Managed Account Series II NPORT-P BlackRock U.S. Mortgage Portfolio (Jan 2021 report)

BlackRock

U.S.

Mortgage

Portfolio

1

(Percentages

shown

are

based

on

Net

Assets)

Schedule

of

Investments

(unaudited)

January

31,

2021

Security

Par

(000)

Par

(000)

Value

Asset-Backed

Securities

—

18.6%

510

Loan

Acquisition

Trust,

Series

2020-1,

Class

A,

5.11%,

09/25/60

(a)(b)(c)

........

USD

1,472

$

1,472,408

Ajax

Mortgage

Loan

Trust

(c)

:

Series

2018-A,

Class

B,

0.00%,

04/25/58

68

35,737

Series

2019-B,

Class

A,

3.75%,

01/25/59

(d)

1,900

1,931,486

Series

2020-A,

Class

A,

2.37%,

12/25/59

(a)

2,247

2,247,080

Series

2020-A,

Class

B,

3.50%,

12/25/59

(a)

233

232,591

Series

2020-A,

Class

C,

0.00%,

12/25/59

(b)

562

352,355

Series

2020-C,

Class

A,

2.25%,

09/27/60

(a)

2,269

2,265,226

Series

2020-C,

Class

B,

5.00%,

09/27/60

(a)

150

150,307

Series

2020-C,

Class

C,

0.00%,

09/27/60

509

434,637

Series

2020-D,

Class

A,

2.25%,

06/25/60

(a)

2,192

2,188,793

Series

2020-D,

Class

B,

5.00%,

06/25/60

(a)

210

210,429

Series

2020-D,

Class

C,

0.00%,

06/25/60

539

446,099

Bayview

Financial

Revolving

Asset

Trust,

Series

2004-B,

Class

A1,

(LIBOR

USD

1

Month

+

1.00%),

1.12%,

05/28/39

(c)(d)

...

2,738

2,545,061

Bear

Stearns

Asset-Backed

Securities

I

Trust

(d)

:

Series

2006-HE8,

Class

1A3,

(LIBOR

USD

1

Month

+

0.26%),

0.39%,

10/25/36

..

1,200

1,105,767

Series

2007-HE2,

Class

22A,

(LIBOR

USD

1

Month

+

0.14%),

0.27%,

03/25/37

..

561

528,891

BSPRT

Issuer

Ltd.,

Series

2018-FL3,

Class

A,

(LIBOR

USD

1

Month

+

1.05%),

1.18%,

03/15/28

(c)(d)

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

634

631,960

Carrington

Mortgage

Loan

Trust,

Series

2007-

FRE1,

Class

M1,

(LIBOR

USD

1

Month

+

0.50%),

0.63%,

02/25/37

(d)

..........

1,627

1,339,448

Countrywide

Asset-Backed

Certificates

(d)

:

Series

2002-BC3,

Class

M2,

(LIBOR

USD

1

Month

+

1.73%),

1.86%,

05/25/32

...

1,931

1,924,575

Series

2006-22,

Class

M1,

(LIBOR

USD

1

Month

+

0.23%),

0.36%,

05/25/47

...

1,900

1,463,362

Series

2007-BC3,

Class

1A,

(LIBOR

USD

1

Month

+

0.18%),

0.31%,

11/25/47

...

1,027

947,775

Credit-Based

Asset

Servicing

&

Securitization

LLC,

Series

2007-CB6,

Class

A4,

(LIBOR

USD

1

Month

+

0.34%),

0.47%,

07/25/37

(c)(d)

2,012

1,617,115

CWABS

Asset-Backed

Certificates

Trust,

Series

2006-18,

Class

M1,

(LIBOR

USD

1

Month

+

0.30%),

0.43%,

03/25/37

(d)

..........

1,469

1,315,901

CWABS,

Inc.

Asset-Backed

Certificates

Trust

(d)

:

Series

2004-6,

Class

2A4,

(LIBOR

USD

1

Month

+

0.90%),

1.03%,

11/25/34

...

12

11,686

Series

2004-6,

Class

2A5,

(LIBOR

USD

1

Month

+

0.78%),

0.91%,

11/25/34

...

446

428,166

Dryden

XXVIII

Senior

Loan

Fund,

Series

2013-

28A,

Class

A1LR,

(LIBOR

USD

3

Month

+

1.20%),

1.42%,

08/15/30

(c)(d)

.........

1,000

999,998

Finance

of

America

HECM

Buyout,

Series

2020-HB1,

Class

M4,

4.05%,

02/25/30

(b)(c)(d)

1,500

1,481,250

GSAA

Home

Equity

Trust,

Series

2006-5,

Class

1A1,

(LIBOR

USD

1

Month

+

0.36%),

0.49%,

03/25/36

(d)

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

119

55,499

GSAMP

Trust,

Series

2006-HE5,

Class

M1,

(LIBOR

USD

1

Month

+

0.30%),

0.43%,

08/25/36

(d)

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

1,791

1,526,054

Legacy

Mortgage

Asset

Trust,

Series

2019-

SL2,

Class

A,

3.38%,

02/25/59

(b)(c)(d)

....

2,261

2,267,884

Litigation

Fee

Residual

Funding

LLC,

Series

2015-1,  4.00%,

10/30/27

(b)

..........

187

186,859

Long

Beach

Mortgage

Loan

Trust

(d)

:

Series

2006-1,

Class

2A4,

(LIBOR

USD

1

Month

+

0.60%),

0.73%,

02/25/36

...

778

709,778

Series

2006-7,

Class

2A3,

(LIBOR

USD

1

Month

+

0.16%),

0.29%,

08/25/36

...

1,921

1,026,983

Security

Par

(000)

Par

(000)

Value

Asset-Backed

Securities

(continued)

Series

2006-10,

Class

2A2,

(LIBOR

USD

1

Month

+

0.11%),

0.24%,

11/25/36

....

USD

9

$

3,857

Morgan

Stanley

IXIS

Real

Estate

Capital

Trust,

Series

2006-1,

Class

A3,

(LIBOR

USD

1

Month

+

0.30%),

0.43%,

07/25/36

(d)

....

489

263,098

Mosaic

Solar

Loan

Trust,

Series

2019-2A,

Class

A,

2.88%,

09/20/40

(c)

..........

66

69,735

Option

One

Mortgage

Loan

Trust,

Series

2007-

FXD1,

Class

2A1,

5.87%,

01/25/37

(a)

....

1,379

1,358,544

Progress

Residential

Trust

(c)

:

Series

2017-SFR1,

Class

A,

2.77%,

08/17/34

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

417

422,806

Series

2018-SFR3,

Class

G,

5.62%,

10/17/35

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

1,500

1,524,596

Series

2019-SFR1,

Class

G,

5.31%,

08/17/35

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

1,500

1,479,138

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

2,004,772

Series

2020-SFR3,

Class

G,

4.11%,

10/17/27

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

2,750

2,755,625

RASC

Series

Trust,

Series

2006-EMX9,

Class

1A4,

(LIBOR

USD

1

Month

+

0.48%),

0.61%,

11/25/36

(d)

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

1,184

961,471

Structured

Asset

Securities

Corp.

Mortgage

Loan

Trust,

Series

2007-MN1A,

Class

A1,

(LIBOR

USD

1

Month

+

0.23%),

0.36%,

01/25/37

(c)(d)

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

1,489

1,038,306

Towd

Point

Mortgage

Trust,

Series

2019-SJ2,

Class

A2,

4.25%,

11/25/58

(c)(d)

........

2,000

2,037,963

Tricon

American

Homes,

Series

2020-SFR1,

Class

F,

4.88%,

07/17/38

(c)

..........

1,050

1,123,362

Total

Asset-Backed

Securities

—

18.6%

(Cost:

$49,742,801)

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

51,596,347

Non-Agency

Mortgage-Backed

Securities

—

35.7%

Collateralized

Mortgage

Obligations

—

17.1%

Alternative

Loan

Trust:

Series

2004-12CB,

Class

1A1,

5.00%,

07/25/19

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

1

818

Series

2006-45T1,

Class

2A7,

(LIBOR

USD

1

Month

+

0.34%),

0.47%,

02/25/37

(d)

.

1,762

744,087

Series

2006-OC11,

Class

2A2A,

(LIBOR

USD

1

Month

+

0.17%),

0.30%,

01/25/37

(d)

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

33

40,319

Banc

of

America

Mortgage

Trust,

Series

2005-I,

Class

2A5,

2.91%,

10/25/35

(d)

........

128

129,692

BCAP

LLC

Trust,

Series

2012-RR3,

Class

3A8,

3.10%,

07/26/37

(c)(d)

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

2,067

1,964,416

Bear

Stearns

ALT-A

Trust,

Series

2007-1,

Class

1A1,

(LIBOR

USD

1

Month

+

0.32%),

0.45%,

01/25/47

(d)

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

868

792,322

CFMT

LLC,

Series

2020-HB4,

Class

M4,

4.95%,

12/26/30

(b)(c)(d)

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

900

899,100

ChaseFlex

Trust,

Series

2007-1,

Class

2A7,

6.00%,

02/25/37

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

2,108

1,243,886

CHL

Mortgage

Pass-Through

Trust,

Series

2005-17,

Class

1A6,

5.50%,

09/25/35

...

47

46,801

Citigroup

Mortgage

Loan

Trust,

Series

2015-A,

Class

B4,

4.50%,

06/25/58

(c)(d)

........

2,396

2,433,623

CitiMortgage

Alternative

Loan

Trust,

Series

2007-A5,

Class

1A6,

6.00%,

05/25/37

...

844

858,297

BlackRock

U.S.

Mortgage

Portfolio

2

(Percentages

shown

are

based

on

Net

Assets)

Schedule

of

Investments

(unaudited)

(continued)

January

31,

2021

Security

Par

(000)

Par

(000)

Value

Collateralized

Mortgage

Obligations

(continued)

Credit

Suisse

Mortgage

Capital

Certificates,

Series

2010-6R,

Class

2A6B,

6.25%,

07/26/37

(c)

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

USD

1,274

$

1,392,557

CSMC

Mortgage-Backed

Trust,

Series

2006-8,

Class

1A1,

4.50%,

10/25/21

.........

—

(e)

111

Federal

Home

Loan

Mortgage

Corp.

STACR

REMIC

Trust

Variable

Rate

Notes,

Series

2020-DNA5,

Class

B1,

(SOFR

+

4.80%),

4.88%,

10/25/50

(c)(d)

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

2,500

2,610,206

Federal

Home

Loan

Mortgage

Corp.

STACR

Trust

Variable

Rate

Notes,

Series

2020-

DNA4,

Class

B1,

(LIBOR

USD

1

Month

+

6.00%),

6.13%,

08/25/50

(c)(d)

.........

1,000

1,069,961

GSR

Mortgage

Loan

Trust,

Series

2006-9F,

Class

3A1,

6.25%,

10/25/36

.........

799

800,403

Homeward

Opportunities

Fund

I

Trust

(c)(d)

:

Series

2019-2,

Class

B1,

4.09%,

09/25/59

2,477

2,503,998

Series

2020-2,

Class

B1,

5.45%,

05/25/65

1,000

1,048,017

Series

2020-2,

Class

M1,

3.90%,

05/25/65

2,625

2,719,148

IndyMac

INDX

Mortgage

Loan

Trust,

Series

2006-AR15,

Class

A1,

(LIBOR

USD

1

Month

+

0.12%),

0.25%,

07/25/36

(d)

.........

894

837,314

Lehman

XS

Trust,

Series

2007-16N,

Class

AF2,

(LIBOR

USD

1

Month

+

0.95%),

1.08%,

09/25/47

(d)

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

1,873

1,919,876

New

Residential

Mortgage

Loan

Trust,

Series

2020-RPL1,

Class

B3,

3.92%,

11/25/59

(c)(d)

2,500

1,904,841

RALI

Trust,

Series

2007-QS1,

Class

1A5,

(LIBOR

USD

1

Month

+

0.55%),

0.68%,

01/25/37

(d)

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

1,510

1,092,412

Reperforming

Loan

REMIC

Trust,

Series

2005-R3,

Class

AF,

(LIBOR

USD

1

Month

+

0.40%),

0.53%,

09/25/35

(c)(d)

.........

259

227,220

Residential

Asset

Securitization

Trust

(d)

:

Series

2006-A7CB,

Class

2A2,

(LIBOR

USD

1

Month

+

0.55%),

0.68%,

07/25/36

..

2,621

290,697

Series

2006-A7CB,

Class

2A5,

(LIBOR

USD

1

Month

+

0.25%),

0.38%,

07/25/36

..

572

51,703

Series

2006-A7CB,

Class

2A6,

(LIBOR

USD

1

Month

+

54.00%),

52.96%,

07/25/36

460

1,283,255

RFMSI

Trust,

Series

2007-SA2,

Class

3A,

5.26%,

04/25/37

(d)

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

4,329

1,736,397

RMF

Buyout

Issuance

Trust,

Series

2020-1,

Class

M4,

4.19%,

02/25/30

(b)(c)(d)

.......

1,600

1,558,112

Seasoned

Credit

Risk

Transfer

Trust,

Series

2018-4,

Class

MA,

3.50%,

03/25/58

....

843

904,883

Seasoned

Loans

Structured

Transaction

Trust

(c)

(d)

:

Series

2020-2,

Class

M1,

4.75%,

09/25/60

3,000

3,145,358

Series

2020-3,

Class

M1,

4.75%,

04/26/60

(b)

2,500

2,534,000

Spruce

Hill

Mortgage

Loan

Trust,

Series

2020-

SH2,

Class

B1,

5.00%,

06/25/55

(b)(c)(d)

...

2,764

2,625,800

TVC

Mortgage

Trust,

Series

2020-RTL1,

Class

A1,

3.47%,

09/25/24

(c)

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

1,500

1,514,894

Verus

Securitization

Trust,

Series

2020-INV1,

Class

B1,

5.75%,

03/25/60

(c)(d)

........

1,100

1,147,134

WaMu

Mortgage

Pass-Through

Certificates

Trust,

Series

2007-OA5,

Class

2A,

(Cost

of

Funds

for

the

11th

District

of

San

Francisco

+

1.25%),

1.72%,

06/25/47

(d)

.........

2,692

2,370,783

Washington

Mutual

Mortgage

Pass-Through

Certificates

WMALT

Trust:

Series

2006-2,

Class

2CB,

6.50%,

03/25/36

967

760,610

Series

2007-5,

Class

A3,

7.00%,

06/25/37

266

184,890

47,387,941

Security

Par

(000)

Par

(000)

Value

Commercial

Mortgage-Backed

Securities

—

17.2%

1211

Avenue

of

the

Americas

Trust,

Series

2015-1211,

Class

A1A2,

3.90%,

08/10/35

(c)

USD

370

$

414,542

225

Liberty

Street

Trust,

Series

2016-225L,

Class

E,

4.65%,

02/10/36

(c)(d)

.........

151

159,945

280

Park

Avenue

Mortgage

Trust,

Series

2017-280P,

Class

E,

(LIBOR

USD

1

Month

+

2.12%),

2.25%,

09/15/34

(c)(d)

.........

560

553,702

Atrium

Hotel

Portfolio

Trust,

Series

2017-ATRM,

Class

E,

(LIBOR

USD

1

Month

+

3.05%),

3.18%,

12/15/36

(c)(d)

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

205

155,460

BAMLL

Commercial

Mortgage

Securities

Trust,

Series

2018-DSNY,

Class

D,

(LIBOR

USD

1

Month

+

1.70%),

1.83%,

09/15/34

(c)(d)

...

160

156,788

Bayview

Commercial

Asset

Trust

(c)(d)

:

Series

2006-3A,

Class

A2,

(LIBOR

USD

1

Month

+

0.30%),

0.43%,

10/25/36

...

1,332

1,262,498

Series

2006-4A,

Class

A1,

(LIBOR

USD

1

Month

+

0.23%),

0.36%,

12/25/36

...

1,022

962,219

BBCMS

Mortgage

Trust,

Series

2020-C7,

Class

D,

3.61%,

04/15/53

(c)(d)

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

500

505,647

Benchmark

Mortgage

Trust:

Series

2020-B16,

Class

C,

3.54%,

02/15/53

(d)

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

159

170,957

Series

2020-B16,

Class

D,

2.50%,

02/15/53

(c)

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

206

188,385

BFLD

Trust,

Series

2020-EYP,

Class

E,

(LIBOR

USD

1

Month

+

3.70%),

3.83%,

10/15/35

(c)(d)

685

695,274

BX

Commercial

Mortgage

Trust

(c)(d)

:

Series

2018-IND,

Class

H,

(LIBOR

USD

1

Month

+

3.00%),

3.13%,

11/15/35

...

718

718,623

Series

2019-XL,

Class

D,

(LIBOR

USD

1

Month

+

1.45%),

1.58%,

10/15/36

...

1,329

1,331,438

Series

2020-BXLP,

Class

A,

(LIBOR

USD

1

Month

+

0.80%),

0.93%,

12/15/36

...

614

615,775

Series

2020-BXLP,

Class

F,

(LIBOR

USD

1

Month

+

2.00%),

2.13%,

12/15/36

...

554

554,840

Series

2020-FOX,

Class

E,

(LIBOR

USD

1

Month

+

3.60%),

3.73%,

11/15/32

...

700

703,947

Series

2020-VIV2,

Class

C,

3.54%,

03/09/44

230

245,052

BX

Trust

(c)

:

Series

2019-OC11,

Class

A,

3.20%,

12/09/41

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

1,410

1,553,220

Series

2019-OC11,

Class

E,

4.08%,

12/09/41

(d)

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

698

724,226

CD

Mortgage

Trust,

Series

2006-CD3,

Class

AM,

5.65%,

10/15/48

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

1,129

1,159,597

CFK

Trust,

Series

2020-MF2,

Class

B,

2.79%,

03/15/39

(c)

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

336

339,280

Citigroup

Commercial

Mortgage

Trust

(d)

:

Series

2018-C5,

Class

AS,

4.41%,

06/10/51

500

590,219

Series

2019-PRM,

Class

E,

4.73%,

05/10/36

(c)

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

100

102,835

CityLine

Commercial

Mortgage

Trust,

Series

2016-CLNE,

Class

A,

2.78%,

11/10/31

(c)(d)

400

418,489

Commercial

Mortgage

Trust:

Series

2014-UBS2,

Class

A5,

3.96%,

03/10/47

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

345

376,964

Series

2015-CR25,

Class

A3,

3.51%,

08/10/48

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

607

657,230

Series

2015-CR26,

Class

ASB,

3.37%,

10/10/48

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

370

394,321

Series

2017-PANW,

Class

A,

3.24%,

10/10/29

(c)

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

1,580

1,656,324

Credit

Suisse

Mortgage

Capital

Certificates

(c)(d)

:

Series

2020-FACT,

Class

F,

(LIBOR

USD

1

Month

+

6.16%),

6.28%,

10/15/37

...

600

606,749

BlackRock

U.S.

Mortgage

Portfolio

3

(Percentages

shown

are

based

on

Net

Assets)

Schedule

of

Investments

(unaudited)

(continued)

January

31,

2021

Security

Par

(000)

Par

(000)

Value

Commercial

Mortgage-Backed

Securities

(continued)

Series

2020-NET,

Class

E,

3.70%,

08/15/37

USD

750

$

758,344

CSAIL

Commercial

Mortgage

Trust:

Series

2018-C14,

Class

A4,

4.42%,

11/15/51

(d)

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

600

712,793

Series

2019-C16,

Class

C,

4.24%,

06/15/52

(d)

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

511

538,700

Series

2019-C17,

Class

C,

3.93%,

09/15/52

392

416,425

Series

2020-C19,

Class

B,

3.48%,

03/15/53

(d)

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

365

393,418

GS

Mortgage

Securities

Corp.

II,

Series

2005-

ROCK,

Class

A,

5.37%,

05/03/32

(c)

.....

335

385,530

GS

Mortgage

Securities

Corp.

Trust,

Series

2019-SOHO,

Class

A,

(LIBOR

USD

1

Month

+

0.90%),

1.03%,

06/15/36

(c)(d)

........

715

715,896

GS

Mortgage

Securities

Trust,

Series

2015-

GC32,

Class

D,

3.35%,

07/10/48

......

34

31,356

GSCG

Trust,

Series

2019-600C,

Class

F,

3.99%,

09/06/34

(c)(d)

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

300

287,867

Hudson

Yards

Mortgage

Trust,

Series

2019-

30HY,

Class

D,

3.44%,

07/10/39

(c)(d)

....

208

225,384

IMT

Trust,

Series

2017-APTS,

Class

BFX,

3.50%,

06/15/34

(c)(d)

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

1,250

1,287,445

JPMorgan

Chase

Commercial

Mortgage

Securities

Corp.

(c)

:

Series

2017-FL10,

Class

E,

(LIBOR

USD

1

Month

+

3.90%),

4.03%,

06/15/32

(d)

..

275

273,138

Series

2018-AON,

Class

A,

4.13%,

07/05/31

610

657,061

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust:

Series

2013-C16,

Class

A4,

4.17%,

12/15/46

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

391

426,366

Series

2016-NINE,

Class

A,

2.85%,

09/06/38

(c)(d)

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

640

694,008

Series

2020-MKST,

Class

E,

(LIBOR

USD

1

Month

+

2.25%),

2.38%,

12/15/36

(c)(d)

.

320

300,894

LCCM

Mortgage

Trust

(c)

:

Series

2014-909,

Class

A,

3.39%,

05/15/31

620

620,037

Series

2014-909,

Class

D,

3.90%,

05/15/31

(d)

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

687

686,159

MFT

Trust

(c)(d)

:

Series

2020-ABC,

Class

C,

3.48%,

02/10/42

292

293,213

Series

2020-ABC,

Class

D,

3.48%,

02/10/42

170

163,101

Morgan

Stanley

Bank

of

America

Merrill

Lynch

Trust,

Series

2015-C26,

Class

A5,

3.53%,

10/15/48

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

1,103

1,234,120

Morgan

Stanley

Capital

I

Trust:

Series

2014-150E,

Class

A,

3.91%,

09/09/32

(c)

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

595

648,832

Series

2017-CLS,

Class

E,

(LIBOR

USD

1

Month

+

1.95%),

2.08%,

11/15/34

(c)(d)

.

675

675,213

Series

2017-HR2,

Class

D,

2.73%,

12/15/50

(b)

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

555

460,650

Series

2018-H4,

Class

A4,

4.31%,

12/15/51

1,824

2,160,276

Series

2018-SUN,

Class

A,

(LIBOR

USD

1

Month

+

0.90%),

1.03%,

07/15/35

(c)(d)

.

595

594,801

Series

2020-L4,

Class

D,

2.50%,

02/15/53

(c)

506

465,786

Natixis

Commercial

Mortgage

Securities

Trust,

Series

2018-FL1,

Class

A,

(LIBOR

USD

1

Month

+

0.95%),

1.08%,

06/15/35

(c)(d)

...

177

174,490

One

Bryant

Park

Trust,

Series

2019-OBP,

Class

A,

2.52%,

09/15/54

(c)

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

1,072

1,139,152

UBS-Barclays

Commercial

Mortgage

Trust,

Series

2012-C3,

Class

D,

5.03%,

08/10/49

(c)

(d)

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

700

723,240

USDC,

Series

2018,

Class

E,

4.49%,

05/13/38

(c)(d)

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

335

291,396

Security

Par

(000)

Par

(000)

Value

Commercial

Mortgage-Backed

Securities

(continued)

VCC

Trust,

Series

2020-MC1,

Class

A,

4.50%,

06/25/45

(c)(d)

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

USD

1,448

$

1,452,869

Velocity

Commercial

Capital

Loan

Trust

(c)(d)

:

Series

2019-3,

Class

M4,

3.68%,

10/25/49

2,031

1,994,460

Series

2020-1,

Class

M4,

3.54%,

02/25/50

994

968,279

Wells

Fargo

Commercial

Mortgage

Trust:

Series

2015-C31,

Class

A4,

3.70%,

11/15/48

670

753,146

Series

2015-NXS4,

Class

B,

4.22%,

12/15/48

(d)

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

650

716,735

Series

2016-NXS5,

Class

B,

4.95%,

01/15/59

(d)

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

625

720,981

Series

2016-NXS5,

Class

C,

4.99%,

01/15/59

(d)

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

238

264,900

Series

2018-1745,

Class

A,

3.75%,

06/15/36

(c)(d)

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

1,990

2,247,480

Series

2019-C52,

Class

C,

3.56%,

08/15/52

520

544,332

WFRBS

Commercial

Mortgage

Trust:

Series

2014-C21,

Class

A4,

3.41%,

08/15/47

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

675

713,749

Series

2014-C22,

Class

C,

3.76%,

09/15/57

(d)

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

63

66,172

Series

2014-LC14,

Class

A4,

3.77%,

03/15/47

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

865

925,679

47,778,419

Interest

Only

Collateralized

Mortgage

Obligations

—

0.5%

(d)

Alternative

Loan

Trust,

Series

2006-45T1,

Class

2A8,

(LIBOR

USD

1

Month

+

6.60%),

6.47%,

02/25/37

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

881

215,621

GSR

Mortgage

Loan

Trust,

Series

2007-3F,

Class

4A2,

(LIBOR

USD

1

Month

+

6.70%),

6.57%,

05/25/37

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

4,898

1,279,628

1,495,249

Interest

Only

Commercial

Mortgage-Backed

Securities

—

0.9%

(d)

BANK,

Series

2017-BNK9,

Class

XA,

0.80%,

11/15/54

(b)

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

4,281

187,518

BBCMS

Mortgage

Trust:

Series

2020-C7,

Class

XA,

1.63%,

04/15/53

3,030

337,554

Series

2020-C7,

Class

XB,

0.99%,

04/15/53

1,000

85,809

Benchmark

Mortgage

Trust,

Series

2020-B17,

Class

XB,

(LIBOR

USD

1

Month

+

0.00%),

0.53%,

03/15/53

(b)

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

15,395

634,161

Citigroup

Commercial

Mortgage

Trust,

Series

2020-420K,

Class

X,

0.80%,

11/10/42

(b)(c)

.

3,975

278,648

CSAIL

Commercial

Mortgage

Trust:

Series

2018-C14,

Class

XA,

0.56%,

11/15/51

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

1,292

44,365

Series

2019-C16,

Class

XA,

1.57%,

06/15/52

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

3,959

409,414

UBS

Commercial

Mortgage

Trust,

Series

2019-

C17,

Class

XA,

1.49%,

10/15/52

......

3,295

327,398

Wells

Fargo

Commercial

Mortgage

Trust,

Series

2017-C41,

Class

XA,

1.21%,

11/15/50

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

3,808

235,150

2,540,017

Total

Non-Agency

Mortgage-Backed

Securities

—

35.7%

(Cost:

$97,065,510)

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

99,201,626

BlackRock

U.S.

Mortgage

Portfolio

4

(Percentages

shown

are

based

on

Net

Assets)

Schedule

of

Investments

(unaudited)

(continued)

January

31,

2021

Security

Par

(000)

Par

(000)

Value

U.S.

Government

Sponsored

Agency

Securities

—

80.7%

Collateralized

Mortgage

Obligations

—

2.3%

Federal

Home

Loan

Mortgage

Corp.:

Series

4161,

Class

BW,

2.50%, 02/15/43

.

USD

200

$

215,500

Series

4398,

Class

ZX,

4.00%, 09/15/54

.

321

390,009

Federal

Home

Loan

Mortgage

Corp.

Structured

Agency

Credit

Risk

Debt

Variable

Rate

Notes,

Series

2020-HQA5,

Class

B1,

(SOFR

+

4.00%),

4.08%, 11/25/50

(c)(d)

........

1,000

1,038,404

Federal

Home

Loan

Mortgage

Corp.

Variable

Rate

Notes,

Series

2411,

Class

FJ,

(LIBOR

USD

1

Month

+

0.35%),

0.48%, 12/15/29

(d)

4

3,556

Federal

National

Mortgage

Association:

Series

2010-134,

Class

KZ,

4.50%, 12/25/40

451

475,574

Series

2010-141,

Class

LZ,

4.50%, 12/25/40

488

544,583

Series

2011-8,

Class

ZA,

4.00%, 02/25/41

671

713,745

Series

2011-131,

Class

LZ,

4.50%, 12/25/41

326

373,936

Series

2012-107,

Class

QZ,

3.50%, 10/25/42

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

401

446,763

Series

2018-21,

Class

CA,

3.50%, 04/25/45

532

549,732

Federal

National

Mortgage

Association

Variable

Rate

Notes,

Series

2018-32,

Class

PS,

(LIBOR

USD

1

Month

+

7.23%),

7.08%, 05/25/48

(d)

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

338

376,435

Government

National

Mortgage

Association:

Series

2009-122,

Class

PY,

6.00%, 12/20/39

76

86,164

Series

2016-123,

Class

LM,

3.00%, 09/20/46

(b)

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

200

218,381

Series

2019-5,

Class

P,

3.50%, 07/20/48

.

498

527,137

Series

2019-29,

Class

HY,

3.50%, 03/20/49

100

113,825

Government

National

Mortgage

Association

Variable

Rate

Notes,

Series

2014-107,

Class

WX,

6.79%, 07/20/39

(d)

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

312

366,110

6,439,854

Commercial

Mortgage-Backed

Securities

—

6.4%

Federal

Home

Loan

Mortgage

Corp.

Multifamily

Structured

Pass-Through

Certificates:

Series

K087,

Class

A2,

3.77%, 12/25/28

.

1,132

1,348,969

Series

K091,

Class

A2,

3.51%, 03/25/29

.

913

1,069,406

Federal

Home

Loan

Mortgage

Corp.

Multifamily

Structured

Pass-Through

Certificates

Variable

Rate

Notes

(d)

:

Series

K081,

Class

A2,

3.90%, 08/25/28

.

2,750

3,287,254

Series

K082,

Class

A2,

3.92%, 09/25/28

.

2,750

3,295,160

Series

K084,

Class

A2,

3.78%, 10/25/28

.

1,225

1,450,375

Series

W5FX,

Class

AFX,

3.34%, 04/25/28

559

619,462

Federal

Home

Loan

Mortgage

Corp.

Variable

Rate

Notes

(d)

:

Series

2019-SB60,

Class

A10F,

3.31%, 01/25/29

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

855

908,562

Series

2019-SB61,

Class

A10F,

3.17%, 01/25/29

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

647

692,455

Series

2020-K737,

Class

B,

3.30%, 01/25/53

(c)

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

333

359,053

Federal

National

Mortgage

Association,

Series

2020-M1,

Class

A2,

2.44%, 10/25/29

...

1,415

1,556,252

Federal

National

Mortgage

Association

ACES

Variable

Rate

Notes

(d)

:

Series

2018-M4,

Class

A2,

3.05%, 03/25/28

575

650,919

Series

2018-M14,

Class

A2,

3.58%, 08/25/28

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

1,320

1,547,435

Series

2019-M1,

Class

A2,

3.55%, 09/25/28

437

514,346

Government

National

Mortgage

Association:

Series

2019-7,

Class

V,

3.00%, 05/16/35

.

86

93,452

Security

Par

(000)

Par

(000)

Value

Commercial

Mortgage-Backed

Securities

(continued)

Series

2019-53,

Class

V,

2.75%, 08/16/31

USD

220

$

235,053

17,628,153

Interest

Only

Collateralized

Mortgage

Obligations

—

1.6%

Federal

Home

Loan

Mortgage

Corp.:

Series

4062,

Class

GI,

4.00%, 02/15/41

.

225

18,106

Series

4533,

Class

JI,

5.00%, 12/15/45

..

231

41,760

Federal

Home

Loan

Mortgage

Corp.

Variable

Rate

Notes

(d)

:

Series

4119,

Class

SC,

(LIBOR

USD

1

Month

+

6.15%),

6.02%, 10/15/42

...

1,242

231,748

Series

4901,

Class

CS,

(LIBOR

USD

1

Month

+

6.10%),

5.97%, 07/25/49

...

893

155,360

Series

4941,

Class

SH,

(LIBOR

USD

1

Month

+

5.95%),

5.82%, 12/25/49

...

880

148,747

Federal

National

Mortgage

Association:

Series

2013-10,

Class

PI,

3.00%, 02/25/43

756

59,196

Series

2014-68,

Class

YI,

4.50%, 11/25/44

378

56,584

Series

2015-74,

Class

IA,

6.00%, 10/25/45

(b)

1,574

345,920

Series

2015-77,

6.00%, 10/25/45

(b)

.....

1,844

407,122

Series

2017-68,

Class

IE,

4.50%, 09/25/47

1,228

162,458

Federal

National

Mortgage

Association

Variable

Rate

Notes

(d)

:

Series

2016-60,

Class

SD,

(LIBOR

USD

1

Month

+

6.10%),

5.97%, 09/25/46

...

1,650

316,747

Series

2016-78,

Class

CS,

(LIBOR

USD

1

Month

+

6.10%),

5.97%, 05/25/39

...

2,112

410,942

Series

2017-70,

Class

SA,

(LIBOR

USD

1

Month

+

6.15%),

6.02%, 09/25/47

...

1,081

248,478

Series

2019-5,

Class

SA,

(LIBOR

USD

1

Month

+

6.10%),

5.97%, 03/25/49

...

1,330

251,485

Series

2019-25,

Class

SA,

(LIBOR

USD

1

Month

+

6.05%),

5.92%, 06/25/49

...

5,045

1,095,539

Series

2019-35,

Class

SA,

(LIBOR

USD

1

Month

+

6.10%),

5.97%, 07/25/49

...

665

117,893

Government

National

Mortgage

Association:

Series

2017-139,

Class

IB,

4.50%, 09/20/47

986

150,542

Series

2017-144,

Class

DI,

4.50%, 09/20/47

697

108,897

Government

National

Mortgage

Association

Variable

Rate

Notes,

Series

2017-101,

Class

SL,

(LIBOR

USD

1

Month

+

6.20%),

6.07%, 07/20/47

(d)

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

812

164,564

4,492,088

Interest

Only

Commercial

Mortgage-Backed

Securities

—

1.2%

Federal

Home

Loan

Mortgage

Corp.,

Series

2015-K718,

Class

X2A,

0.10%, 02/25/48

(c)

63,042

32,555

Federal

Home

Loan

Mortgage

Corp.

Multifamily

Structured

Pass-Through

Certificates

Variable

Rate

Notes

(d)

:

Series

K110,

Class

X1,

1.70%, 04/25/30

.

5,343

709,504

Series

K722,

Class

X1,

1.31%, 03/25/23

.

3,671

75,030

Government

National

Mortgage

Association

Variable

Rate

Notes

(d)

:

Series

2013-63,

0.77%, 09/16/51

......

12,855

383,061

Series

2016-45,

0.94%, 02/16/58

......

3,440

182,428

Series

2016-151,

1.04%, 06/16/58

.....

17,232

1,090,904

Series

2017-53,

0.66%, 11/16/56

......

6,791

315,105

Series

2017-64,

0.77%, 11/16/57

......

3,866

211,445

Series

2020-43,

1.27%, 11/16/61

......

3,139

283,726

3,283,758

Mortgage-Backed

Securities

—

69.2%

Federal

Home

Loan

Mortgage

Corp.:

2.50%, 03/01/30

-

04/01/31

..........

1,070

1,146,718

3.00%, 09/01/27

-

12/01/46

..........

2,252

2,433,221

3.50%, 12/01/41

-

01/01/48

..........

1,885

2,089,402

BlackRock

U.S.

Mortgage

Portfolio

5

(Percentages

shown

are

based

on

Net

Assets)

Schedule

of

Investments

(unaudited)

(continued)

January

31,

2021

Security

Par

(000)

Par

(000)

Value

Mortgage-Backed

Securities

(continued)

4.00%, 08/01/40

-

12/01/45

..........

USD

684

$

756,809

4.50%, 07/01/26

-

09/01/48

..........

970

1,080,943

5.00%, 05/01/35

-

02/01/42

..........

1,102

1,271,505

5.50%, 02/01/35

-

06/01/41

..........

578

676,534

6.00%, 08/01/28

-

11/01/39

..........

24

28,469

Federal

National

Mortgage

Association:

3.50%, 11/01/46

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

630

683,892

4.00%, 01/01/41

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

55

59,588

6.00%, 07/01/39

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

430

495,066

Federal

National

Mortgage

Association

Variable

Rate

Notes

(d)

:

3.09%, 09/01/27

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

186

206,948

3.16%, 03/01/27

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

664

737,523

Government

National

Mortgage

Association:

2.00%, 02/15/51

(f)

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

10,876

11,295,746

2.50%, 02/15/51

(f)

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

9,721

10,228,928

3.00%, 02/15/45

-

12/20/46

..........

1,808

1,928,540

3.00%, 02/15/51

-

03/15/51

(f)

.........

6,183

6,482,526

3.50%, 01/15/42

-

10/20/46

..........

4,853

5,253,112

3.50%, 02/15/51

-

03/15/51

(f)

.........

2,994

3,169,539

4.00%, 04/20/39

-

01/15/48

..........

2,100

2,306,433

4.00%, 02/15/51

(f)

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

950

1,015,702

4.50%, 09/20/39

-

04/20/47

..........

2,953

3,294,460

5.00%, 12/15/34

-

07/20/44

..........

1,823

2,085,936

5.50%, 07/15/38

-

12/20/41

..........

602

700,988

6.50%, 10/15/38

-

02/20/41

..........

216

253,631

Uniform

Mortgage-Backed

Securities:

1.50%, 01/01/36

(g)

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

3,975

4,077,991

1.50%, 02/25/36

-

02/25/51

(f)

.........

12,530

12,587,682

2.00%, 10/01/31

-

02/01/36

..........

8,874

9,280,879

2.00%, 02/25/36

-

03/25/51

(f)

.........

11,589

12,007,326

2.50%, 04/01/30

-

01/01/51

..........

4,502

4,802,962

2.50%, 02/25/51

-

03/25/51

(f)

.........

19,485

20,524,242

3.00%, 04/01/28

-

09/01/50

..........

14,923

15,926,093

3.00%, 02/25/36

-

02/25/51

(f)

.........

574

605,294

3.50%, 11/01/27

-

03/01/50

..........

10,667

11,709,213

3.50%, 02/25/51

-

03/25/51

(f)

.........

5,876

6,248,122

4.00%, 08/01/31

-

05/01/49

..........

5,161

5,712,746

4.00%, 02/25/51

-

03/25/51

(f)

.........

19,040

20,421,489

4.50%, 07/01/24

-

07/01/48

..........

3,471

3,881,204

4.50%, 02/25/51

(f)

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

528

573,540

5.00%, 01/01/23

-

06/01/39

..........

1,797

2,062,196

5.50%, 06/01/24

-

03/01/40

..........

813

945,860

6.00%, 12/01/32

-

09/01/40

..........

594

714,030

6.50%, 09/01/36

-

05/01/40

..........

166

193,395

191,956,423

Total

U.S.

Government

Sponsored

Agency

Securities

—

80.7%

(Cost:

$220,293,442)

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

223,800,276

Total

Long-Term

Investments

—

135.0%

(Cost:

$367,101,753)

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

374,598,249

Security

Shares

Shares

Value

Short-Term

Securities

—

5.2%

Money

Market

Funds

—

0.9%

(h)

Dreyfus

Treasury

Prime

Cash

Management

Institutional

Shares,

0.01%

..........

1,842,046

$

1,842,046

JPMorgan

U.S.

Treasury

Plus

Money

Market

Fund,

Agency

Class,

0.01%

..........

722,078

722,078

Total

Money

Market

Funds

—

0.9%

(Cost:

$2,564,124)

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

2,564,124

Security

Par

(000)

Pa

r

(

000)

Value

U.S.

Treasury

Obligations

—

4.3%

U.S.

Treasury

Bills

(

i

)

:

0.08%, 02/18/21

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

USD

1,455

$

1,454,974

0.09%, 02/25/21

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

4,173

4,172,875

0.08%, 03/02/21

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

789

788,965

0.08%, 03/04/21

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

3,772

3,771,838

0.06%, 03/11/21

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

1,664

1,663,925

Total

U.S.

Treasury

Obligations

—

4.3%

(Cost:

$11,852,309)

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

11,852,577

Total

Short-Term

Securities

—

5.2%

(Cost:

$14,416,433)

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

14,416,701

Total

Options

Purchased

—

0.1%

(Cost:

$80,997)

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

138,662

Total

Investments

Before

Options

Written

and

TBA

Sale

Commitments

—

140.3%

(Cost:

$381,599,183

)

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

389,153,612

Total

Options

Written

—

(0.0)%

(Premium

Received

—

$30,659)

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

(30,516)

TBA

Sale

Commitments

—

(38.7)%

(f)

Mortgage-Backed

Securities

—

(38.7)%

Government

National

Mortgage

Association:

2.00%

,

 02/15/51

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

9,104

(9,455,358)

2.50%

,

 02/15/51

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

144

(151,532)

3.00%

,

 02/15/51

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

879

(921,646)

3.50%

,

 02/15/51

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

1,847

(1,954,645)

4.00%

,

 02/15/51

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

89

(95,155)

4.50%

,

 02/15/51

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

1,473

(1,586,812)

5.00%

,

 02/15/51

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

871

(949,407)

Uniform

Mortgage-Backed

Securities:

2.50%

,

 02/25/36

-

03/25/51

..........

15,403

(16,222,050)

3.00%

,

 02/25/36

-

03/25/51

..........

21,590

(22,712,193)

3.50%

,

 02/25/36

-

02/25/51

..........

5,100

(5,425,055)

4.00%

,

 02/25/36

-

02/25/51

..........

7,501

(8,039,154)

2.00%

,

 03/25/36

-

02/25/51

..........

9,362

(9,752,563)

1.50%

,

 02/25/51

-

03/25/51

..........

27,575

(27,680,059)

4.50%

,

 02/25/51

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

1,810

(1,966,112)

5.00%

,

 02/25/51

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

367

(406,058)

Total

TBA

Sale

Commitments

—

(38.7)%

(Proceeds:

$107,118,864)

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

(107,317,799)

Total

Investments

Net

of

Options

Written

and

TBA

Sale

Commitments

—

101.6%

(Cost:

$274,449,660

)

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

281,805,297

Liabilities

in

Excess

of

Other

Assets

—

(1.6)%

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

(4,347,331)

Net

Assets

—

100.0%

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

$

277,457,966

(a)

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.

(b)

Security

is

valued

using

significant

unobservable

inputs

and

is

classified

as

Level

3

in

the

fair

value

hierarchy.

BlackRock

U.S.

Mortgage

Portfolio

6

Schedule

of

Investments

(unaudited)

(continued)

January

31,

2021

(c)

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.

(d)

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.

(e)

Amount

is

less

than

500.

(f)

Represents

or

includes

a

TBA

transaction.

(g)

All

or

a

portion

of

the

security

has

been

pledged

as

collateral

in

connection

with

outstanding

TBA

commitments.

(h)

Annualized

7-day

yield

as

of

period

end.

(i)

Rates

are

discount

rates

or

a

range

of

discount

rates

as

of

period

end.

BlackRock

U.S.

Mortgage

Portfolio

7

Schedule

of

Investments

(unaudited)

(continued)

January

31,

2021

Derivative

Financial

Instruments

Outstanding

as

of

Period

End

Futures

Contracts

Description

Number

of

Contracts

Expiration

Date

Notional

Amount

(000)

Value/

Unrealized

Appreciation

(Depreciation)

Long

Contracts

U.S.

Treasury

Long

Bond

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

17

03/22/21

$

2,873

$

(49,139)

U.S.

Treasury

2

Year

Note

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

275

03/31/21

60,773

62,596

U.S.

Treasury

5

Year

Note

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

154

03/31/21

19,393

6,731

20,188

Short

Contracts

90-day

Eurodollar

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

8

03/15/21

1,997

(3,548)

U.S.

Treasury

10

Year

Note

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

31

03/22/21

4,250

6,254

U.S.

Treasury

10

Year

Ultra

Note

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

12

03/22/21

1,848

18,650

90-day

Eurodollar

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

8

06/14/21

1,997

(4,256)

90-day

Eurodollar

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

8

09/13/21

1,997

(2,025)

90-day

Eurodollar

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

8

12/13/21

1,996

(5,174)

90-day

Eurodollar

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

4

03/14/22

998

(1,755)

90-day

Eurodollar

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

4

06/13/22

998

(956)

90-day

Eurodollar

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

4

09/19/22

998

(456)

90-day

Eurodollar

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

4

12/19/22

997

(653)

6,081

$

26,269

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)

1.15%

Semi-Annual

3

month

LIBOR

Quarterly

Bank

of

America

NA

05/28/21

1.15

%

USD

3,500

$

53,387

10-Year

Interest

Rate

Swap

(a)

1.50%

Semi-Annual

3

month

LIBOR

Quarterly

Deutsche

Bank

AG

02/22/22

1.50

USD

4,900

85,275

$

138,662

(a)

Forward

settling

swaption.

Exchange-Traded

Options

Written

Description

Number

of

Contracts

Expiration

Date

Exercise

Price

Notional

Amount

(000)

Value

Call

U.S.

Treasury

5

Year

Note

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

126

02/19/21

USD

125.75

USD

12,600

$

(30,516)

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

$

(13,565)

$

—

$

(13,565)

1.68%

Semi-Annual

3

month

LIBOR

Quarterly

06/24/22

USD

5,000

(112,106)

—

(112,106)

1.72%

Semi-Annual

3

month

LIBOR

Quarterly

06/26/22

USD

1,300

(29,775)

—

(29,775)

1.84%

Semi-Annual

3

month

LIBOR

Quarterly

07/18/22

USD

1,900

(47,300)

—

(47,300)

3

month

LIBOR

Quarterly

1.62%

Semi-Annual

07/21/22

USD

6,200

133,913

—

133,913

3

month

LIBOR

Quarterly

1.63%

Semi-Annual

07/21/22

USD

3,500

76,226

—

76,226

1.81%

Semi-Annual

3

month

LIBOR

Quarterly

07/25/22

USD

1,400

(34,261)

—

(34,261)

1.78%

Semi-Annual

3

month

LIBOR

Quarterly

07/26/22

USD

3,000

(72,291)

—

(72,291)

BlackRock

U.S.

Mortgage

Portfolio

8

Schedule

of

Investments

(unaudited)

(continued)

January

31,

2021

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)

3

month

LIBOR

Quarterly

1.60%

Semi-Annual

08/04/22

USD

5,900

$

169,480

$

—

$

169,480

1.53%

Semi-Annual

3

month

LIBOR

Quarterly

08/08/22

USD

4,000

(109,228)

—

(109,228)

3

month

LIBOR

Quarterly

1.42%

Semi-Annual

09/10/22

USD

1,700

43,005

—

43,005

0.05%

Quarterly

1

day

Fed

Funds

Quarterly

10/21/22

USD

133

39

—

39

1

day

SOFR

Quarterly

0.05%

Quarterly

10/21/22

USD

133

(19)

—

(19)

0.18%

Quarterly

1

day

Fed

Funds

Quarterly

10/21/25

USD

159

1,061

—

1,061

1

day

SOFR

Quarterly

0.17%

Quarterly

10/21/25

USD

159

(929)

—

(929)

2.85%

Semi-Annual

3

month

LIBOR

Quarterly

12/21/28

USD

1,000

(151,742)

—

(151,742)

1.61%

Semi-Annual

3

month

LIBOR

Quarterly

10/01/29

USD

2,000

(111,466)

—

(111,466)

0.56%

Quarterly

1

day

Fed

Funds

Quarterly

10/21/30

USD

47

1,553

—

1,553

1

day

SOFR

Quarterly

0.53%

Quarterly

10/21/30

USD

47

(1,476)

—

(1,476)

$

(258,881)

$

—

$

(258,881)

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

$

370,941

$

312,080

$

58,861

$

–

$

–

$

–

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

NR

USD

3,100

$

(370,941)

$

(341,567)

$

(29,374)

CMBX.NA.9.BBB-

.....

3.00

Monthly

Goldman

Sachs

International

09/17/58

NR

USD

1,790

(214,189)

(77,979)

(136,210)

CMBX.NA.9.BBB-

.....

3.00

Monthly

Morgan

Stanley

&

Co.

International

plc

09/17/58

NR

USD

935

(111,881)

(245,027)

133,146

$

(697,011)

$

(664,573)

$

(32,438)

(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

0.07

%

1

day

SOFR

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

Secured

Overnight

Financing

Rate

0.07

3

month

LIBOR

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

London

Interbank

Offered

Rate

0.20

BlackRock

U.S.

Mortgage

Portfolio

9

Schedule

of

Investments

(unaudited)

(continued)

January

31,

2021

Glossary

of

Terms

Used

in

this

Report

Currency

Abbreviations

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

REMIC

Real

Estate

Mortgage

Investment

Conduit

SOFR

Secured

Overnight

Financing

Rate

TBA

To-be-announced

BlackRock

U.S.

Mortgage

Portfolio

10

Schedule

of

Investments

(unaudited)

(continued)

January

31,

2021

Fair

Value

Hierarchy

as

of

Period

End

Various

inputs

are

used

in

determining

the

fair

value

of

financial

instruments.

These

inputs

to

valuation

techniques

are

categorized

into

a

fair

value

hierarchy

consisting

of

three

broad

levels

for

financial

reporting

purposes

as

follows:

•    

Level

1

—

Unadjusted

price

quotations

in

active

markets/exchanges

for

identical

assets

or

liabilities

that

the

Fund

has

the

ability

to

access;

•    

Level

2

—

Other

observable

inputs

(including,

but

not

limited

to,

quoted

prices

for

similar

assets

or

liabilities

in

markets

that

are

active,

quoted

prices

      for

identical

or

similar

assets

or

liabilities

in

markets

that

are

not

active,

inputs

other

than

quoted

prices

that

are

observable

for

the

assets

or

liabilities

      (such

as

interest

rates,

yield

curves,

volatilities,

prepayment

speeds,

loss

severities,

credit

risks

and

default

rates)

or

other

market-corroborated

      inputs);

and

•    

Level

3

—

Unobservable

inputs

based

on

the

best

information

available

in

the

circumstances,

to

the

extent

observable

inputs

are

not

available

      (including

the

BlackRock

Global

Valuation

Methodologies

Committee's

(the

"Global

Valuation

Committee's")

assumptions

used

in

determining

the

fair

value

of

financial

instruments).

The

hierarchy

gives

the

highest

priority

to

unadjusted

quoted

prices

in

active

markets

for

identical

assets

or

liabilities

(Level

1

measurements)

and

the

lowest

priority

to

unobservable

inputs

(Level

3

measurements).

Accordingly,

the

degree

of

judgment

exercised

in

determining

fair

value

is

greatest

for

instruments

categorized

in

Level

3.

The

inputs

used

to

measure

fair

value

may

fall

into

different

levels

of

the

fair

value

hierarchy.

In

such

cases,

for

disclosure

purposes,

the

fair

value

hierarchy

classification

is

determined

based

on

the

lowest

level

input

that

is

significant

to

the

fair

value

measurement

in

its

entirety.

Investments

classified

within

Level

3

have

significant

unobservable

inputs

used

by

the

Global

Valuation

Committee

in

determining

the

price

for

Fair

Valued

Investments.

Level

3

investments

include

equity

or

debt

issued

by

privately

held

companies

or

funds.

There

may

not

be

a

secondary

market,

and/or

there

are

a

limited

number

of

investors.

The

categorization

of

a

value

determined

for

financial

instruments

is

based

on

the

pricing

transparency

of

the

financial

instruments

and

is

not

necessarily

an

indication

of

the

risks

associated

with

investing

in

those

securities.

For

information

about

the

Fund’s

policy

regarding

valuation

of

financial

instruments,

refer

to

its

most

recent

financial

statements.

The

following

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

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

$

—

$

45,835,591

$

5,760,756

$

51,596,347

Non-Agency

Mortgage-Backed

Securities

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

—

90,023,637

9,177,989

99,201,626

U.S.

Government

Sponsored

Agency

Securities

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

—

222,828,853

971,423

223,800,276

Short-Term

Securities:

Money

Market

Funds

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

2,564,124

—

—

2,564,124

U.S.

Treasury

Obligations

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

—

11,852,577

—

11,852,577

Options

Purchased:

Interest

rate

contracts

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

—

138,662

—

138,662

Liabilities:

Investments:

TBA

Sale

Commitments

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

—

(107,317,799)

—

(107,317,799)

$

2,564,124

$

263,361,521

$

15,910,168

$

281,835,813

Derivative

Financial

Instruments

(a)

Assets:

Credit

contracts

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

$

—

$

192,007

$

—

$

192,007

Interest

rate

contracts

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

94,231

425,277

—

519,508

Liabilities:

Credit

contracts

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

—

(165,584)

—

(165,584)

Interest

rate

contracts

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

(98,478)

(684,158)

—

(782,636)

$

(4,247)

$

(232,458)

$

—

$

(236,705)

(a)

Derivative

financial

instruments

are

swaps,

futures

contracts

and

options

written.

Swaps

and

futures

contracts

are

valued

at

the

unrealized

appreciation

(depreciation)

on

the

instrument

and

options

written

are

shown

at

value.

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.

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.

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.

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.

BlackRock

U.S.

Mortgage

Portfolio

11

Schedule

of

Investments

(unaudited)

(continued)

January

31,

2021

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.

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

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

3,335

(70,968)

(132,333)

(199,966)

Net

realized

loss

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

(12,370)

—

—

(12,370)

Net

change

in

unrealized

appreciation

(a)

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

126,119

442,749

67,567

636,435

Purchases

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

4,020,479

6,304,316

—

10,324,795

Sales

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

(545,903)

—

—

(545,903)

Closing

balance,

as

of

January

31,

2021

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

$

5,760,756

$

9,177,989

$

971,423

$

15,910,168

Net

change

in

unrealized

appreciation

on

investments

still

held

at

January

31,

2021

(a)

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

$

126,119

$

442,749

$

67,567

$

636,435

(a)

Any

difference

between

net

change

in

unrealized

appreciation

(depreciation)

and

net

change

in

unrealized

appreciation

(depreciation)

on

investments

still

held

at

January

31,

2021

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.