BlackRock
U.S.
Government
Bond
Portfolio
2
(Percentages
shown
are
based
on
Net
Assets)
Schedule
of
Investments
(unaudited)
September
30,
2021
Security
Par
(000)
Par
(000)
Value
Asset-Backed
Securities
—
1.9%
(a)(b)
(c)
Dryden
XXVIII
Senior
Loan
Fund,
Series
2013-
28A,
Class
A1LR,
(LIBOR
USD
3
Month
+
1.20%),
1.32%,
08/15/30
............
USD
500
$
500,036
Romark
WM-R
Ltd.,
Series
2018-1A,
Class
A1,
(LIBOR
USD
3
Month
+
1.03%),
1.16%,
04/20/31
......................
396
396,009
Total
Asset-Backed
Securities
—
1.9%
(Cost:
$895,847)
................................
896,045
Foreign
Government
Obligations
—
3.9%
Austria
—
0.1%
Republic
of
Austria,
2.10%
,
09/20/17
(b)(d)
...
EUR
21
38,854
China
—
3.5%
People's
Republic
of
China:
1.99%,
04/09/25
.................
CNY
6,120
927,259
2.68%,
05/21/30
.................
4,850
733,908
1,661,167
Russia
—
0.2%
Russian
Federation:
7.65%,
04/10/30
.................
RUB
728
10,291
5.90%,
03/12/31
.................
5,030
62,959
6.10%,
07/18/35
.................
1,794
21,931
95,181
Spain
—
0.1%
Kingdom
of
Spain,
3.45%
,
07/30/66
(b)(d)
....
EUR
45
79,929
Total
Foreign
Government
Obligations
—
3.9%
(Cost:
$1,780,694)
..............................
1,875,131
Non-Agency
Mortgage-Backed
Securities
—
7.6%
Commercial
Mortgage-Backed
Securities
—
6.8%
280
Park
Avenue
Mortgage
Trust,
Series
2017-280P,
Class
A,
(LIBOR
USD
1
Month
+
0.88%),
0.96%,
09/15/34
(a)(b)
.........
USD
121
120,999
BFLD
Trust,
Series
2020-EYP,
Class
A,
(LIBOR
USD
1
Month
+
1.15%),
1.23%,
10/15/35
(a)(b)
128
128,640
BPR
Trust,
Series
2021-TY,
Class
A,
(LIBOR
USD
1
Month
+
1.05%),
1.15%,
09/25/38
(a)(b)
102
102,255
BX
Commercial
Mortgage
Trust
(b)
:
Series
2019-XL,
Class
A,
(LIBOR
USD
1
Month
+
0.92%),
1.00%,
10/15/36
(a)
..
88
88,538
Series
2019-XL,
Class
D,
(LIBOR
USD
1
Month
+
1.45%),
1.53%,
10/15/36
(a)
..
265
265,340
Series
2020-FOX,
Class
B,
(LIBOR
USD
1
Month
+
1.35%),
1.43%,
11/15/32
(a)
..
129
129,289
Series
2020-VIV4,
Class
A,
2.84%,
03/09/44
160
166,731
BX
Trust
(b)
:
Series
2019-OC11,
Class
A,
3.20%,
12/09/41
....................
275
293,958
Series
2021-MFM1,
Class
C,
(LIBOR
USD
1
Month
+
1.20%),
1.28%,
01/15/34
(a)
..
30
30,028
Series
2021-VIEW,
Class
A,
(LIBOR
USD
1
Month
+
1.28%),
1.36%,
06/15/23
(a)
..
50
50,047
CFK
Trust,
Series
2020-MF2,
Class
B,
2.79%,
03/15/39
(b)
.....................
140
142,491
Citigroup
Commercial
Mortgage
Trust,
Series
2016-P6,
Class
B,
4.36%,
12/10/49
(a)
...
50
54,703
Commercial
Mortgage
Trust:
Series
2017-COR2,
Class
AM,
3.80%,
09/10/50
....................
19
21,192
Series
2017-PANW,
Class
A,
3.24%,
10/10/29
(b)
...................
350
362,631
Security
Par
(000)
Par
(000)
Value
Commercial
Mortgage-Backed
Securities
(continued)
Credit
Suisse
Mortgage
Capital
Certificates,
Series
2020-NET,
Class
A,
2.26%,
08/15/37
(b)
.....................
USD
100
$
102,772
CSAIL
Commercial
Mortgage
Trust:
Series
2018-CX11,
Class
A5,
4.03%,
04/15/51
(a)
...................
42
47,025
Series
2019-C16,
Class
A3,
3.33%,
06/15/52
....................
134
145,038
Series
2019-C17,
Class
C,
3.93%,
09/15/52
80
84,270
GCT
Commercial
Mortgage
Trust,
Series
2021-GCT,
Class
A,
(LIBOR
USD
1
Month
+
0.80%),
0.88%,
02/15/38
(a)(b)
.........
100
100,101
Great
Wolf
Trust,
Series
2019-WOLF,
Class
A,
(LIBOR
USD
1
Month
+
1.03%),
1.12%,
12/15/36
(a)(b)
....................
90
89,972
GS
Mortgage
Securities
Corp.
Trust,
Series
2020-TWN3,
Class
A,
(LIBOR
USD
1
Month
+
2.00%),
2.08%,
11/15/37
(a)(b)
........
170
170,746
Hudson
Yards
Mortgage
Trust,
Series
2019-
30HY,
Class
D,
3.56%,
07/10/39
(a)(b)
....
101
104,575
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust,
Series
2020-609M,
Class
A,
(LIBOR
USD
1
Month
+
1.37%),
1.45%,
10/15/33
(a)(b)
....................
100
100,124
KKR
Industrial
Portfolio
Trust,
Series
2020-AIP,
Class
A,
(LIBOR
USD
1
Month
+
1.04%),
1.12%,
03/15/37
(a)(b)
...............
33
32,804
Morgan
Stanley
Capital
I
Trust
(a)
:
Series
2018-H3,
Class
B,
4.62%,
07/15/51
34
38,537
Series
2018-SUN,
Class
A,
(LIBOR
USD
1
Month
+
0.90%),
0.98%,
07/15/35
(b)
..
130
129,999
Wells
Fargo
Commercial
Mortgage
Trust,
Series
2021-FCMT,
Class
A,
(LIBOR
USD
1
Month
+
1.20%),
1.28%,
05/15/31
(a)(b)
...
140
140,434
3,243,239
Interest
Only
Commercial
Mortgage-Backed
Securities
—
0.8%
(a)
Arbor
Multifamily
Mortgage
Securities
Trust,
Series
2021-MF3,
Class
XA,
1.00%,
10/15/54
(b)
.....................
110
6,161
Benchmark
Mortgage
Trust,
Series
2020-B20,
Class
XA,
1.74%,
10/15/53
..........
1,017
108,449
CSAIL
Commercial
Mortgage
Trust,
Series
2019-C16,
Class
XA,
1.73%,
06/15/52
..
1,537
151,195
UBS
Commercial
Mortgage
Trust,
Series
2019-
C17,
Class
XA,
1.62%,
10/15/52
......
985
92,894
358,699
Total
Non-Agency
Mortgage-Backed
Securities
—
7.6%
(Cost:
$3,569,158)
..............................
3,601,938
U.S.
Government
Sponsored
Agency
Securities
—
65.2%
Agency
Obligations
—
1.0%
Federal
Home
Loan
Bank,
4.00%, 04/10/28
.
400
467,363
Collateralized
Mortgage
Obligations
—
0.4%
Federal
Home
Loan
Mortgage
Corp.
Multifamily
Structured
Pass-Through
Certificates
Variable
Rate
Notes,
Series
K104,
Class
X1,
1.25%, 02/25/52
(a)
................
177
14,387
Federal
National
Mortgage
Association,
Series
2011-8,
Class
ZA,
4.00%, 02/25/41
.....
93
99,336
Government
National
Mortgage
Association
Variable
Rate
Notes,
Series
2014-107,
Class
WX,
6.79%, 07/20/39
(a)
.............
64
74,325
188,048
BlackRock
U.S.
Government
Bond
Portfolio
3
(Percentages
shown
are
based
on
Net
Assets)
Schedule
of
Investments
(unaudited)
(continued)
September
30,
2021
Security
Par
(000)
Par
(000)
Value
Commercial
Mortgage-Backed
Securities
—
0.7%
Federal
Home
Loan
Mortgage
Corp.
Variable
Rate
Notes
(a)
:
Series
2019-SB60,
Class
A10F,
3.31%, 01/25/29
...............
USD
159
$
167,533
Series
2019-SB61,
Class
A10F,
3.17%, 01/25/29
...............
127
134,300
301,833
Interest
Only
Collateralized
Mortgage
Obligations
—
0.3%
Federal
National
Mortgage
Association:
Series
2020-32,
4.00%, 05/25/50
......
119
17,810
Series
2020-32,
Class
PI,
4.00%, 05/25/50
135
20,049
Government
National
Mortgage
Association:
Series
2020-115,
Class
IM,
3.50%, 08/20/50
158
21,226
Series
2020-146,
Class
DI,
2.50%, 10/20/50
167
19,759
Series
2020-162,
Class
TI,
2.50%, 10/20/50
347
44,097
Series
2020-175,
Class
DI,
2.50%, 11/20/50
93
10,909
Series
2020-185,
Class
MI,
2.50%, 12/20/50
190
23,593
157,443
Interest
Only
Commercial
Mortgage-Backed
Securities
—
1.2%
Federal
Home
Loan
Mortgage
Corp.,
Series
2015-K718,
Class
X2A,
0.10%, 02/25/48
(b)
11,868
1,315
Federal
Home
Loan
Mortgage
Corp.
Multifamily
Structured
Pass-Through
Certificates
Variable
Rate
Notes
(a)
:
Series
K094,
Class
X1,
1.02%, 06/25/29
.
183
11,093
Series
K105,
Class
X1,
1.64%, 03/25/53
.
551
61,087
Series
K107,
Class
X1,
1.71%, 01/25/30
.
161
18,710
Series
K109,
Class
X1,
1.70%, 04/25/30
.
123
14,266
Series
K113,
Class
X1,
1.49%, 06/25/30
.
200
21,041
Series
K115,
Class
X1,
1.43%, 06/25/30
.
256
25,814
Series
K116,
Class
X1,
1.53%, 07/25/30
.
100
10,639
Series
K119,
Class
X1,
1.03%, 09/25/30
.
150
10,768
Series
K120,
Class
X1,
1.13%, 10/25/30
.
736
58,851
Series
K122,
Class
X1,
0.97%, 11/25/30
.
219
15,090
Federal
National
Mortgage
Association
ACES
Variable
Rate
Notes,
Series
2020-M21,
Class
AX,
1.94%, 01/25/58
(a)
.........
224
39,290
Government
National
Mortgage
Association
Variable
Rate
Notes
(a)
:
Series
2002-83,
0.00%, 10/16/42
(e)
.....
211
—
Series
2003-17,
1.1E-05%, 03/16/43
(e)
..
193
—
Series
2003-109,
1.1E-05%, 11/16/43
...
384
15
Series
2016-22,
0.78%, 11/16/55
......
1,176
37,210
Series
2016-45,
0.86%, 02/16/58
......
636
30,263
Series
2016-92,
0.77%, 04/16/58
......
209
9,186
Series
2016-113,
(LIBOR
USD
1
Month
+
0.00%),
1.09%, 02/16/58
.........
701
42,953
Series
2016-151,
1.01%, 06/16/58
.....
664
37,037
Series
2017-30,
0.61%, 08/16/58
......
291
10,944
Series
2017-44,
0.63%, 04/17/51
......
301
11,541
Series
2017-53,
0.55%, 11/16/56
......
1,887
75,839
Series
2017-61,
0.74%, 05/16/59
......
194
10,065
Series
2017-64,
0.75%, 11/16/57
......
172
8,920
561,937
Mortgage-Backed
Securities
—
61.6%
Federal
Home
Loan
Mortgage
Corp.:
2.50%, 03/01/30
-
04/01/31
..........
109
114,936
3.00%, 09/01/27
-
12/01/46
..........
186
198,369
3.50%, 04/01/31
-
01/01/48
..........
248
270,294
4.00%, 08/01/40
-
12/01/45
..........
34
37,477
4.50%, 02/01/39
-
07/01/47
..........
124
138,392
5.00%, 11/01/41
.................
53
59,708
5.50%, 06/01/41
.................
58
67,919
8.00%, 03/01/30
-
06/01/31
..........
9
9,204
Security
Par
(000)
Par
(000)
Value
Mortgage-Backed
Securities
(continued)
Federal
National
Mortgage
Association:
3.50%, 11/01/46
.................
USD
107
$
115,865
4.00%, 01/01/41
.................
3
3,522
Government
National
Mortgage
Association:
2.00%, 10/15/51
(f)
................
1,267
1,285,263
2.50%, 10/15/51
(f)
................
969
1,000,303
3.00%, 02/15/45
-
03/20/50
..........
696
728,058
3.00%, 10/15/51
(f)
................
932
973,722
3.50%, 01/15/42
-
10/20/46
..........
590
629,954
3.50%, 10/15/51
-
11/15/51
(f)
.........
242
254,275
4.00%, 10/20/40
-
01/15/48
..........
381
413,285
4.50%, 12/20/39
-
08/20/50
..........
478
530,555
5.00%, 07/15/39
-
07/20/44
..........
39
45,515
5.00%, 10/15/51
(f)
................
126
135,667
Uniform
Mortgage-Backed
Securities:
1.50%, 10/25/36
-
11/25/51
(f)
.........
1,759
1,727,012
2.00%, 10/01/31
-
03/01/32
..........
66
68,649
2.00%, 10/25/36
-
11/25/51
(f)
.........
7,581
7,615,190
2.50%, 04/01/30
-
10/01/35
..........
423
445,166
2.50%, 10/25/51
-
11/25/51
(f)
.........
5,859
6,038,968
3.00%, 04/01/29
-
08/01/50
..........
1,447
1,543,472
3.00%, 10/25/51
-
11/25/51
(f)
.........
1,054
1,101,690
3.50%, 08/01/30
-
08/01/50
..........
782
841,660
3.50%, 10/25/36
-
11/25/51
(f)
.........
685
724,781
4.00%, 09/01/33
-
06/01/50
..........
772
849,423
4.00%, 10/25/51
(f)
................
242
259,276
4.50%, 06/01/26
-
07/01/48
..........
409
456,267
5.00%, 02/01/35
-
12/01/43
..........
126
142,713
5.00%, 10/25/51
(f)
................
4
4,397
5.50%, 11/01/21
-
09/01/39
..........
166
191,246
6.00%, 04/01/35
-
09/01/40
..........
125
147,187
6.50%, 05/01/40
.................
27
31,434
29,200,814
Total
U.S.
Government
Sponsored
Agency
Securities
—
65.2%
(Cost:
$30,922,677)
..............................
30,877,438
U.S.
Treasury
Obligations
—
40.6%
U.S.
Treasury
Bonds:
4.25%, 05/15/39
.................
160
218,100
4.50%, 08/15/39
.................
160
224,719
4.38%, 11/15/39
.................
160
221,725
1.75%, 08/15/41
.................
1
1,338
3.13%, 02/15/43
.................
610
726,877
2.88%, 05/15/43
-
11/15/46
..........
1,200
1,383,455
3.63%, 08/15/43
.................
610
782,968
3.75%, 11/15/43
.................
610
798,052
3.00%, 02/15/48
.................
590
701,547
2.25%, 08/15/49
.................
727
753,581
1.63%, 11/15/50
.................
105
94,332
U.S.
Treasury
Notes:
1.50%, 01/31/22
-
08/15/26
..........
4,050
4,104,075
1.75%, 04/30/22
-
07/31/24
..........
2,905
2,951,096
2.13%, 12/31/22
-
05/15/25
..........
2,470
2,564,748
2.00%, 02/15/25
.................
1,470
1,537,586
2.25%, 08/15/27
.................
1,180
1,254,165
2.88%, 08/15/28
.................
350
386,627
3.13%, 11/15/28
.................
350
393,231
1.63%, 08/15/29
.................
125
127,314
Total
U.S.
Treasury
Obligations
—
40.6%
(Cost:
$18,352,916)
..............................
19,225,536
Total
Long-Term
Investments
—
119.2%
(Cost:
$55,521,292)
..............................
56,476,088
BlackRock
U.S.
Government
Bond
Portfolio
4
(Percentages
shown
are
based
on
Net
Assets)
Schedule
of
Investments
(unaudited)
(continued)
September
30,
2021
Security
Shares
Shares
Value
Short-Term
Securities
—
24.2%
Money
Market
Funds
—
15.3%
BlackRock
Liquidity
Funds,
T-Fund,
Institutional
Class,
0.01%
(g)(h)
.................
7,264,293
$
7,264,293
Total
Money
Market
Funds
—
15.3%
(Cost:
$7,264,293)
..............................
7,264,293
Par
(000)
Pa
r
(
000)
U.S.
Government
Sponsored
Agency
Securities
—
8.9%
Federal
Home
Loan
Bank
Discount
Notes,
0.04%, 03/23/22
(i)
...............
USD
4,200
4,198,991
Total
U.S.
Government
Sponsored
Agency
Securities
—
8.9%
(Cost:
$4,199,193)
..............................
4,198,991
Total
Short-Term
Securities
—
24.2%
(Cost:
$11,463,486)
..............................
11,463,284
Total
Options
Purchased
—
0.0%
(Cost:
$71,816)
................................
33,316
Total
Investments
Before
Options
Written
and
TBA
Sale
Commitments
—
143.4%
(Cost:
$67,056,594
)
..............................
67,972,688
Total
Options
Written
—
(0.2)%
(Premium
Received
—
$151,864)
....................
(127,699)
Security
Par
(000)
Pa
r
(
000)
Value
TBA
Sale
Commitments
—
(12.1)%
(f)
Mortgage-Backed
Securities
—
(12.1)%
Government
National
Mortgage
Association:
2.00%
,
10/15/51
.................
USD
23
$
(23,331)
3.50%
,
10/15/51
.................
92
(97,146)
4.00%
,
10/15/51
.................
25
(26,530)
4.50%
,
10/15/51
.................
409
(436,097)
Uniform
Mortgage-Backed
Securities:
2.50%
,
10/25/36
-
11/25/51
..........
296
(304,671)
3.00%
,
10/25/36
-
10/25/51
..........
567
(593,910)
1.50%
,
10/25/51
.................
632
(614,369)
2.00%
,
10/25/51
.................
3,383
(3,392,118)
3.50%
,
10/25/51
.................
100
(105,807)
4.00%
,
10/25/51
.................
31
(33,213)
4.50%
,
10/25/51
.................
98
(105,985)
Total
TBA
Sale
Commitments
—
(12.1)%
(Proceeds:
$5,769,156)
...........................
(5,733,177)
Total
Investments
Net
of
Options
Written
and
TBA
Sale
Commitments
—
131.1%
(Cost:
$61,135,574
)
..............................
62,111,812
Liabilities
in
Excess
of
Other
Assets
—
(31.1)%
...........
(14,733,246)
Net
Assets
—
100.0%
..............................
$
47,378,566
(a)
Variable
rate
security.
Interest
rate
resets
periodically.
The
rate
shown
is
the
effective
interest
rate
as
of
period
end.
Security
description
also
includes
the
reference
rate
and
spread
if
published
and
available.
(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)
U.S.
dollar
denominated
security
issued
by
foreign
domiciled
entity.
(d)
This
security
may
be
resold
to
qualified
foreign
investors
and
foreign
institutional
buyers
under
Regulation
S
of
the
Securities
Act
of
1933.
(e)
Security
is
valued
using
significant
unobservable
inputs
and
is
classified
as
Level
3
in
the
fair
value
hierarchy.
(f)
Represents
or
includes
a
TBA
transaction.
(g)
Annualized
7-day
yield
as
of
period
end.
(h)
Affiliate
of
the
Fund.
(i)
Rates
are
discount
rates
or
a
range
of
discount
rates
as
of
period
end.
Affiliates
Investments
in
issuers
considered
to
be
affiliate(s)
of
the
Fund
during
the
period
ended
September
30,
2021
for
purposes
of
Section
2(a)(3)
of
the
Investment
Company
Act
of
1940,
as
amended,
were
as
follows:
Affiliated
Issuer
Value
at
12/31/20
Purchases
at
Cost
Proceeds
from
Sale
Net
Realized
Gain
(Loss)
Change
in
Unrealized
Appreciation
(Depreciation)
Value
at
09/30/21
Shares
Held
at
09/30/21
Income
Capital
Gain
Distributions
from
Underlying
Funds
BlackRock
Liquidity
Funds,
T-Fund,
Institutional
Class
(a)
..
$
—
$
7,264,293
$
—
$
—
$
—
$
7,264,293
7,264,293
$
173
$
—
—
—
(a)
Represents
net
amount
purchased
(sold).
BlackRock
U.S.
Government
Bond
Portfolio
5
Schedule
of
Investments
(unaudited)
(continued)
September
30,
2021
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
...................................................
15
12/21/21
$
1,976
$
(1,496)
U.S.
Treasury
10
Year
Ultra
Note
...............................................
2
12/21/21
291
657
U.S.
Treasury
Ultra
Bond
....................................................
2
12/21/21
383
(4,553)
U.S.
Treasury
2
Year
Note
....................................................
30
12/31/21
6,602
(6,629)
90-day
Eurodollar
.........................................................
15
12/19/22
3,731
604
(11,417)
Short
Contracts
Euro-
Buxl
...............................................................
1
12/08/21
236
7,617
U.S.
Treasury
Long
Bond
....................................................
4
12/21/21
638
11,531
U.S.
Treasury
5
Year
Note
....................................................
6
12/31/21
737
(1,099)
90-day
Eurodollar
.........................................................
20
03/18/24
4,936
(28)
18,021
$
6,604
Forward
Foreign
Currency
Exchange
Contracts
Currency
Purchased
Currency
Sold
Counterparty
Settlement
Date
Unrealized
Appreciation
(Depreciation)
KZT
576,576
USD
1,320
Citibank
NA
10/08/21
$
33
USD
11,829
EUR
10,000
State
Street
Bank
and
Trust
Co.
10/20/21
242
USD
10,000
MXN
201,940
State
Street
Bank
and
Trust
Co.
10/20/21
242
USD
10,000
PLN
39,399
Citibank
NA
10/20/21
94
USD
7,413
MXN
149,000
Barclays
Bank
plc
10/29/21
222
USD
8,208
MXN
166,000
Citibank
NA
10/29/21
197
USD
5,032
MXN
103,026
Goldman
Sachs
International
10/29/21
60
USD
19,066
CAD
24,000
Royal
Bank
of
Canada
12/15/21
118
USD
124,375
EUR
105,000
BNP
Paribas
SA
12/15/21
2,558
USD
124,465
EUR
105,000
HSBC
Bank
plc
12/15/21
2,648
6,414
EUR
10,000
USD
11,831
Citibank
NA
10/20/21
(244)
MXN
199,642
USD
10,000
Natwest
Markets
plc
10/20/21
(353)
USD
3,435
RUB
255,179
Credit
Suisse
International
10/26/21
(59)
USD
28,179
RUB
2,092,517
HSBC
Bank
plc
10/26/21
(472)
USD
5,043
RUB
377,029
JPMorgan
Chase
Bank
NA
10/26/21
(119)
USD
52,792
RUB
3,932,141
Morgan
Stanley
&
Co.
International
plc
10/26/21
(1,048)
MXN
214,656
USD
10,734
BNP
Paribas
SA
10/29/21
(375)
MXN
207,610
USD
10,385
Deutsche
Bank
AG
10/29/21
(366)
USD
3,234
RUB
239,825
Citibank
NA
12/02/21
(29)
USD
4,174
RUB
308,700
HSBC
Bank
plc
12/02/21
(26)
USD
1,167,506
CNY
7,578,514
Barclays
Bank
plc
12/15/21
(1,002)
(4,093)
$
2,321
OTC
Barrier
Options
Purchased
Description
Type
of
Option
Counterparty
Expiration
Date
Exercise
Price
Barrier
Price/Range
Notional
Amount
(000)
Value
Call
USD
Currency
...............
One-Touch
HSBC
Bank
plc
03/10/22
CNH
6.70
CNH
6.70
USD
10
$
1,794
$
–
BlackRock
U.S.
Government
Bond
Portfolio
6
Schedule
of
Investments
(unaudited)
(continued)
September
30,
2021
Exchange-Traded
Options
Purchased
Description
Number
of
Contracts
Expiration
Date
Exercise
Price
Notional
Amount
(000)
Value
Put
90-day
Eurodollar
December
2021
Futures
..........
175
12/10/21
USD
99.38
USD
43,750
$
9,844
90-day
Eurodollar
March
2022
Futures
.............
20
03/11/22
USD
98.75
USD
5,000
10,125
$
19,969
OTC
Currency
Options
Purchased
Description
Counterparty
Expiration
Date
Exercise
Price
Notional
Amount
(000)
Value
Call
USD
Currency
...........................
Goldman
Sachs
International
10/20/21
MXN
20.30
USD
15
$
332
AUD
Currency
...........................
Goldman
Sachs
International
11/10/21
USD
0.74
AUD
316
974
EUR
Currency
...........................
BNP
Paribas
SA
11/10/21
USD
1.18
EUR
305
542
GBP
Currency
...........................
UBS
AG
11/10/21
USD
1.37
GBP
183
1,054
AUD
Currency
...........................
Citibank
NA
11/12/21
USD
0.74
AUD
316
1,017
EUR
Currency
...........................
Standard
Chartered
Bank
11/12/21
USD
1.18
EUR
305
742
GBP
Currency
...........................
Standard
Chartered
Bank
11/12/21
USD
1.37
GBP
183
1,045
5,706
Put
USD
Currency
...........................
Royal
Bank
of
Canada
11/10/21
CAD
1.25
USD
277
1,205
USD
Currency
...........................
Morgan
Stanley
&
Co.
International
plc
11/12/21
CAD
1.25
USD
277
947
2,152
$
7,858
OTC
Interest
Rate
Swaptions
Purchased
Paid
by
the
Fund
Received
by
the
Fund
Description
Rate
Frequency
Rate
Frequency
Counterparty
Expiration
Date
Exercise
Rate
Notional
Amount
(000)
Value
Call
5-Year
Interest
Rate
Swap
(a)
.
3
month
LIBOR
Quarterly
0.74%
Semi-Annual
Bank
of
America
NA
11/10/21
0.74
%
USD
641
$
60
Put
10-Year
Interest
Rate
Swap
(a)
2.25%
Semi-Annual
3
month
LIBOR
Quarterly
Deutsche
Bank
AG
02/22/22
2.25
USD
1,150
3,635
$
3,695
(a)
Forward
settling
swaption.
Exchange-Traded
Options
Written
Description
Number
of
Contracts
Expiration
Date
Exercise
Price
Notional
Amount
(000)
Value
Put
90-day
Eurodollar
March
2022
Futures
..............
20
03/11/22
USD
98.25
USD
5,000
$
(2,875)
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)
1.44%
Semi-Annual
3
month
LIBOR
Quarterly
Bank
of
America
NA
12/09/21
1.44
%
USD
400
$
(2,641)
BlackRock
U.S.
Government
Bond
Portfolio
7
Schedule
of
Investments
(unaudited)
(continued)
September
30,
2021
OTC
Interest
Rate
Swaptions
Written
(continued)
Paid
by
the
Fund
Received
by
the
Fund
Description
Rate
Frequency
Rate
Frequency
Counterparty
Expiration
Date
Exercise
Rate
Notional
Amount
(000)
Value
10-Year
Interest
Rate
Swap
(a)
1.75%
Semi-Annual
3
month
LIBOR
Quarterly
Deutsche
Bank
AG
03/02/22
1.75
%
USD
200
$
(5,125)
10-Year
Interest
Rate
Swap
(a)
1.84%
Semi-Annual
3
month
LIBOR
Quarterly
Barclays
Bank
plc
04/20/22
1.84
USD
1,000
(31,662)
10-Year
Interest
Rate
Swap
(a)
1.99%
Semi-Annual
3
month
LIBOR
Quarterly
Deutsche
Bank
AG
10/28/22
1.99
USD
1,000
(41,784)
(81,212)
Put
10-Year
Interest
Rate
Swap
(a)
3
month
LIBOR
Quarterly
1.44%
Semi-Annual
Bank
of
America
NA
12/09/21
1.44
USD
400
(7,798)
10-Year
Interest
Rate
Swap
(a)
3
month
LIBOR
Quarterly
1.75%
Semi-Annual
Deutsche
Bank
AG
03/02/22
1.75
USD
200
(2,554)
10-Year
Interest
Rate
Swap
(a)
3
month
LIBOR
Quarterly
1.84%
Semi-Annual
Barclays
Bank
plc
04/20/22
1.84
USD
1,000
(13,454)
10-Year
Interest
Rate
Swap
(a)
3
month
LIBOR
Quarterly
1.99%
Semi-Annual
Deutsche
Bank
AG
10/28/22
1.99
USD
1,000
(19,806)
(43,612)
$
(124,824)
(a)
Forward
settling
swaption.
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)
0.76%
Annual
6
month
WIBOR
Semi-Annual
N/A
06/18/23
PLN
82
$
104
$
—
$
104
0.83%
Semi-Annual
6
month
WIBOR
Semi-Annual
N/A
06/22/23
PLN
191
180
—
180
0.60%
Annual
6
month
WIBOR
Semi-Annual
N/A
07/23/23
PLN
45
109
—
109
28
day
MXIBTIIE
Monthly
5.84%
Monthly
N/A
08/14/23
MXN
1,238
(504)
—
(504)
1.39%
Annual
3
month
WIBOR
Quarterly
09/05/22
(a)
09/05/23
PLN
136
106
—
106
0.51%
Semi-Annual
3
month
LIBOR
Quarterly
N/A
04/07/24
USD
64
(115)
—
(115)
28
day
MXIBTIIE
Monthly
6.11%
Monthly
N/A
08/15/24
MXN
806
(591)
—
(591)
28
day
MXIBTIIE
Monthly
6.12%
Monthly
N/A
08/15/24
MXN
48
(34)
—
(34)
3
month
LIBOR
Quarterly
0.89%
Semi-Annual
N/A
06/04/26
USD
800
(2,509)
—
(2,509)
1.03%
Semi-Annual
3
month
LIBOR
Quarterly
N/A
06/04/26
USD
800
(2,941)
—
(2,941)
1.69%
Annual
6
month
WIBOR
Semi-Annual
N/A
09/07/26
PLN
142
287
—
287
0.99%
Semi-Annual
3
month
LIBOR
Quarterly
11/12/21
(a)
11/12/26
USD
105
654
—
654
1.61%
Semi-Annual
3
month
LIBOR
Quarterly
N/A
10/01/29
USD
400
(8,695)
—
(8,695)
28
day
MXIBTIIE
Monthly
7.08%
Monthly
N/A
09/02/31
MXN
331
(408)
—
(408)
$
(14,357)
$
—
$
(14,357)
(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)
1
month
USCPI
At
Termination
2.47%
At
Termination
04/26/31
USD
225
$
(9,046)
$
—
$
(9,046)
1
month
USCPI
At
Termination
2.54%
At
Termination
06/18/31
USD
360
(9,443)
—
(9,443)
1
month
USCPI
At
Termination
2.53%
At
Termination
08/11/31
USD
214
(3,394)
—
(3,394)
UK
Retail
Price
Index
All
Items
Monthly
At
Termination
3.38%
At
Termination
12/15/40
GBP
53
(11,265)
—
(11,265)
UK
Retail
Price
Index
All
Items
Monthly
At
Termination
3.79%
At
Termination
09/15/41
GBP
19
(103)
—
(103)
BlackRock
U.S.
Government
Bond
Portfolio
8
Schedule
of
Investments
(unaudited)
(continued)
September
30,
2021
i
Centrally
Cleared
Inflation
Swaps
(continued)
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)
UK
Retail
Price
Index
All
Items
Monthly
At
Termination
3.89%
At
Termination
09/15/41
GBP
9
$
334
$
—
$
334
$
(32,917)
$
—
$
(32,917)
The
following
reference
rates,
and
their
values
as
of
period
end,
are
used
for
security
descriptions:
Reference
Index
Reference
Rate
1
month
USCPI
.......................................
U.S.
Consumer
Price
Index
5.40
%
28
day
MXIBTIIE
......................................
Mexico
Interbank
TIIE
28-Day
4.75
3
month
LIBOR
.......................................
London
Interbank
Offered
Rate
0.13
3
month
WIBOR
......................................
Warsaw
Interbank
Offered
Rate
0.13
6
month
WIBOR
......................................
Warsaw
Interbank
Offered
Rate
0.21
Glossary
of
Terms
Used
in
this
Report
Currency
Abbreviations
AUD
Australian
Dollar
CAD
Canadian
Dollar
CNH
Chinese
Yuan
Offshore
CNY
Chinese
Yuan
EUR
Euro
GBP
British
Pound
KZT
Kazakhstani
Tenge
MXN
Mexican
Peso
PLN
Polish
Zloty
RUB
New
Russian
Ruble
USD
United
States
Dollar
Portfolio
Abbreviations
LIBOR
London
Interbank
Offered
Rate
MXIBTIIE
Mexico
Interbank
TIIE
28-Day
OTC
Over-the-counter
TBA
To-be-announced
WIBOR
Warsaw
Interbank
Offered
Rate
BlackRock
U.S.
Government
Bond
Portfolio
9
Schedule
of
Investments
(unaudited)
(continued)
September
30,
2021
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);
and
•
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
table
summarizes
the
Fund’s
financial
instruments
categorized
in
the
fair
value
hierarchy.
The
breakdown
of
the
Fund's
financial
instruments
into
major
categories
is
disclosed
in
the
Schedule
of
Investments
above.
Level
1
Level
2
Level
3
Total
Assets:
Investments:
Long-Term
Investments:
Asset-Backed
Securities
...................................
$
—
$
896,045
$
—
$
896,045
Foreign
Government
Obligations
..............................
—
1,875,131
—
1,875,131
Non-Agency
Mortgage-Backed
Securities
........................
—
3,601,938
—
3,601,938
U.S.
Government
Sponsored
Agency
Securities
....................
—
30,877,438
—
30,877,438
U.S.
Treasury
Obligations
...................................
—
19,225,536
—
19,225,536
Short-Term
Securities:
Money
Market
Funds
......................................
7,264,293
—
—
7,264,293
U.S.
Government
Sponsored
Agency
Securities
....................
—
4,198,991
—
4,198,991
Options
Purchased:
Foreign
currency
exchange
contracts
...........................
—
9,652
—
9,652
Interest
rate
contracts
......................................
19,969
3,695
—
23,664
Liabilities:
Investments:
TBA
Sale
Commitments
....................................
—
(5,733,177)
—
(5,733,177)
$
7,284,262
$
54,955,249
$
—
$
62,239,511
Derivative
Financial
Instruments
(a)
Assets:
Foreign
currency
exchange
contracts
............................
$
—
$
6,414
$
—
$
6,414
Interest
rate
contracts
.......................................
20,409
1,440
—
21,849
Other
contracts
...........................................
—
334
—
334
Liabilities:
Foreign
currency
exchange
contracts
............................
—
(4,093)
—
(4,093)
Interest
rate
contracts
.......................................
(16,680)
(140,621)
—
(157,301)
Other
contracts
...........................................
—
(33,251)
—
(33,251)
$
3,729
$
(169,777)
$
—
$
(166,048)
(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.