Schedule of Investments (unaudited) March 31, 2020 | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
Security |
Shares | Value | ||||||
Common Stocks — 0.9% | ||||||||
Aerospace & Defense — 0.0% | ||||||||
Bombardier, Inc., Class B(a) | 11,959 | $ | 3,867 | |||||
|
| |||||||
Chemicals — 0.3% | ||||||||
Element Solutions, Inc.(a) | 9,095 | 76,034 | ||||||
|
| |||||||
Energy Equipment & Services — 0.0% | ||||||||
McDermott International, Inc.(a) | 673 | 39 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 0.3% | ||||||||
Gaming and Leisure Properties, Inc. | 1,034 | 28,652 | ||||||
VICI Properties, Inc. | 2,428 | 40,402 | ||||||
|
| |||||||
69,054 | ||||||||
Life Sciences Tools & Services — 0.0% | ||||||||
PPD, Inc.(a) | 114 | 2,030 | ||||||
|
| |||||||
Media — 0.1% | ||||||||
Clear Channel Outdoor Holdings, Inc.(a) | 8,587 | 5,496 | ||||||
|
| |||||||
Metals & Mining — 0.1% | ||||||||
Constellium SE, Class A(a) | 5,016 | 26,133 | ||||||
|
| |||||||
Pharmaceuticals — 0.1% | ||||||||
Bausch Health Cos., Inc.(a) | 1,732 | 26,846 | ||||||
|
| |||||||
Total Common Stocks — 0.9% | 209,499 | |||||||
|
| |||||||
Par (000) | ||||||||
Corporate Bonds — 83.8% | ||||||||
Aerospace & Defense — 4.2% | ||||||||
Arconic, Inc.: | ||||||||
5.40%, 04/15/21 | USD | 2 | 1,983 | |||||
5.13%, 10/01/24 | 110 | 108,625 | ||||||
Bombardier, Inc.(b): | ||||||||
8.75%, 12/01/21 | 39 | 32,419 | ||||||
5.75%, 03/15/22 | 8 | 6,060 | ||||||
6.13%, 01/15/23 | 26 | 18,330 | ||||||
7.50%, 12/01/24 | 42 | 28,350 | ||||||
7.50%, 03/15/25 | 14 | 10,003 | ||||||
7.88%, 04/15/27 | 119 | 79,414 | ||||||
BWX Technologies, Inc., 5.38%, 07/15/26(b). | 36 | 34,560 | ||||||
Huntington Ingalls Industries, Inc.(b): | ||||||||
3.84%, 05/01/25 | 25 | 25,737 | ||||||
4.20%, 05/01/30 | 35 | 36,278 | ||||||
Kratos Defense & Security Solutions, Inc., | ||||||||
6.50%, 11/30/25(b) | 28 | 25,620 | ||||||
Moog, Inc., 4.25%, 12/15/27(b) | 27 | 24,368 | ||||||
Signature Aviation US Holdings, Inc.(b): | ||||||||
5.38%, 05/01/26 | 3 | 2,902 | ||||||
4.00%, 03/01/28 | 25 | 22,570 | ||||||
SSL Robotics LLC, 9.75%, 12/31/23(b) | 17 | 17,510 | ||||||
TransDigm, Inc., 6.25%, 03/15/26(b) | 517 | 515,061 | ||||||
|
| |||||||
989,790 | ||||||||
Auto Components — 1.7% | ||||||||
Allison Transmission, Inc., 5.88%, 06/01/29(b) | 48 | 45,120 | ||||||
Dealer Tire LLC, 8.00%, 02/01/28(b) | 25 | 20,000 | ||||||
Icahn Enterprises LP: | ||||||||
6.75%, 02/01/24 | 12 | 11,580 |
Security | Par (000) | Value | ||||||
Auto Components (continued) | ||||||||
4.75%, 09/15/24 | USD | 13 | $ | 11,956 | ||||
6.38%, 12/15/25 | 6 | 5,670 | ||||||
6.25%, 05/15/26 | 12 | 11,340 | ||||||
5.25%, 05/15/27 | 48 | 44,340 | ||||||
Panther BF Aggregator 2 LP(b): | ||||||||
6.25%, 05/15/26 | 120 | 113,400 | ||||||
8.50%, 05/15/27 | 168 | 146,563 | ||||||
|
| |||||||
409,969 | ||||||||
Automobiles — 0.1% | ||||||||
Tesla, Inc., 5.30%, 08/15/25(b) | 25 | 23,438 | ||||||
|
| |||||||
Banks — 0.4% | ||||||||
Banco Espirito Santo SA, 4.75%, 01/15/18(a)(c) | EUR | 100 | 17,646 | |||||
CIT Group, Inc.: | ||||||||
5.00%, 08/01/23 | USD | 54 | 51,954 | |||||
5.25%, 03/07/25 | 24 | 23,400 | ||||||
|
| |||||||
93,000 | ||||||||
Building Products — 0.7%(b) | ||||||||
Advanced Drainage Systems, Inc., 5.00%, 09/30/27 | 24 | 21,360 | ||||||
Builders FirstSource, Inc., 5.00%, 03/01/30 . 18 |
| 16,200 | ||||||
CPG Merger Sub LLC, 8.00%, 10/01/21 | 52 | 50,461 | ||||||
JELD-WEN, Inc., 4.63%, 12/15/25 | 14 | 12,320 | ||||||
Masonite International Corp.: | ||||||||
5.75%, 09/15/26 | 9 | 8,820 | ||||||
5.38%, 02/01/28 | 8 | 7,862 | ||||||
Standard Industries, Inc.: | ||||||||
5.38%, 11/15/24 | 19 | 18,335 | ||||||
6.00%, 10/15/25 | 32 | 31,450 | ||||||
|
| |||||||
166,808 | ||||||||
Capital Markets — 1.6% | ||||||||
AG Issuer LLC, 6.25%, 03/01/28(b) | 3 | 2,520 | ||||||
Altice France Holding SA, 10.50%, 05/15/27(b) | 200 | 211,000 | ||||||
Goldman Sachs Group, Inc. (The), Series R, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.22%), 4.95%(d)(e) | 70 | 62,300 | ||||||
MSCI, Inc.(b): | ||||||||
4.75%, 08/01/26 | 4 | 3,940 | ||||||
4.00%, 11/15/29 | 8 | 7,947 | ||||||
3.63%, 09/01/30 | 7 | 6,641 | ||||||
Owl Rock Capital Corp.: | ||||||||
5.25%, 04/15/24 | 6 | 5,820 | ||||||
4.00%, 03/30/25 | 15 | 11,566 | ||||||
3.75%, 07/22/25 | 65 | 53,918 | ||||||
State Street Corp., (SOFR + 2.65%), 3.15%, 03/30/31(b)(e) | 5 | 5,115 | ||||||
|
| |||||||
370,767 | ||||||||
Chemicals — 1.6% | ||||||||
Blue Cube Spinco LLC: | ||||||||
9.75%, 10/15/23 | 10 | 10,387 | ||||||
10.00%, 10/15/25 | 58 | 61,196 | ||||||
Chemours Co. (The): | ||||||||
6.63%, 05/15/23 | 38 | 32,300 | ||||||
5.38%, 05/15/27 | 6 | 4,589 | ||||||
Ecolab, Inc., 4.80%, 03/24/30 | 20 | 22,466 | ||||||
Element Solutions, Inc., 5.88%, 12/01/25(b) | . 121 | 118,580 | ||||||
Gates Global LLC, 6.25%, 01/15/26(b) | 39 | 34,515 | ||||||
GCP Applied Technologies, Inc., 5.50%, 04/15/26(b) | 19 | 17,670 | ||||||
NOVA Chemicals Corp., 4.88%, 06/01/24(b) | . 4 | 3,510 | ||||||
PQ Corp.(b): | ||||||||
6.75%, 11/15/22 | 2 | 2,010 | ||||||
5.75%, 12/15/25 | 51 | 45,900 | ||||||
Valvoline, Inc., 4.25%, 02/15/30(b) | 25 | 23,435 |
1 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Chemicals (continued) | ||||||||
W.R. Grace & Co., 5.63%, 10/01/24(b) | USD | 3 | $ | 2,954 | ||||
|
| |||||||
379,512 | ||||||||
Commercial Services & Supplies — 3.2% | ||||||||
ADT Security Corp. (The): | ||||||||
3.50%, 07/15/22 | 6 | 5,850 | ||||||
4.88%, 07/15/32(b) | 65 | 55,231 | ||||||
Allied Universal Holdco LLC(b): | ||||||||
6.63%, 07/15/26 | 186 | 182,745 | ||||||
9.75%, 07/15/27 | 60 | 56,544 | ||||||
APX Group, Inc.: | ||||||||
7.88%, 12/01/22 | 19 | 17,867 | ||||||
8.50%, 11/01/24(b) | 4 | 3,650 | ||||||
6.75%, 02/15/27(b) | 25 | 20,750 | ||||||
Aramark Services, Inc.(b): | ||||||||
5.00%, 04/01/25 | 4 | 3,786 | ||||||
5.00%, 02/01/28 | 29 | 26,988 | ||||||
Clean Harbors, Inc.(b): | ||||||||
4.88%, 07/15/27 | 10 | 9,789 | ||||||
5.13%, 07/15/29 | 13 | 12,090 | ||||||
Garda World Security Corp.(b): | ||||||||
4.63%, 02/15/27 | 26 | 23,270 | ||||||
9.50%, 11/01/27 | 18 | 16,090 | ||||||
GFL Environmental, Inc.(b): | ||||||||
7.00%, 06/01/26 | 73 | 70,658 | ||||||
5.13%, 12/15/26 | 49 | 47,775 | ||||||
8.50%, 05/01/27 | 25 | 25,117 | ||||||
IAA, Inc., 5.50%, 06/15/27(b) | 17 | 16,448 | ||||||
KAR Auction Services, Inc., 5.13%, 06/01/25(b) | 12 | 11,460 | ||||||
Mobile Mini, Inc., 5.88%, 07/01/24 | 50 | 47,875 | ||||||
Nielsen Co. Luxembourg SARL (The), 5.00%, 02/01/25(b) | 6 | 5,565 | ||||||
Prime Security Services Borrower LLC(b): | ||||||||
5.25%, 04/15/24 | 8 | 7,902 | ||||||
5.75%, 04/15/26 | 14 | 13,720 | ||||||
6.25%, 01/15/28 | 36 | 31,050 | ||||||
Ritchie Bros Auctioneers, Inc., 5.38%, 01/15/25(b) | 9 | 8,977 | ||||||
Vericast Corp., 8.38%, 08/15/22(b) | 12 | 9,255 | ||||||
Waste Pro USA, Inc., 5.50%, 02/15/26(b) | 36 | 33,401 | ||||||
|
| |||||||
763,853 | ||||||||
Communications Equipment — 0.6% | ||||||||
CommScope, Inc.(b): | ||||||||
5.50%, 03/01/24 | 31 | 31,372 | ||||||
6.00%, 03/01/26 | 21 | 20,968 | ||||||
Nokia OYJ, 6.63%, 05/15/39 | 55 | 55,715 | ||||||
ViaSat, Inc., 5.63%, 04/15/27(b) | 46 | 45,425 | ||||||
|
| |||||||
153,480 | ||||||||
Construction & Engineering — 0.2%(b) | ||||||||
Brand Industrial Services, Inc., 8.50%, 07/15/25 | 46 | 36,119 | ||||||
New Enterprise Stone & Lime Co., Inc.: | ||||||||
10.13%, 04/01/22 | 17 | 16,958 | ||||||
6.25%, 03/15/26 | 7 | 6,440 | ||||||
|
| |||||||
59,517 | ||||||||
Consumer Finance — 1.5% | ||||||||
Ally Financial, Inc., 8.00%, 11/01/31 | 125 | 144,837 | ||||||
Global Aircraft Leasing Co. Ltd., 6.50%, (6.50% Cash or 7.25% PIK), 09/15/24(b)(f) | 50 | 32,047 | ||||||
Navient Corp.: | ||||||||
7.25%, 09/25/23 | 8 | 7,760 | ||||||
6.13%, 03/25/24 | 6 | 5,550 | ||||||
5.88%, 10/25/24 | 6 | 5,520 | ||||||
6.75%, 06/25/25 | 2 | 1,840 | ||||||
6.75%, 06/15/26 | 2 | 1,840 |
Security | Par (000) | Value | ||||||
Consumer Finance (continued) | ||||||||
5.00%, 03/15/27 | USD | 21 | $ | 18,054 | ||||
Springleaf Finance Corp.: | ||||||||
6.88%, 03/15/25 | 33 | 33,235 | ||||||
7.13%, 03/15/26 | 35 | 34,650 | ||||||
6.63%, 01/15/28 | 19 | 17,955 | ||||||
5.38%, 11/15/29 | 9 | 8,235 | ||||||
Toyota Motor Credit Corp., 3.38%, 04/01/30 | 35 | 35,342 | ||||||
|
| |||||||
346,865 | ||||||||
Containers & Packaging — 2.1% | ||||||||
Berry Global, Inc., 4.88%, 07/15/26(b) | 7 | 7,070 | ||||||
Crown Americas LLC: | ||||||||
4.75%, 02/01/26 | 10 | 10,247 | ||||||
4.25%, 09/30/26 | 58 | 57,130 | ||||||
Crown Cork & Seal Co., Inc., 7.38%, 12/15/26 | 4 | 4,100 | ||||||
Graphic Packaging International LLC(b): | ||||||||
4.75%, 07/15/27 | 9 | 8,802 | ||||||
3.50%, 03/15/28 | 11 | 9,897 | ||||||
Intertape Polymer Group, Inc., 7.00%, 10/15/26(b) | 15 | 14,325 | ||||||
LABL Escrow Issuer LLC, 6.75%, 07/15/26(b) | 45 | 41,400 | ||||||
Mauser Packaging Solutions Holding Co., 5.50%, 04/15/24(b) | 104 | 95,680 | ||||||
Reynolds Group Issuer, Inc.(b): | ||||||||
5.13%, 07/15/23 | 2 | 1,980 | ||||||
7.00%, 07/15/24 | 18 | 18,292 | ||||||
Sealed Air Corp., 6.88%, 07/15/33(b) | 9 | 9,018 | ||||||
Silgan Holdings, Inc., 4.13%, 02/01/28(b) | 16 | 14,760 | ||||||
Trivium Packaging Finance BV, 8.50%, 08/15/27(b)(g) | 200 | 201,000 | ||||||
|
| |||||||
493,701 | ||||||||
Distributors — 0.9%(b) | ||||||||
American Builders & Contractors Supply Co., Inc.: | ||||||||
5.88%, 05/15/26 | 11 | 10,478 | ||||||
4.00%, 01/15/28 | 30 | 27,300 | ||||||
Core & Main Holdings LP, 8.63%, (8.63% Cash or 9.38% PIK), 09/15/24(f) | 45 | 41,175 | ||||||
Core & Main LP, 6.13%, 08/15/25 | 99 | 92,070 | ||||||
Wolverine Escrow LLC: | ||||||||
8.50%, 11/15/24 | 22 | 17,545 | ||||||
9.00%, 11/15/26 | 29 | 23,562 | ||||||
|
| |||||||
212,130 | ||||||||
Diversified Consumer Services — 0.3% | ||||||||
frontdoor, Inc., 6.75%, 08/15/26(b) | 14 | 13,405 | ||||||
Graham Holdings Co., 5.75%, 06/01/26(b) | 15 | 14,700 | ||||||
Laureate Education, Inc., 8.25%, 05/01/25(b) | 11 | 10,945 | ||||||
Service Corp. International, 5.13%, 06/01/29 | 9 | 9,180 | ||||||
ServiceMaster Co. LLC (The), 5.13%, 11/15/24(b) | 17 | 16,787 | ||||||
|
| |||||||
65,017 | ||||||||
Diversified Financial Services — 1.9%(b) | ||||||||
Fairstone Financial, Inc., 7.88%, 07/15/24 | 16 | 15,040 | ||||||
MPH Acquisition Holdings LLC, 7.13%, 06/01/24 | 72 | 62,644 | ||||||
Refinitiv US Holdings, Inc.: | ||||||||
4.50%, 05/15/26 | EUR | 100 | 109,187 | |||||
6.25%, 05/15/26 | USD | 20 | 20,650 | |||||
8.25%, 11/15/26 | 71 | 74,905 | ||||||
Verscend Escrow Corp., 9.75%, 08/15/26 | 164 | 163,692 | ||||||
|
| |||||||
446,118 |
2 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Diversified Telecommunication Services — 6.3% | ||||||||
Altice France SA, 8.13%, 02/01/27(b) | USD | 248 | $ | 258,540 | ||||
CCO Holdings LLC(b): | ||||||||
4.00%, 03/01/23 | 13 | 12,951 | ||||||
5.75%, 02/15/26 | 19 | 19,241 | ||||||
5.00%, 02/01/28 | 12 | 12,030 | ||||||
5.38%, 06/01/29 | 30 | 30,828 | ||||||
4.75%, 03/01/30 | 33 | 32,835 | ||||||
4.50%, 08/15/30 | 94 | 92,120 | ||||||
4.50%, 05/01/32 | 101 | 98,495 | ||||||
CenturyLink, Inc.: | ||||||||
Series W, 6.75%, 12/01/23 | 33 | 35,072 | ||||||
Series Y, 7.50%, 04/01/24 | 35 | 38,325 | ||||||
5.13%, 12/15/26(b) | 90 | 90,000 | ||||||
4.00%, 02/15/27(b) | 45 | 43,650 | ||||||
Series P, 7.60%, 09/15/39 | 31 | 30,070 | ||||||
Series U, 7.65%, 03/15/42 | 43 | 41,710 | ||||||
Cincinnati Bell, Inc., 7.00%, 07/15/24(b) | 12 | 12,075 | ||||||
Front Range BidCo, Inc.(b): | ||||||||
4.00%, 03/01/27 | 23 | 21,994 | ||||||
6.13%, 03/01/28 | 76 | 72,200 | ||||||
Frontier Communications Corp., 8.00%, | ||||||||
04/01/27(b) | 109 | 107,505 | ||||||
Intelsat Jackson Holdings SA, 5.50%, 08/01/23 | 80 | 52,400 | ||||||
Level 3 Financing, Inc.: | ||||||||
5.38%, 05/01/25 | 6 | 5,970 | ||||||
5.25%, 03/15/26 | 1 | 999 | ||||||
4.63%, 09/15/27(b) | 2 | 1,988 | ||||||
Qualitytech LP, 4.75%, 11/15/25(b) | 18 | 17,370 | ||||||
Qwest Corp., 6.75%, 12/01/21 | 10 | 10,363 | ||||||
Sprint Capital Corp.: | ||||||||
6.88%, 11/15/28 | 90 | 102,798 | ||||||
8.75%, 03/15/32 | 71 | 93,897 | ||||||
Telecom Italia Capital SA: | ||||||||
6.38%, 11/15/33 | 37 | 37,555 | ||||||
6.00%, 09/30/34 | 51 | 50,490 | ||||||
7.20%, 07/18/36 | 6 | 6,210 | ||||||
7.72%, 06/04/38 | 9 | 9,515 | ||||||
Telesat Canada(b): | ||||||||
4.88%, 06/01/27 | 49 | 46,785 | ||||||
6.50%, 10/15/27 | 2 | 1,920 | ||||||
|
| |||||||
1,487,901 | ||||||||
Electric Utilities — 0.9% | ||||||||
Edison International, 4.95%, 04/15/25 | 10 | 9,977 | ||||||
NextEra Energy Operating Partners LP(b): | ||||||||
4.25%, 07/15/24 | 25 | 24,375 | ||||||
4.25%, 09/15/24 | 14 | 13,650 | ||||||
4.50%, 09/15/27 | 13 | 12,675 | ||||||
NRG Energy, Inc.: | ||||||||
3.75%, 06/15/24(b) | 13 | 12,753 | ||||||
6.63%, 01/15/27 | 19 | 19,760 | ||||||
4.45%, 06/15/29(b) | 46 | 46,540 | ||||||
5.25%, 06/15/29(b) | 38 | 39,140 | ||||||
Vistra Operations Co. LLC(b): | ||||||||
3.55%, 07/15/24 | 6 | 5,639 | ||||||
5.00%, 07/31/27 | 2 | 2,030 | ||||||
4.30%, 07/15/29 | 30 | 26,598 | ||||||
|
| |||||||
213,137 | ||||||||
Electrical Equipment — 0.2% | ||||||||
Sensata Technologies BV(b): | ||||||||
5.63%, 11/01/24 | 13 | 12,675 | ||||||
5.00%, 10/01/25 | 29 | 27,477 | ||||||
|
| |||||||
40,152 |
Security | Par (000) | Value | ||||||
Electronic Equipment, Instruments & Components — 0.3% | ||||||||
CDW LLC: | ||||||||
5.50%, 12/01/24 | USD | 25 | $ | 26,057 | ||||
5.00%, 09/01/25 | 35 | 36,061 | ||||||
Sensata Technologies, Inc., 4.38%, 02/15/30(b) | 16 | 14,400 | ||||||
|
| |||||||
76,518 | ||||||||
Energy Equipment & Services — 0.5% | ||||||||
Apergy Corp., 6.38%, 05/01/26 | 22 | 16,940 | ||||||
Archrock Partners LP, 6.88%, 04/01/27(b) | 21 | 14,912 | ||||||
Nabors Industries Ltd.(b): | ||||||||
7.25%, 01/15/26 | 16 | 5,440 | ||||||
7.50%, 01/15/28 | 14 | 4,480 | ||||||
Nabors Industries, Inc., 4.63%, 09/15/21 | 2 | 1,260 | ||||||
Pacific Drilling SA, 8.38%, 10/01/23(b) | 29 | 7,830 | ||||||
Tervita Corp., 7.63%, 12/01/21(b) | 18 | 12,600 | ||||||
Transocean, Inc.: | ||||||||
6.50%, 11/15/20 | 3 | 2,385 | ||||||
8.00%, 02/01/27(b) | 29 | 13,775 | ||||||
USA Compression Partners LP: | ||||||||
6.88%, 04/01/26 | 35 | 21,875 | ||||||
6.88%, 09/01/27 | 29 | 17,980 | ||||||
|
| |||||||
119,477 | ||||||||
Entertainment — 0.8% | ||||||||
Lions Gate Capital Holdings LLC(b): | ||||||||
6.38%, 02/01/24 | 3 | 2,640 | ||||||
5.88%, 11/01/24 | 14 | 11,970 | ||||||
Live Nation Entertainment, Inc.(b): | ||||||||
4.88%, 11/01/24 | 3 | 2,731 | ||||||
4.75%, 10/15/27 | 12 | 10,680 | ||||||
Netflix, Inc.: | ||||||||
4.88%, 04/15/28 | 7 | 7,210 | ||||||
5.88%, 11/15/28 | 83 | 88,685 | ||||||
5.38%, 11/15/29(b) | 26 | 26,979 | ||||||
4.88%, 06/15/30(b) | 32 | 32,485 | ||||||
|
| |||||||
183,380 | ||||||||
Equity Real Estate Investment Trusts (REITs) — 4.2% | ||||||||
Brookfield Property REIT, Inc., 5.75%, | ||||||||
05/15/26(b) | 16 | 12,982 | ||||||
Crown Castle International Corp., 3.30%, | ||||||||
07/01/30 | 15 | 14,877 | ||||||
GLP Capital LP: | ||||||||
3.35%, 09/01/24 | 15 | 13,275 | ||||||
5.25%, 06/01/25 | 13 | 12,025 | ||||||
5.38%, 04/15/26 | 11 | 9,750 | ||||||
4.00%, 01/15/30 | 44 | 36,995 | ||||||
Iron Mountain, Inc.(b): | ||||||||
4.88%, 09/15/27 | 2 | 1,940 | ||||||
4.88%, 09/15/29 | 31 | 29,121 | ||||||
MGM Growth Properties Operating Partnership LP: |
| |||||||
5.63%, 05/01/24 | 83 | 79,680 | ||||||
4.50%, 09/01/26 | 32 | 26,560 | ||||||
5.75%, 02/01/27 | 27 | 23,490 | ||||||
4.50%, 01/15/28 | 37 | 31,450 | ||||||
MPT Operating Partnership LP: | ||||||||
5.00%, 10/15/27 | 103 | 99,910 | ||||||
4.63%, 08/01/29 | 44 | 40,920 | ||||||
Ryman Hospitality Properties, Inc., 4.75%, | ||||||||
10/15/27(b) | 45 | 33,750 | ||||||
SBA Communications Corp.: | ||||||||
4.00%, 10/01/22 | 32 | 31,991 | ||||||
4.88%, 09/01/24 | 79 | 80,086 | ||||||
3.88%, 02/15/27(b) | 60 | 60,150 | ||||||
Uniti Group LP(b): | ||||||||
6.00%, 04/15/23 | 27 | 24,570 |
3 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Equity Real Estate Investment Trusts (REITs) (continued) | ||||||||
7.88%, 02/15/25 | USD | 42 | $ | 38,614 | ||||
VICI Properties LP(b): | ||||||||
3.50%, 02/15/25 | 37 | 34,502 | ||||||
4.25%, 12/01/26 | 106 | 97,255 | ||||||
3.75%, 02/15/27 | 39 | 36,758 | ||||||
4.63%, 12/01/29 | 44 | 40,145 | ||||||
4.13%, 08/15/30 | 101 | 94,561 | ||||||
|
| |||||||
1,005,357 | ||||||||
Food & Staples Retailing — 0.5% | ||||||||
Albertsons Cos., Inc.(b): | ||||||||
4.63%, 01/15/27 | 51 | 50,745 | ||||||
5.88%, 02/15/28 | 27 | 27,481 | ||||||
4.88%, 02/15/30 | 16 | 15,960 | ||||||
Sysco Corp.: | ||||||||
5.65%, 04/01/25 | 10 | 10,410 | ||||||
5.95%, 04/01/30 | 14 | 14,698 | ||||||
|
| |||||||
119,294 | ||||||||
Food Products — 2.3% | ||||||||
Chobani LLC, 7.50%, 04/15/25(b) | 62 | 56,420 | ||||||
Darling Ingredients, Inc., 5.25%, 04/15/27(b). | 3 | 2,909 | ||||||
General Mills, Inc., 2.88%, 04/15/30 | 5 | 4,990 | ||||||
JBS USA LUX SA(b): | ||||||||
5.88%, 07/15/24 | 27 | 27,337 | ||||||
5.75%, 06/15/25 | 30 | 30,300 | ||||||
6.75%, 02/15/28 | 43 | 45,816 | ||||||
6.50%, 04/15/29 | 57 | 61,144 | ||||||
5.50%, 01/15/30 | 24 | 24,780 | ||||||
Kraft Heinz Foods Co.: | ||||||||
5.00%, 07/15/35 | 10 | 9,942 | ||||||
6.88%, 01/26/39 | 22 | 25,164 | ||||||
4.63%, 10/01/39(b) | 9 | 8,060 | ||||||
6.50%, 02/09/40 | 15 | 16,368 | ||||||
5.20%, 07/15/45 | 26 | 24,996 | ||||||
4.38%, 06/01/46 | 39 | 35,132 | ||||||
4.88%, 10/01/49(b) | 75 | 68,195 | ||||||
Post Holdings, Inc.(b): | ||||||||
5.00%, 08/15/26 | 14 | 14,408 | ||||||
5.63%, 01/15/28 | 16 | 16,240 | ||||||
5.50%, 12/15/29 | 7 | 7,261 | ||||||
4.63%, 04/15/30 | 34 | 32,555 | ||||||
Simmons Foods, Inc., 7.75%, 01/15/24(b) | 25 | 25,000 | ||||||
|
| |||||||
537,017 | ||||||||
Gas Utilities — 0.1% | ||||||||
Superior Plus LP, 7.00%, 07/15/26(b) | 24 | 23,400 | ||||||
Health Care Equipment & Supplies — 0.8% | ||||||||
Hologic, Inc.(b): | ||||||||
4.38%, 10/15/25 | 4 | 3,961 | ||||||
4.63%, 02/01/28 | 28 | 28,070 | ||||||
|
| |||||||
Immucor, Inc., 11.13%, 02/15/22(b) | 8 | 7,200 | ||||||
Ortho-Clinical Diagnostics, Inc.(b): | ||||||||
6.63%, 05/15/22 | 45 | 42,525 | ||||||
7.25%, 02/01/28 | 112 | 96,309 | ||||||
Teleflex, Inc., 4.88%, 06/01/26 | 25 | 24,750 | ||||||
|
| |||||||
202,815 | ||||||||
Health Care Providers & Services — 5.9% | ||||||||
Acadia Healthcare Co., Inc., 5.13%, 07/01/22 | 6 | 5,719 | ||||||
AHP Health Partners, Inc., 9.75%, 07/15/26(b) | 29 | 25,095 | ||||||
Centene Corp.(b): | ||||||||
5.25%, 04/01/25 | 29 | 29,145 | ||||||
5.38%, 06/01/26 | 32 | 32,964 | ||||||
5.38%, 08/15/26 | 45 | 45,900 | ||||||
4.25%, 12/15/27 | 61 | 59,780 | ||||||
4.63%, 12/15/29 | 144 | 144,720 |
Security | Par (000) | Value | ||||||
Health Care Providers & Services (continued) | ||||||||
3.38%, 02/15/30 | USD | 41 | $ | 38,130 | ||||
Community Health Systems, Inc.(b): | ||||||||
8.63%, 01/15/24 | 60 | 59,231 | ||||||
6.63%, 02/15/25 | 24 | 22,200 | ||||||
8.00%, 03/15/26 | 103 | 97,850 | ||||||
HCA, Inc.: | ||||||||
5.38%, 02/01/25 | 68 | 69,530 | ||||||
5.63%, 09/01/28 | 55 | 57,568 | ||||||
5.88%, 02/01/29 | 46 | 48,645 | ||||||
3.50%, 09/01/30 | 121 | 109,773 | ||||||
LifePoint Health, Inc., 4.38%, 02/15/27(b) | 7 | 6,594 | ||||||
MEDNAX, Inc.(b): | ||||||||
5.25%, 12/01/23 | 15 | 12,225 | ||||||
6.25%, 01/15/27 | 27 | 21,667 | ||||||
Molina Healthcare, Inc.: | ||||||||
5.38%, 11/15/22(g) | 20 | 19,500 | ||||||
4.88%, 06/15/25(b) | 9 | 8,775 | ||||||
Polaris Intermediate Corp., 8.50%, (8.50% | ||||||||
Cash or 9.25% PIK), 12/01/22(b)(f) | 40 | 30,742 | ||||||
Radiology Partners, Inc., 9.25%, 02/01/28(b). 12 |
| 10,389 | ||||||
Surgery Center Holdings, Inc.(b): | ||||||||
6.75%, 07/01/25 | 61 | 43,620 | ||||||
10.00%, 04/15/27 | 30 | 21,000 | ||||||
Tenet Healthcare Corp.: | ||||||||
8.13%, 04/01/22 | 62 | 59,055 | ||||||
4.63%, 07/15/24 | 24 | 22,920 | ||||||
4.63%, 09/01/24(b) | 31 | 29,692 | ||||||
4.88%, 01/01/26(b) | 129 | 122,872 | ||||||
6.25%, 02/01/27(b) | 30 | 29,250 | ||||||
5.13%, 11/01/27(b) | 83 | 79,058 | ||||||
Vizient, Inc., 6.25%, 05/15/27(b) | 36 | 35,115 | ||||||
|
| |||||||
1,398,724 | ||||||||
Hotels, Restaurants & Leisure — 3.3% | ||||||||
1011778 BC ULC(b): | ||||||||
5.00%, 10/15/25 | 94 | 89,769 | ||||||
3.88%, 01/15/28 | 29 | 27,550 | ||||||
4.38%, 01/15/28 | 44 | 40,652 | ||||||
Boyne USA, Inc., 7.25%, 05/01/25(b) | 13 | 12,415 | ||||||
Cedar Fair LP, 5.25%, 07/15/29(b) | 15 | 12,675 | ||||||
Churchill Downs, Inc.(b): | ||||||||
5.50%, 04/01/27 | 54 | 50,904 | ||||||
4.75%, 01/15/28 | 41 | 35,670 | ||||||
Eldorado Resorts, Inc., 6.00%, 09/15/26 | 12 | 10,830 | ||||||
Golden Nugget, Inc., 6.75%, 10/15/24(b) | 92 | 57,950 | ||||||
Hilton Domestic Operating Co., Inc.: | ||||||||
5.13%, 05/01/26 | 31 | 29,140 | ||||||
4.88%, 01/15/30 | 64 | 54,400 | ||||||
Hilton Worldwide Finance LLC, 4.88%, 04/01/27 | 14 | 13,300 | ||||||
IRB Holding Corp., 6.75%, 02/15/26(b) | 4 | 3,152 | ||||||
KFC Holding Co., 5.25%, 06/01/26(b) | 12 | 11,983 | ||||||
Las Vegas Sands Corp.: | ||||||||
2.90%, 06/25/25 | 5 | 4,533 | ||||||
3.50%, 08/18/26 | 6 | 5,488 | ||||||
3.90%, 08/08/29 | 2 | 1,724 | ||||||
Marriott Ownership Resorts, Inc., 6.50%, 09/15/26 | 2 | 1,740 | ||||||
MGM Resorts International: | ||||||||
7.75%, 03/15/22 | 37 | 36,649 | ||||||
6.00%, 03/15/23 | 25 | 24,125 | ||||||
Scientific Games International, Inc.(b): | ||||||||
5.00%, 10/15/25 | 52 | 45,240 | ||||||
8.25%, 03/15/26 | 57 | 36,486 | ||||||
7.00%, 05/15/28 | 19 | 11,685 | ||||||
7.25%, 11/15/29 | 14 | 8,750 |
4 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Hotels, Restaurants & Leisure (continued) | ||||||||
Six Flags Entertainment Corp., 5.50%, 04/15/27(b) | USD | 31 | $ | 26,117 | ||||
Station Casinos LLC, 4.50%, 02/15/28(b) | 17 | 13,770 | ||||||
Wyndham Destinations, Inc., 5.75%, 04/01/27(g) | 8 | 6,680 | ||||||
Wyndham Hotels & Resorts, Inc., 5.38%, | 9 | 7,830 | ||||||
Wynn Las Vegas LLC, 5.25%, 05/15/27(b) | 28 | 25,340 | ||||||
Wynn Resorts Finance LLC, 5.13%, 10/01/29(b) | 39 | 35,490 | ||||||
Yum! Brands, Inc.: | ||||||||
3.88%, 11/01/23 | 2 | 1,860 | ||||||
7.75%, 04/01/25(b) | 28 | 29,400 | ||||||
4.75%, 01/15/30(b) | 12 | 11,280 | ||||||
5.35%, 11/01/43 | 2 | 1,700 | ||||||
|
| |||||||
786,277 | ||||||||
Household Durables — 1.3% | ||||||||
Ashton Woods USA LLC, 6.63%, 01/15/28(b) | 7 | 5,530 | ||||||
Brookfield Residential Properties, Inc.(b): | ||||||||
6.25%, 09/15/27 | 13 | 11,276 | ||||||
4.88%, 02/15/30 | 27 | 20,512 | ||||||
Installed Building Products, Inc., 5.75%, | 13 | 12,383 | ||||||
K. Hovnanian Enterprises, Inc., 7.75%, 02/15/26(b) | 28 | 28,630 | ||||||
Lennar Corp.: | ||||||||
6.63%, 05/01/20 | 6 | 5,992 | ||||||
5.25%, 06/01/26 | 14 | 14,245 | ||||||
4.75%, 11/29/27 | 58 | 57,855 | ||||||
Mattamy Group Corp.(b): | ||||||||
5.25%, 12/15/27 | 14 | 13,020 | ||||||
4.63%, 03/01/30 | 16 | 13,760 | ||||||
MDC Holdings, Inc., 6.00%, 01/15/43 | 10 | 9,455 | ||||||
Meritage Homes Corp., 5.13%, 06/06/27 | 4 | 3,760 | ||||||
PulteGroup, Inc.: | ||||||||
5.00%, 01/15/27 | 2 | 1,996 | ||||||
7.88%, 06/15/32 | 2 | 2,200 | ||||||
6.38%, 05/15/33 | 30 | 30,321 | ||||||
6.00%, 02/15/35 | 6 | 6,045 | ||||||
Shea Homes LP, 4.75%, 02/15/28(b) | 17 | 14,514 | ||||||
Taylor Morrison Communities, Inc., 5.88%, 06/15/27(b) | 7 | 6,501 | ||||||
Tempur Sealy International, Inc., 5.50%, 06/15/26 | 2 | 1,750 | ||||||
TRI Pointe Group, Inc., 4.88%, 07/01/21 | 13 | 12,075 | ||||||
Williams Scotsman International, Inc.(b): | ||||||||
7.88%, 12/15/22 | 12 | 11,706 | ||||||
6.88%, 08/15/23 | 26 | 23,660 | ||||||
|
| |||||||
307,186 | ||||||||
Household Products — 0.1%(b) | ||||||||
Energizer Holdings, Inc.: | ||||||||
6.38%, 07/15/26 | 6 | 6,060 | ||||||
7.75%, 01/15/27 | 18 | 18,607 | ||||||
Spectrum Brands, Inc., 5.00%, 10/01/29 | 6 | 5,100 | ||||||
|
| |||||||
29,767 | ||||||||
Independent Power and Renewable Electricity Producers — 1.3% | ||||||||
Calpine Corp.: | ||||||||
5.50%, 02/01/24 | 9 | 8,550 | ||||||
5.75%, 01/15/25 | 45 | 41,625 | ||||||
5.25%, 06/01/26(b) | 31 | 29,450 | ||||||
4.50%, 02/15/28(b) | 49 | 47,493 | ||||||
5.13%, 03/15/28(b) | 132 | 121,440 | ||||||
Clearway Energy Operating LLC: | ||||||||
5.75%, 10/15/25 | 9 | 8,910 | ||||||
4.75%, 03/15/28(b) | 23 | 21,333 | ||||||
Pattern Energy Group, Inc., 5.88%, 02/01/24(b) | 24 | 23,824 |
Security | Par (000) | Value | ||||||
Independent Power and Renewable Electricity Producers (continued) | ||||||||
Talen Energy Supply LLC: | ||||||||
6.50%, 06/01/25 | USD | 4 | $ | 2,589 | ||||
10.50%, 01/15/26(b) | 4 | 2,880 | ||||||
|
| |||||||
308,094 | ||||||||
Insurance — 1.1% | ||||||||
Acrisure LLC, 8.13%, 02/15/24(b) | 7 | 6,818 | ||||||
Aflac, Inc., 3.60%, 04/01/30 | 30 | 30,385 | ||||||
Alliant Holdings Intermediate LLC, 6.75%, 10/15/27(b) | 92 | 86,149 | ||||||
AmWINS Group, Inc., 7.75%, 07/01/26(b) | 9 | 8,820 | ||||||
GTCR AP Finance, Inc., 8.00%, 05/15/27(b) | . 23 | 21,160 | ||||||
HUB International Ltd., 7.00%, 05/01/26(b) | 106 | 104,940 | ||||||
NFP Corp., 8.00%, 07/15/25(b) | 14 | 12,810 | ||||||
|
| |||||||
271,082 | ||||||||
Interactive Media & Services — 0.2%(b) | ||||||||
Match Group, Inc., 4.13%, 08/01/30 | 22 | 19,663 | ||||||
Rackspace Hosting, Inc., 8.63%, 11/15/24 | 21 | 18,847 | ||||||
Twitter, Inc., 3.88%, 12/15/27 | 12 | 11,543 | ||||||
|
| |||||||
50,053 | ||||||||
Internet & Direct Marketing Retail — 0.1% | ||||||||
Go Daddy Operating Co. LLC, 5.25%, 12/01/27(b) | 15 | 15,138 | ||||||
|
| |||||||
IT Services — 1.5%(b) | ||||||||
Banff Merger Sub, Inc., 9.75%, 09/01/26 | 160 | 140,800 | ||||||
Booz Allen Hamilton, Inc., 5.13%, 05/01/25 | . 67 | 65,660 | ||||||
Gartner, Inc., 5.13%, 04/01/25 | 2 | 1,955 | ||||||
Presidio Holdings, Inc.: | ||||||||
4.88%, 02/01/27 | 37 | 33,115 | ||||||
8.25%, 02/01/28 | 21 | 18,506 | ||||||
Science Applications International Corp., | ||||||||
4.88%, 04/01/28 | 23 | 22,080 | ||||||
Tempo Acquisition LLC, 6.75%, 06/01/25 | 67 | 61,309 | ||||||
WEX, Inc., 4.75%, 02/01/23 | 16 | 15,360 | ||||||
|
| |||||||
358,785 | ||||||||
Leisure Products — 0.4% | ||||||||
Mattel, Inc.: | ||||||||
6.75%, 12/31/25(b) | 55 | 55,930 | ||||||
5.88%, 12/15/27(b) | 19 | 19,528 | ||||||
6.20%, 10/01/40 | 2 | 1,655 | ||||||
5.45%, 11/01/41 | 12 | 9,480 | ||||||
|
| |||||||
86,593 | ||||||||
Life Sciences Tools & Services — 0.9%(b) | ||||||||
Avantor, Inc.: | ||||||||
6.00%, 10/01/24 | 102 | 106,865 | ||||||
9.00%, 10/01/25 | 68 | 71,584 | ||||||
Charles River Laboratories International, Inc.: |
| |||||||
5.50%, 04/01/26 | 16 | 16,480 | ||||||
4.25%, 05/01/28 | 20 | 19,278 | ||||||
|
| |||||||
214,207 | ||||||||
Machinery — 1.5% | ||||||||
Amsted Industries, Inc., 5.63%, 07/01/27(b) | . 15 | 14,594 | ||||||
Colfax Corp.(b): | ||||||||
6.00%, 02/15/24 | 18 | 17,370 | ||||||
6.38%, 02/15/26 | 23 | 22,655 | ||||||
EnPro Industries, Inc., 5.75%, 10/15/26 | 11 | 10,587 | ||||||
Grinding Media, Inc., 7.38%, 12/15/23(b) | 28 | 26,118 | ||||||
Husky III Holding Ltd., 13.00%, (13.00% Cash | 29 | 21,300 | ||||||
Manitowoc Co., Inc. (The), 9.00%, 04/01/26(b) | 2 | 1,770 | ||||||
Mueller Water Products, Inc., 5.50%, 06/15/26(b) | 38 | 36,765 | ||||||
Navistar International Corp., 6.63%, 11/01/25(b) | 35 | 29,138 |
5 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Machinery (continued) | ||||||||
RBS Global, Inc., 4.88%, 12/15/25(b) | USD | 48 | $ | 44,880 | ||||
SPX FLOW, Inc., 5.63%, 08/15/24(b) | 29 | 28,130 | ||||||
Stevens Holding Co., Inc., 6.13%, 10/01/26(b) | 20 | 19,758 | ||||||
Terex Corp., 5.63%, 02/01/25(b) | 18 | 16,922 | ||||||
Titan Acquisition Ltd., 7.75%, 04/15/26(b) | 52 | 43,420 | ||||||
Wabash National Corp., 5.50%, 10/01/25(b) | 23 | 18,285 | ||||||
|
| |||||||
351,692 | ||||||||
Media — 6.1% | ||||||||
Altice Financing SA, 7.50%, 05/15/26(b) | 200 | 193,780 | ||||||
AMC Networks, Inc.: | ||||||||
5.00%, 04/01/24 | 2 | 1,920 | ||||||
4.75%, 08/01/25 | 14 | 13,615 | ||||||
Block Communications, Inc., 4.88%, 03/01/28(b) | 12 | 11,160 | ||||||
Clear Channel Worldwide Holdings, Inc.(b): | ||||||||
9.25%, 02/15/24 | 39 | 33,442 | ||||||
5.13%, 08/15/27 | 167 | 158,024 | ||||||
CSC Holdings LLC: | ||||||||
5.25%, 06/01/24 | 9 | 9,023 | ||||||
5.38%, 02/01/28(b) | 200 | 204,000 | ||||||
6.50%, 02/01/29(b) | 200 | 215,698 | ||||||
Diamond Sports Group LLC, 5.38%, 08/15/26(b) | 60 | 48,751 | ||||||
DISH DBS Corp.: | ||||||||
6.75%, 06/01/21 | 11 | 11,154 | ||||||
5.88%, 07/15/22 | 150 | 146,073 | ||||||
5.00%, 03/15/23 | 23 | 22,006 | ||||||
7.75%, 07/01/26 | 14 | 14,385 | ||||||
DISH Network Corp.(h): | ||||||||
2.38%, 03/15/24 | 4 | 3,170 | ||||||
3.38%, 08/15/26 | 38 | 30,850 | ||||||
Entercom Media Corp., 6.50%, 05/01/27(b) | 30 | 26,025 | ||||||
Fox Corp., 3.05%, 04/07/25 | 5 | 4,992 | ||||||
GCI LLC, 6.63%, 06/15/24(b) | 15 | 14,850 | ||||||
iHeartCommunications, Inc., 4.75%, 01/15/28(b) | 12 | 10,800 | ||||||
Lamar Media Corp., 4.00%, 02/15/30(b) | 7 | 6,510 | ||||||
Meredith Corp., 6.88%, 02/01/26 | 4 | 3,509 | ||||||
Midcontinent Communications, 5.38%, 08/15/27(b) | 16 | 15,492 | ||||||
Outfront Media Capital LLC, 5.00%, 08/15/27(b) | 21 | 19,320 | ||||||
Radiate Holdco LLC(b): | ||||||||
6.88%, 02/15/23 | 11 | 10,010 | ||||||
6.63%, 02/15/25 | 16 | 13,600 | ||||||
Sirius XM Radio, Inc.(b): | ||||||||
4.63%, 07/15/24 | 14 | 14,209 | ||||||
5.00%, 08/01/27 | 34 | 34,507 | ||||||
5.50%, 07/01/29 | 26 | 26,520 | ||||||
TEGNA, Inc., 5.50%, 09/15/24(b) | 8 | 7,600 | ||||||
Terrier Media Buyer, Inc., 8.88%, 12/15/27(b) | 54 | 45,630 | ||||||
Univision Communications, Inc.(b): | ||||||||
6.75%, 09/15/22 | 1 | 960 | ||||||
5.13%, 05/15/23 | 12 | 10,620 | ||||||
5.13%, 02/15/25 | 25 | 21,313 | ||||||
Videotron Ltd., 5.13%, 04/15/27(b) | 44 | 44,000 | ||||||
WMG Acquisition Corp., 5.50%, 04/15/26(b) | 12 | 11,730 | ||||||
|
| |||||||
1,459,248 | ||||||||
Metals & Mining — 3.3% | ||||||||
Allegheny Technologies, Inc., 5.88%, 12/01/27 | 15 | 12,487 | ||||||
Arconic Corp., 6.13%, 02/15/28(b) | 22 | 22,495 | ||||||
Big River Steel LLC, 7.25%, 09/01/25(b) | 23 | 20,930 | ||||||
Cleveland-Cliffs, Inc., 6.75%, 03/15/26(b) | 17 | 15,130 | ||||||
Constellium SE, 5.88%, 02/15/26(b) | 250 | 217,500 | ||||||
Freeport-McMoRan, Inc.: | ||||||||
3.55%, 03/01/22 | 5 | 4,831 | ||||||
3.88%, 03/15/23 | 103 | 97,335 | ||||||
4.25%, 03/01/30 | 36 | 31,320 |
Security | Par (000) | Value | ||||||
Metals & Mining (continued) | ||||||||
5.45%, 03/15/43 | USD | 187 | $ | 167,365 | ||||
Kaiser Aluminum Corp., 4.63%, 03/01/28(b) | 14 | 12,425 | ||||||
New Gold, Inc.(b): | ||||||||
6.25%, 11/15/22 | 28 | 27,195 | ||||||
6.38%, 05/15/25 | 18 | 16,729 | ||||||
Novelis Corp.(b): | ||||||||
5.88%, 09/30/26 | 79 | 77,528 | ||||||
4.75%, 01/30/30 | 80 | 71,200 | ||||||
|
| |||||||
794,470 | ||||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.0% | ||||||||
Starwood Property Trust, Inc., 5.00%, 12/15/21 7 |
| 6,405 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.4% | ||||||||
Apache Corp., 3.25%, 04/15/22 | 2 | 1,502 | ||||||
Ascent Resources Utica Holdings LLC, 10.00%, 04/01/22(b) | 51 | 29,835 | ||||||
Baytex Energy Corp., 8.75%, 04/01/27(b) | 25 | 9,537 | ||||||
Buckeye Partners LP: | ||||||||
4.13%, 03/01/25(b) | 19 | 16,017 | ||||||
3.95%, 12/01/26 | 6 | 4,918 | ||||||
4.50%, 03/01/28(b) | 29 | 23,780 | ||||||
5.85%, 11/15/43 | 12 | 8,037 | ||||||
5.60%, 10/15/44 | 11 | 6,930 | ||||||
Callon Petroleum Co.: | ||||||||
6.25%, 04/15/23 | 25 | 5,938 | ||||||
6.13%, 10/01/24 | 25 | 4,437 | ||||||
8.25%, 07/15/25 | 23 | 3,680 | ||||||
6.38%, 07/01/26 | 17 | 2,847 | ||||||
Centennial Resource Production LLC, 6.88%, 04/01/27(b) | 22 | 5,390 | ||||||
Cheniere Corpus Christi Holdings LLC, 5.13%, 06/30/27 | 7 | 6,217 | ||||||
Cheniere Energy Partners LP: | ||||||||
5.63%, 10/01/26 | 31 | 28,520 | ||||||
4.50%, 10/01/29(b) | 39 | 33,930 | ||||||
Chesapeake Energy Corp., 11.50%, 01/01/25(b) | 47 | 7,990 | ||||||
Cimarex Energy Co., 4.38%, 06/01/24 | 2 | 1,576 | ||||||
CNX Resources Corp., 5.88%, 04/15/22 | 45 | 41,175 | ||||||
Comstock Resources, Inc.: | ||||||||
7.50%, 05/15/25(b) | 27 | 17,550 | ||||||
9.75%, 08/15/26 | 12 | 8,548 | ||||||
Continental Resources, Inc., 5.00%, 09/15/22 | 2 | 1,276 | ||||||
Crestwood Midstream Partners LP, 5.63%, 05/01/27(b) | 42 | 23,088 | ||||||
CrownRock LP, 5.63%, 10/15/25(b) | 99 | 51,480 | ||||||
CVR Energy, Inc.(b): | ||||||||
5.25%, 02/15/25 | 21 | 16,327 | ||||||
5.75%, 02/15/28 | 7 | 5,233 | ||||||
DCP Midstream Operating LP: | ||||||||
5.38%, 07/15/25 | 10 | 6,828 | ||||||
5.13%, 05/15/29 | 11 | 6,929 | ||||||
6.45%, 11/03/36(b) | 17 | 8,155 | ||||||
6.75%, 09/15/37(b) | 29 | 15,660 | ||||||
Denbury Resources, Inc., 9.00%, 05/15/21(b) | 20 | 5,850 | ||||||
Diamondback Energy, Inc., 3.50%, 12/01/29 | 3 | 2,040 | ||||||
Endeavor Energy Resources LP(b): | ||||||||
5.50%, 01/30/26 | 51 | 35,201 | ||||||
5.75%, 01/30/28 | 32 | 21,760 | ||||||
EnLink Midstream LLC, 5.38%, 06/01/29 | 8 | 4,160 | ||||||
EnLink Midstream Partners LP: | ||||||||
4.40%, 04/01/24 | 17 | 8,580 | ||||||
4.85%, 07/15/26 | 2 | 983 | ||||||
5.60%, 04/01/44 | 18 | 6,075 | ||||||
5.05%, 04/01/45 | 3 | 1,094 |
6 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Oil, Gas & Consumable Fuels(continued) | ||||||||
EQT Corp.: | USD 5 | $ | 3,449 | |||||
7.00%, 02/01/30(g) | 2 | 1,490 | ||||||
Extraction Oil & Gas, Inc.(b): | ||||||||
7.38%, 05/15/24 | 46 | 8,165 | ||||||
5.63%, 02/01/26 | 38 | 6,270 | ||||||
Genesis Energy LP: | ||||||||
6.00%, 05/15/23 | 16 | 11,605 | ||||||
5.63%, 06/15/24 | 14 | 9,800 | ||||||
6.50%, 10/01/25 | 11 | 7,951 | ||||||
7.75%, 02/01/28 | 15 | 10,443 | ||||||
Great Western Petroleum LLC, 9.00%, 09/30/21(b) | 49 | 31,360 | ||||||
Hess Midstream Operations LP(b): | ||||||||
5.63%, 02/15/26 | 10 | 7,061 | ||||||
5.13%, 06/15/28 | 14 | 9,839 | ||||||
Holly Energy Partners LP, 5.00%, 02/01/28(b) | 19 | 15,913 | ||||||
Indigo Natural Resources LLC, 6.88%, 02/15/26(b) | 43 | 28,380 | ||||||
Matador Resources Co., 5.88%, 09/15/26 | 29 | 8,497 | ||||||
MEG Energy Corp.(b): | ||||||||
7.00%, 03/31/24 | 4 | 1,845 | ||||||
6.50%, 01/15/25 | 44 | 27,830 | ||||||
7.13%, 02/01/27 | 28 | 13,835 | ||||||
MPLX LP, 6.38%, 05/01/24(b) | 8 | 7,177 | ||||||
Murphy Oil Corp.: | ||||||||
5.75%, 08/15/25 | 3 | 1,605 | ||||||
5.87%, 12/01/42(g) | 3 | 1,230 | ||||||
NGPL PipeCo LLC, 7.77%, 12/15/37(b) | 25 | 24,888 | ||||||
NuStar Logistics LP, 6.00%, 06/01/26 | 13 | 9,620 | ||||||
Occidental Petroleum Corp.: | ||||||||
Series 1, 4.10%, 02/01/21 | 12 | 10,200 | ||||||
4.85%, 03/15/21 | 9 | 7,555 | ||||||
2.60%, 08/13/21 | 16 | 12,581 | ||||||
2.70%, 08/15/22 | 11 | 7,843 | ||||||
Parkland Fuel Corp., 5.88%, 07/15/27(b) | 23 | 21,560 | ||||||
Parsley Energy LLC(b): | ||||||||
5.38%, 01/15/25 | 23 | 17,767 | ||||||
5.25%, 08/15/25 | 6 | 4,560 | ||||||
5.63%, 10/15/27 | 15 | 10,575 | ||||||
4.13%, 02/15/28 | 22 | 14,960 | ||||||
PBF Holding Co. LLC: | ||||||||
7.25%, 06/15/25 | 5 | 3,351 | ||||||
6.00%, 02/15/28(b) | 10 | 6,600 | ||||||
PDC Energy, Inc.: | ||||||||
1.13%, 09/15/21(h) | 18 | 14,682 | ||||||
6.13%, 09/15/24 | 4 | 2,135 | ||||||
6.25%, 12/01/25 | 4 | 1,959 | ||||||
5.75%, 05/15/26 | 17 | 9,520 | ||||||
QEP Resources, Inc.: | ||||||||
6.88%, 03/01/21 | 5 | 2,550 | ||||||
5.38%, 10/01/22 | 41 | 19,270 | ||||||
5.25%, 05/01/23 | 7 | 2,590 | ||||||
5.63%, 03/01/26 | 21 | 7,665 | ||||||
Range Resources Corp.: | ||||||||
5.88%, 07/01/22 | 3 | 2,160 | ||||||
5.00%, 08/15/22 | 8 | 5,998 | ||||||
SM Energy Co.: | ||||||||
1.50%, 07/01/21(h) | 59 | 21,306 | ||||||
6.13%, 11/15/22 | 30 | 12,694 | ||||||
5.00%, 01/15/24 | 4 | 1,320 | ||||||
5.63%, 06/01/25 | 4 | 1,090 | ||||||
6.75%, 09/15/26 | 5 | 1,500 | ||||||
6.63%, 01/15/27 | 4 | 1,164 | ||||||
Southwestern Energy Co., 4.10%, 03/15/22. | 20 | 15,000 |
Security | Par (000) | Value | ||||||
Oil, Gas & Consumable Fuels(continued) | ||||||||
Sunoco LP: | USD 3 | $ | 2,596 | |||||
6.00%, 04/15/27 | 13 | 11,180 | ||||||
5.88%, 03/15/28 | 2 | 1,660 | ||||||
Tallgrass Energy Partners LP(b): | ||||||||
5.50%, 09/15/24 | 34 | 18,700 | ||||||
6.00%, 03/01/27 | 8 | 4,240 | ||||||
Targa Resources Partners LP: | ||||||||
5.13%, 02/01/25 | 27 | 23,015 | ||||||
5.88%, 04/15/26 | 5 | 4,150 | ||||||
6.50%, 07/15/27 | 33 | 28,132 | ||||||
5.00%, 01/15/28 | 16 | 12,897 | ||||||
6.88%, 01/15/29 | 66 | 53,130 | ||||||
5.50%, 03/01/30(b) | 34 | 26,262 | ||||||
TerraForm Power Operating LLC(b): | ||||||||
4.25%, 01/31/23 | 22 | 21,835 | ||||||
5.00%, 01/31/28 | 16 | 16,765 | ||||||
4.75%, 01/15/30 | 26 | 25,220 | ||||||
Viper Energy Partners LP, 5.38%, 11/01/27(b)11 | 9,240 | |||||||
WPX Energy, Inc.: | ||||||||
8.25%, 08/01/23 | 9 | 6,615 | ||||||
5.25%, 09/15/24 | 9 | 5,490 | ||||||
5.75%, 06/01/26 | 11 | 6,270 | ||||||
5.25%, 10/15/27 | 7 | 3,850 | ||||||
4.50%, 01/15/30 | 37 | 20,091 | ||||||
|
| |||||||
1,278,819 | ||||||||
Paper & Forest Products — 0.1% | ||||||||
Norbord, Inc., 6.25%, 04/15/23(b) | 22 | 21,230 | ||||||
|
| |||||||
Pharmaceuticals — 2.1% | ||||||||
Bausch Health Americas, Inc.(b): | ||||||||
9.25%, 04/01/26 | 26 | 27,477 | ||||||
8.50%, 01/31/27 | 63 | 65,835 | ||||||
Bausch Health Cos., Inc.(b): | ||||||||
5.88%, 05/15/23 | 1 | 995 | ||||||
7.00%, 03/15/24 | 4 | 4,075 | ||||||
6.13%, 04/15/25 | 52 | 51,220 | ||||||
5.50%, 11/01/25 | 11 | 11,113 | ||||||
9.00%, 12/15/25 | 31 | 32,680 | ||||||
5.75%, 08/15/27 | 33 | 33,977 | ||||||
7.00%, 01/15/28 | 35 | 35,924 | ||||||
5.00%, 01/30/28 | 21 | 19,881 | ||||||
7.25%, 05/30/29 | 38 | 39,437 | ||||||
5.25%, 01/30/30 | 22 | 20,802 | ||||||
Catalent Pharma Solutions, Inc.(b): | ||||||||
4.88%, 01/15/26 | 35 | 33,950 | ||||||
5.00%, 07/15/27 | 22 | 21,340 | ||||||
Elanco Animal Health, Inc., 5.65%, 08/28/28(g) | 6 | 6,326 | ||||||
Par Pharmaceutical, Inc., 7.50%, 04/01/27(b) | 85 | 84,575 | ||||||
|
| |||||||
489,607 | ||||||||
Professional Services — 1.2%(b) | ||||||||
ASGN, Inc., 4.63%, 05/15/28 | 20 | 18,578 | ||||||
Dun & Bradstreet Corp. (The): | ||||||||
6.88%, 08/15/26 | 52 | 54,080 | ||||||
10.25%, 02/15/27 | 44 | 46,640 | ||||||
Jaguar Holding Co. II, 6.38%, 08/01/23 | 153 | 155,677 | ||||||
|
| |||||||
274,975 | ||||||||
Real Estate Management & Development — 0.2% | ||||||||
Five Point Operating Co. LP, 7.88%, 11/15/25(b) | 23 | 19,780 | ||||||
Howard Hughes Corp. (The), 5.38%, 03/15/25(b) | 10 | 9,675 | ||||||
Newmark Group, Inc., 6.13%, 11/15/23 | 10 | 10,172 | ||||||
|
| |||||||
39,627 |
7 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Road & Rail — 0.3%(b) | ||||||||
Capitol Investment Merger Sub 2 LLC, 10.00%, 08/01/24 | USD | 25 | $ | 22,500 | ||||
Uber Technologies, Inc.: | ||||||||
7.50%, 11/01/23 | 25 | 24,314 | ||||||
8.00%, 11/01/26 | 14 | 13,895 | ||||||
7.50%, 09/15/27 | 14 | 13,821 | ||||||
|
| |||||||
74,530 | ||||||||
Semiconductors & Semiconductor Equipment — 0.2% | ||||||||
Advanced Micro Devices, Inc., 7.50%, 08/15/22 | 10 | 10,600 | ||||||
Entegris, Inc., 4.63%, 02/10/26(b) | 5 | 4,750 | ||||||
NVIDIA Corp., 2.85%, 04/01/30 | 5 | 5,218 | ||||||
Qorvo, Inc.: | ||||||||
5.50%, 07/15/26 | 19 | 19,860 | ||||||
4.38%, 10/15/29(b) | 8 | 7,440 | ||||||
|
| |||||||
47,868 | ||||||||
Software — 4.5% | ||||||||
ACI Worldwide, Inc., 5.75%, 08/15/26(b) | 76 | 75,240 | ||||||
Ascend Learning LLC: | ||||||||
6.88%, 08/01/25(b) | 69 | 66,930 | ||||||
Camelot Finance SA, 4.50%, 11/01/26(b) | 58 | 56,260 | ||||||
Castle US Holding Corp., 9.50%, 02/15/28(b) | 29 | 27,550 | ||||||
CDK Global, Inc.: | ||||||||
4.88%, 06/01/27 | 47 | 48,175 | ||||||
5.25%, 05/15/29(b) | 15 | 15,300 | ||||||
Change Healthcare Holdings LLC, 5.75%, 03/01/25(b) | 59 | 54,280 | ||||||
Fair Isaac Corp., 4.00%, 06/15/28(b) | 5 | 4,738 | ||||||
Genesys Telecommunications Laboratories, Inc., | 94 | 96,142 | ||||||
Nuance Communications, Inc., 5.63%, 12/15/26 | 29 | 28,222 | ||||||
Open Text Corp., 3.88%, 02/15/28(b) | 37 | 34,780 | ||||||
Open Text Holdings, Inc., 4.13%, 02/15/30(b) | 33 | 31,028 | ||||||
Oracle Corp., 2.95%, 04/01/30 | 138 | 138,950 | ||||||
PTC, Inc.(b): | ||||||||
3.63%, 02/15/25 | 16 | 14,960 | ||||||
4.00%, 02/15/28 | 18 | 17,285 | ||||||
RP Crown Parent LLC, 7.38%, 10/15/24(b) | 62 | 59,074 | ||||||
Solera LLC, 10.50%, 03/01/24(b) | 204 | 199,920 | ||||||
Sophia LP, 9.00%, 09/30/23(b) | 29 | 29,000 | ||||||
SS&C Technologies, Inc., 5.50%, 09/30/27(b) | 69 | 71,913 | ||||||
|
| |||||||
1,069,747 | ||||||||
Specialty Retail — 1.1% | ||||||||
Asbury Automotive Group, Inc.(b): | ||||||||
4.50%, 03/01/28 | 16 | 13,600 | ||||||
4.75%, 03/01/30 | 15 | 12,750 | ||||||
Group 1 Automotive, Inc.: | ||||||||
5.00%, 06/01/22(g) | 5 | 4,600 | ||||||
5.25%, 12/15/23(b) | 4 | 4,105 | ||||||
Home Depot, Inc. (The): | ||||||||
2.70%, 04/15/30 | 10 | 10,168 | ||||||
3.35%, 04/15/50 | 5 | 5,224 | ||||||
L Brands, Inc.: | ||||||||
6.88%, 11/01/35 | 43 | 31,820 | ||||||
6.75%, 07/01/36 | 5 | 3,600 | ||||||
Murphy Oil USA, Inc., 4.75%, 09/15/29 | 15 | 14,063 | ||||||
Penske Automotive Group, Inc., 5.50%, | ||||||||
05/15/26 | 12 | 10,946 | ||||||
PetSmart, Inc.(b): | ||||||||
7.13%, 03/15/23 | 24 | 22,350 | ||||||
5.88%, 06/01/25 | 31 | 30,535 | ||||||
SRS Distribution, Inc., 8.25%, 07/01/26(b) | 42 | 31,920 | ||||||
Staples, Inc., 7.50%, 04/15/26(b) | 79 | 69,816 | ||||||
|
| |||||||
265,497 |
Security | Par (000) | Value | ||||||
Technology Hardware, Storage & Peripherals — 0.5% | ||||||||
Dell International LLC, 7.13%, 06/15/24(b) | USD | 29 | $ | 29,943 | ||||
NCR Corp.(b): | ||||||||
5.75%, 09/01/27 | 7 | 6,370 | ||||||
6.13%, 09/01/29 | 20 | 18,678 | ||||||
Western Digital Corp., 4.75%, 02/15/26 | 57 | 57,855 | ||||||
Xerox Corp., 4.80%, 03/01/35 | 18 | 14,580 | ||||||
|
| |||||||
127,426 | ||||||||
Textiles, Apparel & Luxury Goods — 0.0% | ||||||||
William Carter Co. (The), 5.63%, 03/15/27(b) | 9 | 8,708 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.5%(b) | ||||||||
Ladder Capital Finance Holdings LLLP, 4.25%, 02/01/27 | 66 | 52,140 | ||||||
Nationstar Mortgage Holdings, Inc.: | ||||||||
8.13%, 07/15/23 | 25 | 24,445 | ||||||
9.13%, 07/15/26 | 12 | 10,860 | ||||||
6.00%, 01/15/27 | 28 | 23,800 | ||||||
|
| |||||||
111,245 | ||||||||
Trading Companies & Distributors — 1.0% | ||||||||
Beacon Roofing Supply, Inc.(b): | ||||||||
4.88%, 11/01/25 | 5 | 4,513 | ||||||
4.50%, 11/15/26 | 8 | 7,382 | ||||||
HD Supply, Inc., 5.38%, 10/15/26(b) | 137 | 133,181 | ||||||
Herc Holdings, Inc., 5.50%, 07/15/27(b) | 24 | 22,320 | ||||||
United Rentals North America, Inc.: | ||||||||
5.50%, 07/15/25 | 3 | 2,940 | ||||||
4.63%, 10/15/25 | 28 | 26,880 | ||||||
5.88%, 09/15/26 | 4 | 4,051 | ||||||
4.88%, 01/15/28 | 15 | 14,550 | ||||||
4.00%, 07/15/30 | 15 | 13,425 | ||||||
|
| |||||||
229,242 | ||||||||
Wireless Telecommunication Services — 1.8% | ||||||||
Connect Finco SARL, 6.75%, 10/01/26(b) | 209 | 172,686 | ||||||
Gogo Intermediate Holdings LLC, 9.88%, 05/01/24(b) | 33 | 26,070 | ||||||
Hughes Satellite Systems Corp., 5.25%, 08/01/26 | 9 | 8,910 | ||||||
Sprint Corp.: | ||||||||
7.88%, 09/15/23 | 35 | 38,415 | ||||||
7.13%, 06/15/24 | 15 | 16,465 | ||||||
7.63%, 02/15/25 | 35 | 38,675 | ||||||
7.63%, 03/01/26 | 36 | 40,745 | ||||||
T-Mobile USA, Inc.: | ||||||||
4.00%, 04/15/22 | 10 | 10,025 | ||||||
6.50%, 01/15/26 | 18 | 18,900 | ||||||
4.50%, 02/01/26 | 33 | 33,743 | ||||||
4.75%, 02/01/28 | 14 | 14,585 | ||||||
Xplornet Communications, Inc., 9.63%, (9.63% | ||||||||
Cash or 10.63% PIK), 06/01/22(b)(f) | 14 | 12,732 | ||||||
|
| |||||||
431,951 | ||||||||
|
| |||||||
Total Corporate Bonds — 83.8% | ||||||||
(Cost: $22,003,192) | 19,890,606 | |||||||
|
| |||||||
Floating Rate Loan Interests — 9.5%(i) | ||||||||
Aerospace & Defense — 0.1% | ||||||||
Sequa Mezzanine Holdings LLC, 1st Lien Term | ||||||||
Loan, (LIBOR USD 3 Month + 5.00%), | ||||||||
6.74%, 11/28/21 | 19 | 15,511 | ||||||
|
| |||||||
Auto Components — 0.1% | ||||||||
Panther BF Aggregator 2 LP, Term Loan | ||||||||
B, (LIBOR USD 1 Month + 3.50%), | ||||||||
4.44%, 04/30/26(j) | 24 | 21,915 | ||||||
|
|
8 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Automobiles — 0.0% | ||||||||
Dealer Tire LLC, Term Loan B1, | USD | 7 | $ | 5,656 | ||||
|
| |||||||
Building Products — 0.0% | ||||||||
CPG Merger Sub LLC, Term Loan, | 10 | 8,695 | ||||||
|
| |||||||
Capital Markets — 0.0% | ||||||||
Jefferies Finance LLC, Term Loan, | 11 | 8,728 | ||||||
|
| |||||||
Chemicals — 0.4% | ||||||||
Alpha 3 BV, Term Loan, 01/31/24(j)(k) | 62 | 56,535 | ||||||
Ascend Performance Materials LLC, Term Loan B, | 39 | 32,596 | ||||||
Invictus Co., Term Loan B26, | 5 | 3,675 | ||||||
Momentive Performance Materials, Inc., Term Loan, | 8 | 6,072 | ||||||
|
| |||||||
98,878 | ||||||||
Commercial Services & Supplies — 0.6% | ||||||||
Advanced Disposal Services, Inc., Term Loan, 11/10/23(k) | 4 | 3,708 | ||||||
Brand Energy & Infrastructure Services, Inc., Term Loan, | 130 | 103,249 | ||||||
Diamond (BC) BV, Term Loan, | 19 | 13,953 | ||||||
GFL Environmental, Inc., Term Loan B, | 13 | 12,262 | ||||||
Tempo Acquisition LLC, Term Loan, 05/01/24(k) | 3 | 2,430 | ||||||
|
| |||||||
135,602 | ||||||||
Construction & Engineering — 0.1% | ||||||||
SRS Distribution, Inc., Term Loan B, | 30 | 24,976 | ||||||
|
| |||||||
Containers & Packaging — 0.1% | ||||||||
BWAY Holding Co., Term Loan, | 16 | 12,838 | ||||||
Charter NEX US, Inc., 1st Lien Term Loan, | 8 | 6,788 | ||||||
|
| |||||||
19,626 | ||||||||
Diversified Consumer Services — 0.1% | ||||||||
Maverick Purchaser Sub LLC, Term Loan, | 7 | 6,440 | ||||||
Sotheby’s, Inc., Term Loan B, | 11 | 8,585 | ||||||
TierPoint LLC, Term Loan, | 14 | 12,003 | ||||||
|
| |||||||
27,028 | ||||||||
Diversified Financial Services — 0.3% | ||||||||
Advisor Group Holdings, Inc., Term Loan, | 9 | 6,606 | ||||||
Deerfield Dakota Holding LLC, Term Loan, 12/30/30(j)(k) | 8 | 6,538 | ||||||
Triton Bidco, Term Loan B, | 47 | 36,616 |
Security | Par (000) | Value | ||||||
Diversified Financial Services (continued) | ||||||||
VS Buyer LLC, Term Loan B, (LIBOR USD 3 | ||||||||
Month + 3.25%), 4.86%, 02/28/27(j) | USD | 7 | $ | 6,685 | ||||
WP CPP Holdings, Term Loan B, (LIBOR USD | ||||||||
3 Month + 3.75%), 5.36% - 5.53%, 03/16/25 | 6 | 4,444 | ||||||
|
| |||||||
60,889 | ||||||||
Diversified Telecommunication Services — 1.2% | ||||||||
Altice France SA, Term Loan, | 14 | 13,548 | ||||||
CenturyLink, Inc., Term Loan B, | 45 | 41,880 | ||||||
Frontier Communications Corp., Term Loan B, 06/15/24(k) | 59 | 56,243 | ||||||
Ligado Networks LLC, 1st Lien Term Loan, | 88 | 52,377 | ||||||
Ligado Networks LLC, Term Loan, | ||||||||
13.50%, 12/07/20(l) | 90 | 12,599 | ||||||
Zayo Group LLC, Term Loan, 03/09/27(k) | 114 | 107,160 | ||||||
|
| |||||||
283,807 | ||||||||
Energy Equipment & Services — 0.5% | ||||||||
McDermott International, Inc., Term Loan, 10/21/20(k) | 13 | 11,653 | ||||||
Mcdermott Technology, Term Loan, | 25 | 22,364 | ||||||
Pioneer Energy Services Corp., Term Loan, | 80 | 75,200 | ||||||
|
| |||||||
109,217 | ||||||||
Entertainment — 0.0% | ||||||||
Renaissance Learning, Inc., Term Loan, 05/24/25(k) | 1 | 531 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 0.4% | ||||||||
Immucor, Inc., 1st Lien Term Loan, | 82 | 70,204 | ||||||
Sotera Health Holdings LLC, Term Loan, | 42 | 36,370 | ||||||
|
| |||||||
106,574 | ||||||||
Health Care Providers & Services — 0.6% | ||||||||
AHP Health Partners, Inc., Term Loan, | 14 | 11,885 | ||||||
Azalea TopCo, Inc., Term Loan, | 14 | 12,633 | ||||||
Envision Healthcare Corp., Term Loan, | 91 | 45,761 | ||||||
Gentiva Health Services, Inc., Term Loan B, | 15 | 13,992 | ||||||
Ortho-Clinical Diagnostics, Inc., Term Loan B, | 14 | 11,771 | ||||||
Quorum Health Corp., 1st Lien Term Loan, | 19 | 15,137 | ||||||
Regionalcare Hospital, Term Loan B, 11/16/25(k) | 9 | 8,770 | ||||||
WCG Purchaser Corp., Term Loan, | 18 | 16,920 | ||||||
|
| |||||||
136,869 | ||||||||
Health Care Technology — 0.2% | ||||||||
Athenahealth, Inc., Term Loan B, | 54 | 50,288 | ||||||
|
|
9 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Hotels, Restaurants & Leisure — 0.1% | ||||||||
Stars Group Holdings BV, Term Loan, 07/10/25(k) | USD 13 | $ | 12,034 | |||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.0% | ||||||||
Calpine Corp., Term Loan, | 2 | 1,427 | ||||||
|
| |||||||
Industrial Conglomerates — 0.2%(j) | ||||||||
PSAV Holdings LLC, 2nd Lien Term Loan, | 26 | 15,852 | ||||||
Vertiv Group Corp., Term Loan, 03/02/27(k) | 32 | 27,520 | ||||||
|
| |||||||
43,372 | ||||||||
Insurance — 0.5% | ||||||||
Asurion LLC, 2nd Lien Term Loan B2, | 46 | 41,918 | ||||||
Asurion LLC, Term Loan B4, 08/04/22(k) | 4 | 3,674 | ||||||
Hub International Ltd., Term Loan B, | 17 | 15,898 | ||||||
Sedgwick, 1st Lien Term Loan, | 31 | 27,588 | ||||||
Sedgwick, Inc., 1st Lien Term Loan B, | 23 | 20,459 | ||||||
|
| |||||||
109,537 | ||||||||
IT Services — 0.7% | ||||||||
Boxer Parent Co., Inc., Term Loan B, 10/02/25(k) | 14 | 11,554 | ||||||
Camelot U.S. Acquisition 1 Co., Term Loan B, | 16 | 15,002 | ||||||
CCC Information Services, Inc., Term Loan, 04/29/24(k) | 4 | 3,223 | ||||||
Mitchell International, Inc., 1st Lien Term Loan, | 11 | 9,413 | ||||||
Mitchell International, Inc., 2nd Lien Term Loan, | 10 | 7,500 | ||||||
Peak 10 Holding Corp., 2nd Lien Term Loan, | 7 | 2,648 | ||||||
Pug LLC, Term Loan, | 16 | 13,298 | ||||||
Solera LLC, Term Loan B1, 03/03/23(k) | 11 | 10,231 | ||||||
SS&C Technologies Holdings, Inc., Term Loan B, | 12 | 11,040 | ||||||
Verscend Holding Corp., Term Loan B, | 83 | 77,671 | ||||||
|
| |||||||
161,580 | ||||||||
Machinery — 0.3% | ||||||||
Ingersoll-Rand Services Co., Term Loan, | 8 | 7,480 | ||||||
MHI Holdings LLC, Term Loan B, | 20 | 16,459 | ||||||
Titan Acquisition Ltd., Term Loan, | 72 | 58,371 | ||||||
|
| |||||||
82,310 | ||||||||
Media — 1.2% | ||||||||
Ascend Learning LLC, Term Loan B, 07/12/24(k) | 5 | 4,430 | ||||||
Clear Channel Outdoor Holdings, Inc., Term Loan, | 65 | 54,960 |
Security | Par (000) | Value | ||||||
Media (continued) | ||||||||
Intelsat Jackson Holdings SA, Term Loan: | USD 8 | $ | 7,654 | |||||
(LIBOR USD 6 Month + 4.50%), | ||||||||
6.43%, 01/02/24 | 31 | 28,502 | ||||||
6.63%, 01/02/24(l) | 164 | 151,674 | ||||||
Learfield Communications LLC, Term Loan, | 7 | 4,577 | ||||||
Terrier Media Buyer, Inc., Term Loan, 12/17/26(k) | 14 | 12,108 | ||||||
Xplornet Communications, Inc., Term | ||||||||
Loan, (LIBOR USD 3 Month + 4.00%), 5.45%, 09/09/21(j) | 17 | 16,299 | ||||||
|
| |||||||
280,204 | ||||||||
Oil, Gas & Consumable Fuels — 0.3% | ||||||||
California Resources Corp., Term Loan, | 45 | 2,142 | ||||||
Chesapeake Energy Corp., Term Loan, | 129 | 49,665 | ||||||
CNX Resources Corp., Term Loan, | 13 | 8,493 | ||||||
|
| |||||||
60,300 | ||||||||
Pharmaceuticals — 0.3% | ||||||||
Bausch Health Cos., Inc., Term Loan, | 30 | 28,824 | ||||||
Endo Pharmaceuticals, Inc., Term Loan B, | 20 | 18,016 | ||||||
Jaguar Holding Co. I, Term Loan, 08/18/22(k) | 19 | 18,413 | ||||||
|
| |||||||
65,253 | ||||||||
Professional Services — 0.1% | ||||||||
Dun & Bradstreet Corp. (The), | 36 | 31,906 | ||||||
|
| |||||||
Road & Rail — 0.0% | ||||||||
Uber Technologies, Inc., Term Loan, 03/14/25(k) | 12 | 11,365 | ||||||
|
| |||||||
Software — 0.9% | ||||||||
Castle US Holding Corp., Term Loan, | 19 | 15,069 | ||||||
Infor US, Inc., Term Loan, 02/01/22(k) | 11 | 10,967 | ||||||
Informatica LLC, Term Loan: | 39 | 34,320 | ||||||
(LIBOR USD 1 Month + 3.25%), | ||||||||
4.24%, 02/25/27 | 19 | 16,372 | ||||||
Kronos, Inc., 1st Lien Term Loan B, 11/01/23(k) | 5 | 4,527 | ||||||
Kronos, Inc., 2nd Lien Term Loan B, | 63 | 57,250 | ||||||
PowerSchool Group LLC, 1st Lien Term Loan, | 9 | 7,599 | ||||||
Refinitiv US Holdings, Inc., Term Loan, | 17 | 16,080 | ||||||
RP Crown Parent LLC, 1st Lien Term Loan, 10/12/23(j)(k) | 3 | 3,021 | ||||||
SS&C Technologies Holdings, Inc., Term Loan, | 8 | 7,512 | ||||||
TIBCO Software, Inc., 1st Lien Term Loan, 06/30/26(j)(k) | 25 | 23,840 | ||||||
TIBCO Software, Inc., 2nd Lien Term Loan, | 18 | 16,740 |
10 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Software (continued) | ||||||||
Ultimate Software Group, Inc. (The), 1st Lien Term Loan, 05/04/26(k) | USD 10 | $ | 9,049 | |||||
|
| |||||||
222,346 | ||||||||
Specialty Retail — 0.1% | ||||||||
PetSmart, Inc., Term Loan, 03/11/22(k) | 37 | 35,575 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.1% | ||||||||
Sprint Communications, Inc., Term Loan, 02/02/24(j)(k) | 15 | 15,287 | ||||||
|
| |||||||
Total Floating Rate Loan Interests — 9.5% | ||||||||
(Cost: $2,757,942) | 2,247,286 | |||||||
|
| |||||||
Beneficial Interest (000) | ||||||||
Other Interests — 0.0%(m) | ||||||||
Auto Components — 0.0% | ||||||||
Lear Corp., Escrow(a)(c)(j) | 250 | — | ||||||
|
| |||||||
Capital Markets — 0.0% | ||||||||
Lehman Brothers Holdings Capital Trust | ||||||||
Escrow Bonds(a)(c) | 140 | 1,470 | ||||||
|
| |||||||
Total Other Interests — 0.0% | 1,470 | |||||||
|
| |||||||
Par (000) | ||||||||
Capital Trusts — 3.2% | ||||||||
Banks — 3.1%(d)(i) | ||||||||
Bank of America Corp.: | ||||||||
Series X, 6.25% | 66 | 66,990 | ||||||
Series Z, 6.50% | 45 | 47,475 | ||||||
Series AA, 6.10% | 116 | 117,160 | ||||||
Series DD, 6.30% | 10 | 10,500 | ||||||
CIT Group, Inc., Series A, 5.80% | 26 | 22,620 | ||||||
Citigroup, Inc., Series V, 4.70% | 59 | 50,539 | ||||||
JPMorgan Chase & Co.: | ||||||||
Series V, 5.23% | 65 | 56,420 | ||||||
Series Q, 5.15% | 20 | 19,000 | ||||||
Series R, 6.00% | 5 | 4,950 | ||||||
Series S, 6.75% | 15 | 15,675 |
Security | Par (000) | Value | ||||||
Banks (continued) | ||||||||
Series U, 6.13% | USD 7 | $ | 6,650 | |||||
Series FF, 5.00% | 110 | 103,316 | ||||||
Series X, 6.10% | 78 | 79,482 | ||||||
Series HH, 4.60% | 58 | 50,762 | ||||||
Wells Fargo & Co., Series U, 5.87% | 92 | 93,380 | ||||||
|
| |||||||
744,919 | ||||||||
Capital Markets — 0.1% | ||||||||
Morgan Stanley, Series H, 5.44%(d)(i) | 27 | 22,748 | ||||||
|
| |||||||
Total Capital Trusts — 3.2% | ||||||||
(Cost: $818,349) | 767,667 | |||||||
|
| |||||||
Total Long-Term Investments — 97.4% | ||||||||
(Cost: $25,930,556) | 23,116,528 | |||||||
|
| |||||||
Shares | ||||||||
Short-Term Securities — 1.0%(n) | ||||||||
BlackRock Liquidity Funds,T-Fund, Institutional Class, 0.21%* | 221,304 | 221,304 | ||||||
JPMorgan U.S. Treasury Plus Money Market Fund, | 4,953 | 4,953 | ||||||
|
| |||||||
Total Short-Term Securities — 1.0% | ||||||||
(Cost: $226,257) | 226,257 | |||||||
|
| |||||||
Total Options Purchased — 0.0% | ||||||||
(Cost: $6,671) | 70 | |||||||
|
| |||||||
Total Investments Before Options Written — 98.4% | ||||||||
(Cost: $26,163,484) | 23,342,855 | |||||||
|
| |||||||
Total Options Written — (0.0)% | ||||||||
(Premium Received — $1,090) | (14) | |||||||
|
| |||||||
Total Investments Net of Options Written — 98.4% | ||||||||
(Cost: $26,162,394) | 23,342,841 | |||||||
Other Assets Less Liabilities — 1.6% | 378,826 | |||||||
|
| |||||||
Net Assets — 100.0% | $ 23,721,667 | |||||||
|
|
(a) | Non-income producing security. |
(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) | Issuer filed for bankruptcy and/or is in default. |
(d) | Perpetual security with no stated maturity date. |
(e) | 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. |
(f) | 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. |
(g) | 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. |
(h) | Convertible security. |
(i) | Variable rate security. Rate shown is the rate in effect as of period end. |
(j) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(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. |
(l) | Fixed rate. |
(m) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
(n) | Annualized7-day yield as of period end. |
* | Investments in issuers considered to be an affiliate/affiliates of the Fund during the period ended March 31, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
11 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock High Yield Portfolio |
Affiliated Issuer | Shares Held at 12/31/19 | Shares Purchased | Shares Sold | Shares Held at 03/31/20 | Value at 03/31/20 | Income | Net Realized Gain (Loss)(a) | Change in Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
BlackRock Liquidity Funds,T-Fund, Institutional Class(b) | 226,951 | — | (5,647 | ) | 221,304 | $ | 221,304 | $ | 1,371 | $ | — | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
(a) | Includes net capital gain distributions, if applicable. |
(b) | Represents net shares purchased (sold). |
12 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock High Yield Portfolio |
Derivative Financial Instruments Outstanding as of Period End
Forward Foreign Currency Exchange Contracts
| ||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||
| ||||||||||||||||
CAD | 7,000 | USD | 4,939 | Deutsche Bank AG | 04/03/20 | $ | 35 | |||||||||
USD | 5,245 | CAD | 7,000 | HSBC Bank plc | 04/03/20 | 270 | ||||||||||
|
| |||||||||||||||
305 | ||||||||||||||||
|
| |||||||||||||||
USD | 4,941 | CAD | 7,000 | Deutsche Bank AG | 05/05/20 | (35 | ) | |||||||||
|
| |||||||||||||||
Net Unrealized Appreciation | $ | 270 | ||||||||||||||
|
|
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 | |||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Put10-Year Interest Rate Swap(a) | 2.20 | % | Semi-Annual | 3 month LIBOR | Quarterly | Bank of America NA | 06/22/20 | 2.20 | % | USD | 1,090 | $ | 70 | |||||||||||||||||||
|
|
(a) | Forward settling swaption. |
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 | |||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Put10-Year Interest Rate Swap(a) | 2.70 | % | Semi-Annual | 3 month LIBOR | Quarterly | Bank of America NA | 06/22/20 | 2.70 | % | USD | 1,090 | $ | (14 | ) | ||||||||||||||||||
|
|
(a) | Forward settling swaption. |
Centrally Cleared Credit Default Swaps — Sell Protection
| ||||||||||||||||||||||||||||
Reference Obligation/Index | Financing Rate Received by the Fund | Payment Frequency | Termination Date | Credit Rating (a) | Notional (000) (b) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
| ||||||||||||||||||||||||||||
CDX.NA.HY.34.V1 | 5.00 | % | Quarterly | 06/20/25 | B- | USD | 268 | $ | (16,759 | ) | $ | (10,803 | ) | $ | (5,956 | ) | ||||||||||||
|
|
|
|
|
|
(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. |
13 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock High Yield Portfolio |
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 | $ | (510 | ) | $ | (457 | ) | $ | (53 | ) | |||||||||||||||||
Chesapeake Energy Corp. | 5.00 | Quarterly | Barclays Bank plc | 12/20/23 | CCC- | USD | 8 | (7,000 | ) | 11 | (7,011 | ) | ||||||||||||||||||||||
Chesapeake Energy Corp. | 5.00 | Quarterly | Barclays Bank plc | 12/20/23 | CCC- | USD | 16 | (14,000 | ) | 112 | (14,112 | ) | ||||||||||||||||||||||
CenturyLink, Inc. | 1.00 | Quarterly | Barclays Bank plc | 06/20/25 | NR | USD | 6 | (652 | ) | (831 | ) | 179 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
$ | (22,162 | ) | $ | (1,165 | ) | $ | (20,997 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
(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. |
The following reference rates, and their values as of period end, are used for security descriptions:
Reference Index | Reference Rate | |||||
3 month LIBOR | London Interbank Offered Rate | 1.45 | % |
Glossary of Terms Used in this Report
Currency | ||
CAD | Canadian Dollar | |
EUR | Euro | |
USD | United States Dollar |
Portfolio Abbreviations | ||
LIBOR | London Interbank Offered Rate | |
MSCI | Morgan Stanley Capital International | |
OTC | Over-the-counter | |
PIK | Payment-In-Kind | |
REIT | Real Estate Investment Trust | |
SOFR | Secured Overnight Financing Rate |
14 |
Schedule of Investments (unaudited) (continued) March 31, 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. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
• | Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the 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 BlackRock Global Valuation Methodologies Committee’s (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 privately held companies or funds. 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. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Fund’s most recent financial statements as contained in its annual report.
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: | ||||||||||||||||
Aerospace & Defense | $ | 3,867 | $ | — | $ | — | $ | 3,867 | ||||||||
Chemicals | 76,034 | — | — | 76,034 | ||||||||||||
Energy Equipment & Services | — | 39 | — | 39 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) | 69,054 | — | — | 69,054 | ||||||||||||
Life Sciences Tools & Services | 2,030 | — | — | 2,030 | ||||||||||||
Media | 5,496 | — | — | 5,496 | ||||||||||||
Metals & Mining | 26,133 | — | — | 26,133 | ||||||||||||
Pharmaceuticals | 26,846 | — | — | 26,846 | ||||||||||||
Corporate Bonds(a) | — | 19,890,606 | — | 19,890,606 | ||||||||||||
Floating Rate Loan Interests: | ||||||||||||||||
Aerospace & Defense | — | 15,511 | — | 15,511 | ||||||||||||
Auto Components | — | — | 21,915 | 21,915 | ||||||||||||
Automobiles | — | 5,656 | — | 5,656 | ||||||||||||
Building Products | — | 8,695 | — | 8,695 | ||||||||||||
Capital Markets | — | 8,728 | — | 8,728 | ||||||||||||
Chemicals | — | 6,072 | 92,806 | 98,878 | ||||||||||||
Commercial Services & Supplies | — | 135,602 | — | 135,602 | ||||||||||||
Construction & Engineering | — | 24,976 | — | 24,976 | ||||||||||||
Containers & Packaging | — | 19,626 | — | 19,626 | ||||||||||||
Diversified Consumer Services | — | 27,028 | — | 27,028 | ||||||||||||
Diversified Financial Services | — | 47,666 | 13,223 | 60,889 | ||||||||||||
Diversified Telecommunication Services | — | 231,430 | 52,377 | 283,807 | ||||||||||||
Energy Equipment & Services | — | 34,017 | 75,200 | 109,217 | ||||||||||||
Entertainment | — | 531 | — | 531 | ||||||||||||
Health Care Equipment & Supplies | — | 106,574 | — | 106,574 | ||||||||||||
Health Care Providers & Services | — | 93,324 | 43,545 | 136,869 | ||||||||||||
Health Care Technology | — | — | 50,288 | 50,288 | ||||||||||||
Hotels, Restaurants & Leisure | — | 12,034 | — | 12,034 | ||||||||||||
Independent Power and Renewable Electricity Producers | — | — | 1,427 | 1,427 | ||||||||||||
Industrial Conglomerates | — | — | 43,372 | 43,372 | ||||||||||||
Insurance | — | 109,537 | — | 109,537 | ||||||||||||
IT Services | — | 55,609 | 105,971 | 161,580 |
15 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock High Yield Portfolio |
| ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| ||||||||||||||||
Machinery | $ | — | $ | 82,310 | $ | — | $ | 82,310 | ||||||||
Media | — | 263,905 | 16,299 | 280,204 | ||||||||||||
Oil, Gas & Consumable Fuels | — | 60,300 | — | 60,300 | ||||||||||||
Pharmaceuticals | — | 65,253 | — | 65,253 | ||||||||||||
Professional Services | — | — | 31,906 | 31,906 | ||||||||||||
Road & Rail | — | 11,365 | — | 11,365 | ||||||||||||
Software | — | 129,356 | 92,990 | 222,346 | ||||||||||||
Specialty Retail | — | 35,575 | — | 35,575 | ||||||||||||
Wireless Telecommunication Services | — | — | 15,287 | 15,287 | ||||||||||||
Other Interests | — | 1,470 | — | 1,470 | ||||||||||||
Capital Trusts(a) | — | 767,667 | — | 767,667 | ||||||||||||
Short-Term Securities | 226,257 | — | — | 226,257 | ||||||||||||
Options Purchased: | ||||||||||||||||
Interest rate contracts | — | 70 | — | 70 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 435,717 | $ | 22,250,532 | $ | 656,606 | $ | 23,342,855 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Financial Instruments(b) | ||||||||||||||||
Assets: | ||||||||||||||||
Credit contracts | $ | — | $ | 179 | $ | — | $ | 179 | ||||||||
Foreign currency exchange contracts | — | 305 | — | 305 | ||||||||||||
Liabilities: | ||||||||||||||||
Credit contracts | — | (27,132 | ) | — | (27,132 | ) | ||||||||||
Foreign currency exchange contracts | — | (35 | ) | — | (35 | ) | ||||||||||
Interest rate contracts | — | (14 | ) | — | (14 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | — | $ | (26,697 | ) | $ | — | $ | (26,697 | ) | |||||||
|
|
|
|
|
|
|
|
(a) | See above Schedule of Investments for values in each industry. |
(b) | Derivative financial instruments are swaps, forward foreign currency exchange contracts and options written. Swaps 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’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.
| ||||
Floating Loan | ||||
| ||||
Investments: | ||||
Assets: | ||||
Opening balance, as of December 31, 2019 | $ | 155,113 | ||
Transfers into level 3(a) | 483,802 | |||
Transfers out of level 3 | (9,575 | ) | ||
Accrued discounts/premiums | 1,881 | |||
Net realized loss | (401 | ) | ||
Net change in unrealized depreciation(b) | (69,525 | ) | ||
Purchases | 199,932 | |||
Sales | (104,621 | ) | ||
|
| |||
Closing balance, as of March 31, 2020 | $ | 656,606 | ||
|
| |||
Net change in unrealized depreciation on investments still held at March 31, 2020(b) | $ | (69,082 | ) | |
|
|
(a) | As of December 31, 2019, the Fund used observable inputs in determining the value of certain investments. As of March 31, 2020, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy. |
(b) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at March 31, 2020 is generally due to investments no longer held or categorized as Level 3 at period end. |
The Fund’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.
16 |