Managed Account Series II NPORT-P BlackRock U.S. Mortgage Portfolio (Jul 2022 report)

BlackRock

U.S.

Mortgage

Portfolio

2

(Percentages

shown

are

based

on

Net

Assets)

Schedule

of

Investments

(unaudited)

July

31,

2022

Security

Par

(000)

Par

(000)

Value

Asset-Backed

Securities

510

Loan

Acquisition

Trust,

Series

2020-1,

Class

A,

5.11%,

09/25/60

(a)(b)

.........

USD

1,222

$

1,179,062

Ajax

Mortgage

Loan

Trust

(b)

Series

2018-A,

Class

B,

0.00%,

04/25/58

2

1,957

Series

2020-A,

Class

A,

2.37%,

12/25/59

(a)

1,652

1,599,672

Series

2020-A,

Class

B,

3.50%,

12/25/59

(a)

233

220,979

Series

2020-A,

Class

C,

0.00%,

12/25/59

(c)

552

345,954

Series

2020-C,

Class

A,

2.25%,

09/27/60

(a)

113

110,702

Series

2020-C,

Class

B,

5.00%,

09/27/60

(a)

150

144,308

Series

2020-C,

Class

C,

0.00%,

09/27/60

471

421,346

Series

2020-D,

Class

A,

2.25%,

06/25/60

(a)

382

363,292

Series

2020-D,

Class

B,

5.00%,

06/25/60

(a)

210

201,428

Series

2020-D,

Class

C,

0.00%,

06/25/60

496

437,605

Series

2021-E,

Class

B3,

3.77%,

12/25/60

(d)

382

251,354

Series

2021-E,

Class

XS,

0.00%,

12/25/60

(d)

5,830

248,704

Series

2021-F,

Class

A,

1.87%,

06/25/61

(a)

1,676

1,548,050

Series

2021-F,

Class

B,

3.75%,

06/25/61

(a)

216

196,871

Series

2021-F,

Class

C,

0.00%,

06/25/61

.

403

367,419

Series

2021-G,

Class

A,

1.87%,

06/25/61

(d)

2,000

1,859,754

Series

2021-G,

Class

B,

3.75%,

06/25/61

(d)

256

232,875

Series

2021-G,

Class

C,

0.00%,

06/25/61

465

426,268

Bayview

Financial

Revolving

Asset

Trust,

Series

2004-B,

Class

A1,

(LIBOR

USD

1

Month

+

1.00%),

3.35%,

05/28/39

(b)(c)(d)

..

2,118

1,694,354

BDS

Ltd.,

Series

2021-FL9,

Class

A,

(LIBOR

USD

1

Month

+

1.07%),

3.23%,

11/16/38

(b)(d)

680

649,168

Bear

Stearns

Asset-Backed

Securities

I

Trust

(d)

Series

2006-HE8,

Class

1A3,

(LIBOR

USD

1

Month

+

0.26%),

2.52%,

10/25/36

..

1,200

1,044,019

Series

2007-HE2,

Class

22A,

(LIBOR

USD

1

Month

+

0.14%),

2.40%,

03/25/37

..

588

548,516

BSPRT

Issuer

Ltd.,

Series

2022-FL8,

Class

A,

(SOFR30A

+

1.50%),

2.92%,

02/15/37

(b)(d)

2,730

2,654,862

Carrington

Mortgage

Loan

Trust,

Series

2007-

FRE1,

Class

M1,

(LIBOR

USD

1

Month

+

0.50%),

2.76%,

02/25/37

(d)

..........

1,738

1,372,374

CFMT

LLC,

Series

2020-HB4,

Class

M4,

4.95%,

12/26/30

(b)(d)

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

900

874,265

Countrywide

Asset-Backed

Certificates

(d)

Series

2002-BC3,

Class

M2,

(LIBOR

USD

1

Month

+

1.73%),

3.98%,

05/25/32

...

1,428

1,340,638

Series

2006-22,

Class

M1,

(LIBOR

USD

1

Month

+

0.23%),

2.49%,

05/25/47

...

2,057

1,690,237

Series

2007-BC3,

Class

1A,

(LIBOR

USD

1

Month

+

0.18%),

2.44%,

11/25/47

...

731

703,525

Credit-Based

Asset

Servicing

&

Securitization

LLC,

Series

2007-CB6,

Class

A4,

(LIBOR

USD

1

Month

+

0.34%),

2.60%,

07/25/37

(b)(d)

1,637

1,146,934

CWABS

Asset-Backed

Certificates

Trust,

Series

2006-18,

Class

M1,

(LIBOR

USD

1

Month

+

0.30%),

2.56%,

03/25/37

(d)

..........

1,532

1,376,812

CWABS,

Inc.

Asset-Backed

Certificates

Trust,

Series

2004-6,

Class

2A4,

(LIBOR

USD

1

Month

+

0.90%),

3.16%,

11/25/34

(d)

.....

8

7,357

Dryden

XXVIII

Senior

Loan

Fund,

Series

2013-

28A,

Class

A1LR,

(LIBOR

USD

3

Month

+

1.20%),

2.61%,

08/15/30

(b)(d)

.........

1,000

986,917

GSAA

Home

Equity

Trust,

Series

2006-5,

Class

1A1,

(LIBOR

USD

1

Month

+

0.36%),

2.62%,

03/25/36

(d)

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

105

39,504

Home

Partners

of

America

Trust,

Series

2021-

3,

Class

F,

4.24%,

01/17/41

(b)

.........

1,901

1,685,558

KREF

Ltd.,

Series

2022-FL3,

Class

A,

(TSFR1M

+

1.45%),

3.61%,

02/17/39

(b)(d)

.

2,950

2,857,803

Security

Par

(000)

Par

(000)

Value

Asset-Backed

Securities

(continued)

Legacy

Mortgage

Asset

Trust,

Series

2019-

SL2,

Class

A,

3.38%,

02/25/59

(b)(d)

.....

USD

1,392

$

1,318,449

Long

Beach

Mortgage

Loan

Trust

(d)

Series

2006-1,

Class

2A4,

(LIBOR

USD

1

Month

+

0.60%),

2.86%,

02/25/36

...

670

573,189

Series

2006-7,

Class

2A3,

(LIBOR

USD

1

Month

+

0.32%),

2.58%,

08/25/36

...

1,683

764,050

Morgan

Stanley

IXIS

Real

Estate

Capital

Trust,

Series

2006-1,

Class

A3,

(LIBOR

USD

1

Month

+

0.30%),

2.56%,

07/25/36

(d)

....

426

186,739

Mosaic

Solar

Loan

Trust,

Series

2019-2A,

Class

A,

2.88%,

09/20/40

(b)

..........

46

43,022

New

Residential

Mortgage

Loan

Trust,

Series

2022-SFR1,

Class

F,

4.44%,

02/17/39

(b)

..

2,739

2,498,632

Option

One

Mortgage

Loan

Trust,

Series

2007-

FXD1,

Class

2A1,

5.87%,

01/25/37

(a)

....

1,099

964,903

Progress

Residential

Trust

(b)

Series

2019-SFR4,

Class

G,

3.93%,

10/17/36

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

2,000

1,954,730

Series

2020-SFR3,

Class

G,

4.11%,

10/17/27

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

2,750

2,594,174

Series

2021-SFR10,

Class

F,

4.61%,

12/17/40

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

1,500

1,288,117

Series

2021-SFR11,

Class

F,

4.42%,

01/17/39

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

2,000

1,700,948

Series

2022-SFR1,

Class

F,

4.88%,

02/17/41

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

2,500

2,229,015

RASC

Trust,

Series

2006-EMX9,

Class

1A4,

(LIBOR

USD

1

Month

+

0.24%),

2.74%,

11/25/36

(d)

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

1,194

979,604

Structured

Asset

Securities

Corp.

Mortgage

Loan

Trust,

Series

2007-MN1A,

Class

A1,

(LIBOR

USD

1

Month

+

0.23%),

2.49%,

01/25/37

(b)(d)

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

1,243

827,627

Tricon

American

Homes,

Series

2020-SFR1,

Class

F,

4.88%,

07/17/38

(b)

..........

1,050

1,029,789

VMC

Finance

LLC,

Series

2022-FL5,

Class

A,

(SOFR30A

+

1.90%),

3.34%,

02/18/39

(b)(d)

700

687,820

Total

Asset-Backed

Securities

—

21.4%

(Cost:

$52,135,915)

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

50,471,251

Corporate

Bonds

Insurance

—

0.5%

Sitka

Holdings

LLC,

(LIBOR

USD

3

Month

+

4.50%),

6.75%,

07/06/26

(b)(d)

.........

1,195

1,144,372

Total

Corporate

Bonds

—

0.5%

(Cost:

$1,183,050)

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

1,144,372

Non-Agency

Mortgage-Backed

Securities

Collateralized

Mortgage

Obligations

—

17.0%

Alternative

Loan

Trust

Series

2004-12CB,

Class

1A1,

5.00%,

07/25/19

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

1

774

Series

2006-45T1,

Class

2A7,

(LIBOR

USD

1

Month

+

0.34%),

2.60%,

02/25/37

(d)

.

1,498

656,791

Series

2006-OC11,

Class

2A2A,

(LIBOR

USD

1

Month

+

0.34%),

2.60%,

01/25/37

(c)(d)

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

—

(e)

2,228

Banc

of

America

Mortgage

Trust,

Series

2005-I,

Class

2A5,

2.73%,

10/25/35

(d)

........

95

91,324

Barclays

Mortgage

Trust

(b)

Series

2021-NPL1,

Class

A,

2.00%,

11/25/51

(a)

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

1,703

1,620,362

BlackRock

U.S.

Mortgage

Portfolio

3

(Percentages

shown

are

based

on

Net

Assets)

Schedule

of

Investments

(unaudited)

(continued)

July

31,

2022

Security

Par

(000)

Par

(000)

Value

Collateralized

Mortgage

Obligations

(continued)

Series

2021-NPL1,

Class

B,

4.62%,

11/25/51

(a)

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

USD

177

$

168,847

Series

2021-NPL1,

Class

C,

0.00%,

11/25/51

(c)

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

400

392,651

BCAP

LLC

Trust,

Series

2012-RR3,

Class

3A8,

3.39%,

07/26/37

(b)(d)

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

1,562

1,431,659

Bear

Stearns

ALT-A

Trust,

Series

2007-1,

Class

1A1,

(LIBOR

USD

1

Month

+

0.32%),

2.58%,

01/25/47

(d)

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

703

619,152

ChaseFlex

Trust,

Series

2007-1,

Class

2A7,

6.00%,

02/25/37

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

1,912

900,767

CHL

Mortgage

Pass-Through

Trust,

Series

2005-17,

Class

1A6,

5.50%,

09/25/35

...

28

26,430

Citigroup

Mortgage

Loan

Trust,

Series

2015-A,

Class

B4,

4.50%,

06/25/58

(b)(d)

........

1,581

1,484,787

CitiMortgage

Alternative

Loan

Trust,

Series

2007-A5,

Class

1A6,

6.00%,

05/25/37

...

598

563,046

Credit

Suisse

Mortgage

Capital

Certificates,

Series

2010-6R,

Class

2A6B,

6.25%,

07/26/37

(b)

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

705

713,482

Federal

Home

Loan

Mortgage

Corp.

STACR

REMIC

Trust

Variable

Rate

Notes,

Series

2020-DNA5,

Class

B1,

(SOFR30A

+

4.80%),

6.31%,

10/25/50

(b)(d)

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

2,500

2,559,933

GSR

Mortgage

Loan

Trust,

Series

2006-9F,

Class

3A1,

6.25%,

10/25/36

.........

653

614,668

Homeward

Opportunities

Fund

I

Trust

(b)(d)

Series

2020-2,

Class

B1,

5.45%,

05/25/65

1,985

1,917,755

Series

2020-2,

Class

M1,

3.90%,

05/25/65

2,625

2,552,305

IndyMac

INDX

Mortgage

Loan

Trust,

Series

2006-AR15,

Class

A1,

(LIBOR

USD

1

Month

+

0.24%),

2.50%,

07/25/36

(d)

.........

650

606,818

Lehman

XS

Trust,

Series

2007-16N,

Class

AF2,

(LIBOR

USD

1

Month

+

1.90%),

4.16%,

09/25/47

(d)

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

1,078

1,293,118

MCM

Trust

(c)

Series

2018-NPL2,  3.00%,

08/25/28

(b)

..

609

596,384

Series

2021-VFN1,  3.00%,

08/28/28

...

294

195,572

New

Residential

Mortgage

Loan

Trust,

Series

2020-RPL1,

Class

B3,

3.88%,

11/25/59

(b)(d)

2,500

1,919,842

RALI

Trust,

Series

2007-QS1,

Class

1A5,

(LIBOR

USD

1

Month

+

0.55%),

2.81%,

01/25/37

(d)

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

1,125

855,254

Reperforming

Loan

REMIC

Trust,

Series

2005-R3,

Class

AF,

(LIBOR

USD

1

Month

+

0.40%),

2.66%,

09/25/35

(b)(d)

.........

179

159,355

Residential

Asset

Securitization

Trust

(d)

Series

2006-A7CB,

Class

2A2,

(LIBOR

USD

1

Month

+

0.55%),

2.81%,

07/25/36

..

2,599

384,748

Series

2006-A7CB,

Class

2A5,

(LIBOR

USD

1

Month

+

0.25%),

2.51%,

07/25/36

..

569

73,590

Series

2006-A7CB,

Class

2A6,

(LIBOR

USD

1

Month

+

54.00%),

35.93%,

07/25/36

457

728,214

RMF

Buyout

Issuance

Trust,

Series

2021-HB1,

Class

M6,

6.00%,

11/25/31

(b)(c)(d)

.......

1,562

1,272,218

Seasoned

Loans

Structured

Transaction

Trust

(b)

(d)

Series

2020-2,

Class

M1,

4.75%,

09/25/60

3,320

3,207,968

Series

2020-3,

Class

M1,

4.75%,

04/26/60

2,500

2,416,832

Spruce

Hill

Mortgage

Loan

Trust,

Series

2020-

SH2,

Class

B1,

5.00%,

06/25/55

(b)(d)

....

2,764

2,624,779

TVC

Mortgage

Trust,

Series

2020-RTL1,

Class

A1,

3.47%,

09/25/24

(b)

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

761

757,136

Verus

Securitization

Trust,

Series

2020-INV1,

Class

B1,

5.75%,

03/25/60

(b)(d)

........

1,100

1,072,282

Security

Par

(000)

Par

(000)

Value

Collateralized

Mortgage

Obligations

(continued)

WaMu

Mortgage

Pass-Through

Certificates

Trust,

Series

2007-OA5,

Class

2A,

(Federal

Reserve

US

12

Month

Cumulative

Average

1

Year

CMT

+

0.80%),

1.44%,

06/25/47

(d)

.

USD

2,017

$

1,671,183

Washington

Mutual

Mortgage

Pass-Through

Certificates

WMALT

Trust

Series

2006-2,

Class

2CB,

6.50%,

03/25/36

800

603,179

Series

2007-5,

Class

A3,

7.00%,

06/25/37

222

147,994

Western

Mortgage

Reference

Notes

(b)(d)

Series

2021-CL2,

Class

M1,

(SOFR30A

+

3.15%),

4.66%,

07/25/59

.........

1,569

1,553,630

Series

2021-CL2,

Class

M2,

(SOFR30A

+

3.70%),

5.21%,

07/25/59

.........

1,578

1,563,038

40,020,095

Commercial

Mortgage-Backed

Securities

—

28.2%

1211

Avenue

of

the

Americas

Trust,

Series

2015-1211,

Class

A1A2,

3.90%,

08/10/35

(b)

370

359,546

280

Park

Avenue

Mortgage

Trust,

Series

2017-280P,

Class

E,

(LIBOR

USD

1

Month

+

2.12%),

3.99%,

09/15/34

(b)(d)

.........

560

509,604

Alen

Mortgage

Trust,

Series

2021-ACEN,

Class

D,

(LIBOR

USD

1

Month

+

3.10%),

5.10%,

04/15/34

(b)(d)

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

276

254,262

Arbor

Multifamily

Mortgage

Securities

Trust,

Series

2020-MF1,

Class

E,

1.75%,

05/15/53

(b)

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

750

486,678

AREIT

Trust

(b)(d)

Series

2021-CRE5,

Class

A,

(LIBOR

USD

1

Month

+

1.08%),

3.24%,

11/17/38

...

655

630,809

Series

2022-CRE6,

Class

A,

(SOFR30A

+

1.25%),

2.72%,

01/16/37

.........

650

624,262

Ashford

Hospitality

Trust

(b)(d)

Series

2018-ASHF,

Class

D,

(LIBOR

USD

1

Month

+

2.10%),

4.10%,

04/15/35

...

280

261,927

Series

2018-ASHF,

Class

E,

(LIBOR

USD

1

Month

+

3.10%),

5.10%,

04/15/35

...

470

428,030

Atrium

Hotel

Portfolio

Trust,

Series

2017-ATRM,

Class

E,

(LIBOR

USD

1

Month

+

3.05%),

5.05%,

12/15/36

(b)(d)

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

815

737,060

BAMLL

Commercial

Mortgage

Securities

Trust,

Series

2018-DSNY,

Class

D,

(LIBOR

USD

1

Month

+

1.70%),

3.70%,

09/15/34

(b)(d)

...

160

151,239

BANK

Series

2021-BN35,

Class

A5,

2.29%,

06/15/64

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

730

641,537

Series

2021-BN38,

Class

A5,

2.52%,

12/15/64

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

1,700

1,517,455

Bayview

Commercial

Asset

Trust

(b)(d)

Series

2006-3A,

Class

A2,

(LIBOR

USD

1

Month

+

0.45%),

2.71%,

10/25/36

...

906

844,524

Series

2006-4A,

Class

A1,

(LIBOR

USD

1

Month

+

0.35%),

2.60%,

12/25/36

...

717

660,108

BBCMS

Mortgage

Trust

Series

2017-DELC,

Class

F,

(LIBOR

USD

1

Month

+

3.50%),

5.50%,

08/15/36

(b)(d)

.

618

588,905

Series

2020-C7,

Class

A5,

2.04%,

04/15/53

1,950

1,711,667

Series

2020-C7,

Class

D,

3.60%,

04/15/53

(b)

(d)

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

500

370,833

Series

2021-C12,

Class

A5,

2.69%,

11/15/54

3,000

2,716,856

Benchmark

Mortgage

Trust,

Series

2019-B15,

Class

A5,

2.93%,

12/15/72

..........

2,500

2,342,472

BFLD

Trust,

Series

2020-EYP,

Class

E,

(LIBOR

USD

1

Month

+

3.70%),

5.70%,

10/15/35

(b)(d)

685

643,796

BHMS,

Series

2018-ATLS,

Class

C,

(LIBOR

USD

1

Month

+

1.90%),

3.90%,

07/15/35

(b)(d)

269

254,137

BlackRock

U.S.

Mortgage

Portfolio

4

(Percentages

shown

are

based

on

Net

Assets)

Schedule

of

Investments

(unaudited)

(continued)

July

31,

2022

Security

Par

(000)

Par

(000)

Value

Commercial

Mortgage-Backed

Securities

(continued)

BPR

Trust

(b)(d)

Series

2021-TY,

Class

A,

(LIBOR

USD

1

Month

+

1.05%),

3.05%,

09/15/38

...

USD

1,000

$

957,700

Series

2021-TY,

Class

E,

(LIBOR

USD

1

Month

+

3.60%),

5.60%,

09/15/38

...

750

713,922

Series

2022-SSP,

Class

A,

(TSFR1M

+

3.00%),

4.96%,

05/15/39

.........

370

366,845

BX

Commercial

Mortgage

Trust

(b)(d)

Series

2019-XL,

Class

D,

(LIBOR

USD

1

Month

+

1.45%),

3.45%,

10/15/36

...

1,190

1,160,056

Series

2020-VKNG,

Class

F,

(LIBOR

USD

1

Month

+

2.75%),

4.75%,

10/15/37

...

745

693,960

Series

2021-CIP,

Class

E,

(LIBOR

USD

1

Month

+

2.82%),

4.82%,

12/15/38

...

585

548,312

Series

2021-MC,

Class

F,

(LIBOR

USD

1

Month

+

2.35%),

4.35%,

04/15/34

...

275

253,597

Series

2021-SOAR,

Class

G,

(LIBOR

USD

1

Month

+

2.80%),

4.80%,

06/15/38

...

248

228,191

Series

2021-SOAR,

Class

J,

(LIBOR

USD

1

Month

+

3.75%),

5.75%,

06/15/38

...

119

112,142

Series

2021-VINO,

Class

F,

(LIBOR

USD

1

Month

+

2.80%),

4.80%,

05/15/38

...

275

253,781

Series

2021-XL2,

Class

A,

(LIBOR

USD

1

Month

+

0.69%),

2.69%,

10/15/38

...

2,474

2,376,176

Series

2022-CSMO,

Class

C,

(TSFR1M

+

3.89%),

5.85%,

06/15/27

.........

260

255,439

Series

2022-LP2,

Class

F,

(TSFR1M

+

3.26%),

5.36%,

02/15/39

.........

1,354

1,251,636

BX

Trust

(b)

Series

2019-OC11,

Class

A,

3.20%,

12/09/41

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

1,410

1,281,789

Series

2019-OC11,

Class

E,

4.08%,

12/09/41

(d)

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

123

105,285

Series

2021-ARIA,

Class

G,

(LIBOR

USD

1

Month

+

3.14%),

5.14%,

10/15/36

(d)

..

300

275,952

Series

2021-SDMF,

Class

J,

(LIBOR

USD

1

Month

+

4.03%),

6.03%,

09/15/34

(d)

..

570

523,679

Series

2021-VIEW,

Class

D,

(LIBOR

USD

1

Month

+

2.90%),

4.90%,

06/15/36

(d)

..

275

260,927

Series

2022-IND,

Class

E,

(TSFR1M

+

3.99%),

6.09%,

04/15/37

(d)

........

650

635,338

Series

2022-VAMF,

Class

F,

(TSFR1M

+

3.30%),

5.26%,

01/15/39

(d)

........

450

419,906

BXP

Trust,

Series

2021-601L,

Class

D,

2.78%,

01/15/44

(b)(d)

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

750

546,024

CFCRE

Commercial

Mortgage

Trust,

Series

2018-TAN,

Class

E,

6.45%,

02/15/33

(b)(d)

.

300

291,431

CFK

Trust,

Series

2020-MF2,

Class

B,

2.79%,

03/15/39

(b)

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

336

303,662

Citigroup

Commercial

Mortgage

Trust,

Series

2019-PRM,

Class

E,

4.73%,

05/10/36

(b)(d)

.

100

100,319

Commercial

Mortgage

Trust

Series

2014-UBS2,

Class

A5,

3.96%,

03/10/47

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

345

343,111

Series

2015-CR25,

Class

A3,

3.51%,

08/10/48

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

574

562,428

Series

2015-CR25,

Class

C,

4.53%,

08/10/48

(d)

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

255

234,960

Series

2017-PANW,

Class

A,

3.24%,

10/10/29

(b)

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

1,580

1,524,114

Credit

Suisse

Mortgage

Capital

Certificates

(b)(d)

Series

2019-ICE4,

Class

E,

(LIBOR

USD

1

Month

+

2.15%),

4.15%,

05/15/36

...

280

271,531

Series

2020-FACT,

Class

F,

(LIBOR

USD

1

Month

+

6.16%),

8.16%,

10/15/37

...

600

567,808

Series

2020-NET,

Class

E,

3.70%,

08/15/37

750

676,548

Security

Par

(000)

Par

(000)

Value

Commercial

Mortgage-Backed

Securities

(continued)

Series

2021-980M,

Class

E,

3.54%,

07/15/31

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

USD

730

$

618,204

CSAIL

Commercial

Mortgage

Trust

Series

2018-C14,

Class

A4,

4.42%,

11/15/51

(d)

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

600

611,226

Series

2019-C16,

Class

C,

4.24%,

06/15/52

(d)

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

511

460,050

Series

2019-C17,

Class

C,

3.93%,

09/15/52

(c)

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

392

343,146

CSMC

Trust,

Series

2021-BHAR,

Class

E,

(LIBOR

USD

1

Month

+

3.50%),

5.50%,

11/15/38

(b)(c)(d)

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

300

289,125

DBGS

Mortgage

Trust

(b)(d)

Series

2018-BIOD,

Class

F,

(LIBOR

USD

1

Month

+

2.00%),

3.87%,

05/15/35

...

210

201,522

Series

2018-BIOD,

Class

G,

(LIBOR

USD

1

Month

+

2.50%),

4.37%,

05/15/35

...

275

261,205

ELP

Commercial

Mortgage

Trust,

Series

2021-ELP,

Class

J,

(LIBOR

USD

1

Month

+

3.61%),

5.61%,

11/15/38

(b)(d)

.........

750

697,185

Extended

Stay

America

Trust,

Series

2021-

ESH,

Class

F,

(LIBOR

USD

1

Month

+

3.70%),

5.70%,

07/15/38

(b)(d)

.........

527

517,500

GS

Mortgage

Securities

Corp.

II,

Series

2005-

ROCK,

Class

A,

5.37%,

05/03/32

(b)

.....

335

339,000

GS

Mortgage

Securities

Corp.

Trust

(b)(d)

Series

2021-DM,

Class

F,

(LIBOR

USD

1

Month

+

3.44%),

5.43%,

11/15/36

...

440

411,415

Series

2021-IP,

Class

E,

(LIBOR

USD

1

Month

+

3.55%),

5.55%,

10/15/36

...

300

285,266

Series

2021-STAR,

Class

B,

(LIBOR

USD

1

Month

+

1.40%),

3.40%,

12/15/36

...

870

831,228

GS

Mortgage

Securities

Trust,

Series

2015-

GC32,

Class

D,

3.35%,

07/10/48

......

34

29,226

Hawaii

Hotel

Trust,

Series

2019-MAUI,

Class

A,

(LIBOR

USD

1

Month

+

1.15%),

3.15%,

05/15/38

(b)(d)

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

250

243,409

Hilton

USA

Trust,

Series

2016-HHV,

Class

C,

4.19%,

11/05/38

(b)(d)

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

519

490,444

HONO

Mortgage

Trust

(b)(d)

Series

2021-LULU,

Class

E,

(LIBOR

USD

1

Month

+

3.35%),

5.35%,

10/15/36

...

590

556,831

Series

2021-LULU,

Class

F,

(LIBOR

USD

1

Month

+

4.40%),

6.40%,

10/15/36

...

410

385,612

Hudson

Yards

Mortgage

Trust,

Series

2019-

30HY,

Class

D,

3.44%,

07/10/39

(b)(d)

....

208

180,533

IMT

Trust,

Series

2017-APTS,

Class

BFX,

3.50%,

06/15/34

(b)(d)

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

1,250

1,210,088

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust

(b)

Series

2016-NINE,

Class

A,

2.85%,

09/06/38

(d)

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

640

597,739

Series

2018-AON,

Class

A,

4.13%,

07/05/31

610

599,481

Series

2022-ACB,

Class

D,

(SOFR30A

+

2.90%),

4.32%,

03/15/39

(d)

........

600

590,229

Series

2022-OPO,

Class

D,

3.45%,

01/05/39

(d)

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

750

637,807

Life

Mortgage

Trust,

Series

2021-BMR,

Class

F,

(LIBOR

USD

1

Month

+

2.35%),

4.35%,

03/15/38

(b)(d)

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

262

245,012

Med

Trust,

Series

2021-MDLN,

Class

G,

(LIBOR

USD

1

Month

+

5.25%),

7.25%,

11/15/38

(b)(d)

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

750

701,275

MF1

Multifamily

Housing

Mortgage

Loan

Trust,

Series

2021-W10,

Class

G,

(TSFR1M

+

4.22%),

6.18%,

12/15/34

(b)(c)(d)

........

450

434,202

BlackRock

U.S.

Mortgage

Portfolio

5

(Percentages

shown

are

based

on

Net

Assets)

Schedule

of

Investments

(unaudited)

(continued)

July

31,

2022

Security

Par

(000)

Par

(000)

Value

Commercial

Mortgage-Backed

Securities

(continued)

MFT

Trust,

Series

2020-ABC,

Class

C,

3.48%,

02/10/42

(b)(d)

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

USD

292

$

242,380

MHC

Commercial

Mortgage

Trust

(b)(d)

Series

2021-MHC,

Class

A,

(LIBOR

USD

1

Month

+

0.80%),

2.80%,

04/15/38

...

166

160,809

Series

2021-MHC,

Class

F,

(LIBOR

USD

1

Month

+

2.60%),

4.60%,

04/15/38

...

266

251,052

MHP,

Series

2021-STOR,

Class

J,

(LIBOR

USD

1

Month

+

3.95%),

5.95%,

07/15/38

(b)(d)

..

280

264,600

Morgan

Stanley

Bank

of

America

Merrill

Lynch

Trust,

Series

2015-C26,

Class

A5,

3.53%,

10/15/48

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

1,103

1,088,606

Morgan

Stanley

Capital

I

Trust

Series

2014-150E,

Class

A,

3.91%,

09/09/32

(b)

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

595

577,623

Series

2017-CLS,

Class

E,

(LIBOR

USD

1

Month

+

1.95%),

3.95%,

11/15/34

(b)(c)(d)

675

669,398

Series

2017-HR2,

Class

D,

2.73%,

12/15/50

(b)

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

555

428,666

Series

2018-H4,

Class

A4,

4.31%,

12/15/51

1,824

1,846,848

Series

2018-SUN,

Class

A,

(LIBOR

USD

1

Month

+

0.90%),

2.90%,

07/15/35

(b)(d)

.

595

578,535

Series

2020-L4,

Class

D,

2.50%,

02/15/53

(b)

116

82,405

MSCG

Trust,

Series

2018-SELF,

Class

F,

(LIBOR

USD

1

Month

+

3.05%),

5.05%,

10/15/37

(b)(d)

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

295

275,744

MTN

Commercial

Mortgage

Trust,

Series

2022-

LPFL,

Class

F,

(TSFR1M

+

5.29%),

7.24%,

03/15/39

(b)(d)

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

415

391,804

Natixis

Commercial

Mortgage

Securities

Trust,

Series

2018-FL1,

Class

A,

(LIBOR

USD

1

Month

+

0.95%),

2.95%,

06/15/35

(b)(d)

...

100

96,805

One

Bryant

Park

Trust,

Series

2019-OBP,

Class

A,

2.52%,

09/15/54

(b)

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

1,072

948,243

PKHL

Commercial

Mortgage

Trust,

Series

2021-MF,

Class

NR,

(LIBOR

USD

1

Month

+

6.00%),

8.00%,

07/15/38

(b)(d)

.........

300

283,555

SMRT,

Series

2022-MINI,

Class

E,

(TSFR1M

+

2.70%),

4.66%,

01/15/39

(b)(d)

.........

450

418,476

SREIT

Trust

(b)(d)

Series

2021-MFP,

Class

F,

(LIBOR

USD

1

Month

+

2.62%),

4.62%,

11/15/38

...

750

711,147

Series

2021-PALM,

Class

G,

(LIBOR

USD

1

Month

+

3.62%),

5.62%,

10/15/34

...

750

702,243

STWD

Trust,

Series

2021-FLWR,

Class

G,

(LIBOR

USD

1

Month

+

3.67%),

5.67%,

07/15/23

(b)(d)

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

280

263,200

UBS-Barclays

Commercial

Mortgage

Trust,

Series

2012-C3,

Class

D,

5.07%,

08/10/49

(b)

(d)

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

654

652,563

Velocity

Commercial

Capital

Loan

Trust

(b)(d)

Series

2019-3,

Class

M4,

3.68%,

10/25/49

1,397

1,235,027

Series

2020-1,

Class

M4,

3.54%,

02/25/50

832

738,925

Series

2021-4,

Class

M5,

5.68%,

12/26/51

1,970

1,650,273

Wells

Fargo

Commercial

Mortgage

Trust

Series

2016-NXS5,

Class

C,

4.98%,

01/15/59

(d)

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

238

228,218

Series

2018-1745,

Class

A,

3.75%,

06/15/36

(b)(d)

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

1,990

1,873,150

Series

2019-C52,

Class

C,

3.56%,

08/15/52

(c)

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

520

447,180

Series

2021-C59,

Class

A5,

2.63%,

04/15/54

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

500

449,451

WFRBS

Commercial

Mortgage

Trust

Series

2014-C21,

Class

A4,

3.41%,

08/15/47

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

539

528,450

Security

Par

(000)

Par

(000)

Value

Commercial

Mortgage-Backed

Securities

(continued)

Series

2014-C22,

Class

C,

3.76%,

09/15/57

(d)

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

USD

63

$

59,794

Series

2014-LC14,

Class

A4,

3.77%,

03/15/47

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

680

676,353

66,421,759

Interest

Only

Collateralized

Mortgage

Obligations

—

0.4%

(d)

Alternative

Loan

Trust,

Series

2006-45T1,

Class

2A8,

(LIBOR

USD

1

Month

+

6.60%),

4.34%,

02/25/37

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

749

182,534

GSR

Mortgage

Loan

Trust,

Series

2007-3F,

Class

4A2,

(LIBOR

USD

1

Month

+

6.70%),

4.44%,

05/25/37

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

3,951

784,668

967,202

Interest

Only

Commercial

Mortgage-Backed

Securities

—

0.8%

(d)

BANK,

Series

2017-BNK9,

Class

XA,

0.77%,

11/15/54

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

4,137

134,072

BBCMS

Mortgage

Trust

Series

2020-C7,

Class

XA,

1.62%,

04/15/53

3,013

242,907

Series

2020-C7,

Class

XB,

0.99%,

04/15/53

1,000

64,138

Benchmark

Mortgage

Trust,

Series

2020-B17,

Class

XB,

0.53%,

03/15/53

..........

15,395

488,021

Citigroup

Commercial

Mortgage

Trust,

Series

2020-420K,

Class

X,

0.83%,

11/10/42

(b)

..

3,975

223,193

CSAIL

Commercial

Mortgage

Trust

Series

2018-C14,

Class

XA,

0.56%,

11/15/51

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

1,129

32,104

Series

2019-C16,

Class

XA,

1.55%,

06/15/52

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

3,922

321,798

UBS

Commercial

Mortgage

Trust,

Series

2019-

C17,

Class

XA,

1.47%,

10/15/52

......

3,246

251,697

Wells

Fargo

Commercial

Mortgage

Trust,

Series

2017-C41,

Class

XA,

1.16%,

11/15/50

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

3,692

175,213

1,933,143

Total

Non-Agency

Mortgage-Backed

Securities

—

46.4%

(Cost:

$115,948,831)

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

109,342,199

U.S.

Government

Sponsored

Agency

Securities

Collateralized

Mortgage

Obligations

—

0.9%

Federal

Home

Loan

Mortgage

Corp.,

Series

4161,

Class

BW,

2.50%, 02/15/43

.....

200

187,821

Federal

Home

Loan

Mortgage

Corp.

Structured

Agency

Credit

Risk

Debt

Variable

Rate

Notes,

Series

2020-HQA5,

Class

B1,

(SOFR30A

+

4.00%),

5.51%, 11/25/50

(b)(d)

1,000

965,753

Federal

Home

Loan

Mortgage

Corp.

Variable

Rate

Notes,

Series

2411,

Class

FJ,

(LIBOR

USD

1

Month

+

0.35%),

2.35%, 12/15/29

(d)

2

2,441

Federal

National

Mortgage

Association

Series

2010-134,

Class

KZ,

4.50%, 12/25/40

105

109,188

Series

2010-141,

Class

LZ,

4.50%, 12/25/40

205

216,210

Series

2011-131,

Class

LZ,

4.50%, 12/25/41

141

151,359

Federal

National

Mortgage

Association

Variable

Rate

Notes,

Series

2018-32,

Class

PS,

(LIBOR

USD

1

Month

+

7.23%),

4.60%, 05/25/48

(d)

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

189

190,074

Government

National

Mortgage

Association,

Series

2019-29,

Class

HY,

3.50%, 03/20/49

100

97,770

Government

National

Mortgage

Association

Variable

Rate

Notes,

Series

2014-107,

Class

WX,

6.75%, 07/20/39

(d)

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

207

224,602

2,145,218

BlackRock

U.S.

Mortgage

Portfolio

6

(Percentages

shown

are

based

on

Net

Assets)

Schedule

of

Investments

(unaudited)

(continued)

July

31,

2022

Security

Par

(000)

Par

(000)

Value

Commercial

Mortgage-Backed

Securities

—

0.2%

Federal

Home

Loan

Mortgage

Corp.

Multifamily

WI

Certificates,

Series

K146,

Class

A2,

2.92%, 07/25/32

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

USD

190

$

183,366

Government

National

Mortgage

Association,

Series

2019-53,

Class

V,

2.75%, 08/16/31

192

184,534

367,900

Interest

Only

Collateralized

Mortgage

Obligations

—

1.3%

Federal

Home

Loan

Mortgage

Corp.

Series

4062,

Class

GI,

4.00%, 02/15/41

.

136

8,687

Series

4533,

Class

JI,

5.00%, 12/15/45

..

152

29,132

Series

5159,

Class

KI,

3.00%, 11/25/51

..

662

81,012

Series

5159,

Class

PI,

3.00%, 11/25/51

..

1,006

136,121

Series

5176,

Class

QI,

3.00%, 12/25/51

(c)

644

98,588

Federal

Home

Loan

Mortgage

Corp.

Variable

Rate

Notes

(d)

Series

4119,

Class

SC,

(LIBOR

USD

1

Month

+

6.15%),

4.15%, 10/15/42

...

742

104,448

Series

4901,

Class

CS,

(LIBOR

USD

1

Month

+

6.10%),

3.84%, 07/25/49

...

534

86,506

Series

4941,

Class

SH,

(LIBOR

USD

1

Month

+

5.95%),

3.69%, 12/25/49

...

477

73,696

Federal

National

Mortgage

Association

Series

2013-10,

Class

PI,

3.00%, 02/25/43

521

69,946

Series

2014-68,

Class

YI,

4.50%, 11/25/44

218

46,475

Series

2015-74,

Class

IA,

6.00%, 10/25/45

1,039

236,462

Series

2015-77,

6.00%, 10/25/45

......

1,243

282,489

Series

2017-68,

Class

IE,

4.50%, 09/25/47

(c)

708

123,327

Series

2021-23,

Class

CI,

3.50%, 07/25/46

708

121,526

Series

2021-41,

3.50%, 07/25/51

......

845

141,607

Federal

National

Mortgage

Association

Variable

Rate

Notes

(d)

Series

2016-60,

Class

SD,

(LIBOR

USD

1

Month

+

6.10%),

3.84%, 09/25/46

(c)

..

1,134

124,873

Series

2016-78,

Class

CS,

(LIBOR

USD

1

Month

+

6.10%),

3.84%, 05/25/39

(c)

..

1,445

157,941

Series

2017-70,

Class

SA,

(LIBOR

USD

1

Month

+

6.15%),

3.89%, 09/25/47

...

700

105,149

Series

2019-5,

Class

SA,

(LIBOR

USD

1

Month

+

6.10%),

3.84%, 03/25/49

(c)

..

873

113,522

Series

2019-25,

Class

SA,

(LIBOR

USD

1

Month

+

6.05%),

3.79%, 06/25/49

...

3,278

476,186

Series

2019-35,

Class

SA,

(LIBOR

USD

1

Month

+

6.10%),

3.84%, 07/25/49

...

416

58,288

Government

National

Mortgage

Association

Series

2017-139,

Class

IB,

4.50%, 09/20/47

(c)

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

560

99,416

Series

2017-144,

Class

DI,

4.50%, 09/20/47

(c)

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

384

67,377

Series

2021-104,

Class

IH,

3.00%, 06/20/51

1,116

167,600

Government

National

Mortgage

Association

Variable

Rate

Notes,

Series

2017-101,

Class

SL,

(LIBOR

USD

1

Month

+

6.20%),

4.07%, 07/20/47

(c)(d)

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

470

62,810

3,073,184

Interest

Only

Commercial

Mortgage-Backed

Securities

—

0.5%

(d)

Federal

Home

Loan

Mortgage

Corp.

Multifamily

Structured

Pass-Through

Certificates

Variable

Rate

Notes

Series

K110,

Class

X1,

1.70%, 04/25/30

.

5,331

542,527

Series

K722,

Class

X1,

1.31%, 03/25/23

.

2,726

10,328

Government

National

Mortgage

Association

Variable

Rate

Notes

Series

2016-151,

0.88%, 06/16/58

.....

9,893

427,254

Security

Par

(000)

Par

(000)

Value

Interest

Only

Commercial

Mortgage-Backed

Securities

(continued)

Series

2020-43,

1.26%, 11/16/61

......

USD

2,188

$

167,385

1,147,494

Mortgage-Backed

Securities

—

47.6%

Federal

Home

Loan

Mortgage

Corp.

2.50%, 03/01/30

-

04/01/31

..........

708

698,268

3.00%, 09/01/27

-

12/01/46

..........

1,008

992,139

3.50%, 12/01/41

-

01/01/48

..........

1,290

1,316,036

4.00%, 08/01/40

-

12/01/45

..........

396

407,315

4.50%, 07/01/26

-

09/01/48

..........

541

563,203

5.00%, 05/01/35

-

02/01/42

..........

685

727,672

5.50%, 02/01/35

-

06/01/41

..........

383

411,479

6.00%, 08/01/28

-

11/01/39

..........

20

22,154

Federal

National

Mortgage

Association

3.50%, 11/01/46

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

381

381,493

4.00%, 01/01/41

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

30

30,793

6.00%, 07/01/39

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

294

313,943

Federal

National

Mortgage

Association

Variable

Rate

Notes

(d)

3.09%, 09/01/27

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

181

180,236

3.22%, 03/01/27

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

503

504,629

Government

National

Mortgage

Association

2.00%, 08/15/52

(f)

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

3,624

3,328,418

2.50%, 08/15/52

(f)

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

3,690

3,494,582

3.00%, 02/15/45

-

01/20/51

..........

801

783,525

3.00%, 08/15/52

(f)

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

9,605

9,353,100

3.50%, 01/15/42

-

10/20/46

..........

952

964,396

3.50%, 08/15/52

(f)

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

12,000

11,945,625

4.00%, 04/20/39

-

06/20/50

..........

3,162

3,221,192

4.00%, 08/15/52

(f)

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

558

563,733

4.50%, 09/20/39

-

04/20/47

..........

1,716

1,797,298

5.00%, 12/15/34

-

07/20/44

..........

1,200

1,272,149

5.50%, 07/15/38

-

12/20/41

..........

414

446,182

6.50%, 10/15/38

-

02/20/41

..........

144

157,141

Uniform

Mortgage-Backed

Securities

1.50%, 08/25/37

-

08/25/52

(f)

.........

8,437

7,530,633

2.00%, 10/01/31

-

03/01/32

..........

556

537,785

2.00%, 08/25/37

-

08/25/52

(f)

.........

22,595

20,608,036

2.50%, 04/01/30

-

03/01/32

..........

1,131

1,115,237

2.50%, 08/25/37

-

08/25/52

(f)

.........

19,559

18,287,815

3.00%, 04/01/28

-

08/01/50

..........

3,292

3,272,429

3.00%, 08/25/52

(f)

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

5,839

5,622,576

3.50%, 11/01/27

-

04/01/48

..........

1,982

1,997,923

4.00%, 08/01/31

-

05/01/49

..........

2,178

2,239,511

4.00%, 08/25/52

(f)

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

2,697

2,710,670

4.50%, 07/01/24

-

07/01/48

..........

1,962

2,040,444

5.00%, 01/01/23

-

06/01/39

..........

1,152

1,214,947

5.50%, 06/01/24

-

03/01/40

..........

573

613,608

6.00%, 12/01/32

-

09/01/40

..........

390

423,405

6.50%, 09/01/36

-

05/01/40

..........

104

113,058

112,204,778

Total

U.S.

Government

Sponsored

Agency

Securities

—

50.5%

(Cost:

$117,795,650)

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

118,938,574

Total

Long-Term

Investments

—

118.8%

(Cost:

$287,063,446)

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

279,896,396

BlackRock

U.S.

Mortgage

Portfolio

7

(Percentages

shown

are

based

on

Net

Assets)

Schedule

of

Investments

(unaudited)

(continued)

July

31,

2022

Security

Shares

Shares

Value

Short-Term

Securities

Money

Market

Funds

—

1.1%

Dreyfus

Treasury

Prime

Cash

Management

Institutional

Shares,

1.48%

(g)

.........

2,677,287

$

2,677,287

Total

Money

Market

Funds

—

1.1%

(Cost:

$2,677,287)

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

2,677,287

Par

(000)

Pa

r

(

000)

U.S.

Treasury

Obligations

—

13.8%

U.S.

Treasury

Bills

(h)

0.85%, 08/02/22

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

USD

529

528,974

0.89%, 08/09/22

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

666

665,701

0.99%, 08/16/22

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

666

665,430

1.01%, 08/18/22

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

2,382

2,379,680

1.04%, 08/23/22

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

1,510

1,508,093

1.06%, 08/25/22

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

52

51,929

1.23%, 09/08/22

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

238

237,468

1.54%, 09/15/22

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

814

811,855

2.41%, 10/20/22

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

1,245

1,238,595

Security

Par

(000)

Par

(000)

Value

2.34%, 10/27/22

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

USD

24,394

$

24,255,855

Total

U.S.

Treasury

Obligations

—

13.8%

(Cost:

$32,347,623)

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

32,343,580

Total

Short-Term

Securities

—

14.9%

(Cost:

$35,024,910)

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

35,020,867

Total

Investments

Before

Options

Written

and

TBA

Sale

Commitments

—

133.7%

(Cost:

$322,088,356

)

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

314,917,263

Total

Options

Written

—

(0.4)%

(Premium

Received

—

$(986,777))

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

(960,777)

TBA

Sale

Commitments

Mortgage-Backed

Securities

—

(4.2)%

Uniform

Mortgage-Backed

Securities

(f)

2.50%

,

 08/25/52

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

(8,169)

(7,611,292)

3.50%

,

 08/25/52

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

(2,236)

(2,212,629)

Total

TBA

Sale

Commitments

—

(4.2)%

(Proceeds:

$(9,660,217))

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

(9,823,921)

Total

Investments

Net

of

Options

Written

and

TBA

Sale

Commitments

—

129.1%

(Cost:

$311,441,362

)

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

304,132,565

Liabilities

in

Excess

of

Other

Assets

—

(29.1)%

...........

(68,581,478)

Net

Assets

—

100.0%

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

$

235,551,087

(a)

Step

coupon

security.

Coupon

rate

will

either

increase

(step-up

bond)

or

decrease

(step-down

bond)

at

regular

intervals

until

maturity.

Interest

rate

shown

reflects

the

rate

currently

in

effect.

(b)

Security

exempt

from

registration

pursuant

to

Rule

144A

under

the

Securities

Act

of

1933,

as

amended.

These

securities

may

be

resold

in

transactions

exempt

from

registration

to

qualified

institutional

investors.

(c)

Security

is

valued

using

significant

unobservable

inputs

and

is

classified

as

Level

3

in

the

fair

value

hierarchy.

(d)

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)

Rounds

to

less

than

1,000.

(f)

Represents

or

includes

a

TBA

transaction.

(g)

Annualized

7-day

yield

as

of

period

end.

(h)

Rates

are

discount

rates

or

a

range

of

discount

rates

as

of

period

end.

BlackRock

U.S.

Mortgage

Portfolio

8

Schedule

of

Investments

(unaudited)

(continued)

July

31,

2022

Derivative

Financial

Instruments

Outstanding

as

of

Period

End

Futures

Contracts

Description

Number

of

Contracts

Expiration

Date

Notional

Amount

(000)

Value/

Unrealized

Appreciation

(Depreciation)

Long

Contracts

U.S.

Treasury

10

Year

Note

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

195

09/21/22

$

23,601

$

134,229

U.S.

Treasury

10

Year

Ultra

Note

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

11

09/21/22

1,441

27,090

U.S.

Treasury

Long

Bond

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

137

09/21/22

19,638

333,352

U.S.

Treasury

Ultra

Bond

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

60

09/21/22

9,384

26,689

U.S.

Treasury

2

Year

Note

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

47

09/30/22

9,893

(29,109)

492,251

Short

Contracts

90-day

Eurodollar

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

4

09/19/22

967

26,357

U.S.

Treasury

5

Year

Note

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

511

09/30/22

58,134

(263,217)

90-day

Eurodollar

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

4

12/19/22

963

27,582

(209,278)

$

282,973

OTC

Interest

Rate

Swaptions

Written

Paid

by

the

Fund

Received

by

the

Fund

Description

Rate

Frequency

Rate

Frequency

Counterparty

Expiration

Date

Exercise

Rate

Notional

Amount

(000)

Value

Call

2-Year

Interest

Rate

Swap

(a)

.

2.46%

Semi-Annual

1

day

SOFR

Annual

Barclays

Bank

plc

08/15/22

2.46

%

USD

10,400

$

(2,260)

2-Year

Interest

Rate

Swap

(a)

.

1.51%

Semi-Annual

1

day

SOFR

Annual

Barclays

Bank

plc

08/16/22

1.51

USD

8,500

(1)

2-Year

Interest

Rate

Swap

(a)

.

2.42%

Semi-Annual

1

day

SOFR

Annual

Deutsche

Bank

AG

08/22/22

2.42

USD

10,800

(3,742)

2-Year

Interest

Rate

Swap

(a)

.

1.22%

Semi-Annual

1

day

SOFR

Annual

Bank

of

America

NA

09/02/22

1.22

USD

8,500

(28)

2-Year

Interest

Rate

Swap

(a)

.

2.37%

Semi-Annual

1

day

SOFR

Annual

Deutsche

Bank

AG

10/05/22

2.37

USD

7,900

(11,170)

10-Year

Interest

Rate

Swap

(a)

1.71%

Semi-Annual

1

day

SOFR

Annual

Deutsche

Bank

AG

10/28/22

1.71

USD

5,400

(11,860)

2-Year

Interest

Rate

Swap

..

2.43%

Semi-Annual

1

day

SOFR

Annual

Bank

of

America

NA

10/31/22

2.43

USD

9,000

(22,223)

10-Year

Interest

Rate

Swap

(a)

2.10%

Semi-Annual

1

day

SOFR

Annual

Bank

of

America

NA

03/17/23

2.10

USD

1,700

(26,221)

10-Year

Interest

Rate

Swap

(a)

3.13%

Semi-Annual

1

day

SOFR

Annual

Deutsche

Bank

AG

06/14/23

3.13

USD

1,800

(129,760)

(207,265)

Put

2-Year

Interest

Rate

Swap

(a)

.

1

day

SOFR

Annual

3.35%

Semi-Annual

Barclays

Bank

plc

08/05/22

3.35

USD

9,300

(215)

2-Year

Interest

Rate

Swap

(a)

.

1

day

SOFR

Annual

3.22%

Semi-Annual

Deutsche

Bank

AG

08/09/22

3.22

USD

9,300

(2,376)

2-Year

Interest

Rate

Swap

(a)

.

1

day

SOFR

Annual

2.21%

Semi-Annual

Barclays

Bank

plc

08/16/22

2.21

USD

8,500

(113,174)

2-Year

Interest

Rate

Swap

(a)

.

1

day

SOFR

Annual

1.95%

Semi-Annual

Bank

of

America

NA

09/02/22

1.95

USD

8,500

(155,532)

2-Year

Interest

Rate

Swap

(a)

.

1

day

SOFR

Annual

3.66%

Semi-Annual

Deutsche

Bank

AG

10/13/22

3.66

USD

6,600

(7,010)

10-Year

Interest

Rate

Swap

(a)

1

day

SOFR

Annual

1.71%

Semi-Annual

Deutsche

Bank

AG

10/28/22

1.71

USD

5,400

(373,147)

10-Year

Interest

Rate

Swap

(a)

1

day

SOFR

Annual

2.10%

Semi-Annual

Bank

of

America

NA

03/17/23

2.10

USD

1,700

(78,269)

10-Year

Interest

Rate

Swap

(a)

1

day

SOFR

Annual

3.13%

Semi-Annual

Deutsche

Bank

AG

06/14/23

3.13

USD

1,800

(23,789)

(753,512)

$

(960,777)

(a)

Forward

settling

swaption.

BlackRock

U.S.

Mortgage

Portfolio

9

Schedule

of

Investments

(unaudited)

(continued)

July

31,

2022

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)

3

month

LIBOR

Quarterly

1.60%

Semi-Annual

08/04/22

USD

5,900

$

26,931

$

—

$

26,931

1.53%

Semi-Annual

3

month

LIBOR

Quarterly

08/08/22

USD

4,000

(16,680)

—

(16,680)

3

month

LIBOR

Quarterly

1.42%

Semi-Annual

09/10/22

USD

1,700

4,707

—

4,707

0.05%

Quarterly

1

day

EFFR

Quarterly

10/21/22

USD

133

814

—

814

1

day

SOFR

Quarterly

0.05%

Quarterly

10/21/22

USD

133

(791)

—

(791)

3.13%

Annual

1

day

SOFR

Annual

06/14/24

USD

4,100

(26,263)

—

(26,263)

0.18%

Quarterly

1

day

EFFR

Quarterly

10/21/25

USD

159

12,034

—

12,034

1

day

SOFR

Quarterly

0.17%

Quarterly

10/21/25

USD

159

(12,036)

—

(12,036)

2.85%

Semi-Annual

3

month

LIBOR

Quarterly

12/21/28

USD

1,000

(9,741)

—

(9,741)

1.61%

Semi-Annual

3

month

LIBOR

Quarterly

10/01/29

USD

2,000

135,018

—

135,018

0.56%

Quarterly

1

day

EFFR

Quarterly

10/21/30

USD

47

6,455

—

6,455

1

day

SOFR

Quarterly

0.53%

Quarterly

10/21/30

USD

47

(6,576)

—

(6,576)

3

month

LIBOR

Quarterly

1.75%

Semi-Annual

03/04/32

USD

1,000

(77,467)

—

(77,467)

2.16%

Annual

1

day

SOFR

Annual

04/01/32

USD

1,500

30,378

—

30,378

3

month

LIBOR

Quarterly

1.84%

Semi-Annual

04/22/32

USD

500

(36,502)

—

(36,502)

2.65%

Annual

1

day

SOFR

Annual

06/02/32

USD

2,300

(46,473)

—

(46,473)

2.99%

Annual

1

day

SOFR

Annual

06/22/32

USD

700

(34,714)

—

(34,714)

$

(50,906)

$

—

$

(50,906)

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

J.P.

Morgan

Securities

LLC

09/17/58

USD

3,100

$

508,453

$

299,779

$

208,674

$

–

$

–

$

–

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.A

........

2.00

%

Monthly

Goldman

Sachs

International

09/17/58

A

USD

275

$

(8,594)

$

(4,995)

$

(3,599)

CMBX.NA.9.A

........

2.00

Monthly

Morgan

Stanley

&

Co.

International

plc

09/17/58

A

USD

275

(8,594)

(5,074)

(3,520)

CMBX.NA.9.BBB-

.....

3.00

Monthly

Deutsche

Bank

AG

09/17/58

BBB-

USD

3,100

(508,453)

(328,109)

(180,344)

CMBX.NA.9.BBB-

.....

3.00

Monthly

Goldman

Sachs

International

09/17/58

BBB-

USD

1,790

(293,590)

(74,892)

(218,698)

CMBX.NA.9.BBB-

.....

3.00

Monthly

Morgan

Stanley

&

Co.

International

plc

09/17/58

BBB-

USD

935

(153,356)

(235,308)

81,952

$

(972,587)

$

(648,378)

$

(324,209)

(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.

BlackRock

U.S.

Mortgage

Portfolio

10

Schedule

of

Investments

(unaudited)

(continued)

July

31,

2022

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

2.32

%

1

day

SOFR

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

Secured

Overnight

Financing

Rate

1.81

3

month

LIBOR

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

London

Interbank

Offered

Rate

2.79

Currency

Abbreviation

USD

United

States

Dollar

Portfolio

Abbreviation

CMT

Constant

Maturity

Treasury

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

11

Schedule

of

Investments

(unaudited)

(continued)

July

31,

2022

Fair

Value

Hierarchy

as

of

Period

End

Various

inputs

are

used

in

determining

the

fair

value

of

financial

instruments.

These

inputs

to

valuation

techniques

are

categorized

into

a

fair

value

hierarchy

consisting

of

three

broad

levels

for

financial

reporting

purposes

as

follows:

•    

Level

1

—

Unadjusted

price

quotations

in

active

markets/exchanges

for

identical

assets

or

liabilities

that

the

Fund

has

the

ability

to

access;

•    

Level

2

—

Other

observable

inputs

(including,

but

not

limited

to,

quoted

prices

for

similar

assets

or

liabilities

in

markets

that

are

active,

quoted

prices

      for

identical

or

similar

assets

or

liabilities

in

markets

that

are

not

active,

inputs

other

than

quoted

prices

that

are

observable

for

the

assets

or

liabilities

      (such

as

interest

rates,

yield

curves,

volatilities,

prepayment

speeds,

loss

severities,

credit

risks

and

default

rates)

or

other

market-corroborated

      inputs);

and

•    

Level

3

—

Unobservable

inputs

based

on

the

best

information

available

in

the

circumstances,

to

the

extent

observable

inputs

are

not

available

      (including

the

BlackRock

Global

Valuation

Methodologies

Committee's

(the

"Global

Valuation

Committee's")

assumptions

used

in

determining

the

fair

value

of

financial

instruments).

The

hierarchy

gives

the

highest

priority

to

unadjusted

quoted

prices

in

active

markets

for

identical

assets

or

liabilities

(Level

1

measurements)

and

the

lowest

priority

to

unobservable

inputs

(Level

3

measurements).

Accordingly,

the

degree

of

judgment

exercised

in

determining

fair

value

is

greatest

for

instruments

categorized

in

Level

3.

The

inputs

used

to

measure

fair

value

may

fall

into

different

levels

of

the

fair

value

hierarchy.

In

such

cases,

for

disclosure

purposes,

the

fair

value

hierarchy

classification

is

determined

based

on

the

lowest

level

input

that

is

significant

to

the

fair

value

measurement

in

its

entirety.

Investments

classified

within

Level

3

have

significant

unobservable

inputs

used

by

the

Global

Valuation

Committee

in

determining

the

price

for

Fair

Valued

Investments.

Level

3

investments

include

equity

or

debt

issued

by

privately

held

companies

or

funds.

There

may

not

be

a

secondary

market,

and/or

there

are

a

limited

number

of

investors.

The

categorization

of

a

value

determined

for

financial

instruments

is

based

on

the

pricing

transparency

of

the

financial

instruments

and

is

not

necessarily

an

indication

of

the

risks

associated

with

investing

in

those

securities.

For

information

about

the

Fund’s

policy

regarding

valuation

of

financial

instruments,

refer

to

its

most

recent

financial

statements.

The

following

table

summarizes

the

Fund’s

financial

instruments

categorized

in

the

fair

value

hierarchy.

The

breakdown

of

the

Fund's

financial

instruments

into

major

categories

is

disclosed

in

the

Schedule

of

Investments

above.

Level

1

Level

2

Level

3

Total

Assets

Investments

Long-Term

Investments

Asset-Backed

Securities

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

$

—

$

48,430,943

$

2,040,308

$

50,471,251

Corporate

Bonds

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

—

1,144,372

—

1,144,372

Non-Agency

Mortgage-Backed

Securities

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

—

104,700,095

4,642,104

109,342,199

U.S.

Government

Sponsored

Agency

Securities

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

—

118,090,720

847,854

118,938,574

Short-Term

Securities

Money

Market

Funds

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

2,677,287

—

—

2,677,287

U.S.

Treasury

Obligations

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

—

32,343,580

—

32,343,580

Liabilities

Investments

TBA

Sale

Commitments

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

—

(9,823,921)

—

(9,823,921)

$

2,677,287

$

294,885,789

$

7,530,266

$

305,093,342

Derivative

Financial

Instruments

(a)

Assets

Credit

contracts

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

$

—

$

290,626

$

—

$

290,626

Interest

rate

contracts

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

575,299

216,337

—

791,636

Liabilities

Credit

contracts

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

—

(406,161)

—

(406,161)

Interest

rate

contracts

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

(292,326)

(1,228,020)

—

(1,520,346)

$

282,973

$

(1,127,218)

$

—

$

(844,245)

(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.

BlackRock

U.S.

Mortgage

Portfolio

12

Schedule

of

Investments

(unaudited)

(continued)

July

31,

2022

A

reconciliation

of

Level

3

financial

instruments

is

presented

when

the

Fund

had

a

significant

amount

of

Level

3

investments

and

derivative

financial

instruments

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,

2022

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

$

2,132,033

$

3,113,100

$

1,508,483

$

6,753,616

Transfers

into

Level

3

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

—

1,768,682

377,350

2,146,032

Transfers

out

of

Level

3

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

—

—

(727,675)

(727,675)

Accrued

discounts/premiums

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

4,365

13,118

—

17,483

Net

realized

gain

(loss)

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

4,491

(990)

(13,938)

(10,437)

Net

change

in

unrealized

depreciation

(a)

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

(14,795)

(198,187)

(111,741)

(324,723)

Purchases

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

—

45,818

—

45,818

Sales

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

(85,786)

(99,437)

(184,625)

(369,848)

Closing

balance,

as

of

July

31,

2022

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

$

2,040,308

$

4,642,104

$

847,854

$

7,530,266

Net

change

in

unrealized

depreciation

on

investments

still

held

at

July

31,

2022

(a)

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

$

(14,795)

$

(198,187)

$

(114,205)

$

(327,187)

(a)

Any

difference

between

net

change

in

unrealized

appreciation

(depreciation)

and

net

change

in

unrealized

appreciation

(depreciation)

on

investments

still

held

at

July

31,

2022

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.