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: 811-23345
Name of Fund: BlackRock Series Fund II, Inc.
BlackRock High Yield Portfolio
BlackRock U.S. Government Bond Portfolio
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Series Fund II,
Inc., 55 East 52nd Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 441-7762
Date of fiscal year end: 12/31/2020
Date of reporting period: 06/30/2020
Item 1 – Report to Stockholders
| | |
| | JUNE 30, 2020 |
| | |
| |
| | 2020 Semi-Annual Report (Unaudited) |
BlackRock Series Fund, Inc.
| · | | BlackRock Advantage Large Cap Core Portfolio |
| · | | BlackRock Balanced Capital Portfolio |
| · | | BlackRock Capital Appreciation Portfolio |
| · | | BlackRock Global Allocation Portfolio |
| · | | BlackRock Government Money Market Portfolio |
BlackRock Series Fund II, Inc.
| · | | BlackRock High Yield Portfolio |
| · | | BlackRock U.S. Government Bond Portfolio |
|
| Not FDIC Insured - May Lose Value - No Bank Guarantee |
The Markets in Review
Dear Shareholder,
The last 12 months have been a time of sudden change in global financial markets, as a long period of growth and positive returns was interrupted in early 2020 by the emergence and spread of the coronavirus. For the first part of the reporting period, U.S. equities and bonds both delivered impressive returns, despite fears and doubts about the economy that were ultimately laid to rest with unprecedented monetary stimulus and a sluggish yet resolute performance from the U.S. economy. But as the threat from the coronavirus became more apparent throughout February and March 2020, leading countries around the world took economically disruptive countermeasures, causing equity prices to fall sharply. While markets have since recovered some of these losses as countries around the world begin reopening, there is still significant uncertainty surrounding the course of the pandemic, and an uptick in U.S. infection rates caused concern late in the reporting period.
Returns for most securities were robust for the first part of the reporting period, as investors began to realize that the U.S. economy was maintaining the modest yet steady growth that had characterized this economic cycle. However, once stay-at-home orders and closures of non-essential businesses became widespread, many workers were laid off and unemployment claims spiked. With large portions of the global economy on hold, all types of international equities ended the 12-month reporting period with negative performance, while in the United States large-capitalization stocks, which investors saw as more resilient than smaller companies, delivered solid returns.
The performance of different types of fixed-income securities diverged substantially due to a reduced investor appetite for risk. Treasuries benefited from the risk-off environment, and posted healthy returns, as the 10-year U.S. Treasury yield (which is inversely related to bond prices) fell to an all-time low. Investment-grade corporate bonds also delivered a solid return, while high-yield corporate returns were flat due to credit concerns.
The U.S. Federal Reserve (the “Fed”) reduced interest rates three times in 2019, to support slowing economic growth. After the coronavirus outbreak, the Fed instituted two emergency rate cuts, pushing short-term interest rates close to zero. To stabilize credit markets, the Fed also announced a new bond-buying program, as did several other central banks around the world, including the European Central Bank and the Bank of Japan.
Looking ahead, while coronavirus-related disruption has clearly hindered worldwide economic growth, we believe that the global expansion is likely to continue once the impact of the outbreak subsides. Several risks remain, however, including a potential resurgence of the virus amid loosened restrictions, policy fatigue among governments already deep into deficit spending, and structural damage to the financial system from lengthy economic interruptions.
Overall, we favor a moderately positive stance toward risk, and in particular toward credit given the extraordinary central bank measures taken in recent months. This support extends beyond investment-grade corporates and into high-yield, leading to attractive opportunities throughout the credit market. We believe that both U.S. Treasuries and sustainable investments can help provide portfolio resilience, and the disruption created by the coronavirus appears to be accelerating the shift toward sustainable investments. We remain neutral on equities overall while favoring European stocks, which are poised for a cyclical upside as re-openings continue.
In this environment, our view is that 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 June 30, 2020 |
| | | 6-Month | | 12-Month |
U.S. large cap equities
(S&P 500® Index) | | (3.08)% | | 7.51% |
U.S. small cap equities
(Russell 2000® Index) | | (12.98) | | (6.63) |
International equities
(MSCI Europe, Australasia, Far East Index) | | (11.34) | | (5.13) |
Emerging market equities
(MSCI Emerging Markets Index) | | (9.78) | | (3.39) |
3-month Treasury bills
(ICE BofA 3-Month U.S. Treasury Bill Index) | | 0.60 | | 1.63 |
U.S. Treasury securities
(ICE BofA 10-Year U.S. Treasury Index) | | 12.68 | | 14.21 |
U.S. investment grade bonds
(Bloomberg Barclays U.S. Aggregate Bond Index) | | 6.14 | | 8.74 |
Tax-exempt municipal bonds
(S&P Municipal Bond Index) | | 1.97 | | 4.23 |
U.S. high yield bonds
(Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index) | | (3.83) | | 0.00 |
| 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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| 2 | | THIS PAGEISNOT PARTOF YOUR FUND REPORT |
Table of Contents
| | |
| Fund Summary as of June 30, 2020 | | BlackRock Advantage Large Cap Core Portfolio |
Investment Objective
BlackRock Advantage Large Cap Core Portfolio’s (the “Fund”) investment objective is to seek long-term capital appreciation.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended June 30, 2020, the Fund outperformed its benchmark, the Russell 1000® Index.
What factors influenced performance?
The Fund performed well navigating a highly volatile market backdrop during the period. At the beginning of 2020, markets were touching new highs in a strong risk-on rally driven by excitement for a phase one trade deal between the United States and China. The anticipation of a resolution for the trade dispute, and the actual deal itself, helped boost stocks through mid-February. However, the spread of a coronavirus across the globe provided an inflection point leading to a steep market decline. Investor concerns mounted amid broadly enforced economic shutdowns, as expectations of growth and employment were impacted. The speed of the selloff drove one of the worst quarterly returns for U.S. equities on record as volatility hit levels last observed during the 2008 global financial crisis. As a result, policy makers stepped in with both fiscal and monetary packages aimed at supporting the market. In the second quarter, U.S. equities recovered sharply as policy stimulus exceeded expectations and the economy slowly reopened. Further supporting markets, economic data improved after hitting troughs earlier in the year. Both U.S. retail sales and jobs data surprised in May, creating hope for a strong recovery. This prompted a sharp reversal in market leadership, as positions that had benefited earlier from the coronavirus began to underperform more value-oriented cyclicals. The recovery ultimately moderated in June amid rising coronavirus cases, reestablishing leadership for growth over value.
The Fund’s sentiment measures were the largest positive contributors to relative performance for the period, as they were broadly able to successfully navigate the changing market environment. Specifically, an insight that looks to cross-asset class data, such as bond markets, outperformed given credit spread volatility. This insight drove gains through successful positioning in biotechnology companies. Sentiment-based insights that utilize alternative data contributed to excess return as well. This was most observable across insights that captured supply chain disruptions and look to non-obvious news. Less-traditional quality measures also continued to display strong performance, such as insights related to environmental, social and governance (“ESG”) factors. Specifically, a recently added insight that identifies investor flows into ESG-related positions was one of the top performing signals after successfully capturing an evolving investor preference for sustainability.
Unsurprisingly, given the market volatility, insights with a preference for less-leveraged companies positively contributed to the Fund’s performance. Capturing how companies are navigating fast-changing consumer habits and the emergence from lockdown using web traffic and mobile application usage was effective as well. The “real time” nature of these types of measures has been helpful in evaluating the quickly evolving marketplace, specifically with respect to banks.
Select insights struggled during the period. Certain macro-thematic insights lagged against the rapidly evolving backdrop. A style-timing insight focused on momentum exposures detracted given the sharp rotations in and out of favor of that style during the period. Similarly, macro insights that that look toward import and labor costs were also weaker in the period. Growth and technology stocks continued to dominate market leadership, presenting a headwind to value-based insights. In particular, more traditional value signals, such as comparing research trends across price, struggled given the backdrop.
Describe recent portfolio activity.
Over the course of the period, the portfolio maintained a balanced allocation of risk across all major return drivers. However, a number of new stock selection insights were added to the portfolio. Among these is a new signal that uses the investment adviser’s existing library of insights to create bespoke allocation models at the individual stock level. This builds upon earlier machine-learned capabilities developed by the investment adviser. Additionally, a new insight that looks to identify trade crowding from broker concentration was added. Finally, given the dynamism of the current environment, the Fund instituted enhanced signal constructs to best identify emerging trends, such as “work from home.”
Describe portfolio positioning at period end.
Relative to the Russell 1000© Index, the Fund was positioned essentially neutrally from a sector perspective. The Fund had slight overweight positions in the consumer discretionary and information technology sectors and slight underweight positions in communication services and energy.
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.
| | |
| 4 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
| Fund Summary as of June 30, 2020 (continued) | | BlackRock Advantage Large Cap Core Portfolio |
Performance Summary for the Period Ended June 30, 2020
| | | | | | | | | | | | | | | | |
| | | | | | Average Annual Total Returns (a) | |
| | | 6-Month
Total Returns (a) | | | 1 Year | | | 5 Years | | | 10 Years | |
BlackRock Advantage Large Cap Core Portfolio(b) | | | (2.13) | % | | | 6.55 | % | | | 10.12 | % | | | 13.20 | % |
Russell 1000® Index(c) | | | (2.81) | | | | 7.48 | | | | 10.47 | | | | 13.97 | |
| (a) | Cumulative and average annual total returns are based on changes in net asset value for the periods shown and assume reinvestment of all distributions at net asset value on the ex-dividend date. Insurance-related fees and expenses are not reflected in these returns. The Fund’s total returns prior to June 12, 2017 are the returns of the Fund when it followed different investment strategies under the name BlackRock Large Cap Core Portfolio. |
| (b) | Assuming transaction costs and other operating expenses, including investment advisory fees, if any. Does not include insurance-related fees and expenses. Under normal circumstances, the Fund seeks to invest at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in large cap equity securities and derivatives that have similar economic characteristics to such securities. |
| (c) | An index that measures the performance of the large cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1,000 of the largest securities based on a combination of their market capitalization and current index membership. The index represents approximately 92% of the total market capitalization of the Russell 3000® Index. |
Past performance is not indicative of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical (a) | | | | |
| | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | | | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | Annualized
Expense
Ratio | |
BlackRock Advantage Large Cap Core Portfolio | | $ | 1,000.00 | | | $ | 978.70 | | | $ | 2.41 | | | | | | | $ | 1,000.00 | | | $ | 1,022.43 | | | $ | 2.46 | | | | 0.50 | % |
| (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366. |
| (b) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
See “Disclosure of Expenses” on page 19 for further information on how expenses were calculated.
Portfolio Information
SECTOR ALLOCATION
| | | | |
| Sector | | Percent of Net Assets | |
Information Technology | | | 27 | % |
Health Care | | | 14 | |
Consumer Discretionary | | | 12 | |
Financials | | | 10 | |
Communication Services | | | 9 | |
Industrials | | | 8 | |
Consumer Staples | | | 7 | |
Utilities | | | 3 | |
Real Estate | | | 3 | |
Materials | | | 2 | |
Energy | | | 2 | |
Short-Term Securities | | | 6 | |
Liabilities in Excess of Other Assets | | | (3 | ) |
For Fund compliance purposes, the Fund’s sector classifications refer to one or more of the sector 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 sector sub-classifications for reporting ease.
| | |
| Fund Summary as of June 30, 2020 | | BlackRock Balanced Capital Portfolio |
Investment Objective
BlackRock Balanced Capital Portfolio’s (the “Fund”) investment objective is to seek high total investment return.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended June 30, 2020, the Fund returned 0.38%, underperforming its blended benchmark (60% Russell 1000® Index/40% Bloomberg Barclays U.S. Aggregate Bond Index), which returned 1.20% for the period. The Russell 1000® Index returned (2.81)%, while the Bloomberg Barclays U.S. Aggregate Bond Index returned 6.14%.
What factors influenced performance?
From an asset allocation perspective, an underweight stance with respect to U.S. duration (and corresponding interest rate sensitivity), which the Fund held through the end of March, detracted from returns as the Fed cut its benchmark Fed Funds rate to 0% and implemented a new bond purchase program to alleviate the funding stress and market volatility that occurred following the coronavirus outbreak.
In the equity allocation, certain macro-thematic insights struggled against the rapidly evolving backdrop. A style timing insight focused on momentum exposures detracted from performance given the sharp rotations of that style in and out of favor during the period. Similarly, macro insights that look at import and labor costs were also weak during the period. In the fixed income allocation, positioning across securitized assets, namely in commercial mortgage-backed securities and non-agency mortgage-backed securities (“MBS”), detracted. An overweight to U.S. municipal bonds also weighed on the Fund’s return during the period.
From an asset allocation perspective, an overweight to U.S. equities initiated during the market sell-off in March added to Fund performance as risk assets bounced back from lows on the back of substantial monetary and fiscal stimulus along with early signs of economic recovery as many countries started to reopen.
Within the equity allocation, sentiment measures contributed to returns, as they were broadly able to successfully navigate the changing market environment. Specifically, an insight that looks to cross-asset class data, such as bond markets, outperformed given credit spread volatility. This insight drove gains through successful positioning in biotechnology companies. Additionally, sentiment-based insights that utilize alternative data also contributed to excess returns. This was most observable across insights that captured supply chain disruptions and look to non-obvious news. Within the fixed income allocation, overweight positions to investment grade corporate credit, agency MBS, and emerging markets contributed to performance.
The Fund held derivatives during the period as a part of its investment strategy, but the positions were small. Derivatives are used by the investment adviser as a means to manage risk and/or take outright views on equities, interest rates, credit risk and/or foreign exchange positions in the Fund. The Fund’s use of derivatives had a negative impact on Fund performance.
Describe recent portfolio activity.
The Fund entered the year with an overweight to U.S. equities and an underweight to U.S. duration, albeit at low active risk levels. In early February, as the investment adviser’s conviction in the macro outlook improved, the Fund increased its procyclical positioning by adding to the Fund’s overweight equity and underweight duration positions. The investment adviser believed that steady consumption and stronger-than-appreciated inflationary dynamics in the United States and Europe were likely to intersect with an increase in manufacturing activity. However, as the coronavirus outbreak spread beyond China and equity markets sold off, the investment adviser took that as an opportunity to increase the Fund’s overweight to U.S. equities and close its underweight to duration. Subsequently, in April and May, the investment adviser reduced the magnitude of the Fund’s overweight to U.S. equities and added an overweight to U.S. duration.
The equity allocation maintained a balanced risk exposure across all major return drivers. However, several new stock selection insights were added to the portfolio. These included a signal that uses the investment adviser’s existing library of systematic insights to create allocation models at the individual stock level. Additionally, an insight that looks to identify trade crowding from broker concentration was added. Finally, given the dynamism of the current environment, the portfolio instituted enhanced signal constructs to best identify emerging trends, such as “work from home.”
Within the fixed income allocation, the Fund tactically deployed expressions in agency MBS during the first quarter of 2020. After sharply reducing exposure to agency MBS when valuations became rich in February, the portfolio moved back to an overweight position in mid-March when valuations returned to more attractive levels. The sector has since benefited from the Fed’s announcement of its MBS purchase program. Risk assets performed well in the second quarter due to extraordinary policy support and much improved market sentiment. Within spread assets, the portfolio slightly added to U.S. investment grade credit and certain parts of the high yield bond market. The portfolio also increased its overweight in agency MBS on the view that rates will remain in a tighter range, alongside lower levels of volatility, which should bode well for the sector.
Describe portfolio positioning at period end.
The Fund ended the period with a constructive view on U.S. equities and U.S. duration as policymakers are likely to continue to pursue efforts to support economic recovery and interest rates are likely to remain at historically low levels for an extended period.
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.
| | |
| 6 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
| Fund Summary as of June 30, 2020 (continued) | | BlackRock Balanced Capital Portfolio |
Performance Summary for the Period Ended June 30, 2020
| | | | | | | | | | | | | | | | |
| | | | | | Average Annual Total Returns (a) | |
| | | 6-Month
Total Returns (a) | | | 1 Year | | | 5 Years | | | 10 Years | |
BlackRock Balanced Capital Portfolio(b) | | | 0.38 | % | | | 6.78 | % | | | 8.22 | % | | | 10.08 | % |
60% Russell 1000® Index/40% Bloomberg Barclays U.S. Aggregate Bond Index(c) | | | 1.20 | | | | 8.61 | | | | 8.28 | | | | 10.08 | |
Russell 1000® Index(d) | | | (2.81 | ) | | | 7.48 | | | | 10.47 | | | | 13.97 | |
Bloomberg Barclays U.S. Aggregate Bond Index(e) | | | 6.14 | | | | 8.74 | | | | 4.30 | | | | 3.82 | |
| (a) | Cumulative and average annual total returns are based on changes in net asset value for the periods shown and assume reinvestment of all distributions at net asset value on the ex-dividend date. Insurance-related fees and expenses are not reflected in these returns. |
| (b) | Assuming transaction costs and other operating expenses, including investment advisory fees, if any. Does not include insurance-related fees and expenses. The Fund invests in U.S. and foreign equity securities and fixed income securities of any maturity. |
| (c) | A customized weighted index comprised of the returns of the Russell 1000® Index (60%) and Bloomberg Barclays U.S. Aggregate Bond Index (40%). |
| (d) | An index that measures the performance of the large cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1,000 of the largest securities based on a combination of their market capitalization and current index membership. The index represents approximately 92% of the total market capitalization of the Russell 3000® Index. |
| (e) | A widely recognized unmanaged market-weighted index comprised of investment-grade corporate bonds rated BBB or better, mortgages and U.S. Treasury and U.S. Government agency issues with at least one year to maturity. |
| | Past performance is not indicative of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
| | Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. |
Expense Example
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical (a) | |
| | | | | | | | | Including
Interest
Expense | | | Excluding
Interest
Expense | | | | | | | | | Including Interest Expense | | | Excluding Interest Expense | |
| | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | Expenses
Paid During
the Period (c) | | | | | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (c) | |
BlackRock Balanced Capital Portfolio | | $ | 1,000.00 | | | $ | 1,003.80 | | | $ | 2.49 | | | $ | 2.44 | | | | | | | $ | 1,000.00 | | | $ | 1,022.38 | | | $ | 2.51 | | | $ | 1,022.43 | | | $ | 2.46 | |
| (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366. |
| (b) | Expenses are equal to the annualized expense ratio (0.50%), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
| (c) | Expenses are equal to the annualized expense ratio (0.49%), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
| | See “Disclosure of Expenses” on page 19 for further information on how expenses were calculated. |
Portfolio Information
| | | | |
PORTFOLIO COMPOSITION | |
Asset Type | |
| Percent of
Total Investments |
(a) |
Common Stocks | | | 57 | % |
U.S. Government Sponsored Agency Securities | | | 15 | |
Corporate Bonds | | | 13 | |
U.S. Treasury Obligations | | | 6 | |
Asset-Backed Securities | | | 3 | |
Investment Companies | | | 2 | |
Municipal Bonds | | | 2 | |
Non-Agency Mortgage-Backed Securities | | | 1 | |
Foreign Government Obligations | | | 1 | |
Capital Trusts | | | — | (b) |
Foreign Agency Obligations | | | — | (b) |
Rights | | | — | (b) |
Floating Rate Loan Interests | | | — | (b) |
Other Interests | | | — | (b) |
| (a) | Excludes short-term securities, options purchased, options written, borrowed bonds and TBA sale commitments. |
| (b) | Represents less than 1% of the Fund’s total investments. |
| | |
| Fund Summary as of June 30, 2020 | | BlackRock Capital Appreciation Portfolio |
Investment Objective
BlackRock Capital Appreciation Portfolio’s (the “Fund”) investment objective is to seek long term growth of capital.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended June 30, 2020, the Fund outperformed its benchmark, the Russell 1000® Growth Index, and the broad market S&P 500® Index. The following discussion of relative performance pertains to the Russell 1000® Growth Index.
What factors influenced performance?
The largest contributors to the Fund’s relative performance over the period included stock selection in the consumer discretionary and communication services sectors as well as positioning in consumer staples. In consumer discretionary, an overweight to internet & direct marketing retail, most notably an overweight position in ecommerce and cloud computing company Amazon.com, Inc. and an out-of-benchmark position in Argentine ecommerce company MercadoLibre, Inc., drove relative performance. Within communication services, stock selection in the entertainment subsector with an overweight position in Netflix, Inc. further added to relative results. Lastly, an underweight to the consumer staples sector, with limited exposure most notably to the beverages segment, proved advantageous as well.
The only detractor from relative performance in sector terms was stock selection in health care. Within health care, an overweight exposure to health care equipment & supplies weighed on performance, specifically overweight positions in Boston Scientific Corp., Align Technology, Inc., Intuitive Surgical, Inc., and Varian Medical Systems, Inc. Additionally, positioning within the life sciences tools & services industry was a slight drag on performance, due to an overweight position in IQVIA Holdings, Inc. and an underweight position in Illumina, Inc.
Describe recent portfolio activity.
During the period, exposure to information technology (“IT”) increased with allocations to software. Exposure to the consumer discretionary sector increased as well. Conversely, exposure to industrials decreased the most due to a lowered allocation to aerospace & defense. Exposure to the health care sector decreased as well.
Describe portfolio positioning at period end.
As of period end, the Fund’s largest overweight position relative to the Russell 1000® Growth Index was in the consumer discretionary sector, followed by financials and materials. Conversely, the consumer staples sector was the largest underweight, followed by health care and IT.
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.
| | |
| 8 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
| Fund Summary as of June 30, 2020 (continued) | | BlackRock Capital Appreciation Portfolio |
Performance Summary for the Period Ended June 30, 2020
| | | | | | | | | | | | | | | | |
| | | | | | Average Annual Total Returns (a) | |
| | | 6-Month
Total Returns (a) | | | 1 Year | | | 5 Years | | | 10 Years | |
BlackRock Capital Appreciation Portfolio(b) | | | 13.78 | % | | | 21.71 | % | | | 15.92 | % | | | 16.09 | % |
S&P 500® Index(c) | | | (3.08 | ) | | | 7.51 | | | | 10.73 | | | | 13.99 | |
Russell 1000® Growth Index(d) | | | 9.81 | | | | 23.28 | | | | 15.89 | | | | 17.23 | |
| (a) | Cumulative and average annual total returns are based on changes in net asset value for the periods shown and assume reinvestment of all distributions at net asset value on the ex-dividend date. Insurance-related fees and expenses are not reflected in these returns. |
| (b) | Assuming transaction costs and other operating expenses, including investment advisory fees, if any. Does not include insurance-related fees and expenses. The Fund invests primarily in a diversified portfolio consisting primarily of common stock of U.S. companies that the investment adviser believes have exhibited above-average growth rates in earnings over the long term. |
| (c) | An unmanaged index that covers 500 leading companies and captures approximately 80% coverage of available market capitalization. |
| (d) | An unmanaged index that measures the performance of the large cap growth segment of the U.S. equity universe and consists of those Russell 1000® securities with higher price-to-book ratios and higher forecasted growth values |
| | Past performance is not indicative of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
| | Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. |
Expense Example
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical (a) | | | | |
| | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | | | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | Annualized
Expense
Ratio | |
BlackRock Capital Appreciation Portfolio | | $ | 1,000.00 | | | $ | 1,137.80 | | | $ | 2.55 | | | | | | | $ | 1,000.00 | | | $ | 1,022.48 | | | $ | 2.41 | | | | 0.48 | % |
| (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366. |
| (b) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
| | See “Disclosure of Expenses” on page 19 for further information on how expenses were calculated. |
Portfolio Information
| | | | |
SECTOR ALLOCATION | |
| Sector | | Percent of Net Assets | |
Information Technology | | | 42 | % |
Consumer Discretionary | | | 22 | |
Health Care | | | 11 | |
Communication Services | | | 11 | |
Industrials | | | 5 | |
Financials | | | 4 | |
Real Estate | | | 2 | |
Materials | | | 2 | |
Consumer Staples | | | 1 | |
Short-Term Securities | | | 2 | |
Liabilities in Excess of Other Assets | | | (2 | ) |
For Fund compliance purposes, the Fund’s sector classifications refer to one or more of the sector 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 sector sub-classifications for reporting ease.
| | |
| Fund Summary as of June 30, 2020 | | BlackRock Global Allocation Portfolio |
Investment Objective
BlackRock Global Allocation Portfolio’s (the “Fund”) investment objective is to seek high total investment return.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended June 30, 2020, the Fund outperformed its Reference Benchmark, which is comprised of the S&P 500® Index (36%), FTSE World (ex-U.S.) Index (24%), ICE BofAML Current 5-Year U.S. Treasury Index (24%) and FTSE Non-U.S. Dollar World Government Bond Index (16%) (the “Reference Benchmark”), and outperformed the broad-based all-equity benchmark, the FTSE World Index. The Fund invests in both equities and bonds; therefore, Fund management believes that the Reference Benchmark provides a more accurate representation of the Fund’s composition and a more comparable means for measurement. The following discussion of relative performance pertains to the Reference Benchmark. The following commentary (and referenced allocation percentages) are based on the economic exposures of the Fund, which reflect adjustments for futures, swaps and options (except with respect to fixed income securities), and convertible bonds, and may vary relative to the market value.
What factors influenced performance?
Within equities, security selection within and an overweight to consumer discretionary and information technology (“IT”) contributed to performance. Stock selection within and an underweight to energy was additive, and stock selection within communication services contributed to returns as well. Portfolio positioning within fixed income, specifically yield curve positioning at the long end of the curve, positively impacted returns. Exposure to U.S. investment grade corporate credit and modest exposure to Chinese government bonds was also additive. Exposure to gold-related securities and cash equivalents contributed to performance as well.
The Fund uses derivatives, which may include options, futures, swaps and forward contracts both to seek to enhance returns of the Fund and to hedge (or protect) against adverse movements in currency exchange rates, interest rates and movements in the securities markets. During the period, the Fund’s use of derivatives, in aggregate, contributed to the Fund’s performance.
Within equities, security selection within industrials weighed on returns. Stock selection within financials and health care also detracted, although this was partially offset by an underweight and overweight, respectively, to those sectors. Within fixed income, a broad underweight relative to the benchmark negatively impacted returns. Exposure to U.S. Treasury inflation-protected securities detracted as well. Currency management, notably an underweight to the Australian dollar, also weighed on performance.
Describe recent portfolio activity.
During the period, the Fund’s overall equity allocation decreased from 67% to 64% of net assets. Within equities, the Fund increased exposure to Europe and decreased exposure to Japan and the United States. From a sector perspective, the Fund increased exposure to IT and consumer discretionary, and decreased exposure to industrials, financials, energy, consumer staples and communication services. The Fund’s allocation to fixed income decreased from 27% to 25% of net assets. Within fixed income, the Fund decreased exposure to government bonds and securitized debt, and increased exposure to corporate credit. From the perspective of the portfolio’s interest rate sensitivity, the Fund increased total portfolio duration from 1.7 years to 2.3 years. The Fund’s allocation to commodity-related assets increased from 2% to 4% of net assets.
Reflecting the changes in the Fund’s overall allocations to the equity, fixed income and commodity-related asset classes during the period, the Fund’s cash equivalents increased from 4% to 7% of net assets. During the six-month period, cash helped mitigate portfolio volatility and served as a source of funds for new investments and redemptions.
Describe portfolio positioning at period end.
Relative to its Reference Benchmark, the Fund was overweight in equities and underweight in fixed income, with exposure to commodity-related securities and cash and cash equivalents. Within equities, the Fund was overweight in the United States and continental Europe, and underweight in Asia, specifically Japan and Australia. From a sector perspective, the Fund was overweight in consumer discretionary, health care, communication services and IT, while underweight in consumer staples, real estate, financials and energy. Within fixed income, the Fund was underweight in developed market government bonds, and overweight in corporate bonds and securitized debt. With respect to currency exposure, the Fund was overweight in the U.S. dollar, and underweight in the euro and Australian dollar.
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.
| | |
| 10 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
| Fund Summary as of June 30, 2020 (continued) | | BlackRock Global Allocation Portfolio |
Performance Summary for the Period Ended June 30, 2020
| | | | | | | | | | | | | | | | |
| | | | | | Average Annual Total Returns (a) | |
| | | 6-Month
Total Returns (a) | | | 1 Year | | | 5 Years | | | 10 Years | |
BlackRock Global Allocation Portfolio(b)(c) | | | 0.50 | % | | | 7.03 | % | | | 4.73 | % | | | 6.52 | % |
FTSE World Index(d) | | | (6.20 | ) | | | 2.73 | | | | 7.17 | | | | 9.99 | |
Reference Benchmark(e) | | | (1.67 | ) | | | 4.22 | | | | 6.09 | | | | 7.59 | |
U.S. Stocks: S&P 500 Index(f) | | | (3.08 | ) | | | 7.51 | | | | 10.73 | | | | 13.99 | |
Non U.S. Stocks: FTSE World (ex-U.S.) Index(g) | | | (11.64 | ) | | | (4.93 | ) | | | 2.63 | | | | 5.65 | |
U.S. Bonds: ICE BofAML Current 5-Year U.S. Treasury Index(h) | | | 7.25 | | | | 8.44 | | | | 3.21 | | | | 2.93 | |
Non U.S. Bonds: FTSE Non U.S. Dollar World Government Bond Index(i) | | | 1.04 | | | | 0.86 | | | | 3.32 | | | | 1.81 | |
| (a) | Cumulative and average annual total returns are based on changes in net asset value for the periods shown and assume reinvestment of all distributions at net asset value on the ex-dividend date. Insurance-related fees and expenses are not reflected in these returns. |
| (b) | Assuming transaction costs, if any, and other operating expenses, including investment advisory fees. Does not include insurance-related fees and expenses. |
| (c) | The Fund invests in a portfolio of U.S. and foreign equity securities, debt and money market securities, the combination of which will be varied from time to time with respect to types of securities and markets in response to changing markets and economic trends. |
| (d) | A market cap weighted index representing the performance of the large and mid-cap stocks from the developed and advanced emerging countries within the FTSE Global Equity Index Series. |
| (e) | An unmanaged weighted index comprised as follows: 36% S&P 500® Index; 24% FTSE World (ex U.S.) Index; 24% ICE BofAML Current 5-Year U.S. Treasury Index; and 16% FTSE Non-U.S. Dollar World Government Bond Index. |
| (f) | An unmanaged index that covers 500 leading companies and captures approximately 80% coverage of available market capitalization. |
| (g) | A market cap weighted index representing the performance of the large and mid-cap stocks from the developed and advanced emerging countries excluding the U.S. within the FTSE Global Equity Index Series. |
| (h) | An unmanaged index designed to track the total return of the current coupon five-year U.S. Treasury bond. Effective January 1, 2020, the Fund’s benchmark was renamed from ICE BofAML Current 5-Year U.S. Treasury Index to ICE BofA Current 5-Year U.S. Treasury Index. |
| (i) | An unmanaged market capitalization-weighted index that tracks 22 government bond indexes, excluding the United States. |
Past performance is not indicative of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
| | |
| Fund Summary as of June 30, 2020 (continued) | | BlackRock Global Allocation Portfolio |
Expense Example
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical (a) | |
| | | | | | | | | Including
dividend
expense | | | Excluding
dividend
expense | | | | | | | | | Including dividend expense | | | Excluding dividend expense | |
| | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | Expenses
Paid During
the Period (c) | | | | | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (c) | |
BlackRock Global Allocation Portfolio | | $ | 1,000.00 | | | $ | 1,005.00 | | | $ | 2.89 | | | $ | 2.84 | | | | | | | $ | 1,000.00 | | | $ | 1,021.98 | | | $ | 2.92 | | | $ | 1,022.03 | | | $ | 2.87 | |
| (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366. |
| (b) | Expenses are equal to the annualized expense ratio (0.58%), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
| (c) | Expenses are equal to the annualized expense ratio (0.57%), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
See “Disclosure of Expenses” on page 19 for further information on how expenses were calculated.
Overall Asset Exposure
| | | | | | | | | | | | |
| | | Percent of Fund’s Net Assets (a) | | | Reference
Benchmark (b) Percentages | |
| | | 06/30/2020 | | | 12/31/2019 | | | | |
U.S. Equities | | | 42 | % | | | 43 | % | | | 35 | % |
European Equities | | | 13 | | | | 12 | | | | 12 | |
Asia Pacific Equities | | | 8 | | | | 11 | | | | 9 | |
Other Equities | | | 1 | | | | 1 | | | | 3 | |
| | | | | | | | | | | | |
Total Equities | | | 64 | | | | 67 | | | | 60 | |
| | | | | | | | | | | | |
U.S. Dollar Denominated Fixed Income Securities | | | 19 | | | | 19 | | | | 24 | |
U.S. Issuers | | | 18 | | | | 18 | | | | — | |
Non-U.S. Issuers | | | 1 | | | | 1 | | | | — | |
Non-U.S. Dollar Denominated Fixed Income Securities | | | 6 | | | | 8 | | | | 16 | |
| | | | | | | | | | | | |
Total Fixed Income Securities | | | 25 | | | | 27 | | | | 40 | |
| | | | | | | | | | | | |
Commodity-Related | | | 4 | | | | 2 | | | | — | |
| | | | | | | | | | | | |
Cash & Short-Term Securities | | | 7 | | | | 4 | | | | — | |
| | | | | | | | | | | | |
| (a) | Exposure based on market value and adjusted for the economic value of futures, swaps, and options (except with respect to fixed income securities), and convertible bonds. |
| (b) | The Reference Benchmark is an unmanaged weighted index comprised as follows: 36% of the S&P 500 Index®; 24% FTSE World (ex U.S.) Index; 24% ICE BofAML Merrill Lynch Current 5-Year U.S. Treasury Index; and 16% FTSE Non-U.S. Dollar World Government Bond Index. Descriptions of these indexes are found on page 10 of this report to shareholders in the “Performance Summary” section. |
| | |
| 12 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Money Market Overview For the 6-Month Period Ended June 30, 2020 | | BlackRock Government Money Market Portfolio |
At the onset of 2020, the economy was in a good place and interest rate policy was appropriate according to the Fed, but this outlook quickly changed upon the imposition of dramatic measures by authorities around the world to stem the spread of the coronavirus pandemic. In response, the Fed quickly enacted a series of unprecedented measures to channel credit to businesses and households and smooth market functioning.
The Fed’s stimulus campaign began with an “emergency” 0.50% cut to the Federal Funds target rate on March 3, 2020. This action was followed up a few weeks later with a surprise 1% interest rate cut, bringing the range for the Federal Funds target rate to 0.00%-0.25%. This action included a commitment to keep rates low until the uncertainty has passed. Dusting off its crisis-era playbook, the Fed rebooted or rolled out various support facilities and continues to emphasize its support of credit and liquidity in order to stabilize markets.
The most impactful measure for money market funds, in our view, was the creation of the Money Market Liquidity Facility to purchases commercial paper and domestic and Yankee certificates of deposit from prime money market funds, and municipal debt and variable rate demand notes from municipal money market funds.
The facility was largely active and provided liquidity to money market funds by the end of the first quarter of 2020. In a nod to 2008, the Fed revived the following vehicles: the Commercial Paper Funding Facility to backstop the purchase of high-quality commercial paper from U.S. issuers; the Primary Dealer Credit Facility to provide low- cost funding against a broad range of collateral including commercial paper; and the Term Asset-Backed Securities Loan Facility to purchase asset-backed securities.
Other notable actions included the creation of new facilities to purchase investment- grade corporate debt through the Primary Market Corporate Credit Facility and Secondary Market Corporate Credit Facility. A $2 trillion fiscal aid package signed into law by President Trump along with a series of coordinated global fiscal and monetary actions complemented the Fed’s sweeping measures.
While no new policy initiatives were announced at the June 10, 2020 Federal Open Market Committee meeting, Chairman Powell acknowledged during the post-meeting press conference that two additional policy tools, so-called forward guidance and the targeting of interest rates along the yield curve, were both discussed. Minutes of the meeting released on July 1 revealed that “participants generally indicated support for outcome-based forward guidance.”
According to the Investment Company Institute (“ICI”), prime money market fund assets across the industry recouped over two-thirds of the outflows experienced during the first quarter of 2020, standing around $761 billion at the quarter’s end.
By contrast, over the second quarter, government money market fund assets industrywide declined more than $160 billion since peaking at over $3.9 trillion on May 13, 2020 per the ICI. According to Wrightson ICAP (a research firm that specializes in analysis of federal reserve operations and policy, economic data, and Treasury financing trends), net new Treasury bill supply was robust in the second quarter of 2020, totaling $2.4 trillion. Rates across the Treasury bill curve were up modestly as of June 30 relative to the end of the first quarter of 2020, as markets digested heavy Treasury bill supply.
The three-month London Interbank Offered Rate overnight indexed swap spread — a gauge of stress in the financial system — declined to 0.24% as of June 30, 2020 from 1.38% as on March 31, 2020. A sign, in our view, of normalizing over the quarter.
Usage of the Money Market Mutual Fund Liquidity Facility — which is intended to serve as a backstop source of liquidity for prime and municipal money market funds — steadily declined throughout the second quarter. As of July 1, 2020, usage stood at around $20.6 billion, which is down over $32 billion from the peak level seen on April 8, 2020.
In our view, some of the excess liquidity that was amassed in money market funds in March and April is slowly being deployed elsewhere, and we expect to see additional outflows from money market funds in advance of the July 15 federal income tax filing date.
Net new Treasury bill issuance, in our assessment, could be tempered in the near term given the ample cash balance of over $1.6 trillion in the Treasury General Account at the Fed as of July 1, 2020. Looking ahead, we believe a heavier-than-expected pace of disbursements from the Treasury General Account or passage of additional fiscal stimulus at the federal level could result in a resumption of more robust Treasury bill supply.
We expect credit spreads to remain range bound over the course of the third quarter of 2020. Going forward, we will be monitoring how successful economies are at restarting activity while controlling the coronavirus spread as well as the effectiveness of policy implementation.
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.
| | |
| Fund Summary as of June 30, 2020 | | BlackRock Government Money Market Portfolio |
Investment Objective
BlackRock Government Money Market Portfolio’s (the “Fund”) investment objective is to seek to preserve capital, to maintain liquidity and achieve the highest possible current income consistent with the foregoing.
Portfolio Information
PORTFOLIO COMPOSITION
| | | | |
| Asset Type | | Percent of
Net Assets | |
U.S. Government Sponsored Agency Obligations | | | 42 | % |
Repurchase Agreements | | | 32 | |
U.S. Treasury Obligations | | | 22 | |
Other Assets Less Liabilities | | | 4 | |
CURRENT SEVEN-DAY YIELDS
| | | | | | | | |
| | | 7-Day
SEC Yield | | | 7-Day Yield | |
BlackRock Government Money Market Portfolio | | | 0.00 | % | | | 0.00 | % |
The 7-Day SEC Yield may differ from the 7-Day Yield shown above due to the fact that the 7-Day SEC Yield excludes distributed capital gains.
Past performance is not indicative of future results.
Expense Example
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical (a) | | | | |
| | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | | | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | Annualized
Expense
Ratio | |
BlackRock Government Money Market Portfolio | | $ | 1,000.00 | | | $ | 1,002.60 | | | $ | 2.34 | | | | | | | $ | 1,000.00 | | | $ | 1,022.53 | | | $ | 2.36 | | | | 0.47 | % |
| (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366. |
| (b) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
See “Disclosure of Expenses” on page 19 for further information on how expenses were calculated.
| | |
| 14 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
| Fund Summary as of June 30, 2020 | | BlackRock High Yield Portfolio |
Investment Objective
BlackRock High Yield 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?
During the six-month period ended June 30, 2020, the Fund outperformed the benchmark, the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index.
What factors influenced performance?
High yield bonds posted a negative return in the first half of the year. The bulk of the loss occurred in late February and the first three weeks of March, when concerns about the economic impact of the coronavirus pandemic led to a sharp sell-off in higher-risk segments of the financial markets. The asset class subsequently recovered in response to the significant stimulus provided by Congress and the Fed, but it was unable to recover the ground it had lost in the earlier downturn.
Security selection in the oil field services industry contributed positively to Fund performance, as did underweight positions in transportation services and retail. The Fund’s overweight in CCC rated issues and position in investment-grade securities added value, as well.
An underweight allocation to the independent energy sector and security selection in the banking and midstream energy sectors detracted from Fund performance. An underweight allocation to BB rated securities hurt results, as did the Fund’s out-of-benchmark allocations to equities and floating rate loan interests (“bank loans”).
Describe recent portfolio activity.
The Fund increased its weightings in the independent energy, midstream and automotive sectors, while reducing its allocations to the cable/satellite, packaging and aerospace/defense sectors. The Fund tactically increased its position in investment-grade securities, primarily new issues that came to the market at attractive valuations in the second quarter of 2020.
Describe portfolio positioning at period end.
The Fund continued to have out-of-benchmark allocations to bank loans and investment-grade debt. The Fund remained underweight in BB rated issues. The Fund was overweight in select CCC bonds, but underweight in the highest-yielding portion of the market that contains a larger concentration of distressed assets. Major sector positioning themes remained consistent, with the largest overweights in technology, banking and aerospace/defense. Conversely, the Fund was underweight in the media/ entertainment, food/beverage and home construction 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.
| | |
| Fund Summary as of June 30, 2020 (continued) | | BlackRock High Yield Portfolio |
Performance Summary for the Period Ended June 30, 2020
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | Average Annual Total Returns (a) | |
| | | Standardized
30-Day Yield (b) | | | Unsubsidized
30-Day Yield (b) | | | 6-Month
Total Returns (a) | | | 1 Year | | | 5 Years | | | 10 Years | |
BlackRock High Yield Portfolio(c) | | | 5.63 | % | | | 4.84 | % | | | (3.15 | )% | | | 1.30 | % | | | 4.60 | % | | | 6.62 | % |
Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index(d) | | | — | | | | — | | | | (3.83 | ) | | | 0.00 | | | | 4.79 | | | | 6.67 | |
| (a) | Cumulative and average annual total returns are based on changes in net asset value for the periods shown and assume reinvestment of all distributions at net asset value on the ex-dividend/ payable date. Insurance-related fees and expenses are not reflected in these returns. On September 17, 2018, the Fund acquired all of the assets, subject to the liabilities, of BlackRock High Yield Portfolio (the “Predecessor Fund”), a series of BlackRock Series Fund, Inc., through a tax-free reorganization (the “Reorganization”). The Predecessor Fund is the performance and accounting survivor of the Reorganization. The Fund’s total returns prior to October 1, 2011 are the returns of the Predecessor Fund when it followed a different investment objective and different investment strategies under the name “BlackRock High Income Portfolio”. |
| (b) | The standardized 30-day yield includes the effects of any waivers and/or reimbursements. The unsubsidized 30-day yield excludes the effects of any waivers and/or reimbursements. |
| (c) | Assuming transaction costs and other operating expenses, including investment advisory fees, if any. Does not include insurance-related fees and expenses. The Fund invests primarily in non-investment grade bonds with maturities of ten years or less. |
| (d) | This unmanaged index is comprised of issues that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index. |
Past performance is not indicative of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical (a) | | | | |
| | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | | | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | Annualized
Expense
Ratio | |
BlackRock High Yield Portfolio | | $ | 1,000.00 | | | $ | 968.50 | | | $ | 2.45 | | | | | | | $ | 1,000.00 | | | $ | 1,022.38 | | | $ | 2.51 | | | | 0.50 | % |
| (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366. |
| (b) | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
See “Disclosure of Expenses” on page 19 for further information on how expenses were calculated.
Portfolio Information
CREDIT QUALITY ALLOCATION
| | | | |
| Credit Rating (a) | |
| Percent of
Total Investments |
(b) |
A | | | — | %(c) |
BBB/Baa | | | 13 | |
BB/Ba | | | 38 | |
B | | | 32 | |
CCC/Caa | | | 13 | |
CC/Ca | | | — | (c) |
D | | | — | (c) |
NR | | | 4 | |
| (a) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service 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 NR are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (b) | Excludes short-term securities and investments sold short. |
| (c) | Represents less than 1% of the Fund’s total investments. |
| | |
| 16 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
| Fund Summary as of June 30, 2020 | | BlackRock U.S. Government Bond Portfolio |
Investment Objective
BlackRock U.S. Government Bond 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 six-month period ended June 30, 2020, the Fund underperformed its benchmark, the Bloomberg Barclays U.S. Government/Mortgage Index.
What factors influenced performance?
Detractors from the Fund’s performance relative to the benchmark included the allocation to commercial mortgage-backed securities (“CMBS”), as the sector was negatively impacted by the market volatility and illiquidity seen in the wake of the coronavirus pandemic. Positioning with respect to interest rate volatility and inflation also weighed on the Fund’s return.
Positive contributors to the Fund’s performance relative to the benchmark included selection within 30-year agency mortgage-backed securities (“MBS”). The Fund’s stance with respect to U.S. and global interest rates also aided return, specifically, an above-benchmark stance with respect to duration (and corresponding interest rate sensitivity) as Treasury yields declined sharply during the period.
Describe recent portfolio activity.
During the reporting period, allocations to agency MBS and U.S. Treasuries were reduced, along with exposure to inflation-protected securities and agency CMBS. The Fund’s duration stance shifted from an overweight to an underweight.
The Fund had an elevated cash position throughout the period due to the investment adviser ‘s preference for using forward contracts to gain MBS exposure as opposed to holding cash bonds. The Fund’s cash position did not have a material impact on performance over the six-month period.
Describe portfolio positioning at period end.
The Fund was modestly underweight U.S. duration. Overall, the Fund maintained a modestly constructive near-term stance on agency MBS, with a focus on low coupon, “to be announced” securities that will derive fundamental benefits from the Federal Reserve’s ongoing purchases. Within global interest rate and currency strategies, the Fund maintains a small long position in select European peripherals, including Italy and Spain, given accommodative central bank policy.
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 | | | 49 | % |
U.S. Treasury Obligations | | | 45 | |
Non-Agency Mortgage-Backed Securities | | | 4 | |
Asset-Backed Securities | | | 2 | |
Foreign Government Obligations | | | — | (b) |
| (a) | Excludes short-term securities, options purchased, options written and TBA sale commitments. |
| (b) | Represents less than 1% of the Fund’s total investments. |
| | |
| Fund Summary as of June 30, 2020 (continued) | | BlackRock U.S. Government Bond Portfolio |
Performance Summary for the Period Ended June 30, 2020
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | Average Annual Total Returns (a) | |
| | | Standardized
30-Day Yield (b) | | | Unsubsidized
30-Day Yield (b) | | | 6-Month
Total Returns (a) | | | 1 Year | | | 5 Years | | | 10 Years | |
BlackRock U.S. Government Bond Portfolio(c) | | | 1.44 | % | | | 1.01 | % | | | 6.10 | % | | | 7.94 | % | | | 3.49 | % | | | 3.05 | % |
Bloomberg Barclays U.S. Government/Mortgage Index(d) | | | — | | | | — | | | | 6.59 | | | | 8.50 | | | | 3.73 | | | | 3.23 | |
Bloomberg Barclays U.S. Mortgage-Backed Securities Index(e) | | | — | | | | — | | | | 3.50 | | | | 5.67 | | | | 3.23 | | | | 3.06 | |
| (a) | Cumulative and average annual total returns are based on changes in net asset value for the periods shown and assume reinvestment of all distributions at net asset value on the ex-dividend/ payable date. Insurance-related fees and expenses are not reflected in these returns. On September 17, 2018, the Fund acquired all of the assets, subject to the liabilities, of BlackRock U.S. Government Bond Portfolio (the “Predecessor Fund”), a series of BlackRock Series Fund, Inc., through a tax-free reorganization (the “Reorganization”). The Predecessor Fund is the performance and accounting survivor of the Reorganization. The Predecessor Fund’s total returns prior to October 1, 2011 are the returns of the Fund when it followed a different investment objective and different investment strategies under the name “BlackRock Government Income Portfolio.” |
| (b) | The standardized 30-day yield includes the effects of any waivers and/or reimbursements. The unsubsidized 30-day yield excludes the effects of any waivers and/or reimbursements. |
| (c) | Assuming transaction costs and other operating expenses, including investment advisory fees, if any. Does not include insurance-related fees and expenses. The Fund, under normal circumstances, will invest at least 80% of its assets in bonds that are issued or guaranteed by the U.S. Government and its agencies. |
| (d) | This index measures debt issued by the U.S. Government, and its agencies, as well as mortgage-backed pass-through securities of Ginnie Mae, Fannie Mae and Freddie Mac. |
| (e) | This unmanaged index includes the mortgage-backed pass-through securities of Ginnie Mae, Fannie Mae and Freddie Mac that meet certain maturity and liquidity criteria. |
Past performance is not indicative of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | | | Hypothetical (a) | |
| | | | | | | | | Including
Interest
Expense | | | Excluding
Interest
Expense | | | | | | | | | Including Interest Expense | | | Excluding Interest Expense | |
| | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During the Period (b) | | | Expenses
Paid During
the Period (c) | | | | | | Beginning
Account Value
(01/01/20) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (b) | | | Ending
Account Value
(06/30/20) | | | Expenses
Paid During
the Period (c) | |
BlackRock U.S. Government Bond Portfolio | | $ | 1,000.00 | | | $ | 1,061.00 | | | $ | 3.43 | | | $ | 2.56 | | | | | | | $ | 1,000.00 | | | $ | 1,021.53 | | | $ | 3.37 | | | $ | 1,022.38 | | | $ | 2.51 | |
| (a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 366. |
| (b) | Expenses are equal to the annualized expense ratio (0.67%), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
| (c) | Expenses are equal to the annualized expense ratio (0.50%), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown). |
See “Disclosure of Expenses” on page 19 for further information on how expenses were calculated.
| | |
| 18 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
The Benefits and Risks of Leveraging | | |
The Funds may utilize leverage to seek to enhance returns and net asset value (“NAV”). However, there is no guarantee that these objectives can be achieved in all interest rate environments.
The Funds may utilize leverage by entering into reverse repurchase agreements.
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, each Fund’s shareholders benefit from the incremental net income.
The interest earned on securities purchased with the proceeds from leverage is distributed to each Fund’s shareholders, and the value of these portfolio holdings is reflected in each Fund’s 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 Funds 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 Fund 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.
Disclosure of Expenses
Shareholders of each Fund may incur the following charges: (a) transactional expenses; and (b) operating expenses, including investment advisory fees, service and distribution fees including 12b-1 fees, acquired fund fees and expenses and other fund expenses. The expense examples on the previous pages (which are based on a hypothetical investment of $1,000 invested on January 1, 2020 and held through June 30, 2020) 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 heading 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, such as sales charges, 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.
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 / DISCLOSURE OF EXPENSES / DERIVATIVE FINANCIAL INSTRUMENTS | | 19 |
| | |
Schedule of Investments (unaudited) June 30, 2020 | | BlackRock Advantage Large Cap Core Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
Common Stocks — 96.9% | | | | | | | | |
| | |
| Aerospace & Defense — 1.2% | | | | | | |
Boeing Co. (The) | | | 1,011 | | | $ | 185,316 | |
Curtiss-Wright Corp. | | | 407 | | | | 36,337 | |
HEICO Corp. | | | 2,145 | | | | 213,749 | |
Hexcel Corp.(a) | | | 1,413 | | | | 63,896 | |
L3Harris Technologies, Inc. | | | 1,921 | | | | 325,936 | |
Lockheed Martin Corp. | | | 1,919 | | | | 700,282 | |
Mercury Systems, Inc.(b) | | | 310 | | | | 24,385 | |
Northrop Grumman Corp. | | | 1,127 | | | | 346,485 | |
Spirit AeroSystems Holdings, Inc., Class A | | | 3,226 | | | | 77,230 | |
Teledyne Technologies, Inc.(b) | | | 601 | | | | 186,881 | |
| | | | | | | | |
| | | | | | | 2,160,497 | |
| | |
| Air Freight & Logistics — 0.3% | | | | | | |
FedEx Corp. | | | 494 | | | | 69,269 | |
United Parcel Service, Inc., Class B | | | 4,480 | | | | 498,086 | |
| | | | | | | | |
| | | | | | | 567,355 | |
| | |
| Airlines — 0.3% | | | | | | |
Alaska Air Group, Inc. | | | 2,020 | | | | 73,245 | |
Delta Air Lines, Inc.(a) | | | 11,146 | | | | 312,646 | |
Southwest Airlines Co. | | | 2,996 | | | | 102,403 | |
| | | | | | | | |
| | | | | | | 488,294 | |
| | |
| Auto Components — 0.1% | | | | | | |
Aptiv plc | | | 351 | | | | 27,350 | |
Goodyear Tire & Rubber Co. (The) | | | 8,159 | | | | 72,982 | |
| | | | | | | | |
| | | | | | | 100,332 | |
| | |
| Automobiles — 0.6% | | | | | | |
Harley-Davidson, Inc. | | | 3,241 | | | | 77,038 | |
Tesla, Inc.(b) | | | 828 | | | | 894,083 | |
| | | | | | | | |
| | | | | | | 971,121 | |
| | |
| Banks — 3.3% | | | | | | |
Bank of America Corp. | | | 41,901 | | | | 995,149 | |
Bank OZK(a) | | | 2,188 | | | | 51,352 | |
CIT Group, Inc. | | | 1,004 | | | | 20,813 | |
Citigroup, Inc. | | | 2,547 | | | | 130,152 | |
Citizens Financial Group, Inc. | | | 9,482 | | | | 239,325 | |
Comerica, Inc. | | | 629 | | | | 23,965 | |
Credicorp Ltd. | | | 146 | | | | 19,516 | |
Cullen/Frost Bankers, Inc.(a) | | | 5,563 | | | | 415,612 | |
First Horizon National Corp. | | | 4,343 | | | | 43,256 | |
JPMorgan Chase & Co. | | | 18,925 | | | | 1,780,085 | |
PNC Financial Services Group, Inc. (The) | | | 1,956 | | | | 205,791 | |
US Bancorp | | | 3,997 | | | | 147,169 | |
Wells Fargo & Co. | | | 64,918 | | | | 1,661,901 | |
Wintrust Financial Corp. | | | 527 | | | | 22,988 | |
Zions Bancorp NA | | | 521 | | | | 17,714 | |
| | | | | | | | |
| | | | | | | 5,774,788 | |
| | |
| Beverages — 1.7% | | | | | | |
Brown-Forman Corp., Class B | | | 1,280 | | | | 81,485 | |
Coca-Cola Co. (The) | | | 15,325 | | | | 684,721 | |
Coca-Cola European Partners plc | | | 4,973 | | | | 187,780 | |
PepsiCo, Inc. | | | 14,825 | | | | 1,960,755 | |
| | | | | | | | |
| | | | | | | 2,914,741 | |
| | |
| Biotechnology — 4.0% | | | | | | |
AbbVie, Inc. | | | 22,628 | | | | 2,221,617 | |
Alexion Pharmaceuticals, Inc.(b) | | | 423 | | | | 47,477 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Biotechnology (continued) | | | | | | |
Alkermes plc(b) | | | 3,678 | | | $ | 71,372 | |
Amgen, Inc. | | | 5,625 | | | | 1,326,712 | |
Biogen, Inc.(b) | | | 1,113 | | | | 297,783 | |
Gilead Sciences, Inc. | | | 21,546 | | | | 1,657,749 | |
Moderna, Inc.(b) | | | 1,358 | | | | 87,197 | |
Regeneron Pharmaceuticals, Inc.(b) | | | 835 | | | | 520,748 | |
Sage Therapeutics, Inc.(b) | | | 2,101 | | | | 87,360 | |
Vertex Pharmaceuticals, Inc.(b) | | | 2,312 | | | | 671,197 | |
| | | | | | | | |
| | | | | | | 6,989,212 | |
| | |
| Building Products — 0.7% | | | | | | |
Advanced Drainage Systems, Inc. | | | 1,648 | | | | 81,411 | |
Allegion plc | | | 10,273 | | | | 1,050,106 | |
Resideo Technologies, Inc.(a)(b) | | | 9,496 | | | | 111,293 | |
Trex Co., Inc.(b) | | | 276 | | | | 35,900 | |
| | | | | | | | |
| | | | | | | 1,278,710 | |
| | |
| Capital Markets — 2.5% | | | | | | |
Ameriprise Financial, Inc. | | | 1,602 | | | | 240,364 | |
Bank of New York Mellon Corp. (The) | | | 5,053 | | | | 195,299 | |
Cboe Global Markets, Inc. | | | 848 | | | | 79,101 | |
Charles Schwab Corp. (The) | | | 15,292 | | | | 515,952 | |
CME Group, Inc. | | | 2,776 | | | | 451,211 | |
FactSet Research Systems, Inc. | | | 1,520 | | | | 499,274 | |
Franklin Resources, Inc.(a) | | | 980 | | | | 20,551 | |
Intercontinental Exchange, Inc. | | | 6,493 | | | | 594,759 | |
Invesco Ltd.(a) | | | 1,436 | | | | 15,451 | |
Northern Trust Corp. | | | 668 | | | | 52,999 | |
S&P Global, Inc. | | | 4,552 | | | | 1,499,793 | |
State Street Corp. | | | 1,172 | | | | 74,481 | |
T. Rowe Price Group, Inc. | | | 892 | | | | 110,162 | |
TD Ameritrade Holding Corp. | | | 1,607 | | | | 58,463 | |
| | | | | | | | |
| | | | | | | 4,407,860 | |
| | |
| Chemicals — 1.8% | | | | | | |
Air Products & Chemicals, Inc. | | | 2,234 | | | | 539,421 | |
DuPont de Nemours, Inc. | | | 1,529 | | | | 81,236 | |
Ecolab, Inc.(a) | | | 7,277 | | | | 1,447,759 | |
FMC Corp. | | | 344 | | | | 34,269 | |
Linde plc | | | 1,008 | | | | 213,807 | |
LyondellBasell Industries NV, Class A | | | 637 | | | | 41,864 | |
Mosaic Co. (The) | | | 11,715 | | | | 146,555 | |
PPG Industries, Inc. | | | 1,480 | | | | 156,969 | |
Sherwin-Williams Co. (The) | | | 678 | | | | 391,782 | |
| | | | | | | | |
| | | | | | | 3,053,662 | |
| | |
| Commercial Services & Supplies — 0.2% | | | | | | |
Cintas Corp. | | | 1,226 | | | | 326,557 | |
Copart, Inc.(b) | | | 594 | | | | 49,463 | |
| | | | | | | | |
| | | | | | | 376,020 | |
| | |
| Communications Equipment — 1.7% | | | | | | |
Ciena Corp.(b) | | | 2,010 | | | | 108,862 | |
Cisco Systems, Inc. | | | 62,060 | | | | 2,894,478 | |
Motorola Solutions, Inc. | | | 19 | | | | 2,662 | |
| | | | | | | | |
| | | | | | | 3,006,002 | |
| | |
| Construction & Engineering — 0.5% | | | | | | |
EMCOR Group, Inc.(a) | | | 9,167 | | | | 606,305 | |
MasTec, Inc.(b) | | | 6,486 | | | | 291,027 | |
Quanta Services, Inc. | | | 926 | | | | 36,327 | |
| | | | | | | | |
| | | | | | | 933,659 | |
| | |
| 20 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage Large Cap Core Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Consumer Finance — 0.6% | | | | | | |
Ally Financial, Inc. | | | 19,782 | | | $ | 392,277 | |
American Express Co. | | | 5,749 | | | | 547,305 | |
Discover Financial Services | | | 582 | | | | 29,152 | |
LendingTree, Inc.(a)(b) | | | 121 | | | | 35,033 | |
| | | | | | | | |
| | | | | | | 1,003,767 | |
| | |
| Containers & Packaging — 0.1% | | | | | | |
International Paper Co. | | | 752 | | | | 26,478 | |
WestRock Co. | | | 3,508 | | | | 99,136 | |
| | | | | | | | |
| | | | | | | 125,614 | |
| |
| Diversified Consumer Services — 0.3% | | | | |
Bright Horizons Family Solutions, Inc.(b) | | | 908 | | | | 106,418 | |
Graham Holdings Co., Class B | | | 295 | | | | 101,088 | |
H&R Block, Inc. | | | 22,934 | | | | 327,497 | |
| | | | | | | | |
| | | | | | | 535,003 | |
| | |
| Diversified Financial Services — 1.4% | | | | | | |
Berkshire Hathaway, Inc., Class B(b) | | | 14,058 | | | | 2,509,494 | |
| | | | | | | | |
|
| Diversified Telecommunication Services — 1.1% | |
AT&T, Inc. | | | 29,350 | | | | 887,250 | |
CenturyLink, Inc.(a) | | | 7,646 | | | | 76,689 | |
Verizon Communications, Inc. | | | 15,751 | | | | 868,353 | |
| | | | | | | | |
| | | | | | | 1,832,292 | |
| | |
| Electric Utilities — 1.6% | | | | | | |
Alliant Energy Corp.(a) | | | 2,901 | | | | 138,784 | |
Eversource Energy | | | 7,632 | | | | 635,517 | |
IDACORP, Inc. | | | 1,979 | | | | 172,905 | |
NextEra Energy, Inc. | | | 4,557 | | | | 1,094,455 | |
Pinnacle West Capital Corp. | | | 2,319 | | | | 169,959 | |
Xcel Energy, Inc. | | | 9,218 | | | | 576,125 | |
| | | | | | | | |
| | | | | | | 2,787,745 | |
| | |
| Electrical Equipment — 0.7% | | | | | | |
AMETEK, Inc. | | | 4,688 | | | | 418,967 | |
Generac Holdings, Inc.(b) | | | 1,635 | | | | 199,355 | |
Hubbell, Inc. | | | 4,435 | | | | 555,972 | |
| | | | | | | | |
| | | | | | | 1,174,294 | |
|
| Electronic Equipment, Instruments & Components — 0.6% | |
Avnet, Inc. | | | 15,652 | | | | 436,456 | |
National Instruments Corp. | | | 13,576 | | | | 525,527 | |
| | | | | | | | |
| | | | | | | 961,983 | |
| | |
| Energy Equipment & Services — 0.2% | | | | | | |
Baker Hughes Co. | | | 3,519 | | | | 54,157 | |
ChampionX Corp.(b) | | | 9,421 | | | | 91,949 | |
Schlumberger Ltd. | | | 7,864 | | | | 144,619 | |
TechnipFMC plc | | | 20,064 | | | | 137,238 | |
| | | | | | | | |
| | | | | | | 427,963 | |
| | |
| Entertainment — 1.0% | | | | | | |
Activision Blizzard, Inc. | | | 1,721 | | | | 130,624 | |
Electronic Arts, Inc.(b) | | | 1,545 | | | | 204,017 | |
Netflix, Inc.(b) | | | 2,531 | | | | 1,151,706 | |
Walt Disney Co. (The) | | | 1,930 | | | | 215,215 | |
Zynga, Inc., Class A(b) | | | 12,143 | | | | 115,844 | |
| | | | | | | | |
| | | | | | | 1,817,406 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Equity Real Estate Investment Trusts (REITs) — 2.7% | |
Alexandria Real Estate Equities, Inc. | | | 1,288 | | | $ | 208,978 | |
American Tower Corp. | | | 2,792 | | | | 721,844 | |
AvalonBay Communities, Inc. | | | 1,799 | | | | 278,197 | |
Boston Properties, Inc. | | | 9,752 | | | | 881,386 | |
Camden Property Trust | | | 1,725 | | | | 157,355 | |
Douglas Emmett, Inc. | | | 826 | | | | 25,325 | |
Equity Residential | | | 11,676 | | | | 686,782 | |
Host Hotels & Resorts, Inc. | | | 20,322 | | | | 219,274 | |
Macerich Co. (The)(a) | | | 16,969 | | | | 152,212 | |
National Retail Properties, Inc. | | | 1,862 | | | | 66,064 | |
Park Hotels & Resorts, Inc.(a) | | | 24,543 | | | | 242,730 | |
Prologis, Inc. | | | 7,483 | | | | 698,389 | |
QTS Realty Trust, Inc., Class A | | | 1,487 | | | | 95,302 | |
Realty Income Corp. | | | 2,532 | | | | 150,654 | |
Simon Property Group, Inc. | | | 1,769 | | | | 120,964 | |
| | | | | | | | |
| | | | | | | 4,705,456 | |
| | |
| Food & Staples Retailing — 1.5% | | | | | | |
Costco Wholesale Corp. | | | 8,432 | | | | 2,556,667 | |
Performance Food Group Co.(b) | | | 928 | | | | 27,042 | |
| | | | | | | | |
| | | | | | | 2,583,709 | |
| | |
| Food Products — 1.6% | | | | | | |
Campbell Soup Co.(a) | | | 1,478 | | | | 73,353 | |
General Mills, Inc.(a) | | | 23,234 | | | | 1,432,376 | |
Hershey Co. (The) | | | 9,310 | | | | 1,206,762 | |
Lamb Weston Holdings, Inc.(a) | | | 679 | | | | 43,409 | |
| | | | | | | | |
| | | | | | | 2,755,900 | |
| | |
| Gas Utilities — 0.1% | | | | | | |
Southwest Gas Holdings, Inc. | | | 629 | | | | 43,432 | |
UGI Corp. | | | 3,966 | | | | 126,119 | |
| | | | | | | | |
| | | | | | | 169,551 | |
|
| Health Care Equipment & Supplies — 2.6% | |
Abbott Laboratories(a) | | | 9,839 | | | | 899,580 | |
Danaher Corp. | | | 1,248 | | | | 220,684 | |
Dentsply Sirona, Inc. | | | 1,905 | | | | 83,934 | |
Edwards Lifesciences Corp.(b) | | | 16,729 | | | | 1,156,141 | |
Hologic, Inc.(b) | | | 7,183 | | | | 409,431 | |
IDEXX Laboratories, Inc.(b) | | | 1,783 | | | | 588,675 | |
Medtronic plc | | | 5,283 | | | | 484,451 | |
SmileDirectClub, Inc.(a)(b) | | | 7,566 | | | | 59,772 | |
Stryker Corp. | | | 3,532 | | | | 636,431 | |
West Pharmaceutical Services, Inc. | | | 346 | | | | 78,601 | |
| | | | | | | | |
| | | | | | | 4,617,700 | |
|
| Health Care Providers & Services — 3.0% | |
AMN Healthcare Services, Inc.(b) | | | 1,220 | | | | 55,193 | |
Anthem, Inc. | | | 3,157 | | | | 830,228 | |
Cardinal Health, Inc. | | | 3,079 | | | | 160,693 | |
Cigna Corp. | | | 1,596 | | | | 299,489 | |
CVS Health Corp. | | | 14,275 | | | | 927,447 | |
HCA Healthcare, Inc. | | | 1,684 | | | | 163,449 | |
Laboratory Corp. of America Holdings(b) | | | 127 | | | | 21,096 | |
McKesson Corp. | | | 4,177 | | | | 640,835 | |
Quest Diagnostics, Inc. | | | 1,341 | | | | 152,820 | |
UnitedHealth Group, Inc. | | | 6,951 | | | | 2,050,198 | |
| | | | | | | | |
| | | | | | | 5,301,448 | |
| | |
SCHEDULES OF INVESTMENTS | | 21 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage Large Cap Core Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Health Care Technology — 0.5%(b) | | | | | | |
Teladoc Health, Inc. | | | 1,268 | | | $ | 241,985 | |
Veeva Systems, Inc., Class A | | | 2,606 | | | | 610,899 | |
| | | | | | | | |
| | | | | | | 852,884 | |
| | |
| Hotels, Restaurants & Leisure — 1.5% | | | | | | |
Boyd Gaming Corp.(a) | | | 5,624 | | | | 117,542 | |
Chipotle Mexican Grill, Inc.(b) | | | 140 | | | | 147,330 | |
Darden Restaurants, Inc.(a) | | | 5,188 | | | | 393,095 | |
Domino’s Pizza, Inc. | | | 693 | | | | 256,022 | |
Extended Stay America, Inc. | | | 13,767 | | | | 154,053 | |
International Game Technology plc | | | 3,217 | | | | 28,631 | |
McDonald’s Corp. | | | 2,737 | | | | 504,894 | |
MGM Resorts International | | | 1,848 | | | | 31,046 | |
Penn National Gaming, Inc.(b) | | | 5,154 | | | | 157,403 | |
Texas Roadhouse, Inc.(a) | | | 3,691 | | | | 194,036 | |
Vail Resorts, Inc. | | | 448 | | | | 81,603 | |
Wyndham Destinations, Inc. | | | 954 | | | | 26,884 | |
Wyndham Hotels & Resorts, Inc. | | | 992 | | | | 42,279 | |
Yum! Brands, Inc. | | | 5,259 | | | | 457,060 | |
| | | | | | | | |
| | | | | | | 2,591,878 | |
| | |
| Household Durables — 0.0% | | | | | | |
DR Horton, Inc. | | | 254 | | | | 14,084 | |
Helen of Troy Ltd.(b) | | | 100 | | | | 18,856 | |
| | | | | | | | |
| | | | | | | 32,940 | |
| | |
| Household Products — 1.8% | | | | | | |
Church & Dwight Co., Inc. | | | 6,109 | | | | 472,226 | |
Clorox Co. (The)(a) | | | 3,716 | | | | 815,179 | |
Colgate-Palmolive Co. | | | 753 | | | | 55,165 | |
Procter & Gamble Co. (The) | | | 15,438 | | | | 1,845,921 | |
| | | | | | | | |
| | | | | | | 3,188,491 | |
| | |
| Industrial Conglomerates — 1.0% | | | | | | |
3M Co. | | | 1,451 | | | | 226,342 | |
Carlisle Cos., Inc. | | | 2,192 | | | | 262,317 | |
General Electric Co. | | | 3,021 | | | | 20,633 | |
Honeywell International, Inc. | | | 6,360 | | | | 919,592 | |
Roper Technologies, Inc. | | | 615 | | | | 238,780 | |
| | | | | | | | |
| | | | | | | 1,667,664 | |
| | |
| Insurance — 2.0% | | | | | | |
Aflac, Inc. | | | 1,429 | | | | 51,487 | |
Brown & Brown, Inc.(a) | | | 2,211 | | | | 90,120 | |
Cincinnati Financial Corp. | | | 16,438 | | | | 1,052,525 | |
First American Financial Corp. | | | 3,363 | | | | 161,491 | |
Globe Life, Inc. | | | 4,246 | | | | 315,181 | |
Marsh & McLennan Cos., Inc. | | | 3,708 | | | | 398,128 | |
Progressive Corp. (The) | | | 1,356 | | | | 108,629 | |
Prudential Financial, Inc. | | | 16,436 | | | | 1,000,952 | |
Reinsurance Group of America, Inc. | | | 357 | | | | 28,003 | |
Unum Group | | | 6,620 | | | | 109,826 | |
Willis Towers Watson plc | | | 766 | | | | 150,864 | |
| | | | | | | | |
| | | | | | | 3,467,206 | |
| | |
| Interactive Media & Services — 5.0%(b) | | | | | | |
Alphabet, Inc., Class A | | | 2,349 | | | | 3,330,999 | |
Alphabet, Inc., Class C | | | 1,742 | | | | 2,462,509 | |
Facebook, Inc., Class A | | | 11,317 | | | | 2,569,751 | |
Twitter, Inc. | | | 12,005 | | | | 357,629 | |
Yelp, Inc. | | | 2,970 | | | | 68,696 | |
| | | | | | | | |
| | | | | | | 8,789,584 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Internet & Direct Marketing Retail — 5.3% | | | | | | |
Amazon.com, Inc.(b) | | | 3,173 | | | $ | 8,753,736 | |
eBay, Inc. | | | 3,510 | | | | 184,099 | |
Etsy, Inc.(b) | | | 855 | | | | 90,827 | |
Grubhub, Inc.(b) | | | 544 | | | | 38,243 | |
Wayfair, Inc., Class A(b) | | | 750 | | | | 148,208 | |
| | | | | | | | |
| | | | | | | 9,215,113 | |
| | |
| IT Services — 5.2% | | | | | | |
Accenture plc, Class A | | | 1,054 | | | | 226,315 | |
Amdocs Ltd. | | | 1,300 | | | | 79,144 | |
Automatic Data Processing, Inc. | | | 10,735 | | | | 1,598,334 | |
DXC Technology Co. | | | 2,198 | | | | 36,267 | |
Fiserv, Inc.(b) | | | 6,122 | | | | 597,630 | |
Jack Henry & Associates, Inc. | | | 667 | | | | 122,748 | |
Mastercard, Inc., Class A | | | 5,759 | | | | 1,702,936 | |
Paychex, Inc. | | | 12,586 | | | | 953,389 | |
PayPal Holdings, Inc.(b) | | | 12,933 | | | | 2,253,317 | |
Visa, Inc., Class A | | | 8,090 | | | | 1,562,745 | |
| | | | | | | | |
| | | | | | | 9,132,825 | |
| | |
| Leisure Products — 0.0% | | | | | | |
Peloton Interactive, Inc., Class A(b) | | | 368 | | | | 21,259 | |
| | | | | | | | |
| | |
| Life Sciences Tools & Services — 0.1% | | | | | | |
Mettler-Toledo International, Inc.(b) | | | 63 | | | | 50,750 | |
Thermo Fisher Scientific, Inc. | | | 183 | | | | 66,308 | |
| | | | | | | | |
| | | | | | | 117,058 | |
| | |
| Machinery — 2.0% | | | | | | |
AGCO Corp. | | | 3,453 | | | | 191,504 | |
Deere & Co.(a) | | | 2,735 | | | | 429,805 | |
Illinois Tool Works, Inc. | | | 6,712 | | | | 1,173,593 | |
Middleby Corp. (The)(b) | | | 789 | | | | 62,284 | |
Oshkosh Corp. | | | 6,537 | | | | 468,180 | |
PACCAR, Inc. | | | 5,647 | | | | 422,678 | |
Snap-on, Inc.(a) | | | 2,281 | | | | 315,941 | |
Toro Co. (The) | | | 651 | | | | 43,187 | |
Xylem, Inc. | | | 7,062 | | | | 458,748 | |
| | | | | | | | |
| | | | | | | 3,565,920 | |
| | |
| Media — 1.5% | | | | | | |
Altice USA, Inc., Class A(b) | | | 3,466 | | | | 78,123 | |
AMC Networks, Inc., Class A(b) | | | 3,079 | | | | 72,018 | |
Cable One, Inc. | | | 34 | | | | 60,345 | |
Comcast Corp., Class A(a) | | | 15,859 | | | | 618,184 | |
Discovery, Inc., Class A(b) | | | 9,481 | | | | 200,049 | |
Interpublic Group of Cos., Inc. (The) | | | 41,234 | | | | 707,575 | |
Liberty Media Corp.-Liberty SiriusXM, Class A(b) | | | 509 | | | | 17,571 | |
Sirius XM Holdings, Inc.(a) | | | 154,920 | | | | 909,380 | |
TEGNA, Inc. | | | 2,105 | | | | 23,450 | |
| | | | | | | | |
| | | | | | | 2,686,695 | |
| | |
| Metals & Mining — 0.3% | | | | | | |
Alcoa Corp.(b) | | | 16,442 | | | | 184,808 | |
Reliance Steel & Aluminum Co. | | | 2,455 | | | | 233,053 | |
Steel Dynamics, Inc. | | | 2,783 | | | | 72,609 | |
| | | | | | | | |
| | | | | | | 490,470 | |
| | |
| Multiline Retail — 0.3% | | | | | | |
Macy’s, Inc.(a) | | | 7,241 | | | | 49,818 | |
Target Corp. | | | 3,773 | | | | 452,496 | |
| | | | | | | | |
| | | | | | | 502,314 | |
| | |
| 22 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage Large Cap Core Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Multi-Utilities — 0.9% | | | | | | |
Ameren Corp. | | | 8,848 | | | $ | 622,545 | |
CMS Energy Corp. | | | 6,188 | | | | 361,503 | |
Consolidated Edison, Inc. | | | 7,072 | | | | 508,689 | |
| | | | | | | | |
| | | | | | | 1,492,737 | |
| | |
| Oil, Gas & Consumable Fuels — 1.7% | | | | | | |
Chevron Corp. | | | 6,373 | | | | 568,663 | |
Concho Resources, Inc. | | | 1,102 | | | | 56,753 | |
ConocoPhillips | | | 7,461 | | | | 313,511 | |
Continental Resources, Inc. | | | 6,764 | | | | 118,573 | |
EOG Resources, Inc. | | | 11,390 | | | | 577,017 | |
Exxon Mobil Corp. | | | 3,026 | | | | 135,323 | |
Marathon Oil Corp.(a) | | | 50,588 | | | | 309,599 | |
ONEOK, Inc. | | | 1,533 | | | | 50,926 | |
PBF Energy, Inc., Class A(a) | | | 5,584 | | | | 57,180 | |
Phillips 66 | | | 1,161 | | | | 83,476 | |
Suncor Energy, Inc. | | | 10,884 | | | | 183,504 | |
Valero Energy Corp. | | | 4,629 | | | | 272,278 | |
Williams Cos., Inc. (The) | | | 8,987 | | | | 170,933 | |
| | | | | | | | |
| | | | | | | 2,897,736 | |
| | |
| Paper & Forest Products — 0.1% | | | | | | |
Domtar Corp. | | | 9,631 | | | | 203,310 | |
| | | | | | | | |
| | |
| Pharmaceuticals — 3.9% | | | | | | |
Bristol-Myers Squibb Co. | | | 12,446 | | | | 731,825 | |
Elanco Animal Health, Inc.(b) | | | 5,789 | | | | 124,174 | |
Eli Lilly & Co. | | | 3,608 | | | | 592,362 | |
Johnson & Johnson | | | 8,775 | | | | 1,234,028 | |
Merck & Co., Inc. | | | 27,816 | | | | 2,151,011 | |
Mylan NV(b) | | | 2,573 | | | | 41,374 | |
Pfizer, Inc. | | | 24,277 | | | | 793,858 | |
Zoetis, Inc. | | | 7,656 | | | | 1,049,178 | |
| | | | | | | | |
| | | | | | | 6,717,810 | |
| | |
| Professional Services — 0.3% | | | | | | |
IHS Markit Ltd. | | | 2,876 | | | | 217,138 | |
Robert Half International, Inc. | | | 7,169 | | | | 378,738 | |
| | | | | | | | |
| | | | | | | 595,876 | |
| | |
| Road & Rail — 0.8% | | | | | | |
AMERCO | | | 602 | | | | 181,919 | |
CSX Corp. | | | 4,407 | | | | 307,344 | |
Landstar System, Inc. | | | 504 | | | | 56,604 | |
Norfolk Southern Corp. | | | 2,355 | | | | 413,467 | |
Union Pacific Corp. | | | 2,666 | | | | 450,741 | |
| | | | | | | | |
| | | | | | | 1,410,075 | |
|
| Semiconductors & Semiconductor Equipment — 4.5% | |
Analog Devices, Inc. | | | 223 | | | | 27,349 | |
Applied Materials, Inc. | | | 14,017 | | | | 847,328 | |
Cirrus Logic, Inc.(b) | | | 5,155 | | | | 318,476 | |
Intel Corp. | | | 36,191 | | | | 2,165,307 | |
Lam Research Corp. | | | 2,139 | | | | 691,881 | |
NVIDIA Corp. | | | 7,287 | | | | 2,768,404 | |
Silicon Laboratories, Inc.(b) | | | 319 | | | | 31,986 | |
Skyworks Solutions, Inc. | | | 2,864 | | | | 366,191 | |
Texas Instruments, Inc. | | | 4,593 | | | | 583,173 | |
Xilinx, Inc. | | | 800 | | | | 78,712 | |
| | | | | | | | |
| | | | | | | 7,878,807 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Software — 10.3% | | | | | | |
ACI Worldwide, Inc.(b) | | | 2 | | | $ | 54 | |
Adobe, Inc.(b) | | | 4,766 | | | | 2,074,687 | |
Atlassian Corp. plc, Class A(b) | | | 1,666 | | | | 300,330 | |
Autodesk, Inc.(b) | | | 203 | | | | 48,555 | |
Citrix Systems, Inc. | | | 1,888 | | | | 279,254 | |
Cloudflare, Inc., Class A(b) | | | 5,313 | | | | 191,002 | |
DocuSign, Inc.(b) | | | 1,950 | | | | 335,809 | |
HubSpot, Inc.(b) | | | 220 | | | | 49,357 | |
Intuit, Inc. | | | 2,719 | | | | 805,341 | |
Microsoft Corp. | | | 53,323 | | | | 10,851,764 | |
New Relic, Inc.(b) | | | 1,334 | | | | 91,913 | |
RingCentral, Inc., Class A(b) | | | 1,548 | | | | 441,195 | |
salesforce.com, Inc.(b) | | | 5,017 | | | | 939,835 | |
ServiceNow, Inc.(b) | | | 474 | | | | 191,998 | |
Slack Technologies, Inc., Class A(b) | | | 7,329 | | | | 227,859 | |
Smartsheet, Inc., Class A(a)(b) | | | 3,916 | | | | 199,403 | |
VMware, Inc., Class A(b) | | | 814 | | | | 126,056 | |
Workday, Inc., Class A(b) | | | 1,391 | | | | 260,618 | |
Zoom Video Communications, Inc., Class A(b) | | | 1,631 | | | | 413,524 | |
Zscaler, Inc.(b) | | | 2,012 | | | | 220,314 | |
| | | | | | | | |
| | | | | | | 18,048,868 | |
| | |
| Specialty Retail — 2.7% | | | | | | |
Best Buy Co., Inc. | | | 3,193 | | | | 278,653 | |
Gap, Inc. (The) | | | 1,495 | | | | 18,867 | |
Home Depot, Inc. (The) | | | 11,033 | | | | 2,763,877 | |
Lowe’s Cos., Inc. | | | 10,940 | | | | 1,478,213 | |
TJX Cos., Inc. (The) | | | 5,023 | | | | 253,963 | |
| | | | | | | | |
| | | | | | | 4,793,573 | |
|
| Technology Hardware, Storage & Peripherals — 4.8% | |
Apple, Inc. | | | 22,122 | | | | 8,070,106 | |
HP, Inc. | | | 8,795 | | | | 153,297 | |
NetApp, Inc. | | | 3,358 | | | | 148,994 | |
| | | | | | | | |
| | | | | | | 8,372,397 | |
| | |
| Textiles, Apparel & Luxury Goods — 0.9% | | | | | | |
Capri Holdings Ltd.(b) | | | 999 | | | | 15,614 | |
Levi Strauss & Co., Class A | | | 1,471 | | | | 19,711 | |
Lululemon Athletica, Inc.(a)(b) | | | 688 | | | | 214,663 | |
NIKE, Inc., Class B | | | 11,552 | | | | 1,132,674 | |
VF Corp. | | | 2,542 | | | | 154,910 | |
| | | | | | | | |
| | | | | | | 1,537,572 | |
| | |
| Thrifts & Mortgage Finance — 0.1% | | | | | | |
Essent Group Ltd. | | | 1,041 | | | | 37,757 | |
MGIC Investment Corp. | | | 6,294 | | | | 51,548 | |
| | | | | | | | |
| | | | | | | 89,305 | |
| | |
| Tobacco — 0.0% | | | | | | |
Altria Group, Inc. | | | 756 | | | | 29,673 | |
| | | | | | | | |
| | |
| Trading Companies & Distributors — 0.4% | | | | | | |
GATX Corp.(a) | | | 7,168 | | | | 437,105 | |
SiteOne Landscape Supply, Inc.(b) | | | 232 | | | | 26,441 | |
WESCO International, Inc.(b) | | | 1,801 | | | | 63,233 | |
WW Grainger, Inc. | | | 434 | | | | 136,345 | |
| | | | | | | | |
| | | | | | | 663,124 | |
| | |
| Water Utilities — 0.7% | | | | | | |
American Water Works Co., Inc. | | | 9,023 | | | | 1,160,899 | |
| | | | | | | | |
| | |
SCHEDULES OF INVESTMENTS | | 23 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage Large Cap Core Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Wireless Telecommunication Services — 0.3% | |
Telephone & Data Systems, Inc. | | | 14,531 | | | $ | 288,876 | |
United States Cellular Corp.(b) | | | 9,518 | | | | 293,821 | |
| | | | | | | | |
| | | | | | | 582,697 | |
| | | | | | | | |
| |
Total Common Stocks — 96.9%
(Cost: $154,006,009) | | | | 169,128,338 | |
| | | | | | | | |
| | |
Rights — 0.0% | | | | | | | | |
| | |
| Pharmaceuticals — 0.0%(b) | | | | | | |
Bristol-Myers Squibb Co. | | | 4,480 | | | | 16,038 | |
| | | | | | | | |
| | |
Total Rights — 0.0%
(Cost: $9,543) | | | | | | | 16,038 | |
| | | | | | | | |
| |
Total Long-Term Investments — 96.9%
(Cost: $154,015,552) | | | | 169,144,376 | |
| | | | | | | | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
Short-Term Securities — 6.4%(c) | | | | | | | | |
BlackRock Liquidity Funds, T-Fund, Institutional Class,
0.11%* | | | 4,888,778 | | | $ | 4,888,778 | |
JPMorgan U.S. Treasury Plus
Money Market Fund, Agency Class,
0.05% | | | 20,325 | | | | 20,325 | |
SL Liquidity Series, LLC,
Money Market Series,
0.50%(d)* | | | 6,297,404 | | | | 6,302,443 | |
| | | | | | | | |
| |
Total Short-Term Securities — 6.4%
(Cost: $11,212,175) | | | | 11,211,546 | |
| | | | | | | | |
| |
Total Investments — 103.3%
(Cost: $165,227,727) | | | | 180,355,922 | |
| |
Liabilities in Excess of Other Assets — (3.3)% | | | | (5,705,900 | ) |
| | | | | | | | |
| |
Net Assets — 100.0% | | | $ | 174,650,022 | |
| | | | | | | | |
| (a) | All or a portion of this security is on loan. |
| (b) | Non-income producing security. |
| (c) | Annualized 7-day yield as of period end. |
| (d) | All or a portion of this security was purchased with cash collateral from loaned securities. |
| * | Investments in issuers considered to be an affiliate/affiliates of the Fund during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Affiliated Issuer | |
| Shares
Held at
12/31/19 |
| |
| Shares
Purchased |
| |
| Shares
Sold |
| |
| Shares
Held at
06/30/20 |
| |
| Value at
06/30/20 |
| | | Income | | |
| Net
Realized Gain (Loss) |
(a) | |
| Change in
Unrealized
Appreciation
(Depreciation) |
|
BlackRock Liquidity Funds, T-Fund,
Institutional Class(b) | | | 1,471,977 | | | | 3,416,801 | | | | — | | | | 4,888,778 | | | $ | 4,888,778 | | | $ | 7,176 | | | $ | — | | | $ | — | |
SL Liquidity Series, LLC,
Money Market Series(b) | | | 7,954,703 | | | | — | | | | (1,657,299 | ) | | | 6,297,404 | | | | 6,302,443 | | | | 19,302 | (c) | | | (4,586 | ) | | | (629 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 11,191,221 | | | $ | 26,478 | | | $ | (4,586 | ) | | $ | (629 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Includes net capital gain distributions, if applicable. |
| (b) | Represents net shares purchased (sold). |
| (c) | All of a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
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 rating 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.
| | |
| 24 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage Large Cap Core Portfolio |
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
S&P 500 E-Mini Index | | | 37 | | | | 09/18/20 | | | $ | 5,717 | | | $ | 95,096 | |
| | | | | | | | | | | | | | | | |
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:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
Assets — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts
Unrealized appreciation on futures contracts(a) | | $ | — | | | $ | — | | | $ | 95,096 | | | $ | — | | | $ | — | | | $ | — | | | $ | 95,096 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Net cumulative unrealized appreciation (depreciation) on futures contracts, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
For the six months ended June 30, 2020, the effect of derivative financial instruments in the Statements of Operations was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
Net Realized Gain (Loss) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | 348,337 | | | $ | — | | | $ | — | | | $ | — | | | $ | 348,337 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | — | | | | — | | | | 72,538 | | | | — | | | | — | | | | — | | | | 72,538 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments | | | | | | |
Futures contracts: | | | | | | | | |
Average notional value of contracts — long | | | | | | $ | 5,299,650 | |
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 | | $ | 169,144,376 | | | $ | — | | | $ | — | | | $ | 169,144,376 | |
Short-Term Securities | | | 4,909,103 | | | | — | | | | — | | | | 4,909,103 | |
| | | | | | | | | | | | | | | | |
Subtotal | | $ | 174,053,479 | | | $ | — | | | $ | — | | | $ | 174,053,479 | |
| | | | | | | | | | | | | | | | |
Investments valued at NAV(a) | | | | | | | | | | | | | | | 6,302,443 | |
| | | | | | | | | | | | | | | | |
Total Investments | | | | | | | | | | | | | | $ | 180,355,922 | |
| | | | | | | | | | | | | | | | |
| | |
SCHEDULES OF INVESTMENTS | | 25 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Advantage Large Cap Core Portfolio |
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Derivative Financial Instruments (b) | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Equity contracts | | $ | 95,096 | | | $ | — | | | $ | — | | | $ | 95,096 | |
| | | | | | | | | | | | | | | | |
| | The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above. |
| (a) | Certain investments of the Fund were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
| (b) | Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
See notes to financial statements.
| | |
| 26 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
Asset-Backed Securities — 2.9% | | | | | | | | | | | | |
ACE Securities Corp. Home Equity Loan Trust,
Series 2007-HE4, Class A2A, (LIBOR USD 1 Month + 0.13%), 0.31%, 05/25/37(a) | | | USD | | | | 47 | | | $ | 11,425 | |
Ajax Mortgage Loan Trust(b): | | | | | | | | | | | | |
Series 2017-D, Class A, 3.75%, 12/25/57(c) | | | | | | | 124 | | | | 123,791 | |
Series 2018-B, Class A, 3.75%, 02/26/57(c) | | | | | | | 84 | | | | 80,089 | |
Series 2018-D, Class A, 3.75%, 08/25/58(c)(d) | | | | | | | 146 | | | | 139,063 | |
Series 2018-E, Class A, 4.38%, 06/25/58(d) | | | | | | | 91 | | | | 91,762 | |
Series 2018-F, Class A, 4.38%, 11/25/58(c)(d) | | | | | | | 318 | | | | 320,221 | |
Series 2018-G, Class A, 4.38%, 06/25/57(c)(d) | | | | | | | 182 | | | | 176,240 | |
Series 2018-G, Class B, 5.25%, 06/25/57(c)(d) | | | | | | | 100 | | | | 75,000 | |
Series 2018-G, Class C, 5.25%, 06/25/57(c) | | | | | | | 99 | | | | 97,205 | |
Series 2019-A, Class A, 3.75%, 08/25/57(d) | | | | | | | 177 | | | | 181,381 | |
Series 2019-B, Class A, 3.75%, 01/25/59(d) | | | | | | | 300 | | | | 308,157 | |
Allegro CLO II-S Ltd., Series 2014-1RA, Class A1, (LIBOR USD 3 Month + 1.08%), 2.19%, 10/21/28(a)(b) | | | | | | | 250 | | | | 244,736 | |
Anchorage Capital CLO 5-R Ltd.(a)(b): | | | | | | | | | | | | |
Series 2014-5RA, Class B, (LIBOR USD 3 Month + 1.45%), 2.67%, 01/15/30 | | | | | | | 250 | | | | 240,880 | |
Series 2014-5RA, Class C, (LIBOR USD 3 Month + 1.85%), 3.07%, 01/15/30 | | | | | | | 250 | | | | 234,413 | |
Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class AR, (LIBOR USD 3 Month + 1.27%), 2.49%, 07/15/30(a)(b) | | | | | | | 250 | | | | 244,564 | |
Apidos CLO XII, Series 2013-12A, Class AR, (LIBOR USD 3 Month + 1.08%),
2.30%, 04/15/31(a)(b) | | | | | | | 500 | | | | 487,829 | |
Arbor Realty CLO Ltd., Series 2017-FL3, Class A, (LIBOR USD 1 Month + 0.99%), 1.17%, 12/15/27(a)(b) | | | | | | | 100 | | | | 98,219 | |
Argent Mortgage Loan Trust, Series 2005-W1, Class A2, (LIBOR USD 1 Month + 0.48%), 0.66%, 05/25/35(a) | | | | | | | 75 | | | | 65,695 | |
Avery Point V CLO Ltd., Series 2014-5A, Class AR, (LIBOR USD 3 Month + 0.98%), 2.11%, 07/17/26(a)(b) | | | | | | | 99 | | | | 98,814 | |
Avery Point VI CLO Ltd., Series 2015-6A, Class AR, (LIBOR USD 3 Month + 1.05%), 1.59%, 08/05/27(a)(b) | | | | | | | 250 | | | | 247,567 | |
B2R Mortgage Trust, Series 2015-2, Class A, 3.34%, 11/15/48(b) | | | | | | | 10 | | | | 10,073 | |
Barings CLO Ltd., Series 2018-3A, Class A1, (LIBOR USD 3 Month + 0.95%),
2.09%, 07/20/29(a)(b) | | | | | | | 250 | | | | 246,234 | |
Battalion CLO X Ltd., Series 2016-10A, Class A1R, (LIBOR USD 3 Month + 1.25%), 2.27%, 01/24/29(a)(b) | | | | | | | 300 | | | | 295,787 | |
BCMSC Trust(d): | | | | | | | | | | | | |
Series 2000-A, Class A2, 7.58%, 06/15/30 | | | | | | | 53 | | | | 15,282 | |
Series 2000-A, Class A3, 7.83%, 06/15/30 | | | | | | | 49 | | | | 14,658 | |
Series 2000-A, Class A4, 8.29%, 06/15/30 | | | | | | | 35 | | | | 11,170 | |
BDS Ltd., Series 2019-FL3, Class A, (LIBOR USD 1 Month + 1.40%), 1.59%, 12/15/35(a)(b) | | | | | | | 100 | | | | 98,016 | |
Bear Stearns Asset-Backed Securities I Trust(a): | | | | | | | | | | | | |
Series 2004-HE7, Class M2, (LIBOR USD 1 Month + 1.73%), 1.91%, 08/25/34 | | | | | | | 3 | | | | 2,493 | |
Series 2006-HE7, Class 1A2, (LIBOR USD 1 Month + 0.17%), 0.35%, 09/25/36 | | | | | | | 138 | | | | 166,556 | |
Series 2007-HE1, Class 21A2, (LIBOR USD 1 Month + 0.16%), 0.34%, 01/25/37 | | | | | | | 38 | | | | 37,355 | |
Series 2007-HE2, Class 22A, (LIBOR USD 1 Month + 0.14%), 0.32%, 03/25/37 | | | | | | | 23 | | | | 22,290 | |
Series 2007-HE2, Class 23A, (LIBOR USD 1 Month + 0.14%), 0.32%, 03/25/37 | | | | | | | 46 | | | | 47,647 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
Asset-Backed Securities (continued) | | | | | | | | | | | | |
Series 2007-HE3, Class 1A3, (LIBOR USD 1 Month + 0.25%), 0.43%, 04/25/37 | | | USD | | | | 85 | | | $ | 90,496 | |
Bear Stearns Asset-Backed Securities Trust, Series 2005-4, Class M2, (LIBOR USD 1 Month + 1.20%), 1.38%, 01/25/36(a) | | | | | | | 2 | | | | 2,281 | |
Benefit Street Partners CLO VI Ltd., Series 2015-VIA, Class A1R, (LIBOR USD 3 Month + 1.24%), 2.38%, 10/18/29(a)(b) | | | | | | | 250 | | | | 246,088 | |
California Street CLO XII Ltd., Series 2013-12A, Class AR, (LIBOR USD 3 Month + 1.03%), 2.25%, 10/15/25(a)(b) | | | | | | | 187 | | | | 185,230 | |
Carlyle Global Market Strategies CLO Ltd.(a)(b): | | | | | | | | | | | | |
Series 2014-1A, Class A1R2, (LIBOR USD 3 Month + 0.97%), 2.10%, 04/17/31 | | | | | | | 250 | | | | 241,800 | |
Series 2015-3A, Class A2R, (LIBOR USD 3 Month + 1.60%), 2.49%, 07/28/28 | | | | | | | 250 | | | | 242,281 | |
Carlyle US CLO Ltd., Series 2017-4A, Class A1, (LIBOR USD 3 Month + 1.18%),
2.40%, 01/15/30(a)(b) | | | | | | | 250 | | | | 244,921 | |
Carrington Mortgage Loan Trust, Series 2006- NC4, Class A3, (LIBOR USD 1 Month + 0.16%), 0.34%, 10/25/36(a) | | | | | | | 68 | | | | 63,717 | |
Cedar Funding VI CLO Ltd., Series 2016-6A, Class AR, (LIBOR USD 3 Month + 1.09%), 2.23%, 10/20/28(a)(b) | | | | | | | 250 | | | | 245,236 | |
Cedar Funding VIII CLO Ltd., Series 2017-8A, Class A1, (LIBOR USD 3 Month + 1.25%), 2.38%, 10/17/30(a)(b) | | | | | | | 250 | | | | 245,939 | |
Cent CLO 24 Ltd., Series 2015-24A, Class A1R, (LIBOR USD 3 Month + 1.07%),
2.29%, 10/15/26(a)(b) | | | | | | | 250 | | | | 246,804 | |
CIFC Funding Ltd.(a)(b): | | | | | | | | | | | | |
Series 2013-1A, Class A2R, (LIBOR USD 3 Month + 1.75%), 2.93%, 07/16/30 | | | | | | | 250 | | | | 243,594 | |
Series 2014-4RA, Class A1A, (LIBOR USD 3 Month + 1.13%), 2.26%, 10/17/30 | | | | | | | 250 | | | | 245,540 | |
Citigroup Mortgage Loan Trust(a): | | | | | | | | | | | | |
Series 2007-AHL2, Class A3B, (LIBOR USD 1 Month + 0.20%), 0.38%, 05/25/37 | | | | | | | 193 | | | | 146,855 | |
Series 2007-AHL2, Class A3C, (LIBOR USD 1 Month + 0.27%), 0.45%, 05/25/37 | | | | | | | 88 | | | | 67,119 | |
Conseco Finance Corp.: | | | | | | | | | | | | |
Series 1998-8, Class A1, 6.28%, 09/01/30 | | | | | | | 16 | | | | 16,768 | |
Series 1998-8, Class M1, 6.98%, 09/01/30(d) | | | | | | | 57 | | | | 51,355 | |
Series 2001-D, Class B1, (LIBOR USD 1 Month + 2.50%), 2.68%, 11/15/32(a) | | | | | | | 106 | | | | 97,719 | |
Conseco Finance Securitizations Corp.: | | | | | | | | | | | | |
Series 2000-1, Class A5, 8.06%, 09/01/29(d) | | | | | | | 31 | | | | 11,203 | |
Series 2000-4, Class A6, 8.31%, 05/01/32(d) | | | | | | | 42 | | | | 14,906 | |
Series 2000-5, Class A6, 7.96%, 05/01/31 | | | | | | | 39 | | | | 19,310 | |
Countrywide Asset-Backed Certificates: | | | | | | | | | | | | |
Series 2006-8, Class 2A3, (LIBOR USD 1 Month + 0.16%), 0.34%, 12/25/35(a) | | | | | | | 34 | | | | 33,423 | |
Series 2006-S3, Class A4, 6.53%, 01/25/29(e) | | | | | | | 11 | | | | 12,581 | |
Series 2006-SPS1, Class A, (LIBOR USD 1 Month + 0.22%), 0.40%, 12/25/25(a) | | | | | | | 2 | | | | 2,329 | |
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-MH29, Class B1,
8.10%, 09/25/31(d) | | | | | | | 30 | | | | 31,341 | |
Credit-Based Asset Servicing & Securitization LLC, Series 2006-MH1, Class B1,
6.25%, 10/25/36(b)(e) | | | | | | | 100 | | | | 103,833 | |
CWABS Asset-Backed Certificates Trust, Series 2005-17, Class 1AF4, 6.05%, 05/25/36(e) | | | | | | | 23 | | | | 23,911 | |
| | |
SCHEDULES OF INVESTMENTS | | 27 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | |
Asset-Backed Securities (continued) | | | | | | | | | |
CWHEQ Home Equity Loan Trust, Series 2006- S5, Class A5, 6.16%, 06/25/35 | | | USD | | | | 11 | | | $ | 12,302 | |
CWHEQ Revolving Home Equity Loan Resuritization Trust(a)(b): | | | | | | | | | | | | |
Series 2006-RES, Class 4Q1B, (LIBOR USD 1 Month + 0.30%), 0.48%, 12/15/33 | | | | | | | 21 | | | | 19,889 | |
Series 2006-RES, Class 5B1A, (LIBOR USD 1 Month + 0.19%), 0.37%, 05/15/35 | | | | | | | 83 | | | | 79,379 | |
CWHEQ Revolving Home Equity Loan Trust(a): | | | | | | | | | | | | |
Series 2005-B, Class 2A, (LIBOR USD 1 Month + 0.18%), 0.36%, 05/15/35 | | | | | | | 12 | | | | 11,083 | |
Series 2006-H, Class 1A, (LIBOR USD 1 Month + 0.15%), 0.33%, 11/15/36 | | | | | | | 22 | | | | 18,056 | |
Dryden 53 CLO Ltd., Series 2017-53A, Class A, (LIBOR USD 3 Month + 1.12%),
2.34%, 01/15/31(a)(b) | | | | | | | 280 | | | | 273,798 | |
First Franklin Mortgage Loan Trust, Series 2006-FFH1, Class M2, (LIBOR USD 1 Month + 0.40%), 0.58%, 01/25/36(a) | | | | | | | 39 | | | | 23,129 | |
Flatiron CLO Ltd., Series 2015-1A, Class AR, (LIBOR USD 3 Month + 0.89%),
2.11%, 04/15/27(a)(b) | | | | | | | 163 | | | | 162,121 | |
GSAMP Trust(a): | | | | | | | | | | | | |
Series 2007-H1, Class A1B, (LIBOR USD 1 Month + 0.20%), 0.38%, 01/25/47 | | | | | | | 27 | | | | 16,044 | |
Series 2007-HS1, Class M6, (LIBOR USD 1 Month + 2.25%), 2.43%, 02/25/47 | | | | | | | 25 | | | | 24,457 | |
Halcyon Loan Advisors Funding Ltd., Series 2015-2A, Class AR, (LIBOR USD 3 Month + 1.08%), 2.07%, 07/25/27(a)(b) | | | | | | | 154 | | | | 151,723 | |
Home Equity Asset Trust, Series 2007-1, Class 2A3, (LIBOR USD 1 Month + 0.15%), 0.33%, 05/25/37(a) | | | | | | | 40 | | | | 32,836 | |
Home Equity Mortgage Trust, Series 2006-2, Class 1A1, 5.87%, 07/25/36(e) | | | | | | | 150 | | | | 40,715 | |
Home Loan Mortgage Loan Trust, Series 2005- 1, Class A3, (LIBOR USD 1 Month + 0.72%), 0.90%, 04/15/36(a) | | | | | | | 32 | | | | 29,632 | |
ICG US CLO Ltd., Series 2015-1A, Class A1R, (LIBOR USD 3 Month + 1.14%), 2.28%, 10/19/28(a)(b) | | | | | | | 250 | | | | 246,226 | |
Invitation Homes Trust, Series 2018-SFR3, Class E, (LIBOR USD 1 Month + 2.00%), 2.19%, 07/17/37(a)(b) | | | | | | | 100 | | | | 95,061 | |
IXIS Real Estate Capital Trust, Series 2007- HE1, Class A4, (LIBOR USD 1 Month + 0.23%), 0.41%, 05/25/37(a) | | | | | | | 677 | | | | 213,390 | |
Legacy Mortgage Asset Trust, Series 2019-SL1, Class A, 4.00%, 12/28/54(b)(d) | | | | | | | 61 | | | | 61,648 | |
Lehman ABS Manufactured Housing Contract Trust: | | | | | | | | | | | | |
Series 2001-B, Class M1, 6.63%, 04/15/40(d) | | | | | | | 104 | | | | 109,391 | |
Series 2002-A, Class C, 0.00%, 06/15/33 | | | | | | | 7 | | | | 5,592 | |
Litigation Fee Residual Funding LLC, Series 2015-1, Class A, 4.00%, 10/30/27(c) | | | | | | | 69 | | | | 69,247 | |
Long Beach Mortgage Loan Trust(a): | | | | | | | | | | | | |
Series 2006-5, Class 2A3, (LIBOR USD 1 Month + 0.15%), 0.33%, 06/25/36 | | | | | | | 26 | | | | 13,958 | |
Series 2006-7, Class 2A3, (LIBOR USD 1 Month + 0.16%), 0.34%, 08/25/36 | | | | | | | 16 | | | | 8,054 | |
Series 2006-9, Class 2A2, (LIBOR USD 1 Month + 0.11%), 0.29%, 10/25/36 | | | | | | | 21 | | | | 9,200 | |
Madison Park Funding XVIII Ltd., Series 2015- 18A, Class A1R, (LIBOR USD 3 Month + 1.19%), 2.30%, 10/21/30(a)(b) | | | | | | | 250 | | | | 245,471 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | |
Asset-Backed Securities (continued) | | | | | | | | | |
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2C, (LIBOR USD 1 Month + 0.24%), 0.42%, 05/25/37(a) | | | USD | | | | 23 | | | $ | 15,569 | |
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE1, Class A2MZ, (LIBOR USD 1 Month + 0.60%), 0.78%, 12/25/34(a) | | | | | | | 78 | | | | 70,729 | |
Morgan Stanley Mortgage Loan Trust, Series 2007-9SL, Class A, (LIBOR USD 1 Month + 0.32%), 0.50%, 07/25/37(a) | | | | | | | 16 | | | | 14,757 | |
MP CLO VIII Ltd., Series 2015-2A, Class AR, (LIBOR USD 3 Month + 0.91%),
1.80%, 10/28/27(a)(b) | | | | | | | 235 | | | | 230,207 | |
Oakwood Mortgage Investors, Inc., Series 2001-D, Class A4, 6.93%, 09/15/31(d) | | | | | | | 11 | | | | 8,932 | |
OCP CLO Ltd., Series 2016-12A, Class A1R, (LIBOR USD 3 Month + 1.12%),
2.26%, 10/18/28(a)(b) | | | | | | | 100 | | | | 98,546 | |
Octagon Investment Partners 33 Ltd., Series 2017-1A, Class A1, (LIBOR USD 3 Month + 1.19%), 2.33%, 01/20/31(a)(b) | | | | | | | 250 | | | | 245,039 | |
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class A1R, (LIBOR USD 3 Month + 1.02%), 2.15%, 07/17/30(a)(b) | | | | | | | 305 | | | | 297,203 | |
OFSI Fund VI Ltd., Series 2014-6A, Class A2R, (LIBOR USD 3 Month + 1.13%),
2.35%, 03/20/25(a)(b) | | | | | | | 7 | | | | 7,051 | |
OHA Loan Funding Ltd., Series 2013-2A, Class AR, (LIBOR USD 3 Month + 1.04%), 1.40%, 05/23/31(a)(b) | | | | | | | 285 | | | | 277,408 | |
Option One Mortgage Loan Trust: | | | | | | | | | | | | |
Series 2007-CP1, Class 2A3, (LIBOR USD 1 Month + 0.21%), 0.39%, 03/25/37(a) | | | | | | | 40 | | | | 24,976 | |
Series 2007-FXD1, Class 1A1,
5.87%, 01/25/37(e) | | | | | | | 36 | | | | 34,220 | |
Series 2007-FXD1, Class 2A1,
5.87%, 01/25/37(e) | | | | | | | 44 | | | | 41,557 | |
Series 2007-FXD2, Class 1A1,
5.82%, 03/25/37(e) | | | | | | | 53 | | | | 54,080 | |
Origen Manufactured Housing Contract Trust, Series 2007-B, Class A1, (LIBOR USD 1 Month + 1.20%), 1.38%, 10/15/37(a)(b)(c) | | | | | | | 27 | | | | 25,780 | |
Ownit Mortgage Loan Trust, Series 2006-2, Class A2C, 6.00%, 01/25/37(e) | | | | | | | 30 | | | | 28,553 | |
OZLM Funding IV Ltd., Series 2013-4A, Class A1R, (LIBOR USD 3 Month + 1.25%), 2.35%, 10/22/30(a)(b) | | | | | | | 491 | | | | 476,413 | |
OZLM XXI Ltd., Series 2017-21A, Class B, (LIBOR USD 3 Month + 1.90%),
3.04%, 01/20/31(a)(b) | | | | | | | 250 | | | | 231,529 | |
Parallel Ltd., Series 2015-1A, Class AR, (LIBOR USD 3 Month + 0.85%), 1.99%, 07/20/27(a)(b) | | | | | | | 169 | | | | 164,751 | |
Regatta VI Funding Ltd., Series 2016-1A, Class AR, (LIBOR USD 3 Month + 1.08%), 2.22%, 07/20/28(a)(b) | | | | | | | 250 | | | | 245,974 | |
Scholar Funding Trust, Series 2013-A, Class A, (LIBOR USD 1 Month + 0.65%),
0.83%, 01/30/45(a)(b) | | | | | | | 179 | | | | 175,479 | |
SG Mortgage Securities Trust, Series 2006- FRE2, Class A2C, (LIBOR USD 1 Month + 0.16%), 0.34%, 07/25/36(a) | | | | | | | 17 | | | | 5,063 | |
Silver Creek CLO Ltd., Series 2014-1A, Class AR, (LIBOR USD 3 Month + 1.24%),
2.38%, 07/20/30(a)(b) | | | | | | | 250 | | | | 245,944 | |
SLM Private Credit Student Loan Trust(a): | | | | | | | | | | | | |
Series 2004-B, Class A3, (LIBOR USD 3 Month + 0.33%), 0.64%, 03/15/24 | | | | | | | 78 | | | | 76,865 | |
| | |
| 28 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Series 2005-A, Class A3, (LIBOR USD 3 Month + 0.20%), 0.51%, 06/15/23 | | | USD | | | | 4 | | | $ | 4,345 | |
Sound Point CLO XIV Ltd., Series 2016-3A, Class C, (LIBOR USD 3 Month + 2.65%), 3.69%, 01/23/29(a)(b) | | | | | | | 250 | | | | 246,938 | |
Structured Asset Investment Loan Trust, Series 2004-8, Class M4, (LIBOR USD 1 Month + 1.50%), 1.68%, 09/25/34(a) | | | | | | | 28 | | | | 28,191 | |
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2004- 23XS, Class 2A1, (LIBOR USD 1 Month + 0.30%), 0.48%, 01/25/35(a) | | | | | | | 27 | | | | 26,199 | |
Symphony CLO XVII Ltd., Series 2016-17A, Class AR, (LIBOR USD 3 Month + 0.88%), 2.10%, 04/15/28(a)(b) | | | | | | | 250 | | | | 245,369 | |
TCI-Flatiron CLO Ltd., Series 2017-1A, Class A, (LIBOR USD 3 Month + 1.20%), 1.59%, 11/18/30(a)(b) | | | | | | | 250 | | | | 245,275 | |
Venture 35 CLO Ltd., Series 2018-35A, Class AS, (LIBOR USD 3 Month + 1.15%), 2.25%, 10/22/31(a)(b) | | | | | | | 250 | | | | 248,641 | |
Wachovia Asset Securitization Issuance II LLC Trust, Series 2007-HE2A, Class A, (LIBOR USD 1 Month + 0.13%), 0.62%, 07/25/37(a)(b) | | | | | | | 51 | | | | 45,277 | |
| | | | | | | | | | | | |
| |
Total Asset-Backed Securities — 2.9%
(Cost: $14,204,199) | | | | 13,870,454 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Shares | | | | |
|
Common Stocks — 60.5% | |
| |
| Aerospace & Defense — 0.8% | | | | |
Boeing Co. (The) | | | | | | | 1,615 | | | | 296,029 | |
Curtiss-Wright Corp. | | | | | | | 809 | | | | 72,227 | |
HEICO Corp. | | | | | | | 3,852 | | | | 383,852 | |
Hexcel Corp.(f) | | | | | | | 2,574 | | | | 116,396 | |
L3Harris Technologies, Inc. | | | | | | | 3,483 | | | | 590,961 | |
Lockheed Martin Corp.(f) | | | | | | | 3,056 | | | | 1,115,196 | |
Mercury Systems, Inc.(g) | | | | | | | 448 | | | | 35,240 | |
Northrop Grumman Corp. | | | | | | | 1,930 | | | | 593,359 | |
Spirit AeroSystems Holdings, Inc., Class A | | | | | | | 6,231 | | | | 149,170 | |
Teledyne Technologies, Inc.(g) | | | | | | | 1,196 | | | | 371,896 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,724,326 | |
| |
| Air Freight & Logistics — 0.2% | | | | |
FedEx Corp. | | | | | | | 951 | | | | 133,349 | |
United Parcel Service, Inc., Class B | | | | | | | 8,168 | | | | 908,118 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,041,467 | |
| | | |
| Airlines — 0.2% | | | | | | | | | |
Alaska Air Group, Inc. | | | | | | | 3,847 | | | | 139,492 | |
Delta Air Lines, Inc.(f) | | | | | | | 19,820 | | | | 555,951 | |
Southwest Airlines Co. | | | | | | | 4,535 | | | | 155,007 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 850,450 | |
| | | |
| Auto Components — 0.0% | | | | | | | | | |
Aptiv plc | | | | | | | 56 | | | | 4,363 | |
Goodyear Tire & Rubber Co. (The) | | | | | | | 13,826 | | | | 123,674 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 128,037 | |
| | | |
| Automobiles — 0.3% | | | | | | | | | |
Harley-Davidson, Inc. | | | | | | | 5,479 | | | | 130,236 | |
Tesla, Inc.(g) | | | | | | | 1,382 | | | | 1,492,297 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,622,533 | |
| | | | | | | | |
Security | | Shares | | | Value | |
| | |
| Banks — 2.1% | | | | | | |
Bank of America Corp. | | | 74,903 | | | $ | 1,778,946 | |
Bank OZK(f) | | | 2,478 | | | | 58,159 | |
CIT Group, Inc. | | | 1,622 | | | | 33,624 | |
Citigroup, Inc. | | | 6,201 | | | | 316,871 | |
Citizens Financial Group, Inc. | | | 17,455 | | | | 440,564 | |
Comerica, Inc. | | | 1,141 | | | | 43,472 | |
Credicorp Ltd. | | | 257 | | | | 34,353 | |
Cullen/Frost Bankers, Inc.(f) | | | 8,952 | | | | 668,804 | |
First Horizon National Corp. | | | 8,032 | | | | 79,999 | |
JPMorgan Chase & Co. | | | 32,303 | | | | 3,038,420 | |
US Bancorp | | | 7,273 | | | | 267,792 | |
Webster Financial Corp. | | | 2,410 | | | | 68,950 | |
Wells Fargo & Co. | | | 114,340 | | | | 2,927,104 | |
Wintrust Financial Corp. | | | 885 | | | | 38,604 | |
Zions Bancorp NA | | | 4,162 | | | | 141,508 | |
| | | | | | | | |
| | | | | | | 9,937,170 | |
| | |
| Beverages — 1.0% | | | | | | |
Brown-Forman Corp., Class B | | | 1,980 | | | | 126,047 | |
Coca-Cola Co. (The) | | | 23,990 | | | | 1,071,873 | |
Coca-Cola European Partners plc | | | 9,236 | | | | 348,751 | |
Molson Coors Beverage Co., Class B(f) | | | 2,049 | | | | 70,404 | |
PepsiCo, Inc. | | | 25,671 | | | | 3,395,246 | |
| | | | | | | | |
| | | | | | | 5,012,321 | |
| | |
| Biotechnology — 2.5% | | | | | | |
AbbVie, Inc. | | | 39,084 | | | | 3,837,267 | |
Alkermes plc(g) | | | 5,435 | | | | 105,466 | |
Amgen, Inc. | | | 9,900 | | | | 2,335,014 | |
Biogen, Inc.(g) | | | 1,773 | | | | 474,366 | |
Gilead Sciences, Inc. | | | 36,015 | | | | 2,770,994 | |
Moderna, Inc.(g) | | | 2,680 | | | | 172,083 | |
Regeneron Pharmaceuticals, Inc.(g) | | | 1,201 | | | | 749,004 | |
Sage Therapeutics, Inc.(g) | | | 2,847 | | | | 118,378 | |
Vertex Pharmaceuticals, Inc.(g) | | | 4,307 | | | | 1,250,365 | |
| | | | | | | | |
| | | | | | | 11,812,937 | |
| | |
| Building Products — 0.4% | | | | | | |
Advanced Drainage Systems, Inc. | | | 1,770 | | | | 87,438 | |
Allegion plc | | | 16,998 | | | | 1,737,535 | |
Resideo Technologies, Inc.(f)(g) | | | 14,705 | | | | 172,343 | |
Trex Co., Inc.(g) | | | 296 | | | | 38,501 | |
| | | | | | | | |
| | | | | | | 2,035,817 | |
| | |
| Capital Markets — 1.6% | | | | | | |
Ameriprise Financial, Inc. | | | 2,695 | | | | 404,358 | |
Bank of New York Mellon Corp. (The) | | | 8,457 | | | | 326,863 | |
Cboe Global Markets, Inc. | | | 1,297 | | | | 120,984 | |
Charles Schwab Corp. (The) | | | 25,741 | | | | 868,501 | |
CME Group, Inc. | | | 4,855 | | | | 789,132 | |
FactSet Research Systems, Inc. | | | 2,542 | | | | 834,971 | |
Franklin Resources, Inc.(f) | | | 3,047 | | | | 63,896 | |
Intercontinental Exchange, Inc. | | | 10,642 | | | | 974,807 | |
Northern Trust Corp. | | | 1,472 | | | | 116,788 | |
S&P Global, Inc. | | | 7,627 | | | | 2,512,944 | |
State Street Corp. | | | 2,292 | | | | 145,657 | |
T. Rowe Price Group, Inc. | | | 1,914 | | | | 236,379 | |
TD Ameritrade Holding Corp. | | | 2,687 | | | | 97,753 | |
| | | | | | | | |
| | | | | | | 7,493,033 | |
| | |
| Chemicals — 1.1% | | | | | | |
Air Products & Chemicals, Inc. | | | 3,263 | | | | 787,884 | |
DuPont de Nemours, Inc. | | | 3,317 | | | | 176,232 | |
Ecolab, Inc.(f) | | | 12,312 | | | | 2,449,473 | |
FMC Corp. | | | 290 | | | | 28,890 | |
Linde plc | | | 2,898 | | | | 614,695 | |
LyondellBasell Industries NV, Class A | | | 1,631 | | | | 107,189 | |
| | |
SCHEDULES OF INVESTMENTS | | 29 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Chemicals (continued) | | | | | | |
Mosaic Co. (The) | | | 17,385 | | | $ | 217,486 | |
PPG Industries, Inc. | | | 3,437 | | | | 364,528 | |
Sherwin-Williams Co. (The) | | | 1,105 | | | | 638,524 | |
| | | | | | | | |
| | | | | | | 5,384,901 | |
|
| Commercial Services & Supplies — 0.2% | |
Cintas Corp. | | | 2,088 | | | | 556,160 | |
Copart, Inc.(g) | | | 2,893 | | | | 240,900 | |
| | | | | | | | |
| | | | | | | 797,060 | |
|
| Communications Equipment — 1.1% | |
Ciena Corp.(g) | | | 4,789 | | | | 259,372 | |
Cisco Systems, Inc. | | | 103,756 | | | | 4,839,180 | |
Motorola Solutions, Inc. | | | 40 | | | | 5,605 | |
| | | | | | | | |
| | | | | | | 5,104,157 | |
|
| Construction & Engineering — 0.3% | |
EMCOR Group, Inc. | | | 12,429 | | | | 822,054 | |
MasTec, Inc.(g) | | | 9,979 | | | | 447,758 | |
Quanta Services, Inc. | | | 1,130 | | | | 44,330 | |
| | | | | | | | |
| | | | | | | 1,314,142 | |
| | |
| Consumer Finance — 0.3% | | | | | | |
Ally Financial, Inc. | | | 32,303 | | | | 640,569 | |
American Express Co. | | | 9,287 | | | | 884,122 | |
Discover Financial Services | | | 1,101 | | | | 55,149 | |
LendingTree, Inc.(f)(g) | | | 336 | | | | 97,282 | |
| | | | | | | | |
| | | | | | | 1,677,122 | |
| | |
| Containers & Packaging — 0.1% | | | | | | |
International Paper Co. | | | 2,485 | | | | 87,497 | |
WestRock Co. | | | 7,624 | | | | 215,454 | |
| | | | | | | | |
| | | | | | | 302,951 | |
|
| Diversified Consumer Services — 0.2% | |
Bright Horizons Family Solutions, Inc.(g) | | | 1,479 | | | | 173,339 | |
Graham Holdings Co., Class B | | | 518 | | | | 177,503 | |
Grand Canyon Education, Inc.(g) | | | 378 | | | | 34,220 | |
H&R Block, Inc. | | | 36,326 | | | | 518,735 | |
| | | | | | | | |
| | | | | | | 903,797 | |
|
| Diversified Financial Services — 0.9% | |
Berkshire Hathaway, Inc., Class B(g) | | | 23,542 | | | | 4,202,482 | |
| | | | | | | | |
|
| Diversified Telecommunication Services — 0.7% | |
AT&T, Inc. | | | 50,838 | | | | 1,536,833 | |
CenturyLink, Inc.(f) | | | 13,017 | | | | 130,560 | |
Verizon Communications, Inc. | | | 26,537 | | | | 1,462,985 | |
| | | | | | | | |
| | | | | | | 3,130,378 | |
| | |
| Electric Utilities — 1.0% | | | | | | |
Alliant Energy Corp. | | | 1,365 | | | | 65,302 | |
Eversource Energy | | | 13,023 | | | | 1,084,425 | |
IDACORP, Inc. | | | 3,092 | | | | 270,148 | |
NextEra Energy, Inc. | | | 7,823 | | | | 1,878,850 | |
Pinnacle West Capital Corp. | | | 4,885 | | | | 358,022 | |
Xcel Energy, Inc. | | | 16,757 | | | | 1,047,312 | |
| | | | | | | | |
| | | | | | | 4,704,059 | |
| | |
| Electrical Equipment — 0.4% | | | | | | |
AMETEK, Inc. | | | 9,238 | | | | 825,600 | |
Generac Holdings, Inc.(g) | | | 2,000 | | | | 243,860 | |
Hubbell, Inc. | | | 7,401 | | | | 927,789 | |
| | | | | | | | |
| | | | | | | 1,997,249 | |
|
| Electronic Equipment, Instruments & Components — 0.3% | |
Avnet, Inc. | | | 23,464 | | | | 654,294 | |
National Instruments Corp. | | | 20,486 | | | | 793,013 | |
| | | | | | | | |
| | | | | | | 1,447,307 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
| Energy Equipment & Services — 0.1% | |
Baker Hughes Co. | | | 8,401 | | | $ | 129,292 | |
ChampionX Corp.(g) | | | 17,682 | | | | 172,576 | |
Schlumberger Ltd. | | | 12,777 | | | | 234,969 | |
TechnipFMC plc | | | 27,387 | | | | 187,327 | |
| | | | | | | | |
| | | | | | | 724,164 | |
| | |
| Entertainment — 0.7% | | | | | | |
Activision Blizzard, Inc. | | | 3,882 | | | | 294,644 | |
Electronic Arts, Inc.(g) | | | 3,316 | | | | 437,878 | |
Netflix, Inc.(g) | | | 4,248 | | | | 1,933,010 | |
Walt Disney Co. (The) | | | 3,638 | | | | 405,673 | |
Zynga, Inc., Class A(g) | | | 16,899 | | | | 161,216 | |
| | | | | | | | |
| | | | | | | 3,232,421 | |
|
| Equity Real Estate Investment Trusts (REITs) — 1.7% | |
Alexandria Real Estate Equities, Inc. | | | 1,979 | | | | 321,093 | |
American Tower Corp. | | | 4,848 | | | | 1,253,402 | |
AvalonBay Communities, Inc. | | | 3,210 | | | | 496,394 | |
Boston Properties, Inc. | | | 15,390 | | | | 1,390,948 | |
Camden Property Trust | | | 2,462 | | | | 224,584 | |
Douglas Emmett, Inc. | | | 1,105 | | | | 33,879 | |
Equity Residential | | | 18,440 | | | | 1,084,641 | |
Host Hotels & Resorts, Inc. | | | 35,497 | | | | 383,013 | |
Macerich Co. (The)(f) | | | 31,496 | | | | 282,519 | |
National Retail Properties, Inc. | | | 2,510 | | | | 89,055 | |
Park Hotels & Resorts, Inc. | | | 44,084 | | | | 435,991 | |
Prologis, Inc | | | 12,929 | | | | 1,206,664 | |
QTS Realty Trust, Inc., Class A | | | 2,334 | | | | 149,586 | |
Realty Income Corp. | | | 4,548 | | | | 270,606 | |
Regency Centers Corp. | | | 998 | | | | 45,798 | |
Simon Property Group, Inc. | | | 3,651 | | | | 249,655 | |
| | | | | | | | |
| | | | | | | 7,917,828 | |
| | |
| Food & Staples Retailing — 0.9% | | | | | | |
Costco Wholesale Corp. | | | 13,626 | | | | 4,131,539 | |
Performance Food Group Co.(g) | | | 1,661 | | | | 48,402 | |
| | | | | | | | |
| | | | | | | 4,179,941 | |
| | |
| Food Products — 1.0% | | | | | | |
Campbell Soup Co.(f) | | | 2,236 | | | | 110,973 | |
General Mills, Inc. | | | 40,038 | | | | 2,468,343 | |
Hershey Co. (The) | | | 15,604 | | | | 2,022,590 | |
Lamb Weston Holdings, Inc. | | | 1,496 | | | | 95,639 | |
Mondelez International, Inc., Class A | | | 804 | | | | 41,109 | |
| | | | | | | | |
| | | | | | | 4,738,654 | |
| | |
| Gas Utilities — 0.1% | | | | | | |
Southwest Gas Holdings, Inc. | | | 3,033 | | | | 209,429 | |
UGI Corp. | | | 6,698 | | | | 212,996 | |
| | | | | | | | |
| | | | | | | 422,425 | |
|
| Health Care Equipment & Supplies — 1.7% | |
Abbott Laboratories | | | 18,201 | | | | 1,664,117 | |
Danaher Corp. | | | 3,165 | | | | 559,667 | |
Dentsply Sirona, Inc. | | | 2,985 | | | | 131,519 | |
Edwards Lifesciences Corp.(g) | | | 27,571 | | | | 1,905,432 | |
Hologic, Inc.(g) | | | 11,126 | | | | 634,182 | |
IDEXX Laboratories, Inc.(g) | | | 2,546 | | | | 840,587 | |
Medtronic plc | | | 9,750 | | | | 894,075 | |
SmileDirectClub, Inc.(f)(g) | | | 12,508 | | | | 98,813 | |
Stryker Corp. | | | 5,872 | | | | 1,058,076 | |
West Pharmaceutical Services, Inc. | | | 464 | | | | 105,407 | |
| | | | | | | | |
| | | | | | | 7,891,875 | |
|
| Health Care Providers & Services — 1.9% | |
AMN Healthcare Services, Inc.(g) | | | 1,997 | | | | 90,344 | |
Anthem, Inc. | | | 5,112 | | | | 1,344,354 | |
Cardinal Health, Inc. | | | 5,240 | | | | 273,476 | |
| | |
| 30 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Health Care Providers & Services (continued) | | | | | | |
Cigna Corp. | | | 2,789 | | | $ | 523,356 | |
CVS Health Corp. | | | 22,777 | | | | 1,479,822 | |
HCA Healthcare, Inc. | | | 2,908 | | | | 282,251 | |
Laboratory Corp. of America Holdings(g) | | | 202 | | | | 33,554 | |
McKesson Corp. | | | 7,220 | | | | 1,107,692 | |
Quest Diagnostics, Inc. | | | 2,038 | | | | 232,250 | |
UnitedHealth Group, Inc. | | | 11,883 | | | | 3,504,891 | |
| | | | | | | | |
| | | | | | | 8,871,990 | |
| | |
| Health Care Technology — 0.3%(g) | | | | | | |
Teladoc Health, Inc. | | | 2,152 | | | | 410,688 | |
Veeva Systems, Inc., Class A | | | 4,644 | | | | 1,088,646 | |
| | | | | | | | |
| | | | | | | 1,499,334 | |
| | |
| Hotels, Restaurants & Leisure — 0.9% | | | | | | |
Boyd Gaming Corp.(f) | | | 9,723 | | | | 203,211 | |
Chipotle Mexican Grill, Inc.(g) | | | 249 | | | | 262,038 | |
Darden Restaurants, Inc. | | | 8,955 | | | | 678,520 | |
Domino’s Pizza, Inc | | | 1,166 | | | | 430,767 | |
Extended Stay America, Inc. | | | 24,617 | | | | 275,464 | |
International Game Technology plc | | | 4,556 | | | | 40,548 | |
McDonald’s Corp. | | | 4,390 | | | | 809,823 | |
MGM Resorts International | | | 3,239 | | | | 54,415 | |
Penn National Gaming, Inc.(g) | | | 8,415 | | | | 256,994 | |
Texas Roadhouse, Inc.(f) | | | 6,306 | | | | 331,507 | |
Vail Resorts, Inc. | | | 764 | | | | 139,163 | |
Wyndham Destinations, Inc. | | | 1,271 | | | | 35,817 | |
Wyndham Hotels & Resorts, Inc. | | | 1,436 | | | | 61,202 | |
Yum! Brands, Inc. | | | 8,758 | | | | 761,158 | |
| | | | | | | | |
| | | | | | | 4,340,627 | |
| | |
| Household Durables — 0.0% | | | | | | |
DR Horton, Inc. | | | 1,699 | | | | 94,210 | |
Helen of Troy Ltd.(g) | | | 159 | | | | 29,981 | |
| | | | | | | | |
| | | | | | | 124,191 | |
| | |
| Household Products — 1.1% | | | | | | |
Church & Dwight Co., Inc. | | | 9,158 | | | | 707,913 | |
Clorox Co. (The)(f) | | | 6,911 | | | | 1,516,066 | |
Colgate-Palmolive Co. | | | 1,384 | | | | 101,392 | |
Procter & Gamble Co. (The) | | | 23,424 | | | | 2,800,808 | |
| | | | | | | | |
| | | | | | | 5,126,179 | |
| | |
| Industrial Conglomerates — 0.6% | | | | | | |
3M Co. | | | 3,275 | | | | 510,867 | |
Carlisle Cos., Inc. | | | 3,241 | | | | 387,851 | |
General Electric Co. | | | 12,637 | | | | 86,311 | |
Honeywell International, Inc. | | | 10,854 | | | | 1,569,380 | |
Roper Technologies, Inc. | | | 1,021 | | | | 396,413 | |
| | | | | | | | |
| | | | | | | 2,950,822 | |
| | |
| Insurance — 1.2% | | | | | | |
Aflac, Inc. | | | 1,145 | | | | 41,254 | |
Brown & Brown, Inc. | | | 3,434 | | | | 139,970 | |
Cincinnati Financial Corp. | | | 28,271 | | | | 1,810,192 | |
First American Financial Corp. | | | 5,584 | | | | 268,144 | |
Globe Life, Inc. | | | 7,125 | | | | 528,889 | |
Hartford Financial Services Group, Inc. (The) | | | 894 | | | | 34,464 | |
Marsh & McLennan Cos., Inc. | | | 5,601 | | | | 601,379 | |
Progressive Corp. (The) | | | 2,862 | | | | 229,275 | |
Prudential Financial, Inc. | | | 26,733 | | | | 1,628,040 | |
Reinsurance Group of America, Inc. | | | 676 | | | | 53,025 | |
Unum Group | | | 10,848 | | | | 179,968 | |
Willis Towers Watson plc | | | 1,298 | | | | 255,641 | |
| | | | | | | | |
| | | | | | | 5,770,241 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Interactive Media & Services — 3.1%(g) | | | | | | |
Alphabet, Inc., Class A | | | 3,928 | | | $ | 5,570,101 | |
Alphabet, Inc., Class C | | | 2,961 | | | | 4,185,699 | |
Facebook, Inc., Class A | | | 18,685 | | | | 4,242,803 | |
Twitter, Inc.(f) | | | 20,060 | | | | 597,587 | |
Yelp, Inc. | | | 6,164 | | | | 142,573 | |
| | | | | | | | |
| | | | | | | 14,738,763 | |
| | |
| Internet & Direct Marketing Retail — 3.3% | | | | | | |
Amazon.com, Inc.(g) | | | 5,471 | | | | 15,093,504 | |
eBay, Inc. | | | 6,338 | | | | 332,428 | |
Etsy, Inc.(g) | | | 1,260 | | | | 133,850 | |
Grubhub, Inc.(g) | | | 918 | | | | 64,536 | |
Wayfair, Inc., Class A(g) | | | 1,279 | | | | 252,743 | |
| | | | | | | | |
| | | | | | | 15,877,061 | |
| | |
| IT Services — 3.3% | | | | | | |
Accenture plc, Class A | | | 1,320 | | | | 283,430 | |
Amdocs Ltd. | | | 3,038 | | | | 184,953 | |
Automatic Data Processing, Inc. | | | 18,820 | | | | 2,802,110 | |
DXC Technology Co. | | | 4,583 | | | | 75,619 | |
Fiserv, Inc.(g) | | | 10,090 | | | | 984,986 | |
Jack Henry & Associates, Inc. | | | 1,394 | | | | 256,538 | |
Mastercard, Inc., Class A | | | 8,808 | | | | 2,604,526 | |
Paychex, Inc. | | | 20,718 | | | | 1,569,389 | |
PayPal Holdings, Inc.(g) | | | 23,083 | | | | 4,021,751 | |
Perspecta, Inc. | | | 1,747 | | | | 40,583 | |
Visa, Inc., Class A | | | 13,991 | | | | 2,702,641 | |
| | | | | | | | |
| | | | | | | 15,526,526 | |
| | |
| Leisure Products — 0.0% | | | | | | |
Peloton Interactive, Inc., Class A(g) | | | 568 | | | | 32,813 | |
| | | | | | | | |
| | |
| Life Sciences Tools & Services — 0.1% | | | | | | |
Mettler-Toledo International, Inc.(g) | | | 103 | | | | 82,972 | |
Thermo Fisher Scientific, Inc. | | | 680 | | | | 246,391 | |
| | | | | | | | |
| | | | | | | 329,363 | |
| | |
| Machinery — 1.3% | | | | | | |
AGCO Corp. | | | 4,596 | | | | 254,894 | |
Deere & Co. | | | 4,470 | | | | 702,460 | |
Illinois Tool Works, Inc. | | | 11,214 | | | | 1,960,768 | |
Middleby Corp. (The)(g) | | | 1,635 | | | | 129,067 | |
Oshkosh Corp. | | | 11,871 | | | | 850,201 | |
PACCAR, Inc. | | | 10,020 | | | | 749,997 | |
Snap-on, Inc.(f) | | | 3,682 | | | | 509,994 | |
Toro Co. (The) | | | 1,950 | | | | 129,363 | |
Xylem, Inc. | | | 11,200 | | | | 727,552 | |
| | | | | | | | |
| | | | | | | 6,014,296 | |
| | |
| Media — 1.0% | | | | | | |
Altice USA, Inc., Class A(g) | | | 4,065 | | | | 91,625 | |
AMC Networks, Inc., Class A(g) | | | 8,073 | | | | 188,828 | |
Cable One, Inc. | | | 52 | | | | 92,292 | |
Comcast Corp., Class A | | | 32,006 | | | | 1,247,594 | |
Discovery, Inc., Class A(g) | | | 16,927 | | | | 357,160 | |
Interpublic Group of Cos., Inc. (The) | | | 62,915 | | | | 1,079,621 | |
Liberty Media Corp.-Liberty SiriusXM, Class A(g) | | | 852 | | | | 29,411 | |
Sirius XM Holdings, Inc. | | | 250,924 | | | | 1,472,924 | |
TEGNA, Inc. | | | 2,574 | | | | 28,674 | |
ViacomCBS, Inc.(f) | | | 2,597 | | | | 60,562 | |
| | | | | | | | |
| | | | | | | 4,648,691 | |
| | |
| Metals & Mining — 0.2% | | | | | | |
Alcoa Corp.(g) | | | 26,662 | | | | 299,681 | |
Reliance Steel & Aluminum Co. | | | 3,844 | | | | 364,911 | |
Steel Dynamics, Inc. | | | 4,252 | | | | 110,934 | |
| | | | | | | | |
| | | | | | | 775,526 | |
| | |
SCHEDULES OF INVESTMENTS | | 31 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Multiline Retail — 0.2% | | | | | | |
Macy’s, Inc.(f) | | | 20,016 | | | $ | 137,710 | |
Target Corp. | | | 6,072 | | | | 728,215 | |
| | | | | | | | |
| | | | | | | 865,925 | |
| | |
| Multi-Utilities — 0.5% | | | | | | |
Ameren Corp. | | | 12,899 | | | | 907,574 | |
CMS Energy Corp. | | | 11,420 | | | | 667,156 | |
Consolidated Edison, Inc. | | | 11,277 | | | | 811,155 | |
| | | | | | | | |
| | | | | | | 2,385,885 | |
|
| Oil, Gas & Consumable Fuels — 1.0% | |
Chevron Corp. | | | 10,528 | | | | 939,413 | |
Concho Resources, Inc. | | | 2,395 | | | | 123,342 | |
ConocoPhillips | | | 12,508 | | | | 525,586 | |
Continental Resources, Inc. | | | 12,671 | | | | 222,123 | |
EOG Resources, Inc. | | | 19,172 | | | | 971,254 | |
Exxon Mobil Corp. | | | 5,808 | | | | 259,734 | |
Marathon Oil Corp.(f) | | | 79,446 | | | | 486,210 | |
ONEOK, Inc | | | 2,565 | | | | 85,209 | |
PBF Energy, Inc., Class A(f) | | | 7,815 | | | | 80,026 | |
Phillips 66 | | | 2,075 | | | | 149,192 | |
Suncor Energy, Inc. | | | 18,471 | | | | 311,421 | |
Valero Energy Corp. | | | 7,858 | | | | 462,208 | |
Williams Cos., Inc. (The) | | | 16,649 | | | | 316,664 | |
| | | | | | | | |
| | | | | | | 4,932,382 | |
| | |
| Paper & Forest Products — 0.1% | | | | | | |
Domtar Corp. | | | 16,035 | | | | 338,499 | |
| | | | | | | | |
| | |
| Pharmaceuticals — 2.4% | | | | | | |
Bristol-Myers Squibb Co.(f) | | | 21,462 | | | | 1,261,966 | |
Elanco Animal Health, Inc.(g) | | | 9,635 | | | | 206,671 | |
Eli Lilly & Co. | | | 6,458 | | | | 1,060,274 | |
Johnson & Johnson | | | 15,184 | | | | 2,135,326 | |
Merck & Co., Inc. | | | 46,855 | | | | 3,623,297 | |
Mylan NV(g) | | | 3,572 | | | | 57,438 | |
Pfizer, Inc. | | | 38,086 | | | | 1,245,412 | |
Zoetis, Inc. | | | 13,112 | | | | 1,796,868 | |
| | | | | | | | |
| | | | | | | 11,387,252 | |
| | |
| Professional Services — 0.2% | | | | | | |
IHS Markit Ltd. | | | 5,028 | | | | 379,614 | |
Robert Half International, Inc. | | | 11,096 | | | | 586,202 | |
| | | | | | | | |
| | | | | | | 965,816 | |
| | |
| Road & Rail — 0.5% | | | | | | |
AMERCO | | | 1,019 | | | | 307,932 | |
CSX Corp. | | | 6,424 | | | | 448,010 | |
Landstar System, Inc. | | | 2,278 | | | | 255,842 | |
Norfolk Southern Corp. | | | 3,512 | | | | 616,602 | |
Union Pacific Corp. | | | 5,433 | | | | 918,557 | |
| | | | | | | | |
| | | | | | | 2,546,943 | |
|
| Semiconductors & Semiconductor Equipment — 2.8% | |
Analog Devices, Inc. | | | 565 | | | | 69,292 | |
Applied Materials, Inc. | | | 23,219 | | | | 1,403,589 | |
Cirrus Logic, Inc.(g) | | | 10,831 | | | | 669,139 | |
Intel Corp. | | | 60,597 | | | | 3,625,518 | |
Lam Research Corp. | | | 3,476 | | | | 1,124,347 | |
NVIDIA Corp. | | | 11,998 | | | | 4,558,160 | |
Silicon Laboratories, Inc.(g) | | | 502 | | | | 50,336 | |
Skyworks Solutions, Inc. | | | 5,435 | | | | 694,919 | |
Texas Instruments, Inc. | | | 8,470 | | | | 1,075,436 | |
Xilinx, Inc. | | | 1,711 | | | | 168,345 | |
| | | | | | | | |
| | | | | | | 13,439,081 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Software — 6.5% | | | | | | |
Adobe, Inc.(g) | | | 8,710 | | | $ | 3,791,550 | |
Atlassian Corp. plc, Class A(g) | | | 2,842 | | | | 512,327 | |
Citrix Systems, Inc. | | | 3,133 | | | | 463,402 | |
Cloudflare, Inc., Class A(g) | | | 9,019 | | | | 324,233 | |
DocuSign, Inc.(g) | | | 3,306 | | | | 569,326 | |
HubSpot, Inc.(g) | | | 905 | | | | 203,037 | |
Intuit, Inc. | | | 5,308 | | | | 1,572,177 | |
Microsoft Corp. | | | 90,516 | | | | 18,420,911 | |
New Relic, Inc.(g) | | | 2,411 | | | | 166,118 | |
RingCentral, Inc., Class A(g) | | | 2,459 | | | | 700,840 | |
salesforce.com, Inc.(g) | | | 6,804 | | | | 1,274,593 | |
ServiceNow, Inc.(g) | | | 916 | | | | 371,035 | |
Slack Technologies, Inc., Class A(g) | | | 12,440 | | | | 386,760 | |
Smartsheet, Inc., Class A(f)(g) | | | 6,723 | | | | 342,335 | |
Teradata Corp.(g) | | | 2,511 | | | | 52,229 | |
VMware, Inc., Class A(g) | | | 1,342 | | | | 207,822 | |
Workday, Inc., Class A(g) | | | 1,589 | | | | 297,715 | |
Zoom Video Communications, Inc., Class A(g) | | | 2,769 | | | | 702,052 | |
Zscaler, Inc.(g) | | | 3,444 | | | | 377,118 | |
| | | | | | | | |
| | | | | | | 30,735,580 | |
| | |
| Specialty Retail — 1.7% | | | | | | |
Best Buy Co., Inc.(f) | | | 4,634 | | | | 404,409 | |
Gap, Inc. (The) | | | 2,715 | | | | 34,264 | |
Home Depot, Inc. (The) | | | 19,924 | | | | 4,991,161 | |
Lowe’s Cos., Inc. | | | 17,917 | | | | 2,420,945 | |
TJX Cos., Inc. (The) | | | 8,214 | | | | 415,300 | |
| | | | | | | | |
| | | | | | | 8,266,079 | |
|
| Technology Hardware, Storage & Peripherals — 3.0% | |
Apple, Inc. | | | 38,216 | | | | 13,941,197 | |
HP, Inc. | | | 14,650 | | | | 255,350 | |
NetApp, Inc. | | | 5,501 | | | | 244,079 | |
| | | | | | | | |
| | | | | | | 14,440,626 | |
|
| Textiles, Apparel & Luxury Goods — 0.6% | |
Lululemon Athletica, Inc.(f)(g) | | | 1,026 | | | | 320,122 | |
NIKE, Inc., Class B | | | 20,843 | | | | 2,043,656 | |
VF Corp. | | | 4,890 | | | | 297,997 | |
| | | | | | | | |
| | | | | | | 2,661,775 | |
| | |
| Thrifts & Mortgage Finance — 0.0% | | | | | | |
Essent Group Ltd. | | | 1,548 | | | | 56,146 | |
MGIC Investment Corp. | | | 10,472 | | | | 85,766 | |
| | | | | | | | |
| | | | | | | 141,912 | |
| | |
| Tobacco — 0.0% | | | | | | |
Altria Group, Inc. | | | 1,686 | | | | 66,175 | |
British American Tobacco plc, ADR | | | 1 | | | | 39 | |
| | | | | | | | |
| | | | | | | 66,214 | |
|
| Trading Companies & Distributors — 0.2% | |
Fastenal Co. | | | 967 | | | | 41,426 | |
GATX Corp.(f) | | | 11,688 | | | | 712,734 | |
SiteOne Landscape Supply, Inc.(g) | | | 322 | | | | 36,699 | |
WESCO International, Inc.(g) | | | 934 | | | | 32,793 | |
WW Grainger, Inc. | | | 764 | | | | 240,018 | |
| | | | | | | | |
| | | | | | | 1,063,670 | |
| | |
| Water Utilities — 0.4% | | | | | | |
American Water Works Co., Inc. | | | 15,464 | | | | 1,989,598 | |
| | | | | | | | |
| | |
| 32 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Wireless Telecommunication Services — 0.2% | | | | | | |
Telephone & Data Systems, Inc. | | | 25,126 | | | $ | 499,505 | |
United States Cellular Corp.(g) | | | 13,854 | | | | 427,673 | |
| | | | | | | | |
| | | | | | | 927,178 | |
| | | | | | | | |
| | |
Total Common Stocks — 60.5%
(Cost: $263,031,541) | | | | | | | 287,511,842 | |
| | | | | | | | |
| | |
| | | Par
(000) | | | | |
| | |
Corporate Bonds — 13.9% | | | | | | | | |
| | |
| Aerospace & Defense — 0.7% | | | | | | |
BAE Systems Holdings, Inc.(b): | | | | | | | | |
2.85%, 12/15/20 | | | 18 | | | | 18,118 | |
3.80%, 10/07/24 | | | 27 | | | | 29,650 | |
3.85%, 12/15/25 | | | 145 | | | | 160,557 | |
Boeing Co. (The): | | | | | | | | |
4.51%, 05/01/23 | | | 83 | | | | 87,683 | |
4.88%, 05/01/25 | | | 14 | | | | 15,257 | |
3.83%, 03/01/59 | | | 10 | | | | 8,476 | |
5.93%, 05/01/60 | | | 50 | | | | 59,295 | |
Embraer Netherlands Finance BV,
5.40%, 02/01/27 | | | 15 | | | | 13,275 | |
Embraer Overseas Ltd., 5.70%, 09/16/23 | | | 33 | | | | 31,443 | |
General Dynamics Corp.: | | | | | | | | |
3.50%, 05/15/25 | | | 30 | | | | 33,547 | |
3.75%, 05/15/28 | | | 15 | | | | 17,492 | |
3.63%, 04/01/30 | | | 74 | | | | 86,574 | |
4.25%, 04/01/50 | | | 16 | | | | 20,707 | |
Howmet Aerospace, Inc., 6.88%, 05/01/25 | | | 40 | | | | 43,394 | |
Huntington Ingalls Industries, Inc.(b): | | | | | | | | |
3.84%, 05/01/25 | | | 49 | | | | 53,205 | |
4.20%, 05/01/30 | | | 98 | | | | 109,200 | |
L3Harris Technologies, Inc.: | | | | | | | | |
3.85%, 12/15/26 | | | 125 | | �� | | 143,074 | |
4.40%, 06/15/28 | | | 220 | | | | 260,237 | |
Leidos, Inc., 4.38%, 05/15/30(b) | | | 131 | | | | 147,565 | |
Lockheed Martin Corp.: | | | | | | | | |
3.55%, 01/15/26 | | | 80 | | | | 91,972 | |
1.85%, 06/15/30 | | | 10 | | | | 10,279 | |
3.60%, 03/01/35 | | | 148 | | | | 177,586 | |
3.80%, 03/01/45 | | | 5 | | | | 6,071 | |
4.70%, 05/15/46 | | | 14 | | | | 19,102 | |
2.80%, 06/15/50 | | | 104 | | | | 109,443 | |
Northrop Grumman Corp.: | | | | | | | | |
2.93%, 01/15/25 | | | 124 | | | | 134,119 | |
3.25%, 01/15/28 | | | 156 | | | | 174,460 | |
4.03%, 10/15/47 | | | 46 | | | | 55,760 | |
5.25%, 05/01/50 | | | 14 | | | | 20,082 | |
Raytheon Technologies Corp.: | | | | | | | | |
3.65%, 08/16/23 | | | 8 | | | | 8,664 | |
3.20%, 03/15/24(b) | | | 91 | | | | 98,052 | |
3.15%, 12/15/24(b) | | | 35 | | | | 37,806 | |
3.95%, 08/16/25 | | | 71 | | | | 80,787 | |
7.20%, 08/15/27(b) | | | 20 | | | | 26,870 | |
7.00%, 11/01/28(b) | | | 89 | | | | 122,424 | |
4.13%, 11/16/28 | | | 238 | | | | 280,336 | |
2.25%, 07/01/30 | | | 123 | | | | 128,105 | |
5.40%, 05/01/35 | | | 22 | | | | 29,775 | |
5.70%, 04/15/40 | | | 9 | | | | 12,444 | |
4.20%, 12/15/44(b) | | | 20 | | | | 22,860 | |
Textron, Inc.: | | | | | | | | |
3.88%, 03/01/25 | | | 28 | | | | 29,793 | |
3.65%, 03/15/27 | | | 35 | | | | 36,255 | |
3.90%, 09/17/29 | | | 87 | | | | 92,169 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Aerospace & Defense (continued) | | | | | | | | | |
TransDigm, Inc.(b): | | | | | | | | | | | | |
8.00%, 12/15/25 | | | USD | | | | 100 | | | $ | 105,099 | |
6.25%, 03/15/26 | | | | | | | 261 | | | | 260,353 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,509,415 | |
| | | |
| Air Freight & Logistics — 0.1% | | | | | | | | | |
FedEx Corp.: | | | | | | | | | | | | |
3.80%, 05/15/25 | | | | | | | 152 | | | | 168,965 | |
4.20%, 10/17/28 | | | | | | | 18 | | | | 20,244 | |
4.10%, 02/01/45 | | | | | | | 78 | | | | 79,260 | |
4.55%, 04/01/46 | | | | | | | 22 | | | | 23,719 | |
4.40%, 01/15/47 | | | | | | | 4 | | | | 4,240 | |
United Parcel Service, Inc.: | | | | | | | | | | | | |
3.40%, 03/15/29 | | | | | | | 70 | | | | 80,950 | |
4.45%, 04/01/30 | | | | | | | 141 | | | | 176,052 | |
5.20%, 04/01/40 | | | | | | | 69 | | | | 95,265 | |
XPO Logistics, Inc.(b): | | | | | | | | | | | | |
6.13%, 09/01/23 | | | | | | | 12 | | | | 12,150 | |
6.75%, 08/15/24 | | | | | | | 31 | | | | 32,475 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 693,320 | |
| | | |
| Airlines — 0.2% | | | | | | | | | |
Air Canada Pass-Through Trust(b): | | | | | | | | | | | | |
Series 2015-2, Class B, 5.00%, 12/15/23 | | | | | | | 19 | | | | 15,722 | |
Series 2013-1, Class A, 4.13%, 05/15/25 | | | | | | | 38 | | | | 34,940 | |
Series 2017-1, Class AA, 3.30%, 01/15/30 | | | | | | | 18 | | | | 16,741 | |
Alaska Airlines Pass-Through Trust, Series 2020-1, Class A, 4.80%, 08/15/27(b) | | | | | | | 85 | | | | 86,063 | |
American Airlines Pass-Through Trust: | | | | | | | | | | | | |
Series 2015-2, Class B, 4.40%, 09/22/23 | | | | | | | 85 | | | | 60,660 | |
Series 2016-1, Class B, 5.25%, 01/15/24 | | | | | | | 56 | | | | 36,830 | |
Series 2017-1, Class B, 4.95%, 02/15/25 | | | | | | | 21 | | | | 15,700 | |
Series 2017-2, Class B, 3.70%, 10/15/25 | | | | | | | 20 | | | | 13,854 | |
Series 2016-3, Class B, 3.75%, 10/15/25 | | | | | | | 1 | | | | 551 | |
Series 2015-2, Class AA, 3.60%, 09/22/27 | | | | | | | 14 | | | | 12,738 | |
Series 2016-1, Class AA, 3.58%, 01/15/28 | | | | | | | 33 | | | | 32,243 | |
Series 2019-1, Class B, 3.85%, 02/15/28 | | | | | | | 73 | | | | 51,114 | |
Series 2016-2, Class AA, 3.20%, 06/15/28 | | | | | | | 30 | | | | 28,210 | |
Series 2016-3, Class AA, 3.00%, 10/15/28 | | | | | | | 47 | | | | 42,716 | |
Series 2017-1, Class AA, 3.65%, 02/15/29 | | | | | | | 22 | | | | 21,225 | |
Series 2019-1, Class AA, 3.15%, 02/15/32 | | | | | | | 69 | | | | 63,418 | |
Delta Air Lines Pass-Through Trust, Series 2019-1, Class AA, 3.20%, 04/25/24 | | | | | | | 120 | | | | 120,136 | |
Gol Finance SA, 7.00%, 01/31/25(b) | | | | | | | 22 | | | | 12,375 | |
Turkish Airlines Pass-Through Trust, Series 2015-1, Class A, 4.20%, 03/15/27(b) | | | | | | | 46 | | | | 33,867 | |
United Airlines Pass-Through Trust: | | | | | | | | | | | | |
Series 2014-1, Class B, 4.75%, 04/11/22 | | | | | | | 10 | | | | 9,196 | |
Series 2014-2, Class B, 4.63%, 09/03/22 | | | | | | | 6 | | | | 5,633 | |
Series 2016-2, Class B, 3.65%, 10/07/25 | | | | | | | 5 | | | | 3,452 | |
Series 2016-1, Class B, 3.65%, 01/07/26 | | | | | | | 2 | | | | 1,160 | |
Series 2018-1, Class B, 4.60%, 03/01/26 | | | | | | | 22 | | | | 16,317 | |
Series 2015-1, Class AA, 3.45%, 12/01/27 | | | | | | | 13 | | | | 12,582 | |
Series 2019-2, Class B, 3.50%, 05/01/28 | | | | | | | 44 | | | | 33,085 | |
Series 2016-1, Class AA, 3.10%, 07/07/28 | | | | | | | 4 | | | | 4,041 | |
Series 2016-2, Class AA, 2.88%, 10/07/28 | | | | | | | 26 | | | | 24,313 | |
Series 2018-1, Class AA, 3.50%, 03/01/30 | | | | | | | 9 | | | | 8,727 | |
Series 2019-2, Class AA, 2.70%, 05/01/32 | | | | | | | 42 | | | | 37,925 | |
US Airways Pass-Through Trust: | | | | | | | | | | | | |
Series 2012-2, Class B, 6.75%, 06/03/21 | | | | | | | 3 | | | | 2,625 | |
Series 2013-1, Class B, 5.38%, 11/15/21 | | | | | | | 8 | | | | 6,218 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 864,377 | |
| | | |
| Auto Components — 0.0% | | | | | | | | | |
American Axle & Manufacturing, Inc.,
6.25%, 04/01/25 | | | | | | | 21 | | | | 20,633 | |
Aptiv plc, 5.40%, 03/15/49 | | | | | | | 9 | | | | 9,407 | |
| | |
SCHEDULES OF INVESTMENTS | | 33 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Auto Components (continued) | | | | | | | | | |
Magna International, Inc., 2.45%, 06/15/30 | | | USD | | | | 24 | | | $ | 24,544 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 54,584 | |
| | | |
| Automobiles — 0.1% | | | | | | | | | |
Daimler Finance North America LLC,
3.75%, 11/05/21(b) | | | | | | | 170 | | | | 175,743 | |
General Motors Co.: | | | | | | | | | | | | |
6.75%, 04/01/46 | | | | | | | 25 | | | | 27,231 | |
5.95%, 04/01/49 | | | | | | | 60 | | | | 63,076 | |
Hyundai Capital America(b): | | | | | | | | | | | | |
3.95%, 02/01/22 | | | | | | | 120 | | | | 123,487 | |
2.38%, 02/10/23 | | | | | | | 173 | | | | 173,246 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 562,783 | |
| | | |
| Banks — 2.5% | | | | | | | | | |
Banco de Credito del Peru, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.00%), 1.00%, 07/01/30(a)(b) | | | | | | | 32 | | | | 31,488 | |
Banco Internacional del Peru SAA Interbank, 3.25%, 10/04/26(b) | | | | | | | 100 | | | | 100,969 | |
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, 5.38%, 04/17/25(b) | | | | | | | 200 | | | | 218,880 | |
Banco Santander SA, 2.71%, 06/27/24 | | | | | | | 200 | | | | 210,213 | |
Bancolombia SA, 3.00%, 01/29/25 | | | | | | | 200 | | | | 195,000 | |
Bank of America Corp.: | | | | | | | | | | | | |
(LIBOR USD 3 Month + 0.66%), 2.37%, 07/21/21(a) | | | | | | | 484 | | | | 484,447 | |
(LIBOR USD 3 Month + 0.63%), 2.33%, 10/01/21(a) | | | | | | | 450 | | | | 451,831 | |
(LIBOR USD 3 Month + 0.37%), 2.74%, 01/23/22(a) | | | | | | | 10 | | | | 10,111 | |
(LIBOR USD 3 Month + 1.16%), 3.12%, 01/20/23(a) | | | | | | | 80 | | | | 82,861 | |
(LIBOR USD 3 Month + 0.93%), 2.82%, 07/21/23(a) | | | | | | | 65 | | | | 67,515 | |
4.20%, 08/26/24 | | | | | | | 95 | | | | 105,469 | |
4.00%, 01/22/25 | | | | | | | 62 | | | | 68,470 | |
Series L, 3.95%, 04/21/25 | | | | | | | 5 | | | | 5,537 | |
3.88%, 08/01/25 | | | | | | | 3 | | | | 3,397 | |
(LIBOR USD 3 Month + 0.87%), 2.46%, 10/22/25(a) | | | | | | | 126 | | | | 132,370 | |
4.45%, 03/03/26 | | | | | | | 90 | | | | 103,612 | |
(LIBOR USD 3 Month + 1.58%), 3.82%, 01/20/28(a) | | | | | | | 219 | | | | 248,567 | |
Series FF, (LIBOR USD 3 Month + 2.93%), 5.87%(a)(h) | | | | | | | 60 | | | | 61,293 | |
(LIBOR USD 3 Month + 1.51%), 3.71%, 04/24/28(a) | | | | | | | 41 | | | | 46,345 | |
(LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/28(a) | | | | | | | 183 | | | | 203,835 | |
(LIBOR USD 3 Month + 1.31%), 4.27%, 07/23/29(a) | | | | | | | 79 | | | | 93,178 | |
(LIBOR USD 3 Month + 1.18%), 3.19%, 07/23/30(a) | | | | | | | 80 | | | | 88,312 | |
(LIBOR USD 3 Month + 1.19%), 2.88%, 10/22/30(a) | | | | | | | 27 | | | | 29,210 | |
(SOFR + 2.15%), 2.59%, 04/29/31(a) | | | | | | | 36 | | | | 38,093 | |
(SOFR + 1.93%), 2.68%, 06/19/41(a) | | | | | | | 275 | | | | 282,423 | |
Bank of Montreal, Series E, 3.30%, 02/05/24 | | | | | | | 40 | | | | 43,445 | |
Barclays plc, 4.38%, 01/12/26 | | | | | | | 200 | | | | 225,204 | |
BBVA Bancomer SA, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.31%), 5.87%, 09/13/34(a) | | | | | | | 200 | | | | 195,062 | |
BNP Paribas SA, (SOFR + 2.07%), 2.22%, 06/09/26(a)(b) | | | | | | | 305 | | | | 312,325 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Banks (continued) | | | | | | | | | |
Citigroup, Inc.: | | | | | | | | | | | | |
(LIBOR USD 3 Month + 0.95%), 2.88%, 07/24/23(a) | | | USD | | | | 60 | | | $ | 62,444 | |
4.40%, 06/10/25 | | | | | | | 77 | | | | 86,225 | |
3.70%, 01/12/26 | | | | | | | 98 | | | | 109,448 | |
4.45%, 09/29/27 | | | | | | | 14 | | | | 15,983 | |
(LIBOR USD 3 Month + 1.39%), 3.67%, 07/24/28(a) | | | | | | | 352 | | | | 392,457 | |
(LIBOR USD 3 Month + 1.19%), 4.07%, 04/23/29(a) | | | | | | | 35 | | | | 39,931 | |
(SOFR + 1.42%), 2.98%, 11/05/30(a) | | | | | | | 21 | | | | 22,348 | |
(SOFR + 3.91%), 4.41%, 03/31/31(a) | | | | | | | 6 | | | | 7,119 | |
(SOFR + 2.11%), 2.57%, 06/03/31(a) | | | | | | | 9 | | | | 9,308 | |
Credit Suisse Group Funding Guernsey Ltd., 3.80%, 06/09/23 | | | | | | | 250 | | | | 269,176 | |
Danske Bank A/S, 5.00%, 01/12/22(b) | | | | | | | 200 | | | | 210,122 | |
Discover Bank, 4.65%, 09/13/28 | | | | | | | 260 | | | | 298,607 | |
Fifth Third Bancorp, 3.65%, 01/25/24 | | | | | | | 85 | | | | 92,761 | |
HSBC Holdings plc(a): | | | | | | | | | | | | |
(SOFR + 1.93%), 2.10%, 06/04/26 | | | | | | | 200 | | | | 202,065 | |
(LIBOR USD 3 Month + 1.53%), 4.58%, 06/19/29 | | | | | | | 200 | | | | 231,064 | |
Huntington National Bank (The), 3.25%, 05/14/21 | | | | | | | 259 | | | | 264,764 | |
ING Groep NV: | | | | | | | | | | | | |
4.10%, 10/02/23 | | | | | | | 200 | | | | 219,139 | |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.00%, 07/01/26(a)(b) | | | | | | | 200 | | | | 200,467 | |
Itau Unibanco Holding SA, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.98%), 6.13%(a)(b)(h) | | | | | | | 200 | | | | 187,000 | |
JPMorgan Chase & Co.: | | | | | | | | | | | | |
2.55%, 03/01/21 | | | | | | | 116 | | | | 117,448 | |
4.35%, 08/15/21 | | | | | | | 67 | | | | 69,921 | |
(LIBOR USD 3 Month + 0.94%), 2.78%, 04/25/23(a) | | | | | | | 107 | | | | 110,777 | |
(LIBOR USD 3 Month + 0.89%), 3.80%, 07/23/24(a) | | | | | | | 127 | | | | 137,767 | |
(LIBOR USD 3 Month + 1.00%), 4.02%, 12/05/24(a) | | | | | | | 515 | | | | 567,475 | |
(LIBOR USD 3 Month + 1.16%), 3.22%, 03/01/25(a) | | | | | | | 103 | | | | 110,908 | |
3.90%, 07/15/25 | | | | | | | 30 | | | | 33,933 | |
(SOFR + 1.59%), 2.00%, 03/13/26(a) | | | | | | | 205 | | | | 212,164 | |
3.20%, 06/15/26 | | | | | | | 10 | | | | 11,099 | |
(LIBOR USD 3 Month + 1.38%), 3.54%, 05/01/28(a) | | | | | | | 410 | | | | 457,597 | |
(SOFR + 1.89%), 2.18%, 06/01/28(a) | | | | | | | 165 | | | | 170,794 | |
(LIBOR USD 3 Month + 0.95%), 3.51%, 01/23/29(a) | | | | | | | 79 | | | | 88,245 | |
(SOFR + 3.79%), 4.49%, 03/24/31(a) | | | | | | | 95 | | | | 115,812 | |
(LIBOR USD 3 Month + 1.36%), 3.88%, 07/24/38(a) | | | | | | | 32 | | | | 37,579 | |
(SOFR + 2.44%), 3.11%, 04/22/51(a) | | | | | | | 237 | | | | 255,186 | |
KeyCorp: | | | | | | | | | | | | |
4.15%, 10/29/25 | | | | | | | 10 | | | | 11,465 | |
4.10%, 04/30/28 | | | | | | | 25 | | | | 29,013 | |
2.55%, 10/01/29 | | | | | | | 17 | | | | 17,597 | |
Lloyds Banking Group plc, 4.05%, 08/16/23 | | | | | | | 213 | | | | 231,425 | |
Mitsubishi UFJ Financial Group, Inc.: | | | | | | | | | | | | |
3.54%, 07/26/21 | | | | | | | 60 | | | | 61,909 | |
2.67%, 07/25/22 | | | | | | | 4 | | | | 4,158 | |
3.46%, 03/02/23 | | | | | | | 350 | | | | 374,151 | |
3.76%, 07/26/23 | | | | | | | 153 | | | | 165,984 | |
| | |
| 34 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Banks (continued) | | | | | | | | | |
Mizuho Financial Group, Inc.: | | | | | | | | | | | | |
2.63%, 04/12/21(b) | | | USD | | | | 200 | | | $ | 203,291 | |
(LIBOR USD 3 Month + 1.10%), 2.55%, 09/13/25(a) | | | | | | | 325 | | | | 338,606 | |
Santander UK Group Holdings plc, 3.13%, 01/08/21 | | | | | | | 64 | | | | 64,789 | |
Sumitomo Mitsui Financial Group, Inc.: | | | | | | | | | | | | |
2.78%, 07/12/22 | | | | | | | 30 | | | | 31,250 | |
2.35%, 01/15/25 | | | | | | | 200 | | | | 209,022 | |
US Bancorp, 3.00%, 07/30/29 | | | | | | | 40 | | | | 43,483 | |
Washington Mutual Escrow Bonds, 0.00%, 09/29/17(c)(g)(i) | | | | | | | 400 | | | | — | |
Wells Fargo & Co.: | | | | | | | | | | | | |
3.55%, 09/29/25 | | | | | | | 90 | | | | 100,506 | |
3.00%, 04/22/26 | | | | | | | 136 | | | | 148,512 | |
3.00%, 10/23/26 | | | | | | | 70 | | | | 76,284 | |
(LIBOR USD 3 Month + 1.31%), 3.58%, 05/22/28(a) | | | | | | | 69 | | | | 76,581 | |
(LIBOR USD 3 Month + 1.17%), 2.88%, 10/30/30(a) | | | | | | | 54 | | | | 57,769 | |
(SOFR + 2.53%), 3.07%, 04/30/41(a) | | | | | | | 208 | | | | 216,962 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,019,352 | |
| | | |
| Beverages — 0.3% | | | | | | | | | |
Anheuser-Busch Cos. LLC, 4.70%, 02/01/36 | | | | | | | 53 | | | | 62,438 | |
Anheuser-Busch InBev Worldwide, Inc.: | | | | | | | | | | | | |
3.50%, 01/12/24 | | | | | | | 55 | | | | 59,927 | |
4.75%, 01/23/29 | | | | | | | 341 | | | | 412,028 | |
3.50%, 06/01/30 | | | | | | | 73 | | | | 82,084 | |
4.90%, 01/23/31 | | | | | | | 31 | | | | 38,844 | |
8.20%, 01/15/39 | | | | | | | 12 | | | | 18,923 | |
4.95%, 01/15/42 | | | | | | | 248 | | | | 296,219 | |
Keurig Dr Pepper, Inc.: | | | | | | | | | | | | |
4.06%, 05/25/23 | | | | | | | 50 | | | | 54,491 | |
3.40%, 11/15/25 | | | | | | | 85 | | | | 94,675 | |
Molson Coors Beverage Co., 5.00%, 05/01/42 | | | | | | | 19 | | | | 20,128 | |
PepsiCo, Inc.: | | | | | | | | | | | | |
4.45%, 04/14/46 | | | | | | | 6 | | | | 8,023 | |
4.00%, 05/02/47 | | | | | | | 26 | | | | 32,716 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,180,496 | |
| | | |
| Biotechnology — 0.2% | | | | | | | | | |
AbbVie, Inc.: | | | | | | | | | | | | |
2.60%, 11/21/24(b) | | | | | | | 210 | | | | 222,938 | |
3.80%, 03/15/25(b) | | | | | | | 99 | | | | 109,842 | |
4.55%, 03/15/35(b) | | | | | | | 77 | | | | 93,378 | |
4.50%, 05/14/35 | | | | | | | 104 | | | | 125,280 | |
4.70%, 05/14/45 | | | | | | | 146 | | | | 183,523 | |
Amgen, Inc.: | | | | | | | | | | | | |
2.45%, 02/21/30 | | | | | | | 9 | | | | 9,516 | |
4.40%, 05/01/45 | | | | | | | 131 | | | | 162,986 | |
4.66%, 06/15/51 | | | | | | | 13 | | | | 17,331 | |
Biogen, Inc., 2.25%, 05/01/30 | | | | | | | 93 | | | | 93,759 | |
Gilead Sciences, Inc.: | | | | | | | | | | | | |
4.60%, 09/01/35 | | | | | | | 12 | | | | 15,747 | |
4.80%, 04/01/44 | | | | | | | 33 | | | | 44,628 | |
4.50%, 02/01/45 | | | | | | | 15 | | | | 19,505 | |
4.75%, 03/01/46 | | | | | | | 31 | | | | 41,896 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,140,329 | |
| | | |
| Building Products — 0.1% | | | | | | | | | |
Carrier Global Corp.(b): | | | | | | | | | | | | |
1.92%, 02/15/23 | | | | | | | 124 | | | | 126,400 | |
2.24%, 02/15/25 | | | | | | | 270 | | | | 276,053 | |
Johnson Controls International plc, 4.63%, 07/02/44(e) | | | | | | | 15 | | | | 16,956 | |
Masonite International Corp., 5.38%, 02/01/28(b) | | | | | | | 15 | | | | 15,337 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Building Products (continued) | | | | | | | | | |
Owens Corning: | | | | | | | | | | | | |
3.95%, 08/15/29 | | | USD | | | | 6 | | | $ | 6,537 | |
3.88%, 06/01/30 | | | | | | | 41 | | | | 43,777 | |
Standard Industries, Inc.(b): | | | | | | | | | | | | |
6.00%, 10/15/25 | | | | | | | 7 | | | | 7,205 | |
5.00%, 02/15/27 | | | | | | | 15 | | | | 15,187 | |
4.75%, 01/15/28 | | | | | | | 6 | | | | 6,083 | |
Summit Materials LLC, 6.13%, 07/15/23 | | | | | | | 16 | | | | 15,929 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 529,464 | |
| | | |
| Capital Markets — 0.8% | | | | | | | | | |
Bank of New York Mellon Corp. (The)(a): | | | | | | | | | | | | |
Series E, (LIBOR USD 3 Month + 3.42%), 3.73%(h) | | | | | | | 65 | | | | 61,666 | |
(LIBOR USD 3 Month + 1.07%), 3.44%, 02/07/28 | | | | | | | 90 | | | | 102,098 | |
Charles Schwab Corp. (The): | | | | | | | | | | | | |
3.20%, 03/02/27 | | | | | | | 24 | | | | 26,792 | |
3.20%, 01/25/28 | | | | | | | 20 | | | | 22,362 | |
Deutsche Bank AG: | | | | | | | | | | | | |
2.70%, 07/13/20 | | | | | | | 102 | | | | 102,021 | |
3.15%, 01/22/21 | | | | | | | 100 | | | | 100,469 | |
E*TRADE Financial Corp., 3.80%, 08/24/27 | | | | | | | 10 | | | | 11,091 | |
Goldman Sachs Group, Inc. (The): | | | | | | | | | | | | |
3.50%, 04/01/25 | | | | | | | 267 | | | | 292,768 | |
3.75%, 05/22/25 | | | | | | | 76 | | | | 84,206 | |
3.75%, 02/25/26 | | | | | | | 17 | | | | 18,960 | |
(LIBOR USD 3 Month + 1.17%), 1.56%, 05/15/26(a) | | | | | | | 62 | | | | 61,547 | |
3.85%, 01/26/27 | | | | | | | 78 | | | | 87,985 | |
(LIBOR USD 3 Month + 1.51%), 3.69%, 06/05/28(a) | | | | | | | 201 | | | | 225,162 | |
3.80%, 03/15/30 | | | | | | | 51 | | | | 57,893 | |
Intercontinental Exchange, Inc.: | | | | | | | | | | | | |
3.10%, 09/15/27 | | | | | | | 4 | | | | 4,452 | |
3.75%, 09/21/28 | | | | | | | 32 | | | | 37,386 | |
2.10%, 06/15/30 | | | | | | | 18 | | | | 18,290 | |
Moody’s Corp.: | | | | | | | | | | | | |
4.88%, 02/15/24 | | | | | | | 13 | | | | 14,690 | |
3.75%, 03/24/25 | | | | | | | 44 | | | | 49,866 | |
Morgan Stanley: | | | | | | | | | | | | |
3.70%, 10/23/24 | | | | | | | 79 | | | | 87,602 | |
4.00%, 07/23/25 | | | | | | | 145 | | | | 164,408 | |
(SOFR + 1.99%), 2.19%, 04/28/26(a) | | | | | | | 265 | | | | 275,920 | |
3.63%, 01/20/27 | | | | | | | 304 | | | | 343,228 | |
(LIBOR USD 3 Month + 1.14%), 3.77%, 01/24/29(a) | | | | | | | 70 | | | | 79,695 | |
(LIBOR USD 3 Month + 1.63%), 4.43%, 01/23/30(a) | | | | | | | 100 | | | | 119,143 | |
(SOFR + 1.14%), 2.70%, 01/22/31(a) | | | | | | | 87 | | | | 92,158 | |
(SOFR + 3.12%), 3.62%, 04/01/31(a) | | | | | | | 69 | | | | 78,824 | |
Northern Trust Corp., 3.15%, 05/03/29 | | | | | | | 30 | | | | 34,154 | |
State Street Corp., 2.65%, 05/19/26 | | | | | | | 38 | | | | 41,692 | |
UBS Group AG(b): | | | | | | | | | | | | |
2.95%, 09/24/20 | | | | | | | 335 | | | | 336,881 | |
(LIBOR USD 3 Month + 0.95%), 2.86%, 08/15/23(a) | | | | | | | 200 | | | | 207,152 | |
(USD Swap Semi 5 Year + 4.34%),
7.00%(a) (h) | | | | | | | 200 | | | | 207,750 | |
4.13%, 09/24/25 | | | | | | | 200 | | | | 226,691 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,675,002 | |
| | | |
| Chemicals — 0.2% | | | | | | | | | |
Dow Chemical Co. (The): | | | | | | | | | | | | |
9.00%, 04/01/21 | | | | | | | 55 | | | | 57,466 | |
4.55%, 11/30/25 | | | | | | | 25 | | | | 28,494 | |
| | |
SCHEDULES OF INVESTMENTS | | 35 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Chemicals (continued) | |
3.63%, 05/15/26 | | | USD | | | | 177 | | | $ | 194,906 | |
4.38%, 11/15/42 | | | | | | | 41 | | | | 45,808 | |
DuPont de Nemours, Inc., 4.49%, 11/15/25 | | | | | | | 178 | | | | 204,736 | |
LYB International Finance III LLC, 4.20%, 05/01/50 | | | | | | | 41 | | | | 44,132 | |
RPM International, Inc., 5.25%, 06/01/45 | | | | | | | 19 | | | | 21,420 | |
Sherwin-Williams Co. (The): | | | | | | | | | | | | |
4.20%, 01/15/22 | | | | | | | 115 | | | | 119,598 | |
2.95%, 08/15/29 | | | | | | | 5 | | | | 5,375 | |
2.30%, 05/15/30 | | | | | | | 40 | | | | 40,829 | |
4.00%, 12/15/42 | | | | | | | 16 | | | | 17,119 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 779,883 | |
|
| Commercial Services & Supplies — 0.2% | |
Aramark Services, Inc.: | | | | | | | | | | | | |
4.75%, 06/01/26 | | | | | | | 15 | | | | 14,437 | |
5.00%, 02/01/28(b) | | | | | | | 36 | | | | 34,200 | |
Clean Harbors, Inc., 4.88%, 07/15/27(b) | | | | | | | 16 | | | | 16,440 | |
Ford Foundation (The), Series 2020, 2.42%, 06/01/50 | | | | | | | 25 | | | | 25,622 | |
KAR Auction Services, Inc., 5.13%, 06/01/25(b) | | | | | | | 32 | | | | 31,520 | |
Nielsen Co. Luxembourg SARL (The), 5.00%, 02/01/25(b) | | | | | | | 16 | | | | 15,720 | |
RELX Capital, Inc.: | | | | | | | | | | | | |
3.50%, 03/16/23 | | | | | | | 115 | | | | 122,634 | |
4.00%, 03/18/29 | | | | | | | 75 | | | | 87,101 | |
3.00%, 05/22/30 | | | | | | | 76 | | | | 81,912 | |
Republic Services, Inc.: | | | | | | | | | | | | |
3.55%, 06/01/22 | | | | | | | 4 | | | | 4,202 | |
4.75%, 05/15/23 | | | | | | | 75 | | | | 83,122 | |
2.90%, 07/01/26 | | | | | | | 42 | | | | 45,886 | |
3.95%, 05/15/28 | | | | | | | 129 | | | | 150,645 | |
Waste Management, Inc., 3.13%, 03/01/25 | | | | | | | 10 | | | | 10,914 | |
Waste Pro USA, Inc., 5.50%, 02/15/26(b) | | | | | | | 16 | | | | 15,272 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 739,627 | |
|
| Communications Equipment — 0.0% | |
Motorola Solutions, Inc.: | | | | | | | | | | | | |
4.60%, 05/23/29 | | | | | | | 105 | | | | 121,169 | |
5.50%, 09/01/44 | | | | | | | 65 | | | | 73,005 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 194,174 | |
|
| Construction Materials — 0.0% | |
US Concrete, Inc., 6.38%, 06/01/24 | | | | | | | 14 | | | | 13,825 | |
| | | | | | | | | | | | |
|
| Consumer Finance — 0.3% | |
American Express Co.: | | | | | | | | | | | | |
3.70%, 08/03/23 | | | | | | | 44 | | | | 47,850 | |
2.50%, 07/30/24 | | | | | | | 26 | | | | 27,519 | |
4.20%, 11/06/25 | | | | | | | 65 | | | | 75,539 | |
3.13%, 05/20/26 | | | | | | | 100 | | | | 110,832 | |
Capital One Financial Corp.: | | | | | | | | | | | | |
4.75%, 07/15/21 | | | | | | | 15 | | | | 15,641 | |
3.90%, 01/29/24 | | | | | | | 121 | | | | 131,586 | |
Discover Financial Services, 4.10%, 02/09/27 | | | | | | | 49 | | | | 53,556 | |
General Motors Financial Co., Inc.: | | | | | | | | | | | | |
5.20%, 03/20/23 | | | | | | | 226 | | | | 241,530 | |
3.70%, 05/09/23 | | | | | | | 23 | | | | 23,636 | |
3.50%, 11/07/24 | | | | | | | 21 | | | | 21,281 | |
4.00%, 01/15/25 | | | | | | | 175 | | | | 182,937 | |
2.75%, 06/20/25 | | | | | | | 154 | | | | 152,107 | |
Navient Corp.: | | | | | | | | | | | | |
5.88%, 03/25/21 | | | | | | | 18 | | | | 17,685 | |
6.63%, 07/26/21 | | | | | | | 22 | | | | 21,560 | |
6.50%, 06/15/22 | | | | | | | 30 | | | | 29,475 | |
7.25%, 09/25/23 | | | | | | | 16 | | | | 15,638 | |
5.88%, 10/25/24 | | | | | | | 16 | | | | 15,030 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Consumer Finance (continued) | |
6.75%, 06/25/25 | | | USD | | | | 16 | | | $ | 15,260 | |
6.75%, 06/15/26 | | | | | | | 16 | | | | 14,800 | |
Synchrony Financial: | | | | | | | | | | | | |
4.38%, 03/19/24 | | | | | | | 40 | | | | 41,868 | |
4.25%, 08/15/24 | | | | | | | 51 | | | | 53,557 | |
Toyota Motor Credit Corp., 3.38%, 04/01/30 | | | | | | | 66 | | | | 76,023 | |
| | | | | | | | |
| | | | | | | | | | | 1,384,910 | |
|
| Containers & Packaging — 0.0% | |
Ball Corp.: | | | | | | | | | | | | |
5.25%, 07/01/25 | | | | | | | 6 | | | | 6,562 | |
4.88%, 03/15/26 | | | | | | | 5 | | | | 5,438 | |
International Paper Co.: | | | | | | | | | | | | |
6.00%, 11/15/41 | | | | | | | 23 | | | | 30,317 | |
4.80%, 06/15/44 | | | | | | | 12 | | | | 14,312 | |
4.40%, 08/15/47 | | | | | | | 11 | | | | 12,961 | |
Owens-Brockway Glass Container, Inc.(b): | | | | | | | | | | | | |
5.00%, 01/15/22 | | | | | | | 2 | | | | 2,002 | |
5.88%, 08/15/23 | | | | | | | 23 | | | | 23,690 | |
| | | | | | | | |
| | | | | | | | | | | 95,282 | |
| | | |
| Distributors — 0.0%(b) | | | | | | | | | |
American Builders & Contractors Supply Co., Inc.: | | | | | | | | | | | | |
5.88%, 05/15/26 | | | | | | | 21 | | | | 20,790 | |
4.00%, 01/15/28 | | | | | | | 26 | | | | 25,266 | |
Performance Food Group, Inc., 5.50%, 10/15/27 | | | | | | | 35 | | | | 33,775 | |
| | | | | | | | |
| | | | | | | | | | | 79,831 | |
|
| Diversified Consumer Services — 0.0% | |
Claremont Mckenna College, Series 2019, 3.38%, 01/01/50 | | | | | | | 34 | | | | 37,177 | |
George Washington University (The), Series 2018, 4.13%, 09/15/48 | | | | | | | 31 | | | | 37,874 | |
Northeastern University, Series 2020, 2.89%, 10/01/50 | | | | | | | 18 | | | | 18,242 | |
University of Southern California, 3.03%, 10/01/39 | | | | | | | 21 | | | | 22,875 | |
Wesleyan University, 4.78%, 07/01/2116 | | | | | | | 45 | | | | 52,935 | |
Yale University, Series 2020, 1.48%, 04/15/30 | | | | | | | 53 | | | | 53,570 | |
| | | | | | | | |
| | | | | | | | | | | 222,673 | |
|
| Diversified Financial Services — 0.2% | |
Banco Votorantim SA, 4.00%, 09/24/22(b) | | | | | | | 200 | | | | 201,375 | |
Equitable Holdings, Inc., 3.90%, 04/20/23 | | | | | | | 10 | | | | 10,704 | |
GE Capital International Funding Co. Unlimited Co., 4.42%, 11/15/35 | | | | | | | 200 | | | | 203,351 | |
Petronas Capital Ltd., 3.50%, 04/21/30(b) | | | | | | | 200 | | | | 221,627 | |
Shell International Finance BV: | | | | | | | | | | | | |
2.38%, 11/07/29 | | | | | | | 291 | | | | 307,065 | |
4.38%, 05/11/45 | | | | | | | 12 | | | | 14,764 | |
3.75%, 09/12/46 | | | | | | | 16 | | | | 18,012 | |
| | | | | | | | |
| | | | | | | | | | | 976,898 | |
|
| Diversified Telecommunication Services — 0.6% | |
AT&T, Inc.: | | | | | | | | | | | | |
3.90%, 03/11/24 | | | | | | | 460 | | | | 507,863 | |
4.45%, 04/01/24 | | | | | | | 70 | | | | 78,647 | |
3.55%, 06/01/24 | | | | | | | 165 | | | | 180,535 | |
4.25%, 03/01/27 | | | | | | | 46 | | | | 52,400 | |
5.15%, 03/15/42 | | | | | | | 23 | | | | 28,709 | |
4.80%, 06/15/44 | | | | | | | 92 | | | | 108,950 | |
4.85%, 07/15/45 | | | | | | | 95 | | | | 112,888 | |
4.75%, 05/15/46 | | | | | | | 166 | | | | 199,007 | |
5.15%, 11/15/46 | | | | | | | 19 | | | | 23,534 | |
CCO Holdings LLC(b): | | | | | | | | | | | | |
5.75%, 02/15/26 | | | | | | | 67 | | | | 69,301 | |
| | |
| 36 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Diversified Telecommunication Services (continued) | |
5.50%, 05/01/26 | | | USD | | | | 39 | | | $ | 40,377 | |
5.13%, 05/01/27 | | | | | | | 85 | | | | 87,941 | |
5.88%, 05/01/27 | | | | | | | 21 | | | | 21,912 | |
5.00%, 02/01/28 | | | | | | | 91 | | | | 93,958 | |
5.38%, 06/01/29 | | | | | | | 41 | | | | 43,255 | |
4.75%, 03/01/30 | | | | | | | 46 | | | | 47,067 | |
Level 3 Financing, Inc.: | | | | | | | | | | | | |
5.13%, 05/01/23 | | | | | | | 17 | | | | 17,000 | |
5.25%, 03/15/26 | | | | | | | 23 | | | | 23,632 | |
4.63%, 09/15/27(b) | | | | | | | 6 | | | | 6,045 | |
Verizon Communications, Inc.: | | | | | | | | | | | | |
4.13%, 03/16/27 | | | | | | | 262 | | | | 309,036 | |
4.33%, 09/21/28 | | | | | | | 109 | | | | 131,184 | |
3.88%, 02/08/29 | | | | | | | 172 | | | | 203,287 | |
4.50%, 08/10/33 | | | | | | | 277 | | | | 345,045 | |
4.40%, 11/01/34 | | | | | | | 79 | | | | 98,364 | |
4.27%, 01/15/36 | | | | | | | 35 | | | | 43,284 | |
4.86%, 08/21/46 | | | | | | | 42 | | | | 57,034 | |
| | | | | | | | |
| | | | | | | | | | | 2,930,255 | |
| | | |
| Electric Utilities — 0.9% | | | | | | | | | |
AEP Texas, Inc.: | | | | | | | | | | | | |
3.95%, 06/01/28 | | | | | | | 108 | | | | 122,835 | |
Series H, 3.45%, 01/15/50 | | | | | | | 26 | | | | 28,022 | |
AEP Transmission Co. LLC: | | | | | | | | | | | | |
4.25%, 09/15/48 | | | | | | | 24 | | | | 29,768 | |
3.80%, 06/15/49 | | | | | | | 45 | | | | 53,053 | |
3.15%, 09/15/49 | | | | | | | 45 | | | | 48,446 | |
Series M, 3.65%, 04/01/50 | | | | | | | 25 | | | | 28,904 | |
Alabama Power Co.: | | | | | | | | | | | | |
Series 13-A, 3.55%, 12/01/23 | | | | | | | 10 | | | | 10,896 | |
4.15%, 08/15/44 | | | | | | | 10 | | | | 11,958 | |
3.75%, 03/01/45 | | | | | | | 64 | | | | 72,602 | |
Series B, 3.70%, 12/01/47 | | | | | | | 10 | | | | 11,407 | |
3.45%, 10/01/49 | | | | | | | 35 | | | | 38,202 | |
Baltimore Gas & Electric Co.: | | | | | | | | | | | | |
3.50%, 08/15/46 | | | | | | | 50 | | | | 55,880 | |
3.75%, 08/15/47 | | | | | | | 30 | | | | 34,709 | |
3.20%, 09/15/49 | | | | | | | 30 | | | | 31,930 | |
CenterPoint Energy Houston Electric LLC, 3.95%, 03/01/48 | | | | | | | 20 | | | | 24,252 | |
Commonwealth Edison Co., Series 122, 2.95%, 08/15/27 | | | | | | | 3 | | | | 3,292 | |
Dayton Power & Light Co. (The), 3.95%, 06/15/49 | | | | | | | 51 | | | | 54,787 | |
DTE Electric Co., Series A, 4.05%, 05/15/48 | | | | | | | 75 | | | | 92,124 | |
Duke Energy Carolinas LLC: | | | | | | | | | | | | |
3.95%, 11/15/28 | | | | | | | 12 | | | | 14,268 | |
2.45%, 08/15/29 | | | | | | | 79 | | | | 84,843 | |
2.45%, 02/01/30 | | | | | | | 45 | | | | 48,327 | |
3.75%, 06/01/45 | | | | | | | 31 | | | | 36,157 | |
3.88%, 03/15/46 | | | | | | | 25 | | | | 29,814 | |
3.70%, 12/01/47 | | | | | | | 20 | | | | 23,557 | |
3.20%, 08/15/49 | | | | | | | 57 | | | | 63,543 | |
Duke Energy Corp., 4.80%, 12/15/45 | | | | | | | 5 | | | | 6,480 | |
Duke Energy Florida LLC: | | | | | | | | | | | | |
3.80%, 07/15/28 | | | | | | | 15 | | | | 17,513 | |
2.50%, 12/01/29 | | | | | | | 160 | | | | 172,935 | |
1.75%, 06/15/30 | | | | | | | 62 | | | | 62,847 | |
3.40%, 10/01/46 | | | | | | | 25 | | | | 27,827 | |
4.20%, 07/15/48 | | | | | | | 17 | | | | 21,421 | |
Duke Energy Ohio, Inc., 3.65%, 02/01/29 | | | | | | | 130 | | | | 150,232 | |
Duke Energy Progress LLC: | | | | | | | | | | | | |
3.00%, 09/15/21 | | | | | | | 25 | | | | 25,542 | |
3.70%, 09/01/28 | | | | | | | 135 | | | | 156,806 | |
3.45%, 03/15/29 | | | | | | | 20 | | | | 22,958 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Electric Utilities (continued) | |
4.10%, 05/15/42 | | | USD | | | | 5 | | | $ | 6,024 | |
4.10%, 03/15/43 | | | | | | | 30 | | | | 36,117 | |
4.20%, 08/15/45 | | | | | | | 15 | | | | 18,544 | |
3.70%, 10/15/46 | | | | | | | 10 | | | | 11,671 | |
Edison International, 3.13%, 11/15/22 | | | | | | | 1 | | | | 1,029 | |
Entergy Louisiana LLC: | | | | | | | | | | | | |
5.40%, 11/01/24 | | | | | | | 20 | | | | 23,694 | |
4.20%, 09/01/48 | | | | | | | 75 | | | | 95,927 | |
Eversource Energy, Series L, 2.90%, 10/01/24 | | | | | | | 35 | | | | 37,540 | |
Exelon Corp., 5.63%, 06/15/35 | | | | | | | 19 | | | | 24,963 | |
FirstEnergy Corp.: | | | | | | | | | | | | |
2.65%, 03/01/30 | | | | | | | 37 | | | | 38,620 | |
Series C, 3.40%, 03/01/50 | | | | | | | 54 | | | | 57,019 | |
FirstEnergy Transmission LLC(b): | | | | | | | | | | | | |
4.35%, 01/15/25 | | | | | | | 175 | | | | 197,919 | |
4.55%, 04/01/49 | | | | | | | 50 | | | | 60,754 | |
Florida Power & Light Co.: | | | | | | | | | | | | |
3.70%, 12/01/47 | | | | | | | 23 | | | | 27,614 | |
3.95%, 03/01/48 | | | | | | | 64 | | | | 80,475 | |
3.99%, 03/01/49 | | | | | | | 18 | | | | 23,133 | |
3.15%, 10/01/49 | | | | | | | 73 | | | | 82,994 | |
Genneia SA, 8.75%, 01/20/22(b) | | | | | | | 1 | | | | 801 | |
MidAmerican Energy Co.: | | | | | | | | | | | | |
3.65%, 04/15/29 | | | | | | | 85 | | | | 101,446 | |
4.25%, 07/15/49 | | | | | | | 42 | | | | 54,179 | |
3.15%, 04/15/50 | | | | | | | 30 | | | | 34,045 | |
Northern States Power Co.: | | | | | | | | | | | | |
3.40%, 08/15/42 | | | | | | | 65 | | | | 73,653 | |
4.00%, 08/15/45 | | | | | | | 16 | | | | 19,431 | |
2.90%, 03/01/50 | | | | | | | 20 | | | | 21,698 | |
NRG Energy, Inc.: | | | | | | | | | | | | |
7.25%, 05/15/26 | | | | | | | 31 | | | | 32,705 | |
6.63%, 01/15/27 | | | | | | | 38 | | | | 39,663 | |
5.75%, 01/15/28 | | | | | | | 24 | | | | 25,320 | |
5.25%, 06/15/29(b) | | | | | | | 23 | | | | 24,150 | |
NSTAR Electric Co.: | | | | | | | | | | | | |
3.20%, 05/15/27 | | | | | | | 15 | | | | 16,852 | |
3.25%, 05/15/29 | | | | | | | 10 | | | | 11,346 | |
3.95%, 04/01/30 | | | | | | | 16 | | | | 19,321 | |
Ohio Power Co.: | | | | | | | | | | | | |
Series G, 6.60%, 02/15/33 | | | | | | | 50 | | | | 69,635 | |
4.00%, 06/01/49 | | | | | | | 29 | | | | 35,157 | |
Oncor Electric Delivery Co. LLC: | | | | | | | | | | | | |
3.70%, 11/15/28 | | | | | | | 65 | | | | 76,254 | |
3.80%, 06/01/49 | | | | | | | 33 | | | | 39,952 | |
3.10%, 09/15/49 | | | | | | | 35 | | | | 38,586 | |
Public Service Electric & Gas Co.: | | | | | | | | | | | | |
2.38%, 05/15/23 | | | | | | | 10 | | | | 10,427 | |
3.00%, 05/15/25 | | | | | | | 4 | | | | 4,371 | |
3.65%, 09/01/28 | | | | | | | 80 | | | | 91,920 | |
3.20%, 05/15/29 | | | | | | | 9 | | | | 10,144 | |
Southern California Edison Co.: | | | | | | | | | | | | |
Series A, 2.90%, 03/01/21 | | | | | | | 20 | | | | 20,346 | |
1.85%, 02/01/22 | | | | | | | 24 | | | | 24,306 | |
Series E, 3.70%, 08/01/25 | | | | | | | 18 | | | | 19,884 | |
Series A, 4.20%, 03/01/29 | | | | | | | 18 | | | | 21,000 | |
2.25%, 06/01/30 | | | | | | | 62 | | | | 62,601 | |
Series C, 3.60%, 02/01/45 | | | | | | | 15 | | | | 16,007 | |
4.00%, 04/01/47 | | | | | | | 41 | | | | 46,721 | |
Tampa Electric Co.: | | | | | | | | | | | | |
4.30%, 06/15/48 | | | | | | | 19 | | | | 23,997 | |
4.45%, 06/15/49 | | | | | | | 44 | | | | 56,191 | |
Trans-Allegheny Interstate Line Co., 3.85%, 06/01/25(b) | | | | | | | 164 | | | | 184,093 | |
| | |
SCHEDULES OF INVESTMENTS | | 37 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Electric Utilities (continued) | | | | | | | | | |
Virginia Electric & Power Co.: | | | | | | | | | | | | |
Series C, 2.75%, 03/15/23 | | | USD | | | | 97 | | | $ | 102,017 | |
Series C, 4.00%, 11/15/46 | | | | | | | 40 | | | | 47,403 | |
3.30%, 12/01/49 | | | | | | | 42 | | | | 46,545 | |
Vistra Operations Co. LLC(b): | | | | | | | | | | | | |
5.50%, 09/01/26 | | | | | | | 30 | | | | 30,613 | |
5.63%, 02/15/27 | | | | | | | 39 | | | | 40,027 | |
5.00%, 07/31/27 | | | | | | | 39 | | | | 39,439 | |
4.30%, 07/15/29 | | | | | | | 110 | | | | 115,649 | |
| | | | | | | | |
| | | | | | | | | | | 4,290,069 | |
|
| Electronic Equipment, Instruments & Components — 0.0% | |
Corning, Inc.: | | | | | | | | | | | | |
3.70%, 11/15/23 | | | | | | | 10 | | | | 10,612 | |
4.38%, 11/15/57 | | | | | | | 22 | | | | 25,282 | |
Tyco Electronics Group SA: | | | | | | | | | | | | |
3.45%, 08/01/24 | | | | | | | 15 | | | | 16,220 | |
3.13%, 08/15/27 | | | | | | | 14 | | | | 15,262 | |
| | | | | | | | |
| | | | | | | | | | | 67,376 | |
|
| Energy Equipment & Services — 0.0%(b) | |
Odebrecht Drilling Norbe VIII/IX Ltd., 6.35%, 12/01/21 | | | | | | | 7 | | | | 5,509 | |
Odebrecht Offshore Drilling Finance Ltd.:
6.72%, 12/01/22 | | | | | | | 8 | | | | 6,717 | |
1.00%, (1.00% Cash or 7.72% PIK), 12/01/26(j) | | | | | | | 26 | | | | 1,923 | |
| | | | | | | | |
| | | | | | | | | | | 14,149 | |
| | | |
| Entertainment — 0.1% | | | | | | | | | |
Netflix, Inc.: | | | | | | | | | | | | |
5.88%, 02/15/25 | | | | | | | 5 | | | | 5,525 | |
4.38%, 11/15/26 | | | | | | | 6 | | | | 6,241 | |
4.88%, 04/15/28 | | | | | | | 10 | | | | 10,693 | |
5.88%, 11/15/28 | | | | | | | 12 | | | | 13,665 | |
6.38%, 05/15/29 | | | | | | | 5 | | | | 5,800 | |
5.38%, 11/15/29(b) | | | | | | | 6 | | | | 6,571 | |
4.88%, 06/15/30(b) | | | | | | | 6 | | | | 6,435 | |
Walt Disney Co. (The): | | | | | | | | | | | | |
3.70%, 09/15/24 | | | | | | | 57 | | | | 63,190 | |
3.35%, 03/24/25 | | | | | | | 103 | | | | 114,179 | |
5.40%, 10/01/43 | | | | | | | 25 | | | | 33,946 | |
4.75%, 09/15/44 | | | | | | | 5 | | | | 6,399 | |
2.75%, 09/01/49 | | | | | | | 81 | | | | 78,707 | |
| | | | | | | | |
| | | | | | | | | | | 351,351 | |
|
| Equity Real Estate Investment Trusts (REITs) — 0.3% | |
American Tower Corp.: | | | | | | | | | | | | |
3.00%, 06/15/23 | | | | | | | 45 | | | | 47,982 | |
3.38%, 05/15/24 | | | | | | | 35 | | | | 37,999 | |
2.40%, 03/15/25 | | | | | | | 125 | | | | 131,965 | |
3.95%, 03/15/29 | | | | | | | 38 | | | | 43,252 | |
3.80%, 08/15/29 | | | | | | | 53 | | | | 59,984 | |
Boston Properties LP, 3.13%, 09/01/23 | | | | | | | 53 | | | | 56,059 | |
CC Holdings GS V LLC, 3.85%, 04/15/23 | | | | | | | 32 | | | | 34,561 | |
Crown Castle International Corp.: | | | | | | | | | | | | |
4.88%, 04/15/22 | | | | | | | 4 | | | | 4,273 | |
3.20%, 09/01/24 | | | | | | | 131 | | | | 142,152 | |
1.35%, 07/15/25 | | | | | | | 69 | | | | 69,492 | |
4.45%, 02/15/26 | | | | | | | 6 | | | | 6,878 | |
3.70%, 06/15/26 | | | | | | | 96 | | | | 107,417 | |
3.80%, 02/15/28 | | | | | | | 14 | | | | 15,736 | |
3.10%, 11/15/29 | | | | | | | 152 | | | | 162,942 | |
5.20%, 02/15/49 | | | | | | | 11 | | | | 14,588 | |
4.15%, 07/01/50 | | | | | | | 13 | | | | 15,235 | |
Equinix, Inc.: | | | | | | | | | | | | |
2.63%, 11/18/24 | | | | | | | 52 | | | | 55,360 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Equity Real Estate Investment Trusts (REITs) (continued) | |
1.25%, 07/15/25 | | | USD | | | | 93 | | | $ | 92,977 | |
ESH Hospitality, Inc.(b): | | | | | | | | | | | | |
5.25%, 05/01/25 | | | | | | | 39 | | | | 37,440 | |
4.63%, 10/01/27 | | | | | | | 5 | | | | 4,681 | |
MGM Growth Properties Operating Partnership LP: | | | | | | | | | | | | |
5.63%, 05/01/24 | | | | | | | 71 | | | | 73,486 | |
4.50%, 09/01/26 | | | | | | | 19 | | | | 18,816 | |
5.75%, 02/01/27 | | | | | | | 33 | | | | 33,825 | |
MPT Operating Partnership LP: | | | | | | | | | | | | |
5.25%, 08/01/26 | | | | | | | 3 | | | | 3,113 | |
5.00%, 10/15/27 | | | | | | | 44 | | | | 45,210 | |
4.63%, 08/01/29 | | | | | | | 6 | | | | 6,030 | |
National Retail Properties, Inc., 2.50%, 04/15/30 | | | | | | | 46 | | | | 43,931 | |
Prologis LP, 3.00%, 04/15/50 | | | | | | | 12 | | | | 12,686 | |
Realty Income Corp.: | | | | | | | | | | | | |
4.13%, 10/15/26 | | | | | | | 40 | | | | 45,749 | |
3.00%, 01/15/27 | | | | | | | 5 | | | | 5,293 | |
3.25%, 01/15/31 | | | | | | | 10 | | | | 10,819 | |
Ryman Hospitality Properties, Inc., 4.75%, 10/15/27(b) | | | | | | | 28 | | | | 24,920 | |
Service Properties Trust, 4.35%, 10/01/24 | | | | | | | 46 | | | | 41,460 | |
VICI Properties LP(b): | | | | | | | | | | | | |
3.50%, 02/15/25 | | | | | | | 23 | | | | 21,620 | |
4.25%, 12/01/26 | | | | | | | 8 | | | | 7,660 | |
3.75%, 02/15/27 | | | | | | | 5 | | | | 4,700 | |
4.63%, 12/01/29 | | | | | | | 6 | | | | 5,850 | |
4.13%, 08/15/30 | | | | | | | 6 | | | | 5,723 | |
| | | | | | | | |
| | | | | | | | | | | 1,551,864 | |
|
| Food & Staples Retailing — 0.1% | |
Albertsons Cos., Inc.: | | | | | | | | | | | | |
3.50%, 02/15/23(b) | | | | | | | 24 | | | | 24,300 | |
6.63%, 06/15/24 | | | | | | | 30 | | | | 30,750 | |
5.75%, 03/15/25 | | | | | | | 79 | | | | 80,728 | |
7.50%, 03/15/26(b) | | | | | | | 41 | | | | 44,280 | |
4.63%, 01/15/27(b) | | | | | | | 9 | | | | 9,000 | |
5.88%, 02/15/28(b) | | | | | | | 30 | | | | 30,953 | |
4.88%, 02/15/30(b) | | | | | | | 6 | | | | 6,139 | |
Alimentation Couche-Tard, Inc.,
3.55%, 07/26/27(b) | | | | | | | 105 | | | | 112,747 | |
Walmart, Inc., 3.70%, 06/26/28 | | | | | | | 36 | | | | 42,630 | |
| | | | | | | | |
| | | | | | | | | | | 381,527 | |
| | | |
| Food Products — 0.1%(b) | | | | | | | | | |
Darling Ingredients, Inc., 5.25%, 04/15/27 | | | | | | | 15 | | | | 15,417 | |
JBS USA LUX SA: | | | | | | | | | | | | |
5.75%, 06/15/25 | | | | | | | 25 | | | | 25,219 | |
6.75%, 02/15/28 | | | | | | | 29 | | | | 30,577 | |
6.50%, 04/15/29 | | | | | | | 46 | | | | 48,817 | |
5.50%, 01/15/30 | | | | | | | 8 | | | | 8,200 | |
Lamb Weston Holdings, Inc.: | | | | | | | | | | | | |
4.63%, 11/01/24 | | | | | | | 24 | | | | 24,900 | |
4.88%, 11/01/26 | | | | | | | 24 | | | | 24,840 | |
Pilgrim’s Pride Corp., 5.88%, 09/30/27 | | | | | | | 56 | | | | 56,011 | |
Post Holdings, Inc.: | | | | | | | | | | | | |
5.75%, 03/01/27 | | | | | | | 44 | | | | 45,430 | |
5.63%, 01/15/28 | | | | | | | 32 | | | | 33,120 | |
5.50%, 12/15/29 | | | | | | | 25 | | | | 25,853 | |
Simmons Foods, Inc., 5.75%, 11/01/24 | | | | | | | 16 | | | | 15,200 | |
| | | | | | | | |
| | | | | | | | | | | 353,584 | |
| | | |
| Gas Utilities — 0.0% | | | | | | | | | |
Atmos Energy Corp., 3.38%, 09/15/49 | | | | | | | 30 | | | | 33,712 | |
Dominion Energy Gas Holdings LLC: 4.80%, 11/01/43 | | | | | | | 15 | | | | 17,675 | |
| | |
| 38 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Gas Utilities (continued) | |
4.60%, 12/15/44 | | | USD | | | | 12 | | | $ | 13,558 | |
Piedmont Natural Gas Co., Inc., 3.64%, 11/01/46 | | | | | | | 7 | | | | 7,591 | |
| | | | | | | | |
| | | | | | | | | | | 72,536 | |
|
| Health Care Equipment & Supplies — 0.0% | |
Boston Scientific Corp., 3.45%, 03/01/24 | | | | | | | 122 | | | | 132,153 | |
Teleflex, Inc., 4.63%, 11/15/27 | | | | | | | 15 | | | | 15,858 | |
| | | | | | | | |
| | | | | | | | | | | 148,011 | |
|
| Health Care Providers & Services — 0.7% | |
Aetna, Inc.: | | | | | | | | | | | | |
6.75%, 12/15/37 | | | | | | | 8 | | | | 11,401 | |
4.50%, 05/15/42 | | | | | | | 17 | | | | 20,222 | |
4.13%, 11/15/42 | | | | | | | 3 | | | | 3,374 | |
4.75%, 03/15/44 | | | | | | | 14 | | | | 16,847 | |
Anthem, Inc.: | | | | | | | | | | | | |
3.70%, 08/15/21 | | | | | | | 7 | | | | 7,186 | |
2.38%, 01/15/25 | | | | | | | 45 | | | | 47,760 | |
4.10%, 03/01/28 | | | | | | | 56 | | | | 65,627 | |
Centene Corp.: | | | | | | | | | | | | |
5.25%, 04/01/25(b) | | | | | | | 28 | | | | 28,831 | |
5.38%, 06/01/26(b) | | | | | | | 57 | | | | 59,089 | |
5.38%, 08/15/26(b) | | | | | | | 23 | | | | 23,925 | |
4.25%, 12/15/27 | | | | | | | 76 | | | | 78,425 | |
4.63%, 12/15/29 | | | | | | | 23 | | | | 24,265 | |
CHRISTUS Health, Series C, 4.34%, 07/01/28 | | | | | | | 47 | | | | 53,090 | |
Cigna Corp.: | | | | | | | | | | | | |
3.90%, 02/15/22(b) | | | | | | | 30 | | | | 31,527 | |
3.00%, 07/15/23(b) | | | | | | | 15 | | | | 15,945 | |
3.25%, 04/15/25(b) | | | | | | | 50 | | | | 54,578 | |
4.13%, 11/15/25 | | | | | | | 15 | | | | 17,243 | |
4.50%, 02/25/26(b) | | | | | | | 40 | | | | 46,532 | |
4.38%, 10/15/28 | | | | | | | 204 | | | | 241,432 | |
Cottage Health Obligated Group, Series 2020, 3.30%, 11/01/49 | | | | | | | 3 | | | | 3,287 | |
CVS Health Corp.: | | | | | | | | | | | | |
4.10%, 03/25/25 | | | | | | | 40 | | | | 45,238 | |
3.75%, 04/01/30 | | | | | | | 205 | | | | 236,182 | |
5.13%, 07/20/45 | | | | | | | 187 | | | | 240,949 | |
DaVita, Inc., 5.00%, 05/01/25 | | | | | | | 45 | | | | 46,013 | |
Encompass Health Corp.: | | | | | | | | | | | | |
4.50%, 02/01/28 | | | | | | | 16 | | | | 15,346 | |
4.75%, 02/01/30 | | | | | | | 16 | | | | 15,280 | |
HCA, Inc.: | | | | | | | | | | | | |
4.75%, 05/01/23 | | | | | | | 150 | | | | 162,751 | |
5.00%, 03/15/24 | | | | | | | 203 | | | | 225,635 | |
5.38%, 02/01/25 | | | | | | | 17 | | | | 18,211 | |
5.25%, 04/15/25 | | | | | | | 160 | | | | 183,498 | |
5.88%, 02/15/26 | | | | | | | 10 | | | | 10,962 | |
5.25%, 06/15/26 | | | | | | | 12 | | | | 13,864 | |
5.38%, 09/01/26 | | | | | | | 6 | | | | 6,533 | |
5.63%, 09/01/28 | | | | | | | 10 | | | | 11,162 | |
5.88%, 02/01/29 | | | | | | | 6 | | | | 6,790 | |
4.13%, 06/15/29 | | | | | | | 84 | | | | 92,659 | |
Humana, Inc.: | | | | | | | | | | | | |
3.13%, 08/15/29 | | | | | | | 15 | | | | 16,246 | |
4.88%, 04/01/30 | | | | | | | 34 | | | | 41,983 | |
Molina Healthcare, Inc., 5.38%, 11/15/22(e) | | | | | | | 23 | | | | 23,460 | |
Ochsner Clinic Foundation, 5.90%, 05/15/45 | | | | | | | 20 | | | | 25,738 | |
PeaceHealth Obligated Group, Series 2018, 4.79%, 11/15/48 | | | | | | | 7 | | | | 9,276 | |
RWJ Barnabas Health, Inc., 3.48%, 07/01/49 | | | | | | | 17 | | | | 17,918 | |
Select Medical Corp., 6.25%, 08/15/26(b) | | | | | | | 18 | | | | 18,197 | |
Sutter Health, Series 2018, 3.70%, 08/15/28 | | | | | | | 32 | | | | 35,801 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Health Care Providers & Services (continued) | |
Tenet Healthcare Corp.: | | | | | | | | | | | | |
4.63%, 07/15/24 | | | USD | | | | 45 | | | $ | 44,091 | |
4.63%, 09/01/24(b) | | | | | | | 18 | | | | 17,595 | |
5.13%, 05/01/25 | | | | | | | 87 | | | | 83,973 | |
4.88%, 01/01/26(b) | | | | | | | 65 | | | | 63,294 | |
6.25%, 02/01/27(b) | | | | | | | 98 | | | | 97,265 | |
5.13%, 11/01/27(b) | | | | | | | 10 | | | | 9,867 | |
UnitedHealth Group, Inc.: | | | | | | | | | | | | |
3.75%, 07/15/25 | | | | | | | 86 | | | | 97,982 | |
3.70%, 12/15/25 | | | | | | | 65 | | | | 74,497 | |
3.10%, 03/15/26 | | | | | | | 137 | | | | 152,890 | |
5.80%, 03/15/36 | | | | | | | 3 | | | | 4,242 | |
2.75%, 05/15/40 | | | | | | | 112 | | | | 119,900 | |
5.70%, 10/15/40 | | | | | | | 5 | | | | 7,300 | |
4.63%, 11/15/41 | | | | | | | 24 | | | | 31,485 | |
4.75%, 07/15/45 | | | | | | | 38 | | | | 51,182 | |
4.20%, 01/15/47 | | | | | | | 49 | | | | 62,159 | |
| | | | | | | | |
| | | | | | | | | | | 3,288,000 | |
|
| Hotels, Restaurants & Leisure — 0.2% | |
1011778 BC ULC(b): | | | | | | | | | | | | |
5.00%, 10/15/25 | | | | | | | 90 | | | | 89,470 | |
3.88%, 01/15/28 | | | | | | | 5 | | | | 4,851 | |
Boyd Gaming Corp.: | | | | | | | | | | | | |
6.38%, 04/01/26 | | | | | | | 22 | | | | 20,900 | |
6.00%, 08/15/26 | | | | | | | 20 | | | | 18,694 | |
Caesars Resort Collection LLC,
5.25%, 10/15/25(b) | | | | | | | 53 | | | | 46,110 | |
Cedar Fair LP: | | | | | | | | | | | | |
5.50%, 05/01/25(b) | | | | | | | 19 | | | | 19,095 | |
5.38%, 04/15/27 | | | | | | | 31 | | | | 27,745 | |
5.25%, 07/15/29(b) | | | | | | | 31 | | | | 28,055 | |
Churchill Downs, Inc.(b): | | | | | | | | | | | | |
5.50%, 04/01/27 | | | | | | | 41 | | | | 40,131 | |
4.75%, 01/15/28 | | | | | | | 19 | | | | 18,335 | |
Eldorado Resorts, Inc., 6.00%, 09/15/26 | | | | | | | 18 | | | | 19,446 | |
Hilton Domestic Operating Co., Inc.: | | | | | | | | | | | | |
5.13%, 05/01/26 | | | | | | | 37 | | | | 36,838 | |
4.88%, 01/15/30 | | | | | | | 6 | | | | 5,910 | |
Hilton Worldwide Finance LLC: | | | | | | | | | | | | |
4.63%, 04/01/25 | | | | | | | 28 | | | | 27,376 | |
4.88%, 04/01/27 | | | | | | | 20 | | | | 19,525 | |
Hyatt Hotels Corp., 5.38%, 04/23/25 | | | | | | | 16 | | | | 16,955 | |
Marriott Ownership Resorts, Inc., 6.50%, 09/15/26 | | | | | | | 24 | | | | 24,180 | |
McDonald’s Corp.: | | | | | | | | | | | | |
4.88%, 12/09/45 | | | | | | | 23 | | | | 29,432 | |
4.45%, 09/01/48 | | | | | | | 75 | | | | 92,660 | |
3.63%, 09/01/49 | | | | | | | 102 | | | | 111,918 | |
MGM Resorts International: | | | | | | | | | | | | |
5.75%, 06/15/25 | | | | | | | 4 | | | | 3,955 | |
4.63%, 09/01/26 | | | | | | | 3 | | | | 2,730 | |
5.50%, 04/15/27 | | | | | | | 4 | | | | 3,850 | |
NCL Corp. Ltd., 3.63%, 12/15/24(b) | | | | | | | 4 | | | | 2,445 | |
Scientific Games International, Inc., 5.00%, 10/15/25(b) | | | | | | | 34 | | | | 31,391 | |
Starbucks Corp., 2.55%, 11/15/30 | | | | | | | 95 | | | | 99,650 | |
Station Casinos LLC, 5.00%, 10/01/25(b) | | | | | | | 18 | | | | 15,840 | |
Viking Cruises Ltd., 5.88%, 09/15/27(b) | | | | | | | 28 | | | | 16,670 | |
Wyndham Hotels & Resorts, Inc., 5.38%, 04/15/26(b) | | | | | | | 15 | | | | 14,437 | |
Wynn Las Vegas LLC(b): | | | | | | | | | | | | |
5.50%, 03/01/25 | | | | | | | 72 | | | | 65,880 | |
5.25%, 05/15/27 | | | | | | | 36 | | | | 31,122 | |
| | |
SCHEDULES OF INVESTMENTS | | 39 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Hotels, Restaurants & Leisure (continued) | |
Wynn Resorts Finance LLC, 5.13%, 10/01/29(b) | | | USD | | | | 30 | | | $ | 26,813 | |
| | | | | | | | |
| | | | | | | | | | | 1,012,409 | �� |
|
| Household Durables — 0.1% | |
Brookfield Residential Properties, Inc., 6.25%, 09/15/27(b) | | | | | | | 39 | | | | 37,296 | |
Century Communities, Inc., 6.75%, 06/01/27 | | | | | | | 16 | | | | 16,080 | |
DR Horton, Inc., 2.60%, 10/15/25 | | | | | | | 82 | | | | 86,191 | |
Lennar Corp.: | | | | | | | | | | | | |
4.75%, 04/01/21 | | | | | | | 12 | | | | 12,145 | |
4.13%, 01/15/22 | | | | | | | 14 | | | | 14,175 | |
4.50%, 04/30/24 | | | | | | | 17 | | | | 17,676 | |
4.75%, 05/30/25 | | | | | | | 3 | | | | 3,203 | |
4.75%, 11/29/27 | | | | | | | 6 | | | | 6,510 | |
Mattamy Group Corp., 5.25%, 12/15/27(b) | | | | | | | 3 | | | | 2,985 | |
PulteGroup, Inc.: | | | | | | | | | | | | |
5.50%, 03/01/26 | | | | | | | 5 | | | | 5,453 | |
5.00%, 01/15/27 | | | | | | | 4 | | | | 4,280 | |
Taylor Morrison Communities, Inc., 5.88%, 06/15/27(b) | | | | | | | 3 | | | | 3,107 | |
Tempur Sealy International, Inc., 5.50%, 06/15/26 | | | | | | | 39 | | | | 39,390 | |
| | | | | | | | |
| | | | | | | | | | | 248,491 | |
|
| Household Products — 0.0% | |
Spectrum Brands, Inc., 5.75%, 07/15/25 | | | | | | | 28 | | | | 28,736 | |
| | | | | | | | |
|
| Independent Power and Renewable Electricity Producers — 0.0% | |
Calpine Corp., 5.50%, 02/01/24 | | | | | | | 16 | | | | 15,960 | |
| | | | | | | | |
| | | |
| Industrial Conglomerates — 0.1% | | | | | | | | | |
3M Co., 3.05%, 04/15/30 | | | | | | | 18 | | | | 20,378 | |
General Electric Co.: | | | | | | | | | | | | |
5.88%, 01/14/38 | | | | | | | 26 | | | | 29,346 | |
6.88%, 01/10/39 | | | | | | | 84 | | | | 103,192 | |
Honeywell International, Inc., 2.70%, 08/15/29 | | | | | | | 94 | | | | 103,651 | |
| | | | | | | | |
| | | | | | | | | | | 256,567 | |
| | | |
| Insurance — 0.1% | | | | | | | | | |
Ambac Assurance Corp., 5.10%(b)(h) | | | | | | | 5 | | | | 6,478 | |
Ambac LSNI LLC, (LIBOR USD 3 Month + 5.00%), 6.00%, 02/12/23(a)(b) | | | | | | | 26 | | | | 25,290 | |
Aon Corp.: | | | | | | | | | | | | |
4.50%, 12/15/28 | | | | | | | 122 | | | | 145,155 | |
3.75%, 05/02/29 | | | | | | | 149 | | | | 170,600 | |
Aon plc, 4.25%, 12/12/42 | | | | | | | 9 | | | | 9,916 | |
Hartford Financial Services Group, Inc. (The), 4.30%, 04/15/43 | | | | | | | 15 | | | | 17,255 | |
Marsh & McLennan Cos., Inc.: | | | | | | | | | | | | |
4.05%, 10/15/23 | | | | | | | 35 | | | | 38,406 | |
3.50%, 06/03/24 | | | | | | | 138 | | | | 151,232 | |
2.25%, 11/15/30 | | | | | | | 31 | | | | 32,170 | |
MetLife, Inc., 4.72%, 12/15/44(e) | | | | | | | 15 | | | | 18,890 | |
Principal Financial Group, Inc., 3.70%, 05/15/29 | | | | | | | 9 | | | | 10,240 | |
Travelers Cos., Inc. (The), 6.75%, 06/20/36 | | | | | | | 5 | | | | 7,536 | |
Trinity Acquisition plc, 4.40%, 03/15/26 | | | | | | | 20 | | | | 22,784 | |
Willis North America, Inc.: | | | | | | | | | | | | |
3.60%, 05/15/24 | | | | | | | 16 | | | | 17,317 | |
3.88%, 09/15/49 | | | | | | | 5 | | | | 5,515 | |
| | | | | | | | |
| | | | | | | | | | | 678,784 | |
|
| Internet & Direct Marketing Retail — 0.1% | |
Amazon.com, Inc., 3.88%, 08/22/37 | | | | | | | 75 | | | | 92,865 | |
Booking Holdings, Inc., 4.10%, 04/13/25 | | | | | | | 208 | | | | 233,455 | |
Expedia Group, Inc.: | | | | | | | | | | | | |
6.25%, 05/01/25(b) | | | | | | | 52 | | | | 55,394 | |
3.80%, 02/15/28 | | | | | | | 30 | | | | 28,735 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Internet & Direct Marketing Retail (continued) | |
3.25%, 02/15/30 | | | USD | | | | 55 | | | $ | 51,279 | |
| | | | | | | | |
| | | | | | | | | | | 461,728 | |
| | | |
| IT Services — 0.4% | | | | | | | | | |
DXC Technology Co.: | | | | | | | | | | | | |
4.00%, 04/15/23 | | | | | | | 65 | | | | 68,219 | |
4.13%, 04/15/25 | | | | | | | 10 | | | | 10,663 | |
Fidelity National Information Services, Inc., 3.00%, 08/15/26 | | | | | | | 70 | | | | 77,560 | |
Fiserv, Inc.: | | | | | | | | | | | | |
3.20%, 07/01/26 | | | | | | | 215 | | | | 237,964 | |
3.50%, 07/01/29 | | | | | | | 128 | | | | 143,887 | |
2.65%, 06/01/30 | | | | | | | 17 | | | | 18,013 | |
Global Payments, Inc.: | | | | | | | | | | | | |
3.80%, 04/01/21 | | | | | | | 20 | | | | 20,363 | |
3.75%, 06/01/23 | | | | | | | 25 | | | | 26,929 | |
4.00%, 06/01/23 | | | | | | | 4 | | | | 4,336 | |
4.80%, 04/01/26 | | | | | | | 15 | | | | 17,556 | |
2.90%, 05/15/30 | | | | | | | 40 | | | | 41,974 | |
International Business Machines Corp.: | | | | | | | | | | | | |
3.30%, 05/15/26 | | | | | | | 250 | | | | 280,918 | |
6.50%, 01/15/28 | | | | | | | 11 | | | | 14,683 | |
1.95%, 05/15/30 | | | | | | | 200 | | | | 204,569 | |
4.15%, 05/15/39 | | | | | | | 100 | | | | 121,081 | |
Mastercard, Inc.: | | | | | | | | | | | | |
3.30%, 03/26/27 | | | | | | | 28 | | | | 31,713 | |
2.95%, 06/01/29 | | | | | | | 79 | | | | 88,817 | |
3.35%, 03/26/30 | | | | | | | 118 | | | | 136,407 | |
PayPal Holdings, Inc.: | | | | | | | | | | | | |
1.65%, 06/01/25 | | | | | | | 48 | | | | 49,620 | |
2.65%, 10/01/26 | | | | | | | 14 | | | | 15,214 | |
Visa, Inc.: | | | | | | | | | | | | |
2.75%, 09/15/27 | | | | | | | 30 | | | | 33,077 | |
4.15%, 12/14/35 | | | | | | | 31 | | | | 39,655 | |
2.70%, 04/15/40 | | | | | | | 51 | | | | 54,572 | |
| | | | | | | | |
| | | | | | | | | | | 1,737,790 | |
| | | |
| Leisure Products — 0.0% | | | | | | | | | |
Hasbro, Inc.: | | | | | | | | | | | | |
2.60%, 11/19/22 | | | | | | | 130 | | | | 134,542 | |
3.90%, 11/19/29 | | | | | | | 15 | | | | 15,620 | |
| | | | | | | | |
| | | | | | | | | | | 150,162 | |
|
| Life Sciences Tools & Services — 0.2% | |
Agilent Technologies, Inc.: | | | | | | | | | | | | |
3.88%, 07/15/23 | | | | | | | 29 | | | | 31,332 | |
3.05%, 09/22/26 | | | | | | | 115 | | | | 126,002 | |
2.75%, 09/15/29 | | | | | | | 76 | | | | 82,604 | |
Avantor, Inc., 6.00%, 10/01/24(b) | | | | | | | 12 | | | | 12,540 | |
Charles River Laboratories International, Inc.(b): | | | | | | | | | | | | |
5.50%, 04/01/26 | | | | | | | 12 | | | | 12,480 | |
4.25%, 05/01/28 | | | | | | | 3 | | | | 2,999 | |
Thermo Fisher Scientific, Inc.: | | | | | | | | | | | | |
4.13%, 03/25/25 | | | | | | | 297 | | | | 338,631 | |
4.50%, 03/25/30 | | | | | | | 204 | | | | 252,845 | |
| | | | | | | | |
| | | | | | | | | | | 859,433 | |
| | | |
| Machinery — 0.1% | | | | | | | | | |
CNH Industrial Capital LLC, 4.38%, 11/06/20 | | | | | | | 140 | | | | 141,240 | |
CNH Industrial NV, 3.85%, 11/15/27 | | | | | | | 51 | | | | 53,750 | |
Colfax Corp., 6.00%, 02/15/24(b) | | | | | | | 20 | | | | 20,625 | |
Otis Worldwide Corp.(b): | | | | | | | | | | | | |
2.06%, 04/05/25 | | | | | | | 45 | | | | 47,209 | |
2.29%, 04/05/27 | | | | | | | 5 | | | | 5,222 | |
Parker-Hannifin Corp.: | | | | | | | | | | | | |
2.70%, 06/14/24 | | | | | | | 25 | | | | 26,613 | |
3.25%, 06/14/29 | | | | | | | 23 | | | | 25,413 | |
| | |
| 40 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Machinery (continued) | | | | | | | | | |
Terex Corp., 5.63%, 02/01/25(b) | | | USD | | | | 38 | | | $ | 34,580 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 354,652 | |
| | | |
| Media — 0.6% | | | | | | | | | |
AMC Networks, Inc.: | | | | | | | | | | | | |
5.00%, 04/01/24 | | | | | | | 30 | | | | 29,700 | |
4.75%, 08/01/25 | | | | | | | 24 | | | | 23,645 | |
Charter Communications Operating LLC: | | | | | | | | | | | | |
4.50%, 02/01/24 | | | | | | | 46 | | | | 50,895 | |
6.38%, 10/23/35 | | | | | | | 53 | | | | 70,038 | |
6.48%, 10/23/45 | | | | | | | 152 | | | | 200,982 | |
5.75%, 04/01/48 | | | | | | | 44 | | | | 54,773 | |
4.80%, 03/01/50 | | | | | | | 119 | | | | 131,712 | |
Clear Channel Worldwide Holdings, Inc., 5.13%, 08/15/27(b) | | | | | | | 41 | | | | 39,360 | |
Comcast Corp.: | | | | | | | | | | | | |
4.15%, 10/15/28 | | | | | | | 212 | | | | 254,141 | |
2.65%, 02/01/30 | | | | | | | 92 | | | | 100,055 | |
3.40%, 04/01/30 | | | | | | | 280 | | | | 319,762 | |
1.95%, 01/15/31 | | | | | | | 118 | | | | 119,339 | |
3.20%, 07/15/36 | | | | | | | 72 | | | | 79,624 | |
3.97%, 11/01/47 | | | | | | | 36 | | | | 42,684 | |
4.70%, 10/15/48 | | | | | | | 47 | | | | 63,211 | |
4.00%, 11/01/49 | | | | | | | 61 | | | | 73,666 | |
2.80%, 01/15/51 | | | | | | | 76 | | | | 77,937 | |
4.05%, 11/01/52 | | | | | | | 19 | | | | 23,312 | |
4.95%, 10/15/58 | | | | | | | 2 | | | | 2,845 | |
Cox Communications, Inc.(b): | | | | | | | | | | | | |
3.25%, 12/15/22 | | | | | | | 30 | | | | 31,615 | |
3.15%, 08/15/24 | | | | | | | 224 | | | | 241,016 | |
3.35%, 09/15/26 | | | | | | | 2 | | | | 2,212 | |
Diamond Sports Group LLC(b): | | | | | | | | | | | | |
5.38%, 08/15/26 | | | | | | | 20 | | | | 14,475 | |
6.63%, 08/15/27 | | | | | | | 60 | | | | 31,950 | |
Discovery Communications LLC: | | | | | | | | | | | | |
3.80%, 03/13/24 | | | | | | | 10 | | | | 10,717 | |
5.00%, 09/20/37 | | | | | | | 41 | | | | 48,527 | |
4.95%, 05/15/42 | | | | | | | 15 | | | | 17,068 | |
4.88%, 04/01/43 | | | | | | | 42 | | | | 47,911 | |
5.30%, 05/15/49 | | | | | | | 17 | | | | 20,346 | |
Gray Television, Inc.(b): | | | | | | | | | | | | |
5.88%, 07/15/26 | | | | | | | 23 | | | | 22,894 | |
7.00%, 05/15/27 | | | | | | | 25 | | | | 25,625 | |
iHeartCommunications, Inc.: | | | | | | | | | | | | |
6.38%, 05/01/26 | | | | | | | 27 | | | | 26,730 | |
5.25%, 08/15/27(b) | | | | | | | 23 | | | | 22,023 | |
4.75%, 01/15/28(b) | | | | | | | 3 | | | | 2,767 | |
Lamar Media Corp.: | | | | | | | | | | | | |
5.75%, 02/01/26 | | | | | | | 21 | | | | 21,664 | |
3.75%, 02/15/28(b) | | | | | | | 4 | | | | 3,771 | |
Meredith Corp., 6.88%, 02/01/26 | | | | | | | 41 | | | | 34,092 | |
Nexstar Broadcasting, Inc., 5.63%, 07/15/27(b) | | | | 37 | | | | 36,725 | |
Omnicom Group, Inc., 3.65%, 11/01/24 | | | | | | | 5 | | | | 5,503 | |
Outfront Media Capital LLC(b): | | | | | | | | | | | | |
5.00%, 08/15/27 | | | | | | | 42 | | | | 37,800 | |
4.63%, 03/15/30 | | | | | | | 3 | | | | 2,715 | |
Sirius XM Radio, Inc.(b): | | | | | | | | | | | | |
4.63%, 07/15/24 | | | | | | | 45 | | | | 46,125 | |
5.38%, 04/15/25 | | | | | | | 24 | | | | 24,648 | |
5.38%, 07/15/26 | | | | | | | 24 | | | | 24,786 | |
5.00%, 08/01/27 | | | | | | | 47 | | | | 48,037 | |
5.50%, 07/01/29 | | | | | | | 39 | | | | 41,052 | |
TEGNA, Inc.(b): | | | | | | | | | | | | |
4.63%, 03/15/28 | | | | | | | 6 | | | | 5,520 | |
5.00%, 09/15/29 | | | | | | | 7 | | | | 6,553 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Media (continued) | | | | | | | | | |
Time Warner Cable LLC: | | | | | | | | | | | | |
4.13%, 02/15/21 | | | USD | | | | 63 | | | $ | 63,722 | |
6.55%, 05/01/37 | | | | | | | 24 | | | | 31,573 | |
5.50%, 09/01/41 | | | | | | | 7 | | | | 8,443 | |
ViacomCBS, Inc.: | | | | | | | | | | | | |
6.88%, 04/30/36 | | | | | | | 31 | | | | 42,011 | |
4.38%, 03/15/43 | | | | | | | 35 | | | | 36,599 | |
5.85%, 09/01/43 | | | | | | | 12 | | | | 14,121 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,859,017 | |
| | | |
| Metals & Mining — 0.1% | | | | | | | | | |
FMG Resources August 2006 Pty. Ltd.(b): | | | | | | | | | | | | |
4.75%, 05/15/22 | | | | | | | 23 | | | | 23,443 | |
5.13%, 03/15/23 | | | | | | | 15 | | | | 15,413 | |
5.13%, 05/15/24 | | | | | | | 23 | | | | 23,690 | |
FMG Resources Pty. Ltd., 4.50%, 09/15/27(b) | | | | | | | 4 | | | | 4,001 | |
Freeport-McMoRan, Inc.: | | | | | | | | | | | | |
5.00%, 09/01/27 | | | | | | | 4 | | | | 4,019 | |
5.25%, 09/01/29 | | | | | | | 4 | | | | 4,100 | |
Newmont Corp., 2.80%, 10/01/29 | | | | | | | 48 | | | | 50,622 | |
Novolipetsk Steel Via Steel Funding DAC,
4.70%, 05/30/26(b) | | | | | | | 200 | | | | 219,062 | |
Nucor Corp., 3.95%, 05/01/28 | | | | | | | 63 | | | | 72,316 | |
Steel Dynamics, Inc., 2.80%, 12/15/24 | | | | | | | 35 | | | | 36,425 | |
Teck Resources Ltd., 6.13%, 10/01/35 | | | | | | | 27 | | | | 30,645 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 483,736 | |
| | | |
| Multiline Retail — 0.0% | | | | | | | | | |
Dollar General Corp., 4.13%, 04/03/50 | | | | | | | 23 | | | | 27,522 | |
| | | | | | | | | | | | |
| | | |
| Multi-Utilities — 0.1% | | | | | | | | | |
Ameren Illinois Co.: | | | | | | | | | | | | |
3.80%, 05/15/28 | | | | | | | 50 | | | | 57,700 | |
3.25%, 03/15/50 | | | | | | | 40 | | | | 44,159 | |
Consumers Energy Co.: | | | | | | | | | | | | |
4.05%, 05/15/48 | | | | | | | 15 | | | | 18,867 | |
3.75%, 02/15/50 | | | | | | | 92 | | | | 112,200 | |
3.10%, 08/15/50 | | | | | | | 20 | | | | 22,253 | |
3.50%, 08/01/51 | | | | | | | 35 | | | | 41,485 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 296,664 | |
| | | |
| Oil, Gas & Consumable Fuels — 0.9% | | | | | | | | | |
Boardwalk Pipelines LP, 4.80%, 05/03/29 | | | | | | | 15 | | | | 15,973 | |
BP Capital Markets America, Inc.: | | | | | | | | | | | | |
3.79%, 02/06/24 | | | | | | | 55 | | | | 60,063 | |
3.80%, 09/21/25 | | | | | | | 69 | | | | 77,918 | |
3.41%, 02/11/26 | | | | | | | 18 | | | | 19,908 | |
3.12%, 05/04/26 | | | | | | | 17 | | | | 18,581 | |
3.59%, 04/14/27 | | | | | | | 25 | | | | 27,626 | |
Buckeye Partners LP, 3.95%, 12/01/26 | | | | | | | 4 | | | | 3,769 | |
Cameron LNG LLC(b): | | | | | | | | | | | | |
3.30%, 01/15/35 | | | | | | | 80 | | | | 88,203 | |
3.40%, 01/15/38 | | | | | | | 100 | | | | 107,416 | |
Cheniere Corpus Christi Holdings LLC: | | | | | | | | | | | | |
5.88%, 03/31/25 | | | | | | | 113 | | | | 126,647 | |
5.13%, 06/30/27 | | | | | | | 137 | | | | 150,546 | |
Cheniere Energy Partners LP: | | | | | | | | | | | | |
5.25%, 10/01/25 | | | | | | | 21 | | | | 20,931 | |
5.63%, 10/01/26 | | | | | | | 16 | | | | 15,920 | |
4.50%, 10/01/29(b) | | | | | | | 10 | | | | 9,687 | |
Citgo Holding, Inc., 9.25%, 08/01/24(b) | | | | | | | 34 | | | | 33,830 | |
Concho Resources, Inc., 3.75%, 10/01/27 | | | | | | | 17 | | | | 18,110 | |
CrownRock LP, 5.63%, 10/15/25(b) | | | | | | | 17 | | | | 15,236 | |
DCP Midstream Operating LP: | | | | | | | | | | | | |
5.38%, 07/15/25 | | | | | | | 5 | | | | 4,962 | |
5.13%, 05/15/29 | | | | | | | 4 | | | | 3,838 | |
Diamondback Energy, Inc., 3.50%, 12/01/29 | | | | | | | 111 | | | | 107,511 | |
| | |
SCHEDULES OF INVESTMENTS | | 41 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Oil, Gas & Consumable Fuels (continued) | | | | | | | | | |
Enbridge, Inc., 2.90%, 07/15/22 | | | USD | | | | 28 | | | $ | 29,048 | |
Energy Transfer Operating LP: | | | | | | | | | | | | |
3.60%, 02/01/23 | | | | | | | 25 | | | | 25,863 | |
4.25%, 03/15/23 | | | | | | | 40 | | | | 42,255 | |
4.20%, 09/15/23 | | | | | | | 15 | | | | 15,938 | |
2.90%, 05/15/25 | | | | | | | 136 | | | | 138,942 | |
6.50%, 02/01/42 | | | | | | | 87 | | | | 94,242 | |
Energy Transfer Partners LP: | | | | | | | | | | | | |
5.88%, 03/01/22 | | | | | | | 110 | | | | 116,069 | |
5.00%, 10/01/22 | | | | | | | 120 | | | | 127,750 | |
Enterprise Products Operating LLC: | | | | | | | | | | | | |
3.90%, 02/15/24 | | | | | | | 52 | | | | 56,978 | |
Series D, 6.88%, 03/01/33 | | | | | | | 9 | | | | 11,906 | |
Series H, 6.65%, 10/15/34 | | | | | | | 5 | | | | 6,758 | |
4.45%, 02/15/43 | | | | | | | 22 | | | | 24,373 | |
4.85%, 03/15/44 | | | | | | | 44 | | | | 50,972 | |
5.10%, 02/15/45 | | | | | | | 25 | | | | 29,785 | |
4.25%, 02/15/48 | | | | | | | 23 | | | | 25,367 | |
EOG Resources, Inc., 4.15%, 01/15/26 | | | | | | | 10 | | | | 11,510 | |
Exxon Mobil Corp., 2.28%, 08/16/26 | | | | | | | 2 | | | | 2,134 | |
Kinder Morgan Energy Partners LP,
6.38%, 03/01/41 | | | | | | | 28 | | | | 34,408 | |
Kinder Morgan, Inc., 5.30%, 12/01/34 | | | | | | | 79 | | | | 91,904 | |
Marathon Petroleum Corp.: | | | | | | | | | | | | |
5.85%, 12/15/45 | | | | | | | 25 | | | | 26,261 | |
4.50%, 04/01/48 | | | | | | | 17 | | | | 17,359 | |
Matador Resources Co., 5.88%, 09/15/26 | | | | | | | 7 | | | | 5,180 | |
MPLX LP: | | | | | | | | | | | | |
3.38%, 03/15/23 | | | | | | | 20 | | | | 20,857 | |
4.88%, 12/01/24 | | | | | | | 30 | | | | 33,320 | |
4.25%, 12/01/27 | | | | | | | 25 | | | | 27,104 | |
NGPL PipeCo LLC(b): | | | | | | | | | | | | |
4.38%, 08/15/22 | | | | | | | 48 | | | | 49,507 | |
4.88%, 08/15/27 | | | | | | | 110 | | | | 120,881 | |
7.77%, 12/15/37 | | | | | | | 16 | | | | 19,528 | |
Northwest Pipeline LLC, 4.00%, 04/01/27 | | | | | | | 135 | | | | 147,815 | |
Occidental Petroleum Corp., 0.00%, 10/10/36(k) | | | | | | | 180 | | | | 75,600 | |
Petrobras Global Finance BV: | | | | | | | | | | | | |
5.75%, 02/01/29 | | | | | | | 29 | | | | 29,716 | |
5.09%, 01/15/30 | | | | | | | 29 | | | | 28,884 | |
6.75%, 06/03/50 | | | | | | | 42 | | | | 43,197 | |
Sabine Pass Liquefaction LLC: | | | | | | | | | | | | |
5.63%, 04/15/23(e) | | | | | | | 100 | | | | 109,367 | |
5.63%, 03/01/25 | | | | | | | 436 | | | | 498,317 | |
5.88%, 06/30/26 | | | | | | | 46 | | | | 54,050 | |
4.20%, 03/15/28 | | | | | | | 85 | | | | 91,244 | |
SM Energy Co.: | | | | | | | | | | | | |
5.63%, 06/01/25 | | | | | | | 3 | | | | 1,590 | |
6.75%, 09/15/26 | | | | | | | 3 | | | | 1,509 | |
6.63%, 01/15/27 | | | | | | | 3 | | | | 1,470 | |
Suncor Energy, Inc.: | | | | | | | | | | | | |
6.80%, 05/15/38 | | | | | | | 31 | | | | 40,038 | |
6.50%, 06/15/38 | | | | | | | 2 | | | | 2,523 | |
Sunoco Logistics Partners Operations LP: | | | | | | | | | | | | |
4.25%, 04/01/24 | | | | | | | 110 | | | | 117,697 | |
5.95%, 12/01/25 | | | | | | | 30 | | | | 34,144 | |
Sunoco LP: | | | | | | | | | | | | |
4.88%, 01/15/23 | | | | | | | 13 | | | | 12,805 | |
5.50%, 02/15/26 | | | | | | | 11 | | | | 10,670 | |
6.00%, 04/15/27 | | | | | | | 9 | | | | 8,910 | |
Targa Resources Partners LP: | | | | | | | | | | | | |
6.75%, 03/15/24 | | | | | | | 13 | | | | 12,967 | |
5.13%, 02/01/25 | | | | | | | 15 | | | | 14,438 | |
5.88%, 04/15/26 | | | | | | | 30 | | | | 29,700 | |
5.38%, 02/01/27 | | | | | | | 15 | | | | 14,475 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Oil, Gas & Consumable Fuels (continued) | | | | | | | | | |
6.50%, 07/15/27 | | | USD | | | | 24 | | | $ | 24,060 | |
5.00%, 01/15/28 | | | | | | | 5 | | | | 4,702 | |
6.88%, 01/15/29 | | | | | | | 24 | | | | 25,140 | |
5.50%, 03/01/30(b) | | | | | | | 6 | | | | 5,794 | |
Texas Eastern Transmission LP(b): | | | | | | | | | | | | |
3.50%, 01/15/28 | | | | | | | 70 | | | | 74,489 | |
4.15%, 01/15/48 | | | | | | | 30 | | | | 32,676 | |
Total Capital International SA: | | | | | | | | | | | | |
2.75%, 06/19/21 | | | | | | | 10 | | | | 10,228 | |
3.70%, 01/15/24 | | | | | | | 25 | | | | 27,585 | |
2.43%, 01/10/25 | | | | | | | 65 | | | | 69,070 | |
TransCanada PipeLines Ltd., 4.63%, 03/01/34 | | | | | | | 23 | | | | 26,437 | |
Transcontinental Gas Pipe Line Co. LLC: | | | | | | | | | | | | |
7.85%, 02/01/26 | | | | | | | 56 | | | | 72,893 | |
4.00%, 03/15/28 | | | | | | | 112 | | | | 125,389 | |
4.60%, 03/15/48 | | | | | | | 20 | | | | 22,742 | |
3.95%, 05/15/50(b) | | | | | | | 39 | | | | 41,555 | |
Williams Cos., Inc. (The), Series A,
7.50%, 01/15/31 | | | | | | | 20 | | | | 25,611 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,152,371 | |
| | | |
| Paper & Forest Products — 0.1% | | | | | | | | | |
Georgia-Pacific LLC: | | | | | | | | | | | | |
5.40%, 11/01/20(b) | | | | | | | 50 | | | | 50,797 | |
3.73%, 07/15/23(b) | | | | | | | 60 | | | | 64,832 | |
1.75%, 09/30/25(b) | | | | | | | 22 | | | | 22,696 | |
7.38%, 12/01/25 | | | | | | | 37 | | | | 47,285 | |
2.10%, 04/30/27(b) | | | | | | | 26 | | | | 27,001 | |
7.75%, 11/15/29 | | | | | | | 20 | | | | 29,852 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 242,463 | |
| | | |
| Pharmaceuticals — 0.3% | | | | | | | | | |
Allergan Funding SCS, 3.45%, 03/15/22 | | | | | | | 140 | | | | 143,164 | |
Bausch Health Americas, Inc.(b): | | | | | | | | | | | | |
9.25%, 04/01/26 | | | | | | | 46 | | | | 49,906 | |
8.50%, 01/31/27 | | | | | | | 53 | | | | 56,246 | |
Bausch Health Cos., Inc.(b): | | | | | | | | | | | | |
5.50%, 11/01/25 | | | | | | | 44 | | | | 45,100 | |
9.00%, 12/15/25 | | | | | | | 46 | | | | 49,552 | |
5.75%, 08/15/27 | | | | | | | 9 | | | | 9,540 | |
7.00%, 01/15/28 | | | | | | | 23 | | | | 23,690 | |
7.25%, 05/30/29 | | | | | | | 23 | | | | 24,150 | |
Bayer US Finance II LLC, 4.38%, 12/15/28(b) | | | | | | | 200 | | | | 233,732 | |
Bristol-Myers Squibb Co.: | | | | | | | | | | | | |
3.25%, 08/01/42 | | | | | | | 11 | | | | 12,336 | |
4.55%, 02/20/48(b) | | | | | | | 22 | | | | 29,863 | |
Elanco Animal Health, Inc.(e): | | | | | | | | | | | | |
5.02%, 08/28/23 | | | | | | | 23 | | | | 24,150 | |
5.65%, 08/28/28 | | | | | | | 5 | | | | 5,544 | |
GlaxoSmithKline Capital plc, 3.38%, 06/01/29 | | | | | | | 19 | | | | 21,849 | |
GlaxoSmithKline Capital, Inc., 3.88%, 05/15/28 | | | | | | | 105 | | | | 123,619 | |
Merck & Co., Inc.: | | | | | | | | | | | | |
3.40%, 03/07/29 | | | | | | | 53 | | | | 61,153 | |
1.45%, 06/24/30 | | | | | | | 24 | | | | 23,973 | |
2.45%, 06/24/50 | | | | | | | 33 | | | | 33,168 | |
Pfizer, Inc.: | | | | | | | | | | | | |
3.45%, 03/15/29 | | | | | | | 86 | | | | 100,490 | |
2.63%, 04/01/30 | | | | | | | 42 | | | | 46,268 | |
Shire Acquisitions Investments Ireland DAC, 3.20%, 09/23/26 | | | | | | | 108 | | | | 119,835 | |
Takeda Pharmaceutical Co. Ltd.,
5.00%, 11/26/28 | | | | | | | 200 | | | | 247,769 | |
Wyeth LLC, 5.95%, 04/01/37 | | | | | | | 65 | | | | 94,898 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,579,995 | |
| | |
| 42 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Real Estate Management & Development — 0.0% | |
Howard Hughes Corp. (The),
5.38%, 03/15/25(b) | | | USD | | | | 30 | | | $ | 27,918 | |
| | | | | | | | |
| | | |
| Road & Rail — 0.2% | | | | | | | | | |
Burlington Northern Santa Fe LLC: | | | | | | | | | | | | |
6.15%, 05/01/37 | | | | | | | 28 | | | | 40,902 | |
5.75%, 05/01/40 | | | | | | | 3 | | | | 4,232 | |
5.05%, 03/01/41 | | | | | | | 10 | | | | 13,217 | |
5.40%, 06/01/41 | | | | | | | 2 | | | | 2,739 | |
4.95%, 09/15/41 | | | | | | | 4 | | | | 5,231 | |
4.40%, 03/15/42 | | | | | | | 13 | | | | 16,230 | |
Canadian Pacific Railway Co.,
2.05%, 03/05/30 | | | | | | | 14 | | | | 14,329 | |
CSX Corp.: | | | | | | | | | | | | |
4.25%, 03/15/29 | | | | | | | 75 | | | | 89,128 | |
4.30%, 03/01/48 | | | | | | | 99 | | | | 123,535 | |
4.75%, 11/15/48 | | | | | | | 23 | | | | 30,536 | |
4.25%, 11/01/66 | | | | | | | 25 | | | | 30,298 | |
Norfolk Southern Corp.: | | | | | | | | | | | | |
3.65%, 08/01/25 | | | | | | | 20 | | | | 22,577 | |
2.90%, 06/15/26 | | | | | | | 80 | | | | 88,389 | |
4.84%, 10/01/41 | | | | | | | 10 | | | | 12,976 | |
4.80%, 08/15/43 | | | | | | | 20 | | | | 25,344 | |
3.40%, 11/01/49 | | | | | | | 44 | | | | 47,926 | |
4.05%, 08/15/52 | | | | | | | 14 | | | | 16,741 | |
Penske Truck Leasing Co. LP(b): | | | | | | | | | | | | |
4.25%, 01/17/23 | | | | | | | 40 | | | | 42,549 | |
2.70%, 03/14/23 | | | | | | | 50 | | | | 51,173 | |
2.70%, 11/01/24 | | | | | | | 15 | | | | 15,432 | |
3.95%, 03/10/25 | | | | | | | 30 | | | | 32,518 | |
4.00%, 07/15/25 | | | | | | | 60 | | | | 65,625 | |
Ryder System, Inc.: | | | | | | | | | | | | |
3.65%, 03/18/24 | | | | | | | 15 | | | | 16,025 | |
2.50%, 09/01/24 | | | | | | | 5 | | | | 5,157 | |
4.63%, 06/01/25 | | | | | | | 70 | | | | 78,040 | |
Union Pacific Corp.: | | | | | | | | | | | | |
2.75%, 03/01/26 | | | | | | | 58 | | | | 63,111 | |
3.38%, 02/01/35 | | | | | | | 26 | | | | 29,261 | |
3.60%, 09/15/37 | | | | | | | 32 | | | | 35,582 | |
3.95%, 08/15/59 | | | | | | | 53 | | | | 62,103 | |
3.84%, 03/20/60 | | | | | | | 46 | | | | 53,159 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,134,065 | |
|
| Semiconductors & Semiconductor Equipment — 0.5% | |
Analog Devices, Inc., 3.50%, 12/05/26 | | | | | | | 19 | | | | 21,228 | |
Applied Materials, Inc.: | | | | | | | | | | | | |
5.10%, 10/01/35 | | | | | | | 8 | | | | 11,149 | |
2.75%, 06/01/50 | | | | | | | 80 | | | | 81,704 | |
Broadcom Corp.: | | | | | | | | | | | | |
2.65%, 01/15/23 | | | | | | | 20 | | | | 20,741 | |
3.13%, 01/15/25 | | | | | | | 24 | | | | 25,636 | |
3.88%, 01/15/27 | | | | | | | 321 | | | | 346,878 | |
Broadcom, Inc.(b): | | | | | | | | | | | | |
2.25%, 11/15/23 | | | | | | | 131 | | | | 135,351 | |
4.70%, 04/15/25 | | | | | | | 237 | | | | 267,045 | |
4.25%, 04/15/26 | | | | | | | 51 | | | | 56,758 | |
4.11%, 09/15/28 | | | | | | | 38 | | | | 41,402 | |
Intel Corp.: | | | | | | | | | | | | |
4.10%, 05/19/46 | | | | | | | 15 | | | | 18,721 | |
4.75%, 03/25/50 | | | | | | | 82 | | | | 115,600 | |
KLA Corp.: | | | | | | | | | | | | |
4.10%, 03/15/29 | | | | | | | 78 | | | | 92,051 | |
3.30%, 03/01/50 | | | | | | | 122 | | | | 126,012 | |
Lam Research Corp.: | | | | | | | | | | | | |
3.75%, 03/15/26 | | | | | | | 116 | | | | 132,604 | |
1.90%, 06/15/30 | | | | | | | 17 | | | | 17,377 | |
4.88%, 03/15/49 | | | | | | | 31 | | | | 42,986 | |
2.88%, 06/15/50 | | | | | | | 31 | | | | 31,936 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Semiconductors & Semiconductor Equipment (continued) | |
NVIDIA Corp.: | | | | | | | | | | | | |
3.20%, 09/16/26 | | | USD | | | | 105 | | | $ | 118,936 | |
2.85%, 04/01/30 | | | | | | | 125 | | | | 139,061 | |
3.50%, 04/01/50 | | | | | | | 80 | | | | 91,404 | |
NXP BV(b): | | | | | | | | | | | | |
3.15%, 05/01/27 | | | | | | | 32 | | | | 33,923 | |
5.55%, 12/01/28 | | | | | | | 43 | | | | 52,243 | |
4.30%, 06/18/29 | | | | | | | 44 | | | | 49,925 | |
QUALCOMM, Inc.: | | | | | | | | | | | | |
4.80%, 05/20/45 | | | | | | | 20 | | | | 26,152 | |
4.30%, 05/20/47 | | | | | | | 65 | | | | 81,076 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,177,899 | |
| | | |
| Software — 0.2% | | | | | | | | | |
Autodesk, Inc.: | | | | | | | | | | | | |
4.38%, 06/15/25 | | | | | | | 5 | | | | 5,704 | |
3.50%, 06/15/27 | | | | | | | 116 | | | | 130,862 | |
Microsoft Corp.: | | | | | | | | | | | | |
3.50%, 02/12/35 | | | | | | | 6 | | | | 7,319 | |
4.20%, 11/03/35 | | | | | | | 39 | | | | 50,760 | |
3.45%, 08/08/36 | | | | | | | 43 | | | | 51,964 | |
3.75%, 02/12/45 | | | | | | | 30 | | | | 37,549 | |
4.00%, 02/12/55 | | | | | | | 82 | | | | 105,418 | |
Oracle Corp.: | | | | | | | | | | | | |
2.50%, 04/01/25 | | | | | | | 80 | | | | 85,682 | |
3.90%, 05/15/35 | | | | | | | 121 | | | | 145,951 | |
3.85%, 07/15/36 | | | | | | | 36 | | | | 42,010 | |
3.80%, 11/15/37 | | | | | | | 26 | | | | 30,001 | |
3.60%, 04/01/40 | | | | | | | 110 | | | | 124,860 | |
4.13%, 05/15/45 | | | | | | | 74 | | | | 88,334 | |
3.60%, 04/01/50 | | | | | | | 163 | | | | 181,399 | |
4.38%, 05/15/55 | | | | | | | 13 | | | | 16,312 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,104,125 | |
| | | |
| Specialty Retail — 0.1% | | | | | | | | | |
Home Depot, Inc. (The): | | | | | | | | | | | | |
2.95%, 06/15/29 | | | | | | | 124 | | | | 139,449 | |
2.70%, 04/15/30 | | | | | | | 40 | | | | 43,924 | |
Lowe’s Cos., Inc.: | | | | | | | | | | | | |
4.00%, 04/15/25 | | | | | | | 130 | | | | 148,146 | |
4.05%, 05/03/47 | | | | | | | 52 | | | | 61,292 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 392,811 | |
|
| Technology Hardware, Storage & Peripherals — 0.2% | |
Apple, Inc.: | | | | | | | | | | | | |
3.85%, 05/04/43 | | | | | | | 87 | | | | 107,697 | |
3.45%, 02/09/45 | | | | | | | 43 | | | | 50,185 | |
4.25%, 02/09/47 | | | | | | | 36 | | | | 47,501 | |
Dell International LLC(b): | | | | | | | | | | | | |
6.02%, 06/15/26 | | | | | | | 16 | | | | 18,344 | |
4.90%, 10/01/26 | | | | | | | 50 | | | | 55,170 | |
8.10%, 07/15/36 | | | | | | | 60 | | | | 79,124 | |
Hewlett Packard Enterprise Co.: | | | | | | | | | | | | |
4.40%, 10/15/22(e) | | | | | | | 260 | | | | 278,338 | |
4.45%, 10/02/23 | | | | | | | 90 | | | | 98,195 | |
4.65%, 10/01/24 | | | | | | | 117 | | | | 131,380 | |
HP, Inc., 6.00%, 09/15/41 | | | | | | | 15 | | | | 17,587 | |
Seagate HDD Cayman, 4.09%, 06/01/29(b) | | | | | | | 32 | | | | 33,544 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 917,065 | |
| | | |
| Textiles, Apparel & Luxury Goods — 0.0% | | | | | | | | | |
Hanesbrands, Inc.(b): | | | | | | | | | | | | |
4.63%, 05/15/24 | | | | | | | 29 | | | | 28,855 | |
4.88%, 05/15/26 | | | | | | | 6 | | | | 6,045 | |
NIKE, Inc., 2.75%, 03/27/27 | | | | | | | 110 | | | | 121,172 | |
Under Armour, Inc., 3.25%, 06/15/26 | | | | | | | 4 | | | | 3,531 | |
| | |
SCHEDULES OF INVESTMENTS | | 43 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Textiles, Apparel & Luxury Goods (continued) | |
William Carter Co. (The), 5.63%, 03/15/27(b) | | | USD | | | | 15 | | | $ | 15,450 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 175,053 | |
| | | |
| Thrifts & Mortgage Finance — 0.0% | | | | | | | | | |
Nationstar Mortgage Holdings, Inc.(b): | | | | | | | | | | | | |
8.13%, 07/15/23 | | | | | | | 32 | | | | 32,838 | |
9.13%, 07/15/26 | | | | | | | 25 | | | | 26,422 | |
Quicken Loans, Inc.(b): | | | | | | | | | | | | |
5.75%, 05/01/25 | | | | | | | 30 | | | | 30,669 | |
5.25%, 01/15/28 | | | | | | | 31 | | | | 31,988 | |
Washington Mutual Escrow Bonds,
0.00%, 11/06/09(c)(g)(i) | | | | | | | 100 | | | | — | |
| | | | | | | | | | | | |
| | | | | | | | | | | 121,917 | |
| | | |
| Tobacco — 0.3% | | | | | | | | | |
Altria Group, Inc.: | | | | | | | | | | | | |
4.00%, 01/31/24 | | | | | | | 55 | | | | 60,559 | |
3.80%, 02/14/24 | | | | | | | 81 | | | | 88,564 | |
4.40%, 02/14/26 | | | | | | | 130 | | | | 149,689 | |
4.80%, 02/14/29 | | | | | | | 80 | | | | 93,403 | |
5.80%, 02/14/39 | | | | | | | 126 | | | | 155,820 | |
BAT Capital Corp.: | | | | | | | | | | | | |
3.22%, 08/15/24 | | | | | | | 14 | | | | 14,994 | |
2.79%, 09/06/24 | | | | | | | 79 | | | | 83,246 | |
3.22%, 09/06/26 | | | | | | | 10 | | | | 10,721 | |
4.70%, 04/02/27 | | | | | | | 13 | | | | 14,858 | |
4.54%, 08/15/47 | | | | | | | 44 | | | | 47,774 | |
5.28%, 04/02/50 | | | | | | | 29 | | | | 35,103 | |
Philip Morris International, Inc.: | | | | | | | | | | | | |
2.88%, 05/01/24 | | | | | | | 82 | | | | 88,081 | |
3.25%, 11/10/24 | | | | | | | 151 | | | | 167,161 | |
Reynolds American, Inc., 5.85%, 08/15/45 | | | | | | | 134 | | | | 164,707 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,174,680 | |
|
| Trading Companies & Distributors — 0.1% | |
Beacon Roofing Supply, Inc.,
4.88%, 11/01/25(b) | | | | | | | 39 | | | | 34,807 | |
H&E Equipment Services, Inc.,
5.63%, 09/01/25 | | | | | | | 61 | | | | 61,597 | |
HD Supply, Inc., 5.38%, 10/15/26(b) | | | | | | | 18 | | | | 18,383 | |
Herc Holdings, Inc., 5.50%, 07/15/27(b) | | | | | | | 39 | | | | 39,084 | |
United Rentals North America, Inc.: | | | | | | | | | | | | |
4.63%, 10/15/25 | | | | | | | 23 | | | | 23,115 | |
5.88%, 09/15/26 | | | | | | | 31 | | | | 32,488 | |
6.50%, 12/15/26 | | | | | | | 36 | | | | 37,800 | |
5.50%, 05/15/27 | | | | | | | 31 | | | | 31,930 | |
3.88%, 11/15/27 | | | | | | | 5 | | | | 4,988 | |
4.88%, 01/15/28 | | | | | | | 52 | | | | 53,300 | |
5.25%, 01/15/30 | | | | | | | 5 | | | | 5,162 | |
| | | | | | | | | | �� | | |
| | | | | | | | | | | 342,654 | |
|
| Wireless Telecommunication Services — 0.2% | |
Empresa Nacional de Telecomunicaciones SA, 4.75%, 08/01/26(b) | | | | | | | 200 | | | | 212,563 | |
Sprint Corp.: | | | | | | | | | | | | |
7.63%, 02/15/25 | | | | | | | 53 | | | | 61,149 | |
7.63%, 03/01/26 | | | | | | | 53 | | | | 62,559 | |
Sprint Spectrum Co. LLC, 3.36%, 09/20/21(b)(e) | | | | | | | 88 | | | | 88,882 | |
T-Mobile USA, Inc.(b): | | | | | | | | | | | | |
3.50%, 04/15/25 | | | | | | | 98 | | | | 106,662 | |
3.75%, 04/15/27 | | | | | | | 210 | | | | 232,716 | |
3.88%, 04/15/30 | | | | | | | 64 | | | | 71,229 | |
2.55%, 02/15/31 | | | | | | | 72 | | | | 72,254 | |
Vodafone Group plc: | | | | | | | | | | | | |
4.13%, 05/30/25 | | | | | | | 5 | | | | 5,669 | |
4.38%, 02/19/43 | | | | | | | 44 | | | | 51,208 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
| Wireless Telecommunication Services (continued) | |
5.25%, 05/30/48 | | | USD | | | | 83 | | | $ | 108,393 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,073,284 | |
| | | | | | | | | | | | |
| |
Total Corporate Bonds — 13.9%
(Cost: $63,525,299) | | | | 66,252,898 | |
| | | | | | | | | | | | |
|
Floating Rate Loan Interests — 0.0% | |
| | | |
| Consumer Finance — 0.0% | | | | | | | | | |
Credito Realsab de CV., Term Loan, (LIBOR USD 6 Month + 3.75%), 5.45%, 11/06/21(c)(l) | | | | | | | 10 | | | | 8,900 | |
| | | | | | | | | | | | |
| |
Total Floating Rate Loan Interests — 0.0%
(Cost: $10,000) | | | | 8,900 | |
| | | | | | | | | | | | |
|
Foreign Agency Obligations — 0.1% | |
| | | |
| Colombia — 0.1% | | | | | | | | | |
Ecopetrol SA: | | | | | | | | | | | | |
5.38%, 06/26/26 | | | | | | | 115 | | | | 120,900 | |
6.88%, 04/29/30 | | | | | | | 22 | | | | 25,217 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 146,117 | |
| | | |
| Mexico — 0.0% | | | | | | | | | |
Petroleos Mexicanos:
5.50%, 01/21/21 | | | | | | | 10 | | | | 10,003 | |
(LIBOR USD 3 Month + 3.65%),
3.96%, 03/11/22(a) | | | | | | | 29 | | | | 27,956 | |
4.25%, 01/15/25 | | | | | | | 34 | | | | 30,889 | |
4.50%, 01/23/26 | | | | | | | 69 | | | | 60,203 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 129,051 | |
| | | | | | | | | | | | |
| |
Total Foreign Agency Obligations — 0.1%
(Cost: $255,437) | | | | 275,168 | |
| | | | | | | | | | | | |
|
Foreign Government Obligations — 1.1% | |
| | | |
| Brazil — 0.0% | | | | | | | | | |
Federative Republic of Brazil,
2.88%, 06/06/25 | | | | | | | 200 | | | | 197,200 | |
| | | | | | | | | | | | |
| | | |
| China — 0.1% | | | | | | | | | |
People’s Republic of China,
3.29%, 05/23/29 | | | CNY | | | | 1,590 | | | | 229,914 | |
| | | | | | | | | | | | |
| | | |
| Colombia — 0.2% | | | | | | | | | |
Republic of Colombia: | | | | | | | | | | | | |
6.25%, 11/26/25 | | | COP | | | | 121,600 | | | | 34,916 | |
3.88%, 04/25/27 | | | USD | | | | 340 | | | | 360,294 | |
4.50%, 03/15/29 | | | | | | | 240 | | | | 262,650 | |
7.25%, 10/18/34 | | | COP | | | | 340,300 | | | | 93,557 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 751,417 | |
| | | |
| Hungary — 0.0% | | | | | | | | | |
Hungary Government Bond,
5.38%, 03/25/24 | | | USD | | | | 140 | | | | 158,900 | |
| | | | | | | | | | | | |
| | | |
| Indonesia — 0.2% | | | | | | | | | |
Republic of Indonesia: | | | | | | | | | | | | |
4.45%, 02/11/24 | | | | | | | 200 | | | | 216,750 | |
6.50%, 06/15/25 | | | IDR | | | | 1,104,000 | | | | 77,091 | |
7.00%, 05/15/27 | | | | | | | 882,000 | | | | 61,836 | |
2.85%, 02/14/30 | | | USD | | | | 200 | | | | 203,750 | |
7.00%, 09/15/30 | | | IDR | | | | 390,000 | | | | 26,796 | |
6.63%, 05/15/33 | | | | | | | 328,000 | | | | 20,986 | |
7.50%, 06/15/35 | | | | | | | 1,831,000 | | | | 126,879 | |
8.38%, 04/15/39 | | | | | | | 2,544,000 | | | | 186,993 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 921,081 | |
| | | |
| Mexico — 0.1% | | | | | | | | | |
United Mexican States, 4.15%, 03/28/27 | | | USD | | | | 602 | | | | 645,946 | |
| | | | | | | | | | | | |
| | |
| 44 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Panama — 0.0% | | | | | | | | | |
Republic of Panama, 3.88%, 03/17/28 | | | USD | | | | 200 | | | $ | 224,750 | |
| | | | | | | | | | | | |
| | | |
| Peru — 0.0% | | | | | | | | | |
Republic of Peru, 4.13%, 08/25/27 | | | | | | | 179 | | | | 205,514 | |
| | | | | | | | | | | | |
| | | |
| Philippines — 0.1% | | | | | | | | | |
Republic of Philippines, 3.00%, 02/01/28 | | | | | | | 260 | | | | 280,415 | |
| | | | | | | | | | | | |
| | | |
| Qatar — 0.1% | | | | | | | | | |
State of Qatar, 3.75%, 04/16/30(b) | | | | | | | 200 | | | | 228,188 | |
| | | | | | | | | | | | |
| | | |
| Russia — 0.1% | | | | | | | | | |
Russian Federation: | | | | | | | | | | | | |
8.15%, 02/03/27 | | | RUB | | | | 5,608 | | | | 90,791 | |
6.00%, 10/06/27 | | | | | | | 3,125 | | | | 45,182 | |
6.90%, 05/23/29 | | | | | | | 12,908 | | | | 196,281 | |
8.50%, 09/17/31 | | | | | | | 14,792 | | | | 251,171 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 583,425 | |
| | | |
| Saudi Arabia — 0.1% | | | | | | | | | |
Kingdom of Saudi Arabia, 2.90%, 10/22/25(b) | | | USD | | | | 237 | | | | 251,220 | |
| | | | | | | | | | | | |
| | | |
| Ukraine — 0.1% | | | | | | | | | |
Ukraine Government Bond, 9.75%, 11/01/28 | | | | | | | 200 | | | | 228,500 | |
| | | | | | | | | | | | |
| | | |
| Uruguay — 0.0% | | | | | | | | | |
Oriental Republic of Uruguay: | | | | | | | | | | | | |
4.38%, 10/27/27 | | | | | | | 90 | | | | 102,994 | |
5.10%, 06/18/50 | | | | | | | 30 | | | | 38,681 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 141,675 | |
| | | | | | | | | | | | |
| |
Total Foreign Government Obligations — 1.1%
(Cost: $4,853,660) | | | | 5,048,145 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Shares | | | | |
|
Investment Companies — 2.1%* | |
BlackRock Allocation Target Shares- BATS Series A | | | | | | | 735,470 | | | | 7,156,127 | |
iShares iBoxx $ High Yield Corporate Bond ETF | | | | | | | 10,890 | | | | 888,842 | |
iShares iBoxx $ Investment Grade Corporate Bond ETF | | | | | | | 13,320 | | | | 1,791,540 | |
| | | | | | | | | | | | |
| |
Total Investment Companies — 2.1%
(Cost: $10,018,126) | | | | 9,836,509 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Par (000) | | | | |
| | | |
Municipal Bonds — 1.6% | | | | | | | | | | | | |
American Municipal Power, Inc.: | | | | | | | | | | | | |
Series 2010B, RB, 7.83%, 02/15/41 | | | | | | | 20 | | | | 32,380 | |
Series 2010B, RB, 8.08%, 02/15/50 | | | | | | | 30 | | | | 54,557 | |
Arizona Health Facilities Authority, Series 2007B, RB, VRDN, 1.77%, 07/01/20(m) | | | | | | | 40 | | | | 37,621 | |
Bay Area Toll Authority: | | | | | | | | | | | | |
Series 2010S-1, RB, 6.92%, 04/01/40 | | | | | | | 80 | | | | 127,491 | |
Series 2010S-1, RB, 7.04%, 04/01/50 | | | | | | | 110 | | | | 197,916 | |
California Health Facilities Financing Authority, Series 2016A, RB, 5.00%, 08/15/33 | | | | | | | 20 | | | | 24,323 | |
California State Public Works Board, Series 2009G, Sub-Series G-2, RB, 8.36%, 10/01/34 | | | | | | | 40 | | | | 66,372 | |
California State University, Series 2020B, RB, 2.98%, 11/01/51 | | | | | | | 110 | | | | 116,450 | |
Canaveral Port Authority: | | | | | | | | | | | | |
Series 2018A, RB, 5.00%, 06/01/45 | | | | | | | 30 | | | | 32,692 | |
Series 2018B, RB, 5.00%, 06/01/48 | | | | | | | 20 | | | | 21,905 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Municipal Bonds (continued) | | | | | | | | | |
Central Puget Sound Regional Transit Authority, Series 2015S-1, RB, 5.00%, 11/01/50 | | | USD | | | | 20 | | | $ | 22,846 | |
Chesapeake Bay Bridge & Tunnel District, Series 2016, RB, 5.00%, 07/01/51 | | | | | | | 10 | | | | 10,780 | |
City of Atlanta, Series 2015, RB, 5.00%, 11/01/40 | | | | | | | 10 | | | | 11,792 | |
City of New York: | | | | | | | | | | | | |
Series 2019A, Sub-Series A-3, GO, 2.85%, 08/01/31 | | | | | | | 70 | | | | 74,326 | |
Series 2019A, Sub-Series A-3, GO, 2.90%, 08/01/32 | | | | | | | 115 | | | | 122,097 | |
City of Riverside, Series 2010A, RB, 7.61%, 10/01/40 | | | | | | | 25 | | | | 40,462 | |
City of San Antonio Electric & Gas Systems, Series 2010A, RB, 5.81%, 02/01/41 | | | | | | | 45 | | | | 67,115 | |
Colorado Health Facilities Authority, Series 2019A-2, RB, 5.00%, 08/01/44 | | | | | | | 40 | | | | 46,965 | |
Commonwealth Financing Authority: | | | | | | | | | | | | |
Series 2018A, RB, 3.86%, 06/01/38 | | | | | | | 15 | | | | 17,510 | |
Series 2016A, RB, 4.14%, 06/01/38 | | | | | | | 10 | | | | 12,017 | |
Series 2019A, RB, 3.81%, 06/01/41 | | | | | | | 205 | | | | 237,993 | |
Commonwealth of Massachusetts, Series 2009E, GO, 5.46%, 12/01/39 | | | | | | | 5 | | | | 7,217 | |
Connecticut State Health & Educational Facilities Authority: | | | | | | | | | | | | |
Series 2015F, RB, 5.00%, 07/01/45 | | | | | | | 30 | | | | 33,215 | |
Series 2015L, RB, 5.00%, 07/01/45 | | | | | | | 40 | | | | 43,039 | |
Contra Costa Community College District,
Series 2010B, GO, 6.50%, 08/01/34 | | | | | | | 25 | | | | 36,189 | |
County of Broward Airport System: | | | | | | | | | | | | |
Series 2019C, RB, 2.81%, 10/01/31 | | | | | | | 20 | | | | 19,731 | |
Series 2019C, RB, 2.91%, 10/01/32 | | | | | | | 15 | | | | 14,860 | |
County of Miami-Dade: | | | | | | | | | | | | |
Series 2017D, RB, 3.35%, 10/01/29 | | | | | | | 10 | | | | 10,268 | |
Series 2019E, RB, 2.53%, 10/01/30 | | | | | | | 70 | | | | 67,500 | |
Series 2017D, RB, 3.45%, 10/01/30 | | | | | | | 15 | | | | 15,449 | |
Series 2017D, RB, 3.50%, 10/01/31 | | | | | | | 15 | | | | 15,452 | |
Series 2018C, RB, 4.06%, 10/01/31 | | | | | | | 20 | | | | 21,498 | |
Series 2015A, RB, 5.00%, 10/01/38 | | | | | | | 45 | | | | 50,848 | |
Series 2017B, RB, 5.00%, 10/01/40 | | | | | | | 20 | | | | 23,306 | |
Dallas Area Rapid Transit: | | | | | | | | | | | | |
Series 2016A, RB, 5.00%, 12/01/41 | | | | | | | 30 | | | | 35,236 | |
Series 2016A, RB, 5.00%, 12/01/46 | | | | | | | 40 | | | | 46,417 | |
Dallas/Fort Worth International Airport,
Series 2019A-2, RB, 3.14%, 11/01/45 | | | | | | | 30 | | | | 30,689 | |
DuBois Hospital Authority, Series 2018, RB, 5.00%, 07/15/43 | | | | | | | 20 | | | | 23,123 | |
Dutchess County Local Development Corp., Series 2016B, RB, 5.00%, 07/01/46 | | | | | | | 50 | | | | 54,448 | |
Grant County Public Utility District No. 2, Series 2015M, RB, 4.58%, 01/01/40 | | | | | | | 15 | | | | 18,490 | |
Great Lakes Water Authority Sewage Disposal System, Series 2020A, RB, 3.06%, 07/01/39 | | | | | | | 20 | | | | 21,290 | |
Great Lakes Water Authority Water Supply System, Series 2016C, RB, 5.25%, 07/01/33 | | | | | | | 5 | | | | 5,954 | |
Health & Educational Facilities Authority: | | | | | | | | | | | | |
Series 2016, RB, 5.00%, 11/15/29 | | | | | | | 15 | | | | 17,940 | |
Series 2020A, RB, 3.23%, 05/15/50 | | | | | | | 15 | | | | 17,572 | |
Idaho Health Facilities Authority, Series 2017A, RB, 5.00%, 12/01/47 | | | | | | | 20 | | | | 23,486 | |
Indiana Finance Authority, Series 2015A, RB, 5.00%, 10/01/45 | | | | | | | 40 | | | | 45,854 | |
Indiana Housing & Community Development Authority, Series 2018A, RB, 3.80%, 07/01/38 | | | | | | | 10 | | | | 11,013 | |
| | |
SCHEDULES OF INVESTMENTS | | 45 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Municipal Bonds (continued) | |
JobsOhio Beverage System, Series 2020A, RB, 2.83%, 01/01/38 | | | USD | | | | 55 | | | $ | 56,352 | |
Lexington County Health Services District, Inc., Series 2016, RB, 5.00%, 11/01/41 | | | | | | | 20 | | | | 23,065 | |
Los Angeles Community College District, Series 2010E, GO, 6.60%, 08/01/42 | | | | | | | 50 | | | | 83,049 | |
Los Angeles Unified School District, Series 2010I, GO, 6.76%, 07/01/34 | | | | | | | 60 | | | | 88,555 | |
Louisiana Public Facilities Authority, Series 2018E, RB, 5.00%, 07/01/48 | | | | | | | 20 | | | | 23,546 | |
Maryland Health & Higher Educational Facilities Authority, Series 2015, RB, 5.00%, 08/15/27 | | | | | | | 20 | | | | 23,250 | |
Massachusetts Development Finance Agency: | | | | | | | | | | | | |
Series 2018J-2, RB, 5.00%, 07/01/43 | | | | | | | 30 | | | | 34,918 | |
Series 2016Q, RB, 5.00%, 07/01/47 | | | | | | | 20 | | | | 22,780 | |
Massachusetts Housing Finance Agency: | | | | | | | | | | | | |
Series 2014B, RB, 4.50%, 12/01/39 | | | | | | | 10 | | | | 10,524 | |
Series 2014B, RB, 4.60%, 12/01/44 | | | | | | | 10 | | | | 10,763 | |
Series 2015A, RB, 4.50%, 12/01/48 | | | | | | | 10 | | | | 10,671 | |
Massachusetts School Building Authority: | | | | | | | | | | | | |
Series 2019B, RB, 2.87%, 10/15/31 | | | | | | | 80 | | | | 84,366 | |
Series 2019B, RB, 2.97%, 10/15/32 | | | | | | | 45 | | | | 47,560 | |
Massachusetts Water Resources Authority, Series 2016C, RB, 5.00%, 08/01/40 | | | | | | | 10 | | | | 12,079 | |
Metropolitan Atlanta Rapid Transit Authority, Series 2015A, RB, 5.00%, 07/01/41 | | | | | | | 40 | | | | 47,224 | |
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board, Series 2016A, RB, 5.00%, 07/01/46 | | | | | | | 30 | | | | 33,453 | |
Metropolitan Transportation Authority: | | | | | | | | | | | | |
Series 2009C, RB, 7.34%, 11/15/39 | | | | | | | 170 | | | | 275,296 | |
Series 2019C, RB, 5.00%, 11/15/41 | | | | | | | 20 | | | | 24,138 | |
Michigan Finance Authority: | | | | | | | | | | | | |
Series 2016, RB, 5.00%, 11/15/28 | | | | | | | 20 | | | | 24,069 | |
Series 2016, RB, 5.00%, 11/15/41 | | | | | | | 20 | | | | 23,045 | |
Michigan State Housing Development Authority: | | | | | | | | | | | | |
Series 2018B, RB, 3.55%, 10/01/33 | | | | | | | 10 | | | | 11,008 | |
Series 2018A, RB, 4.00%, 10/01/43 | | | | | | | 10 | | | | 10,988 | |
Series 2018A, RB, 4.05%, 10/01/48 | | | | | | | 10 | | | | 10,992 | |
Series 2018A, RB, 4.15%, 10/01/53 | | | | | | | 30 | | | | 32,477 | |
Mississippi Hospital Equipment & Facilities Authority, Series 2016A, RB, 5.00%, 09/01/46 | | | | | | | 30 | | | | 32,834 | |
Municipal Electric Authority of Georgia, Series 2010A, RB, 6.64%, 04/01/57 | | | | | | | 44 | | | | 63,954 | |
New Hope Cultural Education Facilities Finance Corp., Series 2017A, RB, 5.00%, 08/15/47. | | | | | | | 20 | | | | 23,570 | |
New Jersey Transportation Trust Fund Authority, Series 2010C, RB, 5.75%, 12/15/28 | | | | | | | 25 | | | | 28,961 | |
New Jersey Turnpike Authority, Series 2009F, RB, 7.41%, 01/01/40 | | | | | | | 66 | | | | 112,146 | |
New Orleans Aviation Board, Series 2015B, RB, 5.00%, 01/01/40 | | | | | | | 20 | | | | 22,281 | |
New York City Housing Development Corp.: | | | | | | | | | | | | |
Series 2018C-1-A, RB, 3.70%, 11/01/38 | | | | | | | 10 | | | | 10,639 | |
Series 2018C-1-B, RB, 3.85%, 11/01/43 | | | | | | | 40 | | | | 42,634 | |
Series 2018C-1-A, RB, 4.00%, 11/01/53 | | | | | | | 40 | | | | 42,320 | |
New York City Transitional Finance Authority Future Tax Secured: | | | | | | | | | | | | |
Series 2018, Sub-Series C-4, RB, 3.55%, 05/01/25 | | | | | | | 65 | | | | 72,735 | |
Series 2014A, Sub-Series A-2, RB, 3.75%, 11/01/25 | | | | | | | 50 | | | | 54,666 | |
Series 2017F, Sub-Series F-2, RB, 3.05%, 05/01/27 | | | | | | | 70 | | | | 77,036 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Municipal Bonds (continued) | |
Series 2019C, Sub-Series C-3, RB, 3.35%, 11/01/30 | | | USD | | | | 80 | | | $ | 89,010 | |
Series 2019B, Sub-Series B-3, RB, 3.90%, 08/01/31 | | | | | | | 70 | | | | 80,119 | |
New York City Water & Sewer System: | | | | | | | | | | | | |
Series 2010AA, RB, 5.75%, 06/15/41 | | | | | | | 10 | | | | 15,410 | |
Series 2020AA, RB, 5.38%, 06/15/43(n) | | | | | | | 145 | | | | 148,364 | |
Series 2020AA, RB, 5.38%, 06/15/43 | | | | | | | 70 | | | | 71,429 | |
Series 2011AA, RB, 5.44%, 06/15/43 | | | | | | | 40 | | | | 61,836 | |
Series 2011EE, RB, 5.50%, 06/15/43(n) | | | | | | | 75 | | | | 76,784 | |
Series 2011CC, RB, 5.88%, 06/15/44 | | | | | | | 50 | | | | 80,381 | |
New York Convention Center Development Corp., Series 2015, RB, 5.00%, 11/15/40 | | | | | | | 20 | | | | 21,692 | |
New York State Dormitory Authority: | | | | | | | | | | | | |
Series 2020F, RB, 3.19%, 02/15/43 | | | | | | | 50 | | | | 56,537 | |
Series 2019B, RB, 3.14%, 07/01/43 | | | | | | | 35 | | | | 35,194 | |
New York State Urban Development Corp.: | | | | | | | | | | | | |
Series 2019B, RB, 2.35%, 03/15/27 | | | | | | | 70 | | | | 73,538 | |
Series 2017D-2, RB, 3.32%, 03/15/29 | | | | | | | 55 | | | | 60,257 | |
New York Transportation Development Corp.: | | | | | | | | | | | | |
Series 2016A, RB, 5.00%, 07/01/46 | | | | | | | 20 | | | | 21,464 | |
Series 2016A, RB, 5.25%, 01/01/50 | | | | | | | 130 | | | | 140,568 | |
Orange County Local Transportation Authority, Series 2010A, RB, 6.91%, 02/15/41 | | | | | | | 75 | | | | 111,476 | |
Oregon School Boards Association: | | | | | | | | | | | | |
Series 2005A, GO, 4.76%, 06/30/28 | | | | | | | 90 | | | | 99,540 | |
Series 2002B, GO, 5.55%, 06/30/28 | | | | | | | 95 | | | | 113,994 | |
Series 2003B, GO, 5.68%, 06/30/28 | | | | | | | 70 | | | | 85,862 | |
Pennsylvania Economic Development Financing Authority, Series 2015, RB, 5.00%, 12/31/38 | | | | | | | 25 | | | | 27,082 | |
Port Authority of New York & New Jersey: | | | | | | | | | | | | |
Series 2014-181, RB, 4.96%, 08/01/46 | | | | | | | 15 | | | | 20,344 | |
Series 2012-174, RB, 4.46%, 10/01/62 | | | | | | | 50 | | | | 66,467 | |
Port of Seattle, Series 2018A, RB, 5.00%, 05/01/43 | | | | | | | 10 | | | | 11,494 | |
Regents of the University of California Medical Center Pooled, Series 2009F, RB, 6.58%, 05/15/49 | | | | | | | 55 | | | | 87,532 | |
Royal Oak Hospital Finance Authority, Series 2014D, RB, 5.00%, 09/01/39 | | | | | | | 20 | | | | 22,411 | |
Rutgers The State University of New Jersey, Series 2019R, RB, 3.27%, 05/01/43 | | | | | | | 50 | | | | 51,513 | |
Sacramento County Sanitation Districts Financing Authority, Series 2007B, RB, VRDN, 0.76%, 09/01/20(m) | | | | | | | 110 | | | | 95,316 | |
Salt River Project Agricultural Improvement & Power District, Series 2015A, RB, 5.00%, 12/01/45 | | | | | | | 50 | | | | 58,754 | |
San Antonio Water System, Series 2015B, RB, 5.00%, 05/15/39 | | | | | | | 20 | | | | 23,631 | |
San Diego Public Facilities Financing Authority, Series 2016A, RB, 5.00%, 05/15/39 | | | | | | | 25 | | | | 30,494 | |
San Jose Redevelopment Agency Successor Agency, Series 2017A-T, 3.18%, 08/01/26 | | | | | | | 25 | | | | 27,580 | |
South Carolina Public Service Authority, Series 2016D, RB, 2.39%, 12/01/23 | | | | | | | 66 | | | | 67,597 | |
State of California: | | | | | | | | | | | | |
Series 2019, GO, 2.65%, 04/01/26 | | | | | | | 135 | | | | 146,736 | |
Series 2009, GO, 7.50%, 04/01/34 | | | | | | | 35 | | | | 56,844 | |
Series 2018, GO, 4.60%, 04/01/38 | | | | | | | 165 | | | | 192,967 | |
Series 2009, GO, 7.55%, 04/01/39 | | | | | | | 30 | | | | 53,192 | |
Series 2009, GO, 7.30%, 10/01/39 | | | | | | | 40 | | | | 66,367 | |
Series 2009, GO, 7.35%, 11/01/39 | | | | | | | 120 | | | | 200,008 | |
| | |
| 46 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Municipal Bonds (continued) | |
State of Connecticut: | | | | | | | | | | | | |
Series 2017A, GO, 3.31%, 01/15/26 | | | USD | | | | 50 | | | $ | 54,589 | |
Series 2020A, GO, 2.55%, 07/01/28 | | | | | | | 10 | | | | 10,525 | |
Series 2008A, GO, 5.85%, 03/15/32 | | | | | | | 60 | | | | 81,484 | |
State of Illinois, Series 2003, GO, 5.10%, 06/01/33 | | | | | | | 175 | | | | 177,581 | |
State of New York, Series 2019B, GO, 2.80%, 02/15/32 | | | | | | | 60 | | | | 64,366 | |
State of Oregon, Series 2003, GO, 5.89%, 06/01/27 | | | | | | | 105 | | | | 132,746 | |
State of Texas, Series 2009A, GO, 5.52%, 04/01/39 | | | | | | | 115 | | | | 170,394 | |
State of Washington: | | | | | | | | | | | | |
Series 2016A-1, GO, 5.00%, 08/01/40 | | | | | | | 40 | | | | 47,632 | |
Series 2018B, GO, 5.00%, 08/01/40 | | | | | | | 20 | | | | 24,721 | |
Tennessee Housing Development Agency: | | | | | | | | | | | | |
Series 2018-3, RB, 3.75%, 07/01/38 | | | | | | | 10 | | | | 10,855 | |
Series 2018-3, RB, 3.85%, 07/01/43 | | | | | | | 10 | | | | 10,811 | |
Series 2018-3, RB, 3.95%, 01/01/49 | | | | | | | 5 | | | | 5,387 | |
Texas A&M University, Series 2017B, RB, 2.84%, 05/15/27 | | | | | | | 30 | | | | 33,004 | |
Texas Municipal Gas Acquisition & Supply Corp. I, Series 2008D, RB, 6.25%, 12/15/26 | | | | | | | 5 | | | | 5,786 | |
Texas Private Activity Bond Surface Transportation Corp., Series 2016, RB, 5.00%, 12/31/55 | | | | | | | 25 | | | | 26,111 | |
Texas Transportation Commission, Series 2020, GO, 5.00%, 04/01/32(o) | | | | | | | 40 | | | | 54,068 | |
Tobacco Settlement Finance Authority, Series 2007A, RB, 7.47%, 06/01/47 | | | | | | | 35 | | | | 35,219 | |
University of California: | | | | | | | | | | | | |
Series 2019BD, RB, 3.35%, 07/01/29 | | | | | | | 100 | | | | 114,623 | |
Series 2013AJ, RB, 4.60%, 05/15/31 | | | | | | | 30 | | | | 37,024 | |
Series 2009R, RB, 5.77%, 05/15/43 | | | | | | | 5 | | | | 7,506 | |
Series 2012AD, RB, 4.86%, 05/15/2112 | | | | | | | 50 | | | | 70,080 | |
Virginia Small Business Financing Authority, Series 2017, RB, 5.00%, 12/31/52 | | | | | | | 30 | | | | 33,026 | |
West Virginia Hospital Finance Authority: | | | | | | | | | | | | |
Series 2016A, RB, 5.00%, 06/01/21 | | | | | | | 20 | | | | 20,734 | |
Series 2016A, RB, 5.00%, 06/01/22 | | | | | | | 20 | | | | 21,511 | |
Series 2016A, RB, 5.00%, 06/01/23 | | | | | | | 20 | | | | 22,257 | |
Series 2016A, RB, 5.00%, 06/01/24 | | | | | | | 20 | | | | 22,916 | |
| | | | | | | | | | | | |
| | |
Total Municipal Bonds — 1.6%
(Cost: $7,077,040) | | | | | | | | 7,738,378 | |
| | | | | | | | | |
|
Non-Agency Mortgage-Backed Securities — 1.5% | |
| | | |
| Collateralized Mortgage Obligations — 0.6% | | | | | | | | | |
Alternative Loan Trust: | | | | | | | | | | | | |
Series 2005-22T1, Class A1, 0.53%, 06/25/35(d) | | | | | | | 55 | | | | 42,095 | |
Series 2005-72, Class A3, 0.78%, 01/25/36(d) | | | | | | | 21 | | | | 18,470 | |
Series 2006-11CB, Class 3A1, 6.50%, 05/25/36 | | | | | | | 23 | | | | 16,999 | |
Series 2006-OA21, Class A1, 0.38%, 03/20/47(d) | | | | | | | 790 | | | | 629,988 | |
Series 2006-OA9, Class 2A1B, 0.39%, 07/20/46(d) | | | | | | | 124 | | | | 91,136 | |
Series 2006-OC10, Class 2A3, 0.41%, 11/25/36(d) | | | | | | | 23 | | | | 17,228 | |
Series 2007-OA3, Class 1A1, 0.32%, 04/25/47(d) | | | | | | | 34 | | | | 30,307 | |
Series 2007-OA3, Class 2A2, 0.36%, 04/25/47(d) | | | | | | | 13 | | | | 2,005 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Collateralized Mortgage Obligations (continued) | |
Series 2007-OA8, Class 2A1, 0.36%, 06/25/47(d) | | | USD | | | | 22 | | | $ | 16,343 | |
Series 2007-OH2, Class A2A, 0.42%, 08/25/47(d) | | | | | | | 10 | | | | 9,304 | |
American Home Mortgage Assets Trust, Series 2006-3, Class 2A11, 2.44%, 10/25/46(d) | | | | | | | 61 | | | | 48,739 | |
APS Resecuritization Trust(b)(d): | | | | | | | | | | | | |
Series 2016-1, Class 1MZ, 4.23%, 07/31/57 | | | | | | | 126 | | | | 43,729 | |
Series 2016-3, Class 3A, 3.03%, 09/27/46 | | | | | | | 88 | | | | 87,458 | |
Series 2016-3, Class 4A, 2.78%, 04/27/47 | | | | | | | 30 | | | | 29,725 | |
Banc of America Funding Trust, Series 2016- R2, Class 1A1, 4.70%, 05/01/33(b)(d) | | | | | | | 142 | | | | 133,721 | |
Bear Stearns Mortgage Funding Trust, Series 2006-SL1, Class A1, 0.46%, 08/25/36(d) | | | | | | | 39 | | | | 37,898 | |
Chase Mortgage Finance Trust, Series 2007- S6, Class 1A1, 6.00%, 12/25/37 | | | | | | | 342 | | | | 233,675 | |
CHL Mortgage Pass-Through Trust:
Series 2006-OA4, Class A1, 2.46%, 04/25/46(d) | | | | | | | 61 | | | | 26,008 | |
Series 2007-15, Class 2A2, 6.50%, 09/25/37 | | | | | | | 89 | | | | 55,584 | |
Citicorp Mortgage Securities Trust, Series 2008- 2, Class 1A1, 6.50%, 06/25/38 | | | | | | | 37 | | | | 31,779 | |
Credit Suisse Mortgage Capital Certificates, Series 2009-12R, Class 3A1, 6.50%, 10/27/37(b) | | | | | | | 109 | | | | 59,738 | |
CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 10A1, 1.53%, 11/25/35(d) | | | | | | | 20 | | | | 4,019 | |
CSMC Mortgage-Backed Trust, Series 2007-5, Class 1A11, 7.00%, 08/25/37(d) | | | | | | | 27 | | | | 21,162 | |
CSMC Trust(b)(d): | | | | | | | | | | | | |
Series 2009-5R, Class 4A4, 3.21%, 06/25/36 | | | | | | | 24 | | | | 20,192 | |
Series 2018-RPL8, Class A1, 4.12%, 07/25/58 | | | | | | | 128 | | | | 130,611 | |
Series 2019-JR1, Class A1, 4.10%, 09/27/66 | | | | | | | 432 | | | | 433,427 | |
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA4, Class A2A, 0.35%, 08/25/47(d) | | | | | | | 121 | | | | 79,391 | |
Deutsche Alt-A Securities, Inc., Series 2007- RS1, Class A2, 0.67%, 01/27/37(b)(d) | | | | | | | 1 | | | | 1,263 | |
GreenPoint Mortgage Funding Trust, Series 2006-AR2, Class 4A1, 3.50%, 03/25/36(d) | | | | | | | 9 | | | | 8,578 | |
GSR Mortgage Loan Trust, Series 2007-1F, Class 2A4, 5.50%, 01/25/37 | | | | | | | 4 | | | | 3,919 | |
IndyMac INDX Mortgage Loan Trust, Series 2007-AR19, Class 3A1, 3.54%, 09/25/37(d). | | | | | | | 33 | | | | 22,054 | |
JPMorgan Alternative Loan Trust, Series 2007- A1, Class 1A4, 0.60%, 03/25/37(d) | | | | | | | 49 | | | | 44,755 | |
JPMorgan Mortgage Trust, Series 2017-3, Class 1A6, 3.00%, 08/25/47(b)(d) | | | | | | | 122 | | | | 123,743 | |
MCM Trust(b): | | | | | | | | | | | | |
Series 2018-NPL1, Class A, 4.00%, 05/28/58 | | | | | | | 87 | | | | 87,709 | |
Series 2018-NPL2, Class A, 4.00%, 10/25/28(c)(e) | | | | | | | 59 | | | | 53,020 | |
New Residential Mortgage Loan Trust, Series 2019-2A, Class A1, 4.25%, 12/25/57(b)(d) | | | | | | | 77 | | | | 82,312 | |
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2007-2, Class A4,
0.60%, 06/25/37(d) | | | | | | | 6 | | | | 5,019 | |
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-3, Class 4A, 3.69%, 04/25/36(d) | | | | | | | 12 | | | | 9,419 | |
| | |
SCHEDULES OF INVESTMENTS | | 47 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Collateralized Mortgage Obligations (continued) | |
Structured Asset Mortgage Investments II Trust, Series 2006-AR4, Class 3A1, 0.37%, 06/25/36(d) | | | USD | | | | 15 | | | $ | 13,170 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust:
Series 2006-4, Class 1A1, 6.00%, 04/25/36 | | | | | | | 76 | | | | 74,204 | |
Series 2006-4, Class 3A5, 6.35%, 05/25/36(e) | | | | | | | 65 | | | | 60,061 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,939,957 | |
|
| Commercial Mortgage-Backed Securities — 0.8% | |
280 Park Avenue Mortgage Trust, Series 2017- 280P, Class E, 2.30%, 09/15/34(b)(d) | | | | | | | 100 | | | | 94,514 | |
BAMLL Commercial Mortgage Securities
Trust(b)(d):
Series 2015-200P, Class F, 3.72%, 04/14/33 | | | | | | | 100 | | | | 96,360 | |
Series 2018-DSNY, Class D, 1.88%, 09/15/34 | | | | | | | 100 | | | | 88,439 | |
Bayview Commercial Asset Trust(b)(d): | | | | | | | | | | | | |
Series 2005-4A, Class A1, 0.48%, 01/25/36 | | | | | | | 23 | | | | 21,612 | |
Series 2005-4A, Class M1, 0.63%, 01/25/36 | | | | | | | 17 | | | | 15,918 | |
Series 2006-1A, Class A2, 0.54%, 04/25/36 | | | | | | | 10 | | | | 9,084 | |
Series 2006-3A, Class A1, 0.43%, 10/25/36 | | | | | | | 15 | | | | 13,333 | |
Series 2006-3A, Class A2, 0.48%, 10/25/36 | | | | | | | 15 | | | | 13,168 | |
Series 2006-4A, Class A1, 0.41%, 12/25/36 | | | | | | | 185 | | | | 167,092 | |
BBCMS Mortgage Trust, Series 2018-TALL, Class A, 0.91%, 03/15/37(b)(d) | | | | | | | 15 | | | | 14,261 | |
BBCMS Trust, Series 2015-SRCH, Class A1, 3.31%, 08/10/35(b) | | | | | | | 100 | | | | 104,658 | |
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-T26, Class AM, 5.51%, 01/12/45(d) | | | | | | | 11 | | | | 10,563 | |
Benchmark Mortgage Trust, Series 2019-B10, Class 3CCA, 4.03%, 03/15/62(b)(d) | | | | | | | 60 | | | | 60,259 | |
BHMS, Series 2018-ATLS, Class A, 1.43%, 07/15/35(b)(d) | | | | | | | 100 | | | | 94,743 | |
BWAY Mortgage Trust, Series 2013-1515, Class C, 3.45%, 03/10/33(b) | | | | | | | 100 | | | | 100,876 | |
BX Commercial Mortgage Trust, Series 2018- IND, Class H, 3.18%, 11/15/35(b)(d) | | | | | | | 154 | | | | 149,402 | |
BXP Trust(b)(d): | | | | | | | | | | | | |
Series 2017-CC, Class D, 3.67%, 08/13/37 | | | | | | | 25 | | | | 23,683 | |
Series 2017-CC, Class E, 3.67%, 08/13/37 | | | | | | | 40 | | | | 29,538 | |
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class D, 1.93%, 12/15/37(b)(d) | | | | | | | 100 | | | | 96,493 | |
CD Mortgage Trust: | | | | | | | | | | | | |
Series 2006-CD3, Class AM, 5.65%, 10/15/48 | | | | | | | 128 | | | | 131,202 | |
Series 2017-CD3, Class A4, 3.63%, 02/10/50 | | | | | | | 10 | | | | 11,138 | |
CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.87%, 01/10/48 | | | | | | | 10 | | | | 11,153 | |
CFK Trust, Series 2019-FAX, Class D, 4.64%, 01/15/39(b)(d) | | | | | | | 100 | | | | 102,689 | |
CGDBB Commercial Mortgage Trust(b)(d): | | | | | | | | | | | | |
Series 2017-BIOC, Class A, 0.97%, 07/15/32 | | | | | | | 91 | | | | 90,672 | |
Series 2017-BIOC, Class D, 1.78%, 07/15/32 | | | | | | | 91 | | | | 90,066 | |
Series 2017-BIOC, Class E, 2.33%, 07/15/32 | | | | | | | 91 | | | | 89,152 | |
Citigroup Commercial Mortgage Trust: | | | | | | | | | | | | |
Series 2016-C1, Class D,
5.12%, 05/10/49(b)(d) | | | | | | | 10 | | | | 7,078 | |
Series 2017-C4, Class A4, 3.47%, 10/12/50 | | | | | | | 20 | | | | 22,247 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Commercial Mortgage-Backed Securities (continued) | |
Commercial Mortgage Trust: | | | | | | | | | | | | |
Series 2014-CR18, Class A4, 3.55%, 07/15/47 | | | USD | | | | 10 | | | $ | 10,637 | |
Series 2014-CR19, Class A5, 3.80%, 08/10/47 | | | | | | | 30 | | | | 32,669 | |
Series 2014-LC15, Class A4, 4.01%, 04/10/47 | | | | | | | 20 | | | | 21,702 | |
Series 2014-UBS4, Class C, 4.80%, 08/10/47(d) | | | | | | | 10 | | | | 9,364 | |
Series 2015-CR25, Class A4, 3.76%, 08/10/48 | | | | | | | 40 | | | | 43,877 | |
Series 2017-COR2, Class D, 3.00%, 09/10/50(b) | | | | | | | 44 | | | | 31,693 | |
CSAIL Commercial Mortgage Trust: | | | | | | | | | | | | |
Series 2015-C2, Class A4, 3.50%, 06/15/57 | | | | | | | 10 | | | | 10,809 | |
Series 2019-C15, Class D, 3.00%, 03/15/52(b) | | | | | | | 28 | | | | 18,957 | |
DBGS Mortgage Trust, Series 2019-1735, Class F, 4.33%, 04/10/37(b)(d) | | | | | | | 100 | | | | 71,791 | |
DBUBS Mortgage Trust(b): | | | | | | | | | | | | |
Series 2017-BRBK, Class A, 3.45%, 10/10/34 | | | | | | | 40 | | | | 42,894 | |
Series 2017-BRBK, Class E, 3.65%, 10/10/34(d) | | | | | | | 170 | | | | 167,066 | |
Series 2017-BRBK, Class F, 3.65%, 10/10/34(d) | | | | | | | 40 | | | | 38,553 | |
Exantas Capital Corp. Ltd., Series 2019-RSO7, Class AS, 1.69%, 04/15/36(b)(d) | | | | | | | 100 | | | | 96,591 | |
GPMT Ltd., Series 2018-FL1, Class A, 1.09%, 11/21/35(b)(d) | | | | | | | 26 | | | | 25,823 | |
GS Mortgage Securities Corp. Trust(b)(d): | | | | | | | | | | | | |
Series 2017-500K, Class D, 1.55%, 07/15/32 | | | | | | | 10 | | | | 9,775 | |
Series 2017-500K, Class E, 1.75%, 07/15/32 | | | | | | | 20 | | | | 19,424 | |
Series 2017-500K, Class F, 2.15%, 07/15/32 | | | | | | | 10 | | | | 9,674 | |
GS Mortgage Securities Trust: | | | | | | | | | | | | |
Series 2014-GC24, Class A5, 3.93%, 09/10/47 | | | | | | | 20 | | | | 21,778 | |
Series 2015-GS1, Class A3, 3.73%, 11/10/48 | | | | | | | 10 | | | | 11,059 | |
Series 2017-GS7, Class D, 3.00%, 08/10/50(b) | | | | | | | 10 | | | | 7,242 | |
HMH Trust, Series 2017-NSS, Class A, 3.06%, 07/05/31(b) | | | | | | | 100 | | | | 96,055 | |
IMT Trust, Series 2017-APTS, Class AFX, 3.48%, 06/15/34(b) | | | | | | | 100 | | | | 105,844 | |
JPMBB Commercial Mortgage Securities Trust: | | | | | | | | | | | | |
Series 2014-C21, Class A5, 3.77%, 08/15/47 | | | | | | | 30 | | | | 32,527 | |
Series 2014-C22, Class A4, 3.80%, 09/15/47 | | | | | | | 10 | | | | 10,869 | |
JPMorgan Chase Commercial Mortgage Securities Trust(b): | | | | | | | | | | | | |
Series 2015-UES, Class D, 3.74%, 09/05/32(d) | | | | | | | 110 | | | | 108,882 | |
Series 2018-WPT, Class FFX, 5.54%, 07/05/33 | | | | | | | 10 | | | | 9,248 | |
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-1A, Class 1A, 0.43%, 03/25/37(b)(d) | | | | | | | 14 | | | | 13,059 | |
Morgan Stanley Bank of America Merrill Lynch Trust: | | | | | | | | | | | | |
Series 2014-C16, Class A5, 3.89%, 06/15/47 | | | | | | | 70 | | | | 75,382 | |
Series 2015-C26, Class D, 3.06%, 10/15/48(b)(c) | | | | | | | 16 | | | | 11,885 | |
Morgan Stanley Capital I Trust: | | | | | | | | | | | | |
Series 2006-IQ11, Class C, 6.05%, 10/15/42(d) | | | | | | | 100 | | | | 98,695 | |
| | |
| 48 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | �� |
|
| Commercial Mortgage-Backed Securities (continued) | |
Series 2007-T27, Class AJ,
6.21%, 06/11/42(d) | | | USD | | | | 32 | | | $ | 32,108 | |
Series 2017-CLS, Class F,
2.78%, 11/15/34(b)(d) | | | | | | | 84 | | | | 81,377 | |
Series 2017-HR2, Class D,
2.73%, 12/15/50(c) | | | | | | | 10 | | | | 8,009 | |
Series 2019-AGLN, Class D, 1.93%, 03/15/34(b)(d) | | | | | | | 100 | | | | 86,111 | |
Series 2019-AGLN, Class F, 2.78%, 03/15/34(b)(d) | | | | | | | 100 | | | | 78,706 | |
Series 2019-L2, Class A4, 4.07%, 03/15/52 | | | | | | | 13 | | | | 15,267 | |
PFP Ltd.(b)(d): | | | | | | | | | | | | |
Series 2019-5, Class A, 1.17%, 04/14/36 | | | | | | | 19 | | | | 18,331 | |
Series 2019-5, Class AS, 1.62%, 04/14/36 | | | | | | | 10 | | | | 9,630 | |
Wells Fargo Commercial Mortgage Trust: | | | | | | | | | | | | |
Series 2015-C27, Class C, 3.89%, 02/15/48 | | | | | | | 27 | | | | 23,983 | |
Series 2015-C31, Class A4, 3.70%, 11/15/48 | | | | | | | 10 | | | | 10,844 | |
Series 2015-P2, Class A4, 3.81%, 12/15/48 | | | | | | | 30 | | | | 33,431 | |
Series 2015-P2, Class D, 3.24%, 12/15/48(b) | | | | | | | 25 | | | | 17,729 | |
Series 2017-C39, Class D,
4.50%, 09/15/50(b)(d) | | | | | | | 63 | | | | 44,286 | |
Series 2017-C41, Class D,
2.60%, 11/15/50(b)(d) | | | | | | | 25 | | | | 16,025 | |
Series 2017-HSDB, Class A,
1.03%, 12/13/31(b)(d) | | | | | | | 100 | | | | 94,726 | |
WFRBS Commercial Mortgage Trust: | | | | | | | | | | | | |
Series 2014-C21, Class A5, 3.68%, 08/15/47 | | | | | | | 30 | | | | 32,377 | |
Series 2014-C22, Class C,
3.91%, 09/15/57(d) | | | | | | | 120 | | | | 108,194 | |
| | | | | | | | |
| | | | | | | | | | | 3,734,351 | |
|
| Interest Only Collateralized Mortgage Obligations — 0.0% | |
Banc of America Funding Trust, Series 2014- R2, Class 1C, 0.00%, 11/26/36(b)(d) | | | | | | | 59 | | | | 12,964 | |
| | | | | | | | |
|
| Interest Only Commercial Mortgage-Backed Securities — 0.1%(d) | |
Banc of America Commercial Mortgage Trust, Series 2017-BNK3, Class XB, 0.78%, 02/15/50 | | | | | | | 1,000 | | | | 36,960 | |
BBCMS Trust, Series 2015-SRCH, Class XA, 1.12%, 08/10/35(b) | | | | | | | 1,000 | | | | 52,500 | |
BB-UBS Trust, Series 2012-SHOW, Class XA, 0.73%, 11/05/36(b) | | | | | | | 4,250 | | | | 104,762 | |
Benchmark Mortgage Trust, Series 2019-B9, Class XA, 1.21%, 03/15/52 | | | | | | | 996 | | | | 69,831 | |
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class XB, 0.89%, 05/10/58 | | | | | | | 120 | | | | 4,727 | |
Commercial Mortgage Trust, Series 2015-3BP, Class XA, 0.17%, 02/10/35(b) | | | | | | | 2,522 | | | | 10,971 | |
JPMDB Commercial Mortgage Securities Trust, Series 2016-C4, Class XC, 0.75%, 12/15/49(b) | | | | | | | 1,800 | | | | 70,760 | |
LSTAR Commercial Mortgage Trust, Series 2017-5, Class X, 1.15%, 03/10/50(b) | | | | | | | 812 | | | | 28,475 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class XF, 1.35%, 12/15/47(b) | | | | | | | 100 | | | | 4,636 | |
One Market Plaza Trust(b): | | | | | | | | | | | | |
Series 2017-1MKT, Class XCP, 0.22%, 02/10/32 | | | | | | | 1,000 | | | | 2,410 | |
Series 2017-1MKT, Class XNCP, 0.00%, 02/10/32(c) | | | | | | | 200 | | | | 2 | |
| | | | | | | | |
| | | | | | | | | | | 386,034 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
| Principal Only Collateralized Mortgage Obligations — 0.0% | |
Seasoned Credit Risk Transfer Trust, Series 2017-3, Class B, 0.00%, 07/25/56(b)(k) | | | USD | | | | 39 | | | $ | 4,065 | |
| | | | | | | | |
| |
Total Non-Agency Mortgage-Backed Securities — 1.5%
(Cost: $7,246,731) | | | | 7,077,371 | |
| | | | | | | | |
| | | |
| | | | | | Beneficial Interest
(000) | | | | |
|
Other Interests — 0.0%(p) | |
|
| Capital Markets — 0.0% | |
Lehman Brothers Holdings, Inc.(c)(g)(i) | | | | | | | 620 | | | | — | |
| | | | | | | | |
| | | |
Total Other Interests — 0.0% | | | | | | | | | | | — | |
| | | | | | | | |
| | | |
| | | | | | Par (000) | | | | |
|
Capital Trusts — 0.1% | |
|
| Capital Markets — 0.0%(h)(l) | |
Bank of New York Mellon Corp. (The), Series F, 4.62% | | | | | | | 97 | | | | 95,487 | |
State Street Corp.: | | | | | | | | | | | | |
Series F, 5.25% | | | | | | | 90 | | | | 85,910 | |
Series H, 5.63% | | | | | | | 140 | | | | 135,450 | |
| | | | | | | | |
| | | | | | | | | | | 316,847 | |
|
| Entertainment — 0.1% | |
NBCUniversal Enterprise, Inc., 5.25%(b)(h) | | | | | | | 265 | | | | 265,662 | |
| | | | | | | | |
| |
Total Capital Trusts — 0.1%
(Cost: $594,911) | | | | 582,509 | |
| | | | | | | | |
| | | |
| | | | | | Shares | | | | |
|
Rights — 0.0% | |
|
| Pharmaceuticals — 0.0%(g) | |
Bristol-Myers Squibb Co. | | | | | | | 7,280 | | | | 26,062 | |
| | | | | | | | |
| |
Total Rights — 0.0%
(Cost: $15,506) | | | | 26,062 | |
| | | | | | | | |
| | | |
| | | | | | Par (000) | | | | |
|
U.S. Government Sponsored Agency Securities — 16.2% | |
|
| Commercial Mortgage-Backed Securities — 0.0% | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K072, Class A2, 3.44%, 12/25/27 | | | | | | | 10 | | | | 11,639 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | | | | | | | | | | | | |
Variable Rate Notes(d): | | | | | | | | | | | | |
Series K034, Class A2, 3.53%, 07/25/23 | | | | | | | 20 | | | | 21,638 | |
Series K061, Class A2, 3.35%, 11/25/26 | | | | | | | 20 | | | | 22,817 | |
Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 2018-SB52, Class A10F, 3.48%, 06/25/28(d) | | | | | | | 28 | | | | 30,081 | |
Government National Mortgage Association: | | | | | | | | | | | | |
Series 2015-97, Class VA, 2.25%, 12/16/38 | | | | | | | 16 | | | | 16,116 | |
Series 2016-158, Class VA, 2.00%, 03/16/35 | | | | | | | 83 | | | | 84,660 | |
| | | | | | | | |
| | | | | | | | | | | 186,951 | |
|
| Interest Only Commercial Mortgage-Backed Securities — 0.0% | |
Government National Mortgage Association: | | | | | | | | | | | | |
Series 2014-40, Class AI, 1.00%, 02/16/39 | | | | | | | 28 | | | | 111 | |
Series 2014-52, Class AI, 0.83%, 08/16/41 | | | | | | | 77 | | | | 1,165 | |
| | |
SCHEDULES OF INVESTMENTS | | 49 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Interest Only Commercial Mortgage-Backed Securities (continued) | |
Government National Mortgage Association Variable Rate Notes: | | | | | | | | | | | | |
Series 2013-63, 0.80%, 09/16/51(d) | | | USD | | | | 745 | | | $ | 31,252 | |
Series 2016-26, 0.90%, 02/16/58(d) | | | | | | | 406 | | | | 21,753 | |
Series 2016-92, 0.90%, 04/16/58(d) | | | | | | | 88 | | | | 4,999 | |
Series 2016-110, 0.99%, 05/16/58(d) | | | | | | | 101 | | | | 6,289 | |
Series 2016-113, (LIBOR USD 1 Month + 0.00%), 1.15%, 02/16/58(a) | | | | | | | 89 | | | | 6,742 | |
| | | | | | | | |
| | | | | | | | | | | 72,311 | |
|
| Mortgage-Backed Securities — 16.2% | |
Federal Home Loan Mortgage Corp.: | | | | | | | | | | | | |
2.50%, 01/01/29 - 04/01/31 | | | | | | | 325 | | | | 345,477 | |
3.00%, 09/01/27 - 12/01/46 | | | | | | | 1,180 | | | | 1,270,122 | |
3.50%, 04/01/31 - 01/01/48 | | | | | | | 1,077 | | | | 1,178,924 | |
4.00%, 08/01/40 - 02/01/47 | | | | | | | 300 | | | | 328,506 | |
4.50%, 02/01/39 - 04/01/49 | | | | | | | 1,992 | | | | 2,217,135 | |
5.00%, 10/01/41 - 11/01/41 | | | | | | | 198 | | | | 225,807 | |
5.50%, 06/01/41 | | | | | | | 82 | | | | 94,502 | |
6.00%, 01/01/34 | | | | | | | 41 | | | | 45,553 | |
Federal National Mortgage Association, 4.00%, 01/01/41 | | | | | | | 13 | | | | 14,127 | |
Government National Mortgage Association: | | | | | | | | | | | | |
2.50%, 07/15/50(q) | | | | | | | 715 | | | | 752,649 | |
3.00%, 02/15/45 - 12/20/46 | | | | | | | 1,912 | | | | 2,034,546 | |
3.00%, 07/15/50(q) | | | | | | | 1,788 | | | | 1,893,842 | |
3.50%, 01/15/42 - 10/20/46 | | | | | | | 4,752 | | | | 5,094,705 | |
3.50%, 07/15/50(q) | | | | | | | 35 | | | | 36,932 | |
4.00%, 04/20/39 - 12/20/47 | | | | | | | 550 | | | | 598,154 | |
4.00%, 07/15/50(q) | | | | | | | 1,996 | | | | 2,116,111 | |
4.50%, 12/20/39 - 04/20/50 | | | | | | | 1,712 | | | | 1,850,294 | |
5.00%, 12/15/38 - 07/20/42 | | | | | | | 131 | | | | 149,267 | |
5.00%, 07/15/50(q) | | | | | | | 23 | | | | 24,980 | |
5.50%, 07/15/50(q) | | | | | | | 295 | | | | 323,537 | |
7.50%, 03/15/32 | | | | | | | 2 | | | | 2,649 | |
Uniform Mortgage-Backed Securities: | | | | | | | | | | | | |
2.00%, 10/01/31 - 03/01/32 | | | | | | | 196 | | | | 203,276 | |
2.00%, 09/25/35 - 08/25/50(q) | | | | | | | 2,119 | | | | 2,170,040 | |
2.50%, 09/01/27 - 02/01/33 | | | | | | | 952 | | | | 1,010,605 | |
2.50%, 07/25/35 - 08/25/50(q) | | | | | | | 19,752 | | | | 20,575,177 | |
3.00%, 04/01/29 - 03/01/47 | | | | | | | 3,726 | | | | 4,014,021 | |
3.00%, 07/25/35 - 08/25/50(q) | | | | | | | 3,584 | | | | 3,770,026 | |
3.50%, 04/01/29 - 02/01/50 | | | | | | | 4,487 | | | | 4,904,686 | |
3.50%, 07/25/35(q) | | | | | | | 1 | | | | 1,051 | |
4.00%, 10/01/33 - 03/01/50 | | | | | | | 2,693 | | | | 2,961,345 | |
4.00%, 07/25/35 - 07/25/50(q) | | | | | | | 2,894 | | | | 3,066,784 | |
4.50%, 02/01/25 - 05/01/49 | | | | | | | 6,287 | | | | 6,997,538 | |
4.50%, 07/25/50(q) | | | | | | | 4,362 | | | | 4,686,765 | |
5.00%, 09/01/35 - 06/01/45 | | | | | | | 250 | | | | 285,862 | |
5.00%, 07/25/50(q) | | | | | | | 529 | | | | 578,098 | |
5.50%, 02/01/35 - 04/01/41 | | | | | | | 518 | | | | 591,596 | |
6.00%, 12/01/27 - 06/01/41 | | | | | | | 301 | | | | 350,271 | |
6.50%, 05/01/40 | | | | | | | 85 | | | | 98,093 | |
| | | | | | | | |
| | | | | | | | | | | 76,863,053 | |
| | | | | | | | |
| |
Total U.S. Government Sponsored Agency Securities — 16.2%
(Cost: $75,038,921) | | | | 77,122,315 | |
| | | | | | | | |
|
U.S. Treasury Obligations — 6.0% | |
U.S. Treasury Bonds: | | | | | | | | | | | | |
4.25%, 05/15/39 | | | | | | | 66 | | | | 101,973 | |
4.50%, 08/15/39 | | | | | | | 82 | | | | 130,601 | |
4.38%, 11/15/39 | | | | | | | 82 | | | | 128,939 | |
3.13%, 02/15/43 | | | | | | | 332 | | | | 450,145 | |
2.88%, 05/15/43 - 11/15/46 | | | | | | | 597 | | | | 786,123 | |
3.63%, 08/15/43 | | | | | | | 332 | | | | 484,928 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| U.S. Treasury Obligations (continued) | |
3.75%, 11/15/43 | | | USD | | | | 332 | | | $ | 494,096 | |
3.00%, 02/15/48 | | | | | | | 307 | | | | 420,266 | |
2.25%, 08/15/49(r) | | | | | | | 1,285 | | | | 1,545,363 | |
2.38%, 11/15/49 | | | | | | | 873 | | | | 1,078,291 | |
U.S. Treasury Inflation Linked Notes: | | | | | | | | | | | | |
0.50%, 04/15/24(s) | | | | | | | 947 | | | | 995,749 | |
0.13%, 10/15/24(s) | | | | | | | 2,079 | | | | 2,177,128 | |
0.25%, 01/15/25 | | | | | | | 233 | | | | 244,842 | |
0.13%, 04/15/25 | | | | | | | 849 | | | | 889,701 | |
U.S. Treasury Notes: | | | | | | | | | | | | |
2.00%, 07/31/20(r) | | | | | | | 1,245 | | | | 1,246,876 | |
2.50%, 12/31/20 | | | | | | | 929 | | | | 939,596 | |
1.13%, 07/31/21(r) | | | | | | | 1,403 | | | | 1,417,468 | |
1.75%, 07/31/21 - 11/15/29 | | | | | | | 3,175 | | | | 3,350,700 | |
1.50%, 01/31/22 - 02/15/30 | | | | | | | 3,613 | | | | 3,757,710 | |
2.13%, 12/31/22 - 05/15/25 | | | | | | | 1,937 | | | | 2,076,699 | |
2.75%, 05/31/23 | | | | | | | 623 | | | | 669,530 | |
0.25%, 06/15/23 - 05/31/25 | | | | | | | 1,047 | | | | 1,047,040 | |
1.75%, 07/31/24(s) | | | | | | | 1,731 | | | | 1,838,038 | |
1.38%, 01/31/25 | | | | | | | 41 | | | | 43,077 | |
2.00%, 02/15/25 | | | | | | | 782 | | | | 844,377 | |
2.25%, 08/15/27 | | | | | | | 623 | | | | 699,731 | |
2.88%, 08/15/28 | | | | | | | 188 | | | | 222,648 | |
3.13%, 11/15/28 | | | | | | | 188 | | | | 227,297 | |
1.63%, 08/15/29 | | | | | | | 299 | | | | 326,249 | |
| | | | | | | | |
| |
Total U.S. Treasury Obligations — 6.0%
(Cost: $26,620,995) | | | | 28,635,181 | |
| | | | | | | | |
| |
Total Long-Term Investments — 106.0%
(Cost: $472,492,372) | | | | 503,985,732 | |
| | | | | | | | |
|
Short-Term Securities — 4.6% | |
|
Borrowed Bond Agreements — 0.2%(t) | |
Bank of America Securities, Inc.,
(0.01)%, 07/01/20 (Purchased on 06/30/20 to be repurchased at USD 446,247, collateralized by U.S. Treasury Bonds, 1.25%, due at 05/15/50, par and fair value of USD 462,000 and $443,899, respectively) | | | | | | | 447 | | | | 446,985 | |
Bank of America Securities, Inc.,
0.00%, 07/01/20 (Purchased on 06/30/20 to be repurchased at USD 118,905, collateralized by U.S. Treasury Notes, 0.63%, due at 05/15/30, par and fair value of USD 119,000 and $118,670, respectively) | | | | | | | 119 | | | | 119,000 | |
Bank of America Securities, Inc.,
0.00%, 07/01/20 (Purchased on 06/30/20 to be repurchased at USD 92,098, collateralized by U.S. Treasury Bonds, 2.00%, due at 02/15/50, par and fair value of USD 80,000 and $91,619, respectively) | | | | | | | 93 | | | | 92,700 | |
Bank of America Securities, Inc.,
0.05%, 07/01/20 (Purchased on 06/30/20 to be repurchased at USD 58,253, collateralized by U.S. Treasury Notes, 0.38%, due at 04/30/25, par and fair value of USD 58,000 and $58,263, respectively) | | | | | | | 58 | | | | 58,290 | |
| | | | | | | | |
| |
Total Borrowed Bond Agreements — 0.2%
(Cost: $716,975) | | | | 716,975 | |
| | | | | | | | |
| | |
| 50 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
|
Money Market Funds — 4.4%(u) | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11%* | | | 13,540,891 | | | $ | 13,540,891 | |
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Class, 0.05% | | | 59,642 | | | | 59,642 | |
SL Liquidity Series, LLC, Money Market Series, 0.50%(v)* | | | 7,514,321 | | | | 7,520,333 | |
| | | | | | | | |
| |
Total Money Market Funds — 4.4%
(Cost: $21,120,908) | | | | 21,120,866 | |
| | | | | | | | |
| |
Total Short-Term Securities — 4.6%
(Cost: $21,837,883) | | | | 21,837,841 | |
| | | | | | | | |
| |
Total Options Purchased — 0.0%
(Cost: $58,794) | | | | 67,385 | |
| | | | | | | | |
| |
Total Investments Before Options Written, Borrowed Bonds and TBA Sale
Commitments — 110.6%
(Cost: $494,389,049) | | | | 525,890,958 | |
| | | | | | | | |
| |
Total Options Written — (0.0)%
(Premium Received — $19,257) | | | | (30,434 | ) |
| | | | | | | | |
| | |
| | | Par (000) | | | | |
|
Borrowed Bonds — (0.2)% | |
| | |
| U.S. Treasury Obligations — (0.2)% | | | | | | |
U.S. Treasury Bonds: | | | | | | | | |
1.25%, 05/15/50 | | | 462 | | | | (443,899 | ) |
2.00%, 02/15/50 | | | 80 | | | | (91,619 | ) |
U.S. Treasury Notes: | | | | | | | | |
0.38%, 04/30/25 | | | 58 | | | | (58,263 | ) |
0.63%, 05/15/30 | | | 119 | | | | (118,670 | ) |
| | | | | | | | |
| | | | | | | (712,451 | ) |
| | | | | | | | |
| |
Total U.S. Treasury Obligations — (0.2)%
(Proceeds: $713,692) | | | | (712,451 | ) |
| | | | | | | | |
| |
Total Borrowed Bonds — (0.2)%
(Proceeds: $713,692) | | | | (712,451 | ) |
| | | | | | | | |
|
TBA Sale Commitments — (4.2)%(q) | |
| | |
| Mortgage-Backed Securities — (4.2)% | | | | | | |
Government National Mortgage Association: | | | | | | | | |
3.50%, 07/15/50 | | | 892 | | | | (941,234 | ) |
4.50%, 07/15/50 | | | 555 | | | | (606,243 | ) |
Uniform Mortgage-Backed Securities: | | | | | | | | |
2.50%, 07/25/35 - 08/25/50 | | | 8,730 | | | | (9,102,015 | ) |
3.00%, 07/25/35 - 07/25/50 | | | 627 | | | | (660,301 | ) |
3.50%, 07/25/35 - 08/25/50 | | | 6,300 | | | | (6,625,132 | ) |
4.00%, 07/25/35 | | | 302 | | | | (319,442 | ) |
2.00%, 07/25/50 | | | 855 | | | | (874,972 | ) |
5.50%, 07/25/50 | | | 455 | | | | (500,650 | ) |
6.00%, 07/25/50 | | | 280 | | | | (311,680 | ) |
| | | | | | | | |
| |
Total TBA Sale Commitments — (4.2)%
(Proceeds: $19,899,975) | | | | (19,941,669 | ) |
| | | | | | | | |
| |
Total Investments Net of Options Written, Borrowed Bonds and TBA Sale Commitments — 106.2%
(Cost: $473,756,125) | | | | 505,206,404 | |
| |
Liabilities in Excess of Other Assets — (6.2)% | | | | (29,660,071 | ) |
| | | | | | | | |
| | |
Net Assets — 100.0% | | | | | | $ | 475,546,333 | |
| | | | | | | | |
| | |
SCHEDULES OF INVESTMENTS | | 51 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio |
| (a) | 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. |
| (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) | 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. |
| (f) | All or a portion of this security is on loan. |
| (g) | Non-income producing security. |
| (h) | Perpetual security with no stated maturity date. |
| (i) | Issuer filed for bankruptcy and/or is in default. |
| (j) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
| (l) | Variable rate security. Rate shown is the rate in effect as of period end. |
| (m) | Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
| (n) | U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par. |
| (o) | When-issued security. |
| (p) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
| (q) | Represents or includes a TBA transaction. |
| (r) | All or a portion of the security has been pledged in connection with outstanding futures contracts. |
| (s) | All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
| (t) | Certain agreements have no stated maturity and can be terminated by either party at any time. |
| (u) | Annualized 7-day yield as of period end. |
| (v) | All or a portion of this security was purchased with the cash collateral from loaned securities. |
| * | Investments in issuers considered to be an affiliate/affiliates of the Fund during the six months ended June 30, 2020 for purposes of Section��2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Affiliated Issuer | |
| Shares
Held at 12/31/19 |
| |
| Shares
Purchased |
| |
| Shares
Sold |
| |
| Shares
Held at 06/30/20 |
| |
| Value at
06/30/20 |
| | | Income | | |
| Net
Realized Gain (Loss) |
(a) | |
| Change in
Unrealized Appreciation (Depreciation) |
|
BlackRock Liquidity Funds, T-Fund, Institutional Class(b) | | | 7,564,319 | | | | 5,976,572 | | | | — | | | | 13,540,891 | | | $ | 13,540,891 | | | $ | 39,260 | | | $ | — | | | $ | — | |
SL Liquidity Series, LLC, Money Market Series(b) | | | 15,395,189 | | | | — | | | | (7,880,868 | ) | | | 7,514,321 | | | | 7,520,333 | | | | 31,299 | (c) | | | (6,130 | ) | | | (416 | ) |
BlackRock Allocation Target Shares- BATS Series A | | | 312,190 | | | | 423,280 | | | | — | | | | 735,470 | | | | 7,156,127 | | | | 94,906 | | | | — | | | | (191,384 | ) |
iShares iBoxx $High Yield Corporate Bond ETF | | | — | | | | 10,890 | | | | — | | | | 10,890 | | | | 888,842 | | | | — | | | | — | | | | 5,082 | |
iShares iBoxx $Investment Grade Corporate Bond ETF | | | — | | | | 13,320 | | | | — | | | | 13,320 | | | | 1,791,540 | | | | — | | | | — | | | | 17,175 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 30,897,733 | | | $ | 165,465 | | | $ | (6,130 | ) | | $ | (169,543 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Includes net capital gain distributions, if applicable. |
| (b) | Represents net shares purchased (sold). |
| (c) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
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 rating 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 | | | Face Value | | | Face Value Including Accrued Interest | | | Type of Non-Cash Underlying Collateral | | Remaining Contractual Maturity of the Agreements |
Bank of America Securities, Inc. | | | 0.17 | % | | | 06/30/20 | | | | 07/01/20 | | | $ | 1,850,006 | | | $ | 1,850,015 | | | U.S. Treasury Obligations | | Overnight |
Bank of America Securities, Inc. | | | 0.18 | | | | 06/30/20 | | | | 07/01/20 | | | | 2,179,010 | | | | 2,179,021 | | | U.S. Treasury Obligations | | Overnight |
J.P. Morgan Securities LLC | | | 0.17 | | | | 06/30/20 | | | | 07/01/20 | | | | 997,240 | | | | 997,244 | | | U.S. Treasury Obligations | | Overnight |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 5,026,256 | | | $ | 5,026,280 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| 52 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio |
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-BTP | | | 14 | | | | 09/08/20 | | | $ | 2,263 | | | $ | 36,242 | |
S&P 500 E-Mini Index | | | 26 | | | | 09/18/20 | | | | 4,017 | | | | 5,261 | |
U.S. Treasury 10 Year Note | | | 101 | | | | 09/21/20 | | | | 14,056 | | | | 64,573 | |
U.S. Treasury Long Bond | | | 21 | | | | 09/21/20 | | | | 3,750 | | | | 24,444 | |
U.S. Treasury Ultra Bond | | | 68 | | | | 09/21/20 | | | | 14,835 | | | | 71,582 | |
U.S. Treasury 2 Year Note | | | 53 | | | | 09/30/20 | | | | 11,704 | | | | 2,869 | |
U.S. Treasury 5 Year Note | | | 2 | | | | 09/30/20 | | | | 251 | | | | (129) | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 204,842 | |
| | | | | | | | | | | | | | | | |
Short Contracts | | | | | | | | | | | | | | | | |
Euro-Bund | | | 10 | | | | 09/08/20 | | | | 1,983 | | | | (24,244) | |
Canada 10 Year Bond | | | 10 | | | | 09/21/20 | | | | 1,133 | | | | 573 | |
U.S. Treasury 10 Year Ultra Note | | | 53 | | | | 09/21/20 | | | | 8,347 | | | | (23,767) | |
Long Gilt | | | 6 | | | | 09/28/20 | | | | 1,023 | | | | (5,502) | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (52,940) | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 151,902 | |
| | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | |
Currency Purchased | | | | Currency
Sold | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation) | |
| KRW | | 54,397,200 | | USD | | 44,000 | | Deutsche Bank AG | | | 07/02/20 | | | $ | 1,224 | |
| USD | | 55,000 | | BRL | | 292,303 | | Bank of America NA | | | 07/02/20 | | | | 1,249 | |
| USD | | 35,000 | | BRL | | 187,578 | | BNP Paribas SA | | | 07/02/20 | | | | 507 | |
| USD | | 116,900 | | BRL | | 582,167 | | Citibank NA | | | 07/02/20 | | | | 9,847 | |
| USD | | 44,000 | | BRL | | 219,120 | | Deutsche Bank AG | | | 07/02/20 | | | | 3,707 | |
| USD | | 25,000 | | BRL | | 132,819 | | JPMorgan Chase Bank NA | | | 07/02/20 | | | | 576 | |
| USD | | 110,211 | | MXN | | 2,500,000 | | Citibank NA | | | 07/06/20 | | | | 1,497 | |
| AUD | | 74,000 | | USD | | 50,871 | | Deutsche Bank AG | | | 07/15/20 | | | | 200 | |
| USD | | 35,000 | | CLP | | 27,790,000 | | JPMorgan Chase Bank NA | | | 07/15/20 | | | | 1,157 | |
| USD | | 54,000 | | COP | | 201,663,000 | | JPMorgan Chase Bank NA | | | 07/15/20 | | | | 400 | |
| USD | | 17,337 | | IDR | | 250,000,000 | | Goldman Sachs International | | | 07/15/20 | | | | 149 | |
| USD | | 36,000 | | MXN | | 825,039 | | HSBC Bank plc | | | 07/15/20 | | | | 168 | |
| USD | | 95,000 | | RUB | | 6,640,785 | | BNP Paribas SA | | | 07/15/20 | | | | 1,847 | |
| USD | | 10,000 | | RUB | | 698,600 | | Citibank NA | | | 07/15/20 | | | | 200 | |
| USD | | 127,000 | | ZAR | | 2,195,770 | | Bank of America NA | | | 07/15/20 | | | | 651 | |
| USD | | 646,598 | | ZAR | | 11,116,507 | | JPMorgan Chase Bank NA | | | 07/15/20 | | | | 6,930 | |
| CLP | | 30,423,250 | | USD | | 37,000 | | Bank of America NA | | | 07/20/20 | | | | 53 | |
| USD | | 42,108 | | COP | | 157,672,000 | | JPMorgan Chase Bank NA | | | 07/27/20 | | | | 244 | |
| USD | | 45,000 | | BRL | | 244,332 | | Citibank NA | | | 08/04/20 | | | | 148 | |
| USD | | 70,000 | | COP | | 253,211,400 | | Citibank NA | | | 08/10/20 | | | | 2,854 | |
| USD | | 72,253 | | COP | | 264,975,515 | | Barclays Bank plc | | | 09/16/20 | | | | 2,195 | |
| USD | | 128,666 | | IDR | | 1,839,926,933 | | Barclays Bank plc | | | 09/16/20 | | | | 3,857 | |
| USD | | 17,518 | | RUB | | 1,246,000 | | Barclays Bank plc | | | 09/16/20 | | | | 164 | |
| USD | | 18,553 | | RUB | | 1,315,028 | | Credit Suisse International | | | 09/16/20 | | | | 238 | |
| USD | | 27,695 | | RUB | | 1,969,734 | | HSBC Bank plc | | | 09/16/20 | | | | 261 | |
| USD | | 532,909 | | RUB | | 37,118,760 | | JPMorgan Chase Bank NA | | | 09/16/20 | | | | 15,932 | |
| USD | | 19,382 | | RUB | | 1,376,563 | | Morgan Stanley & Co. International plc | | | 09/16/20 | | | | 210 | |
| USD | | 47,445 | | MXN | | 1,040,135 | | Barclays Bank plc | | | 09/23/20 | | | | 2,692 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 59,157 | |
| | | | | | | | | | | | | | | | |
| BRL | | 117,370 | | USD | | 21,900 | | BNP Paribas SA | | | 07/02/20 | | | | (317) | |
| BRL | | 522,760 | | USD | | 97,000 | | Citibank NA | | | 07/02/20 | | | | (871) | |
| BRL | | 364,509 | | USD | | 70,000 | | Deutsche Bank AG | | | 07/02/20 | | | | (2,971) | |
| BRL | | 462,694 | | USD | | 87,000 | | JPMorgan Chase Bank NA | | | 07/02/20 | | | | (1,917) | |
| | |
SCHEDULES OF INVESTMENTS | | 53 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio |
Forward Foreign Currency Exchange Contracts (continued)
| | | | | | | | | | | | | | | | |
| |
Currency Purchased | | | | Currency Sold | | Counterparty | | Settlement Date | | | Unrealized Appreciation (Depreciation) | |
| |
| USD | | 44,000 | | KRW | | 53,512,800 | | JPMorgan Chase Bank NA | | | 07/02/20 | | | $ | (488) | |
| USD | | 87,965 | | CAD | | 120,000 | | Citibank NA | | | 07/06/20 | | | | (427) | |
| USD | | 281,861 | | EUR | | 251,000 | | HSBC Bank plc | | | 07/06/20 | | | | (161) | |
| USD | | 54,000 | | KRW | | 65,008,440 | | BNP Paribas SA | | | 07/06/20 | | | | (124) | |
| CLP | | 39,936,000 | | USD | | 52,000 | | Citibank NA | | | 07/15/20 | | | | (3,365) | |
| CLP | | 58,554,000 | | USD | | 72,000 | | Deutsche Bank AG | | | 07/15/20 | | | | (692) | |
| COP | | 130,900,000 | | USD | | 35,000 | | JPMorgan Chase Bank NA | | | 07/15/20 | | | | (208) | |
| EUR | | 126,000 | | USD | | 142,056 | | JPMorgan Chase Bank NA | | | 07/15/20 | | | | (456) | |
| JPY | | 8,435,832 | | AUD | | 114,500 | | JPMorgan Chase Bank NA | | | 07/15/20 | | | | (883) | |
| JPY | | 4,504,349 | | USD | | 42,000 | | Citibank NA | | | 07/15/20 | | | | (277) | |
| MXN | | 204,296 | | USD | | 9,000 | | Barclays Bank plc | | | 07/15/20 | | | | (127) | |
| MXN | | 1,599,313 | | USD | | 70,500 | | Citibank NA | | | 07/15/20 | | | | (1,041) | |
| MXN | | 587,229 | | USD | | 26,500 | | Deutsche Bank AG | | | 07/15/20 | | | | (996) | |
| MXN | | 8,001,356 | | USD | | 359,000 | | JPMorgan Chase Bank NA | | | 07/15/20 | | | | (11,496) | |
| MXN | | 2,827,578 | | USD | | 127,000 | | Morgan Stanley & Co. International plc | | | 07/15/20 | | | | (4,197) | |
| RUB | | 26,085,041 | | USD | | 374,000 | | JPMorgan Chase Bank NA | | | 07/15/20 | | | | (8,097) | |
| USD | | 347,426 | | IDR | | 5,076,757,883 | | JPMorgan Chase Bank NA | | | 07/15/20 | | | | (1,606) | |
| USD | | 44,000 | | KRW | | 53,288,188 | | BNP Paribas SA | | | 07/15/20 | | | | (420) | |
| USD | | 10,000 | | KRW | | 12,116,000 | | JPMorgan Chase Bank NA | | | 07/15/20 | | | | (100) | |
| USD | | 17,000 | | MXN | | 391,902 | | Deutsche Bank AG | | | 07/15/20 | | | | (20) | |
| ZAR | | 1,186,668 | | USD | | 70,000 | | Citibank NA | | | 07/15/20 | | | | (1,716) | |
| USD | | 127,000 | | TRY | | 879,158 | | Citibank NA | | | 07/17/20 | | | | (831) | |
| USD | | 37,000 | | CLP | | 30,423,250 | | Citibank NA | | | 07/20/20 | | | | (53) | |
| KZT | | 1,946,250 | | USD | | 5,000 | | Goldman Sachs International | | | 07/24/20 | | | | (237) | |
| KZT | | 2,963,895 | | USD | | 7,590 | | Natwest Markets plc | | | 07/24/20 | | | | (336) | |
| USD | | 27,449 | | COP | | 104,609,000 | | JPMorgan Chase Bank NA | | | 07/27/20 | | | | (325) | |
| USD | | 18,000 | | BRL | | 98,581 | | Citibank NA | | | 08/04/20 | | | | (96) | |
| USD | | 34,000 | | COP | | 128,894,000 | | Natwest Markets plc | | | 08/10/20 | | | | (180) | |
| USD | | 254,358 | | CNY | | 1,809,000 | | Standard Chartered Bank | | | 09/16/20 | | | | (405) | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (45,436) | |
| | | | | | | | | | | | | | | | |
OTC Barrier Options Purchased
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Type of Option | | Counterparty | | Expiration Date | | | | | | Exercise Price | | | Barrier Price/Range | | | Notional Amount (000) | | | Value | |
Call | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
USD Currency | | One-Touch | | Bank of America NA | | | 09/10/20 | | | | CLP | | | | 820.00 | | | | CLP | | | | 820.00 | | | | USD | | | | 8 | | | $ | 3,738 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
USD Currency | | Down and Out | | Goldman Sachs International | | | 07/15/20 | | | | MXN | | | | 22.25 | | | | MXN | | | | 21.30 | | | | USD | | | | 89 | | | | 151 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 3,889 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Currency Options Purchased
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Description | | Counterparty | | Expiration Date | | | Exercise Price | | | Notional Amount (000) | | | Value | |
| |
Call | | | | | | | | | | | | | | | | | | | | | | | | | | |
USD Currency | | Bank of America NA | | | 07/15/20 | | | | CLP | | | | 830.00 | | | USD | | | | | 87 | | | $ | 802 | |
USD Currency | | Citibank NA | | | 07/23/20 | | | | ZAR | | | | 18.00 | | | USD | | | | | 70 | | | | 437 | |
USD Currency | | Citibank NA | | | 07/23/20 | | | | ZAR | | | | 17.25 | | | USD | | | | | 70 | | | | 1,466 | |
USD Currency | | Deutsche Bank AG | | | 07/23/20 | | | | ZAR | | | | 19.00 | | | USD | | | | | 70 | | | | 102 | |
EUR Currency | | Bank of America NA | | | 07/30/20 | | | | USD | | | | 1.13 | | | EUR | | | | | 126 | | | | 719 | |
USD Currency | | Bank of America NA | | | 08/07/20 | | | | TRY | | | | 7.00 | | | USD | | | | | 60 | | | | 655 | |
USD Currency | | JPMorgan Chase Bank NA | | | 11/03/20 | | | | TWD | | | | 30.00 | | | USD | | | | | 130 | | | | 413 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | 4,594 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| 54 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio |
OTC Currency Options Purchased (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Description | | Counterparty | | Expiration Date | | | | | | Exercise Price | | | Notional Amount (000) | | | Value | |
| |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | |
USD Currency | | Bank of America NA | | | 07/02/20 | | | | BRL | | | | 5.00 | | | USD | | | | | 104 | | | $ | 1 | |
USD Currency | | Bank of America NA | | | 07/02/20 | | | | KRW | | | | 1,220.00 | | | USD | | | | | 122 | | | | 2,052 | |
USD Currency | | Citibank NA | | | 07/02/20 | | | | RUB | | | | 78.00 | | | USD | | | | | 338 | | | | 32,033 | |
USD Currency | | Bank of America NA | | | 07/09/20 | | | | KRW | | | | 1,170.00 | | | USD | | | | | 174 | | | | 37 | |
USD Currency | | JPMorgan Chase Bank NA | | | 07/16/20 | | | | KRW | | | | 1,200.00 | | | USD | | | | | 142 | | | | 952 | |
USD Currency | | Morgan Stanley & Co. International plc | | | 07/20/20 | | | | BRL | | | | 5.20 | | | USD | | | | | 70 | | | | 657 | |
USD Currency | | Standard Chartered Bank | | | 07/21/20 | | | | JPY | | | | 106.00 | | | USD | | | | | 178 | | | | 209 | |
USD Currency | | HSBC Bank plc | | | 07/27/20 | | | | MXN | | | | 22.60 | | | USD | | | | | 106 | | | | 1,190 | |
USD Currency | | Bank of America NA | | | 08/05/20 | | | | ZAR | | | | 16.90 | | | USD | | | | | 146 | | | | 1,171 | |
USD Currency | | Bank of America NA | | | 08/06/20 | | | | MXN | | | | 24.00 | | | USD | | | | | 69 | | | | 3,450 | |
USD Currency | | Bank of America NA | | | 10/09/20 | | | | MXN | | | | 23.80 | | | USD | | | | | 87 | | | | 4,218 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | 45,970 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | 50,564 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| OTC Currency Options Written | |
| |
| Description | | Counterparty | | Expiration Date | | | | | | Exercise Price | | | Notional Amount (000) | | | Value | |
| |
Call | | | | | | | | | | | | | | | | | | | | | | | | | | |
USD Currency | | BNP Paribas SA | | | 07/02/20 | | | | BRL | | | | 5.35 | | | USD | | | | | 88 | | | $ | (1,744) | |
USD Currency | | Bank of America NA | | | 07/02/20 | | | | KRW | | | | 1,240.00 | | | USD | | | | | 122 | | | | — | |
AUD Currency | | JPMorgan Chase Bank NA | | | 07/09/20 | | | | JPY | | | | 71.00 | | | AUD | | | | | 54 | | | | (1,757) | |
USD Currency | | Bank of America NA | | | 07/09/20 | | | | MXN | | | | 25.00 | | | USD | | | | | 26 | | | | (17) | |
USD Currency | | Bank of America NA | | | 07/15/20 | | | | CLP | | | | 855.00 | | | USD | | | | | 87 | | | | (286) | |
USD Currency | | Citibank NA | | | 07/23/20 | | | | ZAR | | | | 19.00 | | | USD | | | | | 70 | | | | (102) | |
USD Currency | | Citibank NA | | | 07/23/20 | | | | ZAR | | | | 18.00 | | | USD | | | | | 140 | | | | (874) | |
USD Currency | | HSBC Bank plc | | | 07/27/20 | | | | MXN | | | | 24.00 | | | USD | | | | | 106 | | | | (898) | |
EUR Currency | | Bank of America NA | | | 07/30/20 | | | | USD | | | | 1.15 | | | EUR | | | | | 126 | | | | (274) | |
USD Currency | | Bank of America NA | | | 08/06/20 | | | | MXN | | | | 25.50 | | | USD | | | | | 26 | | | | (98) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | (6,050) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | |
USD Currency | | Citibank NA | | | 07/02/20 | | | | RUB | | | | 75.00 | | | USD | | | | | 338 | | | | (17,797) | |
USD Currency | | Bank of America NA | | | 07/15/20 | | | | CLP | | | | 795.00 | | | USD | | | | | 87 | | | | (227) | |
USD Currency | | JPMorgan Chase Bank NA | | | 07/16/20 | | | | KRW | | | | 1,185.00 | | | USD | | | | | 212 | | | | (440) | |
USD Currency | | Morgan Stanley & Co. International plc | | | 07/20/20 | | | | BRL | | | | 4.95 | | | USD | | | | | 106 | | | | (224) | |
USD Currency | | Citibank NA | | | 07/23/20 | | | | ZAR | | | | 17.00 | | | USD | | | | | 70 | | | | (455) | |
USD Currency | | Bank of America NA | | | 08/06/20 | | | | MXN | | | | 23.00 | | | USD | | | | | 69 | | | | (1,462) | |
USD Currency | | Bank of America NA | | | 08/07/20 | | | | TRY | | | | 6.60 | | | USD | | | | | 60 | | | | (64) | |
USD Currency | | JPMorgan Chase Bank NA | | | 08/07/20 | | | | TWD | | | | 29.25 | | | USD | | | | | 69 | | | | (424) | |
USD Currency | | Bank of America NA | | | 10/09/20 | | | | MXN | | | | 22.80 | | | USD | | | | | 139 | | | | (3,291) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | (24,384) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (30,434) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
SCHEDULES OF INVESTMENTS | | 55 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio |
OTC Interest Rate Swaptions Purchased
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Paid by the Fund | | Received by the Fund | | | | Expiration
Date | | | Exercise Rate
| | | Notional
Amount (000)
| | | Value | |
| Description | | Rate | | | Frequency | | Rate | | | Frequency | | Counterparty |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
10-Year Interest Rate Swap(a) | | | 1.05 | % | | Semi-Annual | | | 3 month LIBOR | | | Quarterly | | Deutsche Bank AG | | | 12/03/20 | | | | 1.05 | % | | | USD | | | | 1,166 | | | $ | 6,481 | |
10-Year Interest Rate Swap(a) | | | 1.05 | % | | Semi-Annual | | | 3 month LIBOR | | | Quarterly | | Deutsche Bank AG | | | 12/16/20 | | | | 1.05 | | | | USD | | | | 429 | | | | 2,627 | |
10-Year Interest Rate Swap(a) | | | 1.00 | % | | Semi-Annual | | | 3 month LIBOR | | | Quarterly | | Bank of America NA | | | 12/17/20 | | | | 1.00 | | | | USD | | | | 532 | | | | 3,824 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 12,932 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Forward settling swaption. |
Centrally Cleared Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Paid by the Fund | | Received by the Fund | | | | | | | | | | | | | | | | | | | | |
| Rate | | Frequency | | Rate | | Frequency | | Effective
Date | | | Termination
Date | | | Notional Amount (000) | | | Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
| |
| 0.73% | | Semi-Annual | | 3 month BA | | Semi-Annual | | | 04/05/21 | (a) | | | 04/05/22 | | | CAD | | | 3,043 | | | $ | (3,960) | | | $ | — | | | $ | (3,960) | |
| 0.77% | | Semi-Annual | | 3 month BA | | Semi-Annual | | | 04/07/21 | (a) | | | 04/07/22 | | | CAD | | | 6,065 | | | | (9,554) | | | | — | | | | (9,554) | |
| 3 month BA | | Semi-Annual | | 0.66% | | Semi-Annual | | | 05/13/22 | (a) | | | 05/13/23 | | | CAD | | | 12,185 | | | | (8,097) | | | | — | | | | (8,097) | |
| 1 day SONIA | | At Termination | | 0.02% | | At Termination | | | 05/26/22 | (a) | | | 05/26/23 | | | GBP | | | 7,155 | | | | 7,097 | | | | — | | | | 7,097 | |
| 3 month BA | | Semi-Annual | | 0.74% | | Semi-Annual | | | 05/26/22 | (a) | | | 05/26/23 | | | CAD | | | 2,092 | | | | (284) | | | | — | | | | (284) | |
| 3 month BA | | Semi-Annual | | 0.73% | | Semi-Annual | | | 05/30/22 | (a) | | | 05/30/23 | | | CAD | | | 1,695 | | | | (306) | | | | — | | | | (306) | |
| 3 month BA | | Semi-Annual | | 0.76% | | Semi-Annual | | | 05/30/22 | (a) | | | 05/30/23 | | | CAD | | | 1,736 | | | | 69 | | | | — | | | | 69 | |
| 0.08% | | At Termination | | 1 day Fed Funds | | At Termination | | | 05/31/22 | (a) | | | 05/31/23 | | | USD | | | 1,235 | | | | (1,076) | | | | — | | | | (1,076) | |
| 0.06% | | At Termination | | 1 day Fed Funds | | At Termination | | | 05/31/22 | (a) | | | 05/31/23 | | | USD | | | 1,489 | | | | (996) | | | | — | | | | (996) | |
| 3 month BA | | Semi-Annual | | 0.76% | | Semi-Annual | | | 06/01/22 | (a) | | | 06/01/23 | | | CAD | | | 3,391 | | | | (3) | | | | — | | | | (3) | |
| 3 month BA | | Semi-Annual | | 0.77% | | Semi-Annual | | | 06/01/22 | (a) | | | 06/01/23 | | | CAD | | | 3,391 | | | | 59 | | | | — | | | | 59 | |
| 0.05% | | At Termination | | 1 day Fed Funds | | At Termination | | | 06/02/22 | (a) | | | 06/02/23 | | | USD | | | 1,206 | | | | (678) | | | | — | | | | (678) | |
| 0.04% | | At Termination | | 1 day Fed Funds | | At Termination | | | 06/03/22 | (a) | | | 06/03/23 | | | USD | | | 2,413 | | | | (1,130) | | | | — | | | | (1,130) | |
| 0.04% | | At Termination | | 1 day Fed Funds | | At Termination | | | 06/03/22 | (a) | | | 06/03/23 | | | USD | | | 2,412 | | | | (1,191) | | | | — | | | | (1,191) | |
| 0.74% | | Semi-Annual | | 3 month BA | | Semi-Annual | | | 06/27/22 | (a) | | | 06/27/23 | | | CAD | | | 6,075 | | | | 1,799 | | | | — | | | | 1,799 | |
| 3 month BA | | Semi-Annual | | 1.09% | | Semi-Annual | | | 04/03/23 | (a) | | | 04/03/24 | | | CAD | | | 3,043 | | | | 4,510 | | | | — | | | | 4,510 | |
| 3 month BA | | Semi-Annual | | 1.22% | | Semi-Annual | | | 04/10/23 | (a) | | | 04/10/24 | | | CAD | | | 6,065 | | | | 14,501 | | | | — | | | | 14,501 | |
| 28 day MXIBTIIE | | Monthly | | 6.67% | | Monthly | | | N/A | | | | 08/12/24 | | | MXN | | | 3,217 | | | | 10,599 | | | | — | | | | 10,599 | |
| 28 day MXIBTIIE | | Monthly | | 6.72% | | Monthly | | | N/A | | | | 08/13/24 | | | MXN | | | 2,768 | | | | 9,328 | | | | — | | | | 9,328 | |
| 28 day MXIBTIIE | | Monthly | | 6.59% | | Monthly | | | N/A | | | | 11/08/24 | | | MXN | | | 1,973 | | | | 6,432 | | | | — | | | | 6,432 | |
| 28 day MXIBTIIE | | Monthly | | 5.20% | | Monthly | | | N/A | | | | 05/02/25 | | | MXN | | | 4,577 | | | | 3,414 | | | | — | | | | 3,414 | |
| 3 month BA | | Semi-Annual | | 0.75% | | Semi-Annual | | | N/A | | | | 05/26/25 | | | CAD | | | 1,235 | | | | (95) | | | | — | | | | (95) | |
| 3 month BA | | Semi-Annual | | 0.85% | | Semi-Annual | | | N/A | | | | 06/04/25 | | | CAD | | | 620 | | | | 2,110 | | | | — | | | | 2,110 | |
| 3 month BA | | Semi-Annual | | 0.85% | | Semi-Annual | | | N/A | | | | 06/04/25 | | | CAD | | | 620 | | | | 2,156 | | | | (4) | | | | 2,160 | |
| 28 day MXIBTIIE | | Monthly | | 6.32% | | Monthly | | | N/A | | | | 07/17/25 | | | MXN | | | 2,027 | | | | 5,980 | | | | — | | | | 5,980 | |
| 28 day MXIBTIIE | | Monthly | | 5.99% | | Monthly | | | N/A | | | | 05/02/30 | | | MXN | | | 1,215 | | | | 1,417 | | | | — | | | | 1,417 | |
| 28 day MXIBTIIE | | Monthly | | 6.03% | | Monthly | | | N/A | | | | 05/02/30 | | | MXN | | | 1,215 | | | | 1,587 | | | | — | | | | 1,587 | |
| 28 day MXIBTIIE | | Monthly | | 6.03% | | Monthly | | | N/A | | | | 05/03/30 | | | MXN | | | 1,087 | | | | 1,402 | | | | — | | | | 1,402 | |
| 28 day MXIBTIIE | | Monthly | | 5.96% | | Monthly | | | N/A | | | | 05/06/30 | | | MXN | | | 880 | | | | 928 | | | | — | | | | 928 | |
| 3 month LIBOR | | Quarterly | | 0.64% | | Semi-Annual | | | 08/12/20 | (a) | | | 08/12/30 | | | USD | | | 452 | | | | (583) | | | | — | | | | (583) | |
| 3 month LIBOR | | Quarterly | | 0.80% | | Semi-Annual | | | 12/18/20 | (a) | | | 12/18/30 | | | USD | | | 116 | | | | 1,396 | | | | — | | | | 1,396 | |
| 3 month LIBOR | | Quarterly | | 0.75% | | Semi-Annual | | | 12/21/20 | (a) | | | 12/21/30 | | | USD | | | 144 | | | | 1,009 | | | | — | | | | 1,009 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 47,840 | | | $ | (4) | | | $ | 47,844 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| 56 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio |
OTC Credit Default Swaps — Buy Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Reference Obligation/Index | | Financing
Rate Paid
by the Fund | | | Payment
Frequency | | | Counterparty | | Termination
Date | | | Notional
Amount (000) | | | Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
| |
United Mexican States | | | 1.00 | % | | | Quarterly | | | Bank of America NA | | | 09/20/20 | | | USD | | | 209 | | | $ | (342 | ) | | $ | 118 | | | $ | (460) | |
Federative Republic of Brazil | | | 1.00 | | | | Quarterly | | | Morgan Stanley & Co. International plc | | | 06/20/25 | | | USD | | | 86 | | | | 6,126 | | | | 12,038 | | | | (5,912) | |
Federative Republic of Brazil | | | 1.00 | | | | Quarterly | | | Morgan Stanley & Co. International plc | | | 06/20/25 | | | USD | | | 80 | | | | 5,713 | | | | 10,255 | | | | (4,542) | |
Republic of South Africa | | | 1.00 | | | | Quarterly | | | Barclays Bank plc | | | 06/20/25 | | | USD | | | 35 | | | | 3,321 | | | | 3,014 | | | | 307 | |
Republic of South Africa | | | 1.00 | | | | Quarterly | | | Goldman Sachs International | | | 06/20/25 | | | USD | | | 60 | | | | 5,645 | | | | 5,303 | | | | 342 | |
Republic of South Africa | | | 1.00 | | | | Quarterly | | | Goldman Sachs International | | | 06/20/25 | | | USD | | | 63 | | | | 5,870 | | | | 5,009 | | | | 861 | |
Republic of South Africa | | | 1.00 | | | | Quarterly | | | Goldman Sachs International | | | 06/20/25 | | | USD | | | 44 | | | | 4,156 | | | | 3,866 | | | | 290 | |
Republic of South Africa | | | 1.00 | | | | Quarterly | | | Morgan Stanley & Co. International plc | | | 06/20/25 | | | USD | | | 224 | | | | 20,957 | | | | 30,035 | | | | (9,078) | |
United Mexican States | | | 1.00 | | | | Quarterly | | | Citibank NA | | | 06/20/25 | | | USD | | | 138 | | | | 3,729 | | | | 13,557 | | | | (9,828) | |
CMBX.NA.9.AAA | | | 0.50 | | | | Monthly | | | Credit Suisse International | | | 09/17/58 | | | USD | | | 60 | | | | (569 | ) | | | 681 | | | | (1,250) | |
CMBX.NA.9.AAA | | | 0.50 | | | | Monthly | | | Deutsche Bank AG | | | 09/17/58 | | | USD | | | 50 | | | | (474 | ) | | | 578 | | | | (1,052) | |
CMBX.NA.9.AAA | | | 0.50 | | | | Monthly | | | Morgan Stanley & Co. International plc | | | 09/17/58 | | | USD | | | 110 | | | | (1,042 | ) | | | 1,345 | | | | (2,387) | |
CMBX.NA.9.AAA | | | 0.50 | | | | Monthly | | | Morgan Stanley & Co. International plc | | | 09/17/58 | | | USD | | | 40 | | | | (379 | ) | | | 458 | | | | (837) | |
CMBX.NA.9.AAA | | | 0.50 | | | | Monthly | | | Morgan Stanley & Co. International plc | | | 09/17/58 | | | USD | | | 50 | | | | (474 | ) | | | 570 | | | | (1,044) | |
CMBX.NA.9.BBB- | | | 3.00 | | | | Monthly | | | Morgan Stanley & Co. International plc | | | 09/17/58 | | | USD | | | 2 | | | | 388 | | | | 110 | | | | 278 | |
CMBX.NA.6.AAA | | | 0.50 | | | | Monthly | | | Deutsche Bank AG | | | 05/11/63 | | | USD | | | 93 | | | | (523 | ) | | | (70 | ) | | | (453) | |
CMBX.NA.6.AAA | | | 0.50 | | | | Monthly | | | Deutsche Bank AG | | | 05/11/63 | | | USD | | | 42 | | | | (236 | ) | | | (6 | ) | | | (230) | |
CMBX.NA.6.BBB- | | | 3.00 | | | | Monthly | | | JPMorgan Securities LLC | | | 05/11/63 | | | USD | | | 20 | | | | 6,250 | | | | 1,832 | | | | 4,418 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 58,116 | | | $ | 88,693 | | | $ | (30,577) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps — Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| |
| Financing
Rate Received |
| | | Payment | | | | | | Termination | | | Credit | |
| Notional
Amount |
| | | | | |
| Upfront
Premium
Paid |
| |
| Unrealized
Appreciation |
|
| Reference Obligation/Index | | | by the Fund | | | | Frequency | | | Counterparty | | | Date | | | Rating (a) | | | | | | | (000) | (b) | | | Value | | | | (Received) | | | | (Depreciation) | |
| |
United Mexican States | | | 1.00 | % | | | Quarterly | | | JPMorgan Chase Bank NA | | | 09/20/20 | | | BBB | | | USD | | | | 209 | | | $ | 344 | | | $ | (104) | | | $ | 448 | |
CMBX.NA.3.AM | | | 0.50 | | | | Monthly | | | Credit Suisse International | | | 12/13/49 | | | NR | | | USD | | | | — | | | | — | | | | (7) | | | | 7 | |
CMBX.NA.3.AM | | | 0.50 | | | | Monthly | | | Goldman Sachs International | | | 12/13/49 | | | NR | | | USD | | | | — | | | | — | | | | (14) | | | | 14 | |
CMBX.NA.9.BBB- | | | 3.00 | | | | Monthly | | | Deutsche Bank AG | | | 09/17/58 | | | NR | | | USD | | | | 7 | | | | (1,358) | | | | (805) | | | | (553) | |
CMBX.NA.10.BBB- | | | 3.00 | | | | Monthly | | | JPMorgan Securities LLC | | | 11/17/59 | | | BBB- | | | USD | | | | 5 | | | | (998) | | | | (409) | | | | (589) | |
CMBX.NA.6.BBB- | | | 3.00 | | | | Monthly | | | Credit Suisse International | | | 05/11/63 | | | BBB | | | USD | | | | 20 | | | | (6,250) | | | | (1,514) | | | | (4,736) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | (8,262) | | | $ | (2,853) | | | $ | (5,409) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
| (b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
OTC Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Paid by the Fund | | Received by the Fund | | | | | | | | | | | | | | | | | | | |
| Rate | | Frequency | | Rate | | Frequency | | Counterparty | | Termination
Date | | | Notional Amount
(000) | | | Value | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
| |
| 3.27% | | Semi-Annual | | 3 month LIBOR | | Quarterly | | Deutsche Bank AG | | | 05/16/21 | | | | USD | | | | 550 | | | $ | (16,287) | | | $ | — | | | $ | (16,287) | |
| 1 day BZDIOVER | | At Termination | | 5.13% | | At Termination | | JPMorgan Chase Bank NA | | | 01/02/23 | | | | BRL | | | | 609 | | | | 3,647 | | | | — | | | | 3,647 | |
28 day
MXIBTIIE | | Monthly | | 6.43% | | Monthly | | Bank of America NA | | | 06/06/25 | | | | MXN | | | | 836 | | | | 2,637 | | | | — | | | | 2,637 | |
| | |
SCHEDULES OF INVESTMENTS | | 57 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio |
OTC Interest Rate Swaps (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Paid by the Fund | | Received by the Fund | | | | | | | | | | | | | | | | | | | | |
| Rate | | Frequency | | Rate | | | Frequency | | Counterparty | | Termination
Date | | | Notional
Amount (000) | | | Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
| |
28 day
MXIBTIIE | | Monthly | | | 6.33% | | | Monthly | | Citibank NA | | | 07/17/25 | | | | MXN | | | | 1,010 | | | $ | 2,989 | | | $ | — | | | $ | 2,989 | |
28 day
MXIBTIIE | | Monthly | | | 6.27% | | | Monthly | | Bank of America NA | | | 12/05/25 | | | | MXN | | | | 116 | | | | 332 | | | | — | | | | 332 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (6,682) | | | $ | — | | | $ | (6,682) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Inflation Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Paid by the Fund | | Received by the Fund | | | | | | | | | | | | | | | | | | | |
| Reference | | Frequency | | Rate | | Frequency | | Counterparty | | | Termination
Date | | | Notional
Amount (000) | | Value | | | Upfront
Premium
Paid (Received) | | | Unrealized
Appreciation (Depreciation) | |
1 month USCPI
| | At Termination | | (0.96)% | | At Termination | | | Citibank NA | | | | 04/15/21 | | | USD | | 1,296 | | $ | (8,437) | | | $ | — | | | $ | (8,437 | ) |
1 month USCPI
| | At Termination | | (1.00)% | | At Termination | | | Citibank NA | | | | 04/15/21 | | | USD | | 1,296 | | | (8,897) | | | | — | | | | (8,897 | ) |
1 month USCPI
| | At Termination | | (1.00)% | | At Termination | | | Citibank NA | | | | 04/15/21 | | | USD | | 1,296 | | | (8,897) | | | | — | | | | (8,897 | ) |
1 month USCPI
| | At Termination | | (1.02)% | | At Termination | | | Citibank NA | | | | 04/15/21 | | | USD | | 1,296 | | | (9,134) | | | | — | | | | (9,134 | ) |
| 0.04% | | At Termination | | 1 month USCPI | | At Termination | | | Citibank NA | | | | 04/15/22 | | | USD | | 1,296 | | | 11,743 | | | | — | | | | 11,743 | |
| 0.02% | | At Termination | | 1 month USCPI | | At Termination | | | Citibank NA | | | | 04/15/22 | | | USD | | 1,296 | | | 12,290 | | | | — | | | | 12,290 | |
| 0.01% | | At Termination | | 1 month USCPI | | At Termination | | | Citibank NA | | | | 04/15/22 | | | USD | | 1,296 | | | 12,488 | | | | — | | | | 12,488 | |
| 0.00% | | At Termination | | 1 month USCPI | | At Termination | | | Citibank NA | | | | 04/15/22 | | | USD | | 1,296 | | | 12,786 | | | | — | | | | 12,786 | |
1 month USCPI At Termination | | (0.05)% | | At Termination | | | Citibank NA | | | | 04/15/22 | | | USD | | 1,944 | | | (21,042) | | | | — | | | | (21,042 | ) |
| 0.62% | | At Termination | | 1 month USCPI | | At Termination | | | Citibank NA | | | | 04/15/24 | | | USD | | 1,944 | | | 28,470 | | | | — | | | | 28,470 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 21,370 | | | $ | — | | | $ | 21,370 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The following reference rates, and their values as of period end, are used for security descriptions:
| | | | | | |
| Reference Index | | | | Reference Rate | |
1 day BZDIOVER | | Overnight Brazil CETIP — Interbank Rate | | | 0.01 | % |
1 day Fed Funds | | 1 day Fed Funds | | | 0.08 | |
1 day SONIA | | Sterling Overnight Index Average | | | 0.06 | |
1 month USCPI | | U.S. Consumer Price Index | | | 0.10 | |
28 day MXIBTIIE | | Mexico Interbank TIIE 28-Day | | | 5.28 | |
3 month BA | | Canadian Bankers Acceptances | | | 0.56 | |
3 month LIBOR | | London Interbank Offered Rate | | | 0.30 | |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written
| | | | | | | | | | | | | | | | | | |
| | | Swap
Premiums
Paid | | | Swap
Premiums
Received | | | Unrealized
Appreciation | | | Unrealized
Depreciation | | | Value |
Centrally Cleared Swaps (a) | | $ | — | | | $ | (4) | | | $ | 75,797 | | | $ | (27,953) | | | $ — |
OTC Swaps | | | 88,769 | | | | (2,929) | | | | 94,347 | | | | (115,645) | | | — |
Options Written | | | N/A | | | | N/A | | | | 4,094 | | | | (15,271) | | | (30,434) |
| (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. |
| | |
| 58 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital 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:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other Contracts | | | Total | |
| |
Assets — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on futures contracts (a) | | $ | — | | | $ | — | | | $ | 5,261 | | | $ | — | | | $ | 200,283 | | | $ | — | | | $ | 205,544 | |
Forward foreign currency exchange contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 59,157 | | | | — | | | | — | | | | 59,157 | |
Options purchased (b) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments at value — unaffiliated (c) | | | — | | | | — | | | | — | | | | 54,453 | | | | 12,932 | | | | — | | | | 67,385 | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on centrally cleared swaps (a) | | | — | | | | — | | | | — | | | | — | | | | 75,797 | | | | — | | | | 75,797 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on OTC swaps; Swap premiums paid | | | — | | | | 95,734 | | | | — | | | | — | | | | 9,605 | | | | 77,777 | | | | 183,116 | |
| | | | |
| | $ | — | | | $ | 95,734 | | | $ | 5,261 | | | $ | 113,610 | | | $ | 298,617 | | | $ | 77,777 | | | $ | 590,999 | |
| | | | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on futures contracts (a) | | | — | | | | — | | | | — | | | | — | | | | 53,642 | | | | — | | | | 53,642 | |
Forward foreign currency exchange contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 45,436 | | | | — | | | | — | | | | 45,436 | |
Options written | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Options written at value | | | — | | | | — | | | | — | | | | 30,434 | | | | — | | | | — | | | | 30,434 | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on centrally cleared swaps (a) | | | — | | | | — | | | | — | | | | — | | | | 27,953 | | | | — | | | | 27,953 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on OTC swaps; Swap premiums received | | | — | | | | 45,880 | | | | — | | | | — | | | | 16,287 | | | | 56,407 | | | | 118,574 | |
| | | | |
| | $ | — | | | $ | 45,880 | | | $ | — | | | $ | 75,870 | | | $ | 97,882 | | | $ | 56,407 | | | $ | 276,039 | |
| | | | |
| (a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
| (b) | Includes forward settling swaptions. |
| (c) | Includes options purchased at value as reported in the Schedule of Investments. |
For the six months ended June 30, 2020, the effect of derivative financial instruments in the Statements of Operations was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign Currency
Exchange
Contracts | | | Interest Rate
Contracts | | | Other
Contracts | | | Total | |
| |
Net Realized Gain (Loss) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | (238,491 | ) | | $ | — | | | $ | (1,261,128 | ) | | $ | — | | | $ | (1,499,619 | ) |
Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 121,968 | | | | — | | | | — | | | | 121,968 | |
Options purchased (a) | | | — | | | | — | | | | — | | | | (88,281 | ) | | | 19,734 | | | | — | | | | (68,547 | ) |
Options written | | | — | | | | — | | | | — | | | | 45,730 | | | | (38,286 | ) | | | — | | | | 7,444 | |
Swaps | | | — | | | | 176,926 | | | | — | | | | — | | | | 124,688 | | | | 76,626 | | | | 378,240 | |
| | | | |
| | $ | — | | | $ | 176,926 | | | $ | (238,491 | ) | | $ | 79,417 | | | $ | (1,154,992 | ) | | $ | 76,626 | | | $ | (1,060,514 | ) |
| | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | — | | | | — | | | | (53,535 | ) | | | — | | | | 118,892 | | | | — | | | | 65,357 | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | (77,735 | ) | | | — | | | | — | | | | (77,735 | ) |
Options purchased (b) | | | — | | | | — | | | | — | | | | 5,830 | | | | 40,551 | | | | — | | | | 46,381 | |
Options written | | | — | | | | — | | | | — | | | | (7,780 | ) | | | (49,783 | ) | | | — | | | | (57,563 | ) |
Swaps | | | — | | | | 32,249 | | | | — | | | | — | | | | 37,503 | | | | 21,370 | | | | 91,122 | |
| | | | |
| | $ | — | | | $ | 32,249 | | | $ | (53,535 | ) | | $ | (79,685 | ) | | $ | 147,163 | | | $ | 21,370 | | | $ | 67,562 | |
| | | | |
| (a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
| (b) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |
| | |
SCHEDULES OF INVESTMENTS | | 59 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital Portfolio |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
| |
Futures contracts: | | | | |
Average notional value of contracts — long | | $ | 55,876,640 | |
Average notional value of contracts — short | | | 8,817,616 | |
Forward foreign currency exchange contracts: | | | | |
Average amounts purchased — in USD | | | 7,317,857 | |
Average amounts sold — in USD | | | 4,621,932 | |
Options: | | | | |
Average value of option contracts purchased | | | 53,244 | |
Average value of option contracts written | | | 43,986 | |
Average notional value of swaption contracts purchased | | | 1,063,500 | |
Average notional value of swaption contracts written | | | —(a) | |
Credit default swaps: | | | | |
Average notional value — buy protection | | | 1,761,660 | |
Average notional value — sell protection | | | 346,502 | |
Interest rate swaps: | | | | |
Average notional value — pays fixed rate | | | 10,696,200 | |
Average notional value — receives fixed rate | | | 20,663,395 | |
Inflation swaps: | | | | |
Average notional value — pays fixed rate | | | 3,564,000 | |
Average notional value — receives fixed rate | | | 3,564,000 | |
| |
| (a) | Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. |
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: | | | | | | |
Futures contracts | | $ | 102,617 | | | $ 96,151 |
Forward foreign currency exchange contracts | | | 59,157 | | | 45,436 |
Options (a)(b) | | | 67,385 | | | 30,434 |
Swaps — Centrally cleared | | | — | | | 4,871 |
Swaps — OTC (c) | | | 183,116 | | | 118,574 |
| | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | $ | 412,275 | | | $ 295,466 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | (102,617) | | | (101,022) |
| | | |
Total derivative assets and liabilities subject to an MNA | | $ | 309,658 | | | $ 194,444 |
| | | |
| (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 forward settling swaptions. |
| (c) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities. |
| | |
| 60 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital 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) |
Bank of America NA | | $ | 25,707 | | | $ | (6,179) | | | $ | — | | | $ | — | | | $ 19,528 |
Barclays Bank plc | | | 12,229 | | | | (127) | | | | — | | | | — | | | 12,102 |
BNP Paribas SA | | | 2,354 | | | | (2,354) | | | | — | | | | — | | | — |
Citibank NA | | | 142,805 | | | | (94,140) | | | | — | | | | — | | | 48,665 |
Credit Suisse International | | | 926 | | | | (926) | | | | — | | | | — | | | — |
Deutsche Bank AG | | | 14,919 | | | | (14,919) | | | | — | | | | — | | | — |
Goldman Sachs International | | | 15,985 | | | | (251) | | | | — | | | | — | | | 15,734 |
HSBC Bank plc | | | 1,619 | | | | (1,059) | | | | — | | | | — | | | 560 |
JPMorgan Chase Bank NA | | | 30,699 | | | | (28,301) | | | | — | | | | — | | | 2,398 |
JPMorgan Securities LLC | | | 6,250 | | | | (998) | | | | — | | | | — | | | 5,252 |
Morgan Stanley & Co. International plc | | | 55,956 | | | | (28,221) | | | | — | | | | — | | | 27,735 |
Standard Chartered Bank | | | 209 | | | | (209) | | | | — | | | | — | | | — |
| | | | | | | | | | | | | | | | | | |
| | $ | 309,658 | | | $ | (177,684) | | | $ | — | | | $ | — | | | $ 131,974 |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| 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) |
Bank of America NA | | $ | 6,179 | | | $ | (6,179) | | | $ | — | | | $ | — | | | $ — |
Barclays Bank plc | | | 127 | | | | (127) | | | | — | | | | — | | | — |
BNP Paribas SA | | | 2,605 | | | | (2,354) | | | | — | | | | — | | | 251 |
Citibank NA | | | 94,140 | | | | (94,140) | | | | — | | | | — | | | — |
Credit Suisse International | | | 7,507 | | | | (926) | | | | — | | | | — | | | 6,581 |
Deutsche Bank AG | | | 24,135 | | | | (14,919) | | | | — | | | | — | | | 9,216 |
Goldman Sachs International | | | 251 | | | | (251) | | | | — | | | | — | | | — |
HSBC Bank plc | | | 1,059 | | | | (1,059) | | | | — | | | | — | | | — |
JPMorgan Chase Bank NA | | | 28,301 | | | | (28,301) | | | | — | | | | — | | | — |
JPMorgan Securities LLC | | | 998 | | | | (998) | | | | — | | | | — | | | — |
Morgan Stanley & Co. International plc | | | 28,221 | | | | (28,221) | | | | — | | | | — | | | — |
Natwest Markets plc | | | 516 | | | | — | | | | — | | | | — | | | 516 |
Standard Chartered Bank | | | 405 | | | | (209) | | | | — | | | | — | | | 196 |
| | | | | | | | | | | | | | | | | | |
| | $ | 194,444 | | | $ | (177,684) | | | $ | — | | | $ | — | | | $ 16,760 |
| | | | | | | | | | | | | | | | | | |
| (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. |
| | |
SCHEDULES OF INVESTMENTS | | 61 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Balanced Capital 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: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | — | | | $ | 12,763,818 | | | $ | 1,106,636 | | | $ | 13,870,454 | |
Common Stocks | | | 287,511,842 | | | | — | | | | — | | | | 287,511,842 | |
Corporate Bonds | | | — | | | | 66,252,898 | | | | — | | | | 66,252,898 | |
Floating Rate Loan Interests | | | — | | | | — | | | | 8,900 | | | | 8,900 | |
Foreign Agency Obligations | | | — | | | | 275,168 | | | | — | | | | 275,168 | |
Foreign Government Obligations | | | — | | | | 5,048,145 | | | | — | | | | 5,048,145 | |
Investment Companies | | | 9,836,509 | | | | — | | | | — | | | | 9,836,509 | |
Municipal Bonds | | | — | | | | 7,738,378 | | | | — | | | | 7,738,378 | |
Non-Agency Mortgage-Backed Securities | | | — | | | | 7,004,455 | | | | 72,916 | | | | 7,077,371 | |
Capital Trusts | | | — | | | | 582,509 | | | | — | | | | 582,509 | |
Rights | | | 26,062 | | | | — | | | | — | | | | 26,062 | |
U.S. Government Sponsored Agency Securities | | | — | | | | 77,122,315 | | | | — | | | | 77,122,315 | |
U.S. Treasury Obligations | | | — | | | | 28,635,181 | | | | — | | | | 28,635,181 | |
Short-Term Securities: | | | | | | | | | | | | | | | | |
Borrowed Bond Agreements | | | — | | | | 716,975 | | | | — | | | | 716,975 | |
Money Market Funds | | | 13,600,533 | | | | — | | | | — | | | | 13,600,533 | |
Options Purchased: | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | — | | | | 54,453 | | | | — | | | | 54,453 | |
Interest rate contracts | | | — | | | | 12,932 | | | | — | | | | 12,932 | |
Liabilities: | | | | | | | | | | | | | | | | |
Investments: | | | | | | | | | | | | | | | | |
Borrowed Bonds | | | — | | | | (712,451 | ) | | | — | | | | (712,451 | ) |
TBA Sale Commitments | | | — | | | | (19,941,669 | ) | | | — | | | | (19,941,669 | ) |
| | | | | | | | | | | | | | | | |
Subtotal | | $ | 310,974,946 | | | $ | 185,553,107 | | | $ | 1,188,452 | | | $ | 497,716,505 | |
| | | | | | | | | | | | | | | | |
Investments valued at NAV (a) | | | | | | | | | | | | | | | 7,520,333 | |
| | | | | | | | | | | | | | | | |
Total Investments | | | | | | | | | | | | | | $ | 505,236,838 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments (b) | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Credit contracts | | $ | — | | | $ | 6,965 | | | $ | — | | | $ | 6,965 | |
Equity contracts | | | 5,261 | | | | — | | | | — | | | | 5,261 | |
Foreign currency exchange contracts | | | — | | | | 59,157 | | | | — | | | | 59,157 | |
Interest rate contracts | | | 200,283 | | | | 85,402 | | | | — | | | | 285,685 | |
Other contracts | | | — | | | | 77,777 | | | | — | | | | 77,777 | |
Liabilities: | | | | | | | | | | | | | | | | |
Credit contracts | | | — | | | | (42,951 | ) | | | — | | | | (42,951 | ) |
Foreign currency exchange contracts | | | — | | | | (75,870 | ) | | | — | | | | (75,870 | ) |
Interest rate contracts | | | (53,642 | ) | | | (44,240 | ) | | | — | | | | (97,882 | ) |
Other contracts | | | — | | | | (56,407 | ) | | | — | | | | (56,407 | ) |
| | | | | | | | | | | | | | | | |
| | $ | 151,902 | | | $ | 9,833 | | | $ | — | | | $ | 161,735 | |
| | | | | | | | | | | | | | | | |
The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.
| (a) | Certain investments of the Fund were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
| (b) | Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
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 $5,026,280 are categorized as Level 2 within the disclosure hierarchy.
See notes to financial statements.
| | |
| 62 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) June 30, 2020 | | BlackRock Capital Appreciation Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
Common Stocks — 99.3% | | | | | | | | |
| | |
| Automobiles — 0.4% | | | | | | |
Ferrari NV | | | 5,227 | | | $ | 893,869 | |
| | | | | | | | |
| | |
| Beverages — 0.7% | | | | | | |
Constellation Brands, Inc., Class A | | | 8,263 | | | | 1,445,612 | |
| | | | | | | | |
| | |
| Biotechnology — 2.0%(a) | | | | | | |
Biogen, Inc. | | | 3,047 | | | | 815,225 | |
Vertex Pharmaceuticals, Inc. | | | 11,791 | | | | 3,423,045 | |
| | | | | | | | |
| | | | | | | 4,238,270 | |
| | |
| Capital Markets — 3.7% | | | | | | |
CME Group, Inc. | | | 11,614 | | | | 1,887,740 | |
S&P Global, Inc. | | | 18,424 | | | | 6,070,339 | |
| | | | | | | | |
| | | | | | | 7,958,079 | |
| | |
| Chemicals — 1.5% | | | | | | |
Sherwin-Williams Co. (The) | | | 5,450 | | | | 3,149,283 | |
| | | | | | | | |
| | |
| Commercial Services & Supplies — 0.5% | | | | | | |
Waste Management, Inc. | | | 9,039 | | | | 957,321 | |
| | | | | | | | |
| | |
| Containers & Packaging — 0.7% | | | | | | |
Ball Corp. | | | 21,987 | | | | 1,527,877 | |
| | | | | | | | |
|
| Electronic Equipment, Instruments & Components — 1.1% | |
Keysight Technologies, Inc.(a) | | | 24,040 | | | | 2,422,751 | |
| | | | | | | | |
| | |
| Entertainment — 3.3% | | | | | | |
Netflix, Inc.(a) | | | 15,550 | | | | 7,075,872 | |
| | | | | | | | |
|
| Equity Real Estate Investment Trusts (REITs) — 2.5% | |
Prologis, Inc. | | | 14,108 | | | | 1,316,700 | |
SBA Communications Corp. | | | 13,506 | | | | 4,023,707 | |
| | | | | | | | |
| | | | | | | 5,340,407 | |
| | |
| Health Care Equipment & Supplies — 3.2%(a) | | | | | | |
Boston Scientific Corp. | | | 107,613 | | | | 3,778,292 | |
Intuitive Surgical, Inc.(b) | | | 5,500 | | | | 3,134,065 | |
| | | | | | | | |
| | | | | | | 6,912,357 | |
| | |
| Health Care Providers & Services — 3.7% | | | | | | |
Humana, Inc. | | | 7,907 | | | | 3,065,940 | |
UnitedHealth Group, Inc. | | | 15,975 | | | | 4,711,826 | |
| | | | | | | | |
| | | | | | | 7,777,766 | |
| | |
| Hotels, Restaurants & Leisure — 1.2% | | | | | | |
Domino’s Pizza, Inc. | | | 3,020 | | | | 1,115,709 | |
Hilton Worldwide Holdings, Inc. | | | 20,787 | | | | 1,526,805 | |
| | | | | | | | |
| | | | | | | 2,642,514 | |
| | |
| Industrial Conglomerates — 1.1% | | | | | | |
Roper Technologies, Inc. | | | 6,143 | | | | 2,385,081 | |
| | | | | | | | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Interactive Media & Services — 7.4%(a) | | | | | | |
Alphabet, Inc., Class A | | | 4,622 | | | $ | 6,554,227 | |
Facebook, Inc., Class A | | | 22,740 | | | | 5,163,572 | |
Snap, Inc., Class A | | | 177,321 | | | | 4,165,270 | |
| | | | | | | | |
| | | | | | | 15,883,069 | |
| | |
| Internet & Direct Marketing Retail — 14.0%(a) | | | | | | |
Alibaba Group Holding Ltd., ADR | | | 20,290 | | | | 4,376,553 | |
Amazon.com, Inc. | | | 7,670 | | | | 21,160,149 | |
MercadoLibre, Inc. | | | 4,353 | | | | 4,291,057 | |
| | | | | | | | |
| | | | | | | 29,827,759 | |
| | |
| IT Services — 13.2% | | | | | | |
Fidelity National Information Services, Inc. | | | 13,627 | | | | 1,827,244 | |
GoDaddy, Inc., Class A(a) | | | 26,872 | | | | 1,970,524 | |
Mastercard, Inc., Class A | | | 28,835 | | | | 8,526,510 | |
PayPal Holdings, Inc.(a) | | | 19,279 | | | | 3,358,980 | |
Shopify, Inc., Class A(a) | | | 2,469 | | | | 2,343,575 | |
Visa, Inc., Class A | | | 52,326 | | | | 10,107,813 | |
| | | | | | | | |
| | | | | | | 28,134,646 | |
| | |
| Pharmaceuticals — 2.6% | | | | | | |
AstraZeneca plc, ADR(b) | | | 38,847 | | | | 2,054,618 | |
Zoetis, Inc. | | | 25,156 | | | | 3,447,378 | |
| | | | | | | | |
| | | | | | | 5,501,996 | |
| | |
| Professional Services — 3.4% | | | | | | |
CoStar Group, Inc.(a) | | | 6,572 | | | | 4,670,523 | |
TransUnion | | | 30,478 | | | | 2,652,805 | |
| | | | | | | | |
| | | | | | | 7,323,328 | |
|
| Semiconductors & Semiconductor Equipment — 4.2% | |
Analog Devices, Inc. | | | 27,794 | | | | 3,408,656 | |
ASML Holding NV (Registered), NYRS | | | 14,933 | | | | 5,495,792 | |
| | | | | | | | |
| | | | | | | 8,904,448 | |
| | |
| Software — 20.6% | | | | | | |
Adobe, Inc.(a) | | | 14,222 | | | | 6,190,979 | |
Autodesk, Inc.(a) | | | 7,570 | | | | 1,810,668 | |
Coupa Software, Inc.(a) | | | 3,868 | | | | 1,071,591 | |
Intuit, Inc. | | | 19,516 | | | | 5,780,444 | |
Microsoft Corp. | | | 83,455 | | | | 16,983,927 | |
RingCentral, Inc., Class A(a) | | | 3,830 | | | | 1,091,588 | |
salesforce.com, Inc.(a) | | | 23,013 | | | | 4,311,025 | |
ServiceNow, Inc.(a) | | | 16,809 | | | | 6,808,654 | |
| | | | | | | | |
| | | | | | | 44,048,876 | |
| | |
| Specialty Retail — 3.4% | | | | | | |
Lowe’s Cos., Inc. | | | 28,711 | | | | 3,879,431 | |
TJX Cos., Inc. (The) | | | 65,645 | | | | 3,319,011 | |
| | | | | | | | |
| | | | | | | 7,198,442 | |
|
| Technology Hardware, Storage & Peripherals — 2.3% | |
Apple, Inc. | | | 13,635 | | | | 4,974,048 | |
| | | | | | | | |
| | |
| Textiles, Apparel & Luxury Goods — 2.6% | | | | | | |
LVMH Moet Hennessy Louis Vuitton SE | | | 3,378 | | | | 1,491,371 | |
NIKE, Inc., Class B | | | 42,224 | | | | 4,140,063 | |
| | | | | | | | |
| | | | | | | 5,631,434 | |
| | | | | | | | |
| | |
Total Common Stocks — 99.3%
(Cost: $127,432,917) | | | | | | | 212,155,105 | |
| | | | | | | | |
| | |
SCHEDULES OF INVESTMENTS | | 63 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Capital Appreciation Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
Preferred Stocks — 0.6% | | | | | | | | |
| | |
| Software — 0.6% | | | | | | |
Palantir Technologies, Inc., Series I (Acquired 02/11/14, cost $1,152,906)(a)(c)(d) | | | 188,076 | | | $ | 1,292,082 | |
| | | | | | | | |
| | |
Total Preferred Stocks — 0.6%
(Cost: $1,152,906) | | | | | | | 1,292,082 | |
| | | | | | | | |
| | |
Total Long-Term Investments — 99.9%
(Cost: $128,585,823) | | | | | | | 213,447,187 | |
| | | | | | | | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
Short-Term Securities — 2.2%(e)* | | | | | | | | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11% | | | 375,459 | | | $ | 375,459 | |
SL Liquidity Series, LLC, Money Market Series, 0.50%(f) | | | 4,416,420 | | | | 4,419,954 | |
| | | | | | | | |
| | |
Total Short-Term Securities — 2.2%
(Cost: $4,795,413) | | | | | | | 4,795,413 | |
| | | | | | | | |
| | |
Total Investments — 102.1%
(Cost: $133,381,236) | | | | | | | 218,242,600 | |
| |
Liabilities in Excess of Other Assets — (2.1)% | | | | (4,504,363 | ) |
| | | | | | | | |
| | |
Net Assets — 100.0% | | | | | | $ | 213,738,237 | |
| | | | | | | | |
| (a) | Non-income producing security. |
| (b) | All or a portion of this security is on loan. |
| (c) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $1,292,082, representing 0.60% of its net assets as of period end, and an original cost of $1,152,906. |
| (d) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| (e) | Annualized 7-day yield as of period end. |
| (f) | All or a portion of this security was purchased with cash collateral from loaned securities. |
| * | Investments in issuers considered to be an affiliate/affiliates of the Fund during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Affiliated Issuer | |
| Shares
Held at 12/31/19 |
| |
| Shares
Purchased |
| |
| Shares
Sold |
| |
| Shares
Held at 06/30/20 |
| |
| Value at
06/30/20 |
| | | Income | | |
| Net
Realized Gain (Loss) |
(a) | |
| Change in
Unrealized
Appreciation
(Depreciation) |
|
BlackRock Liquidity Funds, T-Fund,
Institutional Class(b) | | | 232,078 | | | | 143,381 | | | | — | | | | 375,459 | | | $ | 375,459 | | | $ | 3,138 | | | $ | — | | | $ | — | |
SL Liquidity Series, LLC, Money Market Series(b) | | | 4,710,170 | | | | — | | | | (293,750 | ) | | | 4,416,420 | | | | 4,419,954 | | | | 12,206 | (c) | | | 3,520 | | | | (20 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 4,795,413 | | | $ | 15,344 | | | $ | 3,520 | | | $ | (20 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Includes net capital gain distributions, if applicable. |
| (b) | Represents net shares purchased (sold). |
| (c) | All of a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
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 rating 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.
| | |
| 64 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Capital Appreciation Portfolio |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments. For information about the Fund’s policy regarding valuation of investments, refer to the Notes to Financial Statements.
The following tables summarize the Fund’s investments categorized in the disclosure hierarchy:
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets: | | | | | | | | | | | | | | | | |
Investments: | | | | | | | | | | | | | | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
Automobiles | | $ | 893,869 | | | $ | — | | | $ | — | | | $ | 893,869 | |
Beverages | | | 1,445,612 | | | | — | | | | — | | | | 1,445,612 | |
Biotechnology | | | 4,238,270 | | | | — | | | | — | | | | 4,238,270 | |
Capital Markets | | | 7,958,079 | | | | — | | | | — | | | | 7,958,079 | |
Chemicals | | | 3,149,283 | | | | — | | | | — | | | | 3,149,283 | |
Commercial Services & Supplies | | | 957,321 | | | | — | | | | — | | | | 957,321 | |
Containers & Packaging | | | 1,527,877 | | | | — | | | | — | | | | 1,527,877 | |
Electronic Equipment, Instruments & Components | | | 2,422,751 | | | | — | | | | — | | | | 2,422,751 | |
Entertainment | | | 7,075,872 | | | | — | | | | — | | | | 7,075,872 | |
Equity Real Estate Investment Trusts (REITs) | | | 5,340,407 | | | | — | | | | — | | | | 5,340,407 | |
Health Care Equipment & Supplies | | | 6,912,357 | | | | — | | | | — | | | | 6,912,357 | |
Health Care Providers & Services | | | 7,777,766 | | | | — | | | | — | | | | 7,777,766 | |
Hotels, Restaurants & Leisure | | | 2,642,514 | | | | — | | | | — | | | | 2,642,514 | |
Industrial Conglomerates | | | 2,385,081 | | | | — | | | | — | | | | 2,385,081 | |
Interactive Media & Services | | | 15,883,069 | | | | — | | | | — | | | | 15,883,069 | |
Internet & Direct Marketing Retail | | | 29,827,759 | | | | — | | | | — | | | | 29,827,759 | |
IT Services | | | 28,134,646 | | | | — | | | | — | | | | 28,134,646 | |
Pharmaceuticals | | | 5,501,996 | | | | — | | | | — | | | | 5,501,996 | |
Professional Services | | | 7,323,328 | | | | — | | | | — | | | | 7,323,328 | |
Semiconductors & Semiconductor Equipment | | | 8,904,448 | | | | — | | | | — | | | | 8,904,448 | |
Software | | | 44,048,876 | | | | — | | | | — | | | | 44,048,876 | |
Specialty Retail | | | 7,198,442 | | | | — | | | | — | | | | 7,198,442 | |
Technology Hardware, Storage & Peripherals | | | 4,974,048 | | | | — | | | | — | | | | 4,974,048 | |
Textiles, Apparel & Luxury Goods | | | 4,140,063 | | | | 1,491,371 | | | | — | | | | 5,631,434 | |
Preferred Stocks | | | — | | | | — | | | | 1,292,082 | | | | 1,292,082 | |
Short-Term Securities | | | 375,459 | | | | — | | | | — | | | | 375,459 | |
| | | | | | | | | | | | | | | | |
Subtotal | | $ | 211,039,193 | | | $ | 1,491,371 | | | $ | 1,292,082 | | | $ | 213,822,646 | |
| | | | | | | | | | | | | | | | |
Investments valued at NAV (a) | | | | | | | | | | | | | | | 4,419,954 | |
| | | | | | | | | | | | | | | | |
Total Investments | | | | | | | | | | | | | | $ | 218,242,600 | |
| | | | | | | | | | | | | | | | |
The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.
| (a) | Certain investments of the Fund were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
See notes to financial statements.
| | |
SCHEDULES OF INVESTMENTS | | 65 |
| | |
Consolidated Schedule of Investments (unaudited) June 30, 2020 | | BlackRock Global Allocation Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| |
Asset-Backed Securities — 0.4% | | | | | |
| | | |
| United States — 0.4% | | | | | | | | | |
OneMain Financial Issuance Trust, Series 2020-1A, Class A, 3.84%, 05/14/32(a) | | | USD | | | | 174 | | | $ | 180,308 | |
SLM Private Credit Student Loan Trust(b): | | | | | | | | | | | | |
Series 2005-B, Class A4, (LIBOR USD 3 Month + 0.33%), 0.64%, 06/15/39 | | | | | | | 70 | | | | 65,774 | |
Series 2006-A, Class A5, (LIBOR USD 3 Month + 0.29%), 0.60%, 06/15/39 | | | | | | | 64 | | | | 59,026 | |
Series 2007-A, Class A4A, (LIBOR USD 3 Month + 0.24%), 0.55%, 12/16/41 | | | | | | | 75 | | | | 71,454 | |
SLM Private Education Loan Trust, Series 2010-C, Class A5, (LIBOR USD 1 Month + 4.75%),
4.93%, 10/15/41(a)(b) | | | | | | | 168 | | | | 179,318 | |
SMB Private Education Loan Trust, Series 2020-PTA, Class A2A, 1.60%, 09/15/54(a) | | | | | | | 100 | | | | 98,613 | |
| | | | | | | | |
| | | | | | | | | | | 654,493 | |
| | | | | | | | | |
| |
Total Asset-Backed Securities — 0.4%
(Cost: $642,194) | | | | 654,493 | |
| | | | | | | | |
| | | |
| | | | | | Shares | | | | |
| | | |
Common Stocks — 59.7% | | | | | | | | | | | | |
| | | |
| Australia — 0.1% | | | | | | | | | |
BHP Group Ltd. | | | | | | | 225 | | | | 5,602 | |
BHP Group plc. | | | | | | | 61 | | | | 1,248 | |
Brambles Ltd. | | | | | | | 331 | | | | 2,510 | |
CSL Ltd. | | | | | | | 7 | | | | 1,392 | |
Glencore plc(c) | | | | | | | 1,309 | | | | 2,788 | |
Goodman Group | | | | | | | 147 | | | | 1,517 | |
Newcrest Mining Ltd. | | | | | | | 3,623 | | | | 80,337 | |
QBE Insurance Group Ltd. | | | | | | | 469 | | | | 2,894 | |
Quintis HoldCo Pty. Ltd. (Acquired 10/22/18, cost $115,835)(c)(d)(e) | | | | | | | 218,994 | | | | 116,368 | |
Wesfarmers Ltd. | | | | | | | 229 | | | | 7,120 | |
Woodside Petroleum Ltd. | | | | | | | 24 | | | | 363 | |
Woolworths Group Ltd. | | | | | | | 33 | | | | 851 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 222,990 | |
| | | |
| Belgium — 0.1% | | | | | | | | | |
KBC Group NV | | | | | | | 3,913 | | | | 224,807 | |
UCB SA | | | | | | | 13 | | | | 1,508 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 226,315 | |
| | | |
| Brazil — 0.0% | | | | | | | | | |
B3 SA — Brasil Bolsa Balcao | | | | | | | 629 | | | | 6,441 | |
Banco do Brasil SA(c) | | | | | | | 503 | | | | 2,983 | |
Banco Santander Brasil SA(c) | | | | | | | 400 | | | | 2,085 | |
Centrais Eletricas Brasileiras SA | | | | | | | 158 | | | | 910 | |
CPFL Energia SA | | | | | | | 200 | | | | 1,133 | |
Engie Brasil Energia SA | | | | | | | 500 | | | | 3,895 | |
Natura & Co. Holding SA(c) | | | | | | | 100 | | | | 730 | |
Petroleo Brasileiro SA | | | | | | | 537 | | | | 2,234 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 20,411 | |
| | | | | | | | |
Security | | Shares | | | Value | |
| | |
| Canada — 0.6% | | | | | | |
Barrick Gold Corp. | | | 5,081 | | | $ | 136,718 | |
Brookfield Asset Management, Inc., Class A | | | 27 | | | | 889 | |
Constellation Software, Inc. | | | 5 | | | | 5,646 | |
Enbridge, Inc.(f) | | | 25,122 | | | | 763,875 | |
Fairfax Financial Holdings Ltd. | | | 19 | | | | 5,870 | |
George Weston Ltd. | | | 6 | | | | 439 | |
Loblaw Cos. Ltd. | | | 25 | | | | 1,217 | |
Manulife Financial Corp. | | | 30 | | | | 408 | |
Nutrien Ltd. | | | 45 | | | | 1,446 | |
Thomson Reuters Corp. | | | 107 | | | | 7,270 | |
Wheaton Precious Metals Corp. | | | 3,548 | | | | 156,048 | |
| | | | | | | | |
| | |
| | | | | | 1,079,826 | |
| | |
| Chile — 0.0% | | | | | | |
Cia Cervecerias Unidas SA, ADR(f) | | | 397 | | | | 5,685 | |
| | | | | | | | |
| | |
| China — 2.1% | | | | | | |
58.com, Inc., ADR(c) | | | 20 | | | | 1,079 | |
AAC Technologies Holdings, Inc. | | | 6,000 | | | | 37,055 | |
Agile Group Holdings Ltd. | | | 2,000 | | | | 2,371 | |
Aier Eye Hospital Group Co. Ltd., Class A | | | 12,550 | | | | 77,292 | |
Alibaba Group Holding Ltd.(c) | | | 1,700 | | | | 45,872 | |
Alibaba Group Holding Ltd., ADR(c) | | | 2,221 | | | | 479,070 | |
Alibaba Health Information Technology Ltd.(c) | | | 16,000 | | | | 47,051 | |
Amoy Diagnostics Co. Ltd., Class A | | | 3,500 | | | | 38,146 | |
Anhui Conch Cement Co. Ltd., Class H | | | 500 | | | | 3,388 | |
Anhui Gujing Distillery Co. Ltd., Class B(c) | | | 100 | | | | 1,077 | |
ANTA Sports Products Ltd. | | | 6,000 | | | | 53,382 | |
Asymchem Laboratories Tianjin Co. Ltd., Class A | | | 1,199 | | | | 41,240 | |
Autobio Diagnostics Co. Ltd., Class A. | | | 1,783 | | | | 40,967 | |
Baidu, Inc., ADR(c) | | | 18 | | | | 2,158 | |
Beijing Enterprises Holdings Ltd. | | | 1,000 | | | | 3,358 | |
Bilibili, Inc., ADR(c) | | | 20 | | | | 926 | |
Brilliance China Automotive Holdings Ltd. | | | 24,000 | | | | 21,722 | |
China CITIC Bank Corp. Ltd., Class H | | | 6,000 | | | | 2,629 | |
China East Education Holdings Ltd.(a) | | | 1,000 | | | | 1,818 | |
China Feihe Ltd.(a) | | | 2,000 | | | | 4,030 | |
China Longyuan Power Group Corp. Ltd., Class H | | | 1,000 | | | | 564 | |
China Merchants Bank Co. Ltd., Class H | | | 5,500 | | | | 25,488 | |
China Mobile Ltd. | | | 1,000 | | | | 6,752 | |
China Oilfield Services Ltd., Class H | | | 12,000 | | | | 10,936 | |
China Resources Cement Holdings Ltd. | | | 2,000 | | | | 2,467 | |
China Resources Pharmaceutical | | | | | | | | |
Group Ltd.(a) | | | 9,500 | | | | 5,503 | |
China Resources Power Holdings Co. Ltd. | | | 4,000 | | | | 4,718 | |
China Telecom Corp. Ltd., Class H | | | 24,000 | | | | 6,741 | |
China Tourism Group Duty Free Corp. Ltd.,
Class A(c) | | | 3,000 | | | | 65,781 | |
China Unicom Hong Kong Ltd. | | | 10,000 | | | | 5,441 | |
China United Network Communications Ltd., Class A | | | 2,300 | | | | 1,582 | |
CNOOC Ltd. | | | 4,000 | | | | 4,489 | |
Country Garden Services Holdings Co. Ltd. | | | 1,114 | | | | 5,200 | |
CRRC Corp. Ltd., Class H | | | 2,000 | | | | 849 | |
Dali Foods Group Co. Ltd.(a) | | | 4,500 | | | | 2,743 | |
Glodon Co. Ltd., Class A | | | 5,200 | | | | 51,497 | |
| | |
| 66 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| China (continued) | | | | | | |
Gree Electric Appliances, Inc. of Zhuhai, Class A | | | 3,900 | | | $ | 31,338 | |
Guangdong Marubi Biotechnology Co. Ltd.,
Class A(c) | | | 2,500 | | | | 30,569 | |
Guangzhou Automobile Group Co. Ltd., Class A | | | 12,000 | | | | 15,335 | |
Guangzhou Automobile Group Co. Ltd., Class H | | | 28,000 | | | | 20,400 | |
Guangzhou Baiyun International Airport Co. Ltd., Class A | | | 15,100 | | | | 32,713 | |
Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd., Class A | | | 100 | | | | 459 | |
Guotai Junan Securities Co. Ltd., Class H(a) | | | 400 | | | | 556 | |
Haidilao International Holding Ltd.(a) | | | 6,000 | | | | 25,500 | |
Haier Smart Home Co. Ltd., Class A | | | 13,800 | | | | 34,677 | |
Haitong Securities Co. Ltd., Class H | | | 1,600 | | | | 1,300 | |
Hangzhou Hikvision Digital Technology Co. Ltd., Class A | | | 18,400 | | | | 79,539 | |
Hangzhou Robam Appliances Co. Ltd., Class A | | | 7,500 | | | | 33,147 | |
Hangzhou Tigermed Consulting Co. Ltd., Class A | | | 3,000 | | | | 43,206 | |
Han’s Laser Technology Industry Group Co. Ltd., Class A(c) | | | 5,900 | | | | 30,191 | |
Huazhu Group Ltd., ADR | | | 1,414 | | | | 49,561 | |
Hundsun Technologies, Inc., Class A | | | 3,680 | | | | 56,352 | |
Industrial & Commercial Bank of China Ltd., Class H | | | 38,000 | | | | 22,974 | |
Inner Mongolia Yili Industrial Group Co. Ltd., Class A | | | 5,599 | | | | 24,735 | |
Inspur Electronic Information Industry Co. Ltd., Class A | | | 4,100 | | | | 23,004 | |
JD.com, Inc., ADR(c) | | | 50 | | | | 3,009 | |
Jiangxi Copper Co. Ltd., Class H | | | 2,000 | | | | 2,038 | |
Kingdee International Software Group Co. Ltd.(c) | | | 62,000 | | | | 145,073 | |
Kunlun Energy Co. Ltd. | | | 4,000 | | | | 2,620 | |
Kweichow Moutai Co. Ltd., Class A | | | 200 | | | | 41,554 | |
Lenovo Group Ltd. | | | 4,000 | | | | 2,232 | |
Li Ning Co. Ltd. | | | 500 | | | | 1,601 | |
Meituan Dianping, Class B(c) | | | 2,400 | | | | 53,631 | |
Momo, Inc., ADR | | | 315 | | | | 5,506 | |
NetEase, Inc., ADR | | | 153 | | | | 65,695 | |
New Oriental Education & Technology Group, Inc., ADR(c) | | | 290 | | | | 37,767 | |
PICC Property & Casualty Co. Ltd., Class H | | | 4,000 | | | | 3,324 | |
Ping An Insurance Group Co. of China Ltd., Class A | | | 2,000 | | | | 20,252 | |
Shanghai International Airport Co. Ltd., Class A | | | 3,300 | | | | 33,711 | |
Shenzhen Inovance Technology Co. Ltd., Class A | | | 7,400 | | | | 39,915 | |
Silergy Corp. | | | 1,000 | | | | 65,508 | |
Tencent Holdings Ltd. | | | 16,500 | | | | 1,057,286 | |
Tingyi Cayman Islands Holding Corp. | | | 2,000 | | | | 3,115 | |
Trip.com Group Ltd., ADR(c) | | | 2,797 | | | | 72,498 | |
Venus MedTech Hangzhou, Inc., Class H(a)(c) | | | 5,000 | | | | 49,395 | |
Venustech Group, Inc., Class A. | | | 5,399 | | | | 32,212 | |
Vipshop Holdings Ltd., ADR(c) | | | 275 | | | | 5,475 | |
Want Want China Holdings Ltd. | | | 39,000 | | | | 29,625 | |
Weichai Power Co. Ltd., Class H | | | 1,000 | | | | 1,884 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| China (continued) | | | | | | |
Wens Foodstuffs Group Co. Ltd., Class A | | | 240 | | | $ | 743 | |
Wuhan Raycus Fiber Laser Technologies Co. Ltd., Class A | | | 2,893 | | | | 44,681 | |
Wuhu Sanqi Interactive Entertainment Network Technology Group Co. Ltd., Class A | | | 200 | | | | 1,328 | |
WuXi AppTec Co. Ltd., Class A | | | 3,120 | | | | 42,638 | |
Wuxi Biologics Cayman, Inc.(a)(c) | | | 2,000 | | | | 36,711 | |
Yifeng Pharmacy Chain Co. Ltd., Class A | | | 3,340 | | | | 43,104 | |
Yihai International Holding Ltd.(c) | | | 4,000 | | | | 41,220 | |
Yonyou Network Technology Co. Ltd., Class A | | | 4,500 | | | | 28,203 | |
Yum China Holdings, Inc. | | | 1,335 | | | | 64,173 | |
Zhuzhou CRRC Times Electric Co. Ltd., Class H | | | 1,100 | | | | 2,821 | |
| | | | | | | | |
| | | | | | | 3,741,486 | |
| | |
| Denmark — 0.1% | | | | | | |
AP Moller — Maersk A/S, Class B | | | 1 | | | | 1,172 | |
Coloplast A/S, Class B | | | 5 | | | | 779 | |
DSV Panalpina A/S | | | 574 | | | | 70,507 | |
Genmab A/S(c) | | | 108 | | | | 36,417 | |
| | | | | | | | |
| | | | | | | 108,875 | |
| | |
| Finland — 0.2% | | | | | | |
Fortum OYJ | | | 342 | | | | 6,525 | |
Neste OYJ | | | 10,035 | | | | 394,135 | |
Nokia OYJ | | | 397 | | | | 1,735 | |
| | | | | | | | |
| | | | | | | 402,395 | |
| | |
| France — 2.2% | | | | | | |
Carrefour SA | | | 191 | | | | 2,962 | |
Cie de Saint-Gobain(c) | | | 1,317 | | | | 47,519 | |
Danone SA | | | 15,698 | | | | 1,089,648 | |
Eiffage SA(c) | | | 640 | | | | 58,667 | |
Electricite de France SA | | | 234 | | | | 2,176 | |
Engie SA(c) | | | 177 | | | | 2,195 | |
EssilorLuxottica SA(c) | | | 3,422 | | | | 440,098 | |
Kering SA | | | 116 | | | | 63,419 | |
LVMH Moet Hennessy Louis Vuitton SE | | | 954 | | | | 421,187 | |
Safran SA(c) | | | 5,998 | | | | 603,347 | |
Sanofi | | | 10,167 | | | | 1,036,878 | |
Schneider Electric SE | | | 43 | | | | 4,783 | |
TOTAL SA | | | 67 | | | | 2,583 | |
Vivendi SA | | | 249 | | | | 6,434 | |
| | | | | | | | |
| | | | | | | 3,781,896 | |
| | |
| Germany — 1.6% | | | | | | |
adidas AG(c) | | | 664 | | | | 175,065 | |
Deutsche Boerse AG | | | 51 | | | | 9,230 | |
Deutsche Post AG (Registered) | | | 196 | | | | 7,197 | |
Deutsche Telekom AG (Registered) | | | 47,726 | | | | 800,806 | |
Evonik Industries AG | | | 57 | | | | 1,452 | |
Henkel AG & Co. KGaA | | | 79 | | | | 6,609 | |
SAP SE | | | 25 | | | | 3,495 | |
Siemens AG (Registered) | | | 13,867 | | | | 1,635,435 | |
Vonovia SE | | | 1,843 | | | | 112,650 | |
| | | | | | | | |
| | | | | | | 2,751,939 | |
| | |
| Hong Kong — 0.8% | | | | | | |
AIA Group Ltd. | | | 95,600 | | | | 894,587 | |
CK Infrastructure Holdings Ltd. | | | 5,500 | | | | 28,431 | |
CLP Holdings Ltd. | | | 4,000 | | | | 39,285 | |
Hang Lung Properties Ltd. | | | 26,000 | | | | 61,809 | |
HKT Trust & HKT Ltd.(g) | | | 26,000 | | | | 38,154 | |
| | |
CONSOLIDATED SCHEDULES OF INVESTMENTS | | 67 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Hong Kong (continued) | | | | | | |
Hysan Development Co. Ltd. | | | 6,000 | | | $ | 19,369 | |
Jardine Matheson Holdings Ltd. | | | 900 | | | | 37,630 | |
Sun Hung Kai Properties Ltd. | | | 25,166 | | | | 321,502 | |
WH Group Ltd.(a) | | | 33,500 | | | | 28,951 | |
| | | | | | | | |
| | |
| | | | | | 1,469,718 | |
| | |
| India — 0.6% | | | | | | |
HDFC Asset Management Co. Ltd.(a) | | | 38 | | | | 1,251 | |
Hindustan Unilever Ltd. | | | 692 | | | | 20,006 | |
Oil & Natural Gas Corp. Ltd. | | | 365 | | | | 396 | |
Petronet LNG Ltd. | | | 5,780 | | | | 19,781 | |
Reliance Industries Ltd. | | | 37,134 | | | | 844,665 | |
Reliance Industries Ltd.(c) | | | 2,512 | | | | 26,536 | |
Vedanta Ltd. | | | 3,536 | | | | 5,052 | |
Wipro Ltd. | | | 676 | | | | 1,973 | |
Zee Entertainment Enterprises Ltd. | | | 11,922 | | | | 27,084 | |
| | | | | | | | |
| | |
| | | | | | 946,744 | |
| | |
| Indonesia — 0.0% | | | | | | |
Bank Central Asia Tbk. PT | | | 27,400 | | | | 54,822 | |
| | | | | | | | |
| | |
| Italy — 1.7% | | | | | | |
Enel SpA | | | 176,947 | | | | 1,530,317 | |
Intesa Sanpaolo SpA(c) | | | 85,116 | | | | 163,567 | |
RAI Way SpA(a)(c) | | | 31,529 | | | | 207,386 | |
Snam SpA | | | 12,160 | | | | 59,282 | |
UniCredit SpA(c) | | | 102,952 | | | | 950,166 | |
| | | | | | | | |
| | |
| | | | | | 2,910,718 | |
| | |
| Japan — 2.3% | | | | | | |
Ajinomoto Co., Inc. | | | 29,600 | | | | 491,211 | |
Astellas Pharma, Inc. | | | 35,150 | | | | 586,990 | |
East Japan Railway Co. | | | 5,627 | | | | 389,925 | |
FamilyMart Co. Ltd. | | | 200 | | | | 3,434 | |
FUJIFILM Holdings Corp. | | | 100 | | | | 4,280 | |
Hitachi Ltd. | | | 100 | | | | 3,179 | |
Hoya Corp. | | | 5,501 | | | | 526,770 | |
KDDI Corp. | | | 3,600 | | | | 107,414 | |
Keyence Corp. | | | 200 | | | | 83,812 | |
Maeda Road Construction Co. Ltd. | | | 600 | | | | 11,315 | |
Marubeni Corp. | | | 300 | | | | 1,363 | |
Mitsubishi Estate Co. Ltd. | | | 5,700 | | | | 84,940 | |
Mitsubishi Heavy Industries Ltd. | | | 400 | | | | 9,444 | |
Murata Manufacturing Co. Ltd. | | | 7,120 | | | | 419,713 | |
NEC Corp. | | | 100 | | | | 4,805 | |
Nippon Telegraph & Telephone Corp. | | | 3,740 | | | | 87,140 | |
Nissan Motor Co. Ltd. | | | 400 | | | | 1,483 | |
NTT Data Corp. | | | 300 | | | | 3,354 | |
Olympus Corp. | | | 100 | | | | 1,925 | |
Otsuka Holdings Co. Ltd. | | | 100 | | | | 4,358 | |
Rakuten, Inc. | | | 400 | | | | 3,533 | |
Sekisui House Ltd. | | | 100 | | | | 1,909 | |
Seven & i Holdings Co. Ltd. | | | 100 | | | | 3,271 | |
Shin-Etsu Chemical Co. Ltd. | | | 5,020 | | | | 589,155 | |
Softbank Corp. | | | 100 | | | | 1,275 | |
Subaru Corp. | | | 13,860 | | | | 290,224 | |
Suzuki Motor Corp. | | | 11,161 | | | | 381,105 | |
| | | | | | | | |
| | | | | | | 4,097,327 | |
| | |
| Mexico — 0.0% | | | | | | |
Fomento Economico Mexicano SAB de CV | | | 300 | | | | 1,862 | |
Grupo Bimbo SAB de CV | | | 1,729 | | | | 2,901 | |
| | | | | | | | |
| | | | | | | 4,763 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Netherlands — 2.4% | | | | | | |
Adyen NV(a)(c) | | | 262 | | | $ | 381,340 | |
Akzo Nobel NV | | | 10,570 | | | | 949,616 | |
ASML Holding NV | | | 2,818 | | | | 1,030,862 | |
ING Groep NV | | | 39,935 | | | | 278,383 | |
Koninklijke Ahold Delhaize NV | | | 171 | | | | 4,660 | |
Koninklijke Philips NV(c) | | | 20,457 | | | | 954,272 | |
NXP Semiconductors NV | | | 5,159 | | | | 588,332 | |
Royal Dutch Shell plc, Class A | | | 307 | | | | 4,916 | |
Royal Dutch Shell plc, Class B | | | 377 | | | | 5,715 | |
Wolters Kluwer NV | | | 25 | | | | 1,953 | |
| | | | | | | | |
| | | | | | | 4,200,049 | |
| | |
| Poland — 0.0% | | | | | | |
Polski Koncern Naftowy ORLEN SA | | | 86 | | | | 1,367 | |
| | | | | | | | |
| | |
| Portugal — 0.0% | | | | | | |
Jeronimo Martins SGPS SA(c) | | | 2,232 | | | | 39,060 | |
| | | | | | | | |
| | |
| Saudi Arabia — 0.0% | | | | | | |
Riyad Bank | | | 170 | | | | 767 | |
| | | | | | | | |
| | |
| Singapore — 0.3% | | | | | | |
CapitaLand Ltd.(c) | | | 155,000 | | | | 327,460 | |
ComfortDelGro Corp. Ltd. | | | 23,300 | | | | 24,486 | |
DBS Group Holdings Ltd. | | | 3,700 | | | | 55,673 | |
Singapore Telecommunications Ltd. | | | 6,300 | | | | 11,207 | |
United Overseas Bank Ltd. | | | 6,500 | | | | 94,977 | |
Wilmar International Ltd. | | | 700 | | | | 2,071 | |
| | | | | | | | |
| | | | | | | 515,874 | |
| | |
| South Africa — 0.0% | | | | | | |
Anglo American Platinum Ltd. | | | 27 | | | | 1,965 | |
Anglo American plc | | | 94 | | | | 2,167 | |
AngloGold Ashanti Ltd. | | | 93 | | | | 2,736 | |
Kumba Iron Ore Ltd. | | | 77 | | | | 2,059 | |
MTN Group Ltd.(f) | | | 1,184 | | | | 3,626 | |
Old Mutual Ltd. | | | 583 | | | | 407 | |
| | | | | | | | |
| | | | | | | 12,960 | |
| | |
| South Korea — 0.2% | | | | | | |
Amorepacific Corp. | | | 6 | | | | 839 | |
Celltrion, Inc.(c) | | | 16 | | | | 4,095 | |
Hana Financial Group, Inc. | | | 44 | | | | 1,001 | |
Hyundai Mobis Co. Ltd. | | | 15 | | | | 2,408 | |
Kakao Corp. | | | 398 | | | | 89,312 | |
KB Financial Group, Inc. | | | 52 | | | | 1,472 | |
Kia Motors Corp. | | | 156 | | | | 4,216 | |
LG Chem Ltd. | | | 184 | | | | 75,933 | |
LG Electronics, Inc. | | | 119 | | | | 6,306 | |
LG Uplus Corp. | | | 97 | | | | 991 | |
NCSoft Corp. | | | 113 | | | | 84,064 | |
POSCO | | | 167 | | | | 24,325 | |
Shinhan Financial Group Co. Ltd. | | | 114 | | | | 2,755 | |
SK Telecom Co. Ltd. | | | 24 | | | | 4,227 | |
| | | | | | | | |
| | | | | | | 301,944 | |
| | |
| Spain — 0.3% | | | | | | |
Cellnex Telecom SA(a) | | | 8,299 | | | | 506,884 | |
Endesa SA | | | 51 | | | | 1,265 | |
Grifols SA | | | 26 | | | | 791 | |
Naturgy Energy Group SA | | | 39 | | | | 728 | |
Repsol SA | | | 196 | | | | 1,732 | |
Telefonica SA | | | 281 | | | | 1,344 | |
| | | | | | | | |
| | | | | | | 512,744 | |
| | |
| Sweden — 0.0% | | | | | | |
Assa Abloy AB, Class B | | | 55 | | | | 1,126 | |
Hennes & Mauritz AB, Class B | | | 266 | | | | 3,882 | |
| | |
| 68 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Sweden (continued) | | | | | | |
Telefonaktiebolaget LM Ericsson, Class B | | | 208 | | | $ | 1,928 | |
| | | | | | | | |
| | |
| | | | | | 6,936 | |
| | |
| Switzerland — 1.2% | | | | | | |
Alcon, Inc.(c) | | | 1,288 | | | | 73,828 | |
Alcon, Inc.(c) | | | 55 | | | | 3,160 | |
Nestle SA (Registered) | | | 6,808 | | | | 754,807 | |
Novartis AG (Registered) | | | 96 | | | | 8,364 | |
Roche Holding AG | | | 3,367 | | | | 1,166,495 | |
SGS SA (Registered) | | | 1 | | | | 2,450 | |
Sika AG (Registered) | | | 349 | | | | 67,278 | |
STMicroelectronics NV | | | 600 | | | | 16,355 | |
| | | | | | | | |
| | |
| | | | | | 2,092,737 | |
| | |
| Taiwan — 0.9% | | | | | | |
Asustek Computer, Inc. | | | 1,000 | | | | 7,347 | |
Cathay Financial Holding Co. Ltd. | | | 22,000 | | | | 31,295 | |
Chunghwa Telecom Co. Ltd. | | | 11,000 | | | | 43,686 | |
Formosa Chemicals & Fibre Corp.(c) | | | 10,000 | | | | 25,756 | |
Formosa Petrochemical Corp. | | | 5,000 | | | | 15,134 | |
Formosa Plastics Corp. | | | 9,000 | | | | 26,797 | |
Fubon Financial Holding Co. Ltd. | | | 24,000 | | | | 35,832 | |
Hon Hai Precision Industry Co. Ltd. | | | 11,760 | | | | 34,529 | |
Nan Ya Plastics Corp. | | | 12,000 | | | | 26,357 | |
Nanya Technology Corp. | | | 1,000 | | | | 2,086 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | | | 117,000 | | | | 1,249,504 | |
Uni-President Enterprises Corp. | | | 18,000 | | | | 43,611 | |
United Microelectronics Corp. | | | 9,000 | | | | 4,866 | |
Yageo Corp. | | | 4,000 | | | | 52,111 | |
| | | | | | | | |
| | |
| | | | | | 1,598,911 | |
| | |
| Thailand — 0.1% | | | | | | |
Advanced Info Service PCL | | | 6,900 | | | | 41,526 | |
Intouch Holdings PCL, Class F | | | 22,300 | | | | 40,806 | |
Thai Beverage PCL | | | 26,400 | | | | 12,888 | |
| | | | | | | | |
| | |
| | | | | | 95,220 | |
| | |
| Turkey — 0.0% | | | | | | |
BIM Birlesik Magazalar A/S | | | 135 | | | | 1,339 | |
Tupras Turkiye Petrol Rafinerileri A/S(c) | | | 544 | | | | 7,116 | |
| | | | | | | | |
| | |
| | | | | | 8,455 | |
| | |
| United Arab Emirates — 0.0% | | | | | | |
NMC Health plc(c)(e) | | | 8,338 | | | | — | |
| | | | | | | | |
| | |
| | | | | | | |
| | |
| United Kingdom — 1.4% | | | | | | |
AstraZeneca plc | | | 282 | | | | 29,349 | |
Berkeley Group Holdings plc | | | 1,728 | | | | 88,992 | |
BT Group plc | | | 579 | | | | 819 | |
Coca-Cola European Partners plc | | | 70 | | | | 2,643 | |
Compass Group plc | | | 109 | | | | 1,500 | |
Diageo plc | | | 87 | | | | 2,892 | |
Experian plc | | | 60 | | | | 2,106 | |
Fiat Chrysler Automobiles NV(c) | | | 527 | | | | 5,332 | |
GlaxoSmithKline plc | | | 218 | | | | 4,404 | |
Hut Group (The) (Acquired 12/03/19, cost $187,164)(c)(d)(e) | | | 288 | | | | 254,370 | |
RELX plc | | | 53 | | | | 1,227 | |
Unilever NV | | | 14,236 | | | | 759,032 | |
Unilever plc | | | 6,968 | | | | 375,861 | |
Vodafone Group plc | | | 614,304 | | | | 976,596 | |
| | | | | | | | |
| | |
| | | | | | 2,505,123 | |
| | |
| United States — 40.4% | | | | | | |
Abbott Laboratories | | | 8,309 | | | | 759,692 | |
AbbVie, Inc. | | | 9,541 | | | | 936,735 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| United States (continued) | | | | | | |
Adobe, Inc.(c) | | | 1,022 | | | $ | 444,887 | |
Agilent Technologies, Inc. | | | 7,297 | | | | 644,836 | |
Air Products & Chemicals, Inc. | | | 4,964 | | | | 1,198,607 | |
Alexion Pharmaceuticals, Inc.(c) | | | 372 | | | | 41,753 | |
Alphabet, Inc., Class C(c) | | | 1,940 | | | | 2,742,403 | |
Altair Engineering, Inc., Class A(c) | | | 1,410 | | | | 56,048 | |
Altria Group, Inc. | | | 11 | | | | 432 | |
Amazon.com, Inc.(c) | | | 1,290 | | | | 3,558,878 | |
American International Group, Inc. | | | 47 | | | | 1,465 | |
American Tower Corp. | | | 547 | | | | 141,421 | |
American Water Works Co., Inc. | | | 352 | | | | 45,288 | |
Ameriprise Financial, Inc. | | | 21 | | | | 3,151 | |
Amgen, Inc. | | | 20 | | | | 4,717 | |
Anthem, Inc. | | | 3,596 | | | | 945,676 | |
Aon plc, Class A | | | 26 | | | | 5,008 | |
Apellis Pharmaceuticals, Inc.(c) | | | 1,049 | | | | 34,260 | |
Apple, Inc. | | | 10,136 | | | | 3,697,613 | |
Applied Materials, Inc. | | | 6,834 | | | | 413,115 | |
Aptiv plc | | | 6,784 | | | | 528,609 | |
Autodesk, Inc.(c) | | | 3,900 | | | | 932,841 | |
AutoZone, Inc.(c) | | | 3 | | | | 3,384 | |
AvalonBay Communities, Inc. | | | 4 | | | | 619 | |
Bank of America Corp. | | | 47,457 | | | | 1,127,104 | |
Bank of New York Mellon Corp. (The) | | | 60 | | | | 2,319 | |
Baxter International, Inc. | | | 898 | | | | 77,318 | |
Becton Dickinson and Co. | | | 2,351 | | | | 562,524 | |
Berkshire Hathaway, Inc., Class B(c) | | | 1,113 | | | | 198,682 | |
Biogen, Inc.(c) | | | 2 | | | | 535 | |
BioMarin Pharmaceutical, Inc.(c) | | | 503 | | | | 62,040 | |
Booking Holdings, Inc.(c) | | | 6 | | | | 9,554 | |
Boston Scientific Corp.(c) | | | 11,327 | | | | 397,691 | |
Bristol-Myers Squibb Co. | | | 8,976 | | | | 527,789 | |
Cadence Design Systems, Inc.(c) | | | 1,052 | | | | 100,950 | |
Capital One Financial Corp. | | | 11,931 | | | | 746,761 | |
Cardinal Health, Inc. | | | 46 | | | | 2,401 | |
Cerner Corp. | | | 121 | | | | 8,295 | |
CH Robinson Worldwide, Inc.(f) | | | 1,055 | | | | 83,408 | |
Charles Schwab Corp. (The) | | | 8,025 | | | | 270,764 | |
Charter Communications, Inc., Class A(c) | | | 2,683 | | | | 1,368,437 | |
Chevron Corp. | | | 22 | | | | 1,963 | |
Chubb Ltd. | | | 2,626 | | | | 332,504 | |
Cintas Corp. | | | 8 | | | | 2,131 | |
Cisco Systems, Inc. | | | 60 | | | | 2,798 | |
Citigroup, Inc. | | | 9,835 | | | | 502,569 | |
CME Group, Inc. | | | 29 | | | | 4,714 | |
Cognizant Technology Solutions Corp., Class A | | | 27 | | | | 1,534 | |
Colgate-Palmolive Co. | | | 1,587 | | | | 116,264 | |
Comcast Corp., Class A(h) | | | 36,828 | | | | 1,435,555 | |
Costco Wholesale Corp. | | | 1,453 | | | | 440,564 | |
Crowdstrike Holdings, Inc., Class A(c) | | | 1,272 | | | | 127,569 | |
Crown Castle International Corp. | | | 19 | | | | 3,180 | |
Cummins, Inc. | | | 10 | | | | 1,733 | |
Delta Air Lines, Inc. | | | 214 | | | | 6,003 | |
DexCom, Inc.(c) | | | 106 | | | | 42,972 | |
Digital Realty Trust, Inc. | | | 8 | | | | 1,137 | |
Dollar General Corp. | | | 28 | | | | 5,334 | |
Dollar Tree, Inc.(c) | | | 302 | | | | 27,989 | |
DR Horton, Inc. | | | 21,996 | | | | 1,219,678 | |
Eaton Corp. plc | | | 53 | | | | 4,636 | |
eBay, Inc. | | | 913 | | | | 47,887 | |
Edwards Lifesciences Corp.(c) | | | 2,418 | | | | 167,108 | |
Electronic Arts, Inc.(c) | | | 18 | | | | 2,377 | |
Eli Lilly & Co. | | | 62 | | | | 10,179 | |
| | |
CONSOLIDATED SCHEDULES OF INVESTMENTS | | 69 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| United States (continued) | | | | | | |
Emerson Electric Co. | | | 11,513 | | | $ | 714,151 | |
Exxon Mobil Corp. | | | 766 | | | | 34,256 | |
Facebook, Inc., Class A(c) | | | 4,266 | | | | 968,681 | |
FedEx Corp. | | | 29 | | | | 4,066 | |
Ferguson plc | | | 975 | | | | 79,722 | |
FleetCor Technologies, Inc.(c) | | | 2,474 | | | | 622,285 | |
Fortinet, Inc.(c) | | | 908 | | | | 124,641 | |
Fortive Corp.(f) | | | 10,254 | | | | 693,786 | |
Fortune Brands Home & Security, Inc. | | | 1,037 | | | | 66,295 | |
Freeport-McMoRan, Inc. | | | 7,289 | | | | 84,334 | |
General Electric Co. | | | 639 | | | | 4,364 | |
Gilead Sciences, Inc. | | | 6,700 | | | | 515,498 | |
Global Payments, Inc. | | | 2,865 | | | | 485,961 | |
Guardant Health, Inc.(c) | | | 1,034 | | | | 83,888 | |
HCA Healthcare, Inc. | | | 5,791 | | | | 562,074 | |
Hershey Co. (The) | | | 13 | | | | 1,685 | |
Hess Corp. | | | 3,660 | | | | 189,625 | |
Hewlett Packard Enterprise Co. | | | 575 | | | | 5,595 | |
Home Depot, Inc. (The) | | | 3,808 | | | | 953,942 | |
HP, Inc. | | | 379 | | | | 6,606 | |
Humana, Inc. | | | 100 | | | | 38,775 | |
iHeartMedia, Inc.(c) | | | 74 | | | | 618 | |
Illumina, Inc.(c) | | | 93 | | | | 34,443 | |
Incyte Corp.(c) | | | 26 | | | | 2,703 | |
Insulet Corp.(c) | | | 133 | | | | 25,837 | |
Intel Corp. | | | 630 | | | | 37,693 | |
Intercontinental Exchange, Inc. | | | 73 | | | | 6,687 | |
International Flavors & Fragrances, Inc. | | | 6,864 | | | | 840,565 | |
Intuit, Inc. | | | 619 | | | | 183,342 | |
Intuitive Surgical, Inc.(c) | | | 357 | | | | 203,429 | |
Iovance Biotherapeutics, Inc.(c) | | | 696 | | | | 19,105 | |
IQVIA Holdings, Inc.(c) | | | 27 | | | | 3,831 | |
Jawbone Health Hub, Inc. (Acquired 01/24/17,
cost $0)(c)(d)(e) | | | 6,968 | | | | — | |
JBS SA | | | 5,546 | | | | 21,794 | |
Johnson & Johnson | | | 8,391 | | | | 1,180,026 | |
JPMorgan Chase & Co.(h) | | | 14,208 | | | | 1,336,404 | |
Kinder Morgan, Inc. | | | 131 | | | | 1,987 | |
Kroger Co. (The) | | | 102 | | | | 3,453 | |
L3Harris Technologies, Inc. | | | 6,839 | | | | 1,160,373 | |
Lam Research Corp. | | | 6 | | | | 1,941 | |
Las Vegas Sands Corp. | | | 400 | | | | 18,216 | |
Lennar Corp., Class A(f) | | | 7,311 | | | | 450,504 | |
Liberty Broadband Corp., Class C(c) | | | 137 | | | | 16,983 | |
Liberty Media Corp.-Liberty SiriusXM, Class A(c) | | | 4,617 | | | | 159,379 | |
Liberty Media Corp.-Liberty SiriusXM, Class C(c)(f) | | | 8,145 | | | | 280,595 | |
Live Nation Entertainment, Inc.(c) | | | 361 | | | | 16,003 | |
Lookout, Inc. (Acquired 03/04/15,
cost $16,643)(c)(d)(e) | | | 1,457 | | | | 7,096 | |
Lowe’s Cos., Inc. | | | 8,116 | | | | 1,096,634 | |
Madison Square Garden Sports Corp.(c) | | | 19 | | | | 2,791 | |
Marathon Petroleum Corp. | | | 2,250 | | | | 84,105 | |
Marsh & McLennan Cos., Inc. | | | 8,462 | | | | 908,565 | |
Marvell Technology Group Ltd. | | | 4,979 | | | | 174,564 | |
Masco Corp. | | | 2,676 | | | | 134,362 | |
Mastercard, Inc., Class A | | | 4,860 | | | | 1,437,102 | |
McDonald’s Corp. | | | 5,290 | | | | 975,846 | |
McKesson Corp. | | | 9 | | | | 1,381 | |
Medtronic plc | | | 111 | | | | 10,179 | |
Merck & Co., Inc. | | | 9,526 | | | | 736,646 | |
MGM Resorts International | | | 686 | | | | 11,525 | |
Microchip Technology, Inc. | | | 3,325 | | | | 350,156 | |
Micron Technology, Inc.(c) | | | 4,468 | | | | 230,191 | |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| United States (continued) | | | | | | |
Microsoft Corp. | | | 18,918 | | | $ | 3,850,004 | |
Mondelez International, Inc., Class A | | | 1,676 | | | | 85,694 | |
Moody’s Corp. | | | 14 | | | | 3,846 | |
Morgan Stanley | | | 32,592 | | | | 1,574,194 | |
Motorola Solutions, Inc. | | | 1,096 | | | | 153,582 | |
Neon Parent, Inc.(c) | | | 160 | | | | 28,483 | |
Nevro Corp.(c) | | | 203 | | | | 24,252 | |
Newmont Corp. | | | 2,407 | | | | 148,608 | |
NextEra Energy, Inc. | | | 5,534 | | | | 1,329,101 | |
Northrop Grumman Corp. | | | 100 | | | | 30,744 | |
NortonLifeLock, Inc. | | | 2,899 | | | | 57,487 | |
NVIDIA Corp. | | | 2,181 | | | | 828,584 | |
Okta, Inc.(c) | | | 608 | | | | 121,740 | |
Oracle Corp. | | | 4,461 | | | | 246,559 | |
Palo Alto Networks, Inc.(c) | | | 564 | | | | 129,534 | |
PayPal Holdings, Inc.(c) | | | 4,098 | | | | 713,995 | |
Peloton Interactive, Inc., Class A(c) | | | 5,504 | | | | 317,966 | |
PepsiCo, Inc. | | | 906 | | | | 119,828 | |
Pfizer, Inc. | | | 19,726 | | | | 645,040 | |
Philip Morris International, Inc. | | | 511 | | | | 35,801 | |
PPG Industries, Inc. | | | 6,486 | | | | 687,905 | |
Procter & Gamble Co. (The) | | | 89 | | | | 10,642 | |
Proofpoint, Inc.(c) | | | 405 | | | | 45,004 | |
Prudential Financial, Inc. | | | 13 | | | | 792 | |
PTC Therapeutics, Inc.(c) | | | 338 | | | | 17,150 | |
PTC, Inc.(c) | | | 659 | | | | 51,264 | |
Public Storage | | | 34 | | | | 6,524 | |
QUALCOMM, Inc. | | | 742 | | | | 67,678 | |
Raytheon Technologies Corp. | | | 18,952 | | | | 1,167,822 | |
Republic Services, Inc. | | | 21 | | | | 1,723 | |
ResMed, Inc. | | | 393 | | | | 75,456 | |
salesforce.com, Inc.(c) | | | 7,617 | | | | 1,426,893 | |
Sarepta Therapeutics, Inc.(c) | | | 315 | | | | 50,507 | |
Schlumberger Ltd. | | | 152 | | | | 2,795 | |
Seattle Genetics, Inc.(c) | | | 239 | | | | 40,611 | |
ServiceNow, Inc.(c) | | | 966 | | | | 391,288 | |
Simply Good Foods Co. (The)(c) | | | 2,451 | | | | 45,540 | |
Splunk, Inc.(c) | | | 834 | | | | 165,716 | |
Stanley Black & Decker, Inc. | | | 34 | | | | 4,739 | |
Starbucks Corp. | | | 14,351 | | | | 1,056,090 | |
Stryker Corp. | | | 355 | | | | 63,967 | |
Target Corp. | | | 65 | | | | 7,795 | |
Texas Instruments, Inc. | | | 25 | | | | 3,174 | |
Thermo Fisher Scientific, Inc.(h) | | | 2,306 | | | | 835,556 | |
Thor Industries, Inc. | | | 23 | | | | 2,450 | |
TJX Cos., Inc. (The) | | | 13,219 | | | | 668,353 | |
T-Mobile US, Inc.(c) | | | 897 | | | | 93,423 | |
Travelers Cos., Inc. (The) | | | 742 | | | | 84,625 | |
Uber Technologies, Inc.(c) | | | 15,971 | | | | 496,379 | |
Union Pacific Corp. | | | 7,252 | | | | 1,226,096 | |
United Parcel Service, Inc., Class B | | | 41 | | | | 4,558 | |
UnitedHealth Group, Inc. | | | 6,080 | | | | 1,793,296 | |
US Bancorp(f) | | | 3,648 | | | | 134,319 | |
Vail Resorts, Inc. | | | 10 | | | | 1,822 | |
VeriSign, Inc.(c) | | | 41 | | | | 8,480 | |
Verizon Communications, Inc. | | | 1,475 | | | | 81,317 | |
Vertex Pharmaceuticals, Inc.(c) | | | 1,395 | | | | 404,982 | |
Vertiv Holdings Co. (Acquired 02/04/20, cost $391,550)(c)(d) | | | 39,155 | | | | 530,942 | |
Visa, Inc., Class A | | | 554 | | | | 107,016 | |
Vistra Energy Corp. | | | 4,431 | | | | 82,505 | |
VMware, Inc., Class A(c) | | | 4,047 | | | | 626,718 | |
Walgreens Boots Alliance, Inc. | | | 137 | | | | 5,807 | |
Walmart, Inc. | | | 6,739 | | | | 807,197 | |
Walt Disney Co. (The) | | | 3,260 | | | | 363,523 | |
| | |
| 70 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Shares | | | Value | |
| | | |
| United States (continued) | | | | | | | | | |
Wells Fargo & Co. | | | | | | | 2,555 | | | $ | 65,408 | |
Western Digital Corp. | | | | | | | 1,406 | | | | 62,075 | |
Weyerhaeuser Co. | | | | | | | 2,376 | | | | 53,365 | |
Williams Cos., Inc. (The) | | | | | | | 9,387 | | | | 178,541 | |
Willis Towers Watson plc | | | | | | | 3 | | | | 591 | |
Winnebago Industries, Inc. | | | | | | | 37 | | | | 2,465 | |
Workday, Inc., Class A(c) | | | | | | | 31 | | | | 5,808 | |
Wynn Resorts Ltd. | | | | | | | 637 | | | | 47,450 | |
Xilinx, Inc. | | | | | | | 2,944 | | | | 289,660 | |
Yum! Brands, Inc. | | | | | | | 43 | | | | 3,737 | |
Zillow Group, Inc., Class C(c) | | | | | | | 1,053 | | | | 60,663 | |
Zimmer Biomet Holdings, Inc. | | | | | | | 14 | | | | 1,671 | |
Zoetis, Inc. | | | | | | | 695 | | | | 95,243 | |
Zscaler, Inc.(c) | | | | | | | 890 | | | | 97,455 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 70,763,285 | |
| | | |
| Zambia — 0.1% | | | | | | | | | |
First Quantum Minerals Ltd. | | | | | | | 10,174 | | | | 81,086 | |
| | | | | | | | | | | | |
| | |
Total Common Stocks — 59.7%
(Cost: $90,156,771) | | | | | | | | 104,562,428 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Par (000) | | | | |
| | |
Corporate Bonds — 6.4% | | | | | | | | | |
| | | |
| Australia — 0.5%(a) | | | | | | | | | |
FMG Resources August 2006 Pty. Ltd.: | | | | | | | | | |
4.75%, 05/15/22 | | | | | | | 3 | | | | 3,058 | |
5.13%, 03/15/23 | | | | | | | 2 | | | | 2,055 | |
5.13%, 05/15/24 | | | | | | | 3 | | | | 3,090 | |
Quintis Australia Pty. Ltd.(e)(i): | | | | | | | | | | | | |
7.50%, (7.50% Cash or 8.00% PIK), 10/01/26 | | | | 396 | | | | 387,561 | |
12.00%, (0.00% Cash or 0.00% PIK), 10/01/28 | | | | 414 | | | | 414,143 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 809,907 | |
| | | |
| Brazil — 0.0% | | | | | | | | | |
Petrobras Global Finance BV: | | | | | | | | | | | | |
5.30%, 01/27/25 | | | | | | | 21 | | | | 21,768 | |
5.60%, 01/03/31 | | | | | | | 52 | | | | 52,234 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 74,002 | |
| | | |
| Canada — 0.0% | | | | | | | | | |
1011778 BC ULC, 5.00%, 10/15/25(a) | | | | 10 | | | | 9,941 | |
Brookfield Residential Properties, Inc., 6.25%, 09/15/27(a) | | | | 3 | | | | 2,869 | |
Magna International, Inc., 2.45%, 06/15/30 | | | | 6 | | | | 6,136 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 18,946 | |
| | | |
| Chile — 0.0% | | | | | | | | | |
Inversiones Alsacia SA,
8.00%, 12/31/18(a)(c)(j) | | | | | | | 2 | | | | 47 | |
| | | | | | | | | | | | |
| | | |
| China — 0.0% | | | | | | | | | |
China Milk Products Group Ltd., 0.00%, 01/05/12(c)(j)(k)(l) | | | | 300 | | | | 300 | |
| | | | | | | | | | | | |
| | | |
| Germany — 0.1% | | | | | | | | | |
Vertical Midco GmbH, 4.38%, 07/15/27(a) | | | EUR | | | | 100 | | | | 112,350 | |
| | | | | | | | | | | | |
| | | |
| Greece — 0.1% | | | | | | | | | |
Ellaktor Value plc, 6.38%, 12/15/24(a) | | | | | | | 135 | | | | 126,989 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| India — 0.0% | | | | | | | | | |
REI Agro Ltd.(c)(j)(k): | | | | | | | | | | | | |
5.50%, 11/13/14(a) | | | USD | | | | 220 | | | $ | 2 | |
5.50%, 11/13/14(e) | | | | | | | 152 | | | | — | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2 | |
| | | |
| Japan — 0.0% | | | | | | | | | |
Mitsubishi UFJ Financial Group, Inc., 3.78%, 03/02/25 | | | | | | | 48 | | | | 52,932 | |
| | | | | | | | | | | | |
| | | |
| Luxembourg — 0.1% | | | | | | | | | |
Intelsat Jackson Holdings SA,
8.00%, 02/15/24(a)(m) | | | | | | | 179 | | | | 181,538 | |
| | | | | | | | | | | | |
| | | |
| Netherlands — 0.1% | | | | | | | | | |
ING Groep NV, 4.10%, 10/02/23 | | | | | | | 200 | | | | 219,140 | |
| | | | | �� | | | | | | | |
| | | |
| South Korea — 0.0% | | | | | | | | | |
Clark Equipment Co., 5.88%, 06/01/25(a) | | | | | | | 8 | | | | 8,180 | |
| | | | | | | | | | | | |
| | | |
| Turkey — 0.1% | | | | | | | | | |
Bio City Development Co. BV,
8.00%, 07/06/20(a)(c)(e)(j)(k) | | | | | | | 800 | | | | 101,040 | |
| | | | | | | | | | | | |
| | | |
| United States — 5.4% | | | | | | | | | |
AbbVie, Inc., 4.25%, 11/21/49(a) | | | | | | | 52 | | | | 63,033 | |
Acadia Healthcare Co., Inc., 5.50%, 07/01/28(a) | | | | | | | 13 | | | | 13,032 | |
Agilent Technologies, Inc., 2.10%, 06/04/30 | | | | | | | 44 | | | | 45,089 | |
Albertsons Cos., Inc.: | | | | | | | | | | | | |
3.50%, 02/15/23(a) | | | | | | | 3 | | | | 3,038 | |
6.63%, 06/15/24 | | | | | | | 5 | | | | 5,125 | |
5.75%, 03/15/25 | | | | | | | 15 | | | | 15,328 | |
7.50%, 03/15/26(a) | | | | | | | 3 | | | | 3,240 | |
AMC Networks, Inc.: | | | | | | | | | | | | |
5.00%, 04/01/24 | | | | | | | 4 | | | | 3,960 | |
4.75%, 08/01/25 | | | | | | | 3 | | | | 2,956 | |
American Tower Corp., 3.10%, 06/15/50 | | | | 80 | | | | 79,131 | |
Anthem, Inc.: | | | | | | | | | | | | |
2.25%, 05/15/30 | | | | | | | 105 | | | | 107,718 | |
3.13%, 05/15/50 | | | | | | | 55 | | | | 56,897 | |
Aramark Services, Inc.: | | | | | | | | | | | | |
4.75%, 06/01/26 | | | | | | | 2 | | | | 1,925 | |
5.00%, 02/01/28(a) | | | | | | | 5 | | | | 4,750 | |
AT&T, Inc., 2.30%, 06/01/27 | | | | | | | 85 | | | | 87,998 | |
AutoNation, Inc., 4.75%, 06/01/30 | | | | 23 | | | | 24,922 | |
Avantor, Inc., 6.00%, 10/01/24(a) | | | | | | | 7 | | | | 7,315 | |
Bank of America Corp.: | | | | | | | | | | | | |
4.00%, 01/22/25 | | | | | | | 59 | | | | 65,157 | |
(SOFR + 2.15%), 2.59%, 04/29/31(b) | | | | 160 | | | | 169,303 | |
Bausch Health Cos., Inc.(a): | | | | | | | | | | | | |
5.50%, 11/01/25 | | | | | | | 6 | | | | 6,150 | |
5.75%, 08/15/27 | | | | | | | 2 | | | | 2,120 | |
6.25%, 02/15/29 | | | | | | | 12 | | | | 12,060 | |
Becton Dickinson and Co.: | | | | | | | | | | | | |
2.82%, 05/20/30 | | | | | | | 15 | | | | 15,872 | |
3.79%, 05/20/50 | | | | | | | 19 | | | | 21,103 | |
Bemis Co., Inc., 2.63%, 06/19/30 | | | | 19 | | | | 19,480 | |
BorgWarner, Inc., 2.65%, 07/01/27 | | | | 25 | | | | 25,650 | |
Broadcom, Inc.(a): | | | | | | | | | | | | |
3.15%, 11/15/25 | | | | | | | 13 | | | | 13,836 | |
4.15%, 11/15/30 | | | | | | | 36 | | | | 39,121 | |
Buckeye Partners LP: | | | | | | | | | | | | |
4.35%, 10/15/24 | | | | | | | 10 | | | | 9,450 | |
4.13%, 03/01/25(a) | | | | | | | 50 | | | | 47,963 | |
Calpine Corp., 5.13%, 03/15/28(a) | | | | 10 | | | | 9,800 | |
| | |
CONSOLIDATED SCHEDULES OF INVESTMENTS | | 71 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| United States (continued) | | | | | | | | | |
Carrier Global Corp.(a): | | | | | | | | | | | | |
2.24%, 02/15/25 | | | USD | | | | 35 | | | $ | 35,785 | |
3.58%, 04/05/50 | | | | | | | 35 | | | | 34,451 | |
Cedar Fair LP: | | | | | | | | | | | | |
5.38%, 04/15/27 | | | | | | | 2 | | | | 1,790 | |
5.25%, 07/15/29(a) | | | | | | | 2 | | | | 1,810 | |
Centene Corp.: | | | | | | | | | | | | |
4.75%, 01/15/25 | | | | | | | 66 | | | | 67,569 | |
5.25%, 04/01/25(a) | | | | | | | 5 | | | | 5,148 | |
5.38%, 06/01/26(a) | | | | | | | 74 | | | | 76,713 | |
5.38%, 08/15/26(a) | | | | | | | 3 | | | | 3,121 | |
4.25%, 12/15/27 | | | | | | | 11 | | | | 11,351 | |
Charles River Laboratories International, Inc., 5.50%, 04/01/26(a) | | | | 2 | | | | 2,080 | |
Charter Communications Operating LLC, 2.80%, 04/01/31 | | | | 130 | | | | 131,693 | |
Cheniere Energy Partners LP: | | | | | | | | | | | | |
5.25%, 10/01/25 | | | | | | | 16 | | | | 15,947 | |
5.63%, 10/01/26 | | | | | | | 5 | | | | 4,975 | |
Churchill Downs, Inc., 5.50%, 04/01/27(a) | | | | | | | 3 | | | | 2,936 | |
Citigroup, Inc.(b): | | | | | | | | | | | | |
(LIBOR USD 3 Month + 0.90%), 3.35%, 04/24/25 | | | | | | | 85 | | | | 91,841 | |
(SOFR + 2.75%), 3.11%, 04/08/26 | | | | 140 | | | | 150,581 | |
(SOFR + 3.91%), 4.41%, 03/31/31 | | | | 72 | | | | 85,429 | |
(SOFR + 4.55%), 5.32%, 03/26/41 | | | | 45 | | | | 61,089 | |
Clean Harbors, Inc., 4.88%, 07/15/27(a) | | | | 2 | | | | 2,055 | |
Colfax Corp., 6.00%, 02/15/24(a) | | | | | | | 3 | | | | 3,094 | |
Colt Merger Sub, Inc.(a): | | | | | | | | | | | | |
5.75%, 07/01/25 | | | | | | | 25 | | | | 25,142 | |
6.25%, 07/01/25 | | | | | | | 186 | | | | 184,838 | |
8.13%, 07/01/27 | | | | | | | 71 | | | | 68,604 | |
Comcast Corp., 2.80%, 01/15/51 | | | | | | | 50 | | | | 51,274 | |
CommScope, Inc., 7.13%, 07/01/28(a) | | | | | | | 15 | | | | 14,964 | |
Crown Castle International Corp., 4.15%, 07/01/50 | | | | 82 | | | | 96,096 | |
CrownRock LP, 5.63%, 10/15/25(a) | | | | 5 | | | | 4,481 | |
CVS Health Corp.: | | | | | | | | | | | | |
3.63%, 04/01/27 | | | | | | | 26 | | | | 29,198 | |
3.75%, 04/01/30 | | | | | | | 55 | | | | 63,366 | |
5.05%, 03/25/48 | | | | | | | 52 | | | | 68,114 | |
Darling Ingredients, Inc., 5.25%, 04/15/27(a) | | | | | | | 2 | | | | 2,056 | |
DaVita, Inc.: | | | | | | | | | | | | |
5.00%, 05/01/25 | | | | | | | 6 | | | | 6,135 | |
4.63%, 06/01/30(a) | | | | | | | 120 | | | | 119,424 | |
Dow Chemical Co. (The), 3.63%, 05/15/26 | | | | 56 | | | | 61,665 | |
Elanco Animal Health, Inc.(m): | | | | | | | | | | | | |
4.66%, 08/27/21 | | | | | | | 2 | | | | 2,040 | |
5.02%, 08/28/23 | | | | | | | 3 | | | | 3,150 | |
Endeavor Energy Resources LP(a): | | | | | | | | | |
5.50%, 01/30/26 | | | | | | | 2 | | | | 1,915 | |
5.75%, 01/30/28 | | | | | | | 4 | | | | 3,840 | |
Energizer Holdings, Inc., 4.75%, 06/15/28(a) | | | | | | | 17 | | | | 16,676 | |
Energy Transfer Operating LP, 4.05%, 03/15/25 | | | | 35 | | | | 37,140 | |
ERAC USA Finance LLC, 3.80%, 11/01/25(a) | | | | 52 | | | | 55,016 | |
ESH Hospitality, Inc., 5.25%, 05/01/25(a) | | | | 5 | | | | 4,800 | |
Exxon Mobil Corp., 3.45%, 04/15/51 | | | | 65 | | | | 71,983 | |
Fiserv, Inc., 2.65%, 06/01/30 | | | | | | | 50 | | | | 52,978 | |
Forestar Group, Inc., 5.00%, 03/01/28(a) | | | | 85 | | | | 83,300 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| United States (continued) | | | | | | | | | |
Freeport-McMoRan, Inc., 5.00%, 09/01/27 | | | USD | | | | 10 | | | $ | 10,047 | |
General Mills, Inc., 2.88%, 04/15/30 | | | | 88 | | | | 95,813 | |
General Motors Co., 6.80%, 10/01/27 | | | | | | | 24 | | | | 27,966 | |
General Motors Financial Co., Inc.: | | | | | | | | | | | | |
5.20%, 03/20/23 | | | | | | | 35 | | | | 37,405 | |
3.60%, 06/21/30 | | | | | | | 65 | | | | 63,262 | |
Georgia-Pacific LLC, 2.30%, 04/30/30(a) | | | | | | | 150 | | | | 156,257 | |
Global Payments, Inc., 2.90%, 05/15/30 | | | | | | | 35 | | | | 36,727 | |
GLP Capital LP, 4.00%, 01/15/31 | | | | 59 | | | | 58,572 | |
Goldman Sachs Group, Inc. (The): | | | | | | | | | | | | |
(LIBOR USD 3 Month + 1.05%), 2.91%, 06/05/23(b) | | | | | | | 113 | | | | 117,140 | |
3.63%, 02/20/24 | | | | | | | 131 | | | | 142,443 | |
3.50%, 04/01/25 | | | | | | | 295 | | | | 323,470 | |
2.60%, 02/07/30 | | | | | | | 52 | | | | 54,527 | |
4.75%, 10/21/45 | | | | | | | 14 | | | | 18,286 | |
Great Western Petroleum LLC, 9.00%, 09/30/21(a) | | | | 28 | | | | 16,800 | |
H&E Equipment Services, Inc., 5.63%, 09/01/25 | | | | 4 | | | | 4,039 | |
Hanesbrands, Inc., 4.63%, 05/15/24(a) | | | | | | | 4 | | | | 3,980 | |
HCA, Inc.: | | | | | | | | | | | | |
5.38%, 09/01/26 | | | | | | | 10 | | | | 10,888 | |
3.50%, 09/01/30 | | | | | | | 159 | | | | 153,144 | |
5.25%, 06/15/49 | | | | | | | 35 | | | | 41,932 | |
HD Supply, Inc., 5.38%, 10/15/26(a) | | | | | | | 3 | | | | 3,064 | |
Hilton Domestic Operating Co., Inc., 5.13%, 05/01/26 | | | | 6 | | | | 5,974 | |
Hilton Worldwide Finance LLC: | | | | | | | | | | | | |
4.63%, 04/01/25 | | | | | | | 4 | | | | 3,911 | |
4.88%, 04/01/27 | | | | | | | 3 | | | | 2,929 | |
Home Depot, Inc. (The), 3.30%, 04/15/40 | | | | | | | 78 | | | | 87,562 | |
Howard Hughes Corp. (The), 5.38%, 03/15/25(a) | | | | 4 | | | | 3,722 | |
Hughes Satellite Systems Corp., 7.63%, 06/15/21 | | | | 19 | | | | 19,570 | |
iHeartCommunications, Inc.: | | | | | | | | | | | | |
6.38%, 05/01/26 | | | | | | | 124 | | | | 122,546 | |
8.38%, 05/01/27 | | | | | | | 38 | | | | 34,598 | |
5.25%, 08/15/27(a) | | | | | | | 20 | | | | 19,150 | |
4.75%, 01/15/28(a) | | | | | | | 17 | | | | 15,683 | |
International Business Machines Corp.: | | | | | | | | | | | | |
1.95%, 05/15/30 | | | | | | | 100 | | | | 102,284 | |
2.85%, 05/15/40 | | | | | | | 100 | | | | 104,130 | |
Iron Mountain, Inc., 5.25%, 07/15/30(a) | | | | | | | 90 | | | | 88,650 | |
JBS USA LUX SA(a): | | | | | | | | | | | | |
5.75%, 06/15/25 | | | | | | | 14 | | | | 14,123 | |
6.75%, 02/15/28 | | | | | | | 4 | | | | 4,217 | |
6.50%, 04/15/29 | | | | | | | 6 | | | | 6,367 | |
JPMorgan Chase & Co.(b): | | | | | | | | | | | | |
(SOFR + 1.85%), 2.08%, 04/22/26 | | | | | | | 140 | | | | 145,407 | |
(SOFR + 1.89%), 2.18%, 06/01/28 | | | | | | | 43 | | | | 44,510 | |
(SOFR + 2.44%), 3.11%, 04/22/51 | | | | | | | 75 | | | | 80,755 | |
KFC Holding Co., 5.25%, 06/01/26(a) | | | | | | | 10 | | | | 10,250 | |
L Brands, Inc., 6.88%, 07/01/25(a) | | | | | | | 10 | | | | 10,325 | |
Lamar Media Corp.: | | | | | | | | | | | | |
5.75%, 02/01/26 | | | | | | | 3 | | | | 3,095 | |
4.88%, 01/15/29(a) | | | | | | | 8 | | | | 8,040 | |
Lamb Weston Holdings, Inc.(a): | | | | | | | | | | | | |
4.63%, 11/01/24 | | | | | | | 4 | | | | 4,150 | |
4.88%, 11/01/26 | | | | | | | 4 | | | | 4,140 | |
Lennar Corp.: | | | | | | | | | | | | |
4.75%, 04/01/21 | | | | | | | 2 | | | | 2,024 | |
| | |
| 72 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| United States (continued) | | | | | | | | | |
4.13%, 01/15/22 | | | USD | | | | 3 | | | $ | 3,038 | |
4.50%, 04/30/24 | | | | | | | 3 | | | | 3,119 | |
Level 3 Financing, Inc.: | | | | | | | | | | | | |
5.13%, 05/01/23 | | | | | | | 3 | | | | 3,000 | |
5.25%, 03/15/26 | | | | | | | 3 | | | | 3,082 | |
4.63%, 09/15/27(a) | | | | | | | 11 | | | | 11,083 | |
4.25%, 07/01/28(a) | | | | | | | 152 | | | | 151,825 | |
Lowe’s Cos., Inc., 5.13%, 04/15/50 | | | | 50 | | | | 68,238 | |
Marathon Petroleum Corp., 4.70%, 05/01/25 | | | | | | | 45 | | | | 50,376 | |
Marriott Ownership Resorts, Inc.: | | | | | | | | | |
6.13%, 09/15/25(a) | | | | | | | 65 | | | | 66,462 | |
6.50%, 09/15/26 | | | | | | | 3 | | | | 3,023 | |
Marsh & McLennan Cos., Inc.: | | | | | | | | | | | | |
4.38%, 03/15/29 | | | | | | | 13 | | | | 15,479 | |
2.25%, 11/15/30 | | | | | | | 53 | | | | 55,001 | |
Masonite International Corp., 5.38%, 02/01/28(a) | | | | 6 | | | | 6,135 | |
Mauser Packaging Solutions Holding Co., 7.25%, 04/15/25(a) | | | | 12 | | | | 10,881 | |
McDonald’s Corp.: | | | | | | | | | | | | |
3.50%, 07/01/27 | | | | | | | 38 | | | | 43,149 | |
4.45%, 09/01/48 | | | | | | | 44 | | | | 54,360 | |
4.20%, 04/01/50 | | | | | | | 52 | | | | 63,046 | |
Meritor, Inc., 6.25%, 06/01/25(a) | | | | | | | 9 | | | | 9,090 | |
MGM Growth Properties Operating Partnership LP: | | | | | | | | | |
5.63%, 05/01/24 | | | | | | | 5 | | | | 5,175 | |
4.63%, 06/15/25(a) | | | | | | | 9 | | | | 8,801 | |
Microchip Technology, Inc., 4.33%, 06/01/23 | | | | 49 | | | | 52,859 | |
Molina Healthcare, Inc., 5.38%, 11/15/22(m) | | | | | | | 3 | | | | 3,060 | |
Mondelez International, Inc., 2.75%, 04/13/30 | | | | 75 | | | | 80,733 | |
Morgan Stanley(b): | | | | | | | | | | | | |
(SOFR + 1.99%), 2.19%, 04/28/26 | | | | 105 | | | | 109,327 | |
(SOFR + 3.12%), 3.62%, 04/01/31 | | | | 201 | | | | 229,617 | |
MPT Operating Partnership LP, 5.00%, 10/15/27 | | | | 6 | | | | 6,165 | |
Netflix, Inc., 5.50%, 02/15/22 | | | | | | | 3 | | | | 3,128 | |
Newell Brands, Inc., 4.35%, 04/01/23(m) | | | | 6 | | | | 6,179 | |
Newmont Corp., 2.25%, 10/01/30 | | | | 52 | | | | 52,700 | |
Norfolk Southern Corp., 3.05%, 05/15/50 | | | | | | | 37 | | | | 38,096 | |
NRG Energy, Inc.: | | | | | | | | | | | | |
7.25%, 05/15/26 | | | | | | | 4 | | | | 4,220 | |
6.63%, 01/15/27 | | | | | | | 5 | | | | 5,219 | |
5.75%, 01/15/28 | | | | | | | 4 | | | | 4,220 | |
5.25%, 06/15/29(a) | | | | | | | 3 | | | | 3,150 | |
NVIDIA Corp., 3.50%, 04/01/50 | | | | | | | 39 | | | | 44,560 | |
ONEOK Partners LP, 4.90%, 03/15/25 | | | | 81 | | | | 87,935 | |
ONEOK, Inc., 2.75%, 09/01/24 | | | | | | | 48 | | | | 48,428 | |
Oracle Corp.: | | | | | | | | | | | | |
2.80%, 04/01/27 | | | | | | | 154 | | | | 168,184 | |
2.95%, 04/01/30 | | | | | | | 154 | | | | 171,500 | |
3.60%, 04/01/40 | | | | | | | 154 | | | | 174,804 | |
Ortho-Clinical Diagnostics, Inc., 7.38%, 06/01/25(a) | | | | 9 | | | | 9,157 | |
Outfront Media Capital LLC(a): | | | | | | | | | | | | |
6.25%, 06/15/25 | | | | | | | 7 | | | | 7,046 | |
5.00%, 08/15/27 | | | | | | | 3 | | | | 2,700 | |
Parsley Energy LLC(a): | | | | | | | | | | | | |
5.38%, 01/15/25 | | | | | | | 13 | | | | 12,646 | |
5.25%, 08/15/25 | | | | | | | 53 | | | | 50,899 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| United States (continued) | | | | | | | | | |
5.63%, 10/15/27 | | | USD | | | | 3 | | | $ | 2,955 | |
PBF Holding Co. LLC, 9.25%, 05/15/25(a) | | | | | | | 60 | | | | 64,050 | |
Pfizer, Inc., 1.70%, 05/28/30 | | | | | | | 41 | | | | 41,678 | |
PG&E Corp.: | | | | | | | | | | | | |
5.00%, 07/01/28 | | | | | | | 52 | | | | 51,985 | |
5.25%, 07/01/30 | | | | | | | 9 | | | | 9,051 | |
Pilgrim’s Pride Corp., 5.88%, 09/30/27(a) | | | | | | | 4 | | | | 4,001 | |
Prudential Financial, Inc., 3.70%, 03/13/51 | | | | 56 | | | | 61,407 | |
QEP Resources, Inc., 6.88%, 03/01/21 | | | | 5 | | | | 4,775 | |
Quicken Loans, Inc.(a): | | | | | | | | | | | | |
5.75%, 05/01/25 | | | | | | | 5 | | | | 5,111 | |
5.25%, 01/15/28 | | | | | | | 4 | | | | 4,128 | |
Rackspace Hosting, Inc., 8.63%, 11/15/24(a) | | | | 12 | | | | 12,060 | |
Reynolds Group Issuer, Inc., 5.13%, 07/15/23(a) | | | | 10 | | | | 10,076 | |
Select Medical Corp., 6.25%, 08/15/26(a) | | | | | | | 80 | | | | 80,876 | |
Service Properties Trust: | | | | | | | | | | | | |
5.00%, 08/15/22 | | | | | | | 42 | | | | 41,245 | |
4.50%, 06/15/23 | | | | | | | 29 | | | | 27,765 | |
Sherwin-Williams Co. (The), 3.80%, 08/15/49 | | | | 52 | | | | 56,696 | |
Sirius XM Radio, Inc.(a): | | | | | | | | | | | | |
3.88%, 08/01/22 | | | | | | | 4 | | | | 4,030 | |
4.63%, 07/15/24 | | | | | | | 6 | | | | 6,150 | |
5.38%, 04/15/25 | | | | | | | 4 | | | | 4,108 | |
5.38%, 07/15/26 | | | | | | | 4 | | | | 4,131 | |
5.00%, 08/01/27 | | | | | | | 7 | | | | 7,155 | |
5.50%, 07/01/29 | | | | | | | 5 | | | | 5,263 | |
4.13%, 07/01/30 | | | | | | | 73 | | | | 72,194 | |
Six Flags Entertainment Corp., 4.88%, 07/31/24(a) | | | | 4 | | | | 3,580 | |
SM Energy Co.: | | | | | | | | | | | | |
1.50%, 07/01/21(k) | | | | | | | 10 | | | | 9,179 | |
6.13%, 11/15/22 | | | | | | | 5 | | | | 3,650 | |
10.00%, 01/15/25(a) | | | | | | | 56 | | | | 53,202 | |
Spectrum Brands, Inc., 5.50%, 07/15/30(a) | | | | | | | 9 | | | | 9,011 | |
Standard Industries, Inc.(a): | | | | | | | | | | | | |
5.00%, 02/15/27 | | | | | | | 2 | | | | 2,025 | |
4.38%, 07/15/30 | | | | | | | 14 | | | | 13,965 | |
Starbucks Corp.: | | | | | | | | | | | | |
2.55%, 11/15/30 | | | | | | | 52 | | | | 54,545 | |
3.50%, 11/15/50 | | | | | | | 52 | | | | 54,787 | |
Steel Dynamics, Inc., 3.25%, 01/15/31 | | | | 5 | | | | 5,100 | |
Summit Materials LLC, 6.13%, 07/15/23 | | | | 3 | | | | 2,987 | |
Sunoco Logistics Partners Operations LP, 4.00%, 10/01/27 | | | | 18 | | | | 18,440 | |
Sunoco LP: | | | | | | | | | | | | |
4.88%, 01/15/23 | | | | | | | 4 | | | | 3,940 | |
5.50%, 02/15/26 | | | | | | | 3 | | | | 2,910 | |
6.00%, 04/15/27 | | | | | | | 3 | | | | 2,970 | |
Talen Energy Supply LLC, 7.63%, 06/01/28(a) | | | | 70 | | | | 70,000 | |
Targa Resources Partners LP: | | | | | | | | | | | | |
6.75%, 03/15/24 | | | | | | | 2 | | | | 1,995 | |
5.13%, 02/01/25 | | | | | | | 2 | | | | 1,925 | |
5.88%, 04/15/26 | | | | | | | 4 | | | | 3,960 | |
5.38%, 02/01/27 | | | | | | | 2 | | | | 1,930 | |
6.50%, 07/15/27 | | | | | | | 4 | | | | 4,010 | |
6.88%, 01/15/29 | | | | | | | 4 | | | | 4,190 | |
Teleflex, Inc., 4.63%, 11/15/27 | | | | | | | 2 | | | | 2,114 | |
| | |
CONSOLIDATED SCHEDULES OF INVESTMENTS | | 73 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | Par (000) | | | Value | |
| | |
| United States (continued) | | | | | | | |
Tempur Sealy International, Inc., 5.50%, 06/15/26 | | | USD | | | | 3 | | | $ | 3,030 | |
Tenet Healthcare Corp.: | | | | | | | | | |
4.63%, 07/15/24 | | | | 18 | | | | 17,636 | |
4.63%, 09/01/24(a) | | | | 3 | | | | 2,933 | |
5.13%, 05/01/25 | | | | 6 | | | | 5,791 | |
4.88%, 01/01/26(a) | | | | 9 | | | | 8,764 | |
6.25%, 02/01/27(a) | | | | 7 | | | | 6,947 | |
4.63%, 06/15/28(a) | | | | 8 | | | | 7,794 | |
Terex Corp., 5.63%, 02/01/25(a) | | | | 3 | | | | 2,730 | |
TJX Cos., Inc. (The), 3.88%, 04/15/30 | | | | 36 | | | | 42,307 | |
T-Mobile USA, Inc.(a): | | | | | | | | | |
3.50%, 04/15/25 | | | | 50 | | | | 54,419 | |
3.75%, 04/15/27 | | | | 153 | | | | 169,550 | |
3.88%, 04/15/30 | | | | 153 | | | | 170,283 | |
2.55%, 02/15/31 | | | | 113 | | | | 113,398 | |
TransDigm, Inc., 6.25%, 03/15/26(a) | | | | 313 | | | | 312,224 | |
Union Pacific Corp., 3.25%, 02/05/50 | | | | 52 | | | | 56,971 | |
United Rentals North America, Inc.: | | | | | | | | | |
5.50%, 07/15/25 | | | | 10 | | | | 10,262 | |
4.63%, 10/15/25 | | | | 3 | | | | 3,015 | |
5.88%, 09/15/26 | | | | 4 | | | | 4,192 | |
6.50%, 12/15/26 | | | | 5 | | | | 5,250 | |
5.50%, 05/15/27 | | | | 4 | | | | 4,120 | |
4.88%, 01/15/28 | | | | 7 | | | | 7,175 | |
US Concrete, Inc., 6.38%, 06/01/24 | | | | 3 | | | | 2,962 | |
VICI Properties LP, 3.50%, 02/15/25(a) | | | | 29 | | | | 27,260 | |
Vistra Operations Co. LLC(a): | | | | | | | | | |
5.50%, 09/01/26 | | | | 4 | | | | 4,082 | |
5.63%, 02/15/27 | | | | 108 | | | | 110,846 | |
5.00%, 07/31/27 | | | | 6 | | | | 6,067 | |
Wells Fargo & Co.: | | | | | | | | | |
3.75%, 01/24/24 | | | | 74 | | | | 80,856 | |
(SOFR + 2.53%), 3.07%, 04/30/41(b) | | | | 82 | | | | 85,533 | |
William Carter Co. (The), 5.63%, 03/15/27(a) | | | | 2 | | | | 2,060 | |
WPX Energy, Inc., 5.75%, 06/01/26 | | | | 2 | | | | 1,940 | |
Wyndham Hotels & Resorts, Inc., 5.38%, 04/15/26(a) | | | | | | | 2 | | | | 1,925 | |
XPO Logistics, Inc.(a): | | | | | | | | | |
6.13%, 09/01/23 | | | | 2 | | | | 2,025 | |
6.75%, 08/15/24 | | | | 5 | | | | 5,238 | |
| | | | | | | | |
| | | | | | | | 9,485,834 | |
| | | | | | | | |
| | | |
Total Corporate Bonds — 6.4%
(Cost: $12,258,355) | | | | | | | | | | | 11,191,207 | |
| | | | | | | | |
| | |
Floating Rate Loan Interests — 0.8% | | | | | | | | | |
| | |
| France — 0.1% | | | | | | | |
Casino, Guichard-Perrachon SA, Term Loan B, (EURIBOR 3 Month + 5.50%), 5.50%, 01/31/24(n) | | | EUR | | | | 185 | | | | 202,703 | |
| | | | | | | | |
| | |
| Netherlands — 0.3%(n) | | | | | | | |
Boels Rental Ltd., Term Loan B, 02/09/27(o) | | | | 250 | | | | 269,466 | |
Ziggo BV, Term Loan, (EURIBOR 6 Month + 3.00%), 3.00%, 01/31/29 | | | | 311 | | | | 337,005 | |
| | | | | | | | |
| | | | | | | | | | | 606,471 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| United States — 0.4%(n) | | | | | | | | | |
Airbnb, Inc., Term Loan, (LIBOR USD 1 Month + 7.50%), 8.50%, 04/17/25(e) | | | USD | | | | 65 | | | $ | 67,275 | |
BBD Bidco Ltd., Term Loan, (EURIBOR 6 Month + 5.50%), 5.50%, 04/29/23(e) | | | EUR | | | | 167 | | | | 182,051 | |
Caesars Resort Collection LLC, Term Loan, 06/19/25(o) | | | USD | | | | 36 | | | | 33,773 | |
Douglas Dynamics LLC, Term Loan, (LIBOR USD 1 Month + 3.75%), 4.75%, 06/05/26(e) | | | | | | | 12 | | | | 12,081 | |
Fieldwood Energy LLC, 2nd Lien Term Loan, (LIBOR USD 3 Month + 7.25%), 8.25%, 04/11/23(c)(j) | | | | | | | 75 | | | | 451 | |
Fieldwood Energy LLC, Term Loan, (LIBOR USD 3 Month + 5.25%),
6.25%, 04/11/22(c)(j) | | | | | | | 56 | | | | 10,115 | |
Hilton Worldwide Finance LLC, Term Loan B2, (LIBOR USD 1 Month + 1.75%), 1.93%, 06/22/26 | | | | | | | 151 | | | | 142,175 | |
iHeart Communications, Inc., Term Loan, (LIBOR USD 1 Month + 3.00%), 3.18%, 05/01/26 | | | | | | | 58 | | | | 53,389 | |
Opendoor, Term Loan, (LIBOR USD 6 Month + 10.00%), 3.33% - 10.00%, 01/23/26(e) | | | | | | | 60 | | | | 60,467 | |
PGE Corp., Term Loan, (LIBOR USD 3 Month + 4.50%), 5.50%, 06/23/25 | | | | | | | 49 | | | | 48,081 | |
| | | | | | | | |
| | | | | | | | | | | 609,858 | |
| | | | | | | | |
| | | |
Total Floating Rate Loan Interests — 0.8%
(Cost: $1,505,096) | | | | | | | | | | | | |
| | | 1,419,032 | |
| | | | | | | | |
| | |
Foreign Agency Obligations — 0.0% | | | | | | | | | |
| | | |
| Colombia — 0.0% | | | | | | | | | |
Ecopetrol SA, 6.88%, 04/29/30 | | | | | | | 42 | | | | 48,142 | |
| | | | | | | | |
| | | |
| Mexico — 0.0% | | | | | | | | | |
Petroleos Mexicanos, 4.50%, 01/23/26 | | | | | | | 24 | | | | 20,940 | |
| | | | | | | | |
| | | |
Total Foreign Agency Obligations — 0.0%
(Cost: $63,523) | | | | | | | | | | | 69,082 | |
| | | | | | | | |
| |
Foreign Government Obligations — 5.1% | | | | | |
| | | |
| Argentina — 0.2% | | | | | | | | | |
Argentine Republic(c)(j): | | | | | | | | | | | | |
3.38%, 01/15/23 | | | EUR | | | | 100 | | | | 43,817 | |
6.88%, 01/26/27 | | | USD | | | | 277 | | | | 110,938 | |
5.88%, 01/11/28 | | | | | | | 272 | | | | 108,256 | |
7.82%, 12/31/33 | | | EUR | | | | 100 | | | | 47,902 | |
| | | | | | | | |
| | | | | | | | | | | 310,913 | |
| | | |
| Australia — 0.8% | | | | | | | | | |
Commonwealth of Australia, 3.00%, 03/21/47 | | | AUD | | | | 1,504 | | | | 1,320,835 | |
| | | | | | | | |
| | | |
| China — 0.6% | | | | | | | | | |
People’s Republic of China, 3.29%, 05/23/29 | | | CNY | | | | 6,500 | | | | 939,899 | |
| | | | | | | | |
| | | |
| Germany — 0.1% | | | | | | | | | |
Federal Republic of Germany, 0.00%, 08/15/50 | | | EUR | | | | 203 | | | | 229,256 | |
| | | | | | | | |
| | | |
| Greece — 0.3% | | | | | | | | | |
Hellenic Republic, 2.00%, 04/22/27(a) | | | | | | | 364 | | | | 437,380 | |
| | | | | | | | |
| | |
| 74 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| Italy — 1.3% | | | | | | | | | |
Republic of Italy: | | | | | | | | | | | | |
1.35%, 04/01/30 | | | EUR | | | | 1,217 | | | $ | 1,383,778 | |
3.85%, 09/01/49(a) | | | | | | | 613 | | | | 930,377 | |
| | | | | | | | |
| | | | | | | | | | | 2,314,155 | |
| | | |
| Japan — 0.9% | | | | | | | | | |
Japan Government Bond, 0.40%, 09/20/49 | | | JPY | | | | 183,250 | | | | 1,613,550 | |
| | | | | | | | |
| | | |
| Panama — 0.0% | | | | | | | | | |
Republic of Panama, 6.70%, 01/26/36 | | | USD | | | | 33 | | | | 47,489 | |
| | | | | | | | |
| | | |
| Peru — 0.0% | | | | | | | | | |
Republic of Peru, 6.55%, 03/14/37 | | | | | | | 15 | | | | 22,814 | |
| | | | | | | | |
| | | |
| Romania — 0.0% | | | | | | | | | |
Romania Government Bond, 6.13%, 01/22/44(a) | | | | | | | 18 | | | | 23,597 | |
| | | | | | | | |
| | | |
| Spain — 0.9% | | | | | | | | | |
Kingdom of Spain(a): | | | | | | | | | | | | |
0.60%, 10/31/29 | | | EUR | | | | 1,075 | | | | 1,235,261 | |
1.25%, 10/31/30 | | | | | | | 147 | | | | 178,139 | |
2.70%, 10/31/48 | | | | | | | 118 | | | | 178,889 | |
| | | | | | | | |
| | | | | | | | | | | 1,592,289 | |
| | | |
| Uruguay — 0.0% | | | | | | | | | |
Oriental Republic of Uruguay, 5.10%, 06/18/50 | | | USD | | | | 37 | | | | 48,068 | |
| | | | | | | | |
| |
Total Foreign Government Obligations — 5.1%
(Cost: $9,086,420) | | | | 8,900,245 | |
| | | | | | | | |
| | | |
| | | | | | Shares | | | | |
|
Investment Companies — 4.6% | |
Consumer Discretionary Select Sector SPDR Fund(f) | | | | | | | 1,498 | | | | 191,309 | |
Financial Select Sector SPDR Fund | | | | | | | 7,235 | | | | 167,418 | |
Industrial Select Sector SPDR Fund(f) | | | | | | | 4,153 | | | | 285,311 | |
Invesco QQQ Trust Series 1(f) | | | | | | | 1,636 | | | | 405,074 | |
iShares China Large-Cap ETF(f)* | | | | | | | 4,208 | | | | 167,058 | |
iShares iBoxx $ High Yield Corporate Bond ETF(f)* | | | | | | | 14,671 | | | | 1,197,447 | |
iShares iBoxx $ Investment Grade Corporate Bond ETF* | | | | | | | 1,293 | | | | 173,909 | |
iShares MSCI Emerging Markets ETF(f)* | | | | | | | 641 | | | | 25,634 | |
iShares Nasdaq Biotechnology ETF* | | | | | | | 229 | | | | 31,302 | |
iShares Russell 2000 ETF(f)* | | | | | | | 2,011 | | | | 287,933 | |
iShares S&P 500 Value ETF* | | | | | | | 1,761 | | | | 190,558 | |
KraneShares CSI China Internet ETF(f) | | | | | | | 1,058 | | | | 65,532 | |
SPDR Gold Shares(p) | | | | | | | 22,677 | | | | 3,795,449 | |
SPDR S&P 500 ETF Trust(f) | | | | | | | 2,783 | | | | 858,166 | |
United States Oil Fund LP(p) | | | | | | | 1,600 | | | | 44,896 | |
VanEck Vectors Semiconductor ETF(f) | | | | | | | 800 | | | | 122,240 | |
| | | | | | | | |
| | | |
Total Investment Companies — 4.6%
(Cost: $7,705,165) | | | | | | | | | | | 8,009,236 | |
| | | | | | | | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| |
Non-Agency Mortgage-Backed
Securities — 0.2% | | | | | |
| | |
| Commercial Mortgage-Backed Securities — 0.2% | | | | | | | |
| | | |
| United States — 0.2% | | | | | | | | | |
BANK, Series 2017-BNK9, Class A4, 3.54%, 11/15/54 | | | USD | | | | 17 | | | $ | 19,573 | |
BX Trust(a)(q): | | | | | | | | | | | | |
Series 2019-OC11, Class D, 4.08%, 12/09/41 | | | | | | | 64 | | | | 59,123 | |
Series 2019-OC11, Class E, 4.08%, 12/09/41 | | | | | | | 89 | | | | 78,858 | |
CD Mortgage Trust, Series 2017-CD6, Class B, 3.91%, 11/13/50(q) | | | | | | | 10 | | | | 10,444 | |
Commercial Mortgage Trust, Series 2014-CR21, Class A3, 3.53%, 12/10/47 | | | | | | | 32 | | | | 34,826 | |
CORE Mortgage Trust, Series 2019- CORE, Class F, 2.53%, 12/15/31(a)(q) | | | | | | | 16 | | | | 15,202 | |
CSAIL Commercial Mortgage Trust, Series 2020-C19, Class A3, 2.56%, 03/15/53 | | | | | | | 94 | | | | 99,914 | |
JPMCC Commercial Mortgage Securities Trust, Series 2019-COR4, Class A5, 4.03%, 03/10/52 | | | | | | | 35 | | | | 40,767 | |
Morgan Stanley Bank of America Merrill Lynch Trust: | | | | | | | | | | | | |
Series 2015-C24, Class C,
4.49%, 05/15/48(q) | | | | | | | 10 | | | | 9,456 | |
Series 2016-C32, Class A4, 3.72%, 12/15/49 | | | | | | | 27 | | | | 30,199 | |
UBS Commercial Mortgage Trust, Series 2019-C17, Class A4, 2.92%, 10/15/52 | | | | | | | 10 | | | | 10,824 | |
| | | | | | | | |
| | | | | | | | | | | 409,186 | |
| | | | | | | | |
| | | |
Total Non-Agency Mortgage-Backed Securities — 0.2%
(Cost: $417,600) | | | | | | | | | | | 409,186 | |
| | | | | | | | |
| | | |
Preferred Securities — 2.0% | | | | | | | | | | | | |
| | | |
| Capital Trusts — 0.7% | | | | | | | | | |
| | | |
| United Kingdom — 0.3%(n)(r) | | | | | | | | | |
HSBC Holdings plc, 6.37% | | | | | | | 235 | | | | 237,056 | |
Lloyds Bank plc, 13.00% | | | GBP | | | | 155 | | | | 328,293 | |
| | | | | | | | |
| | | | | | | | | | | 565,349 | |
| | | |
| United States — 0.4% | | | | | | | | | |
American Express Co., Series C, 3.60%(n)(r) | | | USD | | | | 74 | | | | 63,045 | |
Citigroup, Inc., Series Q, 5.95%(n)(r) | | | | | | | 105 | | | | 100,177 | |
Goldman Sachs Group, Inc. (The),
Series M, 4.37%(n)(r) | | | | | | | 120 | | | | 110,004 | |
Morgan Stanley, Series H, 4.83%(n)(r) | | | | | | | 84 | | | | 75,596 | |
NBCUniversal Enterprise, Inc., 5.25%(a)(r) | | | | | | | 100 | | | | 100,250 | |
Prudential Financial, Inc.(n): | | | | | | | | | | | | |
5.63%, 06/15/43 | | | | | | | 44 | | | | 46,816 | |
5.87%, 09/15/42 | | | | | | | 64 | | | | 68,122 | |
USB Capital IX, 3.50%(n)(r) | | | | | | | 31 | | | | 25,606 | |
| | | | | | | | |
| | | | | | | | | | | 589,616 | |
| | | | | | | | |
| | | |
Total Capital Trusts — 0.7%
(Cost: $1,179,284) | | | | | | | | | | | 1,154,965 | |
| | | | | | | | |
| | |
CONSOLIDATED SCHEDULES OF INVESTMENTS | | 75 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
| Preferred Stocks — 1.2% | | | | | | |
| | |
| Brazil — 0.0% | | | | | | |
Banco Bradesco SA (Preference) | | | 225 | | | $ | 867 | |
Centrais Eletricas Brasileiras SA (Preference) | | | 300 | | | | 1,771 | |
Itau Unibanco Holding SA (Preference) | | | 7,969 | | | | 37,661 | |
Petroleo Brasileiro SA (Preference) | | | 235 | | | | 941 | |
| | | | | | | | |
| | | | | | | 41,240 | |
| | |
| United States — 1.2% | | | | | | |
2020 Cash Mandatory Exchangeable Trust, 5.25%(a)(e)(k) | | | 277 | | | | 286,314 | |
Aptiv plc, Series A, 5.50% | | | 1,083 | | | | 111,311 | |
Becton Dickinson and Co., Series B, 6.00% | | | 2,750 | | | | 146,300 | |
Boston Scientific Corp., Series A, 5.50% | | | 713 | | | | 74,644 | |
C3.ai, Inc., Series D (Acquired 10/07/19,
cost $157,869)(c)(d)(e) | | | 35,605 | | | | 189,062 | |
C3.ai, Inc., Series E (Acquired 10/07/19,
cost $18,130)(c)(d)(e) | | | 4,089 | | | | 21,713 | |
Databricks, Inc., Series F (Acquired 10/22/19, cost $88,431)(c)(d)(e) | | | 2,059 | | | | 136,409 | |
Grand Rounds, Inc., Series C (Acquired 03/31/15, cost $127,944)(c)(d)(e) | | | 46,081 | | | | 170,960 | |
Grand Rounds, Inc., Series D (Acquired 05/01/18, cost $51,112)(c)(d)(e) | | | 21,089 | | | | 77,397 | |
Lookout, Inc., Series F (Acquired 09/19/14-10/22/14, cost $243,061)(c)(d)(e) | | | 21,278 | | | | 237,250 | |
Palantir Technologies, Inc., Series I (Acquired 02/11/14, cost $272,246)(c)(d)(e) | | | 44,412 | | | | 305,110 | |
SambaNova Systems, Inc. Series C (Acquired 02/19/20, cost $91,575)(c)(d)(e) | | | 1,720 | | | | 96,045 | |
Wells Fargo & Co., Series L, 7.50%(k)(r) | | | 46 | | | | 59,662 | |
Zero Mass Water, Inc., Series C-1 (Acquired 05/07/20, cost $70,353)(c)(d)(e) | | | 4,463 | | | | 70,560 | |
| | | | | | | | |
| | | | | | | 1,982,737 | |
| | | | | | | | |
| | |
Total Preferred Stocks — 1.2%
(Cost: $1,826,578) | | | | | | | 2,023,977 | |
| | | | | | | | |
| | |
| Trust Preferreds — 0.1% | | | | | | |
| | |
| United States — 0.1%(n) | | | | | | |
Citigroup Capital XIII, 7.13%, 10/30/40 | | | 5,244 | | | | 138,966 | |
GMAC Capital Trust I, Series 2, 6.18%, 02/15/40 | | | 5,760 | | | | 129,139 | |
| | | | | | | | |
| | | | | | | 268,105 | |
| | | | | | | | |
| | |
Total Trust Preferreds — 0.1%
(Cost: $288,354) | | | | | | | 268,105 | |
| | | | | | | | |
| | |
Total Preferred Securities — 2.0%
(Cost: $3,294,216) | | | | | | | 3,447,047 | |
| | | | | | | | |
| | |
Rights — 0.0%(c) | | | | | | | | |
| | |
| Spain — 0.0% | | | | | | |
Repsol SA | | | 171 | | | | 83 | |
Telefonica SA | | | 281 | | | | 55 | |
| | | | | | | | | | | | |
| Security | | | Shares | | | Value | |
| | |
| United States — 0.0% | | | | | | | |
T-Mobile US, Inc. | | | | 897 | | | $ | 151 | |
| | | | | | | | |
| | |
Total Rights — 0.0%
(Cost: $439) | | | | | | | | 289 | |
| | | | | | | | |
| | | |
| | | | | | Par (000) | | | | |
| |
U.S. Government Sponsored Agency Securities — 2.0% | | | | | |
| | |
| Mortgage-Backed Securities — 2.0% | | | | | | | |
Uniform Mortgage-Backed Securities, 2.50%, 07/25/50(s) | | | | 3,420 | | | | 3,565,437 | |
| | | | | | | | |
| |
Total U.S. Government Sponsored Agency
Securities — 2.0%
(Cost: $3,539,277) | | | | 3,565,437 | |
| | | | | | | | |
| | |
U.S. Treasury Obligations — 8.8% | | | | | | | | | |
U.S. Treasury Bonds: | | | | | | | | | | | | |
1.13%, 05/15/40 | | | | | | | 281 | | | | 278,773 | |
2.38%, 11/15/49 | | | | | | | 1,476 | | | | 1,823,091 | |
U.S. Treasury Inflation Linked Notes: | | | | | | | | | |
0.63%, 04/15/23 | | | | | | | 736 | | | | 765,762 | |
0.13%, 10/15/24-01/15/30 | | | | | | | 5,572 | | | | 5,873,851 | |
U.S. Treasury Notes: | | | | | | | | | | | | |
1.75%, 11/15/20(h)(p) | | | | | | | 2,217 | | | | 2,229,228 | |
1.75%, 11/15/29(h) | | | | | | | 1,980 | | | | 2,185,933 | |
1.75%, 11/15/29(p) | | | | | | | 2,068 | | | | 2,282,649 | |
| | | | | | | | |
| | | |
Total U.S. Treasury Obligations — 8.8%
(Cost: $14,492,893) | | | | | | | | | | | 15,439,287 | |
| | | | | | | | |
| | | |
| | | | | | Shares | | | | |
| | | |
Warrants — 0.0% | | | | | | | | | | | | |
| | | |
| United States — 0.0% | | | | | | | | | |
Zero Mass Water, Inc. (Issued/ exercisable 05/08/20, 1 share for 1 warrant, Expires 11/08/21, Strike Price USD 18.92)(c)(e) | | | | | | | 4,463 | | | | 4,686 | |
| | | | | | | | |
| | | |
Total Warrants — 0.0% | | | | | | | | | | | 4,686 | |
| | | | | | | | |
| | | |
Total Long-Term Investments — 90.0%
(Cost: $143,161,949) | | | | | | | | | | | 157,671,655 | |
| | | | | | | | |
| | | |
| Security | | | | | Par
(000) | | | Value | |
| | |
Short-Term Securities — 14.0% | | | | | | | | | |
| |
Foreign Government Obligations — 4.7%(t) | | | | | |
| | | |
| Japan — 4.7% | | | | | | | | | |
Japan Treasury Discount Bills: | | | | | | | | | | | | |
(0.16)%, 07/20/20 | | | JPY | | | | 123,150 | | | $ | 1,140,620 | |
(0.20)%, 07/27/20 | | | | | | | 134,850 | | | | 1,249,028 | |
(0.16)%, 08/03/20 | | | | | | | 141,400 | | | | 1,309,741 | |
(0.15)%, 08/11/20 | | | | | | | 173,600 | | | | 1,608,057 | |
(0.13)%, 08/17/20 | | | | | | | 156,500 | | | | 1,449,703 | |
(0.13)%, 09/07/20 | | | | | | | 48,900 | | | | 453,024 | |
(0.12)%, 09/14/20 | | | | | | | 107,900 | | | | 999,657 | |
| | | | | | | | |
| | | | | | | | | | | 8,209,830 | |
| | | | | | | | |
| |
Total Foreign Government Obligations — 4.7%
(Cost: $8,272,894) | | | | 8,209,830 | |
| | | | | | | | |
| | |
| 76 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Shares | | | Value | |
| | |
Money Market Funds — 3.1%(u)* | | | | | | | | | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11% | | | | | | | 692,257 | | | $ | 692,257 | |
SL Liquidity Series, LLC, Money Market Series, 0.50%(v) | | | | | | | 4,692,719 | | | | 4,696,473 | |
| | | | | | | | |
| | | |
Total Money Market Funds — 3.1%
(Cost: $5,389,078) | | | | | | | | | | | 5,388,730 | |
| | | | | | | | |
| | | |
| | | | | | Par (000) | | | | |
| | | |
Time Deposits — 0.1% | | | | | | | | | | | | |
| | | |
| Canada — 0.0% | | | | | | | | | |
Royal Bank of Canada, 0.02%, 07/02/20 | | | CAD | | | | 36 | | | | 26,773 | |
| | | | | | | | |
| | | |
| Europe — 0.0% | | | | | | | | | |
Citibank NA, (0.68)%, 07/01/20 | | | EUR | | | | 31 | | | | 34,739 | |
| | | | | | | | |
| | | |
| Hong Kong — 0.0% | | | | | | | | | |
Brown Brothers Harriman & Co., 0.04%, 07/02/20 | | | HKD | | | | 5 | | | | 621 | |
| | | | | | | | |
| | | |
| Japan — 0.0% | | | | | | | | | |
Sumitomo Mitsui Financial Group, Inc., (0.25)%, 07/01/20 | | | JPY | | | | 2,288 | | | | 21,186 | |
| | | | | | | | |
| | | |
| Singapore — 0.0% | | | | | | | | | |
Brown Brothers Harriman & Co., 0.00%, 07/01/20 | | | SGD | | | | 6 | | | | 4,648 | |
| | | | | | | | |
| | | |
| United Kingdom — 0.0% | | | | | | | | | |
Brown Brothers Harriman & Co., 0.01%, 07/01/20 | | | GBP | | | | 11 | | | | 13,012 | |
| | | | | | | | |
| | | |
| United States — 0.1% | | | | | | | | | |
Sumitomo Mitsui Financial Group, Inc., 0.10%, 07/01/20 | | | USD | | | | 63 | | | | 63,138 | |
| | | | | | | | |
| | | |
Total Time Deposits — 0.1%
(Cost: $164,117) | | | | | | | | | | | 164,117 | |
| | | | | | | | |
| | |
U.S. Treasury Obligations — 6.1% | | | | | | | | | |
U.S. Treasury Bills(t): | | | | | | | | | | | | |
0.01%, 07/23/20 | | | | | | | 1,000 | | | | 999,925 | |
0.10%, 07/09/20 | | | | | | | 2,750 | | | | 2,749,930 | |
0.11%, 08/13/20 | | | | | | | 750 | | | | 749,879 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| |
U.S. Treasury Obligations (continued) | | | | | |
0.12%, 07/07/20 | | | USD | | | | 2,000 | | | $ | 1,999,961 | |
0.13%, 07/14/20 | | | | | | | 500 | | | | 499,980 | |
0.13%, 09/22/20 | | | | | | | 1,000 | | | | 999,693 | |
0.13%, 07/28/20 | | | | | | | 500 | | | | 499,950 | |
0.14%, 09/24/20 | | | | | | | 1,000 | | | | 999,658 | |
0.75%, 08/20/20 | | | | | | | 1,250 | | | | 1,249,774 | |
| | | | | | | | |
| | |
Total U.S. Treasury Obligations — 6.1%
(Cost: $10,747,812) | | | | | | | | 10,748,750 | |
| | | | | | | | |
| | |
Total Short-Term Securities — 14.0%
(Cost: $24,573,901) | | | | | | | | 24,511,427 | |
| | | | | | | | |
| | |
Total Options Purchased — 1.1%
(Cost: $1,580,508) | | | | | | | | 1,932,447 | |
| | | | | | | | |
| |
Total Investments Before Options Written and Investments Sold Short — 105.1%
(Cost: $169,316,358) | | | | 184,115,529 | |
| | | | | | | | |
| | | |
Total Options Written — (0.9)%
(Premiums Received — $1,532,958) | | | | | | | | | | | (1,636,074 | ) |
| | | | | | | | |
| | | |
| | | | | | Shares | | | | |
| | |
Investments Sold Short — (0.1)% | | | | | | | | | |
| | | |
Common Stocks — (0.1)% | | | | | | | | | | | | |
| | | |
| United States — (0.1)% | | | | | | | | | |
Netflix, Inc.(c) | | | | | | | 293 | | | | (133,327 | ) |
| | | | | | | | |
| | | |
Total Common Stocks — (0.1)%
(Proceeds: $90,256) | | | | | | | | | | | (133,327 | ) |
| | | | | | | | |
| | |
Total Investments Sold Short — (0.1)%
(Proceeds: $90,256) | | | | | | | | (133,327 | ) |
| | | | | | | | |
| |
Total Investments Net of Options Written and Investments Sold Short — 104.1%
(Cost: $167,693,144) | | | | 182,346,128 | |
| |
Liabilities in Excess of Other Assets — (4.1)% | | | | (7,210,133 | ) |
| | | | | | | | |
| | | |
Net Assets — 100.0% | | | | | | | | | | $ | 175,135,995 | |
| | | | | | | | |
| (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) | Non-income producing security. |
| (d) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $2,213,282, representing 1.26% of its net assets as of period end, and an original cost of $1,831,913. |
| (e) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| (f) | All or a portion of this security is on loan. |
| (g) | A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately. |
| (h) | All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
| (i) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
| (j) | Issuer filed for bankruptcy and/or is in default. |
| (k) | Convertible security. |
| (m) | 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. |
| (n) | Variable rate security. Rate shown is the rate in effect as of period end. |
| (o) | Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
| (p) | All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly-owned subsidiary. |
| | |
CONSOLIDATED SCHEDULES OF INVESTMENTS | | 77 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio |
| (q) | 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. |
| (r) | Perpetual security with no stated maturity date. |
| (s) | Represents or includes a TBA transaction. |
| (t) | Rates are discount rates or a range of discount rates as of period end. |
| (u) | Annualized 7-day yield as of period end. |
| (v) | All or a portion of this security was purchased with the cash collateral from loaned securities. |
| * | Investments in issuers considered to be an affiliate/affiliates of the Fund during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Affiliated Issuer | |
| Shares
Held at 12/31/19 |
| |
| Shares
Purchased |
| |
| Shares
Sold |
| |
| Shares
Held at 06/30/20 |
| |
| Value at
06/30/20 |
| |
| Income
(Expense) |
| |
| Net
Realized Gain (Loss) |
(a) | |
| Change in
Unrealized
Appreciation
(Depreciation) |
|
BlackRock Liquidity Funds, T-Fund, Institutional Class(b) | | | 557,532 | | | | 134,725 | | | | — | | | | 692,257 | | | $ | 692,257 | | | $ | 2,489 | | | $ | — | | | $ | — | |
SL Liquidity Series, LLC, Money Market Series(b) | | | 2,543,737 | | | | 2,148,982 | | | | — | | | | 4,692,719 | | | | 4,696,473 | | | | 19,102 | (c) | | | 877 | | | | (356 | ) |
iShares China Large-Cap ETF | | | 4,323 | | | | 8,948 | | | | (9,063 | ) | | | 4,208 | | | | 167,058 | | | | 1,402 | | | | (13,882 | ) | | | (19,826 | ) |
iShares iBoxx $ High Yield Corporate Bond ETF | | | — | | | | 32,107 | | | | (17,436 | ) | | | 14,671 | | | | 1,197,447 | | | | 9,829 | | | | 140,208 | | | | 22,733 | |
iShares iBoxx $ Investment Grade Corporate Bond ETF | | | — | | | | 9,311 | | | | (8,018 | ) | | | 1,293 | | | | 173,909 | | | | 1,917 | | | | 15,280 | | | | 4,416 | |
iShares MSCI Emerging Markets ETF | | | 10,388 | | | | — | | | | (9,747 | ) | | | 641 | | | | 25,634 | | | | 148 | | | | (60,593 | ) | | | (5,409 | ) |
iShares Nasdaq Biotechnology ETF | | | — | | | | 229 | | | | — | | | | 229 | | | | 31,302 | | | | 29 | | | | — | | | | 5,288 | |
iShares Russell 2000 ETF | | | 1,800 | | | | 3,715 | | | | (3,504 | ) | | | 2,011 | | | | 287,933 | | | | 2,281 | | | | (143,257 | ) | | | (27,564 | ) |
iShares S&P 500 Value ETF | | | 1,778 | | | | — | | | | (17 | ) | | | 1,761 | | | | 190,558 | | | | 2,554 | | | | 146 | | | | (38,655 | ) |
iShares iBoxx $ Investment Grade Corporate Bond ETF(d) | | | — | | | | (10,907 | ) | | | 10,907 | | | | — | | | | — | | | | (3,311 | ) | | | 147,384 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 7,462,571 | | | $ | 36,440 | | | $ | 86,163 | | | $ | (59,373 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Includes net capital gain distributions, if applicable. |
| (b) | Represents net shares purchased (sold). |
| (c) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
| (d) | As of period end, the entity is no longer held by the Fund. |
| | |
| 78 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio |
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-BTP | | | 8 | | | | 09/08/20 | | | $ | 1,293 | | | $ | 22,213 | |
Euro-Oat | | | 9 | | | | 09/08/20 | | | | 1,695 | | | | 24,472 | |
Australia 10 Year Bond | | | 6 | | | | 09/15/20 | | | | 616 | | | | (715 | ) |
DAX Index | | | 2 | | | | 09/18/20 | | | | 692 | | | | 2,212 | |
EURO STOXX 50 Index | | | 32 | | | | 09/18/20 | | | | 1,159 | | | | 15,995 | |
FTSE/MIB Index | | | 1 | | | | 09/18/20 | | | | 108 | | | | (845 | ) |
MSCI Emerging Markets Index | | | 5 | | | | 09/18/20 | | | | 246 | | | | 6,061 | |
U.S. Treasury 10 Year Note | | | 61 | | | | 09/21/20 | | | | 8,489 | | | | 44,739 | |
U.S. Treasury 10 Year Ultra Note | | | 41 | | | | 09/21/20 | | | | 6,457 | | | | 38,594 | |
U.S. Treasury Ultra Bond | | | 7 | | | | 09/21/20 | | | | 1,527 | | | | 4,444 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 157,170 | |
| | | | | | | | | | | | | | | | |
Short Contracts | | | | | | | | | | | | | | | | |
Euro-Bund | | | 1 | | | | 09/08/20 | | | | 198 | | | | (2,693 | ) |
NASDAQ 100 E-Mini Index | | | 5 | | | | 09/18/20 | | | | 1,015 | | | | (36,486 | ) |
S&P 500 E-Mini Index | | | 34 | | | | 09/18/20 | | | | 5,253 | | | | (71,993 | ) |
U.S. Treasury Long Bond | | | 2 | | | | 09/21/20 | | | | 357 | | | | (507 | ) |
U.S. Treasury 2 Year Note | | | 73 | | | | 09/30/20 | | | | 16,120 | | | | (795 | ) |
U.S. Treasury 5 Year Note | | | 91 | | | | 09/30/20 | | | | 11,443 | | | | (36,180 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (148,654 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 8,516 | |
| | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | |
Currency Purchased | | | Currency Sold | | | Counterparty | | Settlement Date | | | Unrealized Appreciation (Depreciation) | |
| AUD | | | 13,882 | | | USD | | | 9,569 | | | Citibank NA | | | 07/02/20 | | | $ | 12 | |
| AUD | | | 711,000 | | | USD | | | 490,220 | | | Morgan Stanley & Co. International plc | | | 07/02/20 | | | | 441 | |
| CAD | | | 605,000 | | | USD | | | 439,383 | | | Citibank NA | | | 07/02/20 | | | | 6,256 | |
| EUR | | | 351,199 | | | GBP | | | 308,638 | | | JPMorgan Chase Bank NA | | | 07/02/20 | | | | 12,139 | |
| GBP | | | 319,823 | | | EUR | | | 351,199 | | | BNP Paribas SA | | | 07/02/20 | | | | 1,720 | |
| GBP | | | 494,000 | | | USD | | | 611,100 | | | JPMorgan Chase Bank NA | | | 07/09/20 | | | | 1,041 | |
| USD | | | 66,416 | | | JPY | | | 7,142,359 | | | HSBC Bank plc | | | 07/09/20 | | | | 264 | |
| GBP | | | 387,000 | | | USD | | | 476,056 | | | Morgan Stanley & Co. International plc | | | 07/23/20 | | | | 3,545 | |
| RUB | | | 34,162,000 | | | USD | | | 448,747 | | | Bank of America NA | | | 07/24/20 | | | | 29,810 | |
| EUR | | | 46,000 | | | JPY | | | 5,338,415 | | | Citibank NA | | | 07/31/20 | | | | 2,255 | |
| EUR | | | 147,082 | | | USD | | | 160,534 | | | JPMorgan Chase Bank NA | | | 08/06/20 | | | | 4,846 | |
| MXN | | | 10,061,000 | | | USD | | | 415,375 | | | Citibank NA | | | 08/06/20 | | | | 20,197 | |
| EUR | | | 259,000 | | | USD | | | 280,235 | | | Morgan Stanley & Co. International plc | | | 08/07/20 | | | | 10,992 | |
| CHF | | | 394,000 | | | USD | | | 408,300 | | | Citibank NA | | | 08/13/20 | | | | 8,090 | |
| EUR | | | 165,202 | | | USD | | | 178,658 | | | JPMorgan Chase Bank NA | | | 08/13/20 | | | | 7,124 | |
| KRW | | | 646,892,000 | | | USD | | | 531,293 | | | Citibank NA | | | 08/14/20 | | | | 8,072 | |
| MXN | | | 3,357,000 | | �� | USD | | | 138,419 | | | Barclays Bank plc | | | 08/14/20 | | | | 6,765 | |
| RUB | | | 11,477,000 | | | USD | | | 154,833 | | | Citibank NA | | | 08/14/20 | | | | 5,551 | |
| EUR | | | 660,284 | | | USD | | | 724,657 | | | Deutsche Bank AG | | | 08/20/20 | | | | 17,996 | |
| EUR | | | 223,425 | | | USD | | | 248,808 | | | Goldman Sachs International | | | 08/20/20 | | | | 2,489 | |
| MXN | | | 8,050,000 | | | USD | | | 337,272 | | | Citibank NA | | | 08/20/20 | | | | 10,605 | |
| NOK | | | 3,399,000 | | | USD | | | 342,048 | | | Morgan Stanley & Co. International plc | | | 08/20/20 | | | | 11,152 | |
| USD | | | 722,416 | | | JPY | | | 77,712,344 | | | Citibank NA | | | 08/20/20 | | | | 2,235 | |
| USD | | | 548,277 | | | JPY | | | 59,004,909 | | | JPMorgan Chase Bank NA | | | 08/20/20 | | | | 1,462 | |
| MYR | | | 342,180 | | | USD | | | 78,662 | | | Barclays Bank plc | | | 08/21/20 | | | | 1,033 | |
| MYR | | | 1,853,820 | | | USD | | | 425,699 | | | Morgan Stanley & Co. International plc | | | 08/21/20 | | | | 6,063 | |
| EUR | | | 740,470 | | | USD | | | 816,647 | | | Citibank NA | | | 08/27/20 | | | | 16,324 | |
| EUR | | | 157,000 | | | USD | | | 173,254 | | | UBS AG | | | 08/27/20 | | | | 3,359 | |
| EUR | | | 221,446 | | | USD | | | 247,677 | | | JPMorgan Chase Bank NA | | | 09/03/20 | | | | 1,471 | |
| JPY | | | 44,810,203 | | | USD | | | 413,191 | | | JPMorgan Chase Bank NA | | | 09/03/20 | | | | 2,155 | |
| | |
CONSOLIDATED SCHEDULES OF INVESTMENTS | | 79 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio |
Forward Foreign Currency Exchange Contracts (continued)
| | | | | | | | | | | | | | | | | | | | |
Currency Purchased | | | Currency Sold | | | Counterparty | | Settlement Date | | | Unrealized Appreciation (Depreciation) | |
| USD | | | 416,702 | | | JPY | | | 44,497,333 | | | JPMorgan Chase Bank NA | | | 09/24/20 | | | $ | 4,108 | |
| CAD | | | 324,000 | | | USD | | | 237,964 | | | JPMorgan Chase Bank NA | | | 10/01/20 | | | | 735 | |
| GBP | | | 756,000 | | | USD | | | 935,458 | | | JPMorgan Chase Bank NA | | | 10/01/20 | | | | 1,807 | |
| USD | | | 434,768 | | | ZAR | | | 7,595,000 | | | JPMorgan Chase Bank NA | | | 10/01/20 | | | | 1,184 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 213,298 | |
| | | | | | | | | | | | | | | | | | | | |
| GBP | | | 765,000 | | | USD | | | 966,716 | | | Barclays Bank plc | | | 07/02/20 | | | | (18,805 | ) |
| USD | | | 232,802 | | | AUD | | | 383,416 | | | JPMorgan Chase Bank NA | | | 07/02/20 | | | | (31,793 | ) |
| USD | | | 205,902 | | | AUD | | | 341,467 | | | Morgan Stanley & Co. International plc | | | 07/02/20 | | | | (29,744 | ) |
| USD | | | 433,815 | | | CAD | | | 596,000 | | | JPMorgan Chase Bank NA | | �� | 07/02/20 | | | | (5,194 | ) |
| USD | | | 6,610 | | | CAD | | | 9,000 | | | Morgan Stanley & Co. International plc | | | 07/02/20 | | | | (19 | ) |
| USD | | | 11,129 | | | GBP | | | 9,000 | | | Barclays Bank plc | | | 07/02/20 | | | | (23 | ) |
| USD | | | 934,968 | | | GBP | | | 756,000 | | | JPMorgan Chase Bank NA | | | 07/02/20 | | | | (1,792 | ) |
| JPY | | | 160,967,750 | | | USD | | | 1,496,819 | | | JPMorgan Chase Bank NA | | | 07/09/20 | | | | (5,924 | ) |
| GBP | | | 767,000 | | | USD | | | 958,094 | | | BNP Paribas SA | | | 07/23/20 | | | | (7,568 | ) |
| USD | | | 248,626 | | | AUD | | | 389,000 | | | UBS AG | | | 07/24/20 | | | | (19,860 | ) |
| JPY | | | 95,679,857 | | | EUR | | | 823,914 | | | Goldman Sachs International | | | 07/31/20 | | | | (39,818 | ) |
| USD | | | 914,316 | | | HKD | | | 7,096,651 | | | Barclays Bank plc | | | 08/06/20 | | | | (1,161 | ) |
| USD | | | 577,547 | | | CNY | | | 4,118,000 | | | Deutsche Bank AG | | | 08/07/20 | | | | (3,708 | ) |
| USD | | | 329,709 | | | CNY | | | 2,353,000 | | | UBS AG | | | 08/07/20 | | | | (2,416 | ) |
| USD | | | 917,526 | | | HKD | | | 7,119,174 | | | HSBC Bank plc | | | 08/13/20 | | | | (815 | ) |
| JPY | | | 1,052,677 | | | USD | | | 9,822 | | | Bank of America NA | | | 08/20/20 | | | | (67 | ) |
| JPY | | | 40,063,323 | | | USD | | | 373,832 | | | Barclays Bank plc | | | 08/20/20 | | | | (2,555 | ) |
| JPY | | | 40,770,000 | | | USD | | | 378,908 | | | UBS AG | | | 08/20/20 | | | | (1,082 | ) |
| USD | | | 212,816 | | | NOK | | | 2,052,996 | | | HSBC Bank plc | | | 08/20/20 | | | | (518 | ) |
| USD | | | 139,659 | | | NOK | | | 1,346,004 | | | JPMorgan Chase Bank NA | | | 08/20/20 | | | | (209 | ) |
| AUD | | | 240,708 | | | JPY | | | 18,082,955 | | | HSBC Bank plc | | | 09/03/20 | | | | (1,457 | ) |
| EUR | | | 148,336 | | | USD | | | 167,086 | | | HSBC Bank plc | | | 09/03/20 | | | | (194 | ) |
| USD | | | 372,384 | | | INR | | | 28,398,000 | | | Bank of America NA | | | 09/03/20 | | | | (977 | ) |
| USD | | | 165,800 | | | JPY | | | 18,027,908 | | | HSBC Bank plc | | | 09/03/20 | | | | (1,301 | ) |
| EUR | | | 223,928 | | | USD | | | 253,690 | | | JPMorgan Chase Bank NA | | | 09/04/20 | | | | (1,743 | ) |
| USD | | | 250,389 | | | JPY | | | 27,410,174 | | | Deutsche Bank AG | | | 09/04/20 | | | | (3,680 | ) |
| AUD | | | 483,136 | | | JPY | | | 36,870,760 | | | JPMorgan Chase Bank NA | | | 09/10/20 | | | | (8,299 | ) |
| AUD | | | 724,228 | | | JPY | | | 54,208,813 | | | Morgan Stanley & Co. International plc | | | 09/10/20 | | | | (2,604 | ) |
| EUR | | | 221,612 | | | USD | | | 250,777 | | | Morgan Stanley & Co. International plc | | | 09/10/20 | | | | (1,402 | ) |
| USD | | | 252,022 | | | JPY | | | 27,515,400 | | | Citibank NA | | | 09/10/20 | | | | (3,049 | ) |
| USD | | | 809,498 | | | CNY | | | 5,758,000 | | | HSBC Bank plc | | | 09/11/20 | | | | (1,648 | ) |
| USD | | | 178,586 | | | INR | | | 13,607,000 | | | BNP Paribas SA | | | 09/11/20 | | | | (146 | ) |
| GBP | | | 235,647 | | | EUR | | | 263,000 | | | HSBC Bank plc | | | 09/17/20 | | | | (3,871 | ) |
| GBP | | | 117,959 | | | EUR | | | 131,000 | | | Morgan Stanley & Co. International plc | | | 09/17/20 | | | | (1,205 | ) |
| JPY | | | 44,584,734 | | | AUD | | | 610,059 | | | Morgan Stanley & Co. International plc | | | 09/17/20 | | | | (7,757 | ) |
| JPY | | | 33,495,513 | | | EUR | | | 277,000 | | | Bank of America NA | | | 09/17/20 | | | | (1,207 | ) |
| NOK | | | 2,481,000 | | | USD | | | 260,597 | | | JPMorgan Chase Bank NA | | | 09/18/20 | | | | (2,762 | ) |
| USD | | | 52,348 | | | NOK | | | 504,944 | | | HSBC Bank plc | | | 09/18/20 | | | | (128 | ) |
| USD | | | 34,353 | | | NOK | | | 331,056 | | | JPMorgan Chase Bank NA | | | 09/18/20 | | | | (52 | ) |
| JPY | | | 222,580,401 | | | USD | | | 2,085,983 | | | JPMorgan Chase Bank NA | | | 09/24/20 | | | | (22,140 | ) |
| USD | | | 801,474 | | | CNY | | | 5,700,000 | | | UBS AG | | | 09/24/20 | | | | (879 | ) |
| USD | | | 349,590 | | | INR | | | 26,974,000 | | | BNP Paribas SA | | | 09/24/20 | | | | (4,187 | ) |
| EUR | | | 347,000 | | | USD | | | 391,830 | | | Citibank NA | | | 09/25/20 | | | | (1,225 | ) |
| JPY | | | 56,835,596 | | | EUR | | | 472,000 | | | JPMorgan Chase Bank NA | | | 09/25/20 | | | | (4,304 | ) |
| USD | | | 490,352 | | | AUD | | | 711,000 | | | Morgan Stanley & Co. International plc | | | 10/01/20 | | | | (444 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (249,732 | ) |
| | | | | | | | | | | | | | | | | | | | |
OTC Barrier Options Purchased
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Type of Option | | Counterparty | | Number of
Contracts | | | Expiration Date | | | Exercise Price | | | Barrier
Price/Range | | | Notional Amount (000) | | | Value | |
Call | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Bank of America | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
EUR Currency | | Up and In | | NA | | | — | | | | 08/25/20 | | | | CHF | | | | 1.17 | | | | CHF | | | | 1.17 | | | | EUR | | | | 10 | | | $ | 75 | |
| | |
| 80 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio |
OTC Barrier Options Purchased (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Type of Option | | Counterparty | | Number of
Contracts | | | Expiration Date | | | Exercise Price | | | Barrier
Price/Range | | | Notional Amount (000) | | | Value | |
| | | | Bank of America | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
EUR Currency | | Up and In | | NA | | | — | | | | 08/25/20 | | | | CHF | | | | 1.17 | | | | CHF | | | | 1.17 | | | | EUR | | | | 14 | | | $ | 105 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 180 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Bank of America | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
USD Currency | | Down and In | | NA | | | — | | | | 07/29/20 | | | | JPY | | | | 105.61 | | | | JPY | | | | 1.07 | | | | USD | | | | 25 | | | $ | 8 | |
| | | | Bank of America | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
USD Currency | | Down and In | | NA | | | — | | | | 07/29/20 | | | | JPY | | | | 104.95 | | | | JPY | | | | 1.07 | | | | USD | | | | 26 | | | | 3 | |
| | | | Goldman Sachs | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
EUR Currency | | One-Touch | | International | | | — | | | | 08/13/20 | | | | USD | | | | 1.05 | | | | USD | | | | 1.05 | | | | EUR | | | | 20 | | | | 162 | |
S&P 500 Index | | Down and out | | Citibank NA | | | 124 | | | | 08/21/20 | | | | USD | | | | 2,810.77 | | | | USD | | | | 2,318.16 | | | | USD | | | | 385 | | | | 1,787 | |
S&P 500 Index | | Down and out | | Citibank NA | | | 374 | | | | 08/21/20 | | | | USD | | | | 2,810.53 | | | | USD | | | | 2,317.96 | | | | USD | | | | 1,160 | | | | 5,387 | |
EUR Currency | | One-Touch | | UBS AG | | | — | | | | 09/10/20 | | | | NOK | | | | 10.00 | | | | NOK | | | | 10.00 | | | | EUR | | | | 7 | | | | 345 | |
| | | | JPMorgan Chase | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | Down and out | | Bank NA | | | 127 | | | | 12/18/20 | | | | USD | | | | 2,900.00 | | | | USD | | | | 2,200.00 | | | | USD | | | | 394 | | | | 4,636 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 12,328 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 12,508 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Exchange-Traded Options Purchased
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration Date | | | | | Exercise Price | | | | | Notional Amount (000) | | | Value | |
| Call | | | | | | | | | | | | | | | | | | | |
Alibaba Group Holding Ltd. | | | 4 | | | | 07/17/20 | | | USD | | | 205.00 | | | USD | | | 86 | | | $ | 5,180 | |
Amazon.com, Inc. | | | 1 | | | | 07/17/20 | | | USD | | | 2,300.00 | | | USD | | | 276 | | | | 46,183 | |
Autodesk, Inc. | | | 5 | | | | 07/17/20 | | | USD | | | 155.00 | | | USD | | | 120 | | | | 42,100 | |
Financial Select Sector SPDR Fund | | | 107 | | | | 07/17/20 | | | USD | | | 25.00 | | | USD | | | 248 | | | | 1,552 | |
Home Depot, Inc. (The) | | | 15 | | | | 07/17/20 | | | USD | | | 240.00 | | | USD | | | 376 | | | | 19,425 | |
Invesco QQQ Trust, Series 1 | | | 15 | | | | 07/17/20 | | | USD | | | 228.00 | | | USD | | | 371 | | | | 30,645 | |
iShares iBoxx $ High Yield Corporate Bond ETF | | | 87 | | | | 07/17/20 | | | USD | | | 82.00 | | | USD | | | 710 | | | | 5,916 | |
SPDR S&P 500 ETF Trust | | | 15 | | | | 07/17/20 | | | USD | | | 300.00 | | | USD | | | 463 | | | | 18,758 | |
SPDR S&P 500 ETF Trust | | | 16 | | | | 07/17/20 | | | USD | | | 310.00 | | | USD | | | 493 | | | | 9,080 | |
SPDR S&P 500 ETF Trust | | | 26 | | | | 07/17/20 | | | USD | | | 285.00 | | | USD | | | 802 | | | | 65,156 | |
Boston Scientific Corp. | | | 25 | | | | 08/21/20 | | | USD | | | 35.00 | | | USD | | | 88 | | | | 5,250 | |
Global Payments, Inc. | | | 9 | | | | 08/21/20 | | | USD | | | 195.00 | | | USD | | | 153 | | | | 1,485 | |
Home Depot, Inc. (The) | | | 7 | | | | 08/21/20 | | | USD | | | 200.00 | | | USD | | | 175 | | | | 36,383 | |
Invesco QQQ Trust, Series 1 | | | 11 | | | | 08/21/20 | | | USD | | | 255.00 | | | USD | | | 272 | | | | 6,661 | |
Invesco QQQ Trust, Series 1 | | | 17 | | | | 08/21/20 | | | USD | | | 260.00 | | | USD | | | 421 | | | | 6,851 | |
iShares Russell 2000 ETF | | | 26 | | | | 08/21/20 | | | USD | | | 145.00 | | | USD | | | 372 | | | | 16,588 | |
L3Harris Technologies, Inc. | | | 4 | | | | 08/21/20 | | | USD | | | 200.00 | | | USD | | | 68 | | | | 470 | |
Mastercard, Inc. | | | 6 | | | | 08/21/20 | | | USD | | | 305.00 | | | USD | | | 177 | | | | 5,805 | |
PPG Industries, Inc. | | | 18 | | | | 08/21/20 | | | USD | | | 95.00 | | | USD | | | 191 | | | | 24,930 | |
SPDR S&P 500 ETF Trust | | | 6 | | | | 08/21/20 | | | USD | | | 325.00 | | | USD | | | 185 | | | | 2,214 | |
SPDR S&P 500 ETF Trust | | | 38 | | | | 08/21/20 | | | USD | | | 320.00 | | | USD | | | 1,172 | | | | 21,166 | |
SPDR S&P 500 ETF Trust | | | 38 | | | | 08/21/20 | | | USD | | | 315.00 | | | USD | | | 1,172 | | | | 30,324 | |
SPDR S&P 500 ETF Trust | | | 51 | | | | 08/21/20 | | | USD | | | 335.00 | | | USD | | | 1,573 | | | | 7,650 | |
VanEck Vectors Semiconductor ETF | | | 8 | | | | 08/21/20 | | | USD | | | 160.00 | | | USD | | | 122 | | | | 3,740 | |
Capital One Financial Corp | | | 23 | | | | 09/18/20 | | | USD | | | 72.50 | | | USD | | | 144 | | | | 6,291 | |
EURO STOXX Bank Index | | | 53 | | | | 09/18/20 | | | EUR | | | 70.00 | | | EUR | | | 166 | | | | 7,741 | |
Financial Select Sector SPDR Fund | | | 68 | | | | 09/18/20 | | | USD | | | 25.00 | | | USD | | | 157 | | | | 4,862 | |
Invesco QQQ Trust, Series 1 | | | 14 | | | | 09/18/20 | | | USD | | | 253.00 | | | USD | | | 347 | | | | 13,300 | |
iShares Russell 2000 ETF | | | 43 | | | | 09/18/20 | | | USD | | | 160.00 | | | USD | | | 616 | | | | 8,428 | |
NXP Semiconductors NV | | | 9 | | | | 09/18/20 | | | USD | | | 110.00 | | | USD | | | 103 | | | | 11,678 | |
Raytheon Co. | | | 14 | | | | 09/18/20 | | | USD | | | 75.00 | | | USD | | | 86 | | | | 1,610 | |
SPDR Gold Shares(a) | | | 37 | | | | 09/18/20 | | | USD | | | 180.00 | | | USD | | | 619 | | | | 8,362 | |
SPDR S&P 500 ETF Trust | | | 10 | | | | 09/18/20 | | | USD | | | 290.00 | | | USD | | | 308 | | | | 27,685 | |
SPDR S&P 500 ETF Trust | | | 12 | | | | 09/18/20 | | | USD | | | 300.00 | | | USD | | | 370 | | | | 24,396 | |
SPDR S&P 500 ETF Trust | | | 23 | | | | 09/18/20 | | | USD | | | 325.00 | | | USD | | | 709 | | | | 13,685 | |
SPDR S&P 500 ETF Trust | | | 42 | | | | 09/18/20 | | | USD | | | 330.00 | | | USD | | | 1,295 | | | | 17,661 | |
Walt Disney Co. (The) | | | 10 | | | | 09/18/20 | | | USD | | | 110.00 | | | USD | | | 112 | | | | 8,700 | |
SPDR S&P 500 ETF Trust | | | 8 | | | | 09/30/20 | | | USD | | | 294.00 | | | USD | | | 247 | | | | 20,352 | |
| | |
CONSOLIDATED SCHEDULES OF INVESTMENTS | | 81 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio |
Exchange-Traded Options Purchased (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration Date | | | | | Exercise Price | | | | | Notional Amount (000) | | | Value | |
Apple, Inc. | | | 6 | | | | 10/16/20 | | | USD | | | 300.00 | | | USD | | | 219 | | | $ | 43,155 | |
Costco Wholesale Corp. | | | 3 | | | | 10/16/20 | | | USD | | | 315.00 | | | USD | | | 91 | | | | 2,738 | |
Starbucks Corp. | | | 11 | | | | 10/16/20 | | | USD | | | 77.50 | | | USD | | | 81 | | | | 4,125 | |
VMware, Inc. | | | 15 | | | | 10/16/20 | | | USD | | | 160.00 | | | USD | | | 232 | | | | 15,825 | |
Wells Fargo & Co. | | | 23 | | | | 10/16/20 | | | USD | | | 35.00 | | | USD | | | 59 | | | | 1,035 | |
SPDR S&P 500 ETF Trust | | | 28 | | | | 11/20/20 | | | USD | | | 350.00 | | | USD | | | 863 | | | | 7,434 | |
Bank of America Corp. | | | 45 | | | | 12/18/20 | | | USD | | | 27.00 | | | USD | | | 107 | | | | 6,570 | |
JPMorgan Chase & Co. | | | 10 | | | | 12/18/20 | | | USD | | | 110.00 | | | USD | | | 94 | | | | 3,850 | |
Microsoft Corp. | | | 10 | | | | 12/18/20 | | | USD | | | 165.00 | | | USD | | | 204 | | | | 43,125 | |
SPDR S&P 500 ETF Trust | | | 34 | | | | 12/18/20 | | | USD | | | 290.00 | | | USD | | | 1,048 | | | | 115,073 | |
SPDR S&P 500 ETF Trust | | | 53 | | | | 12/18/20 | | | USD | | | 300.00 | | | USD | | | 1,634 | | | | 142,570 | |
SPDR S&P 500 ETF Trust | | | 14 | | | | 12/31/20 | | | USD | | | 350.00 | | | USD | | | 432 | | | | 5,061 | |
VanEck Vectors Semiconductor ETF | | | 17 | | | | 01/15/21 | | | USD | | | 145.00 | | | USD | | | 260 | | | | 34,085 | |
Alibaba Group Holding Ltd. | | | 16 | | | | 02/19/21 | | | USD | | | 210.00 | | | USD | | | 345 | | | | 41,440 | |
SPDR S&P 500 ETF Trust | | | 20 | | | | 12/17/21 | | | USD | | | 305.00 | | | USD | | | 617 | | | | 69,230 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | 1,123,579 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Put | | | | | | | | | | | | �� | | | | | | | |
SPDR S&P 500 ETF Trust | | | 8 | | | | 07/01/20 | | | USD | | | 295.00 | | | USD | | | 247 | | | | 52 | |
SPDR S&P 500 ETF Trust | | | 8 | | | | 07/02/20 | | | USD | | | 295.00 | | | USD | | | 247 | | | | 204 | |
American Airlines Group, Inc. | | | 38 | | | | 07/17/20 | | | USD | | | 13.00 | | | USD | | | 50 | | | | 4,199 | |
SPDR S&P 500 ETF Trust | | | 35 | | | | 07/17/20 | | | USD | | | 305.00 | | | USD | | | 1,079 | | | | 18,935 | |
SPDR S&P 500 ETF Trust | | | 22 | | | | 08/21/20 | | | USD | | | 290.00 | | | USD | | | 678 | | | | 14,355 | |
Stamps.com, Inc. | | | 1 | | | | 08/21/20 | | | USD | | | 170.00 | | | USD | | | 18 | | | | 1,820 | |
Wayfair, Inc. | | | 1 | | | | 08/21/20 | | | USD | | | 160.00 | | | USD | | | 20 | | | | 940 | |
Anthem, Inc. | | | 6 | | | | 09/18/20 | | | USD | | | 260.00 | | | USD | | | 158 | | | | 11,610 | |
Etsy, Inc. | | | 5 | | | | 09/18/20 | | | USD | | | 70.00 | | | USD | | | 53 | | | | 988 | |
SPDR S&P Retail ETF | | | 13 | | | | 09/18/20 | | | USD | | | 42.00 | | | USD | | | 56 | | | | 3,543 | |
UnitedHealth Group, Inc. | | | 6 | | | | 09/18/20 | | | USD | | | 280.00 | | | USD | | | 177 | | | | 8,520 | |
Chewy, Inc. | | | 5 | | | | 10/16/20 | | | USD | | | 45.00 | | | USD | | | 22 | | | | 3,075 | |
BJ’s Wholesale Club Holdings, Inc. | | | 14 | | | | 11/20/20 | | | USD | | | 30.00 | | | USD | | | 52 | | | | 2,205 | |
Anthem, Inc. | | | 7 | | | | 12/18/20 | | | USD | | | 250.00 | | | USD | | | 184 | | | | 17,360 | |
UnitedHealth Group, Inc. | | | 6 | | | | 12/18/20 | | | USD | | | 280.00 | | | USD | | | 177 | | | | 14,145 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | 101,951 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 1,225,530 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly-owned subsidiary. |
OTC Options Purchased
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Number of Contracts | | | Expiration Date | | | | | | Exercise Price | | | | | | Notional
Amount (000) | | | Value | |
Call | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
EUR Currency | | BNP Paribas SA | | | — | | | | 07/16/20 | | | | USD | | | | 1.14 | | | | EUR | | | | 1,194 | | | $ | 3,130 | |
SPDR Gold Shares(a) | | Societe Generale SA | | | 8,673 | | | | 07/17/20 | | | | USD | | | | 168.00 | | | | USD | | | | 1,452 | | | | 18,300 | |
SPDR Gold Shares(a) | | JPMorgan Chase Bank NA | | | 3,470 | | | | 07/31/20 | | | | USD | | | | 166.00 | | | | USD | | | | 581 | | | | 13,578 | |
Agilent Technologies, Inc. | | Citibank NA | | | 2,575 | | | | 08/21/20 | | | | USD | | | | 87.50 | | | | USD | | | | 228 | | | | 12,296 | |
SPDR Gold Shares(a) | | Societe Generale SA | | | 11,290 | | | | 08/21/20 | | | | USD | | | | 167.00 | | | | USD | | | | 1,890 | | | | 55,327 | |
SPDR Gold Shares(a) | | Societe Generale SA | | | 6,974 | | | | 08/31/20 | | | | USD | | | | 165.00 | | | | USD | | | | 1,167 | | | | 44,031 | |
EUR Currency | | JPMorgan Chase Bank NA | | | — | | | | 09/17/20 | | | | USD | | | | 1.14 | | | | EUR | | | | 796 | | | | 8,614 | |
Apple, Inc. | | Morgan Stanley & Co. International plc | | | 1,041 | | | | 09/18/20 | | | | USD | | | | 320.00 | | | | USD | | | | 380 | | | | 54,042 | |
LVMH Moet Hennessy Louis Vuitton SE | | Barclays Bank plc | | | 361 | | | | 09/18/20 | | | | EUR | | | | 390.00 | | | | EUR | | | | 141 | | | | 7,980 | |
SPDR Gold Shares(a) | | Goldman Sachs International | | | 1,388 | | | | 09/18/20 | | | | USD | | | | 167.00 | | | | USD | | | | 232 | | | | 8,397 | |
SPDR Gold Shares(a) | | Morgan Stanley & Co. International plc | | | 7,819 | | | | 09/18/20 | | | | USD | | | | 170.00 | | | | USD | | | | 1,309 | | | | 37,727 | |
Union Pacific Corp. | | Goldman Sachs International | | | 1,284 | | | | 09/18/20 | | | | USD | | | | 182.50 | | | | USD | | | | 217 | | | | 5,083 | |
EUR Currency | | Bank of America NA | | | — | | | | 09/25/20 | | | | USD | | | | 1.14 | | | | EUR | | | | 921 | | | | 10,748 | |
SPDR Gold Shares(a) | | Morgan Stanley & Co. International plc | | | 6,976 | | | | 09/30/20 | | | | USD | | | | 170.00 | | | | USD | | | | 1,168 | | | | 36,973 | |
USD Currency | | Morgan Stanley & Co. International plc | | | — | | | | 11/19/20 | | | | NOK | | | | 10.70 | | | | USD | | | | 872 | | | | 7,143 | |
Capital One Financial Corp. | | Nomura International plc | | | 1,251 | | | | 11/20/20 | | | | USD | | | | 55.00 | | | | USD | | | | 78 | | | | 15,853 | |
SPDR Gold Shares(a) | | BNP Paribas SA | | | 9,371 | | | | 12/18/20 | | | | USD | | | | 185.00 | | | | USD | | | | 1,568 | | | | 38,187 | |
| | |
| 82 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio |
OTC Options Purchased (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Number of Contracts | | | Expiration Date | | | | | Exercise Price | | | | | Notional
Amount (000) | | | Value | |
SPDR S&P 500 ETF Trust | | Morgan Stanley & Co. International plc | | | 4,400 | | | | 06/18/21 | | | USD | | | 360.00 | | | USD | | | 1,357 | | | $ | 22,459 | |
EURO STOXX 50 Price Index | | Credit Suisse International | | | 108 | | | | 12/17/21 | | | EUR | | | 3,400.00 | | | EUR | | | 349 | | | | 24,304 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | 424,172 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Put | | | | | | | | | | | | | | | | | | | | | |
USD Currency | | Morgan Stanley & Co. International plc | | | — | | | | 07/09/20 | | | JPY | | | 103.00 | | | USD | | | 1,406 | | | | 43 | |
EUR Currency | | Bank of America NA | | | — | | | | 07/23/20 | | | USD | | | 1.12 | | | EUR | | | 259 | | | | 1,055 | |
EUR Currency | | Citibank NA | | | — | | | | 08/19/20 | | | USD | | | 1.07 | | | EUR | | | 823 | | | | 347 | |
EUR Currency | | HSBC Bank plc | | | — | | | | 08/19/20 | | | JPY | | | 116.50 | | | EUR | | | 494 | | | | 1,197 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | | Morgan Stanley & Co. International plc | | | 17,029 | | | | 08/19/20 | | | USD | | | 284.45 | | | USD | | | 5,330 | | | | 1,168 | |
USD Currency | | Morgan Stanley & Co. International plc | | | — | | | | 08/28/20 | | | CAD | | | 1.37 | | | USD | | | 870 | | | | 12,262 | |
NZD Currency | | JPMorgan Chase Bank NA | | | — | | | | 09/10/20 | | | JPY | | | 68.00 | | | NZD | | | 362 | | | | 2,973 | |
ASML Holding NV | | Credit Suisse International | | | 179 | | | | 09/18/20 | | | EUR | | | 265.00 | | | EUR | | | 59 | | | | 1,104 | |
Tencent Holdings Ltd. | | JPMorgan Chase Bank NA | | | 1,668 | | | | 29/09/2020 | | | HKD | | | 392.22 | | | HKD | | | 832 | | | | 630 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | 20,779 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | 444,951 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly-owned subsidiary. |
OTC Interest Rate Swaptions Purchased
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Paid by the Fund | | Received by the Fund | | | | | | | | | | | | | | |
| Description | | Rate | | | Frequency | | Rate | | | Frequency | | Counterparty | | Expiration
Date | | | Exercise Rate | | | Notional Amount (000) | | | Value | |
Call | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
10-Year Interest Rate Swap(a) | | | 3 month LIBOR | | | Quarterly | | | 1.08% | | | Semi-Annual | | Bank of America NA | | | 08/13/20 | | | | 1.08 | % | | | USD | | | | 1,025 | | | $ | 44,291 | |
| | | | | | | | | | | | | | Morgan Stanley & Co. | | | | | | | | | | | | | | | | | | | | |
30-Year Interest Rate Swap(a) | | | 3 month LIBOR | | | Quarterly | | | 0.93% | | | Semi-Annual | | International plc | | | 10/21/20 | | | | 0.93 | | | | USD | | | | 690 | | | | 34,597 | |
| | | | | | | | | | | | | | Goldman Sachs | | | | | | | | | | | | | | | | | | | | |
30-Year Interest Rate Swap(a) | | | 3 month LIBOR | | | Quarterly | | | 0.85% | | | Semi-Annual | | International | | | 12/18/20 | | | | 0.85 | | | | USD | | | | 943 | | | | 51,490 | |
| | | | | | | | | | | | | | JPMorgan Chase | | | | | | | | | | | | | | | | | | | | |
30-Year Interest Rate Swap(a) | | | 3 month LIBOR | | | Quarterly | | | 1.00% | | | Semi-Annual | | Bank NA | | | 06/04/21 | | | | 1.00 | | | | USD | | | | 798 | | | | 71,583 | |
30-Year Interest Rate Swap(a) | | | 3 month LIBOR | | | Quarterly | | | 1.00% | | | Semi-Annual | | BNP Paribas SA | | | 06/11/21 | | | | 1.00 | | | | USD | | | | 260 | | | | 23,490 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 225,451 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | JPMorgan Chase | | | | | | | | | | | | | | | | | | | | |
10-Year Interest Rate Swap(a) | | | 1.80% | | | Semi-Annual | | | 3 month LIBOR | | | Quarterly | | Bank NA | | | 08/11/20 | | | | 1.80 | | | | USD | | | | 1,899 | | | | 8 | |
10-Year Interest Rate Swap(a) | | | 2.08% | | | Semi-Annual | | | 3 month LIBOR | | | Quarterly | | Bank of America NA | | | 08/13/20 | | | | 2.08 | | | | USD | | | | 1,025 | | | | 1 | |
| | | | | | | | | | | | | | JPMorgan Chase | | | | | | | | | | | | | | | | | | | | |
10-Year Interest Rate Swap(a) | | | 0.75% | | | Semi-Annual | | | 3 month LIBOR | | | Quarterly | | Bank NA | | | 10/02/20 | | | | 0.75 | | | | USD | | | | 493 | | | | 4,604 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 4,613 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 230,064 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Forward settling swaption. |
Interest Rate Caps Purchased
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise Rate | | Counterparty | | Expiration Date | | | | | | Notional Amount (000) | | | Value | | | Premiums
Paid (Received) | | | Unrealized
Appreciation
(Depreciation) | |
| | | | Goldman Sachs | | | | | | | | | | | | | | | | | | | | | | | | |
2Y-10Y CMS Index Cap | | 0.50% | | International | | | 08/27/20 | | | | USD | | | | 14,948 | | | $ | 19,394 | | | $ | 38,117 | | | $ | (18,723 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
CONSOLIDATED SCHEDULES OF INVESTMENTS | | 83 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio |
OTC Barrier Options Written
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Type of Option | | Counterparty | | Number of
Contracts | | | Expiration Date | | | Exercise Price | | | Barrier
Price/Range | | | Notional Amount (000) | | | Value | |
Call | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
EUR Currency | | One-Touch | | UBS AG | | | — | | | | 09/10/20 | | | | NOK | | | | 10.50 | | | | EUR | | | | 10.50 | | | | EUR | | | | 1 | | | $ | (1,146 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
NZD Currency | | Down and In | | JPMorgan Chase Bank NA | | | — | | | | 09/10/20 | | | | JPY | | | | 65.00 | | | | JPY | | | | | | | | | | | | | | | | | |
| | | 63.50 | | | | NZD | | | | 453 | | | $ | (1,489 | ) |
EURO STOXX 50 Index | | Down and In | | Credit Suisse International | | | 108 | | | | 12/17/21 | | | | EUR | | | | 2,600.00 | | | | EUR | | | | 2,200.00 | | | | EUR | | | | 349 | | | | (20,671 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (22,160 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (23,306 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Exchange-Traded Options Written
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | | | Exercise
Price | | | | | Notional
Amount (000) | | | Value | |
| Call | | | | | | | | | | | | | | | | | | | |
Adobe, Inc. | | | 3 | | | | 07/17/20 | | | USD | | | 400.00 | | | USD | | | 131 | | | $ | (11,408 | ) |
Anthem, Inc. | | | 6 | | | | 07/17/20 | | | USD | | | 290.00 | | | USD | | | 158 | | | | (483 | ) |
Anthem, Inc. | | | 6 | | | | 07/17/20 | | | USD | | | 300.00 | | | USD | | | 158 | | | | (129 | ) |
Applied Materials, Inc. | | | 18 | | | | 07/17/20 | | | USD | | | 60.00 | | | USD | | | 109 | | | | (4,329 | ) |
Autodesk, Inc. | | | 5 | | | | 07/17/20 | | | USD | | | 195.00 | | | USD | | | 120 | | | | (21,650 | ) |
Autodesk, Inc. | | | 9 | | | | 07/17/20 | | | USD | | | 210.00 | | | USD | | | 215 | | | | (28,125 | ) |
Home Depot, Inc. (The) | | | 15 | | | | 07/17/20 | | | USD | | | 260.00 | | | USD | | | 376 | | | | (2,903 | ) |
Microsoft Corp. | | | 9 | | | | 07/17/20 | | | USD | | | 200.00 | | | USD | | | 183 | | | | (5,715 | ) |
NVIDIA Corp. | | | 3 | | | | 07/17/20 | | | USD | | | 360.00 | | | USD | | | 114 | | | | (7,575 | ) |
SPDR S&P 500 ETF Trust | | | 16 | | | | 07/17/20 | | | USD | | | 281.00 | | | USD | | | 493 | | | | (45,864 | ) |
TJX Cos., Inc. (The) | | | 16 | | | | 07/17/20 | | | USD | | | 57.50 | | | USD | | | 81 | | | | (200 | ) |
Abbott Laboratories | | | 10 | | | | 08/21/20 | | | USD | | | 100.00 | | | USD | | | 91 | | | | (1,215 | ) |
Agilent Technologies, Inc. | | | 10 | | | | 08/21/20 | | | USD | | | 97.50 | | | USD | | | 88 | | | | (1,125 | ) |
Alphabet, Inc. | | | 1 | | | | 08/21/20 | | | USD | | | 1,580.00 | | | USD | | | 141 | | | | (1,265 | ) |
Alphabet, Inc. | | | 1 | | | | 08/21/20 | | | USD | | | 1,540.00 | | | USD | | | 141 | | | | (2,065 | ) |
Amazon.com, Inc. | | | 1 | | | | 08/21/20 | | | USD | | | 2,820.00 | | | USD | | | 276 | | | | (12,370 | ) |
Apple, Inc. | | | 6 | | | | 08/21/20 | | | USD | | | 355.00 | | | USD | | | 219 | | | | (13,755 | ) |
Bank of America Corp. | | | 26 | | | | 08/21/20 | | | USD | | | 29.00 | | | USD | | | 62 | | | | (559 | ) |
Bank of America Corp. | | | 37 | | | | 08/21/20 | | | USD | | | 28.00 | | | USD | | | 88 | | | | (1,203 | ) |
Boston Scientific Corp. | | | 24 | | | | 08/21/20 | | | USD | | | 40.00 | | | USD | | | 84 | | | | (1,044 | ) |
Citigroup, Inc. | | | 17 | | | | 08/21/20 | | | USD | | | 60.00 | | | USD | | | 87 | | | | (1,454 | ) |
DR Horton, Inc. | | | 10 | | | | 08/21/20 | | | USD | | | 47.50 | | | USD | | | 55 | | | | (9,475 | ) |
eBay, Inc. | | | 7 | | | | 08/21/20 | | | USD | | | 50.00 | | | USD | | | 37 | | | | (3,045 | ) |
Facebook, Inc. | | | 9 | | | | 08/21/20 | | | USD | | | 255.00 | | | USD | | | 204 | | | | (3,713 | ) |
FleetCor Technologies, Inc. | | | 3 | | | | 08/21/20 | | | USD | | | 260.00 | | | USD | | | 75 | | | | (3,885 | ) |
FleetCor Technologies, Inc. | | | 7 | | | | 08/21/20 | | | USD | | | 250.00 | | | USD | | | 176 | | | | (12,530 | ) |
HCA Healthcare, Inc. | | | 8 | | | | 08/21/20 | | | USD | | | 115.00 | | | USD | | | 78 | | | | (1,600 | ) |
Home Depot, Inc. (The) | | | 3 | | | | 08/21/20 | | | USD | | | 220.00 | | | USD | | | 75 | | | | (10,208 | ) |
Home Depot, Inc. (The) | | | 7 | | | | 08/21/20 | | | USD | | | 240.00 | | | USD | | | 175 | | | | (12,950 | ) |
Humana, Inc. | | | 1 | | | | 08/21/20 | | | USD | | | 465.00 | | | USD | | | 39 | | | | (125 | ) |
Invesco QQQ Trust, Series 1 | | | 16 | | | | 08/21/20 | | | USD | | | 275.00 | | | USD | | | 396 | | | | (1,352 | ) |
Invesco QQQ Trust, Series 1 | | | 34 | | | | 08/21/20 | | | USD | | | 270.00 | | | USD | | | 842 | | | | (5,066 | ) |
iShares Russell 2000 ETF | | | 26 | | | | 08/21/20 | | | USD | | | 155.00 | | | USD | | | 372 | | | | (5,681 | ) |
JPMorgan Chase & Co. | | | 9 | | | | 08/21/20 | | | USD | | | 110.00 | | | USD | | | 85 | | | | (945 | ) |
Lennar Corp. | | | 8 | | | | 08/21/20 | | | USD | | | 50.00 | | | USD | | | 49 | | | | (10,240 | ) |
Lowe’s Cos., Inc. | | | 7 | | | | 08/21/20 | | | USD | | | 140.00 | | | USD | | | 95 | | | | (3,273 | ) |
Lowe’s Cos., Inc. | | | 15 | | | | 08/21/20 | | | USD | | | 145.00 | | | USD | | | 203 | | | | (4,298 | ) |
Marvell Technology Group Ltd. | | | 11 | | | | 08/21/20 | | | USD | | | 35.00 | | | USD | | | 39 | | | | (2,470 | ) |
Mastercard, Inc. | | | 6 | | | | 08/21/20 | | | USD | | | 325.00 | | | USD | | | 177 | | | | (1,995 | ) |
McDonald’s Corp. | | | 9 | | | | 08/21/20 | | | USD | | | 210.00 | | | USD | | | 166 | | | | (635 | ) |
Morgan Stanley | | | 18 | | | | 08/21/20 | | | USD | | | 55.00 | | | USD | | | 87 | | | | (1,332 | ) |
Northrop Grumman Corp. | | | 1 | | | | 08/21/20 | | | USD | | | 370.00 | | | USD | | | 31 | | | | (105 | ) |
PayPal Holdings, Inc. | | | 6 | | | | 08/21/20 | | | USD | | | 170.00 | | | USD | | | 105 | | | | (7,725 | ) |
ServiceNow, Inc. | | | 2 | | | | 08/21/20 | | | USD | | | 420.00 | | | USD | | | 81 | | | | (4,080 | ) |
Starbucks Corp. | | | 22 | | | | 08/21/20 | | | USD | | | 85.00 | | | USD | | | 162 | | | | (1,056 | ) |
VanEck Vectors Semiconductor ETF | | | 16 | | | | 08/21/20 | | | USD | | | 170.00 | | | USD | | | 244 | | | | (2,872 | ) |
| | |
| 84 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio |
Exchange-Traded Options Written (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | | | Exercise
Price | | | | | Notional
Amount (000) | | | Value | |
Walmart, Inc. | | | 10 | | | | 08/21/20 | | | USD | | | 140.00 | | | USD | | | 120 | | | $ | (245 | ) |
Walt Disney Co. (The) | | | 8 | | | | 08/21/20 | | | USD | | | 135.00 | | | USD | | | 89 | | | | (424 | ) |
AbbVie, Inc. | | | 10 | | | | 09/18/20 | | | USD | | | 100.00 | | | USD | | | 98 | | | | (4,275 | ) |
Air Products and Chemicals, Inc. | | | 4 | | | | 09/18/20 | | | USD | | | 270.00 | | | USD | | | 97 | | | | (1,540 | ) |
Anthem, Inc. | | | 5 | | | | 09/18/20 | | | USD | | | 300.00 | | | USD | | | 131 | | | | (2,650 | ) |
Anthem, Inc. | | | 5 | | | | 09/18/20 | | | USD | | | 310.00 | | | USD | | | 131 | | | | (1,590 | ) |
Apple, Inc. | | | 1 | | | | 09/18/20 | | | USD | | | 325.00 | | | USD | | | 36 | | | | (4,798 | ) |
Bristol-Myers Squibb Co. | | | 14 | | | | 09/18/20 | | | USD | | | 67.50 | | | USD | | | 82 | | | | (826 | ) |
Charter Communications, Inc. | | | 3 | | | | 09/18/20 | | | USD | | | 600.00 | | | USD | | | 153 | | | | (653 | ) |
Citigroup, Inc. | | | 7 | | | | 09/18/20 | | | USD | | | 60.00 | | | USD | | | 36 | | | | (924 | ) |
EURO STOXX Bank Index | | | 107 | | | | 09/18/20 | | | EUR | | | 80.00 | | | EUR | | | 336 | | | | (4,358 | ) |
Facebook, Inc. | | | 2 | | | | 09/18/20 | | | USD | | | 215.00 | | | USD | | | 45 | | | | (4,700 | ) |
Intel Corp. | | | 5 | | | | 09/18/20 | | | USD | | | 75.00 | | | USD | | | 30 | | | | (108 | ) |
Invesco QQQ Trust, Series 1 | | | 10 | | | | 09/18/20 | | | USD | | | 226.00 | | | USD | | | 248 | | | | (27,740 | ) |
Johnson & Johnson | | | 2 | | | | 09/18/20 | | | USD | | | 165.00 | | | USD | | | 28 | | | | (84 | ) |
McDonald’s Corp. | | | 9 | | | | 09/18/20 | | | USD | | | 210.00 | | | USD | | | 166 | | | | (1,139 | ) |
Merck & Co., Inc. | | | 11 | | | | 09/18/20 | | | USD | | | 85.00 | | | USD | | | 85 | | | | (1,233 | ) |
Microsoft Corp. | | | 2 | | | | 09/18/20 | | | USD | | | 190.00 | | | USD | | | 41 | | | | (3,880 | ) |
Morgan Stanley | | | 8 | | | | 09/18/20 | | | USD | | | 50.00 | | | USD | | | 39 | | | | (2,380 | ) |
NextEra Energy, Inc. | | | 7 | | | | 09/18/20 | | | USD | | | 280.00 | | | USD | | | 168 | | | | (840 | ) |
NXP Semiconductors NV | | | 9 | | | | 09/18/20 | | | USD | | | 140.00 | | | USD | | | 103 | | | | (2,133 | ) |
PayPal Holdings, Inc. | | | 2 | | | | 09/18/20 | | | USD | | | 180.00 | | | USD | | | 35 | | | | (2,005 | ) |
Pfizer, Inc. | | | 26 | | | | 09/18/20 | | | USD | | | 37.00 | | | USD | | | 85 | | | | (1,001 | ) |
Raytheon Co. | | | 14 | | | | 09/18/20 | | | USD | | | 90.00 | | | USD | | | 86 | | | | (357 | ) |
SPDR Gold Shares(a) | | | 74 | | | | 09/18/20 | | | USD | | | 200.00 | | | USD | | | 1,239 | | | | (3,959 | ) |
STMicroelectronics NV | | | 6 | | | | 09/18/20 | | | EUR | | | 29.00 | | | EUR | | | 15 | | | | (313 | ) |
Thermo Fisher Scientific, Inc. | | | 2 | | | | 09/18/20 | | | USD | | | 390.00 | | | USD | | | 72 | | | | (1,340 | ) |
Uber Technologies, Inc. | | | 9 | | | | 09/18/20 | | | USD | | | 46.00 | | | USD | | | 28 | | | | (293 | ) |
UnitedHealth Group, Inc. | | | 6 | | | | 09/18/20 | | | USD | | | 330.00 | | | USD | | | 177 | | | | (3,135 | ) |
UnitedHealth Group, Inc. | | | 9 | | | | 09/18/20 | | | USD | | | 320.00 | | | USD | | | 265 | | | | (7,088 | ) |
US Bancorp | | | 9 | | | | 09/18/20 | | | USD | | | 42.50 | | | USD | | | 33 | | | | (918 | ) |
Walt Disney Co. (The) | | | 10 | | | | 09/18/20 | | | USD | | | 125.00 | | | USD | | | 112 | | | | (2,765 | ) |
Xilinx, Inc. | | | 4 | | | | 09/18/20 | | | USD | | | 110.00 | | | USD | | | 39 | | | | (1,078 | ) |
SPDR S&P 500 ETF Trust | | | 8 | | | | 09/30/20 | | | USD | | | 253.00 | | | USD | | | 247 | | | | (47,340 | ) |
SPDR S&P 500 ETF Trust | | | 23 | | | | 09/30/20 | | | USD | | | 230.00 | | | USD | | | 709 | | | | (184,759 | ) |
Apple, Inc. | | | 11 | | | | 10/16/20 | | | USD | | | 330.00 | | | USD | | | 401 | | | | (52,415 | ) |
Comcast Corp. | | | 48 | | | | 10/16/20 | | | USD | | | 40.00 | | | USD | | | 187 | | | | (10,776 | ) |
Costco Wholesale Corp. | | | 3 | | | | 10/16/20 | | | USD | | | 345.00 | | | USD | | | 91 | | | | (668 | ) |
Marsh & McLennan Cos., Inc. | | | 8 | | | | 10/16/20 | | | USD | | | 120.00 | | | USD | | | 86 | | | | (1,060 | ) |
SPDR S&P 500 ETF Trust | | | 19 | | | | 10/16/20 | | | USD | | | 295.00 | | | USD | | | 586 | | | | (49,372 | ) |
Starbucks Corp. | | | 22 | | | | 10/16/20 | | | USD | | | 87.50 | | | USD | | | 162 | | | | (2,486 | ) |
VMware, Inc. | | | 15 | | | | 10/16/20 | | | USD | | | 180.00 | | | USD | | | 232 | | | | (6,825 | ) |
Anthem, Inc. | | | 7 | | | | 12/18/20 | | | USD | | | 290.00 | | | USD | | | 184 | | | | (11,830 | ) |
Microsoft Corp. | | | 10 | | | | 12/18/20 | | | USD | | | 190.00 | | | USD | | | 204 | | | | (25,600 | ) |
UnitedHealth Group, Inc. | | | 6 | | | | 12/18/20 | | | USD | | | 320.00 | | | USD | | | 177 | | | | (9,945 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | (768,940 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Put | | | | | | | | | | | | | | | | | | | |
Adobe, Inc. | | | 3 | | | | 07/17/20 | | | USD | | | 335.00 | | | USD | | | 131 | | | | (215 | ) |
American Airlines Group, Inc. | | | 38 | | | | 07/17/20 | | | USD | | | 9.00 | | | USD | | | 50 | | | | (399 | ) |
Autodesk, Inc. | | | 10 | | | | 07/17/20 | | | USD | | | 140.00 | | | USD | | | 239 | | | | (115 | ) |
Comcast Corp. | | | 44 | | | | 07/17/20 | | | USD | | | 32.50 | | | USD | | | 172 | | | | (418 | ) |
Financial Select Sector SPDR Fund | | | 107 | | | | 07/17/20 | | | USD | | | 19.00 | | | USD | | | 248 | | | | (428 | ) |
Financial Select Sector SPDR Fund | | | 216 | | | | 07/17/20 | | | USD | | | 23.00 | | | USD | | | 500 | | | | (15,120 | ) |
Home Depot, Inc. (The) | | | 15 | | | | 07/17/20 | | | USD | | | 185.00 | | | USD | | | 376 | | | | (233 | ) |
JPMorgan Chase & Co. | | | 18 | | | | 07/17/20 | | | USD | | | 85.00 | | | USD | | | 169 | | | | (1,719 | ) |
Morgan Stanley | | | 21 | | | | 07/17/20 | | | USD | | | 35.00 | | | USD | | | 101 | | | | (189 | ) |
SPDR S&P 500 ETF Trust | | | 16 | | | | 07/17/20 | | | USD | | | 281.00 | | | USD | | | 493 | | | | (2,000 | ) |
SPDR S&P 500 ETF Trust | | | 31 | | | | 07/17/20 | | | USD | | | 265.00 | | | USD | | | 956 | | | | (1,597 | ) |
SPDR S&P 500 ETF Trust | | | 32 | | | | 07/17/20 | | | USD | | | 285.00 | | | USD | | | 987 | | | | (5,168 | ) |
Walt Disney Co. (The) | | | 15 | | | | 07/17/20 | | | USD | | | 90.00 | | | USD | | | 167 | | | | (368 | ) |
Bank of America Corp. | | | 26 | | | | 08/21/20 | | | USD | | | 21.00 | | | USD | | | 62 | | | | (1,690 | ) |
Bank of America Corp. | | | 37 | | | | 08/21/20 | | | USD | | | 19.00 | | | USD | | | 88 | | | | (1,147 | ) |
Boston Scientific Corp. | | | 25 | | | | 08/21/20 | | | USD | | | 26.00 | | | USD | | | 88 | | | | (600 | ) |
| | |
CONSOLIDATED SCHEDULES OF INVESTMENTS | | 85 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio |
Exchange-Traded Options Written (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | | | Exercise
Price | | | | | Notional
Amount (000) | | | Value | |
Citigroup, Inc. | | | 17 | | | | 08/21/20 | | | USD | | | 42.50 | | | USD | | | 87 | | | $ | (1,845 | ) |
Financial Select Sector SPDR Fund | | | 68 | | | | 08/21/20 | | | USD | | | 21.00 | | | USD | | | 157 | | | | (3,978 | ) |
Global Payments, Inc. | | | 9 | | | | 08/21/20 | | | USD | | | 165.00 | | | USD | | | 153 | | | | (6,930 | ) |
iShares Russell 2000 ETF | | | 26 | | | | 08/21/20 | | | USD | | | 115.00 | | | USD | | | 372 | | | | (3,419 | ) |
JPMorgan Chase & Co. | | | 9 | | | | 08/21/20 | | | USD | | | 75.00 | | | USD | | | 85 | | | | (945 | ) |
L3Harris Technologies, Inc. | | | 4 | | | | 08/21/20 | | | USD | | | 145.00 | | | USD | | | 68 | | | | (1,250 | ) |
Mastercard, Inc. | | | 6 | | | | 08/21/20 | | | USD | | | 260.00 | | | USD | | | 177 | | | | (2,520 | ) |
Morgan Stanley | | | 18 | | | | 08/21/20 | | | USD | | | 40.00 | | | USD | | | 87 | | | | (1,476 | ) |
PPG Industries, Inc. | | | 9 | | | | 08/21/20 | | | USD | | | 85.00 | | | USD | | | 95 | | | | (1,260 | ) |
SPDR S&P 500 ETF Trust | | | 6 | | | | 08/21/20 | | | USD | | | 265.00 | | | USD | | | 185 | | | | (1,644 | ) |
SPDR S&P 500 ETF Trust | | | 20 | | | | 08/21/20 | | | USD | | | 255.00 | | | USD | | | 617 | | | | (3,810 | ) |
SPDR S&P 500 ETF Trust | | | 22 | | | | 08/21/20 | | | USD | | | 245.00 | | | USD | | | 678 | | | | (2,948 | ) |
Stamps.com, Inc. | | | 1 | | | | 08/21/20 | | | USD | | | 120.00 | | | USD | | | 18 | | | | (400 | ) |
Wayfair, Inc. | | | 1 | | | | 08/21/20 | | | USD | | | 120.00 | | | USD | | | 20 | | | | (230 | ) |
Anthem, Inc. | | | 6 | | | | 09/18/20 | | | USD | | | 230.00 | | | USD | | | 158 | | | | (5,700 | ) |
Bank of America Corp. | | | 32 | | | | 09/18/20 | | | USD | | | 20.00 | | | USD | | | 76 | | | | (2,336 | ) |
Capital One Financial Corp | | | 23 | | | | 09/18/20 | | | USD | | | 55.00 | | | USD | | | 144 | | | | (8,453 | ) |
Citigroup, Inc. | | | 18 | | | | 09/18/20 | | | USD | | | 40.00 | | | USD | | | 92 | | | | (1,953 | ) |
Etsy, Inc. | | | 5 | | | | 09/18/20 | | | USD | | | 60.00 | | | USD | | | 53 | | | | (488 | ) |
Netflix, Inc. | | | 2 | | | | 09/18/20 | | | USD | | | 300.00 | | | USD | | | 91 | | | | (384 | ) |
NXP Semiconductors NV | | | 9 | | | | 09/18/20 | | | USD | | | 80.00 | | | USD | | | 103 | | | | (2,025 | ) |
Raytheon Co. | | | 7 | | | | 09/18/20 | | | USD | | | 60.00 | | | USD | | | 43 | | | | (3,290 | ) |
SPDR S&P 500 ETF Trust | | | 6 | | | | 09/18/20 | | | USD | | | 265.00 | | | USD | | | 185 | | | | (2,901 | ) |
SPDR S&P 500 ETF Trust | | | 7 | | | | 09/18/20 | | | USD | | | 282.00 | | | USD | | | 216 | | | | (5,439 | ) |
SPDR S&P 500 ETF Trust | | | 8 | | | | 09/18/20 | | | USD | | | 285.00 | | | USD | | | 247 | | | | (6,732 | ) |
SPDR S&P 500 ETF Trust | | | 19 | | | | 09/18/20 | | | USD | | | 275.00 | | | USD | | | 586 | | | | (12,198 | ) |
SPDR S&P Retail ETF | | | 13 | | | | 09/18/20 | | | USD | | | 37.00 | | | USD | | | 56 | | | | (1,567 | ) |
UnitedHealth Group, Inc. | | | 6 | | | | 09/18/20 | | | USD | | | 230.00 | | | USD | | | 177 | | | | (2,400 | ) |
SPDR S&P 500 ETF Trust | | | 8 | | | | 09/30/20 | | | USD | | | 253.00 | | | USD | | | 247 | | | | (3,196 | ) |
SPDR S&P 500 ETF Trust | | | 23 | | | | 09/30/20 | | | USD | | | 230.00 | | | USD | | | 709 | | | | (4,692 | ) |
Chewy, Inc. | | | 5 | | | | 10/16/20 | | | USD | | | 35.00 | | | USD | | | 22 | | | | (1,075 | ) |
Costco Wholesale Corp. | | | 3 | | | | 10/16/20 | | | USD | | | 280.00 | | | USD | | | 91 | | | | (2,063 | ) |
SPDR S&P 500 ETF Trust | | | 19 | | | | 10/16/20 | | | USD | | | 295.00 | | | USD | | | 586 | | | | (25,394 | ) |
VMware, Inc. | | | 15 | | | | 10/16/20 | | | USD | | | 130.00 | | | USD | | | 232 | | | | (6,075 | ) |
BJ’s Wholesale Club Holdings, Inc | | | 14 | | | | 11/20/20 | | | USD | | | 25.00 | | | USD | | | 52 | | | | (1,050 | ) |
SPDR S&P 500 ETF Trust | | | 28 | | | | 11/20/20 | | | USD | | | 220.00 | | | USD | | | 863 | | | | (9,044 | ) |
Anthem, Inc. | | | 7 | | | | 12/18/20 | | | USD | | | 210.00 | | | USD | | | 184 | | | | (8,750 | ) |
UnitedHealth Group, Inc. | | | 6 | | | | 12/18/20 | | | USD | | | 240.00 | | | USD | | | 177 | | | | (7,155 | ) |
SPDR S&P 500 ETF Trust | | | 14 | | | | 12/31/20 | | | USD | | | 250.00 | | | USD | | | 432 | | | | (11,809 | ) |
Alibaba Group Holding Ltd. | | | 16 | | | | 02/19/21 | | | USD | | | 190.00 | | | USD | | | 345 | | | | (19,320 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | (219,550 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (988,490 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly-owned subsidiary. |
OTC Options Written
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Number of
Contracts | | | Expiration
Date | | | | | | Exercise
Price | | | | | | Notional
Amount (000) | | | Value | |
Call | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
EUR Currency | | BNP Paribas SA | | | — | | | | 07/16/20 | | | | USD | | | | 1.16 | | | | EUR | | | | 1,194 | | | $ | (526 | ) |
ASML Holding NV | | UBS AG | | | 277 | | | | 07/17/20 | | | | EUR | | | | 290.00 | | | | EUR | | | | 91 | | | | (12,192 | ) |
Western Digital Corp. | | Bank of America NA | | | 1,120 | | | | 07/17/20 | | | | USD | | | | 47.50 | | | | USD | | | | 49 | | | | (879 | ) |
EUR Currency | | Bank of America NA | | | — | | | | 07/23/20 | | | | USD | | | | 1.12 | | | | EUR | | | | 1,563 | | | | (15,921 | ) |
AUD Currency | | JPMorgan Chase Bank NA | | | — | | | | 07/24/20 | | | | USD | | | | 0.67 | | | | AUD | | | | 1,042 | | | | (23,050 | ) |
SPDR Gold Shares(a) | | JPMorgan Chase Bank NA | | | 5,241 | | | | 07/31/20 | | | | USD | | | | 177.50 | | | | USD | | | | 877 | | | | (3,899 | ) |
Taiwan Semiconductor Manufacturing Co. Ltd. | | Morgan Stanley & Co. International plc | | | 17,029 | | | | 08/19/20 | | | | USD | | | | 321.88 | | | | USD | | | | 5,330 | | | | (2,550 | ) |
Agilent Technologies, Inc. | | Citibank NA | | | 2,575 | | | | 08/21/20 | | | | USD | | | | 97.50 | | | | USD | | | | 228 | | | | (2,897 | ) |
Sanofi | | Barclays Bank plc | | | 856 | | | | 08/21/20 | | | | EUR | | | | 98.00 | | | | EUR | | | | 78 | | | | (941 | ) |
SPDR Gold Shares(a) | | Societe Generale SA | | | 7,861 | | | | 08/21/20 | | | | USD | | | | 180.00 | | | | USD | | | | 1,316 | | | | (9,715 | ) |
| | |
| 86 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio |
OTC Options Written (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Number of
Contracts | | | Expiration
Date | | | | | | Exercise
Price | | | | | | Notional
Amount (000) | | | Value | |
SPDR Gold Shares(a) | | Societe Generale SA | | | 10,461 | | | | 08/31/20 | | | | USD | | | | 175.00 | | | | USD | | | | 1,751 | | | $ | (27,397 | ) |
EUR Currency | | JPMorgan Chase Bank NA | | | — | | | | 09/17/20 | | | | USD | | | | 1.16 | | | | EUR | | | | 796 | | | | (4,115 | ) |
Apple, Inc. | | Morgan Stanley & Co. International plc | | | 1,300 | | | | 09/18/20 | | | | USD | | | | 370.00 | | | | USD | | | | 474 | | | | (24,528 | ) |
ASML Holding NV | | Credit Suisse International | | | 179 | | | | 09/18/20 | | | | EUR | | | | 305.00 | | | | EUR | | | | 59 | | | | (7,087 | ) |
Roche Holding AG | | Barclays Bank plc | | | 224 | | | | 09/18/20 | | | | CHF | | | | 365.00 | | | | CHF | | | | 74 | | | | (423 | ) |
Sanofi | | Barclays Bank plc | | | 856 | | | | 09/18/20 | | | | EUR | | | | 102.00 | | | | EUR | | | | 78 | | | | (556 | ) |
SPDR Gold Shares(a) | | Goldman Sachs International | | | 1,388 | | | | 09/18/20 | | | | USD | | | | 195.00 | | | | USD | | | | 232 | | | | (1,041 | ) |
SPDR Gold Shares(a) | | Morgan Stanley & Co. International plc | | | 3,928 | | | | 09/18/20 | | | | USD | | | | 190.00 | | | | USD | | | | 657 | | | | (4,223 | ) |
Union Pacific Corp. | | Goldman Sachs International | | | 1,284 | | | | 09/18/20 | | | | USD | | | | 200.00 | | | | USD | | | | 217 | | | | (816 | ) |
EUR Currency | | Bank of America NA | | | — | | | | 09/25/20 | | | | USD | | | | 1.16 | | | | EUR | | | | 921 | | | | (5,342 | ) |
SPDR Gold Shares(a) | | Morgan Stanley & Co. International plc | | | 8,720 | | | | 09/30/20 | | | | USD | | | | 187.50 | | | | USD | | | | 1,459 | | | | (13,674 | ) |
Roche Holding AG | | Barclays Bank plc | | | 308 | | | | 10/16/20 | | | | CHF | | | | 370.00 | | | | CHF | | | | 101 | | | | (752 | ) |
Capital One Financial Corp. | | Nomura International plc | | | 1,251 | | | | 11/20/20 | | | | USD | | | | 70.00 | | | | USD | | | | 78 | | | | (6,936 | ) |
SPDR Gold Shares(a) | | BNP Paribas SA | | | 9,371 | | | | 12/18/20 | | | | USD | | | | 225.00 | | | | USD | | | | 1,568 | | | | (8,762 | ) |
Tencent Holdings Ltd. | | JPMorgan Chase Bank NA | | | 1,668 | | | | 29/09/2020 | | | | HKD | | | | 454.15 | | | | HKD | | | | 832 | | | | (10,830 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | (189,052 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
USD Currency | | Morgan Stanley & Co. International plc | | | — | | | | 07/09/20 | | | | JPY | | | | 97.00 | | | | USD | | | | 1,406 | | | | (2 | ) |
ASML Holding NV | | UBS AG | | | 277 | | | | 07/17/20 | | | | EUR | | | | 220.00 | | | | EUR | | | | 91 | | | | (21 | ) |
SPDR Gold Shares(a) | | Societe Generale SA | | | 4,365 | | | | 07/17/20 | | | | USD | | | | 158.00 | | | | USD | | | | 731 | | | | (1,113 | ) |
USD Currency | | JPMorgan Chase Bank NA | | | — | | | | 07/21/20 | | | | JPY | | | | 103.00 | | | | USD | | | | 1,562 | | | | (304 | ) |
EUR Currency | | Bank of America NA | | | — | | | | 07/23/20 | | | | USD | | | | 1.03 | | | | EUR | | | | 1,563 | | | | (5 | ) |
AUD Currency | | JPMorgan Chase Bank NA | | | — | | | | 07/24/20 | | | | USD | | | | 0.58 | | | | AUD | | | | 1,042 | | | | (20 | ) |
EUR Currency | | Deutsche Bank AG | | | — | | | | 08/19/20 | | | | JPY | | | | 110.00 | | | | EUR | | | | 494 | | | | (174 | ) |
Taiwan Semiconductor Manufacturing Co. Ltd. | | Morgan Stanley & Co. International plc | | | 17,029 | | | | 08/19/20 | | | | USD | | | | 250.02 | | | | USD | | | | 5,330 | | | | (31 | ) |
Agilent Technologies, Inc. | | Citibank NA | | | 1,717 | | | | 08/21/20 | | | | USD | | | | 75.00 | | | | USD | | | | 152 | | | | (1,562 | ) |
Capital One Financial Corp. | | Nomura International plc | | | 1,251 | | | | 08/21/20 | | | | USD | | | | 44.00 | | | | USD | | | | 78 | | | | (867 | ) |
Sanofi | | Barclays Bank plc | | | 856 | | | | 08/21/20 | | | | EUR | | | | 80.00 | | | | EUR | | | | 78 | | | | (772 | ) |
SPDR Gold Shares(a) | | Societe Generale SA | | | 6,974 | | | | 08/31/20 | | | | USD | | | | 155.00 | | | | USD | | | | 1,167 | | | | (6,816 | ) |
Sumitomo Mitsui Financial Group, Inc. | | Morgan Stanley & Co. International plc | | | 3,762 | | | | 09/11/20 | | | | JPY | | | | 3,820.96 | | | | JPY | | | | 11,406 | | | | (27,733 | ) |
ASML Holding NV | | Credit Suisse International | | | 179 | | | | 09/18/20 | | | | EUR | | | | 235.00 | | | | EUR | | | | 59 | | | | (505 | ) |
LVMH Moet Hennessy Louis Vuitton SE | | Barclays Bank plc | | | 241 | | | | 09/18/20 | | | | EUR | | | | 355.00 | | | | EUR | | | | 94 | | | | (2,827 | ) |
Roche Holding AG | | Barclays Bank plc | | | 224 | | | | 09/18/20 | | | | CHF | | | | 305.00 | | | | CHF | | | | 74 | | | | (1,454 | ) |
SPDR Gold Shares(a) | | Morgan Stanley & Co. International plc | | | 4,344 | | | | 09/18/20 | | | | USD | | | | 145.00 | | | | USD | | | | 727 | | | | (2,106 | ) |
Union Pacific Corp. | | Goldman Sachs International | | | 942 | | | | 09/18/20 | | | | USD | | | | 155.00 | | | | USD | | | | 159 | | | | (5,556 | ) |
SPDR Gold Shares(a) | | Goldman Sachs International | | | 2,592 | | | | 09/30/20 | | | | USD | | | | 153.00 | | | | USD | | | | 434 | | | | (3,464 | ) |
SPDR Gold Shares(a) | | Morgan Stanley & Co. International plc | | | 5,231 | | | | 09/30/20 | | | | USD | | | | 155.00 | | | | USD | | | | 876 | | | | (8,679 | ) |
Roche Holding AG | | Barclays Bank plc | | | 154 | | | | 10/16/20 | | | | CHF | | | | 300.00 | | | | CHF | | | | 51 | | | | (1,078 | ) |
Sumitomo Mitsui Financial Group, Inc. | | Morgan Stanley & Co. International plc | | | 3,764 | | | | 12/11/20 | | | | JPY | | | | 3,786.60 | | | | JPY | | | | 11,412 | | | | (30,067 | ) |
Sumitomo Mitsui Financial Group, Inc. | | Morgan Stanley & Co. International plc | | | 4,226 | | | | 03/12/21 | | | | JPY | | | | 3,400.00 | | | | JPY | | | | 12,813 | | | | (27,969 | ) |
TOPIX Bank Index | | BNP Paribas SA | | | 108,940 | | | | 03/12/21 | | | | JPY | | | | 131.00 | | | | JPY | | | | 12,645 | | | | (21,526 | ) |
Tencent Holdings Ltd. | | JPMorgan Chase Bank NA | | | 1,668 | | | | 29/09/2020 | | | | HKD | | | | 350.94 | | | | HKD | | | | 832 | | | | (108 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | (144,759 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (333,811 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly-owned subsidiary. |
| | |
CONSOLIDATED SCHEDULES OF INVESTMENTS | | 87 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio |
OTC Credit Default Swaptions Written
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Paid by the Fund | | Received by the Fund | | | | | | | | | | | | | | | | | | | | | |
| Description | | Rate/Reference | | | Frequency | | Rate/Reference | | | Frequency | | Counterparty | | Expiration
Date | | | Credit
Rating (a) | | | | | Exercise Price | | Notional
Amount (000) (b) | | | Value | |
Call | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Sold Protection on 5-Year Credit Default Swap | | | CDX.NA.IG.34.V1 | | | Quarterly | | | 1.00 | % | | Quarterly | | Morgan Stanley & Co. International plc | | | 08/19/20 | | | | NR | | | USD | | 70.00 | | | USD | | | | 979 | | | $ | (1,858 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Sold Protection on 5-Year Credit Default Swap | | | CDX.NA.IG.34.V1 | | | Quarterly | | | 1.00 | % | | Quarterly | | Morgan Stanley & Co. International plc | | | 08/19/20 | | | | NR | | | USD | | 95.00 | | | USD | | | | 490 | | | | (1,027 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (2,885 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
| (b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
OTC Interest Rate Swaptions Written
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Paid by the Fund | | Received by the Fund | | | | | | | | | | | | | | | | | |
| Description | | Rate | | Frequency | | Rate | | | Frequency | | Counterparty | | Expiration
Date | | | Exercise Rate | | | Notional
Amount (000) | | | Value | |
Call | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2-Year Interest Rate Swap(a) | | 3 month LIBOR | | Quarterly | | | 0.88% | | | Semi-Annual | | Bank of America NA | | | 08/13/20 | | | | 0.88 | % | | | USD | | | | 4,871 | | | $ | (65,194 | ) |
| | | | | | | | | | | | Morgan Stanley & Co. | | | | | | | | | | | | | | | | | | | | |
10-Year Interest Rate Swap(a) | | 3 month LIBOR | | Quarterly | | | 0.68% | | | Semi-Annual | | International plc | | | 09/10/20 | | | | 0.68 | | | | USD | | | | 154 | | | | (1,935 | ) |
| | | | | | | | | | | | JPMorgan Chase | | | | | | | | | | | | | | | | | | | | |
10-Year Interest Rate Swap(a) | | 3 month LIBOR | | Quarterly | | | 0.66% | | | Semi-Annual | | Bank NA | | | 09/23/20 | | | | 0.66 | | | | USD | | | | 234 | | | | (2,988 | ) |
10-Year Interest Rate Swap(a) | | 3 month LIBOR | | Quarterly | | | 0.76% | | | Semi-Annual | | Deutsche Bank AG | | | 09/25/20 | | | | 0.76 | | | | USD | | | | 187 | | | | (3,512 | ) |
| | | | | | | | | | | | Morgan Stanley & Co. | | | | | | | | | | | | | | | | | | | | |
30-Year Interest Rate Swap(a) | | 3 month LIBOR | | Quarterly | | | 0.69% | | | Semi-Annual | | International plc | | | 10/21/20 | | | | 0.69 | | | | USD | | | | 690 | | | | (17,016 | ) |
| | | | | | | | | | | | Goldman Sachs | | | | | | | | | | | | | | | | | | | | |
30-Year Interest Rate Swap(a) | | 3 month LIBOR | | Quarterly | | | 0.60% | | | Semi-Annual | | International | | | 12/18/20 | | | | 0.60 | | | | USD | | | | 943 | | | | (28,291 | ) |
| | | | | | | | | | | | JPMorgan Chase | | | | | | | | | | | | | | | | | | | | |
30-Year Interest Rate Swap(a) | | 3 month LIBOR | | Quarterly | | | 0.50% | | | Semi-Annual | | Bank NA | | | 06/04/21 | | | | 0.50 | | | | USD | | | | 798 | | | | (28,126 | ) |
30-Year Interest Rate Swap(a) | | 3 month LIBOR | | Quarterly | | | 0.50% | | | Semi-Annual | | BNP Paribas SA | | | 06/11/21 | | | | 0.50 | | | | USD | | | | 260 | | | | (9,289 | ) |
| | 6 month | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
5-Year Interest Rate Swap(a) | | EURIBOR | | Semi-Annual | | | (0.02)% | | | Annual | | Barclays Bank plc | | | 04/08/22 | | | | (0.02 | ) | | | EUR | | | | 1,330 | | | | (27,942 | ) |
| | 6 month | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
5-Year Interest Rate Swap(a) | | EURIBOR | | Semi-Annual | | | (0.13)% | | | Annual | | Barclays Bank plc | | | 04/19/22 | | | | (0.13 | ) | | | EUR | | | | 870 | | | | (14,650 | ) |
| | 6 month | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
5-Year Interest Rate Swap(a) | | EURIBOR | | Semi-Annual | | | (0.15)% | | | Annual | | Barclays Bank plc | | | 04/19/22 | | | | (0.15 | ) | | | EUR | | | | 353 | | | | (5,674 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (204,617 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2-Year Interest Rate Swap(a) | | 1.88% | | Semi-Annual | | | 3 month LIBOR | | | Quarterly | | Bank of America NA | | | 08/13/20 | | | | 1.88 | | | | USD | | | | 5,127 | | | | — | |
| | | | | | | | | | | | Goldman Sachs | | | | | | | | | | | | | | | | | | | | |
10-Year Interest Rate Swap(a) | | 0.88% | | Semi-Annual | | | 3 month LIBOR | | | Quarterly | | International | | | 08/19/20 | | | | 0.88 | | | | USD | | | | 2,389 | | | | (5,598 | ) |
| | | | | | | | | | | | Morgan Stanley & Co. | | | | | | | | | | | | | | | | | | | | |
10-Year Interest Rate Swap(a) | | 0.68% | | Semi-Annual | | | 3 month LIBOR | | | Quarterly | | International plc | | | 09/10/20 | | | | 0.68 | | | | USD | | | | 154 | | | | (1,615 | ) |
| | | | | | | | | | | | JPMorgan Chase | | | | | | | | | | | | | | | | | | | | |
10-Year Interest Rate Swap(a) | | 0.66% | | Semi-Annual | | | 3 month LIBOR | | | Quarterly | | Bank NA | | | 09/23/20 | | | | 0.66 | | | | USD | | | | 234 | | | | (2,901 | ) |
10-Year Interest Rate Swap(a) | | 0.76% | | Semi-Annual | | | 3 month LIBOR | | | Quarterly | | Deutsche Bank AG | | | 09/25/20 | | | | 0.76 | | | | USD | | | | 187 | | | | (1,541 | ) |
| | | | | | | | | | | | Morgan Stanley & Co. | | | | | | | | | | | | | | | | | | | | |
30-Year Interest Rate Swap(a) | | 1.19% | | Semi-Annual | | | 3 month LIBOR | | | Quarterly | | International plc | | | 10/21/20 | | | | 1.19 | | | | USD | | | | 690 | | | | (15,173 | ) |
| | | | | | | | | | | | Goldman Sachs | | | | | | | | | | | | | | | | | | | | |
30-Year Interest Rate Swap(a) | | 1.20% | | Semi-Annual | | | 3 month LIBOR | | | Quarterly | | International | | | 12/18/20 | | | | 1.20 | | | | USD | | | | 943 | | | | (26,245 | ) |
| | | | | | | | | | | | JPMorgan Chase | | | | | | | | | | | | | | | | | | | | |
10-Year Interest Rate Swap(a) | | 2.00% | | Semi-Annual | | | 3 month LIBOR | | | Quarterly | | Bank NA | | | 02/11/22 | | | | 2.00 | | | | USD | | | | 1,899 | | | | (9,315 | ) |
| | | | | | | 6 month | | | | | | | | | | | | | | | | | | | | | | | | | |
5-Year Interest Rate Swap(a) | | (0.02)% | | Annual | | | EURIBOR | | | Semi-Annual | | Barclays Bank plc | | | 04/08/22 | | | | (0.02 | ) | | | EUR | | | | 1,330 | | | | (9,272 | ) |
| | |
| 88 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio |
OTC Interest Rate Swaptions Written (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Paid by the Fund | | Received by the Fund | | | | | | | | | | | | | | | | |
| Description | | Rate | | Frequency | | Rate | | Frequency | | Counterparty | | Expiration
Date | | | Exercise Rate | | | Notional
Amount (000) | | | Value | |
5-Year Interest Rate Swap(a) | | (0.13)% | | Annual | | 6 month
EURIBOR | | Semi-Annual | | Barclays Bank plc | | | 04/19/22 | | | | (0.13 | % | | EUR | | | 870 | | | $ | (7,931 | ) |
5-Year Interest Rate Swap(a) | | (0.15)% | | Annual | | 6 month
EURIBOR | | Semi-Annual | | Barclays Bank plc | | | 04/19/22 | | | | (0.15 | ) | | EUR | | | 353 | | | | (3,374 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (82,965 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | (287,582 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Forward settling swaption. |
Centrally Cleared Credit Default Swaps — Buy Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation/Index | | Financing
Rate Paid
by the Fund | | | Payment
Frequency | | | Termination
Date | | Notional
Amount (000) | | Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
CDX.NA.IG.33.V1 | | | 1.00 | % | | | Quarterly | | | 12/20/24 | | | USD | | | 6,863 | | $ | (83,384 | ) | | $ | (135,105 | ) | | $ | 51,721 | |
CDX.NA.HY.34.V6 | | | 5.00 | | | | Quarterly | | | 06/20/25 | | | USD | | | 349 | | | 1,973 | | | | 15,805 | | | | (13,832 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (81,411 | ) | | $ | (119,300 | ) | | $ | 37,889 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared Credit Default Swaps — Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Obligation/Index | | Financing Rate Received by the Fund | |
| Payment
Frequency |
| | Termination Date | |
| Credit
Rating |
(a) | | | | | |
| Notional
Amount
(000) |
(b) | | | Value | | |
| Upfront
Premium
Paid
(Received) |
| |
| Unrealized
Appreciation
(Depreciation) |
|
ITRAXX.EUR. CROSSOVER.32.V1 | | 5.00% | | | Quarterly | | | 12/20/24 | | | CCC+ | | | | EUR | | | | 170 | | | $ | 10,810 | | | $ | 22,874 | | | $ | (12,064 | ) |
ITRAXX.EUR. CROSSOVER.33.V1 | | 5.00 | | | Quarterly | | | 06/20/25 | | | B | | | | EUR | | | | 384 | | | | 23,065 | | | | 5,414 | | | | 17,651 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 33,875 | | | $ | 28,288 | | | $ | 5,587 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
| (b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Centrally Cleared Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid by the Fund | | Received by the Fund | | | | | | | | | | | | | | | | | | | | |
| Rate | | Frequency | | Rate | | Frequency | | Effective
Date | | | Termination
Date | | | Notional Amount (000) | | | Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
| 3 month BA | | Semi-Annual | | 1.91% | | Semi-Annual | | | N/A | | | | 07/09/21 | | | CAD | | | 5,597 | | | $ | 66,928 | | | $ | — | | | $ | 66,928 | |
| 1.06% | | Semi-Annual | | 3 month LIBOR | | Quarterly | | | N/A | | | | 03/27/22 | | | USD | | | 8,441 | | | | (145,735 | ) | | | — | | | | (145,735 | ) |
| 0.53% | | Semi-Annual | | 3 month LIBOR | | Quarterly | | | 06/06/22 | (a) | | | 06/06/24 | | | USD | | | 1,612 | | | | (7,116 | ) | | | — | | | | (7,116 | ) |
| 1.60% | | Semi-Annual | | 3 month LIBOR | | Quarterly | | | N/A | | | | 01/24/25 | | | USD | | | 3,507 | | | | (224,593 | ) | | | 44 | | | | (224,637 | ) |
| 0.69% | | Semi-Annual | | 3 month LIBOR | | Quarterly | | | N/A | | | | 06/23/30 | | | USD | | | 392 | | | | (2,054 | ) | | | — | | | | (2,054 | ) |
| 0.89% | | Semi-Annual | | 3 month LIBOR | | Quarterly | | | 07/02/20 | (a) | | | 07/02/50 | | | USD | | | 291 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (312,570 | ) | | $ | 44 | | | $ | (312,614 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
CONSOLIDATED SCHEDULES OF INVESTMENTS | | 89 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio |
OTC Total Return Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Entity | | | | | |
| Fixed Amount Paid
/ (Received) by the
Fund |
(a) | | Counterparty | |
| Termination
Date |
| | | | | |
| Notional
Amount
(000) |
| | | Value | | |
| Upfront
Premium
Paid
(Received) |
| |
| Unrealized
Appreciation
(Depreciation) |
|
S&P 500 Index Annual Dividend Future December 2020 | | | USD | | | | 35,981 | | | Goldman Sachs International | | | 12/18/20 | | | | USD | | | | 36 | | | $ | 5,719 | | | $ | — | | | $ | 5,719 | |
GSCBBL8X | | | USD | | | | 164,369 | | | Goldman Sachs International | | | 01/22/21 | | | | USD | | | | 164 | | | | 75,559 | | | | — | | | | 75,559 | |
GSCBBL8X | | | USD | | | | 222,154 | | | Goldman Sachs International | | | 01/25/21 | | | | USD | | | | 222 | | | | 100,640 | | | | — | | | | 100,640 | |
S&P 500 Index Annual Dividend Future December 2021 | | | USD | | | | 48,550 | | | BNP Paribas SA | | | 12/17/21 | | | | USD | | | | 49 | | | | 1,950 | | | | — | | | | 1,950 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | 183,868 | | | $ | — | | | $ | 183,868 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | At termination, the fixed amount paid (received) will be exchanged for the total return of the reference entity. |
OTC Total Return Swaps (a)
| | | | | | | | | | | | | | | | | | | | | | |
| Reference Entity | | Counterparty | | Termination Date | | | Net
Notional | | | Unrealized
Appreciation
(Depreciation) | | | Net Value of
Reference
Entity | | | Gross
Notional
Amount
Net Asset
Percentage | |
Equity Securities Long/Short | | Citibank NA | | | 01/5/21-05/31/23 | | | $ | 217,023 | | | $ | (9,017 | )(b) | | $ | 202,763 | | | | 0.2 | % |
| | JPMorgan Chase Bank NA | | | 02/08/23 | | | | (130,735 | ) | | | 5,876 | (c) | | | (124,337 | ) | | | 0.1 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | $ | (3,141 | ) | | $ | 78,426 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| (a) | The Fund receives or pays the total return on a portfolio of long and short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark, plus or minus a spread in a range of 5-800 basis points. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. The following are the specified benchmarks used in determining the variable rate of interest: |
Intercontinental Exchange LIBOR:
USD 1 Week
USD 1 Month
USD Overnight Bank Funding Rate
| (b) | Amount includes $5,243 of net dividends and financing fees. |
| (c) | Amount includes $(522) of net dividends and financing fees. |
The following table represents the individual long and short positions and related values of equity securities underlying the total return swap with Citibank NA, as of June 30, 2020, expiration dates 01/5/21-05/31/23:
| | | | | | | | | | | | |
| | | Shares | | | Value | | | % of Basket
Value | |
| | |
Reference Entity — Long | | | | | | | | | |
| | | |
| Italy | | | | | | | | | |
Leonardo SpA | | | 46,069 | | | $ | 307,112 | | | | 151.5 | % |
| | | | | | | | | | | | |
| | |
Total Reference Entity — Long | | | | 307,112 | | | | | |
| | | | | | | | | | | | |
| | |
Reference Entity — Short | | | | | | | | | |
| | | |
| China | | | | | | | | | |
China Communications Services Corp. Ltd., Class H | | | (2,000 | ) | | | (1,253 | ) | | | (0.6 | ) |
China Eastern Airlines Corp. Ltd., Class H | | | (8,000 | ) | | | (2,880 | ) | | | (1.4 | ) |
China Everbright International Ltd. | | | (4,000 | ) | | | (2,122 | ) | | | (1.0 | ) |
China Literature Ltd. | | | (800 | ) | | | (5,425 | ) | | | (2.7 | ) |
China Molybdenum Co. Ltd., Class H | | | (6,000 | ) | | | (1,981 | ) | | | (1.0 | ) |
| | | | | | | | | | | | |
| | | Shares | | | Value | | | % of Basket
Value | |
| | | |
| China (continued) | | | | | | | | | |
Longfor Group Holdings Ltd. | | | (1,000 | ) | | $ | (4,787 | ) | | | (2.4 | )% |
Ping An Healthcare and | | | | | | | | | | | | |
Technology Co. Ltd. | | | (200 | ) | | | (3,066 | ) | | | (1.5 | ) |
Prosus NV | | | (7 | ) | | | (651 | ) | | | (0.3 | ) |
Semiconductor Manufacturing | | | | | | | | | | | | |
International Corp. | | | (2,000 | ) | | | (7,016 | ) | | | (3.5 | ) |
Shanghai Fosun Pharmaceutical | | | | | | | | | | | | |
Group Co. Ltd., Class H | | | (1,000 | ) | | | (3,353 | ) | | | (1.7 | ) |
Xiaomi Corp., Class B | | | (3,800 | ) | | | (6,315 | ) | | | (3.1 | ) |
ZTO Express Cayman, Inc., | | | | | | | | | | | | |
ADR | | | (33 | ) | | | (1,211 | ) | | | (0.6 | ) |
| | | | | | | | | | | | |
| | | | | | | (40,060 | ) | | | | |
| | | |
| Denmark | | | | | | | | | |
Orsted A/S | | | (24 | ) | | | (2,770 | ) | | | (1.4 | ) |
| | | | | | | | | | | | |
| | | |
| France | | | | | | | | | |
Hermes International | | | (3 | ) | | | (2,519 | ) | | | (1.2 | ) |
| | | | | | | | | | | | |
| | |
| 90 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio |
| | | | | | | | | | | | |
| | | Shares | | | Value | | | % of Basket
Value | |
| | | |
| Germany | | | | | | | | | |
Deutsche Bank AG (Registered) | | | (239 | ) | | $ | (2,280 | ) | | | (1.1 | )% |
Sartorius AG (Preference) | | | (4 | ) | | | (1,320 | ) | | | (0.7 | ) |
| | | | | | | | | | | | |
| | | | | | | (3,600 | ) | | | | |
| | | |
| Hong Kong | | | | | | | | | |
Sino Biopharmaceutical Ltd. | | | (2,000 | ) | | | (3,769 | ) | | | (1.8 | ) |
Wharf Real Estate Investment Co. Ltd. | | | (1,000 | ) | | | (4,801 | ) | | | (2.4 | ) |
| | | | | | | | | | | | |
| | | | | | | (8,570 | ) | | | | |
| | | |
| Japan | | | | | | | | | |
ANA Holdings, Inc. | | | (100 | ) | | | (2,285 | ) | | | (1.1 | ) |
| | | | | | | | | | | | |
| | | |
| Norway | | | | | | | | | |
Equinor ASA | | | (142 | ) | | | (2,046 | ) | | | (1.0 | ) |
| | | | | | | | | | | | |
| | | |
| Peru | | | | | | | | | |
Southern Copper Corp. | | | (23 | ) | | | (915 | ) | | | (0.5 | ) |
| | | | | | | | | | | | |
| | | |
| Poland | | | | | | | | | |
Polskie Gornictwo Naftowe i Gazownictwo SA | | | (923 | ) | | | (1,064 | ) | | | (0.5 | ) |
| | | | | | | | | | | | |
| | | |
| South Korea | | | | | | | | | |
Celltrion Healthcare Co. Ltd. | | | (73 | ) | | | (6,618 | ) | | | (3.3 | ) |
Korea Shipbuilding & Offshore Engineering Co. Ltd. | | | (47 | ) | | | (3,460 | ) | | | (1.7 | ) |
| | | | | | | | | | | | |
| | | | | | | (10,078 | ) | | | | |
| | | |
| Spain | | | | | | | | | |
CaixaBank SA | | | (1,374 | ) | | | (2,940 | ) | | | (1.4 | ) |
| | | | | | | | | | | | |
| | | |
| Sweden | | | | | | | | | |
Svenska Handelsbanken AB, Class A | | | (261 | ) | | | (2,478 | ) | | | (1.2 | ) |
Swedbank AB, Class A | | | (100 | ) | | | (1,284 | ) | | | (0.7 | ) |
| | | | | | | | | | | | |
| | | | | | | (3,762 | ) | | | | |
| | | |
| Switzerland | | | | | | | | | |
Schindler Holding AG | | | (3 | ) | | | (710 | ) | | | (0.3 | ) |
| | | | | | | | | | | | |
| | | |
| Taiwan | | | | | | | | | |
China Steel Corp. | | | (1,000 | ) | | | (704 | ) | | | (0.3 | ) |
| | | | | | | | | | | | |
| | | |
| United Kingdom | | | | | | | | | |
National Grid plc | | | (292 | ) | | | (3,563 | ) | | | (1.8 | ) |
| | | | | | | | | | | | |
| | | |
| United States | | | | | | | | | |
Archer-Daniels-Midland Co. | | | (56 | ) | | | (2,234 | ) | | | (1.1 | ) |
Boeing Co. (The) | | | (15 | ) | | | (2,749 | ) | | | (1.4 | ) |
Fidelity National Information Services, Inc. | | | (8 | ) | | | (1,073 | ) | | | (0.5 | ) |
General Dynamics Corp. | | | (34 | ) | | | (5,082 | ) | | | (2.5 | ) |
Keurig Dr Pepper, Inc. | | | (123 | ) | | | (3,493 | ) | | | (1.7 | ) |
Kraft Heinz Co. (The) | | | (10 | ) | | | (319 | ) | | | (0.2 | ) |
Lululemon Athletica, Inc. | | | (7 | ) | | | (2,184 | ) | | | (1.1 | ) |
Marriott International, Inc., Class A | | | (19 | ) | | | (1,629 | ) | | | (0.8 | ) |
| | | | | | | | | | | | |
| | | | | | | (18,763 | ) | | | | |
| | | | | | | | | | | | |
| | | |
Total Reference Entity — Short | | | | | | | (104,349 | ) | | | | |
| | | | | | | | | | | | |
| | |
Net Value of Reference Entity — Citibank NA | | | $ | 202,763 | | | | | |
| | | | | | | | | | | | |
The following table represents the individual short positions and related values of equity securities underlying the total return swap with JPMorgan Chase Bank NA, as of June 30, 2020, expiration date 02/08/23:
| | | | | | | | | | | | |
Reference Entity — Short | | | | | | | | | | | | |
| | | |
| Australia | | | | | | | | | |
Ramsay Health Care Ltd. | | | (155 | ) | | $ | (7,158 | ) | | | 5.7 | % |
Scentre Group | | | (1,103 | ) | | | (1,675 | ) | | | 1.3 | |
Sydney Airport | | | (183 | ) | | | (722 | ) | | | 0.6 | |
Transurban Group | | | (71 | ) | | | (696 | ) | | | 0.6 | |
| | | | | | | | | | | | |
| | | | | | | (10,251 | ) | | | | |
| | | |
| Brazil | | | | | | | | | |
Atacadao SA | | | (100 | ) | | | (368 | ) | | | 0.3 | |
Hapvida Participacoes e Investimentos SA | | | (200 | ) | | | (2,313 | ) | | | 1.9 | |
Lojas Americanas SA (Preference) | | | (273 | ) | | | (1,622 | ) | | | 1.3 | |
Magazine Luiza SA | | | (521 | ) | | | (6,879 | ) | | | 5.5 | |
Suzano SA | | | (624 | ) | | | (4,243 | ) | | | 3.4 | |
WEG SA | | | (199 | ) | | | (1,879 | ) | | | 1.5 | |
| | | | | | | | | | | | |
| | | | | | | (17,304 | ) | | | | |
| | | |
| China | | | | | | | | | |
Aluminum Corp. of China Ltd., Class H | | | (6,000 | ) | | | (1,132 | ) | | | 0.9 | |
Autohome, Inc., ADR | | | (31 | ) | | | (2,340 | ) | | | 1.9 | |
China Everbright International Ltd. | | | (3,000 | ) | | | (1,592 | ) | | | 1.3 | |
China Gas Holdings Ltd. | | | (400 | ) | | | (1,239 | ) | | | 1.0 | |
China Jinmao Holdings Group Ltd. | | | (6,000 | ) | | | (4,270 | ) | | | 3.4 | |
China Southern Airlines Co. Ltd., Class H | | | (12,000 | ) | | | (5,366 | ) | | | 4.3 | |
China State Construction International Holdings Ltd. | | | (6,000 | ) | | | (3,525 | ) | | | 2.9 | |
Geely Automobile Holdings Ltd. | | | (3,000 | ) | | | (4,766 | ) | | | 3.8 | |
iQIYI, Inc., ADR | | | (278 | ) | | | (6,447 | ) | | | 5.2 | |
Shenzhou International Group Holdings Ltd. | | | (100 | ) | | | (1,216 | ) | | | 1.0 | |
| | | | | | | | | | | | |
| | | | | | | (31,893 | ) | | | | |
| | | |
| Germany | | | | | | | | | |
Knorr-Bremse AG | | | (39 | ) | | | (3,958 | ) | | | 3.2 | |
| | | | | | | | | | | | |
| | | |
| Hong Kong | | | | | | | | | |
Link REIT | | | (100 | ) | | | (821 | ) | | | 0.7 | |
| | | | | | | | | | | | |
| | | |
| Japan | | | | | | | | | |
Nippon Paint Holdings Co. Ltd. | | | (100 | ) | | | (7,294 | ) | | | 5.9 | |
Sony Financial Holdings, Inc. | | | (100 | ) | | | (2,414 | ) | | | 1.9 | |
| | | | | | | | | | | | |
| | | | | | | (9,708 | ) | | | | |
| | | |
| Poland | | | | | | | | | |
CD Projekt SA | | | (14 | ) | | | (1,411 | ) | | | 1.1 | |
| | | | | | | | | | | | |
| | | |
| Singapore | | | | | | | | | |
Oversea-Chinese Banking Corp. Ltd. | | | (100 | ) | | | (652 | ) | | | 0.5 | |
| | | | | | | | | | | | |
| | | |
| South Africa | | | | | | | | | |
Capitec Bank Holdings Ltd. | | | (40 | ) | | | (1,988 | ) | | | 1.6 | |
Shoprite Holdings Ltd. | | | (258 | ) | | | (1,586 | ) | | | 1.3 | |
Vodacom Group Ltd. | | | (457 | ) | | | (3,242 | ) | | | 2.6 | |
| | | | | | | | | | | | |
| | | | | | | (6,816 | ) | | | | |
| | | |
| South Korea | | | | | | | | | |
AMOREPACIFIC Group (Preference) | | | (7 | ) | | | (200 | ) | | | 0.1 | |
Samsung C&T Corp. | | | (29 | ) | | | (2,821 | ) | | | 2.3 | |
| | | | | | | | | | | | |
| | | | | | | (3,021 | ) | | | | |
| | |
CONSOLIDATED SCHEDULES OF INVESTMENTS | | 91 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio |
| | | | | | | | | | | | |
| | | Shares | | | Value | | | % of Basket
Value | |
| | | |
| Spain | | | | | | | | | |
Aena SME SA | | | (8 | ) | | $ | (1,070 | ) | | | 0.9 | % |
Industria de Diseno Textil SA | | | (51 | ) | | | (1,353 | ) | | | 1.1 | |
| | | | | | | | | | | | |
| | | | | | | (2,423 | ) | | | | |
| | | |
| Switzerland | | | | | | | | | |
Swisscom AG (Registered) | | | (4 | ) | | | (2,098 | ) | | | 1.7 | |
| | | | | | | | | | | | |
| | | |
| United Kingdom | | | | | | | | | |
Tesco plc | | | (807 | ) | | | (2,270 | ) | | | 1.8 | |
| | | | | | | | | | | | |
| | | |
| United States | | | | | | | | | |
Conagra Brands, Inc. | | | (99 | ) | | | (3,482 | ) | | | 2.8 | |
Dominion Energy, Inc. | | | (12 | ) | | | (974 | ) | | | 0.8 | |
| | | | | | | | | | | | |
| | | Shares | | | Value | | | % of Basket
Value | |
| | | |
| United States (continued) | | | | | | | | | |
EOG Resources, Inc. | | | (21 | ) | | $ | (1,064 | ) | | | 0.8 | % |
Fox Corp., Class A | | | (422 | ) | | | (11,322 | ) | | | 9.1 | |
General Mills, Inc. | | | (23 | ) | | | (1,418 | ) | | | 1.1 | |
Hilton Worldwide Holdings, Inc. | | | (45 | ) | | | (3,305 | ) | | | 2.7 | |
Hormel Foods Corp. | | | (25 | ) | | | (1,207 | ) | | | 1.0 | |
Roper Technologies, Inc. | | | (16 | ) | | | (6,212 | ) | | | 5.0 | |
Ross Stores, Inc. | | | (32 | ) | | | (2,727 | ) | | | 2.2 | |
| | | | | | | | | | | | |
| | | | | | | (31,711 | ) | | | | |
| | | | | | | | | | | | |
| | | |
Total Reference Entity — Short | | | | | | | (124,337 | ) | | | | |
| | | | | | | | | | | | |
| | |
Net Value of Reference Entity — JPMorgan Chase Bank NA | | | $ | (124,337 | ) | | | | |
| | | | | | | | | | | | |
The following reference rates, and their values as of period end, are used for security descriptions:
| | | | | | |
| Reference Index | | | | Reference Rate | |
3 month BA | | Canadian Bankers Acceptances | | | 0.56 | % |
3 month LIBOR | | London Interbank Offered Rate | | | 0.30 | |
6 month EURIBOR | | Euro Interbank Offered Rate | | | (0.31 | ) |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written
| | | | | | | | | | |
| | | Swap
Premiums
Paid | | Swap
Premiums
Received | | Unrealized
Appreciation | | Unrealized
Depreciation | | Value |
Centrally Cleared Swaps (a) | | $ 44,137 | | $ (135,105) | | $ 136,300 | | $ (405,438) | | $ — |
OTC Swaps | | — | | — | | 189,744 | | (9,017) | | — |
Options Written | | N/A | | N/A | | 518,902 | | (622,018) | | (1,636,074) |
| (a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Consolidated 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. |
| | |
| 92 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation 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:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
Assets — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts
Unrealized appreciation on futures contracts(a) | | $ | — | | | $ | — | | | $ | 24,268 | | | $ | — | | | $ | 134,462 | | | $ | — | | | $ | 158,730 | |
Forward foreign currency exchange contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 213,298 | | | | — | | | | — | | | | 213,298 | |
Options purchased(b)
Investments at value — unaffiliated(c) | | | — | | | | — | | | | 1,634,779 | | | | 48,210 | | | | 249,458 | | | | — | | | | 1,932,447 | |
Swaps — centrally cleared
Unrealized appreciation on centrally cleared swaps(a) | | | — | | | | 69,372 | | | | — | | | | — | | | | 66,928 | | | | — | | | | 136,300 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on OTC swaps; Swap premiums paid | | | — | | | | — | | | | 189,744 | �� | | | — | | | | — | | | | — | | | | 189,744 | |
| | | | |
| | $ | — | | | $ | 69,372 | | | $ | 1,848,791 | | | $ | 261,508 | | | $ | 450,848 | | | $ | — | | | $ | 2,630,519 | |
| | | | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts
Unrealized depreciation on futures contracts(a) | | | — | | | | — | | | | 109,324 | | | | — | | | | 40,890 | | | | — | | | | 150,214 | |
Forward foreign currency exchange contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 249,732 | | | | — | | | | — | | | | 249,732 | |
Options written
Options written at value | | | — | | | | 2,885 | | | | 1,293,513 | | | | 52,094 | | | | 287,582 | | | | — | | | | 1,636,074 | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on centrally cleared swaps(a) | | | — | | | | 25,896 | | | | — | | | | — | | | | 379,542 | | | | — | | | | 405,438 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on OTC swaps; Swap premiums received | | | — | | | | — | | | | 9,017 | | | | — | | | | — | | | | — | | | | 9,017 | |
| | | | |
| | $ | — | | | $ | 28,781 | | | $ | 1,411,854 | | | $ | 301,826 | | | $ | 708,014 | | | $ | — | | | $ | 2,450,475 | |
| | | | |
| (a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Consolidated Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
| (b) | Includes forward settling swaptions. |
| (c) | Includes options purchased at value as reported in the Consolidated Schedule of Investments. |
For the six months ended June 30, 2020, the effect of derivative financial instruments in the Statements of Operations was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest Rate
Contracts | | | Other
Contracts | | | Total | |
Net Realized Gain (Loss) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | 1,102,425 | | | $ | — | | | $ | 1,276,991 | | | $ | — | | | $ | 2,379,416 | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | (795,585 | ) | | | — | | | | — | | | | (795,585 | ) |
Options purchased (a) | | | — | | | | — | | | | (86,932 | ) | | | (95,306 | ) | | | (142,453 | ) | | | — | | | | (324,691 | ) |
Options written | | | — | | | | — | | | | 321,544 | | | | 163,711 | | | | 101,376 | | | | — | | | | 586,631 | |
Swaps | | | — | | | | 65,224 | | | | (8,258 | ) | | | — | | | | (116,099 | ) | | | — | | | | (59,133 | ) |
| | | | |
| | $ | — | | | $ | 65,224 | | | $ | 1,328,779 | | | $ | | (727,180) | | $ | 1,119,815 | | | $ | — | | | $ | 1,786,638 | |
| | | | |
| | | | | | | |
| Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | — | | | | — | | | | (90,100 | ) | | | — | | | | 98,803 | | | | — | | | | 8,703 | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | (324,178 | ) | | | — | | | | — | | | | (324,178 | ) |
Options purchased (b) | | | — | | | | — | | | | 326,866 | | | | (24,975 | ) | | | 129,776 | | | | — | | | | 431,667 | |
Options written | | | — | | | | 971 | | | | (191,203 | ) | | | 10,866 | | | | (63,147 | ) | | | — | | | | (242,513 | ) |
Swaps | | | — | | | | 79,580 | | | | 266,905 | | | | — | | | | (324,272 | ) | | | — | | | | 22,213 | |
| | | | |
| | $ | — | | | $ | 80,551 | | | $ | 312,468 | | | $ | (338,287 | ) | | $ | (158,840 | ) | | $ | — | | | $ | (104,108 | ) |
| | | | |
| (a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
| (b) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |
| | |
CONSOLIDATED SCHEDULES OF INVESTMENTS | | 93 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Futures contracts: | | | | |
Average notional value of contracts — long | | $ | 19,559,008 | |
Average notional value of contracts — short | | | 27,973,721 | |
Forward foreign currency exchange contracts: | | | | |
Average amounts purchased — in USD | | | 15,070,609 | |
Average amounts sold — in USD | | | 18,177,195 | |
Options: | | | | |
Average value of option contracts purchased | | | 1,210,074 | |
Average value of option contracts written | | | 1,527,748 | |
Average notional value of swaption contracts purchased | | | 6,459,866 | |
Average notional value of swaption contracts written | | | 25,619,204 | |
Credit default swaps: | | | | |
Average notional value — buy protection | | | 7,283,017 | |
Average notional value — sell protection | | | 404,668 | |
Interest rate swaps: | | | | |
Average notional value — pays fixed rate | | | 16,767,078 | |
Average notional value — receives fixed rate | | | 6,466,325 | |
Total return swaps: | | | | |
Average notional value | | | 482,320 | |
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: | | | | | | | | |
Futures contracts | | $ | 40,901 | | | $ | 128,034 | |
Forward foreign currency exchange contracts | | | 213,298 | | | | 249,732 | |
Options(a)(b) | | | 1,932,447 | | | | 1,636,074 | |
Swaps — Centrally cleared | | | — | | | | 3,678 | |
Swaps — OTC(c) | | | 189,744 | | | | 9,017 | |
| | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | $ | 2,376,390 | | | $ | 2,026,535 | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | (1,266,431) | | | | (1,120,202) | |
| | | | |
Total derivative assets and liabilities subject to an MNA | | $ | 1,109,959 | | | $ | 906,333 | |
| | | | |
| (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 Consolidated Schedule of Investments. |
| (b) | Includes forward settling swaptions. |
| (c) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities. |
| | |
| 94 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation 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) | |
Bank of America NA | | $ | 86,096 | | | $ | (86,096 | ) | | $ | — | | | $ | — | | | $ | — | |
Barclays Bank plc | | | 15,778 | | | | (15,778 | ) | | | — | | | | — | | | | — | |
BNP Paribas SA | | | 30,290 | | | | (30,290 | ) | | | — | | | | — | | | | — | |
BNP Paribas SA(c) | | | 38,187 | | | | (8,762 | ) | | | — | | | | — | | | | 29,425 | |
Citibank NA | | | 99,414 | | | | (17,750 | ) | | | — | | | | — | | | | 81,664 | |
Credit Suisse International | | | 25,408 | | | | (25,408 | ) | | | — | | | | — | | | | — | |
Deutsche Bank AG | | | 17,996 | | | | (12,615 | ) | | | — | | | | — | | | | 5,381 | |
Goldman Sachs International | | | 260,536 | | | | (106,324 | ) | | | — | | | | — | | | | 154,212 | |
Goldman Sachs International(c) | | | 8,397 | | | | (4,505 | ) | | | — | | | | — | | | | 3,892 | |
HSBC Bank plc | | | 1,461 | | | | (1,461 | ) | | | — | | | | — | | | | — | |
JPMorgan Chase Bank NA | | | 136,996 | | | | (136,996 | ) | | | — | | | | — | | | | — | |
JPMorgan Chase Bank NA(c) | | | 13,578 | | | | (3,899 | ) | | | — | | | | — | | | | 9,679 | |
Morgan Stanley & Co. International plc | | | 163,907 | | | | (163,907 | ) | | | — | | | | — | | | | — | |
Morgan Stanley & Co. International plc(c) | | | 74,700 | | | | (28,682 | ) | | | — | | | | — | | | | 46,018 | |
Nomura International plc | | | 15,853 | | | | (7,803 | ) | | | — | | | | — | | | | 8,050 | |
Societe Generale SA(c) | | | 117,658 | | | | (45,041 | ) | | | — | | | | — | | | | 72,617 | |
UBS AG | | | 3,704 | | | | (3,704 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 1,109,959 | | | $ | (699,021 | ) | | $ | — | | | $ | — | | | $ | 410,938 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Derivative
Liabilities
Subject to
an MNA by
Counterparty | | | Derivatives
Available
for Offset (a) | | | Non-cash
Collateral
Pledged | | | Cash
Collateral
Pledged (d) | | | Net Amount of
Derivative
Liabilities (e) | |
Bank of America NA | | $ | 89,592 | | | $ | (86,096 | ) | | $ | — | | | $ | (3,496 | ) | | $ | — | |
Barclays Bank plc | | | 100,190 | | | | (15,778 | ) | | | — | | | | — | | | | 84,412 | |
BNP Paribas SA | | | 43,242 | | | | (30,290 | ) | | | — | | | | — | | | | 12,952 | |
BNP Paribas SA(c) | | | 8,762 | | | | (8,762 | ) | | | — | | | | — | | | | — | |
Citibank NA | | | 17,750 | | | | (17,750 | ) | | | — | | | | — | | | | — | |
Credit Suisse International | | | 28,263 | | | | (25,408 | ) | | | — | | | | — | | | | 2,855 | |
Deutsche Bank AG | | | 12,615 | | | | (12,615 | ) | | | — | | | | — | | | | — | |
Goldman Sachs International | | | 106,324 | | | | (106,324 | ) | | | — | | | | — | | | | — | |
Goldman Sachs International(c) | | | 4,505 | | | | (4,505 | ) | | | — | | | | — | | | | — | |
HSBC Bank plc | | | 9,932 | | | | (1,461 | ) | | | — | | | | — | | | | 8,471 | |
JPMorgan Chase Bank NA | | | 167,458 | | | | (136,996 | ) | | | — | | | | — | | | | 30,462 | |
JPMorgan Chase Bank NA(c) | | | 3,899 | | | | (3,899 | ) | | | — | | | | — | | | | — | |
Morgan Stanley & Co. International plc | | | 194,679 | | | | (163,907 | ) | | | — | | | | — | | | | 30,772 | |
Morgan Stanley & Co. International plc(c) | | | 28,682 | | | | (28,682 | ) | | | — | | | | — | | | | — | |
Nomura International plc | | | 7,803 | | | | (7,803 | ) | | | — | | | | — | | | | — | |
Societe Generale SA(c) | | | 45,041 | | | | (45,041 | ) | | | — | | | | — | | | | — | |
UBS AG | | | 37,596 | | | | (3,704 | ) | | | — | | | | — | | | | 33,892 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 906,333 | | | $ | (699,021 | ) | | $ | — | | | $ | (3,496 | ) | | $ | 203,816 | |
| | | | | | | | | | | | | | | | | | | | |
| (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) | Represents derivatives owned by the BlackRock Cayman Global Allocation Portfolio I, Ltd., a wholly-owned subsidiary of the Fund. See Note 1 of the Notes to Consolidated Financial Statements. |
| (d) | Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
| (e) | Net amount represents the net amount payable due to the counterparty in the event of default. |
| | |
CONSOLIDATED SCHEDULES OF INVESTMENTS | | 95 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation 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: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | — | | | $ | 654,493 | | | $ | — | | | $ | 654,493 | |
Common Stocks: | | | | | | | | | | | | | | | | |
Australia | | | — | | | | 106,622 | | | | 116,368 | | | | 222,990 | |
Belgium | | | — | | | | 226,315 | | | | — | | | | 226,315 | |
Brazil | | | 20,411 | | | | — | | | | — | | | | 20,411 | |
Canada | | | 1,079,826 | | | | — | | | | — | | | | 1,079,826 | |
Chile | | | 5,685 | | | | — | | | | — | | | | 5,685 | |
China | | | 786,917 | | | | 2,954,569 | | | | — | | | | 3,741,486 | |
Denmark | | | — | | | | 108,875 | | | | — | | | | 108,875 | |
Finland | | | — | | | | 402,395 | | | | — | | | | 402,395 | |
France | | | — | | | | 3,781,896 | | | | — | | | | 3,781,896 | |
Germany | | | — | | | | 2,751,939 | | | | — | | | | 2,751,939 | |
Hong Kong | | | — | | | | 1,469,718 | | | | — | | | | 1,469,718 | |
India | | | 26,536 | | | | 920,208 | | | | — | | | | 946,744 | |
Indonesia | | | — | | | | 54,822 | | | | — | | | | 54,822 | |
Italy | | | — | | | | 2,910,718 | | | | — | | | | 2,910,718 | |
Japan | | | — | | | | 4,097,327 | | | | — | | | | 4,097,327 | |
Mexico | | | 4,763 | | | | — | | | | — | | | | 4,763 | |
Netherlands | | | 1,925,897 | | | | 2,274,152 | | | | — | | | | 4,200,049 | |
Poland | | | — | | | | 1,367 | | | | — | | | | 1,367 | |
Portugal | | | — | | | | 39,060 | | | | — | | | | 39,060 | |
Saudi Arabia | | | — | | | | 767 | | | | — | | | | 767 | |
Singapore | | | — | | | | 515,874 | | | | — | | | | 515,874 | |
South Africa | | | — | | | | 12,960 | | | | — | | | | 12,960 | |
South Korea | | | — | | | | 301,944 | | | | — | | | | 301,944 | |
Spain | | | — | | | | 512,744 | | | | — | | | | 512,744 | |
Sweden | | | — | | | | 6,936 | | | | — | | | | 6,936 | |
Switzerland | | | 73,828 | | | | 2,018,909 | | | | — | | | | 2,092,737 | |
Taiwan | | | — | | | | 1,598,911 | | | | — | | | | 1,598,911 | |
Thailand | | | — | | | | 95,220 | | | | — | | | | 95,220 | |
Turkey | | | — | | | | 8,455 | | | | — | | | | 8,455 | |
United Kingdom | | | 2,643 | | | | 2,248,110 | | | | 254,370 | | | | 2,505,123 | |
United States | | | 70,116,424 | | | | 639,765 | | | | 7,096 | | | | 70,763,285 | |
Zambia | | | 81,086 | | | | — | | | | — | | | | 81,086 | |
Corporate Bonds | | | | | | | | | | | | | | | | |
Australia | | | — | | | | 8,203 | | | | 801,704 | | | | 809,907 | |
Brazil | | | — | | | | 74,002 | | | | — | | | | 74,002 | |
Canada | | | — | | | | 18,946 | | | | — | | | | 18,946 | |
Chile | | | — | | | | 47 | | | | — | | | | 47 | |
China | | | — | | | | 300 | | | | — | | | | 300 | |
Germany | | | — | | | | 112,350 | | | | — | | | | 112,350 | |
Greece | | | — | | | | 126,989 | | | | — | | | | 126,989 | |
India | | | — | | | | 2 | | | | — | | | | 2 | |
Japan | | | — | | | | 52,932 | | | | — | | | | 52,932 | |
Luxembourg | | | — | | | | 181,538 | | | | — | | | | 181,538 | |
Netherlands | | | — | | | | 219,140 | | | | — | | | | 219,140 | |
South Korea | | | — | | | | 8,180 | | | | — | | | | 8,180 | |
Turkey | | | — | | | | — | | | | 101,040 | | | | 101,040 | |
United States | | | — | | | | 9,485,834 | | | | — | | | | 9,485,834 | |
Floating Rate Loan Interests: | | | | | | | | | | | | | | | | |
France | | | — | | | | 202,703 | | | | — | | | | 202,703 | |
Netherlands | | | — | | | | 606,471 | | | | — | | | | 606,471 | |
United States | | | — | | | | 287,984 | | | | 321,874 | | | | 609,858 | |
Foreign Agency Obligations | | | — | | | | 69,082 | | | | — | | | | 69,082 | |
Foreign Government Obligations | | | — | | | | 8,900,245 | | | | — | | | | 8,900,245 | |
Investment Companies | | | 8,009,236 | | | | — | | | | — | | | | 8,009,236 | |
| | |
| 96 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio |
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Non-Agency Mortgage-Backed Securities | | $ | — | | | $ | 409,186 | | | $ | — | | | $ | 409,186 | |
Preferred Securities: | | | | | | | | | | | | | | | | |
Brazil | | | 41,240 | | | | — | | | | — | | | | 41,240 | |
United Kingdom | | | — | | | | 565,349 | | | | — | | | | 565,349 | |
United States | | | 660,022 | | | | 589,616 | | | | 1,590,820 | | | | 2,840,458 | |
Rights | | | 289 | | | | — | | | | — | | | | 289 | |
U.S. Government Sponsored Agency Securities | | | — | | | | 3,565,437 | | | | — | | | | 3,565,437 | |
U.S. Treasury Obligations | | | — | | | | 15,439,287 | | | | — | | | | 15,439,287 | |
Warrants | | | — | | | | — | | | | 4,686 | | | | 4,686 | |
Short-Term Securities: | | | | | | | | | | | | | | | | |
Foreign Government Obligations | | | — | | | | 8,209,830 | | | | — | | | | 8,209,830 | |
Money Market Funds | | | 692,257 | | | | — | | | | — | | | | 692,257 | |
Time Deposits | | | — | | | | 164,117 | | | | — | | | | 164,117 | |
U.S. Treasury Obligations | | | — | | | | 10,748,750 | | | | — | | | | 10,748,750 | |
Options Purchased: | | | | | | | | | | | | | | | | |
Equity contracts | | | 1,225,530 | | | | 409,249 | | | | — | | | | 1,634,779 | |
Foreign currency exchange contracts | | | — | | | | 48,210 | | | | — | | | | 48,210 | |
Interest rate contracts | | | 51,490 | | | | 197,968 | | | | — | | | | 249,458 | |
Liabilities: | | | | | | | | | | | | | | | | |
Investments Sold Short | | | (133,327 | ) | | | — | | | | — | | | | (133,327 | ) |
| | | | | | | | | | | | | | | | |
Subtotal | | $ | 84,670,753 | | | $ | 91,417,018 | | | $ | 3,197,958 | | | $ | 179,285,729 | |
| | | | | | | | | | | | | | | | |
Investments valued at NAV(a) | | | | | | | | | | | | | | | 4,696,473 | |
| | | | | | | | | | | | | | | | |
Total Investments | | | | | | | | | | | | | | $ | 183,982,202 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(b) | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Credit contracts | | $ | — | | | $ | 69,372 | | | $ | — | | | $ | 69,372 | |
Equity contracts | | | 24,268 | | | | 189,744 | | | | — | | | | 214,012 | |
Foreign currency exchange contracts | | | — | | | | 213,298 | | | | — | | | | 213,298 | |
Interest rate contracts | | | 134,462 | | | | 66,928 | | | | — | | | | 201,390 | |
Liabilities: | | | | | | | | | | | | | | | | |
Credit contracts | | | — | | | | (28,781 | ) | | | — | | | | (28,781 | ) |
Equity contracts | | | (1,097,814 | ) | | | (314,040 | ) | | | — | | | | (1,411,854 | ) |
Foreign currency exchange contracts | | | — | | | | (301,826 | ) | | | — | | | | (301,826 | ) |
Interest rate contracts | | | (40,890 | ) | | | (667,124 | ) | | | — | | | | (708,014 | ) |
| | | | | | | | | | | | | | | | |
| | $ | (979,974 | ) | | $ | (772,429 | ) | | $ | — | | | $ | (1,752,403 | ) |
| | | | | | | | | | | | | | | | |
The breakdown of the Fund’s investments into major categories is disclosed in the Consolidated Schedule of Investments above.
| (a) | Certain investments of the Fund were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
| (b) | Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
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:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Common
Stocks | | | Corporate
Bonds | | | Floating
Rate Loan Interests | | | Preferred
Securities | | | Warrants | | | Total | |
Investments: | | | | | | | | | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Opening balance, as of December 31, 2019 | | $ | 339,164 | | | $ | 892,714 | | | $ | — | | | $ | 887,301 | | | $ | — | | | $ | 2,119,179 | |
Transfers into level 3 | | | 198,353 | | | | — | | | | — | | | | — | | | | — | | | | 198,353 | |
Transfers out of level 3 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Accrued discounts/premiums | | | — | | | | (506 | ) | | | 200 | | | | — | | | | — | | | | (306 | ) |
Net realized gain | | | 1,874 | | | | — | | | | — | | | | 2 | | | | — | | | | 1,876 | |
Net change in unrealized appreciation (depreciation)(a)(b) | | | (159,252 | ) | | | (4,677 | ) | | | 8,087 | | | | 264,689 | | | | 4,686 | | | | 113,533 | |
Purchases | | | — | | | | 15,213 | | | | 313,587 | | | | 438,928 | | | | — | | | | 767,728 | |
Sales | | | (2,305 | ) | | | — | | | | — | | | | (100 | ) | | | — | | | | (2,405 | ) |
| | | | |
Closing balance, as of June 30, 2020 | | $ | 377,834 | | | $ | 902,744 | | | $ | 321,874 | | | $ | 1,590,820 | | | $ | 4,686 | | | $ | 3,197,958 | |
| | | | |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2020(b) | | $ | (159,252 | ) | | $ | (4,677 | ) | | $ | 8,087 | | | $ | 264,692 | | | $ | 4,686 | | | $ | 113,536 | |
| | | | |
| | |
CONSOLIDATED SCHEDULES OF INVESTMENTS | | 97 |
| | |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Global Allocation Portfolio |
| (a) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
| (b) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2020 is generally due to investments no longer held or categorized as Level 3 at period end. |
The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Fund’s Level 3 investments as of period end. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $547,721. A significant change in the third party information could result in a significantly lower or higher value of such Level 3 investments.
| | | | | | | | | | | | | | | | | | |
| | | Value | | | Valuation
Approach | | | Unobservable Inputs | | Range of
Unobservable Inputs Utilized (a) | | | Weighted Average of Unobservable Inputs Based on Fair
Value | |
Common Stocks(b) | | $ | 377,834 | | | | Income | | | Discount Rate | | | 16% | | | | — | |
| | | | | | | Market | | | Revenue Multiple | | | 3.13x-14.75x | | | | 3.45x | |
| | | | | | | | | | EBITDA | | | 32.00x | | | | — | |
| | | | | | | | | | Volatility | | | 52% | | | | — | |
| | | | | | | | | | Time to Exit | | | 1.9 | | | | — | |
Corporate Bonds | | | 902,744 | | | | Income | | | Discount Rate | | | 16%-29% | | | | 17 | % |
Floating Rate Loan Interests | | | 60,467 | | | | Income | | | Discount Rate | | | 11% | | | | — | |
Preferred Stocks(c)(d) | | | 1,304,506 | | | | Market | | | Revenue Multiple | | | 6.93x-16.00x | | | | 12.07x | |
| | | | | | | | | | Time to Exit | | | 1.9-3.0 | | | | 2.4 | |
| | | | | | | | | | Volatility | | | 40%-61% | | | | 52 | % |
Warrants | | | 4,686 | | | | Market | | | Revenue Multiple | | | 6.93x | | | | — | |
| | | | | | | | | | Time to Exit | | | 3.0 | | | | — | |
| | | | | | | | | | Volatility | | | 40% | | | | — | |
| | | | | | | | | | | | | | | | | | |
| | $ | 2,650,237 | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| (a) | A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value. |
| (b) | For the period end June 30, 2020, the valuation technique for investments classified as Common Stocks amounting to $254,370 changed to Current Value. The investments were previously valued utilizing Transaction Price approach. The change was due to consideration of the information that was available at the time the investments were valued. |
| (c) | For the period end June 30, 2020, the valuation technique for investments classified as Preferred Stocks amounting to $248,357 changed to Current Value. The investments were previously valued utilizing PWERM approach. The change was due to consideration of the information that was available at the time the investments were valued. |
| (d) | For the period end June 30, 2020, the valuation technique for investments classified as Preferred Stocks amounting to $347,184 changed to Current Value. The investments were previously valued utilizing Transaction Price approach. The change was due to consideration of the information that was available at the time the investments were valued. |
See notes to financial statements.
| | |
| 98 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) June 30, 2020 | | BlackRock Government Money Market Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
U.S. Government Sponsored Agency
Obligations — 42.0% | |
Federal Farm Credit Bank Discount Notes(a): | | | | | | | | | |
0.10%, 07/07/20 | | | USD | | | | 25 | | | $ | 24,993 | |
0.14%, 09/03/20 | | | | | | | 995 | | | | 992,258 | |
0.14%, 09/28/20 | | | | | | | 260 | | | | 258,971 | |
0.15%, 10/02/20 | | | | | | | 300 | | | | 299,597 | |
0.17%, 11/12/20 | | | | | | | 655 | | | | 654,659 | |
0.18%, 12/08/20 | | | | | | | 1,670 | | | | 1,658,838 | |
0.18%, 01/19/21 | | | | | | | 660 | | | | 658,741 | |
0.18%, 01/20/21 | | | | | | | 155 | | | | 154,231 | |
0.17%, 02/12/21 | | | | | | | 565 | | | | 563,475 | |
0.17%, 03/17/21 | | | | | | | 440 | | | | 439,145 | |
0.15%, 06/01/21 | | | | | | | 620 | | | | 618,904 | |
Federal Farm Credit Bank Variable Rate Notes(b): | | | | | | | | | | | | |
(LIBOR USD 1 Month - 0.05%),
0.14%, 08/17/20 | | | | | | | 455 | | | | 455,000 | |
(LIBOR USD 1 Month - 0.04%),
0.15%, 09/11/20 | | | | | | | 545 | | | | 544,997 | |
(LIBOR USD 1 Month + 0.03%),
0.21%, 12/14/20 | | | | | | | 685 | | | | 684,987 | |
(LIBOR USD 1 Month + 0.05%),
0.24%, 04/16/21 | | | | | | | 700 | | | | 700,000 | |
(US Treasury 3 Month Bill Money Market Yield + 0.26%), 0.41%, 06/17/21 | | | | 470 | | | | 469,955 | |
(LIBOR USD 1 Month + 0.16%),
0.33%, 07/01/21 | | | | | | | 380 | | | | 380,000 | |
(US Treasury 3 Month Bill Money Market Yield + 0.23%), 0.38%, 07/08/21 | | | | 275 | | | | 275,000 | |
(LIBOR USD 1 Month + 0.11%), 0.30%, 11/12/21 | | | | | | | 130 | | | | 130,000 | |
(SOFR + 0.19%), 0.27%, 11/18/21 | | | | | | | 215 | | | | 215,000 | |
Federal Farm Credit Banks Funding Corp. Variable Rate Notes(b): | | | | | | | | | |
(US Federal Funds Effective Rate (continuous series) + 0.10%), 0.18%, 12/16/20 | | | | | | | 55 | | | | 55,000 | |
(SOFR + 0.08%), 0.16%, 01/14/21 | | | | | | | 215 | | | | 215,000 | |
(US Treasury 3 Month Bill Money Market Yield + 0.15%), 0.30%, 12/13/21 | | | | 300 | | | | 299,567 | |
(SOFR + 0.18%), 0.26%, 01/14/22 | | | | | | | 490 | | | | 490,000 | |
Federal Home Loan Bank: | | | | | | | | | | | | |
2.63%, 10/01/20 | | | | | | | 285 | | | | 285,690 | |
0.20%, 06/17/21 | | | | | | | 250 | | | | 249,981 | |
Federal Home Loan Bank Discount Notes(a): | | | | | | | | | |
0.10%, 07/06/20 | | | | | | | 2,145 | | | | 2,144,532 | |
0.11%, 07/08/20 | | | | | | | 670 | | | | 669,978 | |
0.11%, 07/15/20 | | | | | | | 505 | | | | 504,694 | |
0.12%, 07/22/20 | | | | | | | 975 | | | | 974,932 | |
0.12%, 07/31/20 | | | | | | | 2,075 | | | | 2,072,295 | |
0.15%, 08/05/20 | | | | | | | 1,920 | | | | 1,919,778 | |
0.15%, 08/14/20 | | | | | | | 805 | | | | 803,444 | |
0.15%, 08/17/20 | | | | | | | 775 | | | | 773,892 | |
0.15%, 08/20/20 | | | | | | | 1,725 | | | | 1,724,401 | |
0.15%, 08/21/20 | | | | | | | 530 | | | | 528,855 | |
0.15%, 08/28/20 | | | | | | | 170 | | | | 169,742 | |
0.18%, 12/04/20 | | | | | | | 655 | | | | 653,013 | |
0.16%, 06/11/21 | | | | | | | 460 | | | | 459,118 | |
Federal Home Loan Bank Variable Rate Notes(b): | | | | | | | | | | | | |
(LIBOR USD 1 Month + 0.01%), 0.18%, 07/10/20 | | | | | | | 1,005 | | | | 1,005,000 | |
(SOFR + 0.08%), 0.16%, 07/24/20 | | | | | | | 170 | | | | 170,000 | |
(SOFR + 0.03%), 0.11%, 08/05/20 | | | | | | | 200 | | | | 200,000 | |
(SOFR + 0.02%), 0.10%, 08/19/20 | | | | | | | 305 | | | | 305,000 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
U.S. Government Sponsored Agency Obligations (continued) | |
(LIBOR USD 1 Month - 0.05%), 0.14%, 08/20/20 | | | USD | | | | 395 | | | $ | 395,000 | |
(SOFR + 0.03%), 0.11%, 08/21/20 | | | | | | | 145 | | | | 145,000 | |
(SOFR + 0.02%), 0.10%, 08/28/20 | | | | | | | 975 | | | | 975,000 | |
(SOFR + 0.09%), 0.16%, 09/11/20 | | | | | | | 790 | | | | 790,000 | |
(SOFR + 0.11%), 0.19%, 10/01/20 | | | | | | | 600 | | | | 600,000 | |
(SOFR + 0.12%), 0.20%, 10/07/20 | | | | | | | 290 | | | | 290,000 | |
(SOFR + 0.13%), 0.21%, 10/16/20 | | | | | | | 2,455 | | | | 2,455,000 | |
(SOFR + 0.05%), 0.13%, 01/22/21 | | | | | | | 190 | | | | 190,000 | |
(SOFR + 0.04%), 0.12%, 02/09/21 | | | | | | | 1,050 | | | | 1,049,893 | |
(SOFR + 0.08%), 0.16%, 03/04/21 | | | | | | | 320 | | | | 320,000 | |
(SOFR + 0.12%), 0.20%, 03/12/21 | | | | | | | 545 | | | | 545,000 | |
(SOFR + 0.11%), 0.19%, 03/25/21 | | | | | | | 225 | | | | 225,000 | |
(LIBOR USD 1 Month - 0.01%),
0.16%, 04/05/21 | | | | | | | 910 | | | | 910,000 | |
(LIBOR USD 1 Month - 0.02%),
0.16%, 04/27/21 | | | | | | | 470 | | | | 469,888 | |
(SOFR + 0.16%), 0.24%, 05/07/21 | | | | | | | 1,500 | | | | 1,500,000 | |
(SOFR + 0.08%), 0.16%, 07/08/21 | | | | | | | 400 | | | | 400,000 | |
(SOFR + 0.09%), 0.16%, 09/10/21 | | | | | | | 950 | | | | 950,000 | |
(SOFR + 0.12%), 0.20%, 02/28/22 | | | | | | | 695 | | | | 695,000 | |
Federal Home Loan Mortgage Corp., (SOFR + 0.19%), 0.27%, 06/02/22(b) | | | | 610 | | | | 610,000 | |
Federal Home Loan Mortgage Corp. Discount
Notes(a): | | | | | | | | | |
0.11%, 07/17/20 | | | | | | | 680 | | | | 679,861 | |
0.12%, 07/24/20 | | | | | | | 380 | | | | 379,837 | |
0.12%, 07/28/20 | | | | | | | 585 | | | | 584,711 | |
Federal Home Loan Mortgage Corp. Variable Rate Notes(b): | | | | | | | | | |
(SOFR + 0.03%), 0.11%, 02/26/21 | | | | | | | 415 | | | | 415,000 | |
(SOFR + 0.18%), 0.26%, 12/13/21 | | | | | | | 200 | | | | 200,000 | |
Federal National Mortgage Association(b): | | | | | | | | | |
(SOFR + 0.35%), 0.43%, 04/07/22 | | | | | | | 555 | | | | 555,000 | |
(SOFR + 0.39%), 0.47%, 04/15/22 | | | | | | | 615 | | | | 615,000 | |
Federal National Mortgage Association Discount Notes, 0.12%, 07/24/20(a) | | | | | | | 385 | | | | 384,835 | |
Federal National Mortgage Association Variable Rate Notes, (SOFR + 0.07%), 0.15%, 12/11/20(b) | | | | | | | 385 | | | | 385,000 | |
| | | | | | | | |
| | |
Total U.S. Government Sponsored Agency Obligations — 42.0%
(Cost: $44,566,688) | | | | | | | | 44,566,688 | |
| | | | | | | | |
| | |
U.S. Treasury Obligations — 21.8% | | | | | | | | | |
U.S. Treasury Bills(a): | | | | | | | | | | | | |
0.10%, 07/14/20 | | | | | | | 2,000 | | | | 1,999,908 | |
0.11%, 07/21/20 | | | | | | | 3,000 | | | | 2,999,792 | |
0.12%, 07/23/20 | | | | | | | 2,000 | | | | 1,999,847 | |
0.13%, 07/30/20 | | | | | | | 965 | | | | 964,901 | |
0.13%, 08/04/20 | | | | | | | 3,000 | | | | 2,999,603 | |
0.14%, 08/18/20 | | | | | | | 1,100 | | | | 1,099,828 | |
0.14%, 08/27/20 | | | | | | | 690 | | | | 689,064 | |
0.14%, 09/03/20 | | | | | | | 400 | | | | 399,420 | |
0.14%, 09/10/20 | | | | | | | 265 | | | | 264,091 | |
0.16%, 10/15/20 | | | | | | | 490 | | | | 489,582 | |
0.16%, 10/22/20 | | | | | | | 1,300 | | | | 1,299,377 | |
0.16%, 10/29/20 | | | | | | | 315 | | | | 314,841 | |
0.18%, 11/10/20 | | | | | | | 75 | | | | 74,952 | |
0.15%, 11/24/20 | | | | | | | 1,255 | | | | 1,254,065 | |
0.16%, 02/25/21 | | | | | | | 1,000 | | | | 998,805 | |
0.17%, 05/20/21 | | | | | | | 735 | | | | 733,945 | |
U.S. Treasury Notes: | | | | | | | | | | | | |
(US Treasury 3 Month Bill Money Market Yield + 0.05%), 0.20%, 10/31/20(b) | | | | | | | 1,300 | | | | 1,299,548 | |
| | |
SCHEDULES OF INVESTMENTS | | 99 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Government Money Market Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
U.S. Treasury Obligations (continued) | |
1.75%, 11/15/20 | | | USD | | | | 110 | | | $ | 110,055 | |
2.63%, 11/15/20 | | | | | | | 300 | | | | 301,087 | |
1.63%, 11/30/20 | | | | | | | 120 | | | | 119,980 | |
2.00%, 11/30/20 | | | | | | | 70 | | | | 70,097 | |
2.00%, 01/15/21 | | | | | | | 190 | | | | 191,675 | |
(US Treasury 3 Month Bill Money Market Yield + 0.12%), 0.27%, 01/31/21(b) | | | | | | | 1,000 | | | | 1,000,000 | |
(US Treasury 3 Month Bill Money Market Yield + 0.14%), 0.29%, 04/30/21(b) | | | | | | | 100 | | | | 99,932 | |
(US Treasury 3 Month Bill Money Market Yield + 0.22%), 0.37%, 07/31/21(b) | | | | | | | 1,000 | | | | 1,000,000 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
U.S. Treasury Obligations (continued) | |
(US Treasury 3 Month Bill Money Market Yield + 0.30%), 0.45%, 10/31/21(b) | | | USD | | | | 335 | | | $ | 335,266 | |
| | | | | | | | | | | | |
| |
Total U.S. Treasury Obligations — 21.8%
(Cost: $23,109,661) | | | | 23,109,661 | |
| | | | | | | | | | | | |
| |
Total Repurchase Agreements — 32.5%
(Cost: $34,400,000) | | | | 34,400,000 | |
| | | | | | | | |
| |
Total Investments — 96.3%
(Cost: $102,076,349)(c) | | | | 102,076,349 | |
| |
Other Assets Less Liabilities — 3.7% | | | | 3,870,425 | |
| | | | | | | | |
| | | |
Net Assets — 100.0% | | | | | | | | | | $ | 105,946,774 | |
| | | | | | | | |
| (a) | Rates are the current rate or a range of current rates as of period end. |
| (b) | Variable rate security. Rate shown is the rate in effect as of period end. |
| (c) | Cost for U.S. federal income tax purposes. |
Repurchase Agreements
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Repurchase Agreements | | | | Collateral | |
| Counterparty | | Coupon
Rate | | | Purchase
Date | | | Maturity
Date | | | Par
(000) | | | At Value
(000) | | | Proceeds
Including
Interest | | | | Position | | Original Par | | Position
Received,
At Value | |
Bank of America Securities, Inc. | | | 0.09 | % | | | 06/30/20 | | | | 07/01/20 | | | $ | 5,000 | | | $ | 5,000 | | | $ 5,000,012 | | | | U.S. Government Sponsored Agency Obligation, 0.00%, due 03/23/28 | | $ 5,574,000 | | $ | 5,100,433 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
BNP Paribas SA | | | 0.09 | | | | 06/30/20 | | | | 07/01/20 | | | | 4,000 | | | | 4,000 | | | 4,000,010 | | | | U.S. Government Sponsored Agency Obligations and U.S. Treasury Obligations, 0.00% to 4.50%, due 11/15/26 to 11/15/48 | | 17,653,740 | | | 4,080,001 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Goldman Sachs & Co. LLC | | | 0.11 | | | | 06/24/20 | | | | 07/01/20 | | | | 3,900 | | | | 3,900 | | | 3,900,083 | | | | U.S. Treasury Obligation, 0.00%, due 11/15/43 | | 5,531,600 | | | 3,978,011 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
JP Morgan Securities LLC | | | 0.07 | | | | 06/30/20 | | | | 07/01/20 | | | | 4,000 | | | | 4,000 | | | 4,000,008 | | | | U.S. Treasury Obligations, 0.00% to 2.00%, due 10/15/20 to 05/15/25 | | 4,038,962 | | | 4,080,003 | |
| | | 0.26 | (a) | | | 06/30/20 | | | | 08/05/20 | | | | 2,500 | | | | 2,500 | | | 2,500,656 | | | | U.S. Government Sponsored Agency Obligations, 0.02% to 6.35%, due 05/16/37 to 02/16/54 | | 249,098,807 | | | 2,625,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total JP Morgan Securities LLC | | | | | | | | | | | | | | | | | | $ | 6,500 | | | | | | | | | | | $ | 6,705,003 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Mizuho Securities USA LLC | | | 0.09 | | | | 06/30/20 | | | | 07/01/20 | | | | 7,000 | | | | 7,000 | | | 7,000,017 | | | | U.S. Government Sponsored Agency Obligations, 3.00% to 3.50%, due 02/25/50 to 05/01/50 | | 6,676,709 | | | 7,285,288 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
TD Securities USA LLC | | | 0.07 | | | | 06/30/20 | | | | 07/01/20 | | | | 3,000 | | | | 3,000 | | | 3,000,006 | | | | U.S. Treasury Obligations, 1.50% to 2.88%, due 07/31/20 to 05/15/21 | | 3,022,800 | | | 3,060,025 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Wells Fargo Securities LLC | | | 0.07 | | | | 06/30/20 | | | | 07/01/20 | | | | 5,000 | | | | 5,000 | | | 5,000,010 | | | | U.S. Treasury Obligation, 1.75%, due 11/30/21 | | 4,981,600 | | | 5,100,060 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 34,400 | | | | | | | | | | | $ | 35,308,821 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
| | |
| 100 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock Government Money Market Portfolio |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments. For information about the Fund’s policy regarding valuation of investments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s investments categorized in the disclosure hierarchy:
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets: | | | | | | | | | | | | | | | | |
Investments: | | | | | | | | | | | | | | | | |
Short-Term Securities | | $ | — | | | $ | 102,076,349 | | | $ | — | | | $ | 102,076,349 | |
| | | | | | | | | | | | | | | | |
The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.
See notes to financial statements.
| | |
SCHEDULES OF INVESTMENTS | | 101 |
| | |
Schedule of Investments (unaudited) June 30, 2020 | | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Shares | | | Value | |
|
Common Stocks — 1.2% | |
| | | |
| Building Products — 0.0% | | | | | | | | | |
AZEK Co., Inc. (The)(a) | | | | | | | 17 | | | $ | 542 | |
| | | | | | | | |
| | | |
| Chemicals — 0.3% | | | | | | | | | |
Element Solutions, Inc.(a) | | | | | | | 7,232 | | | | 78,467 | |
| | | | | | | | |
| | | |
| Energy Equipment & Services — 0.0%(a) | | | | | | | | | |
McDermott International, Inc. | | | | | | | 673 | | | | 48 | |
Pioneer Energy Services Corp.(b) | | | | | | | 84 | | | | 3,262 | |
| | | | | | | | |
| | | | | | | | | | | 3,310 | |
| | | |
| Entertainment — 0.1% | | | | | | | | | |
Live Nation Entertainment, Inc.(a) | | | | | | | 289 | | | | 12,811 | |
| | | | | | | | |
|
| Equity Real Estate Investment Trusts (REITs) — 0.4% | |
Gaming and Leisure Properties, Inc. | | | | | | | 1,344 | | | | 46,502 | |
VICI Properties, Inc. | | | | | | | 2,984 | | | | 60,247 | |
| | | | | | | | |
| | | | | | | | | | | 106,749 | |
|
| Hotels, Restaurants & Leisure — 0.1% | |
Churchill Downs, Inc. | | | | | | | 43 | | | | 5,726 | |
Hilton Worldwide Holdings, Inc. | | | | | | | 172 | | | | 12,633 | |
Six Flags Entertainment Corp. | | | | | | | 660 | | | | 12,679 | |
| | | | | | | | |
| | | | | | | | | | | 31,038 | |
|
| Life Sciences Tools & Services — 0.0% | |
PPD, Inc.(a) | | | | | | | 114 | | | | 3,055 | |
| | | | | | | | |
|
| Media — 0.0% | |
Clear Channel Outdoor Holdings, Inc.(a) | | | | | | | 8,587 | | | | 8,931 | |
| | | | | | | | |
|
| Metals & Mining — 0.1% | |
Constellium SE, Class A(a) | | | | | | | 5,016 | | | | 38,523 | |
| | | | | | | | |
|
| Pharmaceuticals — 0.2% | |
Bausch Health Cos., Inc.(a) | | | | | | | 2,279 | | | | 41,683 | |
| | | | | | | | |
| |
Total Common Stocks — 1.2%
(Cost: $385,045) | | | | 325,109 | |
| | | | | | | | |
| | |
| | | Par (000) | | | | |
|
Corporate Bonds — 85.5% | |
|
| Aerospace & Defense — 3.5% | |
Boeing Co. (The), 5.15%, 05/01/30 | | | USD | | | | 130 | | | | 144,954 | |
Bombardier, Inc.(c): | | | | | | | | | | | | |
8.75%, 12/01/21 | | | | | | | 76 | | | | 61,750 | |
5.75%, 03/15/22 | | | | | | | 8 | | | | 5,904 | |
6.13%, 01/15/23 | | | | | | | 26 | | | | 17,883 | |
7.50%, 12/01/24 | | | | | | | 42 | | | | 27,510 | |
7.50%, 03/15/25 | | | | | | | 2 | | | | 1,305 | |
7.88%, 04/15/27 | | | | | | | 98 | | | | 64,190 | |
BWX Technologies, Inc.(c): | | | | | | | | | | | | |
5.38%, 07/15/26 | | | | | | | 14 | | | | 14,425 | |
4.13%, 06/30/28 | | | | | | | 22 | | | | 21,945 | |
Howmet Aerospace, Inc., 5.13%, 10/01/24 | | | . | | | | 21 | | | | 21,753 | |
Huntington Ingalls Industries, Inc., 4.20%, 05/01/30(c) | | | | | | | 17 | | | | 18,943 | |
Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(c) | | | | | | | 28 | | | | 29,050 | |
Leidos, Inc., 4.38%, 05/15/30(c) | | | | | | | 25 | | | | 28,161 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Aerospace & Defense (continued) | |
Signature Aviation US Holdings, Inc.(c): | | | | | | | | | | | | |
5.38%, 05/01/26 | | | USD | | | | 3 | | | $ | 3,002 | |
4.00%, 03/01/28 | | | | | | | 25 | | | | 22,594 | |
SSL Robotics LLC, 9.75%, 12/31/23(c) | | | | | | | 11 | | | | 11,770 | |
TransDigm, Inc.(c): | | | | | | | | | | | | |
8.00%, 12/15/25 | | | | | | | 61 | | | | 64,111 | |
6.25%, 03/15/26 | | | | | | | 410 | | | | 408,983 | |
| | | | | | | | |
| | | | | | | | | | | 968,233 | |
| |
| Air Freight & Logistics — 0.0% | | | | |
XPO Logistics, Inc., 6.25%, 05/01/25(c) | | | | | | | 6 | | | | 6,285 | |
| | | | | | | | |
| | | |
| Airlines — 0.2%(c) | | | | | | | | | |
American Airlines, Inc., 11.75%, 07/15/25 | | | | | | | 14 | | | | 13,261 | |
Delta Air Lines, Inc., 7.00%, 05/01/25 | | | | | | | 34 | | | | 35,097 | |
| | | | | | | | |
| | | | | | | | | | | 48,358 | |
|
| Auto Components — 1.6% | |
Adient US LLC, 9.00%, 04/15/25(c) | | | | | | | 17 | | | | 18,312 | |
Allison Transmission, Inc., 5.88%, 06/01/29(c) | | | | | | | 60 | | | | 62,400 | |
Clarios Global LP(c): | | | | | | | | | | | | |
6.75%, 05/15/25 | | | | | | | 22 | | | | 22,880 | |
6.25%, 05/15/26 | | | | | | | 110 | | | | 113,438 | |
8.50%, 05/15/27 | | | | | | | 111 | | | | 111,549 | |
Dealer Tire LLC, 8.00%, 02/01/28(c) | | | | | | | 25 | | | | 23,156 | |
Goodyear Tire & Rubber Co. (The),
9.50%, 05/31/25 | | | | | | | 17 | | | | 18,190 | |
Icahn Enterprises LP: | | | | | | | | | | | | |
6.75%, 02/01/24 | | | | | | | 12 | | | | 12,090 | |
4.75%, 09/15/24 | | | | | | | 13 | | | | 12,223 | |
6.38%, 12/15/25 | | | | | | | 19 | | | | 18,810 | |
6.25%, 05/15/26 | | | | | | | 6 | | | | 6,004 | |
5.25%, 05/15/27 | | | | | | | 27 | | | | 26,055 | |
| | | | | | | | |
| | | | | | | | | | | 445,107 | |
| | | |
| Automobiles — 0.7% | | | | | | | | | |
Ford Motor Co.: | | | | | | | | | | | | |
8.50%, 04/21/23 | | | | | | | 21 | | | | 22,208 | |
4.35%, 12/08/26 | | | | | | | 5 | | | | 4,664 | |
4.75%, 01/15/43 | | | | | | | 9 | | | | 7,090 | |
5.29%, 12/08/46 | | | | | | | 10 | | | | 8,223 | |
General Motors Co.: | | | | | | | | | | | | |
6.13%, 10/01/25 | | | | | | | 13 | | | | 14,608 | |
6.80%, 10/01/27 | | | | | | | 50 | | | | 58,263 | |
5.00%, 10/01/28 | | | | | | | 5 | | | | 5,318 | |
5.95%, 04/01/49 | | | | | | | 22 | | | | 23,128 | |
Tesla, Inc., 5.30%, 08/15/25(c) | | | | | | | 36 | | | | 36,000 | |
| | | | | | | | |
| | | | | | | | | | | 179,502 | |
| | | |
| Banks — 0.2% | | | | | | | | | |
Banco Espirito Santo SA, 4.75%, 01/15/18(a)(d) | | | EUR | | | | 100 | | | | 17,976 | |
CIT Group, Inc.: | | | | | | | | | | | | |
5.00%, 08/01/23 | | | USD | | | | 6 | | | | 6,119 | |
5.25%, 03/07/25 | | | | | | | 24 | | | | 24,865 | |
| | | | | | | | |
| | | | | | | | | | | 48,960 | |
|
| Building Products — 0.5%(c) | |
Advanced Drainage Systems, Inc., 5.00%, 09/30/27 | | | | | | | 24 | | | | 24,180 | |
Builders FirstSource, Inc., 6.75%, 06/01/27 | | | | | | | 10 | | | | 10,237 | |
Griffon Corp., 5.75%, 03/01/28 | | | | | | | 8 | | | | 7,900 | |
JELD-WEN, Inc.: | | | | | | | | | | | | |
6.25%, 05/15/25 | | | | | | | 13 | | | | 13,488 | |
4.63%, 12/15/25 | | | | | | | 2 | | | | 1,920 | |
Masonite International Corp.: | | | | | | | | | | | | |
5.75%, 09/15/26 | | | | | | | 9 | | | | 9,270 | |
5.38%, 02/01/28 | | | | | | | 8 | | | | 8,180 | |
Standard Industries, Inc.: | | | | | | | | | | | | |
5.00%, 02/15/27 | | | | | | | 12 | | | | 12,150 | |
| | |
| 102 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Building Products (continued) | |
4.38%, 07/15/30 | | | USD | | | | 41 | | | $ | 40,898 | |
| | | | | | | | |
| | | | | | | | | | | 128,223 | |
| | | |
| Capital Markets — 0.9% | | | | | | | | | |
Goldman Sachs Group, Inc. (The), Series R, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.22%), 4.95%(e)(f) | | | | 70 | | | | 66,500 | |
Intercontinental Exchange, Inc., 3.00%, 06/15/50 | | | | | | | 15 | | | | 15,516 | |
MSCI, Inc.(c): | | | | | | | | | | | | |
4.00%, 11/15/29 | | | | | | | 4 | | | | 4,080 | |
3.63%, 09/01/30 | | | | | | | 7 | | | | 6,965 | |
3.88%, 02/15/31 | | | | | | | 63 | | | | 64,260 | |
Owl Rock Capital Corp.: | | | | | | | | | | | | |
5.25%, 04/15/24 | | | | | | | 6 | | | | 6,271 | |
4.00%, 03/30/25 | | | | | | | 15 | | | | 14,815 | |
3.75%, 07/22/25 | | | | | | | 65 | | | | 63,444 | |
| | | | | | | | |
| | | | | | | | | | | 241,851 | |
| | | |
| Chemicals — 1.6% | | | | | | | | | |
Blue Cube Spinco LLC: | | | | | | | | | | | | |
9.75%, 10/15/23 | | | | | | | 10 | | | | 10,300 | |
10.00%, 10/15/25 | | | | | | | 50 | | | | 52,125 | |
Chemours Co. (The), 6.63%, 05/15/23 | | | | | | | 41 | | | | 39,360 | |
Element Solutions, Inc., 5.88%, 12/01/25(c) | | | | 137 | | | | 138,327 | |
Gates Global LLC, 6.25%, 01/15/26(c) | | | | | | | 33 | | | | 32,422 | |
GCP Applied Technologies, Inc.,
5.50%, 04/15/26(c) | | | | | | | 19 | | | | 18,952 | |
Illuminate Buyer LLC, 9.00%, 07/01/28(c) | | | | | | | 16 | | | | 16,680 | |
Minerals Technologies, Inc., 5.00%, 07/01/28(c) | | | | 15 | | | | 15,225 | |
NOVA Chemicals Corp., 4.88%, 06/01/24(c) | | | | 4 | | | | 3,730 | |
PQ Corp., 5.75%, 12/15/25(c) | | | | | | | 63 | | | | 63,473 | |
Valvoline, Inc., 4.25%, 02/15/30(c) | | | | | | | 25 | | | | 24,625 | |
W.R. Grace & Co., 5.63%, 10/01/24(c) | | | | | | | 3 | | | | 3,158 | |
WR Grace & Co.-Conn., 4.88%, 06/15/27(c) | | | | 24 | | | | 24,313 | |
| | | | | | | | |
| | | | | | | | | | | 442,690 | |
| | |
| Commercial Services & Supplies — 2.7% | | | | | | | |
ADT Security Corp. (The), 4.88%, 07/15/32(c) | | | | 52 | | | | 47,320 | |
Allied Universal Holdco LLC(c): | | | | | | | | | | | | |
6.63%, 07/15/26 | | | | | | | 176 | | | | 184,800 | |
9.75%, 07/15/27 | | | | | | | 47 | | | | 49,526 | |
APX Group, Inc.: | | | | | | | | | | | | |
7.88%, 12/01/22 | | | | | | | 13 | | | | 12,935 | |
8.50%, 11/01/24 | | | | | | | 4 | | | | 3,900 | |
6.75%, 02/15/27(c) | | | | | | | 25 | | | | 23,594 | |
Aramark Services, Inc.(c): | | | | | | | | | | | | |
5.00%, 04/01/25 | | | | | | | 4 | | | | 3,940 | |
6.38%, 05/01/25 | | | | | | | 21 | | | | 21,685 | |
Brink’s Co. (The), 5.50%, 07/15/25(c) | | | | | | | 10 | | | | 10,185 | |
Clean Harbors, Inc.(c): | | | | | | | | | | | | |
4.88%, 07/15/27 | | | | | | | 10 | | | | 10,275 | |
5.13%, 07/15/29 | | | | | | | 13 | | | | 13,483 | |
Garda World Security Corp.(c): | | | | | | | | | | | | |
4.63%, 02/15/27 | | | | | | | 26 | | | | 25,610 | |
9.50%, 11/01/27 | | | | | | | 18 | | | | 19,035 | |
GFL Environmental, Inc.(c): | | | | | | | | | | | | |
4.25%, 06/01/25 | | | | | | | 8 | | | | 8,070 | |
7.00%, 06/01/26 | | | | | | | 76 | | | | 78,660 | |
5.13%, 12/15/26 | | | | | | | 49 | | | | 50,715 | |
8.50%, 05/01/27 | | | | | | | 25 | | | | 27,187 | |
IAA, Inc., 5.50%, 06/15/27(c) | | | | | | | 11 | | | | 11,348 | |
KAR Auction Services, Inc., 5.13%, 06/01/25(c) | | | | 4 | | | | 3,940 | |
Mobile Mini, Inc., 5.88%, 07/01/24 | | | | | | | 50 | | | | 51,465 | |
Nielsen Co. Luxembourg SARL (The),
5.00%, 02/01/25(c) | | | | 6 | | | | 5,895 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
| Commercial Services & Supplies (continued) | |
Prime Security Services Borrower LLC(c): | | | | | | | | | |
5.25%, 04/15/24 | | | USD | | | | 8 | | | $ | 8,180 | |
5.75%, 04/15/26 | | | | | | | 6 | | | | 6,222 | |
6.25%, 01/15/28 | | | | | | | 23 | | | | 21,678 | |
Waste Pro USA, Inc., 5.50%, 02/15/26(c) | | | | | | | 40 | | | | 38,180 | |
| | | | | | | | |
| | | | | | | | | | | 737,828 | |
|
| Communications Equipment — 0.7% | |
CommScope Technologies LLC, 6.00%, 06/15/25(c) | | | | | | | 34 | | | | 32,834 | |
CommScope, Inc.(c): | | | | | | | | | | | | |
5.50%, 03/01/24 | | | | | | | 37 | | | | 37,370 | |
5.50%, 06/15/24 | | | | | | | 8 | | | | 8,147 | |
6.00%, 03/01/26 | | | | | | | 33 | | | | 33,825 | |
Nokia OYJ, 6.63%, 05/15/39 | | | | | | | 8 | | | | 9,502 | |
ViaSat, Inc.(c): | | | | | | | | | | | | |
5.63%, 04/15/27 | | | | | | | 33 | | | | 33,784 | |
6.50%, 07/15/28 | | | | | | | 27 | | | | 27,005 | |
| | | | | | | | |
| | | | | | | | | | | 182,467 | |
| | | |
| Construction & Engineering — 0.2%(c) | | | | | | | | | |
Brand Industrial Services, Inc., 8.50%, 07/15/25 | | | | 46 | | | | 41,400 | |
New Enterprise Stone & Lime Co., Inc.: | | | | | | | | | | | | |
10.13%, 04/01/22 | | | | | | | 17 | | | | 16,915 | |
6.25%, 03/15/26 | | | | | | | 7 | | | | 7,035 | |
| | | | | | | | |
| | | | | | | | | | | 65,350 | |
| |
| Consumer Finance — 2.0% | | | | |
Ally Financial, Inc.: | | | | | | | | | | | | |
5.80%, 05/01/25 | | | | | | | 68 | | | | 75,763 | |
8.00%, 11/01/31 | | | | | | | 110 | | | | 141,935 | |
Ford Motor Credit Co. LLC, 3.35%, 11/01/22 | | | | 200 | | | | 191,556 | |
General Motors Financial Co., Inc., 5.65%, 01/17/29 | | | | 7 | | | | 7,877 | |
Global Aircraft Leasing Co. Ltd., 6.50%, (6.50% Cash or 7.25% PIK), 09/15/24(c)(g) | | | | 28 | | | | 19,880 | |
Navient Corp.: | | | | | | | | | | | | |
7.25%, 09/25/23 | | | | | | | 8 | | | | 7,819 | |
6.13%, 03/25/24 | | | | | | | 6 | | | | 5,700 | |
5.88%, 10/25/24 | | | | | | | 2 | | | | 1,879 | |
6.75%, 06/15/26 | | | | | | | 2 | | | | 1,850 | |
5.00%, 03/15/27 | | | | | | | 2 | | | | 1,680 | |
Springleaf Finance Corp.: | | | | | | | | | | | | |
6.88%, 03/15/25 | | | | | | | 27 | | | | 27,700 | |
8.88%, 06/01/25 | | | | | | | 8 | | | | 8,553 | |
7.13%, 03/15/26 | | | | | | | 14 | | | | 14,490 | |
6.63%, 01/15/28 | | | | | | | 28 | | | | 27,720 | |
5.38%, 11/15/29 | | | | | | | 3 | | | | 2,805 | |
| | | | | | | | |
| | | | | | | | | | | 537,207 | |
|
| Containers & Packaging — 1.6% | |
Ball Corp., 4.88%, 03/15/26 | | | | | | | 12 | | | | 13,050 | |
Crown Americas LLC: | | | | | | | | | | | | |
4.75%, 02/01/26 | | | | | | | 10 | | | | 10,190 | |
4.25%, 09/30/26 | | | | | | | 33 | | | | 33,743 | |
Crown Cork & Seal Co., Inc., 7.38%, 12/15/26 | | | | 4 | | | | 4,680 | |
Graphic Packaging International LLC(c): | | | | | | | | | | | | |
4.75%, 07/15/27 | | | | | | | 9 | | | | 9,495 | |
3.50%, 03/15/28 | | | | | | | 11 | | | | 10,914 | |
Intertape Polymer Group, Inc., 7.00%, 10/15/26(c) | | | | | | | 15 | | | | 15,415 | |
LABL Escrow Issuer LLC, 6.75%, 07/15/26(c) | | | | 39 | | | | 40,572 | |
Mauser Packaging Solutions Holding Co., 5.50%, 04/15/24(c) | | | | 39 | | | | 38,305 | |
Reynolds Group Issuer, Inc., 7.00%, 07/15/24(c) | | | | 18 | | | | 18,051 | |
Sealed Air Corp., 6.88%, 07/15/33(c) | | | | | | | 9 | | | | 10,643 | |
Silgan Holdings, Inc., 4.13%, 02/01/28(c) | | | | | | | 10 | | | | 9,912 | |
| | |
SCHEDULES OF INVESTMENTS | | 103 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Containers & Packaging (continued) | |
Trivium Packaging Finance BV,
8.50%, 08/15/27(c)(h) | | | USD | | | | 200 | | | $ | 213,750 | |
| | | | | | | | |
| | | | | | | | | | | 428,720 | |
| | | |
| Distributors — 0.6%(c) | | | | | | | | | |
American Builders & Contractors Supply Co., Inc., 4.00%, 01/15/28 | | | | | | | 17 | | | | 16,520 | |
Core & Main LP, 6.13%, 08/15/25 | | | | | | | 141 | | | | 140,528 | |
Wolverine Escrow LLC: | | | | | | | | | | | | |
8.50%, 11/15/24 | | | | | | | 17 | | | | 12,920 | |
9.00%, 11/15/26 | | | | | | | 6 | | | | 4,320 | |
| | | | | | | | |
| | | | | | | | | | | 174,288 | |
| | | |
| Diversified Consumer Services — 0.2% | | | | | | | | | |
frontdoor, Inc., 6.75%, 08/15/26(c) | | | | | | | 14 | | | | 14,875 | |
Graham Holdings Co., 5.75%, 06/01/26(c) | | | | | | | 8 | | | | 8,273 | |
Laureate Education, Inc., 8.25%, 05/01/25(c) | | | | | | | 11 | | | | 11,412 | |
Service Corp. International, 5.13%, 06/01/29 | | | | | | | 5 | | | | 5,380 | |
ServiceMaster Co. LLC (The),
5.13%, 11/15/24(c) | | | | | | | 17 | | | | 17,234 | |
| | | | | | | | |
| | | | | | | | | | | 57,174 | |
| | | |
| Diversified Financial Services — 1.7%(c) | | | | | | | | | |
Fairstone Financial, Inc., 7.88%, 07/15/24 | | | | | | | 16 | | | | 15,680 | |
MPH Acquisition Holdings LLC, 7.13%, 06/01/24 | | | | | | | 72 | | | | 66,960 | |
Refinitiv US Holdings, Inc.: | | | | | | | | | | | | |
4.50%, 05/15/26 | | | EUR | | | | 100 | | | | 116,947 | |
6.25%, 05/15/26 | | | USD | | | | 20 | | | | 21,200 | |
8.25%, 11/15/26 | | | | | | | 71 | | | | 76,891 | |
Verscend Escrow Corp., 9.75%, 08/15/26 | | | | | | | 165 | | | | 177,268 | |
| | | | | | | | |
| | | | | | | | | | | 474,946 | |
|
| Diversified Telecommunication Services — 6.5% | |
Altice France Holding SA, 10.50%, 05/15/27(c) | | | | | | | 200 | | | | 220,310 | |
Altice France SA, 8.13%, 02/01/27(c) | | | | | | | 248 | | | | 271,250 | |
CCO Holdings LLC(c): | | | | | | | | | | | | |
5.13%, 05/01/27 | | | | | | | 22 | | | | 22,761 | |
5.00%, 02/01/28 | | | | | | | 8 | | | | 8,260 | |
5.38%, 06/01/29 | | | | | | | 26 | | | | 27,430 | |
4.75%, 03/01/30 | | | | | | | 29 | | | | 29,673 | |
4.50%, 08/15/30 | | | | | | | 90 | | | | 91,800 | |
4.50%, 05/01/32 | | | | | | | 101 | | | | 102,262 | |
CenturyLink, Inc.: | | | | | | | | | | | | |
Series W, 6.75%, 12/01/23 | | | | | | | 11 | | | | 11,823 | |
Series Y, 7.50%, 04/01/24 | | | | | | | 31 | | | | 34,063 | |
5.13%, 12/15/26(c) | | | | | | | 90 | | | | 89,775 | |
4.00%, 02/15/27(c) | | | | | | | 45 | | | | 43,706 | |
Series P, 7.60%, 09/15/39 | | | | | | | 31 | | | | 33,364 | |
Series U, 7.65%, 03/15/42 | | | | | | | 43 | | | | 46,117 | |
Cincinnati Bell, Inc., 7.00%, 07/15/24(c) | | | | | | | 19 | | | | 19,380 | |
Frontier Communications Corp., 8.00%, 04/01/27(c)(h) | | | | | | | 120 | | | | 121,697 | |
Intelsat Jackson Holdings SA,
8.00%, 02/15/24(c)(h) | | | | | | | 5 | | | | 5,071 | |
Level 3 Financing, Inc.: | | | | | | | | | | | | |
5.25%, 03/15/26 | | | | | | | 1 | | | | 1,027 | |
4.63%, 09/15/27(c) | | | | | | | 9 | | | | 9,068 | |
4.25%, 07/01/28(c) | | | | | | | 69 | | | | 68,921 | |
Qualitytech LP, 4.75%, 11/15/25(c) | | | | | | | 10 | | | | 10,205 | |
Sprint Capital Corp.: | | | | | | | | | | | | |
6.88%, 11/15/28 | | | | | | | 53 | | | | 64,527 | |
8.75%, 03/15/32 | | | | | | | 71 | | | | 101,619 | |
Telecom Italia Capital SA: | | | | | | | | | | | | |
6.38%, 11/15/33 | | | | | | | 37 | | | | 41,718 | |
6.00%, 09/30/34 | | | | | | | 51 | | | | 55,437 | |
7.20%, 07/18/36 | | | | | | | 6 | | | | 7,140 | |
7.72%, 06/04/38 | | | | | | | 9 | | | | 11,324 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
| Diversified Telecommunication Services (continued) | | | | |
Telesat Canada(c): | | | | | | | | | | | | |
4.88%, 06/01/27 | | | USD | | | | 53 | | | $ | 51,940 | |
6.50%, 10/15/27 | | | | | | | 2 | | | | 1,961 | |
Zayo Group Holdings, Inc.(c): | | | | | | | | | | | | |
4.00%, 03/01/27 | | | | | | | 73 | | | | 69,464 | |
6.13%, 03/01/28 | | | | | | | 104 | | | | 101,140 | |
| | | | | | | | |
| | | | | | | | | | | 1,774,233 | |
| | | |
| Electric Utilities — 0.6% | | | | | | | | | |
NextEra Energy Operating Partners LP(c): | | | | | | | | | |
4.25%, 07/15/24 | | | | | | | 7 | | | | 7,079 | |
4.25%, 09/15/24 | | | | | | | 14 | | | | 14,083 | |
4.50%, 09/15/27 | | | | | | | 9 | | | | 9,408 | |
NRG Energy, Inc.(c): | | | | | | | | | | | | |
4.45%, 06/15/29 | | | | | | | 46 | | | | 48,280 | |
5.25%, 06/15/29 | | | | | | | 26 | | | | 27,300 | |
PG&E Corp., 5.25%, 07/01/30 | | | | | | | 30 | | | | 30,171 | |
Vistra Operations Co. LLC(c): | | | | | | | | | | | | |
3.55%, 07/15/24 | | | | | | | 6 | | | | 6,192 | |
5.00%, 07/31/27 | | | | | | | 2 | | | | 2,022 | |
4.30%, 07/15/29 | | | | | | | 30 | | | | 31,541 | |
| | | | | | | | |
| | | | | | | | | | | 176,076 | |
| | | |
| Electrical Equipment — 0.1% | | | | | | | | | |
Sensata Technologies BV(c): | | | | | | | | | | | | |
5.63%, 11/01/24 | | | | | | | 9 | | | | 9,540 | |
5.00%, 10/01/25 | | | | | | | 24 | | | | 25,553 | |
| | | | | | | | |
| | | | | | | | | | | 35,093 | |
|
| Electronic Equipment, Instruments & Components — 0.1% | |
CDW LLC, 4.13%, 05/01/25 | | | | | | | 15 | | | | 15,019 | |
Sensata Technologies, Inc., 4.38%, 02/15/30(c) | | | | 16 | | | | 15,840 | |
| | | | | | | | |
| | | | | | | | | | | 30,859 | |
| | |
| Energy Equipment & Services — 0.7% | | | | | | | |
Archrock Partners LP(c): | | | | | | | | | | | | |
6.88%, 04/01/27 | | | | | | | 21 | | | | 19,782 | |
6.25%, 04/01/28 | | | | | | | 2 | | | | 1,820 | |
ChampionX Corp., 6.38%, 05/01/26 | | | | | | | 22 | | | | 20,444 | |
Nabors Industries Ltd.(c): | | | | | | | | | | | | |
7.25%, 01/15/26 | | | | | | | 9 | | | | 5,535 | |
7.50%, 01/15/28 | | | | | | | 7 | | | | 4,305 | |
Pioneer Energy Services Corp.(c): | | | | | | | | | | | | |
(LIBOR USD 3 Month + 9.50%), 11.00%, 05/15/25(f) | | | | | | | 34 | | | | 27,207 | |
5.00%, (5.00% Cash or 5.00%
PIK), 11/15/25(g)(i) | | | | | | | 23 | | | | 12,430 | |
Tervita Corp., 7.63%, 12/01/21(c) | | | | | | | 24 | | | | 18,840 | |
Transocean, Inc.: | | | | | | | | | | | | |
6.50%, 11/15/20 | | | | | | | 3 | | | | 2,730 | |
8.00%, 02/01/27(c) | | | | | | | 29 | | | | 16,004 | |
USA Compression Partners LP: | | | | | | | | | | | | |
6.88%, 04/01/26 | | | | | | | 36 | | | | 34,785 | |
6.88%, 09/01/27 | | | | | | | 21 | | | | 20,160 | |
| | | | | | | | |
| | | | | | | | | | | 184,042 | |
|
| Entertainment — 1.0% | |
Lions Gate Capital Holdings LLC(c): | | | | | | | | | | | | |
6.38%, 02/01/24 | | | | | | | 3 | | | | 2,925 | |
5.88%, 11/01/24 | | | | | | | 14 | | | | 13,370 | |
Live Nation Entertainment, Inc.: | | | | | | | | | | | | |
2.50%, 03/15/23(i) | | | | | | | 20 | | | | 20,287 | |
6.50%, 05/15/27(c) | | | | | | | 82 | | | | 84,460 | |
Netflix, Inc.: | | | | | | | | | | | | |
4.88%, 04/15/28 | | | | | | | 3 | | | | 3,208 | |
5.88%, 11/15/28 | | | | | | | 60 | | | | 68,325 | |
5.38%, 11/15/29(c) | | | | | | | 27 | | | | 29,571 | |
4.88%, 06/15/30(c) | | | | | | | 27 | | | | 28,957 | |
| | |
| 104 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| Entertainment (continued) | | | | | | | | | |
WMG Acquisition Corp.(c): | | | | | | | | | | | | |
5.50%, 04/15/26 | | | USD | | | | 12 | | | $ | 12,416 | |
3.88%, 07/15/30 | | | | | | | 17 | | | | 17,171 | |
| | | | | | | | |
| | | | | | | | | | | 280,690 | |
|
| Equity Real Estate Investment Trusts (REITs) — 3.9% | |
Brookfield Property REIT, Inc.,
5.75%, 05/15/26(c) | | | | | | | 16 | | | | 13,520 | |
Diversified Healthcare Trust, 9.75%, 06/15/25 | | | | 20 | | | | 21,475 | |
GLP Capital LP: | | | | | | | | | | | | |
3.35%, 09/01/24 | | | | | | | 15 | | | | 14,988 | |
5.25%, 06/01/25 | | | | | | | 33 | | | | 35,884 | |
5.38%, 04/15/26 | | | | | | | 11 | | | | 12,019 | |
4.00%, 01/15/30 | | | | | | | 44 | | | | 43,615 | |
4.00%, 01/15/31 | | | | | | | 15 | | | | 14,891 | |
Iron Mountain, Inc.(c): | | | | | | | | | | | | |
4.88%, 09/15/29 | | | | | | | 4 | | | | 3,890 | |
5.25%, 07/15/30 | | | | | | | 36 | | | | 35,460 | |
5.63%, 07/15/32 | | | | | | | 43 | | | | 42,910 | |
MGM Growth Properties Operating Partnership LP: | | | | | | | | | |
5.63%, 05/01/24 | | | | | | | 48 | | | | 49,681 | |
4.63%, 06/15/25(c) | | | | | | | 37 | | | | 36,181 | |
4.50%, 09/01/26 | | | | | | | 32 | | | | 31,690 | |
5.75%, 02/01/27 | | | | | | | 27 | | | | 27,675 | |
4.50%, 01/15/28 | | | | | | | 31 | | | | 29,450 | |
MPT Operating Partnership LP: | | | | | | | | | | | | |
5.00%, 10/15/27 | | | | | | | 69 | | | | 70,897 | |
4.63%, 08/01/29 | | | | | | | 44 | | | | 44,220 | |
Ryman Hospitality Properties, Inc., 4.75%, 10/15/27(c) | | | | 41 | | | | 36,490 | |
SBA Communications Corp.: | | | | | | | | | | | | |
4.88%, 09/01/24 | | | | | | | 33 | | | | 33,784 | |
3.88%, 02/15/27(c) | | | | | | | 97 | | | | 96,636 | |
Service Properties Trust: | | | | | | | | | | | | |
4.50%, 06/15/23 | | | | | | | 5 | | | | 4,787 | |
4.35%, 10/01/24 | | | | | | | 4 | | | | 3,605 | |
7.50%, 09/15/25 | | | | | | | 29 | | | | 30,553 | |
Uniti Group LP: | | | | | | | | | | | | |
6.00%, 04/15/23(c) | | | | | | | 27 | | | | 26,325 | |
8.25%, 10/15/23 | | | | | | | 10 | | | | 9,450 | |
7.88%, 02/15/25(c) | | | | | | | 10 | | | | 10,133 | |
VICI Properties LP(c): | | | | | | | | | | | | |
3.50%, 02/15/25 | | | | | | | 37 | | | | 34,780 | |
4.25%, 12/01/26 | | | | | | | 81 | | | | 77,557 | |
3.75%, 02/15/27 | | | | | | | 39 | | | | 36,660 | |
4.63%, 12/01/29 | | | | | | | 44 | | | | 42,900 | |
4.13%, 08/15/30 | | | | | | | 89 | | | | 84,884 | |
| | | | | | | | |
| | | | | | | | | | | 1,056,990 | |
| |
| Food & Staples Retailing — 0.4%(c) | | | | |
Albertsons Cos., Inc.: | | | | | | | | | | | | |
4.63%, 01/15/27 | | | | | | | 46 | | | | 46,000 | |
5.88%, 02/15/28 | | | | | | | 27 | | | | 27,858 | |
4.88%, 02/15/30 | | | | | | | 29 | | | | 29,671 | |
US Foods, Inc., 6.25%, 04/15/25 | | | | | | | 12 | | | | 12,210 | |
| | | | | | | | |
| | | | | | | | | | | 115,739 | |
| | | |
| Food Products — 2.7% | | | | | | | | | |
Chobani LLC, 7.50%, 04/15/25(c) | | | | | | | 43 | | | | 41,495 | |
Darling Ingredients, Inc., 5.25%, 04/15/27(c) | | | | 3 | | | | 3,083 | |
JBS USA LUX SA(c): | | | | | | | | | | | | |
6.75%, 02/15/28 | | | | | | | 43 | | | | 45,338 | |
6.50%, 04/15/29 | | | | | | | 51 | | | | 54,124 | |
5.50%, 01/15/30 | | | | | | | 24 | | | | 24,600 | |
Kraft Heinz Foods Co.: | | | | | | | | | | | | |
3.88%, 05/15/27(c) | | | | | | | 4 | | | | 4,180 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Food Products (continued) | |
4.25%, 03/01/31(c) | | | USD | | | | 117 | | | $ | 124,054 | |
5.00%, 07/15/35 | | | | | | | 10 | | | | 11,003 | |
6.88%, 01/26/39 | | | | | | | 22 | | | | 27,197 | |
4.63%, 10/01/39(c) | | | | | | | 7 | | | | 7,029 | |
6.50%, 02/09/40 | | | | | | | 15 | | | | 18,055 | |
5.20%, 07/15/45 | | | | | | | 26 | | | | 28,196 | |
4.38%, 06/01/46 | | | | | | | 49 | | | | 48,172 | |
4.88%, 10/01/49(c) | | | | | | | 71 | | | | 72,300 | |
5.50%, 06/01/50(c) | | | | | | | 114 | | | | 121,519 | |
Lamb Weston Holdings, Inc., 4.88%, 05/15/28(c) | | | | 27 | | | | 28,607 | |
Post Holdings, Inc.(c): | | | | | | | | | | | | |
5.00%, 08/15/26 | | | | | | | 14 | | | | 14,052 | |
5.63%, 01/15/28 | | | | | | | 16 | | | | 16,560 | |
5.50%, 12/15/29 | | | | | | | 5 | | | | 5,171 | |
4.63%, 04/15/30 | | | | | | | 27 | | | | 26,428 | |
Simmons Foods, Inc., 7.75%, 01/15/24(c) | | | | 25 | | | | 26,080 | |
| | | | | | | | |
| | | | | | | | | | | 747,243 | |
| | | |
| Gas Utilities — 0.3% | | | | | | | | | |
Ferrellgas LP, 10.00%, 04/15/25(c) | | | | | | | 64 | | | | 68,960 | |
| | | | | | | | |
| | |
| Health Care Equipment & Supplies — 0.9% | | | | | | | |
DENTSPLY SIRONA, Inc., 3.25%, 06/01/30 | | | | 10 | | | | 10,513 | |
Hologic, Inc., 4.63%, 02/01/28(c) | | | | | | | 24 | | | | 24,900 | |
Ortho-Clinical Diagnostics, Inc.(c): | | | | | | | | | | | | |
7.38%, 06/01/25 | | | | | | | 51 | | | | 51,892 | |
7.25%, 02/01/28 | | | | | | | 112 | | | | 113,846 | |
Teleflex, Inc., 4.25%, 06/01/28(c) | | | | | | | 37 | | | | 37,925 | |
| | | | | | | | |
| | | | | | | | | | | 239,076 | |
|
| Health Care Providers & Services — 4.8% | |
Acadia Healthcare Co., Inc.: | | | | | | | | | | | | |
5.13%, 07/01/22 | | | | | | | 12 | | | | 12,004 | |
5.63%, 02/15/23 | | | | | | | 6 | | | | 6,002 | |
5.50%, 07/01/28(c) | | | | | | | 17 | | | | 17,042 | |
AHP Health Partners, Inc., 9.75%, 07/15/26(c) | | | | 16 | | | | 16,440 | |
Centene Corp.: | | | | | | | | | | | | |
5.38%, 08/15/26(c) | | | | | | | 30 | | | | 31,206 | |
4.25%, 12/15/27 | | | | | | | 61 | | | | 62,947 | |
4.63%, 12/15/29 | | | | | | | 106 | | | | 111,830 | |
3.38%, 02/15/30 | | | | | | | 41 | | | | 41,398 | |
Community Health Systems, Inc.(c): | | | | | | | | | | | | |
8.63%, 01/15/24 | | | | | | | 58 | | | | 56,717 | |
6.63%, 02/15/25 | | | | | | | 24 | | | | 22,560 | |
8.00%, 03/15/26 | | | | | | | 91 | | | | 86,013 | |
Encompass Health Corp.: | | | | | | | | | | | | |
4.50%, 02/01/28 | | | | | | | 4 | | | | 3,836 | |
4.75%, 02/01/30 | | | | | | | 5 | | | | 4,775 | |
HCA, Inc.: | | | | | | | | | | | | |
5.38%, 02/01/25 | | | | | | | 43 | | | | 46,064 | |
5.63%, 09/01/28 | | | | | | | 68 | | | | 75,905 | |
5.88%, 02/01/29 | | | | | | | 20 | | | | 22,632 | |
3.50%, 09/01/30 | | | | | | | 107 | | | | 103,059 | |
LifePoint Health, Inc.(c): | | | | | | | | | | | | |
6.75%, 04/15/25 | | | | | | | 16 | | | | 16,520 | |
4.38%, 02/15/27 | | | | | | | 7 | | | | 6,615 | |
MEDNAX, Inc.(c): | | | | | | | | | | | | |
5.25%, 12/01/23 | | | | | | | 15 | | | | 14,925 | |
6.25%, 01/15/27 | | | | | | | 8 | | | | 8,000 | |
Molina Healthcare, Inc.: | | | | | | | | | | | | |
5.38%, 11/15/22(h) | | | | | | | 10 | | | | 10,200 | |
4.38%, 06/15/28(c) | | | | | | | 23 | | | | 22,971 | |
Polaris Intermediate Corp., 8.50%, (8.50% Cash or 9.25% PIK), 12/01/22(c)(g) | | | | 40 | | | | 34,907 | |
Surgery Center Holdings, Inc.(c): | | | | | | | | | | | | |
6.75%, 07/01/25 | | | | | | | 64 | | | | 57,384 | |
10.00%, 04/15/27 | | | | | | | 30 | | | | 30,000 | |
| | |
SCHEDULES OF INVESTMENTS | | 105 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Health Care Providers & Services (continued) | |
Tenet Healthcare Corp.: | | | | | | | | | | | | |
8.13%, 04/01/22 | | | USD | | | | 65 | | | $ | 68,250 | |
4.63%, 07/15/24 | | | | | | | 24 | | | | 23,515 | |
4.63%, 09/01/24(c) | | | | | | | 13 | | | | 12,708 | |
7.50%, 04/01/25(c) | | | | | | | 27 | | | | 28,721 | |
4.88%, 01/01/26(c) | | | | | | | 116 | | | | 112,955 | |
6.25%, 02/01/27(c) | | | | | | | 9 | | | | 8,933 | |
5.13%, 11/01/27(c) | | | | | | | 56 | | | | 55,255 | |
4.63%, 06/15/28(c) | | | | | | | 12 | | | | 11,690 | |
Vizient, Inc., 6.25%, 05/15/27(c) | | | | | | | 28 | | | | 29,330 | |
West Street Merger Sub, Inc.,
6.38%, 09/01/25(c) | | | | | | | 32 | | | | 30,960 | |
| | | | | | | | |
| | | | | | | | | | | 1,304,269 | |
|
| Hotels, Restaurants & Leisure — 5.1% | |
1011778 BC ULC(c): | | | | | | | | | | | | |
5.75%, 04/15/25 | | | | | | | 25 | | | | 26,250 | |
5.00%, 10/15/25 | | | | | | | 107 | | | | 106,370 | |
3.88%, 01/15/28 | | | | | | | 29 | | | | 28,135 | |
4.38%, 01/15/28 | | | | | | | 44 | | | | 43,128 | |
Boyd Gaming Corp.: | | | | | | | | | | | | |
8.63%, 06/01/25(c) | | | | | | | 13 | | | | 13,585 | |
6.38%, 04/01/26 | | | | | | | 4 | | | | 3,800 | |
Boyne USA, Inc., 7.25%, 05/01/25(c) | | | | | | | 16 | | | | 16,760 | |
Carnival Corp., 11.50%, 04/01/23(c) | | | | | | | 42 | | | | 45,570 | |
Cedar Fair LP, 5.50%, 05/01/25(c) | | | | | | | 48 | | | | 48,240 | |
Churchill Downs, Inc.(c): | | | | | | | | | | | | |
5.50%, 04/01/27 | | | | | | | 36 | | | | 35,237 | |
4.75%, 01/15/28 | | | | | | | 41 | | | | 39,565 | |
Colt Merger Sub, Inc.(c): | | | | | | | | | | | | |
5.75%, 07/01/25 | | | | | | | 41 | | | | 41,234 | |
6.25%, 07/01/25 | | | | | | | 139 | | | | 138,131 | |
8.13%, 07/01/27 | | | | | | | 74 | | | | 71,502 | |
Eldorado Resorts, Inc., 6.00%, 09/15/26 | | | | | | | 12 | | | | 12,964 | |
Golden Nugget, Inc., 6.75%, 10/15/24(c) | | | | | | | 84 | | | | 60,375 | |
Hilton Domestic Operating Co., Inc.: | | | | | | | | | | | | |
5.38%, 05/01/25(c) | | | | | | | 12 | | | | 12,000 | |
5.13%, 05/01/26 | | | | | | | 31 | | | | 30,865 | |
5.75%, 05/01/28(c) | | | | | | | 15 | | | | 15,150 | |
4.88%, 01/15/30 | | | | | | | 64 | | | | 63,040 | |
Hilton Worldwide Finance LLC, 4.88%, 04/01/27 | | | | | | | 14 | | | | 13,668 | |
IRB Holding Corp., 7.00%, 06/15/25(c) | | | | | | | 16 | | | | 16,491 | |
Las Vegas Sands Corp.: | | | | | | | | | | | | |
2.90%, 06/25/25 | | | | | | | 5 | | | | 4,856 | |
3.50%, 08/18/26 | | | | | | | 6 | | | | 5,983 | |
3.90%, 08/08/29 | | | | | | | 4 | | | | 3,946 | |
Marriott International, Inc., Series EE, 5.75%, 05/01/25 | | | | 12 | | | | 13,036 | |
Marriott Ownership Resorts, Inc., 6.50%, 09/15/26 | | | | | | | 2 | | | | 2,015 | |
MGM Resorts International: | | | | | | | | | | | | |
7.75%, 03/15/22 | | | | | | | 46 | | | | 46,920 | |
6.00%, 03/15/23 | | | | | | | 25 | | | | 25,250 | |
Royal Caribbean Cruises Ltd.(c): | | | | | | | | | | | | |
10.88%, 06/01/23 | | | | | | | 10 | | | | 10,275 | |
9.13%, 06/15/23 | | | | | | | 15 | | | | 14,869 | |
11.50%, 06/01/25 | | | | | | | 20 | | | | 20,869 | |
Sabre GLBL, Inc.(c): | | | | | | | | | | | | |
5.25%, 11/15/23 | | | | | | | 4 | | | | 3,680 | |
9.25%, 04/15/25 | | | | | | | 39 | | | | 41,096 | |
Scientific Games International, Inc.(c): | | | | | | | | | | | | |
8.63%, 07/01/25 | | | | | | | 18 | | | | 16,824 | |
5.00%, 10/15/25 | | | | | | | 41 | | | | 37,854 | |
8.25%, 03/15/26 | | | | | | | 33 | | | | 29,597 | |
7.00%, 05/15/28 | | | | | | | 19 | | | | 15,200 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Hotels, Restaurants & Leisure (continued) | |
7.25%, 11/15/29 | | | USD | | | | 14 | | | $ | 11,200 | |
Six Flags Theme Parks, Inc., 7.00%, 07/01/25(c) | | | | 69 | | | | 71,329 | |
Station Casinos LLC, 4.50%, 02/15/28(c) | | | | | | | 17 | | | | 14,386 | |
Vail Resorts, Inc., 6.25%, 05/15/25(c) | | | | | | | 14 | | | | 14,648 | |
Wynn Las Vegas LLC, 5.25%, 05/15/27(c) | | | | 28 | | | | 24,206 | |
Wynn Resorts Finance LLC(c): | | | | | | | | | | | | |
7.75%, 04/15/25 | | | | | | | 17 | | | | 17,122 | |
5.13%, 10/01/29 | | | | | | | 45 | | | | 40,219 | |
Yum! Brands, Inc.: | | | | | | | | | | | | |
7.75%, 04/01/25(c) | | | | | | | 20 | | | | 21,575 | |
4.75%, 01/15/30(c) | | | | | | | 12 | | | | 12,180 | |
5.35%, 11/01/43 | | | | | | | 2 | | | | 1,920 | |
| | | | | | | | |
| | | | | | | | | | | 1,403,115 | |
| | | |
| Household Durables — 1.3% | | | | | | | | | |
Ashton Woods USA LLC, 6.63%, 01/15/28(c) | | | | 7 | | | | 6,877 | |
Brookfield Residential Properties, Inc.(c): | | | | | | | | | | | | |
6.25%, 09/15/27 | | | | | | | 7 | | | | 6,694 | |
4.88%, 02/15/30 | | | | | | | 14 | | | | 11,699 | |
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25(c) | | | | 23 | | | | 23,913 | |
Installed Building Products, Inc.,
5.75%, 02/01/28(c) | | | | | | | 13 | | | | 13,000 | |
K. Hovnanian Enterprises, Inc.,
7.75%, 02/15/26(c) | | | | | | | 28 | | | | 27,580 | |
Lennar Corp.: | | | | | | | | | | | | |
5.25%, 06/01/26 | | | | | | | 10 | | | | 10,800 | |
4.75%, 11/29/27 | | | | | | | 40 | | | | 43,400 | |
Mattamy Group Corp.(c): | | | | | | | | | | | | |
5.25%, 12/15/27 | | | | | | | 14 | | | | 13,930 | |
4.63%, 03/01/30 | | | | | | | 16 | | | | 15,360 | |
MDC Holdings, Inc., 6.00%, 01/15/43 | | | | | | | 10 | | | | 10,525 | |
Meritage Homes Corp., 5.13%, 06/06/27 | | | | 4 | | | | 4,120 | |
Newell Brands, Inc., 4.88%, 06/01/25 | | | | | | | 13 | | | | 13,615 | |
Picasso Finance Sub, Inc., 6.13%, 06/15/25(c) | | | | 45 | | | | 46,012 | |
PulteGroup, Inc.: | | | | | | | | | | | | |
7.88%, 06/15/32 | | | | | | | 2 | | | | 2,556 | |
6.38%, 05/15/33 | | | | | | | 30 | | | | 35,100 | |
6.00%, 02/15/35 | | | | | | | 6 | | | | 6,906 | |
Taylor Morrison Communities, Inc., 5.88%, 06/15/27(c) | | | | 7 | | | | 7,250 | |
Tempur Sealy International, Inc., 5.50%, 06/15/26 | | | | | | | 2 | | | | 2,020 | |
TRI Pointe Group, Inc., 5.70%, 06/15/28 | | | | | | | 5 | | | | 5,075 | |
Williams Scotsman International, Inc.(c): | | | | | | | | | | | | |
7.88%, 12/15/22 | | | | | | | 12 | | | | 12,473 | |
6.88%, 08/15/23 | | | | | | | 26 | | | | 26,688 | |
| | | | | | | | |
| | | | | | | | | | | 345,593 | |
|
| Household Products — 0.2%(c) | |
Energizer Holdings, Inc.: | | | | | | | | | | | | |
6.38%, 07/15/26 | | | | | | | 8 | | | | 8,272 | |
7.75%, 01/15/27 | | | | | | | 6 | | | | 6,398 | |
4.75%, 06/15/28 | | | | | | | 17 | | | | 16,676 | |
Spectrum Brands, Inc.: | | | | | | | | | | | | |
5.00%, 10/01/29 | | | | | | | 6 | | | | 5,925 | |
5.50%, 07/15/30 | | | | | | | 13 | | | | 13,016 | |
| | | | | | | | |
| | | | | | | | | | | 50,287 | |
|
Independent Power and Renewable Electricity Producers — 1.0%
| |
Calpine Corp.: | | | | | | | | | | | | |
5.50%, 02/01/24 | | | | | | | 9 | | | | 8,978 | |
5.75%, 01/15/25 | | | | | | | 18 | | | | 18,176 | |
5.25%, 06/01/26(c) | | | | | | | 23 | | | | 23,223 | |
4.50%, 02/15/28(c) | | | | | | | 43 | | | | 41,925 | |
5.13%, 03/15/28(c) | | | | | | | 132 | | | | 129,360 | |
Clearway Energy Operating LLC, 4.75%, 03/15/28(c) | | | | 32 | | | | 32,638 | |
| | |
| 106 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Independent Power and Renewable Electricity Producers (continued) | |
Pattern Energy Group, Inc., 5.88%, 02/01/24(c) | | | USD | | | | 24 | | | $ | 24,120 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 278,420 | |
| | | |
| Insurance — 1.1% | | | | | | | | | |
Acrisure LLC, 8.13%, 02/15/24(c) | | | | | | | 3 | | | | 3,119 | |
Alliant Holdings Intermediate LLC, 6.75%, 10/15/27(c) | | | | | | | 128 | | | | 127,567 | |
AmWINS Group, Inc., 7.75%, 07/01/26(c) | | | | | | | 5 | | | | 5,250 | |
GTCR AP Finance, Inc., 8.00%, 05/15/27(c) | | | | | | | 23 | | | | 23,675 | |
HUB International Ltd., 7.00%, 05/01/26(c) | | | | | | | 123 | | | | 122,742 | |
NFP Corp.(c): | | | | | | | | | | | | |
7.00%, 05/15/25 | | | | | | | 9 | | | | 9,450 | |
8.00%, 07/15/25 | | | | | | | 14 | | | | 13,685 | |
Willis North America, Inc., 2.95%, 09/15/29 | | | | | | | 5 | | | | 5,293 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 310,781 | |
| | | |
| Interactive Media & Services — 0.2%(c) | | | | | | | | | |
Match Group, Inc.: | | | | | | | | | | | | |
4.63%, 06/01/28 | | | | | | | 17 | | | | 17,149 | |
4.13%, 08/01/30 | | | | | | | 16 | | | | 15,665 | |
Rackspace Hosting, Inc., 8.63%, 11/15/24 | | | | | | | 18 | | | | 18,090 | |
Twitter, Inc., 3.88%, 12/15/27 | | | | | | | 2 | | | | 2,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 52,904 | |
| | | |
| Internet & Direct Marketing Retail — 0.2%(c) | | | | | | | | | |
Expedia Group, Inc., 6.25%, 05/01/25 | | | | | | | 56 | | | | 59,655 | |
Go Daddy Operating Co. LLC, 5.25%, 12/01/27 | | | | | | | 5 | | | | 5,088 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 64,743 | |
| | | |
| IT Services — 1.2%(c) | | | | | | | | | |
Banff Merger Sub, Inc., 9.75%, 09/01/26 | | | | | | | 150 | | | | 150,938 | |
Booz Allen Hamilton, Inc., 5.13%, 05/01/25 | | | | | | | 59 | | | | 59,885 | |
Gartner, Inc., 4.50%, 07/01/28 | | | | | | | 29 | | | | 29,339 | |
Northwest Fiber LLC, 10.75%, 06/01/28 | | | | | | | 9 | | | | 9,360 | |
Presidio Holdings, Inc., 4.88%, 02/01/27 | | | | | | | 30 | | | | 29,325 | |
Science Applications International Corp., 4.88%, 04/01/28 | | | | | | | 23 | | | | 22,864 | |
Tempo Acquisition LLC, 5.75%, 06/01/25 | | | | | | | 18 | | | | 18,450 | |
WEX, Inc., 4.75%, 02/01/23 | | | | | | | 19 | | | | 18,864 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 339,025 | |
| | | |
| Leisure Products — 0.2% | | | | | | | | | |
Mattel, Inc.: | | | | | | | | | | | | |
6.75%, 12/31/25(c) | | | | | | | 49 | | | | 50,838 | |
6.20%, 10/01/40 | | | | | | | 2 | | | | 1,730 | |
5.45%, 11/01/41 | | | | | | | 12 | | | | 9,956 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 62,524 | |
| | | |
| Life Sciences Tools & Services — 0.7%(c) | | | | | | | | | |
Avantor, Inc.: | | | | | | | | | | | | |
6.00%, 10/01/24 | | | | | | | 101 | | | | 105,545 | |
9.00%, 10/01/25 | | | | | | | 58 | | | | 62,350 | |
Charles River Laboratories International, Inc.: | | | | | | | | | | | | |
5.50%, 04/01/26 | | | | | | | 16 | | | | 16,640 | |
4.25%, 05/01/28 | | | | | | | 18 | | | | 17,991 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 202,526 | |
| | | |
| Machinery — 1.3% | | | | | | | | | |
Amsted Industries, Inc., 5.63%, 07/01/27(c) | | | | | | | 15 | | | | 15,469 | |
Clark Equipment Co., 5.88%, 06/01/25(c) | | | | | | | 25 | | | | 25,562 | |
Colfax Corp., 6.38%, 02/15/26(c) | | | | | | | 27 | | | | 28,215 | |
EnPro Industries, Inc., 5.75%, 10/15/26 | | | | | | | 11 | | | | 11,000 | |
Grinding Media, Inc., 7.38%, 12/15/23(c) | | | | | | | 28 | | | | 27,860 | |
Husky III Holding Ltd., 13.00%, (13.00% Cash or 13.75% PIK), 02/15/25(c)(g) | | | | | | | 27 | | | | 25,987 | |
Mueller Water Products, Inc., 5.50%, 06/15/26(c) | | | | | | | 9 | | | | 9,315 | |
Navistar International Corp.(c): | | | | | | | | | | | | |
9.50%, 05/01/25 | | | | | | | 7 | | | | 7,501 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Machinery (continued) | | | | | | | | | |
6.63%, 11/01/25 | | | USD | | | | 31 | | | $ | 29,372 | |
RBS Global, Inc., 4.88%, 12/15/25(c) | | | | | | | 42 | | | | 42,210 | |
SPX FLOW, Inc., 5.63%, 08/15/24(c) | | | | | | | 29 | | | | 29,653 | |
Stevens Holding Co., Inc., 6.13%, 10/01/26(c) | | | | | | | 20 | | | | 20,900 | |
Terex Corp., 5.63%, 02/01/25(c) | | | | | | | 16 | | | | 14,560 | |
Titan Acquisition Ltd., 7.75%, 04/15/26(c) | | | | | | | 48 | | | | 45,420 | |
Wabash National Corp., 5.50%, 10/01/25(c) | | | | | | | 23 | | | | 21,103 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 354,127 | |
| | | |
| Media — 4.9% | | | | | | | | | |
Altice Financing SA, 7.50%, 05/15/26(c) | | | | | | | 200 | | | | 209,500 | |
AMC Networks, Inc.: | | | | | | | | | | | | |
5.00%, 04/01/24 | | | | | | | 2 | | | | 1,980 | |
4.75%, 08/01/25 | | | | | | | 14 | | | | 13,793 | |
Block Communications, Inc., 4.88%, 03/01/28(c) | | | | | | | 12 | | | | 11,853 | |
Clear Channel Worldwide Holdings, Inc.: | | | | | | | | | | | | |
9.25%, 02/15/24 | | | | | | | 34 | | | | 31,538 | |
5.13%, 08/15/27(c) | | | | | | | 167 | | | | 160,320 | |
CSC Holdings LLC: | | | | | | | | | | | | |
5.25%, 06/01/24 | | | | | | | 5 | | | | 5,262 | |
6.50%, 02/01/29(c) | | | | | | | 200 | | | | 218,750 | |
Diamond Sports Group LLC, 5.38%, 08/15/26(c) | | | | | | | 42 | | | | 30,398 | |
DISH DBS Corp.: | | | | | | | | | | | | |
6.75%, 06/01/21 | | | | | | | 11 | | | | 11,206 | |
5.88%, 07/15/22 | | | | | | | 152 | | | | 154,554 | |
5.00%, 03/15/23 | | | | | | | 23 | | | | 22,945 | |
7.75%, 07/01/26 | | | | | | | 41 | | | | 43,460 | |
DISH Network Corp.(i): | | | | | | | | | | | | |
2.38%, 03/15/24 | | | | | | | 26 | | | | 23,266 | |
3.38%, 08/15/26 | | | | | | | 38 | | | | 34,907 | |
Entercom Media Corp., 6.50%, 05/01/27(c) | | | | | | | 30 | | | | 26,925 | |
GCI LLC, 6.63%, 06/15/24(c) | | | | | | | 15 | | | | 15,697 | |
Lamar Media Corp.(c): | | | | | | | | | | | | |
4.88%, 01/15/29 | | | | | | | 7 | | | | 7,035 | |
4.00%, 02/15/30 | | | | | | | 7 | | | | 6,700 | |
Meredith Corp., 6.88%, 02/01/26 | | | | | | | 4 | | | | 3,326 | |
Midcontinent Communications,
5.38%, 08/15/27(c) | | | | | | | 16 | | | | 16,246 | |
Outfront Media Capital LLC, 5.00%, 08/15/27(c) | | | | | | | 19 | | | | 17,100 | |
Radiate Holdco LLC(c): | | | | | | | | | | | | |
6.88%, 02/15/23 | | | | | | | 11 | | | | 11,138 | |
6.63%, 02/15/25 | | | | | | | 16 | | | | 15,923 | |
Sirius XM Radio, Inc.(c): | | | | | | | | | | | | |
5.00%, 08/01/27 | | | | | | | 15 | | | | 15,331 | |
5.50%, 07/01/29 | | | | | | | 30 | | | | 31,579 | |
4.13%, 07/01/30 | | | | | | | 38 | | | | 37,580 | |
TEGNA, Inc., 5.50%, 09/15/24(c) | | | | | | | 8 | | | | 8,080 | |
Terrier Media Buyer, Inc., 8.88%, 12/15/27(c) | | | | | | | 54 | | | | 51,773 | |
Univision Communications, Inc.(c): | | | | | | | | | | | | |
5.13%, 02/15/25 | | | | | | | 11 | | | | 10,361 | |
6.63%, 06/01/27 | | | | | | | 49 | | | | 46,795 | |
Videotron Ltd., 5.13%, 04/15/27(c) | | | | | | | 40 | | | | 41,505 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,336,826 | |
| | | |
| Metals & Mining — 3.5% | | | | | | | | | |
Arconic Corp.(c): | | | | | | | | | | | | |
6.00%, 05/15/25 | | | | | | | 32 | | | | 33,080 | |
6.13%, 02/15/28 | | | | | | | 22 | | | | 21,995 | |
Big River Steel LLC, 7.25%, 09/01/25(c) | | | | | | | 38 | | | | 36,290 | |
Constellium SE, 5.88%, 02/15/26(c) | | | | | | | 250 | | | | 250,668 | |
Freeport-McMoRan, Inc.: | | | | | | | | | | | | |
3.88%, 03/15/23 | | | | | | | 56 | | | | 56,000 | |
4.25%, 03/01/30 | | | | | | | 48 | | | | 46,560 | |
5.45%, 03/15/43 | | | | | | | 200 | | | | 196,000 | |
Kaiser Aluminum Corp.(c): | | | | | | | | | | | | |
6.50%, 05/01/25 | | | | | | | 11 | | | | 11,371 | |
| | |
SCHEDULES OF INVESTMENTS | | 107 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Metals & Mining (continued) | | | | | | | | | |
4.63%, 03/01/28 | | | USD | | | | 6 | | | $ | 5,738 | |
New Gold, Inc.(c): | | | | | | | | | | | | |
6.25%, 11/15/22 | | | | | | | 28 | | | | 28,297 | |
6.38%, 05/15/25 | | | | | | | 18 | | | | 18,180 | |
7.50%, 07/15/27 | | | | | | | 26 | | | | 26,824 | |
Novelis Corp.(c): | | | | | | | | | | | | |
5.88%, 09/30/26 | | | | | | | 91 | | | | 90,886 | |
4.75%, 01/30/30 | | | | | | | 80 | | | | 76,400 | |
United States Steel Corp., 12.00%, 06/01/25(c) | | | | | | | 44 | | | | 45,100 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 943,389 | |
|
| Mortgage Real Estate Investment Trusts (REITs) — 0.0% | |
Starwood Property Trust, Inc., 5.00%, 12/15/21 | | | | | | | 7 | | | | 6,790 | |
| | | | | | | | | | | | |
| | | |
| Multiline Retail — 0.5%(c) | | | | | | | | | |
Macy’s, Inc., 8.38%, 06/15/25 | | | | | | | 57 | | | | 56,743 | |
Nordstrom, Inc., 8.75%, 05/15/25 | | | | | | | 64 | | | | 68,873 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 125,616 | |
| | | |
| Oil, Gas & Consumable Fuels — 10.4% | | | | | | | | | |
Apache Corp.: | | | | | | | | | | | | |
3.25%, 04/15/22 | | | | | | | 2 | | | | 1,935 | |
5.25%, 02/01/42 | | | | | | | 5 | | | | 4,081 | |
4.75%, 04/15/43 | | | | | | | 26 | | | | 20,932 | |
4.25%, 01/15/44 | | | | | | | 41 | | | | 31,173 | |
5.35%, 07/01/49 | | | | | | | 6 | | | | 4,788 | |
Ascent Resources Utica Holdings LLC, 10.00%, 04/01/22(c) | | | | | | | 45 | | | | 38,362 | |
Baytex Energy Corp., 8.75%, 04/01/27(c) | | | | | | | 25 | | | | 13,250 | |
Buckeye Partners LP: | | | | | | | | | | | | |
4.13%, 03/01/25(c) | | | | | | | 14 | | | | 13,430 | |
3.95%, 12/01/26 | | | | | | | 6 | | | | 5,654 | |
4.50%, 03/01/28(c) | | | | | | | 21 | | | | 19,635 | |
5.85%, 11/15/43 | | | | | | | 12 | | | | 10,413 | |
5.60%, 10/15/44 | | | | | | | 11 | | | | 8,800 | |
Callon Petroleum Co.: | | | | | | | | | | | | |
6.25%, 04/15/23 | | | | | | | 25 | | | | 9,469 | |
6.13%, 10/01/24 | | | | | | | 25 | | | | 9,381 | |
8.25%, 07/15/25 | | | | | | | 23 | | | | 8,050 | |
6.38%, 07/01/26 | | | | | | | 17 | | | | 5,610 | |
Cenovus Energy, Inc.: | | | | | | | | | | | | |
3.00%, 08/15/22 | | | | | | | 7 | | | | 6,807 | |
3.80%, 09/15/23 | | | | | | | 5 | | | | 4,702 | |
5.40%, 06/15/47 | | | | | | | 4 | | | | 3,434 | |
Centennial Resource Production LLC, 6.88%, 04/01/27(c) | | | | | | | 22 | | | | 11,660 | |
Cheniere Corpus Christi Holdings LLC, 5.13%, 06/30/27 | | | | | | | 61 | | | | 67,031 | |
Cheniere Energy Partners LP: | | | | | | | | | | | | |
5.63%, 10/01/26 | | | | | | | 23 | | | | 22,885 | |
4.50%, 10/01/29(c) | | | | | | | 39 | | | | 37,781 | |
CITGO Petroleum Corp., 7.00%, 06/15/25(c) | | | | | | | 25 | | | | 25,031 | |
CNX Resources Corp.: | | | | | | | | | | | | |
5.88%, 04/15/22 | | | | | | | 23 | | | | 22,698 | |
7.25%, 03/14/27(c) | | | | | | | 10 | | | | 9,200 | |
Comstock Resources, Inc.: | | | | | | | | | | | | |
7.50%, 05/15/25(c) | | | | | | | 42 | | | | 38,063 | |
9.75%, 08/15/26 | | | | | | | 33 | | | | 30,802 | |
Continental Resources, Inc.: | | | | | | | | | | | | |
5.00%, 09/15/22 | | | | | | | 36 | | | | 35,370 | |
4.50%, 04/15/23 | | | | | | | 12 | | | | 11,486 | |
4.90%, 06/01/44 | | | | | | | 22 | | | | 17,518 | |
Crestwood Midstream Partners LP, 5.63%, 05/01/27(c) | | | | | | | 39 | | | | 32,514 | |
CrownRock LP, 5.63%, 10/15/25(c) | | | | | | | 116 | | | | 103,965 | |
CVR Energy, Inc.(c): | | | | | | | | | | | | |
5.25%, 02/15/25 | | | | | | | 21 | | | | 19,320 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Oil, Gas & Consumable Fuels (continued) | |
5.75%, 02/15/28 | | | USD | | | | 7 | | | $ | 6,125 | |
DCP Midstream Operating LP: | | | | | | | | | | | | |
5.38%, 07/15/25 | | | | | | | 12 | | | | 11,910 | |
5.63%, 07/15/27 | | | | | | | 17 | | | | 17,106 | |
5.13%, 05/15/29 | | | | | | | 11 | | | | 10,553 | |
6.45%, 11/03/36(c) | | | | | | | 17 | | | | 15,300 | |
6.75%, 09/15/37(c) | | | | | | | 29 | | | | 26,022 | |
Diamondback Energy, Inc.: | | | | | | | | | | | | |
4.75%, 05/31/25 | | | | | | | 15 | | | | 16,051 | |
3.50%, 12/01/29 | | | | | | | 48 | | | | 46,491 | |
Endeavor Energy Resources LP(c): | | | | | | | | | | | | |
6.63%, 07/15/25 | | | | | | | 18 | | | | 18,141 | |
5.50%, 01/30/26 | | | | | | | 62 | | | | 59,365 | |
5.75%, 01/30/28 | | | | | | | 32 | | | | 30,720 | |
Energy Transfer Operating LP: | | | | | | | | | | | | |
3.75%, 05/15/30 | | | | | | | 5 | | | | 4,966 | |
4.90%, 03/15/35 | | | | | | | 5 | | | | 5,025 | |
6.50%, 02/01/42 | | | | | | | 15 | | | | 16,248 | |
6.00%, 06/15/48 | | | | | | | 9 | | | | 9,335 | |
5.00%, 05/15/50 | | | | | | | 18 | | | | 17,096 | |
EnLink Midstream LLC, 5.38%, 06/01/29 | | | | | | | 8 | | | | 6,000 | |
EnLink Midstream Partners LP: | | | | | | | | | | | | |
4.40%, 04/01/24 | | | | | | | 17 | | | | 14,119 | |
4.85%, 07/15/26 | | | | | | | 2 | | | | 1,481 | |
5.60%, 04/01/44 | | | | | | | 18 | | | | 10,980 | |
5.05%, 04/01/45 | | | | | | | 3 | | | | 1,868 | |
EQM Midstream Partners LP: | | | | | | | | | | | | |
6.00%, 07/01/25(c) | | | | | | | 27 | | | | 27,349 | |
4.13%, 12/01/26 | | | | | | | 5 | | | | 4,584 | |
6.50%, 07/01/27(c) | | | | | | | 30 | | | | 30,727 | |
EQT Corp.: | | | | | | | | | | | | |
3.90%, 10/01/27 | | | | | | | 27 | | | | 21,932 | |
7.00%, 02/01/30(h) | | | | | | | 19 | | | | 19,570 | |
Extraction Oil & Gas, Inc.(a)(c)(d): | | | | | | | | | | | | |
7.38%, 05/15/24 | | | | | | | 46 | | | | 8,855 | |
5.63%, 02/01/26 | | | | | | | 38 | | | | 7,315 | |
Genesis Energy LP: | | | | | | | | | | | | |
6.00%, 05/15/23 | | | | | | | 11 | | | | 9,900 | |
5.63%, 06/15/24 | | | | | | | 14 | | | | 12,180 | |
6.50%, 10/01/25 | | | | | | | 4 | | | | 3,420 | |
7.75%, 02/01/28 | | | | | | | 12 | | | | 10,680 | |
Great Western Petroleum LLC, 9.00%, 09/30/21(c) | | | | | | | 49 | | | | 29,400 | |
Hess Corp., 5.80%, 04/01/47 | | | | | | | 3 | | | | 3,261 | |
Hess Midstream Operations LP(c): | | | | | | | | | | | | |
5.63%, 02/15/26 | | | | | | | 10 | | | | 9,895 | |
5.13%, 06/15/28 | | | | | | | 14 | | | | 13,474 | |
Holly Energy Partners LP, 5.00%, 02/01/28(c) | | | | | | | 19 | | | | 18,098 | |
Indigo Natural Resources LLC, 6.88%, 02/15/26(c) | | | | | | | 50 | | | | 46,500 | |
Kinder Morgan Energy Partners LP, 5.00%, 03/01/43 | | | | | | | 10 | | | | 11,114 | |
Matador Resources Co., 5.88%, 09/15/26 | | | | | | | 51 | | | | 37,740 | |
MEG Energy Corp.(c): | | | | | | | | | | | | |
7.00%, 03/31/24 | | | | | | | 31 | | | | 26,583 | |
6.50%, 01/15/25 | | | | | | | 44 | | | | 41,057 | |
7.13%, 02/01/27 | | | | | | | 19 | | | | 15,794 | |
Murphy Oil Corp.: | | | | | | | | | | | | |
5.75%, 08/15/25 | | | | | | | 13 | | | | 11,635 | |
6.37%, 12/01/42(h) | | | | | | | 3 | | | | 2,328 | |
NGPL PipeCo LLC, 7.77%, 12/15/37(c) | | | | | | | 25 | | | | 30,512 | |
NuStar Logistics LP, 6.00%, 06/01/26 | | | | | | | 13 | | | | 12,610 | |
Occidental Petroleum Corp.: | | | | | | | | | | | | |
Series 1, 4.10%, 02/01/21 | | | | | | | 36 | | | | 36,144 | |
4.85%, 03/15/21 | | | | | | | 5 | | | | 4,963 | |
| | |
| 108 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Oil, Gas & Consumable Fuels (continued) | |
2.60%, 08/13/21 | | | USD | | | | 52 | | | $ | 50,819 | |
2.70%, 08/15/22 | | | | | | | 30 | | | | 27,929 | |
2.90%, 08/15/24 | | | | | | | 28 | | | | 23,925 | |
3.20%, 08/15/26 | | | | | | | 3 | | | | 2,438 | |
3.00%, 02/15/27 | | | | | | | 2 | | | | 1,550 | |
3.50%, 08/15/29 | | | | | | | 4 | | | | 2,926 | |
4.30%, 08/15/39 | | | | | | | 43 | | | | 29,658 | |
6.20%, 03/15/40 | | | | | | | 64 | | | | 53,600 | |
4.50%, 07/15/44 | | | | | | | 17 | | | | 11,730 | |
4.63%, 06/15/45 | | | | | | | 42 | | | | 29,400 | |
6.60%, 03/15/46 | | | | | | | 2 | | | | 1,741 | |
4.40%, 04/15/46 | | | | | | | 39 | | | | 27,203 | |
4.10%, 02/15/47 | | | | | | | 3 | | | | 2,021 | |
4.20%, 03/15/48 | | | | | | | 35 | | | | 23,702 | |
4.40%, 08/15/49 | | | | | | | 7 | | | | 4,830 | |
Parkland Corp., 5.88%, 07/15/27(c) | | | | | | | 23 | | | | 23,863 | |
Parsley Energy LLC(c): | | | | | | | | | | | | |
5.38%, 01/15/25 | | | | | | | 23 | | | | 22,375 | |
5.25%, 08/15/25 | | | | | | | 6 | | | | 5,762 | |
5.63%, 10/15/27 | | | | | | | 15 | | | | 14,775 | |
4.13%, 02/15/28 | | | | | | | 22 | | | | 19,910 | |
PBF Holding Co. LLC, 9.25%, 05/15/25(c) | | | | | | | 58 | | | | 61,915 | |
PDC Energy, Inc.: | | | | | | | | | | | | |
1.13%, 09/15/21(i) | | | | | | | 18 | | | | 16,488 | |
6.13%, 09/15/24 | | | | | | | 6 | | | | 5,580 | |
6.25%, 12/01/25 | | | | | | | 4 | | | | 3,370 | |
5.75%, 05/15/26 | | | | | | | 19 | | | | 17,290 | |
Plains All American Pipeline LP: | | | | | | | | | | | | |
3.55%, 12/15/29 | | | | | | | 6 | | | | 5,845 | |
4.30%, 01/31/43 | | | | | | | 5 | | | | 4,351 | |
4.90%, 02/15/45 | | | | | | | 10 | | | | 9,285 | |
QEP Resources, Inc.: | | | | | | | | | | | | |
6.88%, 03/01/21 | | | | | | | 5 | | | | 4,775 | |
5.38%, 10/01/22 | | | | | | | 41 | | | | 31,160 | |
5.25%, 05/01/23 | | | | | | | 7 | | | | 4,620 | |
5.63%, 03/01/26 | | | | | | | 17 | | | | 10,795 | |
Range Resources Corp.: | | | | | | | | | | | | |
5.88%, 07/01/22 | | | | | | | 3 | | | | 2,760 | |
5.00%, 08/15/22 | | | | | | | 22 | | | | 20,020 | |
5.00%, 03/15/23 | | | | | | | 8 | | | | 6,880 | |
Sabine Pass Liquefaction LLC, 4.50%, 05/15/30(c) | | | | | | | 65 | | | | 72,163 | |
SM Energy Co., 10.00%, 01/15/25(c) | | | | | | | 69 | | | | 65,507 | |
Southwestern Energy Co.: | | | | | | | | | | | | |
4.10%, 03/15/22 | | | | | | | 24 | | | | 22,910 | |
6.20%, 01/23/25(h) | | | | | | | 10 | | | | 8,563 | |
7.50%, 04/01/26 | | | | | | | 8 | | | | 7,002 | |
Sunoco Logistics Partners Operations LP: | | | | | | | | | | | | |
4.00%, 10/01/27 | | | | | | | 20 | | | | 20,489 | |
5.30%, 04/01/44 | | | | | | | 10 | | | | 9,577 | |
5.40%, 10/01/47 | | | | | | | 9 | | | | 9,005 | |
Sunoco LP: | | | | | | | | | | | | |
5.50%, 02/15/26 | | | | | | | 3 | | | | 2,910 | |
6.00%, 04/15/27 | | | | | | | 6 | | | | 5,940 | |
5.88%, 03/15/28 | | | | | | | 2 | | | | 1,985 | |
Tallgrass Energy Partners LP, 5.50%, 09/15/24(c) | | | | | | | 34 | | | | 30,704 | |
Targa Resources Partners LP: | | | | | | | | | | | | |
5.13%, 02/01/25 | | | | | | | 27 | | | | 25,987 | |
5.88%, 04/15/26 | | | | | | | 5 | | | | 4,950 | |
6.50%, 07/15/27 | | | | | | | 15 | | | | 15,038 | |
5.00%, 01/15/28 | | | | | | | 16 | | | | 15,046 | |
6.88%, 01/15/29 | | | | | | | 50 | | | | 52,375 | |
5.50%, 03/01/30(c) | | | | | | | 34 | | | | 32,831 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Oil, Gas & Consumable Fuels (continued) | |
TerraForm Power Operating LLC(c): | | | | | | | | | | | | |
4.25%, 01/31/23 | | | USD | | | | 18 | | | $ | 18,225 | |
4.75%, 01/15/30 | | | | | | | 26 | | | | 26,390 | |
Viper Energy Partners LP, 5.38%, 11/01/27(c) | | | | | | | 11 | | | | 10,790 | |
Western Midstream Operating LP: | | | | | | | | | | | | |
4.00%, 07/01/22 | | | | | | | 4 | | | | 3,987 | |
3.10%, 02/01/25(h) | | | | | | | 8 | | | | 7,580 | |
3.95%, 06/01/25 | | | | | | | 14 | | | | 13,114 | |
4.65%, 07/01/26 | | | | | | | 12 | | | | 11,494 | |
4.75%, 08/15/28 | | | | | | | 5 | | | | 4,788 | |
4.05%, 02/01/30(h) | | | | | | | 14 | | | | 13,476 | |
5.45%, 04/01/44 | | | | | | | 29 | | | | 24,151 | |
5.30%, 03/01/48 | | | | | | | 32 | | | | 25,960 | |
5.50%, 08/15/48 | | | | | | | 5 | | | | 4,050 | |
5.25%, 02/01/50(h) | | | | | | | 31 | | | | 26,824 | |
Williams Cos., Inc. (The), 5.10%, 09/15/45 | | | | | | | 5 | | | | 5,487 | |
WPX Energy, Inc.: | | | | | | | | | | | | |
8.25%, 08/01/23 | | | | | | | 9 | | | | 9,990 | |
5.25%, 09/15/24 | | | | | | | 9 | | | | 8,865 | |
5.75%, 06/01/26 | | | | | | | 11 | | | | 10,670 | |
5.25%, 10/15/27 | | | | | | | 7 | | | | 6,539 | |
5.88%, 06/15/28 | | | | | | | 18 | | | | 17,297 | |
4.50%, 01/15/30 | | | | | | | 42 | | | | 36,960 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,832,662 | |
| | | |
| Paper & Forest Products — 0.1% | | | | | | | | | |
Norbord, Inc., 6.25%, 04/15/23(c) | | | | | | | 22 | | | | 23,105 | |
| | | | | | | | | | | | |
| | | |
| Personal Products — 0.1% | | | | | | | | | |
Edgewell Personal Care Co., 5.50%, 06/01/28(c) | | | | | | | 16 | | | | 16,440 | |
| | | | | | | | | | | | |
| | | |
| Pharmaceuticals — 1.6% | | | | | | | | | |
Bausch Health Americas, Inc.(c): | | | | | | | | | | | | |
9.25%, 04/01/26 | | | | | | | 26 | | | | 28,207 | |
8.50%, 01/31/27 | | | | | | | 63 | | | | 66,859 | |
Bausch Health Cos., Inc.(c): | | | | | | | | | | | | |
5.88%, 05/15/23 | | | | | | | 1 | | | | 998 | |
9.00%, 12/15/25 | | | | | | | 44 | | | | 47,397 | |
5.75%, 08/15/27 | | | | | | | 25 | | | | 26,500 | |
7.00%, 01/15/28 | | | | | | | 35 | | | | 36,050 | |
5.00%, 01/30/28 | | | | | | | 21 | | | | 19,771 | |
6.25%, 02/15/29 | | | | | | | 47 | | | | 47,235 | |
7.25%, 05/30/29 | | | | | | | 30 | | | | 31,500 | |
5.25%, 01/30/30 | | | | | | | 22 | | | | 20,872 | |
Elanco Animal Health, Inc., 5.65%, 08/28/28(h) | | | | | | | 6 | | | | 6,653 | |
Endo Dac, 9.50%, 07/31/27(c) | | | | | | | 8 | | | | 8,462 | |
Par Pharmaceutical, Inc., 7.50%, 04/01/27(c) | | | | | | | 89 | | | | 91,332 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 431,836 | |
| | | |
| Professional Services — 0.7%(c) | | | | | | | | | |
ASGN, Inc., 4.63%, 05/15/28 | | | | | | | 6 | | | | 5,860 | |
Dun & Bradstreet Corp. (The): | | | | | | | | | | | | |
6.88%, 08/15/26 | | | | | | | 60 | | | | 63,243 | |
10.25%, 02/15/27 | | | | | | | 31 | | | | 34,410 | |
Jaguar Holding Co. II/PPD Development LP: | | | | | | | | | | | | |
4.63%, 06/15/25 | | | | | | | 48 | | | | 48,850 | |
5.00%, 06/15/28 | | | | | | | 44 | | | | 45,045 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 197,408 | |
|
| Real Estate Management & Development — 0.3%(c) | |
Cushman & Wakefield US Borrower LLC, 6.75%, 05/15/28 | | | | | | | 37 | | | | 38,573 | |
Five Point Operating Co. LP, 7.88%, 11/15/25 | | | | | | | 23 | | | | 21,735 | |
Howard Hughes Corp. (The), 5.38%, 03/15/25 | | | | | | | 10 | | | | 9,306 | |
Realogy Group LLC, 7.63%, 06/15/25 | | | | | | | 12 | | | | 12,002 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 81,616 | |
| | |
SCHEDULES OF INVESTMENTS | | 109 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Road & Rail — 0.4% | | | | | | | | | |
Uber Technologies, Inc.(c): | | | | | | | | | | | | |
7.50%, 11/01/23 | | | USD | | | | 28 | | | $ | 28,280 | |
7.50%, 05/15/25 | | | | | | | 63 | | | | 63,473 | |
8.00%, 11/01/26 | | | | | | | 28 | | | | 28,490 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 120,243 | |
|
| Semiconductors & Semiconductor Equipment — 1.4%(c) | |
Broadcom, Inc.: | | | | | | | | | | | | |
5.00%, 04/15/30 | | | | | | | 95 | | | | 109,190 | |
4.15%, 11/15/30 | | | | | | | 45 | | | | 48,901 | |
4.30%, 11/15/32 | | | | | | | 80 | | | | 87,774 | |
Entegris, Inc., 4.38%, 04/15/28 | | | | | | | 21 | | | | 21,368 | |
Microchip Technology, Inc., 4.25%, 09/01/25 | | | | | | | 83 | | | | 83,528 | |
Qorvo, Inc., 4.38%, 10/15/29 | | | | | | | 19 | | | | 19,458 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 370,219 | |
| | | |
| Software — 4.0% | | | | | | | | | |
ACI Worldwide, Inc., 5.75%, 08/15/26(c) | | | | | | | 79 | | | | 82,298 | |
Ascend Learning LLC(c): | | | | | | | | | | | | |
6.88%, 08/01/25 | | | | | | | 32 | | | | 32,236 | |
6.88%, 08/01/25 | | | | | | | 24 | | | | 24,120 | |
Boxer Parent Co., Inc.(c): | | | | | | | | | | | | |
7.13%, 10/02/25 | | | | | | | 34 | | | | 35,649 | |
9.13%, 03/01/26 | | | | | | | 53 | | | | 54,855 | |
Camelot Finance SA, 4.50%, 11/01/26(c) | | | | | | | 58 | | | | 58,000 | |
Castle US Holding Corp., 9.50%, 02/15/28(c) | | | | | | | 27 | | | | 24,975 | |
CDK Global, Inc.: | | | | | | | | | | | | |
4.88%, 06/01/27 | | | | | | | 26 | | | | 26,674 | |
5.25%, 05/15/29(c) | | | | | | | 21 | | | | 21,807 | |
Change Healthcare Holdings LLC, 5.75%, 03/01/25(c) | | | | | | | 100 | | | | 98,750 | |
Fair Isaac Corp., 4.00%, 06/15/28(c) | | | | | | | 5 | | | | 5,012 | |
Genesys Telecommunications Laboratories, Inc., 10.00%, 11/30/24(c) | | | | | | | 99 | | | | 102,960 | |
Nuance Communications, Inc., 5.63%, 12/15/26 | | | | | | | 17 | | | | 17,680 | |
Open Text Corp., 3.88%, 02/15/28(c) | | | | | | | 33 | | | | 31,773 | |
Open Text Holdings, Inc., 4.13%, 02/15/30(c) | | | | | | | 48 | | | | 47,160 | |
PTC, Inc.(c): | | | | | | | | | | | | |
3.63%, 02/15/25 | | | | | | | 6 | | | | 5,955 | |
4.00%, 02/15/28 | | | | | | | 14 | | | | 13,862 | |
RP Crown Parent LLC, 7.38%, 10/15/24(c) | | | | | | | 62 | | | | 61,845 | |
Solera LLC, 10.50%,��03/01/24(c) | | | | | | | 204 | | | | 207,570 | |
Sophia LP, 9.00%, 09/30/23(c) | | | | | | | 29 | | | | 29,290 | |
SS&C Technologies, Inc., 5.50%, 09/30/27(c) | | | | | | | 81 | | | | 82,186 | |
VMware, Inc., 4.70%, 05/15/30 | | | | | | | 15 | | | | 16,544 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,081,201 | |
| | | |
| Specialty Retail — 1.2% | | | | | | | | | |
Asbury Automotive Group, Inc.(c): | | | | | | | | | | | | |
4.50%, 03/01/28 | | | | | | | 9 | | | | 8,730 | |
4.75%, 03/01/30 | | | | | | | 8 | | | | 7,800 | |
AutoNation, Inc., 4.75%, 06/01/30 | | | | | | | 15 | | | | 16,254 | |
Gap, Inc. (The), 8.88%, 05/15/27(c) | | | | | | | 15 | | | | 16,049 | |
L Brands, Inc.: | | | | | | | | | | | | |
6.88%, 07/01/25(c) | | | | | | | 36 | | | | 37,170 | |
6.88%, 11/01/35 | | | | | | | 43 | | | | 35,772 | |
6.75%, 07/01/36 | | | | | | | 5 | | | | 4,100 | |
Murphy Oil USA, Inc., 4.75%, 09/15/29 | | | | | | | 15 | | | | 15,337 | |
Penske Automotive Group, Inc., 5.50%, 05/15/26 | | | | | | | 12 | | | | 11,970 | |
PetSmart, Inc.(c): | | | | | | | | | | | | |
7.13%, 03/15/23 | | | | | | | 28 | | | | 27,604 | |
5.88%, 06/01/25 | | | | | | | 26 | | | | 26,049 | |
SRS Distribution, Inc., 8.25%, 07/01/26(c) | | | | | | | 67 | | | | 68,005 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Specialty Retail (continued) | | | | | | | | | |
Staples, Inc., 7.50%, 04/15/26(c) | | | USD | | | | 49 | | | $ | 38,502 | |
| | | | | | | | |
| | | | | | | | | | | 313,342 | |
|
| Technology Hardware, Storage & Peripherals — 0.4% | |
NCR Corp.(c): | | | | | | | | | | | | |
8.13%, 04/15/25 | | | | | | | 9 | | | | 9,540 | |
5.75%, 09/01/27 | | | | | | | 7 | | | | 7,000 | |
6.13%, 09/01/29 | | | | | | | 15 | | | | 14,963 | |
Seagate HDD Cayman, 4.13%, 01/15/31(c) | | | | | | | 10 | | | | 10,508 | |
Western Digital Corp., 4.75%, 02/15/26 | | | | | | | 38 | | | | 39,271 | |
Xerox Corp., 4.80%, 03/01/35 | | | | | | | 18 | | | | 16,781 | |
| | | | | | | | |
| | | | | | | | | | | 98,063 | |
| | | |
| Textiles, Apparel & Luxury Goods — 0.1% | | | | | | | | | |
Hanesbrands, Inc., 5.38%, 05/15/25(c) | | | | | | | 11 | | | | 11,124 | |
Levi Strauss & Co., 5.00%, 05/01/25 | | | | | | | 4 | | | | 4,015 | |
William Carter Co. (The)(c): | | | | | | | | | | | | |
5.50%, 05/15/25 | | | | | | | 7 | | | | 7,219 | |
5.63%, 03/15/27 | | | | | | | 9 | | | | 9,270 | |
Wolverine World Wide, Inc., 6.38%, 05/15/25(c) | | | | | | | 7 | | | | 7,332 | |
| | | | | | | | |
| | | | | | | | | | | 38,960 | |
| | | |
| Thrifts & Mortgage Finance — 0.2%(c) | | | | | | | | | |
Ladder Capital Finance Holdings LLLP, 4.25%, 02/01/27 | | | | | | | 28 | | | | 22,400 | |
Nationstar Mortgage Holdings, Inc.: | | | | | | | | | | | | |
8.13%, 07/15/23 | | | | | | | 15 | | | | 15,393 | |
6.00%, 01/15/27 | | | | | | | 23 | | | | 21,850 | |
| | | | | | | | |
| | | | | | | | | | | 59,643 | |
| | | |
| Trading Companies & Distributors — 1.1% | | | | | | | | | |
HD Supply, Inc., 5.38%, 10/15/26(c) | | | | | | | 111 | | | | 113,359 | |
Herc Holdings, Inc., 5.50%, 07/15/27(c) | | | | | | | 22 | | | | 22,047 | |
United Rentals North America, Inc.: | | | | | | | | | | | | |
4.63%, 10/15/25 | | | | | | | 28 | | | | 28,140 | |
5.88%, 09/15/26 | | | | | | | 4 | | | | 4,192 | |
4.88%, 01/15/28 | | | | | | | 5 | | | | 5,125 | |
4.00%, 07/15/30 | | | | | | | 15 | | | | 14,508 | |
WESCO Distribution, Inc.(c): | | | | | | | | | | | | |
7.13%, 06/15/25 | | | | | | | 60 | | | | 63,188 | |
7.25%, 06/15/28 | | | | | | | 54 | | | | 57,105 | |
| | | | | | | | |
| | | | | | | | | | | 307,664 | |
|
| Wireless Telecommunication Services — 1.2% | |
Connect Finco SARL, 6.75%, 10/01/26(c) | | | | | | | 209 | | | | 198,027 | |
Hughes Satellite Systems Corp., 5.25%, 08/01/26 | | | | | | | 3 | | | | 3,103 | |
Sprint Corp.: | | | | | | | | | | | | |
7.88%, 09/15/23 | | | | | | | 16 | | | | 18,020 | |
7.13%, 06/15/24 | | | | | | | 15 | | | | 16,937 | |
7.63%, 02/15/25 | | | | | | | 35 | | | | 40,381 | |
7.63%, 03/01/26 | | | | | | | 36 | | | | 42,494 | |
T-Mobile USA, Inc., 4.75%, 02/01/28 | | | | | | | 10 | | | | 10,564 | |
| | | | | | | | |
| | | | | | | | | | | 329,526 | |
| | | | | | | | |
| |
Total Corporate Bonds — 85.5%
(Cost: $23,579,907) | | | | 23,359,053 | |
| | | | | | | | |
|
Floating Rate Loan Interests — 8.5% | |
| | | |
| Aerospace & Defense — 0.1% | | | | | | | | | |
Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (LIBOR USD 3 Month + 5.00%), 6.00%, 11/28/21(j) | | | | | | | 19 | | | | 17,654 | |
| | | | | | | | | | | | |
| | | |
| Airlines — 0.0% | | | | | | | | | |
JetBlue Airways Corp., Term Loan, (LIBOR USD 3 Month + 5.25%), 6.25%, 06/12/24(j) | | | | | | | 6 | | | | 5,865 | |
| | | | | | | | | | | | |
| | |
| 110 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Auto Components — 0.1% | | | | | | | | | |
Panther BF Aggregator 2 LP, Term Loan B, (LIBOR USD 1 Month + 3.50%), 3.68%, 04/30/26(j) | | | USD | | | | 24 | | | $ | 22,823 | |
| | | | | | | | |
| | | |
| Automobiles — 0.0% | | | | | | | | | |
Dealer Tire LLC, Term Loan B1, (LIBOR USD 1 Month + 4.25%), 4.43%, 12/12/25(j) | | | | | | | 7 | | | | 6,640 | |
| | | | | | | | |
| | | |
| Building Products — 0.0% | | | | | | | | | |
CPG Merger Sub LLC, Term Loan, (LIBOR USD 3 Month + 3.75%), 4.75%, 05/05/24(j) | | | | | | | 6 | | | | 6,018 | |
| | | | | | | | |
| | | |
| Capital Markets — 0.0% | | | | | | | | | |
Jefferies Finance LLC, Term Loan, (LIBOR USD 1 Month + 3.00%), 3.19%, 06/03/26(j) | | | | | | | 11 | | | | 9,929 | |
| | | | | | | | |
| | | |
| Chemicals — 0.5%(j) | | | | | | | | | |
Alpha 3 BV, Term Loan, 01/31/24(k) | | | | | | | 64 | | | | 61,445 | |
Ascend Performance Materials LLC, Term Loan B, (LIBOR USD 3 Month + 5.25%), 6.25%, 08/27/26 | | | | | | | 39 | | | | 37,901 | |
Invictus Co., Term Loan B26, (LIBOR USD 3 Month + 6.75%), 8.53%, 03/30/26 | | | | | | | 5 | | | | 4,156 | |
McDermott International, Inc., Term Loan, 06/16/27(k) | | | | | | | 27 | | | | 26,555 | |
Momentive Performance Materials, Inc., Term Loan, (LIBOR USD 1 Month + 3.25%), 3.43%, 05/15/24 | | | | | | | 8 | | | | 7,037 | |
| | | | | | | | |
| | | | | | | | | | | 137,094 | |
| | | |
| Commercial Services & Supplies — 0.6%(j) | | | | | | | | | |
Advanced Disposal Services, Inc., Term Loan, (LIBOR USD 3 Month + 2.25%), 3.00%, 11/10/23 | | | | | | | 4 | | | | 3,670 | |
Brand Energy & Infrastructure Services, Inc., Term Loan, (LIBOR USD 3 Month + 4.25%), 5.25% - 5.64%, 06/21/24 | | | | | | | 130 | | | | 118,228 | |
Capri Acquisitions Bidco Ltd., Term Loan, (LIBOR USD 3 Month + 3.00%), 3.76%, 11/01/24 | | | | | | | 1 | | | | 1,001 | |
Diamond (BC) BV, Term Loan, (LIBOR USD 3 Month + 3.00%), 3.76%, 09/06/24 | | | | | | | 19 | | | | 17,240 | |
GFL Environmental, Inc., Term Loan B, (LIBOR USD 3 Month + 3.00%), 4.00%, 05/30/25. | | | | | | | 13 | | | | 12,328 | |
Tempo Acquisition LLC, Term Loan, (LIBOR USD 1 Month + 2.75%), 2.93%, 05/01/24 | | | | | | | 3 | | | | 2,580 | |
| | | | | | | | |
| | | | | | | | | | | 155,047 | |
| | | |
| Construction & Engineering — 0.1% | | | | | | | | | |
SRS Distribution, Inc., Term Loan B, (LIBOR USD 3 Month + 3.25%), 4.32%, 05/23/25(j) | | | | | | | 30 | | | | 27,877 | |
| | | | | | | | |
| | | |
| Containers & Packaging — 0.1%(j) | | | | | | | | | |
BWAY Holding Co., Term Loan, 04/03/24(k) | | | | | | | 19 | | | | 16,659 | |
Charter NEX US, Inc., 1st Lien Term Loan, (LIBOR USD 1 Month + 3.25%), 3.43%, 05/16/24 | | | | | | | 8 | | | | 7,471 | |
| | | | | | | | |
| | | | | | | | | | | 24,130 | |
| | | |
| Diversified Consumer Services — 0.2%(j) | | | | | | | | | |
Maverick Purchaser Sub LLC, Term Loan, (LIBOR USD 1 Month + 4.00%), 4.18%, 01/29/27 | | | | | | | 7 | | | | 6,857 | |
Mileage Plus Holdings LLC, Term Loan, 06/25/27(k) | | | | | | | 16 | | | | 15,873 | |
Sotheby’s, Inc., Term Loan B, (LIBOR USD 1 Month + 5.50%), 6.50%, 01/15/27 | | | | | | | 11 | | | | 10,382 | |
| | | | | | | | | | |
| Security | | | | Par
(000) | | | Value | |
| | | |
| Diversified Consumer Services (continued) | | | | | | | | |
TierPoint LLC, Term Loan, (LIBOR USD 1 Month + 3.75%), 4.75%, 05/06/24 | | USD | | | 14 | | | $ | 12,989 | |
| | | | | | | |
| | | | | | | | | 46,101 | |
| | | |
| Diversified Financial Services — 0.2%(j) | | | | | | | | |
Connect Finco SARL, Term Loan B, (LIBOR USD 1 Month + 4.50%), 5.50%, 12/11/26 | | | | | 47 | | | | 43,789 | |
WP CPP Holdings, Term Loan B, (LIBOR USD 3 Month + 3.75%), 4.75%, 04/30/25 | | | | | 6 | | | | 5,075 | |
| | | | | | | |
| | | | | | | | | 48,864 | |
|
| Diversified Telecommunication Services — 0.9%(j) | |
Altice France SA, Term Loan, (LIBOR USD 1 Month + 4.00%), 4.18%, 08/14/26 | | | | | 14 | | | | 13,685 | |
Frontier Communications Corp., Term Loan B, (LIBOR USD 3 Month + 3.75%), 5.35% - 6.00%, 06/15/24 | | | | | 78 | | | | 76,247 | |
Ligado Networks LLC, 1st Lien Term Loan, (LIBOR USD + 0.00%), 0.00%, 12/07/20(a)(d) | | | | | 91 | | | | 79,615 | |
Ligado Networks LLC, Term Loan, (LIBOR USD 6 Month + 12.50%), 13.50%, 12/07/20 | | | | | 93 | | | | 39,391 | |
Northwest Fiber LLC, Term Loan, (LIBOR USD 6 Month + 5.50%), 5.67% - 5.67%, 04/30/27(b) | | | | | 19 | | | | 18,315 | |
Zayo Group LLC, Term Loan, (LIBOR USD 1 Month + 3.00%), 3.18%, 03/09/27 | | | | | 29 | | | | 27,392 | |
| | | | | | | |
| | | | | | | | | 254,645 | |
| | | |
| Electric Utilities — 0.1% | | | | | | | | |
PGE Corp., Term Loan, (LIBOR USD 3 Month + 4.50%), 5.50%, 06/23/25(j) | | | | | 33 | | | | 32,381 | |
| | | | | | | |
| | | |
| Energy Equipment & Services — 0.1% | | | | | | | | |
Lealand Finance Co. BV, Term Loan, (LIBOR USD 3 Month + 5.00%), 3.18%, 06/28/24(j) | | | | | 25 | | | | 24,544 | |
| | | | | | | |
| | | |
| Entertainment — 0.0% | | | | | | | | |
Renaissance Learning, Inc., Term Loan, (LIBOR USD 3 Month + 3.25%), 4.01%, 05/30/25(j) | | | | | 1 | | | | 615 | |
| | | | | | | |
| | | |
| Health Care Equipment & Supplies — 0.5%(j) | | | | | | | | |
Immucor, Inc., 1st Lien Term Loan, (LIBOR USD 3 Month + 5.00%), 6.00%, 06/15/21 | | | | | 87 | | | | 83,076 | |
Sotera Health Holdings LLC, Term Loan, (LIBOR USD 1 Month + 4.50%), 5.50%, 12/11/26 | | | | | 42 | | | | 40,838 | |
| | | | | | | |
| | | | | | | | | 123,914 | |
| | | |
| Health Care Providers & Services — 0.5%(j) | | | | | | | | |
AHP Health Partners, Inc., Term Loan, (LIBOR USD 1 Month + 4.50%), 5.50%, 06/30/25 | | | | | 14 | | | | 12,991 | |
Azalea TopCo, Inc., Term Loan, (LIBOR USD 3 Month + 3.50%), 4.26%, 07/24/26(b) | | | | | 14 | | | | 13,398 | |
Envision Healthcare Corp., Term Loan, (LIBOR USD 1 Month + 3.75%), 3.93%, 10/10/25 | | | | | 60 | | | | 39,451 | |
Gentiva Health Services, Inc., Term Loan B, (LIBOR USD 1 Month + 3.25%), 3.44%, 07/02/25 | | | | | 15 | | | | 14,424 | |
Ortho-Clinical Diagnostics, Inc., Term Loan B, (LIBOR USD 1 Month + 3.25%), 3.43%, 06/30/25 | | | | | 14 | | | | 12,895 | |
Quorum Health Corp., 1st Lien Term Loan, (LIBOR USD 3 Month + 6.75%), 7.75%, 04/29/22 | | | | | 19 | | | | 16,630 | |
Regionalcare Hospital, Term Loan B, (LIBOR USD 1 Month + 3.75%), 3.93%, 11/16/25 | | | | | 11 | | | | 10,592 | |
| | |
SCHEDULES OF INVESTMENTS | | 111 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Health Care Providers & Services (continued) | | | | | | | | | |
Surgery Center Holdings, Inc., Term Loan, (LIBOR USD 1 Month + 8.00%), 9.00%, 09/03/24 | | | USD | | | | 2 | | | $ | 1,995 | |
WCG Purchaser Corp., Term Loan, (LIBOR USD 3 Month + 4.00%), 5.24%, 01/08/27 | | | | | | | 18 | | | | 17,482 | |
| | | | | | | | |
| | | | | | | | | | | 139,858 | |
| | | |
| Hotels, Restaurants & Leisure — 0.1%(j) | | | | | | | | | |
Golden Nugget Online Gaming, Inc., Term Loan, (LIBOR USD 6 Month + 12.00%), 13.00%, 10/04/23(b) | | | | | | | 5 | | | | 4,971 | |
Golden Nugget, Inc., 1st Lien Term Loan, (LIBOR USD 3 Month + 2.50%), 3.25%, 10/04/23 | | | | | | | 24 | | | | 19,316 | |
| | | | | | | | |
| | | | | | | | | | | 24,287 | |
|
| Independent Power and Renewable Electricity Producers — 0.0% | |
Calpine Corp., Term Loan, (LIBOR USD 1 Month + 2.00%), 2.18%, 08/12/26(j) | | | | | | | 2 | | | | 1,454 | |
| | | | | | | | |
| | | |
| Industrial Conglomerates — 0.1% | | | | | | | | | |
PSAV Holdings LLC, 2nd Lien Term Loan, (LIBOR USD 3 Month + 7.25%), 8.25%, 09/01/25(j) | | | | | | | 26 | | | | 15,786 | |
| | | | | | | | |
| | | |
| Insurance — 0.4%(j) | | | | | | | | | |
Asurion LLC, 2nd Lien Term Loan B2, (LIBOR USD 1 Month + 6.50%), 6.68%, 08/04/25 | | | | | | | 46 | | | | 45,655 | |
Asurion LLC, Term Loan B4, (LIBOR USD 1 Month + 3.00%), 3.18%, 08/04/22 | | | | | | | 4 | | | | 3,772 | |
Sedgwick Claims Management Services, Inc., 1st Lien Term Loan, (LIBOR USD 1 Month + 3.25%), 3.43%, 12/31/25 | | | | | | | 31 | | | | 29,479 | |
Sedgwick Claims Management Services, Inc., 1st Lien Term Loan B, (LIBOR USD 1 Month + 4.00%), 4.18%, 09/03/26 | | | | | | | 23 | | | | 21,802 | |
Sedgwick Claims Management Services, Term Loan, (LIBOR USD 1 Month + 4.25%), 4.43%, 09/03/26 | | | | | | | 14 | | | | 13,557 | |
| | | | | | | | |
| | | | | | | | | | | 114,265 | |
| | | |
| IT Services — 0.6%(j) | | | | | | | | | |
Airbnb, Inc., Term Loan, (LIBOR USD 1 Month + 7.50%), 8.50%, 04/17/25(b) | | | | | | | 7 | | | | 7,245 | |
Boxer Parent Co., Inc., Term Loan B, 10/02/25(k) | | | | | | | 21 | | | | 20,196 | |
CCC Information Services, Inc., Term Loan, (LIBOR USD 1 Month + 3.00%), 4.00%, 04/29/24 | | | | | | | 4 | | | | 3,418 | |
Mitchell International, Inc., 1st Lien Term Loan, (LIBOR USD 1 Month + 3.25%), 3.43%, 11/29/24 | | | | | | | 11 | | | | 10,570 | |
Mitchell International, Inc., 2nd Lien Term Loan, (LIBOR USD 1 Month + 7.25%), 7.43%, 12/01/25 | | | | | | | 10 | | | | 8,850 | |
Peak 10 Holding Corp., 2nd Lien Term Loan, (LIBOR USD 3 Month + 7.25%), 7.59%, 08/01/25 | | | | | | | 7 | | | | 2,990 | |
Pug LLC, Term Loan, (LIBOR USD 1 Month + 3.50%), 3.68%, 02/12/27 | | | | | | | 16 | | | | 13,518 | |
Rackspace Hosting, Inc., Term Loan, (LIBOR USD 3 Month + 3.00%), 4.00%, 11/03/23 | | | | | | | 12 | | | | 11,510 | |
Sophia LP, 1st Lien Term Loan B, (LIBOR USD 3 Month + 3.25%), 4.25%, 09/30/22 | | | | | | | 1 | | | | 1,243 | |
Verscend Holding Corp., Term Loan B, (LIBOR USD 1 Month + 4.50%), 4.68%, 08/27/25 | | | | | | | 94 | | | | 90,619 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| IT Services (continued) | | | | | | | | | |
Vertafore, Inc., Term Loan B, (LIBOR USD 1 Month + 3.25%), 3.43%, 07/02/25 | | | USD | | | | 4 | | | $ | 3,941 | |
| | | | | | | | |
| | | | | | | | | | | 174,100 | |
| | | |
| Life Sciences Tools & Services — 0.1% | | | | | | | | | |
Parexel International Corp., Term Loan, (LIBOR USD 1 Month + 2.75%), 2.93%, 09/27/24(j) | | | | | | | 22 | | | | 20,804 | |
| | | | | | | | |
| | | |
| Machinery — 0.3%(j) | | | | | | | | | |
MHI Holdings LLC, Term Loan B, (LIBOR USD 1 Month + 5.00%), 5.18%, 09/21/26(b) | | | | | | | 20 | | | | 19,004 | |
Titan Acquisition Ltd., Term Loan, (LIBOR USD 3 Month + 3.00%), 3.36%, 03/28/25 | | | | | | | 76 | | | | 69,470 | |
| | | | | | | | |
| | | | | | | | | | | 88,474 | |
| | | |
| Media — 1.3% | | | | | | | | | |
Ascend Learning LLC, Term Loan B, (LIBOR USD 1 Month + 3.00%), 4.00%, 07/12/24(j) | | | | | | | 5 | | | | 4,733 | |
Clear Channel Outdoor Holdings, Inc., Term Loan, (LIBOR USD 3 Month + 3.50%), 4.26%, 08/21/26(j) | | | | | | | 67 | | | | 60,802 | |
Intelsat Jackson Holdings SA, Term Loan: | | | | | | | | | | | | |
07/13/21(j)(k) | | | | | | | 37 | | | | 37,271 | |
11/27/23(j)(k) | | | | | | | 15 | | | | 15,259 | |
6.63%, 01/02/24(l) | | | | | | | 164 | | | | 157,839 | |
01/02/24(j)(k) | | | | | | | 33 | | | | 32,537 | |
Learfield Communications LLC, Term Loan, (LIBOR USD 1 Month + 3.25%), 4.25%, 12/01/23(j) | | | | | | | 7 | | | | 5,202 | |
Radiate Holdco LLC, 1st Lien Term Loan, (LIBOR USD 1 Month + 3.00%), 3.75%, 02/01/24(j) | | | | | | | 3 | | | | 3,243 | |
Terrier Media Buyer, Inc., Term Loan, (LIBOR USD 1 Month + 4.25%), 4.43%, 12/17/26(j) | | | | | | | 14 | | | | 13,024 | |
Xplornet Communications, Inc., Term Loan, (LIBOR USD 1 Month + 4.75%), 4.93%, 06/10/27(j) | | | | | | | 25 | | | | 23,813 | |
| | | | | | | | |
| | | | | | | | | | | 353,723 | |
| | | |
| Metals & Mining — 0.0% | | | | | | | | | |
Big River Steel LLC, 1st Lien Term Loan B, 08/23/23(j)(k) | | | | | | | 6 | | | | 5,237 | |
| | | | | | | | |
| | | |
| Oil, Gas & Consumable Fuels — 0.3%(j) | | | | | | | | | |
Chesapeake Energy Corp., Term Loan,
06/24/24(k) | | | | | | | 102 | | | | 58,571 | |
CNX Resources Corp., Term Loan, (LIBOR USD 1 Month + 4.50%), 4.68%, 11/28/22 | | | | | | | 13 | | | | 10,271 | |
| | | | | | | | |
| | | | | | | | | | | 68,842 | |
| | | |
| Pharmaceuticals — 0.1%(j) | | | | | | | | | |
Endo Pharmaceuticals, Inc., Term Loan B, (LIBOR USD 1 Month + 4.25%), 5.00%, 04/29/24 | | | | | | | 20 | | | | 18,976 | |
Jaguar Holding Co. I, Term Loan, (LIBOR USD 1 Month + 2.50%), 3.50%, 08/18/22 | | | | | | | 19 | | | | 19,035 | |
| | | | | | | | |
| | | | | | | | | | | 38,011 | |
| | | |
| Professional Services — 0.1% | | | | | | | | | |
Dun & Bradstreet Corp. (The), 1st Lien Term Loan B, (LIBOR USD 1 Month + 4.00%), 4.18%, 02/06/26(j) | | | | | | | 39 | | | | 37,794 | |
| | | | | | | | |
| | | |
| Software — 0.9% | | | | | | | | | |
Castle US Holding Corp., Term Loan, (LIBOR USD 3 Month + 3.75%), 4.06%, 01/29/27(j) | | | | | | | 19 | | | | 17,254 | |
Informatica LLC, Term Loan:
7.13%, 02/25/25(l) | | | | | | | 39 | | | | 38,951 | |
| | |
| 112 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Software (continued) | | | | | | | | | |
(LIBOR USD 1 Month + 3.25%), 3.43%, 02/25/27(j) | | | USD | | | | 19 | | | $ | 18,100 | |
Kronos, Inc., 1st Lien Term Loan B, (LIBOR USD 1 Month + 3.00%), 3.18%, 11/01/23(j) | | | | | | | 5 | | | | 4,964 | |
Kronos, Inc., 2nd Lien Term Loan B, (LIBOR USD 1 Month + 8.25%), 9.25%, 11/01/24(j) | | | | | | | 63 | | | | 62,461 | |
Refinitiv US Holdings, Inc., Term Loan, (LIBOR USD 1 Month + 3.25%), 3.43%, 10/01/25(j) | | | | | | | 17 | | | | 16,374 | |
RP Crown Parent LLC, 1st Lien Term Loan, (LIBOR USD 1 Month + 2.75%), 3.75%, 10/12/23(j) | | | | | | | 10 | | | | 9,716 | |
Severin Acquisition LLC, 1st Lien Term Loan, (LIBOR USD 1 Month + 3.25%), 3.43%, 08/01/25(j) | | | | | | | 9 | | | | 8,488 | |
The Ultimate Software Group, Inc., Term Loan, 05/04/26(j)(k) | | | | | | | 17 | | | | 16,769 | |
TIBCO Software, Inc., 1st Lien Term Loan, (LIBOR USD 1 Month + 3.75%), 3.93%, 06/30/26(b)(j) | | | | | | | 25 | | | | 23,903 | |
TIBCO Software, Inc., 2nd Lien Term Loan, 03/03/28(j)(k) | | | | | | | 26 | | | | 24,911 | |
Ultimate Software Group, Inc. (The), 1st Lien Term Loan, (LIBOR USD 1 Month + 3.75%), 3.93%, 05/04/26(j) | | | | | | | 10 | | | | 9,404 | |
| | | | | | | | |
| | | | | | | | | | | 251,295 | |
| | | |
| Specialty Retail — 0.2% | | | | | | | | | |
PetSmart, Inc., Term Loan, 03/11/22(j)(k) | | | | | | | 58 | | | | 57,093 | |
| | | | | | | | |
| |
Total Floating Rate Loan Interests — 8.5%
(Cost: $2,525,670) | | | | 2,335,164 | |
| | | | | | | | |
| | |
| | | Beneficial Interest
(000) | | | | |
| | | |
Other Interests — 0.0%(m) | | | | | | | | | | | | |
| | | |
| Auto Components — 0.0% | | | | | | | | | |
Lear Corp., Escrow(a)(b)(d) | | | | | | | 250 | | | | — | |
| | | | | | | | |
| | | |
| Capital Markets — 0.0% | | | | | | | | | |
Lehman Brothers Holdings Capital Trust Escrow Bonds(a)(b)(d) | | | | | | | 140 | | | | 1,470 | |
| | | | | | | | |
| | | |
| Total Other Interests — 0.0% | | | | | | | | 1,470 | |
| | | | | | | | |
| | |
| | | Par (000) | | | | |
| | | |
Capital Trusts — 2.9% | | | | | | | | | | | | |
| | | |
| Banks — 2.8%(e)(j) | | | | | | | | | |
Bank of America Corp.:
Series X, 6.25% | | | | | | | 66 | | | | 68,315 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| Banks (continued) | | | | | | | | | |
Series Z, 6.50% | | | USD | | | | 45 | | | $ | 48,360 | |
Series AA, 6.10% | | | | | | | 116 | | | | 122,380 | |
Series DD, 6.30% | | | | | | | 10 | | | | 11,097 | |
CIT Group, Inc., Series A, 5.80% | | | | | | | 26 | | | | 20,004 | |
Citigroup, Inc., Series V, 4.70% | | | | | | | 59 | | | | 52,436 | |
JPMorgan Chase & Co.: | | | | | | | | | | | | |
Series V, 4.75% | | | | | | | 65 | | | | 57,363 | |
Series Q, 5.15% | | | | | | | 20 | | | | 19,450 | |
Series R, 6.00% | | | | | | | 5 | | | | 5,037 | |
Series S, 6.75% | | | | | | | 15 | | | | 16,125 | |
Series U, 6.13% | | | | | | | 7 | | | | 7,143 | |
Series FF, 5.00% | | | | | | | 110 | | | | 105,215 | |
Series X, 6.10% | | | | | | | 78 | | | | 79,821 | |
Series HH, 4.60% | | | | | | | 58 | | | | 51,765 | |
Wells Fargo & Co., Series U, 5.87% | | | | | | | 92 | | | | 95,622 | |
| | | | | | | | |
| | | | | | | | | | | 760,133 | |
| | | |
| Capital Markets — 0.1% | | | | | | | | | |
Morgan Stanley, Series H, 4.83%(e)(j) | | | | | | | 27 | | | | 24,299 | |
| | | | | | | | |
| |
Total Capital Trusts — 2.9%
(Cost: $817,370) | | | | 784,432 | |
| | | | | | | | |
| | |
| | | Shares | | | | |
| | | |
Warrants — 0.0% | | | | | | | | | | | | |
| | | |
| Oil, Gas & Consumable Fuels — 0.0% | | | | | | | | | |
SM Energy Co. (Issued/exercisable 06/17/20, 1 share for 1 warrant, Expires 06/30/23, Strike Price USD 0.01)(a) | | | | 1,904 | | | | 7,121 | |
| | | | | | | | |
| | | |
| Total Warrants — 0.0% | | | | | | | | 7,121 | |
| | | | | | | | |
| |
Total Long-Term Investments — 98.1%
(Cost: $27,307,992) | | | | 26,812,349 | |
| | | | | | | | |
| | |
| | | Shares | | | | |
| | |
Short-Term Securities — 2.1%(n) | | | | | | | | | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11%* | | | | 550,914 | | | | 550,914 | |
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Class, 0.05% | | | | 27,655 | | | | 27,655 | |
| | | | | | | | |
| |
Total Short-Term Securities — 2.1%
(Cost: $578,569) | | | | 578,569 | |
| | | | | | | | |
| |
Total Investments — 100.2%
(Cost: $27,886,561) | | | | 27,390,918 | |
| |
Liabilities in Excess of Other Assets — (0.2)% | | | | (66,613 | ) |
| | | | | | | | |
| | | |
Net Assets — 100.0% | | | | | | | | | | $ | 27,324,305 | |
| | | | | | | | |
| (a) | Non-income producing security. |
| (b) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| (c) | 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. |
| (d) | Issuer filed for bankruptcy and/or is in default. |
| (e) | Perpetual security with no stated maturity date. |
| (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) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
| (h) | 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. |
| (i) | Convertible security. |
| (j) | Variable rate security. Rate shown is the rate in effect as of period end. |
| (k) | Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
| (m) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
| | |
SCHEDULES OF INVESTMENTS | | 113 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock High Yield Portfolio |
| (n) | Annualized 7-day yield as of period end. |
| * | Investments in issuers considered to be an affiliate/affiliates of the Fund during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Affiliated Issuer | |
| Shares
Held at
12/31/19 |
| |
| Shares
Purchased |
| |
| Shares
Sold |
| |
| Shares
Held at
06/30/20 |
| |
| Value at
06/30/20 |
| | | Income | | |
| Net
Realized Gain (Loss) |
(a) | |
| Change in
Unrealized
Appreciation
(Depreciation) |
|
BlackRock Liquidity Funds, T-Fund, Institutional Class(b) | | | 226,951 | | | | 323,963 | | | | — | | | | 550,914 | | | $ | 550,914 | | | $ | 1,515 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Includes net capital gain distributions, if applicable. |
| (b) | Represents net shares purchased (sold). |
| | |
| 114 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock High Yield Portfolio |
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 10 Year Note | | | 1 | | | | 09/21/20 | | | $ | 139 | | | $ | (524 | ) |
| | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | |
Currency
Purchased | | | Currency Sold | | | Counterparty | | Settlement Date | | | Unrealized
Appreciation
(Depreciation) | |
| EUR | | | 290,000 | | | USD | | | 327,277 | | | Natwest Markets plc | | | 07/06/20 | | | $ | (1,435 | ) |
| USD | | | 1,453 | | | CAD | | | 2,000 | | | BNP Paribas SA | | | 07/06/20 | | | | (20 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (1,455 | ) |
| | | | | | | | | | | | | | | | | | | | |
Centrally Cleared Credit Default Swaps — Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Obligation/Index | |
| Financing
Rate Received
by the Fund |
| |
| Payment
Frequency
|
| | Termination Date | |
| Credit
Rating |
(a) | | | | | |
| Notional
Amount
(000) |
(b) | | | Value | | |
| Upfront
Premium
Paid
(Received) |
| |
| Unrealized
Appreciation
(Depreciation) |
|
CDX.NA.HY.34.V6 | | | 5.00 | % | | | Quarterly | | | 06/20/25 | | | B+ | | | | USD | | | | 255 | | | $ | (1,438 | ) | | $ | (10,287 | ) | | $ | 8,849 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
| (b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
OTC Credit Default Swaps — Buy Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation/Index | | Financing
Rate Paid
by the Fund | | | Payment
Frequency | | | Counterparty | | Termination Date | | | Notional
Amount (000) | | | Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Nordstrom, Inc. | | | 1.00 | % | | | Quarterly | | | Barclays Bank plc | | | 06/20/25 | | | USD | 4 | | | $ | 745 | | | $ | 1,057 | | | $ | (312 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps — Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Obligation/Index | |
| Financing
Rate Received
by the Fund |
| |
| Payment
Frequency |
| | | Counterparty | | |
| Termination
Date |
| |
| Credit
Rating |
(a) | | | | | |
| Notional
Amount
(000) |
(b) | | | Value | | |
| Upfront
Premium
Paid
(Received) |
| |
| Unrealized
Appreciation
(Depreciation) |
|
CenturyLink, Inc. | | | 1.00 | % | | | Quarterly | | | | Barclays Bank plc | | | | 12/20/23 | | | | NR | | | | USD | | | | 8 | | | $ | (526 | ) | | $ | (427 | ) | | $ | (99 | ) |
CenturyLink, Inc. | | | 1.00 | | | | Quarterly | | | | Barclays Bank plc | | | | 06/20/25 | | | | NR | | | | USD | | | | 6 | | | | (687 | ) | | | (792 | ) | | | 105 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (1,213 | ) | | $ | (1,219 | ) | | $ | 6 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
| (b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
| | |
SCHEDULES OF INVESTMENTS | | 115 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock High Yield Portfolio |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Swaps
| | | | | | | | | | | | | | | | |
| | | Swap
Premiums
Paid | | | Swap
Premiums
Received | | | Unrealized
Appreciation | | | Unrealized
Depreciation | |
Centrally Cleared Swaps (a) | | $ | — | | | $ | (10,287 | ) | | $ | 8,849 | | | $ | — | |
OTC Swaps | | | 1,057 | | | | (1,219 | ) | | | 105 | | | | (411 | ) |
| (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:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
Assets — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps — centrally cleared
Unrealized appreciation on centrally cleared swaps (a) | | $ | — | | | $ | 8,849 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 8,849 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on OTC swaps; Swap premiums paid | | | — | | | | 1,162 | | | | — | | | | — | | | | — | | | | — | | | | 1,162 | |
| | $ | — | | | $ | 10,011 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 10,011 | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts
Unrealized depreciation on futures contracts (a) | | | — | | | | — | | | | — | | | | — | | | | 524 | | | | — | | | | 524 | |
Forward foreign currency exchange contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 1,455 | | | | — | | | | — | | | | 1,455 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on OTC swaps; Swap premiums received | | | — | | | | 1,630 | | | | — | | | | — | | | | — | | | | — | | | | 1,630 | |
| | $ | — | | | $ | 1,630 | | | $ | — | | | $ | 1,455 | | | $ | 524 | | | $ | — | | | $ | 3,609 | |
(a) Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). For the six months ended June 30, 2020, the effect of derivative financial instruments in the Statements of Operations was as follows: | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
Net Realized Gain (Loss) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | (39,733 | ) | | $ | — | | | $ | (5,751 | ) | | $ | — | | | $ | (45,484 | ) |
Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 7,821 | | | | — | | | | — | | | | 7,821 | |
Options purchased (a) | | | — | | | | — | | | | 18,424 | | | | — | | | | (9,608 | ) | | | — | | | | 8,816 | |
Options written | | | — | | | | — | | | | (8,451 | ) | | | — | | | | 1,090 | | | | — | | | | (7,361 | ) |
Swaps | | | — | | | | (36,740 | ) | | | — | | | | — | | | | — | | | | — | | | | (36,740 | ) |
| | $ | — | | | $ | (36,740 | ) | | $ | (29,760 | ) | | $ | 7,821 | | | $ | (14,269 | ) | | $ | — | | | $ | (72,948 | ) |
| Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | — | | | | — | | | | — | | | | — | | | | (524 | ) | | | — | | | | (524 | ) |
Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | (1,043 | ) | | | — | | | | — | | | | (1,043 | ) |
Options purchased (b) | | | — | | | | — | | | | — | | | | — | | | | 294 | | | | — | | | | 294 | |
Options written | | | — | | | | — | | | | — | | | | — | | | | 27 | | | | — | | | | 27 | |
Swaps | | | — | | | | 17,088 | | | | — | | | | — | | | | — | | | | — | | | | 17,088 | |
| | $ | — | | | $ | 17,088 | | | $ | — | | | $ | (1,043 | ) | | $ | (203 | ) | | $ | — | | | $ | 15,842 | |
| | |
| 116 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock High Yield Portfolio |
| | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments | |
Futures contracts: | | | | |
Average notional value of contracts — long | | $ | —(a) | |
Average notional value of contracts — short | | | 69,586 | |
Forward foreign currency exchange contracts: | | | | |
Average amounts purchased — in USD | | | 5,820 | |
Average amounts sold — in USD | | | 166,108 | |
Options: | | | | |
Average value of option contracts purchased | | | —(a) | |
Average value of option contracts written | | | —(a) | |
Average notional value of swaption contracts purchased | | | 545,000 | |
Average notional value of swaption contracts written | | | 545,000 | |
Credit default swaps: | | | | |
Average notional value — buy protection | | | 2,227 | |
Average notional value — sell protection | | | 287,300 | |
| (a) | Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. |
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: | | | | | | | | |
Futures contracts | | $ | 156 | | | $ | — | |
Forward foreign currency exchange contracts | | | — | | | | 1,455 | |
Swaps — Centrally cleared | | | 2,110 | | | | — | |
Swaps — OTC (a) | | | 1,162 | | | | 1,630 | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | $ | 3,428 | | | $ | 3,085 | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | (2,266 | ) | | | — | |
Total derivative assets and liabilities subject to an MNA | | $ | 1,162 | | | $ | 3,085 | |
| (a) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities. |
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 | |
Barclays Bank plc | | $ | 1,162 | | | $ | (1,162 | ) | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| 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 (b) | |
Barclays Bank plc | | $ | 1,630 | | | $ | (1,162 | ) | | $ | — | | | $ | — | | | $ | 468 | |
BNP Paribas SA | | | 20 | | | | — | | | | — | | | | — | | | | 20 | |
Natwest Markets plc | | | 1,435 | | | | — | | | | — | | | | — | | | | 1,435 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 3,085 | | | $ | (1,162 | ) | | $ | — | | | $ | — | | | $ | 1,923 | |
| | | | | | | | | | | | | | | | | | | | |
| (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 payable due to the counterparty in the event of default. |
| | |
SCHEDULES OF INVESTMENTS | | 117 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock High Yield 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: | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
Building Products | | $ | 542 | | | $ | — | | | $ | — | | | $ | 542 | |
Chemicals | | | 78,467 | | | | — | | | | — | | | | 78,467 | |
Energy Equipment & Services | | | 48 | | | | — | | | | 3,262 | | | | 3,310 | |
Entertainment | | | 12,811 | | | | — | | | | — | | | | 12,811 | |
Equity Real Estate Investment Trusts (REITs) | | | 106,749 | | | | — | | | | — | | | | 106,749 | |
Hotels, Restaurants & Leisure | | | 31,038 | | | | — | | | | — | | | | 31,038 | |
Life Sciences Tools & Services | | | 3,055 | | | | — | | | | — | | | | 3,055 | |
Media | | | 8,931 | | | | — | | | | — | | | | 8,931 | |
Metals & Mining | | | 38,523 | | | | — | | | | — | | | | 38,523 | |
Pharmaceuticals | | | 41,683 | | | | — | | | | — | | | | 41,683 | |
Corporate Bonds | | | — | | | | 23,359,053 | | | | — | | | | 23,359,053 | |
Floating Rate Loan Interests: | | | | | | | | | | | | | | | | |
Aerospace & Defense | | | — | | | | 17,654 | | | | — | | | | 17,654 | |
Airlines | | | — | | | | 5,865 | | | | — | | | | 5,865 | |
Auto Components | | | — | | | | 22,823 | | | | — | | | | 22,823 | |
Automobiles | | | — | | | | 6,640 | | | | — | | | | 6,640 | |
Building Products | | | — | | | | 6,018 | | | | — | | | | 6,018 | |
Capital Markets | | | — | | | | 9,929 | | | | — | | | | 9,929 | |
Chemicals | | | — | | | | 137,094 | | | | — | | | | 137,094 | |
Commercial Services & Supplies | | | — | | | | 155,047 | | | | — | | | | 155,047 | |
Construction & Engineering | | | — | | | | 27,877 | | | | — | | | | 27,877 | |
Containers & Packaging | | | — | | | | 24,130 | | | | — | | | | 24,130 | |
Diversified Consumer Services | | | — | | | | 46,101 | | | | — | | | | 46,101 | |
Diversified Financial Services | | | — | | | | 48,864 | | | | — | | | | 48,864 | |
Diversified Telecommunication Services | | | — | | | | 236,330 | | | | 18,315 | | | | 254,645 | |
Electric Utilities | | | — | | | | 32,381 | | | | — | | | | 32,381 | |
Energy Equipment & Services | | | — | | | | 24,544 | | | | — | | | | 24,544 | |
Entertainment | | | — | | | | 615 | | | | — | | | | 615 | |
Health Care Equipment & Supplies | | | — | | | | 123,914 | | | | — | | | | 123,914 | |
Health Care Providers & Services | | | — | | | | 126,460 | | | | 13,398 | | | | 139,858 | |
Hotels, Restaurants & Leisure | | | — | | | | 19,316 | | | | 4,971 | | | | 24,287 | |
Independent Power and Renewable Electricity Producers | | | — | | | | 1,454 | | | | — | | | | 1,454 | |
Industrial Conglomerates | | | — | | | | 15,786 | | | | — | | | | 15,786 | |
Insurance | | | — | | | | 114,265 | | | | — | | | | 114,265 | |
IT Services | | | — | | | | 166,855 | | | | 7,245 | | | | 174,100 | |
Life Sciences Tools & Services | | | — | | | | 20,804 | | | | — | | | | 20,804 | |
Machinery | | | — | | | | 69,470 | | | | 19,004 | | | | 88,474 | |
Media | | | — | | | | 353,723 | | | | — | | | | 353,723 | |
Metals & Mining | | | — | | | | 5,237 | | | | — | | | | 5,237 | |
Oil, Gas & Consumable Fuels | | | — | | | | 68,842 | | | | — | | | | 68,842 | |
Pharmaceuticals | | | — | | | | 38,011 | | | | — | | | | 38,011 | |
Professional Services | | | — | | | | 37,794 | | | | — | | | | 37,794 | |
Software | | | — | | | | 227,392 | | | | 23,903 | | | | 251,295 | |
Specialty Retail | | | — | | | | 57,093 | | | | — | | | | 57,093 | |
Other Interests | | | — | | | | — | | | | 1,470 | | | | 1,470 | |
Capital Trusts | | | — | | | | 784,432 | | | | — | | | | 784,432 | |
Warrants | | | — | | | | 7,121 | | | | — | | | | 7,121 | |
Short-Term Securities | | | 578,569 | | | | — | | | | — | | | | 578,569 | |
Unfunded Floating Rate Loan Interests (a) | | | — | | | | 478 | | | | — | | | | 478 | |
| | | | | | | | | | | | | | | | |
| | $ | 900,416 | | | $ | 26,399,412 | | | $ | 91,568 | | | $ | 27,391,396 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments (b) | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Credit contracts | | $ | — | | | $ | 8,954 | | | $ | — | | | $ | 8,954 | |
| | |
| 118 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock High Yield Portfolio |
| | | | | | | | | | | | | | | | |
| |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| |
Liabilities: | | | | | | | | | | | | | | | | |
Credit contracts | | $ | — | | | $ | (411 | ) | | $ | — | | | $ | (411 | ) |
Foreign currency exchange contracts | | | — | | | | (1,455 | ) | | | — | | | | (1,455 | ) |
Interest rate contracts | | | (524 | ) | | | — | | | | — | | | | (524 | ) |
| | | | | | | | | | | | | | | | |
| | $ | (524 | ) | | $ | 7,088 | | | $ | — | | | $ | 6,564 | |
| | | | | | | | | | | | | | | | |
The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.
| (a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
| (b) | Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
See notes to financial statements.
| | |
SCHEDULES OF INVESTMENTS | | 119 |
| | |
Schedule of Investments (unaudited) June 30, 2020 | | BlackRock U.S. Government Bond Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities — 1.7%(a) | |
Dryden XXVIII Senior Loan Fund, Series 2013- 28A, Class A1LR, (LIBOR USD 3 Month + 1.20%), 1.59%, 08/15/30(b) | | | USD | | | | 500 | | | $ | 488,569 | |
Progress Residential Trust, Series 2017-SFR1, Class A, 2.77%, 08/17/34 | | | | | | | 100 | | | | 101,120 | |
Romark WM-R Ltd., Series 2018-1A, Class A1, (LIBOR USD 3 Month + 1.03%), 2.17%, 04/20/31(b) | | | | | | | 400 | | | | 388,691 | |
| | | | | | | | |
| | | |
Total Asset-Backed Securities — 1.7%
(Cost: $999,580) | | | | | | | | | | | 978,380 | |
| | | | | | | | |
|
Foreign Government Obligations — 0.2% | |
| | | |
| Colombia — 0.0% | | | | | | | | | |
Republic of Colombia: | | | | | | | | | | | | |
6.25%, 11/26/25 | | | COP | | | | 20,300 | | | | 5,829 | |
7.25%, 10/18/34 | | | | | | | 57,000 | | | | 15,671 | |
| | | | | | | | |
| | | | | | | | | | | 21,500 | |
| | | |
| Russia — 0.2% | | | | | | | | | |
Russian Federation: | | | | | | | | | | | | |
8.15%, 02/03/27 | | | RUB | | | | 928 | | | | 15,024 | |
6.00%, 10/06/27 | | | | | | | 515 | | | | 7,446 | |
6.90%, 05/23/29 | | | | | | | 2,121 | | | | 32,252 | |
8.50%, 09/17/31 | | | | | | | 2,089 | | | | 35,471 | |
| | | | | | | | |
| | | | | | | | | | | 90,193 | |
| | | | | | | | |
| | |
Total Foreign Government Obligations — 0.2%
(Cost: $112,248) | | | | | | | | 111,693 | |
| | | | | | | | |
|
Non-Agency Mortgage-Backed Securities — 4.2% | |
|
| Collateralized Mortgage Obligations — 0.6% | |
Seasoned Credit Risk Transfer Trust: Series 2018-2, Class MA, 3.50% 11/25/57 | | | USD | | | | 98 | | | | 106,277 | |
Series 2018-3, Class MA, 3.50% 08/25/57 | | | | | | | 127 | | | | 138,122 | |
Series 2019-2, Class MA, 3.50% 08/25/58 | | | | | | | 74 | | | | 81,116 | |
| | | | | | | | |
| | | | | | | | | | | 325,515 | |
|
| Commercial Mortgage-Backed Securities — 3.2% | |
BANK, Series 2020-BN26, Class B, 2.91% 03/15/63(c) | | | | | | | 140 | | | | 135,888 | |
BX Commercial Mortgage Trust, Series 2019- XL, Class D, 1.63% 10/15/36(a)(c) | | | | | | | 287 | | | | 279,446 | |
BX Trust, Series 2019-OC11, Class A, 3.20% 12/09/41(a) | | | | | | | 275 | | | | 286,484 | |
CFK Trust, Series 2020-MF2, Class B, 2.79% 03/15/39(a) | | | | | | | 140 | | | | 137,890 | |
Commercial Mortgage Trust, Series 2017- PANW, Class A, 3.24% 10/10/29(a) | | | | | | | 350 | | | | 360,269 | |
CSAIL Commercial Mortgage Trust, Series 2019-C17, Class C, 3.93% 09/15/52 | | | | | | | 80 | | | | 80,464 | |
Hudson Yards Mortgage Trust, Series 2019- 30HY, Class D, 3.56% 07/10/39(a)(c) | | | | | | | 101 | | | | 101,160 | |
KKR Industrial Portfolio Trust, Series 2020-AIP, Class A,
1.22% 03/15/37(a)(c) | | | | | | | 34 | | | | 33,589 | |
Morgan Stanley Capital I Trust, Series 2018- SUN, Class A, 1.08% 07/15/35(a)(c) | | | | | | | 130 | | | | 124,137 | |
One Bryant Park Trust, Series 2019-OBP, Class A, 2.52% 09/15/54(a) | | | | | | | 270 | | | | 285,700 | |
| | | | | | | | |
| | | | | | | | | | | 1,825,027 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
| Interest Only Commercial Mortgage-Backed Securities — 0.4%(c) | |
CSAIL Commercial Mortgage Trust, Series 2019-C16, Class XA, 1.73% 06/15/52 | | | USD | | | | 1,548 | | | $ | 160,489 | |
UBS Commercial Mortgage Trust, Series 2019-C17, Class XA, 1.64% 10/15/52 | | | | | | | 995 | | | | 100,135 | |
| | | | | | | | |
| | | | | | | | | | | 260,624 | |
| | | | | | | | |
| |
Total Non-Agency Mortgage-Backed Securities — 4.2%
(Cost: $2,412,156) | | | | 2,411,166 | |
| | | | | | | | |
|
U.S. Government Sponsored Agency
Securities — 51.5% | |
| | | |
Agency Obligations — 0.9% | | | | | | | | | | | | |
Federal Home Loan Bank, 4.00%, 04/10/28 | | | | | | | 400 | | | | 493,431 | |
| | | | | | | | |
|
| Collateralized Mortgage Obligations — 0.5% | |
Federal National Mortgage Association, Series 2011-8, Class ZA, 4.00%, 02/25/41 | | | | | | | 187 | | | | 203,924 | |
Government National Mortgage Association Variable Rate Notes, Series 2014-107, Class WX, 6.80%, 07/20/39(c) | | | | | | | 91 | | | | 106,633 | |
| | | | | | | | |
| | | | | | | | | | | 310,557 | |
|
| Commercial Mortgage-Backed Securities — 0.7% | |
Federal Home Loan Mortgage Corp. Variable Rate Notes(c): | | | | | | | | | | | | |
Series 2019-SB60, Class A10F, 3.31%, 01/25/29 | | | | | | | 205 | | | | 220,360 | |
Series 2019-SB61, Class A10F, 3.17%, 01/25/29 | | | | | | | 160 | | | | 171,287 | |
Government National Mortgage Association, Series 2019-7, Class V, 3.00%, 05/16/35 | | | | | | | 21 | | | | 23,714 | |
| | | | | | | | |
| | | | | | | | | | | 415,361 | |
|
| Interest Only Commercial Mortgage-Backed Securities — 1.2% | |
Federal Home Loan Mortgage Corp., Series 2015-K718, Class X2A, 0.10%, 02/25/48(a) | | | | | | | 16,843 | | | | 17,828 | |
Government National Mortgage Association Variable Rate Notes: | | | | | | | | | | | | |
Series 2002-83, 0.00%, 10/16/42(c) | | | | | | | 426 | | | | 1 | |
Series 2003-17, 0.00%, 03/16/43(c) | | | | | | | 411 | | | | 4 | |
Series 2003-109, 0.00%, 11/16/43(c) | | | | | | | 823 | | | | 32 | |
Series 2016-22, 0.77%, 11/16/55(c) | | | | | | | 2,072 | | | | 96,038 | |
Series 2016-45, 0.98%, 02/16/58(c) | | | | | | | 1,310 | | | | 78,931 | |
Series 2016-92, 0.90%, 04/16/58(c) | | | | | | | 497 | | | | 28,261 | |
Series 2016-113, (LIBOR USD 1 Month + 0.00%), 1.15%, 02/16/58(b) | | | | | | | 1,113 | | | | 84,269 | |
Series 2016-151, 1.06%, 06/16/58(c) | | | | | | | 872 | | | | 59,150 | |
Series 2017-30, 0.66%, 08/16/58(c) | | | | | | | 475 | | | | 22,617 | |
Series 2017-44, 0.70%, 04/17/51(c) | | | | | | | 530 | | | | 25,843 | |
Series 2017-53, 0.67%, 11/16/56(c) | | | | | | | 3,457 | | | | 166,310 | |
Series 2017-61, 0.76%, 05/16/59(c) | | | | | | | 393 | | | | 24,180 | |
Series 2017-64, 0.70%, 11/16/57(c) | | | | | | | 650 | | | | 34,812 | |
Series 2017-72, 0.67%, 04/16/57(c) | | | | | | | 949 | | | | 49,504 | |
| | | | | | | | |
| | | | | | | | | | | 687,780 | |
|
| Mortgage-Backed Securities — 48.2% | |
Federal Home Loan Mortgage Corp.: | | | | | | | | | | | | |
2.50%, 03/01/30 - 04/01/31 | | | | | | | 156 | | | | 165,524 | |
3.00%, 09/01/27 - 12/01/46 | | | | | | | 417 | | | | 447,037 | |
3.50%, 04/01/31 - 01/01/48 | | | | | | | 649 | | | | 705,564 | |
4.00%, 08/01/40 - 02/01/47 | | | | | | | 138 | | | | 151,267 | |
4.50%, 02/01/39 - 07/01/47 | | | | | | | 206 | | | | 229,750 | |
5.00%, 11/01/41 | | | | | | | 86 | | | | 97,679 | |
5.50%, 06/01/41 | | | | | | | 82 | | | | 94,502 | |
8.00%, 03/01/30 - 06/01/31 | | | | | | | 12 | | | | 12,257 | |
| | |
| 120 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock U.S. Government Bond Portfolio (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | |
| Mortgage-Backed Securities (continued) | | | | | | | |
Federal National Mortgage Association: | | | | | | | | | | | | |
3.00%, 02/01/44 | | | USD | | | | 52 | | | $ | 56,050 | |
3.50%, 11/01/46 | | | | | | | 167 | | | | 179,010 | |
4.00%, 01/01/41 | | | | | | | 6 | | | | 6,671 | |
Government National Mortgage Association: | | | | | | | | | |
2.50%, 07/15/50(d) | | | | | | | 362 | | | | 381,062 | |
3.00%, 02/15/45 - 12/20/46 | | | | | | | 655 | | | | 696,916 | |
3.00%, 07/15/50(d) | | | | | | | 1,240 | | | | 1,313,241 | |
3.50%, 01/15/42 - 10/20/46 | | | | | | | 2,057 | | | | 2,204,611 | |
3.50%, 07/15/50(d) | | | | | | | 23 | | | | 24,269 | |
4.00%, 10/20/40 - 01/15/48 | | | | | | | 626 | | | | 675,325 | |
4.00%, 07/15/50(d) | | | | | | | 468 | | | | 496,162 | |
4.50%, 12/20/39 - 06/20/50 | | | | | | | 967 | | | | 1,055,679 | |
5.00%, 07/15/39 - 07/20/44 | | | | | | | 62 | | | | 70,775 | |
5.00%, 07/15/50(d) | | | | | | | 126 | | | | 136,848 | |
Uniform Mortgage-Backed Securities: | | | | | | | | | | | | |
2.00%, 10/01/31 - 03/01/32 | | | | | | | 100 | | | | 104,202 | |
2.00%, 09/25/35 - 08/25/50(d) | | | | | | | 410 | | | | 419,883 | |
2.50%, 04/01/30 - 02/01/33 | | | | | | | 552 | | | | 586,643 | |
2.50%, 07/25/35 - 08/25/50(d) | | | | | | | 3,816 | | | | 3,975,745 | |
3.00%, 04/01/29 - 05/01/50 | | | | | | | 2,423 | | | | 2,597,083 | |
3.00%, 07/25/35 - 08/25/50(d) | | | | | | | 1,083 | | | | 1,139,588 | |
3.50%, 04/01/29 - 06/01/50 | | | | | | | 2,665 | | | | 2,902,335 | |
4.00%, 09/01/33 - 03/01/50 | | | | | | | 2,028 | | | | 2,234,117 | |
4.00%, 07/25/35 - 07/25/50(d) | | | | | | | 851 | | | | 901,805 | |
4.50%, 06/01/26 - 04/01/49 | | | | | | | 937 | | | | 1,035,598 | |
4.50%, 07/25/50(d) | | | | | | | 1,656 | | | | 1,779,294 | |
5.00%, 02/01/35 - 12/01/43 | | | | | | | 186 | | | | 212,438 | |
5.00%, 07/25/50(d) | | | | | | | 4 | | | | 4,371 | |
5.50%, 11/01/21 - 09/01/39 | | | | | | | 233 | | | | 264,999 | |
6.00%, 04/01/35 - 09/01/40 | | | | | | | 171 | | | | 199,540 | |
6.50%, 05/01/40 | | | | | | | 37 | | | | 42,117 | |
| | | | | | | | |
| | | | | | | | | | | 27,599,957 | |
| | | | | | | | |
| |
Total U.S. Government Sponsored Agency
Securities — 51.5%
(Cost: $28,784,747) | | | | 29,507,086 | |
| | | | | | | | |
| | |
U.S. Treasury Obligations — 46.6% | | | | | | | | | |
U.S. Treasury Bonds: | | | | | | | | | | | | |
4.25%, 05/15/39 | | | | | | | 160 | | | | 247,206 | |
4.50%, 08/15/39 | | | | | | | 160 | | | | 254,831 | |
4.38%, 11/15/39 | | | | | | | 160 | | | | 251,588 | |
3.13%, 02/15/43 | | | | | | | 610 | | | | 827,074 | |
2.88%, 05/15/43 - 11/15/46 | | | | | | | 1,200 | | | | 1,581,492 | |
3.63%, 08/15/43 | | | | | | | 610 | | | | 890,981 | |
3.75%, 11/15/43 | | | | | | | 610 | | | | 907,828 | |
3.00%, 02/15/48 | | | | | | | 590 | | | | 807,678 | |
2.25%, 08/15/49 | | | | | | | 825 | | | | 992,159 | |
U.S. Treasury Inflation Linked Notes: | | | | | | | | | | | | |
0.50%, 04/15/24(e) | | | | | | | 720 | | | | 756,748 | |
0.13%, 10/15/24 | | | | | | | 120 | | | | 126,010 | |
U.S. Treasury Notes: | | | | | | | | | | | | |
2.00%, 07/31/20(e) | | | | | | | 2,350 | | | | 2,353,541 | |
2.50%, 12/31/20 | | | | | | | 1,760 | | | | 1,780,075 | |
1.13%, 07/31/21(e) | | | | | | | 2,650 | | | | 2,677,328 | |
1.75%, 07/31/21 - 04/30/22 | | | | | | | 3,650 | | | | 3,738,732 | |
1.50%, 01/31/22 - 08/15/26 | | | | | | | 3,550 | | | | 3,677,537 | |
2.13%, 12/31/22 | | | | | | | 1,180 | | | | 1,237,479 | |
2.75%, 05/31/23 | | | | | | | 1,180 | | | | 1,268,131 | |
2.25%, 08/15/27 | | | | | | | 1,180 | | | | 1,325,334 | |
2.88%, 08/15/28 | | | | | | | 350 | | | | 414,504 | |
3.13%, 11/15/28 | | | | | | | 350 | | | | 423,158 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
| U.S. Treasury Obligations (continued) | |
1.63%, 08/15/29 | | | USD | | | | 125 | | | $ | 136,392 | |
| | | | | | | | |
| |
Total U.S. Treasury Obligations — 46.6%
(Cost: $24,503,110) | | | | 26,675,806 | |
| | | | | | | | |
| |
Total Long-Term Investments — 104.2%
(Cost: $56,811,841) | | | | 59,684,131 | |
| | | | | | | | |
| | |
| | | Shares | | | | |
|
Short-Term Securities — 21.9% | |
|
| Money Market Funds — 9.5% | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11%(f)* | | | | 5,450,566 | | | | 5,450,566 | |
| | | | | | | | |
| |
Total Money Market Funds — 9.5%
(Cost: $5,450,566) | | | | 5,450,566 | |
| | | | | | | | |
| | |
| | | Par (000) | | | | |
|
U.S. Government Sponsored Agency
Securities — 12.4% | |
Federal Home Loan Bank Discount Notes, 0.09%, 07/24/20(g) | | | | 7,100 | | | | 7,099,456 | |
| | | | | | | | |
| |
Total U.S. Government Sponsored Agency
Securities — 12.4%
(Cost: $7,099,596) | | | | 7,099,456 | |
| | | | | | | | |
| |
Total Short-Term Securities — 21.9%
(Cost: $12,550,162) | | | | 12,550,022 | |
| | | | | | | | |
| |
Total Options Purchased — 0.0%
(Cost: $25,307) | | | | 10,747 | |
| | | | | | | | |
| |
Total Investments Before Options Written and TBA Sale Commitments — 126.1%
(Cost: $69,387,310) | | | | 72,244,900 | |
| | | | | | | | |
| |
Total Options Written — (0.0)%
(Premium Received — $28,172) | | | | (21,144 | ) |
| | | | | | | | |
|
TBA Sale Commitments — (8.7)%(d) | |
|
| Mortgage-Backed Securities — (8.7)% | |
Government National Mortgage Association: | | | | | | | | | |
3.50%, 07/15/50 | | | | | | | 108 | | | | (113,552 | ) |
4.50%, 07/15/50 | | | | | | | 158 | | | | (168,751 | ) |
Uniform Mortgage-Backed Securities: | | | | | | | | | | | | |
2.50%, 07/25/35 - 08/25/50 | | | | | | | 1,472 | | | | (1,534,871 | ) |
3.00%, 07/25/35 - 07/25/50 | | | | | | | 59 | | | | (62,133 | ) |
3.50%, 07/25/35 - 08/25/50 | | | | | | | 2,423 | | | | (2,548,561 | ) |
4.00%, 07/25/35 - 07/25/50 | | | | | | | 172 | | | | (182,038 | ) |
2.00%, 07/25/50 | | | | | | | 165 | | | | (168,854 | ) |
5.50%, 07/25/50 | | | | | | | 109 | | | | (119,936 | ) |
6.00%, 07/25/50 | | | | | | | 69 | | | | (76,807 | ) |
| | | | | | | | |
| |
Total TBA Sale Commitments — (8.7)%
(Proceeds: $4,970,721) | | | | (4,975,503 | ) |
| | | | | | | | |
| |
Total Investments Net of Options Written and TBA Sale Commitments — 117.4%
(Cost: $64,388,417) | | | | 67,248,253 | |
| |
| Liabilities in Excess of Other Assets — (17.4)% | | | (9,969,159) | |
| | | | | | | | |
| | | |
| Net Assets — 100.0% | | | | | | | | $ 57,279,094 | |
| | | | | | | | |
| | |
SCHEDULES OF INVESTMENTS | | 121 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock U.S. Government Bond 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. 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) | 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) | Represents or includes a TBA transaction. |
| (e) | All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
| (f) | Annualized 7-day yield as of period end. |
| (g) | Rates are discount rates or a range of discount rates as of period end. |
| * | Investments in issuers considered to be an affiliate/affiliates of the Fund during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
Affiliated Issuer | |
| Shares
Held at 12/31/19 |
| |
| Shares
Purchased |
| |
| Shares
Sold |
| |
| Shares
Held at 06/30/20 |
| |
| Value at
06/30/20 |
| | | Income | | |
| Net
Realized Gain (Loss) |
(a) | |
| Change in
Unrealized Appreciation (Depreciation) |
|
| |
BlackRock Liquidity Funds, T-Fund, Institutional Class(b) | | | 1,217,840 | | | | 4,232,726 | | | | — | | | | 5,450,566 | | | $ | 5,450,566 | | | $ | 5,650 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Includes net capital gain distributions, if applicable. |
| (b) | Represents net shares purchased (sold). |
Reverse Repurchase Agreements
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Interest Rate | | | Trade Date | | | Maturity Date | | | Face Value | | | Face Value Including Accrued Interest | | | Type of Non-Cash Underlying Collateral | | Remaining Contractual Maturity of the Agreements |
Bank of America Securities, Inc. | | | 0.18 | % | | | 06/30/20 | | | | 07/01/20 | | | $ | 2,373,500 | | | $ | 2,373,512 | | | U.S. Treasury Obligations | | Overnight |
Bank of America Securities, Inc. | | | 0.18 | | | | 06/30/20 | | | | 07/01/20 | | | | 2,689,750 | | | | 2,689,763 | | | U.S. Treasury Obligations | | Overnight |
J.P. Morgan Securities LLC | | | 0.17 | | | | 06/30/20 | | | | 07/01/20 | | | | 757,881 | | | | 757,885 | | | U.S. Treasury Obligations | | Overnight |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 5,821,131 | | | $ | 5,821,160 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| 122 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock U.S. Government Bond Portfolio |
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-BTP | | | 4 | | | | 09/08/20 | | | $ | 647 | | | $ | 10,215 | |
U.S. Treasury Long Bond | | | 2 | | | | 09/21/20 | | | | 357 | | | | 2,199 | |
U.S. Treasury 2 Year Note | | | 21 | | | | 09/30/20 | | | | 4,637 | | | | 3,513 | |
U.S. Treasury 5 Year Note | | | 74 | | | | 09/30/20 | | | | 9,305 | | | | 17,241 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 33,168 | |
| | | | | | | | | | | | | | | | |
Short Contracts | | | | | | | | | | | | | | | | |
Euro-Bund | | | 4 | | | | 09/08/20 | | | | 793 | | | | (9,034) | |
Canada 10 Year Bond | | | 3 | | | | 09/21/20 | | | | 340 | | | | 172 | |
U.S. Treasury 10 Year Note | | | 9 | | | | 09/21/20 | | | | 1,253 | | | | (746) | |
U.S. Treasury 10 Year Ultra Note | | | 2 | | | | 09/21/20 | | | | 315 | | | | (937) | |
U.S. Treasury Ultra Bond | | | 1 | | | | 09/21/20 | | | | 218 | | | | 44 | |
Long Gilt | | | 2 | | | | 09/28/20 | | | | 341 | | | | (1,875) | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (12,376) | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 20,792 | |
| | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | |
Currency Purchased | | | Currency Sold | | | Counterparty | | Settlement Date | | | Unrealized Appreciation (Depreciation) | |
KRW | | | 8,654,100 | | | USD | | | 7,000 | | | Deutsche Bank AG | | | 07/02/20 | | | $ | 195 | |
USD | | | 6,000 | | | BRL | | | 32,156 | | | BNP Paribas SA | | | 07/02/20 | | | | 87 | |
USD | | | 26,800 | | | BRL | | | 136,285 | | | Citibank NA | | | 07/02/20 | | | | 1,739 | |
USD | | | 7,000 | | | BRL | | | 34,860 | | | Deutsche Bank AG | | | 07/02/20 | | | | 590 | |
USD | | | 5,000 | | | BRL | | | 26,564 | | | JPMorgan Chase Bank NA | | | 07/02/20 | | | | 115 | |
USD | | | 30,859 | | | MXN | | | 700,000 | | | Citibank NA | | | 07/06/20 | | | | 419 | |
AUD | | | 12,000 | | | USD | | | 8,249 | | | Deutsche Bank AG | | | 07/15/20 | | | | 32 | |
USD | | | 6,000 | | | CLP | | | 4,764,000 | | | JPMorgan Chase Bank NA | | | 07/15/20 | | | | 198 | |
USD | | | 8,000 | | | COP | | | 29,876,000 | | | JPMorgan Chase Bank NA | | | 07/15/20 | | | | 60 | |
USD | | | 6,000 | | | MXN | | | 137,507 | | | HSBC Bank plc | | | 07/15/20 | | | | 28 | |
USD | | | 12,000 | | | RUB | | | 838,836 | | | BNP Paribas SA | | | 07/15/20 | | | | 234 | |
USD | | | 5,000 | | | RUB | | | 349,300 | | | Citibank NA | | | 07/15/20 | | | | 100 | |
USD | | | 26,000 | | | ZAR | | | 449,243 | | | Bank of America NA | | | 07/15/20 | | | | 150 | |
USD | | | 94,727 | | | ZAR | | | 1,628,575 | | | JPMorgan Chase Bank NA | | | 07/15/20 | | | | 1,015 | |
CLP | | | 4,933,500 | | | USD | | | 6,000 | | | Bank of America NA | | | 07/20/20 | | | | 9 | |
USD | | | 7,053 | | | COP | | | 26,411,000 | | | JPMorgan Chase Bank NA | | | 07/27/20 | | | | 41 | |
USD | | | 6,000 | | | BRL | | | 32,577 | | | Citibank NA | | | 08/04/20 | | | | 20 | |
USD | | | 18,000 | | | COP | | | 65,098,080 | | | Citibank NA | | | 08/10/20 | | | | 738 | |
USD | | | 12,164 | | | COP | | | 44,611,198 | | | Barclays Bank plc | | | 09/16/20 | | | | 370 | |
USD | | | 3,038 | | | RUB | | | 215,335 | | | Credit Suisse International | | | 09/16/20 | | | | 39 | |
USD | | | 4,535 | | | RUB | | | 322,542 | | | HSBC Bank plc | | | 09/16/20 | | | | 43 | |
USD | | | 94,346 | | | RUB | | | 6,569,070 | | | JPMorgan Chase Bank NA | | | 09/16/20 | | | | 2,851 | |
USD | | | 3,174 | | | RUB | | | 225,411 | | | Morgan Stanley & Co. International plc | | | 09/16/20 | | | | 34 | |
USD | | | 4,416 | | | MXN | | | 96,813 | | | Barclays Bank plc | | | 09/23/20 | | | | 251 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 9,358 | |
| | | | | | | | | | | | | | | | | | | | |
BRL | | | 20,366 | | | USD | | | 3,800 | | | BNP Paribas SA | | | 07/02/20 | | | | (55) | |
BRL | | | 80,779 | | | USD | | | 15,000 | | | Citibank NA | | | 07/02/20 | | | | (146) | |
BRL | | | 62,487 | | | USD | | | 12,000 | | | Deutsche Bank AG | | | 07/02/20 | | | | (510) | |
BRL | | | 74,468 | | | USD | | | 14,000 | | | JPMorgan Chase Bank NA | | | 07/02/20 | | | | (307) | |
USD | | | 7,000 | | | KRW | | | 8,513,400 | | | JPMorgan Chase Bank NA | | | 07/02/20 | | | | (78) | |
USD | | | 36,652 | | | CAD | | | 50,000 | | | Citibank NA | | | 07/06/20 | | | | (178) | |
USD | | | 90,959 | | | EUR | | | 81,000 | | | HSBC Bank plc | | | 07/06/20 | | | | (52) | |
USD | | | 8,000 | | | KRW | | | 9,630,880 | | | BNP Paribas SA | | | 07/06/20 | | | | (18) | |
CLP | | | 6,912,000 | | | USD | | | 9,000 | | | Citibank NA | | | 07/15/20 | | | | (582) | |
| | |
SCHEDULES OF INVESTMENTS | | 123 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock U.S. Government Bond Portfolio |
Forward Foreign Currency Exchange Contracts (continued)
| | | | | | | | | | | | | | | | | | | | | | |
Currency Purchased | | | Currency Sold | | | Counterparty | | Settlement Date | | | Unrealized Appreciation (Depreciation) | |
CLP | | | 9,759,000 | | | | USD | | | | 12,000 | | | Deutsche Bank AG | | | 07/15/20 | | | $ | (116) | |
COP | | | 22,440,000 | | | | USD | | | | 6,000 | | | JPMorgan Chase Bank NA | | | 07/15/20 | | | | (36) | |
EUR | | | 20,000 | | | | USD | | | | 22,548 | | | JPMorgan Chase Bank NA | | | 07/15/20 | | | | (72) | |
JPY | | | 1,399,832 | | | | AUD | | | | 19,000 | | | JPMorgan Chase Bank NA | | | 07/15/20 | | | | (145) | |
JPY | | | 750,724 | | | | USD | | | | 7,000 | | | Citibank NA | | | 07/15/20 | | | | (46) | |
MXN | | | 45,399 | | | | USD | | | | 2,000 | | | Barclays Bank plc | | | 07/15/20 | | | | (28) | |
MXN | | | 260,745 | | | | USD | | | | 11,500 | | | Citibank NA | | | 07/15/20 | | | | (176) | |
MXN | | | 99,718 | | | | USD | | | | 4,500 | | | Deutsche Bank AG | | | 07/15/20 | | | | (169) | |
MXN | | | 1,323,902 | | | | USD | | | | 59,400 | | | JPMorgan Chase Bank NA | | | 07/15/20 | | | | (1,902) | |
MXN | | | 512,081 | | | | USD | | | | 23,000 | | | Morgan Stanley & Co. International plc | | | 07/15/20 | | | | (760) | |
RUB | | | 4,533,497 | | | | USD | | | | 65,000 | | | JPMorgan Chase Bank NA | | | 07/15/20 | | | | (1,407) | |
USD | | | 3,000 | | | | MXN | | | | 69,159 | | | Deutsche Bank AG | | | 07/15/20 | | | | (4) | |
ZAR | | | 203,428 | | | | USD | | | | 12,000 | | | Citibank NA | | | 07/15/20 | | | | (294) | |
USD | | | 21,000 | | | | TRY | | | | 145,373 | | | Citibank NA | | | 07/17/20 | | | | (137) | |
USD | | | 6,000 | | | | CLP | | | | 4,933,500 | | | Citibank NA | | | 07/20/20 | | | | (9) | |
KZT | | | 515,460 | | | | USD | | | | 1,320 | | | Natwest Markets plc | | | 07/24/20 | | | | (59) | |
USD | | | 4,570 | | | | COP | | | | 17,417,000 | | | JPMorgan Chase Bank NA | | | 07/27/20 | | | | (54) | |
USD | | | 3,000 | | | | BRL | | | | 16,430 | | | Citibank NA | | | 08/04/20 | | | | (16) | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | (7,356) | |
| | | | | | | | | | | | | | | | | | | | | | |
OTC Barrier Options Purchased
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Type of Option | | | Counterparty | | | Expiration Date | | | Exercise Price | | | Barrier Price/Range | | | Notional Amount (000) | | | Value | |
Call | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
USD Currency | | | One-Touch | | | | Bank of America NA | | | | 09/10/20 | | | | CLP | | | | 820.00 | | | | CLP | | | | 820.00 | | | | USD | | | | 1 | | | $ | 468 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
USD Currency | | | Down and Out | | | | Goldman Sachs International | | | | 07/15/20 | | | | MXN | | | | 22.25 | | | | MXN | | | | 21.30 | | | | USD | | | | 15 | | | | 25 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 493 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Currency Options Purchased
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Expiration Date | | | Exercise Price | | | Notional Amount (000) | | | Value | |
Call | | | | | | | | | | | | | | | | | | | | | | | | | | |
USD Currency | | Bank of America NA | | | 07/15/20 | | | | CLP | | | | 830.00 | | | | USD | | | | 15 | | | $ | 138 | |
USD Currency | | Citibank NA | | | 07/23/20 | | | | ZAR | | | | 18.00 | | | | USD | | | | 11 | | | | 69 | |
USD Currency | | Deutsche Bank AG | | | 07/23/20 | | | | ZAR | | | | 19.00 | | | | USD | | | | 11 | | | | 16 | |
USD Currency | | Bank of America NA | | | 08/07/20 | | | | TRY | | | | 7.00 | | | | USD | | | | 10 | | | | 109 | |
USD Currency | | JPMorgan Chase Bank NA | | | 11/03/20 | | | | TWD | | | | 30.00 | | | | USD | | | | 22 | | | | 71 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | 403 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | |
USD Currency | | Bank of America NA | | | 07/02/20 | | | | BRL | | | | 5.00 | | | | USD | | | | 18 | | | | — | |
USD Currency | | Bank of America NA | | | 07/02/20 | | | | KRW | | | | 1,220.00 | | | | USD | | | | 20 | | | | 336 | |
USD Currency | | Citibank NA | | | 07/02/20 | | | | RUB | | | | 78.00 | | | | USD | | | | 57 | | | | 5,402 | |
USD Currency | | Bank of America NA | | | 07/09/20 | | | | KRW | | | | 1,170.00 | | | | USD | | | | 28 | | | | 6 | |
USD Currency | | Standard Chartered Bank | | | 07/21/20 | | | | JPY | | | | 106.00 | | | | USD | | | | 30 | | | | 35 | |
USD Currency | | Bank of America NA | | | 08/05/20 | | | | ZAR | | | | 16.90 | | | | USD | | | | 21 | | | | 168 | |
USD Currency | | Bank of America NA | | | 08/06/20 | | | | MXN | | | | 24.00 | | | | USD | | | | 12 | | | | 600 | |
USD Currency | | Bank of America NA | | | 10/09/20 | | | | MXN | | | | 23.80 | | | | USD | | | | 15 | | | | 727 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | 7,274 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | 7,677 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| 124 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock U.S. Government Bond Portfolio |
OTC Interest Rate Swaptions Purchased
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Paid by the Fund | | Received by the Fund | | | | | | | | | | | | | | | | |
| Description | | Rate | | | Frequency | | Rate | | | Frequency | | Counterparty | | Expiration Date | | | Exercise Rate | | | Notional Amount (000) | | | Value | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
10-Year Interest Rate Swap(a) | | | 2.11 | % | | Semi-Annual | | | 3 month LIBOR | | | Quarterly | | Citibank NA | | | 08/17/20 | | | | 2.11 | % | | USD | | | 1,800 | | | $ | 4 | |
10-Year Interest Rate Swap(a) | | | 1.05 | % | | Semi-Annual | | | 3 month LIBOR | | | Quarterly | | Deutsche Bank AG | | | 12/03/20 | | | | 1.05 | | | USD | | | 229 | | | | 1,273 | |
10-Year Interest Rate Swap(a) | | | 1.05 | % | | Semi-Annual | | | 3 month LIBOR | | | Quarterly | | Deutsche Bank AG | | | 12/16/20 | | | | 1.05 | | | USD | | | 89 | | | | 545 | |
10-Year Interest Rate Swap(a) | | | 1.00 | % | | Semi-Annual | | | 3 month LIBOR | | | Quarterly | | Bank of America NA | | | 12/17/20 | | | | 1.00 | | | USD | | | 105 | | | | 755 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 2,577 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Forward settling swaption. |
Exchange-Traded Options Written
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | | Expiration Date | | | Exercise Price | | | Notional Amount (000) | | | Value | |
Call | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury 5 Year Note | | | 14 | | | | 08/21/20 | | | | USD | | | | 125.25 | | | | USD | | | | 1,400 | | | $ | (8,969) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury 5 Year Note | | | 14 | | | | 08/21/20 | | | | USD | | | | 125.25 | | | | USD | | | | 1,400 | | | | (2,078) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | (11,047) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Currency Options Written
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Expiration Date | | | Exercise Price | | | Notional Amount (000) | | | Value | |
Call | | | | | | | | | | | | | | | | | | | | | | | | | | |
USD Currency | | BNP Paribas SA | | | 07/02/20 | | | | BRL | | | | 5.35 | | | | USD | | | | 14 | | | $ | (277) | |
USD Currency | | Bank of America NA | | | 07/02/20 | | | | KRW | | | | 1,240.00 | | | | USD | | | | 20 | | | | — | |
AUD Currency | | JPMorgan Chase Bank NA | | | 07/09/20 | | | | JPY | | | | 71.00 | | | | AUD | | | | 9 | | | | (293) | |
USD Currency | | Bank of America NA | | | 07/09/20 | | | | MXN | | | | 25.00 | | | | USD | | | | 4 | | | | (3) | |
USD Currency | | Bank of America NA | | | 07/15/20 | | | | CLP | | | | 855.00 | | | | USD | | | | 15 | | | | (49) | |
USD Currency | | Citibank NA | | | 07/23/20 | | | | ZAR | | | | 19.00 | | | | USD | | | | 11 | | | | (16) | |
USD Currency | | Bank of America NA | | | 08/06/20 | | | | MXN | | | | 25.50 | | | | USD | | | | 4 | | | | (15) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | (653) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | |
USD Currency | | Citibank NA | | | 07/02/20 | | | | RUB | | | | 75.00 | | | | USD | | | | 57 | | | | (3,001) | |
USD Currency | | Bank of America NA | | | 07/15/20 | | | | CLP | | | | 795.00 | | | | USD | | | | 15 | | | | (39) | |
USD Currency | | Citibank NA | | | 07/23/20 | | | | ZAR | | | | 17.00 | | | | USD | | | | 11 | | | | (71) | |
USD Currency | | Bank of America NA | | | 08/06/20 | | | | MXN | | | | 23.00 | | | | USD | | | | 12 | | | | (254) | |
USD Currency | | Bank of America NA | | | 08/07/20 | | | | TRY | | | | 6.60 | | | | USD | | | | 10 | | | | (11) | |
USD Currency | | JPMorgan Chase Bank NA | | | 08/07/20 | | | | TWD | | | | 29.25 | | | | USD | | | | 12 | | | | (74) | |
USD Currency | | Bank of America NA | | | 10/09/20 | | | | MXN | | | | 22.80 | | | | USD | | | | 23 | | | | (545) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | (3,995) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (4,648) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Interest Rate Swaptions Written
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Paid by the Fund | | Received by the Fund | | | | | | | | | | | | | | | | |
| Description | | Rate | | | Frequency | | Rate | | | Frequency | | Counterparty | | Expiration Date | | | Exercise Rate | | | Notional Amount (000) | | | Value | |
Call | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
10-Year Interest Rate Swap(a) | | | 3 month LIBOR | | | Quarterly | | | 0.35 | % | | Semi-Annual | | Deutsche Bank AG | | | 09/30/20 | | | | 0.35 | % | | USD | | | 400 | | | | $ (1,502 | ) |
| | |
SCHEDULES OF INVESTMENTS | | 125 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock U.S. Government Bond Portfolio |
OTC Interest Rate Swaptions Written (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Paid by the Fund | | Received by the Fund | | | | | | | | | | | | | | | | |
| Description | | Rate | | | Frequency | | Rate | | | Frequency | | Counterparty | | Expiration Date | | | Exercise Rate | | | Notional Amount (000) | | | Value | |
10-Year Interest Rate Swap(a) | |
| 3 month
LIBOR |
| | Quarterly | | | 0.40% | | | Semi-Annual | | Barclays Bank plc | | | 10/28/20 | | | | 0.40 | % | | USD | | | 650 | | | $ | (3,892) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | (5,394) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2-Year Interest Rate Swap(a) | | | 0.60% | | | Semi-Annual | | | 3 month LIBOR | | | Quarterly | | Deutsche Bank AG | | | 09/25/20 | | | | 0.60 | | | USD | | | 3,700 | | | | (55) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | $ | (5,449) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Forward settling swaption. |
Centrally Cleared Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Paid by the Fund | | Received by the Fund | | | | | | | | | | | | | | | | | | | | |
| Rate | | Frequency | | Rate | | Frequency | | Effective Date | | | Termination Date | | | Notional Amount (000) | | | Value | | | Upfront Premium Paid (Received) | | | Unrealized Appreciation (Depreciation) | |
| 3 month LIBOR | | Quarterly | | 1.37% | | Semi-Annual | | | N/A | | | | 11/30/20 | | | USD | | | 470 | | | $ | 2,475 | | | $ | (621) | | | $ | 3,096 | |
| 1.37% | | Semi-Annual | | 3 month LIBOR | | Quarterly | | | N/A | | | | 11/30/20 | | | USD | | | 1,400 | | | | (7,371) | | | | — | | | | (7,371) | |
| 0.73% | | Semi-Annual | | 3 month BA | | Semi-Annual | | | 04/05/21 | (a) | | | 04/05/22 | | | CAD | | | 1,001 | | | | (1,304) | | | | — | | | | (1,304) | |
| 0.77% | | Semi-Annual | | 3 month BA | | Semi-Annual | | | 04/07/21 | (a) | | | 04/07/22 | | | CAD | | | 2,005 | | | | (3,158) | | | | — | | | | (3,158) | |
| 3 month BA | | Semi-Annual | | 0.66% | | Semi-Annual | | | 05/13/22 | (a) | | | 05/13/23 | | | CAD | | | 2,000 | | | | (1,329) | | | | — | | | | (1,329) | |
| 1 day SONIA | | At Termination | | 0.02% | | At Termination | | | 05/26/22 | (a) | | | 05/26/23 | | | GBP | | | 2,345 | | | | 2,326 | | | | — | | | | 2,326 | |
| 3 month BA | | Semi-Annual | | 0.74% | | Semi-Annual | | | 05/26/22 | (a) | | | 05/26/23 | | | CAD | | | 686 | | | | (93) | | | | — | | | | (93) | |
| 3 month BA | | Semi-Annual | | 0.73% | | Semi-Annual | | | 05/30/22 | (a) | | | 05/30/23 | | | CAD | | | 556 | | | | (100) | | | | — | | | | (100) | |
| 3 month BA | | Semi-Annual | | 0.76% | | Semi-Annual | | | 05/30/22 | (a) | | | 05/30/23 | | | CAD | | | 570 | | | | 23 | | | | — | | | | 23 | |
| 0.06% | | At Termination | | 1 day Fed Funds | | At Termination | | | 05/31/22 | (a) | | | 05/31/23 | | | USD | | | 488 | | | | (326) | | | | — | | | | (326) | |
| 0.08% | | At Termination | | 1 day Fed Funds | | At Termination | | | 05/31/22 | (a) | | | 05/31/23 | | | USD | | | 405 | | | | (353) | | | | — | | | | (353) | |
| 3 month BA | | Semi-Annual | | 0.76% | | Semi-Annual | | | 06/01/22 | (a) | | | 06/01/23 | | | CAD | | | 1,111 | | | | (1) | | | | — | | | | (1) | |
| 3 month BA | | Semi-Annual | | 0.77% | | Semi-Annual | | | 06/01/22 | (a) | | | 06/01/23 | | | CAD | | | 1,112 | | | | 19 | | | | — | | | | 19 | |
| 0.05% | | At Termination | | 1 day Fed Funds | | At Termination | | | 06/02/22 | (a) | | | 06/02/23 | | | USD | | | 396 | | | | (223) | | | | — | | | | (223) | |
| 0.04% | | At Termination | | 1 day Fed Funds | | At Termination | | | 06/03/22 | (a) | | | 06/03/23 | | | USD | | | 791 | | | | (392) | | | | — | | | | (392) | |
| 0.04% | | At Termination | | 1 day Fed Funds | | At Termination | | | 06/03/22 | (a) | | | 06/03/23 | | | USD | | | 790 | | | | (370) | | | | — | | | | (370) | |
| 0.74% | | Semi-Annual | | 3 month BA | | Semi-Annual | | | 06/27/22 | (a) | | | 06/27/23 | | | CAD | | | 1,965 | | | | 582 | | | | — | | | | 582 | |
| 3 month BA | | Semi-Annual | | 1.09% | | Semi-Annual | | | 04/03/23 | (a) | | | 04/03/24 | | | CAD | | | 1,001 | | | | 1,484 | | | | — | | | | 1,484 | |
| 3 month BA | | Semi-Annual | | 1.22% | | Semi-Annual | | | 04/10/23 | (a) | | | 04/10/24 | | | CAD | | | 2,005 | | | | 4,794 | | | | — | | | | 4,794 | |
| 28 day MXIBTIIE | | Monthly | | 6.67% | | Monthly | | | N/A | | | | 08/12/24 | | | MXN | | | 470 | | | | 1,547 | | | | — | | | | 1,547 | |
| 28 day MXIBTIIE | | Monthly | | 6.72% | | Monthly | | | N/A | | | | 08/13/24 | | | MXN | | | 404 | | | | 1,361 | | | | — | | | | 1,361 | |
| 28 day MXIBTIIE | | Monthly | | 6.59% | | Monthly | | | N/A | | | | 11/08/24 | | | MXN | | | 296 | | | | 966 | | | | — | | | | 966 | |
| 28 day MXIBTIIE | | Monthly | | 5.20% | | Monthly | | | N/A | | | | 05/02/25 | | | MXN | | | 768 | | | | 573 | | | | — | | | | 573 | |
| 3 month BA | | Semi-Annual | | 0.75% | | Semi-Annual | | | N/A | | | | 05/26/25 | | | CAD | | | 405 | | | | (31) | | | | — | | | | (31) | |
| 3 month BA | | Semi-Annual | | 0.85% | | Semi-Annual | | | N/A | | | | 06/04/25 | | | CAD | | | 203 | | | | 691 | | | | — | | | | 691 | |
| 3 month BA | | Semi-Annual | | 0.85% | | Semi-Annual | | | N/A | | | | 06/04/25 | | | CAD | | | 202 | | | | 702 | | | | (2) | | | | 704 | |
| 2.85% | | Semi-Annual | | 3 month LIBOR | | Quarterly | | | N/A | | | | 12/21/28 | | | USD | | | 200 | | | | (38,712) | | | | — | | | | (38,712) | |
| 1.61% | | Semi-Annual | | 3 month LIBOR | | Quarterly | | | N/A | | | | 10/01/29 | | | USD | | | 400 | | | | (37,080) | | | | — | | | | (37,080) | |
| 28 day MXIBTIIE | | Monthly | | 5.99% | | Monthly | | | N/A | | | | 05/02/30 | | | MXN | | | 204 | | | | 237 | | | | — | | | | 237 | |
| 28 day MXIBTIIE | | Monthly | | 6.03% | | Monthly | | | N/A | | | | 05/02/30 | | | MXN | | | 204 | | | | 266 | | | | — | | | | 266 | |
| 28 day MXIBTIIE | | Monthly | | 6.03% | | Monthly | | | N/A | | | | 05/03/30 | | | MXN | | | 182 | | | | 235 | | | | — | | | | 235 | |
| 28 day MXIBTIIE | | Monthly | | 5.96% | | Monthly | | | N/A | | | | 05/06/30 | | | MXN | | | 147 | | | | 155 | | | | — | | | | 155 | |
| 3 month LIBOR | | Quarterly | | 0.64% | | Semi-Annual | | | 08/12/20 | (a) | | | 08/12/30 | | | USD | | | 91 | | | | (117) | | | | — | | | | (117) | |
| 3 month LIBOR | | Quarterly | | 0.80% | | Semi-Annual | | | 12/18/20 | (a) | | | 12/18/30 | | | USD | | | 24 | | | | 289 | | | | — | | | | 289 | |
| 3 month LIBOR | | Quarterly | | 0.75% | | Semi-Annual | | | 12/21/20 | (a) | | | 12/21/30 | | | USD | | | 28 | | | | 196 | | | | — | | | | 196 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (72,039) | | | $ | (623) | | | $ | (71,416) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| 126 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock U.S. Government Bond Portfolio |
OTC Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Paid by the Fund | | Received by the Fund | | | | | | | | | | | | | | | | | | | | |
| Rate | | Frequency | | Rate | | Frequency | | Counterparty | | | Termination Date | | | Notional Amount (000) | | Value | | | Upfront Premium Paid (Received) | | | Unrealized Appreciation (Depreciation) | |
1 day
BZDIOVER | | At Termination | | 5.13% | | At Termination | | | JPMorgan Chase Bank NA | | | | 01/02/23 | | | | BRL | | | 99 | | $ | 595 | | | $ | — | | | $ | 595 | |
28 day
MXIBTIIE | | Monthly | | 6.32% | | Monthly | | | Goldman Sachs International | | | | 08/06/25 | | | | MXN | | | 511 | | | 1,517 | | | | — | | | | 1,517 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 2,112 | | | $ | — | | | $ | 2,112 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Inflation Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Paid by the Fund | | Received by the Fund | | | | | | | | | | | | | | | | | | | | |
| Reference | | Frequency | | Rate | | Frequency | | Counterparty | | | Termination Date | | | Notional Amount (000) | | | Value | | | Upfront Premium Paid (Received) | | | Unrealized Appreciation (Depreciation) | |
| 1 month USCPI | | At Termination | | (0.96)% | | At Termination | | | Citibank NA | | | | 04/15/21 | | | USD | | | 434 | | | $ | (2,825) | | | $ | — | | | $ | (2,825) | |
| 1 month USCPI | | At Termination | | (1.00)% | | At Termination | | | Citibank NA | | | | 04/15/21 | | | USD | | | 434 | | | | (2,979) | | | | — | | | | (2,979) | |
| 1 month USCPI | | At Termination | | (1.00)% | | At Termination | | | Citibank NA | | | | 04/15/21 | | | USD | | | 434 | | | | (2,979) | | | | — | | | | (2,979) | |
| 1 month USCPI | | At Termination | | (1.02)% | | At Termination | | | Citibank NA | | | | 04/15/21 | | | USD | | | 434 | | | | (3,059) | | | | — | | | | (3,059) | |
| 0.04% | | At Termination | | 1 month USCPI | | At Termination | | | Citibank NA | | | | 04/15/22 | | | USD | | | 434 | | | | 3,931 | | | | — | | | | 3,931 | |
| 0.02% | | At Termination | | 1 month USCPI | | At Termination | | | Citibank NA | | | | 04/15/22 | | | USD | | | 434 | | | | 4,116 | | | | — | | | | 4,116 | |
| 0.01% | | At Termination | | 1 month USCPI | | At Termination | | | Citibank NA | | | | 04/15/22 | | | USD | | | 434 | | | | 4,182 | | | | — | | | | 4,182 | |
| 0.00% | | At Termination | | 1 month USCPI | | At Termination | | | Citibank NA | | | | 04/15/22 | | | USD | | | 434 | | | | 4,282 | | | | — | | | | 4,282 | |
| 1 month USCPI | | At Termination | | (0.05)% | | At Termination | | | Citibank NA | | | | 04/15/22 | | | USD | | | 651 | | | | (7,047) | | | | — | | | | (7,047) | |
| 0.62% | | At Termination | | 1 month USCPI | | At Termination | | | Citibank NA | | | | 04/15/24 | | | USD | | | 651 | | | | 9,534 | | | | — | | | | 9,534 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 7,156 | | | $ | — | | | $ | 7,156 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The following reference rates, and their values as of period end, are used for security descriptions:
| | | | | | |
| Reference Index | | | | Reference Rate | |
1 day BZDIOVER | | Overnight Brazil CETIP — Interbank Rate | | | 0.01 | % |
1 day Fed Funds | | 1 day Fed Funds | | | 0.08 | |
1 day SONIA | | Sterling Overnight Index Average | | | 0.06 | |
1 month USCPI | | U.S. Consumer Price Index | | | 0.10 | |
28 day MXIBTIIE | | Mexico Interbank TIIE 28-Day | | | 5.28 | |
3 month BA | | Canadian Bankers Acceptances | | | 0.56 | |
3 month LIBOR | | London Interbank Offered Rate | | | 0.30 | |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written
| | | | | | | | | | | | | | | | | | | | |
| | | Swap Premiums Paid | | | Swap Premiums Received | | | Unrealized Appreciation | | | Unrealized Depreciation | | | Value | |
Centrally Cleared Swaps (a) | | $ | — | | | $ | (623) | | | $ | 19,544 | | | $ | (90,960) | | | $ | — | |
OTC Swaps | | | — | | | | — | | | | 28,157 | | | | (18,889) | | | | — | |
Options Written | | | N/A | | | | N/A | | | | 10,894 | | | | (3,866) | | | | (21,144) | |
| (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. |
| | |
SCHEDULES OF INVESTMENTS | | 127 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock U.S. Government Bond 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:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Commodity Contracts | | | Credit Contracts | | | Equity Contracts | | | Foreign Currency Exchange Contracts | | | Interest Rate Contracts | | | Other Contracts | | | Total | |
Assets — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on futures contracts (a) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 33,384 | | | $ | — | | | $ | 33,384 | |
Forward foreign currency exchange contracts
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 9,358 | | | | — | | | | — | | | | 9,358 | |
Options purchased (b) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments at value — unaffiliated (c) | | | — | | | | — | | | | — | | | | 8,170 | | | | 2,577 | | | | — | | | | 10,747 | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on centrally cleared swaps (a) | | | — | | | | — | | | | — | | | | — | | | | 19,544 | | | | — | | | | 19,544 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on OTC swaps; Swap premiums paid | | | — | | | | — | | | | — | | | | — | | | | 2,112 | | | | 26,045 | | | | 28,157 | |
| | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | 17,528 | | | $ | 57,617 | | | $ | 26,045 | | | $ | 101,190 | |
| | | | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on futures contracts (a) | | | — | | | | — | | | | — | | | | — | | | | 12,592 | | | | — | | | | 12,592 | |
Forward foreign currency exchange contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 7,356 | | | | — | | | | — | | | | 7,356 | |
Options written | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Options written at value | | | — | | | | — | | | | — | | | | 4,648 | | | | 16,496 | | | | — | | | | 21,144 | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on centrally cleared swaps (a) | | | — | | | | — | | | | — | | | | — | | | | 90,960 | | | | — | | | | 90,960 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on OTC swaps; Swap premiums received | | | — | | | | — | | | | — | | | | — | | | | — | | | | 18,889 | | | | 18,889 | |
| | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | 12,004 | | | $ | 120,048 | | | $ | 18,889 | | | $ | 150,941 | |
| | | | |
| (a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
| (b) | Includes forward settling swaptions. |
| (c) | Includes options purchased at value as reported in the Schedule of Investments. |
For the six months ended June 30, 2020, the effect of derivative financial instruments in the Statements of Operations was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Commodity Contracts | | | Credit Contracts | | | Equity Contracts | | | Foreign Currency Exchange Contracts | | | Interest Rate Contracts | | | Other Contracts | | | Total | |
Net Realized Gain (Loss) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (30,328 | ) | | $ | — | | | $ | (30,328 | ) |
Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 45,241 | | | | — | | | | — | | | | 45,241 | |
Options purchased (a) | | | — | | | | — | | | | — | | | | (13,901 | ) | | | (16,614 | ) | | | — | | | | (30,515 | ) |
Options written | | | — | | | | — | | | | — | | | | 7,276 | | | | 36,147 | | | | — | | | | 43,423 | |
Swaps | | | — | | | | — | | | | 1,027 | | | | — | | | | (476,407 | ) | | | 21,095 | | | | (454,285 | ) |
| | | | |
| | $ | — | | | $ | — | | | $ | 1,027 | | | $ | 38,616 | | | $ | (487,202 | ) | | $ | 21,095 | | | $ | (426,464 | ) |
| | | | |
| Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | — | | | | — | | | | — | | | | — | | | | (3,568 | ) | | | — | | | | (3,568 | ) |
Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | (36,429 | ) | | | — | | | | — | | | | (36,429 | ) |
Options purchased (b) | | | — | | | | — | | | | — | | | | 1,417 | | | | 14,507 | | | | — | | | | 15,924 | |
Options written | | | — | | | | — | | | | — | | | | (1,457 | ) | | | (4,179 | ) | | | — | | | | (5,636 | ) |
Swaps | | | — | | | | 989 | | | | — | | | | — | | | | 81,264 | | | | 7,156 | | | | 89,409 | |
| | | | |
| | $ | — | | | $ | 989 | | | $ | — | | | $ | (36,469 | ) | | $ | 88,024 | | | $ | 7,156 | | | $ | 59,700 | |
| | | | |
| (a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
| (b) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |
| | |
| 128 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock U.S. Government Bond Portfolio |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Futures contracts: | | | | |
Average notional value of contracts — long | | $ | 13,859,373 | |
Average notional value of contracts — short | | | 1,777,340 | |
Forward foreign currency exchange contracts: | | | | |
Average amounts purchased — in USD | | | 1,483,454 | |
Average amounts sold — in USD | | | 730,279 | |
Options: | | | | |
Average value of option contracts purchased | | | 8,175 | |
Average value of option contracts written | | | 63,226 | |
Average notional value of swaption contracts purchased | | | 2,011,500 | |
Average notional value of swaption contracts written | | | 6,425,000 | |
Credit default swaps: | | | | |
Average notional value — sell protection | | | —(a) | |
Interest rate swaps: | | | | |
Average notional value — pays fixed rate | | | 6,867,344 | |
Average notional value — receives fixed rate | | | 7,194,852 | |
Inflation swaps: | | | | |
Average notional value — pays fixed rate | | | 1,193,500 | |
Average notional value — receives fixed rate | | | 1,193,500 | |
| (a) | Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. |
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: | | | | | | | | |
Futures contracts | | $ | 7,891 | | | $ | 3,175 | |
Forward foreign currency exchange contracts | | | 9,358 | | | | 7,356 | |
Options (a)(b) | | | 10,747 | | | | 21,144 | |
Swaps — Centrally cleared | | | — | | | | 230 | |
Swaps — OTC (c) | | | 28,157 | | | | 18,889 | |
| | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | $ | 56,153 | | | $ | 50,794 | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | (7,891) | | | | (14,452) | |
| | | | |
Total derivative assets and liabilities subject to an MNA | | $ | 48,262 | | | $ | 36,342 | |
| | | | |
| (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 forward settling swaptions. |
| (c) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities. |
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) | |
Bank of America NA | | $ | 3,466 | | | $ | (916) | | | $ | — | | | $ | — | | | $ | 2,550 | |
Barclays Bank plc | | | 621 | | | | (621) | | | | — | | | | — | | | | — | |
BNP Paribas SA | | | 321 | | | | (321) | | | | — | | | | — | | | | — | |
Citibank NA | | | 34,536 | | | | (23,561) | | | | — | | | | — | | | | 10,975 | |
Credit Suisse International | | | 39 | | | | — | | | | — | | | | — | | | | 39 | |
Deutsche Bank AG | | | 2,651 | | | | (2,356) | | | | — | | | | — | | | | 295 | |
Goldman Sachs International | | | 1,542 | | | | — | | | | — | | | | — | | | | 1,542 | |
HSBC Bank plc | | | 71 | | | | (52) | | | | — | | | | — | | | | 19 | |
JPMorgan Chase Bank NA | | | 4,946 | | | | (4,368) | | | | — | | | | — | | | | 578 | |
Morgan Stanley & Co. International plc | | | 34 | | | | (34) | | | | — | | | | — | | | | — | |
Standard Chartered Bank | | | 35 | | | | — | | | | — | | | | — | | | | 35 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 48,262 | | | $ | (32,229) | | | $ | — | | | $ | — | | | $ | 16,033 | |
| | | | | | | | | | | | | | | | | | | | |
| | |
SCHEDULES OF INVESTMENTS | | 129 |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock U.S. Government Bond Portfolio |
| | | | | | | | | | | | | | | | | | | | |
| 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) | |
Bank of America NA | | $ | 916 | | | $ | (916) | | | $ | — | | | $ | — | | | $ | — | |
Barclays Bank plc | | | 3,920 | | | | (621) | | | | — | | | | — | | | | 3,299 | |
BNP Paribas SA | | | 350 | | | | (321) | | | | — | | | | — | | | | 29 | |
Citibank NA | | | 23,561 | | | | (23,561) | | | | — | | | | — | | | | — | |
Deutsche Bank AG | | | 2,356 | | | | (2,356) | | | | — | | | | — | | | | — | |
HSBC Bank plc | | | 52 | | | | (52) | | | | — | | | | — | | | | — | |
JPMorgan Chase Bank NA | | | 4,368 | | | | (4,368) | | | | — | | | | — | | | | — | |
Morgan Stanley & Co. International plc | | | 760 | | | | (34) | | | | — | | | | — | | | | 726 | |
Natwest Markets plc | | | 59 | | | | — | | | | — | | | | — | | | | 59 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 36,342 | | | $ | (32,229) | | | $ | — | | | $ | — | | | $ | 4,113 | |
| | | | | | | | | | | | | | | | | | | | |
| (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. |
| | |
| 130 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Schedule of Investments (unaudited) (continued) June 30, 2020 | | BlackRock U.S. Government Bond 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 | | $ | — | | | $ | 59,684,131 | | | $ | — | | | $ | 59,684,131 | |
Short-Term Securities: | | | | | | | | | | | | | | | | |
Money Market Funds | | | 5,450,566 | | | | — | | | | — | | | | 5,450,566 | |
U.S. Government Sponsored Agency Securities | | | — | | | | 7,099,456 | | | | — | | | | 7,099,456 | |
Options Purchased: | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | — | | | | 8,170 | | | | — | | | | 8,170 | |
Interest rate contracts | | | — | | | | 2,577 | | | | — | | | | 2,577 | |
Liabilities: | | | | | | | | | | | | | | | | |
Investments: | | | | | | | | | | | | | | | | |
TBA Sale Commitments | | | — | | | | (4,975,503 | ) | | | — | | | | (4,975,503 | ) |
| | | | | | | | | | | | | | | | |
| | $ | 5,450,566 | | | $ | 61,818,831 | | | $ | — | | | $ | 67,269,397 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments (a) | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | $ | — | | | $ | 9,358 | | | $ | — | | | $ | 9,358 | |
Interest rate contracts | | | 33,384 | | | | 21,656 | | | | — | | | | 55,040 | |
Other contracts | | | — | | | | 26,045 | | | | — | | | | 26,045 | |
Liabilities: | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | — | | | | (12,004 | ) | | | — | | | | (12,004 | ) |
Interest rate contracts | | | (23,639 | ) | | | (96,409 | ) | | | — | | | | (120,048 | ) |
Other contracts | | | — | | | | (18,889 | ) | | | — | | | | (18,889 | ) |
| | | | | | | | | | | | | | | | |
| | $ | 9,745 | | | $ | (70,243 | ) | | $ | — | | | $ | (60,498 | ) |
| | | | | | | | | | | | | | | | |
The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.
| (a) | Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
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 $5,821,160 are categorized as Level 2 within the disclosure hierarchy.
See notes to financial statements.
| | |
SCHEDULES OF INVESTMENTS | | 131 |
Statements of Assets and Liabilities (unaudited)
June 30, 2020
| | | | | | | | | | | | | | | | |
| | | BlackRock Advantage Large Cap Core Portfolio | | | BlackRock Balanced Capital Portfolio | | | BlackRock Capital Appreciation Portfolio | | | BlackRock Global Allocation Portfolio (a) | |
| | | | |
ASSETS | | | | | | | | | | | | | | | | |
Investments at value — unaffiliated (b)(c) | | $ | 169,164,701 | | | $ | 494,993,225 | | | $ | 213,447,187 | | | $ | 176,652,958 | |
Investments at value — affiliated (d) | | | 11,191,221 | | | | 30,897,733 | | | | 4,795,413 | | | | 7,462,571 | |
Cash | | | 121 | | | | — | | | | 76 | | | | 389,031 | |
Cash pledged: | | | | | | | | | | | | | | | | |
Collateral — OTC derivatives | | | — | | | | — | | | | — | | | | 25,000 | |
Futures contracts | | | 425,000 | | | | 923,000 | | | | — | | | | 1,238,000 | |
Centrally cleared swaps | | | — | | | | 191,182 | | | | — | | | | 371,000 | |
Foreign currency at value (e) | | | — | | | | 1,362,399 | | | | 5 | | | | 8,541 | |
Receivables: | | | — | | | | — | | | | — | | | | — | |
Investments sold | | | 1,528,734 | | | | 18,691,955 | | | | 651,415 | | | | 265,343 | |
Securities lending income — affiliated | | | 5,081 | | | | 8,746 | | | | 1,269 | | | | 2,197 | |
Swaps | | | — | | | | — | | | | — | | | | 162 | |
TBA sale commitments | | | — | | | | 19,899,975 | | | | — | | | | — | |
Capital shares sold | | | 1,273 | | | | 867 | | | | 930 | | | | 1,205 | |
Dividends — affiliated | | | 414 | | | | 16,639 | | | | 52 | | | | 77 | |
Dividends — unaffiliated | | | 126,569 | | | | 226,988 | | | | 15,694 | | | | 136,118 | |
Interest — unaffiliated | | | — | | | | 1,134,148 | | | | — | | | | 190,409 | |
From the Manager | | | — | | | | — | | | | — | | | | 316 | |
From affiliate(s) | | | 4,457 | | | | 2,916 | | | | 4,458 | | | | 4,459 | |
Variation margin on futures contracts | | | 75,077 | | | | 102,617 | | | | — | | | | 40,901 | |
Swap premiums paid | | | — | | | | 88,769 | | | | — | | | | — | |
Unrealized appreciation on: | | | — | | | | — | | | | — | | | | — | |
Forward foreign currency exchange contracts | | | — | | | | 59,157 | | | | — | | | | 213,298 | |
OTC swaps | | | — | | | | 94,347 | | | | — | | | | 189,744 | |
Prepaid expenses | | | 1,361 | | | | 3,742 | | | | 1,397 | | | | 1,412 | |
Other assets | | | — | | | | 1,123 | | | | — | | | | — | |
Total assets | | | 182,524,009 | | | | 568,699,528 | | | | 218,917,896 | | | | 187,192,742 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Investments sold short, at value (f) | | | — | | | | — | | | | — | | | | 133,327 | |
Bank overdraft | | | — | | | | 57,627 | | | | — | | | | — | |
Borrowed bonds at value (g) | | | — | | | | 712,451 | | | | — | | | | — | |
Cash collateral on securities loaned at value | | | 6,308,318 | | | | 7,522,375 | | | | 4,417,242 | | | | 4,693,017 | |
Options written at value (h) | | | — | | | | 30,434 | | | | — | | | | 1,636,074 | |
TBA sale commitments at value (i) | | | — | | | | 19,941,669 | | | | — | | | | — | |
Reverse repurchase agreements at value | | | — | | | | 5,026,280 | | | | — | | | | — | |
Payables: | | | — | | | | — | | | | — | | | | — | |
Investments purchased | | | 1,323,733 | | | | 58,720,863 | | | | 574,161 | | | | 4,851,724 | |
Swaps | | | — | | | | — | | | | — | | | | 1,188 | |
Accounting services fees | | | 18,417 | | | | 45,046 | | | | 18,239 | | | | 44,959 | |
Capital shares redeemed | | | 2,342 | | | | 394,435 | | | | 2,703 | | | | 2,234 | |
Custodian fees | | | 15,474 | | | | 37,866 | | | | 3,613 | | | | 57,548 | |
Deferred foreign capital gain tax | | | — | | | | — | | | | — | | | | 28,877 | |
Interest expense | | | — | | | | 1,471 | | | | — | | | | — | |
Investment advisory fees | | | 52,891 | | | | 144,219 | | | | 63,990 | | | | 48,315 | |
Other affiliates | | | 584 | | | | 1,577 | | | | 560 | | | | 609 | |
Printing fees | | | 24,781 | | | | 17,201 | | | | 10,741 | | | | 12,219 | |
Professional fees | | | 30,382 | | | | 39,657 | | | | 21,929 | | | | 65,456 | |
Transfer agent fees | | | 55,317 | | | | 158,568 | | | | 63,958 | | | | 55,492 | |
Other accrued expenses | | | 41,748 | | | | 36,424 | | | | 2,523 | | | | 35,247 | |
Variation margin on futures contracts | | | — | | | | 96,151 | | | | — | | | | 128,034 | |
Variation margin on centrally cleared swaps | | | — | | | | 4,871 | | | | — | | | | 3,678 | |
Swap premiums received | | | — | | | | 2,929 | | | | — | | | | — | |
Unrealized depreciation on: | | | — | | | | — | | | | — | | | | — | |
Forward foreign currency exchange contracts | | | — | | | | 45,436 | | | | — | | | | 249,732 | |
OTC swaps | | | — | | | | 115,645 | | | | — | | | | 9,017 | |
Total liabilities | | | 7,873,987 | | | | 93,153,195 | | | | 5,179,659 | | | | 12,056,747 | |
NET ASSETS | | $ | 174,650,022 | | | $ | 475,546,333 | | | $ | 213,738,237 | | | $ | 175,135,995 | |
See notes to financial statements.
| | |
| 132 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Statements of Assets and Liabilities (unaudited) (continued)
June 30, 2020
| | | | | | | | | | | | | | | | |
| | | BlackRock Advantage Large Cap Core Portfolio | | | BlackRock Balanced Capital Portfolio | | | BlackRock Capital Appreciation Portfolio | | | BlackRock Global Allocation Portfolio (a) | |
NET ASSETS CONSIST OF | | | | | | | | | | | | | | | | |
Paid-in capital | | $ | 156,163,083 | | | $ | 435,805,458 | | | $ | 120,981,057 | | | $ | 157,358,940 | |
Accumulated earnings | | | 18,486,939 | | | | 39,740,875 | | | | 92,757,180 | | | | 17,777,055 | |
NET ASSETS | | $ | 174,650,022 | | | $ | 475,546,333 | | | $ | 213,738,237 | | | $ | 175,135,995 | |
| | | | |
Share outstanding, $0.10 par value (j) | | | 7,468,349 | | | | 29,869,470 | | | | 4,329,257 | | | | 10,871,320 | |
| | | | |
Net asset value | | $ | 23.39 | | | $ | 15.92 | | | $ | 49.37 | | | $ | 16.11 | |
| | | | |
(a) Consolidated Statement of Assets and Liabilities | | | | | | | | | | | | | | | | |
(b) Investments at cost — unaffiliated | | $ | 154,035,877 | | | $ | 463,309,657 | | | $ | 128,585,823 | | | $ | 161,815,944 | |
(c) Securities loaned at value | | $ | 6,161,956 | | | $ | 7,298,158 | | | $ | 4,416,395 | | | $ | 4,616,585 | |
(d) Investments at cost — affiliated | | $ | 11,191,850 | | | $ | 31,079,392 | | | $ | 4,795,413 | | | $ | 7,500,414 | |
(e) Foreign currency at cost | | $ | — | | | $ | 1,375,511 | | | $ | 5 | | | $ | 9,161 | |
(f) Proceeds received from investments sold short at value — unaffiliated | | $ | — | | | $ | — | | | $ | — | | | $ | 90,256 | |
(g) Proceeds received from borrowed bonds | | $ | — | | | $ | 713,692 | | | $ | — | | | $ | — | |
(h) Premiums received | | $ | — | | | $ | 19,257 | | | $ | — | | | $ | 1,532,958 | |
(i) Proceeds from TBA sale commitments | | $ | — | | | $ | 19,899,975 | | | $ | — | | | $ | — | |
(j) Authorized shares | | | 100 million | | | | 300 million | | | | 100 million | | | | 100 million | |
See notes to financial statements.
Statements of Assets and Liabilities (unaudited) (continued)
June 30, 2020
| | | | | | | | | | | | |
| | | BlackRock Government Money Market Portfolio | | | BlackRock High Yield Portfolio | | | BlackRock U.S. Government Bond Portfolio | |
| | | |
ASSETS | | | | | | | | | | | | |
Investments at value — unaffiliated (a) | | $ | 67,676,349 | | | $ | 26,840,004 | | | $ | 66,794,334 | |
Investments at value — affiliated (b) | | | — | | | | 550,914 | | | | 5,450,566 | |
Cash | | | 3,776,484 | | | | 1,873 | | | | — | |
Cash pledged: | | | | | | | | | | | | |
Futures contracts | | | — | | | | 2,000 | | | | 113,540 | |
Centrally cleared swaps | | | — | | | | 36,000 | | | | 53,000 | |
Foreign currency at value (c) | | | — | | | | 833 | | | | 320,283 | |
Repurchase agreements at value — unaffiliated (d) | | | 34,400,000 | | | | — | | | | — | |
Receivables: | | | — | | | | — | | | | — | |
Investments sold | | | 189,946 | | | | 182,408 | | | | 3,774,483 | |
TBA sale commitments | | | — | | | | — | | | | 4,970,721 | |
Capital shares sold | | | 341,486 | | | | 1,053 | | | | 159 | |
Dividends — affiliated | | | — | | | | 37 | | | | 169 | |
Dividends — unaffiliated | | | — | | | | 276 | | | | 27,545 | |
Interest — unaffiliated | | | 12,451 | | | | 395,248 | | | | 225,583 | |
From the Manager | | | — | | | | 6,501 | | | | — | |
From affiliate(s) | | | 4,602 | | | | — | | | | — | |
Variation margin on futures contracts | | | — | | | | 156 | | | | 7,891 | |
Variation margin on centrally cleared swaps | | | — | | | | 2,110 | | | | — | |
Swap premiums paid | | | — | | | | 1,057 | | | | — | |
Unrealized appreciation on: | | | — | | | | — | | | | — | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | 9,358 | |
OTC swaps | | | — | | | | 105 | | | | 28,157 | |
Unfunded floating rate loan interests | | | — | | | | 478 | | | | — | |
Prepaid expenses | | | 953 | | | | 371 | | | | 677 | |
Other assets | | | — | | | | 351 | | | | 3,136 | |
Total assets | | | 106,402,271 | | | | 28,021,775 | | | | 81,779,602 | |
| | | |
LIABILITIES | | | | | | | | | | | | |
Bank overdraft | | | — | | | | — | | | | 17,282 | |
Options written at value (e) | | | — | | | | — | | | | 21,144 | |
TBA sale commitments at value (f) | | | — | | | | — | | | | 4,975,503 | |
Reverse repurchase agreements at value | | | — | | | | — | | | | 5,821,160 | |
Payables: | | | — | | | | — | | | | — | |
Investments purchased | | | 314,841 | | | | 473,680 | | | | 13,406,464 | |
Accounting services fees | | | 26,693 | | | | 36,078 | | | | 34,989 | |
Capital shares redeemed | | | 159 | | | | 126 | | | | 365 | |
Custodian fees | | | 4,106 | | | | 8,110 | | | | 11,594 | |
Income dividend distributions | | | — | | | | 126,394 | | | | 102,381 | |
Investment advisory fees | | | 23,003 | | | | — | | | | 3,453 | |
Directors’ and Officer’s fees | | | — | | | | 4,598 | | | | 3,746 | |
Other affiliates | | | 437 | | | | 103 | | | | 165 | |
Printing fees | | | 11,318 | | | | 9,813 | | | | 9,804 | |
Professional fees | | | 31,921 | | | | 16,759 | | | | 38,561 | |
Registration fees | | | 2,933 | | | | — | | | | 229 | |
Transfer agent fees | | | 37,415 | | | | 9,737 | | | | 12,177 | |
Other accrued expenses | | | 2,671 | | | | 8,987 | | | | 11,841 | |
Variation margin on futures contracts | | | — | | | | — | | | | 3,175 | |
Variation margin on centrally cleared swaps | | | — | | | | — | | | | 230 | |
Swap premiums received | | | — | | | | 1,219 | | | | — | |
Unrealized depreciation on: | | | — | | | | — | | | | — | |
Forward foreign currency exchange contracts | | | — | | | | 1,455 | | | | 7,356 | |
OTC swaps | | | — | | | | 411 | | | | 18,889 | |
Total liabilities | | | 455,497 | | | | 697,470 | | | | 24,500,508 | |
NET ASSETS | | $ | 105,946,774 | | | $ | 27,324,305 | | | $ | 57,279,094 | |
See notes to financial statements.
| | |
| 134 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Statements of Assets and Liabilities (unaudited) (continued)
June 30, 2020
| | | | | | | | | | | | |
| | | BlackRock
Government
Money Market
Portfolio | | | BlackRock High Yield Portfolio | | | BlackRock U.S. Government Bond Portfolio | |
NET ASSETS CONSIST OF | | | | | | | | | | | | |
Paid-in capital | | $ | 105,941,724 | | | $ | 30,478,609 | | | $ | 56,187,284 | |
Accumulated earnings (loss) | | | 5,050 | | | | (3,154,304 | ) | | | 1,091,810 | |
NET ASSETS | | $ | 105,946,774 | | | $ | 27,324,305 | | | $ | 57,279,094 | |
| | | |
Share outstanding, $0.10 par value (g) | | | 105,941,730 | | | | 5,350,407 | | | | 4,959,758 | |
| | | |
Net asset value | | $ | 1.00 | | | $ | 5.11 | | | $ | 11.55 | |
| | | |
(a) Investments at cost — unaffiliated | | $ | 67,676,349 | | | $ | 27,335,647 | | | $ | 63,936,744 | |
(b) Investments at cost — affiliated | | $ | — | | | $ | 550,914 | | | $ | 5,450,566 | |
(c) Foreign currency at cost | | $ | — | | | $ | 836 | | | $ | 322,991 | |
(d) Repurchase agreements at cost — unaffiliated | | $ | 34,400,000 | | | $ | — | | | $ | — | |
(e) Premiums received | | $ | — | | | $ | — | | | $ | 28,172 | |
(f) Proceeds from TBA sale commitments | | $ | — | | | $ | — | | | $ | 4,970,721 | |
(g) Authorized shares | | | 2 billion | | | | 100 million | | | | 100 million | |
See notes to financial statements.
| | |
Statements of Operations (unaudited) Six Months Ended June 30, 2020 | | |
| | | | | | | | | | | | | | | | |
| | | BlackRock Advantage Large Cap Core Portfolio | | | BlackRock Balanced Capital Portfolio | | | BlackRock Capital Appreciation Portfolio | | | BlackRock Global Allocation Portfolio (a) | |
| | | | |
INVESTMENT INCOME | | | | | | | | | | | | | | | | |
Dividends — affiliated | | $ | 7,176 | | | $ | 134,166 | | | $ | 3,138 | | | $ | 20,649 | |
Dividends — unaffiliated | | | 1,553,814 | | | | 2,573,309 | | | | 525,249 | | | | 991,583 | |
Interest — unaffiliated | | | — | | | | 2,474,768 | | | | — | | | | 499,259 | |
Securities lending income — affiliated — net | | | 19,302 | | | | 31,299 | | | | 12,206 | | | | 19,102 | |
Foreign taxes withheld | | | (781 | ) | | | (7,243 | ) | | | (5,537 | ) | | | (49,172 | ) |
| | | | |
Total investment income | | | 1,579,511 | | | | 5,206,299 | | | | 535,056 | | | | 1,481,421 | |
| | | | |
| | | | |
EXPENSES | | | | | | | | | | | | | | | | |
Investment advisory | | | 319,383 | | | | 871,610 | | | | 362,355 | | | | 318,855 | |
Transfer agent | | | 116,469 | | | | 327,870 | | | | 134,466 | | | | 125,400 | |
Accounting services | | | 28,089 | | | | 62,900 | | | | 28,601 | | | | 61,791 | |
Professional | | | 19,301 | | | | 35,548 | | | | 26,299 | | | | 48,645 | |
Custodian | | | 17,874 | | | | 56,778 | | | | 6,190 | | | | 96,968 | |
Directors and Officer | | | 1,700 | | | | 3,141 | | | | 1,736 | | | | 1,710 | |
Pricing | | | 177 | | | | 30,426 | | | | 132 | | | | 4,805 | |
Printing | | | — | | | | 2,772 | | | | 899 | | | | 2,484 | |
Miscellaneous | | | 2,758 | | | | 5,410 | | | | 3,127 | | | | 1,342 | |
| | | | |
Total expenses excluding dividend expense and interest expense | | | 505,751 | | | | 1,396,455 | | | | 563,805 | | | | 662,000 | |
Dividend expense — affiliated | | | — | | | | — | | | | — | | | | 3,311 | |
Dividend expense — unaffiliated | | | — | | | | — | | | | — | | | | 2,568 | |
Interest expense | | | — | | | | 22,612 | | | | — | | | | — | |
| | | | |
Total expenses | | | 505,751 | | | | 1,419,067 | | | | 563,805 | | | | 667,879 | |
| | | | |
Less: | | | | | | | | | | | | | | | | |
Transfer agent fees waived and/or reimbursed | | | (82,967 | ) | | | (239,065 | ) | | | (93,081 | ) | | | (122,875 | ) |
Fees waived and/or reimbursed by the Manager | | | (1,490 | ) | | | (4,597 | ) | | | (327 | ) | | | (51,466 | ) |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 421,294 | | | | 1,175,405 | | | | 470,397 | | | | 493,538 | |
| | | | |
Net investment income | | | 1,158,217 | | | | 4,030,894 | | | | 64,659 | | | | 987,883 | |
| | | | |
| | |
| 136 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
Statements of Operations (unaudited) (continued) Six Months Ended June 30, 2020 | | |
| | | | | | | | | | | | | | | | |
| | | BlackRock Advantage Large Cap Core Portfolio | | | BlackRock Balanced Capital Portfolio | | | BlackRock Capital Appreciation Portfolio | | | BlackRock Global Allocation Portfolio (a) | |
| | | | |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | | | | | | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
Investments — affiliated | | $ | (4,586 | ) | | $ | (6,130 | ) | | $ | 3,520 | | | $ | (61,221 | ) |
Investments — unaffiliated (b) | | | 100,333 | | | | 3,475,558 | | | | 6,037,806 | | | | (869,980 | ) |
Borrowed bonds | | | — | | | | 51,670 | | | | — | | | | — | |
Forward foreign currency exchange contracts | | | — | | | | 121,968 | | | | — | | | | (795,585 | ) |
Foreign currency transactions | | | — | | | | 103,488 | | | | 15,747 | | | | 75,391 | |
Futures contracts | | | 348,337 | | | | (1,499,619 | ) | | | — | | | | 2,379,416 | |
Options written | | | — | | | | 7,444 | | | | — | | | | 586,631 | |
Short sales — affiliated | | | — | | | | — | | | | — | | | | 147,384 | |
Short sales — unaffiliated | | | — | | | | (133,369 | ) | | | — | | | | 45,420 | |
Swaps | | | — | | | | 378,240 | | | | — | | | | (59,133 | ) |
| | | | |
| | | 444,084 | | | | 2,499,250 | | | | 6,057,073 | | | | 1,448,323 | |
| | | | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investments — affiliated | | | (629 | ) | | | (169,543 | ) | | | (20 | ) | | | (59,373 | ) |
Investments — unaffiliated (c) | | | (6,264,880 | ) | | | (5,710,333 | ) | | | 19,947,276 | | | | (1,259,930 | ) |
Borrowed bonds | | | — | | | | (7,544 | ) | | | — | | | | — | |
Forward foreign currency exchange contracts | | | — | | | | (77,735 | ) | | | — | | | | (324,178 | ) |
Foreign currency translations | | | — | | | | (17,550 | ) | | | — | | | | (3,845 | ) |
Futures contracts | | | 72,538 | | | | 65,357 | | | | — | | | | 8,703 | |
Options written | | | — | | | | (57,563 | ) | | | — | | | | (242,513 | ) |
Short sales — unaffiliated | | | — | | | | — | | | | — | | | | (37,132 | ) |
Swaps | | | — | | | | 91,122 | | | | — | | | | 22,213 | |
| | | | |
| | | (6,192,971 | ) | | | (5,883,789 | ) | | | 19,947,256 | | | | (1,896,055 | ) |
| | | | |
Net realized and unrealized gain (loss) | | | (5,748,887 | ) | | | (3,384,539 | ) | | | 26,004,329 | | | | (447,732 | ) |
| | | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (4,590,670 | ) | | $ | 646,355 | | | $ | 26,068,988 | | | $ | 540,151 | |
| | | | |
| | | | |
(a) Consolidated Statement of Operations. | | | | | | | | | | | | | | | | |
(b) Net of foreign capital gain tax | | $ | — | | | $ | — | | | $ | — | | | $ | (1,043 | ) |
(c) Net of foreign capital gain tax | | $ | — | | | $ | — | | | $ | — | | | $ | 17,263 | |
See notes to financial statements.
| | |
Statements of Operations (unaudited) (continued) Six Months Ended June 30, 2020 | | |
| | | | | | | | | | | | |
| | | BlackRock Government Money Market Portfolio | | | BlackRock High Yield Portfolio | | | BlackRock U.S. Government Bond Portfolio | |
| | | |
INVESTMENT INCOME | | | | | | | | | | | | |
Dividends — affiliated | | $ | — | | | $ | 1,515 | | | $ | 5,650 | |
Dividends — unaffiliated | | | — | | | | 3,099 | | | | 119 | |
Interest — unaffiliated | | | 561,228 | | | | 839,982 | | | | 751,093 | |
Foreign taxes withheld | | | — | | | | — | | | | (51 | ) |
| | | | |
Total investment income | | | 561,228 | | | | 844,596 | | | | 756,811 | |
| | | | |
| | | |
EXPENSES | | | | | | | | | | | | |
Investment advisory | | | 205,043 | | | | 51,086 | | | | 103,558 | |
Transfer agent | | | 78,281 | | | | 20,635 | | | | 41,994 | |
Professional | | | 23,517 | | | | 26,082 | | | | 42,477 | |
Accounting services | | | 18,827 | | | | 53,329 | | | | 46,789 | |
Custodian | | | 6,019 | | | | 12,359 | | | | 16,357 | |
Directors and Officer | | | 1,349 | | | | — | | | | — | |
Pricing | | | 956 | | | | 2,570 | | | | 12,783 | |
Printing | | | 397 | | | | 2,314 | | | | 2,739 | |
Miscellaneous | | | 2,215 | | | | 2,526 | | | | 2,145 | |
| | | | |
Total expenses excluding interest expense | | | 336,604 | | | | 170,901 | | | | 268,842 | |
Interest expense | | | — | | | | — | | | | 46,222 | |
| | | | |
Total expenses | | | 336,604 | | | | 170,901 | | | | 315,064 | |
| | | | |
Less: | | | | | | | | | | | | |
Transfer agent fees waived and/or reimbursed | | | (69,157 | ) | | | (18,148 | ) | | | (39,492 | ) |
Fees waived and/or reimbursed by the Manager | | | (9,766 | ) | | | (84,168 | ) | | | (90,518 | ) |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 257,681 | | | | 68,585 | | | | 185,054 | |
| | | | |
Net investment income | | | 303,547 | | | | 776,011 | | | | 571,757 | |
| | | | |
| | | |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | | | | | |
Investments — unaffiliated | | $ | 1,732 | | | $ | (186,721 | ) | | $ | 1,442,144 | |
Forward foreign currency exchange contracts | | | — | | | | 7,821 | | | | 45,241 | |
Foreign currency transactions | | | — | | | | (7,126 | ) | | | 12,954 | |
Futures contracts | | | — | | | | (45,484 | ) | | | (30,328 | ) |
Options written | | | — | | | | (7,361 | ) | | | 43,423 | |
Short sales — unaffiliated | | | — | | | | (672 | ) | | | — | |
Swaps | | | — | | | | (36,740 | ) | | | (454,285 | ) |
| | | | |
| | | 1,732 | | | | (276,283 | ) | | | 1,059,149 | |
| | | | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | |
Investments — unaffiliated | | | — | | | | (1,447,246 | ) | | | 1,593,720 | |
Forward foreign currency exchange contracts | | | — | | | | (1,043 | ) | | | (36,429 | ) |
Foreign currency translations | | | — | | | | (7 | ) | | | (3,209 | ) |
Futures contracts | | | — | | | | (524 | ) | | | (3,568 | ) |
Options written | | | — | | | | 27 | | | | (5,636 | ) |
Swaps | | | — | | | | 17,088 | | | | 89,409 | |
Unfunded floating rate loan interests | | | — | | | | (1,150 | ) | | | — | |
| | | | |
| | | — | | | | (1,432,855 | ) | | | 1,634,287 | |
| | | | |
Net realized and unrealized gain (loss) | | | 1,732 | | | | (1,709,138 | ) | | | 2,693,436 | |
| | | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 305,279 | | | $ | (933,127 | ) | | $ | 3,265,193 | |
| | | | |
See notes to financial statements.
| | |
| 138 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
| | |
| Statements of Changes in Net Assets | | |
| | | | | | | | | | | | | | | | |
| | | BlackRock Advantage Large Cap Core Portfolio | | | BlackRock Balanced Capital Portfolio | |
| | | Six Months Ended 06/30/20 (unaudited) | | | Year Ended 12/31/19 | | | Six Months Ended 06/30/20 (unaudited) | | | Year Ended
12/31/19 | |
| | | | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net investment income | | $ | 1,158,217 | | | $ | 2,732,108 | | | $ | 4,030,894 | | | $ | 10,124,182 | |
Net realized gain | | | 444,084 | | | | 12,780,256 | | | | 2,499,250 | | | | 30,371,439 | |
Net change in unrealized appreciation (depreciation) | | | (6,192,971 | ) | | | 29,596,853 | | | | (5,883,789 | ) | | | 55,618,922 | |
| | | | |
Net increase (decrease) in net assets resulting from operations | | | (4,590,670 | ) | | | 45,109,217 | | | | 646,355 | | | | 96,114,543 | |
| | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS (a) | | | | | | | | | | | | | | | | |
Decrease in net assets resulting from distributions to shareholders | | | — | | | | (11,852,191 | ) | | | — | | | | (34,979,827 | ) |
| | | | |
| | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Net decrease in net assets derived from capital share transactions | | | (9,666,253 | ) | | | (5,763,171 | ) | | | (25,722,278 | ) | | | (13,542,103 | ) |
| | | | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Total increase (decrease) in net assets | | | (14,256,923 | ) | | | 27,493,855 | | | | (25,075,923 | ) | | | 47,592,613 | |
Beginning of period | | | 188,906,945 | | | | 161,413,090 | | | | 500,622,256 | | | | 453,029,643 | |
| | | | |
End of period | | $ | 174,650,022 | | | $ | 188,906,945 | | | $ | 475,546,333 | | | $ | 500,622,256 | |
| | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| | |
Statements of Changes in Net Assets (continued) | | |
| | | | | | | | | | | | | | | | |
| | | BlackRock Capital Appreciation Portfolio | | | BlackRock Global Allocation Portfolio (a) | |
| | | Six Months Ended 06/30/20 (unaudited) | | | Year Ended 12/31/19 | | | Six Months Ended 06/30/20 (unaudited) | | | Year Ended 12/31/19 | |
| | | | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net investment income | | $ | 64,659 | | | $ | 238,649 | | | $ | 987,883 | | | $ | 3,114,587 | |
Net realized gain | | | 6,057,073 | | | | 21,358,788 | | | | 1,448,323 | | | | 5,624,417 | |
Net change in unrealized appreciation (depreciation) | | | 19,947,256 | | | | 29,740,883 | | | | (1,896,055 | ) | | | 21,197,382 | |
| | | | |
Net increase in net assets resulting from operations | | | 26,068,988 | | | | 51,338,320 | | | | 540,151 | | | | 29,936,386 | |
| | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS (b) | | | | | | | | | | | | | | | | |
Decrease in net assets resulting from distributions to shareholders | | | — | | | | (21,012,661 | ) | | | — | | | | (8,154,274 | ) |
| | | | |
| | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | (8,268,682 | ) | | | 2,746,206 | | | | (10,986,470 | ) | | | (10,182,860 | ) |
| | | | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Total increase (decrease) in net assets | | | 17,800,306 | | | | 33,071,865 | | | | (10,446,319 | ) | | | 11,599,252 | |
Beginning of period | | | 195,937,931 | | | | 162,866,066 | | | | 185,582,314 | | | | 173,983,062 | |
| | | | |
End of period | | $ | 213,738,237 | | | $ | 195,937,931 | | | $ | 175,135,995 | | | $ | 185,582,314 | |
| | | | |
| (a) | Consolidated Statements of Changes in Net Assets. |
| (b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| | |
| 140 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Statements of Changes in Net Assets (continued)
| | | | | | | | | | | | | | | | |
| | | BlackRock Government Money Market Portfolio | | | BlackRock High Yield Portfolio | |
| | | | |
| | | Six Months Ended
06/30/20
(unaudited) | | | Year Ended
12/31/19 | | | Six Months Ended
06/30/20
(unaudited) | | | Year Ended
12/31/19 | |
| |
| | | | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net investment income | | $ | 303,547 | | | $ | 2,123,664 | | | $ | 776,011 | | | $ | 1,735,796 | |
Net realized gain (loss) | | | 1,732 | | | | 2,436 | | | | (276,283 | ) | | | (376,917 | ) |
Net change in unrealized appreciation (depreciation) | | | — | | | | — | | | | (1,432,855 | ) | | | 2,822,804 | |
Net increase (decrease) in net assets resulting from operations | | | 305,279 | | | | 2,126,100 | | | | (933,127 | ) | | | 4,181,683 | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS (a) | | | | | | | | | | | | | | | | |
Decrease in net assets resulting from distributions to shareholders | | | (303,547 | ) | | | (2,123,664 | ) | | | (787,885 | ) | | | (1,741,887 | ) |
| | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | (6,509,220 | ) | | | (18,908,774 | ) | | | (1,627,413 | ) | | | 1,165,075 | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Total increase (decrease) in net assets | | | (6,507,488 | ) | | | (18,906,338 | ) | | | (3,348,425 | ) | | | 3,604,871 | |
Beginning of period | | | 112,454,262 | | | | 131,360,600 | | | | 30,672,730 | | | | 27,067,859 | |
End of period | | $ | 105,946,774 | | | $ | 112,454,262 | | | $ | 27,324,305 | | | $ | 30,672,730 | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
Statements of Changes in Net Assets (continued)
| | | | | | | | |
| | | BlackRock U.S. Government Bond Portfolio | |
| | | | |
| | | Six Months Ended
06/30/20 (unaudited) | | | Year Ended
12/31/19 | |
| |
| | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| | |
OPERATIONS | | | | | | | | |
Net investment income | | $ | 571,757 | | | $ | 1,349,560 | |
Net realized gain | | | 1,059,149 | | | | 585,109 | |
Net change in unrealized appreciation (depreciation) | | | 1,634,287 | | | | 1,640,341 | |
Net increase in net assets resulting from operations | | | 3,265,193 | | | | 3,575,010 | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS (a) | | | | | | | | |
Decrease in net assets resulting from distributions to shareholders | | | (636,566 | ) | | | (1,423,246 | ) |
| | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | 317,380 | | | | (1,759,775 | ) |
| | |
NET ASSETS | | | | | | | | |
Total increase in net assets | | | 2,946,007 | | | | 391,989 | |
Beginning of period | | | 54,333,087 | | | | 53,941,098 | |
End of period | | $ | 57,279,094 | | | $ | 54,333,087 | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| | |
| 142 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Statement of Cash Flows (unaudited)
Six Months Ended June 30, 2020
| | | | |
| | | BlackRock U.S. Government Bond Portfolio | |
| |
| |
CASH PROVIDED BY OPERATING ACTIVITIES | | | | |
Net increase in net assets resulting from operations | | $ | 3,265,193 | |
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 | | | 198,272,110 | |
Purchases of long-term investments | | | (185,655,011 | ) |
Net purchases of short-term securities | | | (3,205,207 | ) |
Amortization of premium and accretion of discount on investments | | | 47,104 | |
Premiums received from options written | | | 85,392 | |
Premiums paid on closing options written | | | (56,308 | ) |
Net realized (gain) loss on investments and options written | | | (1,485,567 | ) |
Net unrealized (appreciation) depreciation on investments, options written, forward foreign currency exchange contracts, foreign currency translations and swaps | | | (1,558,327 | ) |
| |
(Increase) Decrease in Assets: | | | | |
Receivables: | | | | |
Dividends — affiliated | | | 1,283 | |
Dividends — unaffiliated | | | 1,976 | |
Interest — unaffiliated | | | 43,652 | |
From the Manager | | | 3,609 | |
Investment adviser | | | 2,818 | |
Variation margin on futures contracts | | | 1,402 | |
Variation margin on centrally cleared swaps | | | 5,995 | |
Swap premiums paid | | | 218 | |
Prepaid expenses | | | 309 | |
Other assets | | | 4,808 | |
| |
Increase (Decrease) in Liabilities: | | | | |
Payables: | | | | |
Accounting services fees | | | 13,261 | |
Custodian fees | | | (3,816 | ) |
Interest expense and fees | | | (689 | ) |
Directors’ and Officer’s fees | | | (1,092 | ) |
Other affiliates | | | (170 | ) |
Printing fees | | | 1,494 | |
Professional fees | | | (7,672 | ) |
Transfer agent fees | | | (228 | ) |
Investment advisory fees | | | 3,453 | |
Variation margin on futures contracts | | | 1,576 | |
Variation margin on centrally cleared swaps | | | 230 | |
Other accrued expenses | | | 3,422 | |
Swap premiums received | | | (169 | ) |
Net cash provided by operating activities | | | 9,785,049 | |
| |
CASH USED FOR FINANCING ACTIVITIES | | | | |
Payments on redemption of capital shares | | | (3,734,999 | ) |
Proceeds from issuance of capital shares | | | 3,411,550 | |
Net borrowing of reverse repurchase agreements | | | (9,252,975 | ) |
Increase in bank overdraft | | | 13,510 | |
Net cash used for financing activities | | | (9,562,914 | ) |
| |
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS | | | | |
Cash impact from foreign exchange fluctuations | | | (3,319 | ) |
| |
CASH AND FOREIGN CURRENCY | | | | |
Net increase in restricted and unrestricted cash and foreign currency | | | 218,816 | |
Restricted and unrestricted cash and foreign currency at beginning of period | | | 268,007 | |
Restricted and unrestricted cash and foreign currency at end of period | | $ | 486,823 | |
| |
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION | | | | |
Cash paid during the period for interest expense | | $ | 46,911 | |
| |
NON-CASH FINANCING ACTIVITIES | | | | |
Capital shares issued in reinvestment of dividends and distributions paid to shareholders | | $ | 642,075 | |
Statement of Cash Flows (unaudited) (continued)
Six Months Ended June 30, 2020
| | | | | | | | |
| | | Six Months Ended
June 30, 2020 | | | Year Ended
December 31, 2019 | |
| | |
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY TO THE STATEMENTS OF ASSETS AND LIABILITIES: | | | | | | | | |
Cash pledged: | | | | | | | | |
Futures contracts | | | 113,540 | | | | 58,540 | |
Centrally cleared swaps | | | 53,000 | | | | 77,000 | |
Foreign currency at value | | | 320,283 | | | | 132,467 | |
| | $ | 486,823 | | | $ | 268,007 | |
See notes to financial statements.
| | |
| 144 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Advantage Large Cap Core Portfolio | |
| | | Six Months Ended | | | Year Ended December 31, | |
| | | 06/30/20 (unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| | | | | | | |
Net asset value, beginning of period | | $ | 23.90 | | | $ | 19.76 | | | $ | 24.31 | | | $ | 27.15 | | | $ | 26.53 | | | $ | 28.11 | |
Net investment income(a) | | | 0.15 | | | | 0.35 | | | | 0.38 | (b) | | | 0.40 | | | | 0.36 | | | | 0.32 | |
Net realized and unrealized gain (loss) | | | (0.66 | ) | | | 5.38 | | | | (1.62 | ) | | | 5.58 | | | | 2.47 | | | | (0.15 | ) |
Net increase (decrease) from investment operations | | | (0.51 | ) | | | 5.73 | | | | (1.24 | ) | | | 5.98 | | | | 2.83 | | | | 0.17 | |
| | | | | | |
Distributions(c) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | (0.34 | ) | | | (0.39 | ) | | | (0.41 | ) | | | (0.37 | ) | | | (0.33 | ) |
From net realized gain | | | — | | | | (1.25 | ) | | | (2.92 | ) | | | (8.41 | ) | | | (1.84 | ) | | | (1.42 | ) |
Total distributions | | | — | | | | (1.59 | ) | | | (3.31 | ) | | | (8.82 | ) | | | (2.21 | ) | | | (1.75 | ) |
| | | | | | |
Net asset value, end of period | | $ | 23.39 | | | $ | 23.90 | | | $ | 19.76 | | | $ | 24.31 | | | $ | 27.15 | | | $ | 26.53 | |
| | | | | | |
Total Return(d) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (2.13)%(e) | | | | 29.09% | | | | (5.11)% | | | | 22.24% | | | | 10.69% | | | | 0.60% | |
| | | | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.59%(f) | | | | 0.60% | | | | 0.63% | | | | 0.63% | | | | 0.60% | | | | 0.60% | |
Total expenses after fees waived and/or reimbursed | | | 0.49%(f) | | | | 0.50% | | | | 0.50% | | | | 0.50% | | | | 0.50% | | | | 0.50% | |
Net investment income | | | 1.35%(f) | | | | 1.52% | | | | 1.51%(b) | | | | 1.35% | | | | 1.36% | | | | 1.14% | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 174,650 | | | $ | 188,907 | | | $ | 161,413 | | | $ | 187,538 | | | $ | 167,987 | | | $ | 169,173 | |
Portfolio turnover rate | | | 61% | | | | 131% | | | | 151% | | | | 154% | | | | 48% | | | | 31% | |
| (a) | Based on average shares outstanding. |
| (b) | Net investment income per share and the ratio of net investment income to average net assets includes $0.01 per share and 0.06%, respectively, resulting from a non-recurring dividend. |
| (c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (d) | Where applicable, excludes insurance-related fees and expenses and assumes the reinvestment of distributions. |
| (e) | Aggregate total return. |
See notes to financial statements.
| | |
Financial Highlights (For a share outstanding throughout each period) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Balanced Capital Portfolio | |
| | | Six Months Ended | | | Year Ended December 31, | |
| | | 06/30/20 (unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| | | | | | | |
Net asset value, beginning of period | | $ | 15.86 | | | $ | 13.97 | | | $ | 15.81 | | | $ | 16.87 | | | $ | 16.74 | | | $ | 17.81 | |
Net investment income(a) | | | 0.13 | | | | 0.33 | | | | 0.32 | | | | 0.31 | | | | 0.29 | | | | 0.28 | |
Net realized and unrealized gain (loss) | | | (0.07 | ) | | | 2.75 | | | | (0.73 | ) | | | 2.14 | | | | 1.16 | | | | (0.19 | ) |
Net increase (decrease) from investment operations | | | 0.06 | | | | 3.08 | | | | (0.41 | ) | | | 2.45 | | | | 1.45 | | | | 0.09 | |
| | | | | | |
Distributions(b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | (0.33 | ) | | | (0.31 | ) | | | (0.34 | ) | | | (0.30 | ) | | | (0.30 | ) |
From net realized gain | | | — | | | | (0.86 | ) | | | (1.12 | ) | | | (3.17 | ) | | | (1.02 | ) | | | (0.86 | ) |
Total distributions | | | — | | | | (1.19 | ) | | | (1.43 | ) | | | (3.51 | ) | | | (1.32 | ) | | | (1.16 | ) |
| | | | | | |
Net asset value, end of period | | $ | 15.92 | | | $ | 15.86 | | | $ | 13.97 | | | $ | 15.81 | | | $ | 16.87 | | | $ | 16.74 | |
| | | | | | |
Total Return(c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 0.38%(d) | | | | 22.06% | | | | (2.66)% | | | | 14.59% | | | | 8.65% | | | | 0.52% | |
| | | | | | |
Ratios to Average Net Assets(e) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.61%(f) | | | | 0.63% | | | | 0.64% | | | | 0.66% | | | | 0.62% | | | | 0.61% | |
Total expenses after fees waived and/or reimbursed | | | 0.50%(f) | | | | 0.52% | | | | 0.52% | | | | 0.53% | | | | 0.52% | | | | 0.50% | |
Total expenses after fees waived and/or reimbursed and excluding interest expense | | | 0.49%(f) | | | | 0.49% | | | | 0.49% | | | | 0.49% | | | | 0.49% | | | | 0.49% | |
Net investment income | | | 1.72%(f) | | | | 2.08% | | | | 1.98% | | | | 1.75% | | | | 1.72% | | | | 1.54% | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 475,546 | | | $ | 500,622 | | | $ | 453,030 | | | $ | 511,193 | | | $ | 490,442 | | | $ | 499,439 | |
Portfolio turnover rate(g) | | | 176% | | | | 320% | | | | 280% | | | | 332% | | | | 264% | | | | 340% | |
(a) Based on average shares outstanding. (b) Distributions for annual periods determined in accordance with U.S. federal income tax regulations. (c) Where applicable, excludes insurance-related fees and expenses and assumes the reinvestment of distributions. (d) Aggregate total return. (e) Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: | |
| | | Six Months Ended | | | Year Ended December 31, | |
| | | 06/30/20 (unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Investments in underlying funds | | | —% | | | | —% | | | | 0.02% | | | | 0.01% | | | | 0.01% | | | | —% | |
(f) Annualized. (g) Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: | |
| |
| | | Six Months Ended | | | Year Ended December 31, | |
| | | 06/30/20 (unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Portfolio turnover rate (excluding MDRs) | | | 125% | | | | 228% | | | | 211% | | | | 248% | | | | 188% | | | | 240% | |
See notes to financial statements.
| | |
| 146 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Capital Appreciation Portfolio | |
| | | Six Months Ended | | | Year Ended December 31, | |
| | | 06/30/20
(unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| | | | | | | |
Net asset value, beginning of period | | $ | 43.39 | | | $ | 36.63 | | | $ | 40.56 | | | $ | 33.61 | | | $ | 34.32 | | | $ | 34.75 | |
Net investment income(a) | | | 0.01 | | | | 0.06 | | | | 0.15 | (b) | | | 0.12 | (c) | | | 0.07 | (d) | | | 0.05 | |
Net realized and unrealized gain | | | 5.97 | | | | 11.86 | | | | 0.83 | | | | 11.11 | | | | 0.07 | | | | 2.45 | |
Net increase from investment operations | | | 5.98 | | | | 11.92 | | | | 0.98 | | | | 11.23 | | | | 0.14 | | | | 2.50 | |
| | | | | | |
Distributions(e) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
From net investment income | | | — | | | | (0.05 | ) | | | (0.14 | ) | | | (0.12 | ) | | | (0.08 | ) | | | (0.05 | ) |
From net realized gain | | | — | | | | (5.11 | ) | | | (4.77 | ) | | | (4.16 | ) | | | (0.77 | ) | | | (2.88 | ) |
Total distributions | | | — | | | | (5.16 | ) | | | (4.91 | ) | | | (4.28 | ) | | | (0.85 | ) | | | (2.93 | ) |
| | | | | | |
Net asset value, end of period | | $ | 49.37 | | | $ | 43.39 | | | $ | 36.63 | | | $ | 40.56 | | | $ | 33.61 | | | $ | 34.32 | |
| | | | | | |
Total Return(f) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 13.78%(g) | | | | 32.79% | | | | 2.42% | | | | 33.62% | | | | 0.40% | | | | 7.09% | |
| | | | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.58%(h) | | | | 0.58% | | | | 0.59%(i) | | | | 0.60% | | | | 0.62% | | | | 0.61% | |
Total expenses after fees waived and/or reimbursed | | | 0.48%(h) | | | | 0.48% | | | | 0.49%(i) | | | | 0.51% | | | | 0.53% | | | | 0.51% | |
Net investment income | | | 0.07%(h) | | | | 0.13% | | | | 0.33%(b)(i) | | | | 0.29%(c) | | | | 0.21%(d) | | | | 0.14% | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 213,738 | | | $ | 195,938 | | | $ | 162,866 | | | $ | 170,830 | | | $ | 139,019 | | | $ | 156,722 | |
Portfolio turnover rate | | | 25% | | | | 42% | | | | 45% | | | | 48% | | | | 86% | | | | 71% | |
| (a) | Based on average shares outstanding. |
| (b) | Net investment income per share and the ratio of net investment income to average net assets includes $0.10 per share and 0.22%, respectively, resulting from a non-recurring dividend. |
| (c) | Net investment income per share and the ratio of net investment income to average net assets includes $0.04 per share and 0.09%, respectively, resulting from a non-recurring dividend. |
| (d) | Net investment income per share and the ratio of net investment income to average net assets includes $0.03 per share and 0.08%, respectively, resulting from a non-recurring dividend. |
| (e) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (f) | Where applicable, excludes insurance-related fees and expenses and assumes the reinvestment of distributions. |
| (g) | Aggregate total return. |
| (i) | Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.01%. |
See notes to financial statements.
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Global Allocation Portfolio (a) | |
| | | Six Months Ended | | | Year Ended December 31, | |
| | | 06/30/20
(unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Net asset value, beginning of period | | $ | 16.03 | | | $ | 14.20 | | | $ | 16.42 | | | $ | 14.60 | | | $ | 14.25 | | | $ | 15.55 | |
Net investment income(b) | | | 0.09 | | | | 0.27 | | | | 0.27 | | | | 0.25 | | | | 0.23 | | | | 0.24 | |
Net realized and unrealized gain (loss) | | | (0.01 | ) | | | 2.28 | | | | (1.44 | ) | | | 1.80 | | | | 0.37 | | | | (0.35 | ) |
Net increase (decrease) from investment operations | | | 0.08 | | | | 2.55 | | | | (1.17 | ) | | | 2.05 | | | | 0.60 | | | | (0.11 | ) |
| | | | | | |
Distributions(c) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | — | | | | (0.24 | ) | | | (0.24 | ) | | | (0.23 | ) | | | (0.25 | ) | | | (0.30 | ) |
From net realized gain | | | — | | | | (0.48 | ) | | | (0.81 | ) | | | — | | | | — | | | | (0.89 | ) |
From return of capital | | | — | | | | — | | | | — | | | | — | | | | — | | | | (0.00 | )(d) |
Total distributions | | | — | | | | (0.72 | ) | | | (1.05 | ) | | | (0.23 | ) | | | (0.25 | ) | | | (1.19 | ) |
| | | | | | |
Net asset value, end of period | | $ | 16.11 | | | $ | 16.03 | | | $ | 14.20 | | | $ | 16.42 | | | $ | 14.60 | | | $ | 14.25 | |
| | | | | | |
Total Return(e) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 0.50%(f) | | | | 18.05% | | | | (7.27)% | | | | 14.05% | | | | 4.17% | | | | (0.74)% | |
| | | | | | |
Ratios to Average Net Assets(g) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.78%(h) | | | | 0.79% | | | | 0.78% | | | | 0.79% | | | | 0.83% | | | | 0.77% | |
Total expenses after fees waived and/or reimbursed | | | 0.58%(h) | | | | 0.57% | | | | 0.58% | | | | 0.58% | | | | 0.58% | | | | 0.58% | |
Total expenses after fees waived and/or reimbursed and excluding dividend expense, broker fees and expenses on short sales, interest expense and stock loan fees | | | 0.57%(h) | | | | 0.57% | | | | 0.57% | | | | 0.57% | | | | 0.57% | | | | 0.57% | |
Net investment income | | | 1.15%(h) | | | | 1.72% | | | | 1.67% | | | | 1.56% | | | | 1.62% | | | | 1.52% | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 175,136 | | | $ | 185,582 | | | $ | 173,983 | | | $ | 211,555 | | | $ | 206,525 | | | $ | 229,649 | |
Portfolio turnover rate | | | 106% | | | | 207% | | | | 145% | | | | 129% | | | | 134% | | | | 89%(i) | |
| |
(a) Consolidated Financial Highlights. | | | | | |
(b) Based on average shares outstanding. | | | | | |
(c) Distributions for annual periods determined in accordance with U.S. federal income tax regulations. | | | | | |
(d) Amount is greater than $(0.005) per share. | | | | | |
(e) Where applicable, excludes insurance-related fees and expenses and assumes the reinvestment of distributions. | | | | | |
(f) Aggregate total return. | | | | | |
(g) Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Six Months Ended | | | Year Ended December 31, | |
| | | 06/30/20
(unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Investments in underlying funds | | | 0.01 | % | | | — | % | | | 0.02 | % | | | 0.01 | % | | | — | % | | | — | % |
| (i) | Includes mortgage dollar roll transactions (“MDRs”). Excluding MDRs, the portfolio turnover rate would have been 87%. |
See notes to financial statements.
| | |
| 148 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock Government Money Market Portfolio | |
| | | Six Months Ended | | | Year Ended December 31, | |
| | | 06/30/20
(unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Net asset value, beginning of period | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
Net investment income | | | 0.0026 | | | | 0.0177 | | | | 0.0139 | | | | 0.0044 | | | | 0.0000 | (a) | | | 0.0000 | (a) |
Net realized gain | | | 0.0000 | (a) | | | 0.0000 | (a) | | | 0.0000 | (a) | | | 0.0000 | (a) | | | 0.0000 | (a) | | | 0.0001 | |
Net increase from investment operations | | | 0.0026 | | | | 0.0177 | | | | 0.0139 | | | | 0.0044 | | | | 0.0000 | | | | 0.0001 | |
| | | | | | |
Distributions(b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.0026 | ) | | | (0.0177 | ) | | | (0.0139 | ) | | | (0.0044 | ) | | | (0.0000 | )(c) | | | (0.0000 | )(c) |
From net realized gain | | | — | | | | (0.0000 | )(c) | | | — | | | | (0.0000 | )(c) | | | (0.0000 | )(c) | | | (0.0001 | ) |
Total distributions | | | (0.0026 | ) | | | (0.0177 | ) | | | (0.0139 | ) | | | (0.0044 | ) | | | (0.0000 | ) | | | (0.0001 | ) |
| | | | | | |
Net asset value, end of period | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
| | | | | | |
Total Return(d) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 0.26%(e) | | | | 1.78% | | | | 1.41% | | | | 0.45% | | | | 0.00% | | | | 0.01% | |
| | | | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.61%(f) | | | | 0.62% | | | | 0.64% | | | | 0.70% | | | | 0.54% | | | | 0.54% | |
Total expenses after fees waived and/or reimbursed | | | 0.47%(f) | | | | 0.50% | | | | 0.50% | | | | 0.50% | | | | 0.42% | | | | 0.22% | |
Net investment income | | | 0.55%(f) | | | | 1.77% | | | | 1.41% | | | | 0.44% | | | | 0.00% | | | | 0.00% | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 105,947 | | | $ | 112,454 | | | $ | 131,361 | | | $ | 107,299 | | | $ | 122,057 | | | $ | 125,641 | |
| (a) | Amount is less than $0.00005 per share. |
| (b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) | Amount is greater than $(0.00005) per share. |
| (d) | Where applicable, excludes insurance-related fees and expenses and assumes the reinvestment of distributions. |
| (e) | Aggregate total return. |
See notes to financial statements.
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock High Yield Portfolio | |
| | | Six Months Ended | | | Year Ended December 31, | |
| | | 06/30/20
(unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Net asset value, beginning of period | | $ | 5.43 | | | $ | 5.00 | | | $ | 5.42 | | | $ | 5.31 | | | $ | 4.91 | | | $ | 5.44 | |
Net investment income(a) | | | 0.14 | | | | 0.31 | | | | 0.30 | | | | 0.30 | | | | 0.29 | | | | 0.28 | |
Net realized and unrealized gain (loss) | | | (0.31 | ) | | | 0.43 | | | | (0.42 | ) | | | 0.12 | | | | 0.40 | | | | (0.52 | ) |
Net increase (decrease) from investment operations | | | (0.17 | ) | | | 0.74 | | | | (0.12 | ) | | | 0.42 | | | | 0.69 | | | | (0.24 | ) |
| | | | | | |
Distributions(b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.15 | ) | | | (0.31 | ) | | | (0.30 | ) | | | (0.31 | ) | | | (0.29 | ) | | | (0.29 | ) |
From return of capital | | | — | | | | — | | | | (0.00 | )(c) | | | — | | | | — | | | | — | |
Total distributions | | | (0.15 | ) | | | (0.31 | ) | | | (0.30 | ) | | | (0.31 | ) | | | (0.29 | ) | | | (0.29 | ) |
| | | | | | |
Net asset value, end of period | | $ | 5.11 | | | $ | 5.43 | | | $ | 5.00 | | | $ | 5.42 | | | $ | 5.31 | | | $ | 4.91 | |
| | | | | | |
Total Return(d) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (3.15)%(e) | | | | 15.04% | | | | (2.31)%(f) | | | | 7.95% | | | | 14.43% | | | | (4.65)% | |
| | | | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 1.25%(g) | | | | 1.15% | | | | 1.98% | | | | 1.34% | | | | 0.99%(h) | | | | 0.91% | |
Total expenses after fees waived and/or reimbursed | | | 0.50%(g) | | | | 0.50% | | | | 0.50% | | | | 0.50% | | | | 0.50%(h) | | | | 0.50% | |
Net investment income | | | 5.66%(g) | | | | 5.76% | | | | 5.66% | | | | 5.53% | | | | 5.64%(h) | | | | 5.30% | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 27,324 | | | $ | 30,673 | | | $ | 27,068 | | | $ | 32,005 | | | $ | 33,794 | | | $ | 31,788 | |
Portfolio turnover rate | | | 53% | | | | 74% | | | | 67% | | | | 73% | | | | 101% | | | | 84% | |
| (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, excludes insurance-related fees and expenses and assumes the reinvestment of distributions. |
| (e) | Aggregate total return. |
| (f) | Includes payment received from an affiliate, which had no impact on the Fund’s total return. |
| (h) | Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.01%. |
See notes to financial statements.
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| 150 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BlackRock U.S. Government Bond Portfolio | |
| | Six Months Ended | | | Year Ended December 31, | |
| | | 06/30/20
(unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Net asset value, beginning of period | | $ | 11.01 | | | $ | 10.58 | | | $ | 10.80 | | | $ | 10.86 | | | $ | 10.90 | | | $ | 11.07 | |
Net investment income(a) | | | 0.12 | | | | 0.27 | | | | 0.25 | | | | 0.21 | | | | 0.17 | | | | 0.17 | |
Net realized and unrealized gain (loss) | | | 0.55 | | | | 0.44 | | | | (0.17 | ) | | | (0.02 | ) | | | 0.00 | (b) | | | (0.11 | ) |
Net increase from investment operations | | | 0.67 | | | | 0.71 | | | | 0.08 | | | | 0.19 | | | | 0.17 | | | | 0.06 | |
Distributions from net investment income(c) | | | (0.13 | ) | | | (0.28 | ) | | | (0.30 | ) | | | (0.25 | ) | | | (0.21 | ) | | | (0.23 | ) |
| | | | | | |
Net asset value, end of period | | $ | 11.55 | | | $ | 11.01 | | | $ | 10.58 | | | $ | 10.80 | | | $ | 10.86 | | | $ | 10.90 | |
| | | | | | |
Total Return(d) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 6.10%(e) | | | | 6.78% | | | | 0.77% | | | | 1.72% | | | | 1.54% | | | | 0.54% | |
| | | | | | |
Ratios to Average Net Assets(f) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 1.13%(g) | | | | 1.47% | | | | 1.69% | | | | 1.15% | | | | 0.94% | | | | 0.81% | |
Total expenses after fees waived and/or reimbursed | | | 0.67%(g) | | | | 1.02% | | | | 0.86% | | | | 0.63% | | | | 0.59% | | | | 0.53% | |
Total expenses after fees waived and/or reimbursed and excluding interest expense | | | 0.50%(g) | | | | 0.50% | | | | 0.50% | | | | 0.50% | | | | 0.50% | | | | 0.50% | |
Net investment income | | | 2.06%(g) | | | | 2.45% | | | | 2.39% | | | | 1.89% | | | | 1.50% | | | | 1.58% | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 57,279 | | | $ | 54,333 | | | $ | 53,941 | | | $ | 54,580 | | | $ | 60,506 | | | $ | 66,263 | |
Portfolio turnover rate(h) | | | 291% | | | | 658% | | | | 728% | | | | 1,058% | | | | 1,004% | | | | 1,421% | |
| | |
(a) Based on average shares outstanding. | | | | | | | | | |
(b) Amount is less than $0.005 per share. | | | | | | | | | |
(c) Distributions for annual periods determined in accordance with U.S. federal income tax regulations. | | | | | | | | | |
(d) Where applicable, excludes insurance-related fees and expenses and assumes the reinvestment of distributions. | | | | | | | | | |
(e) Aggregate total return. | | | | | | | | | |
(f) Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: | | | | | | | | | |
| | |
| | | Six Months Ended | | | Year Ended December 31, | |
| | | 06/30/20
(unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Investments in underlying funds | | | 0.01 | % | | | 0.01 | % | | | 0.01 | % | | | 0.01 | % | | | — | % | | | 0.01 | % |
| | |
(g) Annualized. | | | | | | | | | |
(h) Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: | | | | | |
| | |
| | | Six Months Ended | | | Year Ended December 31, | |
| | | 06/30/20
(unaudited) | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Portfolio turnover rate (excluding MDRs) | | | 190% | | | | 425% | | | | 434% | | | | 694% | | | | 631% | | | | 891% | |
See notes to financial statements.
Notes to Financial Statements (unaudited)
BlackRock Series Fund, Inc. (“Series Fund”) and BlackRock Series Fund II, Inc. (“Series Fund II” and together with Series Fund, the “Companies” and each, a “Company”) are each registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies. Each Company is organized as a Maryland corporation and is comprised of the separate portfolios indicated below. Series Fund is comprised of 5 separate portfolios and Series Fund II is comprised of 2 separate portfolios. The following are referred to herein collectively as the “Funds” or individually as a “Fund”:
| | | | | | |
| Fund Name | | Company | | Herein Referred To As | | Diversification Classification |
BlackRock Advantage Large Cap Core Portfolio | | Series Fund | | Advantage Large Cap Core | | Diversified |
BlackRock Balanced Capital Portfolio | | Series Fund | | Balanced Capital | | Diversified |
BlackRock Capital Appreciation Portfolio | | Series Fund | | Capital Appreciation | | Diversified |
BlackRock Global Allocation Portfolio | | Series Fund | | Global Allocation | | Diversified |
BlackRock Government Money Market Portfolio | | Series Fund | | Government Money Market | | Diversified |
BlackRock High Yield Portfolio | | Series Fund II | | High Yield | | Diversified |
BlackRock U.S. Government Bond Portfolio | | Series Fund II | | U.S. Government Bond | | Diversified |
The Funds offer shares to insurance companies for their separate accounts to fund benefits under certain variable annuity and variable life insurance contracts.
Advantage Large Cap Core, Balanced Capital, Capital Appreciation, Global Allocation and Government Money Market, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of equity, multi-asset, index and money market funds referred to as the BlackRock Multi-Asset Complex.
High Yield and U.S. Government Bond, together with certain other registered investment companies advised by the Manager or its affiliates, are included in a complex of non-index fixed-income mutual funds and all BlackRock-advised closed-end funds referred to as the BlackRock Fixed-Income Complex.
Government Money Market operates as a “government money market fund” under Rule 2a-7 under the 1940 Act. The Fund is not subject to liquidity fees or temporary suspensions of redemptions due to declines in the Fund’s weekly liquid assets.
Basis of Consolidation: The accompanying consolidated financial statements of Global Allocation include the accounts of BlackRock Cayman Global Allocation Portfolio I, Ltd. (the “Subsidiary”), which is a wholly-owned subsidiary of Global Allocation and primarily invests in commodity-related instruments and other derivatives. The Subsidiary enables Global Allocation to hold these commodity-related instruments and satisfy regulated investment company tax requirements. Global Allocation may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary as of period end were $8,541,164, which is 4.9% of Global Allocation’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Subsidiary is subject to the same investment policies and restrictions that apply to Global Allocation, except that the Subsidiary may invest without limitation in commodity-related instruments.
| 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 executed. Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income and non-cash dividend income, if any, are recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Funds are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. 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, forward foreign currency exchange contracts, options written, swaps and short sales) or certain borrowings (e.g., reverse repurchase 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 borrowings 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.
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| 152 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
Distributions: For Government Money Market, High Yield and U.S. Government Bond, distributions from net investment income are declared daily and paid monthly. For Advantage Large Cap Core, Balanced Capital, Capital Appreciation and Global Allocation, distributions from net investment income are declared and paid at least annually. For each Fund, distributions of capital gains are recorded on the ex-dividend date and made at least annually. The portion of distributions, if any, that exceeds a Fund’s current and accumulated earnings and profits, as measured on a tax basis, constitute a non-taxable return of capital. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Net income and realized gains from investments held by the Subsidiary are treated as ordinary income for tax purposes. If a net loss is realized by the Subsidiary in any taxable year, the loss will generally not be available to offset the Global Allocation’s ordinary income and/or capital gains for that year.
Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by the Board of Directors of the Series Fund II, the directors who are not “interested persons” of the Funds, as defined in the 1940 Act (“Independent Directors”), may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the Independent Directors. This has the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.
The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of High Yield and U.S. Government Bond, as applicable. Deferred compensation liabilities are included in the Directors’ and Officer’s fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Funds until such amounts are distributed in accordance with the Plan.
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.
Global Allocation has an arrangement with its custodian whereby credits are earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. Global Allocation may incur charges on overdrafts, subject to certain conditions.
| 3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: The Funds’ (except Government Money Market) 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). 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 Boards of Directors of the Companies (each a “Board” and together the “Boards”). If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by each Board as reflecting fair value. 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. U.S. GAAP defines fair value as the price Government Money Market would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Government Money Market’s investments are valued under the amortized cost method which approximates current market value in accordance with Rule 2a-7 under the 1940 Act. Under this method, investments are valued at cost when purchased and, thereafter, a constant proportionate accretion of discounts and amortization of premiums are recorded until the maturity of the security. Government Money Market seeks to maintain its net asset value (“NAV”) per share at $1.00, although there is no assurance that it will be able to do so on a continuing basis.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s (except Government Money Market) assets and liabilities:
| | • | | Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments traded on more than one exchange, the official closing price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price. |
| | • | | 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 may 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. |
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the NYSE that may not be reflected in the computation of the Funds’ net assets. Each business day, the Funds use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets.
| | |
NOTESTO FINANCIAL STATEMENTS | | 153 |
Notes to Financial Statements (unaudited) (continued)
| | • | | 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. |
| | • | | The Funds value their investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon their pro rata ownership in the underlying fund’s net assets. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments may follow the parameters of investments by a money market fund that is subject to Rule 2a-7 under the 1940 Act. |
| | • | | Futures contract notional values are determined based on that day’s last reported settlement price on the exchange where the contract is traded. |
| | • | | Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE based on that day’s prevailing forward exchange rate for the underlying currencies. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. |
| | • | | Exchange-traded equity options for which market quotations are readily available will be valued at the National Best Bid and Offer quotes (“NBBO”). NBBO represents the mean of the bid and ask prices as quoted on the exchange on which such options are traded. In the event that there is no mean price available, the last bid (long positions) or ask (short positions) price will be used. If no bid or ask price is available, the prior day’s price may be used. 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. |
| | • | | To-be-announced (“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 Boards 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 are 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 pricing of all Fair Valued Investments is subsequently reported to the Boards or a committee thereof on a quarterly basis.
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 the Global Valuation Committee and third party pricing services utilize one or a combination of, but not limited to, the following inputs.
| | |
| 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) future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii) other risk 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) audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii) relevant news and other public sources; and (iv) known secondary 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.
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| 154 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
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 the Global Valuation Committee’s 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. 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.
As of June 30, 2020, certain investments of the Funds were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.
| 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 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
| | |
NOTESTO FINANCIAL STATEMENTS | | 155 |
Notes to Financial Statements (unaudited) (continued)
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.
Warrants: Warrants entitle a fund to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.
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, 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
| | |
| 156 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
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.
In connection with floating rate loan interests, certain funds may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, a fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of period end, Global Allocation and High Yield had the following unfunded floating rate loan interests:
| | | | | | | | | | | | | | |
| Borrower | | Par | | | Commitment Amount | | | Value | | | Unrealized Appreciation (Depreciation) |
Opendoor, Term Loan | | $ | 120,933 | | | $ | 120,933 | | | $ | 120,933 | | | $ — |
|
| | | | | | | | | | | | | | |
| Borrower | | Par | | | Commitment
Amount | | | Value | | | Unrealized
Appreciation
(Depreciation) |
Intelsat Jackson Holdings SA, Term Loan | | $ | 36,388 | | | $ | 36,388 | | | $ | 36,866 | | | $ 478 |
|
Forward Commitments, When-Issued and 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 its 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 in 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 are 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 realize 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.
Repurchase Agreements: Repurchase agreements are commitments to purchase a security from a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price. On a daily basis, the counterparty is required to maintain collateral subject to the agreement and in value no less than the agreed upon repurchase amount. Repurchase agreements may be traded bilaterally, in a tri-party arrangement or may be centrally cleared through a sponsoring agent. Subject to the custodial undertaking associated with a tri-party repurchase arrangement and for centrally cleared repurchase agreements, a third party custodian maintains accounts to hold collateral for a fund and its counterparties. Typically, a fund and counterparty are not permitted to sell, re-pledge or use the collateral absent a default by the counterparty or a fund, respectively.
In the event the counterparty defaults and the fair value of the collateral declines, a fund could experience losses, delays and costs in liquidating the collateral.
Repurchase agreements are entered into by a fund under Master Repurchase Agreements (each, an “MRA”). The MRA permits a fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables with collateral held by and/or posted to the counterparty. As a result, one single net payment is created. 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
| | |
NOTESTO FINANCIAL STATEMENTS | | 157 |
Notes to Financial Statements (unaudited) (continued)
MRA counterparty’s bankruptcy or insolvency. Based on the terms of the MRA, a fund receives securities as collateral with a market value in excess of the repurchase price at maturity. Upon a bankruptcy or insolvency of the MRA counterparty, a fund would recognize a liability with respect to such excess collateral. The liability reflects a fund’s obligation under bankruptcy law to return the excess to the counterparty.
Borrowed Bond Agreements: Repurchase agreements may be referred to as borrowed bond agreements when entered into in connection with short sales of bonds. In a borrowed bond agreement, a fund borrows a bond from a counterparty in exchange for cash collateral. The agreement contains a commitment that the security and the cash will be returned to the counterparty and a fund at a mutually agreed upon date. Certain agreements have no stated maturity and can be terminated by either party at any time. Earnings on cash collateral and compensation to the lender of the bond are based on agreed upon rates between a fund and the counterparty. The value of the underlying cash collateral approximates the market value and accrued interest of the borrowed bond. To the extent that a borrowed bond transaction exceeds one business day, the value of the cash collateral in the possession of the counterparty is monitored on a daily basis to ensure the adequacy of the collateral. As the market value of the borrowed bond changes, the cash collateral is periodically increased or decreased with a frequency and in amounts prescribed in the borrowed bond agreement. A fund may also experience delays in gaining access to the collateral.
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 six months ended June 30, 2020, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for the Funds were as follows:
| | | | | | |
| | | Balanced Capital | | | U.S. Government Bond |
Average Borrowings | | $ | 9,796,501 | | | $ 10,650,904 |
Daily Weighted Average Interest Rate | | | 0.62% | | | 0.74% |
Borrowed bond agreements and reverse repurchase transactions are entered into by a fund under an MRA, which permits 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 borrowed bond agreements and 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 and cash 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.
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| 158 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
As of period end, the following table is a summary of the Funds’ open borrowed bond agreements and reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | |
| Borrowed
Bond Agreements |
(a) | |
| Reverse
Repurchase Agreements |
| |
| Borrowed
Bond at Value including Accrued Interest |
(b) | |
| Net Amount
before Collateral |
| |
| Non-cash
Collateral Received |
| |
| Cash
Collateral Received |
| |
| Fair Value of
Non-cash Collateral Pledged Including Accrued Interest |
(c) | |
| Cash
Collateral Pledged |
| |
| Net Collateral
(Received) / Pledged |
(c) | |
| Net Exposure
Due (to) / from Counterparty |
(d) |
Balanced Capital | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank of America Securities, Inc. | | $ | 716,975 | | | $ | (4,029,036 | ) | | $ | (713,922 | ) | | $ | (4,025,983 | ) | | $ | — | | | $ | — | | | $ | 4,025,983 | | | $ | — | | | $ | 4,025,983 | | | $ | — | |
J.P. Morgan Securities LLC | | | — | | | | (997,244 | ) | | | — | | | | (997,244 | ) | | | — | | | | — | | | | 996,746 | | | | — | | | | 996,746 | | | | (498 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 716,975 | | | $ | (5,026,280 | ) | | $ | (713,922 | ) | | $ | (5,023,227 | ) | | $ | — | | | $ | — | | | $ | 5,022,729 | | | $ | — | | | $ | 5,022,729 | | | $ | (498 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Included in Investments at value-unaffiliated in the Statements of Assets and Liabilities. |
| (b) | Includes accrued interest on borrowed bonds in the amount of $1,471 which is included in interest expense payable in the Statements of Assets and Liabilities. |
| (c) | Net collateral, including accrued interest, with a value of $5,025,108 has been pledged in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
| (d) | Net exposure represents the net receivable (payable) that would be due from/to the counterparty in the event of default. |
| | | | | | | | | | | | | | | | |
Counterparty | |
| Reverse
Repurchase Agreements |
| |
| Fair Value of
Non-cash Collateral Pledged Including Accrued Interest |
(a) | |
| Cash
Collateral Pledged |
| |
| Net
Amount |
(b) |
U.S. Government Bond | | | | | | | | | | | | | | | | |
Bank of America Securities, Inc. | | $ | (5,063,275 | ) | | $ | 5,062,944 | | | $ | — | | | $ | (331 | ) |
J.P. Morgan Securities LLC | | | (757,885 | ) | | | 757,505 | | | | — | | | | (380 | ) |
| | | | | | | | | | | | | | | | |
| | $ | (5,821,160 | ) | | $ | 5,820,449 | | | $ | — | | | $ | (711 | ) |
| | | | | | | | | | | | | | | | |
| (a) | Collateral with a value of $5,820,449 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. |
| (b) | Net amount represents the net amount payable due to the counterparty in the event of default. |
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.
Short Sale Transactions (Borrowed Bonds): In short sale transactions, a fund sells a security it does not hold in anticipation of a decline in the market price of that security. When a fund makes a short sale, it will borrow the security sold short (borrowed bond) and deliver the fixed-income security to the counterparty to which it sold the security short. An amount equal to the proceeds received by a fund is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. A fund is required to repay the counterparty interest on the security sold short, which, if applicable, is included in interest expense in the Statements of Operations. A fund is exposed to market risk based on the amount, if any, that the market value of the security increases beyond the market value at which the position was sold. Thus, a short sale of a security involves the risk that instead of declining, the price of the security sold short will rise. The short sale of securities involves the possibility of an unlimited loss since there is an unlimited potential for the market price of the security sold short to increase. A gain is limited to the price at which a fund sold the security short. A realized gain or loss is recognized upon the termination of a short sale if the market price is either less than or greater than the proceeds originally received. There is no assurance that a fund will be able to close out a short position at a particular time or at an acceptable price.
Short Sale Transactions (Equities): In short sale transactions, a fund sells a security it does not hold in anticipation of a decline in the market price of that security. When a fund makes a short sale, it will borrow the security sold short from a broker/counterparty and deliver the security to the purchaser. To close out a short position, a fund delivers the same security to the broker and records a liability to reflect the obligation to return the security to the broker. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. A fund maintains a segregated account of securities or deposits cash with the broker-dealer as collateral for the short sales. Cash deposited with the broker is recorded as an asset in the Statements of Assets and Liabilities. Securities segregated as collateral are denoted in the Schedules of Investments. A fund may pay a financing fee for the difference between the market value of the short position and the cash collateral deposited with the broker which would be recorded as interest expense. A fund is required to repay the counterparty any dividends received on the security sold short, which, if applicable, is shown as dividend expense in the Statements of Operations. A fund may pay a fee on the assets borrowed from the counterparty, which, if applicable, is shown as broker fees and expenses on short sales in the Statements of Operations. A fund is exposed to market risk based on the amount, if any, that the market value of the security increases beyond the market value at which the position was sold. Thus, a short sale of a security involves the risk that instead of declining, the price of the security sold short will rise. The short sale of securities involves the possibility of an unlimited loss since there is an unlimited potential for the market price of the security sold short to increase. A gain is limited to the price at which a fund sold the security short. A realized gain or loss is recognized upon the termination of a short sale if the market price is either less than or greater than the proceeds originally received. There is no assurance that a fund will be able to close out a short position at a particular time or at an acceptable price.
| | |
NOTESTO FINANCIAL STATEMENTS | | 159 |
Notes to Financial Statements (unaudited) (continued)
Securities Lending: Certain funds may lend their securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Funds collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by each Fund is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day. During the term of the loan, the Funds are entitled to all distributions made on or in respect of the loaned securities, but do not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The market value of any securities on loan, all of which were classified as common stocks and investment companies in the Funds’ Schedules of Investments, and the value of any related collateral are shown separately in the Statements of Assets and Liabilities as a component of investments at value – unaffiliated, and collateral on securities loaned at value, respectively. As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Investment Management, LLC (“BIM”), if any, is disclosed in the Schedules of Investments.
Securities lending transactions are entered into by the Funds under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Funds, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and a Fund can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.
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| 160 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
As of period end, the following table is a summary of each Fund’s securities lending agreements by counterparty which are subject to offset under an MSLA:
| | | | | | | | | | | | |
| Counterparty | | Securities Loaned at Value | | | Cash Collateral Received (a) | | | Net Amount (b) | |
Advantage Large Cap Core | | | | | | | | | | | | |
Barclays Bank plc | | $ | 827,831 | | | $ | (827,831 | ) | | $ | — | |
BofA Securities, Inc. | | | 7,651 | | | | (7,651 | ) | | | — | |
Citigroup Global Markets, Inc. | | | 1,539,778 | | | | (1,539,778 | ) | | | — | |
Credit Suisse Securities (USA) LLC | | | 1,072,260 | | | | (1,068,393 | ) | | | 3,867 | |
Deutsche Bank Securities, Inc. | | | 56,894 | | | | (56,444 | ) | | | 450 | |
Goldman Sachs & Co. | | | 8,415 | | | | (8,415 | ) | | | — | |
JP Morgan Securities LLC | | | 206,124 | | | | (206,108 | ) | | | 16 | |
Morgan Stanley & Co. LLC | | | 1,499,679 | | | | (1,499,679 | ) | | | — | |
National Financial Services LLC | | | 317,492 | | | | (317,492 | ) | | | — | |
State Street Bank & Trust Co. | | | 611,986 | | | | (611,986 | ) | | | — | |
TD Prime Services LLC | | | 13,846 | | | | (13,846 | ) | | | — | |
| | | | |
| | $ | 6,161,956 | | | $ | (6,157,623 | ) | | $ | 4,333 | |
| | | | |
Balanced Capital | | | | | | | | | | | | |
Barclays Bank plc | | | 1,444,974 | | | | (1,444,974 | ) | | | — | |
BofA Securities, Inc. | | | 183,875 | | | | (183,875 | ) | | | — | |
Citigroup Global Markets, Inc. | | | 3,387,043 | | | | (3,387,043 | ) | | | — | |
Credit Suisse Securities (USA) LLC | | | 76,275 | | | | (76,275 | ) | | | — | |
Deutsche Bank Securities, Inc. | | | 213,051 | | | | (213,051 | ) | | | — | |
Goldman Sachs & Co. | | | 222,760 | | | | (222,760 | ) | | | — | |
JP Morgan Securities LLC | | | 413,163 | | | | (413,163 | ) | | | — | |
Morgan Stanley & Co. LLC | | | 1,152,097 | | | | (1,150,417 | ) | | | 1,680 | |
National Financial Services LLC | | | 65,764 | | | | (65,195 | ) | | | 569 | |
State Street Bank & Trust Co. | | | 139,156 | | | | (139,156 | ) | | | — | |
| | | | |
| | $ | 7,298,158 | | | $ | (7,295,909 | ) | | $ | 2,249 | |
| | | | |
Capital Appreciation | | | | | | | | | | | | |
JP Morgan Securities LLC | | $ | 4,416,395 | | | $ | (4,416,395 | ) | | $ | — | |
| | | | |
Global Allocation | | | | | | | | | | | | |
BofA Securities, Inc. | | | 422,859 | | | | (422,859 | ) | | | — | |
Citigroup Global Markets, Inc. | | | 258,908 | | | | (258,908 | ) | | | — | |
Credit Suisse Securities (USA) LLC | | | 883,425 | | | | (883,425 | ) | | | — | |
Goldman Sachs & Co. | | | 632,301 | | | | (632,301 | ) | | | — | |
Jefferies LLC | | | 96,524 | | | | (96,524 | ) | | | — | |
JP Morgan Securities LLC | | | 6,942 | | | | (6,942 | ) | | | — | |
National Financial Services LLC | | | 108,705 | | | | (108,705 | ) | | | — | |
SG Americas Securities LLC | | | 184,129 | | | | (184,129 | ) | | | — | |
State Street Bank & Trust Co. | | | 1,188,808 | | | | (1,188,808 | ) | | | — | |
TD Prime Services LLC | | | 833,984 | | | | (833,984 | ) | | | — | |
| | | | |
| | $ | 4,616,585 | | | $ | (4,616,585 | ) | | $ | — | |
| | | | |
| (a) | Collateral received in excess of the market value of securities on loan is not presented in these tables. The total cash collateral received by each Fund is disclosed in the Statements of Assets and Liabilities. |
| (b) | The market value of the loaned securities is determined as of June 30, 2020. Additional collateral is delivered to the Funds on the next business day in accordance with the MSLA. The net amount would be subject to the borrower default indemnity in the event of default by the counterparty. |
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Funds benefit from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. Each Fund could incur a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by the Funds.
| 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) and 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. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.
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NOTESTO FINANCIAL STATEMENTS | | 161 |
Notes to Financial Statements (unaudited) (continued)
Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, are 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.
Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market.
The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amount(s) reflected in the Statements of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities.
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, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.
| | • | | 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. |
| | • | | Interest rate caps and floors — Interest rate caps and floors are entered into to gain or reduce exposure to interest rates (interest rate risk and/or other risk). Caps are agreements whereby one party agrees to make payments to the other, in return for a premium, to the extent that interest rate indexes exceed a specified rate, or “cap.” Floors are agreements whereby one party agrees to make payments to the other, in return for a premium, to the extent that interest rate indexes fall below a specified rate, or “floor.” The maximum potential amount of future payments that a Fund would be required to make under an interest rate cap would be the notional amount times the percentage increase in interest rates determined by the difference between the interest rate index current value and the value at the time the cap was entered into. |
| | • | | Foreign currency options — Certain funds purchase and write foreign currency options, foreign currency futures and options on foreign currency futures to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk). Foreign currency options give the purchaser the right to buy from or sell to the writer a foreign currency at any time before the expiration of the option. |
| | • | | Barrier options — Certain funds may purchase and write a variety of options with non-standard payout structures or other features (“barrier options”) that are generally traded OTC. |
The Funds may invest in various types of barrier options, including down-and-out options, down-and-in options, double no-touch options, one-touch options, up-and-out options and up-and-in options. Down-and-out options expire worthless to the purchaser if the price of the underlying instrument falls below a specific barrier price level prior to the expiration date. Down-and-in options expire worthless to the purchaser unless the price of the underlying instrument falls below a specific barrier price level prior to the expiration date. Double no-touch options provide the purchaser an agreed-upon payout if the price of the underlying instrument does not reach or surpass predetermined barrier price levels prior to the option’s expiration date. One-touch options provide the purchaser an agreed-upon payout if the price of the underlying instrument reaches or surpasses predetermined barrier price levels prior to the expiration date. Up-and-out options expire worthless to the purchaser if the price of the underlying instrument increases beyond a predetermined barrier price level prior to the expiration date. Up-and-in options can only be exercised when the price of the underlying instrument increases beyond a predetermined barrier price level.
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| 162 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (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 they 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 novated 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. Amounts pledged, which are considered restricted cash, are included in 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 a 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 security or market (e.g., fixed-income) with another security or 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(s) 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.
Certain total return swaps are designed to function as a portfolio of direct investments in long and short equity positions. This means that each Fund has the ability to trade in and out of these long and short positions within the swap and will receive the economic benefits and risks equivalent to direct investment in these positions, subject to certain adjustments due to events related to the counterparty. Benefits and risks include capital appreciation (depreciation), corporate actions and dividends received and paid, all of which are reflected in the swap’s market value. The market value also includes interest charges and credits (“financing fees”) related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate plus or minus a specified spread determined based upon the country and/or currency of the positions in the portfolio.
Positions within the swap and financing fees are reset periodically. During a reset, any unrealized appreciation (depreciation) on positions and accrued financing fees become available for cash settlement between the Funds and the counterparty. The amounts that are available for cash settlement are recorded as realized gains or losses in the Statements of Operations. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Funds and the counterparty, over the life of the agreement. Certain swaps have no stated expiration and can be terminated by either party at any time.
| | • | | 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.
| | • | | Forward swaps — Certain funds enter into forward interest rate swaps and forward total return swaps. In a forward swap, each Fund and the counterparty agree to make periodic net payments beginning on a specified date or a net payment at termination. |
| | • | | Inflation swaps — Inflation swaps are entered into to gain or reduce exposure to inflation (inflation risk). In an inflation swap, one party makes fixed interest payments on a notional principal amount in exchange for another party’s variable payments based on an inflation index, such as the Consumer Price Index. |
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NOTESTO FINANCIAL STATEMENTS | | 163 |
Notes to Financial Statements (unaudited) (continued)
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 Funds 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 in the Statements 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 |
Investment Advisory: Each Company, on behalf of its respective Funds, entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of each Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund.
For such services, each Fund pays the Manager a monthly fee based on the percentage of the seven combined Funds’ average daily net assets at the following annual rates:
| | | | |
| Average Daily Net Assets of the Seven Combined Funds | | Investment Advisory Fees | |
First $250 Million | | | 0.50 | % |
$250 Million — $300 Million | | | 0.45 | |
$300 Million — $400 Million | | | 0.40 | |
$400 Million — $800 Million | | | 0.35 | |
Greater than $800 Million | | | 0.30 | |
The portion of the assets of a Fund to which the rate at each breakpoint level applies will be determined on a “uniform percentage” basis. The uniform percentage applicable to a breakpoint level is determined by dividing the amount of the aggregate average daily net assets of the seven combined Funds that falls within that breakpoint level by the aggregate average daily net assets of the seven combined Funds. The amount of the fee for a Fund at each breakpoint level is determined by multiplying the average daily net assets of that Fund by the uniform percentage applicable to that breakpoint level and multiplying the product by the applicable advisory fee rate.
The Manager provides investment management and other services to the Subsidiary of Global Allocation. The Manager does not receive separate compensation from the Subsidiary for providing investment management or administrative services. However, Global Allocation pays the Manager based on the Fund’s net assets, which includes the assets of the Subsidiary.
With respect to each High Yield and U.S. Government Bond, the Manager entered into separate sub-advisory agreements, effective March 2, 2020 and May 19, 2020 respectively, with BlackRock International Limited (“BIL”), an affiliate of the Manager. The Manager pays BIL for services it provides for that portion of each Fund for which BIL acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by each Fund to the Manager.
With respect to Balanced Capital, the Manager entered into separate sub-advisory agreements with BIL and BlackRock (Singapore) Limited (“BRS”) (collectively, the “Sub-Advisers”), each an affiliate of the Manager. The Manager pays BIL and BRS for services they provide for that portion of Balanced Capital for which BIL and BRS, as applicable, acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by Balanced Capital to the Manager.
Distribution Fees: Each Company, on behalf of the Funds, entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager.
| | |
| 164 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
Transfer Agent: On behalf of the Funds, the Manager entered into agreements with insurance companies and other financial intermediaries (“Service Organizations”), some of which may be affiliates. Pursuant to these agreements, the Service Organizations provide the Funds with administrative, networking, recordkeeping, sub-transfer agency and shareholder services to underlying investor accounts. For these services, the Service Organizations receive an annual fee per shareholder account, which will vary depending on share class and/or net assets of Fund shareholders serviced by the Service Organizations. For the six months ended June 30, 2020, the Funds did not pay any amounts to affiliates in return for these services.
Expense Limitations, Waivers and Reimbursements: With respect to each Fund (other than Government Money Market), the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of a Fund. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitation described below will be reduced by the amount of the affiliated money market fund waiver. Prior to May 1, 2020, this waiver was voluntary. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended June 30, 2020, the amounts waived were as follows:
| | |
Advantage Large Cap Core | | $ 1,240 |
Balanced Capital | | 4,383 |
Capital Appreciation | | 327 |
Global Allocation | | 262 |
High Yield | | 183 |
U.S. Government Bond | | 787 |
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of each Fund’s (other than Government Money Market) assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through April 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of a Fund. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended June 30, 2020, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:
| | |
Balanced Capital | | $ 29 |
Global Allocation | | 2,279 |
For the six months ended June 30, 2020, the Funds reimbursed the Manager for certain accounting services, which is included in accounting services in the Statements of Operations. The reimbursements were as follows:
| | |
Advantage Large Cap Core | | $ 1,081 |
Balanced Capital | | 2,913 |
Capital Appreciation | | 1,128 |
Global Allocation | | 1,076 |
Government Money Market | | 694 |
High Yield | | 178 |
U.S. Government Bond | | 329 |
The Manager has contractually agreed to reimburse certain transfer agent fees in order to limit such expenses to a percentage of average daily net assets as follows:
| | |
Advantage Large Cap Core | | 0.04% |
Balanced Capital | | 0.04 |
Capital Appreciation | | 0.04 |
Global Allocation | | 0.04 |
Government Money Market | | 0.02 |
High Yield | | 0.05 |
U.S. Government Bond | | 0.05 |
The Manager has agreed not to reduce or discontinue these contractual expense limitations prior to April 30, 2021. The contractual agreement may be terminated with respect to each Fund, upon 90 days’ notice by a majority of Independent Directors or by a vote of the outstanding voting securities of a Fund.
| | |
NOTESTO FINANCIAL STATEMENTS | | 165 |
Notes to Financial Statements (unaudited) (continued)
These amounts waived and/or reimbursed are included in transfer agent fees waived and/or reimbursed in the Statements of Operations. For the six months ended June 30, 2020, class specific expense waivers and/or reimbursement are as follows:
| | |
Advantage Large Cap Core | | $ 79,663 |
Balanced Capital | | 231,792 |
Capital Appreciation | | 93,081 |
Global Allocation | | 88,656 |
Government Money Market | | 64,798 |
High Yield | | 11,289 |
U.S. Government Bond | | 25,611 |
With respect to each Fund, the Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of each Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets are as follows:
| | |
Advantage Large Cap Core | | 0.50% |
Balanced Capital | | 0.50 |
Capital Appreciation | | 0.57 |
Global Allocation | | 0.57 |
Government Money Market | | 0.50 |
High Yield | | 0.50 |
U.S. Government Bond | | 0.50 |
The Manager has agreed not to reduce or discontinue these contractual expense limitations through April 30, 2021. The contractual agreement may be terminated, with respect to each Fund, upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of a Fund. For the six months ended June 30, 2020, the following amounts are included in fees waived and/or reimbursed by the Manager and transfer agent fees waived and/or reimbursed in the Statements of Operations:
| | |
| | | Fees Waived and/or reimbursed by the Manager |
Advantage Large Cap Core | | $ 250 |
Balanced Capital | | 185 |
Global Allocation | | 48,925 |
Government Money Market | | 140 |
High Yield | | 83,985 |
U.S. Government Bond | | 89,731 |
| | |
| | | Transfer agent fees waived and/ or reimbursed |
Advantage Large Cap Core | | $ 3,304 |
Balanced Capital | | 7,273 |
Global Allocation | | 34,219 |
Government Money Market | | 1,559 |
High Yield | | 6,859 |
U.S. Government Bond | | 13,881 |
The Manager has also voluntarily agreed to waive a portion of its investment advisory fees and/or reimburse operating expenses to enable Government Money Market to maintain minimum levels of daily net investment income, if applicable. These amounts, if any, are reported in the Statement of Operations as fees waived and/or reimbursed by the Manager and transfer agent fees waived and/or reimbursed. The Manager may discontinue the waiver and/or reimbursement at any time. For the six months ended June 30, 2020, fees waived and/or reimbursed by the Manager and transfer agent fees waived and/or reimbursed under this agreement were $9,626 and $2,800, respectively, for Government Money Market.
Securities Lending: The U.S. Securities and Exchange Commission (“SEC”) has issued an exemptive order which permits BIM, an affiliate of the Manager, to serve as securities lending agent for the Funds, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Funds are responsible for expenses in connection with the investment of cash collateral received for securities on loan (the “collateral investment expenses”). The cash collateral is invested in a private investment company managed by the Manager or its affiliates. However, BIM has agreed to cap the collateral investment expenses of the private investment company to an annual rate of 0.04%. The investment adviser to the private investment company will not charge any advisory fees with respect to shares purchased by the Funds. The private investment company in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value withdrawn or temporarily restrict withdrawals for up to 10 business days during a 90 day period, in the event that the private investment company’s weekly liquid assets fall below certain thresholds.
Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment expenses. Each Fund retains a portion of securities lending income and remits a remaining portion to BIM as compensation for its services as securities lending agent.
| | |
| 166 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
Pursuant to the current securities lending agreement, Advantage Large Cap Core, Balanced Capital and Capital Appreciation retain 75% of securities lending income (which excludes collateral investment expenses), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.
In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, Advantage Large Cap Core, Balanced Capital and Capital Appreciation retain, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 80% of securities lending income (which excludes collateral investment expenses), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.
Pursuant to the current securities lending agreement, Global Allocation, Government Money Market, High Yield and U.S. Government Bond retain 82% of securities lending income (which excludes collateral investment expenses), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.
In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Multi-Asset or Fixed-Income Complexes, as applicable, in a calendar year exceeds a specified threshold, Global Allocation, Government Money Market, High Yield and U.S. Government Bond, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 85% of securities lending income (which excludes collateral investment expenses), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.
The share of securities lending income earned by each Fund is shown as securities lending income — affiliated — net in the Statements of Operations. For the six months ended June 30, 2020, each Fund paid BIM the following amounts for securities lending agent services:
| | |
Advantage Large Cap Core | | $ 6,031 |
Balanced Capital | | 9,811 |
Capital Appreciation | | 3,849 |
Global Allocation | | 4,169 |
Interfund Lending: In accordance with an exemptive order (the “Order”) from the 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. Each Fund is currently permitted to borrow and lend 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 Boards.
During the period ended June 30, 2020, the Funds did not participate in the Interfund Lending Program.
Directors and Officers: Certain directors and/or officers of the Companies are directors and/or officers of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Companies’ Chief Compliance Officer, which is included in Directors and Officer in the Statements of Operations.
Other Transactions: The Funds 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 directors. For the six months ended June 30, 2020, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:
| | | | | | | | | | |
| | | Purchases | | | Sales | | | Net Realized Gain (Loss) |
Balanced Capital | | $ | 269,861 | | | $ | 76,715 | | | $ 1,920 |
Global Allocation | | | 92,910 | | | | 112,420 | | | 2,590 |
High Yield | | | 230,867 | | | | 358,451 | | | 7,814 |
| | |
NOTESTO FINANCIAL STATEMENTS | | 167 |
Notes to Financial Statements (unaudited) (continued)
For the six months ended June 30, 2020, purchases and sales of investments, including paydowns, mortgage dollar rolls and excluding short-term securities, were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Advantage Large Cap Core | | | Balanced Capital | | | Capital Appreciation | | | Global Allocation | | | High Yield | | | U.S. Government Bond | |
Purchases | | | | | | | | | | | | | | | | | | | | | | | | |
Non-U.S. Government Securities | | $ | 103,376,465 | | | $ | 837,960,021 | | | $ | 48,558,496 | | | $ | 145,034,379 | | | $ | 14,378,549 | | | $ | 172,114,711 | |
U.S. Government Securities | | | — | | | | 25,455,048 | | | | — | | | | 15,589,406 | | | | — | | | | 14,630,487 | |
| | | | |
| | $ | 103,376,465 | | | $ | 863,415,069 | | | $ | 48,558,496 | | | $ | 160,623,785 | | | $ | 14,378,549 | | | $ | 186,745,198 | |
| | | | |
Sales | | | | | | | | | | | | | | | | | | | | | | | | |
Non-U.S. Government Securities | | $ | 115,462,873 | | | $ | 867,086,217 | | | $ | 56,888,739 | | | $ | 143,006,427 | | | $ | 16,308,654 | | | $ | 180,660,298 | |
U.S. Government Securities | | | — | | | | 32,830,100 | | | | — | | | | 21,713,550 | | | | — | | | | 19,355,543 | |
| | | | |
| | $ | 115,462,873 | | | $ | 899,916,317 | | | $ | 56,888,739 | | | $ | 164,719,977 | | | $ | 16,308,654 | | | $ | 200,015,841 | |
| | | | |
For the six months ended June 30, 2020, purchases and sales related to mortgage dollar rolls were as follows:
| | | | | | |
| | | Balanced Capital | | | U.S. Government Bond |
Purchases | | $ | 253,211,310 | | | $ 64,600,308 |
Sales | | | 253,242,019 | | | 64,601,378 |
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 generally remains open for each of the four years ended December 31, 2019. 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 June 30, 2020, 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.
As of December 31, 2019, the Funds had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:
| | |
High Yield | | $ 2,206,579 |
U.S. Government Bond | | 2,695,521 |
As of June 30, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Advantage Large Cap Core | | Balanced Capital | | Capital Appreciation | | Global Allocation | | High Yield | | U.S. Government Bond |
Tax cost | | $ | 165,747,196 | | | $ | 495,666,748 | | | $ | 133,415,792 | | | $ | 169,984,504 | | | $ | 27,959,638 | | | $ | 69,407,477 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Gross unrealized appreciation | | $ | 23,473,454 | | | $ | 47,114,019 | | | $ | 85,393,619 | | | $ | 24,311,652 | | | $ | 578,022 | | | $ | 3,320,108 | |
Gross unrealized depreciation | | | (8,769,632 | ) | | | (16,749,270 | ) | | | (566,811 | ) | | | (10,448,543 | ) | | | (1,140,178 | ) | | | (519,793 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net unrealized appreciation (depreciation) | | $ | 14,703,822 | | | $ | 30,364,749 | | | $ | 84,826,808 | | | $ | 13,863,109 | | | $ | (562,156 | ) | | $ | 2,800,315 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
The Companies, on behalf of the Funds (except for Government Money Market), along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.25 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 $1.75 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 0.10% 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 2021 unless extended or renewed. 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 six months ended June 30, 2020, the Funds did not borrow under the credit agreement.
| | |
| 168 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
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. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments. 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.
Certain obligations held by Government Money Market have a credit enhancement or liquidity feature that may, under certain circumstances, provide for repayment of principal and interest on the obligation when due. These enhancements, which may include letters of credit, stand-by bond purchase agreements and/or third party insurance, are issued by financial institutions. The value of the obligations may be affected by changes in creditworthiness of the entities that provide the credit enhancements or liquidity features. Government Money Market monitors its exposure by reviewing the creditworthiness of the issuers, as well as the financial institutions issuing the credit enhancements and by limiting the amount of holdings with credit enhancements from one financial institution.
The Funds may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to redemption gates or liquidity fees under certain circumstances.
Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Fund may invest in illiquid investments. An illiquid investment is any investment that a Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Fund may lose value, regardless of the individual results of the securities and other instruments in which a Fund invests.
The price a Fund could receive upon the sale of any particular portfolio investment may differ from a Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.
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.
| | |
NOTESTO FINANCIAL STATEMENTS | | 169 |
Notes to Financial Statements (unaudited) (continued)
With exchange-traded options purchased and 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, Advantage Large Cap Core and Capital Appreciation invested a significant portion of their assets in securities in the Information Technology sector. Changes in economic conditions affecting such sectors would have a greater impact on the Funds 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”) or are unrated, which are predominantly speculative, have greater credit risk and generally are less liquid than, and have more volatile prices than, higher quality securities.
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. The Funds may be subject to a greater risk of rising interest rates due to the current period of historically low rates.
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:
| | | | | | | | | | | | | | | | |
| | | Six Months Ended
06/30/20 | | Year Ended
12/31/19 |
| | | Shares | | Amount | | Shares | | Amount |
Advantage Large Cap Core | | | | | | | | | | | | | | | | |
Shares sold | | | 27,051 | | | $ | 630,012 | | | | 66,878 | | | $ | 1,469,715 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 501,554 | | | | 11,852,191 | |
Shares redeemed | | | (463,212 | ) | | | (10,296,265 | ) | | | (832,213 | ) | | | (19,085,077 | ) |
| | | | |
Net decrease | | | (436,161 | ) | | $ | (9,666,253 | ) | | | (263,781 | ) | | $ | (5,763,171 | ) |
| | | | |
Balanced Capital | | | | | | | | | | | | | | | | |
Shares sold | | | 59,018 | | | $ | 918,625 | | | | 132,621 | | | $ | 2,069,462 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 2,208,322 | | | | 34,979,827 | |
Shares redeemed | | | (1,748,656 | ) | | | (26,640,903 | ) | | | (3,218,758 | ) | | | (50,591,392 | ) |
| | | | |
Net decrease | | | (1,689,638 | ) | | $ | (25,722,278 | ) | | | (877,815 | ) | | $ | (13,542,103 | ) |
| | | | |
Capital Appreciation | | | | | | | | | | | | | | | | |
Shares sold | | | 33,067 | | | $ | 1,465,326 | | | | 56,224 | | | $ | 2,303,761 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 490,562 | | | | 21,012,661 | |
Shares redeemed | | | (219,498 | ) | | | (9,734,008 | ) | | | (476,802 | ) | | | (20,570,216 | ) |
| | | | |
Net increase (decrease) | | | (186,431 | ) | | $ | (8,268,682 | ) | | | 69,984 | | | $ | 2,746,206 | |
| | | | |
Global Allocation | | | | | | | | | | | | | | | | |
Shares sold | | | 43,140 | | | $ | 679,379 | | | | 166,976 | | | $ | 2,557,633 | |
Shares issued in reinvestment of distributions | | | — | | | | — | | | | 511,283 | | | | 8,154,274 | |
Shares redeemed | | | (745,915 | ) | | | (11,665,849 | ) | | | (1,352,496 | ) | | | (20,894,767 | ) |
| | | | |
Net decrease | | | (702,775 | ) | | $ | (10,986,470 | ) | | | (674,237 | ) | | $ | (10,182,860 | ) |
| | | | |
Government Money Market | | | | | | | | | | | | | | | | |
Shares sold | | | 32,829,561 | | | $ | 32,829,561 | | | | 53,468,807 | | | $ | 53,468,807 | |
Shares issued in reinvestment of distributions | | | 299,806 | | | | 299,806 | | | | 2,119,850 | | | | 2,119,850 | |
Shares redeemed | | | (39,638,587 | ) | | | (39,638,587 | ) | | | (74,497,431 | ) | | | (74,497,431 | ) |
| | | | |
Net decrease | | | (6,509,220 | ) | | $ | (6,509,220 | ) | | | (18,908,774 | ) | | $ | (18,908,774 | ) |
| | | | |
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| 170 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
| | | | | | | | | | | | | | | | |
| | | Six Months Ended
06/30/20 | | Year Ended
12/31/19 |
| | | Shares | | Amount | | Shares | | Amount |
High Yield | | | | | | | | | | | | | | | | |
Shares sold | | | 487,400 | | | $ | 2,412,741 | | | | 663,278 | | | $ | 3,476,409 | |
Shares issued in reinvestment of distributions | | | 155,065 | | | | 795,253 | | | | 327,898 | | | | 1,733,975 | |
Shares redeemed | | | (937,714 | ) | | | (4,835,407 | ) | | | (761,839 | ) | | | (4,045,309 | ) |
| | | | |
Net increase (decrease) | | | (295,249 | ) | | $ | (1,627,413 | ) | | | 229,337 | | | $ | 1,165,075 | |
| | | | |
U.S. Government Bond | | | | | | | | | | | | | | | | |
Shares sold | | | 298,080 | | | $ | 3,409,989 | | | | 463,896 | | | $ | 5,048,514 | |
Shares issued in reinvestment of distributions | | | 56,589 | | | | 642,075 | | | | 131,942 | | | | 1,430,787 | |
Shares redeemed | | | (329,522 | ) | | | (3,734,684 | ) | | | (757,229 | ) | | | (8,239,076 | ) |
| | | | |
Net increase (decrease) | | | 25,147 | | | $ | 317,380 | | | | (161,391 | ) | | $ | (1,759,775 | ) |
| | | | |
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
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NOTESTO FINANCIAL STATEMENTS | | 171 |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements
The Board of Directors (the “Board,” the members of which are referred to as “Board Members”) of BlackRock Series Fund, Inc. (the “Corporation”) met on April 7, 2020 (the “April Meeting”) and May 11-13, 2020 (the “May Meeting”) to consider the approval of the investment advisory agreement (the “Advisory Agreement”) between the Corporation, on behalf of BlackRock Advantage Large Cap Core Portfolio (the “Large Cap Core Portfolio”), BlackRock Balanced Capital Portfolio (the “Balanced Capital Portfolio”), BlackRock Capital Appreciation Portfolio (the “Capital Appreciation Portfolio”), BlackRock Global Allocation Portfolio (the “Global Allocation Portfolio”) and BlackRock Government Money Market Portfolio (the “Government Money Market Portfolio” and together with the Large Cap Core Portfolio, the Balanced Capital Portfolio, the Capital Appreciation Portfolio and the Global Allocation Portfolio, the “Funds”), each a series of the Corporation, and BlackRock Advisors, LLC (the “Manager”), the Corporation’s investment advisor. The Board also considered the approval of the sub-advisory agreements between the Manager and (a) BlackRock International Limited (“BIL”) with respect to Balanced Capital Portfolio (the “BIL Sub-Advisory Agreement”); and (b) BlackRock (Singapore) Limited (“BSL” and together with BIL, the “Sub-Advisors”) with respect to Balanced Capital Portfolio (the “BSL Sub-Advisory Agreement” and together with the BIL Sub-Advisory Agreement, the “Sub-Advisory Agreements”). The Manager and the Sub-Advisors are referred to herein as “BlackRock.” The Advisory Agreement and the Sub-Advisory Agreements are referred to herein as the “Agreements.”
Activities and Composition of the Board
On the date of the May Meeting, the Board consisted of fourteen individuals, twelve of whom were not “interested persons” of the Corporation as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Corporation and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Board Member. The Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee and an Ad Hoc Topics Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Ad Hoc Topics Committee, which also has one interested Board Member).
The Agreements
Consistent with the requirements of the 1940 Act, the Board considers the continuation of the Agreements on an annual basis. The Board has four quarterly meetings per year, each typically extending for two days, and additional in-person and telephonic meetings throughout the year, as needed. While the Board also has a fifth one-day meeting to consider specific information surrounding the renewal of the Agreements, the Board’s consideration entails a year-long deliberative process whereby the Board and its committees assess BlackRock’s services to the Funds. In particular, the Board assessed, among other things, the nature, extent and quality of the services provided to each Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of each Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.
During the year, the Board, acting directly and through its committees, considers information that is relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to each Fund and its shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreements.” Among the matters the Board considered were: (a) with respect to each Fund, investment performance for one-year, three-year, five-year and/or since inception periods, as applicable, against peer funds, an applicable benchmark, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ analyses of the reasons for any outperformance or underperformance relative to the Fund’s peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by each Fund for services; (c) Fund operating expenses and how BlackRock allocates expenses to each Fund; (d) the resources devoted to risk oversight of, and compliance reports relating to, implementation of each Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (e) BlackRock’s and the Corporation’s adherence to applicable compliance policies and procedures; (f) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) with respect to the Large Cap Core Portfolio, the Balanced Capital Portfolio, the Capital Appreciation Portfolio and the Global Allocation Portfolio, the use of brokerage commissions and execution quality of portfolio transactions and, with respect to the Government Money Market Portfolio, the execution quality of portfolio transactions; (j) BlackRock’s implementation of the Corporation’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to each Fund; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.
Board Considerations in Approving the Agreements
The Approval Process: Prior to the April Meeting, the Board requested and received materials specifically relating to the Agreements. The Independent Board Members are continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board to better assist its deliberations. The materials provided in connection with the April Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on either a Lipper classification or Morningstar category, regarding each Fund’s fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of each Fund as compared with a peer group of funds (“Performance Peers”); (b) information on the composition of the Expense Peers and Performance Peers, and a description of Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, ETFs, closed-end funds, open-end funds, and separately managed accounts under similar investment mandates, as well as the performance of such other products, as applicable; (e) review of non-management fees; (f) the existence, impact and sharing of potential economies of scale, if any, with the Funds; (g) a summary of aggregate amounts paid by each Fund to BlackRock; (h) sales and redemption data regarding each Fund’s shares; and (i) various additional information requested by the Board as appropriate regarding BlackRock’s and each Fund’s operations.
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| 172 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)
At the April Meeting, the Board reviewed materials relating to its consideration of the Agreements. As a result of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the May Meeting.
At the May Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with the Funds; (d) each Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with the Funds; and (g) other factors deemed relevant by the Board Members.
The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of each Fund’s portfolio holdings. The Board noted the willingness of BlackRock’s personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.
A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services, and the resulting performance of each Fund. Throughout the year, the Board compared each Fund’s performance to the performance of a comparable group of mutual funds, relevant benchmark, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by each Fund’s portfolio management team discussing the Fund’s performance, investment strategies and outlook.
The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and each Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to each Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services provided to each Fund. BlackRock and its affiliates provide the Funds with certain administrative, shareholder and other services (in addition to any such services provided to the Funds by third parties) and officers and other personnel as are necessary for the operations of the Funds. In particular, BlackRock and its affiliates provide the Funds with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) responsibility for periodic filings with regulators; (iv) overseeing and coordinating the activities of third-party service providers, including, among others, each Fund’s custodian, fund accountant, transfer agent, and auditor; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing or managing administrative functions necessary for the operation of each Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, overseeing each Fund’s distribution partners, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.
B. The Investment Performance of the Funds and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of each Fund. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of each Fund’s performance as of December 31, 2019, as compared to its Performance Peers. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of each Fund as compared to its Performance Peers and, with respect to Large Cap Core Portfolio, Balanced Capital Portfolio, Capital Appreciation Portfolio and Global Allocation Portfolio, the respective Morningstar open-end fund category (“Morningstar Open-End Category”); and, with respect to Government Money Market Portfolio, a weighted average benchmark of similar funds, as defined by BlackRock (“Benchmark Weighted Average”). The Board and its Performance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of each Fund throughout the year.
In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance, and that a single investment theme could have the ability to disproportionately affect long-term performance.
The Board noted that for each of the one-, three- and five-year periods reported, Balanced Capital Portfolio ranked in the first quartile against its Morningstar Open-End Category. The Board noted that BlackRock believes that the Morningstar Open-End Category is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board.
The Board noted that for the one-, three- and five-year periods reported, Capital Appreciation Portfolio ranked in the second, first and first quartile, respectively, against its Morningstar Open-End Category. The Board noted that BlackRock believes that the Morningstar Open-End Category is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board.
The Board noted that for each of the one-, three- and five-year periods reported, Global Allocation Portfolio ranked in the second quartile against its Morningstar Open-End Category. The Board noted that BlackRock believes that the Morningstar Open-End Category is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board. The Board noted significant changes to the Fund’s portfolio management team under the senior leadership of BlackRock’s Global Fixed Income Chief Investment Officer and an expansion of resources.
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DISCLOSUREOF INVESTMENT ADVISORY AGREEMENTAND SUB-ADVISORY AGREEMENTS | | 173 |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)
The Board noted that for the one-, three- and five-year periods reported, the Large Cap Core Portfolio ranked in the third, second and second quartiles, respectively, against its Morningstar Open-End Category. The Board noted that BlackRock believes that the Morningstar Open-End Category is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed the Fund’s underperformance relative to its Morningstar Open-End Category during the applicable periods.
The Board noted that for each of the one- and three-year periods reported, the Government Money Market Portfolio underperformed its Benchmark Weighted Average. The Board noted that BlackRock believes that the Benchmark Weighted Average is an appropriate performance metric for the Fund, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed the Fund’s underperformance relative to its Benchmark Weighted Average during the applicable periods.
C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with the Fund: The Board, including the Independent Board Members, reviewed each Fund’s contractual management fee rate compared with those of its Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared each Fund’s total expense ratio, as well as its actual management fee rate, to those of its Expense Peers. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non 12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers, and the actual management fee rate gives effect to any management fee reimbursements or waivers. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).
The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to each Fund. The Board reviewed BlackRock’s estimated profitability with respect to each Fund and other funds the Board currently oversees for the year ended December 31, 2019 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by BlackRock and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by BlackRock, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.
The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.
The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing the Funds, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable.
The Board noted that Balanced Capital Portfolio’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio ranked in the second and first quartiles, respectively, relative to the Fund’s Expense Peers. The Board also noted that the Fund has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the aggregate assets of the Fund, combined with the assets of certain other funds, increase above certain contractually specified levels. The Board noted that if the size of the Fund or such other funds were to decrease, the Fund could lose the benefit of one or more breakpoints. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets. Additionally, the Board noted that BlackRock and the Board have contractually agreed to a cap on certain operational and recordkeeping fees for the Fund.
The Board noted that Global Allocation Portfolio’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile relative to the Fund’s Expense Peers. The Board also noted that the Fund has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the aggregate assets of the Fund, combined with the assets of certain other funds, increase above certain contractually specified levels. The Board noted that if the size of the Fund or such other funds were to decrease, the Fund could lose the benefit of one or more breakpoints. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets. Additionally, the Board noted that BlackRock and the Board have contractually agreed to a cap on certain operational and recordkeeping fees for the Fund.
The Board noted that Large Cap Core Portfolio’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile relative to the Fund’s Expense Peers. The Board also noted that the Fund has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the aggregate assets of the Fund, combined with the assets of certain other funds, increase above certain contractually specified levels. The Board noted that if the size of the Fund or such other funds were to decrease, the Fund could lose the benefit of one or more breakpoints. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets. Additionally, the Board noted that BlackRock and the Board have contractually agreed to a cap on certain operational and recordkeeping fees for the Fund.
The Board noted that Government Money Market Portfolio’s contractual management fee rate ranked in the second quartile, and that the actual management fee rate and total expense ratio ranked in the second and first quartiles, respectively, relative to the Fund’s Expense Peers. The Board also noted that the Fund has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the aggregate assets of the Fund, combined with the assets of certain other funds, increase above certain contractually specified levels. The Board noted that if the size of the Fund or such other funds were to decrease, the Fund could lose the benefit of one or more breakpoints. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets. Additionally, the Board noted that BlackRock and the Board have contractually agreed to a cap on certain operational and recordkeeping fees for the Fund.
The Board noted that Capital Appreciation Portfolio’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile relative to the Fund’s Expense Peers. The Board also noted that the Fund has an advisory fee arrangement that includes breakpoints
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| 174 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)
that adjust the fee rate downward as the aggregate assets of the Fund, combined with the assets of certain other funds, increase above certain contractually specified levels. The Board noted that if the size of the Fund or such other funds were to decrease, the Fund could lose the benefit of one or more breakpoints. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Fund’s total expenses as a percentage of the Fund’s average daily net assets. Additionally, the Board noted that BlackRock and the Board have contractually agreed to a cap on certain operational and recordkeeping fees for the Fund.
D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Funds increase, including the existence of fee waivers and/or expense caps, as applicable, noting that any contractual fee waivers and expense caps had been approved by the Board. In its consideration, the Board further considered the continuation and/or implementation of fee waivers and/or expense caps, as applicable. The Board also considered the extent to which each Fund benefits from such economies of scale in a variety of ways and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Funds to more fully participate in these economies of scale. The Board considered each Fund’s asset levels and whether the current fee schedule was appropriate.
E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with the Funds, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Funds, including for administrative, distribution, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third-party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.
In connection with its consideration of the Agreements, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
The Board noted the competitive nature of the open-end fund marketplace, and that shareholders are able to redeem their Fund shares if they believe that the pertinent Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Conclusion
The Board, including the Independent Board Members, unanimously approved the continuation of (i) the Advisory Agreement between the Manager and the Corporation, on behalf of each Fund, (ii) the BIL Sub-Advisory Agreement between the Manager and BIL with respect to Balanced Capital Portfolio, and (iii) the BSL Sub-Advisory Agreement between the Manager and BSL with respect to Balanced Capital Portfolio, each for a one-year term ending June 30, 2021. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of each Fund, as pertinent, and its shareholders. In arriving at its decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.
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DISCLOSUREOF INVESTMENT ADVISORY AGREEMENTAND SUB-ADVISORY AGREEMENTS | | 175 |
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements
The Board of Directors (the “Board,” the members of which are referred to as “Board Members”) of BlackRock Series Fund II, Inc. (the “Company”) met on April 16, 2020 (the “April Meeting”) and May 20-21, 2020 (the “May Meeting”) to consider the approval of the investment advisory agreement (the “Advisory Agreement” or the “Agreement”) between the Company, on behalf of BlackRock High Yield Portfolio (the “High Yield Portfolio”) and BlackRock U.S. Government Bond Portfolio (the “U.S. Government Bond Portfolio” and together with the High Yield Portfolio, the “Funds” and each, a “Fund”), and BlackRock Advisors, LLC (the “Manager” or “BlackRock”), each Fund’s investment advisor.
Activities and Composition of the Board
On the date of the May Meeting, the Board consisted of ten individuals, eight of whom were not “interested persons” of the Company as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of each Fund and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Co-Chairs of the Board are Independent Board Members. The Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).
The Agreement
Consistent with the requirements of the 1940 Act, the Board considers the continuation of the Agreement on an annual basis. The Board has four quarterly meetings per year, each typically extending for two days, and additional in-person and telephonic meetings throughout the year, as needed. While the Board also has a fifth one-day meeting to consider specific information surrounding the renewal of the Agreement, the Board’s consideration entails a year-long deliberative process whereby the Board and its committees assess BlackRock’s services to each Fund. In particular, the Board assessed, among other things, the nature, extent and quality of the services provided to each Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of each Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.
During the year, the Board, acting directly and through its committees, considers information that is relevant to its annual consideration of the renewal of the Agreement, including the services and support provided by BlackRock to each Fund and its shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. This additional information is discussed further in the section titled “Board Considerations in Approving the Agreement.” Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, and/or since inception periods, as applicable, against peer funds, applicable benchmarks, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ analyses of the reasons for any outperformance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by each Fund for services; (c) Fund operating expenses and how BlackRock allocates expenses to each Fund; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of each Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (e) BlackRock’s and each Fund’s adherence to applicable compliance policies and procedures; (f) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of each Fund’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to each Fund; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.
Board Considerations in Approving the Agreement
The Approval Process: Prior to the April Meeting, the Board requested and received materials specifically relating to the Agreement. The Independent Board Members are continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board to better assist its deliberations. The materials provided in connection with the April Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on either a Lipper classification or Morningstar category, regarding each Fund’s fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of each Fund as compared with a peer group of funds (“Performance Peers”); (b) information on the composition of the Expense Peers and Performance Peers and a description of Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Agreement and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, ETFs, closed-end funds, open-end funds, and separately managed accounts, under similar investment mandates, as well as the performance of such other products, as applicable; (e) a review of non-management fees; (f) the existence, impact and sharing of potential economies of scale, if any, with each Fund; (g) a summary of aggregate amounts paid by each Fund to BlackRock; (h) sales and redemption data regarding each Fund’s shares; and (i) various additional information requested by the Board as appropriate regarding BlackRock’s and each Fund’s operations.
At the April Meeting, the Board reviewed materials relating to its consideration of the Agreement. As a result of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the May Meeting. Topics covered included: (a) the methodology for measuring estimated fund profitability; (b) economies of scale; (c) fund expenses and potential fee waivers; and (d) differences in services provided and management fees between open-end funds and other product channels.
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| 176 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)
At the May Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with each Fund; (d) each Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with each Fund; and (g) other factors deemed relevant by the Board Members.
The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of Fund portfolio holdings. The Board noted the willingness of BlackRock’s personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.
A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services, and the resulting performance of each Fund. Throughout the year, the Board compared Fund performance to the performance of a comparable group of mutual funds, relevant benchmarks, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by each Fund’s portfolio management team discussing each Fund’s performance, investment strategies and outlook.
The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and each Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to each Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services provided to each Fund. BlackRock and its affiliates provide each Fund with certain administrative, shareholder and other services (in addition to any such services provided to each Fund by third-parties) and officers and other personnel as are necessary for the operations of each Fund. In particular, BlackRock and its affiliates provide each Fund with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) responsibility for periodic filings with regulators; (iv) overseeing and coordinating the activities of third-party service providers including, among others, each Fund’s custodian, fund accountant, transfer agent, and auditor; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing or managing administrative functions necessary for the operation of each Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, overseeing each Fund’s distribution partners, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.
B. The Investment Performance of Each Fund and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of each Fund. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of each Fund’s performance as of December 31, 2019, as compared to its Performance Peers. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of each Fund as compared to its Performance Peers and the respective Morningstar open-end fund category (“Morningstar Open-End Category”). The Board and its Performance Oversight Committee regularly review and meet with Fund management to discuss the performance of each Fund throughout the year.
In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance, and that a single investment theme could have the ability to disproportionately affect long-term performance.
The Board noted that for each of the one-, three- and five-year periods reported, the High Yield Portfolio ranked in the first quartile against its Morningstar Open-End Category. The Board noted that BlackRock believes that the Morningstar Open-End Category is an appropriate performance metric for the High Yield Portfolio, and that BlackRock has explained its rationale for this belief to the Board.
The Board noted that for the one-, three- and five-year periods reported, the U.S. Government Bond Portfolio ranked in the first, first and second quartiles, respectively, against its Morningstar Open-End Category. The Board noted that BlackRock believes that the Morningstar Open-End Category is an appropriate performance metric for the U.S. Government Bond Portfolio, and that BlackRock has explained its rationale for this belief to the Board.
C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with Each Fund: The Board, including the Independent Board Members, reviewed each Fund’s contractual management fee rate compared with those of its Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared each Fund’s total expense ratio, as well as its actual management fee rate, to those of its Expense Peers. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non-12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers, and the actual management fee rate gives effect to any management fee reimbursements or waivers. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).
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DISCLOSUREOF INVESTMENT ADVISORY AGREEMENTSAND SUB-ADVISORY AGREEMENTS | | 177 |
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)
The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to each Fund. The Board reviewed BlackRock’s estimated profitability with respect to other funds the Board currently oversees for the year ended December 31, 2019 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.
The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.
The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreement and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing each Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable.
The Board noted that the High Yield Portfolio’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the High Yield Portfolio’s Expense Peers. The Board also noted that the High Yield Portfolio has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the aggregate assets of the High Yield Portfolio, combined with the assets of certain other funds, increase above certain contractually specified levels. The Board noted that if the size of the High Yield Portfolio, or such other funds were to decrease, the High Yield Portfolio could lose the benefit of one or more breakpoints. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the High Yield Portfolio’s total expenses as a percentage of the High Yield Portfolio’s average daily net assets. Additionally, the Board noted that BlackRock and the Board have contractually agreed to a cap on certain operational and recordkeeping fees for the High Yield Portfolio.
The Board noted that the U.S. Government Bond Portfolio’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the U.S. Government Bond Portfolio’s Expense Peers. The Board also noted that the U.S. Government Bond Portfolio has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the aggregate assets of the U.S. Government Bond Portfolio, combined with the assets of certain other funds, increase above certain contractually specified levels. The Board noted that if the size of the U.S. Government Bond Portfolio, or such other funds were to decrease, the U.S. Government Bond Portfolio could lose the benefit of one or more breakpoints. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the U.S. Government Bond Portfolio’s total expenses as a percentage of the U.S. Government Bond Portfolio’s average daily net assets. Additionally, the Board noted that BlackRock and the Board have contractually agreed to a cap on certain operational and recordkeeping fees for the U.S. Government Bond Portfolio.
D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of each Fund increase, including the existence of fee waivers and/or expense caps, as applicable, noting that any contractual fee waivers and contractual expense caps had been approved by the Board. In its consideration, the Board further considered the continuation and/or implementation of fee waivers and/or expense caps, as applicable. The Board also considered the extent to which each Fund benefits from such economies of scale in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable each Fund to more fully participate in these economies of scale. The Board considered each Fund’s asset levels and whether the current fee schedule was appropriate.
E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with each Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to each Fund, including for administrative, distribution, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third-party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.
In connection with its consideration of the Agreement, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
The Board noted the competitive nature of the open-end fund marketplace, and that shareholders are able to redeem their Fund shares if they believe that each Fund’s fees and expenses are too high or if they are dissatisfied with the performance of each Fund.
Conclusion
The Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and the Company, on behalf of each Fund, for a one-year term ending June 30, 2021. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreement were fair and reasonable and in the best interest of each Fund and its shareholders. In arriving at its decision to approve the Agreement, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.
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| 178 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Disclosure of Sub-Advisory Agreements
The Board of Directors (the “Board,” and the members of which are referred to as “Board Members”) of BlackRock Series Fund II, Inc. (the “Company”), on behalf of its series BlackRock High Yield Portfolio (the “Fund”), met in person on February 19, 2020 (the “February Meeting”) to consider the initial approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) between BlackRock Advisors, LLC (the “Manager”), the Fund’s investment advisor, and BlackRock International Limited, with respect to the Fund. The Sub-Advisory Agreement was substantially similar to the sub-advisory agreements previously approved with respect to certain other portfolios in the BlackRock Fixed-Income Complex.
On the date of the February Meeting, the Board consisted of ten individuals, eight of whom were not “interested persons” of the Company as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). Pursuant to the 1940 Act, the Board is required to consider the initial approval of the Sub-Advisory Agreement.
At the February Meeting, the Board reviewed materials relating to its consideration of the proposed Sub-Advisory Agreement. The Fund’s investment advisory agreement with the Manager was most recently approved by the Board at in-person meetings on May 1, 2019 (the “May Meeting”) and June 5-6, 2019 (the “June Meeting”). A discussion of the basis for the Board’s approval of this agreement at the May and June Meetings is included in the Fund’s semi-annual shareholder report for the reporting period ended June 30, 2019. The factors considered by the Board at the February Meeting in connection with approval of the proposed Sub-Advisory Agreement were substantially the same as the factors considered at the May and June Meetings.
Following discussion, all the Board Members present at the February Meeting, including all the Independent Board Members present, approved the Sub-Advisory Agreement between the Manager and BlackRock International Limited, with respect to the Fund for a two-year term beginning on the effective date of the Sub-Advisory Agreement. Based upon its evaluation of all of the aforementioned factors in their totality, the Board, including the Independent Board Members, was satisfied that the terms of the Sub-Advisory Agreement were fair and reasonable and in the best interest of the Fund and its shareholders. In arriving at its decision to approve the Sub-Advisory Agreement, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.
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DISCLOSUREOF INVESTMENT ADVISORY AGREEMENTSAND SUB-ADVISORY AGREEMENTS | | 179 |
Disclosure of Sub-Advisory Agreements (continued)
The Board of Directors (the “Board,” and the members of which are referred to as “Board Members”) of BlackRock Series Fund II, Inc. (the “Company”), on behalf of its series BlackRock U.S. Government Bond Portfolio (the “Fund”), met on April 16, 2020 (the “April Meeting”) to consider the initial approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) between BlackRock Advisors, LLC (the “Manager”), the Fund’s investment advisor, and BlackRock International Limited, with respect to the Fund. The Sub-Advisory Agreement was substantially similar to the sub-advisory agreements previously approved with respect to certain other portfolios in the BlackRock Fixed-Income Complex.
On the date of the April Meeting, the Board consisted of ten individuals, eight of whom were not “interested persons” of the Company as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). Pursuant to the 1940 Act, the Board is required to consider the initial approval of the Sub-Advisory Agreement.
At the April Meeting, the Board reviewed materials relating to its consideration of the proposed Sub-Advisory Agreement. The Fund’s investment advisory agreement with the Manager was most recently approved by the Board at in-person meetings on May 1, 2019 (the “May Meeting”) and June 5-6, 2019 (the “June Meeting”). A discussion of the basis for the Board’s approval of this agreement at the May and June Meetings is included in the Fund’s semi-annual shareholder report for the reporting period ended June 30, 2019. The factors considered by the Board at the April Meeting in connection with approval of the proposed Sub-Advisory Agreement were substantially the same as the factors considered at the May and June Meetings.
Following discussion, all the Board Members present at the April Meeting, including all the Independent Board Members present, approved the Sub-Advisory Agreement between the Manager and BlackRock International Limited, with respect to the Fund for a two-year term beginning on the effective date of the Sub-Advisory Agreement. Based upon its evaluation of all of the aforementioned factors in their totality, the Board, including the Independent Board Members, was satisfied that the terms of the Sub-Advisory Agreement were fair and reasonable and in the best interest of the Fund and its shareholders. In arriving at its decision to approve the Sub-Advisory Agreement, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.
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| 180 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Director and Officer Information
BlackRock Series Fund, Inc.
Mark Stalnecker, Chair of the Board and Director
Bruce R. Bond, Director
Susan J. Carter, Director
Collette Chilton, Director
Neil A. Cotty, Director
Lena G. Goldberg, Director
Henry R. Keizer, Director
Cynthia A. Montgomery, Director
Donald C. Opatrny, Director
Joseph P. Platt, Director
Kenneth L. Urish, Director
Claire A. Walton, Director
Robert Fairbairn, Director
John M. Perlowski, Director, President and Chief Executive Officer
Jennifer McGovern, Vice President
Neal J. Andrews, Chief Financial Officer
Jay M. Fife, Treasurer
Charles Park, Chief Compliance Officer
Lisa Belle, Anti-Money Laundering Compliance Officer
Janey Ahn, Secretary
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Investment Adviser and Administrator BlackRock Advisors, LLC Wilmington, DE 19809 Sub-Advisers(a) BlackRock International Limited Edinburgh, EH3 8JB United Kingdom BlackRock (Singapore) Limited 079912 Singapore Accounting Agent JPMorgan Chase Bank, N.A. New York, NY 10179 Transfer Agent BNY Mellon Investment Servicing (US) Inc. Wilmington, DE 19809 Custodians JPMorgan Chase Bank, N.A.(b) New York, NY 10179 Brown Brothers Harriman & Co.(c) Boston, MA 02109 | | Independent Registered Public Accounting Firm Deloitte & Touche LLP Boston, MA 02116 Distributor BlackRock Investments, LLC New York, NY 10022 Legal Counsel Sidley Austin LLP New York, NY 10019 Address of the Funds 100 Bellevue Parkway Wilmington, DE 19809 |
| (a) | For BlackRock Balanced Capital Portfolio. |
| (b) | For all Funds except BlackRock Global Allocation Portfolio. |
| (c) | For BlackRock Global Allocation Portfolio. |
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DIRECTORAND OFFICER INFORMATION | | 181 |
Director and Officer Information
BlackRock Series Fund II, Inc.
Richard E. Cavanagh, Co-Chair of the Board and Director
Karen P. Robards, Co-Chair of the Board and Director
Michael J. Castellano, Director
Cynthia L. Egan, Director
Frank J. Fabozzi, Director
R. Glenn Hubbard, Director
W. Carl Kester, Director
Catherine A. Lynch, Director
Robert Fairbairn, Director
John M. Perlowski, Director, President and Chief Executive Officer
Jennifer McGovern, Vice President
Neal J. Andrews, Chief Financial Officer
Jay M. Fife, Treasurer
Charles Park, Chief Compliance Officer
Lisa Belle, Anti-Money Laundering Compliance Officer
Janey Ahn, Secretary
Effective February 19, 2020, Henry Gabbay resigned as a Director of the Company.
|
| Investment Adviser and Administrator |
| BlackRock Advisors, LLC |
| Wilmington, DE 19809 |
Sub-Adviser |
| BlackRock International Limited |
| Edinburgh, EH3 8JB |
| United Kingdom |
Accounting Agent |
| JPMorgan Chase Bank, N.A. |
| New York, NY 10179 |
Transfer Agent |
| BNY Mellon Investment Servicing (US) Inc. |
| Wilmington, DE 19809 |
Custodian |
| JPMorgan Chase Bank, N.A. |
| New York, NY 10179 |
|
| Independent Registered Public Accounting Firm |
| Deloitte & Touche LLP |
| Boston, MA 02116 |
Distributor |
| BlackRock Investments, LLC |
| New York, NY 10022 |
Legal Counsel |
| Willkie Farr & Gallagher LLP |
| New York, NY 10019 |
Address of the Funds |
| 100 Bellevue Parkway |
| Wilmington, DE 19809 |
|
| |
|
|
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| 182 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Additional Information
General Information
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 (except BlackRock Government Money Market Portfolio) file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at sec.gov.
The BlackRock Government Money Market Portfolio files its complete schedule of portfolio holdings with the SEC each month on Form N-MFP. The Fund’s reports on Form N-MFP are available on the SEC’s website at sec.gov. The Fund makes portfolio holdings available to shareholders on its website at blackrock.com.
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 blackrock.com/prospectus/insurance; and (3) on the SEC’s website at 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 blackrock.com/prospectus/insurance; or by calling (800) 441-7762 and (2) on the SEC’s website at sec.gov.
BlackRock’s Mutual Fund Family
BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed-income and tax-exempt investing. Visit blackrock.com for more information.
Shareholder Privileges
Account Information
Call us at (800) 441-7762 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also visit blackrock.com for more information.
Automatic Investment Plans
Investor class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.
Systematic Withdrawal Plans
Investor class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.
Retirement Plans
Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.
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ADDITIONAL INFORMATION | | 183 |
Additional Information (continued)
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.
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| 184 | | 2020 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Glossary of Terms Used in this Report
| | |
| Currency |
| |
| AUD | | Australian Dollar |
| |
| BRL | | Brazilian Real |
| |
| CAD | | Canadian Dollar |
| |
| CHF | | Swiss Franc |
| |
| CLP | | Chilean Peso |
| |
| CNY | | Chinese Yuan |
| |
| COP | | Colombian Peso |
| |
| EUR | | Euro |
| |
| GBP | | British Pound |
| |
| HKD | | Hong Kong Dollar |
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| IDR | | Indonesian Rupiah |
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| INR | | Indian Rupee |
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| JPY | | Japanese Yen |
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| KRW | | South Korean Won |
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| KZT | | Kazakhstani Tenge |
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| MXN | | Mexican Peso |
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| MYR | | Malaysian Ringgit |
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| NOK | | Norwegian Krone |
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| NZD | | New Zealand Dollar |
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| RUB | | New Russian Ruble |
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| SGD | | Singapore Dollar |
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| TRY | | Turkish Lira |
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| TWD | | Taiwan New Dollar |
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| USD | | United States Dollar |
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| ZAR | | South African Rand |
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| Portfolio Abbreviations |
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| ABS | | Asset-Backed Security |
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| ADR | | American Depositary Receipts |
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| BA | | Canadian Bankers Acceptances |
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| BZDIOVER | | Overnight Brazil CETIP — Interbank Rate |
| |
| CLO | | Collateralized Loan Obligation |
| |
| CSMC | | Credit Suisse Mortgage Capital |
| |
| CWABS | | Countrywide Asset-Backed Certificates |
| |
| DAC | | Designated Activity Company |
| |
| ETF | | Exchange-Traded Fund |
| |
| EURIBOR | | Euro Interbank Offered Rate |
| |
| GO | | General Obligation Bonds |
| |
| LIBOR | | London Interbank Offered Rate |
| |
| MSCI | | Morgan Stanley Capital International |
| |
| MXIBTIIE | | Mexico Interbank TIIE 28-Day |
| |
| NASDAQ | | National Association of Securities Dealers Automated |
| |
| NYRS | | New York Registered Shares |
| |
| OTC | | Over-the-counter |
| |
| PCL | | Public Company Limited |
| |
| PIK | | Payment-In-Kind |
| |
| RB | | Revenue Bonds |
| |
| REIT | | Real Estate Investment Trust |
| |
| S&P | | Standard & Poor’s |
| |
| SCB | | Standard Chartered Bank |
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| SOFR | | Secured Overnight Financing Rate |
| |
| SPDR | | Standard & Poor’s Depositary Receipts |
| |
| TBA | | To-be-announced |
| |
| VRDN | | Variable Rate Demand Notes |
| | |
GLOSSARYOF TERMS USEDINTHIS REPORT | | 185 |
Want to know more?
blackrock.com | 800-441-7762
This report is authorized for distribution only to Policyowners of certain variable life insurance policies, which are funded by shares of BlackRock Series Fund, Inc. and BlackRock Series Fund II, Inc. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund or the policies. 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. Performance information used throughout this report does not include insurance-related fees and expenses. An investment in BlackRock Government Money Market Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other Government agency. BlackRock Government Money Market Portfolio’s sponsor has no legal obligation to provide financial support to the Portfolio. Total return information assumes reinvestment of all distributions. Current performance may be higher or lower than the performance data quoted. For current month-end performance, call (800) 626-1960. BlackRock Government Money Market Portfolio’s current 7-day yield more closely reflects the current earnings of the Portfolio than the total returns quoted. Although BlackRock Government Money Market Portfolio seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so and it is possible to lose money by investing in the Portfolio. Statements and other information herein are as dated and are subject to change. Please see the Fund’s prospectus for a description of risks associated with global investments.
Series8-6/20-SAR
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Item 2 – | | Code of Ethics – Not Applicable to this semi-annual report |
| |
Item 3 – | | Audit Committee Financial Expert – Not Applicable to this semi-annual report |
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Item 4 – | | Principal Accountant Fees and Services – Not Applicable to this semi-annual report |
| |
Item 5 – | | Audit Committee of Listed Registrant – 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 |
| |
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 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 |
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Item 13 – | | Exhibits attached hereto |
| |
| | (a)(1) – Code of Ethics – Not Applicable to this semi-annual report |
| |
| | (a)(2) – Section 302 Certifications are attached |
| |
| | (a)(3) – Not Applicable |
2
3
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 Series Fund II, Inc.
| | | | |
By: | | /s/ John M. Perlowski | | |
| | John M. Perlowski |
| | Chief Executive Officer (principal executive officer) of |
| | BlackRock Series Fund II, Inc. |
Date: August 28, 2020
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 Series Fund II, Inc. |
Date: August 28, 2020
| | | | |
By: | | /s/ Neal J. Andrews | | |
| | Neal J. Andrews |
| | Chief Financial Officer (principal financial officer) of |
| | BlackRock Series Fund II, Inc. |
Date: August 28, 2020
4
