Managed Account Series II N-CSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES

 SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-23340

Name of Fund:  Managed Account Series II

                                       BlackRock U.S. Mortgage Portfolio

Fund Address:   100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service:  John M. Perlowski, Chief Executive Officer, Managed Account Series II, 55 East 52^nd Street, New York, NY 10055

Registrant’s telephone number, including area code:  (800) 441-7762

Date of fiscal year end: 04/30/2021

Date of reporting period: 10/31/2020

Item 1 – Report to Stockholders

October

31,

2020

Not

FDIC

Insured

-

May

Lose

Value

-

No

Bank

Guarantee

2020

Semi-Annual

Report

(Unaudited)

Managed

Account

Series

II

BlackRock

U.S.

Mortgage

Portfolio

Beginning

on

January

1,

2021,

as

permitted

by

regulations

adopted

by

the

Securities

and

Exchange

Commission,

paper

copies

of

the

Fund’s

shareholder

reports

will

no

longer

be

sent

by

mail,

unless

you

specifically

request

paper

copies

of

the

reports

from

BlackRock

or

from

your

financial

intermediary,

such

as

a

broker-dealer

or

bank.

Instead,

the

reports

will

be

made

available

on

a

website,

and

you

will

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notified

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mail

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time

a

report

is

posted

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provided

with

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website

link

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access

the

report.

You

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free

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charge.

If

you

hold

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can

call

(800)

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BlackRock

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If

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Please

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intermediaries

may

offer

this

service.

Dear

Shareholder,

The

12-month

reporting

period

as

of

October

31,

2020

has

been

a

time

of

sudden

change

in

global

financial

markets,

as

the

emergence

and

spread

of

the

coronavirus

(or

“COVID-19”)

led

to

a

vast

disruption

in

the

global

economy

and

financial

markets.

Prior

to

the

outbreak

of

the

virus,

U.S.

equities

and

bonds

both

delivered

solid

returns,

despite

fears

and

doubts

about

the

economy

that

were

ultimately

laid

to

rest

with

unprecedented

monetary

stimulus

and

a

sluggish

yet

resolute

performance

from

the

U.S.

economy.

But

as

the

threat

from

the

coronavirus

became

more

apparent

throughout

February

and

March

2020,

countries

around

the

world

took

economically

disruptive

countermeasures.

Stay-at-home

orders

and

closures

of

non-essential

businesses

became

widespread,

many

workers

were

laid

off,

and

unemployment

claims

spiked,

causing

a

global

recession

and

a

sharp

fall

in

equity

prices.

After

markets

hit

their

lowest

point

of

the

reporting

period

in

late

March

2020,

a

steady

recovery

ensued,

as

businesses

began

to

re-open

and

governments

learned

to

adapt

to

life

with

the

virus.

Equity

prices

continued

to

rise

throughout

the

summer,

fed

by

strong

fiscal

and

monetary

support

and

improving

economic

indicators.

Many

equity

indices

neared

or

surpassed

all-time

highs

in

early

September

2020

before

retreating

amid

concerns

about

a

second

wave

of

infections.

In

the

United

States,

large-capitalization

stocks

advanced,

outperforming

small-capitalization

stocks,

which

declined

marginally

during

the

reporting

period.

International

equities

from

developed

economies

declined,

significantly

lagging

emerging

market

stocks,

which

rebounded

sharply.

During

the

market

downturn,

the

performance

of

different

types

of

fixed-income

securities

initially

diverged

due

to

a

reduced

investor

appetite

for

risk.

U.S.

Treasuries

benefited

from

the

risk-off

environment,

and

posted

solid

returns,

as

the

10-year

U.S.

Treasury

yield

(which

is

inversely

related

to

bond

prices)

touched

an

all-time

low.

In

the

corporate

bond

market,

support

from

the

U.S.

Federal

Reserve

(the

“Fed”)

assuaged

credit

concerns

and

both

investment-grade

and

high-yield

bonds

recovered

to

post

positive

returns.

The

Fed

took

an

accommodative

monetary

stance

in

late

2019

to

support

slowing

economic

growth.

After

the

coronavirus

outbreak,

the

Fed

instituted

two

emergency

interest

rate

cuts,

pushing

short-term

interest

rates

close

to

zero.

To

stabilize

credit

markets,

the

Fed

also

implemented

a

new

bond-buying

program,

as

did

several

other

central

banks

around

the

world,

including

the

European

Central

Bank

and

the

Bank

of

Japan.

Looking

ahead,

while

coronavirus-related

disruptions

have

clearly

hindered

worldwide

economic

growth,

we

believe

that

the

global

expansion

is

likely

to

continue

as

economic

activity

resumes.

Several

risks

remain,

however,

including

a

potential

resurgence

of

the

coronavirus

amid

loosened

restrictions,

policy

fatigue

among

governments

already

deep

into

deficit

spending,

and

structural

damage

to

the

financial

system

from

lengthy

economic

interruptions.

Overall,

we

favor

a

moderately

positive

stance

toward

risk,

and

in

particular

toward

credit

given

the

extraordinary

central

bank

measures

taken

in

recent

months.

This

support

extends

beyond

investment-grade

corporates

and

into

high-yield,

leading

to

attractive

opportunities

in

that

end

of

the

market.

We

believe

that

international

diversification

and

a

focus

on

sustainability

can

help

provide

portfolio

resilience,

and

the

disruption

created

by

the

coronavirus

appears

to

be

accelerating

the

shift

toward

sustainable

investments.

We

remain

neutral

on

equities

overall

while

favoring

emerging

market

stocks

and

tilting

toward

the

quality

factor

for

its

resilience.

In

this

environment,

our

view

is

that

investors

need

to

think

globally,

extend

their

scope

across

a

broad

array

of

asset

classes,

and

be

nimble

as

market

conditions

change.

We

encourage

you

to

talk

with

your

financial

advisor

and

visit

blackrock.com

for

further

insight

about

investing

in

today’s

markets.

Sincerely,

Rob

Kapito

President,

BlackRock

Advisors,

LLC

The

Markets

in

Review

Rob

Kapito

President,

BlackRock

Advisors,

LLC

Past

performance

is

not

an

indication

of

future

results.

Index

performance

is

shown

for

illustrative

purposes

only.

You

cannot

invest

directly

in

an

index.

Total

Returns

as

of

October

31,

2020

6-Month

12-Month

U.S.

large

cap

equities

(S&P

500

®

Index)

13.29%

9.71%

U.S.

small

cap

equities

(Russell

2000

®

Index)

18.13

(0.14)

International

equities

(MSCI

Europe,

Australasia,

Far

East

Index)

8.57

(6.86)

Emerging

market

equities

(MSCI

Emerging

Markets

Index)

20.96

8.25

3-month

Treasury

bills

(ICE

BofA

3-Month

U.S.

Treasury

Bill

Index)

0.06

0.92

U.S.

Treasury

securities

(ICE

BofA

10-Year

U.S.

Treasury

Index)

(1.63)

8.92

U.S.

investment

grade

bonds

(Bloomberg

Barclays

U.S.

Aggregate

Bond

Index)

1.27

6.19

Tax-exempt

municipal

bonds

(S&P

Municipal

Bond

Index)

4.87

3.55

U.S.

high

yield

bonds

(Bloomberg

Barclays

U.S.

Corporate

High

Yield

2%

Issuer

Capped

Index)

10.73

3.42

This

Page

is

not

Part

of

Your

Fund

Report

2

Table

of

Contents

Page

3

The

Markets

in

Review

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

2

Semi-Annual

Report:

Fund

Summary

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

4

The

Benefits

and

Risks

of

Leveraging

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

6

About

Fund

Performance 

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

6

Disclosure

of

Expenses

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

7

Derivative

Financial

Instruments

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

7

Financial

Statements:

Schedule

of

Investments

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

8

Statement

of

Assets

and

Liabilities

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

18

Statement

of

Operations

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

19

Statements

of

Changes

in

Net

Assets

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

20

Financial

Highlights

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

21

Notes

to

Financial

Statements

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

24

Disclosure

of

Investment

Advisory

Agreement

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

34

Additional

Information

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

37

Glossary

of

Terms

Used

in

this

Report

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

39

Fund

Summary

as

of

October

31,

2020

2020

BlackRock

Semi-Annual

Report

To

Shareholders

4

BlackRock

U.S.

Mortgage

Portfolio

Investment

Objective

BlackRock

U.S.

Mortgage

Portfolio’s

(the

“Fund”)

investment

objective

is

to

seek

high

total

return.

Portfolio

Management

Commentary

How

did

the

Fund

perform?

For

the

six-month

period

ended

October

31,

2020,

the

Fund

outperformed

its

benchmark,

the

Bloomberg

Barclays

U.S.

Mortgage-Backed

Securities

Index.

What

factors

influenced

performance?

The

Fund's

allocations

to

residential

mortgage-backed

securities

(“MBS”)

contributed

positively

as

the

sector

was

supported

by

the

firm

U.S.

housing

backdrop.

Specifically,

holdings

in

legacy

non-agency,

single-family

rentals

and

financing

transactions

added

to

performance.

Within

commercial

mortgage-backed

securities

(“CMBS”),

allocations

to

subordinated

paper

contributed

positively.

Agency

MBS

pool

selection

and

relative

value

strategies

within

the

sector

were

also

additive.

The

Fund's

duration

and

curve

strategies

were

a

very

slight

detractor

over

the

period.

Describe

recent

portfolio

activity.

The

Fund's

allocation

to

securitized

assets

increased

over

the

period,

mainly

through

additions

to

non-agency

MBS

and

CMBS.

Within

CMBS,

the

Fund's

exposure

was

increased

across

floating

rate,

high

quality

single

asset/single

borrower

and

diversified

conduit

issues.

Within

non-agency

residential

MBS,

the

Fund’s

exposure

increased

primarily

through

additions

to

legacy

senior

paper

issued

prior

to

the

2008

crisis.

Within

agency

MBS,

positioning

was

shifted

to

favor

coupons

within

the

Fed’s

purchase

program.

Finally,

the

Fund’s

positioning

with

respect

to

overall

portfolio

duration

and

corresponding

interest

rate

sensitivity

was

moved

to

slightly

underweight

relative

to

the

benchmark.

The

Fund’s

cash

position

was

slightly

elevated

at

times

during

the

period.

The

cash

position

did

not

have

any

material

impact

on

Fund

performance.

Describe

portfolio

positioning

at

period

end.

Relative

to

the

benchmark,

the

Fund

ended

the

period

modestly

underweight

in

duration

and

corresponding

interest

rate

sensitivity.

The

Fund’s

main

sector

allocations

included

CMBS

and

non-agency

MBS.

The

Fund

closed

the

period

with

a

constructive

stance

on

non-agency

MBS,

as

borrowers

continued

to

take

advantage

of

extraordinarily

low

interest

rates.

Within

CMBS,

the

Fund

favored

areas

of

the

capital

stack

that

still

showed

room

for

spread

compression,

as

well

as

more

idiosyncratic

transactions

backed

by

property

types

for

which

the

investment

adviser

expects

to

perform

well

in

the

post-COVID

era.

Within

agency

MBS,

the

Fund

continued

to

favor

coupons

that

were

supported

by

Fed

purchases

as

well

as

areas

of

the

coupon

stack

that

exhibited

signs

of

borrower

burnout

with

respect

to

refinancing

activity.

The

views

expressed

reflect

the

opinions

of

BlackRock

as

of

the

date

of

this

report

and

are

subject

to

change

based

on

changes

in

market,

economic

or

other

conditions.

These

views

are

not

intended

to

be

a

forecast

of

future

events

and

are

no

guarantee

of

future

results.

Fund

Summary

as

of

October

31,

2020

(continued)

5

Fund

Summary

BlackRock

U.S.

Mortgage

Portfolio

Portfolio

Information

Performance

Summary

for

the

Period

Ended

October

31,

2020

PORTFOLIO

COMPOSITION

Asset

Type

Percent

of

at

Total

Investments

(a)

U.S.

Government

Sponsored

Agency

Securities

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

62‌

%

Non-Agency

Mortgage-Backed

Securities

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

26‌

Asset-Backed

Securities

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

12‌

(a)

Excludes

short-term

securities,

options

purchased

and

TBA

sale

commitments.

CREDIT

QUALITY

ALLOCATION

Credit

Rating

(a)

Percent

of

Total

Investments

(b)

AAA/

Aaa

(c)

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

69‌

%

AA/Aa

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

1‌

A

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

—‌

(d)

BBB/Baa

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

1‌

BB/Ba

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

3‌

B

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

2‌

CCC/

Caa

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

—‌

(d)

CC/Ca

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

2‌

C

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

1‌

D

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

1‌

NR

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

20‌

(a)

For

financial

reporting

purposes,

credit

quality

ratings

shown

above

reflect

the

highest

rating

assigned

by

either

S&P

Global

Ratings

or

Moody’s

Investors

Service

if

ratings

differ.

These

rating

agencies

are

independent,

nationally

recognized

statistical

rating

organizations

and

are

widely

used.

Investment

grade

ratings

are

credit

ratings

of

BBB/

Baa

or

higher.

Below

investment

grade

ratings

are

credit

ratings

of

BB/Ba

or

lower.

Investments

designated

NR

are

not

rated

by

either

rating

agency.

Unrated

investments

do

not

necessarily

indicate

low

credit

quality.

Credit

quality

ratings

are

subject

to

change.

(b)

Excludes

short-term

securities,

options

purchased

and

TBA

sale

commitments.

(c)

The

investment

adviser

evaluates

the

credit

quality

of

unrated

investments

based

upon

certain

factors

including,

but

not

limited

to,

credit

ratings

for

similar

investments

and

financial

analysis

of

sectors,

individual

investments

and/or

issuers.

Using

this

approach,

the

investment

adviser

has

deemed

unrated

U.S.

Government

Sponsored

Agency

Securities

and

U.S.

Treasury

Obligations

to

be

of

similar

credit

quality

as

investments

rated

AAA/Aaa.

(d)

Represents

less

than

1%

of

the

Fund's

total

investments.

Average

Annual

Total

Returns

(a)(b)

1

Year

5

Years

10

Years

Standardized

30-Day

Yields

Unsubsidized

30-Day

Yields

6-Month

Total

Returns

w/o

sales

charge

w/sales

charge

w/o

sales

charge

w/sales

charge

w/o

sales

charge

w/sales

charge

Institutional

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

2.87‌%

2.75‌%

4.76‌%

4.51‌%

N/A‌

3.38‌%

N/A‌

3.90‌%

N/A‌

Investor

A

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

2.52‌

2.33‌

4.74‌

4.35‌

0.18‌%

3.14‌

2.30‌%

3.61‌

3.19‌%

Investor

C

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

1.88‌

1.67‌

4.35‌

3.58‌

2.58‌

2.35‌

2.35‌

2.84‌

2.84‌

Bloomberg

Barclays

U.S.

Mortgage-

Backed

Securities

Index

(c)

.........

—‌

—‌

0.10‌

3.95‌

N/A‌

2.96‌

N/A‌

2.90‌

N/A‌

(a)

Assuming

maximum

sales

charges,

if

any.

Average

annual

total

returns

with

and

without

sales

charges

reflect

reductions

for

distribution

and

service

fees.

See

“About

Fund

Performance”

on

page

6

for

a

detailed

description

of

share

classes,

including

any

related

sales

charges

and

fees,

and

how

performance

was

calculated

for

certain

share

classes.

(b)

The

Fund

invests

primarily

in

mortgage-related

securities.

Under

normal

circumstances,

the

Fund

will

invest

at

least

80%

of

its

assets

in

mortgage-backed

securities

and

other

mortgage-related

securities

that

are

issued

by

issuers

located

in

the

United

States.

On

September

17,

2018,

the

Fund

acquired

all

of

the

assets,

subject

to

the

liabilities,

of

BlackRock

U.S.

Mortgage

Portfolio

(the

"Predecessor

Fund"),

a

series

of

Managed

Account

Series,

through

a

tax-free

reorganization

(the

"Reorganization").

The

Predecessor

Fund

is

the

performance

and

accounting

survivor

of

the

Reorganization.

(c)

An

unmanaged

index

that

includes

the

mortgage-backed

pass-through

securities

of

Ginnie

Mae,

Fannie

Mae

and

Freddie

Mac

that

meet

certain

maturity

and

liquidity

criteria.

N/A

–

Not

applicable

as

share

class

and

index

do

not

have

a

sales

charge.

Past

performance

is

not

an

indication

of

future

results.

Performance

results

do

not

reflect

the

deduction

of

taxes

that

a

shareholder

would

pay

on

Fund

distributions

on

the

redemptions

of

Fund

Shares.

Performance

results

may

include

adjustments

for

financial

reporting

purpose

in

accordance

with

U.S.

generally

accepted

accounting

principles.

The

Benefits

and

Risks

of

Leveraging

2020

BlackRock

Semi-Annual

Report

To

Shareholders

6

The

Fund

may

utilize

leverage

to

seek

to

enhance

returns

and

net

asset

value

(“NAV”).

However,

there

is

no

guarantee

that

these

objectives

can

be

achieved

in

all

interest

rate

environments.  

The

Fund

may

utilize

leverage

by

entering

into

reverse

repurchase

agreements.

In

general,

the

concept

of

leveraging

is

based

on

the

premise

that

the

financing

cost

of

leverage,

which

is

based

on

short-term

interest

rates,

is

normally

lower

than

the

income

earned

by

the

Fund

on

its

longer-term

portfolio

investments

purchased

with

the

proceeds

from

leverage.

To

the

extent

that

the

total

assets

of

the

Fund

(including

the

assets

obtained

from

leverage)

are

invested

in

higher-yielding

portfolio

investments,

the

Fund’s

shareholders

benefit

from

the

incremental

net

income.

The

interest

earned

on

securities

purchased

with

the

proceeds

from

leverage

is

distributed

to

the

Fund’s

shareholders,

and

the

value

of

these

portfolio

holdings

is

reflected

in

the

Fund’s

per

share

NAV.

However,

in

order

to

benefit

shareholders,

the

return

on

assets

purchased

with

leverage

proceeds

must

exceed

the

ongoing

costs

associated

with

the

leverage.

If

interest

and

other

ongoing

costs

of

leverage

exceed

the

Fund’s

return

on

assets

purchased

with

leverage

proceeds,

income

to

shareholders

is

lower

than

if

the

Fund

had

not

used

leverage.

Furthermore,

the

value

of

the

Fund’s

portfolio

investments

generally

varies

inversely

with

the

direction

of

long-term

interest

rates,

although

other

factors

can

also

influence

the

value

of

portfolio

investments.

As

a

result,

changes

in

interest

rates

can

influence

the

Fund’s

NAV

positively

or

negatively

in

addition

to

the

impact

on

the

Fund’s

performance

from

leverage.

Changes

in

the

direction

of

interest

rates

are

difficult

to

predict

accurately,

and

there

is

no

assurance

that

the

Fund’s

leveraging

strategy

will

be

successful.

The

use

of

leverage

also

generally

causes

greater

changes

in

the

Fund’s

NAV

and

dividend

rates

than

comparable

portfolios

without

leverage.

In

a

declining

market,

leverage

is

likely

to

cause

a

greater

decline

in

the

NAV

of

the

Fund’s

shares

than

if

the

Fund

were

not

leveraged.

In

addition,

the

Fund

may

be

required

to

sell

portfolio

securities

at

inopportune

times

or

at

distressed

values

in

order

to

comply

with

regulatory

requirements

applicable

to

the

use

of

leverage

or

as

required

by

the

terms

of

the

leverage

instruments,

which

may

cause

the

Fund

to

incur

losses.

The

use

of

leverage

may

limit

the

Fund’s

ability

to

invest

in

certain

types

of

securities

or

use

certain

types

of

hedging

strategies.

The

Fund

incurs

expenses

in

connection

with

the

use

of

leverage,

all

of

which

are

borne

by

the

Fund’s

shareholders

and

may

reduce

income.

About

Fund

Performance 

Institutional

Shares

are

not

subject

to

any

sales

charge.

These

shares

bear

no

ongoing

distribution

or

service

fees

and

are

available

only

to

certain

eligible

investors.

Investor

A

Shares

are

subject

to

a

maximum

initial

sales

charge

(front-end

load)

of 4.00%

and

a

service

fee

of 

0.25%

per

year

(but

no

distribution

fee).

Certain

redemptions

of

these

shares

may

be

subject

to

a

contingent

deferred

sales

charge

("CDSC")

where

no

initial

sales

charge

was

paid

at

the

time

of

purchase.

These

shares

are

generally

available

through

financial

intermediaries.

Investor

A

Shares

performance

shown

prior

to

the

Investor

A

Shares

inception

date

of

December

6,

2010

is

that

of

Institutional

Shares

(which

have

no

distribution

or

service

fees)

and

was

restated

to

reflect

Investor

A

Shares

fees.

Investor

C

Shares

 are

subject

to

a 1.00%

CDSC

if

redeemed

within

one

year

of

purchase.

In

addition,

these

shares

are

subject

to

a

distribution

fee

of

0.75

%

per

year

and

a

service

fee

of

0.25

%

per

year.

These

shares

are

generally

available

through

financial

intermediaries.

These

shares

automatically

convert

to

Investor

A

Shares

after

approximately

ten

years.

Effective

November

23,

2020,

the

automatic

conversion

feature

will

be

modified

to

reduce

the

conversion

period

from

ten

years

to

eight

years.

Investor

C

Shares

performance

shown

prior

to

the

Investor

C

Shares

inception

date

of

December

6,

2010

is

that

of

Institutional

Shares

(which

have

no

distribution

or

service

fees)

and

was

restated

to

reflect

Investor

C

Shares

fees.

Past

performance

is

not

an

indication

of

future

results.

Financial

markets

have

experienced

extreme

volatility

and

trading

in

many

instruments

has

been

disrupted.

These

circumstances

may

continue

for

an

extended

period

of

time,

and

may

continue

to

affect

adversely

the

value

and

liquidity

of

the

fund's

investments.

As

a

result,

current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

Refer

to

blackrock.com

to

obtain

performance

data

current

to

the

most

recent

month-end.

Performance

results

do

not

reflect

the

deduction

of

taxes

that

a

shareholder

would

pay

on

Fund

distributions

or

the

redemption

of

Fund

shares.

Figures

shown

in

the

performance

tables

on the

previous

page(s)

assume

reinvestment

of

all

distributions,

if

any,

at

NAV

on

the

ex-dividend

date

or

payable

date,

as

applicable.

Investment

return

and

principal

value

of

shares

will

fluctuate

so

that

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Distributions

paid

to

each

class

of

shares

will

vary

because

of

the

different

levels

of

service,

distribution

and

transfer

agency

fees

applicable

to

each

class,

which

are

deducted

from

the

income

available

to

be

paid

to

shareholders. 

BlackRock

Advisors,

LLC

(the

"Manager”),

the

Fund's

investment

adviser,

has

contractually

and/or

voluntarily

agreed

to

waive

and/or

reimburse

a

portion

of

the

Fund’s

expenses.

Without

such

waiver

and/or

reimbursement,

the

Fund's

performance

would

have

been

lower.

With

respect

to

the

Fund's

voluntary

waiver(s),

if

any,

the

Manager

is

under

no

obligation

to

waive

and/or

reimburse

or

to

continue

waiving

and/or

reimbursing

its

fees

and

such

voluntary

waiver(s)

may

be

reduced

or

discontinued

at

any

time.

With

respect

to

the

Fund's

contractual

waiver(s),

if

any,

the

Manager

is

under

no

obligation

to

continue

waiving

and/or

reimbursing

its

fees

after

the

applicable

termination

date

of

such

agreement.

See

the

Notes

to

Financial

Statements

for

additional

information

on

waivers

and/or

reimbursements. 

The

standardized

30-day

yield

includes

the

effects

of

any

waivers

and/or

reimbursements.

The

unsubsidized

30-day

yield

excludes

the

effects

of

any

waivers

and/or

reimbursements. 

Disclosure

of

Expenses

7

Disclosure

of

Expenses

/

Derivative

Financial

Instruments

Shareholders

of

the

Fund

may

incur

the

following

charges:

(a)

transactional

expenses,

such

as

sales

charges;

and

(b)

operating

expenses,

including

investment

advisory

fees, service

and

distribution

fees,

including

12b-1

fees,

acquired

fund

fees

and

expenses, and

other

fund

expenses.

The

expense

example

shown below

(which

is

based

on

a

hypothetical

investment

of

$1,000

invested

on May

1,

2020 and

held

through

October

31,

2020)

is

intended

to

assist

shareholders

both

in

calculating

expenses

based

on

an

investment

in

the

Fund

and

in

comparing

these

expenses

with

similar

costs

of

investing

in

other

mutual

funds.

The

expense

example

provides

information

about

actual

account

values

and

actual

expenses.

In

order

to

estimate

the

expenses

a

shareholder

paid

during

the

period

covered

by

this

report,

shareholders

can

divide

their

account

value

by

$1,000

and

then

multiply

the

result

by

the

number

corresponding

to

their share

class

under

the

heading

entitled

“Expenses

Paid

During

the

Period.” 

The

expense

example

also

provides

information

about

hypothetical

account

values

and

hypothetical

expenses

based

on the

Fund’s

actual

expense

ratio

and

an

assumed

rate

of

return

of

5%

per

year

before

expenses.

In

order

to

assist

shareholders

in

comparing

the

ongoing

expenses

of

investing

in

the

Fund

and

other

funds,

compare

the

5%

hypothetical

example

with

the

5%

hypothetical

examples

that

appear

in

shareholder

reports

of

other

funds. 

The

expenses

shown

in

the

expense

example

are

intended

to

highlight

shareholders’

ongoing

costs

only

and

do

not

reflect

transactional

expenses,

such

as

sales

charges,

if

any.

Therefore,

the

hypothetical

example is

useful

in

comparing

ongoing

expenses

only,

and

will

not

help

shareholders

determine

the

relative

total

expenses

of

owning

different

funds.

If

these

transactional

expenses

were

included,

shareholder

expenses

would

have

been

higher.

Derivative

Financial

Instruments

The

Fund

may

invest

in

various

derivative

financial

instruments.

These

instruments

are

used

to

obtain

exposure

to

a

security,

commodity,

index,

market,

and/or

other

assets

without

owning

or

taking

physical

custody

of

securities,

commodities

and/or

other

referenced

assets

or

to

manage

market,

equity,

credit,

interest

rate,

foreign

currency

exchange

rate,

commodity

and/or

other

risks.

Derivative

financial

instruments

may

give

rise

to

a

form

of

economic

leverage

and

involve

risks,

including

the

imperfect

correlation

between

the

value

of

a

derivative

financial

instrument

and

the

underlying

asset,

possible

default

of

the

counterparty

to

the

transaction

or

illiquidity

of

the

instrument.

The

Fund’s

successful

use

of

a

derivative

financial

instrument

depends

on

the

investment

adviser’s

ability

to

predict

pertinent

market

movements

accurately,

which

cannot

be

assured.

The

use

of

these

instruments

may

result

in

losses

greater

than

if

they

had

not

been

used,

may

limit

the

amount

of

appreciation

the

Fund

can

realize

on

an

investment

and/or

may

result

in

lower

distributions

paid

to

shareholders.

The

Fund’s

investments

in

these

instruments,

if

any,

are

discussed

in

detail

in

the

Notes

to

Financial

Statements.

Actual

Hypothetical

(a)

Including

Interest

Expense

Excluding

Interest

Expense

Including

Interest

Expense

Excluding

Interest

Expense

Beginning

Account

Value

(05/01/20)

Ending

Account

Value

(10/31/20)

Expenses

Paid

During

the

Period

(b)

Expenses

Paid

During

the

Period

(c)

Beginning

Account

Value

(05/01/20)

Ending

Account

Value

(10/31/20)

Expenses

Paid

During

the

Period

(b)

Ending

Account

Value

(10/31/20)

Expenses

Paid

During

the

Period

(c)

Institutional

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

$

1,000.00

$

1,047.60

$

2.32

$

2.32

$

1,000.00

$

1,022.94

$

2.29

$

1,022.94

$

2.29

Investor

A

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

1,000.00

1,047.40

3.61

3.61

1,000.00

1,021.68

3.57

1,021.68

3.57

Investor

C

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

1,000.00

1,043.50

7.47

7.47

1,000.00

1,017.90

7.38

1,017.90

7.38

(a)

Hypothetical

5%

annual

return

before

expenses

is

calculated

by

prorating

the

number

of

days

in

the

most

recent

fiscal

half

year

divided

by

365.

(b)

For

each

class

of

the

Fund,

expenses

are

equal

to

the

annualized

expense

ratio

for

the

class

(0.45%

for

Institutional,

0.70%

for

Investor

A

and

1.45%

for

Investor

C),

multiplied

by

the

average

account

value

over

the

period,

multiplied

by

184/365

(to

reflect

the

one-half

year

period

shown).

(c)

For

each

class

of

the

Fund,

expenses

are

equal

to

the

annualized

expense

ratio

for

the

class

(0.45%

for

Institutional,

0.70%

for

Investor

A

and

1.45%

for

Investor

C),

multiplied

by

the

average

account

value

over

the

period,

multiplied

by

184/365

(to

reflect

the

one-half

year

period

shown).

2020

BlackRock

Semi-Annual

Report

To

Shareholders

BlackRock

U.S.

Mortgage

Portfolio

8

(Percentages

shown

are

based

on

Net

Assets)

Schedule

of

Investments

(unaudited)

October

31,

2020

Security

Par

(000)

Par

(000)

Value

Asset-Backed

Securities

—

16.9%

Ajax

Mortgage

Loan

Trust

(a)

:

Series

2018-A,

Class

B,

0.00%,

04/25/58

USD

68

$

34,594

Series

2019-B,

Class

A,

3.75%,

01/25/59

(b)

2,048

2,082,116

Series

2020-A,

Class

A,

2.37%,

12/25/59

(c)

2,310

2,303,440

Series

2020-A,

Class

B,

3.50%,

12/25/59

(c)

233

232,056

Series

2020-A,

Class

C,

0.00%,

12/25/59

(d)

561

351,869

Series

2020-D,

Class

A,

2.25%,

06/25/60

(c)

2,250

2,230,074

Series

2020-D,

Class

B,

5.00%,

06/25/60

(c)

210

208,355

Series

2020-D,

Class

C,

0.00%,

06/25/60

540

429,420

Bayview

Financial

Revolving

Asset

Trust,

Series

2004-B,

Class

A1,

(LIBOR

USD

1

Month

+

1.00%),

1.15%,

05/28/39

(a)(b)

...

2,845

2,660,618

Bear

Stearns

Asset-Backed

Securities

I

Trust

(b)

:

Series

2006-HE8,

Class

1A3,

(LIBOR

USD

1

Month

+

0.26%),

0.41%,

10/25/36

..

1,200

1,066,288

Series

2007-HE2,

Class

22A,

(LIBOR

USD

1

Month

+

0.14%),

0.29%,

03/25/37

..

714

707,069

BSPRT

Issuer

Ltd.,

Series

2018-FL3,

Class

A,

(LIBOR

USD

1

Month

+

1.05%),

1.20%,

03/15/28

(a)(b)

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

1,193

1,184,304

Carrington

Mortgage

Loan

Trust,

Series

2007-

FRE1,

Class

M1,

(LIBOR

USD

1

Month

+

0.50%),

0.65%,

02/25/37

(b)

..........

1,616

1,190,321

Countrywide

Asset-Backed

Certificates

(b)

:

Series

2002-BC3,

Class

M2,

(LIBOR

USD

1

Month

+

1.73%),

1.87%,

05/25/32

...

2,000

1,965,989

Series

2006-22,

Class

M1,

(LIBOR

USD

1

Month

+

0.23%),

0.38%,

05/25/47

...

1,898

1,301,363

Series

2007-BC3,

Class

1A,

(LIBOR

USD

1

Month

+

0.18%),

0.33%,

11/25/47

...

1,062

943,053

Credit-Based

Asset

Servicing

&

Securitization

LLC,

Series

2007-CB6,

Class

A4,

(LIBOR

USD

1

Month

+

0.34%),

0.49%,

07/25/37

(a)(b)

2,120

1,701,025

CWABS

Asset-Backed

Certificates

Trust,

Series

2006-18,

Class

M1,

(LIBOR

USD

1

Month

+

0.30%),

0.45%,

03/25/37

(b)

..........

1,468

1,169,110

CWABS,

Inc.

Asset-Backed

Certificates

Trust

(b)

:

Series

2004-6,

Class

2A4,

(LIBOR

USD

1

Month

+

0.90%),

1.05%,

11/25/34

...

14

13,272

Series

2004-6,

Class

2A5,

(LIBOR

USD

1

Month

+

0.78%),

0.93%,

11/25/34

...

516

490,971

Dryden

XXVIII

Senior

Loan

Fund,

Series

2013-

28A,

Class

A1LR,

(LIBOR

USD

3

Month

+

1.20%),

1.48%,

08/15/30

(a)(b)

.........

1,000

982,927

Finance

of

America

HECM

Buyout,

Series

2020-HB1,

Class

M4,

4.05%,

02/25/30

(a)(b)(d)

1,500

1,291,500

GSAA

Home

Equity

Trust,

Series

2006-5,

Class

1A1,

(LIBOR

USD

1

Month

+

0.18%),

0.33%,

03/25/36

(b)

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

122

53,381

GSAMP

Trust,

Series

2006-HE5,

Class

M1,

(LIBOR

USD

1

Month

+

0.30%),

0.45%,

08/25/36

(b)

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

1,785

1,436,836

Legacy

Mortgage

Asset

Trust,

Series

2019-

SL2,

Class

A,

3.38%,

02/25/59

(a)(b)(d)

....

2,406

2,413,475

Litigation

Fee

Residual

Funding

LLC,

Series

2015-1,

Class

A,

4.00%,

10/30/27

(d)

....

224

223,956

Long

Beach

Mortgage

Loan

Trust

(b)

:

Series

2006-1,

Class

2A4,

(LIBOR

USD

1

Month

+

0.30%),

0.45%,

02/25/36

...

803

689,701

Series

2006-7,

Class

2A3,

(LIBOR

USD

1

Month

+

0.16%),

0.31%,

08/25/36

...

1,964

1,058,811

Series

2006-10,

Class

2A2,

(LIBOR

USD

1

Month

+

0.11%),

0.26%,

11/25/36

....

9

4,386

Security

Par

(000)

Par

(000)

Value

Asset-Backed

Securities

(continued)

Morgan

Stanley

IXIS

Real

Estate

Capital

Trust,

Series

2006-1,

Class

A3,

(LIBOR

USD

1

Month

+

0.15%),

0.30%,

07/25/36

(b)

....

USD

496

$

261,756

Mosaic

Solar

Loan

Trust,

Series

2019-2A,

Class

A,

2.88%,

09/20/40

(a)

..........

69

72,291

Option

One

Mortgage

Loan

Trust,

Series

2007-

FXD1,

Class

2A1,

5.87%,

01/25/37

(c)

....

1,409

1,379,450

Progress

Residential

Trust

(a)

:

Series

2017-SFR1,

Class

A,

2.77%,

08/17/34

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

418

424,797

Series

2018-SFR3,

Class

G,

5.62%,

10/17/35

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

1,500

1,509,912

Series

2019-SFR1,

Class

G,

5.31%,

08/17/35

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

1,500

1,476,048

Series

2019-SFR2,

Class

G,

5.09%,

05/17/36

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

2,470

2,471,914

Series

2019-SFR4,

Class

G,

3.93%,

10/17/36

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

2,000

1,980,443

Series

2020-SFR3,

Class

G,

4.11%,

10/17/27

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

2,750

2,749,866

RASC

Series

Trust,

Series

2006-EMX9,

Class

1A4,

(LIBOR

USD

1

Month

+

0.24%),

0.39%,

11/25/36

(b)

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

1,189

923,140

Structured

Asset

Securities

Corp.

Mortgage

Loan

Trust,

Series

2007-MN1A,

Class

A1,

(LIBOR

USD

1

Month

+

0.23%),

0.38%,

01/25/37

(a)(b)

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

1,511

1,019,416

Towd

Point

Mortgage

Trust,

Series

2019-SJ2,

Class

A2,

4.25%,

11/25/58

(a)(b)

........

2,000

2,057,388

Tricon

American

Homes,

Series

2020-SFR1,

Class

F,

4.88%,

07/17/38

(a)

..........

1,050

1,104,016

Total

Asset-Backed

Securities

—

16.9%

(Cost:

$47,064,246)

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

47,850,717

Non-Agency

Mortgage-Backed

Securities

—

35.3%

Collateralized

Mortgage

Obligations

—

16.6%

AJAX

Mortgage

Loan

Trust

(a)

:

Series

2020-C,

Class

A,

2.25%,

09/27/60

(c)

2,340

2,318,871

Series

2020-C,

Class

B,

5.00%,

09/27/60

(c)

150

148,825

Series

2020-C,

Class

C,

0.00%,

09/27/60

510

418,230

Alternative

Loan

Trust:

Series

2004-12CB,

Class

1A1,

5.00%,

07/25/19

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

1

816

Series

2006-45T1,

Class

2A7,

0.49%,

02/25/37

(b)

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

1,807

775,861

Series

2006-OC11,

Class

2A2A,

0.32%,

01/25/37

(b)

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

48

54,275

Banc

of

America

Mortgage

Trust,

Series

2005-I,

Class

2A5,

2.92%,

10/25/35

(b)

........

140

139,483

BCAP

LLC

Trust,

Series

2012-RR3,

Class

3A8,

3.07%,

07/26/37

(a)(b)

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

2,141

1,975,829

Bear

Stearns

ALT-A

Trust,

Series

2007-1,

Class

1A1,

0.47%,

01/25/47

(b)

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

922

811,408

ChaseFlex

Trust,

Series

2007-1,

Class

2A7,

6.00%,

02/25/37

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

2,178

1,339,267

CHL

Mortgage

Pass-Through

Trust,

Series

2005-17,

Class

1A6,

5.50%,

09/25/35

...

53

52,706

Citigroup

Mortgage

Loan

Trust,

Series

2015-A,

Class

B4,

4.50%,

06/25/58

(a)(b)

........

2,503

2,518,113

CitiMortgage

Alternative

Loan

Trust,

Series

2007-A5,

Class

1A6,

6.00%,

05/25/37

...

892

885,218

Credit

Suisse

Mortgage

Capital

Certificates,

Series

2010-6R,

Class

2A6B,

6.25%,

07/26/37

(a)

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

1,426

1,552,762

BlackRock

U.S.

Mortgage

Portfolio

Schedule

of

Investments

9

(Percentages

shown

are

based

on

Net

Assets)

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Security

Par

(000)

Par

(000)

Value

Collateralized

Mortgage

Obligations

(continued)

CSMC

Mortgage-Backed

Trust,

Series

2006-8,

Class

1A1,

4.50%,

10/25/21

.........

USD

4

$

3,804

Federal

Home

Loan

Mortgage

Corp.

STACR

Trust

Variable

Rate

Notes

(a)(b)

:

Series

2020-DNA4,

Class

B1,

(LIBOR

USD

1

Month

+

6.00%),

6.15%,

08/25/50

..

1,000

1,030,031

Series

2020-DNA5,

Class

B1,

(SOFR

+

4.80%),

4.89%,

10/25/50

.........

2,500

2,523,259

GSR

Mortgage

Loan

Trust,

Series

2006-9F,

Class

3A1,

6.25%,

10/25/36

.........

849

845,323

Homeward

Opportunities

Fund

I

Trust

(a)(b)

:

Series

2019-2,

Class

B1,

4.09%,

09/25/59

2,477

2,499,478

Series

2020-2,

Class

B1,

5.45%,

05/25/65

1,000

1,035,855

Series

2020-2,

Class

M1,

3.90%,

05/25/65

2,625

2,685,785

IndyMac

INDX

Mortgage

Loan

Trust,

Series

2006-AR15,

Class

A1,

0.27%,

07/25/36

(b)

.

964

875,052

Lehman

XS

Trust,

Series

2007-16N,

Class

AF2,

1.10%,

09/25/47

(b)

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

1,961

1,950,368

New

Residential

Mortgage

Loan

Trust,

Series

2020-RPL1,

Class

B3,

3.94%,

11/25/59

(a)(b)

2,500

1,972,758

RALI

Trust,

Series

2007-QS1,

Class

1A5,

0.70%,

01/25/37

(b)

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

1,599

1,134,030

Residential

Asset

Securitization

Trust

(b)

:

Series

2006-A7CB,

Class

2A2,

0.70%,

07/25/36

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

2,621

311,189

Series

2006-A7CB,

Class

2A5,

(LIBOR

USD

1

Month

+

0.25%),

0.40%,

07/25/36

..

572

56,373

Series

2006-A7CB,

Class

2A6,

52.81%,

07/25/36

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

460

1,306,179

RFMSI

Trust,

Series

2007-SA2,

Class

3A,

5.11%,

04/25/37

(b)

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

4,335

1,754,531

RMF

Buyout

Issuance

Trust,

Series

2020-1,

Class

M4,

4.19%,

02/25/30

(a)(b)(d)

.......

1,600

1,558,112

Seasoned

Credit

Risk

Transfer

Trust,

Series

2018-4,

Class

MA,

3.50%,

03/25/58

....

909

977,741

Seasoned

Loans

Structured

Transaction

Trust,

Series

2020-2,

Class

M1,

4.75%,

09/25/60

(a)

(b)

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

3,000

3,007,500

Spruce

Hill

Mortgage

Loan

Trust,

Series

2020-

SH2,

Class

B1,

5.00%,

06/25/55

(a)(b)(d)

...

2,764

2,625,800

TVC

Mortgage

Trust,

Series

2020-RTL1,

Class

A1,

3.47%,

09/25/24

(a)

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

1,500

1,515,671

Verus

Securitization

Trust,

Series

2020-INV1,

Class

B1,

5.75%,

03/25/60

(a)(b)

........

1,100

1,141,038

WaMu

Mortgage

Pass-Through

Trust,

Series

2007-OA5,

Class

2A,

1.78%,

06/25/47

(b)

.

2,975

2,556,440

Washington

Mutual

Mortgage

Pass-Through

Certificates

WMALT

Trust,

Series

2006-2,

Class

2CB,

6.50%,

03/25/36

.........

788

606,942

46,964,923

Commercial

Mortgage-Backed

Securities

—

17.3%

1211

Avenue

of

the

Americas

Trust,

Series

2015-1211,

Class

A1A2,

3.90%,

08/10/35

(a)

370

409,291

225

Liberty

Street

Trust,

Series

2016-225L,

Class

E,

4.65%,

02/10/36

(a)(b)

.........

335

340,642

280

Park

Avenue

Mortgage

Trust,

Series

2017-280P,

Class

E,

(LIBOR

USD

1

Month

+

2.12%),

2.27%,

09/15/34

(a)(b)

.........

560

530,500

Atrium

Hotel

Portfolio

Trust,

Series

2017-ATRM,

Class

E,

(LIBOR

USD

1

Month

+

3.05%),

3.20%,

12/15/36

(a)(b)

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

205

165,684

BAMLL

Commercial

Mortgage

Securities

Trust,

Series

2018-DSNY,

Class

D,

(LIBOR

USD

1

Month

+

1.70%),

1.85%,

09/15/34

(a)(b)

...

160

147,997

Security

Par

(000)

Par

(000)

Value

Commercial

Mortgage-Backed

Securities

(continued)

Bayview

Commercial

Asset

Trust

(a)(b)

:

Series

2006-3A,

Class

A2,

0.45%,

10/25/36

USD

1,406

$

1,308,478

Series

2006-4A,

Class

A1,

0.38%,

12/25/36

1,091

1,014,279

BBCMS

Mortgage

Trust,

Series

2020-C7,

Class

D,

3.61%,

04/15/53

(a)(b)

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

500

416,715

Benchmark

Mortgage

Trust:

Series

2020-B16,

Class

C,

3.54%,

02/15/53

(b)

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

159

156,060

Series

2020-B16,

Class

D,

2.50%,

02/15/53

(a)

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

206

163,604

BFLD

Trust,

Series

2020-EYP,

Class

E,

(LIBOR

USD

1

Month

+

3.70%),

3.85%,

10/15/35

(a)(b)

685

684,998

BX

Commercial

Mortgage

Trust

(a)(b)

:

Series

2018-IND,

Class

H,

(LIBOR

USD

1

Month

+

3.00%),

3.15%,

11/15/35

...

718

706,736

Series

2019-XL,

Class

D,

1.60%,

10/15/36

1,329

1,321,545

Series

2020-BXLP,

Class

A,

0.95%,

12/15/36

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

614

612,932

Series

2020-BXLP,

Class

F,

2.15%,

12/15/36

554

535,778

Series

2020-FOX,

Class

E,

(LIBOR

USD

1

Month

+

3.60%),

3.75%,

11/15/32

...

700

700,000

Series

2020-VIV2,

Class

C,

3.54%,

03/09/44

230

218,145

BX

Trust

(a)

:

Series

2019-OC11,

Class

A,

3.20%,

12/09/41

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

1,410

1,464,331

Series

2019-OC11,

Class

E,

4.08%,

12/09/41

(b)

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

698

634,666

CCRESG

Commercial

Mortgage

Trust,

Series

2016-HEAT,

Class

A,

3.36%,

04/10/29

(a)

.

950

949,723

CD

Mortgage

Trust,

Series

2006-CD3,

Class

AM,

5.65%,

10/15/48

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

1,923

1,965,553

CFK

Trust,

Series

2020-MF2,

Class

B,

2.79%,

03/15/39

(a)

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

336

331,356

Citigroup

Commercial

Mortgage

Trust

(b)

:

Series

2018-C5,

Class

AS,

4.41%,

06/10/51

500

582,375

Series

2019-PRM,

Class

E,

4.73%,

05/10/36

(a)

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

100

101,548

CityLine

Commercial

Mortgage

Trust,

Series

2016-CLNE,

Class

A,

2.78%,

11/10/31

(a)(b)

400

410,853

Commercial

Mortgage

Trust:

Series

2014-UBS2,

Class

A5,

3.96%,

03/10/47

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

345

374,582

Series

2015-CR25,

Class

A3,

3.51%,

08/10/48

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

607

654,145

Series

2015-CR26,

Class

ASB,

3.37%,

10/10/48

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

388

410,224

Series

2017-PANW,

Class

A,

3.24%,

10/10/29

(a)

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

1,580

1,650,572

Credit

Suisse

Mortgage

Capital

Certificates

(a)(b)

:

Series

2020-FACT,

Class

F,

(LIBOR

USD

1

Month

+

6.16%),

6.31%,

10/15/37

...

600

599,966

Series

2020-NET,

Class

E,

3.83%,

08/15/37

750

702,671

CSAIL

Commercial

Mortgage

Trust:

Series

2018-C14,

Class

A4,

4.42%,

11/15/51

(b)

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

600

705,148

Series

2019-C16,

Class

C,

4.24%,

06/15/52

(b)

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

511

497,027

Series

2019-C17,

Class

C,

3.93%,

09/15/52

392

417,619

Series

2020-C19,

Class

B,

3.48%,

03/15/53

(b)

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

365

379,584

GRACE

Mortgage

Trust,

Series

2014-GRCE,

Class

F,

3.59%,

06/10/28

(a)(b)

.........

215

214,219

GS

Mortgage

Securities

Corp.

II,

Series

2005-

ROCK,

Class

A,

5.37%,

05/03/32

(a)

.....

335

386,052

GS

Mortgage

Securities

Corp.

Trust,

Series

2019-SOHO,

Class

A,

1.05%,

06/15/36

(a)(b)

715

708,839

2020

BlackRock

Semi-Annual

Report

To

Shareholders

BlackRock

U.S.

Mortgage

Portfolio

10

(Percentages

shown

are

based

on

Net

Assets)

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Security

Par

(000)

Par

(000)

Value

Commercial

Mortgage-Backed

Securities

(continued)

GS

Mortgage

Securities

Trust,

Series

2015-

GC32,

Class

D,

3.35%,

07/10/48

......

USD

34

$

27,318

GSCG

Trust,

Series

2019-600C,

Class

F,

3.99%,

09/06/34

(a)(b)

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

300

286,677

Hudson

Yards

Mortgage

Trust,

Series

2019-

30HY,

Class

D,

3.44%,

07/10/39

(a)(b)

....

208

212,620

IMT

Trust,

Series

2017-APTS,

Class

BFX,

3.50%,

06/15/34

(a)(b)

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

1,250

1,279,792

JPMorgan

Chase

Commercial

Mortgage

Securities

Corp.

(a)

:

Series

2017-FL10,

Class

E,

4.05%,

06/15/32

(b)

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

275

257,564

Series

2018-AON,

Class

A,

4.13%,

07/05/31

610

644,190

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust:

Series

2013-C16,

Class

A4,

4.17%,

12/15/46

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

391

422,869

Series

2016-NINE,

Class

A,

2.85%,

09/06/38

(a)(b)

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

640

683,988

Series

2020-MKST,

Class

E,

2.40%,

12/15/36

(a)(b)

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

690

604,355

LCCM

Mortgage

Trust

(a)

:

Series

2014-909,

Class

A,

3.39%,

05/15/31

620

622,170

Series

2014-909,

Class

D,

3.90%,

05/15/31

(b)

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

687

682,131

MFT

Trust

(a)(b)

:

Series

2020-ABC,

Class

C,

3.48%,

02/10/42

292

269,405

Series

2020-ABC,

Class

D,

3.48%,

02/10/42

170

148,664

Morgan

Stanley

Bank

of

America

Merrill

Lynch

Trust,

Series

2015-C26,

Class

A5,

3.53%,

10/15/48

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

1,103

1,218,593

Morgan

Stanley

Capital

I

Trust:

Series

2014-150E,

Class

A,

3.91%,

09/09/32

(a)

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

595

633,582

Series

2017-CLS,

Class

E,

(LIBOR

USD

1

Month

+

1.95%),

2.10%,

11/15/34

(a)(b)

.

675

662,007

Series

2017-HR2,

Class

D,

2.73%,

12/15/50

(d)

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

555

455,100

Series

2018-H4,

Class

A4,

4.31%,

12/15/51

1,824

2,151,687

Series

2018-SUN,

Class

A,

1.30%,

07/15/35

(a)(b)

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

595

576,414

Series

2020-L4,

Class

D,

2.50%,

02/15/53

(a)

506

399,366

Natixis

Commercial

Mortgage

Securities

Trust,

Series

2018-FL1,

Class

A,

1.10%,

06/15/35

(a)(b)

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

177

171,904

One

Bryant

Park

Trust,

Series

2019-OBP,

Class

A,

2.52%,

09/15/54

(a)

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

1,072

1,129,750

USDC,

Series

2018,

Class

E,

4.49%,

05/13/38

(a)(b)

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

685

563,944

VCC

Trust,

Series

2020-MC1,

Class

A,

4.50%,

06/25/45

(a)(b)

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

1,722

1,711,648

Velocity

Commercial

Capital

Loan

Trust

(a)(b)

:

Series

2019-3,

Class

M4,

3.68%,

10/25/49

2,068

1,814,983

Series

2020-1,

Class

M4,

3.54%,

02/25/50

994

905,104

Wells

Fargo

Commercial

Mortgage

Trust:

Series

2015-C31,

Class

A4,

3.70%,

11/15/48

670

744,260

Series

2015-NXS4,

Class

B,

4.22%,

12/15/48

(b)

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

650

682,069

Series

2016-NXS5,

Class

B,

4.96%,

01/15/59

(b)

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

625

710,863

Series

2016-NXS5,

Class

C,

5.00%,

01/15/59

(b)

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

238

256,111

Series

2018-1745,

Class

A,

3.75%,

06/15/36

(a)(b)

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

1,990

2,168,905

Series

2018-BXI,

Class

E,

2.31%,

12/15/36

(a)

(b)

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

86

84,443

Security

Par

(000)

Par

(000)

Value

Commercial

Mortgage-Backed

Securities

(continued)

Series

2019-C52,

Class

C,

3.56%,

08/15/52

USD

520

$

526,112

WFRBS

Commercial

Mortgage

Trust:

Series

2014-C21,

Class

A4,

3.41%,

08/15/47

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

675

720,028

Series

2014-C22,

Class

C,

3.76%,

09/15/57

(b)

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

63

59,341

Series

2014-LC14,

Class

A4,

3.77%,

03/15/47

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

900

960,434

49,022,828

Interest

Only

Collateralized

Mortgage

Obligations

—

0.6%

(b)

Alternative

Loan

Trust,

Series

2006-45T1,

Class

2A8,

6.45%,

02/25/37

.........

904

227,346

GSR

Mortgage

Loan

Trust,

Series

2007-3F,

Class

4A2,

6.55%,

05/25/37

.........

5,252

1,444,697

1,672,043

Interest

Only

Commercial

Mortgage-Backed

Securities

—

0.8%

(b)

BANK,

Series

2017-BNK9,

Class

XA,

0.80%,

11/15/54

(d)

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

4,290

195,646

BBCMS

Mortgage

Trust:

Series

2020-C7,

Class

XA,

1.63%,

04/15/53

3,033

340,830

Series

2020-C7,

Class

XB,

0.99%,

04/15/53

1,000

85,649

Benchmark

Mortgage

Trust,

Series

2020-B17,

Class

XB,

0.53%,

03/15/53

(d)

.........

15,395

635,814

CSAIL

Commercial

Mortgage

Trust:

Series

2018-C14,

Class

XA,

0.56%,

11/15/51

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

1,294

45,612

Series

2019-C16,

Class

XA,

1.57%,

06/15/52

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

3,964

413,862

UBS

Commercial

Mortgage

Trust,

Series

2019-

C17,

Class

XA,

1.49%,

10/15/52

......

3,302

338,940

Wells

Fargo

Commercial

Mortgage

Trust,

Series

2017-C41,

Class

XA,

1.21%,

11/15/50

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

3,822

249,508

2,305,861

Total

Non-Agency

Mortgage-Backed

Securities

—

35.3%

(Cost:

$99,892,598)

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

99,965,655

U.S.

Government

Sponsored

Agency

Securities

—

86.6%

Collateralized

Mortgage

Obligations

—

2.1%

Federal

Home

Loan

Mortgage

Corp.,

Series

4398,

Class

ZX,

4.00%, 09/15/54

......

318

390,183

Federal

Home

Loan

Mortgage

Corp.

Variable

Rate

Notes,

Series

2411,

Class

FJ,

(LIBOR

USD

1

Month

+

0.35%),

0.50%, 12/15/29

(b)

4

3,830

Federal

National

Mortgage

Association:

Series

2010-134,

Class

KZ,

4.50%, 12/25/40

579

627,380

Series

2010-141,

Class

LZ,

4.50%, 12/25/40

590

659,754

Series

2011-8,

Class

ZA,

4.00%, 02/25/41

783

845,677

Series

2011-131,

Class

LZ,

4.50%, 12/25/41

400

463,043

Series

2012-107,

Class

QZ,

3.50%, 10/25/42

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

398

445,888

Series

2018-21,

Class

CA,

3.50%, 04/25/45

656

679,520

Federal

National

Mortgage

Association

Variable

Rate

Notes,

Series

2018-32,

Class

PS,

(LIBOR

USD

1

Month

+

7.23%),

7.06%, 05/25/48

(b)

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

386

431,995

Government

National

Mortgage

Association:

Series

2009-122,

Class

PY,

6.00%, 12/20/39

82

93,854

Series

2016-123,

Class

LM,

3.00%, 09/20/46

(d)

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

200

222,000

Series

2019-5,

Class

P,

3.50%, 07/20/48

.

570

600,165

Series

2019-29,

Class

HY,

3.50%, 03/20/49

100

114,579

BlackRock

U.S.

Mortgage

Portfolio

Schedule

of

Investments

11

(Percentages

shown

are

based

on

Net

Assets)

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Security

Par

(000)

Par

(000)

Value

Collateralized

Mortgage

Obligations

(continued)

Government

National

Mortgage

Association

Variable

Rate

Notes,

Series

2014-107,

Class

WX,

6.79%, 07/20/39

(b)

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

USD

328

$

384,533

5,962,401

Commercial

Mortgage-Backed

Securities

—

6.2%

Federal

Home

Loan

Mortgage

Corp.

(b)

:

Series

2019-SB60,

Class

A10F,

3.31%, 01/25/29

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

877

934,101

Series

2019-SB61,

Class

A10F,

3.17%, 01/25/29

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

660

707,961

Series

2020-K737,

Class

B,

3.30%, 01/25/53

(a)

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

333

359,087

Federal

Home

Loan

Mortgage

Corp.

Multifamily

Structured

Pass-Through

Certificates:

Series

K087,

Class

A2,

3.77%, 12/25/28

.

1,132

1,343,664

Series

K091,

Class

A2,

3.51%, 03/25/29

.

913

1,069,592

Federal

Home

Loan

Mortgage

Corp.

Multifamily

Structured

Pass-Through

Certificates

Variable

Rate

Notes

(b)

:

Series

K081,

Class

A2,

3.90%, 08/25/28

.

2,750

3,276,439

Series

K082,

Class

A2,

3.92%, 09/25/28

.

2,750

3,284,592

Series

K084,

Class

A2,

3.78%, 10/25/28

.

1,225

1,452,309

Series

W5FX,

Class

AFX,

3.21%, 04/25/28

559

626,151

Federal

National

Mortgage

Association,

Series

2020-M1,

Class

A2,

2.44%, 10/25/29

...

1,415

1,500,916

Federal

National

Mortgage

Association

ACES

Variable

Rate

Notes

(b)

:

Series

2018-M4,

Class

A2,

3.04%, 03/25/28

575

649,621

Series

2018-M14,

Class

A2,

3.58%, 08/25/28

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

1,320

1,539,493

Series

2019-M1,

Class

A2,

3.56%, 09/25/28

437

510,625

Government

National

Mortgage

Association:

Series

2019-7,

Class

V,

3.00%, 05/16/35

.

87

95,519

Series

2019-53,

Class

V,

2.75%, 08/16/31

224

240,440

17,590,510

Interest

Only

Collateralized

Mortgage

Obligations

—

1.8%

Federal

Home

Loan

Mortgage

Corp.:

Series

4062,

Class

GI,

4.00%, 02/15/41

.

242

20,328

Series

4533,

Class

JI,

5.00%, 12/15/45

..

247

45,344

Federal

Home

Loan

Mortgage

Corp.

Variable

Rate

Notes

(b)

:

Series

4119,

Class

SC,

(LIBOR

USD

1

Month

+

6.15%),

6.00%, 10/15/42

...

1,408

258,673

Series

4901,

Class

CS,

(LIBOR

USD

1

Month

+

6.10%),

5.95%, 07/25/49

...

986

165,907

Series

4941,

Class

SH,

(LIBOR

USD

1

Month

+

5.95%),

5.80%, 12/25/49

...

950

161,846

Federal

National

Mortgage

Association:

Series

2013-10,

Class

PI,

3.00%, 02/25/43

808

63,616

Series

2014-68,

Class

YI,

4.50%, 11/25/44

408

58,336

Series

2015-74,

Class

IA,

6.00%, 10/25/45

(d)

1,686

372,974

Series

2015-77,

6.00%, 10/25/45

(d)

.....

1,970

437,748

Series

2017-68,

Class

IE,

4.50%, 09/25/47

1,383

183,200

Federal

National

Mortgage

Association

Variable

Rate

Notes

(b)

:

Series

2016-60,

Class

SD,

(LIBOR

USD

1

Month

+

6.10%),

5.95%, 09/25/46

...

1,750

343,400

Series

2016-78,

Class

CS,

(LIBOR

USD

1

Month

+

6.10%),

5.95%, 05/25/39

...

2,235

442,712

Series

2017-70,

Class

SA,

(LIBOR

USD

1

Month

+

6.15%),

6.00%, 09/25/47

...

1,151

259,578

Series

2019-5,

Class

SA,

(LIBOR

USD

1

Month

+

6.10%),

5.95%, 03/25/49

...

1,444

306,583

Series

2019-25,

Class

SA,

(LIBOR

USD

1

Month

+

6.05%),

5.90%, 06/25/49

...

5,393

1,224,873

Security

Par

(000)

Par

(000)

Value

Interest

Only

Collateralized

Mortgage

Obligations

(continued)

Series

2019-35,

Class

SA,

(LIBOR

USD

1

Month

+

6.10%),

5.95%, 07/25/49

...

USD

736

$

131,725

Government

National

Mortgage

Association:

Series

2017-139,

Class

IB,

4.50%, 09/20/47

1,098

158,894

Series

2017-144,

Class

DI,

4.50%, 09/20/47

775

115,096

Government

National

Mortgage

Association

Variable

Rate

Notes,

Series

2017-101,

Class

SL,

(LIBOR

USD

1

Month

+

6.20%),

6.05%, 07/20/47

(b)

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

889

175,857

4,926,690

Interest

Only

Commercial

Mortgage-Backed

Securities

—

1.2%

Federal

Home

Loan

Mortgage

Corp.,

Series

2015-K718,

Class

X2A,

0.10%, 02/25/48

(a)

63,360

47,564

Federal

Home

Loan

Mortgage

Corp.

Multifamily

Structured

Pass-Through

Certificates

Variable

Rate

Notes,

Series

K722,

Class

X1,

(LIBOR

USD

1

Month

+

0.00%),

1.31%, 03/25/23

(b)

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

3,689

85,746

Government

National

Mortgage

Association

Variable

Rate

Notes

(b)

:

Series

2013-63,

0.77%, 09/16/51

......

13,274

313,304

Series

2016-45,

0.96%, 02/16/58

......

3,657

205,383

Series

2016-67,

1.00%, 07/16/57

......

2,712

149,581

Series

2016-151,

1.06%, 06/16/58

.....

20,194

1,333,498

Series

2017-53,

0.66%, 11/16/56

......

7,126

327,621

Series

2017-64,

0.71%, 11/16/57

......

9,359

530,026

Series

2020-43,

1.36%, 11/16/61

......

3,514

327,976

3,320,699

Mortgage-Backed

Securities

—

75.3%

Federal

Home

Loan

Mortgage

Corp.:

2.50%, 03/01/30

-

04/01/31

..........

1,150

1,217,967

3.00%, 09/01/27

-

12/01/46

..........

2,520

2,720,059

3.50%, 12/01/41

-

01/01/48

..........

3,406

3,774,205

4.00%, 08/01/40

-

12/01/45

..........

1,082

1,198,350

4.50%, 07/01/26

-

09/01/48

..........

1,078

1,201,961

5.00%, 05/01/35

-

02/01/42

..........

1,188

1,366,340

5.50%, 02/01/35

-

06/01/41

..........

618

719,877

6.00%, 08/01/28

-

11/01/39

..........

25

28,733

Federal

National

Mortgage

Association:

3.50%, 11/01/46

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

700

755,255

4.00%, 01/01/41

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

65

70,982

6.00%, 07/01/39

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

464

534,762

Federal

National

Mortgage

Association

Variable

Rate

Notes

(b)

:

3.09%, 09/01/27

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

187

208,509

3.16%, 03/01/27

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

667

743,390

Government

National

Mortgage

Association:

2.00%, 11/19/20

(e)

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

493

512,123

2.50%, 11/19/20

-

12/21/20

(e)

.........

12,524

13,110,646

3.00%, 11/19/20

-

12/21/20

(e)

.........

6,672

6,963,570

3.00%, 02/15/45

-

12/20/46

..........

2,095

2,211,155

3.50%, 11/19/20

(e)

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

3,798

4,003,039

3.50%, 01/15/42

-

10/20/46

..........

5,519

5,939,156

4.00%, 11/19/20

-

12/21/20

(e)

.........

1,402

1,491,620

4.00%, 04/20/39

-

01/15/48

..........

2,315

2,533,842

4.50%, 09/20/39

-

04/20/47

..........

3,286

3,635,116

5.00%, 12/15/34

-

07/20/44

..........

1,979

2,261,307

5.50%, 07/15/38

-

12/20/41

..........

649

761,962

6.50%, 10/15/38

-

02/20/41

..........

234

268,001

Uniform

Mortgage-Backed

Securities:

1.50%, 11/12/20

(e)

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

210

211,419

2.00%, 11/12/20

-

12/25/50

(e)

.........

26,122

26,930,876

2.00%, 10/01/31

-

03/01/32

..........

952

992,415

2.50%, 11/12/20

-

12/14/20

(e)

.........

27,619

28,779,519

2020

BlackRock

Semi-Annual

Report

To

Shareholders

BlackRock

U.S.

Mortgage

Portfolio

12

(Percentages

shown

are

based

on

Net

Assets)

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Security

Par

(000)

Par

(000)

Value

Mortgage-Backed

Securities

(continued)

2.50%, 04/01/30

-

10/01/50

..........

USD

4,057

$

4,293,774

3.00%, 11/12/20

-

11/17/20

(e)

.........

11,713

12,242,760

3.00%, 04/01/28

-

09/01/50

..........

14,838

15,793,325

3.50%, 11/12/20

-

11/17/20

(e)

.........

162

171,150

3.50%, 11/01/27

-

01/01/48

..........

10,901

11,988,175

4.00%, 11/12/20

-

12/14/20

(e)

.........

19,274

20,598,986

4.00%, 08/01/31

-

08/01/48

..........

5,348

5,926,946

4.50%, 11/12/20

(e)

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

14,297

15,461,144

4.50%, 07/01/24

-

04/01/49

..........

6,601

7,284,654

5.00%, 01/01/23

-

06/01/39

..........

1,935

2,210,892

5.50%, 06/01/24

-

03/01/40

..........

863

1,009,876

6.00%, 12/01/32

-

09/01/40

..........

630

743,030

6.50%, 09/01/36

-

05/01/40

..........

179

208,161

213,079,029

Total

U.S.

Government

Sponsored

Agency

Securities

—

86.6%

(Cost:

$240,925,381)

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

244,879,329

Total

Long-Term

Investments

—

138.8%

(Cost:

$387,882,225)

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

392,695,701

Shares

Shares

Short-Term

Securities

—

7.5%

Money

Market

Funds

—

0.8%

(f)

Dreyfus

Treasury

Prime

Cash

Management

Institutional

Shares,

0.01%

..........

2,101,333

2,101,333

JPMorgan

U.S.

Treasury

Plus

Money

Market

Fund,

Agency

Class,

0.01%

..........

39,413

39,413

Total

Money

Market

Funds

—

0.8%

(Cost:

$2,140,746)

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

2,140,746

Par

(000)

Pa

r

(

000)

U.S.

Treasury

Obligations

—

6.7%

U.S.

Treasury

Bills

(g)

:

0.09%, 11/03/20

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

1,095

1,094,998

0.08%, 11/05/20

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

609

608,996

0.08%, 11/12/20

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

366

365,993

0.09%, 11/19/20

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

1,312

1,311,950

Security

Par

(000)

Par

(000)

Value

U.S.

Treasury

Obligations

(continued)

0.09%, 11/24/20

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

USD

7,685

$

7,684,612

0.09%, 11/27/20

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

1,639

1,638,906

0.08%, 12/01/20

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

231

230,985

0.08%, 12/03/20

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

4,561

4,560,666

0.08%, 12/10/20

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

256

255,976

0.08%, 12/15/20

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

1,330

1,329,865

Total

U.S.

Treasury

Obligations

—

6.7%

(Cost:

$19,082,869)

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

19,082,947

Total

Short-Term

Securities

—

7.5%

(Cost:

$21,223,615)

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

21,223,693

Total

Options

Purchased

—

0.1%

(Cost:

$153,458)

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

213,482

Total

Investments

Before

TBA

Sale

Commitments

—

146.4%

(Cost:

$409,259,298

)

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

414,132,876

TBA

Sale

Commitments

—

(39.9)%

(e)

Mortgage-Backed

Securities

—

(39.9)%

Government

National

Mortgage

Association:

2.50%

,

 11/19/20

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

1,200

(1,256,906)

3.00%

,

 11/19/20

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

539

(562,585)

3.50%

,

 11/19/20

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

1,710

(1,802,480)

4.50%

,

 11/19/20

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

1,411

(1,513,325)

5.00%

,

 11/19/20

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

871

(944,899)

Uniform

Mortgage-Backed

Securities:

1.50%

,

 11/12/20

-

12/14/20

..........

2,306

(2,319,312)

2.00%

,

 11/12/20

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

12,223

(12,607,356)

2.50%

,

 11/12/20

-

01/14/21

..........

51,210

(53,258,860)

3.00%

,

 11/12/20

-

12/14/20

..........

17,990

(18,803,250)

3.50%

,

 11/12/20

-

12/14/20

..........

2,951

(3,116,984)

4.00%

,

 11/12/20

-

11/17/20

..........

5,472

(5,841,225)

4.50%

,

 11/12/20

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

9,736

(10,528,762)

5.00%

,

 11/12/20

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

367

(403,241)

Total

TBA

Sale

Commitments

—

(39.9)%

(Proceeds:

$113,007,358)

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

(112,959,185)

Total

Investments

Net

of

TBA

Sale

Commitments

—

106.5%

(Cost:

$296,251,940

)

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

301,173,691

Liabilities

in

Excess

of

Other

Assets

—

(6.5)%

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

(18,330,334)

Net

Assets

—

100.0%

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

$

282,843,357

(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.

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.

(c)

Step-up

bond

that

pays

an

initial

coupon

rate

for

the

first

period

and

then

a

higher

coupon

rate

for

the

following

periods.

Rate

as

of

period

end.

(d)

Security

is

valued

using

significant

unobservable

inputs

and

is

classified

as

Level

3

in

the

fair

value

hierarchy.

(e)

Represents

or

includes

a

TBA

transaction.

(f)

Annualized

7-day

yield

as

of

period

end.

(g)

Rates

are

discount

rates

or

a

range

of

discount

rates

as

of

period

end.

BlackRock

U.S.

Mortgage

Portfolio

Schedule

of

Investments

13

Schedule

of

Investments

(unaudited)

(continued)

October

31,

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

Long

Bond

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

15

12/21/20

$

2,587

$

(47,340)

U.S.

Treasury

2

Year

Note

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

247

12/31/20

54,548

(10,652)

U.S.

Treasury

5

Year

Note

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

201

12/31/20

25,246

(40,470)

(98,462)

Short

Contracts

90-day

Eurodollar

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

10

12/14/20

2,494

(13,414)

U.S.

Treasury

10

Year

Note

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

239

12/21/20

33,034

201,648

U.S.

Treasury

10

Year

Ultra

Note

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

12

12/21/20

1,887

15,544

U.S.

Treasury

Ultra

Bond

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

6

12/21/20

1,290

8,272

90-day

Eurodollar

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

10

03/15/21

2,495

(8,576)

90-day

Eurodollar

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

10

06/14/21

2,495

(9,888)

90-day

Eurodollar

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

10

09/13/21

2,495

(4,252)

90-day

Eurodollar

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

5

12/13/21

1,247

(4,645)

90-day

Eurodollar

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

5

03/14/22

1,247

(1,058)

90-day

Eurodollar

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

5

06/13/22

1,246

54

183,685

$

85,223

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)

1.10%

Semi-Annual

3

month

LIBOR

Quarterly

Bank

of

America

NA

01/22/21

1.10

%

USD

5,500

$

35,036

10-Year

Interest

Rate

Swap

(a)

0.95%

Semi-Annual

3

month

LIBOR

Quarterly

Bank

of

America

NA

01/28/21

0.95

USD

3,500

40,703

10-Year

Interest

Rate

Swap

(a)

1.05%

Semi-Annual

3

month

LIBOR

Quarterly

Barclays

Bank

plc

02/22/22

1.05

USD

4,900

137,743

$

213,482

(a)

Forward

settling

swaption.

Centrally

Cleared

Interest

Rate

Swap

s

Paid

by

the

Fund

Received

by

the

Fund

Rate

Frequency

Rate

Frequency

Termination

Date

Notional

Amount

(000)

Value

Upfront

Premium

Paid

(Received)

Unrealized

Appreciation

(Depreciation)

1.65%

Semi-Annual

3

month

LIBOR

Quarterly

08/15/21

USD

900

$

(12,696)

$

—

$

(12,696)

1.68%

Semi-Annual

3

month

LIBOR

Quarterly

06/24/22

USD

5,000

(147,770)

—

(147,770)

1.72%

Semi-Annual

3

month

LIBOR

Quarterly

06/26/22

USD

1,300

(39,491)

—

(39,491)

1.84%

Semi-Annual

3

month

LIBOR

Quarterly

07/18/22

USD

1,900

(62,169)

—

(62,169)

3

month

LIBOR

Quarterly

1.62%

Semi-Annual

07/21/22

USD

6,200

175,944

—

175,944

3

month

LIBOR

Quarterly

1.63%

Semi-Annual

07/21/22

USD

3,500

100,163

—

100,163

1.81%

Semi-Annual

3

month

LIBOR

Quarterly

07/25/22

USD

1,400

(44,897)

—

(44,897)

1.78%

Semi-Annual

3

month

LIBOR

Quarterly

07/26/22

USD

3,000

(94,808)

—

(94,808)

3

month

LIBOR

Quarterly

1.60%

Semi-Annual

08/04/22

USD

5,900

160,668

—

160,668

1.53%

Semi-Annual

3

month

LIBOR

Quarterly

08/08/22

USD

4,000

(103,228)

—

(103,228)

3

month

LIBOR

Quarterly

1.42%

Semi-Annual

09/10/22

USD

1,700

40,365

—

40,365

0.05%

Quarterly

1

day

Fed

Funds

Quarterly

10/21/22

USD

133

2

—

2

1

day

SOFR

Quarterly

0.05%

Quarterly

10/21/22

USD

133

(14)

—

(14)

0.18%

Quarterly

1

day

Fed

Funds

Quarterly

10/21/25

USD

159

528

—

528

1

day

SOFR

Quarterly

0.17%

Quarterly

10/21/25

USD

159

(483)

—

(483)

2020

BlackRock

Semi-Annual

Report

To

Shareholders

BlackRock

U.S.

Mortgage

Portfolio

14

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

i

Centrally

Cleared

Interest

Rate

Swaps

(continued)

Paid

by

the

Fund

Received

by

the

Fund

Rate

Frequency

Rate

Frequency

Termination

Date

Notional

Amount

(000)

Value

Upfront

Premium

Paid

(Received)

Unrealized

Appreciation

(Depreciation)

2.85%

Semi-Annual

3

month

LIBOR

Quarterly

12/21/28

USD

1,000

$

(178,663)

$

—

$

(178,663)

1.61%

Semi-Annual

3

month

LIBOR

Quarterly

10/01/29

USD

2,000

(142,010)

—

(142,010)

0.56%

Quarterly

1

day

Fed

Funds

Quarterly

10/21/30

USD

47

534

—

534

1

day

SOFR

Quarterly

0.53%

Quarterly

10/21/30

USD

47

(543)

—

(543)

$

(348,568)

$

—

$

(348,568)

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)

CMBX.NA.9.BBB-

.........

3.00

%

Monthly

JPMorgan

Securities

LLC

09/17/58

USD

3,100

$

802,509

$

314,169

$

488,340

$

–

$

–

$

–

OTC

Credit

Default

Swap

s

—

Sell

Protection

Reference

Obligation/Index

Financing

Rate

Received

by

the

Fund

Payment

Frequency

Counterparty

Termination

Date

Credit

Rating

(a)

Notional

Amount

(000)

(b)

Value

Upfront

Premium

Paid

(Received)

Unrealized

Appreciation

(Depreciation)

CMBX.NA.9.BBB-

.....

3.00

%

Monthly

Deutsche

Bank

AG

09/17/58

BBB-

USD

3,100

$

(802,510)

$

(343,854)

$

(458,656)

CMBX.NA.9.BBB-

.....

3.00

Monthly

Goldman

Sachs

International

09/17/58

NR

USD

2,790

(722,259)

(122,357)

(599,902)

CMBX.NA.9.BBB-

.....

3.00

Monthly

Morgan

Stanley

&

Co.

International

plc

09/17/58

NR

USD

935

(242,047)

(246,667)

4,620

CMBX.NA.9.BBB-

.....

3.00

Monthly

Morgan

Stanley

&

Co.

International

plc

09/17/58

NR

USD

1,000

(258,874)

(192,163)

(66,711)

$

(2,025,690)

$

(905,041)

$

(1,120,649)

(a)

Using

the

rating

of

the

issuer

or

the

underlying

securities

of

the

index,

as

applicable,

provided

by

S&P

Global

Ratings.

(b)

The

maximum

potential

amount

the

Fund

may

pay

should

a

negative

credit

event

take

place

as

defined

under

the

terms

of

the

agreement.

The

following

reference

rates,

and

their

values

as

of

period

end,

are

used

for

security

descriptions:

Reference

Index

Reference

Rate

1

day

Fed

Funds

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

1

day

Fed

Funds

0.09

%

1

day

SOFR

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

Secured

Overnight

Financing

Rate

1.04

3

month

LIBOR

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

London

Interbank

Offered

Rate

0.22

Balances

Reported

in

the

Statement

of

Assets

and

Liabilities

for

Centrally

Cleared

Swaps

and

OTC

Swaps

Swap

Premiums

Paid

Swap

Premiums

Received

Unrealized

Appreciation

Unrealized

Depreciation

Centrally

Cleared

Swaps

(a)

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

$

—

$

—

$

478,204

$

(826,772)

OTC

Swaps

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

314,169

(905,041)

492,960

(1,125,269)

(a)

Includes

cumulative

appreciation

(depreciation)

on

centrally

cleared

swaps,

as

reported

in

the

Schedule

of

Investments.

Only

current

day’s

variation

margin

is

reported

within

the

Statement

of

Assets

and

Liabilities

and

is

net

of

any

previously

paid

(received)

swap

premium

amounts.

BlackRock

U.S.

Mortgage

Portfolio

Schedule

of

Investments

15

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

Derivative

Financial

Instruments

Categorized

by

Risk

Exposure

As

of

period

end,

the

fair

values

of

derivative

financial

instruments

located

in

the

Statement

of

Assets

and

Liabilities

were

as

follows:

Commodity

Contracts

Credit

Contracts

Equity

Contracts

Foreign

Currency

Exchange

Contracts

Interest

Rate

Contracts

Other

Contracts

Total

Assets

—

Derivative

Financial

Instruments

Futures

contracts

Unrealized

appreciation

on

futures

contracts

(a)

.....

$

—

$

—

$

—

$

—

$

225,518

$

—

$

225,518

Options

purchased

(b)

Investments

at

value

—

unaffiliated

(c)

...........

—

—

—

—

213,482

—

213,482

Swaps

—

centrally

cleared

Unrealized

appreciation

on

centrally

cleared

swaps

(a)

.

—

—

—

—

478,204

—

478,204

Swaps

—

OTC

Unrealized

appreciation

on

OTC

swaps;

Swap

premiums

paid

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

—

807,129

—

—

—

—

807,129

$

—

$

807,129

$

—

$

—

$

917,204

$

—

$

1,724,333

Liabilities

—

Derivative

Financial

Instruments

Futures

contracts

Unrealized

depreciation

on

futures

contracts

(a)

.....

—

—

—

—

140,295

—

140,295

Swaps

—

centrally

cleared

Unrealized

depreciation

on

centrally

cleared

swaps

(a)

.

—

—

—

—

826,772

—

826,772

Swaps

—

OTC

Unrealized

depreciation

on

OTC

swaps;

Swap

premiums

received

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

—

2,030,310

—

—

—

—

2,030,310

$

—

$

2,030,310

$

—

$

—

$

967,067

$

—

$

2,997,377

(a)

Net

cumulative

unrealized

appreciation

(depreciation)

on

futures

contracts

and

centrally

cleared

swaps,

if

any,

are

reported

in

the

Schedule

of

Investments.

In

the

Statement

of

Assets

and

Liabilities,

only

current

day's

variation

margin

is

reported

in

receivables

or

payables

and

the

net

cumulative

unrealized

appreciation

(depreciation)

is

included

in

accumulated

earnings

(loss).

(b)

Includes

forward

settling

swaptions.

(c)

Includes

options

purchased

at

value

as

reported

in

the

Schedule

of

Investments.

For

the

six

months

ended

October

31,

2020,

the

effect

of

derivative

financial

instruments

in

the

Statement

of

Operations

was

as

follows:

Commodity

Contracts

Credit

Contracts

Equity

Contracts

Foreign

Currency

Exchange

Contracts

Interest

Rate

Contracts

Other

Contracts

Total

Net

Realized

Gain

(Loss)

from:

Futures

contracts

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

$

—

$

—

$

—

$

—

$

(831,141)

$

—

$

(831,141)

Options

purchased

(a)

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

—

—

—

—

(68,086)

—

(68,086)

Options

written

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

—

—

—

—

325,755

—

325,755

Swaps

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

—

61,319

—

—

(384,897)

—

(323,578)

$

—

$

61,319

$

—

$

—

$

(958,369)

$

—

$

(897,050)

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on:

Futures

contracts

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

—

—

—

—

283,011

—

283,011

Options

purchased

(b)

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

—

—

—

—

135,696

—

135,696

Options

written

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

—

—

—

—

949,300

—

949,300

Swaps

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

—

(22,021)

—

—

(154,405)

—

(176,426)

$

—

$

(22,021)

$

—

$

—

$

1,213,602

$

—

$

1,191,581

(a)

Options

purchased

are

included

in

net

realized

gain

(loss)

from

investments

—

unaffiliated.

(b)

Options

purchased

are

included

in

net

change

in

unrealized

appreciation

(depreciation)

on

investments

—

unaffiliated.

2020

BlackRock

Semi-Annual

Report

To

Shareholders

BlackRock

U.S.

Mortgage

Portfolio

16

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

For

more

information

about

the

Fund’s

investment

risks

regarding

derivative

financial

instruments,

refer

to

the

Notes

to

Financial

Statements.

Derivative

Financial

Instruments

—

Offsetting

as

of

Period

End

Average

Quarterly

Balances

of

Outstanding

Derivative

Financial

Instruments

Futures

contracts:

Average

notional

value

of

contracts

—

long

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

$

66,752,386

Average

notional

value

of

contracts

—

short

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

65,129,879

Options:

Average

value

of

option

contracts

purchased

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

15,750

Average

value

of

option

contracts

written

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

40,313

Average

notional

value

of

swaption

contracts

purchased

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

11,300,000

Average

notional

value

of

swaption

contracts

written

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

10,675,000

Credit

default

swaps:

Average

notional

value

—

buy

protection

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

3,100,000

Average

notional

value

—

sell

protection

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

7,357,500

Interest

rate

swaps:

Average

notional

value

—

pays

fixed

rate

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

20,669,487

Average

notional

value

—

receives

fixed

rate

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

20,219,487

The

Fund's

derivative

assets

and

liabilities

(by

type)

were

as

follows:

Assets

Liabilities

Derivative

Financial

Instruments:

$

—

Futures

contracts

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

$

52,975

$

14,953

Options

(a)(b)

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

213,482

—

Swaps

—

Centrally

cleared

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

4,077

—

Swaps

—

OTC

(c)

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

807,129

2,030,310

Total

derivative

assets

and

liabilities

in

the

Statement

of

Assets

and

Liabilities

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

$

1,077,663

$

2,045,263

Derivatives

not

subject

to

a

Master

Netting

Agreement

or

similar

agreement

("MNA")

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

(57,052)

(14,953)

Total

derivative

assets

and

liabilities

subject

to

an

MNA

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

$

1,020,611

$

2,030,310

(a)

Includes

options

purchased

at

value

which

is

included

in

Investments

at

value

–

unaffiliated

in

the

Statement

of

Assets

and

Liabilities

and

reported

in

the

Schedule

of

Investments.

(b)

Includes

forward

settling

swaptions.

(c)

Includes

unrealized

appreciation

(depreciation)

on

OTC

swaps

and

swap

premiums

paid/received

in

the

Statement

of

Assets

and

Liabilities.

The

following

tables

present

the

Fund's

derivative

assets

and

liabilities

by

counterparty

net

of

amounts

available

for

offset

under

an

MNA

and

net

of

the

related

collateral

received

and

pledged

by

the

Fund:

Counterparty

Derivative

Assets

Subject

to

an

MNA

by

Counterparty

Derivatives

Available

for

Offset

(a)

Non-cash

Collateral

Received

Cash

Collateral

Received

Net

Amount

of

Derivative

Assets

(b)

Bank

of

America

NA

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

$

75,739

$

—

$

—

$

—

$

75,739

Barclays

Bank

plc

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

137,743

—

—

—

137,743

JPMorgan

Securities

LLC

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

802,509

—

—

(660,000)

142,509

Morgan

Stanley

&

Co.

International

plc

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

4,620

(4,620)

—

—

—

$

1,020,611

$

(4,620)

$

—

$

(660,000)

$

355,991

Counterparty

Derivative

Liabilities

Subject

to

an

MNA

by

Counterparty

Derivatives

Available

for

Offset

(a)

Non-cash

Collateral

Pledged

Cash

Collateral

Pledged

Net

Amount

of

Derivative

Liabilities

(c)

Deutsche

Bank

AG

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

$

802,510

$

—

$

—

$

(462,000)

$

340,510

Goldman

Sachs

International

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

722,259

—

—

(530,000)

192,259

Morgan

Stanley

&

Co.

International

plc

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

505,541

(4,620)

—

(500,000)

921

$

2,030,310

$

(4,620)

$

—

$

(1,492,000)

$

533,690

(a)

The

amount

of

derivatives

available

for

offset

is

limited

to

the

amount

of

derivative

assets

and/or

liabilities

that

are

subject

to

an

MNA.

(b)

Net

amount

represents

the

net

amount

receivable

from

the

counterparty

in

the

event

of

default.

(c)

Net

amount

represents

the

net

amount

payable

due

to

the

counterparty

in

the

event

of

default.

BlackRock

U.S.

Mortgage

Portfolio

Schedule

of

Investments

17

Schedule

of

Investments

(unaudited)

(continued)

October

31,

2020

See

notes

to

financial

statements.

Fair

Value

Hierarchy

as

of

Period

End

Various

inputs

are

used

in

determining

the

fair

value

of

financial

instruments.

For

description

of

the

input

levels

and

information

about

the

Fund’s

policy

regarding

valuation

of

financial

instruments,

refer

to

the

Notes

to

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:

Asset-Backed

Securities

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

$

—

$

43,569,917

$

4,280,800

$

47,850,717

Non-Agency

Mortgage-Backed

Securities

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

—

94,495,183

5,470,472

99,965,655

U.S.

Government

Sponsored

Agency

Securities

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

—

243,846,607

1,032,722

244,879,329

Short-Term

Securities:

Money

Market

Funds

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

2,140,746

—

—

2,140,746

U.S.

Treasury

Obligations

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

—

19,082,947

—

19,082,947

Options

Purchased:

Interest

rate

contracts

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

—

213,482

—

213,482

Liabilities:

Investments:

TBA

Sale

Commitments

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

—

(112,959,185)

—

(112,959,185)

$

2,140,746

$

288,248,951

$

10,783,994

$

301,173,691

Derivative

Financial

Instruments

(a)

Assets:

Credit

contracts

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

$

—

$

492,960

$

—

$

492,960

Interest

rate

contracts

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

225,518

478,204

—

703,722

Liabilities:

Credit

contracts

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

—

(1,125,269)

—

(1,125,269)

Interest

rate

contracts

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

(140,295)

(826,772)

—

(967,067)

$

85,223

$

(980,877)

$

—

$

(895,654)

(a)

Derivative

financial

instruments

are

swaps

and

futures

contracts.

Swaps

and

futures

contracts

are

valued

at

the

unrealized

appreciation

(depreciation)

on

the

instrument.

A

reconciliation

of

Level

3

financial

instruments

is

presented

when

the

Fund

had

a

significant

amount

of

Level

3

investments

at

the

beginning

and/or

end

of

the

period

in

relation

to

net

assets.

The

following

table

is

a

reconciliation

of

Level

3

investments

for

which

significant

unobservable

inputs

were

used

in

determining

fair

value:

Asset-

Backed

Securities

Non-Agency

Mortgage-

Backed

Securities

U.S.

Government

Sponsored

Agency

Securities

Total

Investments:

Assets:

Opening

balance,

as

of

April

30,

2020

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

$

4,818,596

$

1,406,368

$

—

$

6,224,964

Transfers

into

level

3

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

—

1,095,524

1,036,189

2,131,713

Transfers

out

of

level

3

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

(2,649,500)

—

—

(2,649,500)

Accrued

discounts/premiums

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

2,224

(43,978)

(86,452)

(128,206)

Net

realized

loss

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

(20,072)

—

—

(20,072)

Net

change

in

unrealized

appreciation

(depreciation)

(a)(b)

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

(53,027)

386,758

82,985

416,716

Purchases

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

2,520,496

2,625,800

—

5,146,296

Sales

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

(337,917)

—

—

(337,917)

Closing

balance,

as

of

October

31,

2020

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

$

4,280,800

$

5,470,472

$

1,032,722

$

10,783,994

Net

change

in

unrealized

appreciation

(depreciation)

on

investments

still

held

at

October

31,

2020

(b)

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

$

(53,027)

$

386,758

$

82,985

$

416,716

(a)

Included

in

the

related

net

change

in

unrealized

appreciation

(depreciation)

in

the

Statement

of

Operations.

(b)

Any

difference

between

net

change

in

unrealized

appreciation

(depreciation)

and

net

change

in

unrealized

appreciation

(depreciation)

on

investments

still

held

at

October

31,

2020

is

generally

due

to

investments

no

longer

held

or

categorized

as

Level

3

at

period

end.

The

Fund’s

financial

instruments

that

are

categorized

as

Level

3

were

valued

utilizing

third

party

pricing

information

without

adjustment.

Such

valuations

are

based

on

unobservable

inputs.

A

significant

change

in

third

party

information

could

result

in

a

significantly

lower

or

higher

value

of

such

Level

3

financial

instruments.

Statement

of

Assets

and

Liabilities

(unaudited)

October

31,

2020

2020

BlackRock

Semi-Annual

Report

To

Shareholders

18

See

notes

to

financial

statements.

BlackRock

U.S.

Mortgage

Portfolio

ASSETS

Investments

at

value

—

unaffiliated

(cost

—

$409,259,298)

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

$

414,132,876‌

Cash

pledged:

–‌

Collateral

—

OTC

derivatives

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

1,492,000‌

Futures

contracts

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

294,000‌

Centrally

cleared

swaps

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

134,150‌

Receivables:

–‌

Investments

sold

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

96,471,513‌

TBA

sale

commitments

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

113,007,358‌

Capital

shares

sold

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

324,822‌

Dividends

—

unaffiliated

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

24‌

Interest

—

unaffiliated

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

996,133‌

From

the

Manager

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

13,652‌

Variation

margin

on

futures

contracts

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

52,975‌

Variation

margin

on

centrally

cleared

swaps

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

4,077‌

Swap

premiums

paid

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

314,169‌

Unrealized

appreciation

on:

–‌

OTC

swaps

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

492,960‌

Prepaid

expenses

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

49,782‌

Total

assets

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

627,780,491‌

LIABILITIES

Bank

overdraft

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

44,962‌

Cash

received:

–‌

Collateral

—

OTC

derivatives

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

660,000‌

Collateral

—

TBA

commitments

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

17,000‌

TBA

sale

commitments

at

value

(proceeds

$113,007,358)

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

112,959,185‌

Payables:

–‌

Investments

purchased

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

228,122,264‌

Capital

shares

redeemed

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

657,564‌

Income

dividend

distributions

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

142,184‌

Investment

advisory

fees

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

78,651‌

Trustees'

and

Officer's

fees

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

569‌

Other

affiliate

fees

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

1,617‌

Service

and

distribution

fees

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

9,826‌

Variation

margin

on

futures

contracts

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

14,953‌

Other

accrued

expenses

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

198,049‌

Swap

premiums

received

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

905,041‌

Unrealized

depreciation

on:

–‌

OTC

swaps

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

1,125,269‌

Total

liabilities

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

344,937,134‌

NET

ASSETS

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

$

282,843,357‌

NET

ASSETS

CONSIST

OF

Paid-in

capital

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

$

282,829,224‌

Accumulated

earnings

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

14,133‌

NET

ASSETS

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

$

282,843,357‌

NET

ASSET

VALUE

Institutional

—

Based

on

net

assets

of

$252,832,632

and

24,373,590

shares

outstanding,

unlimited

number

of

shares

authorized,

par

value

$0.001

per

share

..........

$

10.37‌

Investor

A

—

Based

on

net

assets

of

$24,166,897

and

2,333,763

shares

outstanding,

unlimited

number

of

shares

authorized,

par

value

$0.001

per

share

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

$

10.36‌

Investor

C

—

Based

on

net

assets

of

$5,843,828

and

564,223

shares

outstanding,

unlimited

number

of

shares

authorized,

par

value

$0.001

per

share

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

$

10.36‌

Statement

of

Operations

October

31,

2020

19

Financial

Statements

See

notes

to

financial

statements.

BlackRock

U.S.

Mortgage

Portfolio

INVESTMENT

INCOME

Dividends

—

unaffiliated

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

$

633‌

Interest

—

unaffiliated

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

4,434,628‌

Total

investment

income

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

4,435,261‌

EXPENSES

Investment

advisory

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

518,991‌

Transfer

agent

—

class

specific

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

85,536‌

Service

and

distribution

—

class

specific

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

61,498‌

Registration

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

45,807‌

Professional

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

40,923‌

Accounting

services

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

34,228‌

Printing

and

postage

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

16,413‌

Custodian

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

9,648‌

Trustees

and

Officer

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

2,282‌

Miscellaneous

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

21,974‌

Total

expenses

excluding

interest

expense

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

837,300‌

Interest

expense

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

842‌

Total

expenses

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

838,142‌

Less:

–‌

Fees

waived

and/or

reimbursed

by

the

Manager

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

(106,265‌)

Transfer

agent

fees

waived

and/or

reimbursed

—

class

specific

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

(83,543‌)

Total

expenses

after

fees

waived

and/or

reimbursed

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

648,334‌

Net

investment

income

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

3,786,927‌

REALIZED

AND

UNREALIZED

GAIN

(LOSS)

$

8,164,603‌

Net

realized

gain

(loss)

from:

$

–‌

Investments

—

unaffiliated

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

1,812,752‌

Futures

contracts

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

(831,141‌)

Options

written

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

325,755‌

Swaps

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

(323,578‌)

A

983,788‌

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investments

—

unaffiliated

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

6,124,931‌

Futures

contracts

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

283,011‌

Options

written

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

949,300‌

Swaps

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

(176,426‌)

A

7,180,816‌

Net

realized

and

unrealized

gain

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

8,164,604‌

NET

INCREASE

IN

NET

ASSETS

RESULTING

FROM

OPERATIONS

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

$

11,951,531‌

Statements

of

Changes

in

Net

Assets

October

31,

2020

2020

BlackRock

Semi-Annual

Report

To

Shareholders

20

See

notes

to

financial

statements.

BlackRock

U.S.

Mortgage

Portfolio

Six

Months

Ended

10/31/20

(unaudited)

Year

Ended

04/30/20

INCREASE

(DECREASE)

IN

NET

ASSETS

OPERATIONS

Net

investment

income

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

$

3,786,927‌

$

7,219,138‌

Net

realized

gain

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

983,788‌

3,278,926‌

Net

change

in

unrealized

appreciation

(depreciation)

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

7,180,816‌

(1,687,439‌)

Net

increase

in

net

assets

resulting

from

operations

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

11,951,531‌

8,810,625‌

DISTRIBUTIONS

TO

SHAREHOLDERS

(a)

Institutional

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

(3,902,446‌)

(7,643,396‌)

Investor

A

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

(392,534‌)

(782,936‌)

Investor

C

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

(75,120‌)

(157,801‌)

Decrease

in

net

assets

resulting

from

distributions

to

shareholders

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

(4,370,100‌)

(8,584,133‌)

CAPITAL

SHARE

TRANSACTIONS

Net

increase

in

net

assets

derived

from

capital

share

transactions

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

25,653,802‌

3,483,605‌

NET

ASSETS

Total

increase

in

net

assets

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

33,235,233‌

3,710,097‌

Beginning

of

period

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

249,608,124‌

245,898,027‌

End

of

period

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

$

282,843,357‌

$

249,608,124‌

(a)

Distributions

for

annual

periods

determined

in

accordance

with

U.S.

federal

income

tax

regulations.

Financial

Highlights

(For

a

share

outstanding

throughout

each

period)

21

Financial

Highlights

(a)

Based

on

average

shares

outstanding.

(b)

Amount

is

greater

than

$(0.005)

per

share.

(c)

Distributions

for

annual

periods

determined

in

accordance

with

U.S.

federal

income

tax

regulations.

(d)

Where

applicable,

assumes

the

reinvestment

of

distributions.

(e)

Aggregate

total

return.

(f)

Includes

payment

received

from

a

settlement

of

litigation,

which

impacted

the

Fund’s

total

return.

Excluding

the

payment

from

a

settlement

of

litigation,

the

Fund’s

total

return

would

have

been

1.61%.

(g)

Annualized.

(h)

Includes

mortgage

dollar

roll

transactions

("MDRs").

Additional

information

regarding

portfolio

turnover

rate

is

as

follows:

BlackRock

U.S.

Mortgage

Portfolio

Institutional

Six

Months

Ended

10/31/20

(unaudited)

Year

Ended

April

30,

2020

2019

2018

2017

2016

Net

asset

value,

beginning

of

period

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

$

10.07‌

$

10.04‌

$

9.96‌

$

10.31‌

$

10.44‌

$

10.55‌

Net

investment

income

(a)

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

0.15‌

0.28‌

0.32‌

0.29‌

0.21‌

0.24‌

Net

realized

and

unrealized

gain

(loss)

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

0.33‌

0.08‌

0.14‌

(0.29‌)

(0.02‌)

(0.00‌)

(b)

Net

increase

from

investment

operations

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

0.48‌

0.36‌

0.46‌

0.00‌

0.19‌

0.24‌

Distributions

(c)

–

–

–

–

–

–

From

net

investment

income

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

(0.18‌)

(0.33‌)

(0.38‌)

(0.35‌)

(0.32‌)

(0.27‌)

From

net

realized

gain

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

—‌

—‌

—‌

—‌

—‌

(0.08‌)

Total

distributions

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

(0.18‌)

(0.33‌)

(0.38‌)

(0.35‌)

(0.32‌)

(0.35‌)

Net

asset

value,

end

of

period

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

$

10.37‌

$

10.07‌

$

10.04‌

$

9.96‌

$

10.31‌

$

10.44‌

Total

Return

(d)

4.76%

3.61%

4.73%

—

—

—

Based

on

net

asset

value

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

4.76%

(e)

3.61%

4.73%

0.00%

1.80%

(f)

2.27%

Ratios

to

Average

Net

Assets

Total

expenses

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

0.59%

(g)

0.81%

1.62%

1.08%

0.59%

0.62%

Total

expenses

after

fees

waived

and/or

reimbursed

and

paid

indirectly

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

0.45%

(g)

0.68%

1.44%

0.91%

0.51%

0.55%

Total

expenses

after

fees

waived

and/or

reimbursed

and

paid

indirectly

and

excluding

interest

expense

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

0.45%

(g)

0.45%

0.45%

0.45%

0.47%

0.51%

Net

investment

income

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

2.95%

(g)

2.73%

3.26%

2.82%

2.04%

2.31%

Supplemental

Data

Net

assets,

end

of

period

(000)

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

$

252,833‌

$

221,437‌

$

211,534‌

$

189,916‌

$

222,745‌

$

206,193‌

Portfolio

turnover

rate

(h)

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

587%

1,334%

1,580%

1,521%

1,502%

2,669%

Six

Months

Ended

10/31/20

(unaudited)

Year

Ended

April

30,

2020

2019

2018

2017

2016

Portfolio

turnover

rate

(excluding

MDRs)

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

314%

860%

841%

826%

887%

2,104%

See

notes

to

financial

statements.

Financial

Highlights

(continued)

(For

a

share

outstanding

throughout

each

period)

2020

BlackRock

Semi-Annual

Report

To

Shareholders

22

(a)

Based

on

average

shares

outstanding.

(b)

Distributions

for

annual

periods

determined

in

accordance

with

U.S.

federal

income

tax

regulations.

(c)

Where

applicable,

excludes

the

effects

of

any

sales

charges

and

assumes

the

reinvestment

of

distributions.

(d)

Aggregate

total

return.

(e)

Includes

payment

received

from

a

settlement

of

litigation,

which

impacted

the

Fund’s

total

return.

Excluding

the

payment

from

a

settlement

of

litigation,

the

Fund’s

total

return

would

have

been

1.23%.

(f)

Annualized.

(g)

Includes

mortgage

dollar

roll

transactions

("MDRs").

Additional

information

regarding

portfolio

turnover

rate

is

as

follows:

BlackRock

U.S.

Mortgage

Portfolio

Investor

A

Six

Months

Ended

10/31/20

(unaudited)

Year

Ended

April

30,

2020

2019

2018

2017

2016

Net

asset

value,

beginning

of

period

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

$

10.05‌

$

10.02‌

$

9.94‌

$

10.29‌

$

10.43‌

$

10.53‌

Net

investment

income

(a)

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

0.14‌

0.25‌

0.30‌

0.26‌

0.18‌

0.21‌

Net

realized

and

unrealized

gain

(loss)

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

0.33‌

0.09‌

0.14‌

(0.28‌)

(0.03‌)

0.01‌

Net

increase

(decrease)

from

investment

operations

......

0.47‌

0.34‌

0.44‌

(0.02‌)

0.15‌

0.22‌

Distributions

(b)

–

–

–

–

–

–

From

net

investment

income

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

(0.16‌)

(0.31‌)

(0.36‌)

(0.33‌)

(0.29‌)

(0.24‌)

From

net

realized

gain

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

—‌

—‌

—‌

—‌

—‌

(0.08‌)

Total

distributions

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

(0.16‌)

(0.31‌)

(0.36‌)

(0.33‌)

(0.29‌)

(0.32‌)

Net

asset

value,

end

of

period

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

$

10.36‌

$

10.05‌

$

10.02‌

$

9.94‌

$

10.29‌

$

10.43‌

Total

Return

(c)

4.74%

3.35%

4.47%

(0.25)%

—

—

Based

on

net

asset

value

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

4.74%

(d)

3.35%

4.47%

(0.25)%

1.43%

(e)

2.06%

Ratios

to

Average

Net

Assets

Total

expenses

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

0.91%

(f)

1.14%

1.94%

1.37%

0.91%

0.94%

Total

expenses

after

fees

waived

and/or

reimbursed

and

paid

indirectly

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

0.70%

(f)

0.93%

1.69%

1.16%

0.79%

0.85%

Total

expenses

after

fees

waived

and/or

reimbursed

and

paid

indirectly

and

excluding

interest

expense

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

0.70%

(f)

0.70%

0.70%

0.70%

0.75%

0.81%

Net

investment

income

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

2.74%

(f)

2.50%

3.01%

2.56%

1.75%

2.04%

Supplemental

Data

Net

assets,

end

of

period

(000)

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

$

24,167‌

$

21,913‌

$

26,577‌

$

37,782‌

$

51,429‌

$

77,652‌

Portfolio

turnover

rate

(g)

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

587%

1,334%

1,580%

1,521%

1,502%

2,669%

Six

Months

Ended

10/31/20

(unaudited)

Year

Ended

April

30,

2020

2019

2018

2017

2016

Portfolio

turnover

rate

(excluding

MDRs)

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

314%

860%

841%

826%

887%

2,104%

See

notes

to

financial

statements.

Financial

Highlights

(continued)

(For

a

share

outstanding

throughout

each

period)

23

Financial

Highlights

(a)

Based

on

average

shares

outstanding.

(b)

Distributions

for

annual

periods

determined

in

accordance

with

U.S.

federal

income

tax

regulations.

(c)

Where

applicable,

excludes

the

effects

of

any

sales

charges

and

assumes

the

reinvestment

of

distributions.

(d)

Aggregate

total

return.

(e)

Includes

payment

received

from

a

settlement

of

litigation,

which

impacted

the

Fund’s

total

return.

Excluding

the

payment

from

a

settlement

of

litigation,

the

Fund’s

total

return

would

have

been

0.58%.

(f)

Annualized.

(g)

Includes

mortgage

dollar

roll

transactions

("MDRs").

Additional

information

regarding

portfolio

turnover

rate

is

as

follows:

BlackRock

U.S.

Mortgage

Portfolio

Investor

C

Six

Months

Ended

10/31/20

(unaudited)

Year

Ended

April

30,

2020

2019

2018

2017

2016

Net

asset

value,

beginning

of

period

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

$

10.05‌

$

10.02‌

$

9.94‌

$

10.30‌

$

10.43‌

$

10.53‌

Net

investment

income

(a)

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

0.10‌

0.18‌

0.22‌

0.18‌

0.10‌

0.13‌

Net

realized

and

unrealized

gain

(loss)

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

0.34‌

0.08‌

0.14‌

(0.29‌)

(0.02‌)

0.01‌

Net

increase

(decrease)

from

investment

operations

......

0.44‌

0.26‌

0.36‌

(0.11‌)

0.08‌

0.14‌

Distributions

(b)

–

–

–

–

–

–

From

net

investment

income

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

(0.13‌)

(0.23‌)

(0.28‌)

(0.25‌)

(0.21‌)

(0.16‌)

From

net

realized

gain

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

—‌

—‌

—‌

—‌

—‌

(0.08‌)

Total

distributions

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

(0.13‌)

(0.23‌)

(0.28‌)

(0.25‌)

(0.21‌)

(0.24‌)

Net

asset

value,

end

of

period

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

$

10.36‌

$

10.05‌

$

10.02‌

$

9.94‌

$

10.30‌

$

10.43‌

Total

Return

(c)

4.35%

2.58%

3.70%

(1.09)%

—

—

Based

on

net

asset

value

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

4.35%

(d)

2.58%

3.70%

(1.09)%

0.77%

(e)

1.30%

Ratios

to

Average

Net

Assets

Total

expenses

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

1.67%

(f)

1.89%

2.69%

2.12%

1.64%

1.66%

Total

expenses

after

fees

waived

and/or

reimbursed

and

paid

indirectly

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

1.45%

(f)

1.68%

2.44%

1.91%

1.54%

1.60%

Total

expenses

after

fees

waived

and/or

reimbursed

and

paid

indirectly

and

excluding

interest

expense

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

1.45%

(f)

1.45%

1.45%

1.45%

1.50%

1.56%

Net

investment

income

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

1.99%

(f)

1.75%

2.25%

1.80%

1.00%

1.29%

Supplemental

Data

Net

assets,

end

of

period

(000)

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

$

5,844‌

$

6,258‌

$

7,786‌

$

14,295‌

$

21,455‌

$

21,757‌

Portfolio

turnover

rate

(g)

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

587%

1,334%

1,580%

1,521%

1,502%

2,669%

Six

Months

Ended

10/31/20

(unaudited)

Year

Ended

April

30,

2020

2019

2018

2017

2016

Portfolio

turnover

rate

(excluding

MDRs)

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

314%

860%

841%

826%

887%

2,104%

See

notes

to

financial

statements.

Notes

to

Financial

Statements

(unaudited)

2020

BlackRock

Semi-Annual

Report

To

Shareholders

24

ORGANIZATION 

Managed

Account

Series

II (the

“Trust”)

is

registered

under

the

Investment

Company

Act

of

1940,

as

amended

(the

“1940

Act”),

as

an

open-end

management

investment

company.

The Trust

is

organized

as

a Delaware

statutory

trust. 

BlackRock

U.S.

Mortgage

Portfolio

(the

"Fund")

is

a

series

of

the

Trust.

The

Fund

is

classified

as

diversified.

The

Fund

offers

multiple

classes

of

shares.

All

classes

of

shares

have

identical

voting,

dividend,

liquidation

and

other

rights

and

are

subject

to

the

same

terms

and

conditions,

except

that

certain

classes

bear

expenses

related

to

the

shareholder

servicing

and

distribution

of

such

shares.

Institutional

Shares

are

sold

only

to

certain

eligible

investors.

Investor A

and

Investor C

Shares

bear

certain

expenses

related

to

shareholder

servicing

of

such

shares,

and

Investor C

Shares

also

bear

certain

expenses

related

to

the

distribution

of

such

shares.

Investor A

and

Investor C

Shares

are

generally

available

through

financial

intermediaries.

Each

class

has

exclusive

voting

rights

with

respect

to

matters

relating

to

its

shareholder

servicing

and

distribution

expenditures

(except

that

Investor C

shareholders

may

vote

on

material

changes

to

the

Investor A

Shares

distribution

and

service

plan).

(a)

Investor

A

Shares

may

be

subject

to

a

c

ontingent

deferred

sales

charge

("CDSC")

for

certain

redemptions

where

no

initial

sales

charge

was

paid

at

the

time

of

purchase.

(b)

A

CDSC

of

1.00%

is

assessed

on

certain

redemptions

of

Investor

C

Shares

made

within

one

year

after

purchase.

(c)

Effective

November

23,

2020,

the

automatic

conversion

feature

will

be

modified

to

reduce

the

conversion

period

from

ten

years

to

eight

years.

The

Fund,

together

with

certain

other

registered

investment

companies

advised

by

BlackRock

Advisors,

LLC

(the

"Manager") or

its

affiliates,

is

included

in

a

complex

of

non-

index

fixed-income

mutual

funds

and

all

BlackRock-advised

closed-end

funds

referred

to

as

the

BlackRock

Fixed-Income

Complex.

SIGNIFICANT

ACCOUNTING

POLICIES

The

financial

statements

are

prepared

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America

(“U.S.

GAAP”),

which

may

require

management

to

make

estimates

and

assumptions

that

affect

the

reported

amounts

of

assets

and

liabilities

in

the

financial

statements,

disclosure

of

contingent

assets

and

liabilities

at

the

date

of

the

financial

statements

and

the

reported

amounts

of

increases

and

decreases

in

net

assets

from

operations

during

the

reporting

period.

Actual

results

could

differ

from

those

estimates.

The

Fund

is

considered

an

investment

company

under

U.S.

GAAP

and

follows

the

accounting

and

reporting

guidance

applicable

to

investment

companies.

Below

is

a

summary

of

significant

accounting

policies: 

Investment

Transactions

and

Income

Recognition:

For

financial

reporting

purposes,

investment

transactions

are

recorded

on

the

dates

the

transactions

are

executed

(the

“trade

dates”)

.

Realized

gains

and

losses

on

investment

transactions

are

determined

using

the

specific

identification

method.

Dividend

income

and

capital

gain

distributions,

if

any,

are

recorded

on

the

ex-dividend

date.

Non-cash

dividends,

if

any,

are

recorded

on

the

ex-dividend

date

at

fair

value.

Interest

income,

including

amortization

and

accretion

of

premiums

and

discounts

on

debt

securities,

is

recognized

daily

on

an

accrual

basis.

Income,

expenses

and

realized

and

unrealized

gains

and

losses

are

allocated

daily

to

each

class

based

on

its

relative

net

assets.

Segregation

and

Collateralization:

In

cases

where the

Fund

enters

into

certain

investments

(e.g.,

dollar

rolls,

TBA

sale

commitments,

futures

contracts,

options

written

and

swaps)

or

certain

borrowings

(e.g.,

reverse

repurchase

transactions)

that

would

be

treated

as

“senior

securities”

for

1940

Act

purposes, the

Fund

may

segregate

or

designate

on

its

books

and

records

cash

or

liquid

assets

having

a

market

value

at

least

equal

to

the

amount

of

its

future

obligations

under

such

investments

or

borrowings.

Doing

so

allows

the

investment

or

borrowings

to

be

excluded

from

treatment

as

a

“senior

security.” 

Furthermore,

if

required

by

an

exchange

or

counterparty

agreement,

the

Fund

may

be

required

to

deliver/deposit

cash

and/or

securities

to/with

an

exchange,

or

broker-dealer

or

custodian

as

collateral

for

certain

investments

or

obligations.  

Distributions:

Distributions

from

net

investment

income

are

declared

daily

and

paid

monthly.

Distributions

of

capital

gains

are

recorded

on

the

ex-dividend

date

and

made

at

least

annually.

The

character

and

timing

of

distributions

are

determined

in

accordance

with

U.S.

federal

income

tax

regulations,

which

may

differ

from

U.S.

GAAP.  

Deferred

Compensation

Plan:

Under

the

Deferred

Compensation

Plan

(the

"Plan")

approved

by

the

Board

of

Trustees

of

the

Trust

(the

"Board"),

the

trustees

who

are

not

"interested

persons"

of

the

Fund,

as

defined

in

the

1940

Act

("Independent

Trustees"),

may

defer

a

portion

of

their

annual

complex-wide

compensation.

Deferred

amounts

earn

an

approximate

return

as

though

equivalent

dollar

amounts

had

been

invested

in

common

shares

of

certain

funds

in

the

BlackRock

Fixed-Income

Complex

selected

by

the

Independent

Trustees.

This

has

the

same

economic

effect

for

the

Independent

Trustees

as

if

the

Independent

Trustees

had

invested

the

deferred

amounts

directly

in

certain

funds

in

the

BlackRock

Fixed-Income

Complex.

The

Plan

is

not

funded

and

obligations

thereunder

represent

general

unsecured

claims

against

the

general

assets

of

the

Fund,

as

applicable.

Deferred

compensation

liabilities,

if

any,

are

included

in

the

Trustees'

and

Officer's

fees

payable

in

the

Statement

of

Assets

and

Liabilities

and

will

remain

as

a

liability

of

the

Fund

until

such

amounts

are

distributed

in

accordance

with

the

Plan.

Indemnifications:

In

the

normal

course

of

business,

the

Fund

enters

into

contracts

that

contain

a

variety

of

representations

that

provide

general

indemnification.

The

Fund’s

maximum

exposure

under

these

arrangements

is

unknown

because

it

involves

future

potential

claims

against

the

Fund,

which

cannot

be

predicted

with

any

certainty.

Other:

Expenses

directly

related

to the

Fund

or

its

classes

are

charged

to

the

Fund

or

the

applicable

class.

Expenses

directly

related

to

the

Fund

and

other

shared

expenses

prorated

to

the

Fund

are

allocated

daily

to

each

class

based

on

its

relative

net

assets

or

other

appropriate

methods.

Other

operating

expenses

shared

by

several

funds,

including

other

funds

managed

by

the

Manager

,

are

prorated

among

those

funds

on

the

basis

of

relative

net

assets

or

other

appropriate

methods.  

Share

Class

Initial

Sales

Charge

CDSC

Conversion

Privilege

Institutional

Shares

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

No

No

None

Investor

A

Shares

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

Yes

No

(a)

None

Investor

C

Shares

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

No

Yes

(b)

To

Investor

A

Shares

after

approximately

10

years

(c)

Notes

to

Financial

Statements

(unaudited)

(continued)

25

Notes

to

Financial

Statements

INVESTMENT

VALUATION

AND

FAIR

VALUE

MEASUREMENTS 

Investment

Valuation

Policies:

 The

Fund’s

investments

are

valued

at

fair

value

(also

referred

to

as

“market

value”

within

the

financial

statements)

each

day

that

the

Fund

is

open

for

business

and,

for

financial

reporting

purposes,

as

of

the

report

date.

U.S.

GAAP

defines

fair

value

as

the

price

the

Fund

would

receive

to

sell

an

asset

or

pay

to

transfer

a

liability

in

an

orderly

transaction

between

market

participants

at

the

measurement

date.

The

Fund

determines

the

fair

values

of

its

financial

instruments

using

various

independent

dealers

or

pricing

services

under

policies

approved

by

the

Board.

If

a

security’s

market

price

is

not

readily

available

or

does

not

otherwise

accurately

represent

the

fair

value

of

the

security,

the

security

will

be

valued

in

accordance

with

a

policy

approved

by

the

Board

as

reflecting

fair

value.

The

BlackRock

Global

Valuation

Methodologies

Committee

(the

“Global

Valuation

Committee”)

is

the

committee

formed

by

management

to

develop

global

pricing

policies

and

procedures

and

to

oversee

the

pricing

function

for

all

financial

instruments.

Fair

Value

Inputs

and

Methodologies:

The

following

methods

and

inputs

are

used

to

establish

the

fair

value

of

the

Fund’s

assets

and

liabilities: 

Fixed-income investments

for

which

market

quotations

are

readily

available

are

generally

valued

using

the

last

available

bid

prices

or

current

market

quotations

provided

by

independent

dealers

or

third

party

pricing

services.

Pricing

services

generally

value

fixed-income

securities

assuming

orderly

transactions

of

an

institutional

round

lot

size,

but

a

fund

may

hold

or

transact

in

such

securities

in

smaller,

odd

lot

sizes.

Odd

lots

may

trade

at

lower

prices

than

institutional

round

lots.

The

pricing

services

may

use

matrix

pricing

or

valuation

models

that

utilize

certain

inputs

and

assumptions

to

derive

values,

including

transaction

data

(e.g.,

recent

representative

bids

and

offers),

market

data, credit

quality

information,

perceived

market

movements,

news,

and

other

relevant

information.

Certain

fixed-income

securities,

including

asset-backed

and

mortgage

related

securities

may

be

valued

based

on

valuation

models

that

consider

the

estimated

cash

flows

of

each

tranche

of

the

entity,

establish

a

benchmark

yield

and

develop

an

estimated

tranche

specific

spread

to

the

benchmark

yield

based

on

the

unique

attributes

of

the

tranche.

The

amortized

cost

method

of

valuation

may

be

used

with

respect

to

debt

obligations

with

sixty

days

or

less

remaining

to

maturity.

Investments

in

open-end

U.S.

mutual

funds

(including

money

market

funds) are

valued

at

that

day's

published

net

asset

value

(“NAV”). 

Futures

contracts

are valued

based

on

that

day’s

last

reported

settlement

price

on

the

exchange

where

the

contract

is

traded. 

Exchange-traded

equity

options

for

which

market

quotations

are

readily

available

will

be

valued

at

the

National

Best

Bid

and

Offer

quotes

(“NBBO”).

NBBO

represents

the

mean

of

the

bid

and

ask

prices

as

quoted

on

the

exchange

on

which

such

options

are

traded.

In

the

event

that

there

is

no

mean

price

available,

the

last

bid

(long

positions)

or

ask

(short

positions)

price

will

be

used.

If

no

bid

or

ask

price

is

available,

the

prior

day's

price

may

be

used.

Over-the-counter

("OTC")

options

and

options

on

swaps

("swaptions")

are

valued

by

an

independent

pricing

service

using

a

mathematical

model,

which

incorporates

a

number

of

market

data

factors,

such

as

the

trades

and

prices

of

the

underlying

instruments.

Swap

agreements

are

valued

utilizing

quotes

received

daily

by

independent pricing

services

or

through

brokers,

which

are

derived

using

daily

swap

curves

and

models

that

incorporate

a

number

of

market

data

factors,

such

as

discounted

cash

flows,

trades

and

values

of

the

underlying

reference

instruments. 

If

events

(e.g.,

a

market

closure,

market

volatility,

company

announcement

or

a

natural

disaster)

occur

that

are

expected

to

materially

affect

the

value

of

such

investment,

or

in

the

event

that

the

application

of

these

methods

of

valuation

results

in

a

price

for

an

investment

that

is

deemed

not

to

be

representative

of

the

market

value

of

such

investment,

or

if

a

price

is

not

available,

the

investment

will

be

valued

by

the

Global

Valuation

Committee,

or

its

delegate,

in

accordance

with

a

policy

approved

by

the

Board

as

reflecting

fair

value

(“Fair

Valued

Investments”).

The

fair

valuation

approaches

that

may

be

used

by

the

Global

Valuation

Committee

will

include

market

approach,

income

approach

and

cost

approach.

Valuation

techniques

such

as

discounted

cash

flow,

use

of

market

comparables

and

matrix

pricing

are

types

of

valuation

approaches

and

are

typically

used

in

determining

fair

value.

When

determining

the

price

for

Fair

Valued

Investments,

the

Global

Valuation

Committee,

or

its

delegate,

seeks

to

determine

the

price

that

the

Fund

might

reasonably

expect

to

receive

or

pay

from

the

current

sale

or

purchase

of

that

asset

or

liability

in

an

arm’s-length

transaction.

Fair

value

determinations

shall

be

based

upon

all

available

factors

that

the

Global

Valuation

Committee,

or

its

delegate,

deems

relevant

and

consistent

with

the

principles

of

fair

value

measurement.

The

pricing

of

all

Fair

Valued

Investments

is

subsequently

reported

to

the

Board

or

a

committee

thereof

on

a

quarterly

basis.

For

investments

in

equity

or

debt

issued

by

privately

held

companies

or

funds

(“Private

Company”

or

collectively,

the

“Private

Companies”)

and

other

Fair

Valued

Investments,

the

fair

valuation

approaches

that

are

used

by

the

Global

Valuation

Committee

and

third

party

pricing

services

utilize

one

or

a

combination

of,

but

not

limited

to,

the

following

inputs.  

Investments

in

series

of

preferred

stock

issued

by

Private

Companies

are

typically

valued

utilizing

market

approach

in

determining

the

enterprise

value

of

the

company.

Such

investments

often

contain

rights

and

preferences

that

differ

from

other

series

of

preferred

and

common

stock

of

the

same

issuer.

Valuation

techniques

such

as

an

option

pricing

model

(“OPM”),

a

probability

weighted

expected

return

model

(“PWERM”)

or

a

hybrid

of

those

techniques

are

used

in

allocating

enterprise

value

of

the

company,

Standard

Inputs

Generally

Considered

By

Third

Party

Pricing

Services

Market

approach

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

(

i

)        

recent

market

transactions,

including

subsequent

rounds

of

financing,

in

the

underlying

investment

or

comparable  

            issuers;

(ii)        recapitalizations

and

other

transactions

across

the

capital

structure;

and

(iii)      

market

multiples

of

comparable

issuers.

Income

approach

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

(

i

)        

future

cash

flows

discounted

to

present

and

adjusted

as

appropriate

for

liquidity,

credit,

and/or

market

risks;

(ii)        quoted

prices

for

similar

investments

or

assets

in

active

markets;

and

(iii)      

other

risk

factors,

such

as

interest

rates,

yield

curves,

volatilities,

prepayment

speeds,

loss

severities,

credit

risks,

            recovery

rates,

liquidation

amounts

and/or

default

rates.

Cost

approach

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

(

i

)        

audited

or

unaudited

financial

statements,

investor

communications

and

financial

or

operational

metrics

            issued

by

the

Private

Company;

(ii)        changes

in

the

valuation

of

relevant

indices

or

publicly

traded

companies

comparable

to

the

Private

Company;

(iii)      

relevant

news

and

other

public

sources;

and

(iv)      

known

secondary

market

transactions

in

the

Private

Company’s

interests

and

merger

or

acquisition

activity

            in

companies

comparable

to

the

Private

Company.

Notes

to

Financial

Statements

(unaudited)

(continued)

2020

BlackRock

Semi-Annual

Report

To

Shareholders

26

as

deemed

appropriate

under

the

circumstances.

The

use

of

OPM

and

PWERM

techniques

involve

a

determination

of

the

exit

scenarios

of

the

investment

in

order

to

appropriately

allocate

the

enterprise

value

of

the

company

among

the

various

parts

of

its

capital

structure. 

The

Private

Companies

are

not

subject

to

the

public

company

disclosure,

timing,

and

reporting

standards

applicable

to other

investments

held

by the

Fund.

Typically,

the

most

recently

available

information

by

a

Private

Company

is

as

of

a

date

that

is

earlier

than

the

date the

Fund

is

calculating

its

NAV.

This

factor

may

result

in

a

difference

between

the

value

of

the

investment

and

the

price the

Fund

could

receive

upon

the

sale

of

the

investment.

Fair

Value

Hierarchy:

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

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

Private

Companies

that

may

not

have

a

secondary

market

and/or

may

have

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.

SECURITIES

AND

OTHER

INVESTMENTS 

Asset-Backed

and

Mortgage-Backed

Securities:

Asset-backed

securities

are

generally

issued

as

pass-through

certificates

or

as

debt

instruments.

Asset-backed

securities

issued

as

pass-through

certificates

represent

undivided

fractional

ownership

interests

in

an

underlying

pool

of

assets.

Asset-backed

securities

issued

as

debt

instruments,

which

are

also

known

as

collateralized

obligations,

are

typically

issued

as

the

debt

of

a

special

purpose

entity

organized

solely

for

the

purpose

of

owning

such

assets

and

issuing

such

debt.

Asset-backed

securities

are

often

backed

by

a

pool

of

assets

representing

the

obligations

of

a

number

of

different

parties.

The

yield

characteristics

of

certain

asset-backed

securities

may

differ

from

traditional

debt

securities.

One

such

major

difference

is

that

all

or

a

principal

part

of

the

obligations

may

be

prepaid

at

any

time

because

the

underlying

assets

(i.e.,

loans)

may

be

prepaid

at

any

time.

As

a

result,

a

decrease

in

interest

rates

in

the

market

may

result

in

increases

in

the

level

of

prepayments

as

borrowers,

particularly

mortgagors,

refinance

and

repay

their

loans.

An

increased

prepayment

rate

with

respect

to

an

asset-backed

security

will

have

the

effect

of

shortening

the

maturity

of

the

security.

In

addition,

a

fund

may

subsequently

have

to

reinvest

the

proceeds

at

lower

interest

rates.

If

a

fund

has

purchased

such

an

asset-backed

security

at

a

premium,

a

faster

than

anticipated

prepayment

rate

could

result

in

a

loss

of

principal

to

the

extent

of

the

premium

paid. 

For

mortgage

pass-through

securities

(the

“Mortgage

Assets”)

there

are

a

number

of

important

differences

among

the

agencies

and

instrumentalities

of

the

U.S.

Government

that

issue

mortgage-related

securities

and

among

the

securities

that

they

issue.

For

example,

mortgage-related

securities

guaranteed

by

Ginnie

Mae

are

guaranteed

as

to

the

timely

payment

of

principal

and

interest

by

Ginnie

Mae

and

such

guarantee

is

backed

by

the

full

faith

and

credit

of

the

United

States.

However,

mortgage-related

securities

issued

by

Freddie

Mac

and

Fannie

Mae,

including

Freddie

Mac

and

Fannie

Mae

guaranteed

mortgage

pass-through

certificates,

which

are

solely

the

obligations

of

Freddie

Mac

and

Fannie

Mae,

are

not

backed

by

or

entitled

to

the

full

faith

and

credit

of

the

United

States,

but

are

supported

by

the

right

of

the

issuer

to

borrow

from

the

U.S.

Treasury. 

Non-agency

mortgage-backed

securities

are

securities

issued

by

non-governmental

issuers

and

have

no

direct

or

indirect

government

guarantees

of

payment

and

are

subject

to

various

risks.

Non-agency

mortgage

loans

are

obligations

of

the

borrowers

thereunder

only

and

are

not

typically

insured

or

guaranteed

by

any

other

person

or

entity.

The

ability

of

a

borrower

to

repay

a

loan

is

dependent

upon

the

income

or

assets

of

the

borrower.

A

number

of

factors,

including

a

general

economic

downturn,

acts

of

God,

terrorism,

social

unrest

and

civil

disturbances,

may

impair

a

borrower’s

ability

to

repay

its

loans.

Multiple

Class

Pass-Through

Securities:

Multiple

class

pass-through

securities,

including

collateralized

mortgage

obligations

(“CMOs”)

and

commercial

mortgage-backed

securities,

may

be

issued

by

Ginnie

Mae,

U.S.

Government

agencies

or

instrumentalities

or

by

trusts

formed

by

private

originators

of,

or

investors

in,

mortgage

loans.

In

general,

CMOs

are

debt

obligations

of

a

legal

entity

that

are

collateralized

by

a

pool

of

residential

or

commercial

mortgage

loans

or

Mortgage

Assets.

The

payments

on

these

are

used

to

make

payments

on

the

CMOs

or

multiple

pass-through

securities.

Multiple

class

pass-through

securities

represent

direct

ownership

interests

in

the

Mortgage

Assets.

Classes

of

CMOs

include

interest

only

(“IOs”),

principal

only

(“POs”),

planned

amortization

classes

and

targeted

amortization

classes.

IOs

and

POs

are

stripped

mortgage-backed

securities

representing

interests

in

a

pool

of

mortgages,

the

cash

flow

from

which

has

been

separated

into

interest

and

principal

components.

IOs

receive

the

interest

portion

of

the

cash

flow

while

POs

receive

the

principal

portion.

IOs

and

POs

can

be

extremely

volatile

in

response

to

changes

in

interest

rates.

As

interest

rates

rise

and

fall,

the

value

of

IOs

tends

to

move

in

the

same

direction

as

interest

rates.

POs

perform

best

when

prepayments

on

the

underlying

mortgages

rise

since

this

increases

the

rate

at

which

the

principal

is

returned

and

the

yield

to

maturity

on

the

PO.

When

payments

on

mortgages

underlying

a

PO

are

slower

than

anticipated,

the

life

of

the

PO

is

lengthened

and

the

yield

to

maturity

is

reduced.

If

the

underlying

Mortgage

Assets

experience

greater

than

anticipated

prepayments

of

principal,

a

fund’s

initial

investment

in

the

IOs

may

not

fully

recoup. 

Stripped

Mortgage-Backed

Securities:

Stripped

mortgage-backed

securities

are

typically

issued

by

the

U.S.

Government,

its

agencies

and

instrumentalities.

Stripped

mortgage-backed

securities

are

usually

structured

with

two

classes

that

receive

different

proportions

of

the

interest

(IOs)

and

principal

(POs)

distributions

on

a

pool

of

Mortgage

Assets.

Stripped

mortgage-backed

securities

may

be

privately

issued.

Notes

to

Financial

Statements

(unaudited)

(continued)

27

Notes

to

Financial

Statements

Forward

Commitments,

When-Issued

and

Delayed

Delivery

Securities:

The

Fund

may

purchase

securities

on

a

when-issued

basis

and

may

purchase

or

sell

securities

on

a

forward

commitment

basis.

Settlement

of

such

transactions

normally

occurs

within

a

month

or

more

after

the

purchase

or

sale

commitment

is

made.

The

Fund

may

purchase

securities

under

such

conditions

with

the

intention

of

actually

acquiring

them,

but

may

enter

into

a

separate

agreement

to

sell

the

securities

before

the

settlement

date.

Since

the

value

of

securities

purchased

may

fluctuate

prior

to

settlement,

the

Fund

may

be

required

to

pay

more

at

settlement

than

the

security

is

worth.

In

addition,

the

Fund

is

not

entitled

to

any

of

the

interest

earned

prior

to

settlement.

When

purchasing

a

security

on

a

delayed

delivery

basis,

the

Fund

assumes

the

rights

and

risks

of

ownership

of

the

security,

including

the

risk

of

price

and

yield

fluctuations.

In

the

event

of

default

by

the

counterparty,

the

Fund’s

maximum

amount

of

loss

is

the

unrealized

appreciation

of

unsettled

when-issued

transactions.

TBA

Commitments:

TBA

commitments

are

forward

agreements

for

the

purchase

or

sale

of

mortgage-backed

securities

for

a

fixed

price,

with

payment

and

delivery

on

an

agreed

upon

future

settlement

date.

The

specific

securities

to

be

delivered

are

not

identified

at

the

trade

date.

However,

delivered

securities

must

meet

specified

terms,

including

issuer,

rate

and

mortgage

terms.

When

entering

into

TBA

commitments,

a

fund

may

take

possession

of

or

deliver

the

underlying

mortgage-backed

securities

but

can

extend

the

settlement

or

roll

the

transaction.

TBA

commitments

involve

a

risk

of

loss

if

the

value

of

the

security

to

be

purchased

or

sold

declines

or

increases,

respectively,

prior

to

settlement

date.

In

order

to

better

define

contractual

rights

and

to

secure

rights

that

will

help

a

fund

mitigate

its

counterparty

risk,

TBA

commitments

may

be

entered

into

by

a

fund

under

Master

Securities

Forward

Transaction

Agreements

(each,

an

“MSFTA”).

An

MSFTA

typically

contains,

among

other

things,

collateral

posting

terms

and

netting

provisions

in

the

event

of

default

and/or

termination

event.

The

collateral

requirements

are

typically

calculated

by

netting

the

mark-to-market

amount

for

each

transaction

under

such

agreement

and

comparing

that

amount

to

the

value

of

the

collateral

currently

pledged

by

a

fund

and

the

counterparty.

Cash

collateral

that

has

been

pledged

to

cover

the

obligations

of

a

fund

and

cash

collateral

received

from

the

counterparty,

if

any,

is

reported

separately

in

the

Statement

of

Assets

and

Liabilities

as

cash

pledged

as

collateral

for

TBA

commitments

or

cash

received

as

collateral

for

TBA

commitments,

respectively.

Non-cash

collateral

pledged

by

a

fund,

if

any,

is

noted

in

the

Schedule

of

Investments.

Typically,

a

fund

is

permitted

to

sell,

re-pledge

or

use

the

collateral

it

receives;

however,

the

counterparty

is

not

permitted

to

do

so.

To

the

extent

amounts

due

to

a

fund

are

not

fully

collateralized,

contractually

or

otherwise,

a

fund

bears

the

risk

of

loss

from

counterparty

non-performance.

Mortgage

Dollar

Roll

Transactions

:

The

Fund

may

sell

TBA

mortgage-backed

securities

and

simultaneously

contract

to

repurchase

substantially

similar

(i.e.,

same

type,

coupon

and

maturity)

securities

on

a

specific

future

date

at

an

agreed

upon

price.

During

the

period

between

the

sale

and

repurchase,

a

fund

is

not

entitled

to

receive

interest

and

principal

payments

on

the

securities

sold.

Mortgage

dollar

roll

transactions

are

treated

as

purchases

and

sales

and

realizes

gains

and

losses

on

these

transactions.

Mortgage

dollar

rolls

involve

the

risk

that

the

market

value

of

the

securities

that

a

fund

is

required

to

purchase

may

decline

below

the

agreed

upon

repurchase

price

of

those

securities.

Reverse

Repurchase

Agreements

:

Reverse

repurchase

agreements

are

agreements

with

qualified

third

party

broker

dealers

in

which

a

fund

sells

securities

to

a

bank

or

broker-dealer

and

agrees

to

repurchase

the

same

securities

at

a

mutually

agreed

upon

date

and

price.

A

fund

receives

cash

from

the

sale

to

use

for

other

investment

purposes.

During

the

term

of

the

reverse

repurchase

agreement,

a

fund

continues

to

receive

the

principal

and

interest

payments

on

the

securities

sold.

Certain

agreements

have

no

stated

maturity

and

can

be

terminated

by

either

party

at

any

time.

Interest

on

the

value

of

the

reverse

repurchase

agreements

issued

and

outstanding

is

based

upon

competitive

market

rates

determined

at

the

time

of

issuance.

A

fund

may

utilize

reverse

repurchase

agreements

when

it

is

anticipated

that

the

interest

income

to

be

earned

from

the

investment

of

the

proceeds

of

the

transaction

is

greater

than

the

interest

expense

of

the

transaction.

Reverse

repurchase

agreements

involve

leverage

risk.

If

a

fund

suffers

a

loss

on

its

investment

of

the

transaction

proceeds

from

a

reverse

repurchase

agreement,

a

fund

would

still

be

required

to

pay

the

full

repurchase

price.

Further,

a

fund

remains

subject

to

the

risk

that

the

market

value

of

the

securities

repurchased

declines

below

the

repurchase

price.

In

such

cases,

a

fund

would

be

required

to

return

a

portion

of

the

cash

received

from

the

transaction

or

provide

additional

securities

to

the

counterparty.

Cash

received

in

exchange

for

securities

delivered

plus

accrued

interest

due

to

the

counterparty

is

recorded

as

a

liability

in

the

Statement

of

Assets

and

Liabilities

at

face

value

including

accrued

interest.

Due

to

the

short-term

nature

of

the

reverse

repurchase

agreements,

face

value

approximates

fair

value.

Interest

payments

made

by

a

fund

to

the

counterparties

are

recorded

as

a

component

of

interest

expense

in

the

Statement

of

Operations.

In

periods

of

increased

demand

for

the

security,

a

fund

may

receive

a

fee

for

the

use

of

the

security

by

the

counterparty,

which

may

result

in

interest

income

to

a

fund.

For

the

six

months

ended

October

31,

2020,

the

average

amount

of

reverse

repurchase

agreements

and

the

daily

weighted

average

interest

rate

for

the

Fund

were

$630,201

and

0.36%,

respectively.

Reverse

repurchase

transactions

are

entered

into

by

a

fund

under

Master

Repurchase

Agreements

(each,

an

“MRA”),

which

permit

a

fund,

under

certain

circumstances,

including

an

event

of

default

(such

as

bankruptcy

or

insolvency),

to

offset

payables

and/or

receivables

under

the

MRA

with

collateral

held

and/or

posted

to

the

counterparty

and

create

one

single

net

payment

due

to

or

from

a

fund.

With

reverse

repurchase

transactions,

typically

a

fund

and

counterparty

under

an

MRA

are

permitted

to

sell,

re-

pledge,

or

use

the

collateral

associated

with

the

transaction.

Bankruptcy

or

insolvency

laws

of

a

particular

jurisdiction

may

impose

restrictions

on

or

prohibitions

against

such

a

right

of

offset

in

the

event

of

the

MRA

counterparty’s

bankruptcy

or

insolvency.

Pursuant

to

the

terms

of

the

MRA,

a

fund

receives

or

posts

securities

and

cash

as

collateral

with

a

market

value

in

excess

of

the

repurchase

price

to

be

paid

or

received

by

a

fund

upon

the

maturity

of

the

transaction.

Upon

a

bankruptcy

or

insolvency

of

the

MRA

counterparty,

a

fund

is

considered

an

unsecured

creditor

with

respect

to

excess

collateral

and,

as

such,

the

return

of

excess

collateral

may

be

delayed.

Derivative

Financial

Instruments

The

Fund

engages

in

various

portfolio

investment

strategies

using

derivative

contracts

both

to

increase

the

returns

of

the

Fund

and/or

to

manage

its

exposure

to

certain

risks

such

as

credit

risk,

equity

risk,

interest

rate

risk,

foreign

currency

exchange

rate

risk,

commodity

price

risk

or

other

risks

(e.g.,

inflation

risk).

Derivative

financial

instruments

categorized

by

risk

exposure

are

included

in

the

Schedule

of

Investments.

These

contracts

may

be

transacted

on

an

exchange or

OTC.

Futures

Contracts:

Futures

contracts

are

purchased

or

sold

to

gain

exposure

to,

or

manage

exposure

to,

changes

in

interest

rates

(interest

rate

risk)

and

changes

in

the

value

of

equity

securities

(equity

risk)

or

foreign

currencies

(foreign

currency

exchange

rate

risk).

Notes

to

Financial

Statements

(unaudited)

(continued)

2020

BlackRock

Semi-Annual

Report

To

Shareholders

28

Futures

contracts

are

exchange-traded

agreements

between

the

Fund

and

a

counterparty

to

buy

or

sell

a

specific

quantity

of

an

underlying

instrument

at

a

specified

price

and

on

a

specified

date.

Depending

on

the

terms

of

a

contract,

it

is

settled

either

through

physical

delivery

of

the

underlying

instrument

on

the

settlement

date

or

by

payment

of

a

cash

amount

on

the

settlement

date.

Upon

entering

into

a

futures

contract,

the

Fund

is

required

to

deposit

initial

margin

with

the

broker

in

the

form

of

cash

or

securities

in

an

amount

that

varies

depending

on

a

contract’s

size

and

risk

profile.

The

initial

margin

deposit

must

then

be

maintained

at

an

established

level

over

the

life

of

the

contract.

Amounts

pledged,

which

are

considered

restricted,

are

included

in

cash

pledged

for

futures

contracts

in

the Statement

of

Assets

and

Liabilities.

Securities

deposited

as

initial

margin

are

designated

in

the

Schedule

of

Investments

and

cash

deposited,

if

any, are

shown

as

cash

pledged

for

futures

contracts

in

the

Statement

of

Assets

and

Liabilities.

Pursuant

to

the

contract,

the

Fund

agrees

to

receive

from

or

pay

to

the

broker

an

amount

of

cash

equal

to

the

daily

fluctuation

in

market

value

of

the

contract

(“variation

margin”).

Variation

margin

is

recorded

as

unrealized

appreciation

(depreciation)

and,

if

any,

shown

as

variation

margin

receivable

(or

payable)

on

futures

contracts

in

the

Statement

of

Assets

and

Liabilities.

When

the

contract

is

closed,

a

realized

gain

or

loss

is

recorded

in

the

Statement

of

Operations

equal

to

the

difference

between

the

notional

amount

of

the

contract

at

the

time

it

was

opened

and

the

notional

amount

at

the

time

it

was

closed.

The

use

of

futures

contracts

involves

the

risk

of

an

imperfect

correlation

in

the

movements

in

the

price

of

futures

contracts

and

interest,

foreign

currency

exchange

rates

or

underlying

assets.

Options:

The

Fund

purchases

and

writes

call

and

put

options

to

increase

or

decrease

its

exposure

to

the

risks

of

underlying

instruments,

including

equity

risk,

interest

rate

risk

and/or

commodity

price

risk

and/or,

in

the

case

of

options

written,

to

generate

gains

from

options

premiums.

A

call

option

gives

the

purchaser

(holder)

of

the

option

the

right

(but

not

the

obligation)

to

buy,

and

obligates

the

seller

(writer)

to

sell

(when

the

option

is

exercised)

the

underlying

instrument

at

the

exercise

or

strike

price

at

any

time

or

at

a

specified

time

during

the

option

period.

A

put

option

gives

the

holder

the

right

to

sell

and

obligates

the

writer

to

buy

the

underlying

instrument

at

the

exercise

or

strike

price

at

any

time

or

at

a

specified

time

during

the

option

period.

Premiums

paid

on

options

purchased

and

premiums

received

on

options

written,

as

well

as

the

daily

fluctuation

in

market

value,

are

included

in

investments

at

value

–

unaffiliated

and

options

written

at

value,

respectively,

in

the

Statement

of

Assets

and

Liabilities.

When

an

instrument

is

purchased

or

sold

through

the

exercise

of

an

option,

the

premium

is

offset

against

the

cost

or

proceeds

of

the

underlying

instrument.

When

an

option

expires,

a

realized

gain

or

loss

is

recorded

in

the

Statement

of

Operations

to

the

extent

of

the

premiums

received

or

paid.

When

an

option

is

closed

or

sold,

a

gain

or

loss

is

recorded

in

the

Statement

of

Operations

to

the

extent

the

cost

of

the

closing

transaction

exceeds

the

premiums

received

or

paid.

When

the

Fund

writes

a

call

option,

such

option

is

typically

“covered,”

meaning

that

it

holds

the

underlying

instrument

subject

to

being

called

by

the

option

counterparty.

When

the

Fund

writes

a

put

option,

cash

is

segregated

in

an

amount

sufficient

to

cover

the

obligation.

These

amounts,

which

are

considered

restricted,

are

included

in

cash

pledged

as

collateral

for

options

written

in

the

Statement

of

Assets

and

Liabilities.

Swaptions

–

The

Fund

purchases

and

writes

swaptions

primarily

to

preserve

a

return

or

spread

on

a

particular

investment

or

portion

of

the

Fund’s

holdings,

as

a

duration

management

technique

or

to

protect

against

an

increase

in

the

price

of

securities

it

anticipates

purchasing

at

a

later

date.

The

purchaser

and

writer

of

a

swaption

is

buying

or

granting

the

right

to

enter

into

a

previously

agreed

upon

interest

rate

or

credit

default

swap

agreement

(interest

rate

risk

and/or

credit

risk)

at

any

time

before

the

expiration

of

the

option. 

In

purchasing

and

writing

options,

the

Fund

bears

the

risk

of

an

unfavorable

change

in

the

value

of

the

underlying

instrument

or

the

risk

that

it

may

not

be

able

to

enter

into

a

closing

transaction

due

to

an

illiquid

market.

Exercise

of

a

written

option

could

result

in

the

Fund

purchasing

or

selling

a

security

when

it

otherwise

would

not,

or

at

a

price

different

from

the

current

market

value.

Swaps:

Swap

contracts

are

entered

into

to

manage

exposure

to

issuers,

markets

and

securities.

Such

contracts

are

agreements

between

the

Fund

and

a

counterparty

to

make

periodic

net

payments

on

a

specified

notional

amount

or

a

net

payment

upon

termination.

Swap

agreements

are

privately

negotiated

in

the

OTC

market

and

may

be

entered

into

as

a

bilateral

contract

(“OTC

swaps”)

or

centrally

cleared

(“centrally

cleared

swaps”).

For

OTC

swaps,

any

upfront

premiums

paid

and

any

upfront

fees

received

are

shown

as

swap

premiums

paid

and

swap

premiums

received,

respectively,

in

the

Statement

of

Assets

and

Liabilities

and

amortized

over

the

term

of

the

contract.

The

daily

fluctuation

in

market

value

is

recorded

as

unrealized

appreciation

(depreciation)

on

OTC

Swaps

in

the

Statement

of

Assets

and

Liabilities.

Payments

received

or

paid

are

recorded

in

the

Statement

of

Operations

as

realized

gains

or

losses,

respectively.

When

an

OTC

swap

is

terminated,

a

realized

gain

or

loss

is

recorded

in

the

Statement

of

Operations

equal

to

the

difference

between

the

proceeds

from

(or

cost

of)

the

closing

transaction

and

the

Fund’s

basis

in

the

contract,

if

any.

Generally,

the

basis

of

the

contract

is

the

premium

received

or

paid.

In

a

centrally

cleared

swap,

immediately

following

execution

of

the

swap

contract,

the

swap

contract

is

novated

to

a

central

counterparty

(the

“CCP”)

and

the

CCP

becomes

the

Fund’s

counterparty

on

the

swap.

The

Fund

is

required

to

interface

with

the

CCP

through

the

broker.

Upon

entering

into

a

centrally

cleared

swap,

the

Fund

is

required

to

deposit

initial

margin

with

the

broker

in

the

form

of

cash

or

securities

in

an

amount

that

varies

depending

on

the

size

and

risk

profile

of

the

particular

swap. Securities

deposited

as

initial

margin

are

designated

in

the

Schedule

of

Investments

and

cash

deposited

is

shown

as

cash

pledged

for

centrally

cleared

swaps

in

the

Statement

of

Assets

and

Liabilities. Amounts

pledged,

which

are

considered

restricted

cash,

are

included

in

cash

pledged

for

centrally

cleared

swaps

in

the

Statement

of

Assets

and

Liabilities.

Pursuant

to

the

contract,

the

Fund

agrees

to

receive

from

or

pay

to

the

broker

a

variation

margin.

Variation

margin

is

recorded

as

unrealized

appreciation

(depreciation)

and

shown

as

variation

margin

receivable

(or

payable)

on

centrally

cleared

swaps

in

the

Statement

of

Assets

and

Liabilities.

Payments

received

from

(paid

to)

the

counterparty

are

amortized

over

the

term

of

the

contract

and

recorded

as

realized

gains

(losses)

in

the

Statement

of

Operations,

including

those

at

termination.

Credit

default

swaps

—

Credit

default

swaps

are

entered

into

to

manage

exposure

to

the

market

or

certain

sectors

of

the

market,

to

reduce

risk

exposure

to

defaults

of

corporate

and/or

sovereign

issuers

or

to

create

exposure

to

corporate

and/or

sovereign

issuers

to

which

a

fund

is

not

otherwise

exposed

(credit

risk).

The

Fund

may

either

buy

or

sell

(write)

credit

default

swaps

on

single-name

issuers

(corporate

or

sovereign),

a

combination

or

basket

of

single-name

issuers

or

traded

indexes.

Credit

default

swaps

are

agreements

in

which

the

protection

buyer

pays

fixed

periodic

payments

to

the

seller

in

consideration

for

a

promise

from

the

protection

seller

to

make

a

specific

payment

should

a

negative

credit

event

take

place

with

respect

to

the

referenced

entity

(e.g.,

bankruptcy,

failure

to

pay,

obligation

acceleration,

repudiation,

moratorium

or

restructuring).

As

a

buyer,

if

an

underlying

credit

event

occurs,

the

Fund

will

either

(i)

receive

from

the

seller

an

amount

equal

to

the

notional

amount

of

the

swap

and

deliver

the

referenced

security

or

underlying

securities

comprising

the

index,

or

(ii)

receive

a

net

settlement

of

cash

equal

to

the

notional

amount

of

the

swap

less

the

recovery

value

of

the

security

or

underlying

securities

comprising

the

index.

As

a

seller

(writer),

if

an

underlying

credit

event

occurs,

the

Notes

to

Financial

Statements

(unaudited)

(continued)

29

Notes

to

Financial

Statements

Fund

will

either

pay

the

buyer

an

amount

equal

to

the

notional

amount

of

the

swap

and

take

delivery

of

the

referenced

security

or

underlying

securities

comprising

the

index

or

pay

a

net

settlement

of

cash

equal

to

the

notional

amount

of

the

swap

less

the

recovery

value

of

the

security

or

underlying

securities

comprising

the

index.

Interest

rate

swaps

—

Interest

rate

swaps

are

entered

into

to

gain

or

reduce

exposure

to

interest

rates

or

to

manage

duration,

the

yield

curve

or

interest

rate

(interest

rate

risk).

Interest

rate

swaps

are

agreements

in

which

one

party

pays

a

stream

of

interest

payments,

either

fixed

or

floating,

in

exchange

for

another

party’s

stream

of

interest

payments,

either

fixed

or

floating,

on

the

same

notional

amount

for

a

specified

period

of

time.

In

more

complex

interest

rate

swaps,

the

notional

principal

amount

may

decline

(or

amortize)

over

time.

Swap

transactions

involve,

to

varying

degrees,

elements

of

interest

rate,

credit

and

market

risk

in

excess

of

the

amounts

recognized

in

the

Statement

of

Assets

and

Liabilities.

Such

risks

involve

the

possibility

that

there

will

be

no

liquid

market

for

these

agreements,

that

the

counterparty

to

the

agreements

may

default

on

its

obligation

to

perform

or

disagree

as

to

the

meaning

of

the

contractual

terms

in

the

agreements,

and

that

there

may

be

unfavorable

changes

in

interest

rates

and/or

market

values

associated

with

these

transactions.

Master

Netting

Arrangements:

In

order

to

define

its

contractual

rights

and

to

secure

rights

that

will

help

mitigate its

counterparty

risk,

a

Fund

may

enter

into

an

International

Swaps

and

Derivatives

Association,

Inc.

Master

Agreement

(“ISDA

Master

Agreement”)

or

similar

agreement

with

its

counterparties.

An

ISDA

Master

Agreement

is

a

bilateral

agreement

between a

Fund

and

a

counterparty

that

governs

certain

OTC

derivatives

and

typically

contains,

among

other

things,

collateral

posting

terms

and

netting

provisions

in

the

event

of

a

default

and/or

termination

event.

Under

an

ISDA

Master

Agreement, a

Fund

may,

under

certain

circumstances,

offset

with

the

counterparty

certain

derivative

financial

instruments’

payables

and/or

receivables

with

collateral

held

and/or

posted

and

create

one

single

net

payment.

The

provisions

of

the

ISDA

Master

Agreement

typically

permit

a

single

net

payment

in

the

event

of

default

including

the

bankruptcy

or

insolvency

of

the

counterparty.

However,

bankruptcy

or

insolvency

laws

of

a

particular

jurisdiction

may

impose

restrictions

on

or

prohibitions

against

the

right

of

offset

in

bankruptcy,

insolvency

or

other

events.

Collateral

Requirements:

For

derivatives

traded

under

an

ISDA

Master

Agreement,

the

collateral

requirements

are

typically

calculated

by

netting

the

mark-to-market

amount

for

each

transaction

under

such

agreement

and

comparing

that

amount

to

the

value

of

any

collateral

currently

pledged

by

the

Fund

and

the

counterparty.

Cash

collateral

that

has

been

pledged

to

cover

obligations

of

the

Fund

and

cash

collateral

received

from

the

counterparty,

if

any,

is

reported

separately

in

the

Statement

of

Assets

and

Liabilities

as

cash

pledged

as

collateral

and

cash

received

as

collateral,

respectively.

Non-cash

collateral

pledged

by

the

Fund,

if

any,

is

noted

in

the

Schedule

of

Investments.

Generally,

the

amount

of

collateral

due

from

or

to

a

counterparty

is

subject

to

a

certain

minimum

transfer

amount

threshold

before

a

transfer

is

required,

which

is

determined

at

the

close

of

business

of

the

Fund.

Any

additional

required

collateral

is

delivered

to/pledged

by

the

Fund

on

the

next

business

day.

Typically,

the

counterparty

is

not

permitted

to

sell,

re-pledge

or

use

cash

and

non-cash

collateral

it

receives.

The

Fund

generally

agrees

not

to

use

non-cash

collateral

that

it

receives

but

may,

absent

default

or

certain

other

circumstances

defined

in

the

underlying

ISDA

Master

Agreement,

be

permitted

to

use

cash

collateral

received.

In

such

cases,

interest

may

be

paid

pursuant

to

the

collateral

arrangement

with

the

counterparty.

To

the

extent

amounts

due

to

the

Fund

from

the

counterparties

are

not

fully

collateralized, the

Fund

bears

the

risk

of

loss

from

counterparty

non-performance.

Likewise,

to

the

extent

the

Fund

has

delivered

collateral

to

a

counterparty

and

stands

ready

to

perform

under

the

terms

of

its

agreement

with

such

counterparty, the

Fund

bears the

risk

of

loss

from

a

counterparty

in

the

amount

of

the

value

of

the

collateral

in

the

event

the

counterparty

fails

to

return

such

collateral.

Based

on

the

terms

of

agreements,

collateral

may

not

be

required

for

all

derivative

contracts.

For

financial

reporting

purposes,

the

Fund

does

not

offset

derivative

assets

and

derivative

liabilities

that

are

subject

to

netting

arrangements,

if

any,

in

the

Statement

of

Assets

and

Liabilities.

INVESTMENT

ADVISORY

AGREEMENT

AND

OTHER

TRANSACTIONS

WITH

AFFILIATES 

Investment

Advisory:

The

Trust,

on

behalf

of

the

Fund,

entered

into

an

Investment

Advisory

Agreement

with

the

Manager,

the

Fund’s

investment

adviser

and

an

indirect,

wholly-owned

subsidiary

of

BlackRock,

Inc.

(“BlackRock”),

to

provide

investment

advisory

and

administrative

services.

The

Manager

is

responsible

for

the

management

of the

Fund’s

portfolio

and

provides

the

personnel,

facilities,

equipment

and

certain

other

services

necessary

to

the

operations

of the

Fund.

For

such

services,

the

Fund

pays

the

Manager

a

monthly

fee

at

an

annual

rate

equal

to

the

following

percentages

of

the

average

daily

value

of

the

Fund’s

net

assets:

Service

and

Distribution

Fees:

 The

Trust

,

on behalf

of

the

Fund,

entered

into

a

Distribution

Agreement

and

a Distribution and

Service

Plan

with

BlackRock

Investments,

LLC

(“

BRIL”),

an

affiliate

of

the

Manager.

Pursuant

to

the

Distribution

and

Service

Plan

and

in

accordance

with

Rule

12b-1

under

the

1940

Act,

the

Fund

pays

BRIL

ongoing

service

and

distribution

fees.

The

fees

are

accrued

daily

and

paid

monthly

at

annual

rates

based

upon

the

average

daily

net

assets

of

the

relevant

share

class

of

the

Fund

as

follows:

BRIL

and

broker-dealers,

pursuant

to

sub-agreements

with

BRIL,

provide

shareholder

servicing

and

distribution

services to

the

Fund.

The

ongoing

service

and/or

distribution

fee compensates

BRIL

and

each

broker-dealer

for

providing

shareholder

servicing

and/or

distribution related

services

to

shareholders.

Average

Daily

Net

Assets

Investment

Advisory

Fees

First

$1

Billion

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

0.40%

$1

Billion

-

$3

Billion

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

0.38

$3

Billion

-

$5

Billion

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

0.36

$5

Billion

-

$10

Billion

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

0.35

Greater

than

$10

Billion

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

0.34

Service

Fees

Distribution

Fees

Investor

A

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

0.25‌%

—‌%

Investor

C

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

0.25‌

0.75‌

Notes

to

Financial

Statements

(unaudited)

(continued)

2020

BlackRock

Semi-Annual

Report

To

Shareholders

30

For

the six

months

ended

October

31,

2020,

the

following

table

shows

the

class

specific

service

and

distribution

fees

borne

directly

by

each

share

class

of

the

Fund:

Transfer

Agent:

Pursuant

to

written

agreements,

certain

financial

intermediaries,

some

of

which

may

be

affiliates,

provide

the

Fund

with

sub-accounting,

recordkeeping,

sub-

transfer

agency

and

other

administrative

services

with

respect

to

servicing

of

underlying

investor

accounts.

For

these

services,

these

entities

receive

an

asset-based

fee

or

an

annual

fee

per

shareholder

account,

which

will

vary

depending

on

share

class

and/or

net

assets.

For

the

six

months

ended

October

31,

2020

,

the

Fund

paid

the

following

amounts

to

affiliates

of

BlackRock

in

return

for

these

services,

which

are

included

in

transfer

agent

-

class

specific

in

the

Statement

of

Operations:

Other

Fees:

For

the 

six

months

ended 

October

31,

2020

,

affiliates

earned

underwriting

discounts,

direct

commissions

and

dealer

concessions

on

sales

of

the

Fund’s Investor

A

Shares of

$522

.

For

the six

months

ended

October

31,

2020,

affiliates

received

CDSCs

of $321

for

Investor

C

Shares.

Expense

Limitations,

Waivers,

and

Reimbursements:

The

Manager

contractually

agreed

to

waive

its

investment

advisory

fees

by

the

amount

of

investment

advisory

fees

the

Fund

pays

to

the

Manager

indirectly

through

its

investment

in

affiliated

money

market

funds

(the

“affiliated

money

market

fund

waiver”)

through

August

31,

2021.

The

contractual

agreement

may

be

terminated

upon

90

days’

notice

by

a

majority

of

the

Independent

Trustees,

or

by

a

vote

of

a

majority

of

the

outstanding

voting

securities

of

the

Fund.

The

amount

of

waivers

and/or

reimbursements

of

fees

and

expenses

made

pursuant

to

the

expense

limitation

described

below

will

be

reduced

by

the

amount

of

the

affiliated

money

market

fund

waiver.

Prior

to

August

28,

2020,

this

waiver

was

voluntary.

This

amount

is

included

in

fees

waived

and/or

reimbursed

by

the

Manager

in

the

Statement

of

Operations.

For

the

six

months

ended

October

31,

2020,

there

were

no

fees

waived

and/or

reimbursed

by

the

Manager

pursuant

to

this

agreement.

The

Manager

has

contractually

agreed

to

waive

its

investment

advisory

fee

with

respect

to

any

portion

of

the

Fund’s

assets

invested

in

affiliated

equity

and

fixed-income

mutual

funds

and

affiliated

exchange-traded

funds

that

have

a

contractual

management

fee

through

August 31,

2021.

The

contractual

agreement

may

be

terminated

upon

90

days’

notice

by

a

majority

of

the

Independent

Trustees,

or

by

a

vote

of

a

majority

of

the

outstanding

voting

securities

of

the

Fund.

For

the six

months

ended

October

31,

2020,

there

were

no

fees

waived

and/or

reimbursed

by

the

Manager

pursuant

to

this

arrangement.

The

Manager

contractually

agreed

to

waive

and/or

reimburse

fees

or

expenses

in

order

to

limit

expenses,

excluding

interest

expense,

dividend

expense,

tax

expense,

acquired

fund

fees

and

expenses,

and

certain

other

fund

expenses,

which

constitute

extraordinary

expenses

not

incurred

in

the

ordinary

course

of the

Fund’s

business

(“expense

limitation”).

The

expense

limitations

as

a

percentage

of

average

daily

net

assets

are

as

follows:

The

Manager

has

agreed

not

to

reduce

or

discontinue

these

contractual

expense

limitations

through

August

31,

2021,

unless

approved

by

the

Board,

including

a

majority

of

Independent

Trustees,

or

by

a

vote

of

a

majority

of

the

outstanding

voting

securities

of

the

Fund.

For

the

six

months

ended

October

31,

2020,

the

Manager

waived

and/or

reimbursed

$106,265,

which

is

included

in

fees

waived

and/or

reimbursed

by

the

Manager

in

the

Statement

of

Operations.

These

amounts

waived

and/or

reimbursed

are

included

in

transfer

agent

fees

waived

and/or

reimbursed

—

class

specific

in

the

Statement

of

Operations.

For

the

six

months

ended

October

31,

2020,

class

specific

expense

waivers

and/or

reimbursements

are

as

follows:

For

the

six

months

ended

October

31,

2020,

the

Fund

reimbursed

the

Manager

$1,659

for

certain

accounting

services,

which

is

included

in

accounting

services

in

the

Statement

of

Operations.

Interfund

Lending:

In

accordance

with

an

exemptive

order

(the

“Order”)

from

the

U.S.

Securities

and

Exchange

Commission

(“SEC”),

the

Fund

may

participate

in

a

joint

lending

and

borrowing

facility

for

temporary

purposes

(the

“

Interfund

Lending

Program”),

subject

to

compliance

with

the

terms

and

conditions

of

the

Order,

and

to

the

extent

permitted

by

the

Fund’s

investment

policies

and

restrictions.

The

Fund

is

currently

permitted

to

borrow

and

lend

under

the

Interfund

Lending

Program. 

Service

and

Distribution

Fees

Investor

A

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

$

30,712‌

Investor

C

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

30,786‌

$

61,498‌

Institutional

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

$

65,860‌

Investor

A

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

15,211‌

Investor

C

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

4,465‌

$

85,536‌

Institutional

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

0.45‌%

Investor

A

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

0.70‌

Investor

C

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

1.45‌

Transfer

Agent

Fees

Waived

and/or

Reimbursed

Institutional

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

$

64,080‌

Investor

A

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

15,033‌

Investor

C

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

4,430‌

$

83,543‌

Notes

to

Financial

Statements

(unaudited)

(continued)

31

Notes

to

Financial

Statements

A

lending

BlackRock

fund

may

lend

in

aggregate

up

to

15%

of

its

net

assets,

but

may

not

lend

more

than

5%

of

its

net

assets

to

any

one

borrowing

fund

through

the

Interfund

Lending

Program.

A

borrowing

BlackRock

fund

may

not

borrow

through

the

Interfund

Lending

Program

or

from

any

other

source

more

than

33

1/3%

of

its

total

assets

(or

any

lower

threshold

provided

for

by

the fund’s

investment

restrictions).

If

a

borrowing

BlackRock

fund’s

total

outstanding

borrowings

exceed

10%

of

its

total

assets,

each

of

its

outstanding

interfund

loans

will

be

subject

to

collateralization

of

at

least

102%

of

the

outstanding

principal

value

of

the

loan.

All

interfund

loans

are

for

temporary

or

emergency

purposes

and

the

interest

rate

to

be

charged

will

be

the

average

of

the

highest

current

overnight

repurchase

agreement

rate

available

to

a

lending

fund

and

the

bank

loan

rate,

as

calculated

according

to

a

formula

established

by

the

Board. 

During the

period

ended

October

31,

2020,

the

Fund

did

not

participate

in

the

Interfund

Lending

Program.

Trustees

and

Officers: 

Certain

trustees

and/or

officers

of

the Trust are directors and/or

officers

of BlackRock

or

its

affiliates.

The

Fund

reimburses

the

Manager

for

a

portion

of

the

compensation

paid

to

the 

Fund's

Chief

Compliance

Officer,

which

is

included

in

Trustees and

Officer

in

the

Statement

of

Operations. 

PURCHASES

AND

SALES 

For

the

six

months

ended

October

31,

2020,

purchases

and

sales

of

investments,

including

paydowns,

mortgage

dollar

rolls

and

excluding

short-term

investments,

were

as

follows:

For

the six

months

ended

October

31,

2020,

purchases

and

sales

related

to

mortgage

dollar

rolls

were

as

follows:

INCOME

TAX

INFORMATION 

It

is

the

Fund’s

policy

to

comply

with

the

requirements

of

the

Internal

Revenue

Code

of

1986,

as

amended,

applicable

to

regulated

investment

companies,

and

to

distribute

substantially

all

of

its

taxable

income

to

its

shareholders.

Therefore,

no

U.S.

federal

income

tax

provision

is

required. 

The

Fund

files

U.S.

federal

and

various

state

and

local

tax

returns.

No

income

tax

returns

are

currently

under

examination.

The

statute

of

limitations

on

the

Fund's

U.S.

federal

tax

returns

generally

remains

open

for

a

period

of

three

fiscal

years

after

they

are

filed.

The

statutes

of

limitations

on

the

Fund’s

state

and

local

tax

returns

may

remain

open

for

an

additional

year

depending

upon

the

jurisdiction. 

Management

has

analyzed

tax

laws

and

regulations

and

their

application

to

the Fund

as

of

October

31,

2020,

inclusive

of

the

open

tax

return

years,

and

does

not

believe

that

there

are

any

uncertain

tax

positions

that

require

recognition

of

a

tax

liability

in

the

Fund's

financial

statements.

As

of

April

30,

2020, the Fund

had

non-expiring

capital

loss

carryforward

available

to

offset

future

realized

capital

gains

of

$5,088,966. 

As

of

October

31,

2020, gross

unrealized

appreciation

and

depreciation

based

on

cost

of

investments

(including

short

positions

and

derivatives,

if

any)

for

U.S.

federal

income

tax

purposes

were

as

follows: 

BANK

BORROWINGS 

The

Trust,

on

behalf

of

the

Fund,

along

with

certain

other

funds

managed

by

the

Manager

and

its

affiliates

(“Participating

Funds”),

is

a

party

to

a

364-day,

$2.25

billion

credit

agreement

with

a

group

of

lenders.

Under

this

agreement,

the

Fund

may

borrow

to

fund

shareholder

redemptions.

Excluding

commitments

designated

for

certain

individual

funds,

the

Participating

Funds,

including

the

Fund,

can

borrow

up

to

an

aggregate

commitment

amount

of

$1.75

billion

at

any

time

outstanding,

subject

to

asset

coverage

and

other

limitations

as

specified

in

the

agreement.

The

credit

agreement

has

the

following

terms:

a

fee

of

0.10%

per

annum

on

unused

commitment

amounts

and

interest

at

a

rate

equal

to

the

higher

of

(a)

one-month

LIBOR

(but,

in

any

event,

not

less

than

0.00%)

on

the

date

the

loan

is

made

plus

0.80%

per

annum

or

(b)

the

Fed

Funds

rate

(but,

in

any

event,

not

less

than

0.00%)

in

effect

from

time

to

time

plus

0.80%

per

annum

on

amounts

borrowed.

The

agreement

expires

in

April

2021

unless

extended

or

renewed.

These

fees

were

allocated

among

such

funds

based

upon

portions

of

the

aggregate

commitment

available

to

them

and

relative

net

assets

of

Participating

Funds.

During

the

six

months ended

October

31,

2020,

the

Fund

did

not

borrow

under

the

credit

agreement.

Purchases

Sales

Non-U.S.

Government

Securities

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

$

1,696,894,820

$1,719,125,127

Purchases

and

Sales

—

MDRs

Purchases

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

$790,574,420

Sales

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

790,718,350

Tax

cost

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

$

409,877,241‌

Gross

unrealized

appreciation

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

$

11,251,969‌

Gross

unrealized

depreciation

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

(7,843,815‌)

Net

unrealized

appreciation

(depreciation)

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

$

3,408,154‌

Notes

to

Financial

Statements

(unaudited)

(continued)

2020

BlackRock

Semi-Annual

Report

To

Shareholders

32

 PRINCIPAL

RISKS 

In

the

normal

course

of

business,

the

Fund

invests

in

securities

or

other

instruments

and

may

enter

into

certain

transactions,

and

such

activities

subject

the

Fund

to

various

risks,

including

among

others,

fluctuations

in

the

market

(market

risk)

or

failure

of

an

issuer

to

meet

all

of

its

obligations.

The

value

of

securities

or

other

instruments

may

also

be

affected

by

various

factors,

including,

without

limitation:

(i)

the

general

economy;

(ii)

the

overall

market

as

well

as

local,

regional

or

global

political

and/or

social

instability;

(iii)

regulation,

taxation

or

international

tax

treaties

between

various

countries;

or

(iv)

currency,

interest

rate

and

price

fluctuations.

Local,

regional

or

global

events

such

as

war,

acts

of

terrorism,

the

spread

of

infectious

illness

or

other

public

health

issues,

recessions,

or

other

events

could

have

a

significant

impact

on

the

Fund

and its

investments.

The

Fund’s

prospectus

provides

details

of

the

risks

to

which

the

Fund

is

subject. 

Market

Risk

:

The

Fund

may

be

exposed

to

prepayment

risk,

which

is

the

risk

that

borrowers

may

exercise

their

option

to

prepay

principal

earlier

than

scheduled

during

periods

of

declining

interest

rates,

which

would

force

the

Fund

to

reinvest

in

lower

yielding

securities. The

Fund

may

also

be

exposed

to

reinvestment

risk,

which

is

the

risk

that

income

from

the

Fund’s

portfolio

will

decline

if

the Fund

invests

the

proceeds

from

matured,

traded

or

called

fixed-income

securities

at

market

interest

rates

that

are

below

the

Fund

portfolio’s

current

earnings

rate.

An

outbreak

of

respiratory

disease

caused

by

a

novel

coronavirus

has

developed

into

a

global

pandemic

and

has

resulted

in

closing

borders,

quarantines,

disruptions

to

supply

chains

and

customer

activity,

as

well

as

general

concern

and

uncertainty.

The

impact

of

this

pandemic,

and

other

global

health

crises

that

may

arise

in

the

future,

could

affect

the

economies

of

many

nations,

individual

companies

and

the

market

in

general

in

ways

that

cannot

necessarily

be

foreseen

at

the

present

time.

This

pandemic

may

result

in

substantial

market

volatility

and

may

adversely

impact

the

prices

and

liquidity

of

a

fund's

investments.

The duration

of

this

pandemic

and

its

effects

cannot

be

determined

with

certainty.

Valuation

Risk:

The

price the

Fund

could

receive

upon

the

sale

of

any

particular

portfolio

investment

may

differ

from the

Fund’s

valuation

of

the

investment,

particularly

for

securities

that

trade

in

thin

or

volatile

markets

or

that

are

valued

using

a

fair

valuation

technique

or

a

price

provided

by

an

independent

pricing

service.

Changes

to

significant

unobservable

inputs

and

assumptions

(i.e.,

publicly

traded

company

multiples,

growth

rate,

time

to

exit)

due

to

the

lack

of

observable

inputs

may

significantly

impact

the

resulting

fair

value

and

therefore

the

Fund’s

results

of

operations.

As

a

result,

the

price

received

upon

the

sale

of

an

investment

may

be

less

than

the

value

ascribed

by the

Fund,

and the

Fund

could

realize

a

greater

than

expected

loss

or

lesser

than

expected

gain

upon

the

sale

of

the

investment. The

Fund’s

ability

to

value

its

investments

may

also

be

impacted

by

technological

issues

and/or

errors

by

pricing

services

or

other

third

party

service

providers. 

Counterparty

Credit

Risk:

The

Fund

may

be

exposed

to

counterparty

credit

risk,

or

the

risk

that

an

entity

may

fail

to

or

be

unable

to

perform

on

its

commitments

related

to

unsettled

or

open

transactions,

including

making

timely

interest

and/or

principal

payments

or

otherwise

honoring

its

obligations.

The

Fund

manages

counterparty

credit

risk

by

entering

into

transactions

only

with

counterparties

that

the

Manager

believes

have

the

financial

resources

to

honor

their

obligations

and

by

monitoring

the

financial

stability

of

those

counterparties.

Financial

assets,

which

potentially

expose

the

Fund

to

market,

issuer

and

counterparty

credit

risks,

consist

principally

of

financial

instruments

and

receivables

due

from

counterparties.

The

extent

of

the

Fund’s

exposure

to

market,

issuer

and

counterparty

credit

risks

with

respect

to

these

financial

assets

is

approximately

their

value

recorded

in

the

Statement

of

Assets

and

Liabilities,

less

any

collateral

held

by

the

Fund. 

A

derivative

contract

may

suffer

a

mark-to-market

loss

if

the

value

of

the

contract

decreases

due

to

an

unfavorable

change

in

the

market

rates

or

values

of

the

underlying

instrument.

Losses

can

also

occur

if

the

counterparty

does

not

perform

under

the

contract.

For

OTC

options

purchased,

the

Fund

bears

the

risk

of

loss

in

the

amount

of

the

premiums

paid

plus

the

positive

change

in

market

values

net

of

any

collateral

held

by

the

Fund

should

the

counterparty

fail

to

perform

under

the

contracts.

Options

written

by

the

Fund

do

not

typically

give

rise

to

counterparty

credit

risk,

as

options

written

generally

obligate

the

Fund,

and

not

the

counterparty,

to

perform.

The

Fund

may

be

exposed

to

counterparty

credit

risk

with

respect

to

options

written

to

the

extent

the

Fund

deposits

collateral

with

its

counterparty

to

a

written

option. 

With

exchange-traded

options

purchased,

futures

and

centrally

cleared

swaps,

there

is

less

counterparty

credit

risk

to

the

Fund

since

the

exchange

or

clearinghouse,

as

counterparty

to

such

instruments,

guarantees

against

a

possible

default.

The

clearinghouse

stands

between

the

buyer

and

the

seller

of

the

contract;

therefore,

credit

risk

is

limited

to

failure

of

the

clearinghouse.

While

offset

rights

may

exist

under

applicable

law, the

Fund

does

not

have

a

contractual

right

of

offset

against

a

clearing

broker

or

clearinghouse

in

the

event

of

a

default

(including

the

bankruptcy

or

insolvency).

Additionally,

credit

risk

exists

in exchange-traded

futures

and

centrally

cleared

swaps

with

respect

to

initial

and

variation

margin

that

is

held

in

a

clearing

broker’s

customer

accounts.

While

clearing

brokers

are

required

to

segregate

customer

margin

from

their

own

assets,

in

the

event

that

a

clearing

broker

becomes

insolvent

or

goes

into

bankruptcy

and

at

that

time

there

is

a

shortfall

in

the

aggregate

amount

of

margin

held

by

the

clearing

broker

for

all

its

clients,

typically

the

shortfall

would

be

allocated

on

a

pro

rata

basis

across

all

the

clearing

broker’s

customers,

potentially

resulting

in

losses

to

the

Fund. 

Concentration

Risk:

A

diversified

portfolio,

where

this

is

appropriate

and

consistent

with

a

fund’s

objectives,

minimizes

the

risk

that

a

price

change

of

a

particular

investment

will

have

a

material

impact

on

the

NAV

of

a

fund.

The

investment

concentrations

within

the

Fund’s

portfolio

are

disclosed

in

its

Schedule

of

Investments.

The

Fund

invests

a

significant

portion

of

its

assets

in

high

yield

securities.

High

yield

securities

that

are

rated

below

investment-grade

(commonly

referred

to

as

“junk

bonds”)

or

are

unrated

may

be

deemed

speculative,

involve

greater

levels

of

risk

than

higher-rated

securities

of

similar

maturity

and

are

more

likely

to

default.

High

yield

securities

may

be

issued

by

less

creditworthy

issuers,

and

issuers

of

high

yield

securities

may

be

unable

to

meet

their

interest

or

principal

payment

obligations.

High

yield

securities

are

subject

to

extreme

price

fluctuations,

may

be

less

liquid

than

higher

rated

fixed-income

securities,

even

under

normal

economic

conditions,

and

frequently

have

redemption

features.

The

Fund

invests

a

significant

portion

of

its

assets

in fixed-income securities and/or uses

derivatives tied

to

the

fixed-income

markets.

Changes

in

market

interest

rates

or

economic

conditions

may affect

the

value

and/or

liquidity

of

such investments.

Interest

rate

risk

is

the

risk

that

prices

of

bonds

and

other

fixed-income

securities

will

increase

as

interest

rates

fall

and

decrease

as

interest

rates

rise.

The

Fund

may

be

subject

to

a

greater

risk

of

rising

interest

rates

due

to

the

current

period

of

historically

low

rates. 

The

Fund

invests

a

significant

portion

of

its

assets

in

securities

backed

by

commercial

or

residential

mortgage

loans

or

in

issuers

that

hold

mortgage

and

other

asset-backed

securities.

When

a

Fund

concentrates

its

investments

in

this

manner,

it

assumes

a

greater

risk

of

prepayment

or

payment

extension

by

securities

issuers. Changes

in

Notes

to

Financial

Statements

(unaudited)

(continued)

33

Notes

to

Financial

Statements

economic

conditions,

including

delinquencies

and/or

defaults

on

assets

underlying

these

securities,

can

affect

the

value,

income

and/or

liquidity

of

such

positions.

Investment

percentages

in

these

securities

are

presented

in

the

Schedule

of

Investments.

LIBOR

Transition

Risk:

The

United

Kingdom’s

Financial

Conduct

Authority

announced

a phase

out of

the

London

Interbank

Offered

Rate

(“LIBOR”)

by

the

end

of

2021,

and

it

is

expected

that

LIBOR

will

cease

to

be

published

after

that

time. The

Fund

may

be

exposed

to

financial

instruments

tied

to

LIBOR

to

determine

payment

obligations,

financing

terms,

hedging

strategies

or

investment

value.

The

transition

process

away

from

LIBOR

might

lead

to

increased

volatility

and

illiquidity

in

markets

for,

and

reduce

the

effectiveness

of

new

hedges

placed

against,

instruments

whose

terms

currently

include

LIBOR.

The

ultimate

effect

of

the

LIBOR

transition

process

on

the

Fund

is

uncertain. 

CAPITAL

SHARE

TRANSACTIONS 

Transactions

in

capital

shares

for

each

class

were

as

follows:

SUBSEQUENT

EVENTS 

Management

has

evaluated

the

impact

of

all

subsequent

events

on

the

Fund

through

the

date

the

financial

statements

were

issued

and

has

determined

that

there

were

no

subsequent

events

requiring

adjustment

or

additional

disclosure

in

the

financial

statements.

Six

Months

Ended

10/31/20

Year

Ended

04/30/20

Shares

Amount

Shares

Amount

Institutional

Shares

sold

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

7,051,423‌

$

72,602,223‌

11,251,329‌

$

114,733,546‌

Shares

issued

in

reinvestment

of

distributions

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

290,407‌

2,987,038‌

584,287‌

5,957,480‌

Shares

redeemed

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

(4,967,699‌)

(50,884,746‌)

(10,909,934‌)

(110,959,706‌)

Net

increase

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

2,374,131‌

$

24,704,515‌

925,682‌

$

9,731,320‌

Investor

A

Shares

sold

and

automatic

conversion

of

shares

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

730,720‌

$

7,471,467‌

480,985‌

$

4,898,896‌

Shares

issued

in

reinvestment

of

distributions

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

36,468‌

374,445‌

76,128‌

774,643‌

Shares

redeemed

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

(614,314‌)

(6,296,560‌)

(1,028,474‌)

(10,362,770‌)

Net

increase

(decrease)

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

152,874‌

$

1,549,352‌

(471,361‌)

$

(4,689,231‌)

Investor

C

Shares

sold

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

11,543‌

$

117,991‌

81,769‌

$

834,019‌

Shares

issued

in

reinvestment

of

distributions

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

7,259‌

74,501‌

15,367‌

156,349‌

Shares

redeemed

and

automatic

conversion

of

shares

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

(77,273‌)

(792,557‌)

(251,237‌)

(2,548,852‌)

Net

decrease

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

(58,471‌)

$

(600,065‌)

(154,101‌)

$

(1,558,484‌)

Total

Net

Increase

2,468,534‌

$

25,653,802‌

300,220‌

$

3,483,605‌

Disclosure

of

Investment

Advisory

Agreement

2020

BlackRock

Semi-Annual

Report

To

Shareholders

34

The

Board

of

Trustees

(the

“Board,”

the

members

of

which

are

referred

to

as

“Board

Members”)

of

Managed

Account

Series

II

(the

“Trust”)

met

on

April

16,

2020

(the

“April

Meeting”)

and

May

20-21,

2020

(the

“May

Meeting”)

to

consider

the

approval

of

the

investment

advisory

agreement

(the

“Advisory

Agreement”

or

the

“Agreement”)

between

the

Trust,

on

behalf

of

BlackRock

U.S.

Mortgage

Portfolio

(the

“Fund”),

and

BlackRock

Advisors,

LLC

(the

“Manager”

or

“BlackRock”),

the

Fund’s

investment

advisor.

Activities

and

Composition

of

the

Board

On

the

date

of

the

May

Meeting,

the

Board

consisted

of

ten

individuals,

eight

of

whom

were

not

“interested

persons”

of

the

Trust

as

defined

in

the

Investment

Company

Act

of

1940,

as

amended

(the

“1940

Act”)

(the

“Independent

Board

Members”).

The

Board

Members

are

responsible

for

the

oversight

of

the

operations

of

the

Fund

and

perform

the

various

duties

imposed

on

the

directors

of

investment

companies

by

the

1940

Act.

The

Independent

Board

Members

have

retained

independent

legal

counsel

to

assist

them

in

connection

with

their

duties.

The

Co-Chairs

of

the

Board

are

Independent

Board

Members.

The

Board

has

established

five

standing

committees:

an

Audit

Committee,

a

Governance

and

Nominating

Committee,

a

Compliance

Committee,

a

Performance

Oversight

Committee

and

an

Executive

Committee,

each

of

which

is

chaired

by

an

Independent

Board

Member

and

composed

of

Independent

Board

Members

(except

for

the

Executive

Committee,

which

also

has

one

interested

Board

Member).

The

Agreement

Consistent

with

the

requirements

of

the

1940

Act,

the

Board

considers

the

continuation

of

the

Agreement

on

an

annual

basis.

The

Board

has

four

quarterly

meetings

per

year,

each

typically

extending

for

two

days,

and

additional

in-person

and

telephonic

meetings

throughout

the

year,

as

needed.

While

the

Board

also

has

a

fifth

one-day

meeting

to

consider

specific

information

surrounding

the

renewal

of

the

Agreement,

the

Board’s

consideration

entails

a

year-long

deliberative

process

whereby

the

Board

and

its

committees

assess

BlackRock’s

services

to

the

Fund.

In

particular,

the

Board

assessed,

among

other

things,

the

nature,

extent

and

quality

of

the

services

provided

to

the

Fund

by

BlackRock,

BlackRock’s

personnel

and

affiliates,

including

(as

applicable):

investment

management

services;

accounting

oversight;

administrative

and

shareholder

services;

oversight

of

the

Fund’s

service

providers;

risk

management

and

oversight;

and

legal,

regulatory

and

compliance

services.

Throughout

the

year,

including

during

the

contract

renewal

process,

the

Independent

Board

Members

were

advised

by

independent

legal

counsel,

and

met

with

independent

legal

counsel

in

various

executive

sessions

outside

of

the

presence

of

BlackRock’s

management.

During

the

year,

the

Board,

acting

directly

and

through

its

committees,

considers

information

that

is

relevant

to

its

annual

consideration

of

the

renewal

of

the

Agreement,

including

the

services

and

support

provided

by

BlackRock

to

the

Fund

and

its

shareholders.

BlackRock

also

furnished

additional

information

to

the

Board

in

response

to

specific

questions

from

the

Board.

This

additional

information

is

discussed

further

in

the

section

titled

“Board

Considerations

in

Approving

the

Agreement.”

Among

the

matters

the

Board

considered

were:

(a)

investment

performance

for

one-year,

three-year,

five-year,

and/or

since

inception

periods,

as

applicable,

against

peer

funds,

applicable

benchmarks,

and

other

performance

metrics,

as

applicable,

as

well

as

BlackRock

senior

management’s

and

portfolio

managers’

analyses

of

the

reasons

for

any

outperformance

or

underperformance

relative

to

its

peers,

benchmarks,

and

other

performance

metrics,

as

applicable;

(b)

fees,

including

advisory,

administration,

if

applicable,

and

other

amounts

paid

to

BlackRock

and

its

affiliates

by

the

Fund

for

services;

(c)

Fund

operating

expenses

and

how

BlackRock

allocates

expenses

to

the

Fund;

(d)

the

resources

devoted

to,

risk

oversight

of,

and

compliance

reports

relating

to,

implementation

of

the

Fund’s

investment

objective,

policies

and

restrictions,

and

meeting

regulatory

requirements;

(e)

BlackRock’s

and

the

Fund’s

adherence

to

applicable

compliance

policies

and

procedures;

(f)

the

nature,

character

and

scope

of

non-investment

management

services

provided

by

BlackRock

and

its

affiliates

and

the

estimated

cost

of

such

services;

(g)

BlackRock’s

and

other

service

providers’

internal

controls

and

risk

and

compliance

oversight

mechanisms;

(h)

BlackRock’s

implementation

of

the

proxy

voting

policies

approved

by

the

Board;

(i)

execution

quality

of

portfolio

transactions;

(j)

BlackRock’s

implementation

of

the

Fund’s

valuation

and

liquidity

procedures;

(k)

an

analysis

of

management

fees

for

products

with

similar

investment

mandates

across

the

open-end

fund,

exchange-traded

fund

(“ETF”),

closed-end

fund,

sub-advised

mutual

fund,

separately

managed

account,

collective

investment

trust,

and

institutional

separate

account

product

channels,

as

applicable,

and

the

similarities

and

differences

between

these

products

and

the

services

provided

as

compared

to

the

Fund;

(l)

BlackRock’s

compensation

methodology

for

its

investment

professionals

and

the

incentives

and

accountability

it

creates,

along

with

investment

professionals’

investments

in

the

fund(s)

they

manage;

and

(m)

periodic

updates

on

BlackRock’s

business.

Board

Considerations

in

Approving

the

Agreement

The

Approval

Process:

Prior

to

the

April

Meeting,

the

Board

requested

and

received

materials

specifically

relating

to

the

Agreement.

The

Independent

Board

Members

are

continuously

engaged

in

a

process

with

their

independent

legal

counsel

and

BlackRock

to

review

the

nature

and

scope

of

the

information

provided

to

the

Board

to

better

assist

its

deliberations.

The

materials

provided

in

connection

with

the

April

Meeting

included,

among

other

things:

(a)

information

independently

compiled

and

prepared

by

Broadridge

Financial

Solutions,

Inc.

(“Broadridge”),

based

on

either

a

Lipper

classification

or

Morningstar

category,

regarding

the

Fund’s

fees

and

expenses

as

compared

with

a

peer

group

of

funds

as

determined

by

Broadridge

(“Expense

Peers”)

and

the

investment

performance

of

the

Fund

as

compared

with

a

peer

group

of

funds

(“Performance

Peers”);

(b)

information

on

the

composition

of

the

Expense

Peers

and

Performance

Peers

and

a

description

of

Broadridge’s

methodology;

(c)

information

on

the

estimated

profits

realized

by

BlackRock

and

its

affiliates

pursuant

to

the

Agreement

and

a

discussion

of

fall-out

benefits

to

BlackRock

and

its

affiliates;

(d)

a

general

analysis

provided

by

BlackRock

concerning

investment

management

fees

received

in

connection

with

other

types

of

investment

products,

such

as

institutional

accounts,

sub-advised

mutual

funds,

ETFs,

closed-end

funds,

open-end

funds,

and

separately

managed

accounts,

under

similar

investment

mandates,

as

well

as

the

performance

of

such

other

products,

as

applicable;

(e)

a

review

of

non-management

fees;

(f)

the

existence,

impact

and

sharing

of

potential

economies

of

scale,

if

any,

with

the

Fund;

(g)

a

summary

of

aggregate

amounts

paid

by

the

Fund

to

BlackRock;

(h)

sales

and

redemption

data

regarding

the

Fund’s

shares;

and

(i)

various

additional

information

requested

by

the

Board

as

appropriate

regarding

BlackRock’s

and

the

Fund’s

operations.

At

the

April

Meeting,

the

Board

reviewed

materials

relating

to

its

consideration

of

the

Agreement.

As

a

result

of

the

discussions

that

occurred

during

the

April

Meeting,

and

as

a

culmination

of

the

Board’s

year-long

deliberative

process,

the

Board

presented

BlackRock

with

questions

and

requests

for

additional

information.

BlackRock

responded

to

these

questions

and

requests

with

additional

written

information

in

advance

of

the

May

Meeting.

Topics

covered

included:

(a)

the

methodology

for

measuring

estimated

fund

profitability;

(b)

economies

of

scale;

(c)

fund

expenses

and

potential

fee

waivers;

and

(d)

differences

in

services

provided

and

management

fees

between

open-end

funds

and

other

product

channels.

At

the

May

Meeting,

the

Board

concluded

its

assessment

of,

among

other

things:

(a)

the

nature,

extent

and

quality

of

the

services

provided

by

BlackRock;

(b)

the

investment

performance

of

the

Fund

as

compared

to

its

Performance

Peers

and

to

other

metrics,

as

applicable;

(c)

the

advisory

fee

and

the

estimated

cost

of

the

services

and

estimated

profits

realized

by

BlackRock

and

its

affiliates

from

their

relationship

with

the

Fund;

(d)

the

Fund’s

fees

and

expenses

compared

to

its

Expense

Peers;

(e)

the

existence

and

Disclosure

of

Investment

Advisory

Agreement

(continued)

35

Disclosure

of

Investment

Advisory

Agreement

sharing

of

potential

economies

of

scale;

(f)

any

fall-out

benefits

to

BlackRock

and

its

affiliates

as

a

result

of

BlackRock’s

relationship

with

the

Fund;

and

(g)

other

factors

deemed

relevant

by

the

Board

Members.

The

Board

also

considered

other

matters

it

deemed

important

to

the

approval

process,

such

as

other

payments

made

to

BlackRock

or

its

affiliates

relating

to

securities

lending

and

cash

management,

and

BlackRock’s

services

related

to

the

valuation

and

pricing

of

Fund

portfolio

holdings.

The

Board

noted

the

willingness

of

BlackRock’s

personnel

to

engage

in

open,

candid

discussions

with

the

Board.

The

Board

did

not

identify

any

particular

information

as

determinative,

and

each

Board

Member

may

have

attributed

different

weights

to

the

various

items

considered.

A.

Nature,

Extent

and

Quality

of

the

Services

Provided

by

BlackRock:

The

Board,

including

the

Independent

Board

Members,

reviewed

the

nature,

extent

and

quality

of

services

provided

by

BlackRock,

including

the

investment

advisory

services,

and

the

resulting

performance

of

the

Fund.

Throughout

the

year,

the

Board

compared

Fund

performance

to

the

performance

of

a

comparable

group

of

mutual

funds,

relevant

benchmarks,

and

performance

metrics,

as

applicable.

The

Board

met

with

BlackRock’s

senior

management

personnel

responsible

for

investment

activities,

including

the

senior

investment

officers.

The

Board

also

reviewed

the

materials

provided

by

the

Fund’s

portfolio

management

team

discussing

the

Fund’s

performance,

investment

strategies

and

outlook.

The

Board

considered,

among

other

factors,

with

respect

to

BlackRock:

the

number,

education

and

experience

of

investment

personnel

generally

and

the

Fund’s

portfolio

management

team;

research

capabilities;

investments

by

portfolio

managers

in

the

funds

they

manage;

portfolio

trading

capabilities;

use

of

technology;

commitment

to

compliance;

credit

analysis

capabilities;

risk

analysis

and

oversight

capabilities;

and

the

approach

to

training

and

retaining

portfolio

managers

and

other

research,

advisory

and

management

personnel.

The

Board

also

considered

BlackRock’s

overall

risk

management

program,

including

the

continued

efforts

of

BlackRock

and

its

affiliates

to

address

cybersecurity

risks

and

the

role

of

BlackRock’s

Risk

&

Quantitative

Analysis

Group.

The

Board

engaged

in

a

review

of

BlackRock’s

compensation

structure

with

respect

to

the

Fund’s

portfolio

management

team

and

BlackRock’s

ability

to

attract

and

retain

high-quality

talent

and

create

performance

incentives.

In

addition

to

investment

advisory

services,

the

Board

considered

the

nature

and

quality

of

the

administrative

and

other

non-investment

advisory

services

provided

to

the

Fund.

BlackRock

and

its

affiliates

provide

the

Fund

with

certain

administrative,

shareholder

and

other

services

(in

addition

to

any

such

services

provided

to

the

Fund

by

third-parties)

and

officers

and

other

personnel

as

are

necessary

for

the

operations

of

the

Fund.

In

particular,

BlackRock

and

its

affiliates

provide

the

Fund

with

administrative

services

including,

among

others:

(i)

responsibility

for

disclosure

documents,

such

as

the

prospectus,

the

summary

prospectus

(as

applicable),

the

statement

of

additional

information

and

periodic

shareholder

reports;

(ii)

oversight

of

daily

accounting

and

pricing;

(iii)

responsibility

for

periodic

filings

with

regulators;

(iv)

overseeing

and

coordinating

the

activities

of

third-party

service

providers

including,

among

others,

the

Fund’s

custodian,

fund

accountant,

transfer

agent,

and

auditor;

(v)

organizing

Board

meetings

and

preparing

the

materials

for

such

Board

meetings;

(vi)

providing

legal

and

compliance

support;

(vii)

furnishing

analytical

and

other

support

to

assist

the

Board

in

its

consideration

of

strategic

issues

such

as

the

merger,

consolidation

or

repurposing

of

certain

open-end

funds;

and

(viii)

performing

or

managing

administrative

functions

necessary

for

the

operation

of

the

Fund,

such

as

tax

reporting,

expense

management,

fulfilling

regulatory

filing

requirements,

overseeing

the

Fund’s

distribution

partners,

and

shareholder

call

center

and

other

services.

The

Board

reviewed

the

structure

and

duties

of

BlackRock’s

fund

administration,

shareholder

services,

and

legal

&

compliance

departments

and

considered

BlackRock’s

policies

and

procedures

for

assuring

compliance

with

applicable

laws

and

regulations.

B.

The

Investment

Performance

of

the

Fund

and

BlackRock:

The

Board,

including

the

Independent

Board

Members,

also

reviewed

and

considered

the

performance

history

of

the

Fund.

In

preparation

for

the

April

Meeting,

the

Board

was

provided

with

reports

independently

prepared

by

Broadridge,

which

included

an

analysis

of

the

Fund’s

performance

as

of

December

31,

2019,

as

compared

to

its

Performance

Peers.

Broadridge

ranks

funds

in

quartiles,

ranging

from

first

to

fourth,

where

first

is

the

most

desirable

quartile

position

and

fourth

is

the

least

desirable.

In

connection

with

its

review,

the

Board

received

and

reviewed

information

regarding

the

investment

performance

of

the

Fund

as

compared

to

its

Performance

Peers.

The

Board

and

its

Performance

Oversight

Committee

regularly

review

and

meet

with

Fund

management

to

discuss

the

performance

of

the

Fund

throughout

the

year.

In

evaluating

performance,

the

Board

focused

particular

attention

on

funds

with

less

favorable

performance

records.

The

Board

also

noted

that

while

it

found

the

data

provided

by

Broadridge

generally

useful,

it

recognized

the

limitations

of

such

data,

including

in

particular,

that

notable

differences

may

exist

between

a

fund

and

its

Performance

Peers

(for

example,

the

investment

objectives

and

strategies).

Further,

the

Board

recognized

that

the

performance

data

reflects

a

snapshot

of

a

period

as

of

a

particular

date

and

that

selecting

a

different

performance

period

could

produce

significantly

different

results.

The

Board

also

acknowledged

that

long-term

performance

could

be

impacted

by

even

one

period

of

significant

outperformance

or

underperformance,

and

that

a

single

investment

theme

could

have

the

ability

to

disproportionately

affect

long-term

performance.

The

Board

noted

that

for

the

one-,

three-

and

five-year

periods

reported,

the

Fund

ranked

in

the

fourth,

third,

and

second

quartiles,

respectively,

against

its

Performance

Peers.

The

Board

and

BlackRock

reviewed

the

Fund’s

underperformance

relative

to

its

Performance

Peers

during

the

applicable

periods.

C.

Consideration

of

the

Advisory/Management

Fees

and

the

Estimated

Cost

of

the

Services

and

Estimated

Profits

Realized

by

BlackRock

and

its

Affiliates

from

their

Relationship

with

the

Fund:

The

Board,

including

the

Independent

Board

Members,

reviewed

the

Fund’s

contractual

management

fee

rate

compared

with

those

of

its

Expense

Peers.

The

contractual

management

fee

rate

represents

a

combination

of

the

advisory

fee

and

any

administrative

fees,

before

taking

into

account

any

reimbursements

or

fee

waivers.

The

Board

also

compared

the

Fund’s

total

expense

ratio,

as

well

as

its

actual

management

fee

rate,

to

those

of

its

Expense

Peers.

The

total

expense

ratio

represents

a

fund’s

total

net

operating

expenses,

including

any

12b-1

or

non-12b-1

service

fees.

The

total

expense

ratio

gives

effect

to

any

expense

reimbursements

or

fee

waivers,

and

the

actual

management

fee

rate

gives

effect

to

any

management

fee

reimbursements

or

waivers.

The

Board

considered

the

services

provided

and

the

fees

charged

by

BlackRock

and

its

affiliates

to

other

types

of

clients

with

similar

investment

mandates,

as

applicable,

including

institutional

accounts

and

sub-advised

mutual

funds

(including

mutual

funds

sponsored

by

third

parties).

The

Board

received

and

reviewed

statements

relating

to

BlackRock’s

financial

condition.

The

Board

reviewed

BlackRock’s

profitability

methodology

and

was

also

provided

with

an

estimated

profitability

analysis

that

detailed

the

revenues

earned

and

the

expenses

incurred

by

BlackRock

for

services

provided

to

the

Fund.

The

Board

reviewed

BlackRock’s

estimated

profitability

with

respect

to

the

Fund

and

other

funds

the

Board

currently

oversees

for

the

year

ended

December

31,

2019

compared

to

available

aggregate

estimated

profitability

data

provided

for

the

prior

two

years.

The

Board

reviewed

BlackRock’s

estimated

profitability

with

respect

to

certain

other

U.S.

fund

complexes

managed

by

the

Manager

and/or

its

affiliates.

The

Board

reviewed

BlackRock’s

assumptions

and

methodology

of

allocating

expenses

in

the

estimated

profitability

analysis,

noting

the

inherent

limitations

in

allocating

costs

among

various

advisory

products.

The

Board

recognized

that

profitability

may

be

affected

by

numerous

factors

Disclosure

of

Investment

Advisory

Agreement

(continued)

2020

BlackRock

Semi-Annual

Report

To

Shareholders

36

including,

among

other

things,

fee

waivers

and

expense

reimbursements

by

the

Manager,

the

types

of

funds

managed,

precision

of

expense

allocations

and

business

mix.

The

Board

thus

recognized

that

calculating

and

comparing

profitability

at

the

individual

fund

level

is

difficult.

The

Board

noted

that,

in

general,

individual

fund

or

product

line

profitability

of

other

advisors

is

not

publicly

available.

The

Board

reviewed

BlackRock’s

overall

operating

margin,

in

general,

compared

to

that

of

certain

other

publicly

traded

asset

management

firms.

The

Board

considered

the

differences

between

BlackRock

and

these

other

firms,

including

the

contribution

of

technology

at

BlackRock,

BlackRock’s

expense

management,

and

the

relative

product

mix.

The

Board

considered

whether

BlackRock

has

the

financial

resources

necessary

to

attract

and

retain

high

quality

investment

management

personnel

to

perform

its

obligations

under

the

Agreement

and

to

continue

to

provide

the

high

quality

of

services

that

is

expected

by

the

Board.

The

Board

further

considered

factors

including

but

not

limited

to

BlackRock’s

commitment

of

time,

assumption

of

risk,

and

liability

profile

in

servicing

the

Fund,

including

in

contrast

to

what

is

required

of

BlackRock

with

respect

to

other

products

with

similar

investment

mandates

across

the

open-end

fund,

ETF,

closed-end

fund,

sub-advised

mutual

fund,

separately

managed

account,

collective

investment

trust,

and

institutional

separate

account

product

channels,

as

applicable.

The

Board

noted

that

the

Fund’s

contractual

management

fee

rate

ranked

in

the

second

quartile,

and

that

the

actual

management

fee

rate

and

total

expense

ratio

ranked

in

the

third

and

second

quartiles,

respectively,

relative

to

the

Fund’s

Expense

Peers.

The

Board

also

noted

that

the

Fund

has

an

advisory

fee

arrangement

that

includes

breakpoints

that

adjust

the

fee

rate

downward

as

the

size

of

the

Fund

increases

above

certain

contractually

specified

levels.

The

Board

noted

that

if

the

size

of

the

Fund

were

to

decrease,

the

Fund

could

lose

the

benefit

of

one

or

more

breakpoints.

The

Board

further

noted

that

BlackRock

and

the

Board

have

contractually

agreed

to

a

cap

on

the

Fund’s

total

expenses

as

a

percentage

of

the

Fund’s

average

daily

net

assets

on

a

class-by-class

basis.

D.

Economies

of

Scale:

The

Board,

including

the

Independent

Board

Members,

considered

the

extent

to

which

economies

of

scale

might

be

realized

as

the

assets

of

the

Fund

increase,

including

the

existence

of

fee

waivers

and/or

expense

caps,

as

applicable,

noting

that

any

contractual

fee

waivers

and

contractual

expense

caps

had

been

approved

by

the

Board.

In

its

consideration,

the

Board

further

considered

the

continuation

and/or

implementation

of

fee

waivers

and/or

expense

caps,

as

applicable.

The

Board

also

considered

the

extent

to

which

the

Fund

benefits

from

such

economies

of

scale

in

a

variety

of

ways,

and

whether

there

should

be

changes

in

the

advisory

fee

rate

or

breakpoint

structure

in

order

to

enable

the

Fund

to

more

fully

participate

in

these

economies

of

scale.

The

Board

considered

the

Fund’s

asset

levels

and

whether

the

current

fee

schedule

was

appropriate.

E.

Other

Factors

Deemed

Relevant

by

the

Board

Members:

The

Board,

including

the

Independent

Board

Members,

also

took

into

account

other

ancillary

or

“fall-out”

benefits

that

BlackRock

or

its

affiliates

may

derive

from

BlackRock’s

respective

relationships

with

the

Fund,

both

tangible

and

intangible,

such

as

BlackRock’s

ability

to

leverage

its

investment

professionals

who

manage

other

portfolios

and

its

risk

management

personnel,

an

increase

in

BlackRock’s

profile

in

the

investment

advisory

community,

and

the

engagement

of

BlackRock’s

affiliates

as

service

providers

to

the

Fund,

including

for

administrative,

distribution,

securities

lending

and

cash

management

services.

The

Board

also

considered

BlackRock’s

overall

operations

and

its

efforts

to

expand

the

scale

of,

and

improve

the

quality

of,

its

operations.

The

Board

also

noted

that,

subject

to

applicable

law,

BlackRock

may

use

and

benefit

from

third-party

research

obtained

by

soft

dollars

generated

by

certain

registered

fund

transactions

to

assist

in

managing

all

or

a

number

of

its

other

client

accounts.

In

connection

with

its

consideration

of

the

Agreement,

the

Board

also

received

information

regarding

BlackRock’s

brokerage

and

soft

dollar

practices.

The

Board

received

reports

from

BlackRock

which

included

information

on

brokerage

commissions

and

trade

execution

practices

throughout

the

year.

The

Board

noted

the

competitive

nature

of

the

open-end

fund

marketplace,

and

that

shareholders

are

able

to

redeem

their

Fund

shares

if

they

believe

that

the

Fund’s

fees

and

expenses

are

too

high

or

if

they

are

dissatisfied

with

the

performance

of

the

Fund.

Conclusion

The

Board,

including

the

Independent

Board

Members,

unanimously

approved

the

continuation

of

the

Advisory

Agreement

between

the

Manager

and

the

Trust,

on

behalf

of

the

Fund,

for

a

one-year

term

ending

June

30,

2021.

Based

upon

its

evaluation

of

all

of

the

aforementioned

factors

in

their

totality,

as

well

as

other

information,

the

Board,

including

the

Independent

Board

Members,

was

satisfied

that

the

terms

of

the

Agreement

were

fair

and

reasonable

and

in

the

best

interest

of

the

Fund

and

its

shareholders.

In

arriving

at

its

decision

to

approve

the

Agreement,

the

Board

did

not

identify

any

single

factor

or

group

of

factors

as

all-important

or

controlling,

but

considered

all

factors

together,

and

different

Board

Members

may

have

attributed

different

weights

to

the

various

factors

considered.

The

Independent

Board

Members

were

also

assisted

by

the

advice

of

independent

legal

counsel

in

making

this

determination.

Additional

Information

37

Additional

Information

General

Information

Householding

The

Fund

will

mail

only

one

copy

of

shareholder

documents,

including

prospectuses,

annual

and

semi-annual

reports

and

proxy

statements,

to

shareholders

with

multiple

accounts

at

the

same

address.

This

practice

is

commonly

called

“householding”

and

is

intended

to

reduce

expenses

and

eliminate

duplicate

mailings

of

shareholder

documents.

Mailings

of

your

shareholder

documents

may

be

householded

indefinitely

unless

you

instruct

us

otherwise.

If

you

do

not

want

the

mailing

of

these

documents

to

be

combined

with

those

for

other

members

of

your

household,

please

call

the

Fund at

(800)

441-7762.

Availability

of

Quarterly

Schedule

of

Investments 

The

Fund

files

its

complete

schedule

of

portfolio

holdings

with

the

SEC

for

the

first

and

third

quarters

of

each

fiscal

year

as

an

exhibit

to

its

reports

on

Form

N-PORT.

The

Fund’s

Form

N-PORT is

available

on

the

SEC’s

website

at

sec.gov

.

Availability

of

Proxy

Voting

Policies

and

Procedures

A

description

of

the

policies

and

procedures

that

the

Fund

uses

to

determine

how

to

vote

proxies

relating

to

portfolio

sec

urities

is

available

upon

request

and

without

charge

(1)

by

calling

(800)

441-

7762

;

(2)

at

blackrock.com

;

and

(3)

on

the

SEC’s

website

at

sec.gov

.

Availability

of

Proxy

Voting

Record

Information

about

how

the

Fund

voted

proxies

relating

to

securities

held

in

the

Fund's

portfolio

during

the

most

recent

12-month

period

ended

June

30

is

available

upon

request

and

without

charge

(1)

at

blackrock.com

;

or

by

calling

(800)

441-

7762

and

(2)

on

the

SEC’s

website

at

sec.gov

.

BlackRock’s

Mutual

Fund

Family

BlackRock

offers

a

diverse

lineup

of

open-end

mutual

funds

crossing

all

investment

styles

and

managed

by

experts

in

equity,

fixed-income

and

tax-exempt

investing.

Visit

blackrock.com

for

more

information.

Shareholder

Privileges

Account

Information

Call

us

at

(800)

441-7762

from

8:00

AM

to

6:00

PM

ET

on

any

business

day

to

get

information

about

your

account

balances,

recent

transactions

and

share

prices.

You

can

also

visit

blackrock.com

for

more

information.

Automatic

Investment

Plans

Investor

class

shareholders

who

want

to

invest

regularly

can

arrange

to

have

$50

or

more

automatically

deducted

from

their

checking

or

savings

account

and

invested

in

any

of

the

BlackRock

funds.

Systematic

Withdrawal

Plans

Investor

class

shareholders

can

establish

a

systematic

withdrawal

plan

and

receive

periodic

payments

of

$50

or

more

from

their

BlackRock

funds,

as

long

as

their

account

balance

is

at

least

$10,000.

Retirement

Plans

Shareholders

may

make

investments

in

conjunction

with

Traditional,

Rollover,

Roth,

Coverdell,

Simple

IRAs,

SEP

IRAs

and

403(b)

Plans.

Additional

Information

(continued)

2020

BlackRock

Semi-Annual

Report

to

Shareholders

38

BlackRock

Privacy

Principles

BlackRock

is

committed

to

maintaining

the

privacy

of

its

current

and

former

fund

investors

and

individual

clients

(collectively,

“Clients”)

and

to

safeguarding

their

non-public

personal

information.

The

following

information

is

provided

to

help

you

understand

what

personal

information

BlackRock

collects,

how

we

protect

that

information

and

why

in

certain

cases

we

share

such

information

with

select

parties.

If

you

are

located

in

a

jurisdiction

where

specific

laws,

rules

or

regulations

require

BlackRock

to

provide

you

with

additional

or

different

privacy-related

rights

beyond

what

is

set

forth

below,

then

BlackRock

will

comply

with

those

specific

laws,

rules

or

regulations.

BlackRock

obtains

or

verifies

personal

non-public

information

from

and

about

you

from

different

sources,

including

the

following:

(i)

information

we

receive

from

you

or,

if

applicable,

your

financial

intermediary,

on

applications,

forms

or

other

documents;

(ii)

information

about

your

transactions

with

us,

our

affiliates,

or

others;

(iii)

information

we

receive

from

a

consumer

reporting

agency;

and

(iv)

from

visits

to

our

websites.

BlackRock

does

not

sell

or

disclose

to

non-affiliated

third

parties

any

non-public

personal

information

about

its

Clients,

except

as

permitted

by

law

or

as

is

necessary

to

respond

to

regulatory

requests

or

to

service

Client

accounts.

These

non-affiliated

third

parties

are

required

to

protect

the

confidentiality

and

security

of

this

information

and

to

use

it

only

for

its

intended

purpose.

We

may

share

information

with

our

affiliates

to

service

your

account

or

to

provide

you

with

information

about

other

BlackRock

products

or

services

that

may

be

of

interest

to

you.

In

addition,

BlackRock

restricts

access

to

non-public

personal

information

about

its

Clients

to

those

BlackRock

employees

with

a

legitimate

business

need

for

the

information.

BlackRock

maintains

physical,

electronic

and

procedural

safeguards

that

are

designed

to

protect

the

non-public

personal

information

of

its

Clients,

including

procedures

relating

to

the

proper

storage

and

disposal

of

such

information.

Fund

and

Service

Providers

Investment

Adviser

BlackRock

Advisors,

LLC

Wilmington,

DE

19809

Accounting

Agent

JPMorgan

Chase

Bank,

N.A.

New

York,

NY

10179

Custodian

JPMorgan

Chase

Bank,

N.A.

New

York,

NY

10179

Transfer

Agent

BNY

Mellon

Investment

Servicing

(US)

Inc.

Wilmington,

DE

19809

Independent

Registered

Public

Accounting

Firm

Deloitte

&

Touche

LLP

Boston,

MA

02116

Distributor

BlackRock

Investments,

LLC

New

York,

NY

10022

Legal

Counsel

Willkie

Farr

&

Gallagher

LLP

New

York,

NY

10019

Address

of

the

Trust

100

Bellevue

Parkway

Wilmington,

DE

19809

Glossary

of

Terms

Used

in

this

Report

39

Glossary

of

Terms

Used

in

this

Report

Curr

ency

USD

United

States

Dollar

Portfolio

Abbreviations

CSMC

Credit

Suisse

Mortgage

Capital

CWABS

Countrywide

Asset-Backed

Certificates

LIBOR

London

Interbank

Offered

Rate

OTC

Over-the-counter

SOFR

Secured

Overnight

Financing

Rate

TBA

To-be-announced

Want

to

know

more?

blackrock.com

|

800-441-7762

This

report

is

intended

for

current

holders.

It

is

not

authorized

for

use

as

an

offer

of

sale

or

a

solicitation

of

an

offer

to

buy

shares

of

the

Fund

unless

preceded

or

accompanied

by

the

Fund’s

current

prospectus.

Past

performance

results

shown

in

this

report

should

not

be

considered

a

representation

of

future

performance.

Investment

returns

and

principal

value

of

shares

will

fluctuate

so

that

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Statements

and

other

information

herein

are

as

dated

and

are

subject

to

change.

MAS-10/20-SAR

Item 2 – Code of Ethics – Not Applicable to this semi-annual report

Item 3 – Audit Committee Financial Expert – Not Applicable to this semi-annual report

Item 4 – Principal Accountant Fees and Services – Not Applicable to this semi-annual report

Item 5 – Audit Committee of Listed Registrant – Not Applicable

Item 6 –           Investments

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

Item 7 –           Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable

Item 8 –           Portfolio Managers of Closed-End Management Investment Companies – Not Applicable

Item 9 –           Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable

Item 10 – Submission of Matters to a Vote of Security Holders –There have been no material changes to these procedures.

Item 11 – Controls and Procedures

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12 –

Disclosure of Securities Lending Activities for Closed-End Management Investment

   Companies

– Not Applicable

Item 13 – Exhibits attached hereto

              (a)(1) Code of Ethics – Not Applicable to this semi-annual report

              (a)(2) Section 302 Certifications are attached

              section302

(a)(3) Not Applicable

(a)(4) Not Applicable

(b) Section 906 Certifications are attached

section906

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Managed Account Series II

By:     /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

          Managed Account Series II

Date: December 31, 2020

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:     /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

          Managed Account Series II

Date: December 31, 2020

By:     /s/ Neal J. Andrews

          Neal J. Andrews

Chief Financial Officer (principal financial officer) of

Managed Account Series II

Date: December 31, 2020