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

UNITED STATES

 SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-23340

Name of Fund:  Managed Account Series II

BlackRock U.S. Mortgage Portfolio

Fund Address:   100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service:  John M. Perlowski, Chief Executive Officer, Managed Account Series II, 50 Hudson Yards, New York, NY 10001

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

Date of fiscal year end: 04/30/2024

Date of reporting period: 04/30/2024

Item 1 – Report to Stockholders

(a)

The Report to Shareholders is attached herewith.

(b)

Not Applicable

APRIL

30,

2024

Not

FDIC

Insured

-

May

Lose

Value

-

No

Bank

Guarantee

2024

Annual

Report

Managed

Account

Series

II

BlackRock

U.S.

Mortgage

Portfolio

Dear

Shareholder,

The

combination

of

continued

economic

growth

and

cooling

inflation

provided

a

supportive

backdrop

for

investors

during

the

12-month

reporting

period

ended

April

30,

2024.

Higher

interest

rates

helped

to

rein

in

inflation,

and

the

Consumer

Price

Index

decelerated

substantially

while

remaining

above

pre-pandemic

levels.

A

moderating

labor

market

helped

ease

inflationary

pressure,

although

wages

continued

to

grow.

Wage

and

job

growth

powered

robust

consumer

spending,

backstopping

the

economy.

On

October

7,

2023,

Hamas

launched

a

horrific

attack

on

Israel.

The

ensuing

war

has

had

a

significant

humanitarian

impact

and

could

lead

to

heightened

economic

and

market

volatility.

We

see

geopolitics

as

a

structural

market

risk

going

forward.

See

our

geopolitical

risk

dashboard

at

blackrock.com

for

more

details.

Equity

returns

were

robust

during

the

period,

as

interest

rates

stabilized

and

the

economy

proved

to

be

more

resilient

than

many

investors

expected.

The

U.S.

economy

continued

to

show

strength,

and

growth

further

accelerated

in

the

second

half

of

2023.

Large-capitalization

U.S.

stocks

posted

particularly

substantial

gains,

supported

by

the

performance

of

a

few

notable

technology

companies,

while

small-capitalization

U.S.

stocks’

advance

was

slower

but

still

impressive.

Meanwhile,

both

international

developed

market

equities

and

emerging

market

stocks

also

gained,

albeit

at

a

notably

slower

pace

than

that

of

U.S.

stocks.

The

10-year

U.S.

Treasury

yield

rose

during

the

reporting

period,

driving

its

price

down,

as

investors

reacted

to

elevated

inflation

and

attempted

to

anticipate

future

interest

rate

changes.

However,

higher

yields

drove

solid

gains

in

shorter-duration

U.S.

Treasuries.

The

corporate

bond

market

benefited

from

improving

economic

sentiment,

although

high-yield

corporate

bond

prices

fared

significantly

better

than

investment-grade

bonds

as

demand

from

yield-seeking

investors

remained

strong.

The

U.S.

Federal

Reserve

(the

“Fed”),

attempting

to

manage

persistent

inflation,

raised

interest

rates

twice

during

the

12-month

period,

but

paused

its

tightening

after

its

July

meeting.

The

Fed

also

continued

to

reduce

its

balance

sheet

by

not

replacing

some

of

the

securities

that

reach

maturity.

Supply

constraints

appear

to

have

become

an

embedded

feature

of

the

new

macroeconomic

environment,

making

it

difficult

for

developed

economies

to

increase

production

without

sparking

higher

inflation.

Geopolitical

fragmentation

and

an

aging

population

risk

further

exacerbating

these

constraints,

keeping

the

labor

market

tight

and

wage

growth

high.

Although

the

Fed

has

stopped

tightening

for

now,

we

believe

that

the

new

economic

regime

means

that

the

Fed

will

need

to

maintain

high

rates

for

an

extended

period,

and

recent

statements

from

the

Fed

seem

to

support

this

view.

In

this

new

regime,

we

anticipate

greater

volatility

and

dispersion

of

returns,

creating

more

opportunities

for

selective

portfolio

management.

Looking

at

developed

market

stocks,

we

have

an

overweight

stance

on

U.S.

stocks

overall,

particularly

given

the

promise

of

emerging

AI

technologies.

We

are

also

overweight

Japanese

stocks

as

shareholder-friendly

policies

generate

increased

investor

interest,

although

we

maintain

an

underweight

stance

on

European

stocks.

In

credit,

we

believe

there

are

selective

opportunities

in

the

near

term

despite

tighter

credit

and

financial

conditions.

For

fixed

income

investing

with

a

six-

to

twelve-month

horizon,

we

see

the

most

attractive

investments

in

short-term

U.S.

Treasuries

and

hard-currency

emerging

market

bonds.

Overall,

our

view

is

that

investors

need

to

think

globally,

position

themselves

to

be

prepared

for

a

decarbonizing

economy,

and

be

nimble

as

market

conditions

change.

We

encourage

you

to

talk

with

your

financial

advisor

and

visit

blackrock.com

for

further

insight

about

investing

in

today’s

markets.

Sincerely,

Rob

Kapito

President,

BlackRock

Advisors,

LLC

The

Markets

in

Review

Rob

Kapito

President,

BlackRock

Advisors,

LLC

Past

performance

is

not

an

indication

of

future

results.

Index

performance

is

shown

for

illustrative

purposes

only.

You

cannot

invest

directly

in

an

index.

Total

Returns

as

of

April

30,

2024

6-Month

12-Month

U.S.

large

cap

equities

(S&P

500

®

Index)

20.98

%

22.66

%

U.S.

small

cap

equities

(Russell

2000

®

Index)

19.66

13.32

International

equities

(MSCI

Europe,

Australasia,

Far

East

Index)

18.63

9.28

Emerging

market

equities

(MSCI

Emerging

Markets

Index)

15.40

9.88

3-month

Treasury

bills

(ICE

BofA

3-Month

U.S.

Treasury

Bill

Index)

2.66

5.36

U.S.

Treasury

securities

(ICE

BofA

10-Year

U.S.

Treasury

Index)

3.66

(6.40

)

U.S.

investment

grade

bonds

(Bloomberg

U.S.

Aggregate

Bond

Index)

4.97

(1.47

)

Tax-exempt

municipal

bonds

(Bloomberg

Municipal

Bond

Index)

7.06

2.08

U.S.

high

yield

bonds

(Bloomberg

U.S.

Corporate

High

Yield

2%

Issuer

Capped

Index)

8.99

9.01

This

Page

is

not

Part

of

Your

Fund

Report

2

Table

of

Contents

Page

3

The

Markets

in

Review

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

2

Annual

Report:

Fund

Summary

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

4

The

Benefits

and

Risks

of

Leveraging

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

7

About

Fund

Performance 

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

7

Disclosure

of

Expenses

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

8

Derivative

Financial

Instruments

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

8

Financial

Statements:

Schedule

of

Investments

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

9

Statement

of

Assets

and

Liabilities

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

23

Statement

of

Operations

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

25

Statements

of

Changes

in

Net

Assets

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

26

Financial

Highlights

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

27

Notes

to

Financial

Statements

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

30

Report

of

Independent

Registered

Public

Accounting

Firm

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

40

Important

Tax

Information

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

41

Statement

Regarding

Liquidity

Risk

Management

Program

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

42

Trustee

and

Officer

Information

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

43

Additional

Information

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

46

Glossary

of

Terms

Used

in

this

Report

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

48

Fund

Summary

as

of

April

30,

2024

2024

BlackRock

Annual

Report

to

Shareholders

4

BlackRock

U.S.

Mortgage

Portfolio

Investment

Objective

BlackRock

U.S.

Mortgage

Portfolio’s

(the

“Fund”)

investment

objective

is

to

seek

high

total

return.

Portfolio

Management

Commentary

How

did

the

Fund

perform?

For

the

12-month

period

ended

April

30,

2024,

all

of

the

Fund’s

share

classes

outperformed

its

benchmark,

the

Bloomberg

U.S.

Mortgage-Backed

Securities

Index.

What

factors

influenced

performance?

The

principal

positive

contributors

to

the

Fund’s

performance

relative

to

the

benchmark

included

AAA-rated

single-asset,

single-borrower

(“SASB”)

allocations

within

commercial

mortgage-backed

securities

(“CMBS”),

along

with

AAA-rated

collateralized

loan

obligations

(“CLOs”)

backed

by

commercial

real

estate.

Within

non-agency

residential

mortgage-backed

securities

(“MBS”),

allocations

to

single

family

rentals,

non-qualifying

mortgages

and

non-performing

or

re-performing

mortgages

proved

additive.

Holdings

of

agency

collateralized

mortgage

obligations

(“CMOs”)

contributed

positively

as

well.

The

principal

detractor

from

the

Fund’s

relative

performance

was

security

and

pool

selection

within

the

agency

MBS

segment.

Describe

recent

portfolio

activity.

The

Fund

continued

to

hold

a

core

allocation

to

agency

MBS,

recently

favoring

exposure

in

the

form

of

to-be-announced

(“TBA”)

securities

relative

to

specified

pools

given

the

improved

carry

profile

of

TBAs

and

attractive

option-adjusted

spreads.

The

Fund

closed

the

period

with

a

modest

down-in-coupon

bias

within

agency

MBS.

Within

CMBS,

the

overall

allocation

remained

relatively

stable,

however

the

composition

shifted

in

favor

of

higher-rated

SASB

deals.

The

Fund’s

allocation

to

non-agency

MBS

was

reduced,

while

remaining

diversified

across

subsectors.

The

Fund’s

allocation

to

agency

CMOs,

including

interest-only

(“IO”)

securities,

was

increased

over

the

period.

The

Fund

held

a

small

percentage

of

assets

in

derivatives

including

options,

futures

and

swaps

as

a

hedge

against

allocations

in

agency

MBS

and

securitized

assets.

The

use

of

derivatives

did

not

materially

impact

Fund

performance

for

the

period.

The

Fund’s

cash

position

averaged

8.3%

for

the

period.

Cash

holdings

did

not

have

a

material

impact

on

performance.

Describe

portfolio

positioning

at

period

end.

Within

CMBS,

the

Fund

continued

to

favor

SASB

deals

where

it

is

possible

to

carefully

evaluate

the

collateral

given

the

bifurcation

of

performance

across

property

types

in

the

current

environment.

Additionally,

the

Fund

continued

to

favor

holdings

at

the

top

part

of

the

capital

stack.

Within

agency

MBS,

the

Fund

favored

TBAs

on

the

basis

of

attractive

carry

and

valuations.

Allocations

within

non-agency

MBS

were

across

a

variety

of

subsectors

including

single

family

rentals,

non-performing/re-performing

mortgages,

and

non-qualifying

mortgages.

The

views

expressed

reflect

the

opinions

of

BlackRock

as

of

the

date

of

this

report

and

are

subject

to

change

based

on

changes

in

market,

economic

or

other

conditions.

These

views

are

not

intended

to

be

a

forecast

of

future

events

and

are

no

guarantee

of

future

results.

Fund

Summary

as

of

April

30,

2024

(continued)

5

Fund

Summary

BlackRock

U.S.

Mortgage

Portfolio

GROWTH

OF

$10,000

INVESTMENT

(a)

Assuming

maximum

sales

charges,

if

any,

transaction

costs

and

other

operating

expenses,

including

investment

advisory

fees.

Institutional

Shares

do

not

have

a

sales

charge.

(b)

The

Fund

invests

primarily

in

mortgage-related

securities.

Under

normal

circumstances,

the

Fund

will

invest

at

least

80%

of

its

assets

in

mortgage-backed

securities

and

other

mortgage-related

securities

that

are

issued

by

issuers

located

in

the

United

States.

On

September

17,

2018,

the

Fund

acquired

all

of

the

assets,

subject

to

the

liabilities,

of

BlackRock

U.S.

Mortgage

Portfolio

(the

“Predecessor

Fund”),

a

series

of

Managed

Account

Series,

through

a

tax-free

reorganization

(the

“Reorganization”).

The

Predecessor

Fund

is

the

performance

and

accounting

survivor

of

the

Reorganization.

(c)

An

unmanaged

index

that

includes

the

mortgage-backed

pass-through

securities

of

Ginnie

Mae,

Fannie

Mae

and

Freddie

Mac

that

meet

certain

maturity

and

liquidity

criteria.

Performance

N/A

–

Not

applicable

as

share

class

and

index

do

not

have

a

sales

charge.

Past

performance

is

not

an

indication

of

future

results.

Performance

results

may

include

adjustments

for

financial

reporting

purpose

in

accordance

with

U.S.

generally

accepted

accounting

principles.

Average

Annual

Total

Returns

(a)

1

Year

5

Years

10

Years

Standardized

30-Day

Yields

Unsubsidized

30-Day

Yields

Without

Sales

Charge

With

Sales

Charge

Without

Sales

Charge

With

Sales

Charge

Without

Sales

Charge

With

Sales

Charge

Institutional

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

5.71‌%

5.54‌%

2.18‌%

N/A‌

0.60‌%

N/A‌

1.71‌%

N/A‌

Investor

A

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

5.24‌

5.05‌

1.92‌

(2.15‌)%

0.36‌

(0.45‌)%

1.46‌

1.05‌%

Investor

C

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

4.70‌

4.51‌

1.16‌

0.20‌

(0.38‌)

(0.38‌)

0.85‌

0.85‌

Bloomberg

U.S.

Mortgage-Backed

Securities

Index

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

—‌

—‌

(2.19‌)

N/A‌

(0.98‌)

N/A‌

0.72‌

N/A‌

(a)

Assuming

maximum

sales

charges,

if

any.

Average

annual

total

returns

with

and

without

sales

charges

reflect

reductions

for

distribution

and

service

fees.

See

“About

Fund

Performance”

for

a

detailed

description

of

share

classes,

including

any

related

sales

charges

and

fees.

On

September

17,

2018,

the

Fund

acquired

all

of

the

assets,

subject

to

the

liabilities,

of

the

Predecessor

Fund,

through

the

Reorganization.

The

Predecessor

Fund

is

the

performance

and

accounting

survivor

of

the

Reorganization.

Fund

Summary

as

of

April

30,

2024

(continued)

2024

BlackRock

Annual

Report

to

Shareholders

6

BlackRock

U.S.

Mortgage

Portfolio

Expense

Example

See

“Disclosure

of

Expenses”

for

further

information

on

how

expenses

were

calculated.

Portfolio

Information

Actual

H

ypothetical

5%

Re

turn

Beginning

Account

Value

(11/01/23)

Ending

Account

Value

(04/30/24)

Expenses

Paid

During

the

Period

(a)

Beginning

Account

Value

(11/01/23)

Ending

Account

Value

(04/30/24)

Expenses

Paid

During

the

Period

(a)

Annualized

Expense

Ratio

Institutional

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

$

1,000.00‌

$

1,071.00‌

$

2.21‌

$

1,000.00‌

$

1,022.73‌

$

2.16‌

0.43‌%

Investor

A

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

1,000.00‌

1,069.80‌

3.55‌

1,000.00‌

1,021.43‌

3.47‌

0.69‌

Investor

C

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

1,000.00‌

1,065.80‌

7.40‌

1,000.00‌

1,017.70‌

7.22‌

1.44‌

(a)

For

each

class

of

the

Fund,

expenses

are

equal

to

the

annualized

expense

ratio

for

the

class,

multiplied

by

the

average

account

value

over

the

period,

multiplied

by

182/366

(to

reflect

the

one-half

year

period

shown).

PORTFOLIO

COMPOSITION

Asset

Type

Percent

of

at

Total

Investments

(a)

U.S.

Government

Sponsored

Agency

Securities

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

52.0‌

%

Non-Agency

Mortgage-Backed

Securities

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

36.1‌

Asset-Backed

Securities

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

11.8‌

Corporate

Bonds

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

0.1‌

CREDIT

QUALITY

ALLOCATION

Credit

Rating

(b)

Percent

of

Total

Investments

(a)

AAA/Aaa

(c)

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

66.4‌

%

AA/Aa

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

2.3‌

A

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

1.2‌

BBB/Baa

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

1.3‌

BB/Ba

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

0.9‌

B

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

0.7‌

CCC/Caa

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

2.0‌

CC/Ca

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

3.0‌

C

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

1.8‌

D

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

0.0‌

(d)

NR

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

20.4‌

(a)

Excludes

short-term

securities,

options

written

and

TBA

sale

commitments.

(b)

For

financial

reporting

purposes,

credit

quality

ratings

shown

above

reflect

the

highest

rating

assigned

by

either

S&P

Global

Ratings

or

Moody’s

Investors

Service

if

ratings

differ.

These

rating

agencies

are

independent,

nationally

recognized

statistical

rating

organizations

and

are

widely

used.

Investment

grade

ratings

are

credit

ratings

of

BBB/Baa

or

higher.

Below

investment

grade

ratings

are

credit

ratings

of

BB/Ba

or

lower.

Investments

designated

NR

are

not

rated

by

either

rating

agency.

Unrated

investments

do

not

necessarily

indicate

low

credit

quality.

Credit

quality

ratings

are

subject

to

change.

(c)

The

investment

adviser

evaluates

the

credit

quality

of

unrated

investments

based

upon

certain

factors

including,

but

not

limited

to,

credit

ratings

for

similar

investments

and

financial

analysis

of

sectors,

individual

investments

and/or

issuers.

Using

this

approach,

the

investment

adviser

has

deemed

unrated

U.S.

Government

Sponsored

Agency

Securities

and

U.S.

Treasury

Obligations

to

be

of

similar

credit

quality

as

investments

rated

AAA/Aaa.

(d)

Represents

less

than

0.1%

of

the

Fund's

total

investments.

The

Benefits

and

Risks

of

Leveraging

7

The

Benefits

and

Risks

of

Leveraging

/

About

Fund

Performance

The

Fund

may

utilize

leverage

to

seek

to

enhance

returns

and

net

asset

value

(“NAV”).

However,

there

is

no

guarantee

that

these

objectives

can

be

achieved

in

all

interest

rate

environments.  

The

Fund

may

utilize

leverage

by

entering

into

reverse

repurchase

agreements. 

In

general,

the

concept

of

leveraging

is

based

on

the

premise

that

the

financing

cost

of

leverage,

which

is

based

on

short-term

interest

rates,

is

normally

lower

than

the

income

earned

by

the

Fund

on

its

longer-term

portfolio

investments

purchased

with

the

proceeds

from

leverage.

To

the

extent

that

the

total

assets

of

the

Fund

(including

the

assets

obtained

from

leverage)

are

invested

in

higher-yielding

portfolio

investments,

the

Fund’s

shareholders

benefit

from

the

incremental

net

income.

The

interest

earned

on

securities

purchased

with

the

proceeds

from

leverage

is

distributed

to

the

Fund’s

shareholders,

and

the

value

of

these

portfolio

holdings

is

reflected

in

the

Fund’s

per

share

NAV.

However,

in

order

to

benefit

shareholders,

the

return

on

assets

purchased

with

leverage

proceeds

must

exceed

the

ongoing

costs

associated

with

the

leverage.

If

interest

and

other

ongoing

costs

of

leverage

exceed

the

Fund’s

return

on

assets

purchased

with

leverage

proceeds,

income

to

shareholders

is

lower

than

if

the

Fund

had

not

used

leverage.

Furthermore,

the

value

of

the

Fund’s

portfolio

investments

generally

varies

inversely

with

the

direction

of

long-term

interest

rates,

although

other

factors

can

also

influence

the

value

of

portfolio

investments.

As

a

result,

changes

in

interest

rates

can

influence

the

Fund’s

NAV

positively

or

negatively

in

addition

to

the

impact

on

the

Fund’s

performance

from

leverage.

Changes

in

the

direction

of

interest

rates

are

difficult

to

predict

accurately,

and

there

is

no

assurance

that

the

Fund’s

leveraging

strategy

will

be

successful.

The

use

of

leverage

also

generally

causes

greater

changes

in

the

Fund’s

NAV

and

dividend

rates

than

comparable

portfolios

without

leverage.

In

a

declining

market,

leverage

is

likely

to

cause

a

greater

decline

in

the

NAV

of the

Fund’s

shares

than

if

the

Fund

were

not

leveraged.

In

addition,

the

Fund

may

be

required

to

sell

portfolio

securities

at

inopportune

times

or

at

distressed

values

in

order

to

comply

with

regulatory

requirements

applicable

to

the

use

of

leverage

or

as

required

by

the

terms

of

the

leverage

instruments,

which

may

cause

the

Fund

to

incur

losses.

The

use

of

leverage

may

limit the

Fund’s

ability

to

invest

in

certain

types

of

securities

or

use

certain

types

of

hedging

strategies.

The

Fund

incurs

expenses

in

connection

with

the

use

of

leverage,

all

of

which

are

borne

by

the

Fund’s

shareholders

and

may

reduce

income.

About

Fund

Performance 

Institutional

Shares

are

not

subject

to

any

sales

charge.

These

shares

bear

no

ongoing

distribution

or

service

fees

and

are

available

only

to

certain

eligible

investors.

Investor

A

Shares

are

subject

to

a

maximum

initial

sales

charge

(front-end

load)

of 

4.00

%

and

a

service

fee

of

0.25%

per

year

(but

no

distribution

fee).

Certain

redemptions

of

these

shares

may

be

subject

to

a

contingent

deferred

sales

charge

(“CDSC”)

where

no

initial

sales

charge

was

paid

at

the

time

of

purchase.

These

shares

are

generally

available

through

financial

intermediaries.

Investor

C

Shares

 are

subject

to

a 1.00%

CDSC

if

redeemed

within

one

year

of

purchase.

In

addition,

these

shares

are

subject

to

a

distribution

fee

of

0.75

%

per

year

and

a

service

fee

of 

0.25%

per

year.

These

shares

are

generally

available

through

financial

intermediaries.

These

shares

automatically

convert

to

Investor

A

Shares

after

approximately eight

years.

Past

performance

is

not

an

indication

of

future

results.

Financial

markets

have

experienced

extreme

volatility

and

trading

in

many

instruments

has

been

disrupted.

These

circumstances

may

continue

for

an

extended

period

of

time

and

may

continue

to

affect

adversely

the

value

and

liquidity

of

the

Fund’s

investments.

As

a

result,

current

performance

may

be

lower

or

higher

than

the

performance

data

quoted.

Refer

to

blackrock.com 

to

obtain

performance

data

current

to

the

most

recent

month-end.

Performance

results

do

not

reflect

the

deduction

of

taxes

that

a

shareholder

would

pay

on

Fund

distributions

or

the

redemption

of

Fund

shares.

Figures

shown

in

the

performance

table(s) assume

reinvestment

of

all

distributions,

if

any,

at 

NAV

on

the

ex-dividend

date

or

payable

date,

as

applicable.

Investment

return

and

principal

value

of

shares

will

fluctuate

so

that

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Distributions

paid

to

each

class

of

shares

will

vary

because

of

the

different

levels

of

service,

distribution

and

transfer

agency

fees

applicable

to

each

class,

which

are

deducted

from

the

income

available

to

be

paid

to

shareholders. 

BlackRock

Advisors,

LLC

(the

“Manager”),

the

Fund’s

investment

adviser,

has

contractually

and/or

voluntarily

agreed

to

waive

and/or

reimburse

a

portion

of

the

Fund’s

expenses.

Without

such

waiver(s)

and/or

reimbursement(s),

the

Fund’s

performance

would

have

been

lower.

With

respect

to

the

Fund’s

voluntary

waiver(s),

if

any,

the

Manager

is

under

no

obligation

to

waive

and/or

reimburse

or

to

continue

waiving

and/or

reimbursing

its

fees

and

such

voluntary

waiver(s)

may

be

reduced

or

discontinued

at

any

time.

With

respect

to

the

Fund’s

contractual

waiver(s),

if

any,

the

Manager

is

under

no

obligation

to

continue

waiving

and/or

reimbursing

its

fees

after

the

applicable

termination

date

of

such

agreement.

See

the

Notes

to

Financial

Statements

for

additional

information

on

waivers

and/or

reimbursements. 

The

standardized

30-day

yield

includes

the

effects

of

any

waivers

and/or

reimbursements.

The

unsubsidized

30-day

yield

excludes

the

effects

of

any

waivers

and/or

reimbursements. 

Disclosure

of

Expenses

2024

BlackRock

Annual

Report

to

Shareholders

8

Shareholders

of

the

Fund

may

incur

the

following

charges:

(a)

transactional

expenses,

such

as

sales

charges;

and

(b)

operating

expenses,

including

investment

advisory

fees,

service

and

distribution

fees,

including

12b-1

fees,

acquired

fund

fees

and

expenses, and

other

fund

expenses.

The

expense

example

shown

(which

is

based

on

a

hypothetical

investment

of

$1,000

invested

at

the

beginning

of

the

period

and

held

through

the

end

of

the

period)

is

intended

to

assist

shareholders

both

in

calculating

expenses

based

on

an

investment

in

the

Fund

and

in

comparing

these

expenses

with

similar

costs

of

investing

in

other

mutual

funds.

The

expense

example

provides

information

about

actual

account

values

and

actual

expenses.

Annualized

expense

ratios

reflect

contractual

and

voluntary

fee

waivers,

if

any.

In

order

to

estimate

the

expenses

a

shareholder

paid

during

the

period

covered

by

this

report,

shareholders

can

divide

their

account

value

by

$1,000

and

then

multiply

the

result

by

the

number

corresponding

to

their share

class

under

the

heading

entitled

“Expenses

Paid

During

the

Period.” 

The

expense

example

also

provides

information

about

hypothetical

account

values

and

hypothetical

expenses

based

on the

Fund’s

actual

expense

ratio

and

an

assumed

rate

of

return

of

5%

per

year

before

expenses.

In

order

to

assist

shareholders

in

comparing

the

ongoing

expenses

of

investing

in

the

Fund

and

other

funds,

compare

the

5%

hypothetical

example

with

the

5%

hypothetical

examples

that

appear

in

shareholder

reports

of

other

funds. 

The

expenses

shown

in

the

expense

example

are

intended

to

highlight

shareholders’

ongoing

costs

only

and

do

not

reflect

transactional

expenses,

such

as

sales

charges,

if

any.

Therefore,

the

hypothetical

example is

useful

in

comparing

ongoing

expenses

only,

and

will

not

help

shareholders

determine

the

relative

total

expenses

of

owning

different

funds.

If

these

transactional

expenses

were

included,

shareholder

expenses

would

have

been

higher.

Derivative

Financial

Instruments

The

Fund

may

invest

in

various

derivative

financial

instruments.

These

instruments

are

used

to

obtain

exposure

to

a

security,

commodity,

index,

market,

and/or

other

assets

without

owning

or

taking

physical

custody

of

securities,

commodities

and/or

other

referenced

assets

or

to

manage

market,

equity,

credit,

interest

rate,

foreign

currency

exchange

rate,

commodity

and/or

other

risks.

Derivative

financial

instruments

may

give

rise

to

a

form

of

economic

leverage

and

involve

risks,

including

the

imperfect

correlation

between

the

value

of

a

derivative

financial

instrument

and

the

underlying

asset,

possible

default

of

the

counterparty

to

the

transaction

or

illiquidity

of

the

instrument. Pursuant

to Rule

18f-4

under

the

1940

Act,

among

other

things,

the

Fund

must

either

use

derivative

financial

instruments

with

embedded

leverage

in

a

limited

manner

or

comply

with

an

outer

limit

on

fund

leverage

risk

based

on

value-at-risk.

The

Fund’s

successful

use

of

a

derivative

financial

instrument

depends

on

the

investment

adviser’s

ability

to

predict

pertinent

market

movements

accurately,

which

cannot

be

assured.

The

use

of

these

instruments

may

result

in

losses

greater

than

if

they

had

not

been

used,

may

limit

the

amount

of

appreciation the

Fund

can

realize

on

an

investment

and/or

may

result

in

lower

distributions

paid

to

shareholders.

The

Fund’s

investments

in

these

instruments,

if

any,

are

discussed

in

detail

in

the

Notes

to

Financial

Statements.

Schedule

of

Investments

April

30,

2024

BlackRock

U.S.

Mortgage

Portfolio

Schedule

of

Investments

9

(Percentages

shown

are

based

on

Net

Assets)

Security

Par

(000)

Par

(000)

Value

Asset-Backed

Securities

510

Loan

Acquisition

Trust,

Series

2020-1,

Class

A,

8.11%,

09/25/60

(a)

(b)

..........

USD

930

$

926,698

Ajax

Mortgage

Loan

Trust

Series

2020-C,  0.00%,

09/25/60

(c)

(d)

.....

5

5,248

Series

2020-C,

Class

C,

0.00%,

09/27/60

(b)

6

1,546

Series

2020-D,  0.00%,

06/25/60

(c)

(d)

.....

8

7,727

Series

2021-E,

Class

B3,

3.86%,

12/25/60

(b)

(e)

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

380

123,176

Series

2021-E,

Class

XS,

0.00%,

12/25/60

(b)

(e)

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

5,167

202,060

Series

2021-F,

Class

A,

1.87%,

06/25/61

(a)

(b)

2,154

2,015,073

Series

2021-F,

Class

B,

3.75%,

06/25/61

(a)

(b)

216

209,922

Series

2021-F,

Class

C,

0.00%,

06/25/61

(b)

.

400

261,690

Series

2021-G,

Class

A,

1.87%,

06/25/61

(b)

(e)

1,497

1,400,735

Series

2021-G,

Class

B,

3.75%,

06/25/61

(b)

(e)

256

248,348

Series

2021-G,

Class

C,

0.00%,

06/25/61

(b)

461

421,402

AMSR

Trust

(b)

Series

2020-SFR4,

Class

G2,

4.87%,

11/17/37

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

850

812,429

Series

2023-SFR2,

Class

F1,

3.95%,

06/17/40

(f)

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

600

495,036

AREIT

LLC,

Series

2023-CRE8,

Class

A,

(1-mo.

CME

Term

SOFR

at

2.11%

Floor

+

2.11%),

7.43%,

08/17/41

(b)

(e)

..........

552

551,573

AREIT

Ltd.,

Series

2024-CRE9,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.69%

Floor

+

1.69%),

1.00%,

05/17/41

(b)

(e)

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

470

468,825

AREIT

Trust

(b)(e)

Series

2021-CRE5,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.08%

Floor

+

1.19%),

6.51%,

11/17/38

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

465

460,688

Series

2022-CRE6,

Class

A,

(SOFR

30

day

Average

at

1.25%

Floor

+

1.25%),

6.58%,

01/20/37

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

581

576,064

Bayview

Financial

Revolving

Asset

Trust,

Series

2004-B,

Class

A1,

(1-mo.

CME

Term

SOFR

at

1.00%

Floor

+

1.11%),

6.43%,

05/28/39

(b)

(e)

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

1,702

1,339,194

BDS

Ltd.,

Series

2021-FL9,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.07%

Floor

+

1.18%),

6.50%,

11/16/38

(b)

(e)

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

550

543,942

Bear

Stearns

Asset-Backed

Securities

I

Trust

(e)

Series

2006-HE8,

Class

1A3,

(1-mo.

CME

Term

SOFR

at

0.52%

Floor

+

0.63%),

5.95%,

10/25/36

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

1,200

1,077,726

Series

2007-HE2,

Class

1A4,

(1-mo.

CME

Term

SOFR

at

0.32%

Floor

+

0.43%),

5.75%,

03/25/37

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

835

724,843

Series

2007-HE2,

Class

22A,

(1-mo.

CME

Term

SOFR

at

0.14%

Floor

+

0.25%),

5.57%,

03/25/37

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

491

446,069

BSPRT

Issuer

Ltd.,

Series

2022-FL8,

Class

A,

(SOFR

30

day

Average

at

1.50%

Floor

+

1.50%),

6.83%,

02/15/37

(b)

(e)

..........

724

719,322

Carrington

Mortgage

Loan

Trust,

Series

2007-

FRE1,

Class

M1,

(1-mo.

CME

Term

SOFR

at

0.50%

Floor

and

14.50%

Cap

+

0.61%),

5.93%,

02/25/37

(e)

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

1,842

1,362,065

Countrywide

Asset-Backed

Certificates,

Series

2002-BC3,

Class

M2,

(1-mo.

CME

Term

SOFR

at

1.73%

Floor

+

1.84%),

7.16%,

05/25/32

(e)

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

1,015

972,045

Security

Par

(000)

Par

(000)

Value

Asset-Backed

Securities

(continued)

Credit-Based

Asset

Servicing

&

Securitization

LLC,

Series

2007-CB6,

Class

A4,

(1-mo.

CME

Term

SOFR

at

0.34%

Floor

+

0.45%),

5.77%,

07/25/37

(b)

(e)

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

USD

1,465

$

934,736

CWABS

Asset-Backed

Certificates

Trust

(e)

Series

2006-18,

Class

M1,

(1-mo.

CME

Term

SOFR

at

0.45%

Floor

+

0.56%),

5.88%,

03/25/37

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

1,544

1,167,356

Series

2006-22,

Class

M1,

(1-mo.

CME

Term

SOFR

at

0.23%

Floor

+

0.34%),

5.78%,

05/25/47

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

2,141

1,718,422

Series

2007-BC3,

Class

1A,

(1-mo.

CME

Term

SOFR

at

0.18%

Floor

+

0.29%),

5.61%,

11/25/47

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

606

567,043

CWABS,

Inc.

Asset-Backed

Certificates

Trust,

Series

2004-6,

Class

2A4,

(1-mo.

CME

Term

SOFR

at

0.90%

Floor

+

1.01%),

6.33%,

11/25/34

(e)

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

8

7,344

Dryden

XXVIII

Senior

Loan

Fund,

Series

2013-28A,

Class

A1LR,

(3-mo.

CME

Term

SOFR

at

1.20%

Floor

+

1.46%),

6.77%,

08/15/30

(b)

(e)

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

850

850,350

FS

Rialto

Issuer

LLC

(b)(e)

Series

2022-FL6,

Class

A,

(1-mo.

CME

Term

SOFR

at

2.58%

Floor

+

2.58%),

7.90%,

08/17/37

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

350

351,380

Series

2022-FL7,

Class

A,

(1-mo.

CME

Term

SOFR

at

2.90%

Floor

+

2.90%),

8.22%,

10/19/39

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

540

538,650

GSAA

Home

Equity

Trust,

Series

2006-5,

Class

1A1,

(1-mo.

CME

Term

SOFR

at

0.36%

Floor

+

0.47%),

5.79%,

03/25/36

(e)

......

97

28,482

Home

Partners

of

America

Trust,

Series

2021-3,

Class

F,

4.24%,

01/17/41

(b)

...........

1,826

1,548,838

KREF

Ltd.,

Series

2022-FL3,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.45%

Floor

+

1.45%),

6.77%,

02/17/39

(b)

(e)

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

2,950

2,923,338

Legacy

Mortgage

Asset

Trust,

Series

2019-SL2,

Class

A,

3.38%,

02/25/59

(b)

(e)

..........

931

878,627

Long

Beach

Mortgage

Loan

Trust

(e)

Series

2006-1,

Class

2A4,

(1-mo.

CME

Term

SOFR

at

0.60%

Floor

+

0.71%),

6.03%,

02/25/36

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

631

511,689

Series

2006-7,

Class

2A3,

(1-mo.

CME

Term

SOFR

at

0.32%

Floor

+

0.43%),

5.75%,

08/25/36

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

1,565

606,988

MF1

Multifamily

Housing

Mortgage

Loan

Trust,

Series

2024-FL14,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.74%

Floor

+

1.74%),

7.06%,

03/19/39

(b)

(e)

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

318

317,304

Morgan

Stanley

IXIS

Real

Estate

Capital

Trust,

Series

2006-1,

Class

A3,

(1-mo.

CME

Term

SOFR

at

0.30%

Floor

+

0.41%),

5.73%,

07/25/36

(e)

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

408

159,949

Mosaic

Solar

Loan

Trust,

Series

2019-2A,

Class

A,

2.88%,

09/20/40

(b)

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

38

32,883

New

Residential

Mortgage

Loan

Trust,

Series

2022-SFR1,

Class

F,

4.44%,

02/17/39

(b)

...

2,739

2,388,803

Option

One

Mortgage

Loan

Trust,

Series

2007-

FXD1,

Class

2A1,

5.87%,

01/25/37

(a)

.....

958

777,592

Progress

Residential

Trust

(b)

Series

2020-SFR3,

Class

G,

4.11%,

10/17/27

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

2,750

2,604,913

Series

2021-SFR10,

Class

F,

4.61%,

12/17/40

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

1,469

1,275,123

2024

BlackRock

Annual

Report

to

Shareholders

Schedule

of

Investments

(continued)

April

30,

2024

BlackRock

U.S.

Mortgage

Portfolio

10

(Percentages

shown

are

based

on

Net

Assets)

Security

Par

(000)

Par

(000)

Value

Asset-Backed

Securities

(continued)

Series

2021-SFR11,

Class

F,

4.42%,

01/17/39

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

USD

2,000

$

1,721,929

Series

2022-SFR1,

Class

F,

4.88%,

02/17/41

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

2,500

2,136,781

Series

2023-SFR1,

Class

E1,

6.15%,

03/17/40

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

925

889,886

RASC

Trust,

Series

2006-EMX9,

Class

1A4,

(1-mo.

CME

Term

SOFR

at

0.24%

Floor

and

14.00%

Cap

+

0.35%),

5.91%,

11/25/36

(e)

.

1,155

905,879

Securitized

Asset-Backed

Receivables

LLC

Trust,

Series

2007-BR1,

Class

A2B,

(1-mo.

CME

Term

SOFR

at

0.54%

Floor

+

0.65%),

5.97%,

02/25/37

(e)

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

1,931

811,929

Structured

Asset

Securities

Corp.

Mortgage

Loan

Trust,

Series

2007-MN1A,

Class

A1,

(1-mo.

CME

Term

SOFR

at

0.23%

Floor

+

0.34%),

5.66%,

01/25/37

(b)

(e)

..........

1,117

633,153

Tricon

American

Homes

Trust,

Series

2020-

SFR1,

Class

F,

4.88%,

07/17/38

(b)

......

1,050

1,002,290

Washington

Mutual

Asset-Backed

Certificates

Trust

(e)

Series

2007-HE1,

Class

2A3,

(1-mo.

CME

Term

SOFR

at

0.26%

Floor

+

0.26%),

5.58%,

01/25/37

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

1,188

538,456

Series

2007-HE2,

Class

2A1,

(1-mo.

CME

Term

SOFR

at

0.10%

Floor

+

0.21%),

5.53%,

02/25/37

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

2,890

798,560

Washington

Mutual

Mortgage

Pass-Through

Certificates

Trust,

Series

2007-HE2,

Class

2A3,

(1-mo.

CME

Term

SOFR

at

0.36%

Floor

+

0.36%),

5.68%,

04/25/37

(e)

......

1,345

495,903

Total

Asset-Backed

Securities

—

12

.4

%

(Cost:

$

49,111,867

)

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

46,498,022

Corporate

Bonds

Financial

Services

—

0.1%

CRSO

Trust,

7.12%,

07/10/28

(b)

.........

427

438,062

Total

Corporate

Bonds

—

0

.1

%

(Cost:

$

427,576

)

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

438,062

Non-Agency

Mortgage-Backed

Securities

Collateralized

Mortgage

Obligations

—

13.7%

Alternative

Loan

Trust

Series

2005-54CB,

Class

3A1,

5.13%,

11/25/35

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

1,111

574,565

Series

2005-79CB,

Class

A1,

(1-mo.

CME

Term

SOFR

at

0.55%

Floor

and

5.50%

Cap

+

0.66%),

5.50%,

01/25/36

(e)

.....

1,781

891,480

Series

2006-45T1,

Class

2A7,

(1-mo.

CME

Term

SOFR

at

0.34%

Floor

and

7.00%

Cap

+

0.45%),

5.77%,

02/25/37

(e)

.....

1,483

586,145

Series

2006-6CB,

Class

2A10,

6.00%,

05/25/36

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

1,967

785,653

Series

2006-9T1,

Class

A4,

5.75%,

05/25/36

1,708

631,190

Series

2007-19,

Class

1A34,

6.00%,

08/25/37

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

755

355,803

Banc

of

America

Mortgage

Trust,

Series

2005-I,

Class

2A5,

4.68%,

10/25/35

(e)

.........

71

64,922

Barclays

Mortgage

Trust

(b)

Series

2021-NPL1,

Class

A,

2.00%,

11/25/51

(a)

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

2,035

1,933,702

Series

2021-NPL1,

Class

B,

4.62%,

11/25/51

(a)

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

177

160,648

Security

Par

(000)

Par

(000)

Value

Collateralized

Mortgage

Obligations

(continued)

Series

2021-NPL1,

Class

C,

0.00%,

11/25/51

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

USD

385

$

440,129

BCAP

LLC

Trust,

Series

2012-RR3,

Class

3A8,

3.79%,

07/26/37

(b)

(e)

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

1,307

1,123,292

Bear

Stearns

ALT-A

Trust,

Series

2007-1,

Class

1A1,

(1-mo.

CME

Term

SOFR

at

0.32%

Floor

and

11.50%

Cap

+

0.43%),

5.75%,

01/25/47

(e)

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

571

453,029

CFMT

LLC,

Series

2023-HB11,

Class

M2,

4.00%,

02/25/37

(b)

(e)

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

1,250

1,082,707

Chase

Mortgage

Finance

Trust,

Series

2007-

S2,

Class

1A9,

6.00%,

03/25/37

........

1,736

930,588

ChaseFlex

Trust,

Series

2007-1,

Class

2A7,

6.00%,

02/25/37

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

1,919

705,237

CHL

Mortgage

Pass-Through

Trust

Series

2005-17,

Class

1A6,

5.50%,

09/25/35

19

17,621

Series

2006-21,

Class

A11,

5.75%,

02/25/37

1,158

487,529

Series

2006-OA4,

Class

A1,

(Federal

Reserve

US

12

Month

Cumulative

Average

1

Year

CMT

at

0.96%

Floor

+

0.96%),

6.05%,

04/25/46

(e)

.........

1,242

369,313

Series

2007-8,

Class

1A4,

6.00%,

01/25/38

321

137,522

Citigroup

Mortgage

Loan

Trust

(e)

Series

2004-UST1,

Class

A4,

6.10%,

08/25/34

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

385

355,949

Series

2015-A,

Class

B4,

4.50%,

06/25/58

(b)

1,112

998,506

CitiMortgage

Alternative

Loan

Trust,

Series

2007-A5,

Class

1A6,

6.00%,

05/25/37

....

489

426,495

CSMC

Trust

(b)

Series

2010-6R,

Class

2A6B,

6.25%,

07/26/37

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

605

596,907

Series

2015-6R,

Class

5A2,

(1-mo.

CME

Term

SOFR

at

0.18%

Floor

+

0.29%),

5.61%,

03/27/36

(e)

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

1,445

1,053,536

Series

2022-ATH2,

Class

A1,

4.55%,

05/25/67

(e)

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

1,001

956,814

GSMPS

Mortgage

Loan

Trust,

Series

2005-

RP2,

Class

1AF,

(1-mo.

CME

Term

SOFR

at

0.35%

Floor

+

0.46%),

5.78%,

03/25/35

(b)

(e)

797

723,116

GSR

Mortgage

Loan

Trust,

Series

2006-9F,

Class

3A1,

6.25%,

10/25/36

..........

556

482,806

Homeward

Opportunities

Fund

I

Trust

(b)(e)

Series

2020-2,

Class

B1,

5.45%,

05/25/65

.

1,985

1,872,657

Series

2020-2,

Class

M1,

3.90%,

05/25/65

.

2,625

2,400,363

Impac

Secured

Assets

Trust,

Series

2006-1,

Class

1A2B,

(1-mo.

CME

Term

SOFR

at

0.40%

Floor

and

11.50%

Cap

+

0.51%),

5.83%,

05/25/36

(e)

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

856

655,527

IndyMac

IMSC

Mortgage

Loan

Trust,

Series

2007-F2,

Class

1A4,

6.00%,

07/25/37

....

742

507,975

IndyMac

INDX

Mortgage

Loan

Trust,

Series

2006-AR15,

Class

A1,

(1-mo.

CME

Term

SOFR

at

0.24%

Floor

+

0.35%),

5.67%,

07/25/36

(e)

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

554

532,385

Lehman

XS

Trust,

Series

2007-16N,

Class

AF2,

(1-mo.

CME

Term

SOFR

at

1.90%

Floor

+

2.01%),

7.33%,

09/25/47

(e)

...........

903

1,152,787

MCM

Trust

(d)

Series

2018-NPL2,  3.00%,

08/25/28

(b)

...

495

475,529

Series

2021-VFN1,  3.00%,

09/25/31

....

405

265,508

MFA

Trust,

Series

2022-NQM1,

Class

M1,

4.26%,

12/25/66

(b)

(e)

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

500

412,543

New

Residential

Mortgage

Loan

Trust,

Series

2020-RPL1,

Class

B3,

3.87%,

11/25/59

(b)

(e)

.

2,500

1,685,592

PRET

LLC,

Series

2024-NPL2,

Class

A1,

7.02%,

02/25/54

(a)

(b)

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

965

956,893

Schedule

of

Investments

(continued)

April

30,

2024

BlackRock

U.S.

Mortgage

Portfolio

Schedule

of

Investments

11

(Percentages

shown

are

based

on

Net

Assets)

Security

Par

(000)

Par

(000)

Value

Collateralized

Mortgage

Obligations

(continued)

PRPM

LLC,

Series

2022-1,

Class

A1,

3.72%,

02/25/27

(a)

(b)

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

USD

1,457

$

1,423,231

RALI

Trust

(e)

Series

2005-QA4,

Class

A11,

4.79%,

04/25/35

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

2,112

860,802

Series

2007-QS1,

Class

1A5,

(1-mo.

CME

Term

SOFR

at

0.55%

Floor

and

6.00%

Cap

+

0.66%),

5.98%,

01/25/37

......

930

655,070

Reperforming

Loan

REMIC

Trust,

Series

2005-R3,

Class

AF,

(1-mo.

CME

Term

SOFR

at

0.40%

Floor

and

9.50%

Cap

+

0.51%),

5.83%,

09/25/35

(b)

(e)

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

130

108,325

Residential

Asset

Securitization

Trust

(e)

Series

2006-A7CB,

Class

2A2,

(1-mo.

CME

Term

SOFR

at

0.55%

Floor

and

6.50%

Cap

+

0.66%),

5.98%,

07/25/36

......

2,608

488,338

Series

2006-A7CB,

Class

2A5,

(1-mo.

CME

Term

SOFR

at

0.25%

Floor

and

7.00%

Cap

+

0.36%),

5.68%,

07/25/36

......

571

99,019

Series

2006-A7CB,

Class

2A6,

(1-mo.

CME

Term

SOFR

at

0.00%

Floor

and

54.00%

Cap

+

53.08%),

10.55%,

07/25/36

....

459

342,223

RFMSI

Trust

(e)

Series

2005-SA3,

Class

1A,

4.13%,

08/25/35

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

1,593

683,160

Series

2006-SA2,

Class

2A1,

5.44%,

08/25/36

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

97

66,718

RMF

Buyout

Issuance

Trust,

Series

2021-HB1,

Class

M6,

6.00%,

11/25/31

(b)

(d)

(e)

........

925

656,611

Seasoned

Loans

Structured

Transaction

Trust

(b)

(e)

Series

2020-2,

Class

M1,

4.75%,

09/25/60

.

2,449

2,339,162

Series

2020-3,

Class

M1,

4.75%,

04/26/60

.

2,531

2,450,415

Spruce

Hill

Mortgage

Loan

Trust

(b)

Series

2020-SH2,

Class

B1,

5.00%,

06/25/55

(e)

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

2,764

2,567,208

Series

2022-SH1,

Class

A1A,

4.10%,

07/25/57

(a)

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

1,215

1,119,339

TVC

Mortgage

Trust,

Series

2023-RTL1,

Class

A1,

8.25%,

11/25/27

(a)

(b)

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

395

393,878

Verus

Securitization

Trust

(b)(e)

Series

2020-INV1,

Class

B1,

5.75%,

03/25/60

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

1,100

1,057,734

Series

2023-INV1,

Class

M1,

7.59%,

02/25/68

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

1,200

1,201,060

Washington

Mutual

Mortgage

Pass-Through

Certificates

Trust,

Series

2007-OA5,

Class

2A,

(Federal

Reserve

US

12

Month

Cumulative

Average

1

Year

CMT

at

1.25%

Floor

+

0.80%),

5.89%,

06/25/47

(e)

......

1,606

1,248,075

Washington

Mutual

Mortgage

Pass-Through

Certificates

WMALT

Trust

Series

2005-11,

Class

A7,

5.75%,

01/25/36

1,134

924,202

Series

2005-9,

Class

5A1,

5.50%,

11/25/35

1,047

773,721

Series

2006-2,

Class

2CB,

6.50%,

03/25/36

696

432,231

Series

2006-2,

Class

3CB,

6.00%,

03/25/36

1,047

752,751

Series

2006-6,

Class

3CB1,

7.00%,

08/25/36

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

2,792

1,070,870

Series

2006-AR8,

Class

2A,

(Federal

Reserve

US

12

Month

Cumulative

Average

1

Year

CMT

at

0.85%

Floor

+

0.85%),

5.94%,

10/25/46

(e)

.........

104

84,785

Series

2007-5,

Class

A3,

7.00%,

06/25/37

.

203

149,064

Security

Par

(000)

Par

(000)

Value

Collateralized

Mortgage

Obligations

(continued)

Western

Alliance

Bank

(b)(e)

Series

2021-CL2,

Class

M1,

(SOFR

30

day

Average

at

0.00%

Floor

+

3.15%),

8.48%,

07/25/59

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

USD

463

$

478,777

Series

2021-CL2,

Class

M2,

(SOFR

30

day

Average

at

0.00%

Floor

+

3.70%),

9.03%,

07/25/59

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

662

678,767

51,348,499

Commercial

Mortgage-Backed

Securities

—

23.6%

1211

Avenue

of

the

Americas

Trust,

Series

2015-1211,

Class

A1A2,

3.90%,

08/10/35

(b)

370

355,098

2023-MIC

Trust,

Series

2023-MIC,

Class

A,

8.73%,

12/05/38

(b)

(e)

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

240

253,795

280

Park

Avenue

Mortgage

Trust,

Series

2017-

280P,

Class

E,

(1-mo.

CME

Term

SOFR

at

2.37%

Floor

+

2.42%),

7.74%,

09/15/34

(b)

(e)

237

213,330

Alen

Mortgage

Trust,

Series

2021-ACEN,

Class

D,

(1-mo.

CME

Term

SOFR

at

3.10%

Floor

+

3.21%),

8.54%,

04/15/34

(b)

(e)

..........

276

177,727

Arbor

Multifamily

Mortgage

Securities

Trust,

Series

2020-MF1,

Class

E,

1.75%,

05/15/53

(b)

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

750

480,210

Ashford

Hospitality

Trust

(b)(e)

Series

2018-ASHF,

Class

D,

(1-mo.

CME

Term

SOFR

at

2.23%

Floor

+

2.27%),

7.59%,

04/15/35

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

280

274,102

Series

2018-ASHF,

Class

E,

(1-mo.

CME

Term

SOFR

at

3.23%

Floor

+

3.27%),

8.59%,

04/15/35

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

229

223,589

BAMLL

Commercial

Mortgage

Securities

Trust

(b)

(e)

Series

2018-DSNY,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.10%

Floor

+

1.15%),

6.47%,

09/15/34

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

529

528,670

Series

2018-DSNY,

Class

D,

(1-mo.

CME

Term

SOFR

at

1.95%

Floor

+

2.00%),

7.32%,

09/15/34

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

160

160,044

BANK

Series

2021-BN35,

Class

A5,

2.29%,

06/15/64

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

730

584,335

Series

2021-BN38,

Class

A5,

2.52%,

12/15/64

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

1,700

1,368,795

BANK5

Trust,

Series

2024-5YR6,

Class

A3,

6.23%,

05/15/57

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

470

478,672

Bayview

Commercial

Asset

Trust

(b)(e)

Series

2006-3A,

Class

A2,

(1-mo.

CME

Term

SOFR

at

0.00%

Floor

+

0.56%),

5.88%,

10/25/36

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

623

595,550

Series

2006-4A,

Class

A1,

(1-mo.

CME

Term

SOFR

at

0.23%

Floor

+

0.46%),

5.78%,

12/25/36

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

553

526,218

BBCMS

Mortgage

Trust

Series

2018-TALL,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.87%

Floor

+

0.92%),

6.24%,

03/15/37

(b)

(e)

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

296

281,200

Series

2018-TALL,

Class

B,

(1-mo.

CME

Term

SOFR

at

1.12%

Floor

+

1.17%),

6.49%,

03/15/37

(b)

(e)

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

150

138,375

Series

2020-C7,

Class

A5,

2.04%,

04/15/53

1,950

1,600,602

Series

2022-C18,

Class

ASB,

5.95%,

12/15/55

(e)

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

650

667,594

Series

2024-5C25,

Class

A3,

5.95%,

03/15/57

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

1,810

1,828,457

Benchmark

Mortgage

Trust,

Series

2018-B5,

Class

A4,

4.21%,

07/15/51

...........

550

518,690

2024

BlackRock

Annual

Report

to

Shareholders

Schedule

of

Investments

(continued)

April

30,

2024

BlackRock

U.S.

Mortgage

Portfolio

12

(Percentages

shown

are

based

on

Net

Assets)

Security

Par

(000)

Par

(000)

Value

Commercial

Mortgage-Backed

Securities

(continued)

BFLD

Trust,

Series

2020-EYP,

Class

E,

(1-mo.

CME

Term

SOFR

at

3.70%

Floor

+

3.81%),

9.14%,

10/15/35

(b)

(e)

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

USD

120

$

9,000

BHMS,

Series

2018-ATLS,

Class

C,

(1-mo.

CME

Term

SOFR

at

2.15%

Floor

+

2.20%),

7.52%,

07/15/35

(b)

(e)

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

269

264,936

BPR

Trust

(b)(e)

Series

2021-TY,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.05%

Floor

+

1.16%),

6.49%,

09/15/38

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

1,000

992,812

Series

2021-TY,

Class

E,

(1-mo.

CME

Term

SOFR

at

3.60%

Floor

+

3.71%),

9.04%,

09/15/38

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

750

740,625

Series

2022-SSP,

Class

A,

(1-mo.

CME

Term

SOFR

at

3.00%

Floor

+

3.00%),

8.32%,

05/15/39

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

370

373,833

BSST

Mortgage

Trust,

Series

2021-SSCP,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.75%

Floor

+

0.86%),

6.19%,

04/15/36

(b)

(e)

.....

666

658,955

BX

Commercial

Mortgage

Trust

(b)

Series

2020-VIV3,

Class

B,

3.66%,

03/09/44

(e)

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

683

585,403

Series

2020-VIV4,

Class

A,

2.84%,

03/09/44

1,370

1,156,955

Series

2021-SOAR,

Class

G,

(1-mo.

CME

Term

SOFR

at

2.80%

Floor

+

2.91%),

8.24%,

06/15/38

(e)

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

132

131,852

Series

2021-VINO,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.77%

Floor

+

0.77%),

6.09%,

05/15/38

(e)

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

707

701,674

Series

2021-VINO,

Class

F,

(1-mo.

CME

Term

SOFR

at

2.92%

Floor

+

2.92%),

8.24%,

05/15/38

(e)

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

126

124,826

Series

2021-VOLT,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.70%

Floor

+

0.81%),

6.14%,

09/15/36

(e)

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

752

744,480

Series

2021-XL2,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.69%

Floor

+

0.80%),

6.12%,

10/15/38

(e)

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

2,556

2,532,014

Series

2022-CSMO,

Class

C,

(1-mo.

CME

Term

SOFR

at

3.89%

Floor

+

3.89%),

9.21%,

06/15/27

(e)

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

260

261,300

Series

2022-LP2,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.01%

Floor

+

1.01%),

6.33%,

02/15/39

(e)

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

1,427

1,420,340

Series

2022-LP2,

Class

B,

(1-mo.

CME

Term

SOFR

at

1.31%

Floor

+

1.31%),

6.63%,

02/15/39

(e)

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

1,236

1,223,444

Series

2023-XL3,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.76%

Floor

+

1.76%),

7.08%,

12/09/40

(e)

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

945

950,906

Series

2024-MF,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.44%

Floor

+

1.44%),

6.76%,

02/15/39

(e)

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

590

590,175

Series

2024-MF,

Class

E,

(1-mo.

CME

Term

SOFR

at

3.74%

Floor

+

3.74%),

9.06%,

02/15/39

(e)

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

284

284,506

Series

2024-XL4,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.44%

Floor

+

1.44%),

6.76%,

02/15/39

(e)

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

915

915,000

Series

2024-XL4,

Class

D,

(1-mo.

CME

Term

SOFR

at

3.14%

Floor

+

3.14%),

8.46%,

02/15/39

(e)

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

256

256,000

BX

Trust

(b)

Series

2019-OC11,

Class

A,

3.20%,

12/09/41

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

826

719,700

Security

Par

(000)

Par

(000)

Value

Commercial

Mortgage-Backed

Securities

(continued)

Series

2019-OC11,

Class

E,

4.08%,

12/09/41

(e)

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

USD

71

$

59,479

Series

2021-ARIA,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.90%

Floor

+

1.01%),

6.33%,

10/15/36

(e)

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

400

395,000

Series

2021-ARIA,

Class

G,

(1-mo.

CME

Term

SOFR

at

3.14%

Floor

+

3.26%),

8.58%,

10/15/36

(e)

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

128

123,040

Series

2021-LBA,

Class

AJV,

(1-mo.

CME

Term

SOFR

at

0.80%

Floor

+

0.91%),

6.24%,

02/15/36

(e)

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

705

701,034

Series

2021-MFM1,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.70%

Floor

+

0.81%),

6.14%,

01/15/34

(e)

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

383

380,257

Series

2021-MFM1,

Class

G,

(1-mo.

CME

Term

SOFR

at

3.90%

Floor

+

4.01%),

9.34%,

01/15/34

(e)

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

134

131,365

Series

2021-VIEW,

Class

D,

(1-mo.

CME

Term

SOFR

at

2.90%

Floor

+

3.01%),

8.34%,

06/15/36

(e)

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

275

258,859

Series

2021-VIEW,

Class

F,

(1-mo.

CME

Term

SOFR

at

3.93%

Floor

+

4.04%),

9.37%,

06/15/36

(e)

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

350

310,612

Series

2022-GPA,

Class

A,

(1-mo.

CME

Term

SOFR

at

2.17%

Floor

+

2.17%),

7.49%,

08/15/39

(e)

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

168

168,047

Series

2022-GPA,

Class

B,

(1-mo.

CME

Term

SOFR

at

2.66%

Floor

+

2.66%),

7.98%,

08/15/41

(e)

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

690

692,390

Series

2022-GPA,

Class

D,

(1-mo.

CME

Term

SOFR

at

4.06%

Floor

+

4.06%),

9.38%,

08/15/43

(e)

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

296

296,554

Series

2022-IND,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.49%

Floor

+

1.49%),

6.81%,

04/15/37

(e)

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

104

103,660

Series

2022-LBA6,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.00%

Floor

+

1.00%),

6.32%,

01/15/39

(e)

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

880

873,950

Series

2022-VAMF,

Class

F,

(1-mo.

CME

Term

SOFR

at

3.30%

Floor

+

3.30%),

8.62%,

01/15/39

(e)

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

450

419,587

Series

2023-DELC,

Class

A,

(1-mo.

CME

Term

SOFR

at

2.69%

Floor

+

2.69%),

8.01%,

05/15/38

(e)

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

360

363,600

Series

2023-DELC,

Class

B,

(1-mo.

CME

Term

SOFR

at

3.34%

Floor

+

3.34%),

8.66%,

05/15/38

(e)

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

440

442,750

Series

2024-BIO,

Class

A,

(1-mo.

CME

Term

SOFR

+

1.64%),

6.96%,

02/15/41

(e)

...

735

735,456

Series

2024-CNYN,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.44%

Floor

+

1.44%),

6.76%,

04/15/29

(e)

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

1,000

998,750

Series

2024-CNYN,

Class

E,

(1-mo.

CME

Term

SOFR

at

3.69%

Floor

+

3.69%),

9.01%,

04/15/29

(e)

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

295

294,631

Series

2024-PAT,

Class

C,

(1-mo.

CME

Term

SOFR

at

4.44%

Floor

+

4.44%),

9.76%,

03/15/41

(e)

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

438

436,363

Series

2024-PAT,

Class

D,

(1-mo.

CME

Term

SOFR

at

5.39%

Floor

+

5.39%),

10.71%,

03/15/41

(e)

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

146

145,992

BXP

Trust,

Series

2021-601L,

Class

D,

2.87%,

01/15/44

(b)

(e)

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

540

356,816

CFCRE

Commercial

Mortgage

Trust,

Series

2016-C7,

Class

A3,

3.84%,

12/10/54

.....

600

565,970

Schedule

of

Investments

(continued)

April

30,

2024

BlackRock

U.S.

Mortgage

Portfolio

Schedule

of

Investments

13

(Percentages

shown

are

based

on

Net

Assets)

Security

Par

(000)

Par

(000)

Value

Commercial

Mortgage-Backed

Securities

(continued)

CFK

Trust,

Series

2020-MF2,

Class

B,

2.79%,

03/15/39

(b)

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

USD

336

$

283,550

Citigroup

Commercial

Mortgage

Trust,

Series

2023-SMRT,

Class

A,

6.01%,

10/12/40

(b)

(e)

.

435

432,770

COAST

Commercial

Mortgage

Trust,

Series

2023-2HTL,

Class

B,

(1-mo.

CME

Term

SOFR

at

3.34%

Floor

+

3.34%),

8.66%,

08/15/36

(b)

(e)

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

250

249,062

Cold

Storage

Trust

(b)(e)

Series

2020-ICE5,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.90%

Floor

+

1.01%),

6.33%,

11/15/37

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

688

686,588

Series

2020-ICE5,

Class

F,

(1-mo.

CME

Term

SOFR

at

3.49%

Floor

+

3.61%),

8.93%,

11/15/37

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

703

701,301

Commercial

Mortgage

Trust

Series

2015-CR25,

Class

A3,

3.51%,

08/10/48

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

469

458,260

Series

2015-CR25,

Class

C,

4.67%,

08/10/48

(e)

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

255

243,816

Series

2015-LC19,

Class

A4,

3.18%,

02/10/48

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

605

593,305

Series

2015-LC19,

Class

B,

3.83%,

02/10/48

(e)

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

806

758,614

Series

2017-PANW,

Class

A,

3.24%,

10/10/29

(b)

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

1,580

1,453,916

CSAIL

Commercial

Mortgage

Trust,

Series

2019-C16,

Class

C,

4.24%,

06/15/52

(e)

...

251

207,528

CSMC

Trust

(b)

Series

2020-FACT,

Class

F,

(1-mo.

CME

Term

SOFR

at

6.16%

Floor

+

6.52%),

11.84%,

10/15/37

(e)

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

600

528,974

Series

2020-NET,

Class

C,

3.53%,

08/15/37

100

92,974

Series

2021-980M,

Class

E,

3.65%,

07/15/31

(e)

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

365

320,589

Series

2021-BHAR,

Class

E,

(1-mo.

CME

Term

SOFR

at

3.50%

Floor

+

3.61%),

8.94%,

11/15/38

(e)

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

300

295,969

Series

2022-NWPT,

Class

A,

(1-mo.

CME

Term

SOFR

at

3.14%

Floor

+

3.14%),

8.46%,

09/09/24

(e)

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

380

382,319

DBGS

Mortgage

Trust,

Series

2018-BIOD,

Class

F,

(1-mo.

CME

Term

SOFR

at

2.00%

Floor

+

2.30%),

7.62%,

05/15/35

(b)

(e)

.....

210

205,906

DBWF

Mortgage

Trust,

Series

2024-LCRS,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.74%

Floor

+

1.74%),

7.04%,

04/15/37

(b)

(e)

.....

360

359,103

DC

Trust,

Series

2024-HLTN,

Class

F,

10.31%,

04/13/28

(b)

(e)

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

365

360,924

DK

Trust

(b)(e)

Series

2024-SPBX,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.50%

Floor

+

1.50%),

6.82%,

03/15/34

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

590

589,263

Series

2024-SPBX,

Class

E,

(1-mo.

CME

Term

SOFR

at

1.50%

Floor

+

4.00%),

9.32%,

03/15/34

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

439

438,724

Extended

Stay

America

Trust

(b)(e)

Series

2021-ESH,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.08%

Floor

+

1.19%),

6.52%,

07/15/38

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

719

717,707

Series

2021-ESH,

Class

E,

(1-mo.

CME

Term

SOFR

at

2.85%

Floor

+

2.96%),

8.29%,

07/15/38

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

366

365,244

Series

2021-ESH,

Class

F,

(1-mo.

CME

Term

SOFR

at

3.70%

Floor

+

3.81%),

9.14%,

07/15/38

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

740

738,708

Security

Par

(000)

Par

(000)

Value

Commercial

Mortgage-Backed

Securities

(continued)

Great

Wolf

Trust

(b)(e)

Series

2019-WOLF,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.12%

Floor

+

1.35%),

6.67%,

12/15/36

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

USD

179

$

178,694

Series

2024-WLF2,

Class

A,

(1-mo.

CME

Term

SOFR

+

1.69%),

6.99%,

05/15/41

.

565

563,588

Series

2024-WOLF,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.54%

Floor

+

1.54%),

6.86%,

03/15/39

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

540

539,662

GS

Mortgage

Securities

Corp.

II

(b)

Series

2005-ROCK,

Class

A,

5.37%,

05/03/32

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

335

327,756

Series

2023-SHIP,

Class

E,

7.68%,

09/10/38

(e)

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

700

689,851

GS

Mortgage

Securities

Corp.

Trust

(b)(e)

Series

2021-IP,

Class

E,

(1-mo.

CME

Term

SOFR

at

3.55%

Floor

+

3.66%),

8.99%,

10/15/36

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

300

286,031

Series

2021-STAR,

Class

B,

(1-mo.

CME

Term

SOFR

at

1.40%

Floor

+

1.51%),

6.84%,

12/15/36

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

870

859,941

Series

2022-AGSS,

Class

A,

(1-mo.

CME

Term

SOFR

at

2.79%

Floor

+

2.69%),

8.01%,

11/15/27

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

367

367,097

Series

2023-FUN,

Class

B,

(1-mo.

CME

Term

SOFR

at

2.79%

Floor

+

2.79%),

8.11%,

03/15/28

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

520

520,650

Hawaii

Hotel

Trust,

Series

2019-MAUI,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.15%

Floor

+

1.20%),

6.52%,

05/15/38

(b)

(e)

..........

250

249,375

Hilton

USA

Trust,

Series

2016-HHV,

Class

C,

4.33%,

11/05/38

(b)

(e)

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

519

487,835

HONO

Mortgage

Trust

(b)(e)

Series

2021-LULU,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.15%

Floor

+

1.26%),

6.59%,

10/15/36

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

772

744,499

Series

2021-LULU,

Class

E,

(1-mo.

CME

Term

SOFR

at

3.35%

Floor

+

3.46%),

8.79%,

10/15/36

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

590

552,114

Series

2021-LULU,

Class

F,

(1-mo.

CME

Term

SOFR

at

4.40%

Floor

+

4.51%),

9.84%,

10/15/36

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

410

377,870

HTL

Commercial

Mortgage

Trust

(b)(e)

Series

2024-T53,

Class

A,

5.88%,

05/10/39

180

178,389

Series

2024-T53,

Class

E,

10.26%,

05/10/39

365

362,358

Hudson

Yards

Mortgage

Trust,

Series

2019-

30HY,

Class

D,

3.56%,

07/10/39

(b)

(e)

.....

208

169,405

IMT

Trust,

Series

2017-APTS,

Class

BFX,

3.61%,

06/15/34

(b)

(e)

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

1,250

1,242,202

J.P.

Morgan

Chase

Commercial

Mortgage

Securities

Trust

(b)(e)

Series

2016-NINE,

Class

A,

2.95%,

09/06/38

640

593,021

Series

2016-NINE,

Class

B,

(1-mo.

LIBOR

USD

+

0.00%),

2.95%,

09/06/38

.....

654

595,434

Series

2021-MHC,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.80%

Floor

+

0.91%),

6.49%,

04/15/38

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

576

574,946

Series

2021-MHC,

Class

E,

(1-mo.

CME

Term

SOFR

at

2.45%

Floor

+

2.56%),

8.14%,

04/15/38

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

300

297,750

Series

2022-CGSS,

Class

A,

(1-mo.

CME

Term

SOFR

at

2.97%

Floor

+

2.87%),

8.19%,

12/15/36

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

532

533,137

Series

2022-NXSS,

Class

A,

(1-mo.

CME

Term

SOFR

at

2.18%

Floor

+

2.18%),

7.50%,

09/15/39

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

539

539,502

2024

BlackRock

Annual

Report

to

Shareholders

Schedule

of

Investments

(continued)

April

30,

2024

BlackRock

U.S.

Mortgage

Portfolio

14

(Percentages

shown

are

based

on

Net

Assets)

Security

Par

(000)

Par

(000)

Value

Commercial

Mortgage-Backed

Securities

(continued)

Series

2022-OPO,

Class

D,

3.56%,

01/05/39

USD

350

$

253,750

KSL

Commercial

Mortgage

Trust,

Series

2023-

HT,

Class

A,

(1-mo.

CME

Term

SOFR

at

2.29%

Floor

+

2.29%),

7.61%,

12/15/36

(b)

(e)

895

899,195

Lehman

Brothers

Small

Balance

Commercial

Mortgage

Trust,

Series

2007-2A,

Class

M1,

(1-mo.

CME

Term

SOFR

at

0.40%

Floor

+

0.51%),

5.83%,

06/25/37

(b)

(e)

..........

632

623,340

Life

Mortgage

Trust,

Series

2021-BMR,

Class

F,

(1-mo.

CME

Term

SOFR

at

2.35%

Floor

+

2.46%),

7.79%,

03/15/38

(b)

(e)

..........

164

158,411

LUX

Trust,

Series

2023-LION,

Class

A,

(1-mo.

CME

Term

SOFR

at

2.69%

Floor

+

2.69%),

8.01%,

08/15/40

(b)

(e)

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

128

129,511

MCR

Mortgage

Trust

(b)(e)

Series

2024-HTL,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.76%

Floor

+

1.76%),

7.08%,

02/15/37

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

621

620,721

Series

2024-HTL,

Class

E,

(1-mo.

CME

Term

SOFR

at

4.65%

Floor

+

4.65%),

9.98%,

02/15/37

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

284

283,645

Med

Trust

(b)(e)

Series

2021-MDLN,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.95%

Floor

+

1.06%),

6.39%,

11/15/38

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

554

551,914

Series

2021-MDLN,

Class

E,

(1-mo.

CME

Term

SOFR

at

3.15%

Floor

+

3.26%),

8.59%,

11/15/38

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

146

145,566

Series

2021-MDLN,

Class

F,

(1-mo.

CME

Term

SOFR

at

4.00%

Floor

+

4.11%),

9.44%,

11/15/38

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

141

140,969

Series

2021-MDLN,

Class

G,

(1-mo.

CME

Term

SOFR

at

5.25%

Floor

+

5.36%),

10.69%,

11/15/38

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

244

243,220

MF1

Multifamily

Housing

Mortgage

Loan

Trust

(b)

(e)

Series

2021-W10,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.07%

Floor

+

1.07%),

6.39%,

12/15/34

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

470

467,650

Series

2021-W10,

Class

G,

(1-mo.

CME

Term

SOFR

at

4.22%

Floor

+

4.22%),

9.54%,

12/15/34

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

300

282,294

MFT

Trust,

Series

2020-ABC,

Class

C,

3.59%,

02/10/42

(b)

(e)

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

192

114,059

MHC

Commercial

Mortgage

Trust,

Series

2021-

MHC,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.80%

Floor

+

0.92%),

6.24%,

04/15/38

(b)

(e)

882

876,149

MHP

2022-MHIL,

Series

2022-MHIL,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.82%

Floor

+

0.81%),

6.14%,

01/15/27

(b)

(e)

..........

893

885,285

MIRA

Trust,

Series

2023-MILE,

Class

A,

6.75%,

06/10/38

(b)

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

628

639,495

Morgan

Stanley

Capital

I

Trust

Series

2014-150E,

Class

A,

3.91%,

09/09/32

(b)

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

595

518,580

Series

2017-HR2,

Class

D,

2.73%,

12/15/50

(b)

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

555

438,383

Series

2018-H4,

Class

A4,

4.31%,

12/15/51

1,824

1,723,665

Series

2018-MP,

Class

A,

4.42%,

07/11/40

(b)

(e)

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

150

129,382

Series

2018-SUN,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.90%

Floor

+

1.20%),

6.52%,

07/15/35

(b)

(e)

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

595

593,884

Series

2019-H6,

Class

D,

3.00%,

06/15/52

(b)

460

340,962

One

Bryant

Park

Trust,

Series

2019-OBP,

Class

A,

2.52%,

09/15/54

(b)

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

1,072

889,552

Security

Par

(000)

Par

(000)

Value

Commercial

Mortgage-Backed

Securities

(continued)

One

Market

Plaza

Trust,

Series

2017-1MKT,

Class

D,

4.15%,

02/10/32

(b)

...........

USD

415

$

354,552

One

New

York

Plaza

Trust

(b)(e)

Series

2020-1NYP,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.95%

Floor

+

1.06%),

6.39%,

01/15/36

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

185

178,987

Series

2020-1NYP,

Class

AJ,

(1-mo.

CME

Term

SOFR

at

1.25%

Floor

+

1.36%),

6.69%,

01/15/36

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

100

94,000

OPEN

Trust,

Series

2023-AIR,

Class

A,

(1-mo.

CME

Term

SOFR

at

3.09%

Floor

+

3.09%),

8.41%,

10/15/28

(b)

(e)

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

712

720,271

PKHL

Commercial

Mortgage

Trust,

Series

2021-MF,

Class

NR,

(1-mo.

CME

Term

SOFR

at

6.00%

Floor

+

6.11%),

11.44%,

07/15/38

(b)

(e)

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

300

52,276

SCG

Mortgage

Trust,

Series

2024-MSP,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.74%

Floor

+

1.74%),

7.04%,

04/15/41

(b)

(e)

..........

400

399,374

SHER

Trust,

Series

2024-DAL,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.64%

Floor

+

1.64%),

6.97%,

04/15/29

(b)

(e)

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

450

448,875

SMRT,

Series

2022-MINI,

Class

A,

(1-mo.

CME

Term

SOFR

at

1.00%

Floor

+

1.00%),

6.32%,

01/15/39

(b)

(e)

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

566

559,986

SREIT

Trust

(b)(e)

Series

2021-MFP,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.73%

Floor

+

0.85%),

6.17%,

11/15/38

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

574

570,171

Series

2021-MFP,

Class

F,

(1-mo.

CME

Term

SOFR

at

2.63%

Floor

+

2.74%),

8.06%,

11/15/38

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

718

709,573

Series

2021-MFP2,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.82%

Floor

+

0.94%),

6.26%,

11/15/36

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

1,255

1,244,803

STWD

Trust,

Series

2021-FLWR,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.58%

Floor

+

0.69%),

6.01%,

07/15/36

(b)

(e)

..........

1,243

1,230,570

Taubman

Centers

Commercial

Mortgage

Trust,

Series

2022-DPM,

Class

A,

(1-mo.

CME

Term

SOFR

at

2.19%

Floor

+

2.19%),

7.51%,

05/15/37

(b)

(e)

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

500

502,812

TPGI

Trust,

Series

2021-DGWD,

Class

E,

(1-mo.

CME

Term

SOFR

at

2.35%

Floor

+

2.46%),

7.79%,

06/15/26

(b)

(e)

..........

740

738,150

TTAN

MHC,

Series

2021-MHC,

Class

A,

(1-mo.

CME

Term

SOFR

at

0.85%

Floor

+

0.96%),

6.29%,

03/15/38

(b)

(e)

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

714

709,615

Velocity

Commercial

Capital

Loan

Trust

(b)(e)

Series

2019-3,

Class

M4,

3.68%,

10/25/49

.

1,181

1,015,561

Series

2019-3,

Class

M6,

6.03%,

10/25/49

.

1,238

983,670

Series

2020-1,

Class

M4,

3.54%,

02/25/50

.

600

482,001

Series

2021-4,

Class

M5,

5.68%,

12/26/51

.

1,970

1,445,091

Wells

Fargo

Commercial

Mortgage

Trust

Series

2015-C26,

Class

AS,

3.58%,

02/15/48

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

408

397,372

Series

2015-C30,

Class

B,

4.40%,

09/15/58

(e)

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

500

480,426

Series

2016-C32,

Class

B,

4.89%,

01/15/59

(e)

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

500

474,004

Series

2018-1745,

Class

A,

3.87%,

06/15/36

(b)

(e)

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

1,990

1,710,252

Series

2018-AUS,

Class

A,

4.19%,

08/17/36

(b)

(e)

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

620

564,818

Schedule

of

Investments

(continued)

April

30,

2024

BlackRock

U.S.

Mortgage

Portfolio

Schedule

of

Investments

15

(Percentages

shown

are

based

on

Net

Assets)

Security

Par

(000)

Par

(000)

Value

Commercial

Mortgage-Backed

Securities

(continued)

WMRK

Commercial

Mortgage

Trust,

Series

2022-WMRK,

Class

A,

(1-mo.

CME

Term

SOFR

at

2.79%

Floor

+

2.79%),

8.11%,

11/15/27

(b)

(e)

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

USD

660

$

663,300

88,124,264

Interest

Only

Collateralized

Mortgage

Obligations

—

0.1%

(e)

Alternative

Loan

Trust,

Series

2006-45T1,

Class

2A8,

(1-mo.

CME

Term

SOFR

at

0.00%

Floor

and

6.60%

Cap

+

6.49%),

1.17%,

02/25/37

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

742

95,322

GSR

Mortgage

Loan

Trust,

Series

2007-3F,

Class

4A2,

(1-mo.

CME

Term

SOFR

at

0.00%

Floor

and

6.70%

Cap

+

6.59%),

1.27%,

05/25/37

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

3,851

371,955

467,277

Interest

Only

Commercial

Mortgage-Backed

Securities

—

0.8%

(e)

BANK,

Series

2017-BNK9,

Class

XA,

0.90%,

11/15/54

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

3,381

72,711

BBCMS

Mortgage

Trust

Series

2020-C7,

Class

XA,

1.73%,

04/15/53

2,977

173,932

Series

2020-C7,

Class

XB,

1.10%,

04/15/53

1,000

51,348

Series

2023-C20,

Class

XA,

1.07%,

07/15/56

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

11,994

640,279

Benchmark

Mortgage

Trust

Series

2020-B17,

Class

XB,

(1-mo.

LIBOR

USD

at

0.00%

Floor

+

0.00%),

0.65%,

03/15/53

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

15,395

344,127

Series

2023-V3,

Class

XA,

1.05%,

07/15/56

19,994

596,708

Citigroup

Commercial

Mortgage

Trust,

Series

2020-420K,

Class

X,

0.91%,

11/10/42

(b)

...

3,975

171,009

CSAIL

Commercial

Mortgage

Trust

Series

2018-C14,

Class

XA,

0.67%,

11/15/51

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

1,041

19,754

Series

2019-C16,

Class

XA,

1.70%,

06/15/52

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

3,872

231,853

MIRA

Trust,

Series

2023-MILE,

Class

X,

0.25%,

06/10/38

(b)

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

28,000

102,771

ORL

Trust,

Series

2023-GLKS,

Class

XCP,

0.50%,

10/19/36

(b)

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

115,920

254,839

UBS

Commercial

Mortgage

Trust,

Series

2019-

C17,

Class

XA,

1.58%,

10/15/52

.......

3,117

186,130

Wells

Fargo

Commercial

Mortgage

Trust,

Series

2017-C41,

Class

XA,

1.30%,

11/15/50

....

3,572

115,483

2,960,944

Total

Non-Agency

Mortgage-Backed

Securities

—

38

.2

%

(Cost:

$

150,518,990

)

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

142,900,984

U.S.

Government

Sponsored

Agency

Securities

Collateralized

Mortgage

Obligations

—

0.2%

Federal

Home

Loan

Mortgage

Corp.

,

Series

4161

,

Class

BW

,

2.50

%

,

02/15/43

......

200

164,005

Federal

Home

Loan

Mortgage

Corp.

Variable

Rate

Notes

,

Series

2411

,

Class

FJ

,

(SOFR

30

day

Average

at

0.35%

Floor

and

9.00%

Cap

+

0.46%),

5.79

%

,

12/15/29

(e)

.......

2

1,630

Federal

National

Mortgage

Association

Series

2010-134

,

Class

KZ

,

4.50

%

,

12/25/40

108

92,635

Series

2010-141

,

Class

LZ

,

4.50

%

,

12/25/40

222

198,530

Series

2011-131

,

Class

LZ

,

4.50

%

,

12/25/41

153

134,600

Federal

National

Mortgage

Association

Variable

Rate

Notes

,

Series

2018-32

,

Class

PS

,

(SOFR

30

day

Average

at

0.00%

Floor

and

7.23%

Cap

+

7.10%),

0.88

%

,

05/25/48

(e)

..

155

123,035

Security

Par

(000)

Par

(000)

Value

Collateralized

Mortgage

Obligations

(continued)

Government

National

Mortgage

Association

,

Series

2019-29

,

Class

HY

,

3.50

%

,

03/20/49

USD

100

$

75,998

Government

National

Mortgage

Association

Variable

Rate

Notes

,

Series

2014-107

,

Class

WX

,

6.63

%

,

07/20/39

(e)

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

140

141,626

932,059

Commercial

Mortgage-Backed

Securities

—

0.1%

Federal

Home

Loan

Mortgage

Corp.

Variable

Rate

Notes

,

Series

2018-W5FX

,

Class

CFX

,

(1-mo.

LIBOR

USD

+

0.00%),

3.79

%

,

04/25/28

(b)

(e)

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

288

243,614

Government

National

Mortgage

Association

,

Series

2019-53

,

Class

V

,

2.75

%

,

08/16/31

.

159

142,321

385,935

Interest

Only

Collateralized

Mortgage

Obligations

—

5.0%

Federal

Home

Loan

Mortgage

Corp.

Series

4062

,

Class

GI

,

4.00

%

,

02/15/41

..

71

2,641

Series

5159

,

Class

PI

,

3.00

%

,

11/25/51

...

843

123,566

Federal

Home

Loan

Mortgage

Corp.

Variable

Rate

Notes

(e)

Series

4119

,

Class

SC

,

(SOFR

30

day

Average

at

0.00%

Floor

and

6.15%

Cap

+

6.04%),

0.71

%

,

10/15/42

..........

610

49,881

Series

4901

,

Class

CS

,

(SOFR

30

day

Average

at

0.00%

Floor

and

6.10%

Cap

+

5.99%),

0.66

%

,

07/25/49

..........

435

32,556

Series

4941

,

Class

SH

,

(SOFR

30

day

Average

at

0.00%

Floor

and

5.95%

Cap

+

5.84%),

0.51

%

,

12/25/49

..........

416

31,121

Federal

National

Mortgage

Association

Series

2013-10

,

Class

PI

,

3.00

%

,

02/25/43

444

50,962

Series

2014-68

,

Class

YI

,

4.50

%

,

11/25/44

.

196

38,660

Series

2017-68

,

Class

IE

,

4.50

%

,

09/25/47

565

99,506

Series

2020-32

,

Class

PI

,

4.00

%

,

05/25/50

5,101

1,073,830

Series

2021-23

,

Class

CI

,

3.50

%

,

07/25/46

578

101,640

Series

2021-41

,

3.50

%

,

07/25/51

.......

690

121,496

Series

2024-7

,

Class

IA

,

3.50

%

,

11/25/49

.

24,689

3,098,026

Federal

National

Mortgage

Association

Variable

Rate

Notes

(e)

Series

2016-60

,

Class

SD

,

(SOFR

30

day

Average

at

0.00%

Floor

and

6.10%

Cap

+

5.99%),

0.66

%

,

09/25/46

..........

830

38,608

Series

2016-78

,

Class

CS

,

(SOFR

30

day

Average

at

0.00%

Floor

and

6.10%

Cap

+

5.99%),

0.66

%

,

05/25/39

..........

1,057

49,205

Government

National

Mortgage

Association

Series

2021-58

,

Class

IY

,

3.00

%

,

02/20/51

.

17,643

2,771,916

Series

2021-64

,

Class

IH

,

3.00

%

,

02/20/51

19,389

2,969,638

Series

2021-97

,

Class

LI

,

3.00

%

,

08/20/50

.

21,130

3,330,233

Series

2021-104

,

Class

IH

,

3.00

%

,

06/20/51

1,007

161,002

Series

2022-88

,

Class

IA

,

3.00

%

,

08/20/50

28,368

4,493,452

Government

National

Mortgage

Association

Variable

Rate

Notes

,

Series

2017-101

,

Class

SL

,

(1-mo.

CME

Term

SOFR

at

0.00%

Floor

and

6.20%

Cap

+

6.09%),

0.77

%

,

07/20/47

(e)

371

34,491

18,672,430

Interest

Only

Commercial

Mortgage-Backed

Securities

—

0.3%

(e)

Federal

Home

Loan

Mortgage

Corp.

Multifamily

Structured

Pass-Through

Certificates

Variable

Rate

Notes

Series

K110

,

Class

X1

,

1.81

%

,

04/25/30

..

5,303

402,551

Series

KPLB2

,

Class

X

,

0.44

%

,

06/25/33

..

16,982

364,427

2024

BlackRock

Annual

Report

to

Shareholders

Schedule

of

Investments

(continued)

April

30,

2024

BlackRock

U.S.

Mortgage

Portfolio

16

(Percentages

shown

are

based

on

Net

Assets)

Security

Par

(000)

Par

(000)

Value

Interest

Only

Commercial

Mortgage-Backed

Securities

(continued)

Government

National

Mortgage

Association

Variable

Rate

Notes

Series

2016-151

,

0.85

%

,

06/16/58

......

USD

6,985

$

296,728

Series

2020-43

,

1.26

%

,

11/16/61

.......

2,103

155,723

1,219,429

Mortgage-Backed

Securities

—

48.8%

Federal

Home

Loan

Mortgage

Corp.

2.50

%

,

03/01/30

-

04/01/31

...........

461

429,849

3.00

%

,

09/01/27

-

12/01/46

...........

295

263,592

3.50

%

,

12/01/41

-

01/01/48

...........

1,045

934,914

4.00

%

,

08/01/40

-

12/01/45

...........

312

287,240

4.50

%

,

07/01/26

-

09/01/48

...........

431

409,055

5.00

%

,

05/01/35

-

02/01/42

...........

563

547,417

5.50

%

,

02/01/35

-

06/01/41

...........

301

299,901

6.00

%

,

08/01/28

-

11/01/39

...........

11

11,021

Federal

National

Mortgage

Association

3.50

%

,

11/01/46

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

307

274,276

4.00

%

,

01/01/41

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

26

23,598

6.00

%

,

07/01/39

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

230

230,629

Federal

National

Mortgage

Association

Variable

Rate

Notes

(e)

3.07

%

,

09/01/27

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

159

149,678

3.22

%

,

03/01/27

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

485

460,888

Government

National

Mortgage

Association

2.00

%

,

05/15/54

(g)

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

6,013

4,730,830

2.50

%

,

05/15/54

(g)

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

6,080

4,983,708

3.00

%

,

02/15/45

-

01/20/51

...........

656

560,484

3.50

%

,

01/15/42

-

10/20/46

...........

794

713,018

3.50

%

,

05/15/54

(g)

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

2,498

2,200,199

4.00

%

,

04/20/39

-

06/20/50

...........

2,484

2,278,030

4.50

%

,

09/20/39

-

04/20/47

...........

1,410

1,345,335

5.00

%

,

12/15/34

-

07/20/44

...........

964

946,122

5.50

%

,

07/15/38

-

12/20/41

...........

328

331,024

6.50

%

,

10/15/38

-

02/20/41

...........

105

107,904

Uniform

Mortgage-Backed

Securities

1.50

%

,

05/25/39

-

05/25/54

(g)

..........

8,437

6,541,799

2.00

%

,

10/01/31

-

03/01/32

...........

403

365,615

2.00

%

,

05/25/39

-

05/25/54

(g)

..........

24,410

18,732,388

2.50

%

,

04/01/30

-

03/01/32

...........

754

700,761

2.50

%

,

05/25/39

-

05/25/54

(g)

..........

24,981

19,908,286

3.00

%

,

04/01/28

-

08/01/50

...........

1,943

1,768,391

3.00

%

,

05/25/54

(g)

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

11,620

9,593,336

3.50

%

,

11/01/27

-

06/01/52

...........

6,976

6,077,489

3.50

%

,

05/25/54

(g)

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

12,068

10,400,584

4.00

%

,

08/01/31

-

05/01/52

...........

5,100

4,648,882

4.00

%

,

05/25/54

(g)

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

5,178

4,631,073

4.50

%

,

07/01/24

-

07/01/53

...........

18,231

16,876,351

4.50

%

,

05/25/54

(g)

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

3,082

2,839,799

5.00

%

,

06/01/26

-

02/01/54

...........

21,091

20,076,953

5.50

%

,

05/01/34

-

03/01/53

...........

11,661

11,435,517

6.00

%

,

12/01/32

-

09/01/40

...........

296

299,407

6.50

%

,

09/01/36

-

02/01/54

(h)

..........

14,907

15,091,937

7.00

%

,

02/01/54

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

9,912

10,151,575

182,658,855

Principal

Only

Collateralized

Mortgage

Obligations

—

0.5%

Government

National

Mortgage

Association

,

Series

2023-130

,

Class

OD

,

0.00

%

,

09/20/53

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

2,162

1,735,767

Total

U.S.

Government

Sponsored

Agency

Securities

—

54

.9

%

(Cost:

$

212,263,307

)

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

205,604,475

Total

Long-Term

Investments

—

105.6%

(Cost:

$

412,321,740

)

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

395,441,543

Security

Shares

Shares

Value

Short-Term

Securities

Money

Market

Funds

—

0.6%

Dreyfus

Treasury

Prime

Cash

Management

Institutional

Shares

,

5.21

%

(i)

..........

2,343,007

$

2,343,007

Total

Money

Market

Funds

—

0

.6

%

(Cost:

$

2,343,007

)

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

2,343,007

Par

(000)

Pa

r

(

000)

U.S.

Treasury

Obligations

—

14.7%

U.S.

Treasury

Bills

,

5.26

%

,

05/14/24

(j)

......

USD

55,049

54,944,238

Total

U.S.

Treasury

Obligations

—

14

.7

%

(Cost:

$

54,945,110

)

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

54,944,238

Total

Short-Term

Securities

—

15.3%

(Cost:

$

57,288,117

)

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

57,287,245

Total

Investments

Before

Options

Written

and

TBA

Sale

Commitments

—

120

.9

%

(Cost:

$

469,609,857

)

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

452,728,788

Total

Options

Written

—

(

0

.1

)

%

(Premium

Received

—

$

(

312,180

)

)

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

(

192,555

)

TBA

Sale

Commitments

(g)

Mortgage-Backed

Securities

—

(

2

.1

)

%

Government

National

Mortgage

Association

,

6.00

%

,

05/15/54

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

(

5,160

)

(

5,173,003

)

Uniform

Mortgage-Backed

Securities

,

4.50

%

,

05/25/54

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

(

3,082

)

(

2,839,799

)

Total

TBA

Sale

Commitments

—

(

2

.1

)

%

(Proceeds:

$

(

8,026,350

)

)

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

(8,012,802)

Total

Investments

Net

of

Options

Written

and

TBA

Sale

Commitments

—

118

.7

%

(Cost:

$

461,271,327

)

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

444,523,431

Liabilities

in

Excess

of

Other

Assets

—

(

18.7

)

%

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

(

69,965,315

)

Net

Assets

—

100.0%

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

$

374,558,116

Schedule

of

Investments

(continued)

April

30,

2024

BlackRock

U.S.

Mortgage

Portfolio

Schedule

of

Investments

17

(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)

Zero-coupon

bond.

(d)

Security

is

valued

using

significant

unobservable

inputs

and

is

classified

as

Level

3

in

the

fair

value

hierarchy.

(e)

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.

(f)

This

security

may

be

resold

to

qualified

foreign

investors

and

foreign

institutional

buyers

under

Regulation

S

of

the

Securities

Act

of

1933.

(g)

Represents

or

includes

a

TBA

transaction.

(h)

All

or

a

portion

of

the

security

has

been

pledged

as

collateral

in

connection

with

outstanding

TBA

commitments.

(i)

Annualized

7-day

yield

as

of

period

end.

(j)

Rates

are

discount

rates

or

a

range

of

discount

rates

as

of

period

end.

For

purposes

of

this

report,

industry

and

sector

sub-classifications

may

differ

from

those

utilized

by

the

Fund

for

compliance

purposes.

2024

BlackRock

Annual

Report

to

Shareholders

Schedule

of

Investments

(continued)

April

30,

2024

BlackRock

U.S.

Mortgage

Portfolio

18

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

Ultra

Bond

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

35

06/18/24

$

4,188

$

(

224,723

)

U.S.

Treasury

2-Year

Note

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

426

06/28/24

86,348

(

624,161

)

U.S.

Treasury

5-Year

Note

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

537

06/28/24

56,268

(

246,308

)

(

1,095,192

)

Short

Contracts

3-mo.

SOFR

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

2

06/18/24

473

672

U.S.

Treasury

10-Year

Note

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

303

06/18/24

32,563

379,749

U.S.

Treasury

10-Year

Ultra

Note

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

84

06/18/24

9,262

304,865

U.S.

Treasury

Long

Bond

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

25

06/18/24

2,848

16,369

3-mo.

SOFR

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

2

09/17/24

473

297

3-mo.

SOFR

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

2

12/17/24

474

5,035

706,987

$

(

388,205

)

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

10-Year

Interest

Rate

Swap

(a)

4.04%

Semi-Annual

1-day

SOFR

Annual

Goldman

Sachs

International

09/26/24

4

.04

%

USD

2,150

$

(

28,775

)

10-Year

Interest

Rate

Swap

(a)

4.08%

Semi-Annual

1-day

SOFR

Annual

Bank

of

America

NA

09/30/24

4

.08

USD

2,150

(

31,848

)

(

60,623

)

Put

10-Year

Interest

Rate

Swap

(a)

1-day

SOFR

Annual

4.04%

Semi-Annual

Goldman

Sachs

International

09/26/24

4

.04

USD

2,150

(

67,658

)

10-Year

Interest

Rate

Swap

(a)

1-day

SOFR

Annual

4.08%

Semi-Annual

Bank

of

America

NA

09/30/24

4

.08

USD

2,150

(

64,274

)

(

131,932

)

$

(

192,555

)

(a)

Forward

settling

swaption.

Centrally

Cleared

Interest

Rate

Swap

s

Paid

by

the

Fund

Received

by

the

Fund

Rate

Frequency

Rate

Frequency

Termination

Date

Notional

Amount

(000)

Value

Upfront

Premium

Paid

(Received)

Unrealized

Appreciation

(Depreciation)

0.18%

Quarterly

1-day

EFFR

Quarterly

10/21/25

USD

159

$

11,244

$

—

$

11,244

1-day

SOFR

Quarterly

0.17%

Quarterly

10/21/25

USD

159

(

11,285

)

—

(

11,285

)

1-day

SOFR

Annual

4.15%

Annual

12/13/25

USD

10,300

(

199,784

)

—

(

199,784

)

0.56%

Quarterly

1-day

EFFR

Quarterly

10/21/30

USD

47

9,929

—

9,929

1-day

SOFR

Quarterly

0.53%

Quarterly

10/21/30

USD

47

(

10,100

)

—

(

10,100

)

1-day

SOFR

Annual

3.80%

Annual

02/07/34

USD

1,400

(

62,647

)

—

(

62,647

)

$

(

262,643

)

$

—

$

(

262,643

)

Schedule

of

Investments

(continued)

April

30,

2024

BlackRock

U.S.

Mortgage

Portfolio

Schedule

of

Investments

19

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

$

533,458

$

285,263

$

248,195

$

–

$

–

$

–

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

$

(

15,651

)

$

(

4,754

)

$

(

10,897

)

CMBX.NA.9.A

........

2

.00

Monthly

Morgan

Stanley

&

Co.

International

plc

09/17/58

A

USD

275

(

15,651

)

(

4,828

)

(

10,823

)

CMBX.NA.9.BBB-

.....

3

.00

Monthly

Deutsche

Bank

AG

09/17/58

BBB-

USD

2,197

(

378,067

)

(

221,274

)

(

156,793

)

CMBX.NA.9.BBB-

.....

3

.00

Monthly

Goldman

Sachs

International

09/17/58

BBB-

USD

903

(

155,391

)

(

35,951

)

(

119,440

)

CMBX.NA.15.BBB-

....

3

.00

Monthly

Morgan

Stanley

&

Co.

International

plc

11/18/64

BBB-

USD

500

(

83,541

)

(

89,318

)

5,777

$

(

648,301

)

$

(

356,125

)

$

(

292,176

)

(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

EFFR

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

Effective

Federal

Funds

Rate

5

.33

%

1-day

SOFR

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

Secured

Overnight

Financing

Rate

5

.33

Balances

Reported

in

the

Statement

of

Assets

and

Liabilities

for

Centrally

Cleared

Swaps,

OTC

Swaps

and

Options

Written

Description

Swap

Premiums

Paid

Swap

Premiums

Received

Unrealized

Appreciation

Unrealized

Depreciation

Value

Centrally

Cleared

Swaps

(a)

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

$

—

$

—

$

21,173

$

(

283,816

)

$

—

OTC

Swaps

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

285,263

(

356,125

)

253,972

(

297,953

)

—

Options

Written

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

N/A

N/A

119,625

—

(

192,555

)

(a)

Includes

cumulative

appreciation

(depreciation)

on

centrally

cleared

swaps,

as

reported

in

the

Schedule

of

Investments.

Only

current

day’s

variation

margin

is

reported

within

the

Statement

of

Assets

and

Liabilities

and

is

net

of

any

previously

paid

(received)

swap

premium

amounts.

2024

BlackRock

Annual

Report

to

Shareholders

Schedule

of

Investments

(continued)

April

30,

2024

BlackRock

U.S.

Mortgage

Portfolio

20

Derivative

Financial

Instruments

Categorized

by

Risk

Exposure

For

more

information

about

the

Fund’s

investment

risks

regarding

derivative

financial

instruments,

refer

to

the

Notes

to

Financial

Statements.

As

of

period

end,

the

fair

values

of

derivative

financial

instruments

located

in

the

Statement

of

Assets

and

Liabilities

were

as

follows:

Commodity

Contracts

Credit

Contracts

Equity

Contracts

Foreign

Currency

Exchange

Contracts

Interest

Rate

Contracts

Other

Contracts

Total

Assets

—

Derivative

Financial

Instruments

Futures

contracts

Unrealized

appreciation

on

futures

contracts

(a)

......

$

—

$

—

$

—

$

—

$

706,987

$

—

$

706,987

Swaps

—

centrally

cleared

Unrealized

appreciation

on

centrally

cleared

swaps

(a)

.

—

—

—

—

21,173

—

21,173

Swaps

—

OTC

Unrealized

appreciation

on

OTC

swaps;

Swap

premiums

paid

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

—

539,235

—

—

—

—

539,235

$

—

$

539,235

$

—

$

—

$

728,160

$

—

$

1,267,395

Liabilities

—

Derivative

Financial

Instruments

Futures

contracts

Unrealized

depreciation

on

futures

contracts

(a)

......

$

—

$

—

$

—

$

—

$

1,095,192

$

—

$

1,095,192

Options

written

(b)

Options

written

at

value

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

—

—

—

—

192,555

—

192,555

Swaps

—

centrally

cleared

Unrealized

depreciation

on

centrally

cleared

swaps

(a)

.

—

—

—

—

283,816

—

283,816

Swaps

—

OTC

Unrealized

depreciation

on

OTC

swaps;

Swap

premiums

received

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

—

654,078

—

—

—

—

654,078

$

—

$

654,078

$

—

$

—

$

1,571,563

$

—

$

2,225,641

(a)

Net

cumulative

unrealized

appreciation

(depreciation)

on

futures

contracts

and

centrally

cleared

swaps,

if

any,

are

reported

in

the

Schedule

of

Investments.

In

the

Statement

of

Assets

and

Liabilities,

only

current

day’s

variation

margin

is

reported

in

receivables

or

payables

and

the

net

cumulative

unrealized

appreciation

(depreciation)

is

included

in

accumulated

earnings

(loss).

(b)

Includes

forward

settling

swaptions.

For

the

period

ended

April

30,

2024,

the

effect

of

derivative

financial

instruments

in

the

Statement

of

Operations

was

as

follows:

Commodity

Contracts

Credit

Contracts

Equity

Contracts

Foreign

Currency

Exchange

Contracts

Interest

Rate

Contracts

Other

Contracts

Total

Net

Realized

Gain

(Loss)

from

Futures

c

ontracts

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

$

—

$

—

$

—

$

—

$

(

118,436

)

$

—

$

(

118,436

)

Options

written

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

—

—

—

—

462,976

—

462,976

Swaps

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

—

96,156

—

—

(

711,019

)

—

(

614,863

)

$

—

$

96,156

$

—

$

—

$

(366,479)

$

—

$

(270,323)

Net

Change

in

Unrealized

Appreciation

(Depreciation)

on

Futures

c

ontracts

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

$

—

$

—

$

—

$

—

$

153,291

$

—

$

153,291

Options

written

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

—

—

—

—

130,027

—

130,027

Swaps

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

—

81,491

—

—

(

321,507

)

—

(

240,016

)

$

—

$

81,491

$

—

$

—

$

(38,189)

$

—

$

43,302

Average

Quarterly

Balances

of

Outstanding

Derivative

Financial

Instruments

Futures

contracts

Average

notional

value

of

contracts

—

long

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

$

54,069,571

Average

notional

value

of

contracts

—

short

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

$

58,178,377

Options

Average

notional

value

of

swaption

contracts

written

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

$

26,025,000

Credit

default

swaps

Average

notional

value

—

buy

protection

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

$

3,100,000

Average

notional

value

—

sell

protection

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

$

4,231,750

Interest

rate

swaps

Average

notional

value

—

pays

fixed

rate

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

$

206,279

Average

notional

value

—

receives

fixed

rate

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

$

17,031,279

Schedule

of

Investments

(continued)

April

30,

2024

BlackRock

U.S.

Mortgage

Portfolio

Schedule

of

Investments

21

Derivative

Financial

Instruments

—

Offsetting

as

of

Period

End

Fair

Value

Hierarchy

as

of Period

End

Various

inputs

are

used

in

determining

the

fair

value

of

financial

instruments.

For

a

description

of

the

input

levels

and

information

about

the

Fund’s

policy

regarding

valuation

of

financial

instruments,

refer

to

the

Notes

to

Financial

Statements.

The

following

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.

The

Fund's

derivative

assets

and

liabilities

(by

type)

were

as

follows:

Assets

Liabilities

Derivative

Financial

Instruments

$

—

Futures

contracts

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

$

231,385

$

319,462

Options

(a)

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

—

192,555

Swaps

—

centrally

cleared

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

—

10,013

Swaps

—

OTC

(b)

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

539,235

654,078

Total

derivative

assets

and

liabilities

in

the

Statement

of

Assets

and

Liabilities

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

$

770,620

$

1,176,108

Derivatives

not

subject

to

a

Master

Netting

Agreement

or

similar

agreement

("MNA")

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

(

231,385

)

(

329,475

)

Total

derivative

assets

and

liabilities

subject

to

an

MNA

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

$

539,235

$

846,633

(a)

Includes

forward

settling

swaptions.

(b)

Includes

unrealized

appreciation

(depreciation)

on

OTC

swaps

and

swap

premiums

(paid/received)

in

the

Statement

of

Assets

and

Liabilities.

The

following

tables

present

the

Fund's

derivative

assets

and

liabilities

by

counterparty

net

of

amounts

available

for

offset

under

an

MNA

and

net

of

the

related

collateral

received

and

pledged

by

the

Fund:

Counterparty

Derivative

Assets

Subject

to

an

MNA

by

Counterparty

Derivatives

Available

for

Offset

(a)

Non-cash

Collateral

Received

Cash

Collateral

Received

(b)

Net

Amount

of

Derivative

Assets

JPMorgan

Securities

LLC

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

$

533,458

$

—

$

—

$

(

533,458

)

$

—

Morgan

Stanley

&

Co.

International

plc

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

5,777

(

5,777

)

—

—

—

$

539,235

$

(

5,777

)

$

—

$

(

533,458

)

$

—

Counterparty

Derivative

Liabilities

Subject

to

an

MNA

by

Counterparty

Derivatives

Available

for

Offset

(a)

Non-cash

Collateral

Pledged

Cash

Collateral

Pledged

(b)

Net

Amount

of

Derivative

Liabilities

(c)

Bank

of

America

NA

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

$

96,122

$

—

$

—

$

—

$

96,122

Deutsche

Bank

AG

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

378,067

—

—

(

378,067

)

—

Goldman

Sachs

International

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

267,475

—

—

(

267,475

)

—

Morgan

Stanley

&

Co.

International

plc

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

104,969

(

5,777

)

—

(

99,192

)

—

$

846,633

$

(

5,777

)

$

—

$

(

744,734

)

$

96,122

(a)

The

amount

of

derivatives

available

for

offset

is

limited

to

the

amount

of

derivative

assets

and/or

liabilities

that

are

subject

to

an

MNA.

(b)

Excess

of

collateral

received/pledged,

if

any,

from

the

individual

counterparty

is

not

shown

for

financial

reporting

purposes.

(c)

Net

amount

represents

the

net

amount

payable

due

to

the

counterparty

in

the

event

of

default.

Level

1

Level

2

Level

3

Total

Assets

Investments

Long-Term

Investments

Asset-Backed

Securities

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

$

—

$

46,485,047

$

12,975

$

46,498,022

Corporate

Bonds

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

—

438,062

—

438,062

Non-Agency

Mortgage-Backed

Securities

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

—

141,503,336

1,397,648

142,900,984

U.S.

Government

Sponsored

Agency

Securities

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

—

205,604,475

—

205,604,475

Short-Term

Securities

Money

Market

Funds

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

2,343,007

—

—

2,343,007

U.S.

Treasury

Obligations

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

—

54,944,238

—

54,944,238

2024

BlackRock

Annual

Report

to

Shareholders

Schedule

of

Investments

(continued)

April

30,

2024

BlackRock

U.S.

Mortgage

Portfolio

22

See

notes

to

financial

statements.

Level

1

Level

2

Level

3

Total

Liabilities

Investments

TBA

Sale

Commitments

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

$

—

$

(

8,012,802

)

$

—

$

(

8,012,802

)

$

2,343,007

$

440,962,356

$

1,410,623

$

444,715,986

Derivative

Financial

Instruments

(a)

Assets

Credit

contracts

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

$

—

$

253,972

$

—

$

253,972

Interest

rate

contracts

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

706,987

21,173

—

728,160

Liabilities

Credit

contracts

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

—

(

297,953

)

—

(

297,953

)

Interest

rate

contracts

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

(

1,095,192

)

(

476,371

)

—

(

1,571,563

)

$

(

388,205

)

$

(

499,179

)

$

—

$

(

887,384

)

(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.

Fair

Value

Hierarchy

as

of Period

End

(continued)

Statement

of

Assets

and

Liabilities

April

30,

2024

23

Financial

Statements

See

notes

to

financial

statements.

BlackRock

U.S.

Mortgage

Portfolio

ASSETS

Investments,

at

value

—

unaffiliated

(a)

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

$

452,728,788‌

Cash

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

5,028‌

Cash

pledged:

–‌

Collateral

—

OTC

derivatives

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

1,042,000‌

Futures

contracts

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

814,000‌

Centrally

cleared

swaps

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

197,150‌

Receivables:

–‌

Investments

sold

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

7,788,667‌

Swaps

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

37‌

TBA

sale

commitments

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

8,026,350‌

Capital

shares

sold

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

561,533‌

Dividends

—

unaffiliated

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

9,825‌

Interest

—

unaffiliated

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

1,573,955‌

From

the

Manager

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

29,061‌

Variation

margin

on

futures

contracts

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

231,385‌

Swap

premiums

paid

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

285,263‌

Unrealized

appreciation

on:

–‌

OTC

swaps

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

253,972‌

Prepaid

e

xpenses

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

39,844‌

Total

a

ssets

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

473,586,858‌

LIABILITIES

Cash

received:

–‌

Collateral

—

OTC

derivatives

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

560,000‌

Options

written,

at

value

(b)

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

192,555‌

TBA

sale

commitments,

at

value

(c)

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

8,012,802‌

Payables:

–‌

Investments

purchased

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

87,965,919‌

Capital

shares

redeemed

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

831,978‌

Income

dividend

distributions

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

95,161‌

Investment

advisory

fees

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

98,466‌

Trustees'

and

Officer's

fees

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

4‌

Professional

fees

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

57,445‌

Service

and

distribution

fees

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

3,539‌

Variation

margin

on

futures

contracts

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

319,462‌

Variation

margin

on

centrally

cleared

swaps

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

10,013‌

Other

accrued

expenses

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

227,320‌

Swap

premiums

received

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

356,125‌

Unrealized

depreciation

on:

–‌

OTC

swaps

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

297,953‌

Total

li

abilities

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

99,028,742‌

Commitments

and

contingent

liabilities

$

–‌

NET

ASSETS

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

$

374,558,116‌

NET

ASSETS

CONSIST

OF:

Paid-in

capital

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

$

422,638,956‌

Accumulated

loss

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

(

48,080,840‌

)

NET

ASSETS

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

$

374,558,116‌

(a)

  Investments,

at

cost

—

unaffiliated

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

$

469,609,857

(b)

  Premiums

received

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

$

312,180

(c)

  Proceeds

received

from

TBA

sale

commitments

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

$

8,026,350

Statement

of

Assets

and

Liabilities

(continued)

April

30,

2024

2024

BlackRock

Annual

Report

to

Shareholders

24

See

notes

to

financial

statements.

BlackRock

U.S.

Mortgage

Portfolio

NET

ASSET

VALUE

Institutional

Net

assets

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

$

359,472,441‌

Shares

outstanding

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

41,545,399‌

Net

asset

value

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

$

8.65‌

Shares

authorized

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

Unlimited

Par

value

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

$

0.001‌

Investor

A

Net

assets

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

$

14,099,515‌

Shares

outstanding

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

1,632,380‌

Net

asset

value

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

$

8.64‌

Shares

authorized

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

Unlimited

Par

value

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

$

0.001‌

Investor

C

Net

assets

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

$

986,160‌

Shares

outstanding

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

114,151‌

Net

asset

value

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

$

8.64‌

Shares

authorized

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

Unlimited

Par

value

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

$

0.001‌

Statement

of

Operations

Year

Ended

April

30,

2024

25

Financial

Statements

See

notes

to

financial

statements.

BlackRock

U.S.

Mortgage

Portfolio

INVESTMENT

INCOME

Dividends

—

unaffiliated

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

$

137,013‌

Interest

—

unaffiliated

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

16,683,558‌

Total

investment

income

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

16,820,571‌

EXPENSES

Investment

advisory

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

1,135,498‌

Transfer

agent

—

class

specific

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

288,710‌

Registration

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

93,807‌

Professional

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

84,977‌

Accounting

services

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

64,486‌

Service

and

distribution

—

class

specific

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

53,093‌

Printing

and

postage

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

27,381‌

Custodian

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

14,134‌

Trustees

and

Officer

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

4,811‌

Miscellaneous

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

82,965‌

Total

expenses

excluding

interest

expense

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

1,849,862‌

Interest

expense

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

1,499‌

Total

expenses

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

1,851,361‌

Less:

–‌

Fees

waived

and/or

reimbursed

by

the

Manager

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

(

211,435‌

)

Transfer

agent

fees

waived

and/or

reimbursed

by

the

Manager

—

class

specific

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

(

285,429‌

)

Total

expenses

after

fees

waived

and/or

reimbursed

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

1,354,497‌

Net

investment

income

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

15,466,074‌

REALIZED

AND

UNREALIZED

GAIN

(LOSS)

$

(

11,416,692‌

)

Net

realized

gain

(loss)

from:

$

–‌

Investments

—

unaffiliated

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

(

8,477,469‌

)

Futures

contracts

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

(

118,436‌

)

Options

written

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

462,976‌

Swaps

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

(

614,863‌

)

A

(8,747,792‌)

Net

change

in

unrealized

appreciation

(depreciation)

on:

Investments

—

unaffiliated

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

(

2,712,201‌

)

Futures

contracts

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

153,291‌

Options

written

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

130,027‌

Swaps

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

(

240,016‌

)

A

(2,668,899‌)

Net

realized

and

unrealized

loss

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

(11,416,691‌)

NET

INCREASE

IN

NET

ASSETS

RESULTING

FROM

OPERATIONS

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

$

4,049,383‌

Statements

of

Changes

in

Net

Assets

2024

BlackRock

Annual

Report

to

Shareholders

26

See

notes

to

financial

statements.

BlackRock

U.S.

Mortgage

Portfolio

Year

Ended

04/30/24

Year

Ended

04/30/23

INCREASE

(DECREASE)

IN

NET

ASSETS

OPERATIONS

Net

investment

income

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

$

15,466,074

‌

$

10,277,376

‌

Net

realized

loss

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

(

8,747,792

)

(

9,848,369

)

Net

change

in

unrealized

appreciation

(depreciation)

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

(

2,668,899

)

(

1,894,409

)

Net

increase

(decrease)

in

net

assets

resulting

from

operations

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

4,049,383

‌

(1,465,402

)

DISTRIBUTIONS

TO

SHAREHOLDERS

(a)

Institutional

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

(

14,247,700

)

(

9,669,534

)

Investor

A

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

(

858,680

)

(

739,871

)

Investor

C

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

(

46,570

)

(

51,980

)

Decrease

in

net

assets

resulting

from

distributions

to

shareholders

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

(15,152,950

)

(10,461,385

)

CAPITAL

SHARE

TRANSACTIONS

Net

increase

in

net

assets

derived

from

capital

share

transactions

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

106,111,249

‌

37,352,511

‌

NET

ASSETS

Total

increase

in

net

assets

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

95,007,682

‌

25,425,724

‌

Beginning

of

year

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

279,550,434

‌

254,124,710

‌

End

of

year

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

$

374,558,116

‌

$

279,550,434

‌

(a)

Distributions

for

annual

periods

determined

in

accordance

with

U.S.

federal

income

tax

regulations.

Financial

Highlights

(For

a

share

outstanding

throughout

each

period)

27

Financial

Highlights

(a)

Based

on

average

shares

outstanding.

(b)

Distributions

for

annual

periods

determined

in

accordance

with

U.S.

federal

income

tax

regulations.

(c)

Where

applicable,

assumes

the

reinvestment

of

distributions.

(d)

Excludes

fees

and

expenses

incurred

indirectly

as

a

result

of

investments

in

underlying

funds.

(e)

Includes

non-recurring

expenses

of

proxy costs.

Without

these

costs,

total

expenses,

total

expenses

after

fees

waived

and/or

reimbursed,

and

total

expenses

after

fees

waived

and/or

reimbursed

and

excluding

interest

expense would

have

been

0.56%,

0.45%

and

0.45%,

respectively.

(f)

Includes

mortgage

dollar

roll

transactions

("MDRs").

Additional

information

regarding

portfolio

turnover

rate

is

as

follows:

BlackRock

U.S.

Mortgage

Portfolio

Institutional

Year

Ended

04/30/24

Year

Ended

04/30/23

Year

Ended

04/30/22

Year

Ended

04/30/21

Year

Ended

04/30/20

Net

asset

value,

beginning

of

year

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

$

8.93

‌

$

9.47

‌

$

10.46

‌

$

10.07

‌

$

10.04

‌

Net

investment

income

(a)

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

0

.48

‌

0

.36

‌

0

.22

‌

0

.27

‌

0

.28

‌

Net

realized

and

unrealized

gain

(loss)

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

(

0

.29

)

(

0

.55

)

(

0

.97

)

0

.43

‌

0

.08

‌

Net

increase

(decrease)

from

investment

operations

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

0.19

‌

(0.19

)

(0.75

)

0.70

‌

0.36

‌

Distributions

from

net

investment

income

(b)

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

(0.47

)

(0.35

)

(0.24

)

(0.31

)

(0.33

)

Net

asset

value,

end

of

year

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

$

8.65

‌

$

8.93

‌

$

9.47

‌

$

10.46

‌

$

10.07

‌

Total

Return

(c)

Based

on

net

asset

value

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

2.18

%

(1.91

)%

(7.33

)%

7.07

%

3.61

%

Ratios

to

Average

Net

Assets

(d)

Total

expen

ses

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

0.63

%

0.59

%

0.58

%

(e)

0.58

%

0.81

%

Total

expenses

after

fees

waived

and/or

reimbursed

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

0.46

%

0.45

%

0.47

%

(e)

0.45

%

0.68

%

Total

expenses

after

fees

waived

and/or

reimbursed

and

excluding

interest

expense

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

0.46

%

0.45

%

0.47

%

(e)

0.45

%

0.45

%

Net

investment

income

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

5.47

%

3.94

%

2.10

%

2.65

%

2.73

%

Supplemental

Data

Net

assets,

end

of

year

(000)

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

$

359,472

‌

$

259,479

‌

$

227,622

‌

$

242,171

‌

$

221,437

‌

Portfolio

turnover

rate

(f)

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

361

%

533

%

937

%

1,196

%

1,334

%

Year

Ended

04/30/24

Year

Ended

04/30/23

Year

Ended

04/30/22

Year

Ended

04/30/21

Year

Ended

04/30/20

Portfolio

turnover

rate

(excluding

MDRs)

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

72%

140%

378%

654%

860%

See

notes

to

financial

statements.

Financial

Highlights

(continued)

(For

a

share

outstanding

throughout

each

period)

2024

BlackRock

Annual

Report

to

Shareholders

28

(a)

Based

on

average

shares

outstanding.

(b)

Distributions

for

annual

periods

determined

in

accordance

with

U.S.

federal

income

tax

regulations.

(c)

Where

applicable,

excludes

the

effects

of

any

sales

charges

and

assumes

the

reinvestment

of

distributions.

(d)

Excludes

fees

and

expenses

incurred

indirectly

as

a

result

of

investments

in

underlying

funds.

(e)

Includes

non-recurring

expenses

of

proxy costs.

Without

these

costs,

total

expenses,

total

expenses

after

fees

waived

and/or

reimbursed,

and

total

expenses

after

fees

waived

and/or

reimbursed

and

excluding

interest

expense would

have

been

0.89%,

0.70%

and

0.70%,

respectively.

(f)

Includes

mortgage

dollar

roll

transactions

("MDRs").

Additional

information

regarding

portfolio

turnover

rate

is

as

follows:

BlackRock

U.S.

Mortgage

Portfolio

Investor

A

Year

Ended

04/30/24

Year

Ended

04/30/23

Year

Ended

04/30/22

Year

Ended

04/30/21

Year

Ended

04/30/20

Net

asset

value,

beginning

of

year

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

$

8.92

‌

$

9.46

‌

$

10.44

‌

$

10.05

‌

$

10.02

‌

Net

investment

income

(a)

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

0

.45

‌

0

.32

‌

0

.19

‌

0

.25

‌

0

.25

‌

Net

realized

and

unrealized

gain

(loss)

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

(

0

.29

)

(

0

.53

)

(

0

.96

)

0

.43

‌

0

.09

‌

Net

increase

(decrease)

from

investment

operations

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

0.16

‌

(0.21

)

(0.77

)

0.68

‌

0.34

‌

Distributions

from

net

investment

income

(b)

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

(0.44

)

(0.33

)

(0.21

)

(0.29

)

(0.31

)

Net

asset

value,

end

of

year

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

$

8.64

‌

$

8.92

‌

$

9.46

‌

$

10.44

‌

$

10.05

‌

Total

Return

(c)

Based

on

net

asset

value

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

1.92

%

(2.16

)%

(7.49

)%

6.81

%

3.35

%

Ratios

to

Average

Net

Assets

(d)

Total

expen

ses

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

0.92

%

0.92

%

0.92

%

(e)

0.90

%

1.14

%

Total

expenses

after

fees

waived

and/or

reimbursed

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

0.71

%

0.70

%

0.72

%

(e)

0.70

%

0.93

%

Total

expenses

after

fees

waived

and/or

reimbursed

and

excluding

interest

expense

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

0.71

%

0.70

%

0.72

%

(e)

0.70

%

0.70

%

Net

investment

income

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

5.18

%

3.59

%

1.86

%

2.43

%

2.50

%

Supplemental

Data

Net

assets,

end

of

year

(000)

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

$

14,100

‌

$

18,940

‌

$

23,728

‌

$

25,047

‌

$

21,913

‌

Portfolio

turnover

rate

(f)

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

361

%

533

%

937

%

1,196

%

1,334

%

Year

Ended

04/30/24

Year

Ended

04/30/23

Year

Ended

04/30/22

Year

Ended

04/30/21

Year

Ended

04/30/20

Portfolio

turnover

rate

(excluding

MDRs)

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

72%

140%

378%

654%

860%

See

notes

to

financial

statements.

Financial

Highlights

(continued)

(For

a

share

outstanding

throughout

each

period)

29

Financial

Highlights

(a)

Based

on

average

shares

outstanding.

(b)

Distributions

for

annual

periods

determined

in

accordance

with

U.S.

federal

income

tax

regulations.

(c)

Where

applicable,

excludes

the

effects

of

any

sales

charges

and

assumes

the

reinvestment

of

distributions.

(d)

Excludes

fees

and

expenses

incurred

indirectly

as

a

result

of

investments

in

underlying

funds.

(e)

Includes

non-recurring

expenses

of

proxy costs.

Without

these

costs,

total

expenses,

total

expenses

after

fees

waived

and/or

reimbursed,

and

total

expenses

after

fees

waived

and/or

reimbursed

and

excluding

interest

expense would

have

been

1.64%,

1.45%

and

1.45%,

respectively.

(f)

Includes

mortgage

dollar

roll

transactions

("MDRs").

Additional

information

regarding

portfolio

turnover

rate

is

as

follows:

BlackRock

U.S.

Mortgage

Portfolio

Investor

C

Year

Ended

04/30/24

Year

Ended

04/30/23

Year

Ended

04/30/22

Year

Ended

04/30/21

Year

Ended

04/30/20

Net

asset

value,

beginning

of

year

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

$

8.92

‌

$

9.46

‌

$

10.44

‌

$

10.05

‌

$

10.02

‌

Net

investment

income

(a)

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

0

.39

‌

0

.24

‌

0

.12

‌

0

.18

‌

0

.18

‌

Net

realized

and

unrealized

gain

(loss)

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

(

0

.29

)

(

0

.52

)

(

0

.96

)

0

.42

‌

0

.08

‌

Net

increase

(decrease)

from

investment

operations

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

0.10

‌

(0.28

)

(0.84

)

0.60

‌

0.26

‌

Distributions

from

net

investment

income

(b)

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

(0.38

)

(0.26

)

(0.14

)

(0.21

)

(0.23

)

Net

asset

value,

end

of

year

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

$

8.64

‌

$

8.92

‌

$

9.46

‌

$

10.44

‌

$

10.05

‌

Total

Return

(c)

Based

on

net

asset

value

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

1.16

%

(2.89

)%

(8.18

)%

6.01

%

2.58

%

Ratios

to

Average

Net

Assets

(d)

Total

expen

ses

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

1.67

%

1.69

%

1.67

%

(e)

1.66

%

1.89

%

Total

expenses

after

fees

waived

and/or

reimbursed

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

1.46

%

1.45

%

1.47

%

(e)

1.45

%

1.68

%

Total

expenses

after

fees

waived

and/or

reimbursed

and

excluding

interest

expense

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

1.46

%

1.45

%

1.47

%

(e)

1.45

%

1.45

%

Net

investment

income

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

4.45

%

2.68

%

1.12

%

1.72

%

1.75

%

Supplemental

Data

Net

assets,

end

of

year

(000)

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

$

986

‌

$

1,132

‌

$

2,775

‌

$

4,177

‌

$

6,258

‌

Portfolio

turnover

rate

(f)

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

361

%

533

%

937

%

1,196

%

1,334

%

Year

Ended

04/30/24

Year

Ended

04/30/23

Year

Ended

04/30/22

Year

Ended

04/30/21

Year

Ended

04/30/20

Portfolio

turnover

rate

(excluding

MDRs)

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

72%

140%

378%

654%

860%

See

notes

to

financial

statements.

Notes

to

Financial

Statements

2024

BlackRock

Annual

Report

to

Shareholders

30

1.

ORGANIZATION 

Managed

Account

Series

II (the

“Trust”)

is

registered

under

the

Investment

Company

Act

of

1940,

as

amended

(the

“1940

Act”),

as

an

open-end

management

investment

company.

The Trust

is

organized

as

a Delaware

statutory trust.

BlackRock

U.S.

Mortgage

Portfolio

(the

“Fund”)

is

a

series

of

the

Trust.

The

Fund

is

classified

as

diversified.

The

Fund

offers

multiple

classes

of

shares.

All

classes

of

shares

have

identical

voting,

dividend,

liquidation

and

other

rights

and

are

subject

to

the

same

terms

and

conditions,

except

that

certain

classes

bear

expenses

related

to

the

shareholder

servicing

and

distribution

of

such

shares.

Institutional

Shares

are

sold

only

to

certain

eligible

investors.

Investor

A

and

Investor

C

Shares

bear

certain

expenses

related

to

shareholder

servicing

of

such

shares,

and

Investor

C

Shares

also

bear

certain

expenses

related

to

the

distribution

of

such

shares.

Investor

A

and

Investor

C

Shares

are

generally

available

through

financial

intermediaries.

Each

class

has

exclusive

voting

rights

with

respect

to

matters

relating

to

its

shareholder

servicing

and

distribution

expenditures

(except

that

Investor

C

shareholders

may

vote

on

material

changes

to

the

Investor

A

Shares

distribution

and

service

plan).

(a)

Investor

A

Shares

may

be

subject

to

a

CDSC

for

certain

redemptions

where

no

initial

sales

charge

was

paid

at

the

time

of

purchase.

(b)

A

CDSC

of

1.00%

is

assessed

on

certain

redemptions

of

Investor

C

Shares

made

within

one

year

after

purchase.

The

Fund,

together

with

certain

other

registered

investment

companies

advised

by

BlackRock

Advisors,

LLC

(the

“Manager”) or

its

affiliates,

is

included

in

a

complex

of

funds

referred

to

as

the BlackRock

Fixed-Income

Complex.

2.

SIGNIFICANT

ACCOUNTING

POLICIES

The

financial

statements

are

prepared

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America

(“U.S.

GAAP”),

which

may

require

management

to

make

estimates

and

assumptions

that

affect

the

reported

amounts

of

assets

and

liabilities

in

the

financial

statements,

disclosure

of

contingent

assets

and

liabilities

at

the

date

of

the

financial

statements

and

the

reported

amounts

of

increases

and

decreases

in

net

assets

from

operations

during

the

reporting

period.

Actual

results

could

differ

from

those

estimates.

The

Fund

is

considered

an

investment

company

under

U.S.

GAAP

and

follows

the

accounting

and

reporting

guidance

applicable

to

investment

companies.

Below

is

a

summary

of

significant

accounting

policies: 

Investment

Transactions

and

Income

Recognition:

For

financial

reporting

purposes,

investment

transactions

are

recorded

on

the

dates

the

transactions

are

executed

(the

“trade

dates”)

.

Realized

gains

and

losses

on

investment

transactions

are

determined

using

the

specific

identification

method.

Dividend

income

and

capital

gain

distributions,

if

any,

are

recorded

on

the

ex-dividend

dates.

Non-cash

dividends,

if

any,

are

recorded

on

the

ex-dividend

dates

at

fair

value.

Interest

income,

including

amortization

and

accretion

of

premiums

and

discounts

on

debt

securities,

is

recognized

daily

on

an

accrual

basis.

Income,

expenses

and

realized

and

unrealized

gains

and

losses

are

allocated

daily

to

each

class

based

on

its

relative

net

assets. 

Bank

Overdraft:

The

Fund

had

outstanding

cash

disbursements

exceeding

deposited

cash

amounts

at

the

custodian

during

the

reporting

period.

The

Fund

is

obligated

to

repay

the

custodian

for

any

overdraft,

including

any

related

costs

or

expenses,

where

applicable.

For

financial

reporting

purposes,

overdraft

fees,

if

any,

are

included

in

interest

expense

in

the

Statement

of

Operations.

Collateralization:

If

required

by

an

exchange

or

counterparty

agreement,

the

Fund

may

be

required

to

deliver/deposit

cash

and/or

securities

to/with

an

exchange,

or

broker-

dealer

or

custodian

as

collateral

for

certain

investments.  

Distributions: 

Distributions

from

net

investment

income

are

declared daily

and

paid

monthly.

Distributions

of

capital

gains

are

recorded

on

the

ex-dividend

dates

and

made

at

least

annually.

The

character

and

timing

of

distributions

are

determined

in

accordance

with

U.S.

federal

income

tax

regulations,

which

may

differ

from

U.S.

GAAP.

Deferred

Compensation

Plan:

Under

the

Deferred

Compensation

Plan

(the

“Plan”)

approved

by

the

Board

of

Trustees

of

the

Trust

(the

“Board”), the 

trustees

who

are

not

“interested

persons”

of

the

Fund,

as

defined

in

the

1940

Act

(“Independent

Trustees

”),

may

defer

a

portion

of

their

annual

complex-wide

compensation.

Deferred

amounts

earn

an

approximate

return

as

though

equivalent

dollar

amounts

had

been

invested

in

common

shares

of

certain

funds

in

the

BlackRock

Fixed-Income

Complex

selected

by

the

Independent

Trustees

.

This

has

the

same

economic

effect

for

the

Independent 

Trustees

as

if

the

Independent 

Trustees

had

invested

the

deferred

amounts

directly

in

certain

funds

in

the

BlackRock

Fixed-Income

Complex.  

The

Plan

is

not

funded

and

obligations

thereunder

represent

general

unsecured

claims

against

the

general

assets

of

the

Fund,

as

applicable.

Deferred

compensation

liabilities,

if

any, are

included

in

the Trustees’

and

Officer’s

fees

payable

in

the

Statement

of

Assets

and

Liabilities

and

will

remain

as

a

liability

of

the

Fund

until

such

amounts

are

distributed

in

accordance

with

the

Plan.

Net

appreciation

(depreciation)

in

the

value

of

participants’

deferral

accounts

is

allocated

among

the

participating

funds

in

the

BlackRock

Fixed-Income

Complex

and

reflected

as

Trustee

and

Officer

expense

on

the

Statement

of

Operations.

The

Trustee

and

Officer

expense

may

be

negative

as

a

result

of

a

decrease

in

value

of

the

deferred

accounts.

Indemnifications:

In

the

normal

course

of

business,

the

Fund

enters

into

contracts

that

contain

a

variety

of

representations

that

provide

general

indemnification.

The

Fund’s

maximum

exposure

under

these

arrangements

is

unknown

because

it

involves

future

potential

claims

against

the

Fund,

which

cannot

be

predicted

with

any

certainty.

Other:

Expenses

directly

related

to the

Fund

or

its

classes

are

charged

to

the

Fund

or

the

applicable

class.

Expenses

directly

related

to

the

Fund

and

other

shared

expenses

prorated

to

the

Fund

are

allocated

daily

to

each

class

based

on

its

relative

net

assets

or

other

appropriate

methods.

Other

operating

expenses

shared

by

several

funds,

including

other

funds

managed

by

the

Manager,

are

prorated

among

those

funds

on

the

basis

of

relative

net

assets

or

other

appropriate

methods.  

Share

Class

Initial

Sales

Charge

Contingent

Deferred

Sales

Charge

(“CDSC”)

Conversion

Privilege

Institutional

Shares

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

No

No

None

Investor

A

Shares

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

Yes

No

(a)

None

Investor

C

Shares

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

No

Yes

(b)

To

Investor

A

Shares

after

approximately

8

years

Notes

to

Financial

Statements

(continued)

31

Notes

to

Financial

Statements

3.

INVESTMENT

VALUATION

AND

FAIR

VALUE

MEASUREMENTS 

Investment

Valuation

Policies:

 The

Fund’s

investments

are

valued

at

fair

value

(also

referred

to

as

“market

value”

within

the

financial

statements)

each

day

that

the

Fund

is

open

for

business

and,

for

financial

reporting

purposes,

as

of

the

report

date.

U.S.

GAAP

defines

fair

value

as

the

price

a

fund

would

receive

to

sell

an

asset

or

pay

to

transfer

a

liability

in

an

orderly

transaction

between

market

participants

at

the

measurement

date.

The

Board

has

approved

the

designation

of

the

Fund’s

Manager

as

the

valuation

designee

for

the

Fund.

The

Fund

determines

the

fair

values

of

its

financial

instruments

using

various

independent

dealers

or

pricing

services

under

the

Manager’s

policies.

If

a

security’s

market

price

is

not

readily

available

or

does

not

otherwise

accurately

represent

the

fair

value

of

the

security,

the

security

will

be

valued

in

accordance

with

the

Manager’s

policies

and

procedures

as

reflecting

fair

value.

The

Manager

has

formed

a

committee

(the

“Valuation

Committee”)

to

develop

pricing

policies

and

procedures

and

to

oversee

the

pricing

function

for

all

financial

instruments,

with

assistance

from

other

BlackRock

pricing

committees.

Fair

Value

Inputs

and

Methodologies:

The

following

methods

and

inputs

are

used

to

establish

the

fair

value

of

the

Fund’s

assets

and

liabilities: 

Fixed-income investments

for

which

market

quotations

are

readily

available

are

generally

valued

using

the

last

available

bid

price

or

current

market

quotations

provided

by

independent

dealers

or

third-party

pricing

services.  Pricing

services

generally

value

fixed-income

securities

assuming

orderly

transactions

of

an

institutional

round

lot

size,

but

a

fund

may

hold

or

transact

in

such

securities

in

smaller,

odd

lot

sizes.

Odd

lots

may

trade

at

lower

prices

than

institutional

round

lots.

The

pricing

services

may

use

matrix

pricing

or

valuation

models

that

utilize

certain

inputs

and

assumptions

to

derive

values,

including

transaction

data

(e.g.,

recent

representative

bids

and

offers),

market

data, credit

quality

information,

perceived

market

movements,

news,

and

other

relevant

information.

Certain

fixed-income

securities,

including

asset-

backed

and

mortgage

related

securities

may

be

valued

based

on

valuation

models

that

consider

the

estimated

cash

flows

of

each

tranche

of

the

entity,

establish

a

benchmark

yield

and

develop

an

estimated

tranche

specific

spread

to

the

benchmark

yield

based

on

the

unique

attributes

of

the

tranche.

The

amortized

cost

method

of

valuation

may

be

used

with

respect

to

debt

obligations

with

sixty

days

or

less

remaining

to

maturity

unless

the

Manager

determines

such

method

does

not

represent

fair

value.

Investments

in

open-end

U.S.

mutual

funds

(including

money

market

funds) are

valued

at

that

day’s

published net

asset

value

(“NAV”).

Futures

contracts

are valued

based

on

that

day’s

last

reported

settlement

or

trade price

on

the

exchange

where

the

contract

is

traded.

Exchange-traded

options

are

valued

at

the

mean

between

the

last bid

and

ask

prices

at

the

close

of

the

options

market in

which

the

options

trade.

An

exchange-

traded

option

for

which there

is

no

mean

price

is

valued

at

the

last

bid

(long

positions)

or

ask

(short

positions)

price.

If

no

bid

or

ask

price

is

available,

the

prior

day’s

price will

be

used,

unless

it

is

determined

that

the

prior

day’s

price

no

longer

reflects

the

fair

value

of

the

option.

Over-the-counter

(“OTC”)

options

and

options

on

swaps

(“swaptions”)

are

valued

by

an

independent

pricing

service

using

a

mathematical

model,

which

incorporates

a

number

of

market

data

factors,

such

as

the

trades

and

prices

of

the

underlying

instruments.

Swap

agreements

are

valued

utilizing

quotes

received

daily

by

independent pricing

services

or

through

brokers,

which

are

derived

using

daily

swap

curves

and

models

that

incorporate

a

number

of

market

data

factors,

such

as

discounted

cash

flows,

trades

and

values

of

the

underlying

reference

instruments. 

If

events

(e.g.,

market

volatility,

company

announcement or

a

natural

disaster)

occur

that

are

expected

to

materially

affect

the

value

of

such

investment,

or

in

the

event

that application

of

these

methods

of

valuation

results

in

a

price

for

an

investment

that

is

deemed

not

to

be

representative

of

the

market

value

of

such

investment,

or

if

a

price

is

not

available,

the

investment

will

be

valued

by

the

Valuation

Committee

in

accordance

with the

Manager's policies

and

procedures

as

reflecting

fair

value

(“Fair

Valued

Investments”).

The

fair

valuation

approaches

that

may

be

used

by

the

Valuation

Committee include

market

approach,

income

approach

and

cost

approach.

Valuation

techniques

such

as

discounted

cash

flow,

use

of

market

comparables

and

matrix

pricing

are

types

of

valuation

approaches

and

are

typically

used

in

determining

fair

value.

When

determining

the

price

for

Fair

Valued

Investments,

the

Valuation

Committee

seeks

to

determine

the

price

that

the

Fund

might

reasonably

expect

to

receive

or

pay

from

the

current

sale

or

purchase

of

that

asset

or

liability

in

an

arm’s-length

transaction.

Fair

value

determinations

shall

be

based

upon

all

available

factors

that

the

Valuation

Committee

deems

relevant

and

consistent

with

the

principles

of

fair

value

measurement.

For

investments

in

equity

or

debt

issued

by

privately

held

companies

or

funds

(“Private

Company”

or

collectively,

the

“Private

Companies”)

and

other

Fair

Valued

Investments,

the

fair

valuation

approaches

that

are

used

by

the

Valuation

Committee

and

third-party

pricing

services

utilized

by

the

Valuation

Committee

include one

or

a

combination

of,

but

not

limited

to,

the

following

inputs.  

Investments

in

series

of

preferred

stock

issued

by

Private

Companies

are

typically

valued

utilizing

market

approach

in

determining

the

enterprise

value

of

the

company.

Such

investments

often

contain

rights

and

preferences

that

differ

from

other

series

of

preferred

and

common

stock

of

the

same

issuer.

Enterprise

valuation

techniques

such

as

an

option

pricing

model

(“OPM”),

a

probability

weighted

expected

return

model

(“PWERM”),

current

value

method or

a

hybrid

of

those

techniques

are

used

as

deemed

Standard

Inputs

Generally

Considered

By

The

Valuation

Committee

And

Third-Party

Pricing

Services

Market

approach

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

(i)        

recent

market

transactions,

including

subsequent

rounds

of

financing,

in

the

underlying

investment

or

comparable  

            issuers;

(ii)        recapitalizations

and

other

transactions

across

the

capital

structure;

and

(iii)      

market

multiples

of

comparable

issuers.

Income

approach

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

(i)        

future

cash

flows

discounted

to

present

and

adjusted

as

appropriate

for

liquidity,

credit,

and/or

market

risks;

(ii)        quoted

prices

for

similar

investments

or

assets

in

active

markets;

and

(iii)      

other

risk

factors,

such

as

interest

rates,

yield

curves,

volatilities,

prepayment

speeds,

loss

severities,

credit

risks,

            recovery

rates,

liquidation

amounts

and/or

default

rates.

Cost

approach

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

(i)        

audited

or

unaudited

financial

statements,

investor

communications

and

financial

or

operational

metrics

            issued

by

the

Private

Company;

(ii)        changes

in

the

valuation

of

relevant

indices

or

publicly

traded

companies

comparable

to

the

Private

Company;

(iii)      

relevant

news

and

other

public

sources;

and

(iv)      

known

secondary

market

transactions

in

the

Private

Company’s

interests

and

merger

or

acquisition

activity

            in

companies

comparable

to

the

Private

Company.

Notes

to

Financial

Statements

(continued)

2024

BlackRock

Annual

Report

to

Shareholders

32

appropriate

under

the

circumstances.

The

use

of these

valuation techniques

involves

a

determination

of

the

exit

scenarios

of

the

investment

in

order

to

appropriately

allocate

the

enterprise

value

of

the

company

among

the

various

parts

of

its

capital

structure. 

The

Private

Companies

are

not

subject

to

the

public

company

disclosure,

timing,

and

reporting

standards

applicable

to other

investments

held

by the

Fund.

Typically,

the

most

recently

available

information

by

a

Private

Company

is

as

of

a

date

that

is

earlier

than

the

date the

Fund

is

calculating

its

NAV.

This

factor

may

result

in

a

difference

between

the

value

of

the

investment

and

the

price the

Fund

could

receive

upon

the

sale

of

the

investment.

Fair

Value

Hierarchy:

Various

inputs

are

used

in

determining

the

fair

value

of

financial

instruments.

These

inputs

to

valuation

techniques

are

categorized

into

a

fair

value

hierarchy

consisting

of

three

broad

levels

for

financial reporting purposes

as

follows: 

Level

1

—

Unadjusted

price

quotations

in

active

markets/exchanges

for

identical

assets

or

liabilities

that

the

Fund

has

the

ability

to

access;

Level

2

—

Other

observable

inputs

(including,

but

not

limited

to,

quoted

prices

for

similar

assets

or

liabilities

in

markets

that

are

active,

quoted

prices

for

identical

or

similar

assets

or

liabilities

in

markets

that

are

not

active,

inputs

other

than

quoted

prices

that

are

observable

for

the

assets

or

liabilities

(such

as

interest

rates,

yield

curves,

volatilities,

prepayment

speeds,

loss

severities,

credit

risks

and

default

rates)

or

other

market–corroborated

inputs);

and 

Level

3 —

Unobservable

inputs

based

on

the

best

information

available

in

the

circumstances,

to

the

extent

observable

inputs

are

not

available

(including

the

Valuation

Committee’s

assumptions

used

in

determining

the

fair

value

of

financial

instruments).

The

hierarchy

gives

the

highest

priority

to

unadjusted

quoted

prices

in

active

markets

for

identical

assets

or

liabilities

(Level

1

measurements)

and

the

lowest

priority

to

unobservable

inputs

(Level

3

measurements).

Accordingly,

the

degree

of

judgment

exercised

in

determining

fair

value

is

greatest

for

instruments

categorized

in

Level

3.

The

inputs

used

to

measure

fair

value

may

fall

into

different

levels

of

the

fair

value

hierarchy.

In

such

cases,

for

disclosure

purposes,

the

fair

value

hierarchy

classification

is

determined

based

on

the

lowest

level

input

that

is

significant

to

the

fair

value

measurement

in

its

entirety. Investments

classified

within

Level

3

have

significant

unobservable

inputs

used

by

the

Valuation

Committee

in

determining

the

price

for

Fair

Valued

Investments.

Level

3

investments

include

equity

or

debt

issued

by

Private

Companies

that

may

not

have

a

secondary

market

and/or

may

have

a

limited

number

of

investors.

The

categorization

of

a

value

determined

for

financial

instruments

is

based

on

the

pricing

transparency

of

the financial

instruments

and

is

not

necessarily

an

indication

of

the

risks

associated

with

investing

in

those

securities.

4.

SECURITIES

AND

OTHER

INVESTMENTS 

Asset-Backed

and

Mortgage-Backed

Securities:

Asset-backed

securities

are

generally

issued

as

pass-through

certificates

or

as

debt

instruments.

Asset-backed

securities

issued

as

pass-through

certificates

represent

undivided

fractional

ownership

interests

in

an

underlying

pool

of

assets.

Asset-backed

securities

issued

as

debt

instruments,

which

are

also

known

as

collateralized

obligations,

are

typically

issued

as

the

debt

of

a

special

purpose

entity

organized

solely

for

the

purpose

of

owning

such

assets

and

issuing

such

debt.

Asset-backed

securities

are

often

backed

by

a

pool

of

assets

representing

the

obligations

of

a

number

of

different

parties.

The

yield

characteristics

of

certain

asset-backed

securities

may

differ

from

traditional

debt

securities.

One

such

major

difference

is

that

all

or

a

principal

part

of

the

obligations

may

be

prepaid

at

any

time

because

the

underlying

assets

(i.e.,

loans)

may

be

prepaid

at

any

time.

As

a

result,

a

decrease

in

interest

rates

in

the

market

may

result

in

increases

in

the

level

of

prepayments

as

borrowers,

particularly

mortgagors,

refinance

and

repay

their

loans.

An

increased

prepayment

rate

with

respect

to

an

asset-backed

security

will

have

the

effect

of

shortening

the

maturity

of

the

security.

In

addition,

a

fund

may

subsequently

have

to

reinvest

the

proceeds

at

lower

interest

rates.

If

a

fund

has

purchased

such

an

asset-backed

security

at

a

premium,

a

faster

than

anticipated

prepayment

rate

could

result

in

a

loss

of

principal

to

the

extent

of

the

premium

paid. 

For

mortgage

pass-through

securities

(the

“Mortgage

Assets”)

there

are

a

number

of

important

differences

among

the

agencies

and

instrumentalities

of

the

U.S.

Government

that

issue

mortgage-related

securities

and

among

the

securities

that

they

issue.

For

example,

mortgage-related

securities

guaranteed

by

Ginnie

Mae

are

guaranteed

as

to

the

timely

payment

of

principal

and

interest

by

Ginnie

Mae

and

such

guarantee

is

backed

by

the

full

faith

and

credit

of

the

United

States.

However,

mortgage-related

securities

issued

by

Freddie

Mac

and

Fannie

Mae,

including

Freddie

Mac

and

Fannie

Mae

guaranteed

mortgage

pass-through

certificates,

which

are

solely

the

obligations

of

Freddie

Mac

and

Fannie

Mae,

are

not

backed

by

or

entitled

to

the

full

faith

and

credit

of

the

United

States,

but

are

supported

by

the

right

of

the

issuer

to

borrow

from

the

U.S.

Treasury. 

Non-agency

mortgage-backed

securities

are

securities

issued

by

non-governmental

issuers

and

have

no

direct

or

indirect

government

guarantees

of

payment

and

are

subject

to

various

risks.

Non-agency

mortgage

loans

are

obligations

of

the

borrowers

thereunder

only

and

are

not

typically

insured

or

guaranteed

by

any

other

person

or

entity.

The

ability

of

a

borrower

to

repay

a

loan

is

dependent

upon

the

income

or

assets

of

the

borrower.

A

number

of

factors,

including

a

general

economic

downturn,

acts

of

God,

terrorism,

social

unrest

and

civil

disturbances,

may

impair

a

borrower’s

ability

to

repay

its

loans.

Collateralized

Debt

Obligations:

Collateralized

debt

obligations

(“CDOs”),

including

collateralized

bond

obligations

(“CBOs”)

and

collateralized

loan

obligations

(“CLOs”),

are

types

of

asset-backed

securities.

A

CDO

is

an

entity

that

is

backed

by

a

diversified

pool

of

debt

securities

(CBOs)

or

syndicated

bank

loans

(CLOs).

The

cash

flows

of

the

CDO

can

be

split

into

multiple

segments,

called

“tranches,”

which

will

vary

in

risk

profile

and

yield.

The

riskiest

segment

is

the

subordinated

or

“equity”

tranche.

This

tranche

bears

the

greatest

risk

of

defaults

from

the

underlying

assets

in

the

CDO

and

serves

to

protect

the

other,

more

senior,

tranches

from

default

in

all

but

the

most

severe

circumstances.

Since

it

is

shielded

from

defaults

by

the

more

junior

tranches,

a

“senior”

tranche

will

typically

have

higher

credit

ratings

and

lower

yields

than

their

underlying

securities,

and

often

receive

investment

grade

ratings

from

one

or

more

of

the

nationally

recognized

rating

agencies.

Despite

the

protection

from

the

more

junior

tranches,

senior

tranches

can

experience

substantial

losses

due

to

actual

defaults,

increased

sensitivity

to

future

defaults

and

the

disappearance

of

one

or

more

protecting

tranches

as

a

result

of

changes

in

the

credit

profile

of

the

underlying

pool

of

assets. 

Multiple

Class

Pass-Through

Securities:

Multiple

class

pass-through

securities,

including

collateralized

mortgage

obligations

(“CMOs”)

and

commercial

mortgage-backed

securities,

may

be

issued

by

Ginnie

Mae,

U.S.

Government

agencies

or

instrumentalities

or

by

trusts

formed

by

private

originators

of,

or

investors

in,

mortgage

loans.

In

general,

CMOs

are

debt

obligations

of

a

legal

entity

that

are

collateralized

by

a

pool

of

residential

or

commercial

mortgage

loans

or

Mortgage

Assets.

The

payments

on

these

are

used

to

make

payments

on

the

CMOs

or

multiple

pass-through

securities.

Multiple

class

pass-through

securities

represent

direct

ownership

interests

in

the

Mortgage

Assets.

Classes

of

CMOs

include

interest

only

(“IOs”),

principal

only

(“POs”),

planned

amortization

classes

and

targeted

amortization

classes.

IOs

and

POs

are

stripped

mortgage-backed

securities

representing

interests

in

a

pool

of

mortgages,

the

cash

flow

from

which

has

been

separated

into

interest

and

principal

components.

IOs

receive

Notes

to

Financial

Statements

(continued)

33

Notes

to

Financial

Statements

the

interest

portion

of

the

cash

flow

while

POs

receive

the

principal

portion.

IOs

and

POs

can

be

extremely

volatile

in

response

to

changes

in

interest

rates.

As

interest

rates

rise

and

fall,

the

value

of

IOs

tends

to

move

in

the

same

direction

as

interest

rates.

POs

perform

best

when

prepayments

on

the

underlying

mortgages

rise

since

this

increases

the

rate

at

which

the

principal

is

returned

and

the

yield

to

maturity

on

the

PO.

When

payments

on

mortgages

underlying

a

PO

are

slower

than

anticipated,

the

life

of

the

PO

is

lengthened

and

the

yield

to

maturity

is

reduced.

If

the

underlying

Mortgage

Assets

experience

greater

than

anticipated

prepayments

of

principal,

a

fund’s

initial

investment

in

the

IOs

may

not

fully

recoup. 

Stripped

Mortgage-Backed

Securities:

Stripped

mortgage-backed

securities

are

typically

issued

by

the

U.S.

Government,

its

agencies

and

instrumentalities.

Stripped

mortgage-backed

securities

are

usually

structured

with

two

classes

that

receive

different

proportions

of

the

interest

(IOs)

and

principal

(POs)

distributions

on

a

pool

of

Mortgage

Assets.

Stripped

mortgage-backed

securities

may

be

privately

issued.

TBA

Commitments:

TBA

commitments

are

forward

agreements

for

the

purchase

or

sale

of

securities,

including

mortgage-backed

securities

for

a

fixed

price,

with

payment

and

delivery

on

an

agreed

upon

future

settlement

date.

The

specific

securities

to

be

delivered

are

not

identified

at

the

trade

date.

However,

delivered

securities

must

meet

specified

terms,

including

issuer,

rate

and

mortgage

terms.

When

entering

into

TBA

commitments,

a

fund

may

take

possession

of

or

deliver

the

underlying

mortgage-backed

securities

but

can

extend

the

settlement

or

roll

the

transaction.

TBA

commitments

involve

a

risk

of

loss

if

the

value

of

the

security

to

be

purchased

or

sold

declines

or

increases,

respectively,

prior

to

settlement

date,

if

there

are

expenses

or

delays

in

connection

with

the

TBA

transactions,

or

if

the

counterparty

fails

to

complete

the

transaction.

In

order

to

better

define

contractual

rights

and

to

secure

rights

that

will

help

a

fund

mitigate its

counterparty

risk,

TBA

commitments

may

be

entered

into

by

a

fund

under

Master

Securities

Forward

Transaction

Agreements

(each,

an

“MSFTA”).

An

MSFTA

typically

contains,

among

other

things,

collateral

posting

terms

and

netting

provisions

in

the

event

of

default

and/or

termination

event. The

collateral

requirements

are

typically

calculated

by

netting

the

mark-to-market

amount

for

each

transaction

under

such

agreement

and

comparing

that

amount

to

the

value

of

the

collateral

currently

pledged

by

a

fund

and

the

counterparty. Cash

collateral

that

has

been

pledged

to

cover

the

obligations

of

a

fund

and

cash

collateral

received

from

the

counterparty,

if

any,

is

reported

separately

in

the

Statement

of

Assets

and

Liabilities

as

cash

pledged

as

collateral

for

TBA

commitments

or

cash

received

as

collateral

for

TBA

commitments,

respectively.

Non-cash

collateral

pledged

by

a

fund,

if

any,

is

noted

in

the

Schedule

of

Investments. Typically,

a

fund

is

permitted

to

sell,

re-pledge

or

use

the

collateral

it

receives;

however,

the

counterparty

is

not

permitted

to

do

so.

To

the

extent

amounts

due

to

a

fund

are

not

fully

collateralized,

contractually

or

otherwise,

a

fund

bears

the

risk

of

loss

from

counterparty

non-performance.

Mortgage

Dollar

Roll

Transactions

:

The

Fund

may

sell

TBA

mortgage-backed

securities

and

simultaneously

contract

to

repurchase

substantially

similar

(i.e.,

same

type,

coupon

and

maturity)

securities

on

a

specific

future

date

at

an

agreed

upon

price.

During

the

period

between

the

sale

and

repurchase,

a

fund

is

not

entitled

to

receive

interest

and

principal

payments

on

the

securities

sold.

Mortgage

dollar

roll

transactions

are

treated

as

purchases

and

sales

and

a

fund realizes

gains

and

losses

on

these

transactions.

Mortgage

dollar

rolls

involve

the

risk

that

the

market

value

of

the

securities

that

a

fund

is

required

to

purchase

may

decline

below

the

agreed

upon

repurchase

price

of

those

securities.

5.

Derivative

Financial

Instruments

The

Fund

engages

in

various

portfolio

investment

strategies

using

derivative

contracts

both

to

increase

the

returns

of

the

Fund

and/or

to

manage

its

exposure

to

certain

risks

such

as

credit

risk,

equity

risk,

interest

rate

risk,

foreign

currency

exchange

rate

risk,

commodity

price

risk

or

other

risks

(e.g.,

inflation

risk).

Derivative

financial

instruments

categorized

by

risk

exposure

are

included

in

the

Schedule

of

Investments.

These

contracts

may

be

transacted

on

an

exchange or

OTC.

Futures

Contracts:

Futures

contracts

are

purchased

or

sold

to

gain

exposure

to,

or

manage

exposure

to,

changes

in

interest

rates

(interest

rate

risk)

and

changes

in

the

value

of

equity

securities

(equity

risk)

or

foreign

currencies

(foreign

currency

exchange

rate

risk)

.

Futures

contracts

are

exchange-traded agreements

between

the

Fund

and

a

counterparty

to

buy

or

sell

a

specific

quantity

of

an

underlying

instrument

at

a

specified

price

and

on

a

specified

date.

Depending

on

the

terms

of

a

contract,

it

is

settled

either

through

physical

delivery

of

the

underlying

instrument

on

the

settlement

date

or

by

payment

of

a

cash

amount

on

the

settlement

date.

Upon

entering

into

a

futures

contract,

the

Fund

is

required

to

deposit

initial

margin

with

the

broker

in

the

form

of

cash

or

securities

in

an

amount

that

varies

depending

on

a

contract’s

size

and

risk

profile.

The

initial

margin

deposit

must

then

be

maintained

at

an

established

level

over

the

life

of

the

contract.

Amounts

pledged,

which

are

considered

restricted,

are

included

in

cash

pledged

for

futures

contracts

in

the Statement

of

Assets

and

Liabilities.

Securities

deposited

as

initial

margin

are

designated

in

the

Schedule

of

Investments

and

cash

deposited,

if

any, are

shown

as

cash

pledged

for

futures

contracts

in

the

Statement

of

Assets

and

Liabilities.

Pursuant

to

the

contract,

the

Fund

agrees

to

receive

from

or

pay

to

the

broker

an

amount

of

cash

equal

to

the

daily

fluctuation

in

market

value

of

the

contract

(“variation

margin”).

Variation

margin

is

recorded

as

unrealized

appreciation

(depreciation)

and,

if

any,

shown

as

variation

margin

receivable

(or

payable)

on

futures

contracts

in

the

Statement

of

Assets

and

Liabilities.

When

the

contract

is

closed,

a

realized

gain

or

loss

is

recorded

in

the

Statement

of

Operations

equal

to

the

difference

between

the

notional

amount

of

the

contract

at

the

time

it

was

opened

and

the

notional

amount

at

the

time

it

was

closed.

The

use

of

futures

contracts

involves

the

risk

of

an

imperfect

correlation

in

the

movements

in

the

price

of

futures

contracts

and

interest

rates,

foreign

currency

exchange

rates

or

underlying

assets.

Options:

The

Fund

may purchase

and

write

call

and

put

options

to

increase

or

decrease

its

exposure

to

the

risks

of

underlying

instruments,

including

equity

risk,

interest

rate

risk

and/or

commodity

price

risk

and/or,

in

the

case

of

options

written,

to

generate

gains

from

options

premiums.

A

call

option

gives

the

purchaser

(holder)

of

the

option

the

right

(but

not

the

obligation)

to

buy,

and

obligates

the

seller

(writer)

to

sell

(when

the

option

is

exercised)

the

underlying

instrument

at

the

exercise

or

strike

price

at

any

time

or

at

a

specified

time

during

the

option

period.

A

put

option

gives

the

holder

the

right

to

sell

and

obligates

the

writer

to

buy

the

underlying

instrument

at

the

exercise

or

strike

price

at

any

time

or

at

a

specified

time

during

the

option

period.

Premiums

paid

on

options

purchased

and

premiums

received

on

options

written,

as

well

as

the

daily

fluctuation

in

market

value,

are

included

in

investments

at

value

–

unaffiliated

and

options

written

at

value,

respectively,

in

the

Statement

of

Assets

and

Liabilities.

When

an

instrument

is

purchased

or

sold

through

the

exercise

of

an

option,

the

premium

is

offset

against

the

cost

or

proceeds

of

the

underlying

instrument.

When

an

option

expires,

a

realized

gain

or

loss

is

recorded

in

the

Statement

of

Operations

to

the

extent

of

the

premiums

received

or

paid.

When

an

option

is

closed

or

sold,

a

gain

or

loss

is

recorded

in

the

Statement

of

Operations

to

the

extent

the

cost

of

the

closing

transaction

exceeds

the

premiums

received

or

paid.

When

the

Fund

writes

a

call

option,

such

option

is

typically

“covered,”

meaning

that

it

holds

the

underlying

instrument

Notes

to

Financial

Statements

(continued)

2024

BlackRock

Annual

Report

to

Shareholders

34

subject

to

being

called

by

the

option

counterparty.

When

the

Fund

writes

a

put

option,

cash

is

segregated in

an

amount

sufficient

to

cover

the

obligation.

These

amounts,

which

are

considered

restricted,

are

included

in

cash

pledged

as

collateral

for

options

written

in

the

Statement

of

Assets

and

Liabilities.

Swaptions

–

The

Fund

may purchase

and

write

options

on

swaps

(“swaptions”)

primarily

to

preserve

a

return

or

spread

on

a

particular

investment

or

portion

of

the

Fund’s

holdings,

as

a

duration

management

technique

or

to

protect

against

an

increase

in

the

price

of

securities

it

anticipates

purchasing

at

a

later

date.

The

purchaser

and

writer

of

a

swaption

is

buying

or

granting

the

right

to

enter

into

a

previously

agreed

upon

interest

rate

or

credit

default

swap

agreement

(interest

rate

risk

and/or

credit

risk)

at

any

time

before

the

expiration

of

the

option. 

In

purchasing

and

writing

options,

the

Fund

bears

the

risk

of

an

unfavorable

change

in

the

value

of

the

underlying

instrument

or

the

risk

that

it

may

not

be

able

to

enter

into

a

closing

transaction

due

to

an

illiquid

market.

Exercise

of

a

written

option

could

result

in

the

Fund

purchasing

or

selling

a

security

when

it

otherwise

would

not,

or

at

a

price

different

from

the

current

market

value.

Swaps:

Swap

contracts

are

entered

into

to

manage

exposure

to

issuers,

markets

and

securities.

Such

contracts

are

agreements

between

the

Fund

and

a

counterparty

to

make

periodic

net

payments

on

a

specified

notional

amount

or

a

net

payment

upon

termination.

Swap

agreements

are

privately

negotiated

in

the

OTC

market

and

may

be

entered

into

as

a

bilateral

contract

(“OTC

swaps”)

or

centrally

cleared

(“centrally

cleared

swaps”).

For

OTC

swaps,

any

upfront

premiums

paid

and

any

upfront

fees

received

are

shown

as

swap

premiums

paid

and

swap

premiums

received,

respectively,

in

the

Statement

of

Assets

and

Liabilities

and

amortized

over

the

term

of

the

contract.

The

daily

fluctuation

in

market

value

is

recorded

as

unrealized

appreciation

(depreciation)

on

OTC

swaps

in

the

Statement

of

Assets

and

Liabilities.

Payments

received

or

paid

are

recorded

in

the

Statement

of

Operations

as

realized

gains

or

losses,

respectively.

When

an

OTC

swap

is

terminated,

a

realized

gain

or

loss

is

recorded

in

the

Statement

of

Operations

equal

to

the

difference

between

the

proceeds

from

(or

cost

of)

the

closing

transaction

and

the

Fund’s

basis

in

the

contract,

if

any.

Generally,

the

basis

of

the

contract

is

the

premium

received

or

paid.

In

a

centrally

cleared

swap,

immediately

following

execution

of

the

swap

contract,

the

swap

contract

is

novated

to

a

central

counterparty

(the

“CCP”)

and

the

CCP

becomes

the Fund’s

counterparty

on

the

swap.

The

Fund

is

required

to

interface

with

the

CCP

through

the

broker.

Upon

entering

into

a

centrally

cleared

swap,

the

Fund

is

required

to

deposit

initial

margin

with

the

broker

in

the

form

of

cash

or

securities

in

an

amount

that

varies

depending

on

the

size

and

risk

profile

of

the

particular

swap. Securities

deposited

as

initial

margin

are

designated

in

the

Schedule

of

Investments

and

cash

deposited

is

shown

as

cash

pledged

for

centrally

cleared

swaps

in

the

Statement

of

Assets

and

Liabilities. Amounts

pledged,

which

are

considered

restricted

cash,

are

included

in

cash

pledged

for

centrally

cleared

swaps

in

the

Statement

of

Assets

and

Liabilities.

Pursuant

to

the

contract,

the

Fund

agrees

to

receive

from

or

pay

to

the

broker

variation

margin.

Variation

margin

is

recorded

as

unrealized

appreciation

(depreciation)

and

shown

as

variation

margin

receivable

(or

payable)

on

centrally

cleared

swaps

in

the

Statement

of

Assets

and

Liabilities.

Payments

received

from

(paid

to)

the

counterparty

are

amortized

over

the

term

of

the

contract

and

recorded

as

realized

gains

(losses)

in

the

Statement

of

Operations,

including

those

at

termination.

Credit

default

swaps

—

Credit

default

swaps

are

entered

into

to

manage

exposure

to

the

market

or

certain

sectors

of

the

market,

to

reduce

risk

exposure

to

defaults

of

corporate

and/or

sovereign

issuers

or

to

create

exposure

to

corporate

and/or

sovereign

issuers

to

which

a

fund

is

not

otherwise

exposed

(credit

risk).

The

Fund

may

either

buy

or

sell

(write)

credit

default

swaps

on

single-name

issuers

(corporate

or

sovereign),

a

combination

or

basket

of

single-name

issuers

or

traded

indexes.

Credit

default

swaps

are

agreements

in

which

the

protection

buyer

pays

fixed

periodic

payments

to

the

seller

in

consideration

for

a

promise

from

the

protection

seller

to

make

a

specific

payment

should

a

negative

credit

event

take

place

with

respect

to

the

referenced

entity

(e.g.,

bankruptcy,

failure

to

pay,

obligation

acceleration,

repudiation,

moratorium

or

restructuring).

As

a

buyer,

if

an

underlying

credit

event

occurs,

the

Fund

will

either

(i)

receive

from

the

seller

an

amount

equal

to

the

notional

amount

of

the

swap

and

deliver

the

referenced

security

or

underlying

securities

comprising

the

index,

or

(ii)

receive

a

net

settlement

of

cash

equal

to

the

notional

amount

of

the

swap

less

the

recovery

value

of

the

security

or

underlying

securities

comprising

the

index.

As

a

seller

(writer),

if

an

underlying

credit

event

occurs,

the

Fund

will

either

pay

the

buyer

an

amount

equal

to

the

notional

amount

of

the

swap

and

take

delivery

of

the

referenced

security

or

underlying

securities

comprising

the

index

or

pay

a

net

settlement

of

cash

equal

to

the

notional

amount

of

the

swap

less

the

recovery

value

of

the

security

or

underlying

securities

comprising

the

index.

Interest

rate

swaps

—

Interest

rate

swaps

are

entered

into

to

gain

or

reduce

exposure

to

interest

rates

or

to

manage

duration,

the

yield

curve

or

interest

rate

(interest

rate

risk).

Interest

rate

swaps

are

agreements

in

which

one

party

pays

a

stream

of

interest

payments,

either

fixed

or

floating,

in

exchange

for

another

party’s

stream

of

interest

payments,

either

fixed

or

floating,

on

the

same

notional

amount

for

a

specified

period

of

time.

In

more

complex

interest

rate

swaps,

the

notional

principal

amount

may

decline

(or

amortize)

over

time.

Swap

transactions

involve,

to

varying

degrees,

elements

of

interest

rate,

credit

and

market

risks

in

excess

of

the

amounts

recognized

in

the

Statement

of

Assets

and

Liabilities.

Such

risks

involve

the

possibility

that

there

will

be

no

liquid

market

for

these

agreements,

that

the

counterparty

to

the

agreements

may

default

on

its

obligation

to

perform

or

disagree

as

to

the

meaning

of

the

contractual

terms

in

the

agreements,

and

that

there

may

be

unfavorable

changes

in

interest

rates

and/or

market

values

associated

with

these

transactions.

Master

Netting

Arrangements:

In

order

to

define

its

contractual

rights

and

to

secure

rights

that

will

help

it mitigate its

counterparty

risk, the

Fund

may

enter

into

an

International

Swaps

and

Derivatives

Association,

Inc.

Master

Agreement

(“ISDA

Master

Agreement”)

or

similar

agreement

with

its

derivative

contract

counterparties.

An

ISDA

Master

Agreement

is

a

bilateral

agreement

between a

Fund

and

a

counterparty

that

governs

certain

OTC

derivatives

and

typically

contains,

among

other

things,

collateral

posting

terms

and

netting

provisions

in

the

event

of

a

default

and/or

termination

event.

Under

an

ISDA

Master

Agreement, a

Fund

may,

under

certain

circumstances,

offset

with

the

counterparty

certain

derivative

financial

instruments’

payables

and/or

receivables

with

collateral

held

and/or

posted

and

create

one

single

net

payment.

The

provisions

of

the

ISDA

Master

Agreement

typically

permit

a

single

net

payment

in

the

event

of

default

including

the

bankruptcy

or

insolvency

of

the

counterparty.

However,

bankruptcy

or

insolvency

laws

of

a

particular

jurisdiction

may

impose

restrictions

on

or

prohibitions

against

the

right

of

offset

in

bankruptcy,

insolvency

or

other

events.

Collateral

Requirements:

For

derivatives

traded

under

an

ISDA

Master

Agreement,

the

collateral

requirements

are

typically

calculated

by

netting

the

mark-to-market

amount

for

each

transaction

under

such

agreement

and

comparing

that

amount

to

the

value

of

any

collateral

currently

pledged

by

the

Fund(s)

and

the

counterparty.

Notes

to

Financial

Statements

(continued)

35

Notes

to

Financial

Statements

Cash

collateral

that

has

been

pledged

to

cover

obligations

of

the

Fund

and

cash

collateral

received

from

the

counterparty,

if

any,

is

reported

separately

in

the

Statement

of

Assets

and

Liabilities

as

cash

pledged

as

collateral

and

cash

received

as

collateral,

respectively.

Non-cash

collateral

pledged

by

the

Fund,

if

any,

is

noted

in

the

Schedule

of

Investments.

Generally,

the

amount

of

collateral

due

from

or

to

a

counterparty

is

subject

to

a

certain

minimum

transfer

amount

threshold

before

a

transfer

is

required,

which

is

determined

at

the

close

of

business

of

the

Fund.

Any

additional

required

collateral

is

delivered

to/pledged

by

the

Fund

on

the

next

business

day.

Typically,

the

counterparty

is

not

permitted

to

sell,

re-pledge

or

use

cash

and

non-cash

collateral

it

receives.

The

Fund

generally

agrees

not

to

use

non-cash

collateral

that

it

receives

but

may,

absent

default

or

certain

other

circumstances

defined

in

the

underlying

ISDA

Master

Agreement,

be

permitted

to

use

cash

collateral

received.

In

such

cases,

interest

may

be

paid

pursuant

to

the

collateral

arrangement

with

the

counterparty.

To

the

extent

amounts

due

to

the

Fund

from the

counterparties

are

not

fully

collateralized, the

Fund bears

the

risk

of

loss

from

counterparty

non-performance.

Likewise,

to

the

extent

the

Fund

has

delivered

collateral

to

a

counterparty

and

stands

ready

to

perform

under

the

terms

of

its

agreement

with

such

counterparty, the

Fund bears the

risk

of

loss

from

a

counterparty

in

the

amount

of

the

value

of

the

collateral

in

the

event

the

counterparty

fails

to

return

such

collateral.

Based

on

the

terms

of

agreements,

collateral

may

not

be

required

for

all

derivative

contracts.

For

financial

reporting

purposes,

the

Fund

does

not

offset

derivative

assets

and

derivative

liabilities

that

are

subject

to

netting

arrangements,

if

any,

in

the

Statement

of

Assets

and

Liabilities.

6.

INVESTMENT

ADVISORY

AGREEMENT

AND

OTHER

TRANSACTIONS

WITH

AFFILIATES 

Investment

Advisory:

The

Trust,

on

behalf

of

the

Fund,

entered

into

an

Investment

Advisory

Agreement

with

the

Manager,

the

Fund’s

investment

adviser

and

an

indirect,

wholly-owned

subsidiary

of

BlackRock,

Inc.

(“BlackRock”),

to

provide

investment

advisory

and

administrative

services.

The

Manager

is

responsible

for

the

management

of the

Fund’s

portfolio

and

provides

the

personnel,

facilities,

equipment

and

certain

other

services

necessary

to

the

operations

of the

Fund.

For

such

services,

the

Fund

pays

the

Manager

a

monthly

fee

at

an

annual

rate

equal

to

the

following

percentages

of

the

average

daily

value

of

the

Fund’s

net

assets:

Service

and

Distribution

Fees:

 The

Trust

,

on behalf

of

the

Fund,

entered

into

a

Distribution

Agreement

and

a Distribution and

Service

Plan

with

BlackRock

Investments,

LLC

(“BRIL”),

an

affiliate

of

the

Manager.

Pursuant

to

the

Distribution

and

Service Plan

and

in

accordance

with

Rule

12b-1

under

the

1940

Act, the

Fund

pays

BRIL

ongoing

service

and

distribution

fees.

The

fees

are

accrued

daily

and

paid

monthly

at

annual

rates

based

upon

the

average

daily

net

assets

of

the

relevant

share

class

of the

Fund

as

follows:

BRIL

and

broker-dealers,

pursuant

to

sub-agreements

with

BRIL,

provide

shareholder

servicing

and

distribution

services to

the

Fund.

The

ongoing

service and/or

distribution

fee compensates BRIL

and

each

broker-dealer

for

providing

shareholder

servicing

and/or

distribution related

services

to

shareholders.

For

the year

ended

April

30,

2024,

the

following

table

shows

the

class

specific

service

and

distribution

fees

borne

directly

by

each

share

class

of

the

Fund:

Transfer

Agent:

Pursuant

to

written

agreements,

certain

financial

intermediaries,

some

of

which

may

be

affiliates,

provide

the

Fund

with

sub-accounting,

recordkeeping,

sub-

transfer

agency

and

other

administrative

services

with

respect

to

servicing

of

underlying

investor

accounts.

For

these

services,

these

entities

receive

an

asset-based

fee

or

an

annual

fee

per

shareholder

account,

which

will

vary

depending

on

share

class

and/or

net

assets.

For

the

year ended April

30,

2024,

the

Fund

paid

the

following

amounts

to

affiliates

of

BlackRock

in

return

for

these

services,

which

are

included

in

transfer

agent

—

class

specific

in

the

Statement

of

Operations:

The

Manager

maintains

a

call

center

that

is

responsible

for

providing

certain

shareholder

services

to

the

Fund.

Shareholder

services

include

responding

to

inquiries

and

processing

purchases

and

sales

based

upon

instructions

from

shareholders.

For

the year

ended

April

30,

2024,

the

Fund

reimbursed

the

Manager

the

following

amounts

for

costs

incurred

in

running

the

call

center,

which

are

included

in

transfer

agent

—

class

specific

in

the

Statement

of

Operations:

Average

Daily

Net

Assets

Investment

Advisory

Fees

First

$1

billion

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

0.40%

$1

billion

-

$3

billion

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

0.38

$3

billion

-

$5

billion

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

0.36

$5

billion

-

$10

billion

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

0.35

Greater

than

$10

billion

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

0.34

Share

Class

Service

Fees

Distribution

Fees

Investor

A

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

0.25‌

%

—‌

Investor

C

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

0.25‌

0.75‌

%

Share

Class

Service

and

Distribution

Fees

-

Class

Specific

Investor

A

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

$

42,380‌

Investor

C

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

10,713‌

$

53,093‌

Institutional

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

$

412‌

Investor

A

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

11‌

$

423‌

Institutional

Investor

A

Investor

C

Total

Reimbursed

Amount

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

$

5,595

$

564

$

132

$

6,291

Notes

to

Financial

Statements

(continued)

2024

BlackRock

Annual

Report

to

Shareholders

36

For

the

year ended

April

30,

2024,

the

following

table

shows

the

class

specific

transfer

agent

fees

borne

directly

by

each

share

class

of

the

Fund:

Other

Fees:

For

the

year

 ended 

April

30,

2024

,

affiliates

earned

underwriting

discounts,

direct

commissions

and

dealer

concessions

on

sales

of

the Fund's

Investor

A

Shares for

a

total

of

$422

.

For

the year

ended

April

30,

2024,

affiliates

received

CDSCs

as

follows:

Expense

Limitations,

Waivers

and

Reimbursements:

The

Manager

contractually

agreed

to

waive

its

investment

advisory

fees

by

the

amount

of

investment

advisory

fees

the

Fund

pays

to

the

Manager

indirectly

through

its

investment

in

affiliated

money

market

funds

(the

“affiliated

money

market

fund

waiver”)

through

June

30,

2025.

The

contractual

agreement

may

be

terminated upon

90

days’

notice

by

a

majority

of

the

Independent

Trustees,

or

by

a

vote

of

a

majority

of

the

outstanding

voting

securities

of

the

Fund.

The

amount

of

waivers

and/or

reimbursements

of

fees

and

expenses

made

pursuant

to

the

expense

limitation

described

below

will

be

reduced

by

the

amount

of

the

affiliated

money

market

fund

waiver. For

the

year

ended

April

30,

2024,

there

were

no

fees

waived

and/or

reimbursed

by

the

Manager

pursuant

to

this

agreement.

The

Manager

has

contractually

agreed

to

waive

its

investment

advisory

fee

with

respect

to

any

portion

of

the

Fund’s

assets

invested

in

affiliated

equity

and

fixed-income mutual

funds

and

affiliated

exchange-traded

funds

that

have

a

contractual

management

fee

through

June

30,

2025.

The

contractual

agreement

may

be

terminated

upon

90

days’

notice

by

a

majority

of

the

Independent

Trustees,

or

by

a

vote

of

a

majority

of

the

outstanding

voting

securities

of

the

Fund.

For

the

year

ended

April

30,

2024,

there

were

no

fees

waived

and/or

reimbursed

by

the

Manager

pursuant

to

this

arrangement.

The

Manager

contractually

agreed

to

waive

and/or

reimburse

fees

or

expenses

in

order

to

limit

expenses,

excluding

interest

expense,

dividend

expense,

tax

expense,

acquired

fund

fees

and

expenses,

and

certain

other

fund

expenses,

which

constitute

extraordinary

expenses

not

incurred

in

the

ordinary

course

of

the

Fund’s

business

(“expense

limitation”).

The

expense

limitations

as

a

percentage

of

average

daily

net

assets

are

as

follows:

The

Manager

has

agreed

not

to

reduce

or

discontinue

the

contractual

expense

limitations

through

June

30,

2025,

unless

approved

by

the

Board,

including

a

majority

of

the Independent

Trustees,

or

by

a

vote

of

a

majority

of

the

outstanding

voting

securities

of the

Fund.

For

the

year ended

April

30,

2024,

the

Manager

waived

and/or

reimbursed

investment

advisory

fees

of

$211,435

which

is

included

in

fees

waived

and/or

reimbursed

by

the

Manager

in

the

Statement

of

Operations.

In

addition,

these

amounts

waived

and/or

reimbursed

by

the

Manager are

included

in transfer

agent

fees

waived

and/or

reimbursed

by

the

Manager

—

class

specific

in

the

Statement

of

Operations.

For

the

year ended

April

30,

2024,

class

specific

expense

waivers

and/or

reimbursements were as

follows: 

Interfund

Lending:

In

accordance

with

an

exemptive

order

(the

“Order”)

from

the

U.S.

Securities

and

Exchange

Commission

(“SEC”),

the

Fund

may

participate

in

a

joint

lending

and

borrowing

facility

for

temporary

purposes

(the

“Interfund

Lending

Program”),

subject

to

compliance

with

the

terms

and

conditions

of

the

Order,

and

to

the

extent

permitted

by

the

Fund’s

investment

policies

and

restrictions.

The

Fund

is

currently

permitted

to

borrow

and

lend

under

the

Interfund

Lending

Program.

A

lending

BlackRock

fund

may

lend

in

aggregate

up

to

15%

of

its

net

assets

but

may

not

lend

more

than

5%

of

its

net

assets

to

any

one

borrowing

fund

through

the

Interfund

Lending

Program.

A

borrowing

BlackRock

fund

may

not

borrow

through

the

Interfund

Lending

Program

or

from

any

other

source

more

than

33

1/3%

of

its

total

assets

(or

any

lower

threshold

provided

for

by

the fund’s

investment

restrictions).

If

a

borrowing

BlackRock

fund’s

total

outstanding

borrowings

exceed

10%

of

its

total

assets,

each

of

its

outstanding

interfund

loans

will

be

subject

to

collateralization

of

at

least

102%

of

the

outstanding

principal

value

of

the

loan.

All

interfund

loans

are

for

temporary

or

emergency

purposes

and

the

interest

rate

to

be

charged

will

be

the

average

of

the

highest

current

overnight

repurchase

agreement

rate

available

to

a

lending

fund

and

the

bank

loan

rate,

as

calculated

according

to

a

formula

established

by

the

Board. 

During the

year

ended

April

30,

2024,

the

Fund

did

not

participate

in

the

Interfund

Lending

Program.

Trustees

and

Officers: 

Certain

trustees

and/or

officers

of

the Trust are directors and/or

officers

of BlackRock

or

its

affiliates.

The

Fund

reimburses

the

Manager

for

a

portion

of

the

compensation

paid

to

the 

Trust’s

Chief

Compliance

Officer,

which

is

included

in

Trustees and

Officer

in

the

Statement

of

Operations. 

7.

PURCHASES

AND

SALES 

For

the

year ended

April

30,

2024,

purchases

and

sales

of

investments,

including

paydowns/payups

and

mortgage

dollar

rolls,

excluding

short-term

securities, 

were $1,345,061,658

and

$1,278,995,299,

respectively.

For

the

year ended

April

30,

2024,

purchases

and

sales

related

to

mortgage

dollar

rolls

were

$1,026,206,602

and

$1,025,147,734,

respectively. 

Institutional

Investor

A

Investor

C

Total

Transfer

agent

fees

-

class

specific

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

$

265,801‌

$

21,522‌

$

1,387‌

$

288,710‌

Investor

C

$

7‌

Institutional

Investor

A

Investor

C

Expense

Limitations

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

0.45‌%

0.70‌%

1.45‌%

Share

Class

Transfer

Agent

Fees

Waived

and/or

Reimbursed

by

the

Manager

-

Class

Specific

Institutional

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

$

262,651‌

Investor

A

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

21,401‌

Investor

C

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

1,377‌

$

285,429‌

Notes

to

Financial

Statements

(continued)

37

Notes

to

Financial

Statements

8.

INCOME

TAX

INFORMATION 

It

is

the

Fund’s

policy

to

comply

with

the

requirements

of

the

Internal

Revenue

Code

of

1986,

as

amended,

applicable

to

regulated

investment

companies,

and

to

distribute

substantially

all

of

its

taxable

income

to

its

shareholders.

Therefore,

no

U.S.

federal

income

tax

provision

is

required. 

The

Fund

files

U.S.

federal

and

various

state

and

local

tax

returns.

No

income

tax

returns

are

currently

under

examination.

The

statute

of

limitations

on

the

Fund’s

U.S.

federal

tax

returns

generally

remains

open

for

a

period

of

three

years

after

they

are

filed.

The

statutes

of

limitations

on

the

Fund’s

state

and

local

tax

returns

may

remain

open

for

an

additional

year

depending

upon

the

jurisdiction. 

Management

has

analyzed

tax

laws

and

regulations

and

their

application

to

the Fund

as

of

April

30,

2024,

inclusive

of

the

open

tax

return

years,

and

does

not

believe

that

there

are

any

uncertain

tax

positions

that

require

recognition

of

a

tax

liability

in

the

Fund’s

financial

statements.

The

tax

character

of

distributions

paid

was

as

follows: 

As

of

April

30,

2024,

the

tax

components

of

accumulated earnings

(loss) were

as

follows:  

(a)

Amounts

available

to

offset

future

realized

capital

gains.

(b)

The

difference

between

book-basis

and

tax-basis

net

unrealized

gains

(losses)

was

attributable

primarily

to

the

tax

deferral

of

losses

on

wash

sales,

amortization

and

accretion

methods

of

premiums

and

discounts

on

fixed

income

securities,

the

realization

for

tax

purposes

of

unrealized

gains

(losses)

on

certain

futures

contracts,

the

timing

and

recognition

of

partnership

income

and

the

accounting

for

swap

agreements.

As

of

April

30,

2024, gross

unrealized

appreciation

and

depreciation

based

on

cost

of

investments

(including

short

positions

and

derivatives,

if

any)

for

U.S.

federal

income

tax

purposes

were

as

follows: 

9.

BANK

BORROWINGS 

The

Trust,

on

behalf

of

the

Fund,

along

with

certain

other

funds

managed

by

the

Manager

and

its

affiliates

(“Participating

Funds”), is

party

to

a

364-day,

$2.40

billion

credit

agreement

with

a

group

of

lenders.

Under

this

agreement,

the

Fund

may

borrow

to

fund

shareholder

redemptions.

Excluding

commitments

designated

for

certain

individual

funds,

the

Participating

Funds,

including

the

Fund,

can

borrow

up

to

an

aggregate

commitment

amount

of

$1.75

billion

at

any

time

outstanding,

subject

to

asset

coverage

and

other

limitations

as

specified

in

the

agreement.

The

credit

agreement

has

the

following

terms:

a

fee

of

0.10%

per

annum

on

unused

commitment

amounts

and

interest

at

a

rate

equal

to

the

higher

of

(a)

Overnight

Bank

Funding

Rate

(“OBFR”)

(but,

in

any

event,

not

less

than

0.00%)

on

the

date

the

loan

is

made

plus

0.80%

per

annum,

(b)

the

Fed

Funds

rate

(but,

in

any

event,

not

less

than

0.00%)

in

effect

from

time

to

time

plus

0.80%

per

annum

on

amounts

borrowed

or

(c)

the

sum

of

(x)

Daily

Simple

Secured

Overnight

Financing

Rate

(“SOFR”)

(but,

in

any

event,

not

less

than

0.00%)

on

the

date

the

loan

is

made

plus

0.10%

and

(y)

0.80%

per

annum. The

agreement

expires

in

April

2025

unless

extended

or

renewed. These

fees

were

allocated

among

such

funds

based

upon

portions

of

the

aggregate

commitment

available

to

them

and

relative

net

assets

of

Participating

Funds.

During

the

year ended

April

30,

2024,

the

Fund

did

not

borrow

under

the

credit

agreement.

10.

 PRINCIPAL

RISKS 

In

the

normal

course

of

business,

the

Fund

invests

in

securities

or

other

instruments

and

may

enter

into

certain

transactions,

and

such

activities

subject

the

Fund

to

various

risks,

including

among

others,

fluctuations

in

the

market

(market

risk)

or

failure

of

an

issuer

to

meet

all

of

its

obligations.

The

value

of

securities

or

other

instruments

may

also

be

affected

by

various

factors,

including,

without

limitation:

(i)

the

general

economy;

(ii)

the

overall

market

as

well

as

local,

regional

or

global

political

and/or

social

instability;

(iii)

regulation,

taxation

or

international

tax

treaties

between

various

countries;

or

(iv)

currency,

interest

rate

and

price

fluctuations.

Local,

regional

or

global

events

such

as

war,

acts

of

terrorism,

the

spread

of

infectious

illness

or

other

public

health

issues,

recessions,

or

other

events

could

have

a

significant

impact

on

the

Fund

and its

investments.

The

Fund’s

prospectus

provides

details

of

the

risks

to

which

the

Fund

is

subject. 

Market Risk:

The

Fund

may

be

exposed

to

prepayment

risk,

which

is

the

risk

that

borrowers

may

exercise

their

option

to

prepay

principal

earlier

than

scheduled

during

periods

of

declining

interest

rates,

which

would

force

the

Fund

to

reinvest

in

lower

yielding

securities. The

Fund

may

also

be

exposed

to

reinvestment

risk,

which

is

the

risk

that

income

from

the

Fund’s

portfolio

will

decline

if

the Fund

invests

the

proceeds

from

matured,

traded

or

called

fixed-income

securities

at

market

interest

rates

that

are

below

the

Fund

portfolio’s

current

earnings

rate.

Valuation

Risk:

The

price the

Fund

could

receive

upon

the

sale

of

any

particular

portfolio

investment

may

differ

from the

Fund’s

valuation

of

the

investment,

particularly

for

securities

that

trade

in

thin

or

volatile

markets

or

that

are

valued

using

a

fair

valuation

technique

or

a

price

provided

by

an

independent

pricing

service.

Changes

to

significant

Fund

Name

Year

Ended

04/30/24

Year

Ended

04/30/23

BlackRock

U.S.

Mortgage

Portfolio

Ordinary

income

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

$

15,152,950‌

$

10,461,385‌

Fund

Name

Undistributed

Ordinary

Income

Non-Expiring

Capital

Loss

Carryforwards

(a)

Net

Unrealized

Gains

(Losses)

(b)

Total

BlackRock

U.S.

Mortgage

Portfolio

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

$

544,759‌

$

(30,515,745‌)

$

(18,109,854‌)

$

(48,080,840‌)

Fund

Name

Tax

Cost

Gross

Unrealized

Appreciation

Gross

Unrealized

Depreciation

Net

Unrealized

Appreciation

(Depreciation)

BlackRock

U.S.

Mortgage

Portfolio

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

$

470,718,421‌

$

4,673,087‌

$

(22,782,941‌)

$

(18,109,854‌)

Notes

to

Financial

Statements

(continued)

2024

BlackRock

Annual

Report

to

Shareholders

38

unobservable

inputs

and

assumptions

(i.e.,

publicly

traded

company

multiples,

growth

rate,

time

to

exit)

due

to

the

lack

of

observable

inputs

may

significantly

impact

the

resulting

fair

value

and

therefore

the

Fund’s

results

of

operations.

As

a

result,

the

price

received

upon

the

sale

of

an

investment

may

be

less

than

the

value

ascribed

by the

Fund,

and the

Fund

could

realize

a

greater

than

expected

loss

or

lesser

than

expected

gain

upon

the

sale

of

the

investment. The

Fund’s

ability

to

value

its

investments

may

also

be

impacted

by

technological

issues

and/or

errors

by

pricing

services

or

other

third-party

service

providers. 

Counterparty

Credit

Risk:

The

Fund

may

be

exposed

to

counterparty

credit

risk,

or

the

risk

that

an

entity

may

fail

to

or

be

unable

to

perform

on

its

commitments

related

to

unsettled

or

open

transactions,

including

making

timely

interest

and/or

principal

payments

or

otherwise

honoring

its

obligations.

The

Fund

manages

counterparty

credit

risk

by

entering

into

transactions

only

with

counterparties

that

the

Manager

believes

have

the

financial

resources

to

honor

their

obligations

and

by

monitoring

the

financial

stability

of

those

counterparties.

Financial

assets,

which

potentially

expose

the

Fund

to

market,

issuer

and

counterparty

credit

risks,

consist

principally

of

financial

instruments

and

receivables

due

from

counterparties.

The

extent

of

the

Fund’s

exposure

to

market,

issuer

and

counterparty

credit

risks

with

respect

to

these

financial

assets

is

approximately

their

value

recorded

in

the

Statement

of

Assets

and

Liabilities,

less

any

collateral

held

by

the

Fund. 

A

derivative

contract

may

suffer

a

mark-to-market

loss

if

the

value

of

the

contract

decreases

due

to

an

unfavorable

change

in

the

market

rates

or

values

of

the

underlying

instrument.

Losses

can

also

occur

if

the

counterparty

does

not

perform

under

the

contract.

For

OTC

options

purchased,

the

Fund

bears

the

risk

of

loss

in

the

amount

of

the

premiums

paid

plus

the

positive

change

in

market

values

net

of

any

collateral

held

by

the

Fund

should

the

counterparty

fail

to

perform

under

the

contracts.

Options

written

by

the

Fund

do

not

typically

give

rise

to

counterparty

credit

risk,

as

options

written

generally

obligate

the

Fund,

and

not

the

counterparty,

to

perform.

The

Fund

may

be

exposed

to

counterparty

credit

risk

with

respect

to

options

written

to

the

extent

the

Fund

deposits

collateral

with

its

counterparty

to

a

written

option. 

With

exchange-traded

futures

and

centrally

cleared

swaps,

there

is

less

counterparty

credit

risk

to

the

Fund

since

the

exchange

or

clearinghouse,

as

counterparty

to

such

instruments,

guarantees

against

a

possible

default.

The

clearinghouse

stands

between

the

buyer

and

the

seller

of

the

contract;

therefore,

credit

risk

is

limited

to

failure

of

the

clearinghouse.

While

offset

rights

may

exist

under

applicable

law, the

Fund

does

not

have

a

contractual

right

of

offset

against

a

clearing

broker

or

clearinghouse

in

the

event

of

a

default

(including

the

bankruptcy

or

insolvency).

Additionally,

credit

risk

exists

in exchange-traded

futures

and

centrally

cleared

swaps with

respect

to

initial

and

variation

margin

that

is

held

in

a

clearing

broker’s

customer

accounts.

While

clearing

brokers

are

required

to

segregate

customer

margin

from

their

own

assets,

in

the

event

that

a

clearing

broker

becomes

insolvent

or

goes

into

bankruptcy

and

at

that

time

there

is

a

shortfall

in

the

aggregate

amount

of

margin

held

by

the

clearing

broker

for

all

its

clients,

typically

the

shortfall

would

be

allocated

on

a

pro

rata

basis

across

all

the

clearing

broker’s

customers,

potentially

resulting

in

losses

to

the

Fund. 

Geographic/Asset

Class

Risk:

 A

diversified

portfolio,

where

this

is appropriate

and

consistent

with

a

fund’s

objectives,

minimizes

the

risk

that

a

price

change

of

a

particular

investment

will

have

a

material

impact

on

the

NAV

of

a

fund.

The

investment

concentrations

within

the

Fund’s

portfolio

are

disclosed

in

its Schedule

of

Investments.

The

Fund

invests

a

significant

portion

of

its

assets

in

high

yield

securities.

High

yield

securities

that

are

rated

below

investment-grade

(commonly

referred

to

as

“junk

bonds”)

or

are

unrated

may

be

deemed

speculative,

involve

greater

levels

of

risk

than

higher-rated

securities

of

similar

maturity

and

are

more

likely

to

default.

High

yield

securities

may

be

issued

by

less

creditworthy

issuers,

and

issuers

of

high

yield

securities

may

be

unable

to

meet

their

interest

or

principal

payment

obligations.

High

yield

securities

are

subject

to

extreme

price

fluctuations,

may

be

less

liquid

than

higher

rated

fixed-income

securities,

even

under

normal

economic

conditions,

and

frequently

have

redemption

features. 

The

Fund

invests

a

significant

portion

of

its

assets

in fixed-income securities and/or uses

derivatives tied

to

the

fixed-income

markets.

Changes

in

market

interest

rates

or

economic

conditions

may affect

the

value

and/or

liquidity

of

such investments.

Interest

rate

risk

is

the

risk

that

prices

of

bonds

and

other

fixed-income

securities

will

decrease

as

interest

rates

rise

and

increase

as

interest

rates

fall.

The

Fund may

be

subject

to

a

greater

risk

of

rising

interest

rates

due

to

the period

of

historically

low

interest

rates

that

ended

in

March

2022. The

Federal

Reserve

has

raised

the

federal

funds

rate

as

part

of

its

efforts

to

address

inflation.

There

is

a

risk

that

interest

rates

will

continue

to

rise,

which

will

likely

drive

down

the

prices

of

bonds

and

other

fixed-income

securities,

and

could

negatively

impact

the

Fund’s

performance.

The

Fund

invests

a

significant

portion

of

its

assets

in

securities

of

issuers

located

in

the

United

States.

A

decrease

in

imports

or

exports,

changes

in

trade

regulations,

inflation

and/or

an

economic

recession

in

the

United

States

may

have

a

material

adverse

effect

on

the

U.S.

economy

and

the

securities

listed

on

U.S.

exchanges.

Proposed

and

adopted

policy

and

legislative

changes

in

the

United

States

may

also

have

a

significant

effect

on

U.S.

markets

generally,

as

well

as

on

the

value

of

certain

securities.

Governmental

agencies

project

that

the

United

States

will

continue

to

maintain

elevated

public

debt

levels

for

the

foreseeable

future

which

may

constrain

future

economic

growth.

Circumstances

could

arise

that

could

prevent

the

timely

payment

of

interest

or

principal

on

U.S.

government

debt,

such

as

reaching

the

legislative

“debt

ceiling.”

Such

non-payment

would

result

in

substantial

negative

consequences

for

the

U.S.

economy

and

the

global

financial

system.

If

U.S.

relations

with

certain

countries

deteriorate,

it

could

adversely

affect

issuers

that

rely

on

the

United

States

for

trade.

The

United

States

has

also

experienced

increased

internal

unrest

and

discord.

If

these

trends

were

to

continue,

they

may

have

an

adverse

impact

on

the

U.S.

economy

and

the

issuers

in

which

the

Fund

invests.

The

Fund

invests

a

significant

portion

of

its

assets

in

securities

backed

by

commercial

or

residential

mortgage

loans

or

in

issuers

that

hold

mortgage

and

other

asset-backed

securities.

When

a

fund

concentrates

its

investments

in

this

manner,

it

assumes

a

greater

risk

of

prepayment

or

payment

extension

by

securities

issuers. Changes

in

economic

conditions,

including

delinquencies

and/or

defaults

on

assets

underlying

these

securities,

can

affect

the

value,

income

and/or

liquidity

of

such

positions.

Investment

percentages

in

these

securities

are

presented

in

the

Schedule

of

Investments.

Significant

Shareholder

Redemption

Risk:

Certain

shareholders

may

own

or

manage

a

substantial

amount

of

fund

shares

and/or

hold

their

fund

investments

for

a

limited

period

of

time.

Large

redemptions

of

fund

shares

by

these

shareholders

may

force

a

fund

to

sell

portfolio

securities,

which

may

negatively

impact

the

fund’s

NAV,

increase

the

fund’s

brokerage

costs,

and/or

accelerate

the

realization

of

taxable

income/gains

and

cause

the

fund

to

make

additional

taxable

distributions

to

shareholders.

LIBOR

Transition

Risk:

The

Fund

may

be

exposed

to

financial

instruments

that

recently

transitioned

from,

or

continue

to

be

tied

to,

the

London

Interbank

Offered

Rate

(“LIBOR”)

to

determine

payment

obligations,

financing

terms,

hedging

strategies

or

investment

value.

The

United

Kingdom’s

Financial

Conduct

Authority,

which

regulates

LIBOR,

has

ceased

publishing

all

LIBOR

settings,

but

some

USD

LIBOR

settings

will

continue

to

be

published

under

a

synthetic

methodology

until

September

30,

2024

for

certain

legacy

contracts.

SOFR

has

been

used

increasingly

on

a

voluntary

basis

in

new

instruments

and

transactions.

Under

U.S.

regulations

that

implement

a

statutory

Notes

to

Financial

Statements

(continued)

39

Notes

to

Financial

Statements

fallback

mechanism

to

replace

LIBOR,

benchmark

rates

based

on

SOFR

have

replaced

LIBOR

in

certain

financial

contracts.

The

ultimate

effect

of

the

LIBOR

transition

process

on

the

Fund

is

uncertain.

11.

CAPITAL

SHARE

TRANSACTIONS 

Transactions

in

capital

shares

for

each

class

were

as

follows:

12.

SUBSEQUENT

EVENTS 

Management

has

evaluated

the

impact

of

all

subsequent

events

on

the

Fund

through

the

date

the

financial

statements

were

issued

and

has

determined

that

there

were

no

subsequent

events

requiring

adjustment

or

additional

disclosure

in

the

financial

statements.

Year

Ended

04/30/24

Year

Ended

04/30/23

Fund

Name/Share

Class

Shares

Amount

Shares

Amount

BlackRock

U.S.

Mortgage

Portfolio

Institutional

Shares

sold

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

22,346,841‌

$

196,339,316‌

18,643,231‌

$

164,373,933‌

Shares

issued

in

reinvestment

of

distributions

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

1,534,482‌

13,389,288‌

948,944‌

8,506,037‌

Shares

redeemed

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

(11,378,373‌)

(99,203,316‌)

(14,573,216‌)

(130,448,672‌)

12,502,950‌

$

110,525,288‌

5,018,959‌

$

42,431,298‌

Investor

A

Shares

sold

and

automatic

conversion

of

shares

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

473,339‌

$

4,131,910‌

677,781‌

$

5,987,452‌

Shares

issued

in

reinvestment

of

distributions

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

91,968‌

800,390‌

79,052‌

708,793‌

Shares

redeemed

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

(1,056,553‌)

(9,232,498‌)

(1,141,726‌)

(10,273,579‌)

(491,246‌)

$

(4,300,198‌)

(384,893‌)

$

(3,577,334‌)

Investor

C

Shares

sold

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

38,052‌

$

330,854‌

623‌

$

5,833‌

Shares

issued

in

reinvestment

of

distributions

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

5,292‌

46,108‌

5,634‌

50,685‌

Shares

redeemed

and

automatic

conversion

of

shares

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

(56,046‌)

(490,803‌)

(172,695‌)

(1,557,971‌)

(12,702‌)

$

(113,841‌)

(166,438‌)

$

(1,501,453‌)

11,999,002‌

$

106,111,249‌

4,467,628‌

$

37,352,511‌

Report

of

Independent

Registered

Public

Accounting

Firm

2024

BlackRock

Annual

Report

to

Shareholders

40

To

the

Shareholders

of

BlackRock

U.S.

Mortgage

Portfolio

and

the

Board

of

Trustees

of

Managed

Account

Series

II:

Opinion

on

the

Financial

Statements

and

Financial

Highlights

We

have

audited

the

accompanying

statement

of

assets

and

liabilities

of

BlackRock

U.S.

Mortgage

Portfolio

of

Managed

Account

Series

II

(the

“Fund”),

including

the

schedule

of

investments,

as

of

April

30,

2024,

the

related

statement

of

operations

for

the

year

then

ended,

the

statements

of

changes

in

net

assets

for

each

of

the

two

years

in

the

period

then

ended,

the

financial

highlights

for

each

of

the

five

years

in

the

period

then

ended,

and

the

related

notes.

In

our

opinion,

the

financial

statements

and

financial

highlights

present

fairly,

in

all

material

respects,

the

financial

position

of

the

Fund

as

of

April

30,

2024,

and

the

results

of

its

operations

for

the

year

then

ended,

the

changes

in

its

net

assets

for

each

of

the

two

years

in

the

period

then

ended,

and

the

financial

highlights

for

each

of

the

five

years

in

the

period

then

ended,

in

conformity

with

accounting

principles

generally

accepted

in

the

United

States

of

America.

Basis

for

Opinion

These

financial

statements

and

financial

highlights

are

the

responsibility

of

the

Fund’s

management.

Our

responsibility

is

to

express

an

opinion

on

the

Fund’s

financial

statements

and

financial

highlights

based

on

our

audits.

We

are

a

public

accounting

firm

registered

with

the

Public

Company

Accounting

Oversight

Board

(United

States)

(PCAOB)

and

are

required

to

be

independent

with

respect

to

the

Fund

in

accordance

with

the

U.S.

federal

securities

laws

and

the

applicable

rules

and

regulations

of

the

Securities

and

Exchange

Commission

and

the

PCAOB.

We

conducted

our

audits

in

accordance

with

the

standards

of

the

PCAOB.

Those

standards

require

that

we

plan

and

perform

the

audit

to

obtain

reasonable

assurance

about

whether

the

financial

statements

and

financial

highlights

are

free

of

material

misstatement,

whether

due

to

error

or

fraud.

The

Fund

is

not

required

to

have,

nor

were

we

engaged

to

perform,

an

audit

of

its

internal

control

over

financial

reporting.

As

part

of

our

audits

we

are

required

to

obtain

an

understanding

of

internal

control

over

financial

reporting

but

not

for

the

purpose

of

expressing

an

opinion

on

the

effectiveness

of

the

Fund’s

internal

control

over

financial

reporting.

Accordingly,

we

express

no

such

opinion.

Our

audits

included

performing

procedures

to

assess

the

risks

of

material

misstatement

of

the

financial

statements

and

financial

highlights,

whether

due

to

error

or

fraud,

and

performing

procedures

that

respond

to

those

risks.

Such

procedures

included

examining,

on

a

test

basis,

evidence

regarding

the

amounts

and

disclosures

in

the

financial

statements

and

financial

highlights.

Our

audits

also

included

evaluating

the

accounting

principles

used

and

significant

estimates

made

by

management,

as

well

as

evaluating

the

overall

presentation

of

the

financial

statements

and

financial

highlights.

Our

procedures

included

confirmation

of

securities

owned

as

of

April

30,

2024,

by

correspondence

with

custodians

or

counterparties;

when

replies

were

not

received,

we

performed

other

auditing

procedures.

We

believe

that

our

audits

provide

a

reasonable

basis

for

our

opinion.

Deloitte

&

Touche

LLP

Boston,

Massachusetts

June

24,

2024

We

have

served

as

the

auditor

of

one

or

more

BlackRock

investment

companies

since

1992.

Important

Tax

Information

(unaudited)

41

Important

Tax

Information

The

Fund

hereby

designates

the

following

amount,

or

maximum

amount

allowable

by

law,

of

distributions

from

direct

federal

obligation

interest

for

the

fiscal

year

ended

April

30,

2024:

The

law

varies

in

each

state

as

to

whether

and

what

percent

of

ordinary

income

dividends

attributable

to

federal

obligations

is

exempt

from

state

income

tax.

Shareholders

are

advised

to

check

with

their

tax

advisers

to

determine

if

any

portion

of

the

dividends

received

is

exempt

from

state

income

tax.

The

Fund

hereby

designates

the

following

amount,

or

maximum

amount

allowable

by

law,

as

interest

income

eligible

to

be

treated

as

a

Section

163(j)

interest

dividend

for

the

fiscal

year

ended

April

30,

2024:

The

Fund

hereby

designates

the

following

amount,

or

maximum

amount

allowable

by

law,

as

interest-related

dividends

eligible

for

exemption

from

U.S.

withholding

tax

for

nonresident

aliens

and

foreign

corporations

for

the

fiscal

year

ended

April

30,

2024:

Fund

Name

Federal

Obligation

Interest

BlackRock

U.S.

Mortgage

Portfolio

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

$

673,458‌

Fund

Name

Interest

Dividends

BlackRock

U.S.

Mortgage

Portfolio

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

$

15,523,141‌

Fund

Name

Interest-Related

Dividends

BlackRock

U.S.

Mortgage

Portfolio

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

$

15,423,506‌

Statement

Regarding

Liquidity

Risk

Management

Program

2024

BlackRock

Annual

Report

to

Shareholders

42

In

compliance

with

Rule

22e-4

under

the

Investment

Company

Act

of

1940,

as

amended

(the

“Liquidity

Rule”),

Managed

Account

Series

II

(the

“Trust”)

has

adopted

and

implemented

a

liquidity

risk

management

program

(the

“Program”)

for

BlackRock

U.S.

Mortgage

Portfolio

(the

“Fund”),

a

series

of

the

Trust,

which

is

reasonably

designed

to

assess

and

manage

the

Fund’s

liquidity

risk.

The

Board

of

Trustees

(the

“Board”)

of

the

Trust,

on

behalf

of

the

Fund,

met

on

November

14-15,

2023

(the

“Meeting”)

to

review

the

Program.

The

Board

previously

appointed

BlackRock

Advisors,

LLC,

the

investment

adviser

to

the

Fund,

as

the

program

administrator

for

the

Fund’s

Program.

BlackRock

also

previously

delegated

oversight

of

the

Program

to

the

40

Act

Liquidity

Risk

Management

Committee

(the

“Committee”).

At

the

Meeting,

the

Committee,

on

behalf

of

BlackRock,

provided

the

Board

with

a

report

that

addressed

the

operation

of

the

Program

and

assessed

its

adequacy

and

effectiveness

of

implementation,

including

the

management

of

the

Fund’s

Highly

Liquid

Investment

Minimum

(“HLIM”)

where

applicable,

and

any

material

changes

to

the

Program

(the

“Report”).

The

Report

covered

the

period

from

October

1,

2022

through

September

30,

2023

(the

“Program

Reporting

Period”).

The

Report

described

the

Program’s

liquidity

classification

methodology

for

categorizing

the

Fund’s

investments

(including

derivative

transactions)

into

one

of

four

liquidity

buckets.

It

also

referenced

the

methodology

used

by

BlackRock

to

establish

the

Fund’s

HLIM

and

noted

that

the

Committee

reviews

and

ratifies

the

HLIM

assigned

to

the

Fund

no

less

frequently

than

annually.

The

Report

also

discussed

notable

events

affecting

liquidity

over

the

Program

Reporting

Period,

including

the

imposition

of

capital

controls

in

certain

countries.

The

Report

noted

that

the

Program

complied

with

the

key

factors

for

consideration

under

the

Liquidity

Rule

for

assessing,

managing

and

periodically

reviewing

the

Fund’s

liquidity

risk,

as

follows:

a)

The

Fund’s

investment

strategy

and

liquidity

of

portfolio

investments

during

both

normal

and

reasonably

foreseeable

stressed

conditions

.

During

the

Program

Reporting

Period,

the

Committee

reviewed

whether

the

Fund’s

strategy

is

appropriate

for

an

open-end

fund

structure

with

a

focus

on

funds

with

more

significant

and

consistent

holdings

of

less

liquid

and

illiquid

assets.

The

Committee

also

factored

a

fund’s

concentration

in

an

issuer

into

the

liquidity

classification

methodology

by

taking

issuer

position

sizes

into

account.

Where

a

fund

participated

in

borrowings

for

investment

purposes

(such

as

tender

option

bonds

or

reverse

repurchase

agreements),

such

borrowings

were

factored

into

the

Program’s

calculation

of

a

fund’s

liquidity

bucketing.

A

fund’s

derivative

exposure

was

also

considered

in

such

calculation.

b)

Short-term

and

long-term

cash

flow

projections

during

both

normal

and

reasonably

foreseeable

stressed

conditions

.

During

the

Program

Reporting

Period,

the

Committee

reviewed

historical

redemption

activity

and

used

this

information

as

a

component

to

establish

the

Fund’s

reasonably

anticipated

trading

size

utilized

for

liquidity

classifications.

The

Fund

has

adopted

an

in-kind

redemption

policy

which

may

be

utilized

to

meet

larger

redemption

requests.

The

Committee

may

also

take

into

consideration

a

fund’s

shareholder

ownership

concentration

(which,

depending

on

product

type

and

distribution

channel,

may

or

may

not

be

available),

a

fund’s

distribution

channels,

and

the

degree

of

certainty

associated

with

a

fund’s

short-term

and

long-term

cash

flow

projections.

c)

Holdings

of

cash

and

cash

equivalents,

as

well

as

borrowing

arrangements

.

The

Committee

considered

the

terms

of

the

credit

facility

committed

to

the

Fund,

the

financial

health

of

the

institution

providing

the

facility

and

the

fact

that

the

credit

facility

is

shared

among

multiple

funds

(including

that

a

portion

of

the

aggregate

commitment

amount

is

specifically

designated

for

BlackRock

Floating

Rate

Income

Portfolio,

a

series

of

BlackRock

Funds

V,

and

BlackRock

Floating

Rate

Loan

ETF,

a

series

of

BlackRock

ETF

Trust

II).

The

Committee

also

considered

other

types

of

borrowing

available

to

the

funds,

such

as

the

ability

to

use

reverse

repurchase

agreements

and

interfund

lending,

as

applicable.

There

were

no

material

changes

to

the

Program

during

the

Program

Reporting

Period

other

than

the

enhancement

of

certain

model

components

in

the

Program’s

classification

methodology.

The

Report

provided

to

the

Board

stated

that

the

Committee

concluded

that

based

on

the

operation

of

the

functions,

as

described

in

the

Report,

the

Program

is

operating

as

intended

and

is

effective

in

implementing

the

requirements

of

the

Liquidity

Rule.

Trustee

and

Officer

Information

43

Trustee

and

Officer

Information

Independent

Trustees

(a)

Name

Year

of

Birth

(b)

Position(s)

Held

(Length

of

Service)

(c)

Principal

Occupation(s)

During

Past

5

Years

Number

of

BlackRock-Advised

Registered

Investment

Companies

(“RICs”)

Consisting

of

Investment

Portfolios

(“Portfolios”)

Overseen

Public

Company

and

Other

Investment

Company

Directorships

Held

During

Past

5

Years

R.

Glenn

Hubbard

1958

Chair

of

the

Board

(Since

2022)

Trustee

(Since

2019)

Dean,

Columbia

Business

School

from

2004

to

2019;

Faculty

member,

Columbia

Business

School

since

1988.

68

RICs

consisting

of

102

Portfolios

ADP

(data

and

information

services)

from

2004

to

2020;

Metropolitan

Life

Insurance

Company

(insurance);

TotalEnergies

SE

(multi-energy)

W.

Carl

Kester

(d)

1951

Vice

Chair

of

the

Board

(Since

2022)

Trustee

(Since

2019)

Baker

Foundation

Professor

and

George

Fisher

Baker

Jr.

Professor

of

Business

Administration,

Emeritus,

Harvard

Business

School

since

2022;

George

Fisher

Baker

Jr.

Professor

of

Business

Administration,

Harvard

Business

School

from

2008

to

2022;

Deputy

Dean

for

Academic

Affairs

from

2006

to

2010;

Chairman

of

the

Finance

Unit,

from

2005

to

2006;

Senior

Associate

Dean

and

Chairman

of

the

MBA

Program

from

1999

to

2005;

Member

of

the

faculty

of

Harvard

Business

School

since

1981.

70

RICs

consisting

of

104

Portfolios

None

Cynthia

L.

Egan

(d)

1955

Trustee

(Since

2019)

Advisor,

U.S.

Department

of

the

Treasury

from

2014

to

2015;

President,

Retirement

Plan

Services,

for

T.

Rowe

Price

Group,

Inc.

from

2007

to

2012;

executive

positions

within

Fidelity

Investments

from

1989

to

2007.

70

RICs

consisting

of

104

Portfolios

Unum

(insurance);

The

Hanover

Insurance

Group

(Board

Chair);

Huntsman

Corporation

(Lead

Independent

Director

and

non-Executive

Vice

Chair

of

the

Board)

(chemical

products)

Lorenzo

A.

Flores

1964

Trustee

(Since

2021)

Chief

Financial

Officer,

Intel

Foundry

since

2024;

Vice

Chairman,

Kioxia,

Inc.

since

2019;

Chief

Financial

Officer,

Xilinx,

Inc.

from

2016

to

2019;

Corporate

Controller,

Xilinx,

Inc.

from

2008

to

2016.

68

RICs

consisting

of

102

Portfolios

None

Stayce

D.

Harris

1959

Trustee

(Since

2021)

Lieutenant

General,

Inspector

General

of

the

United

States

Air

Force

from

2017

to

2019;

Lieutenant

General,

Assistant

Vice

Chief

of

Staff

and

Director,

Air

Staff,

United

States

Air

Force

from

2016

to

2017;

Major

General,

Commander,

22nd

Air

Force,

AFRC,

Dobbins

Air

Reserve

Base,

Georgia

from

2014

to

2016;

Pilot,

United

Airlines

from

1990

to

2020.

68

RICs

consisting

of

102

Portfolios

KULR

Technology

Group,

Inc.

in

2021;

The

Boeing

Company

(airplane

manufacturer)

J.

Phillip

Holloman

1955

Trustee

(Since

2021)

President

and

Chief

Operating

Officer,

Cintas

Corporation

from

2008

to

2018.

68

RICs

consisting

of

102

Portfolios

PulteGroup,

Inc.

(home

construction);

Rockwell

Automation

Inc.

(industrial

automation);

Vestis

Corporation

(uniforms

and

facilities

services)

Catherine

A.

Lynch

(d)

1961

Trustee

(Since

2019)

Chief

Executive

Officer,

Chief

Investment

Officer

and

various

other

positions,

National

Railroad

Retirement

Investment

Trust

from

2003

to

2016;

Associate

Vice

President

for

Treasury

Management,

The

George

Washington

University

from

1999

to

2003;

Assistant

Treasurer,

Episcopal

Church

of

America

from

1995

to

1999.

70

RICs

consisting

of

104

Portfolios

PennyMac

Mortgage

Investment

Trust

Arthur

P.

Steinmetz

(d)

1958

Trustee

(Since

2023)

Consultant,

Posit

PBC

(enterprise

data

science)

since

2020;

Director,

ScotiaBank

(U.S.)

from

2020

to

2023;

Chairman,

Chief

Executive

Officer

and

President

of

OppenheimerFunds,

Inc.

from

2015,

2014

and

2013,

respectively

to

2019;

Trustee,

President

and

Principal

Executive

Officer

of

104

OppenheimerFunds

funds

from

2014

to

2019;

Portfolio

manager

of

various

OppenheimerFunds

fixed

income

mutual

funds

from

1986

to

2014.to

1999.

70

RICs

consisting

of

104

Portfolios

Trustee

of

104

OppenheimerFunds

funds

from

2014

to

2019

Trustee

and

Officer

Information

(continued)

2024

BlackRock

Annual

Report

to

Shareholders

44

Interested

Trustees

(a)(e)

(a)

The

address

of

each

Trustee

is

c/o

BlackRock,

Inc.,

50

Hudson

Yards,

New

York,

New

York

10001.

(b)

Each

Independent

Trustee

holds

office

until

his

or

her

successor

is

duly

elected

and

qualifies

or

until

his

or

her

earlier

death,

resignation,

retirement

or

removal

as

provided

by

the

Trust’s

by-laws

or

charter

or

statute,

or

until

December

31

of

the

year

in

which

he

or

she

turns

75.

Trustees

who

are

“interested

persons,”

as

defined

in

the

Investment

Company

Act

serve

until

their

successor

is

duly

elected

and

qualifies

or

until

their

earlier

death,

resignation,

retirement

or

removal

as

provided

by

the

Trust’s

by-laws

or

statute,

or

until

December

31

of

the

year

in

which

they

turn

72.

The

Board

may

determine

to

extend

the

terms

of

Independent

Trustees

on

a

case-by-case

basis,

as

appropriate.

(c)

Following

the

combination

of

Merrill

Lynch

Investment

Managers,

L.P.

(“MLIM”)

and

BlackRock,

Inc.

in

September

2006,

the

various

legacy

MLIM

and

legacy

BlackRock

fund

boards

were

realigned

and

consolidated

into

three

new

fund

boards

in

2007.

Certain

Independent

Trustees

first

became

members

of

the

boards

of

other

legacy

MLIM

or

legacy

BlackRock

funds

as

follows:

R.

Glenn

Hubbard,

2004

and

W.

Carl

Kester,

1995.

Certain

other

Independent

Trustees

became

members

of

the

boards

of

the

closed-end

funds

in

the

Fixed-Income

Complex

as

follows:

Cynthia

L.

Egan,

2016;

and

Catherine

A.

Lynch,

2016.

(d)

Ms.

Egan,

Dr.

Kester,

Ms.

Lynch,

Mr.

Steinmetz

and

Mr.

Perlowski

are

also

trustees

of

the

BlackRock

Credit

Strategies

Fund

and

BlackRock

Private

Investments

Fund.

(e)

Mr.

Fairbairn

and

Mr.

Perlowski

are

both

"interested

persons,"

as

defined

in

the

1940

Act,

of

the

Trust

based

on

their

positions

with

BlackRock,

Inc.

and

its

affiliates.

Mr.

Fairbairn

and

Mr.

Perlowski

are

also

board

members

of

the

BlackRock

Multi-Asset

Complex.

Name

Year

of

Birth

(b)

Position(s)

Held

(Length

of

Service)

(c)

Principal

Occupation(s)

During

Past

5

Years

Number

of

BlackRock-Advised

Registered

Investment

Companies

(“RICs”)

Consisting

of

Investment

Portfolios

(“Portfolios”)

Overseen

Public

Company

and

Other

Investment

Company

Directorships

Held

During

Past

5

Years

Robert

Fairbairn

1965

Trustee

(Since

2015)

Vice

Chairman

of

BlackRock,

Inc.

since

2019;

Member

of

BlackRock's

Global

Executive

and

Global

Operating

Committees;

Co-Chair

of

BlackRock's

Human

Capital

Committee;

Senior

Managing

Director

of

BlackRock,

Inc.

from

2010

to

2019;

oversaw

BlackRock's

Strategic

Partner

Program

and

Strategic

Product

Management

Group

from

2012

to

2019;

Member

of

the

Board

of

Managers

of

BlackRock

Investments,

LLC

from

2011

to

2018;

Global

Head

of

BlackRock's

Retail

and

iShares

®

businesses

from

2012

to

2016.

96

RICs

consisting

of

266

Portfolios

None

John

M.

Perlowski

(d)

1964

Trustee

(Since

2015);

President

and

Chief

Executive

Officer

(Since

2010)

Managing

Director

of

BlackRock,

Inc.

since

2009;

Head

of

BlackRock

Global

Accounting

and

Product

Services

since

2009;

Advisory

Director

of

Family

Resource

Network

(charitable

foundation)

since

2009.

98

RICs

consisting

of

268

Portfolios

None

Trustee

and

Officer

Information

(continued)

45

Trustee

and

Officer

Information

Officers

Who

Are

Not

Trustees

(a)

(a)

The

address

of

each

Officer

is

c/o

BlackRock,

Inc.,

50

Hudson

Yards,

New

York,

New

York

10001.

(b)

Officers

of

the

Trust

serve

at

the

pleasure

of

the

Board.

Further

information

about

the

Trust’s

Trustees

and

Officers

is

available

in

the

Trust’s

Statement

of

Additional

Information,

which

can

be

obtained

without

charge

by

calling

(800)

441-7762.

Name

Year

of

Birth

(b)

Position(s)

Held

(Length

of

Service)

Principal

Occupation(s)

During

Past

5

Years

Jennifer

McGovern

1977

Vice

President

(Since

2014)

Managing

Director

of

BlackRock,

Inc.

since

2016.

Trent

Walker

1974

Chief

Financial

Officer

(Since

2021)

Managing

Director

of

BlackRock,

Inc.

since

September

2019;

Executive

Vice

President

of

PIMCO

from

2016

to

2019.

Jay

M.

Fife

1970

Treasurer

(Since

2007)

Managing

Director

of

BlackRock,

Inc.

since

2007.

Aaron

Wasserman

1974

Chief

Compliance

Officer

(Since

2023)

Managing

Director

of

BlackRock,

Inc.

since

2018;

Chief

Compliance

Officer

of

the

BlackRock-advised

funds

in

the

BlackRock

Multi-Asset

Complex,

the

BlackRock

Fixed-Income

Complex

and

the

iShares

Complex

since

2023;

Deputy

Chief

Compliance

Officer

for

the

BlackRock-advised

funds

in

the

BlackRock

Multi-Asset

Complex,

the

BlackRock

Fixed-

Income

Complex

and

the

iShares

Complex

from

2014

to

2023.

Lisa

Belle

1968

Anti-Money

Laundering

Compliance

Officer

(Since

2019)

Managing

Director

of

BlackRock,

Inc.

since

2019;

Global

Financial

Crime

Head

for

Asset

and

Wealth

Management

of

JP

Morgan

from

2013

to

2019.

Janey

Ahn

1975

Secretary

(Since

2019)

Managing

Director

of

BlackRock,

Inc.

since

2018.

Effective

July

1,

2023,

Aaron

Wasserman

replaced

Charles

Park

as

Chief

Compliance

Officer

of

the

Trust.

Effective

December

31,

2023,

Frank

Fabozzi

retired

as

Trustee

of

the

Trust.

Effective

January

19,

2024,

Arthur

Steinmetz

became

an

Independent

Trustee

of

the

Trust.

Additional

Information

2024

BlackRock

Annual

Report

to

Shareholders

46

Proxy

Results

BlackRock

U.S.

Mortgage

Portfolio

(Managed

Account

Series

II)

A

Special

Meeting

of

Shareholders

was

held

on

November

9,

2023

for

shareholders

of

record

on

September

11,

2023,

to

elect

a

Board

of

Trustees

of

BlackRock

U.S.

Mortgage

Portfolio.

Shareholders

elected

the

Trustees*

as

follows:

*

Denotes

Trust-wide

proposal

and

voting

results.

Board

Members

whose

term

of

office

continued

after

the

Special

Meeting

of

Shareholders

because

they

were

not

up

for

election

are

R.

Glenn

Hubbard,

W.

Carl

Kester,

Cynthia

L.

Egan,

Frank

J.

Fabozzi,

Catherine

A.

Lynch,

Robert

Fairbairn

and

John

M.

Perlowski.

Frank

J.

Fabozzi's

term

as

a

Board

Member

of

the

Funds

ended

on

December

31,

2023.

Tailored

Shareholder

Reports

for

Open-End Mutual

Funds

and

ETFs

Effective

January

24,

2023,

the

SEC

adopted

rule

and

form

amendments

to

require

open-end mutual

funds

and

ETFs

to

transmit

concise

and

visually

engaging

streamlined

annual

and

semiannual

reports

to

shareholders

that

highlight

key

information.

Other

information,

including

financial

statements,

will

no

longer

appear

in

a

streamlined

shareholder

report

but

must

be

available

online,

delivered

free

of

charge

upon

request,

and

filed

on

a

semiannual

basis

on

Form

N-CSR.

The

rule

and

form

amendments

have

a

compliance

date

of

July

24,

2024.

At

this

time,

management

is

evaluating

the

impact

of

these

amendments

on

the

shareholder

reports

for

the

Fund.

General

Information 

Quarterly

performance,

semi-annual

and

annual

reports,

current

net

asset

value

and

other

information

regarding

the

Fund

may

be

found

on

BlackRock’s

website,

which

can

be

accessed

at

blackrock.com

.

Any

reference

to

BlackRock’s

website

in

this

report

is

intended

to

allow

investors

public

access

to

information

regarding

the

Fund

and

does

not,

and

is

not

intended

to,

incorporate

BlackRock’s

website

in

this

report.

Householding

The

Fund

will

mail

only

one

copy

of

shareholder

documents,

including

prospectuses,

annual

and

semi-annual

reports,

Rule

30e-3

notices

and

proxy

statements,

to

shareholders

with

multiple

accounts

at

the

same

address.

This

practice

is

commonly

called

“householding”

and

is

intended

to

reduce

expenses

and

eliminate

duplicate

mailings

of

shareholder

documents.

Mailings

of

your

shareholder

documents

may

be

householded

indefinitely

unless

you

instruct

us

otherwise.

If

you

do

not

want

the

mailing

of

these

documents

to

be

combined

with

those

for

other

members

of

your

household,

please

call

the

Fund at

(800)

441-7762.

Availability

of

Quarterly

Schedule

of

Investments 

The

Fund

files

its

complete

schedule

of

portfolio

holdings

with

the

SEC

for

the

first

and

third

quarters

of

each

fiscal

year

as

an

exhibit

to

its

reports

on

Form

N-PORT.

The

Fund’s

Form

N-PORT is

available

on

the

SEC’s

website

at

sec.gov

.

Additionally,

the

Fund

makes

its

portfolio

holdings

for

the

first

and

third

quarters

of

each

fiscal

year

available

at

blackrock.com/fundreports

.

Availability

of

Proxy

Voting

Policies,

Procedures and

Voting

Records

A

description

of

the

policies

and

procedures

that

the

Fund

uses

to

determine

how

to

vote

proxies

relating

to

portfolio

securities

and

information

about

how

the

Fund

voted

proxies

relating

to

securities

held

in

the

Fund's

portfolio

during

the

most

recent

12-month

period

ended

June

30 is

available

without

charge,

upon

request (1)

by

calling

(800)

441-7762

;

(2)

on

the

BlackRock

website

at

blackrock.com

;

and

(3)

on

the

SEC’s

website

at

sec.gov

.

BlackRock’s

Mutual

Fund

Family

BlackRock

offers

a

diverse

lineup

of

open-end

mutual

funds

crossing

all

investment

styles

and

managed

by

experts

in

equity,

fixed-income

and

tax-exempt

investing.

Visit

blackrock.com

for

more

information.

Shareholder

Privileges

Account

Information

Call

us

at

(800) 

441-7762

from

8:00

AM

to

6:00

PM

ET

on

any

business

day

to

get

information

about

your

account

balances,

recent

transactions

and

share

prices.

You

can

also

visit

blackrock.com

for

more

information.

Votes

For

Votes

Withheld

Lorenzo

A.

Flores

22,667,158

120,197

Stayce

D.

Harris

22,671,301

116

,054

J.

Phillip

Holloman

22,664,589

122,766

Arthur

P.

Steinmetz

22,667,241

120

,

114

Additional

Information

(continued)

47

Additional

Information

Automatic

Investment

Plans

Investor

class

shareholders

who

want

to

invest

regularly

can

arrange

to

have

$50

or

more

automatically

deducted

from

their

checking

or

savings

account

and

invested

in

any

of

the

BlackRock

funds.

Systematic

Withdrawal

Plans

Investor

class

shareholders

can

establish

a

systematic

withdrawal

plan

and

receive

periodic

payments

of

$50

or

more

from

their

BlackRock

funds,

as

long

as

their

account

balance

is

at

least

$10,000.

Retirement

Plans

Shareholders

may

make

investments

in

conjunction

with

Traditional,

Rollover,

Roth,

Coverdell,

Simple

IRAs,

SEP

IRAs

and

403(b)

Plans.

BlackRock

Privacy

Principles

BlackRock

is

committed

to

maintaining

the

privacy

of

its

current

and

former

fund

investors

and

individual

clients

(collectively,

“Clients”)

and

to

safeguarding

their

non-public

personal

information.

The

following

information

is

provided

to

help

you

understand

what

personal

information

BlackRock

collects,

how

we

protect

that

information

and

why

in

certain

cases

we

share

such

information

with

select

parties.

If

you

are

located

in

a

jurisdiction

where

specific

laws,

rules

or

regulations

require

BlackRock

to

provide

you

with

additional

or

different

privacy-related

rights

beyond

what

is

set

forth

below,

then

BlackRock

will

comply

with

those

specific

laws,

rules

or

regulations.

BlackRock

obtains

or

verifies

personal

non-public

information

from

and

about

you

from

different

sources,

including

the

following:

(i)

information

we

receive

from

you

or,

if

applicable,

your

financial

intermediary,

on

applications,

forms

or

other

documents;

(ii)

information

about

your

transactions

with

us,

our

affiliates,

or

others;

(iii)

information

we

receive

from

a

consumer

reporting

agency;

and

(iv)

from

visits

to

our

websites.

BlackRock

does

not

sell

or

disclose

to

non-affiliated

third

parties

any

non-public

personal

information

about

its

Clients,

except

as

permitted

by

law

or

as

is

necessary

to

respond

to

regulatory

requests

or

to

service

Client

accounts.

These

non-affiliated

third

parties

are

required

to

protect

the

confidentiality

and

security

of

this

information

and

to

use

it

only

for

its

intended

purpose.

We

may

share

information

with

our

affiliates

to

service

your

account

or

to

provide

you

with

information

about

other

BlackRock

products

or

services

that

may

be

of

interest

to

you.

In

addition,

BlackRock

restricts

access

to

non-public

personal

information

about

its

Clients

to

those

BlackRock

employees

with

a

legitimate

business

need

for

the

information.

BlackRock

maintains

physical,

electronic

and

procedural

safeguards

that

are

designed

to

protect

the

non-public

personal

information

of

its

Clients,

including

procedures

relating

to

the

proper

storage

and

disposal

of

such

information.

Fund

and

Service

Providers

Investment

Adviser

BlackRock

Advisors,

LLC

Wilmington,

DE

19809

Accounting

Agent

JPMorgan

Chase

Bank,

N.A.

New

York,

NY

10179

Custodian

JPMorgan

Chase

Bank,

N.A.

New

York,

NY

10179

Transfer

Agent

BNY

Mellon

Investment

Servicing

(US)

Inc.

Wilmington,

DE

19809

Independent

Registered

Public

Accounting

Firm

Deloitte

&

Touche

LLP

Boston,

MA

02116

Distributor

BlackRock

Investments,

LLC

New

York,

NY

10001

Legal

Counsel

Willkie

Farr

&

Gallagher

LLP

New

York,

NY

10019

Address

of

the

Trust

100

Bellevue

Parkway

Wilmington,

DE

19809

Glossary

of

Terms

Used

in

this

Report

2024

BlackRock

Annual

Report

to

Shareholders

48

Currency

Abbreviation

USD

United

States

Dollar

Portfolio

Abbreviation

CMT

Constant

Maturity

Treasury

CSMC

Credit

Suisse

Mortgage

Capital

CWABS

Countrywide

Asset-Backed

Certificates

EFFR

Effective

Federal

Funds

Rate

LIBOR

London

Interbank

Offered

Rate

OTC

Over-the-counter

REMIC

Real

Estate

Mortgage

Investment

Conduit

SOFR

Secured

Overnight

Financing

Rate

TBA

To-be-announced

Want

to

know

more?

blackrock.com

|

800-441-7762

This

report

is

intended

for

current

holders.

It

is

not

authorized

for

use

as

an

offer

of

sale

or

a

solicitation

of

an

offer

to

buy

shares

of

the

Fund

unless

preceded

or

accompanied

by

the

Fund’s

current

prospectus.

Past

performance

results

shown

in

this

report

should

not

be

considered

a

representation

of

future

performance.

Investment

returns

and

principal

value

of

shares

will

fluctuate

so

that

shares,

when

redeemed,

may

be

worth

more

or

less

than

their

original

cost.

Statements

and

other

information

herein

are

as

dated

and

are

subject

to

change.

MAS-04/24-AR

Item 2 – Code of Ethics –

The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.  During the period covered by this report, the code of ethics was amended to update certain information and to make other non-material changes.  During the period covered by this report, there have been no waivers granted under the code of ethics. The

registrant undertakes to provide a copy of the code of ethics to any person upon request, without charge, who calls 1-800-441-7762.

Item 3 – Audit Committee Financial Expert – The registrant’s board of trustees (the “board of trustees”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

               Lorenzo A. Flores
Catherine A. Lynch

Arthur P. Steinmetz

Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert.  The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of trustees in the absence of such designation or identification.  The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of trustees.

Item 4 – Principal Accountant Fees and Services

The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund:

	(a) Audit Fees		(b) Audit-Related Fees1		(c) Tax Fees2		(d) All Other Fees
Entity Name	Current Fiscal Year End	Previous Fiscal Year End	Current Fiscal Year End	Previous Fiscal Year End	Current Fiscal Year End	Previous Fiscal Year End	Current Fiscal Year End	Previous Fiscal Year End
BlackRock U.S. Mortgage Portfolio	$32,436	$32,436	$407	$44	$17,056	$18,300	$0	$218

The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC ( the “Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Affiliated Service Providers”):

	Current Fiscal Year End	Previous Fiscal Year End
(b) Audit-Related Fees1	$0	$0
(c) Tax Fees2	$0	$0
(d) All Other Fees3	$2,149,000	$2,154,000

1

The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters, out-of-pocket expenses and internal control reviews not required by regulators.

2

The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.

3

Non-audit fees of $2,149,000 and $2,154,000 for the current fiscal year and previous fiscal year, respectively, were paid to the Fund’s principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of the Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription.  These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

               (e)(1) Audit Committee Pre-Approval Policies and Procedures:

The Committee has adopted policies and procedures with regard to the pre-approval of services.  Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee.  The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant.  Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”).  The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period.  Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project.  For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

                        Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services).  The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting.  At this meeting, an analysis of such services is presented to the Committee for ratification.  The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

              (e)(2)  None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not Applicable

(g)

The aggregate non-audit fees, defined as the sum of the fees shown under “Audit-Related Fees,” “Tax Fees” and “All Other Fees,” paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:

Entity Name	Current Fiscal Year End	Previous Fiscal Year End
BlackRock U.S. Mortgage Portfolio	$17,463	$18,562

              Additionally, the amounts billed by D&T in connection with services provided to the Affiliated Service Providers of the Fund and of other funds sponsored and advised by BlackRock or its affiliates during the current and previous fiscal years for a service organization review and an accounting research tool subscription were:

Current Fiscal Year End	Previous Fiscal Year End
$2,149,000	$2,154,000

              These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

              (h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser and

the Affiliated Service Providers

that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

               (i) – Not Applicable

               (j) – Not Applicable

Item 5 –  Audit Committee of Listed Registrant – Not Applicable

Item 6 – Investments

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

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

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

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

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

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

Item 11 – Controls and Procedures

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

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

Item 12 – Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable

Item 13 – Recovery of Erroneously Awarded Compensation – Not Applicable

Item 14 – Exhibits attached hereto

              (a)(1) Code of Ethics – See Item 2

              (a)(2) Any policy required by the listing standards adopted pursuant to Rule 10D-1 under the Exchange Act (17 CFR 240.10D-1) by the registered national securities exchange or registered national securities association upon which the Registrant’s securities are listed – Not Applicable

              (a)(3) Section 302 Certifications are attached

<<section302>>

(a)(4) Any written solicitation to purchase securities under Rule 23c-1 –

Not Applicable

(a)(5) Change in Registrant’s independent public accountant –

Not Applicable

(b) Section 906 Certifications are attached

<<section906>>

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

Managed Account Series II

By:     /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

Managed Account Series II

Date: June 24, 2024

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

By:     /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

Managed Account Series II  

Date: June 24, 2024

By:     /s/ Trent Walker

          Trent Walker

Chief Financial Officer (principal financial officer) of

Managed Account Series II

Date: June 24, 2024