304 | ||||||||
Auto Components — 0.2% | ||||||||
ZF North America Capital, Inc., 4.75%, 04/29/25(a) | 600 | 607,500 | ||||||
|
| |||||||
Automobiles — 0.5% | ||||||||
BMW U.S. Capital LLC, 2.00%, 04/11/21(a) | 540 | 520,497 | ||||||
General Motors Co., 5.20%, 04/01/45 | 500 | 486,448 | ||||||
Volkswagen Group of America Finance LLC, | 1,075 | 1,073,484 | ||||||
|
| |||||||
2,080,429 | ||||||||
Banks — 14.1% | ||||||||
Banco Santander SA, 3.13%, 02/23/23 | 800 | 775,292 | ||||||
Bank of America Corp.: | ||||||||
2.63%, 04/19/21 | 1,115 | 1,098,325 | ||||||
3.30%, 01/11/23 | 569 | 567,337 | ||||||
(3 mo. LIBOR US + 1.160%), 3.12%, 01/20/23(b) | 2,375 | 2,351,244 | ||||||
4.20%, 08/26/24 | 1,610 | 1,635,238 | ||||||
4.00%, 01/22/25 | 605 | 603,810 | ||||||
3.95%, 04/21/25 | 1,490 | 1,476,863 | ||||||
4.45%, 03/03/26 | 2,305 | 2,354,649 | ||||||
Barclays Bank PLC, 5.14%, 10/14/20 | 300 | 309,812 | ||||||
Barclays PLC: | ||||||||
2.75%, 11/08/19 | 805 | 798,513 | ||||||
3.25%, 01/12/21 | 900 | 893,522 | ||||||
3.20%, 08/10/21 | 825 | 815,155 | ||||||
5.20%, 05/12/26 | 975 | 982,842 | ||||||
4.84%, 05/09/28 | 820 | 806,354 | ||||||
BNP Paribas SA: | ||||||||
3.80%, 01/10/24(a) | 880 | 877,853 | ||||||
(5 yr. Swap Semi 30/360 US + 1.483%), | 1,060 | 1,036,775 | ||||||
Citigroup, Inc.: | ||||||||
1.70%, 04/27/18 | 1,100 | 1,099,395 | ||||||
2.50%, 07/29/19 | 950 | 946,137 | ||||||
2.45%, 01/10/20 | 1,500 | 1,486,061 | ||||||
(3 mo. LIBOR US + 1.168%), 3.88%, 01/24/39(b) | 850 | 818,828 | ||||||
4.75%, 05/18/46 | 550 | 558,879 | ||||||
Citizens Bank N.A.: | ||||||||
2.50%, 03/14/19 | 525 | 523,382 |
34 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series C Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Banks (continued) | ||||||||
2.55%, 05/13/21 | $ | 330 | $ | 322,145 | ||||
Cooperatieve Rabobank UA, 4.63%, 12/01/23 | 700 | 729,619 | ||||||
HSBC Holdings PLC: | ||||||||
2.65%, 01/05/22 | 985 | 957,703 | ||||||
4.25%, 08/18/25 | 500 | 496,124 | ||||||
4.38%, 11/23/26 | 270 | 268,895 | ||||||
ING Bank NV, 2.50%, 10/01/19(a) | 950 | 943,850 | ||||||
ING Groep NV, (3 mo. LIBOR US + 1.150%), 3.45%, 03/29/22(e) | 1,040 | 1,056,332 | ||||||
Intesa Sanpaolo SpA: | ||||||||
3.38%, 01/12/23(a) | 485 | 473,475 | ||||||
5.02%, 06/26/24(a) | 416 | 410,321 | ||||||
JPMorgan Chase & Co.: | ||||||||
2.20%, 10/22/19 | 1,655 | 1,638,913 | ||||||
2.25%, 01/23/20 | 1,800 | 1,778,129 | ||||||
2.30%, 08/15/21 | 665 | 646,571 | ||||||
2.70%, 05/18/23 | 2,275 | 2,194,862 | ||||||
(3 mo. LIBOR US + 1.360%), 3.88%, 07/24/38(b) | 1,300 | 1,263,140 | ||||||
4.95%, 06/01/45 | 1,170 | 1,265,972 | ||||||
(3 mo. LIBOR US + 1.220%), 3.90%, 01/23/49(b) | 915 | 872,372 | ||||||
Lloyds Bank PLC, 5.80%, 01/13/20(a) | 2,000 | 2,095,535 | ||||||
Lloyds Banking Group PLC, 4.38%, 03/22/28 | 705 | 712,048 | ||||||
Royal Bank of Scotland Group PLC: | ||||||||
(3 mo. LIBOR US + 1.470%), 3.31%, 05/15/23(e) | 1,170 | 1,180,225 | ||||||
3.88%, 09/12/23 | 715 | 706,106 | ||||||
6.00%, 12/19/23 | 348 | 370,718 | ||||||
Santander Holdings USA, Inc., 2.70%, 05/24/19 | 797 | 795,042 | ||||||
Santander UK PLC: | ||||||||
2.50%, 03/14/19 | 975 | 971,614 | ||||||
2.13%, 11/03/20 | 750 | 732,573 | ||||||
5.00%, 11/07/23(a) | 1,753 | 1,813,228 | ||||||
Sumitomo Mitsui Financial Group, Inc., | 1,150 | 1,117,461 | ||||||
U.S. Bancorp, 3.10%, 04/27/26 | 305 | 291,174 | ||||||
Wells Fargo & Co.: | ||||||||
2.50%, 03/04/21 | 985 | 967,105 | ||||||
3.50%, 03/08/22 | 1,500 | 1,504,009 | ||||||
4.13%, 08/15/23 | 350 | 354,967 | ||||||
3.00%, 10/23/26 | 330 | 309,030 | ||||||
5.61%, 01/15/44 | 200 | 229,314 | ||||||
4.65%, 11/04/44 | 980 | 988,475 | ||||||
4.90%, 11/17/45 | 456 | 478,041 | ||||||
4.40%, 06/14/46 | 440 | 427,056 | ||||||
4.75%, 12/07/46 | 530 | 543,102 | ||||||
|
| |||||||
54,721,512 | ||||||||
Beverages — 2.5% | ||||||||
Anheuser-Busch InBev Finance, Inc.: | ||||||||
2.65%, 02/01/21 | 2,725 | 2,703,658 | ||||||
3.30%, 02/01/23 | 3,675 | 3,677,701 | ||||||
3.65%, 02/01/26 | 1,763 | 1,752,508 | ||||||
4.90%, 02/01/46 | 675 | 727,995 | ||||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||||||
4.00%, 04/13/28 | 185 | 187,258 | ||||||
4.60%, 04/15/48 | 225 | 232,744 | ||||||
Molson Coors Brewing Co.: | ||||||||
3.00%, 07/15/26 | 285 | 263,974 | ||||||
4.20%, 07/15/46 | 170 | 160,684 | ||||||
|
| |||||||
9,706,522 | ||||||||
Biotechnology — 1.8% | ||||||||
AbbVie, Inc.: | ||||||||
2.50%, 05/14/20 | 1,200 | 1,184,473 | ||||||
2.30%, 05/14/21 | 495 | 482,526 | ||||||
2.85%, 05/14/23 | 550 | 532,650 |
Security | Par (000) | Value | ||||||
Biotechnology (continued) | ||||||||
3.20%, 05/14/26 | $ | 240 | $ | 228,101 | ||||
4.40%, 11/06/42 | 795 | 784,386 | ||||||
Amgen, Inc.: | ||||||||
2.20%, 05/22/19 | 169 | 167,935 | ||||||
4.40%, 05/01/45 | 100 | 99,859 | ||||||
4.66%, 06/15/51 | 927 | 956,912 | ||||||
Baxalta, Inc., 4.00%, 06/23/25 | 950 | 948,457 | ||||||
Gilead Sciences, Inc.: | ||||||||
3.25%, 09/01/22 | 135 | 135,128 | ||||||
4.50%, 02/01/45 | 323 | 334,873 | ||||||
4.75%, 03/01/46 | 391 | 421,261 | ||||||
4.15%, 03/01/47 | 640 | 626,674 | ||||||
|
| |||||||
6,903,235 | ||||||||
Capital Markets — 6.3% | ||||||||
Bank of New York Mellon Corp., 2.20%, 08/16/23 | 1,125 | 1,057,627 | ||||||
Credit Agricole SA, 2.75%, 06/10/20(a) | 1,000 | 991,204 | ||||||
Credit Suisse AG: | ||||||||
3.00%, 10/29/21 | 665 | 658,439 | ||||||
3.63%, 09/09/24 | 1,150 | 1,146,385 | ||||||
Credit Suisse Group AG, (3 mo. LIBOR US + 1.410%), 3.87%, 01/12/29(a)(b) | 595 | 576,741 | ||||||
Credit Suisse Group Funding Guernsey, Ltd.: | ||||||||
3.45%, 04/16/21 | 1,350 | 1,349,744 | ||||||
3.80%, 06/09/23 | 547 | 548,036 | ||||||
Deutsche Bank AG, (USD Swap Rate 11:00 am NY 1 + 2.553%), 4.88%, 12/01/32(b) | 1,175 | 1,086,417 | ||||||
Goldman Sachs Group, Inc.: | ||||||||
2.63%, 01/31/19 | 1,000 | 999,477 | ||||||
2.55%, 10/23/19 | 1,470 | 1,462,018 | ||||||
2.88%, 02/25/21 | 975 | 965,028 | ||||||
3.00%, 04/26/22 | 850 | 834,637 | ||||||
4.25%, 10/21/25 | 310 | 311,598 | ||||||
(3 mo. LIBOR US + 1.373%), 4.02%, 10/31/38(b) | 975 | 941,151 | ||||||
4.80%, 07/08/44 | 370 | 398,843 | ||||||
5.15%, 05/22/45 | 350 | 376,694 | ||||||
Morgan Stanley: | ||||||||
2.20%, 12/07/18 | 1,250 | 1,247,223 | ||||||
7.30%, 05/13/19 | 1,625 | 1,702,758 | ||||||
5.63%, 09/23/19 | 265 | 275,084 | ||||||
2.65%, 01/27/20 | 775 | 770,226 | ||||||
2.50%, 04/21/21 | 550 | 538,908 | ||||||
5.50%, 07/28/21 | 10 | 10,681 | ||||||
(3 mo. LIBOR US + 1.400%), 3.14%, 10/24/23(e) | 1,675 | 1,713,006 | ||||||
3.88%, 01/27/26 | 225 | 224,804 | ||||||
4.35%, 09/08/26 | 655 | 659,670 | ||||||
(3 mo. LIBOR US + 1.140%), 3.77%, 01/24/29(b) | 580 | 571,023 | ||||||
UBS AG, 2.38%, 08/14/19 | 973 | 965,884 | ||||||
UBS Group Funding Jersey Ltd., | 2,150 | 2,127,297 | ||||||
|
| |||||||
24,510,603 | ||||||||
Chemicals — 0.9% | ||||||||
Air Liquide Finance SA: | ||||||||
2.25%, 09/27/23(a) | 520 | 492,401 | ||||||
2.50%, 09/27/26(a) | 290 | 267,195 | ||||||
E.I. du Pont de Nemours & Co., (3 mo. LIBOR US + 0.530%), 2.30%, 05/01/20(e) | 560 | 563,587 | ||||||
Eastman Chemical Co., 4.65%, 10/15/44 | 350 | 361,030 | ||||||
LyondellBasell Industries NV, 5.00%, 04/15/19 | 1,250 | 1,268,933 | ||||||
Sherwin-Williams Co.: | ||||||||
2.75%, 06/01/22 | 135 | 131,487 | ||||||
4.50%, 06/01/47 | 275 | 273,740 | ||||||
|
| |||||||
3,358,373 |
SCHEDULE OF INVESTMENTS | 35 |
Schedule of Investments (continued) March 31, 2018 | Series C Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Commercial Services & Supplies — 0.4% | ||||||||
Aviation Capital Group LLC, 6.75%, 04/06/21(a) | $ | 1,575 | $ | 1,732,657 | ||||
|
| |||||||
Communications Equipment — 0.5% | ||||||||
Cisco Systems, Inc.: | ||||||||
1.85%, 09/20/21 | 1,025 | 989,432 | ||||||
2.50%, 09/20/26 | 1,035 | 964,942 | ||||||
|
| |||||||
1,954,374 | ||||||||
Consumer Finance — 3.4% | ||||||||
Capital One Bank USA N.A., 2.30%, 06/05/19 | 450 | 446,912 | ||||||
Capital One Financial Corp., 3.80%, 01/31/28 | 340 | 329,326 | ||||||
Capital One N.A.: | ||||||||
2.40%, 09/05/19 | 250 | 247,667 | ||||||
2.35%, 01/31/20 | 825 | 811,637 | ||||||
2.95%, 07/23/21 | 735 | 724,137 | ||||||
Discover Bank: | ||||||||
2.60%, 11/13/18 | 700 | 699,778 | ||||||
3.10%, 06/04/20 | 742 | 739,277 | ||||||
Discover Financial Services, 4.10%, 02/09/27 | 475 | 471,182 | ||||||
Ford Motor Credit Co. LLC: | ||||||||
2.88%, 10/01/18 | 1,250 | 1,251,025 | ||||||
2.94%, 01/08/19 | 1,415 | 1,415,300 | ||||||
2.68%, 01/09/20 | 2,000 | 1,983,177 | ||||||
General Motors Financial Co., Inc.: | ||||||||
3.25%, 05/15/18 | 660 | 660,169 | ||||||
6.75%, 06/01/18 | 325 | 327,137 | ||||||
3.15%, 01/15/20 | 760 | 759,679 | ||||||
3.20%, 07/06/21 | 565 | 560,110 | ||||||
4.35%, 01/17/27 | 1,205 | 1,196,951 | ||||||
Synchrony Financial, 2.60%, 01/15/19 | 615 | 613,631 | ||||||
|
| |||||||
13,237,095 | ||||||||
Containers & Packaging — 0.1% | ||||||||
International Paper Co., 4.35%, 08/15/48 | 450 | 426,920 | ||||||
|
| |||||||
Diversified Financial Services — 1.9% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | ||||||||
3.75%, 05/15/19 | 1,045 | 1,051,541 | ||||||
4.50%, 05/15/21 | 1,375 | 1,408,458 | ||||||
3.30%, 01/23/23 | 850 | 826,609 | ||||||
GE Capital International Funding Co., | 1,386 | 1,354,885 | ||||||
General Electric Capital Corp.: | ||||||||
6.75%, 03/15/32 | 308 | 382,702 | ||||||
6.15%, 08/07/37 | 205 | 243,919 | ||||||
Reckitt Benckiser Treasury Services PLC, | 2,140 | 2,040,418 | ||||||
|
| |||||||
7,308,532 | ||||||||
Diversified Telecommunication Services — 4.1% | ||||||||
AT&T Inc.: | ||||||||
5.20%, 03/15/20 | 800 | 831,185 | ||||||
3.80%, 03/15/22 | 385 | 390,545 | ||||||
4.30%, 02/15/30(a) | 2,213 | 2,200,359 | ||||||
4.50%, 05/15/35 | 750 | 736,615 | ||||||
5.25%, 03/01/37 | 400 | 423,150 | ||||||
5.15%, 03/15/42 | 400 | 412,106 | ||||||
4.80%, 06/15/44 | 65 | 63,444 | ||||||
4.35%, 06/15/45 | 105 | 95,952 | ||||||
4.75%, 05/15/46 | 203 | 197,163 | ||||||
5.15%, 02/14/50 | 1,720 | 1,737,495 | ||||||
Orange SA, 2.75%, 02/06/19 | 2,000 | 1,999,273 | ||||||
Telefonica Emisiones SAU: | ||||||||
4.67%, 03/06/38 | 255 | 257,935 | ||||||
4.90%, 03/06/48 | 695 | 707,117 | ||||||
Verizon Communications, Inc.: | ||||||||
3.38%, 02/15/25 | 459 | 451,158 | ||||||
4.50%, 08/10/33 | 550 | 556,777 | ||||||
4.27%, 01/15/36 | 800 | 765,811 |
Security | Par (000) | Value | ||||||
Diversified Telecommunication Services (continued) | ||||||||
5.25%, 03/16/37 | $ | 745 | $ | 803,341 | ||||
4.81%, 03/15/39 | 865 | 883,948 | ||||||
3.85%, 11/01/42 | 950 | 836,639 | ||||||
5.01%, 04/15/49 | 1,025 | 1,055,168 | ||||||
4.67%, 03/15/55 | 412 | 391,885 | ||||||
|
| |||||||
15,797,066 | ||||||||
Electric Utilities — 4.6% | ||||||||
American Electric Power Co., Inc., 2.15%, 11/13/20 | 825 | 807,098 | ||||||
American Transmission Systems, Inc., | 400 | 425,896 | ||||||
Duke Energy Carolinas LLC, 3.75%, 06/01/45 | 420 | 406,520 | ||||||
Duke Energy Corp., 2.65%, 09/01/26 | 390 | 355,932 | ||||||
Duke Energy Progress LLC, 6.30%, 04/01/38 | 750 | 1,001,521 | ||||||
E.ON International Finance BV, 5.80%, 04/30/18(a) | 1,100 | 1,102,451 | ||||||
Emera U.S. Finance LP, 2.15%, 06/15/19 | 185 | 182,769 | ||||||
Entergy Arkansas, Inc., 3.70%, 06/01/24 | 825 | 842,929 | ||||||
Entergy Corp., 4.00%, 07/15/22 | 700 | 714,491 | ||||||
Exelon Corp.: | ||||||||
2.45%, 04/15/21 | 2,000 | 1,954,691 | ||||||
3.40%, 04/15/26 | 200 | 193,124 | ||||||
Florida Power & Light Co., 5.95%, 02/01/38 | 800 | 1,038,256 | ||||||
Georgia Power Co., 2.00%, 09/08/20 | 635 | 620,783 | ||||||
Great Plains Energy, Inc., 5.29%, 06/15/22(f) | 745 | 793,898 | ||||||
Kentucky Utilities Co., 5.13%, 11/01/40 | 375 | 441,239 | ||||||
Northern States Power Co., 6.20%, 07/01/37 | 725 | 948,829 | ||||||
Ohio Power Co., Series D, 6.60%, 03/01/33 | 675 | 891,384 | ||||||
Oncor Electric Delivery Co. LLC, 5.30%, 06/01/42 | 660 | 795,078 | ||||||
PacifiCorp, 6.00%, 01/15/39 | 450 | 581,841 | ||||||
Progress Energy, Inc.: | ||||||||
4.88%, 12/01/19 | 1,075 | 1,106,480 | ||||||
3.15%, 04/01/22 | 775 | 767,847 | ||||||
Southern Co.: | ||||||||
2.35%, 07/01/21 | 785 | 760,698 | ||||||
2.95%, 07/01/23 | 740 | 718,765 | ||||||
Trans-Allegheny Interstate Line Co., | 445 | 447,780 | ||||||
|
| |||||||
17,900,300 | ||||||||
Energy Equipment & Services — 0.2% | ||||||||
Halliburton Co., 3.80%, 11/15/25 | 950 | 954,298 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 2.5% | ||||||||
American Tower Corp.: | ||||||||
2.80%, 06/01/20 | 1,000 | 992,634 | ||||||
3.30%, 02/15/21 | 265 | 264,938 | ||||||
4.70%, 03/15/22 | 525 | 547,900 | ||||||
3.00%, 06/15/23 | 1,175 | 1,134,840 | ||||||
3.13%, 01/15/27 | 825 | 756,020 | ||||||
AvalonBay Communities, Inc., 4.20%, 12/15/23 | 1,000 | 1,037,583 | ||||||
Crown Castle International Corp.: | ||||||||
3.40%, 02/15/21 | 1,453 | 1,458,507 | ||||||
2.25%, 09/01/21 | 1,765 | 1,701,227 | ||||||
5.25%, 01/15/23 | 807 | 857,559 | ||||||
Host Hotels & Resorts LP, 6.00%, 10/01/21 | 725 | 779,519 | ||||||
|
| |||||||
9,530,727 | ||||||||
Food & Staples Retailing — 2.2% | ||||||||
CVS Health Corp.: | ||||||||
3.13%, 03/09/20 | 1,050 | 1,051,059 | ||||||
2.80%, 07/20/20 | 2,000 | 1,985,727 | ||||||
4.10%, 03/25/25 | 1,885 | 1,898,289 | ||||||
4.30%, 03/25/28 | 2,150 | 2,159,160 | ||||||
4.78%, 03/25/38 | 320 | 324,330 | ||||||
5.30%, 12/05/43 | 175 | 189,248 | ||||||
5.13%, 07/20/45 | 360 | 381,842 |
36 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series C Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Food & Staples Retailing (continued) | ||||||||
5.05%, 03/25/48 | $ | 135 | $ | 141,991 | ||||
Kroger Co., 4.45%, 02/01/47 | 59 | 55,782 | ||||||
Walgreens Boots Alliance, Inc.: | ||||||||
3.45%, 06/01/26 | 195 | 184,257 | ||||||
4.80%, 11/18/44 | 255 | 252,302 | ||||||
|
| |||||||
8,623,987 | ||||||||
Food Products — 0.8% | ||||||||
Kraft Heinz Foods Co.: | ||||||||
5.38%, 02/10/20 | 1,290 | 1,342,792 | ||||||
3.00%, 06/01/26 | 1,135 | 1,047,649 | ||||||
5.00%, 06/04/42 | 250 | 250,130 | ||||||
4.38%, 06/01/46 | 365 | 334,700 | ||||||
|
| |||||||
2,975,271 | ||||||||
Gas Utilities — 0.4% | ||||||||
Atmos Energy Corp., 8.50%, 03/15/19 | 800 | 842,207 | ||||||
Fortis, Inc./Canada, 2.10%, 10/04/21 | 945 | 903,375 | ||||||
|
| |||||||
1,745,582 | ||||||||
Health Care Equipment & Supplies — 2.2% | ||||||||
Abbott Laboratories: | ||||||||
2.35%, 11/22/19 | 847 | 839,700 | ||||||
3.75%, 11/30/26 | 1,000 | 994,647 | ||||||
4.75%, 11/30/36 | 385 | 415,468 | ||||||
4.75%, 04/15/43 | 117 | 122,843 | ||||||
4.90%, 11/30/46 | 160 | 175,433 | ||||||
Becton Dickinson and Co.: | ||||||||
2.13%, 06/06/19 | 845 | 835,433 | ||||||
2.68%, 12/15/19 | 88 | 87,491 | ||||||
(3 mo. LIBOR US + 1.030%), 3.06%, 06/06/22(e) | 1,525 | 1,529,709 | ||||||
Medtronic, Inc.: | ||||||||
3.15%, 03/15/22 | 960 | 961,597 | ||||||
3.50%, 03/15/25 | 950 | 949,606 | ||||||
4.63%, 03/15/44 | 500 | 542,507 | ||||||
4.63%, 03/15/45 | 715 | 782,604 | ||||||
Stryker Corp., 3.50%, 03/15/26 | 160 | 159,537 | ||||||
|
| |||||||
8,396,575 | ||||||||
Health Care Providers & Services — 2.2% | ||||||||
Aetna, Inc.: | ||||||||
1.70%, 06/07/18 | 720 | 719,205 | ||||||
2.80%, 06/15/23 | 350 | 336,296 | ||||||
3.50%, 11/15/24 | 395 | 388,226 | ||||||
Anthem, Inc.: | ||||||||
4.35%, 08/15/20 | 700 | 720,740 | ||||||
2.50%, 11/21/20 | 285 | 280,171 | ||||||
5.10%, 01/15/44 | 300 | 323,702 | ||||||
Coventry Health Care, Inc., 5.45%, 06/15/21 | 850 | 900,748 | ||||||
HCA, Inc.: | ||||||||
5.25%, 06/15/26 | 850 | 861,050 | ||||||
4.50%, 02/15/27 | 769 | 742,085 | ||||||
5.50%, 06/15/47 | 559 | 540,134 | ||||||
UnitedHealth Group, Inc.: | ||||||||
3.35%, 07/15/22 | 75 | 75,387 | ||||||
2.88%, 03/15/23 | 1,175 | 1,155,673 | ||||||
3.75%, 07/15/25 | 770 | 779,944 | ||||||
4.63%, 11/15/41 | 645 | 692,778 | ||||||
4.75%, 07/15/45 | 120 | 132,055 | ||||||
|
| |||||||
8,648,194 | ||||||||
Hotels, Restaurants & Leisure — 0.1% | ||||||||
McDonald’s Corp.: | ||||||||
2.75%, 12/09/20 | 85 | 84,579 | ||||||
4.88%, 12/09/45 | 365 | 397,172 | ||||||
|
| |||||||
481,751 | ||||||||
Household Durables — 0.5% | ||||||||
Newell Brands, Inc.: | ||||||||
3.85%, 04/01/23 | 1,540 | 1,537,002 |
Security | Par (000) | Value | ||||||
Household Durables (continued) | ||||||||
4.20%, 04/01/26 | $ | 235 | $ | 232,654 | ||||
5.50%, 04/01/46 | 125 | 132,689 | ||||||
|
| |||||||
1,902,345 | ||||||||
Industrial Conglomerates — 0.3% | ||||||||
Eaton Corp., 4.15%, 11/02/42 | 375 | 371,694 | ||||||
Tyco Electronics Group SA, 3.50%, 02/03/22 | 600 | 605,111 | ||||||
|
| |||||||
976,805 | ||||||||
Insurance — 1.3% | ||||||||
American International Group, Inc.: | ||||||||
6.40%, 12/15/20 | 485 | 522,952 | ||||||
3.30%, 03/01/21 | 220 | 220,228 | ||||||
3.90%, 04/01/26 | 740 | 732,401 | ||||||
Aon PLC, 4.00%, 11/27/23 | 1,760 | 1,809,549 | ||||||
Marsh & McLennan Cos., Inc.: | ||||||||
2.35%, 03/06/20 | 1,000 | 989,676 | ||||||
3.75%, 03/14/26 | 600 | 599,793 | ||||||
Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39(a) | 90 | 120,091 | ||||||
|
| |||||||
4,994,690 | ||||||||
Internet & Direct Marketing Retail — 0.8% | ||||||||
Amazon.com, Inc.: | ||||||||
2.40%, 02/22/23(a) | 550 | 531,134 | ||||||
2.80%, 08/22/24(a) | 525 | 509,410 | ||||||
3.15%, 08/22/27(a) | 1,975 | 1,905,568 | ||||||
|
| |||||||
2,946,112 | ||||||||
Internet Software & Services — 0.3% | ||||||||
Baidu, Inc., 3.88%, 09/29/23 | 1,245 | 1,244,156 | ||||||
|
| |||||||
IT Services — 0.8% | ||||||||
Fidelity National Information Services, Inc.: | ||||||||
3.63%, 10/15/20 | 1,590 | 1,609,972 | ||||||
3.50%, 04/15/23 | 330 | 329,895 | ||||||
5.00%, 10/15/25 | 119 | 127,079 | ||||||
Visa, Inc.: | ||||||||
2.80%, 12/14/22 | 510 | 503,499 | ||||||
3.15%, 12/14/25 | 620 | 608,096 | ||||||
|
| |||||||
3,178,541 | ||||||||
Life Sciences Tools & Services — 0.8% | ||||||||
Life Technologies Corp., 6.00%, 03/01/20 | 820 | 861,804 | ||||||
Thermo Fisher Scientific, Inc.: | ||||||||
4.50%, 03/01/21 | 1,850 | 1,923,747 | ||||||
3.00%, 04/15/23 | 180 | 175,403 | ||||||
|
| |||||||
2,960,954 | ||||||||
Machinery — 0.3% | ||||||||
John Deere Capital Corp.: | ||||||||
2.38%, 07/14/20 | 830 | 821,959 | ||||||
2.65%, 06/24/24 | 215 | 206,268 | ||||||
|
| |||||||
1,028,227 | ||||||||
Media — 3.7% | ||||||||
21st Century Fox America, Inc., 6.40%, 12/15/35 | 306 | 386,598 | ||||||
Charter Communications Operating LLC/Charter | ||||||||
Communications Operating Capital: | ||||||||
4.46%, 07/23/22 | 1,075 | 1,098,101 | ||||||
4.20%, 03/15/28 | 565 | 540,835 | ||||||
6.38%, 10/23/35 | 325 | 363,041 | ||||||
6.48%, 10/23/45 | 2,425 | 2,661,889 | ||||||
5.38%, 05/01/47 | 100 | 96,724 | ||||||
6.83%, 10/23/55 | 57 | 65,911 | ||||||
Comcast Corp.: | ||||||||
4.25%, 01/15/33 | 650 | 673,465 | ||||||
6.50%, 11/15/35 | 550 | 702,261 | ||||||
3.20%, 07/15/36 | 610 | 539,013 |
SCHEDULE OF INVESTMENTS | 37 |
Schedule of Investments (continued) March 31, 2018 | Series C Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Media (continued) | ||||||||
4.50%, 01/15/43 | $ | 225 | $ | 229,491 | ||||
4.60%, 08/15/45 | 700 | 725,375 | ||||||
Cox Communications, Inc.: | ||||||||
3.35%, 09/15/26(a) | 460 | 437,982 | ||||||
3.50%, 08/15/27(a) | 1,105 | 1,054,194 | ||||||
Discovery Communications LLC: | ||||||||
2.95%, 03/20/23 | 345 | 332,453 | ||||||
3.95%, 03/20/28 | 575 | 551,565 | ||||||
5.20%, 09/20/47 | 335 | 334,284 | ||||||
Grupo Televisa SAB, 6.63%, 01/15/40 | 500 | 573,723 | ||||||
Sky PLC, 2.63%, 09/16/19(a) | 200 | 199,158 | ||||||
Time Warner Cable LLC: | ||||||||
8.25%, 04/01/19 | 695 | 729,365 | ||||||
4.50%, 09/15/42 | 137 | 118,656 | ||||||
Time Warner, Inc.: | ||||||||
3.60%, 07/15/25 | 305 | 296,790 | ||||||
3.88%, 01/15/26 | 592 | 579,936 | ||||||
3.80%, 02/15/27 | 315 | 304,552 | ||||||
Viacom, Inc.: | ||||||||
4.38%, 03/15/43 | 199 | 178,327 | ||||||
5.85%, 09/01/43 | 567 | 611,282 | ||||||
|
| |||||||
14,384,971 | ||||||||
Metals & Mining — 0.3% | ||||||||
Rio Tinto Finance USA Ltd.: | ||||||||
3.75%, 06/15/25 | 74 | 75,267 | ||||||
7.13%, 07/15/28 | 550 | 706,625 | ||||||
Southern Copper Corp., 5.88%, 04/23/45 | 425 | 480,125 | ||||||
|
| |||||||
1,262,017 | ||||||||
Multiline Retail — 0.2% | ||||||||
Target Corp., 2.50%, 04/15/26 | 850 | 789,772 | ||||||
|
| |||||||
Multi-Utilities — 2.2% | ||||||||
Berkshire Hathaway Energy Co.: | ||||||||
5.75%, 04/01/18 | 1,475 | 1,475,000 | ||||||
4.50%, 02/01/45 | 900 | 956,628 | ||||||
CMS Energy Corp., 5.05%, 03/15/22 | 1,644 | 1,741,818 | ||||||
Dominion Energy Gas Holdings LLC, | 845 | 837,273 | ||||||
Dominion Energy, Inc., 1.88%, 01/15/19 | 525 | 521,194 | ||||||
NiSource, Inc., 5.25%, 02/15/43 | 440 | 491,219 | ||||||
Pacific Gas & Electric Co., 3.85%, 11/15/23 | 575 | 585,464 | ||||||
Sempra Energy, 2.40%, 02/01/20 | 520 | 514,450 | ||||||
Virginia Electric & Power Co.: | ||||||||
6.00%, 01/15/36 | 900 | 1,111,168 | ||||||
4.45%, 02/15/44 | 350 | 370,644 | ||||||
|
| |||||||
8,604,858 | ||||||||
Oil, Gas & Consumable Fuels — 7.8% | ||||||||
Anadarko Petroleum Corp., 6.60%, 03/15/46 | 500 | 628,647 | ||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp.: | ||||||||
6.25%, 10/15/22 | 336 | 352,397 | ||||||
3.50%, 12/01/22 | 70 | 68,790 | ||||||
4.25%, 12/01/27 | 180 | 175,478 | ||||||
Cenovus Energy, Inc., 4.25%, 04/15/27 | 425 | 414,266 | ||||||
Chevron Corp., 2.19%, 11/15/19 | 255 | 253,449 | ||||||
Cimarex Energy Co., 3.90%, 05/15/27 | 940 | 927,023 | ||||||
Concho Resources, Inc., 3.75%, 10/01/27 | 1,170 | 1,144,014 | ||||||
ConocoPhillips Co., 4.95%, 03/15/26 | 600 | 654,962 | ||||||
Devon Energy Corp.: | ||||||||
3.25%, 05/15/22 | 731 | 722,181 | ||||||
5.00%, 06/15/45 | 204 | 216,817 | ||||||
El Paso Natural Gas Co. LLC, 8.63%, 01/15/22 | 485 | 565,757 | ||||||
Enbridge, Inc., 4.25%, 12/01/26 | 840 | 840,328 | ||||||
Encana Corp., 6.50%, 05/15/19 | 750 | 777,564 | ||||||
Energy Transfer Partners LP: | ||||||||
6.70%, 07/01/18 | 925 | 934,667 |
Security | Par (000) | Value | ||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||
5.20%, 02/01/22 | $ | 5 | $ | 5,222 | ||||
6.50%, 02/01/42 | 560 | 604,864 | ||||||
5.30%, 04/15/47 | 36 | 33,800 | ||||||
Energy Transfer Partners LP/Regency Energy Finance Corp., 5.00%, 10/01/22 | 1,020 | 1,060,383 | ||||||
Enterprise Products Operating LLC: | ||||||||
6.45%, 09/01/40 | 525 | 662,774 | ||||||
5.70%, 02/15/42 | 490 | 567,212 | ||||||
4.90%, 05/15/46 | 300 | 318,626 | ||||||
Hess Corp., 5.80%, 04/01/47 | 600 | 630,693 | ||||||
Kerr-McGee Corp., 7.88%, 09/15/31 | 450 | 594,223 | ||||||
Kinder Morgan Energy Partners LP: | ||||||||
6.50%, 04/01/20 | 1,515 | 1,604,288 | ||||||
7.30%, 08/15/33 | 800 | 968,260 | ||||||
5.00%, 03/01/43 | 490 | 472,941 | ||||||
5.50%, 03/01/44 | 525 | 535,491 | ||||||
Kinder Morgan, Inc.: | ||||||||
6.50%, 09/15/20 | 925 | 990,885 | ||||||
3.15%, 01/15/23 | 750 | 729,859 | ||||||
Marathon Oil Corp., 2.80%, 11/01/22 | 1,200 | 1,156,758 | ||||||
Marathon Petroleum Corp., 4.75%, 09/15/44 | 381 | 383,001 | ||||||
MPLX LP, 4.70%, 04/15/48 | 595 | 579,589 | ||||||
Noble Energy, Inc., 5.25%, 11/15/43 | 425 | 453,173 | ||||||
Pioneer Natural Resources Co.: | ||||||||
6.88%, 05/01/18 | 880 | 883,091 | ||||||
3.45%, 01/15/21 | 255 | 256,587 | ||||||
Plains All American Pipeline LP/PAA Finance Corp.: | ||||||||
2.60%, 12/15/19 | 900 | 888,359 | ||||||
4.90%, 02/15/45 | 300 | 275,874 | ||||||
Sabine Pass Liquefaction LLC: | ||||||||
5.63%, 02/01/21 | 750 | 788,550 | ||||||
5.75%, 05/15/24 | 425 | 457,461 | ||||||
Schlumberger Norge AS, 4.20%, 01/15/21(a) | 975 | 1,001,176 | ||||||
Sunoco Logistics Partners Operations LP, | 800 | 745,287 | ||||||
Texas Eastern Transmission LP, | 1,400 | 1,344,543 | ||||||
Transcontinental Gas Pipe Line Co. LLC, | 265 | 259,194 | ||||||
Western Gas Partners LP, 5.38%, 06/01/21 | 1,025 | 1,069,385 | ||||||
Williams Partners LP, 4.50%, 11/15/23 | 1,300 | 1,335,655 | ||||||
|
| |||||||
30,333,544 | ||||||||
Pharmaceuticals — 3.9% | ||||||||
Allergan Funding SCS: | ||||||||
3.00%, 03/12/20 | 2,100 | 2,089,172 | ||||||
3.45%, 03/15/22 | 1,780 | 1,764,782 | ||||||
3.80%, 03/15/25 | 900 | 884,146 | ||||||
4.55%, 03/15/35 | 900 | 881,083 | ||||||
4.85%, 06/15/44 | 425 | 420,805 | ||||||
Johnson & Johnson: | ||||||||
2.45%, 03/01/26 | 510 | 480,575 | ||||||
3.55%, 03/01/36 | 560 | 553,529 | ||||||
Merck & Co., Inc., 2.35%, 02/10/22 | 310 | 303,801 | ||||||
Mylan NV: | ||||||||
2.50%, 06/07/19 | 332 | 329,420 | ||||||
3.95%, 06/15/26 | 325 | 315,224 | ||||||
Mylan, Inc., 2.60%, 06/24/18 | 968 | 967,110 | ||||||
Pfizer, Inc.: | ||||||||
5.20%, 08/12/20 | 900 | 951,210 | ||||||
4.30%, 06/15/43 | 250 | 261,371 | ||||||
Shire Acquisitions Investments Ireland DAC: | ||||||||
1.90%, 09/23/19 | 1,000 | 983,496 | ||||||
2.40%, 09/23/21 | 1,310 | 1,264,834 | ||||||
2.88%, 09/23/23 | 1,445 | 1,379,514 |
38 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series C Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Pharmaceuticals (continued) | ||||||||
Teva Pharmaceutical Finance IV BV, | $ | 514 | $ | 483,780 | ||||
Teva Pharmaceutical Finance Netherlands III BV, 2.20%, 07/21/21 | 415 | 373,708 | ||||||
Wyeth LLC, 5.95%, 04/01/37 | 425 | 542,491 | ||||||
|
| |||||||
15,230,051 | ||||||||
Road & Rail — 1.2% | ||||||||
Burlington Northern Santa Fe LLC, | 500 | 614,866 | ||||||
Canadian National Railway Co., 6.25%, 08/01/34 | 575 | 750,587 | ||||||
Canadian Pacific Railway Co., 7.25%, 05/15/19 | 500 | 524,162 | ||||||
Kansas City Southern, 2.35%, 05/15/20 | 370 | 365,074 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp., | 1,000 | 994,545 | ||||||
Ryder System, Inc., 2.88%, 09/01/20 | 1,000 | 993,723 | ||||||
Union Pacific Corp., 4.05%, 03/01/46 | 355 | 358,252 | ||||||
|
| |||||||
4,601,209 | ||||||||
Semiconductors & Semiconductor Equipment — 2.8% | ||||||||
Analog Devices, Inc.: | ||||||||
2.50%, 12/05/21 | 340 | 331,114 | ||||||
3.50%, 12/05/26 | 195 | 190,064 | ||||||
Applied Materials, Inc., 3.30%, 04/01/27 | 705 | 692,735 | ||||||
Broadcom Corp./Broadcom Cayman Finance Ltd.: | ||||||||
2.38%, 01/15/20 | 2,035 | 2,006,606 | ||||||
3.00%, 01/15/22 | 1,425 | 1,398,276 | ||||||
3.63%, 01/15/24 | 1,055 | 1,037,835 | ||||||
3.88%, 01/15/27 | 138 | 134,217 | ||||||
KLA-Tencor Corp., 4.65%, 11/01/24 | 40 | 41,777 | ||||||
NVIDIA Corp.: | ||||||||
2.20%, 09/16/21 | 490 | 477,786 | ||||||
3.20%, 09/16/26 | 1,185 | 1,142,189 | ||||||
NXP BV/NXP Funding LLC, 4.63%, 06/01/23(a) | 775 | 788,795 | ||||||
QUALCOMM, Inc.: | ||||||||
(3 mo. LIBOR US + 0.360%), 2.25%, 05/20/19(e) | 1,020 | 1,021,933 | ||||||
(3 mo. LIBOR US + 0.450%), 2.34%, 05/20/20(e) | 440 | 440,691 | ||||||
3.25%, 05/20/27 | 1,250 | 1,184,955 | ||||||
|
| |||||||
10,888,973 | ||||||||
Software — 2.6% | ||||||||
Microsoft Corp.: | ||||||||
1.55%, 08/08/21 | 1,325 | 1,272,323 | ||||||
2.00%, 08/08/23 | 1,150 | 1,090,253 | ||||||
2.88%, 02/06/24 | 990 | 972,856 | ||||||
2.40%, 08/08/26 | 1,235 | 1,149,265 | ||||||
4.10%, 02/06/37 | 530 | 562,003 | ||||||
3.75%, 02/12/45 | 466 | 462,710 | ||||||
4.45%, 11/03/45 | 517 | 572,352 | ||||||
3.70%, 08/08/46 | 370 | 365,068 | ||||||
Oracle Corp.: | ||||||||
2.40%, 09/15/23 | 2,050 | 1,963,536 | ||||||
2.65%, 07/15/26 | 1,190 | 1,112,657 | ||||||
3.25%, 11/15/27 | 800 | 780,349 | ||||||
|
| |||||||
10,303,372 | ||||||||
Specialty Retail — 0.3% | ||||||||
Home Depot, Inc.: | ||||||||
4.40%, 03/15/45 | 215 | 230,491 | ||||||
4.25%, 04/01/46 | 335 | 350,347 | ||||||
Lowe’s Cos., Inc., 3.70%, 04/15/46 | 425 | 395,163 |
Security | Par (000) | Value | ||||||
Specialty Retail (continued) | ||||||||
QVC, Inc., 4.38%, 03/15/23 | $ | 250 | $ | 250,212 | ||||
|
| |||||||
1,226,213 | ||||||||
Technology Hardware, Storage & Peripherals — 1.9% | ||||||||
Apple Inc.: | ||||||||
(3 mo. LIBOR US + 0.500%), | 1,725 | 1,744,929 | ||||||
2.85%, 02/23/23 | 1,010 | 1,001,701 | ||||||
3.25%, 02/23/26 | 855 | 842,978 | ||||||
2.45%, 08/04/26 | 1,050 | 973,353 | ||||||
2.90%, 09/12/27 | 375 | 356,960 | ||||||
4.38%, 05/13/45 | 960 | 1,012,993 | ||||||
3.85%, 08/04/46 | 730 | 714,299 | ||||||
Dell International LLC/EMC Corp., | 595 | 755,757 | ||||||
|
| |||||||
7,402,970 | ||||||||
Tobacco — 2.1% | ||||||||
Altria Group, Inc.: | ||||||||
2.63%, 09/16/26 | 210 | 193,722 | ||||||
4.50%, 05/02/43 | 450 | 456,218 | ||||||
BAT Capital Corp.: | ||||||||
3.22%, 08/15/24(a) | 1,235 | 1,190,693 | ||||||
3.56%, 08/15/27(a) | 640 | 613,015 | ||||||
BAT International Finance PLC, | 1,000 | 991,461 | ||||||
Philip Morris International, Inc., | 700 | 660,848 | ||||||
Reynolds American, Inc.: | ||||||||
4.00%, 06/12/22 | 730 | 742,635 | ||||||
4.85%, 09/15/23 | 220 | 232,213 | ||||||
4.45%, 06/12/25 | 2,000 | 2,057,342 | ||||||
5.70%, 08/15/35 | 550 | 625,765 | ||||||
7.00%, 08/04/41 | 350 | 451,234 | ||||||
|
| |||||||
8,215,146 | ||||||||
Trading Companies & Distributors — 0.6% | ||||||||
Air Lease Corp.: | ||||||||
2.50%, 03/01/21 | 905 | 887,083 | ||||||
3.38%, 06/01/21 | 540 | 540,860 | ||||||
International Lease Finance Corp., | 885 | 909,152 | ||||||
|
| |||||||
2,337,095 | ||||||||
Wireless Telecommunication Services — 0.2% | ||||||||
America Movil SAB de CV, 5.00%, 03/30/20 | 468 | 483,026 | ||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 03/20/23(a) | 298 | 295,641 | ||||||
Vodafone Group PLC, 4.38%, 02/19/43 | 62 | 58,681 | ||||||
|
| |||||||
837,348 | ||||||||
|
| |||||||
Total Corporate Bonds — 89.1% | 346,190,454 | |||||||
|
| |||||||
Foreign Agency Obligations — 1.0% | ||||||||
China — 0.2% | ||||||||
CNOOC Finance 2013 Ltd., 3.00%, 05/09/23 | 800 | 768,912 | ||||||
|
| |||||||
Mexico — 0.8% | ||||||||
Petroleos Mexicanos: | ||||||||
6.38%, 02/04/21 | 633 | 674,462 | ||||||
5.38%, 03/13/22 | 155 | 161,123 |
SCHEDULE OF INVESTMENTS | 39 |
Schedule of Investments (continued) March 31, 2018 | Series C Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Mexico (continued) | ||||||||
4.63%, 09/21/23 | $ | 825 | $ | 826,724 | ||||
6.38%, 01/23/45 | 475 | 461,700 | ||||||
6.35%, 02/12/48(a) | 1,060 | 1,024,225 | ||||||
|
| |||||||
3,148,234 | ||||||||
|
| |||||||
Total Foreign Agency Obligations — 1.0% |
| 3,917,146 | ||||||
|
| |||||||
Foreign Government Obligations — 1.6% |
| |||||||
Colombia — 0.3% | ||||||||
Republic of Colombia: | ||||||||
5.63%, 02/26/44 | 413 | 450,170 | ||||||
5.00%, 06/15/45 | 560 | 567,700 | ||||||
|
| |||||||
1,017,870 | ||||||||
Indonesia — 0.3% | ||||||||
Republic of Indonesia: | ||||||||
4.13%, 01/15/25(a) | 350 | 352,570 | ||||||
3.50%, 01/11/28 | 975 | 932,779 | ||||||
|
| |||||||
1,285,349 | ||||||||
Mexico — 0.7% | ||||||||
United Mexican States: | ||||||||
4.15%, 03/28/27 | 470 | 475,170 | ||||||
4.75%, 03/08/44 | 1,123 | 1,092,117 | ||||||
4.60%, 02/10/48 | 1,250 | 1,186,250 | ||||||
|
| |||||||
2,753,537 | ||||||||
Peru — 0.1% | ||||||||
Republic of Peru, 5.63%, 11/18/50 | 290 | 348,725 | ||||||
|
| |||||||
Poland — 0.1% | ||||||||
Republic of Poland, 3.25%, 04/06/26 | 440 | 436,366 | ||||||
|
| |||||||
Uruguay — 0.1% | ||||||||
Republic of Uruguay, 5.10%, 06/18/50 | 375 | 384,375 | ||||||
|
| |||||||
Total Foreign Government Obligations — 1.6% |
| 6,226,222 | ||||||
|
| |||||||
Taxable Municipal Bonds — 2.3% |
| |||||||
Chicago O’Hare International Airport RB, 6.40%, 01/01/40 | 1,000 | 1,356,090 | ||||||
Los Angeles Department of Water & Power RB, 6.57%, 07/01/45 | 1,075 | 1,557,643 | ||||||
Metropolitan Transportation Authority, New York RB, 7.34%, 11/15/39 | 1,125 | 1,695,679 | ||||||
Port Authority of New York & New Jersey RB, 4.46%, 10/01/62 | 1,300 | 1,422,590 | ||||||
State of California GO: | ||||||||
7.30%, 10/01/39 | 510 | 743,759 | ||||||
7.63%, 03/01/40 | 1,125 | 1,713,184 | ||||||
7.60%, 11/01/40 | 430 | 665,184 | ||||||
|
| |||||||
Total Taxable Municipal Bonds — 2.3% | 9,154,129 | |||||||
|
|
Security | Par (000) | Value | ||||||
U.S. Government Sponsored Agency Securities — 0.1% | ||||||||
Agency Obligations — 0.1% | ||||||||
Fannie Mae, 1.88%, 09/24/26 | $ | 395 | $ | 364,050 | ||||
|
| |||||||
Total U.S. Government Sponsored Agency |
| 364,050 | ||||||
|
| |||||||
Total Long-Term Investments — 98.4% |
| 382,486,496 | ||||||
|
| |||||||
Shares | ||||||||
Short-Term Securities — 1.3% |
| |||||||
Dreyfus Treasury Securities Cash Management, Institutional Class, 1.18%(g) | 5,028,580 | 5,028,580 | ||||||
|
| |||||||
Total Short-Term Securities — 1.3% |
| 5,028,580 | ||||||
|
| |||||||
Options Purchased — 0.0% | ||||||||
(Cost: $174,555) | 136,090 | |||||||
|
| |||||||
Total Investments — 99.7% | 387,651,166 | |||||||
Other Assets Less Liabilities — 0.3% |
| 1,022,838 | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 388,674,004 | ||||||
|
|
(a) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(b) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(c) | Perpetual security with no stated maturity date. |
(d) | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end. |
(e) | Variable rate security. Rate shown is the rate in effect as of period end. |
(f) | Step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate as of period end. |
(g) | Annualized 7-day yield as of period end. |
40 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series C Portfolio |
For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description | Number of | Expiration Date | Notional (000) | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||
Long Contracts | ||||||||||||||||
U.S. Treasury Bonds (30 Year) | 15 | 06/20/18 | $ | 2,199 | $ | 67,280 | ||||||||||
U.S. Treasury Notes (10 Year) | 45 | 06/20/18 | 5,451 | 46,484 | ||||||||||||
U.S. Treasury Notes (2 Year) | 44 | 06/29/18 | 9,355 | 1,766 | ||||||||||||
U.S. Treasury Notes (5 Year) | 41 | 06/29/18 | 4,693 | 11,729 | ||||||||||||
U.S. Ultra Treasury Bonds | 131 | 06/20/18 | 21,021 | 675,134 | ||||||||||||
|
| |||||||||||||||
$ | 802,393 | |||||||||||||||
|
|
OTC Interest Rate Swaptions Purchased
| Paid by the Fund | Received by the Fund |
| Expiration | Exercise | Notional Amount |
| |||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Date | Rate | (000) | Value | |||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||
30-Year Interest Rate Swap, 06/08/49 | 3.50 | % | Semi-annual | | 3-month LIBOR, 2.31% |
| Quarterly | Citibank N.A. | 06/06/19 | 3.50 | % | $8,620 | $ | 136,090 | ||||||||||||||||
|
|
Centrally Cleared Interest Rate Swaps
Paid by the Fund | Received by the Fund | Effective | Termination | Notional Amount |
| Upfront Premium | Unrealized Appreciation | |||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Date | Date | (000) | Value | Paid | (Depreciation) | |||||||||||||||||||||
2.38% | Semi-annual | 3-month LIBOR, 2.31% | Quarterly | N/A | 05/14/25 | $1,900 | $ | 34,607 | $ | 29 | $ | 34,578 | ||||||||||||||||||
3-month LIBOR, 2.31% | Quarterly | 3.10% | Semi-annual | 06/29/18 | (a) | 11/15/43 | $1,925 | (93,531 | ) | 40 | (93,571 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (58,924 | ) | $ | 69 | $ | (58,993 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
(a) | Forward swap. |
OTC Credit Default Swaps—Sell Protection
Reference Obligation | Financing Received by the | Payment Frequency | Counterparty | Termination Date | Credit Rating (a) | Notional (000) (b) | Value | Upfront Premium Received | Unrealized Appreciation | |||||||||||||||||||
Host Hotels & Resorts LP | 1.00% | Quarterly | Credit Suisse International | 03/20/19 | BBB | $ | 825 | $ | 7,632 | $ | (982 | ) | $ | 8,614 | ||||||||||||||
American Tower Corp. | 1.00% | Quarterly | Morgan Stanley & Co. International PLC | 06/20/21 | BBB- | $ | 1,875 | (12,140 | ) | (49,607 | ) | 37,467 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (4,508 | ) | $ | (50,589 | ) | $ | 46,081 | |||||||||||||||||||||
|
|
|
|
|
|
(a) | Using S&P’s rating of the issuer. |
(b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Derivatives
Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||
Centrally Cleared Swaps(a) | $ | 69 | $ | — | $ | 34,578 | $ | 93,571 | ||||||||
OTC Derivatives | — | 50,589 | 46,081 | — |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
SCHEDULE OF INVESTMENTS | 41 |
Schedule of Investments (continued) March 31, 2018 | Series C Portfolio |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
Assets — Derivative Financial Instruments | Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||||||
Futures contracts | Net unrealized appreciation(a) | $ | — | $ | — | $ | — | $ | — | $ | 802,393 | $ | — | $ | 802,393 | |||||||||||||||
Options purchased | Investments at value — unaffiliated(b) | — | — | — | — | 136,090 | — | 136,090 | ||||||||||||||||||||||
Swaps — OTC | Unrealized appreciation on OTC swaps | — | 46,081 | — | — | — | — | 46,081 | ||||||||||||||||||||||
Swaps — centrally cleared | Net unrealized appreciation(a) | — | — | — | — | 34,578 | — | 34,578 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
$ | — | $ | 46,081 | $ | — | $ | — | $ | 973,061 | $ | — | $ | 1,019,142 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||||
Swaps — OTC | Swaps premiums received | $ | — | $ | 50,589 | $ | — | $ | — | $ | — | $ | — | $ | 50,589 | |||||||||||||||
Swaps — centrally cleared | Net unrealized depreciation(a) | — | — | — | — | 93,571 | — | 93,571 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
$ | — | $ | 50,589 | $ | — | $ | — | $ | 93,571 | $ | — | $ | 144,160 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
(b) | Includes options purchased at value as reported in the Schedule of Investments. |
42 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series C Portfolio |
For the year ended March 31, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:
Net Realized Gain (Loss) from: | Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | (1,426,921 | ) | $ | — | $ | (1,426,921 | ) | ||||||||||||
Options written | — | — | — | — | 46,149 | — | 46,149 | |||||||||||||||||||||
Swaps | — | 18,288 | — | — | 370,034 | — | 388,322 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 18,288 | $ | — | $ | — | $ | (1,010,738 | ) | $ | — | $ | (992,450 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on:
| ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | 840,401 | $ | — | $ | 840,401 | ||||||||||||||
Options purchased(a) | — | — | — | — | (38,465 | ) | — | (38,465 | ) | |||||||||||||||||||
Options written | — | — | — | — | 1,329 | — | 1,329 | |||||||||||||||||||||
Swaps | — | 54,509 | — | — | (34,851 | ) | — | 19,658 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 54,509 | $ | — | $ | — | $ | 768,414 | $ | — | $ | 822,923 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts: | ||||
Average notional value of contracts — long | $ | 57,914,463 | ||
Average notional value of contracts — short | 1,949,719 | |||
Options: | ||||
Average notional value of swaption contracts purchased | 6,465,000 | |||
Credit default swaps: | ||||
Average notional value — buy protection | 2,622,500 | |||
Average notional value — sell protection | 3,650,000 | |||
Interest rate swaps: | ||||
Average notional value — pays fixed rate | 6,260,500 | |||
Average notional value — receives fixed rate | 481,250 |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
Assets | Liabilities | |||||||
Derivative Financial Instruments: | ||||||||
Options(a) | $ | 136,090 | $ | — | ||||
Swaps — Centrally cleared | — | 17,522 | ||||||
Swaps — OTC(b) | 46,081 | 50,589 | ||||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | $ | 182,171 | $ | 68,111 | ||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | — | (17,522 | ) | |||||
|
|
|
| |||||
Total derivative assets and liabilities subject to an MNA | $ | 182,171 | $ | 50,589 | ||||
|
|
|
|
(a) | Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments. |
(b) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities. |
SCHEDULE OF INVESTMENTS | 43 |
Schedule of Investments (continued) March 31, 2018 | Series C Portfolio |
The following tables present the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
Counterparty | Derivative Assets Subject to an MNA by Counterparty | Derivatives Available for Offset (a) | Non-cash Collateral Received | Cash Collateral Received | Net Amount of Derivative Assets (b) | |||||||||||||||
Citibank N.A | $ | 136,090 | $ | — | $ | — | $ | (136,090 | ) | $ | — | |||||||||
Credit Suisse International. | 8,614 | (982 | ) | — | — | 7,632 | ||||||||||||||
Morgan Stanley & Co., International PLC | 37,467 | (37,467 | ) | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 182,171 | $ | (38,449 | ) | $ | — | $ | (136,090 | ) | $ | 7,632 | |||||||||
|
|
|
|
|
|
|
|
|
|
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty | Derivatives Available for Offset (a) | Non-cash Collateral Pledged | Cash Collateral Pledged | Net Amount of Derivative Liabilities (c) | |||||||||||||||
Credit Suisse International. | $ | 982 | $ | (982 | ) | $ | — | $ | — | $ | — | |||||||||
Morgan Stanley & Co., International PLC | 49,607 | (37,467 | ) | — | — | 12,140 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 50,589 | $ | (38,449 | ) | $ | — | $ | — | $ | 12,140 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(a) | The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. |
(b) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable due to the counterparty in the event of default. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments(a) | $ | — | $ | 382,486,496 | $ | — | $ | 382,486,496 | ||||||||
Short-Term Securities | 5,028,580 | — | — | 5,028,580 | ||||||||||||
Options Purchased: | ||||||||||||||||
Interest rate contracts | — | 136,090 | — | 136,090 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 5,028,580 | $ | 382,622,586 | $ | — | $ | 387,651,166 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Financial Instruments(b) | ||||||||||||||||
Assets | ||||||||||||||||
Credit contracts. | $ | — | $ | 46,081 | $ | — | $ | 46,081 | ||||||||
Interest rate contracts | 802,393 | 34,578 | — | 836,971 | ||||||||||||
Liabilities | ||||||||||||||||
Interest rate contracts | — | (93,571 | ) | — | (93,571 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 802,393 | $ | (12,912 | ) | $ | — | $ | 789,481 | ||||||||
|
|
|
|
|
|
|
|
(a) | See above Schedule of Investments for values in each security type. |
(b) | Derivative financial instruments are swaps and futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument. During the year ended March 31, 2018, there were no transfers between levels. |
See notes to financial statements.
44 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments March 31, 2018 | Series E Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Municipal Bonds — 91.0% | ||||||||
Alabama — 1.6% | ||||||||
Alabama Special Care Facilities Financing Authority-Birmingham, Methodist Home for the Aging Project, Series 2015-1, RB, 5.50%, 06/01/30 | $ | 500 | $ | 550,295 | ||||
County of Jefferson Alabama Sewer, Refunding RB, Sub-Lien, Warrants, Series D, 6.50%, 10/01/53 | 1,000 | 1,182,830 | ||||||
State of Alabama Docks Department, Refunding RB, AMT, (AGM), Series A, 5.00%, 10/01/35 | 1,000 | 1,122,000 | ||||||
|
| |||||||
2,855,125 | ||||||||
Alaska — 0.4% | ||||||||
Northern Tobacco Securitization Corp., | ||||||||
Refunding RB, Asset-Backed, Series A: | ||||||||
4.63%, 06/01/23 | 310 | 316,928 | ||||||
5.00%, 06/01/46 | 315 | 313,579 | ||||||
|
| |||||||
630,507 | ||||||||
Arizona — 2.1% | ||||||||
Arizona IDA: | ||||||||
RB, Academies Math & Science Project, Series B, | 195 | 189,376 | ||||||
Refunding RB, Basis Schools Projects, Series A, | 300 | 321,747 | ||||||
Refunding RB, Basis Schools Projects, Series A, | 605 | 629,073 | ||||||
Refunding RB, Odyssey Prepatory Academy Project, | 485 | 464,795 | ||||||
City of Phoenix IDA: | ||||||||
RB, Legacy Traditional Schools Project, | 570 | 585,458 | ||||||
Refunding RB, Basis Schools Projects, | 140 | 143,321 | ||||||
Refunding RB, Basis Schools Projects, Series A, | 45 | 46,403 | ||||||
Refunding RB, Basis Schools Projects, Series A, | 50 | 51,155 | ||||||
Refunding RB, Legacy Traditional Schools Project, | 300 | 309,351 | ||||||
Refunding RB, Legacy Traditional Schools Project, | 100 | 102,309 | ||||||
La Paz County IDA, RB, Imagine Schools West Middle Project, 5.88%, 06/15/48(a) | 285 | 286,781 | ||||||
Salt Verde Financial Corp., RB, 5.00%, 12/01/37 | 500 | 592,535 | ||||||
|
| |||||||
3,722,304 | ||||||||
Arkansas — 0.3% | ||||||||
Pulaski County Public Facilities Board, RB: | ||||||||
5.00%, 12/01/39 | 230 | 253,055 | ||||||
5.00%, 12/01/42 | 250 | 274,432 | ||||||
|
| |||||||
527,487 | ||||||||
California — 10.5% | ||||||||
California County Tobacco Securitization Agency: | ||||||||
RB, Asset-Backed, 5.45%, 06/01/28 | 500 | 506,595 | ||||||
RB, Asset-Backed, 5.60%, 06/01/36 | 405 | 410,354 | ||||||
RB, Asset-Backed, 5.70%, 06/01/46 | 760 | 762,721 | ||||||
Refunding RB, Asset-Backed, Merced County Project, Series A, 5.00%, 06/01/26 | 45 | 45,018 | ||||||
Refunding RB, Asset-Backed, Sonoma County Corp. Project, 5.00%, 06/01/26 | 275 | 275,187 | ||||||
Refunding RB, Asset-Backed, Sonoma County Corp. Project, 5.25%, 06/01/45 | 325 | 325,007 |
Security | Par (000) | Value | ||||||
California (continued) | ||||||||
Refunding RB, Golden Gate Tobacco Project, Series A, 5.00%, 06/01/36 | $ | 300 | $ | 300,000 | ||||
California Educational Facilities Authority, RB, Chapman University Project, 5.00%, 04/01/45 | 500 | 548,450 | ||||||
California Health Facilities Financing Authority, RB, Sutter Health Project, Series A, 4.00%, 11/15/42 | 750 | 769,875 | ||||||
California Infrastructure & Economic | ||||||||
Development Bank, Refunding RB, Academy | ||||||||
Motion Picture Art Project, 4.00%, 11/01/45 | 750 | 773,055 | ||||||
California Municipal Finance Authority: | ||||||||
RB, John Adams Academics Project, | 250 | 253,458 | ||||||
RB, John Adams Academics Project, | 250 | 254,818 | ||||||
RB, Sycamore Academy Project, | 150 | 151,835 | ||||||
Refunding RB, Community Medical Centers Project, Series A, | 650 | 713,694 | ||||||
California Pollution Control Financing Authority, RB, AMT, 5.00%, 11/21/45(a) | 1,020 | 1,086,025 | ||||||
California School Finance Authority, RB: | ||||||||
Alliance College-Ready Public Schools Project, | 300 | 321,222 | ||||||
Alta Public Schools Project, Series A, | 250 | 265,060 | ||||||
California Statewide Communities Development Authority: | ||||||||
RB, Loma Linda University Medical Center | ||||||||
Project, Series A, 5.25%, 12/01/56(a) | 100 | 107,043 | ||||||
Refunding RB, (AGM), 5.00%, 11/15/49 | 500 | 552,015 | ||||||
Refunding RB, 899 Charleston Project, Series A, | 250 | 265,533 | ||||||
Refunding RB, CHF Irvine LLC Project, | 1,750 | 1,962,905 | ||||||
California Statewide Financing Authority, RB, Asset-Backed: | ||||||||
Series A, 6.00%, 05/01/43 | 85 | 85,020 | ||||||
Series B, 5.63%, 05/01/29 | 110 | 110,102 | ||||||
Series B, 6.00%, 05/01/43 | 315 | 315,072 | ||||||
City of Irvine, Community Facilities District No. 2013-3, (Great Park) Improvement Area No. 1, Special Tax Bonds, 5.00%, 09/01/44 | 250 | 270,168 | ||||||
City of Los Angeles Department of Airports, RB, AMT, Los Angeles International Airport Project, | 1,000 | 1,120,150 | ||||||
City of Roseville, CDF No. 1, Special Tax Bonds, 5.00%, 09/01/44 | 500 | 530,625 | ||||||
Golden State Tobacco Securitization Corp, Refunding RB, Asset-Backed, Senior, Series A-1: | ||||||||
5.00%, 06/01/33 | 370 | 370,366 | ||||||
5.75%, 06/01/47 | 1,170 | 1,176,903 | ||||||
Norman Y Mineta San Jose International Airport, Refunding RB, AMT, Series A, 5.00%, 03/01/35 | 500 | 565,970 | ||||||
Oakland Unified School District, GO, Series A, | 350 | 392,546 | ||||||
Riverside County Public Financing Authority, RB, Capital Facilities Project, 5.25%, 11/01/45 | 500 | 575,370 | ||||||
San Diego Tobacco Settlement Revenue Funding Corp., Refunding RB, Series C, 4.00%, 06/01/32 | 760 | 767,585 |
SCHEDULE OF INVESTMENTS | 45 |
Schedule of Investments (continued) March 31, 2018 | Series E Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
California (continued) | ||||||||
San Francisco City & County Redevelopment Agency, Tax Allocation Bonds, Mission Bay’s Redevelopment Project, Sub-Series D, | $ | 580 | $ | 302,667 | ||||
Tobacco Securitization Authority of Southern California, Refunding RB, Senior, Series A-1: | ||||||||
5.00%, 06/01/37 | 1,070 | 1,072,440 | ||||||
5.13%, 06/01/46 | 575 | 575,788 | ||||||
|
| |||||||
18,880,642 | ||||||||
Colorado — 3.8% | ||||||||
Amber Creek Metropolitan District, GO, | 1,000 | 994,640 | ||||||
Centerra Metropolitan District No. 1, Tax | 155 | 158,855 | ||||||
Colorado Educational & Cultural Facilities | 500 | 524,040 | ||||||
Colorado Health Facilities Authority: | ||||||||
RB, Catholic Health Initiatives Project, | 215 | 229,048 | ||||||
RB, Catholic Health Initiatives Project, | 815 | 875,701 | ||||||
RB, Catholic Health Initiatives Project, | 610 | 654,054 | ||||||
Refunding RB, Catholic Health Initiatives | 400 | 409,980 | ||||||
Refunding RB, Catholic Health Initiatives | 200 | 208,110 | ||||||
Refunding RB, Sunny Vista Living Center | 130 | 136,670 | ||||||
Refunding RB, Sunny Vista Living Center | 130 | 136,847 | ||||||
Colorado International Center Metropolitan | 500 | 504,655 | ||||||
Copperleaf Metropolitan District No. 2, GO, | 500 | 525,035 | ||||||
Denver Convention Center Hotel Authority, | 925 | 1,015,530 | ||||||
Serenity Ridge Metropolitan District No. 2, GO, | 550 | 559,388 | ||||||
|
| |||||||
6,932,553 | ||||||||
Connecticut — 1.0% | ||||||||
Mohegan Tribal Finance Authority, RB, | 215 | 227,464 | ||||||
Mohegan Tribe of Indians of Connecticut: | ||||||||
RB, Series A, 6.75%, 02/01/45(a) | 98 | 105,380 | ||||||
Refunding RB, Priority District Project, | 330 | 357,017 | ||||||
State of Connecticut, GO, Series A, | 1,035 | 1,138,521 | ||||||
|
| |||||||
1,828,382 | ||||||||
Delaware — 0.3% | ||||||||
Delaware State EDA, RB, Exempt Facility Indian | 505 | 525,402 | ||||||
|
| |||||||
Florida — 3.6% | ||||||||
Babcock Ranch Community Independent | 335 | 342,806 | ||||||
Brevard County Health Facilities Authority, | 500 | 541,925 |
Security | Par (000) | Value | ||||||
Florida (continued) | ||||||||
Capital Region Community Development | $ | 485 | $ | 488,094 | ||||
Capital Trust Agency, Inc., RB, Gardens | 500 | 521,555 | ||||||
Celebration Pointe Community Development | 250 | 252,263 | ||||||
Alachua County Project, | 100 | 101,722 | ||||||
Florida Development Finance Corp., RB: | ||||||||
AMT, Brightline Passenger Rail Project, | 335 | 344,708 | ||||||
AMT, Waste Pro USA, Inc. Project, | 470 | 488,292 | ||||||
Renaissance Charter School Project, | 45 | 46,858 | ||||||
Greater Orlando Aviation Authority, Refunding | 250 | 261,453 | ||||||
Hillsborough County Aviation Authority, | 350 | 380,051 | ||||||
Lakewood Ranch Stewardship District, Special | ||||||||
4.88%, 05/01/35 | 250 | 255,013 | ||||||
Village of Lakewood Ranch Project, | 100 | 101,113 | ||||||
Village of Lakewood Ranch Project, | 170 | 176,307 | ||||||
Miami Health Facilities Authority, Refunding RB, | ||||||||
5.13%, 07/01/38 | 500 | 547,940 | ||||||
5.13%, 07/01/46 | 390 | 426,126 | ||||||
Orange County Health Facilities Authority: | ||||||||
RB, Presbyterian Retirement Community | 250 | 272,522 | ||||||
Refunding RB, Presbyterian Retirement | 695 | 759,350 | ||||||
Trout Creek Community Development District, | 250 | 251,362 | ||||||
|
| |||||||
6,559,460 | ||||||||
Georgia — 0.7% | ||||||||
Gainesville & Hall County Hospital Authority, | 250 | 288,515 | ||||||
LaGrange-Troup County Hospital Authority, | 1,000 | 1,006,010 | ||||||
|
| |||||||
1,294,525 | ||||||||
Hawaii — 0.1% | ||||||||
State of Hawaii Department of Budget & | 220 | 217,107 | ||||||
|
| |||||||
Idaho — 0.3% | ||||||||
Boise State University, RB, Series A, | 500 | 495,530 | ||||||
|
| |||||||
Illinois — 8.0% | ||||||||
City of Chicago Board of Education, GO: | ||||||||
Refunding, Series C, 5.00%, 12/01/34 | 625 | 626,381 |
46 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series E Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Illinois (continued) | ||||||||
Refunding, Series D, 5.00%, 12/01/25 | $ | 290 | $ | 308,369 | ||||
Refunding, Series F, 5.00%, 12/01/22 | 215 | 227,799 | ||||||
Series H, 5.00%, 12/01/46 | 625 | 602,831 | ||||||
City of Chicago, GO, Refunding, Series A: | ||||||||
5.00%, 01/01/36 | 250 | 255,740 | ||||||
6.00%, 01/01/38 | 275 | 308,542 | ||||||
City of Chicago, O’Hare International Airport Revenue: | ||||||||
Refunding RB, Senior Lien, Series D, | 260 | 281,866 | ||||||
Refunding RB, Series D, 5.00%, 01/01/46 | 1,000 | 1,104,540 | ||||||
City of Chicago, Wastewater Transmission | 500 | 536,295 | ||||||
Cook County Community College District No. | 920 | 981,051 | ||||||
Illinois Finance Authority, Refunding RB: | ||||||||
Chicago LLC University of Illinois at | 995 | 1,060,023 | ||||||
Chicago LLC University of Illinois at | 45 | 47,762 | ||||||
Lutheran Home & Services Project, | 500 | 530,520 | ||||||
Presence Health Network Project, | 1,500 | 1,672,605 | ||||||
Presence Health Network Project, | 650 | 719,570 | ||||||
Senior, Rogers Park Montessori School | 150 | 157,347 | ||||||
Southern Illinois Healthcare Enterprises, | 600 | 607,170 | ||||||
Metropolitan Pier & Exposition Authority: | ||||||||
RB, McCormick Place Expansion Project, | 390 | 416,161 | ||||||
Refunding RB, McCormick Place | ||||||||
Expansion Project, Series B, | 80 | 81,113 | ||||||
Refunding RB, McCormick Project, | 600 | 604,674 | ||||||
Refunding RB, McCormick Project, | 405 | 409,832 | ||||||
State of Illinois, GO: | ||||||||
5.00%, 01/01/28 | 1,005 | 1,039,482 | ||||||
5.00%, 04/01/31 | 1,000 | 1,013,950 | ||||||
5.00%, 03/01/37 | 300 | 302,637 | ||||||
5.00%, 05/01/39 | 275 | 276,419 | ||||||
Series A, 5.00%, 01/01/33 | 310 | 313,881 | ||||||
|
| |||||||
14,486,560 | ||||||||
Indiana — 1.7% | ||||||||
City of Vincennes, Refunding RB, Southwest | 455 | 455,350 | ||||||
County of Allen RB, StoryPoint Fort Wayne | ||||||||
6.63%, 01/15/34(a) | 100 | 106,810 | ||||||
6.75%, 01/15/43(a) | 395 | 421,054 | ||||||
6.88%, 01/15/52(a) | 380 | 405,874 | ||||||
Indiana Finance Authority: | ||||||||
RB, AMT, Private Activity Bond, Ohio River | 1,000 | 1,077,660 | ||||||
Refunding RB, Marquette Project, | 270 | 277,255 | ||||||
Town of Chesterton RB, StoryPoint Chesterton | 265 | 274,052 | ||||||
|
| |||||||
3,018,055 |
Security | Par (000) | Value | ||||||
Iowa — 1.0% | ||||||||
Iowa Finance Authority Refunding RB, Iowa | ||||||||
5.25%, 12/01/25 | $ | 310 | $ | 329,763 | ||||
Series A, 5.25%, 12/01/50(c) | 400 | 418,580 | ||||||
Series B, 5.25%, 12/01/50(c) | 750 | 784,320 | ||||||
Iowa Tobacco Settlement Authority, Refunding | 240 | 240,859 | ||||||
|
| |||||||
1,773,522 | ||||||||
Kentucky — 0.3% | ||||||||
Kentucky Economic Development Finance | 500 | 547,520 | ||||||
|
| |||||||
Louisiana — 0.3% | ||||||||
Juban Crossing Economic Development District, | 475 | 494,000 | ||||||
|
| |||||||
Maryland — 1.6% | ||||||||
Anne Arundel County Consolidated Special | 250 | 252,508 | ||||||
City of Baltimore, Refunding RB, Baltimore | 100 | 103,686 | ||||||
County of Frederick, RB, Jefferson Technology | 150 | 162,020 | ||||||
Maryland Economic Development Corp: | ||||||||
RB, AMT, Green Bonds, Purple Line Light | 620 | 677,331 | ||||||
Refunding RB, Towson University Project, | 700 | 743,386 | ||||||
Refunding RB, Transport Facility Project, | 345 | 387,659 | ||||||
Refunding RB, University of Maryland | 100 | 108,454 | ||||||
Maryland Health & Higher Educational Facilities | 500 | 535,695 | ||||||
|
| |||||||
2,970,739 | ||||||||
Massachusetts — 2.9% | ||||||||
Massachusetts Development Finance Agency: | ||||||||
RB, Baystate Medical Center Project, | 500 | 544,055 | ||||||
RB, Emerson College Project, Series A, | 500 | 546,980 | ||||||
RB, Green Bonds, Boston Medical Center | 180 | 196,054 | ||||||
RB, University of Massachusetts Boston | 1,000 | 1,086,420 | ||||||
Refunding RB, Covanta Energy Project, | 350 | 350,091 | ||||||
Refunding RB, Emmanuel College Project, | 750 | 825,105 | ||||||
Massachusetts Housing Finance Agency, | ||||||||
4.45%, 12/01/42 | 640 | 666,202 | ||||||
4.50%, 12/01/47 | 1,015 | 1,055,915 | ||||||
|
| |||||||
5,270,822 |
SCHEDULE OF INVESTMENTS | 47 |
Schedule of Investments (continued) March 31, 2018 | Series E Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Michigan — 1.2% | ||||||||
Michigan Finance Authority, Refunding RB, AMT, | $ | 250 | $ | 268,125 | ||||
Michigan Tobacco Settlement Finance Authority, | 500 | 504,700 | ||||||
Wayne County Airport Authority: | ||||||||
RB, AMT, Detroit Metropolitan Wayne | 250 | 272,407 | ||||||
RB, Detroit Metropolitan Wayne County | 500 | 550,435 | ||||||
RB, Series D, 5.00%, 12/01/40 | 500 | 554,605 | ||||||
|
| |||||||
2,150,272 | ||||||||
Minnesota — 0.9% | ||||||||
City of Brooklyn Park, RB, Athlos Leadership | 350 | 349,346 | ||||||
City of Deephaven, Refunding RB, Eagle Ridge | 605 | 638,868 | ||||||
Housing & Redevelopment Authority of the City | ||||||||
Great River School Project, Series A, | 240 | 249,137 | ||||||
Hmong College Prep Academy Project, | 310 | 319,362 | ||||||
|
| |||||||
1,556,713 | ||||||||
Mississippi — 0.1% | ||||||||
Mississippi Business Finance Corp., RB, AMT, | 190 | 197,395 | ||||||
|
| |||||||
Missouri — 1.0% | ||||||||
City of St. Louis IDA, Refunding RB, Ballpark | ||||||||
4.38%, 11/15/35 | 215 | 220,031 | ||||||
4.75%, 11/15/47 | 240 | 245,959 | ||||||
Kansas City IDA, Refunding RB, Kansas City | ||||||||
5.75%, 11/15/36(a) | 220 | 217,263 | ||||||
6.00%, 11/15/46(a) | 155 | 155,082 | ||||||
6.00%, 11/15/51(a) | 100 | 99,419 | ||||||
Kansas City Land Clearance Redevelopment | ||||||||
Convention Center Hotel Project, Series B, | 170 | 170,869 | ||||||
Convention Center Hotel Project, Series B, | 260 | 265,348 | ||||||
Plaza at Noah’s Ark Community Improvement | 400 | 390,116 | ||||||
|
| |||||||
1,764,087 | ||||||||
Montana — 0.4% | ||||||||
Montana Board of Housing, RB, State Single | 220 | 225,172 | ||||||
Montana State Board of Regents, RB, Montana | 465 | 450,980 | ||||||
|
| |||||||
676,152 |
Security | Par (000) | Value | ||||||
Nebraska — 0.3% | ||||||||
Douglas County Hospital Authority No. 3, | $ | 500 | $ | 547,785 | ||||
New Jersey — 7.3% | ||||||||
Casino Reinvestment Development Authority, | ||||||||
5.25%, 11/01/39 | 250 | 266,513 | ||||||
5.25%, 11/01/44 | 560 | 597,117 | ||||||
Essex County Improvement Authority, RB, AMT, | 250 | 252,878 | ||||||
New Jersey EDA: | ||||||||
RB, AMT, Continental Airlines, Inc. Project, | 400 | 410,332 | ||||||
RB, AMT, Kapkowski Road Landfill Project, | 100 | 114,777 | ||||||
RB, AMT, Private Activity — The Goethals | 500 | 548,920 | ||||||
RB, Provident Group-Kean Properties | 200 | 218,480 | ||||||
RB, Series WW, 5.25%, 06/15/40 | 1,000 | 1,071,650 | ||||||
Refunding RB, 5.00%, 06/15/23 | 200 | 217,644 | ||||||
Refunding RB, 5.00%, 06/15/24 | 705 | 764,862 | ||||||
Refunding RB, (AGM), Provident | 200 | 223,496 | ||||||
Refunding RB, Charter, Greater Brunswick | 250 | 254,048 | ||||||
New Jersey Health Care Facilities Financing | ||||||||
Barnabas Health Obligated Project, | 395 | 409,449 | ||||||
Barnabas Health Obligated Project, | 220 | 238,612 | ||||||
New Jersey Transportation Trust Fund Authority, | ||||||||
Federal Highway Reimbursement Notes, | 1,700 | 1,886,711 | ||||||
Transportation Program, Series AA, | 325 | 338,068 | ||||||
Transportation Program, Series AA, | 205 | 219,557 | ||||||
Transportation Program, Series AA, | 30 | 31,413 | ||||||
Transportation Program, Series AA, | 30 | 31,208 | ||||||
Transportation Program, Series AA, | 450 | 474,143 | ||||||
Transportation Program, Series B, | 280 | 290,788 | ||||||
New Jersey Turnpike Authority, RB, Series A, | 1,000 | 1,109,874 | ||||||
South Jersey Port Corp., RB, Series A, | 1,000 | 1,083,340 | ||||||
Tobacco Settlement Financing Corp., Refunding | 2,010 | 2,007,668 | ||||||
|
| |||||||
13,061,548 | ||||||||
New Mexico — 0.2% | ||||||||
New Mexico Hospital Equipment Loan Council, | 325 | 348,026 | ||||||
|
|
48 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series E Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
New York — 11.0% | ||||||||
Build NYC Resource Corp., Refunding RB, AMT, | $ | 285 | $ | 306,039 | ||||
Chautauqua Tobacco Asset Securitization Corp., | 1,000 | 1,015,820 | ||||||
County of Cattaraugus, RB, St. Bonaventure | 195 | 212,470 | ||||||
Dutchess County Industrial Development | 530 | 456,251 | ||||||
Erie Tobacco Asset Securitization Corp., | 495 | 479,249 | ||||||
Hempstead Town Local Development Corp., RB, | 500 | 539,390 | ||||||
Metropolitan Transportation Authority, Refunding | 4,650 | 4,762,716 | ||||||
MTA Hudson Rail Yards Trust Obligations, RB, | 955 | 1,039,116 | ||||||
New York Counties Tobacco Trust IV, Refunding | ||||||||
6.25%, 06/01/41(a) | 550 | 571,065 | ||||||
5.00%, 06/01/42 | 915 | 888,703 | ||||||
5.00%, 06/01/45 | 225 | 215,948 | ||||||
New York Counties Tobacco Trust VI, Refunding | ||||||||
5.00%, 06/01/45 | 835 | 890,811 | ||||||
5.00%, 06/01/51 | 420 | 438,270 | ||||||
New York Liberty Development Corp.: | ||||||||
Refunding RB, Class 1-3 World Trade | 1,000 | 1,059,970 | ||||||
Refunding RB, Class 2-3 World Trade | 150 | 164,436 | ||||||
Refunding RB, Class 3-3 World Trade | 100 | 119,494 | ||||||
New York State Dormitory Authority, Refunding | 215 | 233,578 | ||||||
New York Transportation Development Corp.: | ||||||||
RB, AMT, Laguardia Airport Term B | 500 | 548,475 | ||||||
RB, AMT, Laguardia Airport Term B | 1,470 | 1,596,935 | ||||||
Refunding RB, AMT, American Airlines, Inc. | 400 | 422,648 | ||||||
Refunding RB, AMT, American Airlines, Inc. | 200 | 215,398 | ||||||
Tompkins County Development Corp., | ||||||||
Refunding RB, Kendal at Ithaca, Inc. | 420 | 450,173 | ||||||
Westchester County Healthcare Corp., RB, | 341 | 364,328 | ||||||
Westchester County Local Development Corp., | ||||||||
Kendal on the Hudson Project, | 1,080 | 1,162,922 | ||||||
Wartburg Senior Housing Project, Series A, | 250 | 251,927 | ||||||
Westchester Tobacco Asset Securitization, | ||||||||
4.00%, 06/01/42 | 995 | 972,324 | ||||||
5.13%, 06/01/51 | 500 | 513,390 | ||||||
|
| |||||||
19,891,846 |
Security | Par (000) | Value | ||||||
North Carolina — 0.4% | ||||||||
North Carolina Department of Transportation, | $ | 115 | $ | 123,582 | ||||
North Carolina Medical Care Commission, | 250 | 260,280 | ||||||
Town of Mooresville, Special Assessment | 250 | 246,975 | ||||||
|
| |||||||
630,837 | ||||||||
Ohio — 2.1% | ||||||||
Buckeye Tobacco Settlement Financing | 1,750 | 1,723,173 | ||||||
Butler County Port Authority, RB, Storypoint | 435 | 452,583 | ||||||
County of Franklin, RB, OPRS Communities | 585 | 645,530 | ||||||
County of Hamilton, RB, Improvement, Life | 190 | 202,665 | ||||||
Port of Greater Cincinnati Development | 335 | 338,062 | ||||||
State of Ohio, RB, AMT, Portsmouth Bypass | 370 | 405,461 | ||||||
|
| |||||||
3,767,474 | ||||||||
Oklahoma — 3.8% | ||||||||
Norman Regional Hospital Authority, Refunding | 1,250 | 1,394,237 | ||||||
Oklahoma Development Finance Authority, RB, | ||||||||
5.00%, 08/15/38 | 975 | 1,066,543 | ||||||
5.25%, 08/15/43 | 875 | 970,147 | ||||||
Provident Oklahoma Education Resources, Inc. - | 1,500 | 1,607,130 | ||||||
Tulsa Airports Improvement Trust, Refunding | 615 | 662,060 | ||||||
Tulsa County Industrial Authority, Refunding RB, | 965 | 1,060,438 | ||||||
|
| |||||||
6,760,555 | ||||||||
Oregon — 0.5% | ||||||||
Clackamas County School District No. 12 North | 275 | 118,058 | ||||||
Hospital Facilities Authority of Multnomah | 150 | 160,807 | ||||||
Polk County Hospital Facility Authority, RB, | 250 | 262,590 | ||||||
Yamhill County Hospital Authority, Refunding | 300 | 323,169 | ||||||
|
| |||||||
864,624 | ||||||||
Pennsylvania — 5.1% | ||||||||
Allentown Neighborhood Improvement Zone | 295 | 312,880 |
SCHEDULE OF INVESTMENTS | 49 |
Schedule of Investments (continued) March 31, 2018 | Series E Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Pennsylvania (continued) | ||||||||
Commonwealth Financing Authority, Tobacco | $ | 315 | $ | 353,663 | ||||
Lancaster County Hospital Authority, Refunding | 250 | 256,823 | ||||||
Montgomery County IDA: | ||||||||
Refunding RB, Albert Einstein Healthcare | 500 | 531,285 | ||||||
Refunding RB, Whitemarsh Continuing | 170 | 172,431 | ||||||
Moon IDA, Refunding RB, Baptist Homes | 250 | 264,548 | ||||||
Northampton County IDA, Tax Allocation Bonds, | 115 | 132,045 | ||||||
Pennsylvania Economic Development Financing | ||||||||
RB, AMT, The Pennsylvania Rapid Bridge | 1,625 | 1,747,492 | ||||||
Refunding RB, AMT, National Gypson Co. | 500 | 528,175 | ||||||
Pennsylvania Higher Educational Facilities | 250 | 264,465 | ||||||
Pennsylvania Housing Finance Agency, RB, | 1,180 | 1,201,287 | ||||||
Pennsylvania Turnpike Commission: | ||||||||
RB, Series B, 5.25%, 12/01/44 | 1,000 | 1,116,340 | ||||||
RB, Sub-Series A, 5.50%, 12/01/42 | 660 | 759,455 | ||||||
Philadelphia Authority for Industrial | 500 | 556,665 | ||||||
Philadelphia Hospitals & Higher Education | 130 | 141,389 | ||||||
School District of Philadelphia, GO, (AGM), | 820 | 816,080 | ||||||
|
| |||||||
9,155,023 | ||||||||
Puerto Rico — 1.2% | ||||||||
Children’s Trust Fund, Refunding RB, | ||||||||
5.50%, 05/15/39 | 630 | 604,151 | ||||||
5.63%, 05/15/43 | 895 | 851,664 | ||||||
Commonwealth of Puerto Rico: | ||||||||
GO, Refunding, Series A, | 380 | 161,500 | ||||||
GO, Refunding, Series A, | 145 | 62,712 | ||||||
GO, Series A, 6.00%, 07/01/38(e)(f) | 160 | 71,600 | ||||||
Puerto Rico Commonwealth Aqueduct & Sewer | ||||||||
6.00%, 07/01/38 | 160 | 129,400 | ||||||
6.00%, 07/01/44 | 285 | 230,494 | ||||||
|
| |||||||
2,111,521 | ||||||||
Rhode Island — 1.3% | ||||||||
Tobacco Settlement Financing Corp., Refunding | ||||||||
Series A, 5.00%, 06/01/35 | 400 | 435,056 | ||||||
Series A, 5.00%, 06/01/40 | 100 | 107,327 | ||||||
Series B, 4.50%, 06/01/45 | 750 | 760,972 | ||||||
Series B, 5.00%, 06/01/50 | 1,040 | 1,070,191 | ||||||
|
| |||||||
2,373,546 |
Security | Par (000) | Value | ||||||
South Carolina — 2.2% | ||||||||
South Carolina Jobs EDA, Refunding RB: | ||||||||
Lutheran Homes of South Carolina Project, | $ | 130 | $ | 136,575 | ||||
Woodlands at Furman Project, | 185 | 186,256 | ||||||
South Carolina Ports Authority, RB, AMT, | 500 | 552,505 | ||||||
South Carolina State Public Service Authority: | ||||||||
RB, Obligations, Series A, 5.50%, 12/01/54 | 1,005 | 1,107,289 | ||||||
Refunding RB, Series A, 5.00%, 12/01/50 | 190 | 203,921 | ||||||
Refunding RB, Series E, 5.25%, 12/01/55 | 1,700 | 1,861,245 | ||||||
|
| |||||||
4,047,791 | ||||||||
Tennessee — 1.0% | ||||||||
Chattanooga-Hamilton County Hospital | 250 | 268,013 | ||||||
Knox County Health Educational & Housing | 690 | 751,486 | ||||||
Memphis-Shelby County Industrial Development | ||||||||
5.50%, 07/01/37 | 360 | 376,420 | ||||||
5.63%, 01/01/46 | 470 | 488,668 | ||||||
|
| |||||||
1,884,587 | ||||||||
Texas — 3.5% | ||||||||
Bexar County Health Facilities Development | 250 | 279,418 | ||||||
Central Texas Regional Mobility Authority, RB, | ||||||||
6.25%, 01/01/46 | 175 | 195,108 | ||||||
Series A, 5.00%, 01/01/45 | 500 | 548,270 | ||||||
Central Texas Turnpike System, Refunding RB, | ||||||||
5.00%, 08/15/37 | 200 | 217,934 | ||||||
5.00%, 08/15/42 | 250 | 271,225 | ||||||
City of Houston Airport System: | ||||||||
RB, AMT, Series B-1, 5.00%, 07/15/35 | 100 | 107,633 | ||||||
Refunding RB, AMT, Series C, | 140 | 147,972 | ||||||
Refunding RB, AMT, United Airlines, Inc. | 500 | 548,110 | ||||||
Refunding RB, AMT, United Airlines, Inc. | 500 | 544,290 | ||||||
City of San Antonio Airport System, RB, AMT, | 500 | 545,260 | ||||||
County of Hays, Special Assessment Bonds, La | 250 | 248,178 | ||||||
Fort Bend County Industrial Development Corp., | 465 | 476,313 | ||||||
Mesquite Health Facility Development Corp., | 250 | 259,530 | ||||||
New Hope Cultural Education Facilities Corp., | 775 | 752,936 | ||||||
Newark Higher Education Finance Corp., RB, | 300 | 311,751 |
50 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series E Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Texas (continued) | ||||||||
North Texas Tollway Authority, Refunding RB, | $ | 250 | $ | 272,062 | ||||
Tarrant County Cultural Education Facilities | ||||||||
RB, Buckingham Senior Living Community | 55 | 56,231 | ||||||
Refunding RB, Barton Creek Senior Living | 250 | 255,705 | ||||||
Refunding RB, Trinity Terrace Project, | 250 | 263,882 | ||||||
|
| |||||||
6,301,808 | ||||||||
Utah — 0.6% | ||||||||
Utah Charter School Finance Authority RB: | ||||||||
Early Light Academy Project, | 545 | 538,673 | ||||||
Spectrum Academy Project, | 500 | 520,125 | ||||||
|
| |||||||
1,058,798 | ||||||||
Virginia — 2.3% | ||||||||
Ballston Quarter Community Development | ||||||||
5.00%, 03/01/26 | 120 | 124,216 | ||||||
5.13%, 03/01/31 | 230 | 240,276 | ||||||
Cherry Hill Community Development Authority, | 250 | 256,653 | ||||||
Chesapeake Bay Bridge & Tunnel District, RB, | 810 | 895,706 | ||||||
Fairfax County EDA, RB, Vinson Hall LLC | 400 | 420,684 | ||||||
Lexington IDA, RB, Kendal at Lexington Project, | 330 | 355,608 | ||||||
Lower Magnolia Green Community Development | ||||||||
5.00%, 03/01/35(a) | 240 | 245,050 | ||||||
5.00%, 03/01/45(a) | 100 | 101,219 | ||||||
Tobacco Settlement Financing Corp., RB, | 1,215 | 1,199,849 | ||||||
Virginia College Building Authority, RB, Green | 250 | 263,322 | ||||||
Virginia Small Business Financing Authority, RB, | 55 | 59,565 | ||||||
|
| |||||||
4,162,148 | ||||||||
Washington — 0.6% | ||||||||
Greater Wenatchee Regional Events Center | 250 | 255,875 | ||||||
King County Public Hospital District No. 4, GO, | ||||||||
Improvement, Snoqualmie Valley Hospital | 200 | 206,994 | ||||||
Series A, 5.00%, 12/01/30 | 200 | 200,238 | ||||||
Port of Seattle RB, AMT, Series C, | 250 | 273,285 | ||||||
Washington State Housing Finance | 210 | 213,230 | ||||||
|
| |||||||
1,149,622 |
Security | Par (000) | Value | ||||||
Wisconsin — 3.5% | ||||||||
Public Finance Authority: | ||||||||
RB, Alabama Proton Theray Center | $ | 195 | $ | 191,004 | ||||
RB, Alabama Proton Theray Center | 195 | 197,558 | ||||||
RB, Delray Beach Radiation Therapy | 275 | 284,333 | ||||||
RB, Delray Beach Radiation Therapy | 155 | 161,783 | ||||||
RB, Fund for Affordable Housing, North | 340 | 357,415 | ||||||
RB, Fund for Affordable Housing, North | 210 | 221,395 | ||||||
RB, Limited American Prep Academy | 335 | 338,507 | ||||||
RB, Voyager Foundation, Inc. Project, | 150 | 151,165 | ||||||
Refunding RB, AMT, Celanese Project, | 100 | 102,537 | ||||||
Refunding RB, AMT, Senior Obligation | 750 | 794,887 | ||||||
Refunding RB, Celanese Project, Series D, | 100 | 102,563 | ||||||
Wisconsin Health & Educational Facilities | ||||||||
RB, Aspirus, Inc. Project, 4.00%, 08/15/48 | 2,515 | 2,532,504 | ||||||
Refunding RB, Froedtert Health, Inc. | 715 | 721,464 | ||||||
Wisconsin Housing & EDA, RB, WHPC Madison | 165 | 170,014 | ||||||
|
| |||||||
6,327,129 | ||||||||
|
| |||||||
Total Municipal Bonds — 91.0% | ||||||||
(Cost: $159,295,678) | 163,819,529 | |||||||
|
| |||||||
Municipal Bonds Transferred to Tender Option Bond |
| |||||||
Trusts — 6.7%(g) | ||||||||
Illinois — 1.0% | ||||||||
Illinois State Toll Highway Authority, RB: | ||||||||
Series A, 5.00%, 01/01/40 | 660 | 736,061 | ||||||
Series C, 5.00%, 01/01/38 | 1,000 | 1,110,711 | ||||||
|
| |||||||
1,846,772 | ||||||||
New York — 4.3% | ||||||||
City of New York Housing Development Corp., | 1,000 | 1,027,520 | ||||||
Metropolitan Transportation Authority, Refunding | 1,500 | 1,718,963 | ||||||
New York State Dormitory Authority Personal | 3,330 | 3,782,014 | ||||||
Port Authority of New York & New Jersey | 1,000 | 1,126,674 | ||||||
|
| |||||||
7,655,171 | ||||||||
North Carolina — 0.6% | ||||||||
North Carolina Capital Facilities Finance Agency, | 1,000 | 1,124,390 | ||||||
|
|
SCHEDULE OF INVESTMENTS | 51 |
Schedule of Investments (continued) March 31, 2018 | Series E Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Washington — 0.8% | ||||||||
Snohomish County Public Utilities District No. 1, RB, 5.00%, 12/01/45 | $ | 1,340 | $ | 1,490,228 | ||||
|
| |||||||
Total Municipal Bonds Transferred to Tender Option Bond Trusts — 6.7% | ||||||||
(Cost: $11,942,204) | 12,116,561 | |||||||
|
| |||||||
Total Long-Term Investments — 97.7% | ||||||||
(Cost: $171,237,882) | 175,936,090 | |||||||
|
| |||||||
�� | Shares | |||||||
Short-Term Securities — 8.2% | ||||||||
Money Market Fund — 8.2% | ||||||||
Dreyfus AMT-Free Tax Exempt Cash | ||||||||
Management, Institutional Class, 1.18%(h) | 14,777,613 | 14,776,135 | ||||||
|
|
Security | Par (000) | Value | ||||||
Municipal Bonds — 0.0% | ||||||||
New York — 0.0% | ||||||||
Town of Oyster Bay, GO, | $ | 85 | $ | 85,057 | ||||
|
| |||||||
Total Short-Term Securities — 8.2% | ||||||||
(Cost: $14,862,258) | 14,861,192 | |||||||
|
| |||||||
Total Investments — 105.9% | ||||||||
(Cost: $186,100,140) | 190,797,282 | |||||||
Liabilities in Excess of Other Assets — (2.2)% | (3,997,558 | ) | ||||||
Liability for TOB Trust Certificates, | (6,657,819 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 180,141,905 | ||||||
|
|
(a) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(b) | Zero-coupon bond. |
(c) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(d) | When-issued security. |
(e) | Issuer filed for bankruptcy and/or is in default. |
(f) | Non-income producing security. |
(g) | Represents bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Fund. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details. |
(h) | Annualized 7-day yield as of period end. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||
Short Contracts | ||||||||||||||||
U.S. Treasury Bonds (30 Year) | 66 | 06/20/18 | $ | 9,677 | $ | (214,559 | ) | |||||||||
U.S. Treasury Notes (10 Year) | 46 | 06/20/18 | 5,572 | (43,302 | ) | |||||||||||
|
| |||||||||||||||
$ | (257,861 | ) | ||||||||||||||
|
|
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative instruments located in the Statements of Assets and Liabilities were as follows:
Liabilities — Derivative Financial Instruments | Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||||||||
Net unrealized | ||||||||||||||||||||||||||||||||
Futures contracts | depreciation | (a) | $ | — | $ | — | $ | — | $ | — | $ | 257,861 | $ | — | $ | 257,861 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Includes cumulative appreciation (depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
52 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series E Portfolio |
For the year ended March 31, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:
Net Realized Gain from: | Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | 594,110 | $ | — | $ | 594,110 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | (257,859 | ) | $ | — | $ | (257,859 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts: | ||||
Average notional value of contracts — long | $ | 29,459 | ||
Average notional value of contracts — short | $ | 15,676,561 |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments(a) | $ | — | $ | 175,936,090 | $ | — | $ | 175,936,090 | ||||||||
Short-Term Securities | 14,776,135 | 85,057 | — | 14,861,192 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 14,776,135 | $ | 176,021,147 | $ | — | $ | 190,797,282 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Financial Instruments(b) | ||||||||||||||||
Assets | ||||||||||||||||
Interest rate contracts | $ | (257,861 | ) | $ | — | $ | — | $ | (257,861 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | See above Schedule of Investments for values in each security type. |
(b) | Derivative financial instruments are futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument. |
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, TOB Trust Certificates of $6,625,000 are categorized as Level 2 within the disclosure hierarchy.
During the year ended March 31, 2018, there were no transfers between levels.
See notes to financial statements.
SCHEDULE OF INVESTMENTS | 53 |
Schedule of Investments March 31, 2018 | Series M Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities — 4.8% |
| |||||||
Chase Issuance Trust, Series 2015-A7, | $ | 1,110 | $ | 1,107,432 | ||||
Chesapeake Funding II LLC, Series 2016-2A, Class A1, 1.88%, 06/15/28(a) | 1,605 | 1,595,758 | ||||||
Citibank Credit Card Issuance Trust, | 1,750 | 1,740,046 | ||||||
CNH Equipment Trust: | ||||||||
Series 2015-A, Class A4, 1.85%, 04/15/21 | 2,530 | 2,516,527 | ||||||
Series 2015-C, Class A3, 1.66%, 11/16/20 | 2,405 | 2,395,238 | ||||||
Discover Card Execution Notes Trust, | 4,200 | 4,171,724 | ||||||
Drive Auto Receivables Trust, Series 2017-3, | 1,875 | 1,869,828 | ||||||
Enterprise Fleet Financing LLC, Series 2016-2, | 1,680 | 1,671,662 | ||||||
Ford Credit Auto Owner Trust, Series 2015-C, | 1,335 | 1,330,239 | ||||||
Ford Credit Floorplan Master Owner Trust A, | 2,450 | 2,430,885 | ||||||
Honda Auto Receivables Trust, Series 2016-3, | 1,224 | 1,213,977 | ||||||
Hyundai Auto Receivables Trust, Series 2015-C, Class A3, 1.46%, 02/18/20 | 1,985 | 1,977,781 | ||||||
John Deere Owner Trust: | ||||||||
Series 2016-B, Class A3, 1.25%, 06/15/20 | 1,740 | 1,727,354 | ||||||
Series 2017-B, Class A2A, 1.59%, 04/15/20 | 1,706 | 1,698,131 | ||||||
Nissan Auto Receivables Owner Trust, | 1,722 | 1,711,397 | ||||||
Progress Residential Trust: | ||||||||
Series 2015-SFR2, Class A, 2.74%, 06/12/32(a) | 1,377 | 1,364,772 | ||||||
Series 2017-SFR1, Class A, 2.77%, 08/17/34(a) | 868 | 855,985 | ||||||
Santander Drive Auto Receivables Trust, Series 2017-2, Class A3, 1.87%, 12/15/20 | 2,975 | 2,963,464 | ||||||
SMB Private Education Loan Trust, Series 2015-C, Class A3, (1 mo. LIBOR US + 1.950%), 3.73%, 08/16/32(a)(b) | 1,000 | 1,045,391 | ||||||
Toyota Auto Receivables Trust: | ||||||||
Series 2016-A, Class A3, 1.25%, | 2,259 | 2,246,815 | ||||||
Series 2016-D, Class A3, 1.23%, | 1,700 | 1,681,202 | ||||||
|
| |||||||
Total Asset-Backed Securities — 4.8% |
| 39,315,608 | ||||||
|
| |||||||
Non-Agency Mortgage-Backed Securities — 14.2% |
| |||||||
Commercial Mortgage-Backed Securities — 12.5% | ||||||||
1211 Avenue of the Americas Trust, | 945 | 969,699 | ||||||
Atrium Hotel Portfolio Trust: | ||||||||
Series 2017-ATRM, Class A, (1 mo. LIBOR US + 0.930%), 2.71%, 12/15/36(a)(b) | 4,900 | 4,904,526 | ||||||
Series 2017-ATRM, Class D, (1 mo. LIBOR US + 1.950%), 3.73%, 12/15/36(a)(b) | 1,400 | 1,389,653 | ||||||
Bancorp Commercial Mortgage Trust, | 457 | 457,707 |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
BHMS Mortgage Trust, Series 2014-ATLS, | $ | 2,600 | $ | 2,606,506 | ||||
Caesars Palace Las Vegas Trust, | 1,970 | 1,988,558 | ||||||
CCRESG Commercial Mortgage Trust: | ||||||||
Series 2016-HEAT, Class A, 3.36%, 04/10/29(a) | 1,750 | 1,727,209 | ||||||
Series 2016-HEAT, Class D, 5.49%, 04/10/29(a)(c) | 1,330 | 1,317,058 | ||||||
CCUBS Commercial Mortgage Trust, | 1,408 | 1,397,879 | ||||||
CFCRE Commercial Mortgage Trust, | 1,580 | 1,604,939 | ||||||
Citigroup Commercial Mortgage Trust, | 2,295 | 2,358,847 | ||||||
CityLine Commercial Mortgage Trust, | 2,005 | 1,950,087 | ||||||
Commercial Mortgage Trust: | ||||||||
Series 2013-CR6, Class A3FL, (1 mo. LIBOR US + 0.630%), 2.37%, 03/10/46(a)(b) | 720 | 721,226 | ||||||
Series 2013-CR13, Class A4, 4.19%, 11/10/46(c) | 3,500 | 3,659,719 | ||||||
Series 2014-LC15, Class A4, 4.01%, 04/10/47 | 2,025 | 2,099,498 | ||||||
Series 2014-UBS2, Class A5, 3.96%, 03/10/47 | 1,215 | 1,254,588 | ||||||
Series 2015-LC23, Class ASB, 3.60%, 10/10/48 | 3,730 | 3,797,767 | ||||||
Series 2016-667M, Class D, 3.18%, 10/10/36(a)(c) | 1,180 | 1,079,409 | ||||||
Series 2017-PANW, Class A, 3.24%, 10/10/29(a) | 3,960 | 3,910,944 | ||||||
Credit Suisse Mortgage Capital Certificates: | ||||||||
Series 2017-CALI, Class A, 3.43%, 11/10/32(a) | 1,180 | 1,182,289 | ||||||
Series 2016-MFF, Class A, (1 mo. LIBOR US + 1.600%), 3.38%, 11/15/33(a)(b) | 395 | 397,527 | ||||||
Deutsche Bank UBS Mortgage Trust, | 1,860 | 1,865,901 | ||||||
GAHR Commercial Mortgage Trust, | 3,600 | 3,575,367 | ||||||
GS Mortgage Securities Corp. II, | 910 | 1,021,158 | ||||||
GS Mortgage Securities Corp. Trust, | 250 | 250,124 | ||||||
IMT Trust, Series 2017-APTS, Class BFX, 3.50%, 06/15/34(a)(c) | 2,425 | 2,382,385 | ||||||
InTown Hotel Portfolio Trust, Series 2018-STAY, Class A, (1 mo. LIBOR US + 0.700%), 2.48%, 01/15/33(a)(b) | 1,180 | 1,181,156 | ||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||
Series 2014-C23, Class ASB, 3.66%, 09/15/47 | 5,970 | 6,076,443 | ||||||
Series 2016-C1 ,Class ASB, 3.32%, 03/15/49 | 3,500 | 3,502,071 |
54 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series M Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class D, 4.58%, 03/15/50(a)(c) | $ | 140 | $ | 133,226 | ||||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||||||
Series 2015-JP1, Class E, | 465 | 371,243 | ||||||
Series 2015-SGP, Class A, (1 mo. LIBOR US + 1.700%), 3.48%, 07/15/36(a)(b) | 603 | 604,093 | ||||||
Series 2016-NINE, Class A, | 1,790 | 1,703,114 | ||||||
Series 2017-JPS, Class D, | 1,860 | 1,757,304 | ||||||
Series 2018-ASH8, Class D, (1 mo. LIBOR US + 2.050%), 3.83%, 02/15/35(a)(b) | 710 | 712,188 | ||||||
LMREC, Inc., Series 2016-CRE2, Class A, (1 mo. LIBOR US + 1.700%), | 620 | 620,000 | ||||||
LSTAR Commercial Mortgage Trust, Series 2016-4, Class A2, 2.58%, 03/10/49(a) | 2,740 | 2,656,134 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A4, 4.04%, 11/15/46 | 1,170 | 1,212,732 | ||||||
Morgan Stanley Capital I Trust: | ||||||||
Series 2016-UBS9, Class ASB, 3.34%, 03/15/49 | 3,730 | 3,730,868 | ||||||
Series 2017-PRME, Class D, (1 mo. LIBOR US + 3.400%), 5.18%, 02/15/34(a)(b) | 610 | 610,017 | ||||||
Morgan Stanley Capital I, Inc., Series 2017-JWDR, Class D, (1 mo. LIBOR US + 1.950%), 3.73%, 11/15/34(a)(b) | 1,450 | 1,451,790 | ||||||
Olympic Tower Mortgage Trust, Series 2017-OT, Class D, 3.95%, 05/10/39(a)(c) | 1,160 | 1,143,305 | ||||||
RAIT Trust, Series 2017-FL7, Class A, (1 mo. LIBOR US + 0.950%), 2.73%, 06/15/37(a)(b) | 1,616 | 1,617,670 | ||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||
Series 2015-LC22, Class ASB, 3.57%, 09/15/58 | 3,845 | 3,918,298 | ||||||
Series 2015-NXS3, Class ASB, 3.37%, 09/15/57 | 3,920 | 3,944,595 | ||||||
Series 2015-P2, Class AS, 4.01%, 12/15/48 | 1,605 | 1,625,040 | ||||||
WFRBS Commercial Mortgage Trust: | ||||||||
Series 2012-C8, Class AFL, (1 mo. LIBOR US + 1.000%), 2.79%, 08/15/45(a)(b) | 3,125 | 3,178,549 | ||||||
Series 2014-C21, Class A4, 3.41%, 08/15/47 . | 2,805 | 2,809,590 | ||||||
Series 2014-C21, Class A5, 3.68%, 08/15/47 . | 1,000 | 1,015,407 | ||||||
Series 2014-LC14, Class A4, 3.77%, 03/15/47 | 5,590 | 5,723,345 | ||||||
|
| |||||||
101,168,748 | ||||||||
Interest Only Commercial Mortgage-Backed Securities — 1.7% | ||||||||
Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class XA, 0.89%, 09/15/48(c) | 1,746 | 88,285 | ||||||
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class XA, 1.75%, 05/10/58(c) | 5,462 | 557,230 | ||||||
Citigroup Commercial Mortgage Trust, Series 2017-P8, Class XA, 0.93%, 09/15/50(c) | 6,716 | 457,588 | ||||||
Commercial Mortgage Trust: | ||||||||
Series 2014-LC17, Class XA, 0.94%, 10/10/47(c) | 71,626 | 2,423,695 |
Security | Par (000) | Value | ||||||
Interest Only Commercial Mortgage-Backed Securities (continued) | ||||||||
Series 2015-CR24, Class XA, 0.81%, 08/10/48(c) | $ | 6,921 | $ | 321,287 | ||||
Core Industrial Trust: | ||||||||
Series 2015-CALW, Class XA, 0.81%, 02/10/34(a)(c) | 22,150 | 605,209 | ||||||
Series 2015-TEXW, Class XA, 0.77%, 02/10/34(a)(c) | 18,600 | 485,140 | ||||||
Series 2015-WEST, Class XA, 0.94%, 02/10/37(a)(c) | 9,300 | 527,644 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2014-USA, Class X1, 0.55%, 09/15/37(a)(c) | 26,000 | 853,580 | ||||||
DBJPM Mortgage Trust, Series 2016-C1, Class XA, 1.49%, 05/10/49(c) | 8,312 | 738,717 | ||||||
FREMF Mortgage Trust, Series 2015-K718, Class X2A, 0.10%, 02/25/22(a)(c) | 135,011 | 414,241 | ||||||
GS Mortgage Securities Trust, Series 2014-GC20, Class XA, 1.01%, 04/10/47(c) | 851 | 39,350 | ||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class XA, 1.35%, 02/15/48(c) | 23,520 | 1,340,567 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32, Class XA, 0.77%, 12/15/49(c) | 99,454 | 4,921,244 | ||||||
|
| |||||||
13,773,777 | ||||||||
|
| |||||||
Total Non-Agency Mortgage-Backed |
| 114,942,525 | ||||||
|
| |||||||
U.S. Government Sponsored |
| |||||||
Agency Securities — 164.3% |
| |||||||
Collateralized Mortgage Obligations — 2.6% | ||||||||
Fannie Mae: | ||||||||
Series 2011-8, Class ZA, 4.00%, 02/25/41 | 2,663 | 2,763,170 | ||||||
Series 2017-69, Class HA, 3.00%, 06/25/46 | 6,180 | 6,140,360 | ||||||
Series 2017-76, Class PB, 3.00%, 10/25/57 | 900 | 826,769 | ||||||
Series 2017-87, Class UA, 3.50%, 12/25/44 | 3,140 | 3,174,466 | ||||||
Freddie Mac: | ||||||||
Series 3745, Class ZA, | 309 | 314,694 | ||||||
Series 3780, Class ZA, | 584 | 593,953 | ||||||
Series 3960, Class PL, 4.00%, 11/15/41 | 900 | 943,338 | ||||||
Series 4253, Class DZ, 4.75%, 09/15/43 | 1,284 | 1,360,009 | ||||||
Series 4384, Class LB, 3.50%, 08/15/43 | 1,400 | 1,414,299 | ||||||
Ginnie Mae: | ||||||||
Series 2014-107, Class WX, 6.79%, 07/20/39(c) | 1,130 | 1,277,636 | ||||||
Series 2014-12, Class ZA, 3.00%, 01/20/44 | 1,360 | 1,277,832 | ||||||
Series 2014-62, Class Z, 3.00%, 04/20/44 | 1,125 | 1,062,518 | ||||||
|
| |||||||
21,149,044 | ||||||||
Interest Only Collateralized Mortgage Obligations — 0.6% | ||||||||
Fannie Mae: | ||||||||
Series 2013-10, Class PI, 3.00%, 02/25/43(d). | 2,877 | 316,175 | ||||||
Series 2016-64, Class BI, 5.00%, 09/25/46(d). | 3,250 | 674,762 | ||||||
Series 2011-100, Class S, (1 mo. LIBOR US + 6.450%) 4.58%, 10/25/41(b) | 1,507 | 223,980 | ||||||
Series 2015-66, Class AS, (1 mo. LIBOR US + 6.250%) 4.38%, 09/25/45(b) | 14,489 | 2,022,099 |
SCHEDULE OF INVESTMENTS | 55 |
Schedule of Investments (continued) March 31, 2018 | Series M Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Interest Only Collateralized Mortgage Obligations (continued) | ||||||||
Series 2016-81, Class CS, (1 mo. LIBOR US + 6.100%) 4.23%, 11/25/46(b) | $ | 2,772 | $ | 378,277 | ||||
Freddie Mac, Series 4611, Class BS, (1 mo. LIBOR US + 6.100%) 4.32%, 06/15/41(b) | 6,105 | 823,749 | ||||||
|
| |||||||
4,439,042 | ||||||||
Interest Only Commercial Mortgage-Backed Securities — 1.7% | ||||||||
Freddie Mac: | ||||||||
Series K041, Class X1, 0.55%, 10/25/24(c) | 13,498 | 415,187 | ||||||
Series K042, Class X1, 1.05%, 12/25/24(c) | 4,031 | 239,188 | ||||||
Series K064, Class X1, 0.61%, 03/25/27(c) | 34,891 | 1,628,255 | ||||||
Series K718, Class X1, 0.64%, 01/25/22(c) | 2,182 | 45,301 | ||||||
Series KC01, Class X1, 0.71%, 12/25/22(c) | 7,456 | 157,351 | ||||||
Ginnie Mae: | ||||||||
Series 2013-63, Class IO, 0.79%, 09/16/51(c) | 23,277 | 1,243,717 | ||||||
Series 2015-171, Class IO, 0.89%, 11/16/55(c) | 41,403 | 2,652,552 | ||||||
Series 2016-105, Class IO, 1.06%, 10/16/57(c) | 20,542 | 1,569,066 | ||||||
Series 2016-128, Class IO, 0.94%, 09/16/56(c) | 25,468 | 1,988,676 | ||||||
Series 2017-53, Class IO, 0.69%, 11/16/56(c). | 17,518 | 1,070,371 | ||||||
Series 2017-54, Class IO, 0.65%, 12/16/58(c) | 2,961 | 189,522 | ||||||
Series 2017-61, Class IO, 0.77%, 05/16/59(c) | 4,279 | 337,878 | ||||||
Series 2017-64, Class IO, 0.72%, 11/16/57(c) | 32,834 | 2,218,487 | ||||||
|
| |||||||
13,755,551 | ||||||||
Mortgage-Backed Securities — 159.4% | ||||||||
Fannie Mae Mortgage-Backed Securities: | ||||||||
2.00%, 10/01/31-04/01/33(e) | 3,253 | 3,108,813 | ||||||
2.50%, 09/01/27-04/01/33(e) | 79,027 | 77,876,953 | ||||||
3.00%, 01/01/27-04/01/48(e) | 95,069 | 93,922,664 | ||||||
3.50%, 03/01/29-04/01/48(e) | 150,745 | 152,135,630 | ||||||
4.00%, 02/01/29-01/01/57(e) | 257,956 | 265,308,060 | ||||||
4.50%, 05/01/24-02/01/57(e) | 46,040 | 48,727,241 | ||||||
5.00%, 02/01/35-04/01/48(e) | 10,645 | 11,459,634 | ||||||
5.05%, 09/01/44 | 276 | 294,895 | ||||||
5.50%, 05/01/34-05/01/44 | 7,874 | 8,644,300 | ||||||
6.00%, 02/01/38-07/01/41 | 4,928 | 5,535,378 | ||||||
6.50%, 05/01/36-01/01/38 | 63 | 70,172 | ||||||
Freddie Mac Mortgage-Backed Securities: | ||||||||
2.50%, 09/01/27-04/01/33(e) | 19,388 | 19,009,264 | ||||||
3.00%, 10/01/27-04/01/48(e) | 57,437 | 56,399,991 | ||||||
3.50%, 09/01/30-04/01/48(e) | 55,230 | 55,649,786 | ||||||
4.00%, 01/01/40-04/01/48(e) | 44,500 | 45,809,124 | ||||||
4.50%, 04/01/18-04/01/48(e) | 17,523 | 18,465,358 | ||||||
5.00%, 05/01/28-11/01/41 | 3,485 | 3,759,858 | ||||||
5.50%, 01/01/28-06/01/41 | 2,113 | 2,319,678 | ||||||
6.00%, 08/01/28-11/01/39 | 772 | 864,159 | ||||||
Ginnie Mae Mortgage-Backed Securities: | ||||||||
2.50%, 04/01/48(e) | 1,960 | 1,866,594 | ||||||
3.00%, 12/20/44-04/01/48(e) | 71,781 | 70,740,537 | ||||||
3.50%, 01/15/42-04/01/48(e) | 214,505 | 216,611,775 | ||||||
4.00%, 04/20/39-04/01/48(e) | 106,137 | 109,052,530 | ||||||
4.50%, 09/20/39-04/01/48(e) | 19,000 | 19,894,784 | ||||||
5.00%, 07/15/33-07/20/44 | 2,415 | 2,593,281 | ||||||
5.50%, 07/15/38-12/20/41 | 1,206 | 1,312,447 | ||||||
|
| |||||||
1,291,432,906 | ||||||||
|
| |||||||
Total U.S. Government Sponsored Agency Securities — 164.3% | ||||||||
(Cost: $1,339,804,562) |
| 1,330,776,543 | ||||||
|
|
Security | Par (000) | Value | ||||||
U.S. Treasury Obligations — 1.1% |
| |||||||
U.S. Treasury Notes, 2.25%, 11/15/27 | $ | 9,000 | $ | 8,621,016 | ||||
|
| |||||||
Total U.S. Treasury Obligations — 1.1% |
| 8,621,016 | ||||||
|
| |||||||
Total Long-Term Investments — 184.4% |
| 1,493,655,692 | ||||||
|
| |||||||
Shares | ||||||||
Short-Term Securities — 8.8% |
| |||||||
Money Market Fund — 8.8% | ||||||||
Dreyfus Treasury Securities Cash Management, Institutional Class, 1.18%(f) | 71,060,967 | 71,060,967 | ||||||
|
| |||||||
Total Short-Term Securities — 8.8% |
| 71,060,967 | ||||||
|
| |||||||
Total Investments Before TBA Commitments — 193.2% |
| 1,564,716,659 | ||||||
|
| |||||||
Par (000) | ||||||||
TBA Sale Commitments — (61.9)%(e) |
| |||||||
Mortgage-Backed Securities — (61.9)% | ||||||||
Fannie Mae Mortgage-Backed Securities: | ||||||||
2.00%, 04/01/33 | (1,750 | ) | (1,671,797 | ) | ||||
2.50%, 04/01/33 | (4,081 | ) | (3,998,743 | ) | ||||
3.00%, 04/01/33-04/01/48 | (33,628 | ) | (33,564,708 | ) | ||||
3.50%, 04/01/33-04/01/48 | (123,703 | ) | (124,082,494 | ) | ||||
4.00%, 04/01/48 | (124,771 | ) | (128,038,876 | ) | ||||
4.50%, 04/01/48 | (4,233 | ) | (4,432,603 | ) | ||||
Freddie Mac Mortgage-Backed Securities: | ||||||||
2.50%, 04/01/33 | (234 | ) | (229,146 | ) | ||||
3.50%, 04/01/33-04/01/48 | (1,229 | ) | (1,239,281 | ) | ||||
3.00%, 04/01/48 | (289 | ) | (281,775 | ) | ||||
4.00%, 04/01/48 | (12,759 | ) | (13,097,412 | ) | ||||
6.00%, 04/01/48 | (600 | ) | (666,398 | ) | ||||
Ginnie Mae Mortgage-Backed Securities: | ||||||||
3.00%, 04/01/48 | (15,232 | ) | (14,984,881 | ) | ||||
3.50%, 04/01/48 | (98,196 | ) | (99,148,974 | ) | ||||
4.00%, 04/01/48 | (69,516 | ) | (71,399,178 | ) | ||||
4.50%, 04/01/48 | (4,469 | ) | (4,645,927 | ) | ||||
|
| |||||||
Total TBA Sale Commitments — (61.9)% |
| (501,482,193 | ) | |||||
|
| |||||||
Total Investments Net of TBA Sale Commitments — 131.3% |
| 1,063,234,466 | ||||||
Liabilities in Excess of Other Assets — (31.3)% |
| (253,203,822 | ) | |||||
|
| |||||||
Net Assets — 100.0% |
| $ | 810,030,644 | |||||
|
|
56 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series M Portfolio |
(a) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(b) | Variable rate security. Rate shown is the rate in effect as of period end. |
(c) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(d) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(e) | Represents or includes a TBA transaction. |
(f) | Annualized 7-day yield as of period end. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||
Long Contracts | ||||||||||||||||
Euro Dollar | 166 | 06/18/18 | $ | 40,546 | $ | (103 | ) | |||||||||
Euro Dollar | 170 | 12/17/18 | 41,440 | 9,555 | ||||||||||||
U.S. Treasury Notes (5 Year) | 155 | 06/29/18 | 17,741 | 47,880 | ||||||||||||
|
| |||||||||||||||
57,332 | ||||||||||||||||
|
| |||||||||||||||
Short Contracts | ||||||||||||||||
Euro Dollar | 12 | 09/17/18 | 2,929 | 16,185 | ||||||||||||
Euro Dollar | 3 | 03/18/19 | 731 | 3,610 | ||||||||||||
Euro Dollar | 7 | 06/17/19 | 1,703 | 10,566 | ||||||||||||
Euro Dollar | 5 | 09/16/19 | 1,216 | 4,369 | ||||||||||||
Euro Dollar | 350 | 12/16/19 | 85,063 | (83,045 | ) | |||||||||||
U.S. Treasury Bonds (30 Year) | 30 | 06/20/18 | 4,399 | (135,268 | ) | |||||||||||
U.S. Treasury Notes (10 Year) | 306 | 06/20/18 | 37,069 | (210,174 | ) | |||||||||||
U.S. Treasury Notes (2 Year) | 274 | 06/29/18 | 58,255 | (8,261 | ) | |||||||||||
U.S. Ultra Treasury Bonds | 10 | 06/20/18 | 1,605 | (35,331 | ) | |||||||||||
|
| |||||||||||||||
(437,349 | ) | |||||||||||||||
|
| |||||||||||||||
$ | (380,017 | ) | ||||||||||||||
|
|
Centrally Cleared Interest Rate Swaps
Paid by the Fund | Received by the Fund | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||
3-month LIBOR, 2.31% | Quarterly | 2.58% | Semi-annual | 03/29/20 | $ | 41,600 | $ | 4,980 | $ | 487 | $ | 4,493 | ||||||||||||||
2.50% | Semi-annual | 3-month LIBOR, 2.31% | Quarterly | 01/29/23 | $ | 36,309 | 262,657 | 479 | 262,178 | |||||||||||||||||
2.71% | Semi-annual | 3-month LIBOR, 2.31% | Quarterly | 02/06/23 | $ | 36,607 | (87,788 | ) | 483 | (88,271 | ) | |||||||||||||||
2.42% | Semi-annual | 3-month LIBOR, 2.31% | Quarterly | 04/24/45 | $ | 820 | 60,330 | 18 | 60,312 | |||||||||||||||||
2.38% | Semi-annual | 3-month LIBOR, 2.31% | Quarterly | 04/24/45 | $ | 800 | 65,416 | 17 | 65,399 | |||||||||||||||||
2.39% | Semi-annual | 3-month LIBOR, 2.31% | Quarterly | 04/24/45 | $ | 800 | 63,705 | 17 | 63,688 | |||||||||||||||||
2.42% | Semi-annual | 3-month LIBOR, 2.31% | Quarterly | 04/24/45 | $ | 760 | 55,519 | 17 | 55,502 | |||||||||||||||||
3-month LIBOR, 2.31% | Quarterly | 2.83% | Semi-annual | 07/10/45 | $ | 3,030 | 8,197 | 60 | 8,137 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 433,016 | $ | 1,578 | $ | 431,438 | |||||||||||||||||||||
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | 57 |
Schedule of Investments (continued) March 31, 2018 | Series M Portfolio |
OTC Credit Default Swaps — Sell Protection
Reference Obligation | Financing Rate Received by the Fund | Payment Frequency | Counterparty | Termination Date | Credit Rating (a) | Notional Amount (000) (b) | Value | Upfront Premium Received | Unrealized Depreciation | |||||||||||||||||||||||
CMBX.NA.9.A | 2.00 | % | Monthly | Credit Suisse International | 09/17/58 | Not Rated | $ | 7,865 | $ | (333,575 | ) | $ | (175,714 | ) | $ | (157,861 | ) | |||||||||||||||
CMBX.NA.9.BBB- | 3.00 | % | Monthly | Deutsche Bank AG | 09/17/58 | Not Rated | $ | 8,000 | (1,032,559 | ) | (1,009,088 | ) | (23,471 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (1,366,134 | ) | $ | (1,184,802 | ) | $ | (181,332 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
(a) | Using S&P’s rating of the underlying securities of the index. |
(b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Derivatives
Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||
Centrally Cleared Swaps(a) | $ | 1,578 | $ | — | $ | 519,709 | $ | 88,271 | ||||||||
OTC Derivatives | — | 1,184,802 | — | 181,332 |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
Assets — Derivative Financial Instruments | Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||||||||
Futures contracts | | Net unrealized appreciation(a) | | $ | — | $ | — | $ | — | $ | — | $ | 92,165 | $ | — | $ | 92,165 | |||||||||||||||
Swaps — centrally cleared | | Net unrealized appreciation(a) | | — | — | — | — | 519,709 | — | 519,709 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 611,874 | $ | — | $ | 611,874 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||||||
Futures contracts | Net unrealized depreciation(a) | $ | — | $ | — | $ | — | $ | — | $ | 472,182 | $ | — | $ | 472,182 | |||||||||||||||||
Swaps — centrally cleared | Net unrealized depreciation(a) | — | — | — | — | 88,271 | — | 88,271 | ||||||||||||||||||||||||
Swaps — OTC | | Unrealized depreciation on OTC swaps; Swap premiums received | | — | 1,366,134 | — | — | — | — | 1,366,134 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | — | $ | 1,366,134 | $ | — | $ | — | $ | 560,453 | $ | — | $ | 1,926,587 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
58 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series M Portfolio |
For the year ended March 31, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:
Net Realized Gain (Loss) from: | Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||||
Futures contracts. | $ | — | $ | — | $ | — | $ | — | $ | 1,606,689 | $ | — | $ | 1,606,689 | ||||||||||||||
Options purchased(a) | — | — | — | — | 777,120 | — | 777,120 | |||||||||||||||||||||
Options written | — | — | — | — | (480,886 | ) | — | (480,886 | ) | |||||||||||||||||||
Swaps | — | (55,705 | ) | — | — | 16,840 | — | (38,865 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | (55,705 | ) | $ | — | $ | — | $ | 1,919,763 | $ | — | $ | 1,864,058 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Futures contracts. | $ | — | $ | — | $ | — | $ | — | $ | (153,351 | ) | $ | — | $ | (153,351 | ) | ||||||||||||
Swaps | — | (181,332 | ) | — | 121,730 | — | (59,602 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | (181,332 | ) | $ | — | $ | — | $ | (31,621 | ) | $ | — | $ | (212,953 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts: | ||||
Average notional value of contracts — long | $ | 68,980,699 | ||
Average notional value of contracts — short | $ | 129,459,659 | ||
Options: | ||||
Average value of option contracts purchased | $ | 110,583 | ||
Average value of option contracts written | $ | 25,781 | ||
Credit default swaps: | ||||
Average notional value — buy protection | $ | 13,525,000 | ||
Average notional value — sell protection | $ | 7,341,250 | ||
Interest rate swaps: | ||||
Average notional value — pays fixed rate | $ | 21,409,000 | ||
Average notional value — receives fixed rate | $ | 21,805,000 |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments—Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
Assets | Liabilities | |||||||
Derivative Financial Instruments: | ||||||||
Swaps — Centrally cleared | $ | 433,015 | $ | — | ||||
Swaps — OTC(a) | — | 1,366,134 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | $ | 433,015 | $ | 1,366,134 | ||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | (433,015 | ) | — | |||||
|
|
|
| |||||
Total derivative assets and liabilities subject to an MNA | $ | — | $ | 1,366,134 | ||||
|
|
|
|
(a) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities. |
SCHEDULE OF INVESTMENTS | 59 |
Schedule of Investments (continued) March 31, 2018 | Series M Portfolio |
The following table presents the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Pledged | Cash Collateral Pledged | Net Amount of Derivative Liabilities (a) | |||||||||||||||
Credit Suisse International. | $ | 333,575 | $ | — | $ | — | $ | — | $ | 333,575 | ||||||||||
Deutsche Bank AG | 1,032,559 | — | — | — | 1,032,559 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 1,366,134 | $ | — | $ | — | $ | — | $ | 1,366,134 | |||||||||||
|
|
|
|
|
|
|
|
|
|
(a) | Net amount represents the net amount payable due to the counterparty in the event of default. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 39,315,608 | $ | — | $ | 39,315,608 | ||||||||
Non-Agency Mortgage-Backed Securities | — | 114,942,525 | — | 114,942,525 | ||||||||||||
U.S. Government Sponsored Agency Securities | — | 1,328,876,959 | 1,899,584 | 1,330,776,543 | ||||||||||||
U.S. Treasury Obligations | — | 8,621,016 | — | 8,621,016 | ||||||||||||
Short-Term Securities | 71,060,967 | — | — | 71,060,967 | ||||||||||||
Liabilities | ||||||||||||||||
TBA Sale Commitments | — | (501,482,193 | ) | — | (501,482,193 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 71,060,967 | $ | 990,273,915 | $ | 1,899,584 | $ | 1,063,234,466 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Financial Instruments(a) | ||||||||||||||||
Assets | ||||||||||||||||
Interest rate contracts | $ | 92,165 | $ | 519,709 | $ | — | $ | 611,874 | ||||||||
Liabilities | ||||||||||||||||
Credit contracts | — | (181,332 | ) | — | (181,332 | ) | ||||||||||
Interest rate contracts | (472,182 | ) | (88,271 | ) | — | (560,453 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (380,017 | ) | $ | 250,106 | $ | — | $ | (129,911 | ) | |||||||
|
|
|
|
|
|
|
|
(a) | Derivative financial instruments are swaps and futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument. |
During the year ended March 31, 2018, there were no transfers between levels.
See notes to financial statements.
60 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments March 31, 2018 | Series P Portfolio (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Affiliated Investment Companies — 29.7% |
| |||||||
BlackRock Allocation Target Shares: | 2,660,907 | $ | 24,959,306 | |||||
|
|
Value | ||||||
Total Affiliated Investment Companies — 29.7% | $ | 24,959,306 | ||||
Other Assets Less Liabilities — 70.3% | 59,120,839 | |||||
|
| |||||
Net Assets — 100.0% | $ | 84,080,145 | ||||
|
|
(a) | During the year ended March 31, 2018, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, and/or related parties of the Fund were as follows: |
Affiliate | Shares Held at 03/31/17 | Shares Purchased | Shares Sold | Shares Held at 03/31/18 | Value at 03/31/18 | Income | Net Realized Loss | Change in Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
BlackRock Allocation Target Shares: Series S Portfolio | 3,844,957 | 189,105 | 1,373,155 | 2,660,907 | $ | 24,959,306 | $ | 913,228 | $ | (420,167 | ) | $ | (3,712 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||
Long Contracts | ||||||||||||||||
U.S. Ultra Treasury Bonds (10 Year) | 47 | 06/20/18 | $ | 6,103 | $ | 60,323 | ||||||||||
|
| |||||||||||||||
60,323 | ||||||||||||||||
|
| |||||||||||||||
Short Contracts | ||||||||||||||||
U.S. Treasury Notes (10 Year) | 190 | 06/20/18 | 23,017 | (167,464 | ) | |||||||||||
U.S. Treasury Notes (2 Year) | 181 | 06/29/18 | 38,482 | (552 | ) | |||||||||||
U.S. Treasury Notes (5 Year) | 21 | 06/29/18 | 2,404 | (10,198 | ) | |||||||||||
|
| |||||||||||||||
(178,214 | ) | |||||||||||||||
|
| |||||||||||||||
$ | (117,891 | ) | ||||||||||||||
|
|
Centrally Cleared Interest Rate Swaps
Paid by the Fund | Received by the Fund | Effective | Termination | Notional Amount | Value | Upfront Paid | Unrealized Appreciation | |||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||
3-month | ||||||||||||||||||||||||||||||
LIBOR, 2.31% | Quarterly | 2.57% | Semi-annual | 07/05/18 | (a) | 03/31/20 | $ | 39,500 | $ | (28,233 | ) | $ | (9,354 | ) | $ | (18,879 | ) | |||||||||||||
2.29% | Semi-annual | 3-month LIBOR, 2.31% | Quarterly | N/A | 08/15/26 | $ | 22,000 | 744,691 | 297 | 744,394 | ||||||||||||||||||||
2.23% | Semi-annual | 3-month LIBOR, 2.31% | Quarterly | N/A | 04/24/27 | $ | 26,460 | 964,382 | 384 | 963,998 | ||||||||||||||||||||
2.27% | Semi-annual | 3-month LIBOR, 2.31% | Quarterly | N/A | 05/18/27 | $ | 6,500 | 216,852 | 94 | 216,758 | ||||||||||||||||||||
2.23% | Semi-annual | 3-month LIBOR, 2.31% | Quarterly | N/A | 08/11/27 | $ | 3,850 | 168,677 | 61 | 168,616 | ||||||||||||||||||||
2.90% | Semi-annual | 3-month LIBOR, 2.31% | Quarterly | 06/29/18 | (a) | 11/15/27 | $ | 11,152 | (111,716 | ) | (691 | ) | (111,025 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 1,954,653 | $ | (9,209 | ) | $ | 1,963,862 | ||||||||||||||||||||||||
|
|
|
|
|
|
(a) | Forward swap. |
SCHEDULE OF INVESTMENTS | 61 |
Schedule of Investments (continued) March 31, 2018 | Series P Portfolio |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleard Swaps
Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||
Centrally Cleared Swaps(a) | $ | 836 | $ | 10,045 | $ | 2,093,766 | $ | 129,904 |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
Assets — Derivative Financial Instruments | Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||||||
Futures contracts | Net unrealized appreciation(a) | $ | — | $ | — | $ | — | $ | — | $ | 60,323 | $ | — | $ | 60,323 | |||||||||||||||
Swaps — centrally cleared | Net unrealized appreciation(a) | — | — | — | — | 2,093,766 | — | 2,093,766 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 2,154,089 | $ | — | $ | 2,154,089 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||||
Futures contracts | Net unrealized depreciation(a) | $ | — | $ | — | $ | — | $ | — | $ | 178,214 | $ | — | $ | 178,214 | |||||||||||||||
Swaps — centrally cleared | Net unrealized depreciation(a) | — | — | — | — | 129,904 | — | 129,904 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 308,118 | $ | — | $ | 308,118 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
For the year ended March 31, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:
Net Realized Gain (Loss) from: | Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | 147,333 | $ | — | $ | 147,333 | ||||||||||||||
Swaps | — | — | — | — | (721,089 | ) | — | (721,089 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | (573,756 | ) | $ | — | $ | (573,756 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Futures contracts. | $ | — | $ | — | $ | — | $ | — | $ | 154,519 | $ | — | $ | 154,519 | ||||||||||||||
Swaps | — | — | — | — | 1,753,748 | — | 1,753,748 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 1,908,267 | $ | — | $ | 1,908,267 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts: | ||||
Average notional value of contracts — long | $ | 2,970,766 | ||
Average notional value of contracts — short | $ | 58,205,164 | ||
Interest rate swaps: | ||||
Average notional value — pays fixed rate | $ | 69,635,500 | ||
Average notional value — receives fixed rate | $ | 13,250,000 |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
62 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series P Portfolio |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Affiliated Investment Companies | $ | 24,959,306 | $ | — | $ | — | $ | 24,959,306 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Financial Instruments(a) | ||||||||||||||||
Assets | ||||||||||||||||
Interest rate contracts | $ | 60,323 | $ | 2,093,766 | $ | — | $ | 2,154,089 | ||||||||
Liabilities | ||||||||||||||||
Interest rate contracts | (178,214 | ) | (129,904 | ) | — | (308,118 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (117,891 | ) | $ | 1,963,862 | $ | — | $ | 1,845,971 | ||||||||
|
|
|
|
|
|
|
|
(a) | Derivative financial instruments are swaps and futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument. |
During the year ended March 31, 2018, there were no transfers between levels.
See notes to financial statements.
SCHEDULE OF INVESTMENTS | 63 |
Schedule of Investments March 31, 2018 | Series S Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities — 32.3% |
| |||||||
AmeriCredit Automobile Receivables Trust: | ||||||||
Series 2013-5, Class C, 2.29%, 11/08/19 | $ | 41 | $ | 41,424 | ||||
Series 2016-3, Class A3, 1.46%, 05/10/21 | 1,790 | 1,779,756 | ||||||
Arbor Realty Commercial Real Estate Notes Ltd., Series 2016-FL1A, Class A, (1 mo. LIBOR US + 1.700%), 3.48%, 09/15/26(a)(b) | 350 | 355,832 | ||||||
Atrium X, Series 10A, Class AR, (3 mo. LIBOR US + 0.950%), 2.67%, 07/16/25(a)(b) | 2,731 | 2,731,735 | ||||||
B2R Mortgage Trust, Series 2015-1, Class A1, 2.52%, 05/15/48(b) | 561 | 554,156 | ||||||
BlueMountain CLO Ltd., Series 2013-4A, Class AR, (3 mo. LIBOR US + 1.010%), 2.73%, 04/15/25(a)(b) | 2,500 | 2,501,635 | ||||||
Capital One Multi-Asset Execution Trust, Series 2016-A4, Class A4, 1.33%, 06/15/22 | 1,300 | 1,277,561 | ||||||
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class AR, (3 mo. LIBOR US + 1.450%), 3.20%, 01/20/29(a)(b) | 1,000 | 1,005,137 | ||||||
CarMax Auto Owner Trust: | ||||||||
Series 2015-3, Class A4, 1.98%, 02/16/21 | 2,550 | 2,526,504 | ||||||
Series 2016-2, Class A3, 1.52%, 02/16/21 | 385 | 381,872 | ||||||
Chase Issuance Trust: | ||||||||
Series 2012-A4, Class A4, 1.58%, 08/16/21 | 2,379 | 2,345,978 | ||||||
Series 2016-A2, Class A, 1.37%, 06/15/21 | 3,500 | 3,450,415 | ||||||
Chesapeake Funding II LLC, Series 2016-2A, Class A1, 1.88%, 06/15/28(b) | 993 | 987,850 | ||||||
CIFC Funding Ltd., Series 2014-2A, Class A1LR, (3 mo. LIBOR US + 1.200%), 3.14%, 05/24/26(a)(b) | 4,000 | 4,003,708 | ||||||
CNH Equipment Trust: | ||||||||
Series 2016-B, Class A3, 1.63%, 08/15/21 | 770 | 762,634 | ||||||
Series 2016-C, Class A3, 1.44%, 12/15/21 | 1,340 | 1,320,258 | ||||||
Credit Acceptance Auto Loan Trust: | ||||||||
Series 2016-2A, Class A, | 3,310 | 3,302,063 | ||||||
Series 2016-3A, Class A, | 2,200 | 2,181,470 | ||||||
Discover Card Execution Note Trust: | ||||||||
Series 2015-A2, Class A, 1.90%, 10/17/22 | 1,000 | 983,844 | ||||||
Series 2016-A4, Class A4, 1.39%, 03/15/22 | 300 | 294,755 | ||||||
Enterprise Fleet Financing LLC: | ||||||||
Series 2016-2 Class A2, 1.74%, 02/22/22(b) | 714 | 710,833 | ||||||
Series 2016-2, Class A3, 2.04%, 02/22/22(b) | 530 | 524,078 | ||||||
Series 2017-1, Class A2, 2.13%, 07/20/22(b) | 225 | 224,156 | ||||||
Series 2017-1, Class A3, 2.60%, 07/20/22(b) | 210 | 209,044 | ||||||
Ford Credit Auto Owner Trust, Series 2016-C, Class A4, 1.40%, 02/15/22 | 680 | 660,462 | ||||||
Greystone Commercial Real Estate Notes Ltd., Series 2017-FL1A, Class A, (1 mo. LIBOR US + 1.550%), 3.33%, 03/15/27(a)(b)(c) | 610 | 609,939 | ||||||
Honda Auto Receivables Owner Trust, Series 2016-4, Class A4, 1.36%, 01/18/23 | 640 | 624,314 | ||||||
Mercedes-Benz Receivables Trust, Series 2016-1, Class A4, 1.46%, 12/15/22 | 2,000 | 1,955,718 |
Security | Par (000) | Value | ||||||
Mill City Mortgage Loan Trust, Series 2016-1, Class A1, 2.50%, 04/25/57(b)(d) | $ | 821 | $ | 809,206 | ||||
Nissan Master Owner Trust Receivables, Series 2016-A, Class A2, 1.54%, 06/15/21 | 1,090 | 1,075,573 | ||||||
PFS Financing Corp.: | ||||||||
Series 2015-AA, Class A, (1 mo. LIBOR US + 0.620%), 2.40%, 04/15/20(a)(b) | 1,600 | 1,599,049 | ||||||
Series 2016-BA, Class A, 1.87%, 10/15/21(b) | 190 | 187,156 | ||||||
Santander Drive Auto Receivables Trust, | 140 | 139,561 | ||||||
SLM Private Education Loan Trust: | ||||||||
Series 2011-A, Class A3, (1 mo. LIBOR US + 2.500%), 4.28%, 01/15/43(a)(b) | 2,000 | 2,062,737 | ||||||
Series 2012-C, Class A2, 3.31%, 10/15/46(b) | 227 | 226,916 | ||||||
Series 2013-A, Class A2B, (1 mo. LIBOR US + 1.050%), 2.83%, 05/17/27(a)(b) | 1,117 | 1,120,718 | ||||||
SLM Student Loan Trust, Series 2013-4, Class A, (1 mo. LIBOR US + 0.550%), 2.42%, 06/25/43(a) | 359 | 359,421 | ||||||
SMB Private Education Loan Trust, Series 2016-B, Class A2A, 2.43%, 02/17/32(b) | 768 | 748,592 | ||||||
SoFi Professional Loan Program LLC: | ||||||||
Series 2015-A, Class A1, (1 mo. LIBOR US + 1.200%), 3.07%, 03/25/33(a)(b) | 1,149 | 1,162,135 | ||||||
Series 2015-B, Class A2, 2.51%, 09/27/32(b) | 1,025 | 1,012,219 | ||||||
Series 2015-D, Class A2, 2.72%, 10/27/36(b) | 502 | 497,441 | ||||||
Series 2016-A, Class A2, 2.76%, 12/26/36(b) | 1,653 | 1,637,759 | ||||||
Series 2016-C, Class A2B, 2.36%, 12/27/32(b) | 150 | 145,781 | ||||||
Series 2016-D, Class A2A, 1.53%, 04/25/33(b) | 122 | 120,890 | ||||||
Series 2016-D, Class A2B, 2.34%, 04/25/33(b) | 130 | 126,244 | ||||||
Series 2016-E, Class A2B, 2.49%, 01/25/36(b) | 460 | 450,538 | ||||||
Springleaf Funding Trust, Series 2015-AA, Class A, 3.16%, 11/15/24(b) | 843 | 843,821 | ||||||
Synchrony Credit Card Master Note Trust, Series 2015-1, Class A, 2.37%, 03/15/23 | 1,185 | 1,175,908 | ||||||
Towd Point Mortgage Trust, Series 2016-3, Class A1, 2.25%, 04/25/56(b)(d) | 508 | 499,459 | ||||||
Wheels SPV 2 LLC, Series 2016-1A, Class A2, 1.59%, 05/20/25(b) | 115 | 114,171 | ||||||
World Financial Network Credit Card Master Trust: | ||||||||
Series 2012-A, Class A, 3.14%, 01/17/23 | 2,065 | 2,073,513 | ||||||
Series 2012-D, Class B, 3.34%, 04/17/23 | 330 | 330,542 | ||||||
|
| |||||||
Total Asset-Backed Securities — 32.3% |
| 56,826,481 | ||||||
|
|
64 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series S Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Capital Trusts — 0.1% |
| |||||||
Multi-Utilities — 0.1% | ||||||||
Dominion Energy, Inc., 2.58%, 07/01/20 | $ | 110 | $ | 108,611 | ||||
|
| |||||||
Total Capital Trusts — 0.1% | 108,611 | |||||||
|
| |||||||
Corporate Bonds — 65.0% | ||||||||
Aerospace & Defense — 0.6% | ||||||||
Lockheed Martin Corp., 2.50%, 11/23/20 | 400 | 396,343 | ||||||
Northrop Grumman Corp., 2.08%, 10/15/20 | 275 | 269,102 | ||||||
United Technologies Corp. : | ||||||||
1.90%, 05/04/20 | 115 | 112,675 | ||||||
3.10%, 06/01/22 | 200 | 198,370 | ||||||
|
| |||||||
976,490 | ||||||||
Airlines — 0.6% | ||||||||
Delta Air Lines, Inc. : | ||||||||
2.88%, 03/13/20 | 133 | 132,133 | ||||||
3.63%, 03/15/22 | 625 | 624,232 | ||||||
Virgin Australia Trust, Series 2013-1A, | 245 | 251,831 | ||||||
|
| |||||||
1,008,196 | ||||||||
Automobiles — 1.3% | ||||||||
Daimler Finance North America LLC, | 1,750 | 1,720,434 | ||||||
Volkswagen Group of America Finance LLC : | ||||||||
2.13%, 05/23/19(b) | 350 | 347,694 | ||||||
2.40%, 05/22/20(b) | 315 | 310,653 | ||||||
|
| |||||||
2,378,781 | ||||||||
Banks — 18.4% | ||||||||
ANZ New Zealand International Ltd., | 615 | 605,326 | ||||||
Australia & New Zealand Banking Group Ltd., | 450 | 439,647 | ||||||
Bank Nederlandse Gemeenten NV, | 1,500 | 1,483,527 | ||||||
Bank of America Corp. : | ||||||||
2.25%, 04/21/20 | 570 | 561,705 | ||||||
(3 mo. LIBOR US + 1.160%), | 675 | 668,248 | ||||||
(3 mo. LIBOR US + 1.021%), | 1,105 | 1,081,996 | ||||||
Bank of Montreal, 2.10%, 12/12/19 | 325 | 320,772 | ||||||
Barclays PLC : | ||||||||
3.25%, 01/12/21 | 230 | 228,344 | ||||||
3.68%, 01/10/23(e) | 785 | 778,184 | ||||||
4.38%, 09/11/24 | 500 | 488,422 | ||||||
BB&T Corp., 2.45%, 01/15/20(e) | 1,500 | 1,487,518 | ||||||
BNP Paribas SA, 3.80%, 01/10/24(b)(e) | 485 | 483,817 | ||||||
BPCE SA, 2.75%, 01/11/23(b) | 475 | 458,522 | ||||||
Citigroup, Inc. : | ||||||||
2.45%, 01/10/20 | 220 | 217,956 | ||||||
2.90%, 12/08/21 | 755 | 743,498 | ||||||
2.75%, 04/25/22 | 330 | 321,457 | ||||||
(3 mo. LIBOR US + 0.950%), | 100 | 97,306 | ||||||
Citizens Bank N.A. : | ||||||||
2.30%, 12/03/18 | 335 | 333,845 | ||||||
2.45%, 12/04/19(e) | 1,250 | 1,236,297 | ||||||
2.55%, 05/13/21 | 250 | 244,049 | ||||||
Commonwealth Bank of Australia : | ||||||||
2.25%, 03/10/20(b) | 600 | 591,528 | ||||||
2.75%, 03/10/22(b) | 400 | 393,220 | ||||||
Deutsche Bank AG, 3.15%, 01/22/21 | 395 | 389,111 | ||||||
Discover Bank, 3.35%, 02/06/23 | 250 | 246,032 | ||||||
Fifth Third Bancorp, 2.60%, 06/15/22 | 400 | 387,844 |
Security | Par (000) | Value | ||||||
Banks (continued) | ||||||||
HSBC Holdings PLC, 2.95%, 05/25/21(e) | $ | 1,925 | $ | 1,905,739 | ||||
Huntington Bancshares, Inc., 2.30%, 01/14/22 | 500 | 478,986 | ||||||
Huntington National Bank, 2.88%, 08/20/20(e) | 665 | 661,507 | ||||||
Intesa Sanpaolo SpA, 3.38%, 01/12/23(b) | 235 | 229,416 | ||||||
JPMorgan Chase & Co. : | ||||||||
2.75%, 06/23/20(e) | 1,770 | 1,760,116 | ||||||
2.55%, 03/01/21(e) | 700 | 688,759 | ||||||
(3 mo. LIBOR US + 0.935%), | 405 | 395,562 | ||||||
KeyBank N.A. : | ||||||||
2.25%, 03/16/20 | 890 | 878,459 | ||||||
2.50%, 11/22/21(e) | 500 | 488,255 | ||||||
Lloyds Bank PLC, 2.70%, 08/17/20 | 550 | 544,313 | ||||||
Lloyds Banking Group PLC : | ||||||||
3.00%, 01/11/22 | 420 | 413,427 | ||||||
4.50%, 11/04/24 | 475 | 477,676 | ||||||
Mitsubishi UFJ Financial Group, Inc., | 291 | 289,168 | ||||||
Mizuho Financial Group, Inc., 2.95%, 02/28/22 | 465 | 457,130 | ||||||
Oesterreichische Kontrollbank AG, | 850 | 827,679 | ||||||
Royal Bank of Canada, 2.75%, 02/01/22 | 410 | 404,335 | ||||||
Santander Holdings USA, Inc., 3.70%, 03/28/22 | 210 | 210,443 | ||||||
Santander UK PLC, 2.13%, 11/03/20 | 755 | 737,457 | ||||||
Skandinaviska Enskilda Banken AB, | 1,325 | 1,306,428 | ||||||
Sumitomo Mitsui Financial Group, Inc. : | ||||||||
2.44%, 10/19/21 | 375 | 364,212 | ||||||
2.85%, 01/11/22 | 605 | 594,820 | ||||||
SunTrust Bank, 2.45%, 08/01/22 | 750 | 722,591 | ||||||
Swedbank AB : | ||||||||
2.20%, 03/04/20(b) | 610 | 600,231 | ||||||
2.65%, 03/10/21(b) | 500 | 492,439 | ||||||
U.S. Bancorp, 2.63%, 01/24/22 | 500 | 492,706 | ||||||
Wells Fargo & Co. : | ||||||||
2.63%, 07/22/22(e) | 830 | 802,854 | ||||||
3.07%, 01/24/23 | 415 | 408,101 | ||||||
Westpac Banking Corp., 1.60%, 08/19/19(e) | 530 | 521,596 | ||||||
|
| |||||||
32,442,576 | ||||||||
Beverages — 0.6% | ||||||||
Anheuser-Busch InBev Finance, Inc., | 1,000 | 1,000,735 | ||||||
|
| |||||||
Biotechnology — 2.0% | ||||||||
AbbVie, Inc., 2.50%, 05/14/20(e) | 1,695 | 1,673,068 | ||||||
Amgen, Inc. : | ||||||||
2.20%, 05/22/19(e) | 810 | 804,896 | ||||||
2.20%, 05/11/20(e) | 745 | 734,489 | ||||||
Gilead Sciences, Inc., 1.95%, 03/01/22 | 320 | 306,232 | ||||||
|
| |||||||
3,518,685 | ||||||||
Capital Markets — 5.0% | ||||||||
Bank of New York Mellon Corp., | 175 | 172,672 | ||||||
Credit Suisse AG, 2.30%, 05/28/19(e) | 770 | 765,093 | ||||||
Credit Suisse Group AG, 3.57%, 01/09/23(b)(e) | 625 | 621,300 | ||||||
E*TRADE Financial Corp., 2.95%, 08/24/22 | 280 | 272,568 | ||||||
Goldman Sachs Group, Inc. : | ||||||||
2.60%, 12/27/20 | 480 | 472,820 | ||||||
3.00%, 04/26/22 | 1,900 | 1,865,660 | ||||||
(3 mo. LIBOR US + 1.053%), | 500 | 486,617 | ||||||
Moody’s Corp., 2.75%, 07/15/19(e) | 690 | 687,755 | ||||||
Morgan Stanley : | ||||||||
2.80%, 06/16/20 | 915 | 908,844 | ||||||
2.63%, 11/17/21 | 500 | 488,163 |
SCHEDULE OF INVESTMENTS | 65 |
Schedule of Investments (continued) March 31, 2018 | Series S Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Capital Markets (continued) | ||||||||
(3 mo. LIBOR US + 0.930%), 2.68%, 07/22/22(a) | $ | 1,195 | $ | 1,199,529 | ||||
UBS Group Funding Switzerland AG : | ||||||||
2.65%, 02/01/22(b) | 200 | 193,914 | ||||||
3.49%, 05/23/23(b)(e) | 765 | 755,794 | ||||||
|
| |||||||
8,890,729 | ||||||||
Chemicals — 0.3% | ||||||||
Air Liquide Finance SA, 1.75%, 09/27/21(b) | 200 | 190,738 | ||||||
Dow Chemical Co., 4.25%, 11/15/20 | 110 | 112,850 | ||||||
E.I. du Pont de Nemours & Co., 2.20%, 05/01/20 | 245 | 241,613 | ||||||
|
| |||||||
545,201 | ||||||||
Commercial Services & Supplies — 0.1% | ||||||||
Aviation Capital Group Corp., 2.88%, 01/20/22(b) | 195 | 190,979 | ||||||
|
| |||||||
Consumer Finance — 4.9% | ||||||||
American Express Co., 2.50%, 08/01/22(e) | 800 | 771,672 | ||||||
Capital One Financial Corp. : | ||||||||
2.45%, 04/24/19(e) | 1,154 | 1,148,834 | ||||||
2.50%, 05/12/20 | 475 | 467,576 | ||||||
Capital One N.A., 2.25%, 09/13/21 | 500 | 481,039 | ||||||
ERAC USA Finance LLC, 2.60%, 12/01/21(b) | 350 | 341,112 | ||||||
Ford Motor Credit Co. LLC : | ||||||||
2.94%, 01/08/19 | 400 | 400,085 | ||||||
2.68%, 01/09/20 | 510 | 505,710 | ||||||
8.13%, 01/15/20(e) | 700 | 757,824 | ||||||
2.43%, 06/12/20 | 200 | 196,300 | ||||||
General Motors Financial Co., Inc. : | ||||||||
3.10%, 01/15/19 | 470 | 470,506 | ||||||
3.15%, 01/15/20(e) | 610 | 609,742 | ||||||
3.20%, 07/13/20 | 396 | 394,939 | ||||||
Nissan Motor Acceptance Corp. : | ||||||||
2.00%, 03/08/19(b) | 340 | 337,436 | ||||||
2.25%, 01/13/20(b)(e) | 795 | 785,439 | ||||||
Synchrony Financial, 3.00%, 08/15/19 | 900 | 897,286 | ||||||
|
| |||||||
8,565,500 | ||||||||
Containers & Packaging — 0.0% | ||||||||
WestRock Co., 3.75%, 03/15/25(b) | 70 | 69,838 | ||||||
|
| |||||||
Diversified Financial Services — 2.1% | ||||||||
AerCap Ireland Capital DAC/AerCap Global | ||||||||
Aviation Trust : | ||||||||
4.63%, 10/30/20 | 505 | 519,810 | ||||||
3.95%, 02/01/22 | 650 | 651,658 | ||||||
3.50%, 05/26/22 | 170 | 167,464 | ||||||
BP Capital Markets PLC, 2.52%, 01/15/20 | 760 | 755,604 | ||||||
CK Hutchison International 16 Ltd., | 295 | 282,067 | ||||||
Deutsche Telekom International Finance BV, | 230 | 225,938 | ||||||
Enel Finance International NV, 2.88%, 05/25/22(b) | 200 | 195,184 | ||||||
GE Capital International Funding Co., | 600 | 586,775 | ||||||
Hyundai Capital America : | ||||||||
2.40%, 10/30/18(b) | 140 | 139,596 | ||||||
2.55%, 04/03/20(b) | 215 | 211,655 | ||||||
|
| |||||||
3,735,751 | ||||||||
Diversified Telecommunication Services — 0.8% | ||||||||
AT&T Inc. : | ||||||||
3.20%, 03/01/22 | 310 | 308,353 | ||||||
3.60%, 02/17/23 | 580 | 583,464 |
Security | Par (000) | Value | ||||||
Diversified Telecommunication Services (continued) | ||||||||
Verizon Communications, Inc. : | ||||||||
2.95%, 03/15/22 | $ | 390 | $ | 383,444 | ||||
3.38%, 02/15/25 | 167 | 164,147 | ||||||
|
| |||||||
1,439,408 | ||||||||
Electric Utilities — 1.1% | ||||||||
Duke Energy Corp., 1.80%, 09/01/21 | 370 | 352,185 | ||||||
Emera U.S. Finance LP, 2.15%, 06/15/19 | 235 | 232,166 | ||||||
Eversource Energy, 2.75%, 03/15/22 | 415 | 406,757 | ||||||
Exelon Corp., 2.45%, 04/15/21 | 255 | 249,223 | ||||||
FirstEnergy Corp., 2.85%, 07/15/22 | 159 | 154,344 | ||||||
Georgia Power Co., 2.00%, 09/08/20 | 525 | 513,245 | ||||||
ITC Holdings Corp., 2.70%, 11/15/22(b) | 85 | 82,477 | ||||||
|
| |||||||
1,990,397 | ||||||||
Electronic Equipment, Instruments & Components — 0.2% | ||||||||
Amphenol Corp., 2.20%, 04/01/20 | 290 | 285,863 | ||||||
|
| |||||||
Energy Equipment & Services — 0.1% | ||||||||
Baker Hughes a GE Co. LLC / Baker Hughes | ||||||||
Co-Obligor, Inc., 2.77%, 12/15/22 | 225 | 220,319 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.5% | ||||||||
American Tower Corp., 2.25%, 01/15/22 | 140 | 133,877 | ||||||
Crown Castle International Corp. : | ||||||||
3.40%, 02/15/21 | 615 | 617,331 | ||||||
2.25%, 09/01/21 | 315 | 303,618 | ||||||
3.20%, 09/01/24 | 385 | 369,135 | ||||||
HCP, Inc., 3.75%, 02/01/19(e) | 800 | 804,054 | ||||||
Realty Income Corp., 3.25%, 10/15/22 | 375 | 372,046 | ||||||
|
| |||||||
2,600,061 | ||||||||
Food & Staples Retailing — 1.6% | ||||||||
Alimentation Couche-Tard, Inc., 2.70%, 07/26/22(b) | 350 | 339,328 | ||||||
CVS Health Corp. : | ||||||||
2.25%, 08/12/19 | 131 | 129,690 | ||||||
2.80%, 07/20/20 | 155 | 153,894 | ||||||
2.13%, 06/01/21(e) | 325 | 313,984 | ||||||
3.70%, 03/09/23 | 695 | 698,774 | ||||||
Walgreen Co., 3.10%, 09/15/22 | 200 | 195,855 | ||||||
Walgreens Boots Alliance, Inc., 2.70%, 11/18/19 | 950 | 945,378 | ||||||
|
| |||||||
2,776,903 | ||||||||
Food Products — 0.9% | ||||||||
Kraft Heinz Foods Co., 2.80%, 07/02/20 | 255 | 253,234 | ||||||
Tyson Foods, Inc., 2.25%, 08/23/21 | 165 | 159,126 | ||||||
Wm. Wrigley Jr. Co. : | ||||||||
2.90%, 10/21/19(b)(e) | 595 | 595,302 | ||||||
3.38%, 10/21/20(b)(e) | 595 | 600,040 | ||||||
|
| |||||||
1,607,702 | ||||||||
Health Care Equipment & Supplies — 1.2% | ||||||||
Abbott Laboratories : | ||||||||
2.00%, 09/15/18(e) | 615 | 613,634 | ||||||
2.90%, 11/30/21 | 850 | 841,006 | ||||||
Becton Dickinson and Co., 2.40%, 06/05/20 | 280 | 274,580 | ||||||
Stryker Corp., 2.00%, 03/08/19 | 315 | 312,912 | ||||||
|
| |||||||
2,042,132 | ||||||||
Health Care Providers & Services — 0.1% | ||||||||
Anthem, Inc., 2.50%, 11/21/20 | 175 | 172,035 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.9% | ||||||||
Carnival Corp., 3.95%, 10/15/20 | 600 | 615,160 | ||||||
Marriott International, Inc., 3.13%, 10/15/21 | 1,005 | 996,348 | ||||||
|
| |||||||
1,611,508 |
66 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series S Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Industrial Conglomerates — 0.1% | ||||||||
Roper Technologies, Inc., 2.80%, 12/15/21 | $ | 130 | $ | 127,882 | ||||
|
| |||||||
Insurance — 2.2% | ||||||||
AIA Group Ltd., 2.25%, 03/11/19(b)(e) | 500 | 496,310 | ||||||
American International Group, Inc., | 655 | 648,914 | ||||||
Aon PLC, 2.80%, 03/15/21 | 560 | 554,184 | ||||||
AXIS Specialty Finance PLC, 2.65%, 04/01/19(e) | 736 | 734,389 | ||||||
Hartford Financial Services Group, Inc., | 235 | 250,080 | ||||||
Marsh & McLennan Cos., Inc., 2.35%, 09/10/19(e) | 100 | 99,434 | ||||||
MassMutual Global Funding II, 2.00%, 04/15/21(b)(e) | 500 | 485,248 | ||||||
New York Life Global Funding, 2.00%, 04/13/21(b) | 230 | 223,265 | ||||||
Pricoa Global Funding I, 2.45%, 09/21/22(b) | 170 | 164,939 | ||||||
Willis North America, Inc., 3.60%, 05/15/24 | 135 | 132,798 | ||||||
|
| |||||||
3,789,561 | ||||||||
Internet Software & Services — 0.3% | ||||||||
Baidu, Inc., 2.88%, 07/06/22 | 300 | 290,902 | ||||||
eBay, Inc., 2.15%, 06/05/20 | 290 | 284,579 | ||||||
|
| |||||||
575,481 | ||||||||
IT Services — 0.6% | ||||||||
Fidelity National Information Services, Inc., | 985 | 997,373 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.8% | ||||||||
Thermo Fisher Scientific, Inc., 3.30%, 02/15/22 | 1,400 | 1,397,184 | ||||||
|
| |||||||
Machinery — 0.1% | ||||||||
John Deere Capital Corp., 2.35%, 01/08/21 | 195 | 191,964 | ||||||
|
| |||||||
Media — 2.2% | ||||||||
Charter Communications Operating LLC/Charter | ||||||||
Communications Operating Capital, | 440 | 449,455 | ||||||
NBCUniversal Enterprise, Inc., (3 mo. LIBOR US | ||||||||
+ 0.400%), 2.71%, 04/01/21(a)(b) | 300 | 300,902 | ||||||
NBCUniversal Media LLC, 5.15%, 04/30/20 | 1,220 | 1,273,391 | ||||||
Omnicom Group, Inc., 4.45%, 08/15/20 | 465 | 479,031 | ||||||
Sky PLC, 2.63%, 09/16/19(b)(e) | 1,255 | 1,249,714 | ||||||
Time Warner, Inc., 4.70%, 01/15/21 | 100 | 103,954 | ||||||
|
| |||||||
3,856,447 | ||||||||
Metals & Mining — 0.3% | ||||||||
Anglo American Capital PLC, 4.13%, 04/15/21(b) | 200 | 202,882 | ||||||
Newmont Mining Corp., 3.50%, 03/15/22 | 190 | 190,274 | ||||||
Vale Overseas, Ltd., 4.38%, 01/11/22 | 67 | 68,742 | ||||||
|
| |||||||
461,898 | ||||||||
Multi-Utilities — 0.3% | ||||||||
CenterPoint Energy, Inc., 2.50%, 09/01/22 | 270 | 261,660 | ||||||
Sempra Energy, (3 mo. LIBOR US + 0.500%), 2.21%, 01/15/21(a) | 220 | 220,161 | ||||||
|
| |||||||
481,821 | ||||||||
Oil, Gas & Consumable Fuels — 3.3% | ||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. : | ||||||||
6.25%, 10/15/22 | 53 | 55,586 | ||||||
3.50%, 12/01/22 | 145 | 142,494 | ||||||
Apache Corp. : | ||||||||
6.90%, 09/15/18 | 58 | 59,099 | ||||||
3.25%, 04/15/22 | 245 | 242,202 | ||||||
Devon Energy Corp., 3.25%, 05/15/22 | 520 | 513,726 |
Security | Par (000) | Value | ||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||
Enbridge Energy Partners LP, 4.38%, 10/15/20 | $ | 350 | $ | 357,757 | ||||
Enbridge, Inc., 2.90%, 07/15/22 | 225 | 218,285 | ||||||
Energy Transfer Partners LP : | ||||||||
4.15%, 10/01/20 | 750 | 760,419 | ||||||
3.60%, 02/01/23 | 150 | 146,217 | ||||||
Enterprise Products Operating LLC, 2.55%, 10/15/19 | 285 | 283,225 | ||||||
EOG Resources, Inc., 2.45%, 04/01/20 | 345 | 341,519 | ||||||
Kinder Morgan Energy Partners LP, 3.50%, 03/01/21 | 680 | 679,735 | ||||||
Kinder Morgan, Inc. : | ||||||||
3.05%, 12/01/19 | 145 | 144,625 | ||||||
3.15%, 01/15/23 | 465 | 452,512 | ||||||
Pioneer Natural Resources Co. : | ||||||||
7.50%, 01/15/20 | 45 | 48,419 | ||||||
3.45%, 01/15/21 | 385 | 387,396 | ||||||
Sabine Pass Liquefaction LLC, 5.63%, 02/01/21 | 340 | 357,476 | ||||||
Schlumberger Investment SA, 3.30%, 09/14/21(b) | 500 | 502,747 | ||||||
Texas Eastern Transmission LP, 2.80%, 10/15/22(b) | 190 | 182,474 | ||||||
|
| |||||||
5,875,913 | ||||||||
Pharmaceuticals — 2.0% | ||||||||
Allergan Funding SCS : | ||||||||
3.00%, 03/12/20(e) | 2,100 | 2,089,172 | ||||||
3.45%, 03/15/22 | 200 | 198,290 | ||||||
Mylan NV, 2.50%, 06/07/19 | 125 | 124,029 | ||||||
Shire Acquisitions Investments Ireland DAC, | 1,175 | 1,134,488 | ||||||
|
| |||||||
3,545,979 | ||||||||
Road & Rail — 1.6% | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. : | ||||||||
2.50%, 06/15/19(b) | 320 | 318,394 | ||||||
3.05%, 01/09/20(b) | 1,545 | 1,544,150 | ||||||
3.20%, 07/15/20(b) | 290 | 290,418 | ||||||
3.38%, 02/01/22(b) | 440 | 437,600 | ||||||
Ryder System, Inc. : | ||||||||
2.45%, 11/15/18 | 125 | 124,903 | ||||||
2.88%, 09/01/20(e) | 60 | 59,623 | ||||||
|
| |||||||
2,775,088 | ||||||||
Semiconductors & Semiconductor Equipment — 2.0% | ||||||||
Analog Devices, Inc., 2.85%, 03/12/20 | 70 | 69,886 | ||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. : | ||||||||
2.38%, 01/15/20(e) | 335 | 330,326 | ||||||
3.00%, 01/15/22 | 579 | 568,142 | ||||||
Intel Corp., 2.45%, 07/29/20 | 390 | 387,781 | ||||||
Lam Research Corp., 2.80%, 06/15/21 | 1,215 | 1,198,980 | ||||||
NVIDIA Corp., 2.20%, 09/16/21 | 750 | 731,305 | ||||||
QUALCOMM, Inc., 3.00%, 05/20/22 | 195 | 192,093 | ||||||
|
| |||||||
3,478,513 | ||||||||
Software — 0.7% | ||||||||
CA, Inc., 3.60%, 08/15/22 | 265 | 267,345 | ||||||
Oracle Corp., 2.80%, 07/08/21 | 995 | 992,235 | ||||||
|
| |||||||
1,259,580 | ||||||||
Technology Hardware, Storage & Peripherals — 0.6% | ||||||||
Dell International LLC/EMC Corp., 4.42%, 06/15/21(b) | 53 | 54,366 | ||||||
Hewlett Packard Enterprise Co. : | ||||||||
2.10%, 10/04/19(b) | 160 | 157,891 |
SCHEDULE OF INVESTMENTS | 67 |
Schedule of Investments (continued) March 31, 2018 | Series S Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Technology Hardware, Storage & Peripherals (continued) | ||||||||
3.60%, 10/15/20 | $ | 600 | $ | 605,551 | ||||
NetApp, Inc., 2.00%, 09/27/19 | 320 | 315,044 | ||||||
|
| |||||||
1,132,852 | ||||||||
Tobacco — 1.8% | ||||||||
Altria Group, Inc. : | ||||||||
2.63%, 01/14/20(e) | 1,000 | 994,090 | ||||||
4.75%, 05/05/21(e) | 240 | 250,859 | ||||||
Philip Morris International, Inc. : | ||||||||
4.50%, 03/26/20 | 325 | 334,572 | ||||||
1.88%, 02/25/21 | 160 | 154,723 | ||||||
Reynolds American, Inc., 3.25%, 06/12/20 | 1,368 | 1,368,132 | ||||||
|
| |||||||
3,102,376 | ||||||||
Trading Companies & Distributors — 1.6% | ||||||||
Air Lease Corp. : | ||||||||
2.63%, 09/04/18 | 35 | 34,961 | ||||||
3.38%, 01/15/19 | 125 | 125,468 | ||||||
2.50%, 03/01/21 | 425 | 416,586 | ||||||
3.38%, 06/01/21 | 155 | 155,247 | ||||||
2.63%, 07/01/22 | 650 | 627,636 | ||||||
GATX Corp., 2.50%, 03/15/19(e) | 1,000 | 996,217 | ||||||
International Lease Finance Corp., | 468 | 483,042 | ||||||
|
| |||||||
2,839,157 | ||||||||
Wireless Telecommunication Services — 0.2% | ||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC : | ||||||||
3.36%, 03/20/23(b) | 175 | 173,906 | ||||||
4.74%, 09/20/29(b) | 200 | 200,750 | ||||||
|
| |||||||
374,656 | ||||||||
Total Corporate Bonds — 65.0% |
| 114,333,514 | ||||||
|
| |||||||
Non-Agency Mortgage-Backed Securities — 12.2% |
| |||||||
Collateralized Mortgage Obligations — 1.0% | ||||||||
Bear Stearns Adjustable Rate Mortgage Trust, | 2 | 2,405 | ||||||
Bear Stearns Alt-A Trust, | 1 | 1,437 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | 74 | 74,267 | ||||||
JP Morgan Trust: | ||||||||
Series 2015-3, Class A5, | 851 | 855,437 | ||||||
Series 2016-2, Class A1, | 749 | 744,630 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, | 57 | 57,750 | ||||||
|
| |||||||
1,735,926 | ||||||||
Commercial Mortgage-Backed Securities — 10.7% | ||||||||
CGBAM Commercial Mortgage Trust, | 830 | 824,001 | ||||||
Commercial Mortgage Trust: | ||||||||
Series 2013-CR12, Class A2, | 1,730 | 1,731,859 | ||||||
Series 2013-SFS, Class A1, | 263 | 254,112 | ||||||
Series 2014-UBS2, Class A2, | 1,380 | 1,382,301 | ||||||
Series 2014-UBS6, Class ASB, | 1,110 | 1,120,533 |
Security | Par (000) | Value | ||||||
| ||||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
Series 2015-CR23, Class A2, 2.85%, 05/10/48 | $ | 3,740 | $ | 3,742,029 | ||||
GAHR Commercial Mortgage Trust, | 186 | 185,701 | ||||||
GS Mortgage Securities Trust, | 1,500 | 1,532,629 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||||||
Series 2012-CBX, Class A4, 3.48%, 06/15/45 | 3,000 | 3,024,751 | ||||||
Series 2016-WPT, Class A, (1 mo. LIBOR US + 1.450%), 3.23%, 10/15/33(a)(b) | 500 | 500,486 | ||||||
LB-UBS Commercial Mortgage Trust, | 830 | 829,288 | ||||||
Morgan Stanley Capital I Trust: | ||||||||
Series 2012-C4, Class A4, 3.24%, 03/15/45 | 1,900 | 1,902,797 | ||||||
Series 2014-CPT, Class A, 3.35%, 07/13/29(b) | 1,300 | 1,311,839 | ||||||
Wachovia Bank Commercial Mortgage Trust, | 312 | 319,800 | ||||||
Waldorf Astoria Boca Raton Trust, | 150 | 150,315 | ||||||
|
| |||||||
18,812,441 | ||||||||
Interest Only Commercial Mortgage-Backed Securities — 0.5% | ||||||||
Citigroup Commercial Mortgage Trust, | 5,012 | 219,647 | ||||||
Commercial Mortgage Trust: | ||||||||
Series 2015-CR23, Class XA, | 2,565 | 117,543 | ||||||
Series 2015-LC21, Class XA, | 6,358 | 243,509 | ||||||
CSAIL Commercial Mortgage Trust, | 992 | 99,488 | ||||||
WFRBS Commercial Mortgage Trust, | 9,228 | 279,118 | ||||||
|
| |||||||
959,305 | ||||||||
Total Non-Agency Mortgage-Backed |
| 21,507,672 | ||||||
|
| |||||||
U.S. Government Sponsored Agency Securities — 31.0% |
| |||||||
Collateralized Mortgage Obligations — 3.3% | ||||||||
Freddie Mac: | ||||||||
Series 3959, Class MA, 4.50%, 11/15/41 | 254 | 266,292 | ||||||
Series 3986, Class M, 4.50%, 09/15/41 | 267 | 279,793 | ||||||
Series 4239, Class AB, 4.00%, 12/15/39 | 753 | 775,635 | ||||||
Series 4253, Class PA, 3.50%, 08/15/41 | 642 | 650,845 | ||||||
Series 4274, Class PN, 3.50%, 10/15/35 | 478 | 487,737 | ||||||
Series 4390, Class CA, 3.50%, 06/15/50 | 474 | 481,755 | ||||||
Series 4459, Class BN, 3.00%, 08/15/43 | 892 | 884,433 | ||||||
Series 4482, Class DH, 3.00%, 06/15/42 | 502 | 501,982 | ||||||
Series 4493, Class PA, 3.00%, 02/15/44 | 679 | 681,484 | ||||||
Series 4494, Class KA, 3.75%, 10/15/42 | 823 | 845,352 | ||||||
|
| |||||||
5,855,308 |
68 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series S Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities — 0.5% | ||||||||
Freddie Mac, Series KP03, Class A2, 1.78%, 07/25/19 | $ | 781 | $ | 774,318 | ||||
|
| |||||||
Interest Only Commercial Mortgage-Backed Securities — 0.1% | ||||||||
Fannie Mae, Series 2013-M5, Class X2, 2.18%, 01/25/22(d) | 1,206 | 53,588 | ||||||
Freddie Mac, Series KW01, Class X1, 0.98%, 01/25/26(d) | 2,100 | 127,587 | ||||||
|
| |||||||
181,175 | ||||||||
Mortgage-Backed Securities — 27.1% | ||||||||
Fannie Mae Mortgage-Backed Securities: | ||||||||
2.50%, 12/01/27-04/01/33(e)(g) | 16,636 | 16,308,750 | ||||||
3.00%, 04/01/33(g) | 9,700 | 9,687,371 | ||||||
3.50%, 04/01/33(g) | 8,110 | 8,268,259 | ||||||
4.00%, 04/01/33(g) | 1,345 | 1,382,910 | ||||||
4.50%, 09/01/26(e) | 112 | 116,760 | ||||||
5.00%, 07/01/19-07/01/25(e) | 203 | 206,501 | ||||||
(12 mo. LIBOR US + 1.578), 2.89%, 07/01/44(a)(e) | 1,163 | 1,173,783 | ||||||
(12 mo. LIBOR US + 1.590), 2.95%, 10/01/45(a)(e) | 2,090 | 2,097,978 | ||||||
(12 mo. LIBOR US + 1.590), 3.15%, 06/01/45(a)(e) | 1,387 | 1,398,451 | ||||||
(12 mo. LIBOR US + 1.695), 2.72%, 07/01/43(a)(e) | 1,882 | 1,889,046 | ||||||
Freddie Mac Mortgage-Backed Securities: | ||||||||
2.50%, 11/01/27(e) | 915 | 903,206 | ||||||
5.00%, 01/01/19-09/01/21(e) | 71 | 72,187 | ||||||
5.50%, 05/01/22(e) | 101 | 103,569 | ||||||
(12 mo. LIBOR US + 1.620%), 2.62%, 03/01/45(a)(e) | 1,629 | 1,631,664 | ||||||
(12 mo. LIBOR US + 1.622%), 3.04%, 05/01/45(a)(e) | 2,463 | 2,472,774 | ||||||
|
| |||||||
47,713,209 | ||||||||
Total U.S. Government Sponsored Agency Securities — 31.0% |
| 54,524,010 | ||||||
|
| |||||||
Total Long-Term Investments — 140.6% |
| 247,300,288 | ||||||
|
| |||||||
Shares | ||||||||
Short-Term Securities — 6.7% | ||||||||
Dreyfus Treasury Securities Cash Management, Institutional Class, | 11,876,839 | 11,876,839 | ||||||
|
| |||||||
Total Short-Term Securities — 6.7% |
| 11,876,839 | ||||||
|
| |||||||
Options Purchased — 0.0% |
| 27,629 | ||||||
|
| |||||||
Total Investments — 147.3% |
| 259,204,756 | ||||||
Liabilities in Excess of Other Assets — (47.3)% |
| (83,265,683 | ) | |||||
|
| |||||||
Net Assets — 100.0% |
| $ | 175,939,073 | |||||
|
|
SCHEDULE OF INVESTMENTS | 69 |
Schedule of Investments (continued) March 31, 2018 | Series S Portfolio |
(a) | Variable rate security. Rate shown is the rate in effect as of period end. |
(b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(d) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(e) | All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
(f) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(g) | Represents or includes a TBA transaction. |
(h) | Annualized 7-day yield as of period end. |
For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Reverse Repurchase Agreements
Counterparty | Interest Rate | Trade Date | Maturity Date (a) | Face Value | Face Value Including | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements | |||||||||||||||
RBC Capital Markets, LLC | 2.10 | % | 05/10/17 | Open | $ | 1,090,530 | $ | 1,103,780 | Corporate Bonds | Open/Demand | ||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 05/15/17 | Open | 699,200 | 707,554 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 05/24/17 | Open | 571,200 | 577,834 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 05/24/17 | Open | 580,125 | 586,862 | Corporate Bonds | Open/Demand | ||||||||||||||
Credit Suisse Securities (USA) LLC | 2.00 | % | 06/15/17 | Open | 662,400 | 670,376 | Corporate Bonds | Open/Demand | ||||||||||||||
Credit Suisse Securities (USA) LLC | 2.00 | % | 06/15/17 | Open | 502,838 | 508,893 | Corporate Bonds | Open/Demand | ||||||||||||||
Credit Suisse Securities (USA) LLC | 2.00 | % | 06/15/17 | Open | 475,000 | 480,720 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 06/19/17 | Open | 463,750 | 469,587 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 06/21/17 | Open | 1,192,250 | 1,207,152 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 06/29/17 | Open | 892,925 | 903,810 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 08/01/17 | Open | 955,000 | 965,250 | Corporate Bonds | Open/Demand | ||||||||||||||
Credit Suisse Securities (USA) LLC | 2.05 | % | 08/23/17 | Open | 748,294 | 755,414 | Corporate Bonds | Open/Demand | ||||||||||||||
Credit Suisse Securities (USA) LLC | 2.05 | % | 08/23/17 | Open | 738,225 | 745,249 | Corporate Bonds | Open/Demand | ||||||||||||||
Credit Suisse Securities (USA) LLC | 2.05 | % | 08/23/17 | Open | 779,163 | 786,577 | Corporate Bonds | Open/Demand | ||||||||||||||
Credit Suisse Securities (USA) LLC | 2.05 | % | 08/23/17 | Open | 750,000 | 757,136 | Corporate Bonds | Open/Demand | ||||||||||||||
Credit Suisse Securities (USA) LLC | 2.05 | % | 08/23/17 | Open | 635,075 | 641,118 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 08/23/17 | Open | 755,563 | 762,938 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 08/23/17 | Open | 585,600 | 591,316 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 08/23/17 | Open | 646,313 | 652,622 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 08/23/17 | Open | 579,638 | 585,296 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 08/23/17 | Open | 745,500 | 752,777 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 09/18/17 | Open | 476,250 | 480,331 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 09/18/17 | Open | 304,688 | 307,299 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 09/18/17 | Open | 733,425 | 739,709 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 09/18/17 | Open | 2,016,000 | 2,033,274 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 12/08/17 | Open | 243,600 | 244,794 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 12/19/17 | Open | 620,613 | 623,848 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 12/20/17 | Open | 960,000 | 964,956 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 12/20/17 | Open | 606,250 | 609,380 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 12/20/17 | Open | 774,000 | 777,996 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 12/20/17 | Open | 1,823,938 | 1,833,354 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 01/19/18 | Open | 761,400 | 764,085 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 01/19/18 | Open | 95,000 | 95,335 | Corporate Bonds | Open/Demand | ||||||||||||||
Credit Suisse Securities (USA) LLC | 2.05 | % | 01/22/18 | Open | 213,900 | 214,638 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 01/22/18 | Open | 165,812 | 166,397 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 01/23/18 | Open | 466,812 | 468,434 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 01/23/18 | Open | 57,300 | 57,499 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 01/30/18 | Open | 661,500 | 663,529 | Corporate Bonds | Open/Demand | ||||||||||||||
Credit Suisse Securities (USA) LLC | 2.05 | % | 02/21/18 | Open | 315,102 | 315,716 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 02/21/18 | Open | 1,614,375 | 1,617,593 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 02/21/18 | Open | 1,391,250 | 1,394,023 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 02/21/18 | Open | 1,402,500 | 1,405,296 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 02/22/18 | Open | 1,572,112 | 1,575,165 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 02/22/18 | Open | 1,228,937 | 1,231,324 | Corporate Bonds | Open/Demand |
70 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series S Portfolio |
Counterparty | Interest Rate | Trade Date | Maturity Date (a) | Face Value | Face Value Including | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements | |||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 02/22/18 | Open | $ | 1,165,625 | $ | 1,167,889 | Corporate Bonds | Open/Demand | ||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 02/22/18 | Open | 935,000 | 936,816 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 02/22/18 | Open | 1,016,600 | 1,018,574 | Corporate Bonds | Open/Demand | ||||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | 2,326,000 | 2,328,076 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | 2,029,000 | 2,030,811 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | 263,000 | 263,235 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | 87,000 | 87,078 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | 9,000 | 9,008 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | 6,000 | 6,005 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | 1,342,000 | 1,343,198 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | 364,000 | 364,325 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | 102,000 | 102,091 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | 875,000 | 875,781 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | 6,000 | 6,005 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | 84,000 | 84,075 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | 1,845,000 | 1,846,647 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | 517,000 | 517,461 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | 109,000 | 109,097 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | 37,000 | 37,033 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | 32,000 | 32,029 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | 122,000 | 122,109 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | 1,559,000 | 1,560,391 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
SCHEDULE OF INVESTMENTS | 71 |
Schedule of Investments (continued) March 31, 2018 | Series S Portfolio |
Counterparty | Interest Rate | Trade Date | Maturity Date (a) | Face Value | Face Value Including | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements | |||||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | $ | 21,000 | $ | 21,019 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | 1,130,000 | 1,131,009 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | 66,000 | 66,059 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | 1,778,000 | 1,779,587 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | 92,000 | 92,082 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
Citigroup Global Markets, Inc. | 1.89 | % | 03/14/18 | 04/17/18 | 31,000 | 31,028 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
RBC Capital Markets, LLC | 2.09 | % | 03/28/18 | Open | 696,575 | 696,696 | Corporate Bonds | Open/Demand | ||||||||||||||
|
|
|
| |||||||||||||||||||
$ | 52,199,153 | $ | 52,461,450 | |||||||||||||||||||
|
|
|
|
(a) | Certain agreements have no stated maturity and can be terminated by either party at any time. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||
Long Contracts | ||||||||||||||||
U.S. Treasury Notes (2 Year) | 55 | 06/29/18 | $ | 11,694 | $ | 4,826 | ||||||||||
|
| |||||||||||||||
4,826 | ||||||||||||||||
|
| |||||||||||||||
Short Contracts | ||||||||||||||||
U.S. Treasury Notes (10 Year) | 87 | 06/20/18 | 10,539 | (80,565 | ) | |||||||||||
U.S. Treasury Notes (5 Year) | 333 | 06/29/18 | 38,115 | (130,552 | ) | |||||||||||
U.S. Ultra Treasury Bonds (10 Year) | 49 | 06/20/18 | 6,363 | (66,411 | ) | |||||||||||
|
| |||||||||||||||
(277,528 | ) | |||||||||||||||
|
| |||||||||||||||
$ | (272,702 | ) | ||||||||||||||
|
|
OTC Interest Rate Swaptions Purchased
Description | Paid by the Fund | Received by the Fund | Expiration | Exercise | Notional Amount | |||||||||||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Counterparty | Date | Date | (000) | Value | ||||||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||||||||||
5-Year Interest Rate Swap, 01/20/27 | 3.35% | Semi-annual | 3-month LIBOR, 2.31% | Quarterly | Deutsche Bank AG | 01/18/22 | 3.35% | $1,735 | $27,629 | |||||||||||||||||||||||||||||||
|
|
72 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series S Portfolio |
Centrally Cleared Interest Rate Swaps
Paid by the Fund | Received by the Fund | Effective Date | Termination Date | Notional (000) | Value | Upfront Paid | Unrealized (Depreciation) | |||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||
3-month LIBOR, 2.31% | Quarterly | 0.93% | Semi-annual | N/A | 08/05/18 | $22,000 | $ | (124,391 | ) | $ | 43 | $ | (124,434 | ) | ||||||||||||||
3-month LIBOR, 2.31% | Quarterly | 1.51% | Semi-annual | N/A | 04/21/19 | $20,000 | (115,901 | ) | 120 | (116,021 | ) | |||||||||||||||||
3-month LIBOR, 2.31% | Quarterly | 2.40% | Semi-annual | 04/04/18 | (a) | 12/31/19 | $23,178 | (56,956 | ) | 253 | (57,209 | ) | ||||||||||||||||
3-month LIBOR, 2.31% | Quarterly | 2.62% | Semi-annual | 07/05/18 | (a) | 03/31/20 | $11,329 | 1,202 | 129 | 1,073 | ||||||||||||||||||
1.22% | Semi-annual | 3-month LIBOR, 2.31% | Quarterly | N/A | 05/18/21 | $10,000 | 404,123 | 103 | 404,020 | |||||||||||||||||||
1.30% | Semi-annual | 3-month LIBOR, 2.31% | Quarterly | N/A | 05/20/21 | $10,000 | 377,295 | 103 | 377,192 | |||||||||||||||||||
3-month LIBOR, 2.31% | Quarterly | 2.70% | Semi-annual | 01/20/22 | (a) | 01/20/27 | $580 | (3,113 | ) | 6 | (3,119 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 482,259 | $ | 757 | $ | 481,502 | |||||||||||||||||||||||
|
|
|
|
|
|
(a) | Forward swap. |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps
Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||
Centrally Cleared Swaps(a) | $757 | $— | $782,285 | $300,783 |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
Assets — Derivative Financial Instruments | Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||||||||
Futures contracts | | Net unrealized appreciation | (a) | $ | — | $ | — | $ | — | $ | — | $ | 4,826 | $ | — | $ | 4,826 | |||||||||||||||
Options purchased | | Investments at value — unaffiliated | (b) | — | — | — | — | 27,629 | — | 27,629 | ||||||||||||||||||||||
Swaps — centrally cleared | | Net unrealized appreciation | (a) | — | — | — | — | 782,285 | — | 782,285 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 814,740 | $ | — | $ | 814,740 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||||||
Futures contracts | | Net unrealized depreciation | (a) | $ | — | $ | — | $ | — | $ | — | $ | 277,528 | $ | — | $ | 277,528 | |||||||||||||||
Swaps — centrally cleared | | Net unrealized depreciation | (a) | — | — | — | — | 300,783 | — | 300,783 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 578,311 | $ | — | $ | 578,311 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
(b) | Includes options purchased at value as reported in the Schedule of Investments. |
SCHEDULE OF INVESTMENTS | 73 |
Schedule of Investments (continued) March 31, 2018 | Series S Portfolio |
For the year ended March 31, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:
| ||||||||||||||||||||||||||||
Net Realized Gain (Loss) from: | Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||||
| ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | 824,826 | $ | — | $ | 824,826 | ||||||||||||||
Options written | — | — | — | — | 71,638 | — | 71,638 | |||||||||||||||||||||
Swaps | — | $ | 84,109 | — | — | (434,733 | ) | — | (350,624 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 84,109 | $ | — | $ | — | $ | 461,731 | $ | — | $ | 545,840 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| ||||||||||||||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | (35,890 | ) | $ | — | $ | (35,890 | ) | ||||||||||||
Options purchased(a) | — | — | — | — | (8,919 | ) | — | (8,919 | ) | |||||||||||||||||||
Options written | — | — | — | — | (43,768 | ) | — | (43,768 | ) | |||||||||||||||||||
Swaps | — | $ | (26,053 | ) | — | — | 164,644 | �� | — | 138,591 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | (26,053 | ) | $ | — | $ | — | $ | 76,067 | $ | — | $ | 50,014 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts: | ||||
Average notional value of contracts — long | $ | 22,213,253 | ||
Average notional value of contracts — short | $ | 53,115,946 | ||
Options: | ||||
Average notional value of swaption contracts purchased | $ | 1,735,000 | ||
Average notional value of swaption contracts written | $ | 9,800,000 | ||
Credit default swaps: | ||||
Average notional value — sell protection | $ | 2,555,000 | ||
Interest rate swaps: | ||||
Average notional value — pays fixed rate | $ | 23,810,000 | ||
Average notional value — receives fixed rate | $ | 72,879,250 |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
74 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (continued) March 31, 2018 | Series S Portfolio |
Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
Assets | Liabilities | |||||||
Derivative Financial Instruments: | ||||||||
Options(a) | $ | 27,629 | $ | — | ||||
Swaps — Centrally cleared | — | 4,797 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | $ | 27,629 | $ | 4,797 | ||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | — | (4,797 | ) | |||||
|
|
|
| |||||
Total derivative assets and liabilities subject to an MNA | $ | 27,629 | $ | — | ||||
|
|
|
|
(a) | Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments. |
The following tables present the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
Counterparty | Derivative Assets Subject to an MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Received | Cash Collateral Received | Net Amount of Derivative Assets (a) | |||||||||||||||
Deutsche Bank AG | $ | 27,629 | $ | — | $ | — | $ | — | $ | 27,629 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(a) | Net amount represents the net amount receivable from the counterparty in the event of default. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 56,216,542 | $ | 609,939 | $ | 56,826,481 | ||||||||
Corporate Bonds(a) | — | 114,333,514 | — | 114,333,514 | ||||||||||||
Capital Trusts(a) | — | 108,611 | — | 108,611 | ||||||||||||
Non-Agency Mortgage-Backed Securities | — | 21,507,672 | — | 21,507,672 | ||||||||||||
U.S. Government Sponsored Agency Securities | — | 54,524,010 | — | 54,524,010 | ||||||||||||
Short-Term Securities | 11,876,839 | — | — | 11,876,839 | ||||||||||||
Options Purchased | ||||||||||||||||
Interest rate contracts | — | 27,629 | — | 27,629 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 11,876,839 | $ | 246,717,978 | $ | 609,939 | $ | 259,204,756 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Financial Instruments(b) | ||||||||||||||||
Assets | ||||||||||||||||
Interest rate contracts | $ | 4,826 | $ | 782,285 | $ | — | $ | 787,111 | ||||||||
Liabilities | ||||||||||||||||
Interest rate contracts | (277,528 | ) | (300,783 | ) | — | (578,311 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (272,702 | ) | $ | 481,502 | $ | — | $ | 208,800 | ||||||||
|
|
|
|
|
|
|
|
(a) | See above Schedule of Investments for values in each industry. |
(b) | Derivative financial instruments are swaps and futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument. |
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $52,461,450 are categorized as Level 2 within the disclosure hierarchy.
During the year ended March 31, 2018, there were no transfers between Level 1 and Level 2.
SCHEDULE OF INVESTMENTS | 75 |
Schedule of Investments (continued) March 31, 2018 | Series S Portfolio |
A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
Asset-Backed Securities | ||||
Assets | ||||
Opening Balance, as of March 31, 2017 | $ | 4,350,000 | ||
Transfers into Level 3 | 609,658 | |||
Transfers out of Level 3(a) | (4,350,000 | ) | ||
Accrued discounts/premiums | — | |||
Net realized gain (loss) | — | |||
Net change in unrealized appreciation (depreciation)(b)(c) | 281 | |||
Purchases | — | |||
Sales | — | |||
|
| |||
Closing Balance, as of March 31, 2018 | $ | 609,939 | ||
|
| |||
Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2018(c) | $ | 281 | ||
|
|
(a) | As of March 31, 2017, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2018, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. |
(b) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
(c) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at March 31, 2018 is generally due to investments no longer held or categorized as Level 3 at period end. |
The Fund’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.
See notes to financial statements.
76 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Statements of Assets and Liabilities
March 31, 2018
Series A Portfolio | Series C Portfolio | Series E Portfolio | ||||||||||||||||||
ASSETS | ||||||||||||||||||||
Investments at value — unaffiliated(a) | $ | 584,860,367 | $ | 387,651,166 | $ | 190,797,282 | ||||||||||||||
Cash | — | 189,734 | — | |||||||||||||||||
Cash pledged: | ||||||||||||||||||||
Collateral — OTC derivatives | 690,000 | — | — | |||||||||||||||||
Futures contracts | — | 556,710 | 211,650 | |||||||||||||||||
Centrally cleared swaps | — | 186,530 | — | |||||||||||||||||
Receivables: | ||||||||||||||||||||
Investments sold | 1,532,825 | — | 1,867,975 | |||||||||||||||||
Capital shares sold | 723,477 | 339,155 | 14,769 | |||||||||||||||||
Dividends — unaffiliated | 94,800 | 5,524 | 10,112 | |||||||||||||||||
Interest — unaffiliated | 2,654,000 | 3,649,023 | 2,390,660 | |||||||||||||||||
From the Manager | 78,116 | 40,105 | 27,362 | |||||||||||||||||
Swap premiums paid | 2,829 | — | — | |||||||||||||||||
Unrealized appreciation on OTC swaps | 56,254 | 46,081 | — | |||||||||||||||||
Deferred offering costs | — | — | 5,860 | |||||||||||||||||
Prepaid expenses | 22,456 | 18,603 | 15,321 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total assets | 590,715,124 | 392,682,631 | 195,340,991 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
ACCRUED LIABILITIES | ||||||||||||||||||||
Bank overdraft | 19,790 | — | 60,281 | |||||||||||||||||
Cash received: | ||||||||||||||||||||
Collateral — OTC derivatives | — | 260,000 | — | |||||||||||||||||
Payables: | ||||||||||||||||||||
Investments purchased | 14,854,440 | 1,721,854 | 7,428,992 | |||||||||||||||||
Capital shares redeemed | 422,697 | 553,251 | 222,551 | |||||||||||||||||
Income dividends | 2,432,205 | 1,219,147 | 651,280 | |||||||||||||||||
Interest expense and fees | — | 29 | 32,819 | |||||||||||||||||
Offering costs | 117,859 | — | 27,594 | |||||||||||||||||
Trustees’ and Officer’s fees | 5,633 | 6,549 | 5,798 | |||||||||||||||||
Other accrued expenses | 197,989 | 179,686 | 144,771 | |||||||||||||||||
Variation margin on centrally cleared swaps | — | 17,522 | — | |||||||||||||||||
Swap premiums received | 1,040,578 | 50,589 | — | |||||||||||||||||
Unrealized depreciation on OTC swaps | 41,128 | — | — | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total accrued liabilities | 19,132,319 | 4,008,627 | 8,574,086 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
OTHER LIABILITIES | ||||||||||||||||||||
TOB Trust Certificates | — | — | 6,625,000 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total other liabilities | — | — | 6,625,000 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total liabilities | 19,132,319 | 4,008,627 | 15,199,086 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
NET ASSETS | $ | 571,582,805 | $ | 388,674,004 | $ | 180,141,905 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
NET ASSETS CONSIST OF | ||||||||||||||||||||
Paid-in capital | $ | 572,308,604 | $ | 386,755,571 | $ | 174,862,501 | ||||||||||||||
Undistributed (distributions in excess of) net investment income | 1,868,628 | (45,124 | ) | 56,581 | ||||||||||||||||
Accumulated net realized gain (loss) | 116,625 | (557,155 | ) | 783,542 | ||||||||||||||||
Net unrealized appreciation (depreciation) | (2,711,052 | ) | 2,520,712 | 4,439,281 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
NET ASSETS | $ | 571,582,805 | $ | 388,674,004 | $ | 180,141,905 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
NET ASSET VALUE | ||||||||||||||||||||
Shares outstanding(b) | 56,355,245 | 38,186,845 | 16,708,198 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Net asset value | $ | 10.14 | $ | 10.18 | $ | 10.78 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
(a) Investments at cost — unaffiliated | $ | 587,586,545 | $ | 385,919,935 | $ | 186,100,140 | ||||||||||||||
(b) Unlimited number of shares authorized, $0.001 par value. |
See notes to financial statements.
FINANCIAL STATEMENTS | 77 |
Statements of Assets and Liabilities (continued)
March 31, 2018
Series M Portfolio | Series P Portfolio | Series S Portfolio | ||||||||||
ASSETS | ||||||||||||
Investments at value — unaffiliated(a) | $ | 1,564,716,659 | — | $ | 259,204,756 | |||||||
Investments at value — affiliated(b) | — | $ | 24,959,306 | — | ||||||||
Cash | — | 56,737,666 | 938,540 | |||||||||
Cash pledged: | ||||||||||||
Futures contracts | 528,000 | 218,190 | 319,920 | |||||||||
Centrally cleared swaps | 857,960 | 1,770,570 | 98,930 | |||||||||
Foreign currency at value(c) | — | 272 | 77,691 | |||||||||
Receivables: | ||||||||||||
Investments sold | 967,110 | 558,110 | 18,790 | |||||||||
TBA sale commitments | 499,534,985 | — | — | |||||||||
Capital shares sold | 1,843,084 | 61,884 | 29,182 | |||||||||
Dividends — unaffiliated | 8,762 | — | 7,571 | |||||||||
Dividends — affiliated | — | 66,705 | — | |||||||||
Interest — unaffiliated | 3,103,905 | — | 1,089,861 | |||||||||
From the Manager | 60,059 | 16,844 | 25,339 | |||||||||
Variation margin on centrally cleared swaps | 433,015 | — | — | |||||||||
Prepaid expenses | 33,677 | 14,170 | 14,942 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 2,072,087,216 | 84,403,717 | 261,825,522 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Bank overdraft | 128,268 | — | — | |||||||||
TBA sale commitments at value(d) | 501,482,193 | — | — | |||||||||
Payables: | ||||||||||||
Investments purchased | 755,176,949 | — | 32,202,588 | |||||||||
Reverse repurchase agreements | — | — | 52,461,450 | |||||||||
Capital shares redeemed | 1,565,558 | 24,028 | 676,880 | |||||||||
Income dividends | 2,129,327 | — | 392,778 | |||||||||
Trustees’ and Officer’s fees | 6,447 | 5,732 | 7,036 | |||||||||
Other accrued expenses | 201,696 | 85,846 | 140,920 | |||||||||
Variation margin on centrally cleared swaps | — | 207,966 | 4,797 | |||||||||
Swap premiums received | 1,184,802 | — | — | |||||||||
Unrealized depreciation on OTC swaps | 181,332 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 1,262,056,572 | 323,572 | 85,886,449 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 810,030,644 | $ | 84,080,145 | $ | 175,939,073 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF | ||||||||||||
Paid-in capital | $ | 835,572,974 | $ | 113,090,597 | $ | 186,990,390 | ||||||
Undistributed (distributions in excess of) net investment income | 1,235,791 | 114,383 | (317,687 | ) | ||||||||
Accumulated net realized loss | (13,330,862 | ) | (30,118,283 | ) | (7,506,727 | ) | ||||||
Net unrealized appreciation (depreciation) | (13,447,259 | ) | 993,448 | (3,226,903 | ) | |||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 810,030,644 | $ | 84,080,145 | $ | 175,939,073 | ||||||
|
|
|
|
|
| |||||||
NET ASSET VALUE | ||||||||||||
Shares outstanding(e) | 85,515,909 | 8,799,528 | 18,751,997 | |||||||||
|
|
|
|
|
| |||||||
Net asset value | $ | 9.47 | $ | 9.56 | $ | 9.38 | ||||||
|
|
|
|
|
| |||||||
(a) Investments at cost — unaffiliated | $ | 1,576,086,799 | — | $ | 262,646,764 | |||||||
(b) Investments at cost — affiliated | — | $ | 25,811,836 | — | ||||||||
(c) Foreign currency at cost | — | $ | 265 | $ | 71,385 | |||||||
(d) Proceeds from TBA sale commitments | $ | 499,534,985 | — | — | ||||||||
(e) Unlimited number of shares authorized, $0.001 par value. |
See notes to financial statements.
78 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Year Ended March 31, 2018
Series A Portfolio | Series C Portfolio | Series E Portfolio | ||||||||||
INVESTMENT INCOME | ||||||||||||
Interest — unaffiliated | $ | 24,460,844 | $ | 14,112,288 | $ | 7,199,635 | ||||||
Dividends — unaffiliated | 351,358 | 85,894 | 65,950 | |||||||||
|
|
|
|
|
| |||||||
Total income | 24,812,202 | 14,198,182 | 7,265,585 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES | ||||||||||||
Registration | 112,217 | 41,955 | 72,785 | |||||||||
Professional | 102,702 | 68,577 | 83,218 | |||||||||
Administration | 68,213 | 68,561 | 38,544 | |||||||||
Transfer agent | 43,104 | 119,660 | 28,166 | |||||||||
Custodian | 36,020 | 29,923 | 13,181 | |||||||||
Trustees and Officer | 20,251 | 24,718 | 20,996 | |||||||||
Printing | 11,857 | 12,257 | 8,031 | |||||||||
Pricing | 69,932 | 62,555 | 45,487 | |||||||||
Miscellaneous | 43,864 | 22,514 | 43,135 | |||||||||
|
|
|
|
|
| |||||||
Total expenses excluding interest expense | 508,160 | 450,720 | 353,543 | |||||||||
Interest expense, fees and amortization of offering costs(a) | — | — | 107,843 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 508,160 | 450,720 | 461,386 | |||||||||
Less: | ||||||||||||
Fees waived and/or reimbursed by the Manager | (505,653 | ) | (448,485 | ) | (353,488 | ) | ||||||
|
|
|
|
|
| |||||||
Total expenses after fees waived and/or reimbursed | 2,507 | 2,235 | 107,898 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 24,809,695 | 14,195,947 | 7,157,687 | |||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments — unaffiliated | 676,489 | 2,849,666 | 1,041,304 | |||||||||
Options written | — | 46,149 | — | |||||||||
Futures contracts | — | (1,426,921 | ) | 594,110 | ||||||||
Swaps | 346,652 | 388,322 | — | |||||||||
Foreign currency transactions | — | 1,407 | — | |||||||||
|
|
|
|
|
| |||||||
1,023,141 | 1,858,623 | 1,635,414 | ||||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments — unaffiliated | (3,274,446 | ) | (5,016,829 | ) | 2,879,143 | |||||||
Options written | — | 1,329 | — | |||||||||
Futures contracts | — | 840,401 | (257,859 | ) | ||||||||
Swaps | 11,597 | 19,658 | — | |||||||||
|
|
|
|
|
| |||||||
(3,262,849 | ) | (4,155,441 | ) | 2,621,284 | ||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) | (2,239,708 | ) | (2,296,818 | ) | 4,256,698 | |||||||
|
|
|
|
|
| |||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 22,569,987 | $ | 11,899,129 | $ | 11,414,385 | ||||||
|
|
|
|
|
| |||||||
(a) Related to TOB Trusts. |
See notes to financial statements.
FINANCIAL STATEMENTS | 79 |
Statements of Operations (continued)
Year Ended March 31, 2018
Series M Portfolio | Series P Portfolio | Series S Portfolio | ||||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||||||
Interest — unaffiliated | $ | 17,198,106 | — | $ | 4,762,939 | |||||||||||||||
Dividends — unaffiliated | 149,905 | 42,777 | ||||||||||||||||||
Dividends — affiliated | — | $ | 913,228 | — | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total income | 17,348,011 | 913,228 | 4,805,716 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
EXPENSES | ||||||||||||||||||||
Transfer agent | 149,853 | 25,465 | 30,916 | |||||||||||||||||
Custodian | 109,830 | 10,468 | 31,176 | |||||||||||||||||
Administration | 98,214 | 31,461 | 40,559 | |||||||||||||||||
Registration | 64,708 | 30,490 | 35,732 | |||||||||||||||||
Professional | 63,695 | 64,762 | 63,359 | |||||||||||||||||
Trustees and Officer | 24,287 | 20,701 | 26,572 | |||||||||||||||||
Pricing | 15,407 | 250 | 48,916 | |||||||||||||||||
Printing | 14,190 | 9,090 | 9,095 | |||||||||||||||||
Miscellaneous | 17,428 | 5,533 | 13,776 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total expenses excluding interest expense | 557,612 | 198,220 | 300,101 | |||||||||||||||||
Interest expense(a) | — | — | 1,052,874 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total expenses | 557,612 | 198,220 | 1,352,975 | |||||||||||||||||
Less: | ||||||||||||||||||||
Fees waived and/or reimbursed by the Manager | (555,485 | ) | (198,164 | ) | (299,348 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Total expenses after fees waived and/or reimbursed | 2,127 | 56 | 1,053,627 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Net investment income | 17,345,884 | 913,172 | 3,752,089 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||
Investments — unaffiliated | (1,536,002 | ) | — | (175,273 | ) | |||||||||||||||
Investments — affiliated | — | (420,167 | ) | — | ||||||||||||||||
Options written | (480,886 | ) | — | 71,638 | ||||||||||||||||
Futures contracts | 1,606,689 | 147,333 | 824,826 | |||||||||||||||||
Swaps | (38,865 | ) | (721,089 | ) | (350,624 | ) | ||||||||||||||
Foreign currency transactions | — | 3,833 | 3,043 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
(449,064 | ) | (990,090 | ) | 373,610 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments — unaffiliated | (10,957,224 | ) | (1,960,728 | ) | ||||||||||||||||
Investments — affiliated | — | (3,712 | ) | — | ||||||||||||||||
Options written | — | — | (43,768 | ) | ||||||||||||||||
Futures contracts | (153,351 | ) | 154,519 | (35,890 | ) | |||||||||||||||
Swaps | (59,602 | ) | 1,753,748 | 138,591 | ||||||||||||||||
Foreign currency translations | — | 7 | 6,141 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
(11,170,177 | ) | 1,904,562 | (1,895,654 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Net realized and unrealized gain (loss) | (11,619,241 | ) | 914,472 | (1,522,044 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 5,726,643 | $ | 1,827,644 | $ | 2,230,045 | ||||||||||||||
|
|
|
|
|
|
(a) | See Note 4 of the Notes to Financial Statements for details of short-term borrowings. |
See notes to financial statements.
80 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Statements of Changes in Net Assets
Series A Portfolio | Series C Portfolio | |||||||||||||||||||
Year Ended March 31, | Year Ended March 31, | |||||||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||
OPERATIONS | ||||||||||||||||||||
Net investment income | $ | 24,809,695 | $ | 6,407,688 | $ | 14,195,947 | $ | 13,692,543 | ||||||||||||
Net realized gain | 1,023,141 | 577,850 | 1,858,623 | 2,231,924 | ||||||||||||||||
Net change in unrealized appreciation (depreciation) | (3,262,849 | ) | 1,409,495 | (4,155,441 | ) | (5,249,297 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 22,569,987 | 8,395,033 | 11,899,129 | 10,675,170 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS(a) | ||||||||||||||||||||
From net investment income | (23,435,702 | ) | (6,902,253 | ) | (14,198,725 | ) | (13,644,784 | ) | ||||||||||||
From net realized gain | (565,007 | ) | — | (1,908,178 | ) | (808,132 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Decrease in net assets resulting from distributions to shareholders | (24,000,709 | ) | (6,902,253 | ) | (16,106,903 | ) | (14,452,916 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||||||
Shares sold | 313,859,125 | 291,151,988 | 100,852,867 | 160,078,455 | ||||||||||||||||
Shares redeemed | (64,629,298 | ) | (7,457,454 | ) | (125,221,980 | ) | (92,682,211 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets derived from capital share transactions | 249,229,827 | 283,694,534 | (24,369,113 | ) | 67,396,244 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
NET ASSETS | ||||||||||||||||||||
Total increase (decrease) in net assets | 247,799,105 | 285,187,314 | (28,576,887 | ) | 63,618,498 | |||||||||||||||
Beginning of year | 323,783,700 | 38,596,386 | 417,250,891 | 353,632,393 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 571,582,805 | $ | 323,783,700 | $ | 388,674,004 | $ | 417,250,891 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed (distributions in excess of) net investment income, end of year | $ | 1,868,628 | $ | (254,827 | ) | $ | (45,124 | ) | $ | (56,022 | ) | |||||||||
|
|
|
|
|
|
|
|
(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
FINANCIAL STATEMENTS | 81 |
Statements of Changes in Net Assets (continued)
Series E Portfolio | Series M Portfolio | |||||||||||||||||||
Year Ended March 31, | Year Ended March 31, | |||||||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||
OPERATIONS | ||||||||||||||||||||
Net investment income | $ | 7,157,687 | $ | 4,986,004 | $ | 17,345,884 | $ | 12,534,082 | ||||||||||||
Net realized gain (loss) | 1,635,414 | 197,943 | (449,064 | ) | (2,892,199 | ) | ||||||||||||||
Net change in unrealized appreciation (depreciation) | 2,621,284 | (2,859,506 | ) | (11,170,177 | ) | (6,978,581 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 11,414,385 | 2,324,441 | 5,726,643 | 2,663,302 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS(a) | ||||||||||||||||||||
From net investment income | (7,142,885 | ) | (4,959,027 | ) | (21,306,246 | ) | (17,429,678 | ) | ||||||||||||
From net realized gain | (128,477 | ) | (1,070,445 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Decrease in net assets resulting from distributions to shareholders | (7,271,362 | ) | (6,029,472 | ) | �� | (21,306,246 | ) | (17,429,678 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||||||
Shares sold | 60,408,804 | 92,224,469 | 412,562,690 | 190,733,874 | ||||||||||||||||
Shares redeemed | (30,756,095 | ) | (52,359,547 | ) | (185,019,368 | ) | (130,587,494 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets derived from capital share transactions | 29,652,709 | 39,864,922 | 227,543,322 | 60,146,380 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
NET ASSETS | ||||||||||||||||||||
Total increase in net assets | 33,795,732 | 36,159,891 | 211,963,719 | 45,380,004 | ||||||||||||||||
Beginning of year | 146,346,173 | 110,186,282 | 598,066,925 | 552,686,921 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 180,141,905 | $ | 146,346,173 | $ | 810,030,644 | $ | 598,066,925 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed net investment income, end of year | $ | 56,581 | $ | 45,979 | $ | 1,235,791 | $ | 1,192,226 | ||||||||||||
|
|
|
|
|
|
|
|
(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
82 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Statements of Changes in Net Assets (continued)
Series P Portfolio | Series S Portfolio | |||||||||||||||||||
Year Ended March 31, | Year Ended March 31, | |||||||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||
OPERATIONS | ||||||||||||||||||||
Net investment income | $ | 913,172 | $ | 1,579,265 | $ | 3,752,089 | $ | 4,908,945 | ||||||||||||
Net realized gain (loss) | (990,090 | ) | (2,494,205 | ) | 373,610 | 456,775 | ||||||||||||||
Net change in unrealized appreciation (depreciation) | 1,904,562 | 6,906,479 | (1,895,654 | ) | 1,219,240 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 1,827,644 | 5,991,539 | 2,230,045 | 6,584,960 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS(a) | ||||||||||||||||||||
From net investment income | (549,664 | ) | — | (4,838,425 | ) | (6,763,413 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Decrease in net assets resulting from distributions to shareholders | (549,664 | ) | — | (4,838,425 | ) | (6,763,413 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||||||
Shares sold | 23,549,473 | 31,313,162 | 59,181,234 | 59,779,573 | ||||||||||||||||
Shares redeemed | (61,801,345 | ) | (137,720,979 | ) | (72,536,659 | ) | (105,935,159 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease in net assets derived from capital share transactions | (38,251,872 | ) | (106,407,817 | ) | (13,355,425 | ) | (46,155,586 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
NET ASSETS | ||||||||||||||||||||
Total decrease in net assets | (36,973,892 | ) | (100,416,278 | ) | (15,963,805 | ) | (46,334,039 | ) | ||||||||||||
Beginning of year | 121,054,037 | 221,470,315 | 191,902,878 | 238,236,917 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 84,080,145 | $ | 121,054,037 | $ | 175,939,073 | $ | 191,902,878 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed (distributions in excess of) net investment income, end of year | $ | 114,383 | $ | 284,661 | $ | (317,687 | ) | $ | (305,748 | ) | ||||||||||
|
|
|
|
|
|
|
|
(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
FINANCIAL STATEMENTS | 83 |
Year Ended March 31, 2018
Series S Portfolio | ||||
CASH PROVIDED BY OPERATING ACTIVITIES | ||||
Net increase in net assets resulting from operations | $ | 2,230,045 | ||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: | ||||
Proceeds from sales of long-term investments and principal paydowns | 759,225,396 | |||
Purchases of long-term investments | (710,338,417 | ) | ||
Net proceeds from sales of short-term securities | 2,230,876 | |||
Premiums paid on closing options written | (11,662 | ) | ||
Amortization of premium and accretion of discount on investments | 855,903 | |||
Net realized (gain) loss on investments and options written | 103,635 | |||
Net change in unrealized (appreciation) depreciation on investments, options written and foreign currency translations | 2,004,497 | |||
(Increase) decrease in assets: | ||||
Cash Pledged: | ||||
Collateral — reverse repurchase agreements | 560,000 | |||
Futures contracts | 314,000 | |||
Centrally cleared swaps | 302,000 | |||
Receivables: | ||||
Dividends — unaffiliated | (3,388 | ) | ||
Interest — unaffiliated | 111,176 | |||
From the Manager | (4,863 | ) | ||
Principal paydowns | 14,501 | |||
Variation margin on futures contracts | 17,682 | |||
Prepaid expenses | 3,487 | |||
Increase (decrease) in liabilities: | ||||
Payables: | ||||
Officer’s and Trustees’ fees | (436 | ) | ||
Other accrued expenses | 19,706 | |||
Variation margin on futures contracts | (110,193 | ) | ||
Variation margin on centrally cleared swaps | (26,914 | ) | ||
|
| |||
Net cash provided by operating activities | 57,497,031 | |||
|
| |||
CASH USED FOR FINANCING ACTIVITIES | ||||
Cash distributions paid to shareholders | (4,924,904 | ) | ||
Payments on redemption of capital shares | (72,144,437 | ) | ||
Decrease in bank overdraft | (7,252 | ) | ||
Proceeds from issuance of capital shares | 59,557,008 | |||
Net borrowing of reverse repurchase agreements | (39,059,881 | ) | ||
|
| |||
Net cash used for financing activities | (56,579,466 | ) | ||
|
| |||
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS | ||||
Cash impact from foreign exchange fluctuations | 6,142 | |||
|
| |||
CASH AND FOREIGN CURRENCY | ||||
Net increase in cash and foreign currency at value | 923,707 | |||
Cash and foreign currency at beginning of period | 92,524 | |||
|
| |||
Cash and foreign currency at end of period | $ | 1,016,231 | ||
|
| |||
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION | ||||
Cash paid during the period for interest expense | $ | 966,582 | ||
|
|
See notes to financial statements.
84 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
(For a share outstanding throughout each period)
Series A Portfolio | ||||||||||||
Year Ended March 31, | Period from 03/31/16 | |||||||||||
2018 | 2017 | |||||||||||
Net asset value, beginning of period | $ | 10.14 | $ | 9.82 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Net investment income(b) | 0.58 | 0.51 | 0.48 | |||||||||
Net realized and unrealized gain (loss) | (0.03 | ) | 0.43 | (0.27 | ) | |||||||
|
|
|
|
|
| |||||||
Net increase from investment operations | 0.55 | 0.94 | 0.21 | |||||||||
|
|
|
|
|
| |||||||
Distributions(c) | ||||||||||||
From net investment income | (0.49 | ) | (0.62 | ) | (0.39 | ) | ||||||
From net realized gain | (0.06 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Total distributions | (0.55 | ) | (0.62 | ) | (0.39 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.14 | $ | 10.14 | $ | 9.82 | ||||||
|
|
|
|
|
| |||||||
Total Return(d) | ||||||||||||
Based on net asset value | 5.55 | % | 9.76 | % | 2.07 | %(e) | ||||||
|
|
|
|
|
| |||||||
Ratios to Average Net Assets(g) | ||||||||||||
Total expenses | 0.12 | % | 0.26 | % | 1.23 | %(f)(h) | ||||||
|
|
|
|
|
| |||||||
Total expenses after fees waived and/or reimbursed excluding amortization of offering costs | 0.00 | % | 0.00 | % | 0.01 | %(f) | ||||||
|
|
|
|
|
| |||||||
Net investment income | 5.65 | % | 5.01 | % | 9.03 | %(f) | ||||||
|
|
|
|
|
| |||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000) | $ | 571,583 | $ | 323,784 | $ | 38,956 | ||||||
|
|
|
|
|
| |||||||
Portfolio turnover rate | 45 | % | 84 | % | 45 | % | ||||||
|
|
|
|
|
|
(a) | Commencement of operations. |
(b) | Based on average shares outstanding. |
(c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) | Where applicable, assumes the reinvestment of distributions. |
(e) | Aggregate total return. |
(f) | Annualized. |
(g) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
Year Ended March 31, | Period from 09/21/15 (a) to 03/31/16 | |||||||||||
2018 | 2017 | |||||||||||
Investments in underlying funds | 0.01 | % | 0.01 | % | 0.01 | % | ||||||
|
|
|
|
|
|
(h) | Organization expenses were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 1.32%. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS | 85 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
Series C Portfolio | ||||||||||||||||||||
Year Ended March 31, | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Net asset value, beginning of year | $ | 10.31 | $ | 10.37 | $ | 10.77 | $ | 10.60 | $ | 10.95 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income(a) | 0.37 | 0.36 | 0.38 | 0.41 | 0.45 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.08 | ) | (0.04 | ) | (0.31 | ) | 0.33 | (0.19 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase from investment operations | 0.29 | 0.32 | 0.07 | 0.74 | 0.26 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Distributions(b) | ||||||||||||||||||||
From net investment income | (0.37 | ) | (0.36 | ) | (0.38 | ) | (0.40 | ) | (0.45 | ) | ||||||||||
From net realized gain | (0.05 | ) | (0.02 | ) | (0.09 | ) | (0.17 | ) | (0.16 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions. | (0.42 | ) | (0.38 | ) | (0.47 | ) | (0.57 | ) | (0.61 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of year | $ | 10.18 | $ | 10.31 | $ | 10.37 | $ | 10.77 | $ | 10.60 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(c) | ||||||||||||||||||||
Based on net asset value | 2.82 | % | 3.12 | % | 0.70 | % | 7.22 | % | 2.55 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||
Total expenses | 0.11 | %(d) | 0.11 | %(d) | 0.13 | %(d) | 0.14 | % | 0.15 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total expenses after fees waived and/or reimbursed | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.01 | % | 0.02 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total expenses after fees waived and/or reimbursed and excluding interest expense | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | % | 0.00 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income | 3.55 | %(d) | 3.45 | %(d) | 3.68 | %(d) | 3.81 | % | 4.27 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data | ||||||||||||||||||||
Net assets, end of year (000) | $ | 388,674 | $ | 417,251 | $ | 353,632 | $ | 361,083 | $ | 318,247 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Portfolio turnover rate | 31 | % | 32 | % | 53 | % | 44 | % | 43 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
(a) | Based on average shares outstanding. |
(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(c) | Where applicable, assumes the reinvestment of distributions. |
(d) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
Year Ended March 31, | ||||||||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||||||
Investments in underlying funds | 0.00 | % | 0.01 | % | 0.01 | % | ||||||||||||||
|
|
|
|
|
|
See notes to financial statements.
86 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
Series E Portfolio | ||||||||||||||||
Year Ended March 31, | Period from 03/31/15 | |||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||
Net asset value, beginning of period | $ | 10.49 | $ | 10.75 | $ | 10.47 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income(b) | 0.45 | 0.45 | 0.43 | 0.28 | ||||||||||||
Net realized and unrealized gain (loss) | 0.30 | (0.16 | ) | 0.29 | 0.48 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase from investment operations | 0.75 | 0.29 | 0.72 | 0.76 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions(c) | ||||||||||||||||
From net investment income | (0.45 | ) | (0.45 | ) | (0.43 | ) | (0.28 | ) | ||||||||
From net realized gain | (0.01 | ) | (0.10 | ) | (0.01 | ) | (0.01 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (0.46 | ) | (0.55 | ) | (0.44 | ) | (0.29 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, end of period | $ | 10.78 | $ | 10.49 | $ | 10.75 | $ | 10.47 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return(d) | ||||||||||||||||
Based on net asset value | 7.22 | % | 2.78 | % | 7.15 | % | 7.70 | %(e) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Ratios to Average Net Assets | ||||||||||||||||
Total expenses | 0.27 | %(f) | 0.23 | %(f) | 0.34 | %(f) | 0.94 | %(g)(h) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses after fees waived and/or reimbursed | 0.06 | %(f) | 0.06 | %(f) | 0.02 | %(f) | 0.00 | %(g) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses after fees waived and/or reimbursed and excluding interest expense and fees | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(f) | 0.00 | %(g) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income | 4.17 | %(f) | 4.21 | %(f) | 4.17 | %(f) | 4.07 | %(g) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Supplemental Data | ||||||||||||||||
Net assets, end of period (000) | $ | 180,142 | $ | 146,346 | $ | 110,186 | $ | 48,461 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Borrowings outstanding, end of period (000) | $ | 6,625 | $ | 6,625 | $ | 4,835 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Portfolio turnover rate | 100 | % | 87 | % | 44 | % | 30 | % | ||||||||
|
|
|
|
|
|
|
|
(a) | Commencement of operations. |
(b) | Based on average shares outstanding. |
(c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) | Where applicable, assumes the reinvestment of distributions. |
(e) | Aggregate total return. |
(f) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
Year Ended March 31, | ||||||||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||||||
Investments in underlying funds | 0.02 | % | 0.01 | % | 0.01 | % | ||||||||||||||
|
|
|
|
|
|
(g) | Annualized. |
(h) | Organization expenses were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 1.02%. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS | 87 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
Series M Portfolio | ||||||||||||||||||||
Year Ended March 31, | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Net asset value, beginning of year | $ | 9.69 | $ | 9.93 | $ | 10.03 | $ | 9.70 | $ | 9.89 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income(a) | 0.25 | 0.21 | 0.22 | 0.20 | 0.19 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.16 | ) | (0.16 | ) | 0.02 | 0.37 | (0.14 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase from investment operations | 0.09 | 0.05 | 0.24 | 0.57 | 0.05 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Distributions(b) | ||||||||||||||||||||
From net investment income | (0.31 | ) | (0.29 | ) | (0.27 | ) | (0.24 | ) | (0.23 | ) | ||||||||||
From net realized gain | — | — | (0.07 | ) | (0.00 | )(c) | (0.01 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | (0.31 | ) | (0.29 | ) | (0.34 | ) | (0.24 | ) | (0.24 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of year | $ | 9.47 | $ | 9.69 | $ | 9.93 | $ | 10.03 | $ | 9.70 | ||||||||||
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|
|
|
|
|
|
| |||||||||||
Total Return(d) | ||||||||||||||||||||
Based on net asset value | 0.91 | % | 0.51 | % | 2.44 | % | 5.91 | % | 0.52 | % | ||||||||||
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|
|
|
|
|
|
|
| |||||||||||
Ratios to Average Net Assets(e) | ||||||||||||||||||||
Total expenses | 0.08 | % | 0.09 | % | 0.11 | % | 0.13 | % | 0.16 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total expenses after fees waived and/or reimbursed | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total expenses after fees waived and/or reimbursed and excluding interest expense | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||
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|
|
|
|
|
|
|
| |||||||||||
Net investment income | 2.59 | % | 2.12 | % | 2.25 | % | 2.04 | % | 1.97 | % | ||||||||||
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|
|
| |||||||||||
Supplemental Data | ||||||||||||||||||||
Net assets, end of year (000) | $ | 810,031 | $ | 598,067 | $ | 552,687 | $ | 520,933 | $ | 329,857 | ||||||||||
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|
|
|
|
|
| |||||||||||
Portfolio turnover rate(f) | 1,515 | % | 1,728 | % | 1,789 | % | 2,258 | % | 1,879 | % | ||||||||||
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|
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(a) | Based on average shares outstanding. |
(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(c) | Amount is greater than $(0.005) per share. |
(d) | Where applicable, assumes the reinvestment of distributions. |
(e) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
Year Ended March 31, | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Investments in underlying funds | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.02 | % | ||||||||||
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|
|
|
|
(f) | Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
Year Ended March 31, | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate (excluding MDRs) | 833 | % | 1,040 | % | 1,090 | % | 1,356 | % | 1,131 | % | ||||||||||
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|
|
|
|
|
|
|
|
|
See notes to financial statements.
88 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
Series P Portfolio | ||||||||||||||||||||
Year Ended March 31, | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Net asset value, beginning of year | $ | 9.38 | $ | 8.95 | $ | 9.38 | $ | 10.24 | $ | 9.96 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income(a) | 0.08 | 0.09 | 0.10 | 0.07 | 0.07 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.15 | 0.34 | (0.53 | ) | (0.93 | ) | 0.21 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net increase (decrease) from investment operations | 0.23 | 0.43 | (0.43 | ) | (0.86 | ) | 0.28 | |||||||||||||
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|
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|
|
| |||||||||||
Distributions from net investment income | (0.05 | ) | — | — | — | — | ||||||||||||||
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|
|
|
|
|
|
| |||||||||||
Net asset value, end of year | $ | 9.56 | $ | 9.38 | $ | 8.95 | $ | 9.38 | $ | 10.24 | ||||||||||
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|
|
|
|
|
| |||||||||||
Total Return(b) | ||||||||||||||||||||
Based on net asset value | 2.49 | % | 4.80 | % | (4.48 | )% | (8.40 | )% | 2.81 | % | ||||||||||
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|
| |||||||||||
Ratios to Average Net Assets(c) | ||||||||||||||||||||
Total expenses | 0.19 | % | 0.13 | % | 0.11 | % | 0.12 | % | 0.18 | % | ||||||||||
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|
| |||||||||||
Total expenses after fees waived and/or reimbursed | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||
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|
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|
|
|
|
|
|
| |||||||||||
Net investment income | 0.89 | % | 1.00 | % | 1.04 | % | 0.67 | % | 0.69 | % | ||||||||||
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| |||||||||||
Supplemental Data | ||||||||||||||||||||
Net assets, end of year (000) | $ | 84,080 | $ | 121,054 | $ | 221,470 | $ | 322,498 | $ | 261,830 | ||||||||||
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| |||||||||||
Portfolio turnover rate | 6 | % | 10 | % | 0 | % | 0 | % | 6 | % | ||||||||||
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|
|
(a) | Based on average shares outstanding. |
(b) | Where applicable, assumes the reinvestment of distributions. |
(c) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
Year Ended March 31, | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Investments in underlying funds | 0.17 | % | 0.08 | % | 0.05 | % | 0.04 | % | 0.02 | % | ||||||||||
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|
|
|
|
|
|
|
See notes to financial statements.
FINANCIAL HIGHLIGHTS | 89 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
Series S Portfolio | ||||||||||||||||||||
Year Ended March 31, | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Net asset value, beginning of year | $ | 9.53 | $ | 9.54 | $ | 9.76 | $ | 9.84 | $ | 10.02 | ||||||||||
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|
| |||||||||||
Net investment income(a) | 0.20 | 0.19 | 0.26 | 0.23 | 0.24 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.09 | ) | 0.11 | (0.15 | ) | (0.05 | ) | (0.08 | ) | |||||||||||
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| |||||||||||
Net increase from investment operations | 0.11 | 0.30 | 0.11 | 0.18 | 0.16 | |||||||||||||||
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| |||||||||||
Distributions(b) | ||||||||||||||||||||
From net investment income | (0.26 | ) | (0.31 | ) | (0.33 | ) | (0.26 | ) | (0.28 | ) | ||||||||||
From net realized gain | — | — | — | — | (0.06 | ) | ||||||||||||||
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| |||||||||||
Total distributions | (0.26 | ) | (0.31 | ) | (0.33 | ) | (0.26 | ) | (0.34 | ) | ||||||||||
|
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|
|
|
|
|
|
| |||||||||||
Net asset value, end of year | $ | 9.38 | $ | 9.53 | $ | 9.54 | $ | 9.76 | $ | 9.84 | ||||||||||
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| |||||||||||
Total Return(c) | ||||||||||||||||||||
Based on net asset value | 1.15 | % | 3.21 | % | 1.18 | % | 1.81 | %(d) | 1.66 | % | ||||||||||
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|
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|
|
|
| |||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||
Total expenses | 0.76 | %(e) | 0.48 | % | 0.31 | % | 0.16 | % | 0.21 | % | ||||||||||
|
|
|
|
|
|
|
|
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| |||||||||||
Total expenses after fees waived and/or reimbursed | 0.59 | %(e) | 0.34 | % | 0.18 | % | 0.02 | % | 0.06 | % | ||||||||||
|
|
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|
|
|
|
|
|
| |||||||||||
Total expenses after fees waived and/or reimbursed and excluding interest expense | 0.00 | %(e) | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||
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|
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| |||||||||||
Net investment income | 2.11 | %(e) | 2.37 | % | 2.91 | % | 2.32 | % | 2.47 | % | ||||||||||
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| |||||||||||
Supplemental Data | ||||||||||||||||||||
Net assets, end of year (000) | $ | 175,939 | $ | 191,903 | $ | 238,237 | $ | 266,124 | $ | 233,117 | ||||||||||
|
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|
|
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| |||||||||||
Portfolio turnover rate(f) | 263 | % | 279 | % | 270 | % | 318 | % | 239 | % | ||||||||||
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|
|
(a) | Based on average shares outstanding. |
(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(c) | Where applicable, assumes the reinvestment of distributions. |
(d) | Includes a payment by an affiliate to compensate for investments erroneously made in violation of the investment guidelines, which impacted the Fund’s total return. Excluding this payment, the Fund’s total return would have been 1.70%. |
(e) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
Year Ended 2018 | ||||||||||||
Investments in underlying funds | 0.01 | % | ||||||||||
|
|
(f) | Includes MDRs. Additional information regarding portfolio turnover rate is as follows: |
Year Ended March 31, | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate (excluding MDRs) | 148 | % | 163 | % | 178 | % | 239 | % | 183 | % | ||||||||||
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|
See notes to financial statements.
90 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
1. | ORGANIZATION |
BlackRock Allocation Target Shares (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Delaware statutory trust. Each Fund is a series of the Trust. The following series of the Trust are referred to herein collectively as the “Funds” or individually as a “Fund”:
Fund Name | Herein Referred To As | Diversification Classification | ||
BlackRock Allocation Target Shares: Series A Portfolio | Series A | Non-diversified | ||
BlackRock Allocation Target Shares: Series C Portfolio | Series C | Diversified* | ||
BlackRock Allocation Target Shares: Series E Portfolio | Series E | Diversified | ||
BlackRock Allocation Target Shares: Series M Portfolio | Series M | Diversified* | ||
BlackRock Allocation Target Shares: Series P Portfolio | Series P | Diversified* | ||
BlackRock Allocation Target Shares: Series S Portfolio | Series S | Diversified* |
* | The Fund’s classification changed from non-diversified to diversified. |
Shares of the Funds are offered to separate account clients of the adviser, BlackRock Advisors, LLC (the “Manager”) or certain of its affiliates. Series A is also offered to collective trust funds managed by BlackRock Institutional Trust Company, N.A., an affiliate of the investment adviser, and mutual funds advised by the Manager or its affiliates. Participants in wrap-fee programs pay a single aggregate fee to the program sponsor for all costs and expenses of the wrap-fee programs including investment advice and portfolio execution.
The Funds, together with certain other registered investment companies advised by the Manager or its affiliates, are included in a complex of open-end funds referred to as the Equity-Bond Complex.
2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the “trade dates”). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on an accrual basis.
Foreign Currency Translation: Each Fund’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.
Each Fund does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.
Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., dollar rolls, TBA sale commitments, futures contracts, options written and swaps) or certain borrowings (e.g., reverse repurchase transactions and TOB Trust transactions) that would be treated as “senior securities” for 1940 Act purposes, a Fund may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowing to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
Distributions: Distributions from net investment income are declared daily and paid monthly, except for Series P, which declares and pays dividends at least annually. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Recent Accounting Standards: In November 2016, the Financial Accounting Standards Board issued Accounting Standards Update “Restricted Cash” which will require entities to include the total of cash, cash equivalents, restricted cash, and restricted cash equivalents in the beginning and ending cash balances in the Statement of Cash Flows. The guidance will be applied retrospectively and is effective for fiscal years beginning after December 15, 2017, and interim periods within those years. Management is evaluating the impact, if any, of this guidance on the Funds’ presentation in the Statement of Cash Flows.
In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update “Premium Amortization on Purchased Callable Debt Securities” which amends the amortization period for certain purchased callable debt securities. Under the new guidance, the premium amortization of purchased callable debt securities that have explicit, non-contingent call features and are callable at fixed prices will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis and is effective for fiscal years, and their interim periods, beginning after December 15, 2018. Management is currently evaluating the impact of this guidance to the Funds.
NOTESTO FINANCIAL STATEMENTS | 91 |
Notes to Financial Statements (continued)
Indemnifications: In the normal course of business, a Fund enters into contracts that contain a variety of representations that provide general indemnification. A Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods. Expenses directly related to the Funds and other shared expenses prorated to the Funds are allocated daily based on their relative net assets or other appropriate methods.
The Funds have an arrangement with their custodian whereby credits are earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. The Funds may incur charges on certain uninvested cash balances and overdrafts, subject to certain conditions.
3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: The Funds’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time) (or if the reporting date falls on a day the NYSE is closed, investments are valued at fair value as of the period end). U.S. GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees of the Trust (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:
• | Fixed-income securities for which market quotations are readily available are generally valued using the last available bid prices or current market quotations provided by independent dealers or third party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots often trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value. |
• | Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments. |
• | Investments in open-end U.S. mutual funds are valued at NAV each business day. |
• | Futures contracts traded on exchanges are valued at their last sale price. |
• | Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments. |
• | Swap agreements are valued utilizing quotes received daily by the Funds’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. |
• | TBA commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services. |
If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement.
The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of each Fund’s pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis. As a result of the inherent uncertainty in valuation of these investments, the fair values may differ from the values that would have been used had an active market existed.
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by third party pricing services utilize one or a combination of, but not limited to, the following inputs.
92 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (continued)
Standard Inputs Generally Considered By Third Party Pricing Services | ||||
Market approach | (i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii) market multiples of comparable issuers. | |||
Income approach | (i) futurecash flows discounted to present and adjusted as appropriate for liquidity, credit and/or market risks; (ii) quotedprices for similar investments or assets in active markets; and (iii) otherrisk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. | |||
Cost approach | (i) auditedor unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; (ii) changesin the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii) relevantnews and other public sources; and (iv) knownsecondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company. |
Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.
Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:
• | Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access |
• | Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
• | Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including each Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Fund’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
4. | SECURITIES AND OTHER INVESTMENTS |
Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.
For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations
NOTESTO FINANCIAL STATEMENTS | 93 |
Notes to Financial Statements (continued)
of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.
Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.
Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.
Inflation-Indexed Bonds: Inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) are fixed-income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond will be included as interest income in the Statements of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal. With regard to municipal inflation-indexed bonds and certain corporate inflation-indexed bonds, the inflation adjustment is typically reflected in the semi-annual coupon payment. As a result, the principal value of municipal inflation-indexed bonds and such corporate inflation-indexed bonds does not adjust according to the rate of inflation.
Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a fund’s initial investment in the IOs may not fully recoup.
Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are typically issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. Stripped mortgage-backed securities may be privately issued.
Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.
Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.
Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.
Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically,
94 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (continued)
changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.
When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
Floating rate loan interests are usually freely callable at the borrower’s option. A fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.
Forward Commitments and When-Issued Delayed Delivery Securities: Certain funds may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. A fund may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, a fund may be required to pay more at settlement than the security is worth. In addition, a fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, a fund’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.
TBA Commitments: TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.
In order to better define contractual rights and to secure rights that will help a fund mitigate their counterparty risk, TBA commitments may be entered into by a fund under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. The collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by a fund and the counterparty. Cash collateral that has been pledged to cover the obligations of a fund and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a fund, if any, is noted in the Schedules of Investments. Typically, a fund is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a fund is not fully collateralized, contractually or otherwise, a fund bears the risk of loss from counterparty non-performance.
Mortgage Dollar Roll Transactions: Certain funds may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.
Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third party broker dealers in which a fund sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a fund continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a fund would still be required to pay the full repurchase price. Further, a fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a fund would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.
Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short-term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, a fund may receive a fee for the use of the security by the counterparty, which may result in interest income to a fund.
For the year ended March 31, 2018, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate were as follows:
NOTESTO FINANCIAL STATEMENTS | 95 |
Notes to Financial Statements (continued)
Average Borrowings | Daily Weighted Average Interest Rate | |||||||
Series S | $ | 69,878,316 | 1.44 | % |
Reverse repurchase transactions are entered into by a fund under Master Repurchase Agreements (each, an “MRA”), which permit a fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a fund. With reverse repurchase transactions, typically a fund and counterparty under an MRA are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by a fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.
As of period end, the following table is a summary of Series S’ open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:
Counterparty | Reverse Repurchase Agreements | Fair Value of Non-cash Collateral Pledged Including Accrued Interest (a) | Net Amount | |||||||||
Citigroup Global Markets, Inc | $ | 14,845,239 | $ | (14,845,239 | ) | $ | — | |||||
Credit Suisse Securities (USA) LLC | 5,875,837 | (5,875,837 | ) | — | ||||||||
RBC Capital Markets, LLC. | 31,740,374 | (31,740,374 | ) | — | ||||||||
|
|
|
|
|
| |||||||
$ | 52,461,450 | $ | (52,461,450 | ) | $ | — | ||||||
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(a) | Collateral with a value of $88,011,994 has been pledged in connection with open reverse repurchase agreements. Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a fund’s obligation to repurchase the securities.
Municipal Bonds Transferred to TOB Trusts: Certain funds leverage their assets through the use of “TOB Trust” transactions. The funds transfer municipal bonds into a special purpose trust (a “TOB Trust”). A TOB Trust issues two classes of beneficial interests: short-term floating rate interests (“TOB Trust Certificates”), which are sold to third party investors, and residual inverse floating rate interests (“TOB Residuals”), which are issued to the participating funds that contributed the municipal bonds to the TOB Trust. The TOB Trust Certificates have interest rates that reset weekly and their holders have the option to tender such certificates to the TOB Trust for redemption at par and any accrued interest at each reset date. The TOB Residuals held by a fund provide the fund with the right to cause the holders of a proportional share of the TOB Trust Certificates to tender their certificates to the TOB Trust at par plus accrued interest. The funds may withdraw a corresponding share of the municipal bonds from the TOB Trust. Other funds managed by the investment adviser may also contribute municipal bonds to a TOB Trust into which a fund has contributed bonds. If multiple BlackRock-advised funds participate in the same TOB Trust, the economic rights and obligations under the TOB Residuals will be shared among the funds ratably in proportion to their participation in the TOB Trust.
TOB Trusts are supported by a liquidity facility provided by a third party bank or other financial institution (the “Liquidity Provider”) that allows the holders of the TOB Trust Certificates to tender their certificates in exchange for payment of par plus accrued interest on any business day. The tendered TOB Trust Certificates are remarketed by a Remarketing Agent. In the event of a failed remarketing, the TOB Trust may draw upon a loan from the Liquidity Provider to purchase the tendered TOB Trust Certificates. Any loans made by the Liquidity Provider will be secured by the purchased TOB Trust Certificates held by the TOB Trust and will be subject to an increased interest rate based on number of days the loan is outstanding.
The TOB Trust may be collapsed without the consent of a fund, upon the occurrence of a termination event as defined in the TOB Trust agreement. Upon the occurrence of a termination event, a TOB Trust would be liquidated with the proceeds applied first to any accrued fees owed to the trustee of the TOB Trust, the Remarketing Agent and the Liquidity Provider. Upon certain termination events, TOB Trust Certificates holders will be paid before the TOB Residuals holders (i.e., the Funds) whereas in other termination events, TOB Trust Certificates holders and TOB Residuals holders will be paid pro rata.
While a fund’s investment policies and restrictions expressly permit investments in inverse floating rate securities, such as TOB Residuals, they restrict the ability of a fund to borrow money for purposes of making investments. Each fund’s transfer of the municipal bonds to a TOB Trust is considered a secured borrowing for financial reporting purposes. The cash received by the TOB Trust from the sale of the TOB Trust Certificates, less certain transaction expenses, is paid to a fund. A fund typically invests the cash received in additional municipal bonds.
Accounting for TOB Trusts: The municipal bonds deposited into a TOB Trust are presented in a fund’s Schedule of Investments and the TOB Trust Certificates are shown in Other Liabilities in the Statements of Assets and Liabilities. Any loans drawn by the TOB Trust pursuant to the liquidity facility to purchase tendered TOB Trust Certificates are shown as Loan for TOB Trust Certificates. The carrying amount of a fund’s payable to the holder of the TOB Trust Certificates, as reported in the Statements of Assets and Liabilities as TOB Trust Certificates, approximates its fair value.
Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by a fund on an accrual basis. Interest expense incurred on the TOB Trust transaction and other expenses related to remarketing, administration, trustee, liquidity and other services to a TOB Trust are shown as interest expense, fees and amortization of offering costs in the Statements of Operations. Fees paid upon creation of the TOB Trust are recorded as debt issuance costs and are amortized to interest expense, fees and amortization of offering costs in the Statements of Operations to the expected maturity of the TOB Trust. In connection with the restructurings of the TOB Trusts to non-bank sponsored TOB Trusts, a fund incurred non-recurring, legal and restructuring fees, which are recorded as interest expense, fees and amortization of deferred offering costs in the Statements of Operations. Amounts recorded within interest expense, fees and amortization of offering
96 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (continued)
costs in the Statements of Operations are:
Interest Expense | Liquidity Fees | Other Expenses | Total | |||||||||||||
Series E | $ | 82,584 | $ | 21,100 | $ | 4,159 | $ | 107,843 |
For the year ended March 31, 2018, the following table is a summary of each Fund’s TOB Trusts:
Underlying Municipal Bonds Transferred to TOB Trusts (a) | Liability for TOB Trust Certificates (b) | Range of Interest Rates on TOB Trust Certificates at Period End | Average TOB Trust Certificates Outstanding | Daily Weighted Average Rate of Interest and Other Expenses on TOB Trusts | ||||||||||||||||
Series E | $ | 12,116,561 | $ | 6,625,000 | 1.60% - 1.66 | % | $ | 6,625,000 | 1.62 | % |
(a) | The municipal bonds transferred to a TOB Trust are generally high grade municipal bonds. In certain cases, when municipal bonds transferred are lower grade municipal bonds, the TOB Trust transaction may include a credit enhancement feature that provides for the timely payment of principal and interest on the bonds to the TOB Trust by a credit enhancement provider in the event of default of the municipal bond. The TOB Trust would be responsible for the payment of the credit enhancement fee and the funds, as a TOB Residuals holders, would be responsible for reimbursement of any payments of principal and interest made by the credit enhancement provider. The maximum potential amounts owed by the funds, for such reimbursements, as applicable, are included in the maximum potential amounts disclosed for recourse TOB Trusts. |
(b) | TOB Trusts may be structured on a non-recourse or recourse basis. When a fund invests in TOB Trusts on a non-recourse basis, the Liquidity Provider may be required to make a payment under the liquidity facility to allow the TOB Trust to repurchase TOB Trust Certificates. The Liquidity Provider will be reimbursed from the liquidation of bonds held in the TOB Trust. If a fund invests in a TOB Trust on a recourse basis, a fund enters into a reimbursement agreement with the Liquidity Provider where a fund is required to reimburse the Liquidity Provider for any shortfall between the amount paid by the Liquidity Provider and proceeds received from liquidation of municipal bonds held in the TOB Trust (the “Liquidation Shortfall”). As a result, if a fund invests in a recourse TOB Trust, a fund will bear the risk of loss with respect to any Liquidation Shortfall. If multiple funds participate in any such TOB Trust, these losses will be shared ratably, including the maximum potential amounts owed by a fund at March 31, 2018, in proportion to their participation in the TOB Trust. The recourse TOB Trusts are identified in the Schedules of Investments including the maximum potential amounts owed by a fund at March 31, 2018. |
5. | DERIVATIVE FINANCIAL INSTRUMENTS |
The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract.
Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.
Options: Certain Funds purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.
A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.
Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value —unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Funds write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, such option is covered by cash in an amount sufficient to cover the obligation.
• | Swaptions — Certain Funds purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option. |
NOTESTO FINANCIAL STATEMENTS | 97 |
Notes to Financial Statements (continued)
In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Funds purchasing or selling a security when it otherwise would not, or at a price different from the current market value.
Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Funds and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).
For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.
In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is notated to a central counterparty (the “CCP”) and the Funds’ counterparty on the swap agreement becomes the CCP. The Funds are required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker variation margin. Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gains (losses) in the Statements of Operations.
• | Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk). |
The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Funds will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.
• | Total return swaps — Total return swaps are entered into to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one market (e.g., fixed-income) with another market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk). |
Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket of underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Funds receive payment from or make a payment to the counterparty.
• | Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk). |
Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.
Master Netting Arrangements: In order to define their contractual rights and to secure rights that will help them mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events.
Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty.
Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statements
98 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (continued)
of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.
6. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.
Investment Advisory: The Trust, on behalf of the Funds, entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser, an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory services. The Manager receives no advisory fee from the Funds under the Investment Advisory Agreement.
Service and Distribution Fees: The Trust, on behalf of the Funds, entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager.
Expense Limitations, Waivers and Reimbursements: The Manager contractually agreed to waive all fees and pay or reimburse all operating expenses of each Fund, except extraordinary expenses. Extraordinary expenses may include interest expense, dividend expense, tax expense, acquired fund fees and expenses and certain other fund expenses. This agreement has no fixed termination date. With respect to Series C, Series E, Series M, Series P and Series S, the Manager does not charge the Funds a management fee, although investors in the Funds will pay a fee to BlackRock Investment Management, LLC (“BIM”), an affiliate of the Manager, or their managed account program sponsor. With respect to Series A, the Manager does not charge the Fund a management fee, although investors in the Fund that are (i) retail and institutional separately managed account clients of BIM will pay a fee to BIM or their managed account program sponsor, (ii) participants in the collective trust funds managed by BlackRock Institutional Trust Company, N.A. (“BTC”), an affiliate of the Manager, that invest in the Fund will pay a fee to BTC, and (iii) mutual funds that are advised by the Manager or its affiliates will pay the Manager or its affiliate a management fee pursuant to a management agreement between each such fund and BlackRock or its affiliate. The Manager waived fees for each Fund which are included in fees waived and/or reimbursed by the Manager in the Statements of Operations.
Although the Funds do not compensate the Manager directly for its services under the Investment Advisory Agreement, because each Fund is an investment option for certain wrap-fee or other separately managed account program clients, the Manager may benefit from the fees charged to such clients who have retained the Manager’s affiliates to manage their accounts. The Manager waived fees for each Fund which are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. The waivers were as follows:
Series A | $ | 505,653 | ||
Series C | 448,485 | |||
Series E | 353,488 | |||
Series M | 555,485 | |||
Series P | 198,164 | |||
Series S | 299,348 |
Interfund Lending: In accordance with an exemptive order (the “Order”) from the U.S. Securities and Exchange Commission (“SEC”), each Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by each Fund’s investment policies and restrictions. Series A, Series E and Series P are currently permitted to borrow and lend and Series C, Series M and Series S are currently permitted to borrow under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets, to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the year ended March 31, 2018, the Funds did not participate in the Interfund Lending Program.
Trustees and Officer: Certain trustees and/or officers of the Trust are trustees and/or officers of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Trust’s Chief Compliance Officer, which is included in Trustees and Officer in the Statements of Operations.
Other Transactions: Each Fund may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the year ended March 31, 2018, the sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act for Series S was $746,015, which resulted in net realized losses of $6,332.
NOTESTO FINANCIAL STATEMENTS | 99 |
Notes to Financial Statements (continued)
7. | PURCHASES AND SALES |
For the year ended March 31, 2018, purchases and sales of investments, including paydowns and mortgage dollar rolls and excluding short-term securities, were as follows:
Purchases | Series A | Series C | Series E | Series M | Series P | Series S | ||||||||||||||||||
Non-U.S. Government Securities | $ | 413,627,785 | $ | 116,520,093 | $ | 192,908,070 | $ | 11,602,687,086 | $ | 1,787,940 | $ | 705,931,963 | ||||||||||||
U.S. Government Securities | — | 4,197,540 | — | 20,301,897 | — | — | ||||||||||||||||||
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| |||||||||||||
Total Purchases | $ | 413,627,785 | $ | 120,717,633 | $ | 192,908,070 | $ | 11,622,988,983 | $ | 1,787,940 | $ | 705,931,963 | ||||||||||||
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Sales | Series A | Series C | Series E | Series M | Series P | Series S | ||||||||||||||||||
Non-U.S. Government Securities (includes paydowns) | $ | 187,308,409 | $ | 127,958,721 | $ | 161,884,471 | $ | 10,811,193,509 | $ | 13,047,283 | $ | 757,718,310 | ||||||||||||
U.S. Government Securities | — | 18,786,425 | — | 11,407,542 | — | — | ||||||||||||||||||
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Total Sales | $ | 187,308,409 | $ | 146,745,146 | $ | 161,884,471 | $ | 10,822,601,051 | $ | 13,047,283 | $ | 757,718,310 | ||||||||||||
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For the year ended March 31, 2018, purchases and sales related to mortgage dollar rolls were as follows:
Series M | Series S | |||||||
Purchases | $ | 4,869,354,279 | $ | 307,548,866 | ||||
Sales | 4,870,169,775 | 307,887,307 |
8. | INCOME TAX INFORMATION |
It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax returns, except with respect to Series A and Series E, generally remains open for each of the four years ended March 31, 2018. The statute of limitations on Series A’s U.S. federal tax returns generally remains open for each of the two years ended March 31, 2018 and the period ended March 31, 2016. The statute of limitations on Series E’s U.S. federal tax returns generally remains open for each of the three years ended March 31, 2018 and the period ended March 31, 2015. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Funds as of March 31, 2018, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.
U.S. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. As of period end, the following permanent differences attributable to the accounting for swap agreements, amortization methods on fixed income securities, the classification of investments, foreign currency transactions, the sale of stock of passive foreign investment companies, income recognized from pass-through entities and net paydown losses were reclassified to the following accounts:
Undistributed (Distributions in Excess of) Net Investment Income | Accumulated Net Realized Gain (Loss) | |||||||
Series A | $ | 749,462 | $ | (749,462 | ) | |||
Series C | 13,676 | (13,676 | ) | |||||
Series E | (4,200 | ) | 4,200 | |||||
Series M | 4,003,927 | (4,003,927 | ) | |||||
Series P | (533,786 | ) | 533,786 | |||||
Series S | 1,074,397 | (1,074,397 | ) |
100 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (continued)
The tax character of distributions paid was as follows:
Series A | Series C | Series E | Series M | Series P | Series S | |||||||||||||||||||
Tax-exempt income(a) | ||||||||||||||||||||||||
3/31/18 | $ | — | $ | — | $ | 7,135,621 | $ | — | $ | — | $ | — | ||||||||||||
3/31/17 | $ | — | $ | — | $ | 4,958,705 | $ | — | $ | — | $ | — | ||||||||||||
Ordinary income | ||||||||||||||||||||||||
3/31/18 | 23,909,987 | 14,198,725 | 13,107 | 21,306,246 | 549,664 | 4,838,425 | ||||||||||||||||||
3/31/17 | 6,902,253 | 14,452,916 | 785,624 | 17,429,678 | — | 6,793,413 | ||||||||||||||||||
Long-term capital gains | ||||||||||||||||||||||||
3/31/18 | 90,722 | 1,908,178 | 122,634 | — | — | — | ||||||||||||||||||
3/31/17 | — | — | 285,143 | — | — | — | ||||||||||||||||||
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Total | ||||||||||||||||||||||||
3/31/18 | $ | 24,000,709 | $ | 16,106,903 | $ | 7,271,362 | $ | 21,306,246 | $ | 549,664 | $ | 4,838,425 | ||||||||||||
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3/31/17 | $ | 6,902,253 | $ | 14,452,916 | $ | 6,029,472 | $ | 17,429,678 | $ | — | $ | 6,793,413 | ||||||||||||
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(a) | The Funds designate these amounts paid during the fiscal year ended March 31, 2018 as exempt-interest dividends. |
As of period end, the tax components of accumulated net earnings (losses) were as follows:
Series A | Series C | Series E | Series M | Series P | Series S | |||||||||||||||||||
Undistributed tax-exempt income | $ | — | $ | — | $ | 275 | $ | — | $ | — | $ | — | ||||||||||||
Undistributed ordinary income | 1,914,713 | 65,639 | 161,364 | 1,235,791 | 114,383 | — | ||||||||||||||||||
Undistributed long-term capital gains | 307,741 | 40,994 | 389,101 | — | — | — | ||||||||||||||||||
Capital loss carryforwards | — | — | — | (13,819,952 | ) | (30,397,564 | ) | (7,224,221 | ) | |||||||||||||||
Net unrealized gains (losses)(a) | (2,778,567 | ) | 1,811,800 | 4,728,664 | (12,958,169 | ) | 1,272,729 | (3,827,096 | ) | |||||||||||||||
Qualified late year losses(b) | (169,686 | ) | — | — | — | — | — | |||||||||||||||||
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$ | (725,799 | ) | $ | 1,918,433 | $ | 5,279,404 | $ | (25,542,330 | ) | $ | (29,010,452 | ) | $ | (11,051,317 | ) | |||||||||
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(a) | The differences between book-basis and tax-basis net unrealized gains (losses) was attributable primarily to the tax deferral of losses on wash sales, amortization methods for discounts on fixed income securities, the accrual of income on securities in default, the realization for tax purposes of unrealized gain on investments in passive foreign investment companies, the realization for tax purposes of unrealized gains/losses on certain futures contracts, the accounting for swap agreements, the treatment of residual interests in tender option bond trusts and the classification of investments. |
(b) | The Funds have elected to defer certain qualified late-year losses and recognize such losses in the next taxable year. |
During the year ended March 31, 2018, Series A utilized $1,224 of its capital loss carryforward.
As of March 31, 2018, the Funds had capital loss carryforwards, with no expiration dates, available to offset future realized capital gains as follows:
Series M | Series P | Series S | ||
$13,819,952 | $30,397,564 | $7,224,221 |
As of March 31, 2018, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
Series A | Series C | Series E | Series M | Series P | Series S | |||||||||||||||||||
Tax cost | $ | 587,649,178 | $ | 385,941,039 | $ | 179,443,535 | $ | 1,576,088,442 | $ | 25,878,387 | $ | 262,667,621 | ||||||||||||
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Gross unrealized appreciation | $ | 5,989,372 | $ | 8,462,616 | $ | 5,532,536 | $ | 5,013,406 | $ | 2,499,921 | $ | 1,016,638 | ||||||||||||
Gross unrealized depreciation | (8,767,939 | ) | (6,650,816 | ) | (803,789 | ) | (17,971,575 | ) | (1,227,199 | ) | (4,532,353 | ) | ||||||||||||
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Net unrealized appreciation (depreciation) | $ | (2,778,567 | ) | $ | 1,811,800 | $ | 4,728,747 | $ | (12,958,169 | ) | $ | 1,272,722 | $ | (3,515,715 | ) | |||||||||
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9. | BANK BORROWINGS |
The Trust, on behalf of the Funds, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.1 billion credit agreement with a group of lenders. Under this agreement, the Funds may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Funds, can borrow up to an aggregate commitment amount of $1.6 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.12% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. The agreement expires in April 2018 unless extended or renewed. Participating Funds paid administration, legal and arrangement fees, which, if applicable, are included in miscellaneous expenses in the Statements of Operations. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the year ended March 31, 2018, the Funds did not borrow under the credit agreement.
NOTESTO FINANCIAL STATEMENTS | 101 |
Notes to Financial Statements (continued)
10. | PRINCIPAL RISKS |
Many municipalities insure repayment of their bonds, which may reduce the potential for loss due to credit risk. The market value of these bonds may fluctuate for other reasons, including market perception of the value of such insurance, and there is no guarantee that the insurer will meet its obligation.
Inventories of municipal bonds held by brokers and dealers may decrease, which would lessen their ability to make a market in these securities. Such a reduction in market making capacity could potentially decrease a Fund’s ability to buy or sell bonds. As a result, a Fund may sell a security at a lower price, sell other securities to raise cash, or give up an investment opportunity, any of which could have a negative impact on performance. If a Fund needed to sell large blocks of bonds, those sales could further reduce the bonds’ prices and impact performance.
In the normal course of business, certain Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Each Fund’s prospectus provides details of the risks to which each Fund is subject.
Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.
Series E structures and “sponsors” the TOB Trusts in which it holds TOB Residuals and has certain duties and responsibilities, which may give rise to certain additional risks including, but not limited to, compliance, securities law and operational risks.
Should short-term interest rates rise, Series E’s investments in TOB Trusts may adversely affect Series E’s net investment income and dividends to shareholders. Also, fluctuations in the market value of municipal bonds deposited into the TOB Trust may adversely affect Series E’s NAV per share.
The SEC and various federal banking and housing agencies have adopted credit risk retention rules for securitizations (the “Risk Retention Rules”). The Risk Retention Rules would require the sponsor of a TOB Trust to retain at least 5% of the credit risk of the underlying assets supporting the TOB Trust’s municipal bonds. The Risk Retention Rules may adversely affect Series E’s ability to engage in TOB Trust transactions or increase the costs of such transactions in certain circumstances.
TOB Trusts constitute an important component of the municipal bond market. Any modifications or changes to rules governing TOB Trusts may adversely impact the municipal market and Series E, including through reduced demand for and liquidity of municipal bonds and increased financing costs for municipal issuers. The ultimate impact of any potential modifications on the TOB Trust market and the overall municipal market is not yet certain.
Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by such Fund.
For OTC options purchased, each Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent each Fund deposits collateral with its counterparty to a written option.
With exchange-traded options purchased, futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.
Concentration Risk: As of period end, Series E invested a significant portion of its assets in securities in the transportation sector. Changes in economic conditions affecting such sector would have a greater impact on Series E and could affect the value, income and/or liquidity of positions in such securities.
Certain Funds may invest in securities that are rated below investment grade quality (sometimes called “junk bonds”), which are predominantly speculative, have greater credit risk and generally are less liquid and have more volatile prices than higher quality securities.
102 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (continued)
Certain Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise.
Certain Funds invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Investment percentages in these securities are presented in the Schedules of Investments. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.
11. | CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares were as follows:
Year Ended 03/31/18 | Year Ended 03/31/17 | |||||||
Series A | ||||||||
Shares sold | 30,751,996 | 28,728,913 | ||||||
Shares redeemed | (6,319,617 | ) | (735,453 | ) | ||||
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Net increase | 24,432,379 | 27,993,460 | ||||||
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Series C | ||||||||
Shares sold | 9,671,665 | 15,268,170 | ||||||
Shares redeemed | (11,973,055 | ) | (8,885,287 | ) | ||||
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Net increase (decrease) | (2,301,390 | ) | 6,382,883 | |||||
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| |||||
Series E | ||||||||
Shares sold | 5,610,010 | 8,595,606 | ||||||
Shares redeemed | (2,853,357 | ) | (4,897,884 | ) | ||||
|
|
|
| |||||
Net increase | 2,756,653 | 3,697,722 | ||||||
|
|
|
| |||||
Series M | ||||||||
Shares sold | 42,936,693 | 19,360,258 | ||||||
Shares redeemed | (19,129,335 | ) | (13,287,594 | ) | ||||
|
|
|
| |||||
Net increase | 23,807,358 | 6,072,664 | ||||||
|
|
|
| |||||
Series P | ||||||||
Shares sold | 2,507,403 | 3,392,480 | ||||||
Shares redeemed | (6,608,248 | ) | (15,244,151 | ) | ||||
|
|
|
| |||||
Net decrease | (4,100,845 | ) | (11,851,671 | ) | ||||
|
|
|
| |||||
Series S | ||||||||
Shares sold | 6,236,573 | 6,266,082 | ||||||
Shares redeemed | (7,626,335 | ) | (11,085,959 | ) | ||||
|
|
|
| |||||
Net decrease | (1,389,762 | ) | (4,819,877 | ) | ||||
|
|
|
|
12. | SUBSEQUENT EVENTS |
Management’s evaluation of the impact of all subsequent events on the Funds’ financial statements was completed through the date the financial statements were issued and the following item was noted:
Effective April 19, 2018, the 364-day credit agreement to which the Trust, on behalf of the Funds, and the Participating Funds are party was amended to (i) increase the aggregate commitment amount to $2.25 billion, (ii) increase the aggregate amount (excluding commitments designated for a certain individual fund) the Participating Funds can borrow to $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement, (iii) decrease the fee on used commitment amounts to 0.10% and (iv) extend the termination date to April 2019. Participating Funds paid an upfront commitment fee of 0.02% on the total commitment amounts, in addition to administration, legal and arrangement fees. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds.
NOTESTO FINANCIAL STATEMENTS | 103 |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of BlackRock Allocation Target Shares and Shareholders of BlackRock Allocation Target Shares: Series A Portfolio, BlackRock Allocation Target Shares: Series C Portfolio, BlackRock Allocation Target Shares: Series E Portfolio, BlackRock Allocation Target Shares: Series M Portfolio, BlackRock Allocation Target Shares: Series P Portfolio and BlackRock Allocation Target Shares: Series S Portfolio:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of BlackRock Allocation Target Shares: Series A Portfolio, BlackRock Allocation Target Shares: Series C Portfolio, BlackRock Allocation Target Shares: Series E Portfolio, BlackRock Allocation Target Shares: Series M Portfolio, BlackRock Allocation Target Shares: Series P Portfolio and BlackRock Allocation Target Shares: Series S Portfolio (collectively, the “Funds”), each a series of BlackRock Allocation Target Shares, as of March 31, 2018, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the statement of cash flows for BlackRock Allocation Target Shares: Series S Portfolio for the year then ended, the financial highlights for each of the five years in the period then ended for BlackRock Allocation Target Shares: Series C Portfolio, BlackRock Allocation Target Shares: Class M Portfolio, BlackRock Allocation Target Shares: Class P Portfolio and BlackRock Allocation Target Shares: Class S Portfolio and the financial highlights for each of the two years in the period ended March 31, 2018, and the period September 21, 2015 (commencement of operations) to March 31, 2016 for BlackRock Allocation Target Shares: Class A Portfolio and the financial highlights for each of the three years in the period ended March 31, 2018, and the period August 4, 2015 (commencement of operations) to March 31, 2015 for BlackRock Allocation Target Shares: Class E Portfolio and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of March 31, 2018, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, the cash flows for BlackRock Allocation Target Shares: Series S Portfolio for the year then ended, the financial highlights for each of the five years in the period then ended for BlackRock Allocation Target Shares: Series C Portfolio, BlackRock Allocation Target Shares: Class M Portfolio and BlackRock Allocation Target Shares: Class P Portfolio and BlackRock Allocation Target Shares: Class S Portfolio and the financial highlights for each of the two years in the period ended March 31, 2018, and the period September 21, 2015 (commencement of operations) to March 31, 2016 for BlackRock Allocation Target Shares: Class A Portfolio and the financial highlights for each of the three years in the period ended March 31, 2018, and the period August 4, 2014 (commencement of operations) to March 31, 2015 for BlackRock Allocation Target Shares: Class E Portfolio, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of March 31, 2018, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Deloitte & Touche LLP
Philadelphia, Pennsylvania
May 23, 2018
We have served as the auditor of one or more BlackRock investment companies since 1992.
104 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Important Tax Information (unaudited)
The following information is provided with respect to the ordinary income distributions paid by the Funds for the fiscal year ended March 31, 2018.
Interest Related Dividends and Qualified Short-Term Capital Gains for Non-U.S. Residents (a) | ||||||||||||
April 2017 | May 2017 — December 2017 | January 2018 — March 2018 | ||||||||||
Series A | 69.39 | % | 66.34 | % | 52.55 | % | ||||||
Series C | 77.62 | 74.82 | 71.18 | |||||||||
Series E | N/A | 100.00 | N/A | |||||||||
Series M | 98.24 | 98.24 | 99.13 | |||||||||
Series P | N/A | 100.00 | N/A | |||||||||
Series S | 74.96 | 69.23 | 100.00 | |||||||||
Federal Obligation Interest (b) | ||||||||||||
April 2017 — March 2018 | ||||||||||||
Series C | 0.61 | % | ||||||||||
Series M | 1.12 | |||||||||||
Qualified Dividend Income for Individuals (c) | ||||||||||||
April 2017 | May 2017 — December 2017 | January 2018 — March 2018 | ||||||||||
Series C | 5.94 | % | 5.28 | % | 3.51 | % | ||||||
Dividends Qualifying for the Dividends Received Deduction for Corporations (c) | ||||||||||||
April 2017 — March 2018 | ||||||||||||
Series C | 4.73 | % |
(a) | Represents the portion of the taxable ordinary income dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations. |
(b) | The law varies in each state as to whether and what percentage of ordinary income distributions is eligible for exemption from state income tax. We recommend that you consult your tax advisor to determine if any portion of the distributions you received are exempt from state income tax. |
(c) | The Fund hereby designates the percentage indicated above or the maximum amount allowable by law. |
Additionally, Series C and Series E distributed long-term capital gains of $0.051839 and $0.007308 per share respectively to shareholders of record on December 21, 2017. Series A distributed long-term gains of $0.001934 per share to shareholders of record on December 28, 2017.
TAX INFORMATION | 105 |
Trustee and Officer Information
Independent Trustees (a) | ||||||||
Name Year of Birth (b) | Position(s) Held (Length of Service) (c) | Principal Occupation(s) During Past Five Years | Number of BlackRock-Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen | Public Company and Investment Company Directorships During Past Five Years | ||||
Robert M. Hernandez 1944 | Chair of the Board and Trustee (Since 2007) | Director, Vice Chairman and Chief Financial Officer of USX Corporation (energy and steel business) from 1991 to 2001; Director and non-executive Chairman, RTI International Metals, Inc. from 1990 to 2015; Director, TE Connectivity (electronics) from 2006 to 2012. | 27 RICs consisting of 95 Portfolios | Chubb Limited (insurance company); Eastman Chemical Company | ||||
James H. Bodurtha 1944 | Trustee (Since 2007) | Director, The China Business Group, Inc. (consulting and investing firm) from 1996 to 2013 and Executive Vice President thereof from 1996 to 2003; Chairman of the Board, Berkshire Holding Corporation since 1980; Director, ICI Mutual since 2010. | 27 RICs consisting of 95 Portfolios | None | ||||
Bruce R. Bond 1946 | Trustee (Since 2007) | Trustee, and Member of the Governance Committee, State Street Research Mutual Funds from 1997 to 2005; Board Member of Governance, Audit and Finance Committee, Avaya Inc. (computer equipment) from 2003 to 2007. | 27 RICs consisting of 95 Portfolios | None | ||||
Honorable Stuart E. Eizenstat 1943 | Trustee (Since 2007) | Senior Counsel of Covington and Burling LLP (law firm) since 2016; Head of International Practice thereof since 2001, and Partner thereof from 2001 to 2016; Advisory Board Member, OCP S.A. (phosphates) since 2010; International Advisory Board Member, The Coca-Cola Company from 2002 to 2011; Advisory Board Member, Veracity Worldwide, LLC (risk management) from 2007 to 2012; Member of the International Advisory Board GML Ltd. (energy) since 2003; Board of Directors, Ferroglobe (silicon metals) since 2016. | 27 RICs consisting of 95 Portfolios | Alcatel-Lucent (telecommunications); Global Specialty Metallurgical; UPS Corporation (delivery service) | ||||
Henry Gabbay 1947 | Trustee (Since 2007) | Consultant, BlackRock, Inc. from 2007 to 2008; Managing Director, BlackRock, Inc. from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Allocation Target Shares (formerly, BlackRock Bond Allocation Target Shares) from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006. | 27 RICs consisting of 95 Portfolios | None | ||||
Lena G. Goldberg 1949 | Trustee (Since 2016) | Senior Lecturer, Harvard Business School since 2008; Executive Vice President, FMR LLC/Fidelity Investments (financial services) from 2007 to 2008, Executive Vice President and General Counsel thereof from 2002 to 2007, Senior Vice President and General Counsel thereof from 1999 to 2002, Vice President and General Counsel thereof from 1997 to 1999, Senior Vice President and Deputy General Counsel thereof in 1997, and Vice President and Corporate Counsel thereof from 1996 to 1997; Partner, Sullivan & Worcester LLP from 1985 to 1996 and Associate thereof from 1979 to 1985. | 27 RICs consisting of 95 Portfolios | None |
106 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Trustee and Officer Information (continued)
Independent Trustees (a) | ||||||||
Name Year of Birth (b) | Position(s) Held (Length of Service) (c) | Principal Occupation(s) During Past Five Years | Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen | Public Company and Investment Company Directorships During Past Five Years | ||||
Henry R. Keizer 1956 | Trustee (Since 2016) | Director, Park Indemnity Ltd. (captive insurer) since 2010; Director, MUFG Americas Holdings Corporation and MUFG Union Bank, N.A. (financial and bank holding company) from 2014 to 2016; Director, Montpelier Re Holdings, Ltd. (publicly held property and casual reinsurance) from 2013 to 2015; Director, American Institute of Certified Public Accountants from 2009 to 2011; Director, KPMG LLP (audit, tax and advisory services) from 2004 to 2005 and 2010 to 2012; Director, KPMG International in 2012, Deputy Chairman and Chief Operating Officer thereof from 2010 to 2012 and U.S. Vice Chairman of Audit thereof from 2005 to 2010; Global Head of Audit, KPMGI (consortium of KPMG firms) from 2006 to 2010; Director, YMCA of Greater New York from 2006 to 2010. | 27 RICs consisting of 95 Portfolios | Hertz Global Holdings (car rental); WABCO (commercial vehicle safety systems); Sealed Air Corp. (packaging) | ||||
John F. O’Brien 1943 | Trustee (Since 2007) | Trustee, Woods Hole Oceanographic Institute since 2003 and Chairman thereof from 2009 to 2015; Co-Founder and Managing Director, Board Leaders LLC (director education) since 2005. | 27 RICs consisting of 95 Portfolios | Cabot Corporation (chemicals); LKQ Corporation (auto parts manufacturing); TJX Companies, Inc. (retailer) | ||||
Donald C. Opatrny 1952 | Trustee (Since 2015) | Trustee, Member of the Executive Committee and Chair of the Investment Committee, Cornell University since 2004; Member of the Board and Investment Committee, University School since 2007; Member of the Investment Committee, Mellon Foundation from 2009 to 2015; President and Trustee, the Center for the Arts, Jackson Hole since 2011; Director, Athena Capital Advisors LLC (investment management firm) since 2013; Trustee and Chair of the Investment Committee, Community Foundation of Jackson Hole since 2014; Trustee, Artstor (a Mellon Foundation affiliate) from 2010 to 2015; President, Trustee and Member of the Investment Committee, The Aldrich Contemporary Art Museum from 2007 to 2014. | 27 RICs consisting of 95 Portfolios | None |
TRUSTEEAND OFFICER INFORMATION | 107 |
Trustee and Officer Information (continued)
Interested Trustees (a)(d) | ||||||||
Name Year of Birth (b) | Position(s) Held (Length of Service) (c) | Principal Occupation(s) During Past Five Years | Number of BlackRock-Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen | Public Company Investment Company Directorships During Past Five Years | ||||
Robert Fairbairn 1965 | Trustee (Since 2015) | Senior Managing Director of BlackRock, Inc. since 2010; oversees BlackRock’s Strategic Partner Program and Strategic Product Management Group; Member of BlackRock’s Global Executive and Global Operating Committees; Co-Chair of BlackRock’s Human Capital Committee; Global Head of BlackRock’s Retail and iShares® businesses from 2012 to 2016; Head of BlackRock’s Global Client Group from 2009 to 2012; Chairman of BlackRock’s international businesses from 2007 to 2010. | 27 RICs consisting of 95 Portfolios | None | ||||
John M. Perlowski 1964 | Trustee (Since 2015), President and Chief Executive Officer (Since 2010) | Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009. | 128 RICs consisting of 312 Portfolios | None |
(a) | The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055. |
(b) | Each Independent Trustee holds office until his or her successor is duly elected and qualifies or until his or her earlier death, resignation, retirement or removal as provided by the Trust’s by-laws or charter or statute, or until December 31 of the year in which he or she turns 75. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. Interested Trustees serve until their successor is duly elected and qualifies or until their earlier death, resignation, retirement or removal as provided by the Trust’s by-laws or statute, or until December 31 of the year in which they turn 72. |
(c) | Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. As a result, although the chart shows certain Independent Trustees as joining the Board in 2007, those Trustees first became members of the boards of other legacy MLIM or legacy BlackRock funds as follows: James H. Bodurtha, 1995; Bruce R. Bond, 2005; Honorable Stuart E. Eizenstat, 2001; Robert M. Hernandez, 1996; and John F. O’Brien, 2005. |
(d) | Mr. Fairbairn and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Trust based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Closed-End Complex and the BlackRock Equity-Liquidity Complex. |
108 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Trustee and Officer Information (continued)
Officers Who Are Not Trustees (a) | ||||
Name Year of Birth (b) | Position(s) Held (Length of Service) | Principal Occupation(s) During Past Five Years | ||
Jennifer McGovern 1977 | Vice President (Since 2014) | Managing Director of BlackRock, Inc. since 2016; Director of BlackRock, Inc. from 2011 to 2015; Head of Product Structure and Oversight for BlackRock’s U.S. Wealth Advisory Group since 2013; Vice President of BlackRock, Inc. from 2008 to 2010. | ||
Neal J. Andrews 1966 | Chief Financial Officer (Since 2007) | Managing Director of BlackRock, Inc. since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006. | ||
Jay M. Fife 1970 | Treasurer (Since 2007) | Managing Director of BlackRock, Inc. since 2007; Director of BlackRock, Inc. in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006. | ||
Charles Park 1967 | Chief Compliance Officer (Since 2014) | Anti-Money Laundering Compliance Officer for the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex since 2014; Principal of and Chief Compliance Officer for iShares®Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares® exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012. | ||
Fernanda Piedra 1969 | Anti-Money Laundering Compliance Officer (Since 2015) | Director of BlackRock, Inc. since 2014; Anti-Money Laundering Compliance Officer and Regional Head of Financial Crime for the Americas at BlackRock, Inc. since 2014; Head of Regulatory Changes and Remediation for the Asset Wealth Management Division of Deutsche Bank from 2010 to 2014; Vice President of Goldman Sachs (Anti-Money Laundering/Suspicious Activities Group) from 2004 to 2010. | ||
Benjamin Archibald 1975 | Secretary (Since 2012) | Managing Director of BlackRock, Inc. since 2014; Director of BlackRock, Inc. from 2010 to 2013; Secretary of the iShares® exchange traded funds since 2015; Secretary of the BlackRock-advised mutual funds since 2012. |
(a) | The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055. |
(b) | Officers of the Trust serve at the pleasure of the Board. |
Further information about the Trust’s Trustees and Officers is available in the Fund’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.
Effective December 31, 2017, Roberta Cooper Ramo retired and Donald W. Burton resigned as Trustees of the Trust.
Effective May 8, 2018, John MacKessy replaced Fernanda Piedra as the Anti-Money Laundering Compliance Officer of the Trust.
Investment Adviser
BlackRock Advisors, LLC
Wilmington, DE 19809
Accounting Agent, Administrator and Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
Wilmington, DE 19809
Custodian
The Bank of New York Mellon
New York, NY 10286
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Philadelphia, PA 19103
Distributor
BlackRock Investments, LLC
New York, NY 10022
Legal Counsel
Willkie Farr & GallagherLLP
New York, NY 10019
Address of the Trust
100 Bellevue Parkway
Wilmington, DE 19809
TRUSTEEAND OFFICER INFORMATION | 109 |
General Information
Effective September 26, 2016, BlackRock implemented a new methodology for calculating “effective duration” for BlackRock municipal bond portfolios. The new methodology replaces the model previously used by BlackRock to evaluate municipal bond duration and is a common indicator of an investment’s sensitivity to interest rate movements. The new methodology is applied to Series E’s duration reported for periods after September 26, 2016.
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding Series E may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding Series E and does not, and is not intended to, incorporate BlackRock’s website in this report.
Householding
The Funds will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 441-7762.
Availability of Quarterly Schedule of Investments
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room or how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Funds’ Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.
Availability of Proxy Voting Policies and Procedures
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available upon request and without charge, (1) by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.
Availability of Proxy Voting Record
Information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.
110 | 2018 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS |
Glossary of Terms Used in this Report
Portfolio Abbreviations | ||
ABS | Asset-Backed Security | |
AGM | Assured Guaranty Municipal Corp. | |
AMT | Alternative Minimum Tax (subject to) | |
BAN | Bond Anticipation Notes | |
CLO | Collateralized Loan Obligation | |
DAC | Designated Activity Company | |
EDA | Economic Development Authority | |
GO | General Obligation Bonds | |
IDA | Industrial Development Authority |
Portfolio Abbreviations (continued) | ||
LIBOR | London Interbank Offered Rate | |
OTC | Over-the-counter | |
RB | Revenue Bonds | |
REMIC | Real Estate Mortgage Investment Conduit | |
S&P | Standard & Poor’s | |
TBA | To-be-announced | |
USD | US Dollar |
GLOSSARYOF TERMS USEDINTHIS REPORT | 111 |
This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Funds unless preceded or accompanied by the Funds’ current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.
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BATS-3/18-AR
Item 2 – | Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, the code of ethics was amended to clarify an inconsistency as to whom persons covered by the code should report suspected violations of the code. The amendment clarifies that such reporting should be made to BlackRock Advisors, LLC’s (“Investment Adviser” or “BlackRock”) General Counsel, and retains the alternative option of anonymous reporting following “whistleblower” policies. Other non-material changes were also made in connection with this amendment. During the period covered by this report, there have been no waivers granted under the code of ethics. The registrant undertakes to provide a copy of the code of ethics to any person upon request, without charge, who calls 1-800-441-7762. | |
Item 3 – | Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent: | |
Robert M. Hernandez | ||
Henry R. Keizer | ||
Stuart E. Eizenstat | ||
Bruce R. Bond | ||
Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. | ||
Item 4 – | Principal Accountant Fees and Services | |
The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund: |
(a) Audit Fees | (b) Audit-Related Fees1 | (c) Tax Fees2 | (d) All Other Fees | |||||||||||||||||||||||||||||||||||||
Entity Name | Current Fiscal Year End | Previous Fiscal Year End | Current End | Previous End | Current End | Previous End | Current End | Previous End | ||||||||||||||||||||||||||||||||
Series A Portfolio | $40,100 | $40,940 | $0 | $0 | $15,400 | $16,002 | $0 | $0 | ||||||||||||||||||||||||||||||||
Series C Portfolio | $35,300 | $36,032 | $0 | $0 | $15,400 | $16,002 | $0 | $0 | ||||||||||||||||||||||||||||||||
Series E Portfolio | $41,100 | $41,960 | $0 | $0 | $13,400 | $13,362 | $0 | $0 | ||||||||||||||||||||||||||||||||
Series M Portfolio | $31,400 | $32,003 | $0 | $0 | $15,400 | $16,002 | $0 | $0 | ||||||||||||||||||||||||||||||||
Series P Portfolio | $20,000 | $34,514 | $0 | $0 | $15,400 | $15,402 | $0 | $0 | ||||||||||||||||||||||||||||||||
Series S Portfolio | $35,300 | $36,032 | $0 | $0 | $15,400 | $15,402 | $0 | $0 |
The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial
2
reporting of the Fund and that are rendered on behalf of BlackRock and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Affiliated Service Providers”):
Current Fiscal Year End | Previous Fiscal Year End | |||
(b) Audit-Related Fees1 | $0 | $0 | ||
(c) Tax Fees2 | $0 | $0 | ||
(d) All Other Fees3 | $2,274,000 | $2,129,000 |
1 The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters, out-of-pocket expenses and internal control reviews not required by regulators.
2 The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.
3 Non-audit fees of $2,274,000 and $2,129,000 for the current fiscal year and previous fiscal year, respectively, were paid to the Fund’s principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of the Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.
(e)(1) Audit Committee Pre-Approval Policies and Procedures:
The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.
Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.
(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
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(f) Not Applicable
(g) The aggregate non-audit fees, defined as the sum of the fees shown under “Audit-Related Fees,” “Tax Fees” and “All Other Fees,” paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:
Entity Name | Current Fiscal Year End | Previous Fiscal Year End | ||||
Series A Portfolio | $15,400 | $16,002 | ||||
Series C Portfolio | $15,400 | $16,002 | ||||
Series E Portfolio | $13,400 | $13,362 | ||||
Series M Portfolio | $15,400 | $16,002 | ||||
Series P Portfolio | $15,400 | $15,402 | ||||
Series S Portfolio | $15,400 | $15,402 |
Additionally, the amounts billed by D&T in connection with services provided to the Affiliated Service Providers of the Fund and of other funds sponsored and advised by BlackRock or its affiliates during the current and previous fiscal years for a service organization review and an accounting research tool subscription were:
Current Fiscal Year End | Previous Fiscal Year End | |
$2,274,000 | $2,129,000 |
These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.
(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser and the Affiliated Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Item 5 – | Audit Committee of Listed Registrants – Not Applicable | |
Item 6 – | Investments | |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form. | ||
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing. | ||
Item 7 – | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable | |
Item 8 – | Portfolio Managers of Closed-End Management Investment Companies – Not Applicable | |
Item 9 – | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable |
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Item 10 – | Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures. | |
Item 11 – | Controls and Procedures | |
(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended. | ||
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. | ||
Item 12 – | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable | |
Item 13 – | Exhibits attached hereto | |
(a)(1) Code of Ethics – See Item 2 | ||
(a)(2) Certifications – Attached hereto | ||
(a)(3) Not Applicable | ||
(a)(4) Not Applicable | ||
(b) Certifications – Attached hereto |
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Allocation Target Shares
By: | /s/ John M. Perlowski | |
John M. Perlowski | ||
Chief Executive Officer (principal executive officer) of | ||
BlackRock Allocation Target Shares | ||
Date: | June 1, 2018 |
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/ John M. Perlowski | |
John M. Perlowski | ||
Chief Executive Officer (principal executive officer) of | ||
BlackRock Allocation Target Shares | ||
Date: | June 1, 2018 | |
By: | /s/ Neal J. Andrews | |
Neal J. Andrews | ||
Chief Financial Officer (principal financial officer) of | ||
BlackRock Allocation Target Shares | ||
Date: | June 1, 2018 |
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