BlackRock Series Fund II NPORT-P BlackRock U.S. Government Bond Portfolio (Sep 2022 report)

BlackRock

U.S.

Government

Bond

Portfolio

2

(Percentages

shown

are

based

on

Net

Assets)

Schedule

of

Investments

(unaudited)

September

30,

2022

Security

Par

(000)

Par

(000)

Value

Asset-Backed

Securities

Romark

WM-R

Ltd.,

Series

2018-1A,

Class

A1,

(LIBOR

USD

3

Month

+

1.03%),

3.74%,

04/20/31

(a)(b)

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

USD

396

$

388,559

Total

Asset-Backed

Securities

—

1.1%

(Cost:

$395,847)

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

388,559

Foreign

Government

Obligations

Mexico

—

0.0%

United

Mexican

States,

8.50%

,

11/18/38

...

MXN

2

8,978

Total

Foreign

Government

Obligations

—

0.0%

(Cost:

$9,432)

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

8,978

Non-Agency

Mortgage-Backed

Securities

Commercial

Mortgage-Backed

Securities

—

3.9%

280

Park

Avenue

Mortgage

Trust,

Series

2017-280P,

Class

A,

(LIBOR

USD

1

Month

+

0.88%),

3.58%,

09/15/34

(a)(b)

.........

USD

121

117,805

BFLD

Trust,

Series

2020-EYP,

Class

A,

(LIBOR

USD

1

Month

+

1.15%),

3.97%,

10/15/35

(a)(b)

128

123,496

BPR

Trust,

Series

2021-TY,

Class

A,

(LIBOR

USD

1

Month

+

1.05%),

3.87%,

09/15/38

(a)(b)

131

124,473

BX

Trust

(a)(b)

Series

2021-MFM1,

Class

C,

(LIBOR

USD

1

Month

+

1.20%),

4.02%,

01/15/34

...

30

28,421

Series

2021-VIEW,

Class

A,

(LIBOR

USD

1

Month

+

1.28%),

4.10%,

06/15/36

...

50

47,867

CFK

Trust,

Series

2020-MF2,

Class

B,

2.79%,

03/15/39

(b)

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

140

119,732

Commercial

Mortgage

Trust,

Series

2017-

COR2,

Class

AM,

3.80%,

09/10/50

.....

19

17,399

Credit

Suisse

Mortgage

Capital

Certificates,

Series

2020-NET,

Class

A,

2.26%,

08/15/37

(b)(c)

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

98

89,808

CSAIL

Commercial

Mortgage

Trust,

Series

2018-CX11,

Class

A5,

4.03%,

04/15/51

(a)

.

42

38,997

CSMC

Trust,

Series

2021-BHAR,

Class

A,

(LIBOR

USD

1

Month

+

1.15%),

3.97%,

11/15/38

(a)(b)

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

146

139,488

GCT

Commercial

Mortgage

Trust,

Series

2021-GCT,

Class

A,

(LIBOR

USD

1

Month

+

0.80%),

3.62%,

02/15/38

(a)(b)

.........

100

96,452

Hudson

Yards

Mortgage

Trust,

Series

2019-

30HY,

Class

D,

3.56%,

07/10/39

(a)(b)

....

101

79,455

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust,

Series

2020-609M,

Class

A,

(LIBOR

USD

1

Month

+

1.37%),

4.19%,

10/15/33

(a)(b)

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

100

95,978

Morgan

Stanley

Capital

I

Trust

(a)

Series

2018-H3,

Class

B,

4.62%,

07/15/51

34

31,059

Series

2018-SUN,

Class

A,

(LIBOR

USD

1

Month

+

0.90%),

3.72%,

07/15/35

(b)

..

130

127,144

Wells

Fargo

Commercial

Mortgage

Trust,

Series

2021-FCMT,

Class

A,

(LIBOR

USD

1

Month

+

1.20%),

4.02%,

05/15/31

(a)(b)

...

140

132,906

1,410,480

Interest

Only

Commercial

Mortgage-Backed

Securities

—

0.8%

(a)

Arbor

Multifamily

Mortgage

Securities

Trust,

Series

2021-MF3,

Class

XA,

0.85%,

10/15/54

(b)

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

110

4,705

Benchmark

Mortgage

Trust,

Series

2020-B20,

Class

XA,

1.73%,

10/15/53

..........

1,013

80,622

CSAIL

Commercial

Mortgage

Trust,

Series

2019-C16,

Class

XA,

1.71%,

06/15/52

..

1,527

117,198

Security

Par

(000)

Par

(000)

Value

Interest

Only

Commercial

Mortgage-Backed

Securities

(continued)

UBS

Commercial

Mortgage

Trust,

Series

2019-

C17,

Class

XA,

1.61%,

10/15/52

......

USD

974

$

70,583

273,108

Total

Non-Agency

Mortgage-Backed

Securities

—

4.7%

(Cost:

$1,837,676)

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

1,683,588

Beneficial

Interest

(000)

Other

Interests

(d)

Capital

Markets

—

0.0%

Lehman

Brothers

Holdings,

Inc.

(c)

........

1,394

—

Total

Other

Interests

—

0.0%

(Cost:

$5)

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

—

Par

(000)

Par

(000)

U.S.

Government

Sponsored

Agency

Securities

Agency

Obligations

—

1.1%

Federal

Home

Loan

Bank,

4.00%, 04/10/28

.

400

396,892

Collateralized

Mortgage

Obligations

—

0.3%

Federal

National

Mortgage

Association,

Series

2011-8,

Class

ZA,

4.00%, 02/25/41

.....

69

66,874

Government

National

Mortgage

Association

Variable

Rate

Notes,

Series

2014-107,

Class

WX,

6.76%, 07/20/39

(a)

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

49

51,534

118,408

Interest

Only

Collateralized

Mortgage

Obligations

—

0.4%

Federal

National

Mortgage

Association

Series

2020-32,

4.00%, 05/25/50

......

85

18,785

Series

2020-32,

Class

PI,

4.00%, 05/25/50

96

21,231

Government

National

Mortgage

Association

Series

2020-115,

Class

IM,

3.50%, 08/20/50

122

18,638

Series

2020-146,

Class

DI,

2.50%, 10/20/50

143

21,114

Series

2020-162,

Class

TI,

2.50%, 10/20/50

288

37,137

Series

2020-175,

Class

DI,

2.50%, 11/20/50

76

10,720

Series

2020-185,

Class

MI,

2.50%, 12/20/50

162

22,185

149,810

Interest

Only

Commercial

Mortgage-Backed

Securities

—

0.6%

(a)

Federal

Home

Loan

Mortgage

Corp.

Multifamily

Structured

Pass-Through

Certificates

Variable

Rate

Notes

Series

K105,

Class

X1,

1.64%, 01/25/30

.

551

47,135

Series

K116,

Class

X1,

1.53%, 07/25/30

.

100

8,213

Series

K119,

Class

X1,

1.03%, 09/25/30

.

149

8,379

Series

K120,

Class

X1,

1.13%, 10/25/30

.

734

45,466

Series

K122,

Class

X1,

0.97%, 11/25/30

.

218

11,761

Federal

National

Mortgage

Association

ACES

Variable

Rate

Notes,

Series

2020-M21,

Class

AX,

1.94%, 01/25/58

..........

223

31,358

Government

National

Mortgage

Association

Variable

Rate

Notes

Series

2002-83,

0.00%, 10/16/42

(c)

.....

201

—

Series

2003-17,

0.00%, 03/16/43

(c)

.....

176

—

Series

2003-109,

0.00%, 11/16/43

.....

307

12

Series

2016-22,

0.72%, 11/16/55

......

1,105

28,454

Series

2016-151,

0.85%, 06/16/58

.....

405

16,041

Series

2017-30,

0.58%, 08/16/58

......

204

5,901

Series

2017-61,

0.77%, 05/16/59

......

173

7,118

209,838

BlackRock

U.S.

Government

Bond

Portfolio

3

(Percentages

shown

are

based

on

Net

Assets)

Schedule

of

Investments

(unaudited)

(continued)

September

30,

2022

Security

Par

(000)

Par

(000)

Value

Mortgage-Backed

Securities

—

58.3%

Federal

Home

Loan

Mortgage

Corp.

2.50%, 03/01/30

-

04/01/31

..........

USD

83

$

77,057

3.00%, 09/01/27

-

12/01/46

..........

142

130,369

3.50%, 04/01/31

-

01/01/48

..........

193

181,073

4.00%, 08/01/40

-

12/01/45

..........

27

25,780

4.50%, 02/01/39

-

07/01/47

..........

92

89,642

5.00%, 11/01/41

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

38

38,801

5.50%, 06/01/41

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

46

47,081

8.00%, 08/01/30

-

06/01/31

..........

1

1,183

Federal

National

Mortgage

Association

3.50%, 11/01/46

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

79

72,519

4.00%, 01/01/41

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

2

2,185

Government

National

Mortgage

Association

2.00%, 08/20/50

-

02/20/51

..........

698

585,613

2.00%, 10/15/52

(e)

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

228

189,412

2.50%, 04/20/51

-

07/20/52

..........

1,024

882,989

2.50%, 10/15/52

(e)

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

123

105,930

3.00%, 02/15/45

-

12/20/51

..........

570

505,881

3.00%, 10/15/52

-

11/15/52

(e)

.........

356

314,611

3.50%, 01/15/42

-

04/20/48

..........

532

489,803

3.50%, 10/15/52

-

11/15/52

(e)

.........

1,091

991,834

4.00%, 10/20/40

-

06/20/50

..........

948

889,646

4.00%, 10/15/52

-

11/15/52

(e)

.........

211

197,013

4.50%, 12/20/39

-

08/20/50

..........

354

348,213

4.50%, 10/15/52

(e)

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

45

43,072

5.00%, 07/15/39

-

07/20/44

..........

29

29,695

5.00%, 11/15/52

(e)

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

47

45,932

Uniform

Mortgage-Backed

Securities

1.50%, 10/25/37

(e)

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

207

177,478

1.50%, 11/01/41

-

11/01/51

..........

825

652,353

2.00%, 10/01/31

-

03/01/52

..........

4,430

3,619,397

2.00%, 10/25/37

-

10/25/52

(e)

.........

965

820,441

2.50%, 04/01/30

-

03/01/52

..........

3,360

2,872,596

2.50%, 10/25/37

-

10/25/52

(e)

.........

590

500,362

3.00%, 04/01/29

-

08/01/52

..........

2,006

1,795,969

3.00%, 10/25/37

-

10/25/52

(e)

.........

184

163,077

3.50%, 08/01/30

-

09/01/52

..........

1,130

1,032,108

3.50%, 11/25/37

-

11/25/52

(e)

.........

11

10,026

4.00%, 09/01/33

-

10/01/51

..........

962

909,147

4.00%, 10/25/52

-

11/25/52

(e)

.........

833

772,878

4.50%, 06/01/26

-

07/01/48

..........

304

296,751

4.50%, 10/25/52

-

11/25/52

(e)

.........

451

429,553

5.00%, 02/01/35

-

12/01/43

..........

94

94,340

5.00%, 10/25/52

-

11/25/52

(e)

.........

356

346,673

5.50%, 09/01/36

-

09/01/39

..........

125

128,174

6.00%, 04/01/35

-

09/01/40

..........

97

101,991

6.50%, 05/01/40

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

20

21,240

21,029,888

Total

U.S.

Government

Sponsored

Agency

Securities

—

60.7%

(Cost:

$23,991,677)

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

21,904,836

U.S.

Treasury

Obligations

U.S.

Treasury

Bonds

4.25%, 05/15/39

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

160

166,781

4.50%, 08/15/39

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

160

171,781

4.38%, 11/15/39

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

160

168,956

3.13%, 02/15/43

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

610

524,314

2.88%, 05/15/43

-

11/15/46

..........

1,200

984,568

3.63%, 08/15/43

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

610

568,801

3.75%, 11/15/43

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

610

579,310

3.00%, 02/15/48

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

590

496,706

2.25%, 08/15/49

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

727

531,534

1.63%, 11/15/50

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

105

65,190

Security

Par

(000)

Par

(000)

Value

U.S.

Treasury

Obligations

(continued)

U.S.

Treasury

Notes

2.13%, 12/31/22

-

05/15/25

..........

USD

2,470

$

2,397,917

2.75%, 05/31/23

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

1,180

1,169,721

2.00%, 02/15/25

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

1,370

1,300,002

1.50%, 08/15/26

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

1,700

1,537,570

2.25%, 08/15/27

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

1,180

1,084,678

2.88%, 08/15/28

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

350

328,358

3.13%, 11/15/28

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

350

332,568

1.63%, 08/15/29

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

125

107,798

Total

U.S.

Treasury

Obligations

—

34.7%

(Cost:

$14,044,470)

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

12,516,553

Total

Long-Term

Investments

—

101.2%

(Cost:

$40,279,107)

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

36,502,514

Shares

Shares

Short-Term

Securities

Money

Market

Funds

—

3.5%

BlackRock

Liquidity

Funds,

T-Fund,

Institutional

Class,

2.79%

(f)(g)

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

1,266,624

1,266,624

Total

Money

Market

Funds

—

3.5%

(Cost:

$1,266,624)

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

1,266,624

Par

(000)

Pa

r

(

000)

U.S.

Government

Sponsored

Agency

Securities

Agency

Obligations

—

9.4%

Federal

Home

Loan

Bank

Discount

Notes,

2.96%, 10/21/22

(h)

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

3,400

3,394,857

Total

U.S.

Government

Sponsored

Agency

Securities

—

9.4%

(Cost:

$3,394,428)

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

3,394,857

Total

Short-Term

Securities

—

12.9%

(Cost:

$4,661,052)

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

4,661,481

Total

Options

Purchased

—

0.0%

(Cost:

$13,668)

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

13,985

Total

Investments

Before

Options

Written

and

TBA

Sale

Commitments

—

114.1%

(Cost:

$44,953,827

)

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

41,177,980

Total

Options

Written

—

(0.8)%

(Premium

Received

—

$(165,313))

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

(290,352)

TBA

Sale

Commitments

(e)

Mortgage-Backed

Securities

—

(12.0)%

Government

National

Mortgage

Association

2.50%

,

 10/15/52

-

11/15/52

..........

(247)

(211,845)

3.00%

,

 10/15/52

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

(26)

(23,151)

3.50%

,

 10/15/52

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

(160)

(145,519)

4.00%

,

 10/15/52

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

(38)

(35,484)

2.00%

,

 11/15/52

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

(27)

(22,478)

Uniform

Mortgage-Backed

Securities

2.50%

,

 10/25/37

-

11/25/52

..........

(1,226)

(1,029,221)

3.00%

,

 10/25/37

-

11/25/52

..........

(657)

(579,015)

3.50%

,

 10/25/37

-

10/25/52

..........

(414)

(373,564)

1.50%

,

 11/25/37

-

11/25/52

..........

(34)

(27,283)

2.00%

,

 11/25/37

-

11/25/52

..........

(880)

(713,898)

4.00%

,

 10/25/52

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

(701)

(650,424)

4.50%

,

 10/25/52

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

(302)

(287,679)

BlackRock

U.S.

Government

Bond

Portfolio

4

(Percentages

shown

are

based

on

Net

Assets)

Schedule

of

Investments

(unaudited)

(continued)

September

30,

2022

Security

Par

(000)

Par

(000)

Value

Mortgage-Backed

Securities

(continued)

5.00%

,

 10/25/52

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

USD

(233)

$

(226,958)

Total

TBA

Sale

Commitments

—

(12.0)%

(Proceeds:

$(4,504,696))

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

(4,326,519)

Total

Investments

Net

of

Options

Written

and

TBA

Sale

Commitments

—

101.3%

(Cost:

$40,283,818

)

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

36,561,109

Liabilities

in

Excess

of

Other

Assets

—

(1.3)%

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

(467,023)

Net

Assets

—

100.0%

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

$

36,094,086

(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)

Other

interests

represent

beneficial

interests

in

liquidation

trusts

and

other

reorganization

or

private

entities.

(e)

Represents

or

includes

a

TBA

transaction.

(f)

Annualized

7-day

yield

as

of

period

end.

(g)

Affiliate

of

the

Fund.

(h)

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,

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

09/30/22

Shares

Held

at

09/30/22

Income

Capital

Gain

Distributions

from

Underlying

Funds

BlackRock

Liquidity

Funds,

T-Fund,

Institutional

Class

...

$

9,926,837

$

—

$

(8,660,213)

(a)

$

—

$

—

$

1,266,624

1,266,624

$

9,264

$

—

—

—

(a)

Represents

net

amount

purchased

(sold).

BlackRock

U.S.

Government

Bond

Portfolio

5

Schedule

of

Investments

(unaudited)

(continued)

September

30,

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

U.S.

Treasury

10

Year

Note

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

7

12/20/22

$

784

$

(2,701)

U.S.

Treasury

10

Year

Ultra

Note

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

8

12/20/22

948

(52,868)

U.S.

Treasury

Ultra

Bond

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

5

12/20/22

683

(41,310)

U.S.

Treasury

2

Year

Note

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

14

12/30/22

2,874

3,879

U.S.

Treasury

5

Year

Note

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

25

12/30/22

2,686

(74,183)

(167,183)

Short

Contracts

U.S.

Treasury

Long

Bond

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

6

12/20/22

759

54,785

$

(112,398)

Forward

Foreign

Currency

Exchange

Contracts

Currency

Purchased

Currency

Sold

Counterparty

Settlement

Date

Unrealized

Appreciation  

(Depreciation)

EUR

10,000

USD

9,663

UBS

AG

10/17/22

$

146

GBP

10,000

USD

11,139

Bank

of

America

NA

10/17/22

31

USD

10,000

EUR

10,000

Bank

of

New

York

Mellon

10/17/22

190

USD

19,704

MXN

400,000

HSBC

Bank

plc

11/23/22

30

USD

18,168

CAD

24,000

Bank

of

New

York

Mellon

12/21/22

787

1,184

AUD

10,000

USD

6,734

Bank

of

New

York

Mellon

10/17/22

(337)

USD

11,068

GBP

10,000

JPMorgan

Chase

Bank

NA

10/17/22

(100)

(437)

$

747

OTC

Interest

Rate

Swaptions

Purchased

Paid

by

the

Fund

Received

by

the

Fund

Description

Rate

Frequency

Rate

Frequency

Counterparty

Expiration

Date

Exercise

Rate

Notional

Amount

(000)

Value

Call

10-Year

Interest

Rate

Swap

(a)

1

day

SOFR

Annual

2.96%

Semi-Annual

Morgan

Stanley

&

Co.

International

plc

09/03/24

2.96

%

USD

57

$

1,988

10-Year

Interest

Rate

Swap

(a)

1

day

SOFR

Annual

3.25%

Semi-Annual

Goldman

Sachs

International

09/23/24

3.25

USD

12

531

10-Year

Interest

Rate

Swap

(a)

1

day

SOFR

Annual

3.28%

Semi-Annual

Goldman

Sachs

International

09/23/24

3.28

USD

45

2,105

10-Year

Interest

Rate

Swap

(a)

1

day

SOFR

Annual

3.14%

Semi-Annual

BNP

Paribas

SA

09/23/25

3.14

USD

21

1,006

5,630

Put

10-Year

Interest

Rate

Swap

(a)

2.96%

Semi-Annual

1

day

SOFR

Annual

Morgan

Stanley

&

Co.

International

plc

09/03/24

2.96

USD

57

3,881

10-Year

Interest

Rate

Swap

(a)

3.28%

Semi-Annual

1

day

SOFR

Annual

Goldman

Sachs

International

09/23/24

3.28

USD

45

2,485

10-Year

Interest

Rate

Swap

(a)

3.25%

Semi-Annual

1

day

SOFR

Annual

Goldman

Sachs

International

09/23/24

3.25

USD

12

662

10-Year

Interest

Rate

Swap

(a)

3.14%

Semi-Annual

1

day

SOFR

Annual

BNP

Paribas

SA

09/23/25

3.14

USD

21

1,327

8,355

BlackRock

U.S.

Government

Bond

Portfolio

6

Schedule

of

Investments

(unaudited)

(continued)

September

30,

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

$

13,985

(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)

.

2.37%

Semi-Annual

1

day

SOFR

Annual

Deutsche

Bank

AG

10/05/22

2.37

%

USD

1,300

$

—

10-Year

Interest

Rate

Swap

(a)

1.71%

Semi-Annual

1

day

SOFR

Annual

Deutsche

Bank

AG

10/28/22

1.71

USD

1,000

(1)

2-Year

Interest

Rate

Swap

(a)

.

2.43%

Semi-Annual

1

day

SOFR

Annual

Bank

of

America

NA

10/31/22

2.43

USD

1,500

(3)

10-Year

Interest

Rate

Swap

(a)

1.82%

Annual

6

month

EURIBOR

Semi-Annual

Goldman

Sachs

International

11/11/22

1.82

EUR

5

(1)

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

(655)

10-Year

Interest

Rate

Swap

(a)

2.60%

Semi-Annual

1

day

SOFR

Annual

Bank

of

America

NA

04/12/23

2.60

USD

200

(1,348)

10-Year

Interest

Rate

Swap

(a)

3.13%

Semi-Annual

1

day

SOFR

Annual

Deutsche

Bank

AG

06/14/23

3.13

USD

300

(6,283)

(8,291)

Put

2-Year

Interest

Rate

Swap

(a)

.

1

day

SOFR

Annual

3.66%

Semi-Annual

Deutsche

Bank

AG

10/13/22

3.66

USD

1,100

(12,089)

10-Year

Interest

Rate

Swap

(a)

1

day

SOFR

Annual

1.71%

Semi-Annual

Deutsche

Bank

AG

10/28/22

1.71

USD

1,000

(154,880)

2-Year

Interest

Rate

Swap

(a)

.

1

day

SOFR

Annual

3.45%

Semi-Annual

Bank

of

America

NA

11/04/22

3.45

USD

1,300

(20,236)

10-Year

Interest

Rate

Swap

(a)

6

month

EURIBOR

Semi-Annual

1.82%

Annual

Goldman

Sachs

International

11/11/22

1.82

EUR

5

(538)

2-Year

Interest

Rate

Swap

(a)

.

1

day

SOFR

Annual

3.75%

Semi-Annual

Bank

of

America

NA

11/17/22

3.75

USD

1,400

(15,242)

2-Year

Interest

Rate

Swap

(a)

.

1

day

SOFR

Annual

4.17%

Semi-Annual

Deutsche

Bank

AG

12/13/22

4.17

USD

1,600

(10,316)

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

(36,126)

10-Year

Interest

Rate

Swap

(a)

1

day

SOFR

Annual

2.60%

Semi-Annual

Bank

of

America

NA

04/12/23

2.60

USD

200

(16,758)

10-Year

Interest

Rate

Swap

(a)

1

day

SOFR

Annual

3.13%

Semi-Annual

Deutsche

Bank

AG

06/14/23

3.13

USD

300

(15,876)

(282,061)

$

(290,352)

(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)

28

day

MXIBTIIE

Monthly

10.17%

Monthly

N/A

09/14/23

MXN

484

$

(74)

$

—

$

(74)

28

day

MXIBTIIE

Monthly

10.30%

Monthly

N/A

09/18/23

MXN

386

(39)

—

(39)

6.15%

Annual

3

month

WIBOR

Quarterly

04/11/23

(a)

04/11/24

PLN

70

209

—

209

3.13%

Annual

1

day

SOFR

Annual

N/A

06/14/24

USD

700

10,527

—

10,527

2.22%

Annual

6

month

EURIBOR

Semi-Annual

N/A

09/12/24

EUR

19

162

6

156

3.58%

Annual

1

day

SOFR

Annual

N/A

09/13/24

USD

600

6,867

—

6,867

3.63%

Annual

1

day

SOFR

Annual

N/A

09/13/24

USD

400

4,196

—

4,196

4.16%

Annual

1

day

SOFR

Annual

N/A

09/23/24

USD

900

648

—

648

4.32%

Annual

1

day

SOFR

Annual

N/A

09/27/24

USD

900

(2,058)

—

(2,058)

6.87%

Annual

6

month

WIBOR

Semi-Annual

N/A

09/29/27

PLN

12

15

—

15

BlackRock

U.S.

Government

Bond

Portfolio

7

Schedule

of

Investments

(unaudited)

(continued)

September

30,

2022

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)

6.99%

Annual

6

month

WIBOR

Semi-Annual

N/A

09/30/27

PLN

17

$

8

$

—

$

8

7.15%

Annual

6

month

WIBOR

Semi-Annual

12/21/22

(a)

12/21/27

PLN

23

(24)

—

(24)

2.16%

Annual

1

day

SOFR

Annual

N/A

04/01/32

USD

200

21,876

—

21,876

6

month

EURIBOR

Semi-Annual

2.44%

Annual

07/14/27

(a)

07/14/32

EUR

10

(297)

—

(297)

1

day

SOFR

Annual

3.64%

Annual

N/A

09/28/32

USD

200

1,276

405

871

$

43,292

$

411

$

42,881

(a)

Forward

swap.

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

11.65%

At

Termination

JPMorgan

Chase

Bank

NA

01/02/25

BRL

24

$

(2)

$

—

$

(2)

1

day

BZDIOVER

At

Termination

11.69%

At

Termination

Citibank

NA

01/02/25

BRL

33

3

—

3

$

1

$

—

$

1

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

0.05

%

1

day

SOFR

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

Secured

Overnight

Financing

Rate

2.59

28

day

MXIBTIIE

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

Mexico

Interbank

TIIE

28-Day

9.55

3

month

WIBOR

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

Warsaw

Interbank

Offered

Rate

7.21

6

month

EURIBOR

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

Euro

Interbank

Offered

Rate

1.90

6

month

WIBOR

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

Warsaw

Interbank

Offered

Rate

7.39

Glossary

of

Terms

Used

in

this

Report

Currency

Abbreviation

AUD

Australian

Dollar

BRL

Brazilian

Real

CAD

Canadian

Dollar

EUR

Euro

GBP

British

Pound

MXN

Mexican

Peso

PLN

Polish

Zloty

USD

United

States

Dollar

Portfolio

Abbreviation

BZDIOVER

Overnight

Brazil

CETIP

—

Interbank

Rate

CSMC

Credit

Suisse

Mortgage

Capital

EURIBOR

Euro

Interbank

Offered

Rate

LIBOR

London

Interbank

Offered

Rate

MXIBTIIE

Mexico

Interbank

TIIE

28-Day

OTC

Over-the-counter

SOFR

Secured

Overnight

Financing

Rate

TBA

To-be-announced

WIBOR

Warsaw

Interbank

Offered

Rate

BlackRock

U.S.

Government

Bond

Portfolio

8

Schedule

of

Investments

(unaudited)

(continued)

September

30,

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

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

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

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

$

—

$

388,559

$

—

$

388,559

Foreign

Government

Obligations

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

—

8,978

—

8,978

Non-Agency

Mortgage-Backed

Securities

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

—

1,593,780

89,808

1,683,588

Other

Interests

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

—

—

—

—

U.S.

Government

Sponsored

Agency

Securities

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

—

21,904,836

—

21,904,836

U.S.

Treasury

Obligations

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

—

12,516,553

—

12,516,553

Short-Term

Securities

Money

Market

Funds

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

1,266,624

—

—

1,266,624

U.S.

Government

Sponsored

Agency

Securities

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

—

3,394,857

—

3,394,857

Options

Purchased

Interest

rate

contracts

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

—

13,985

—

13,985

Liabilities

Investments

TBA

Sale

Commitments

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

—

(4,326,519)

—

(4,326,519)

$

1,266,624

$

35,495,029

$

89,808

$

36,851,461

Derivative

Financial

Instruments

(a)

Assets

Foreign

currency

exchange

contracts

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

$

—

$

1,184

$

—

$

1,184

Interest

rate

contracts

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

58,664

45,376

—

104,040

Liabilities

Foreign

currency

exchange

contracts

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

—

(437)

—

(437)

Interest

rate

contracts

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

(171,062)

(292,846)

—

(463,908)

$

(112,398)

$

(246,723)

$

—

$

(359,121)

(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.