BlackRock Series Fund II NPORT-P BlackRock U.S. Government Bond Portfolio (Sep 2020 report)

BlackRock

U.S.

Government

Bond

Portfolio

1

(Percentages

shown

are

based

on

Net

Assets)

Schedule

of

Investments

(unaudited)

September

30,

2020

Security

Par

(000)

Value

Asset-Backed

Securities

—

1.8%

(a)

Dryden

XXVIII

Senior

Loan

Fund,

Series

2013-

28A,

Class

A1LR,

(LIBOR

USD

3

Month

+

1.20%),

1.48%,

08/15/30

(b)

..........

USD

500

$

494,555

Progress

Residential

Trust,

Series

2017-SFR1,

Class

A,

2.77%,

08/17/34

...........

99

101,244

Romark

WM-R

Ltd.,

Series

2018-1A,

Class

A1,

(LIBOR

USD

3

Month

+

1.03%),

1.30%,

04/20/31

(b)

.....................

396

395,116

Total

Asset-Backed

Securities

—

1.8%

(Cost:

$995,255)

................................

990,915

Foreign

Government

Obligations

—

3.1%

China

—

2.7%

People's

Republic

of

China:

1.99%,

04/09/25

.................

CNY

6,920

976,415

2.68%,

05/21/30

.................

3,620

512,947

1,489,362

Colombia

—

0.0%

Republic

of

Colombia:

6.25%,

11/26/25

.................

COP

20,300

5,795

7.25%,

10/18/34

.................

57,000

16,217

22,012

Italy

—

0.3%

Republic

of

Italy,

1.80%,

03/01/41

(a)

.......

EUR

135

165,789

Russia

—

0.1%

Russian

Federation:

8.15%,

02/03/27

.................

RUB

928

13,458

6.00%,

10/06/27

.................

515

6,664

6.90%,

05/23/29

.................

1,060

14,374

8.50%,

09/17/31

.................

1,044

15,791

50,287

Total

Foreign

Government

Obligations

—

3.1%

(Cost:

$1,708,425)

..............................

1,727,450

Non-Agency

Mortgage-Backed

Securities

—

4.1%

Commercial

Mortgage-Backed

Securities

—

3.6%

BANK

(c)

:

Series

2020-BN25,

Class

B,

3.04%,

01/15/63

....................

USD

11

12,229

Series

2020-BN26,

Class

B,

2.91%,

03/15/63

....................

164

173,279

BFLD

Trust,

Series

2020-EYP,

Class

A,

1.35%,

10/15/22

(a)(c)

....................

128

128,000

BX

Commercial

Mortgage

Trust,

Series

2019-

XL,

Class

D,

1.60%,

10/15/36

(a)(c)

......

285

283,018

BX

Trust,

Series

2019-OC11,

Class

A,

3.20%,

12/09/41

(a)

.....................

275

291,096

CFK

Trust,

Series

2020-MF2,

Class

B,

2.79%,

03/15/39

(a)

.....................

140

139,071

Citigroup

Commercial

Mortgage

Trust,

Series

2016-P6,

Class

B,

4.38%,

12/10/49

(c)

...

50

52,295

Commercial

Mortgage

Trust:

Series

2017-COR2,

Class

AM,

3.80%,

09/10/50

....................

19

21,654

Series

2017-PANW,

Class

A,

3.24%,

10/10/29

(a)

...................

350

369,656

Credit

Suisse

Mortgage

Capital

Certificates,

Series

2020-NET,

Class

A,

2.26%,

08/15/37

(a)

.....................

100

103,124

CSAIL

Commercial

Mortgage

Trust,

Series

2019-C17,

Class

C,

3.93%,

09/15/52

...

80

86,065

Security

Par

(000)

Value

Commercial

Mortgage-Backed

Securities

(continued)

Hudson

Yards

Mortgage

Trust,

Series

2019-

30HY,

Class

D,

3.56%,

07/10/39

(a)(c)

....

USD

101

$

103,910

KKR

Industrial

Portfolio

Trust,

Series

2020-AIP,

Class

A,

1.19%,

03/15/37

(a)(c)

.........

33

33,355

Morgan

Stanley

Capital

I

Trust:

Series

2018-H3,

Class

B,

4.62%,

07/15/51

(c)

34

39,632

Series

2018-SUN,

Class

A,

1.30%,

07/15/35

(a)(c)

..................

130

125,798

Series

2020-HR8,

Class

AS,

2.30%,

07/15/53

....................

16

16,549

Series

2020-HR8,

Class

B,

2.70%,

07/15/53

19

19,513

1,998,244

Interest

Only

Commercial

Mortgage-Backed

Securities

—

0.5%

(c)

CSAIL

Commercial

Mortgage

Trust,

Series

2019-C16,

Class

XA,

1.73%,

06/15/52

..

1,546

163,934

UBS

Commercial

Mortgage

Trust,

Series

2019-

C17,

Class

XA,

1.64%,

10/15/52

......

993

103,588

267,522

Total

Non-Agency

Mortgage-Backed

Securities

—

4.1%

(Cost:

$2,249,033)

..............................

2,265,766

U.S.

Government

Sponsored

Agency

Securities

—

58.7%

Agency

Obligations

—

0.9%

Federal

Home

Loan

Bank,

4.00%, 04/10/28

.

400

495,137

Collateralized

Mortgage

Obligations

—

0.5%

Federal

National

Mortgage

Association,

Series

2011-8,

Class

ZA,

4.00%, 02/25/41

.....

161

177,039

Government

National

Mortgage

Association

Variable

Rate

Notes,

Series

2014-107,

Class

WX,

6.78%, 07/20/39

(c)

.............

84

99,087

276,126

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

...............

203

218,338

Series

2019-SB61,

Class

A10F,

3.17%, 01/25/29

...............

152

164,288

Government

National

Mortgage

Association,

Series

2019-7,

Class

V,

3.00%, 05/16/35

.

21

23,246

405,872

Interest

Only

Commercial

Mortgage-Backed

Securities

—

1.1%

Federal

Home

Loan

Mortgage

Corp.,

Series

2015-K718,

Class

X2A,

0.10%, 02/25/48

(a)

16,455

13,674

Government

National

Mortgage

Association

Variable

Rate

Notes:

Series

2002-83,

0.00%, 10/16/42

(c)

.....

422

—

Series

2003-17,

0.00%, 03/16/43

(c)

.....

402

4

Series

2003-109,

0.00%, 11/16/43

(c)

....

813

32

Series

2016-22,

0.76%, 11/16/55

(c)

.....

1,553

69,910

Series

2016-45,

0.97%, 02/16/58

(c)

.....

891

52,182

Series

2016-92,

0.90%, 04/16/58

(c)

.....

451

25,142

Series

2016-113,

(LIBOR

USD

1

Month

+

0.00%),

1.16%, 02/16/58

(b)

........

1,066

79,268

Series

2016-151,

1.06%, 06/16/58

(c)

....

862

57,559

Series

2017-30,

0.67%, 08/16/58

(c)

.....

473

22,108

Series

2017-44,

0.67%, 04/17/51

(c)

.....

507

23,851

Series

2017-53,

0.66%, 11/16/56

(c)

.....

3,245

150,753

Series

2017-61,

0.77%, 05/16/59

(c)

.....

383

22,889

Series

2017-64,

0.68%, 11/16/57

(c)

.....

561

30,724

Series

2017-72,

0.66%, 04/16/57

(c)

.....

905

46,657

594,753

BlackRock

U.S.

Government

Bond

Portfolio

2

(Percentages

shown

are

based

on

Net

Assets)

Schedule

of

Investments

(unaudited)

(continued)

September

30,

2020

Security

Par

(000)

Value

Mortgage-Backed

Securities

—

55.5%

Federal

Home

Loan

Mortgage

Corp.:

2.50%, 03/01/30

-

04/01/31

..........

USD

145

$

153,919

3.00%, 09/01/27

-

12/01/46

..........

386

413,942

3.50%, 04/01/31

-

01/01/48

..........

604

662,175

4.00%, 08/01/40

-

02/01/47

..........

128

141,905

4.50%, 02/01/39

-

07/01/47

..........

187

210,205

5.00%, 11/01/41

.................

79

90,545

5.50%, 06/01/41

.................

78

90,284

8.00%, 03/01/30

-

06/01/31

..........

11

11,857

Federal

National

Mortgage

Association:

3.00%, 02/01/44

.................

50

53,071

3.50%, 11/01/46

.................

156

168,293

4.00%, 01/01/41

.................

5

5,827

Government

National

Mortgage

Association:

2.00%, 10/15/50

(d)

................

44

45,712

2.50%, 10/15/50

-

11/15/50

(d)

.........

988

1,036,675

3.00%, 02/15/45

-

09/20/50

..........

1,610

1,700,827

3.00%, 10/15/50

-

11/15/50

(d)

.........

609

637,083

3.50%, 01/15/42

-

10/20/46

..........

1,810

1,939,113

4.00%, 10/20/40

-

01/15/48

..........

568

611,338

4.00%, 10/15/50

(d)

................

278

295,370

4.50%, 12/20/39

-

08/20/50

..........

719

793,636

5.00%, 07/15/39

-

07/20/44

..........

54

61,654

5.00%, 10/15/50

(d)

................

126

137,158

Uniform

Mortgage-Backed

Securities:

2.00%, 10/01/31

-

03/01/32

..........

94

98,077

2.00%, 10/25/35

-

10/25/50

(d)

.........

2,243

2,321,301

2.50%, 04/01/30

-

10/01/50

..........

807

861,458

2.50%, 10/25/35

-

10/25/50

(d)

.........

1,528

1,602,775

3.00%, 04/01/29

-

09/01/50

..........

3,875

4,141,253

3.00%, 10/25/35

-

11/25/50

(d)

.........

2,677

2,804,978

3.50%, 04/01/29

-

06/01/50

..........

2,503

2,742,236

3.50%, 10/25/50

(d)

................

120

126,520

4.00%, 09/01/33

-

03/01/50

..........

1,868

2,071,374

4.00%, 10/25/50

-

11/25/50

(d)

.........

1,550

1,654,159

4.50%, 06/01/26

-

01/01/50

..........

1,925

2,107,313

4.50%, 10/25/50

(d)

................

318

343,987

5.00%, 02/01/35

-

12/01/43

..........

172

197,569

5.00%, 10/25/50

(d)

................

4

4,383

5.50%, 11/01/21

-

09/01/39

..........

219

254,176

6.00%, 04/01/35

-

09/01/40

..........

161

189,906

6.50%, 05/01/40

.................

35

42,307

30,824,361

Total

U.S.

Government

Sponsored

Agency

Securities

—

58.7%

(Cost:

$31,962,437)

..............................

32,596,249

U.S.

Treasury

Obligations

—

45.7%

U.S.

Treasury

Bonds:

4.25%, 05/15/39

.................

160

245,781

4.50%, 08/15/39

.................

160

253,331

4.38%, 11/15/39

.................

160

250,338

3.13%, 02/15/43

.................

610

828,051

2.88%, 05/15/43

-

11/15/46

..........

1,200

1,579,498

3.63%, 08/15/43

.................

610

890,958

3.75%, 11/15/43

.................

610

907,804

3.00%, 02/15/48

.................

590

803,691

2.25%, 08/15/49

.................

772

920,761

U.S.

Treasury

Inflation

Linked

Bonds,

0.25%, 02/15/50

.................

211

248,960

U.S.

Treasury

Inflation

Linked

Notes:

0.63%, 04/15/23

.................

1,719

1,798,703

0.13%, 07/15/30

.................

127

141,643

U.S.

Treasury

Notes:

1.13%, 07/31/21

(e)

................

2,650

2,672,152

1.75%, 07/31/21

.................

1,420

1,439,137

Security

Par

(000)

Value

U.S.

Treasury

Obligations

(continued)

2.13%, 12/31/22

-

05/15/25

..........

USD

2,850

$

3,064,542

2.75%, 05/31/23

.................

1,180

1,261,724

1.75%, 07/31/24

(e)

................

2,275

2,409,723

2.00%, 02/15/25

.................

1,470

1,582,604

1.50%, 08/15/26

.................

1,700

1,812,625

2.25%, 08/15/27

.................

1,180

1,323,767

2.88%, 08/15/28

.................

350

413,342

3.13%, 11/15/28

.................

350

421,805

1.63%, 08/15/29

.................

125

136,133

Total

U.S.

Treasury

Obligations

—

45.7%

(Cost:

$23,360,109)

..............................

25,407,073

Total

Long-Term

Investments

—

113.4%

(Cost:

$60,275,259)

..............................

62,987,453

Shares

Short-Term

Securities

—

16.3%

Money

Market

Funds

—

6.8%

BlackRock

Liquidity

Funds,

T-Fund,

Institutional

Class,

0.02%

(f)*

..................

3,762,247

3,762,247

Total

Money

Market

Funds

—

6.8%

(Cost:

$3,762,247)

..............................

3,762,247

Pa

r

(

000)

U.S.

Government

Sponsored

Agency

Securities

—

9.5%

Federal

Home

Loan

Bank

Discount

Notes,

0.09%, 11/20/20

(g)

...............

5,300

5,299,485

Total

U.S.

Government

Sponsored

Agency

Securities

—

9.5%

(Cost:

$5,299,375)

..............................

5,299,485

Total

Short-Term

Securities

—

16.3%

(Cost:

$9,061,622)

..............................

9,061,732

Total

Options

Purchased

—

0.1%

(Cost:

$68,819)

................................

46,790

Total

Investments

Before

Options

Written

and

TBA

Sale

Commitments

—

129.8%

(Cost:

$69,405,700

)

..............................

72,095,975

Total

Options

Written

—

(0.0)%

(Premium

Received

—

$23,275)

.....................

(8,632)

TBA

Sale

Commitments

—

(14.5)%

(d)

Mortgage-Backed

Securities

—

(14.5)%

Government

National

Mortgage

Association:

2.50%, 10/15/50

.................

300

(315,058)

3.00%, 10/15/50

.................

547

(572,737)

3.50%, 10/15/50

.................

149

(156,478)

4.00%, 10/15/50

.................

33

(35,062)

4.50%, 10/15/50

.................

58

(62,151)

Uniform

Mortgage-Backed

Securities:

2.50%, 10/25/35

-

11/25/50

..........

2,504

(2,624,560)

3.50%, 10/25/35

-

10/25/50

..........

435

(459,246)

4.00%, 10/25/35

-

10/25/50

..........

273

(290,425)

2.00%, 10/25/50

.................

30

(31,017)

3.00%, 10/25/50

-

11/25/50

..........

3,332

(3,490,532)

BlackRock

U.S.

Government

Bond

Portfolio

3

(Percentages

shown

are

based

on

Net

Assets)

Schedule

of

Investments

(unaudited)

(continued)

September

30,

2020

Security

Par

(000)

Value

Mortgage-Backed

Securities

(continued)

4.50%, 10/25/50

.................

USD

13

$

(14,062)

Total

TBA

Sale

Commitments

—

(14.5)%

(Proceeds:

$8,057,784)

...........................

(8,051,328)

Security

Par

(000)

Value

Total

Investments

Net

of

Options

Written

and

TBA

Sale

Commitments

—

115.3%

(Cost:

$61,324,641

)

..............................

64,036,015

Liabilities

in

Excess

of

Other

Assets

—

(15.3)%

...........

(8,479,249)

Net

Assets

—

100.0%

..............................

$

55,556,766

(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

affiliate(s)

of

the

Fund

during

the

period

ended

September

30,

2020

for

purposes

of

Section

2(a)(3)

of

the

Investment

Company

Act

of

1940,

as

amended,

were

as

follows:

Affiliated

Issuer

Value

at

12/31/19

Purchases

at

Cost

Proceeds

from

Sale

Net

Realized

Gain

(Loss)

Change

in

Unrealized

Appreciation

(Depreciation)

Value

at

09/30/20

Shares

Held

at

09/30/20

Income

Capital

Gain

Distributions

from

Underlying

Funds

BlackRock

Liquidity

Funds,

T-Fund,

Institutional

Class

(a)

..

$

1,217,840

$

2,544,407

$

—

$

—

$

—

$

3,762,247

3,762,247

$

6,415

$

—

(a)

Represents

net

amount

purchased

(sold).

Reverse

Repurchase

Agreem

ents

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.

..............

0.16

%

09/30/20

10/01/20  

$

2,417,188

$

2,417,199

U.S.

Treasury

Obligations

Overnight

Bank

of

America

Securities,

Inc.

..............

0.16

09/30/20

10/01/20  

2,676,500

2,676,512

U.S.

Treasury

Obligations

Overnight

$

5,093,688

$

5,093,711

BlackRock

U.S

Government

Bond

Portfolio

4

Schedule

of

Investments

(unaudited)

(continued)

September

30,

2020

Derivative

Financial

Instruments

Outstanding

as

of

Period

End

Futures

Contracts

Description

Number

of

Contracts

Expiration

Date

Notional

Amount

(000)

Value/

Unrealized

Appreciation

(Depreciation)

Long

Contracts

U.S.

Treasury

10

Year

Note

...................................................

21

12/21/20

$

2,930

$

(884)

U.S.

Treasury

2

Year

Note

....................................................

36

12/31/20

7,955

2,151

U.S.

Treasury

5

Year

Note

....................................................

22

12/31/20

2,773

1,296

2,563

Short

Contracts

Euro-Bund

..............................................................

1

12/08/20

205

329

Canada

10

Year

Bond

......................................................

3

12/18/20

342

272

U.S.

Treasury

10

Year

Ultra

Note

...............................................

3

12/21/20

480

(1,530)

U.S.

Treasury

Long

Bond

....................................................

3

12/21/20

529

(298)

U.S.

Treasury

Ultra

Bond

....................................................

5

12/21/20

1,109

(3,480)

(4,707)

$

(2,144)

Forward

Foreign

Currency

Exchange

Contracts

Currency

Purchased

Currency

Sold

Counterparty

Settlement

Date

Unrealized

Appreciation  

(Depreciation)

USD

3,563

EUR

3,000

State

Street

Bank

and

Trust

Co.

10/05/20

$

45

AUD

8,000

USD

5,698

Bank

of

America

NA

10/06/20

32

USD

5,874

AUD

8,000

BNP

Paribas

SA

10/06/20

144

USD

24,400

MXN

512,856

Barclays

Bank

plc

10/14/20

1,240

USD

30,000

BRL

161,247

BNP

Paribas

SA

11/03/20

1,312

USD

10,000

BRL

53,753

UBS

AG

11/03/20

437

USD

10,000

TRY

77,180

JPMorgan

Chase

Bank

NA

11/18/20

134

USD

23,848

COP

88,439,198

Barclays

Bank

plc

12/04/20

817

USD

4,515

MXN

96,813

Deutsche

Bank

AG

12/04/20

169

USD

96,865

RUB

7,332,358

Citibank

NA

12/04/20

3,057

ZAR

342,287

USD

20,000

Natwest

Markets

plc

12/15/20

252

CLP

7,856,600

USD

10,000

Citibank

NA

12/16/20

16

JPY

1,060,385

USD

10,000

Bank

of

America

NA

12/16/20

65

USD

7,283

AUD

10,000

HSBC

Bank

plc

12/16/20

119

USD

10,000

BRL

53,747

Morgan

Stanley

&

Co.

International

plc

12/16/20

450

USD

10,000

CLP

7,658,700

Standard

Chartered

Bank

12/16/20

237

USD

10,000

COP

37,301,600

Barclays

Bank

plc

12/16/20

292

USD

11,903

EUR

10,000

Bank

of

America

NA

12/16/20

158

USD

287,062

EUR

242,000

State

Street

Bank

and

Trust

Co.

12/16/20

2,829

USD

10,000

KRW

11,644,370

UBS

AG

12/16/20

12

USD

20,000

MXN

435,535

Goldman

Sachs

International

12/16/20

475

USD

10,000

MXN

213,180

State

Street

Bank

and

Trust

Co.

12/16/20

443

USD

10,000

PLN

37,464

Citibank

NA

12/16/20

306

USD

25,000

RUB

1,916,705

Citibank

NA

12/16/20

520

USD

10,000

RUB

782,091

Goldman

Sachs

International

12/16/20

11

USD

31,000

TRY

237,975

UBS

AG

12/16/20

877

USD

10,000

ZAR

168,070

Goldman

Sachs

International

12/17/20

58

ZAR

169,897

USD

10,000

State

Street

Bank

and

Trust

Co.

12/17/20

50

14,557

MXN

521,179

USD

24,400

UBS

AG

10/14/20

(864)

KZT

560,142

USD

1,320

Citibank

NA

10/23/20

(35)

BRL

219,294

USD

40,000

Citibank

NA

11/03/20

(984)

USD

5,699

AUD

8,000

Bank

of

America

NA

11/04/20

(31)

RUB

205,776

USD

2,675

Bank

of

America

NA

12/04/20

(42)

RUB

1,803,744

USD

23,463

Credit

Suisse

International

12/04/20

(386)

RUB

410,934

USD

5,361

HSBC

Bank

plc

12/04/20

(103)

BlackRock

U.S

Government

Bond

Portfolio

5

Schedule

of

Investments

(unaudited)

(continued)

September

30,

2020

Forward

Foreign

Currency

Exchange

Contracts

(continued)

Currency

Purchased

Currency

Sold

Counterparty

Settlement

Date

Unrealized

Appreciation  

(Depreciation)

USD

40,000

ZAR

683,623

BNP

Paribas

SA

12/15/20

$

(448)

BRL

53,990

USD

10,000

BNP

Paribas

SA

12/16/20

(407)

COP

37,430,600

USD

10,000

Citibank

NA

12/16/20

(259)

EUR

20,000

USD

23,670

Bank

of

America

NA

12/16/20

(180)

KRW

11,623,635

USD

10,000

UBS

AG

12/16/20

(30)

MXN

641,836

USD

30,000

Citibank

NA

12/16/20

(1,226)

MXN

666,137

USD

30,000

State

Street

Bank

and

Trust

Co.

12/16/20

(137)

PLN

37,593

USD

10,000

Goldman

Sachs

International

12/16/20

(272)

RUB

761,090

USD

10,000

Citibank

NA

12/16/20

(279)

RUB

761,027

USD

10,000

Goldman

Sachs

International

12/16/20

(280)

RUB

1,130,421

USD

15,000

UBS

AG

12/16/20

(562)

TRY

155,040

USD

20,000

JPMorgan

Chase

Bank

NA

12/16/20

(375)

USD

773,088

CNY

5,315,209

Standard

Chartered

Bank

12/16/20

(6,255)

USD

11,655

EUR

10,000

JPMorgan

Chase

Bank

NA

12/16/20

(90)

USD

10,000

MXN

225,134

Citibank

NA

12/16/20

(93)

USD

10,000

MXN

224,985

Morgan

Stanley

&

Co.

International

plc

12/16/20

(86)

ZAR

168,464

USD

10,000

Bank

of

America

NA

12/17/20

(35)

(13,459)

OTC

Barrier

Options

Purchased

Description

Type

of

Option

Counterparty

Expiration  

Date

Exercise

Price

Barrier

Price/Range

Notional

Amount

(000)

Value

Call

USD

Currency

...............

Down

and

In

BNP

Paribas

SA

11/02/20

ZAR

16.58

ZAR

15.68

USD

126

$

40

USD

Currency

...............

Down

and

In

Bank

of

America

NA

11/02/20

ZAR

17.03

ZAR

16.13

USD

143

169

USD

Currency

...............

Down

and

In

Morgan

Stanley

&

Co.

International

plc

11/02/20

MXN

21.40

MXN

20.40

USD

270

49

$

258

$

–

Exchange-Traded

Options

Purchased

Description

Number

of

Contracts

Expiration

Date

Exercise

Price

Notional

Amount

(000)

Value

Put

90-day

Eurodollar

December

2020

Futures

..........

174

12/11/20

USD

99.63

USD

43,500

$

8,700

90-day

Eurodollar

June

2021

Futures

..............

64

06/11/21

USD

99.25

USD

16,000

12,000

$

20,700

OTC

Currency

Options

Purchased

Description

Counterparty

Expiration

Date

Exercise

Price

Notional

Amount

(000)

Value

Call

USD

Currency

...........................

JPMorgan

Chase

Bank

NA

10/23/20

IDR

15,000.00

USD

28

$

230

USD

Currency

...........................

JPMorgan

Chase

Bank

NA

11/03/20

TWD

30.00

USD

22

11

241

Put

USD

Currency

...........................

Bank

of

America

NA

10/09/20

MXN

23.80

USD

15

1,129

AUD

Currency

...........................

Morgan

Stanley

&

Co.

International

plc

10/14/20

JPY

72.40

AUD

330

157

1,286

$

1,527

BlackRock

U.S

Government

Bond

Portfolio

6

Schedule

of

Investments

(unaudited)

(continued)

September

30,

2020

(a)

Forward

settling

swaption.

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)

1.05%

Semi-Annual

3

month

LIBOR

Quarterly

Barclays

Bank

plc

02/22/22

1.05

%

USD

1,150

$

24,305

(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

.......................

20

10/23/20

USD

126.00

USD

2,000

$

(2,969)

Put

U.S.

Treasury

5

Year

Note

.......................

20

10/23/20

USD

126.00

USD

2,000

(2,344)

90-day

Eurodollar

June

2021

Futures

...............

64

06/11/21

USD

98.75

USD

16,000

(2,400)

(4,744)

$

(7,713)

OTC

Currency

Options

Written

Description

Counterparty

Expiration

Date

Exercise

Price

Notional

Amount

(000)

Value

Call

USD

Currency

.............................

JPMorgan

Chase

Bank

NA

10/23/20

IDR

15,500.00

USD

42

$

(95)

–

Put

USD

Currency

.............................

Bank

of

America

NA

10/09/20

MXN

22.80

USD

23

(773)

–

$

(868)

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)

0.40%

Semi-Annual

3

month

LIBOR

Quarterly

Barclays

Bank

plc

10/28/20

0.40

%

USD

650

$

(51)

Centrally

Cleared

Interest

Rate

Swap

s

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

$

2,923

$

(245)

$

3,168

1.37%

Semi-Annual

3

month

LIBOR

Quarterly

N/A

11/30/20

USD

1,400

(8,707)

—

(8,707)

28

day

MXIBTIIE

Monthly

4.51%

Monthly

10/01/20

(a)

09/29/22

MXN

1,944

—

—

—

1

day

Fed

Funds

At

Termination

0.04%

At

Termination

09/19/22

(a)

09/19/23

USD

2,775

(580)

—

(580)

1

day

Fed

Funds

At

Termination

0.05%

At

Termination

09/19/22

(a)

09/19/23

USD

5,549

(446)

—

(446)

1

day

Fed

Funds

At

Termination

0.04%

At

Termination

09/23/22

(a)

09/23/23

USD

2,769

(539)

—

(539)

28

day

MXIBTIIE

Monthly

6.67%

Monthly

N/A

08/12/24

MXN

470

1,402

—

1,402

28

day

MXIBTIIE

Monthly

6.72%

Monthly

N/A

08/13/24

MXN

404

1,236

—

1,236

28

day

MXIBTIIE

Monthly

6.59%

Monthly

N/A

11/08/24

MXN

296

866

—

866

3

month

BA

Semi-Annual

0.75%

Semi-Annual

N/A

05/26/25

CAD

405

468

—

468

BlackRock

U.S

Government

Bond

Portfolio

7

Schedule

of

Investments

(unaudited)

(continued)

September

30,

2020

Centrally

Cleared

Interest

Rate

Swaps

(continued)

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

0.85%

Semi-Annual

N/A

06/04/25

CAD

202

$

963

$

(2)

$

965

3

month

BA

Semi-Annual

0.85%

Semi-Annual

N/A

06/04/25

CAD

203

953

—

953

3

month

BA

Semi-Annual

0.70%

Semi-Annual

N/A

08/06/25

CAD

765

(1,045)

—

(1,045)

0.39%

At

Termination

1

day

Fed

Funds

At

Termination

09/18/24

(a)

09/18/25

USD

5,549

(260)

—

(260)

0.38%

At

Termination

1

day

Fed

Funds

At

Termination

09/18/24

(a)

09/18/25

USD

2,775

281

—

281

0.39%

At

Termination

1

day

Fed

Funds

At

Termination

09/23/24

(a)

09/23/25

USD

2,769

(36)

—

(36)

2.85%

Semi-Annual

3

month

LIBOR

Quarterly

N/A

12/21/28

USD

200

(38,214)

—

(38,214)

1.61%

Semi-Annual

3

month

LIBOR

Quarterly

N/A

10/01/29

USD

400

(36,787)

—

(36,787)

$

(77,522)

$

(247)

$

(77,275)

(a)

Forward

swap.

Centrally

Cleared

Inflation

Swap

s

Paid

by

the

Fund

Received

by

the

Fund

Reference

Frequency

Rate

Frequency

Termination

Date

Notional

Amount

(000)

Value

Upfront

Premium

Paid

(Received)

Unrealized

Appreciation

(Depreciation)

0.72%

At

Termination

1

month

HICPXT

At

Termination

09/15/25

EUR

195

$

(1,421)

$

—

$

(1,421)

0.73%

At

Termination

1

month

HICPXT

At

Termination

09/15/25

EUR

195

(1,543)

—

(1,543)

1

month

HICPXT

At

Termination

0.96%

At

Termination

09/15/30

EUR

195

2,322

—

2,322

1

month

HICPXT

At

Termination

0.98%

At

Termination

09/15/30

EUR

195

2,720

—

2,720

$

2,078

$

—

$

2,078

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

3.10%

At

Termination

Citibank

NA

01/03/22

BRL

302

$

61

$

—

$

61

1

day

BZDIOVER

At

Termination

4.52%

At

Termination

BNP

Paribas

SA

01/02/23

BRL

331

89

—

89

1

day

BZDIOVER

At

Termination

5.13%

At

Termination

JPMorgan

Chase

Bank

NA

01/02/23

BRL

99

444

—

444

28

day

MXIBTIIE

Monthly

6.32%

Monthly

Goldman

Sachs

International

08/06/25

MXN

511

1,337

—

1,337

$

1,931

$

—

$

1,931

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

$

(7,318)

$

—

$

(7,318)

1

month

USCPI

At

Termination

(1.00)%

At

Termination

Citibank

NA

04/15/21

USD

434

(7,472)

—

(7,472)

1

month

USCPI

At

Termination

(1.00)%

At

Termination

Citibank

NA

04/15/21

USD

434

(7,472)

—

(7,472)

BlackRock

U.S

Government

Bond

Portfolio

8

Schedule

of

Investments

(unaudited)

(continued)

September

30,

2020

i

0

OTC

Inflation

Swaps

(continued)

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

(1.02)%

At

Termination

Citibank

NA

04/15/21

USD

434

$

(7,552)

$

—

$

(7,552)

0.04%

At

Termination

1

month

USCPI

At

Termination

Citibank

NA

04/15/22

USD

434

8,937

—

8,937

0.02%

At

Termination

1

month

USCPI

At

Termination

Citibank

NA

04/15/22

USD

434

9,118

—

9,118

0.01%

At

Termination

1

month

USCPI

At

Termination

Citibank

NA

04/15/22

USD

434

9,185

—

9,185

0.00%

At

Termination

1

month

USCPI

At

Termination

Citibank

NA

04/15/22

USD

434

9,284

—

9,284

1

month

USCPI

At

Termination

(0.05)%

At

Termination

Citibank

NA

04/15/22

USD

651

(14,550)

—

(14,550)

0.62%

At

Termination

1

month

USCPI

At

Termination

Citibank

NA

04/15/24

USD

651

21,558

—

21,558

–

$

–

$

–

$

13,718

$

—

$

13,718

–

–

–

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

0.09

1

month

HICPXT

......................................

Harmonized

Index

Of

Consumer

Prices

Excluding

Tobacco

0.00

1

month

USCPI

.......................................

U.S.

Consumer

Price

Index

2.06

28

day

MXIBTIIE

......................................

Mexico

Interbank

TIIE

28-Day

4.55

3

month

BA

..........................................

Canadian

Bankers

Acceptances

0.51

3

month

LIBOR

.......................................

London

Interbank

Offered

Rate

0.23

Glossary

of

Terms

Used

in

this

Report

Currency

AUD

Australian

Dollar

BRL

Brazilian

Real

CAD

Canadian

Dollar

CLP

Chilean

Peso

CNY

Chinese

Yuan

COP

Colombian

Peso

EUR

IDR

Euro

Indonesian

Rupiah

JPY

Japanese

Yen

KRW

South

Korean

Won

KZT

Kazakhstani

Tenge

MXN

Mexican

Peso

PLN

Polish

Zloty

RUB

New

Russian

Ruble

TRY

Turkish

Lira

TWD

Taiwan

New

Dollar

USD

United

States

Dollar

ZAR

South

African

Rand

Portfolio

Abbreviations

BA

Canadian

Bankers

Acceptances

BZDIOVER

Overnight

Brazil

CETIP

—

Interbank

Rate

LIBOR

London

Interbank

Offered

Rate

MXIBTIIE

Mexico

Interbank

TIIE

28-Day

OTC

Over-the-counter

TBA

To-be-announced

BlackRock

U.S

Government

Bond

Portfolio

9

Schedule

of

Investments

(unaudited)

(continued)

September

30,

2020

Fair

Value

Hierarchy

as

of

Period

End

Various

inputs

are

used

in

determining

the

fair

value

of

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

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

financial

instruments

is

based

on

the

pricing

transparency

of

the

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

financial

instruments,

refer

to

its

most

recent

financial

statements.

The

following

tables

summarize

the

Fund’s

investments

and

derivative

financial

instruments

categorized

in

the

disclosure

hierarchy.

The

breakdown

of

the

Fund's

investments

into

major

categories

is

disclosed

in

the

Schedule

of

Investments

above.

Level

1

Level

2

Level

3

Total

Assets:

Investments:

Long-Term

Investments

......................................

$

—

$

62,987,453

$

—

$

62,987,453

Short-Term

Securities:

Money

Market

Funds

......................................

3,762,247

—

—

3,762,247

U.S.

Government

Sponsored

Agency

Securities

....................

—

5,299,485

—

5,299,485

Options

Purchased:

Foreign

currency

exchange

contracts

...........................

—

1,785

—

1,785

Interest

rate

contracts

......................................

20,700

24,305

—

45,005

Liabilities:

Investments:

TBA

Sale

Commitments

....................................

—

(8,051,328)

—

(8,051,328)

$

3,782,947

$

60,261,700

$

—

$

64,044,647

Derivative

Financial

Instruments

(a)

Assets:

Foreign

currency

exchange

contracts

............................

$

—

$

14,557

$

—

$

14,557

Interest

rate

contracts

.......................................

4,048

11,270

—

15,318

Other

contracts

...........................................

—

63,124

—

63,124

Liabilities:

Foreign

currency

exchange

contracts

............................

—

(14,327)

—

(14,327)

Interest

rate

contracts

.......................................

(13,905)

(86,665)

—

(100,570)

Other

contracts

...........................................

—

(47,328)

—

(47,328)

$

(9,857)

$

(59,369)

$

—

$

(69,226)

(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

reporting

purposes.

As

of

period

end,

Reverse

Repurchase

Agreements

of

$5,093,711

are

categorized

as

Level

2

within

the

disclosure

hierarchy.