BlackRock
U.S.
Government
Bond
Portfolio
2
(Percentages
shown
are
based
on
Net
Assets)
Schedule
of
Investments
(unaudited)
March
31,
2022
Security
Par
(000)
Par
(000)
Value
Asset-Backed
Securities
(a)(b)
Dryden
XXVIII
Senior
Loan
Fund,
Series
2013-
28A,
Class
A1LR,
(LIBOR
USD
3
Month
+
1.20%),
1.71%,
08/15/30
............
USD
500
$
497,673
Romark
WM-R
Ltd.,
Series
2018-1A,
Class
A1,
(LIBOR
USD
3
Month
+
1.03%),
1.28%,
04/20/31
......................
396
392,695
Total
Asset-Backed
Securities
—
2.1%
(Cost:
$895,847)
................................
890,368
Foreign
Government
Obligations
Russia
—
0.0%
Russian
Federation,
6.10%
,
07/18/35
.....
RUB
982
363
Total
Foreign
Government
Obligations
—
0.0%
(Cost:
$10,382)
................................
363
Non-Agency
Mortgage-Backed
Securities
Commercial
Mortgage-Backed
Securities
—
9.6%
280
Park
Avenue
Mortgage
Trust,
Series
2017-280P,
Class
A,
(LIBOR
USD
1
Month
+
0.88%),
1.19%,
09/15/34
(a)(b)
.........
USD
121
120,411
BANK,
Series
2022-BNK40,
Class
A4,
3.51%,
03/15/64
(a)
.....................
40
40,277
Benchmark
Mortgage
Trust,
Series
2022-B33,
Class
A5,
3.46%,
03/15/55
..........
85
85,809
BFLD
Trust,
Series
2020-EYP,
Class
A,
(LIBOR
USD
1
Month
+
1.15%),
1.55%,
10/15/35
(a)(b)
128
126,565
BPR
Trust,
Series
2021-TY,
Class
A,
(LIBOR
USD
1
Month
+
1.05%),
1.45%,
09/15/38
(a)(b)
131
129,032
BX
Commercial
Mortgage
Trust
(b)
Series
2019-XL,
Class
A,
(LIBOR
USD
1
Month
+
0.92%),
1.32%,
10/15/36
(a)
..
83
83,060
Series
2019-XL,
Class
D,
(LIBOR
USD
1
Month
+
1.45%),
1.85%,
10/15/36
(a)
..
255
252,595
Series
2020-FOX,
Class
B,
(LIBOR
USD
1
Month
+
1.35%),
1.75%,
11/15/32
(a)
..
111
110,063
Series
2020-VIV4,
Class
A,
2.84%,
03/09/44
160
149,682
Series
2021-CIP,
Class
A,
(LIBOR
USD
1
Month
+
0.92%),
1.32%,
12/15/38
(a)
..
133
130,836
BX
Trust
(b)
Series
2019-OC11,
Class
A,
3.20%,
12/09/41
....................
275
265,476
Series
2021-MFM1,
Class
C,
(LIBOR
USD
1
Month
+
1.20%),
1.60%,
01/15/34
(a)
..
30
29,020
Series
2021-VIEW,
Class
A,
(LIBOR
USD
1
Month
+
1.28%),
1.68%,
06/15/23
(a)
..
50
49,392
CFK
Trust,
Series
2020-MF2,
Class
B,
2.79%,
03/15/39
(b)
.....................
140
131,116
Citigroup
Commercial
Mortgage
Trust,
Series
2016-P6,
Class
B,
4.17%,
12/10/49
(a)
...
50
49,909
Commercial
Mortgage
Trust
Series
2017-COR2,
Class
AM,
3.80%,
09/10/50
....................
19
19,318
Series
2017-PANW,
Class
A,
3.24%,
10/10/29
(b)
...................
350
344,452
Credit
Suisse
Mortgage
Capital
Certificates,
Series
2020-NET,
Class
A,
2.26%,
08/15/37
(b)
.....................
98
93,099
CSAIL
Commercial
Mortgage
Trust
Series
2018-CX11,
Class
A5,
4.03%,
04/15/51
(a)
...................
42
42,996
Series
2019-C16,
Class
A3,
3.33%,
06/15/52
....................
134
131,969
Security
Par
(000)
Par
(000)
Value
Commercial
Mortgage-Backed
Securities
(continued)
CSMC
Trust,
Series
2021-BHAR,
Class
A,
(LIBOR
USD
1
Month
+
1.15%),
1.55%,
11/15/38
(a)(b)
....................
USD
146
$
145,786
GCT
Commercial
Mortgage
Trust,
Series
2021-GCT,
Class
A,
(LIBOR
USD
1
Month
+
0.80%),
1.20%,
02/15/38
(a)(b)
.........
100
98,297
Great
Wolf
Trust,
Series
2019-WOLF,
Class
A,
(LIBOR
USD
1
Month
+
1.03%),
1.43%,
12/15/36
(a)(b)
....................
90
88,813
GS
Mortgage
Securities
Corp.
Trust
(a)(b)
Series
2020-TWN3,
Class
A,
(LIBOR
USD
1
Month
+
2.00%),
2.40%,
11/15/37
...
170
169,782
Series
2021-DM,
Class
A,
(LIBOR
USD
1
Month
+
0.89%),
1.28%,
11/15/36
...
154
150,742
Series
2021-STAR,
Class
A,
(LIBOR
USD
1
Month
+
0.95%),
1.35%,
12/15/36
...
126
124,728
Hudson
Yards
Mortgage
Trust,
Series
2019-
30HY,
Class
D,
3.44%,
07/10/39
(a)(b)
....
101
93,832
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust
(a)(b)
Series
2020-609M,
Class
A,
(LIBOR
USD
1
Month
+
1.37%),
1.77%,
10/15/33
...
100
98,240
Series
2022-ACB,
Class
A,
(SOFR30A
+
1.40%),
1.45%,
03/15/39
.........
80
79,824
Med
Trust,
Series
2021-MDLN,
Class
A,
(LIBOR
USD
1
Month
+
0.95%),
1.35%,
11/15/38
(a)(b)
....................
136
133,652
Morgan
Stanley
Capital
I
Trust
(a)
Series
2018-H3,
Class
B,
4.62%,
07/15/51
34
35,294
Series
2018-SUN,
Class
A,
(LIBOR
USD
1
Month
+
0.90%),
1.30%,
07/15/35
(b)
..
130
128,365
MTN
Commercial
Mortgage
Trust,
Series
2022-
LPFL,
Class
A,
(TSFR1M
+
1.40%),
1.45%,
03/15/39
(a)(b)
....................
220
219,035
Wells
Fargo
Commercial
Mortgage
Trust,
Series
2021-FCMT,
Class
A,
(LIBOR
USD
1
Month
+
1.20%),
1.60%,
05/15/31
(a)(b)
...
140
138,430
4,089,897
Interest
Only
Commercial
Mortgage-Backed
Securities
—
0.8%
(a)
Arbor
Multifamily
Mortgage
Securities
Trust,
Series
2021-MF3,
Class
XA,
0.74%,
10/15/54
(b)
.....................
110
5,516
Benchmark
Mortgage
Trust,
Series
2020-B20,
Class
XA,
1.62%,
10/15/53
..........
1,015
94,981
CSAIL
Commercial
Mortgage
Trust,
Series
2019-C16,
Class
XA,
1.56%,
06/15/52
..
1,532
134,674
UBS
Commercial
Mortgage
Trust,
Series
2019-
C17,
Class
XA,
1.48%,
10/15/52
......
979
82,362
317,533
Total
Non-Agency
Mortgage-Backed
Securities
—
10.4%
(Cost:
$4,546,546)
..............................
4,407,430
U.S.
Government
Sponsored
Agency
Securities
Agency
Obligations
—
1.0%
Federal
Home
Loan
Bank,
4.00%, 04/10/28
.
400
430,624
Collateralized
Mortgage
Obligations
—
0.3%
Federal
National
Mortgage
Association,
Series
2011-8,
Class
ZA,
4.00%, 02/25/41
.....
78
78,874
Government
National
Mortgage
Association
Variable
Rate
Notes,
Series
2014-107,
Class
WX,
6.79%, 07/20/39
(a)
.............
57
62,287
141,161
BlackRock
U.S.
Government
Bond
Portfolio
3
(Percentages
shown
are
based
on
Net
Assets)
Schedule
of
Investments
(unaudited)
(continued)
March
31,
2022
Security
Par
(000)
Par
(000)
Value
Interest
Only
Collateralized
Mortgage
Obligations
—
0.3%
Federal
National
Mortgage
Association
Series
2020-32,
4.00%, 05/25/50
......
USD
95
$
15,785
Series
2020-32,
Class
PI,
4.00%, 05/25/50
108
17,769
Government
National
Mortgage
Association
Series
2020-115,
Class
IM,
3.50%, 08/20/50
(c)
..............
132
20,295
Series
2020-146,
Class
DI,
2.50%, 10/20/50
154
18,455
Series
2020-162,
Class
TI,
2.50%, 10/20/50
311
37,238
Series
2020-175,
Class
DI,
2.50%, 11/20/50
83
10,028
Series
2020-185,
Class
MI,
2.50%, 12/20/50
175
23,115
142,685
Interest
Only
Commercial
Mortgage-Backed
Securities
—
0.8%
(a)
Federal
Home
Loan
Mortgage
Corp.
Multifamily
Structured
Pass-Through
Certificates
Variable
Rate
Notes
Series
K094,
Class
X1,
0.88%, 06/25/29
.
182
9,822
Series
K105,
Class
X1,
1.52%, 01/25/30
.
551
54,310
Series
K109,
Class
X1,
1.58%, 04/25/30
.
123
12,656
Series
K113,
Class
X1,
1.39%, 06/25/30
.
200
18,521
Series
K115,
Class
X1,
1.33%, 06/25/30
.
256
22,915
Series
K116,
Class
X1,
1.43%, 07/25/30
.
100
9,441
Series
K119,
Class
X1,
0.93%, 09/25/30
.
150
9,631
Series
K120,
Class
X1,
1.04%, 10/25/30
.
735
52,201
Series
K122,
Class
X1,
0.88%, 11/25/30
.
219
13,425
Federal
National
Mortgage
Association
ACES
Variable
Rate
Notes,
Series
2020-M21,
Class
AX,
1.56%, 01/25/58
..........
224
36,019
Government
National
Mortgage
Association
Variable
Rate
Notes
Series
2002-83,
0.00%, 10/16/42
(c)
.....
206
2
Series
2003-17,
0.00%, 03/16/43
(c)
.....
184
2
Series
2003-109,
0.00%, 11/16/43
.....
319
12
Series
2016-22,
0.72%, 11/16/55
......
1,117
31,988
Series
2016-45,
0.81%, 02/16/58
......
470
19,428
Series
2016-151,
0.91%, 06/16/58
.....
453
20,567
Series
2017-30,
0.54%, 08/16/58
......
208
6,687
Series
2017-61,
0.77%, 05/16/59
......
175
7,989
Series
2017-64,
0.74%, 11/16/57
......
140
6,574
332,190
Mortgage-Backed
Securities
—
61.1%
Federal
Home
Loan
Mortgage
Corp.
2.50%, 03/01/30
-
04/01/31
..........
95
94,509
3.00%, 09/01/27
-
12/01/46
..........
162
162,613
3.50%, 04/01/31
-
01/01/48
..........
218
224,338
4.00%, 08/01/40
-
12/01/45
..........
29
30,568
4.50%, 02/01/39
-
07/01/47
..........
103
109,799
5.00%, 11/01/41
.................
44
47,952
5.50%, 06/01/41
.................
51
56,635
8.00%, 03/01/30
-
06/01/31
..........
9
8,638
Federal
National
Mortgage
Association
3.50%, 11/01/46
.................
89
90,328
4.00%, 01/01/41
.................
3
2,637
Government
National
Mortgage
Association
2.00%, 08/20/50
-
11/20/50
..........
301
287,542
2.00%, 04/15/52
(d)
................
740
703,640
2.50%, 10/20/51
-
12/20/51
..........
515
500,596
2.50%, 04/15/52
-
05/15/52
(d)
.........
1,269
1,230,566
3.00%, 02/15/45
.................
14
14,095
3.00%, 04/15/52
-
05/15/52
(d)
.........
782
772,376
3.50%, 01/15/42
-
04/20/48
..........
599
611,549
3.50%, 04/15/52
(d)
................
100
100,547
4.00%, 10/20/40
-
06/20/50
..........
1,047
1,081,858
4.50%, 12/20/39
-
08/20/50
..........
400
425,135
4.50%, 04/15/52
(d)
................
100
103,375
Security
Par
(000)
Par
(000)
Value
Mortgage-Backed
Securities
(continued)
5.00%, 07/15/39
-
07/20/44
..........
USD
32
$
35,714
5.00%, 05/15/52
(d)
................
126
131,424
Uniform
Mortgage-Backed
Securities
1.50%, 04/25/37
-
04/25/52
(d)
.........
1,115
1,010,123
1.50%, 11/01/41
-
12/01/41
..........
622
563,873
2.00%, 10/01/31
-
02/01/52
..........
1,916
1,787,842
2.00%, 04/25/37
-
05/25/52
(d)
.........
3,398
3,217,748
2.50%, 04/01/30
-
02/01/52
..........
2,018
1,948,062
2.50%, 04/25/52
-
05/25/52
(d)
.........
2,328
2,219,208
3.00%, 04/01/29
-
08/01/50
..........
1,274
1,269,884
3.00%, 04/25/52
-
05/25/52
(d)
.........
1,336
1,306,024
3.50%, 08/01/30
-
01/01/51
..........
1,075
1,085,485
3.50%, 04/25/52
-
05/25/52
(d)
.........
1,330
1,331,596
4.00%, 09/01/33
-
05/01/52
..........
982
1,016,029
4.00%, 04/25/52
-
05/25/52
(d)
.........
1,645
1,677,347
4.50%, 06/01/26
-
07/01/48
..........
343
362,506
5.00%, 02/01/35
-
12/01/43
..........
106
113,881
5.50%, 09/01/36
-
09/01/39
..........
147
160,830
6.00%, 04/01/35
-
09/01/40
..........
110
122,382
6.50%, 05/01/40
.................
23
25,371
26,044,625
Total
U.S.
Government
Sponsored
Agency
Securities
—
63.5%
(Cost:
$27,709,111)
..............................
27,091,285
U.S.
Treasury
Obligations
U.S.
Treasury
Bonds
4.25%, 05/15/39
.................
160
200,356
4.50%, 08/15/39
.................
160
206,519
4.38%, 11/15/39
.................
160
203,394
1.75%, 08/15/41
.................
1
1,213
3.13%, 02/15/43
.................
610
656,512
2.88%, 05/15/43
-
11/15/46
..........
1,200
1,251,800
3.63%, 08/15/43
.................
610
707,695
3.75%, 11/15/43
.................
610
721,468
3.00%, 02/15/48
.................
590
642,800
2.25%, 08/15/49
.................
727
691,275
1.63%, 11/15/50
.................
105
86,043
U.S.
Treasury
Notes
1.75%, 04/30/22
.................
2,230
2,232,694
2.13%, 12/31/22
-
05/15/25
..........
2,470
2,460,270
2.75%, 05/31/23
.................
380
383,681
2.00%, 02/15/25
.................
1,470
1,449,328
1.50%, 08/15/26
.................
1,700
1,629,145
2.25%, 08/15/27
.................
1,180
1,167,278
2.88%, 08/15/28
.................
350
358,627
3.13%, 11/15/28
.................
350
364,424
1.63%, 08/15/29
.................
125
118,540
Total
U.S.
Treasury
Obligations
—
36.4%
(Cost:
$15,624,818)
..............................
15,533,062
Total
Long-Term
Investments
—
112.4%
(Cost:
$48,786,704)
..............................
47,922,508
Security
Shares
Shares
Value
Short-Term
Securities
Money
Market
Funds
BlackRock
Liquidity
Funds,
T-Fund,
Institutional
Class,
0.21%
(e)(f)
.................
5,665,687
$
5,665,687
Total
Money
Market
Funds
—
13.3%
(Cost:
$5,665,687)
..............................
5,665,687
BlackRock
U.S.
Government
Bond
Portfolio
4
(Percentages
shown
are
based
on
Net
Assets)
Schedule
of
Investments
(unaudited)
(continued)
March
31,
2022
Security
Par
(000)
Pa
r
(
000)
Value
U.S.
Government
Sponsored
Agency
Securities
Agency
Obligations
—
9.8%
Federal
Home
Loan
Bank
Discount
Notes,
0.28%, 05/20/22
(g)
...............
USD
4,200
$
4,197,604
Total
U.S.
Government
Sponsored
Agency
Securities
—
9.8%
(Cost:
$4,198,428)
..............................
4,197,604
Total
Short-Term
Securities
—
23.1%
(Cost:
$9,864,115)
..............................
9,863,291
Total
Options
Purchased
—
0.2%
(Cost:
$26,178)
................................
55,524
Total
Investments
Before
Options
Written
and
TBA
Sale
Commitments
—
135.7%
(Cost:
$58,676,997
)
..............................
57,841,323
Total
Options
Written
—
(0.6)%
(Premium
Received
—
$(148,206))
...................
(252,763)
Security
Par
(000)
Pa
r
(
000)
Value
TBA
Sale
Commitments
(d)
Mortgage-Backed
Securities
—
(11.3)%
Government
National
Mortgage
Association
2.50%
,
04/15/52
.................
USD
(677)
$
(656,611)
3.00%
,
04/15/52
.................
(161)
(159,081)
4.00%
,
04/15/52
.................
(51)
(52,004)
4.50%
,
04/15/52
.................
(409)
(422,804)
3.50%
,
05/15/52
.................
(36)
(36,084)
Uniform
Mortgage-Backed
Securities
2.00%
,
04/25/37
-
04/25/52
..........
(746)
(713,545)
2.50%
,
04/25/37
-
04/25/52
..........
(641)
(612,470)
3.00%
,
04/25/37
-
04/25/52
..........
(505)
(498,093)
3.50%
,
04/25/37
-
04/25/52
..........
(289)
(290,041)
1.50%
,
04/25/52
.................
(560)
(499,600)
4.00%
,
04/25/52
-
05/25/52
..........
(509)
(518,406)
4.50%
,
04/25/52
.................
(346)
(358,542)
Total
TBA
Sale
Commitments
—
(11.3)%
(Proceeds:
$(4,869,391))
..........................
(4,817,281)
Total
Investments
Net
of
Options
Written
and
TBA
Sale
Commitments
—
123.8%
(Cost:
$53,659,400
)
..............................
52,771,279
Liabilities
in
Excess
of
Other
Assets
—
(23.8)%
...........
(10,129,614)
Net
Assets
—
100.0%
..............................
$
42,641,665
(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)
Security
is
valued
using
significant
unobservable
inputs
and
is
classified
as
Level
3
in
the
fair
value
hierarchy.
(d)
Represents
or
includes
a
TBA
transaction.
(e)
Annualized
7-day
yield
as
of
period
end.
(f)
Affiliate
of
the
Fund.
(g)
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
March
31,
2022
for
purposes
of
Section
2(a)(3)
of
the
Investment
Company
Act
of
1940,
as
amended,
were
as
follows:
Affiliated
Issuer
Value
at
12/31/21
Purchases
at
Cost
Proceeds
from
Sale
Net
Realized
Gain
(Loss)
Change
in
Unrealized
Appreciation
(Depreciation)
Value
at
03/31/22
Shares
Held
at
03/31/22
Income
Capital
Gain
Distributions
from
Underlying
Funds
BlackRock
Liquidity
Funds,
T-Fund,
Institutional
Class
(a)
..
$
9,926,837
$
—
$
(4,261,150)
$
—
$
—
$
5,665,687
5,665,687
$
107
$
—
—
—
(a)
Represents
net
amount
purchased
(sold).
BlackRock
U.S.
Government
Bond
Portfolio
5
Schedule
of
Investments
(unaudited)
(continued)
March
31,
2022
Derivative
Financial
Instruments
Outstanding
as
of
Period
End
Futures
Contracts
Description
Number
of
Contracts
Expiration
Date
Notional
Amount
(000)
Value/
Unrealized
Appreciation
(Depreciation)
Long
Contracts
Euro-Bund
..............................................................
2
06/08/22
$
351
$
(5,187)
U.S.
Treasury
10
Year
Ultra
Note
...............................................
1
06/21/22
136
1,426
U.S.
Treasury
Ultra
Bond
....................................................
4
06/21/22
709
(20,066)
U.S.
Treasury
2
Year
Note
....................................................
19
06/30/22
4,024
(9,821)
U.S.
Treasury
5
Year
Note
....................................................
7
06/30/22
802
(13,138)
(46,786)
Short
Contracts
Euro-BTP
...............................................................
2
06/08/22
306
13,851
U.S.
Treasury
10
Year
Note
...................................................
8
06/21/22
982
594
U.S.
Treasury
Long
Bond
....................................................
6
06/21/22
902
14,332
28,777
$
(18,009)
Forward
Foreign
Currency
Exchange
Contracts
Currency
Purchased
Currency
Sold
Counterparty
Settlement
Date
Unrealized
Appreciation
(Depreciation)
COP
38,400,000
USD
10,000
Deutsche
Bank
AG
04/20/22
$
156
EUR
10,000
USD
10,998
Barclays
Bank
plc
04/20/22
69
MXN
204,738
USD
10,000
State
Street
Bank
and
Trust
Co.
04/20/22
265
RUB
116,927
USD
1,329
Goldman
Sachs
International
05/24/22
236
RUB
266,670
USD
2,213
JPMorgan
Chase
Bank
NA
05/24/22
1,356
2,082
USD
10,000
COP
38,045,000
Barclays
Bank
plc
04/20/22
(62)
USD
10,000
COP
38,164,500
Citibank
NA
04/20/22
(93)
USD
11,004
EUR
10,000
Bank
of
New
York
Mellon
04/20/22
(64)
USD
10,000
ZAR
150,911
UBS
AG
04/20/22
(307)
USD
10,348
RUB
800,000
JPMorgan
Chase
Bank
NA
05/24/22
(358)
USD
18,824
CAD
24,000
Morgan
Stanley
&
Co.
International
plc
06/15/22
(370)
(1,254)
$
828
Exchange-Traded
Options
Purchased
Description
Number
of
Contracts
Expiration
Date
Exercise
Price
Notional
Amount
(000)
Value
Put
U.S.
Treasury
10
Year
Note
.....................
16
05/20/22
USD
119.00
USD
1,600
$
4,250
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
3Yx1Y
Interest
Rate
Swap
(a)
.
2.02%
Semi-Annual
1
day
SOFR
Quarterly
Bank
of
America
NA
05/04/22
2.02
%
USD
8,140
$
16,859
10-Year
Interest
Rate
Swap
(a)
2.15%
Semi-Annual
1
day
SOFR
Annual
Deutsche
Bank
AG
01/20/23
2.15
USD
1,000
34,415
BlackRock
U.S.
Government
Bond
Portfolio
6
Schedule
of
Investments
(unaudited)
(continued)
March
31,
2022
OTC
Interest
Rate
Swaptions
Purchased
(continued)
Paid
by
the
Fund
Received
by
the
Fund
Description
Rate
Frequency
Rate
Frequency
Counterparty
Expiration
Date
Exercise
Rate
Notional
Amount
(000)
Value
$
51,274
(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
Call
2-Year
Interest
Rate
Swap
(a)
.
1.51%
Semi-Annual
1
day
SOFR
Annual
Barclays
Bank
plc
08/16/22
1.51
%
USD
1,400
$
(925)
2-Year
Interest
Rate
Swap
(a)
.
1.22%
Semi-Annual
1
day
SOFR
Annual
Bank
of
America
NA
09/02/22
1.22
USD
1,400
(608)
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
(11,824)
10-Year
Interest
Rate
Swap
(a)
2.10%
Semi-Annual
1
day
SOFR
Annual
Bank
of
America
NA
03/17/23
2.10
USD
300
(9,254)
(22,611)
Put
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
(50,478)
2-Year
Interest
Rate
Swap
(a)
.
3
month
LIBOR
Quarterly
0.95%
Semi-Annual
Deutsche
Bank
AG
04/28/22
0.95
USD
2,200
(71,251)
3Yx1Y
Interest
Rate
Swap
(a)
.
1
day
SOFR
At
Termination
2.32%
At
Termination
Bank
of
America
NA
05/04/22
2.32
USD
8,140
(6,508)
2-Year
Interest
Rate
Swap
(a)
.
1
day
SOFR
Annual
2.21%
Semi-Annual
Barclays
Bank
plc
08/16/22
2.21
USD
1,400
(15,338)
2-Year
Interest
Rate
Swap
(a)
.
1
day
SOFR
Annual
1.95%
Semi-Annual
Bank
of
America
NA
09/02/22
1.95
USD
1,400
(21,586)
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
(53,205)
10-Year
Interest
Rate
Swap
(a)
1
day
SOFR
Annual
2.10%
Semi-Annual
Bank
of
America
NA
03/17/23
2.10
USD
300
(11,631)
(229,997)
$
(252,608)
(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)
1
day
Fed
Funds
At
Termination
1.18%
At
Termination
07/27/22
(a)
09/21/22
USD
15,040
$
(11,466)
$
—
$
(11,466)
1
day
Fed
Funds
At
Termination
1.20%
At
Termination
07/27/22
(a)
09/21/22
USD
14,500
(10,561)
—
(10,561)
1
day
Fed
Funds
At
Termination
1.24%
At
Termination
07/27/22
(a)
09/21/22
USD
2,842
(1,885)
—
(1,885)
0.71%
Semi-Annual
3
month
LIBOR
Quarterly
N/A
11/03/23
USD
1,170
26,956
—
26,956
1.61%
Semi-Annual
3
month
LIBOR
Quarterly
N/A
10/01/29
USD
400
20,456
—
20,456
4
week
TIIE
Monthly
7.60%
Monthly
N/A
01/01/32
MXN
259
(503)
—
(503)
4
week
TIIE
Monthly
7.57%
Monthly
N/A
01/12/32
MXN
295
(615)
—
(615)
4
week
TIIE
Monthly
7.53%
Monthly
N/A
01/23/32
MXN
173
(379)
—
(379)
3
month
LIBOR
Quarterly
1.75%
Semi-Annual
N/A
03/04/32
USD
200
(11,493)
—
(11,493)
4
week
TIIE
Monthly
8.29%
Monthly
N/A
03/17/32
MXN
150
65
—
65
2.16%
Annual
1
day
SOFR
Annual
04/01/22
(a)
04/01/32
USD
200
(754)
—
(754)
$
9,821
$
—
$
9,821
(a)
Forward
swap.
BlackRock
U.S.
Government
Bond
Portfolio
7
Schedule
of
Investments
(unaudited)
(continued)
March
31,
2022
i
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)
U.S.
Consumer
Price
Index
All
Items
Monthly
At
Termination
3.50%
At
Termination
03/31/27
USD
201
$
1,309
$
—
$
1,309
U.S.
Consumer
Price
Index
All
Items
Monthly
At
Termination
3.52%
At
Termination
03/31/27
USD
201
1,528
—
1,528
U.S.
Consumer
Price
Index
All
Items
Monthly
At
Termination
2.47%
At
Termination
04/26/31
USD
225
(24,185)
—
(24,185)
U.S.
Consumer
Price
Index
All
Items
Monthly
At
Termination
2.54%
At
Termination
06/18/31
USD
241
(22,772)
—
(22,772)
U.S.
Consumer
Price
Index
All
Items
Monthly
At
Termination
2.89%
At
Termination
10/29/31
USD
102
(3,818)
—
(3,818)
U.S.
Consumer
Price
Index
All
Items
Monthly
At
Termination
2.88%
At
Termination
11/01/31
USD
102
(3,923)
—
(3,923)
U.S.
Consumer
Price
Index
All
Items
Monthly
At
Termination
2.76%
At
Termination
11/05/31
USD
107
(5,391)
—
(5,391)
U.S.
Consumer
Price
Index
All
Items
Monthly
At
Termination
2.77%
At
Termination
11/05/31
USD
107
(5,363)
—
(5,363)
U.S.
Consumer
Price
Index
All
Items
Monthly
At
Termination
2.80%
At
Termination
11/08/31
USD
45
(2,084)
—
(2,084)
U.S.
Consumer
Price
Index
All
Items
Monthly
At
Termination
2.82%
At
Termination
11/10/31
USD
62
(2,737)
—
(2,737)
U.S.
Consumer
Price
Index
All
Items
Monthly
At
Termination
2.89%
At
Termination
11/15/31
USD
54
(1,948)
—
(1,948)
U.S.
Consumer
Price
Index
All
Items
Monthly
At
Termination
2.93%
At
Termination
11/15/31
USD
54
(1,764)
—
(1,764)
U.S.
Consumer
Price
Index
All
Items
Monthly
At
Termination
2.89%
At
Termination
02/28/32
USD
107
(1,906)
—
(1,906)
$
(73,054)
$
—
$
(73,054)
OTC
Credit
Default
Swap
s
—
Buy
Protection
Reference
Obligation/Index
Financing
Rate
Paid
by
the
Fund
Payment
Frequency
Counterparty
Termination
Date
Notional
Amount
(000)
Value
Upfront
Premium
Paid
(Received)
Unrealized
Appreciation
(Depreciation)
United
Mexican
States
......
1.00
%
Quarterly
Goldman
Sachs
International
06/20/27
USD
10
$
2
$
(22)
$
24
$
–
$
–
$
–
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
11.47%
At
Termination
Goldman
Sachs
International
01/02/24
BRL
80
$
(142)
$
—
$
(142)
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
0.04
%
1
day
Fed
Funds
......................................
1
day
Fed
Funds
0.33
1
day
SOFR
.........................................
Secured
Overnight
Financing
Rate
0.16
28
day
MXIBTIIE
......................................
Mexico
Interbank
TIIE
28-Day
6.72
3
month
LIBOR
.......................................
London
Interbank
Offered
Rate
0.96
BlackRock
U.S.
Government
Bond
Portfolio
8
Schedule
of
Investments
(unaudited)
(continued)
March
31,
2022
Glossary
of
Terms
Used
in
this
Report
Currency
Abbreviation
BRL
Brazilian
Real
CAD
Canadian
Dollar
COP
Colombian
Peso
EUR
Euro
MXN
Mexican
Peso
RUB
New
Russian
Ruble
USD
United
States
Dollar
ZAR
South
African
Rand
Portfolio
Abbreviation
BZDIOVER
Overnight
Brazil
CETIP
—
Interbank
Rate
CSMC
Credit
Suisse
Mortgage
Capital
LIBOR
London
Interbank
Offered
Rate
OTC
Over-the-counter
SOFR
Secured
Overnight
Financing
Rate
TBA
To-be-announced
BlackRock
U.S.
Government
Bond
Portfolio
9
Schedule
of
Investments
(unaudited)
(continued)
March
31,
2022
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
...................................
$
—
$
890,368
$
—
$
890,368
Foreign
Government
Obligations
..............................
—
363
—
363
Non-Agency
Mortgage-Backed
Securities
........................
—
4,407,430
—
4,407,430
U.S.
Government
Sponsored
Agency
Securities
....................
—
27,070,986
20,299
27,091,285
U.S.
Treasury
Obligations
...................................
—
15,533,062
—
15,533,062
Short-Term
Securities
Money
Market
Funds
......................................
5,665,687
—
—
5,665,687
U.S.
Government
Sponsored
Agency
Securities
....................
—
4,197,604
—
4,197,604
Options
Purchased
Interest
rate
contracts
......................................
4,250
51,274
—
55,524
Liabilities
Investments
TBA
Sale
Commitments
....................................
—
(4,817,281)
—
(4,817,281)
$
5,669,937
$
47,333,806
$
20,299
$
53,024,042
Derivative
Financial
Instruments
(a)
Assets
Credit
contracts
...........................................
$
—
$
24
$
—
$
24
Foreign
currency
exchange
contracts
............................
—
2,082
—
2,082
Interest
rate
contracts
.......................................
30,203
47,477
—
77,680
Liabilities
Foreign
currency
exchange
contracts
............................
—
(1,254)
—
(1,254)
Interest
rate
contracts
.......................................
(48,212)
(290,561)
—
(338,773)
$
(18,009)
$
(242,232)
$
—
$
(260,241)
(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.