BlackRock Series Fund, Inc.
- BlackRock Balanced Capital Portfolio
- BlackRock Fundamental Growth Portfolio
- BlackRock Global Allocation Portfolio
- BlackRock Government Income Portfolio
- BlackRock High Income Portfolio
- BlackRock Large Cap Core Portfolio
- BlackRock Money Market Portfolio
- BlackRock Total Return Portfolio
Annual Report
December 31, 2009
In 2009, investors worldwide witnessed a seismic shift in market sentiment as the fear and pessimism that characterized 2008 were replaced by guarded optimism. The single most important reason for this change was the swing from a deep global recession to the beginnings of a global recovery.
At the outset of the year, markets were still reeling from 2008’s nearly unprecedented global financial and economic meltdown. The looming threat of further collapse in global markets prompted stimulus packages and central bank interventions on an extraordinary scale worldwide. Ultimately, these actions helped stabilize the financial system, and the economic contraction began to abate.
Stocks fell sharply to start 2009 as investor confidence remained low on fears of an economic depression. After touching their lows in March, stocks galloped higher as massive, coordinated global monetary and fiscal stimulus began to reflate world economies. Sidelined cash poured into the markets, triggering a dramatic and steep upward rerating of stocks and other risk assets. The financial sector and low-quality securities that had been battered most in the downturn enjoyed the sharpest recovery. The experience in international markets was similar to that seen in the United States. European stocks slightly edged out other developed markets for the year, but emerging markets were the clear winners in 2009. To some extent, this outperformance reflected the stronger recoveries in emerging economies and corporate earnings, but emerging market stocks also saw significant expansion in valuations.
The improvement in the economic backdrop was reflected in fixed income markets as well, where non-Treasury assets made a robust recovery. One of the major themes for 2009 was the reversal of the flight-to-quality trade seen in 2008. As investors grew more comfortable with risk, high yield finished the year as the strongest-performing fixed income sector in both the taxable and tax-exempt space. Overall, the municipal market made a strong showing, outpacing most taxable sectors. Despite fundamental challenges, the technical picture remained supportive of the asset class. Municipal fund inflows had a record-setting year; investor expectations of higher taxes boosted demand; and the Build America Bonds program was deemed a success, adding $65 billion of taxable supply to the municipal marketplace in 2009. Notably, the program has alleviated tax-exempt supply pressure and attracted the attention of a global audience.
All told, the rebound in sentiment and global market conditions propelled virtually every major benchmark index into positive territory for both the 6- and 12-month periods, with the notable exception of Treasury bonds, which were negatively affected by rising long-term rates.
Total Returns as of December 31, 2009
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| US equities (S&P 500 Index) | 22.59 | % | 26.46 | % |
| Small cap US equities | | | | |
| (Russell 2000 Index) | 23.90 | | 27.17 | |
| International equities (MSCI Europe, | | | | |
| Australasia, Far East Index) | 22.07 | | 31.78 | |
| US Treasury securities (BofA Merrill | | | | |
| Lynch 10-Year US Treasury Index) | (1.06 | ) | (9.71 | ) |
| Taxable fixed income (Barclays Capital | | | | |
| US Aggregate Bond Index) | 3.95 | | 5.93 | |
| Tax-exempt fixed income (Barclays | | | | |
| Capital Municipal Bond Index) | 6.10 | | 12.91 | |
| High yield bonds (Barclays Capital | | | | |
| US Corporate High Yield 2% | | | | |
| Issuer Capped Index) | 21.27 | | 58.76 | |
Past performance is no guarantee of future results. Index performance shown for illustrative purposes only. You cannot invest directly in an index.
The market environment improved dramatically in the past year, but uncertainty and risk remain. Through periods of market turbulence, as ever, BlackRock’s full resources are dedicated to the management of our clients’ assets. For additional market perspective and investment insight, visit the most recent issue of our award-winning Shareholder® magazine at www.blackrock.com/shareholdermagazine. As always, we thank you for entrusting BlackRock with your investments, and we look forward to continuing to serve you in the new year and beyond.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
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| Announcement to Shareholders |
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On December 1, 2009, BlackRock, Inc. and Barclays Global Investors, N.A. combined to form one of the world’s preeminent investment management firms. The new company, operating under the BlackRock name, manages $3.346 trillion in assets* and offers clients a full complement of worldwide active management, enhanced and index investment strategies and products, including individual and institutional separate accounts, mutual funds and other pooled investment vehicles, and the industry-leading iShares platform of exchange traded funds.
*Data is as of December 31, 2009.
THIS PAGE NOT PART OF YOUR FUND REPORT
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| BlackRock Series Fund, Inc. |
| Portfolio Management Commentary |
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| BlackRock Balanced Capital Portfolio |
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How did the Portfolio perform?
Stocks outperformed bonds during the 12-month period, as the Russell 1000 Index advanced 28.43%, while the Barclays Capital US Aggregate Bond Index gained 5.93%. In this environment, the Portfolio returned 18.64% and underperformed its blended benchmark, a 60%/40% blend of the Russell 1000 Index and the Barclays Capital US Aggregate Bond Index, respectively, which returned 19.50%.
What factors influenced performance?
Though aggregate performance by the Portfolio’s underlying managers was additive, performance by the equity segment was a significant detractor for the year. The majority of equity underperformance occurred in the second quarter of 2009. Overall, the equity segment’s high-quality bias was a hindrance in a market that experienced a dramatic reversal of risk aversion. Financial companies battered by the credit crisis and consumer discretionary companies burned by a fall-off in consumer spending significantly outperformed more defensive areas, such as energy, health care and consumer staples. The market favored lower-quality, higher-beta stocks, a segment of the market in which the equity segment was underweight.
On the positive side, allocation decisions between equities and fixed income were additive over the course of the year. The Portfolio was overweight in equities by approximately 3% to 4%. Additionally, performance by the Portfolio’s underlying fixed income manager was a large contributor. The fixed income segment outperformed as a result of its non-index allocation to non-agency mortgages and overweight positions in commercial mortgage-backed securities, asset-backed securities and investment-grade corporate debt. Yield curve positioning throughout the year also aided returns.
Describe recent Portfolio activity.
Describe Portfolio positioning at period end.
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| BlackRock Fundamental Growth Portfolio |
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How did the Portfolio perform?
The Portfolio outperformed the benchmark Russell 1000 Growth Index for the 12-month period, as sector positioning and strong stock selection in the information technology (IT) sector overshadowed negative results in the health care and financials sectors. The Portfolio had a return of 37.40% compared to the 37.21% and 26.46% returns of the Russell 1000 Growth Index and the S&P 500 Index, respectively.
What factors influenced performance?
The greatest relative contribution to performance for the year came from IT. Broad-based successes from semiconductor manufacturers (PMC-Sierra, Inc. and Broadcom Corp.), to business software producers (Salesforce.com, Inc. and Check Point Software Technologies Ltd.), to consumer technology icons (Apple, Inc. and Google, Inc.) propelled the Portfolio’s IT holdings to a gain of more than 70% in 2009. Additionally, commodity prices rallied in anticipation of economic improvement, benefiting the Portfolio’s materials holdings. Freeport-McMoRan Copper & Gold, Inc. climbed higher on the back of surging copper prices. Finally, the Portfolio’s sector allocation added value thanks to an overweight in the consumer discretionary sector and an underweight in the underperforming consumer staples sector.
Meanwhile, an overweight in biotechnology and stock selection across several industries accounted for the underperformance in the health care sector. After huge outperformance in 2008, biotechnology underperformed the market in 2009, and the Portfolio’s positions in Celgene Corp. and Genzyme Corp. had a negative impact on performance. Other detractors within the sector included Abbott Laboratories and Boston Scientific Corp. In the financials sector, the Portfolio’s investment in Wells Fargo & Co. detracted significantly as the commercial bank continued to face challenges related to the financial crisis.
Describe recent portfolio activity.
As a result of market movement and individual bottom- up stock selection decisions, the Portfolio’s sector positioning evolved throughout the year. Its allocation to IT increased significantly, while consumer staples and health care experienced notable declines.
Describe Portfolio positioning at period end.
At period end, relative to the Russell 1000 Growth Index, the Portfolio’s largest overweights were in the industrials and consumer discretionary sectors, and its most substantial underweight was in the consumer staples sector.
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| BlackRock Global Allocation Portfolio |
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How did the Portfolio perform?
The Portfolio outperformed its Reference Benchmark for the 12-month period, but underperformed the Financial Times Stock Exchange (FTSE) World Index. The Portfolio had a return of 22.59% compared to the 19.22% and 34.38% returns of its Reference Benchmark and the FTSE World Index, respectively. The Reference Benchmark is an unmanaged weighted index comprised as follows: 36% of the S&P 500 Index; 24% of the FTSE World Index (Ex US) Equities; 24% of the BofA Merrill Lynch Current 5-Year US Treasury Index; and 16% of the Citigroup Non-US World Government Bond Index. The Portfolio invests in both equities and bonds; therefore, the Reference Benchmark provides a truer representation of the Portfolio’s composition and a more comparable means for measurement.
What factors influenced performance?
Contributing favorably to the Portfolio’s relative performance was an overweight and stock selection in Hong Kong, an overweight in Canada and an underweight in the United States. The Portfolio also benefited from its overweight position in emerging markets, including Brazil, Russia, India and China. From a sector perspective, stock selection in the energy and industrials sectors, along with an overweight in materials and underweights in utilities and consumer staples, all contributed positively. In fixed income, the Portfolio’s overweight positions in US Treasury Inflation-Protected Securities (TIPS) and convertible bonds added to relative performance.
Detracting from Portfolio performance was an overweight and stock selection in Japan, in addition to underweights and stock selection in the United Kingdom and Australia. Stock selection in Canada and South Korea also hindered relative performance. From a sector perspective, an underweight and stock selection in the financials, information technology (IT) and consumer discretionary sectors all had a negative impact on relative performance.
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Describe recent Portfolio activity.
During the annual period, the Portfolio’s overall equity allocation decreased from 59% to 58% of net assets. Within equities, decreases in the United States and Asia were partially offset by increases in Europe, Latin America and Africa/Middle East. On a sector basis, we increased the Portfolio’s weightings in IT, financials, materials and consumer staples, and reduced its weightings in health care, telecommunication services, industrials, energy, utilities and consumer discretionary.
The Portfolio’s allocation to fixed income increased from 32% to 34% of net assets primarily due to increases in US convertible bonds, US Treasuries and US dollar (USD)- denominated foreign corporate bonds, which were partially offset by decreases in US TIPS and UK gilts. The Portfolio’s cash equivalent holdings decreased from 9% to 8% of net assets.
Describe Portfolio positioning at period end.
Compared to its Reference Benchmark, the Portfolio ended the period underweight in equities and fixed income, and overweight in cash equivalents. Within the equity segment, the Portfolio is underweight in the United States and Europe, and it is overweight in Asia and Latin America.
On a sector basis, the Portfolio is overweight in materials, telecommunication services, energy and health care, and it is underweight in consumer discretionary, financials, consumer staples, IT, utilities and industrials.
As for currency exposure, the Portfolio has underweight positions in the euro, British pound, Swiss franc, Australian dollar and the USD. The Portfolio has overweight positions in the Brazilian real, the Canadian dollar and several Asian currencies, including the Singapore dollar, Malaysian ringgit and the Indian rupee.
The Portfolio’s period-end cash position was 8%. Over the course of the past 12 months, cash has helped mitigate Portfolio volatility and has served as a source of funds for new investments. Currently, the Portfolio is overweight in cash equivalents relative to its Reference Benchmark, partially to keep overall Portfolio duration low.
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| BlackRock Government Income Portfolio |
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How did the Portfolio perform?
The Portfolio posted a negative return for the 12-month period, but outperformed its benchmark, a composite of 50% Barclays Capital Mortgage-Backed Securities Index and 50% BofA Merrill Lynch 10-Year US Treasury Index, as the Portfolio had a return of (1.61)% compared to the (2.14)% return of its benchmark.
What factors influenced performance?
A number of factors contributed to performance during the 12 months. We were underweight in Treasuries, which saw yields move higher during the year. We were overweight in high-quality risk assets such as agency mortgage-backed securities (MBS), which posted excess returns of 4.82%. In addition, out-of-index holdings including commercial mortgage-backed securities (CMBS) and investment-grade corporate debt were additive to performance, posting excess returns of 29.60% and 22.76%, respectively.
- In contrast, duration and yield curve positioning detracted from Portfolio performance. Throughout the year, we were marginally long in duration, which hindered performance as rates were generally higher along the yield curve. As a point of reference, the 10-year Treasury yield increased by 163 basis points, from 2.21% to 3.84%. Meanwhile, we maintained a yield-curve-flattening bias, a hedge that detracted from performance. For the first half of the year, we had a curve-flattening trade on, but the curve steepened; front-end rates remained low as the Federal Reserve kept the federal funds rate near zero, and longer rates moved higher on increased inflationary expectations.
The Portfolio’s cash position (approximately 13% at period end) serves primarily to back our forward positions held in mortgage TBA (To Be Announced) contracts and, therefore, did not have a material impact on performance.
Describe recent Portfolio activity.
Throughout the annual period, rates moved higher, and by year-end, were at levels similar to the average levels seen between 2005 and mid-2007—a time of generally robust economic activity. With this in mind, we modestly lengthened duration. We also repositioned our curve exposure, moving from a flattening to a steepening yield-curve bias. In addition, we added to our out-of-index bets on agency debentures and FDIC-backed corporates, while modestly reducing our CMBS holdings.
Describe Portfolio positioning at period end.
At period end, we were marginally long in duration relative to the benchmark, with a bias toward a steepening yield curve. We remain underweight in Treasuries and overweight in MBS. We have out-of-index positions in agency debentures, as well as FDIC-backed corporates and investment-grade corporate debt. Lastly, we maintain a long exposure to the very high-quality CMBS space. The Portfolio’s period end cash equivalent holdings was approximately 13% of net assets.
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| BlackRock High Income Portfolio |
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How did the Portfolio perform?
The Portfolio posted strong results for the 12-month period, but underperformed the benchmark Barclays Capital US Corporate High Yield 2% Issuer Capped Index, as the Portfolio had a return of 53.68% compared to the 58.76% return of the Index.
What factors influenced performance?
Strong security selection among CCC-rated credits was a meaningful contributor to Portfolio performance. In addition, a small amount of exposure to distressed securities lifted returns as certain distressed debt holdings recovered dramatically during the year. Solid security selection in the media cable and aerospace/defense industries helped performance as well. The Portfolio also benefited from its allocation to select new-issue bonds in both the investment-grade and sub-investment-grade markets, which traded up substantially.
Conversely, the Portfolio’s underweight in CC-rated paper was a considerable detractor from performance, as credits at the low end of the high yield credit quality spectrum massively outperformed their higher-rated counterparts. The Portfolio’s underweight in crossover financial bonds, relative to the benchmark, was a significant detriment to performance as well. Elsewhere, sectors such as banking and life insurance were large drivers of the benchmark’s overall return for the period, and the Portfolio’s considerable underweight in these sectors created further performance dispersion.
Also worth mentioning, several factors have amplified the benchmark’s overall outperformance of the Portfolio, as well as other high yield funds. First, the high yield index universe was not completely “investable” during the year as the benchmark maintained over 1,500 individual securities. These securities were often bonds of smaller, more illiquid issuers, which rallied dramatically, but were difficult for the average fund to maintain exposure to; this resulted in significant dispersion of performance relative to the index. Second, many consumer cyclical sectors that were most heavily punished in 2008 spiked up fiercely in 2009. The Portfolio, like others, entered into 2009 with an underweight in highly volatile consumer-led sectors as a result of the ongoing recession; this positioning further detracted. Finally, downgraded financial bonds—which fell from investment-grade to high yield earlier in the year—sharply boosted the returns of the high yield benchmark, as the valuations of these largely discounted bonds massively recovered. Matching the change in the composition of the index's allocation of financial bonds was not deemed to be highly feasible or prudent, as financials have traditionally never been a material or familiar portion of the high yield universe.
Describe recent Portfolio activity.
During the annual period, we participated very heavily in a robust high yield, new-issue calendar. As the high yield market began to considerably improve early in 2009, we purchased many new-issue bonds coming from more defensive and higher-rated issuers. We also noticeably increased the Portfolio’s exposure to new senior-secured bond deals coming via the primary market—in which these proceeds were often used by issuing companies to pay down their concurrent bank loan debt obligations. Earlier in the year, we built a decent weighting within new investment-grade bonds coming to market. However, many of these positions have been largely scaled back as these bonds have greatly appreciated in price and their risk-reward profiles have diminished. On the whole, the portfolio management team remained negative on US consumers throughout the year, but maintained a constructive view on the high yield asset class.
Describe Portfolio positioning at period end.
At period end, the Portfolio held a large underweight relative to the benchmark in BB-rated issues, with an overweight in B-rated issues and a small underweight in CCC-rated issues. On a sector basis, the Portfolio was overweight in the automotive, metals and packaging sectors, and underweight in the gaming, information technology and banking sectors. The Portfolio had an average credit rating of B and a yield of 8.79%.
Overall, we remain very constructive on high yield, and hold the opinion that the asset class is attractively priced for a slow, structural recovery in 2010. Historically, high yield has performed superbly in periods following economic recessions. Therefore, we believe the dual potential for high yield to provide “equity-like returns,” while simultaneously providing excellent protection against downside risk, makes the asset class a great way to play the economic recovery.
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| BlackRock Large Cap Core Portfolio |
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How did the Portfolio perform?
What factors influenced performance?
On the whole, the Portfolio’s high-quality bias was a hindrance in a market that experienced a dramatic reversal of risk aversion. Financial companies battered by the credit crisis and consumer discretionary companies burned by a fall-off in consumer spending significantly outperformed more defensive areas, such as energy, health care and consumer staples. The market favored lower-quality, higher-beta stocks, a segment of the market in which the Portfolio was underweight.
The Portfolio’s energy holdings hindered returns. While we maintain a positive long-term outlook on the sector, there has been ongoing concern about reduced demand caused by the economic slowdown. Energy demand is highly correlated with GDP growth expectations and, consequently, some of our energy equipment and services holdings fared poorly.
The largest individual detractors to performance included Capital One Financial Corp., Biogen Idec, Inc., The AES Corp., Sunoco, Inc., Coach, Inc., The Goldman Sachs Group, Inc., Tesoro Corp. and Advance Auto Parts, Inc. Underweights in Apple, Inc. and Google, Inc. also hindered performance.
On the positive side, the Portfolio’s materials holdings in paper & forest products were the main contributors to performance. There has been consolidation within the industry and the resulting capacity discipline has translated into improved profitability and pricing power. An underweight in consumer staples, particularly food retailers and household product holdings, was modestly helpful as well. We have been unwilling to overpay for the perceived defensiveness of staples companies, many of which face the challenges of managing price versus input costs in a volatile commodity price and recessionary environment.
The largest individual contributors to performance were Western Digital Corp., Schering-Plough Corp., Nabors Industries Ltd., Anadarko Petroleum Corp., Alliance Data Systems Corp., Coventry Health Care, Inc., JDS Uniphase Corp. and OshKosh Corp. An underweight position in Citigroup, Inc. also enhanced returns.
Describe recent Portfolio activity.
During the annual period, we increased exposure to telecommunication services and utilities, and we reduced exposure to energy, information technology, industrials, consumer discretionary and health care.
The largest purchases within the Portfolio were Microsoft Corp., Philip Morris International, Inc., Oracle Corp., Verizon Communications, Inc. and The Goldman Sachs Group, Inc. The largest sales included Exxon Mobil Corp., Pfizer, Inc., Chevron Corp., Anadarko Petroleum Corp. and Occidental Petroleum Corp.
Describe Portfolio positioning at period end.
As of December 31, 2009, the Portfolio was overweight relative to the benchmark in health care, energy and materials, and underweight in financials, consumer staples and industrials.
Looking forward, we believe that a gradually improving global economy, coupled with the likelihood of rising interest rates, creates an environment where equities will outperform Treasuries and cash. Economic growth in the US and the rest of the developed world is likely to be above trend, but well below the typical recovery after a recession. Consumers still have a prolonged period of deleveraging to work through since household debt remains high. We expect the cyclical bull market that began last March to continue. While the economic and earnings backdrop will likely remain uneven, it should provide enough of a solid base for stocks to make modest gains in 2010. We would not be surprised to see some sort of corrective action or period of consolidation at any point, particularly given the strong advance of stocks over the past nine months. However, we remain cautiously optimistic and would view these as buying opportunities.
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| BlackRock Total Return Portfolio |
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How did the Portfolio perform?
The Portfolio outperformed its benchmark, the Barclays Capital US Aggregate Bond Index, for the 12-month period, as the Portfolio had a return of 14.81% compared to the 5.93% return of the Index.
What factors influenced performance?
The primary contributors to the Portfolio’s outperformance included a non-index allocation to non-agency mortgages and overweight positions in commercial mortgage-backed securities (CMBS), asset-backed securities (ABS) and investment-grade corporate debt. The Portfolio’s yield curve positioning throughout the year also aided returns.
Conversely, the Portfolio’s duration positioning was a negligible detractor during the period.
Describe recent Portfolio activity.
During the annual period, we made some asset allocation shifts within the Portfolio. Specifically, we decreased exposure to higher-risk, non-government assets, while we increased exposure to government-owned and/or government-related assets. As the markets rebounded off of their 2008 and early 2009 lows, spreads compressed dramatically in CMBS, ABS and non-agency mortgages. As a result, we took advantage of the move in these markets and reduced exposure, selling into strength. To varying degrees, we used those proceeds to increase the Portfolio’s allocation to Treasuries, agency debentures, FDIC-guaranteed debt, non-US government-guaranteed debt and investment-grade corporates. Away from this broad asset allocation shift, we significantly reduced the Portfolio’s exposure to agency mortgages throughout the year as the asset class traded at very expensive levels.
Describe Portfolio positioning at period end.
At period end, although we have reduced exposure to risk assets, the Portfolio remains underweight in government-related sectors, in favor of non-government spread sectors. Within government sectors, the Portfolio is overweight in FDIC-guaranteed debt and non-US government-guaranteed debt, while it is underweight in Treasuries, agency debentures and agency mortgages. Within the non-government sectors, the Portfolio is overweight in AAA-rated CMBS, ABS and investment- grade corporate debt. The Portfolio also holds an out-of- index allocation to non-agency MBS and non-US government bonds. At period-end, the Portfolio duration was slightly longer than its benchmark.
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.
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| BlackRock Series Fund, Inc. | | | | | |
| Performance Information as of December 31, 2009 | | | | | |
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30-Day Yield | 6-Month
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Returns1 | Average Annual Total Returns1
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| BlackRock Balanced Capital Portfolio | — | 2 | 16.80 | % | 18.64 | % | 1.79 | % | 1.07 | % |
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| BlackRock Fundamental Growth Portfolio | — | 2 | 24.71 | | 37.40 | | 2.67 | | (1.51 | ) |
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| BlackRock Global Allocation Portfolio | — | 2 | 15.18 | | 22.59 | | 8.22 | | 5.80 | |
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| BlackRock Government Income Portfolio | 4.28 | % | 2.00 | | (1.61 | ) | 3.67 | | 5.27 | |
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| BlackRock High Income Portfolio | 8.27 | | 23.46 | | 53.68 | | 4.64 | | 4.99 | |
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| BlackRock Large Cap Core Portfolio | — | 2 | 21.95 | | 22.90 | | 1.52 | | 0.99 | |
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| BlackRock Total Return Portfolio | 4.39 | | 8.76 | | 14.81 | | 3.33 | | 5.30 | |
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| 1 | Cumulative and average annual total investment returns are based on changes in net asset value for the periods shown, and assume reinvestment of all dividends and capital gains distributions at net asset value on the ex-dividend/payable date. Insurance-related fees and expenses are not reflected in these returns. |
| 2 | Yields are not applicable for this fund. |
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| BlackRock Money Market Portfolio | 0.00% | 0.00% |
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The 7-Day SEC Yield shown above may differ from 7-Day Yield shown due to the fact that the 7-Day SEC Yields exclude distributed capital gains.
Past performance is not indicative of future results.
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| BlackRock Series Fund, Inc. |
| Total Investment Return Based on a $10,000 Investment |
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BlackRock Balanced Capital Portfolio
| 1 | Assuming transaction costs and other operating expenses, including advisory fees, if any. Does not include insurance-related fees and expenses. BlackRock Balanced Capital Portfolio invests in US and foreign equity and fixed income securities. |
| 2 | This unmanaged market-weighted index is comprised of investment-grade corporate bonds rated BBB or better, mortgages and US Treasury and Government agency issues with at least one year to maturity. |
| 3 | This unmanaged index measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market capitalization of the Russell 3000 Index. |
| 4 | The Portfolio compares its performance to that of a customized weighted index comprised of the returns of the Russell 1000 Index (60%) and Barclays Capital US Aggregate Bond Index (40%). |
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| | Past performance is not indicative of future results. |
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| BlackRock Series Fund, Inc. |
| Total Investment Return Based on a $10,000 Investment (Continued) |
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BlackRock Fundamental Growth Portfolio
| 1 | Assuming transaction costs and other operating expenses, including advisory fees, if any. Does not include insurance-related fees and expenses. BlackRock Fundamental Growth Portfolio invests in equity securities of US companies of any size, but emphasizes equity securities of companies with the potential to achieve above-average earnings growth. |
| 2 | This unmanaged index covers 500 industrial, utility, transportation and financial companies of the US markets (mostly New York Stock Exchange (“NYSE”) issues), representing about 75% of NYSE market capitalization and 30% of NYSE issues. |
| 3 | This unmanaged broad-based index is a subset of the Russell 1000 Index consisting of those Russell 1000 securities with a greater-than-average growth orientation. |
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| | Past performance is not indicative of future results. |
BlackRock Global Allocation Portfolio
| 4 | Assuming transaction costs and other operating expenses, including advisory fees, if any. Does not include insurance-related fees and expenses. BlackRock Global Allocation Portfolio invests in a portfolio of equity, debt and money market securities. |
| 5 | This unmanaged market capitalization-weighted index is comprised of nearly 2,000 equities from 24 countries in 12 regions, including the United States. |
| 6 | This Reference Benchmark is an unmanaged weighted index comprised as follows: 36% of the S&P 500 Index; 24% of the FTSE World Index (Ex US) Equities; 24% of the BofA Merrill Lynch Current 5-Year US Treasury Index; and 16% of the Citigroup Non-US Dollar World Government Bond Index. |
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| | Past performance is not indicative of future results. |
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| BlackRock Series Fund, Inc. |
| Total Investment Return Based on a $10,000 Investment (Continued) |
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BlackRock Government Income Portfolio
| 1 | Assuming transaction costs and other operating expenses, including advisory fees, if any. Does not include insurance-related fees and expenses. BlackRock Government Income Portfolio invests at least 80% of its net assets in bonds and other debt securities that are issued or guaranteed by the US government or US government agencies or government-sponsored enterprises. |
| 2 | The Portfolio compares its performance to that of a customized weighted index comprised of the returns of the Barclays Capital Mortgage-Backed Securities Index (50%) and the BofA Merrill Lynch 10-Year US Treasury Index (50%). The Barclays Capital Mortgage-Backed Securities Index is a widely recognized unmanaged index that includes the mortgage-backed pass through securities of the Government National Mortgage Association, the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation that meet certain maturity and liquidity criteria. The BofA Merrill Lynch 10-Year US Treasury Index is a widely recognized unmanaged one security index that consists of the current “on-the-run” 10-Year Treasury issue. Performance of the index does not reflect the deduction of fees, expenses or taxes. |
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| | Past performance is not indicative of future results. |
BlackRock High Income Portfolio
| 3 | Assuming transaction costs and other operating expenses, including advisory fees, if any. Does not include insurance-related fees and expenses. BlackRock High Income Portfolio invests under normal circumstances at least 80%, and typically invests 90% or more, of its net assets in fixed income securities, such as corporate bonds, mortgage-backed securities, convertible securities, preferred stocks and government obligations. |
| 4 | This unmanaged index is comprised of issues that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index. Performance of the index does not reflect the deduction of fees, expenses or taxes. |
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| | Past performance is not indicative of future results. |
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| BlackRock Series Fund, Inc. |
| Total Investment Return Based on a $10,000 Investment (Concluded) |
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BlackRock Large Cap Core Portfolio
| 1 | Assuming transaction costs and other operating expenses, including advisory fees, if any. Does not include insurance-related fees and expenses. BlackRock Large Cap Core Portfolio generally invests at least 80% of its net assets in a diversified portfolio of equity securities, primarily common stocks, of large cap companies included at the time of purchase in the Russell 1000 Index. |
| 2 | This unmanaged index measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market capitalization of the Russell 3000 Index. |
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| | Past performance is not indicative of future results. |
BlackRock Total Return Portfolio
| 3 | Assuming transaction costs and other operating expenses, including advisory fees, if any. Does not include insurance-related fees and expenses. BlackRock Total Return Portfolio normally invests at least 80% of its net assets in fixed income securities. |
| 4 | This unmanaged market-weighted index is comprised of investment-grade corporate bonds rated BBB or better, mortgages and US Treasury and Government agency issues with at least one year to maturity. |
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| | Past performance is not indicative of future results. |
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| BlackRock Series Fund, Inc. |
| Disclosure of Expenses |
|
Shareholders of each Portfolio may incur the following charges: (a) expenses related to transactions, including sales charges, redemption fees and exchange fees; and (b) operating expenses including advisory fees and other Portfolio expenses. The expense example below (which is based on a hypothetical investment of $1,000 invested on July 1, 2009 and held through December 31, 2009) is intended to assist shareholders both in calculating expenses based on an investment in each Portfolio and in comparing these expenses with similar costs of investing in other mutual funds.
The table provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period.”
The table also provides information about hypothetical account values and hypothetical expenses based on each Portfolio’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 each Portfolio and other funds, compare the 5% hypothetical example with the 5% hypothetical examples that appear in other funds’ shareholder reports.
The expenses shown in the table are intended to highlight shareholders’ ongoing costs only and do not reflect any transactional expenses, such as sales charges, redemption fees or exchange fees. 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.
| | | | | | | | | | | |
| | Beginning | Ending | | | | Annualized |
| | Account Value | Account Value | Expenses Paid | Expense |
| Actual | July 1, 2009 | December 31, 2009 | During the Period1 | Ratio |
|
| BlackRock Balanced Capital Portfolio (excluding interest expense) | $ | 1,000 | | $ | 1,168.00 | | $ | 2.46 | | 0.45% |
|
| BlackRock Balanced Capital Portfolio (including interest expense) | $ | 1,000 | | $ | 1,168.00 | | $ | 2.51 | | 0.46% |
|
| BlackRock Fundamental Growth Portfolio | $ | 1,000 | | $ | 1,247.10 | | $ | 2.78 | | 0.49% |
|
| BlackRock Global Allocation Portfolio (excluding dividend expense) | $ | 1,000 | | $ | 1,151.80 | | $ | 2.71 | | 0.50% |
|
| BlackRock Global Allocation Portfolio (including dividend expense) | $ | 1,000 | | $ | 1,151.80 | | $ | 2.77 | | 0.51% |
|
| BlackRock Government Income Portfolio (excluding interest expense) | $ | 1,000 | | $ | 1,020.00 | | $ | 2.55 | | 0.50% |
|
| BlackRock Government Income Portfolio (including interest expense) | $ | 1,000 | | $ | 1,020.00 | | $ | 2.75 | | 0.54% |
|
| BlackRock High Income Portfolio | $ | 1,000 | | $ | 1,234.60 | | $ | 2.82 | | 0.50% |
|
| BlackRock Large Cap Core Portfolio | $ | 1,000 | | $ | 1,219.50 | | $ | 2.63 | | 0.47% |
|
| BlackRock Money Market Portfolio | $ | 1,000 | | $ | 1,000.20 | | $ | 2.12 | | 0.42% |
|
| BlackRock Total Return Portfolio (excluding interest expense) | $ | 1,000 | | $ | 1,087.60 | | $ | 2.63 | | 0.50% |
|
| BlackRock Total Return Portfolio (including interest expense) | $ | 1,000 | | $ | 1,087.60 | | $ | 2.79 | | 0.53% |
|
| |
|
| Hypothetical (5% annual return before expenses)2 | | | | | | | | | | |
|
| BlackRock Balanced Capital Portfolio (excluding interest expense) | $ | 1,000 | | $ | 1,022.93 | | $ | 2.29 | | 0.45% |
|
| BlackRock Balanced Capital Portfolio (including interest expense) | $ | 1,000 | | $ | 1,022.88 | | $ | 2.35 | | 0.46% |
|
| BlackRock Fundamental Growth Portfolio | $ | 1,000 | | $ | 1,022.73 | | $ | 2.50 | | 0.49% |
|
| BlackRock Global Allocation Portfolio (excluding dividend expense) | $ | 1,000 | | $ | 1,022.68 | | $ | 2.55 | | 0.50% |
|
| BlackRock Global Allocation Portfolio (including dividend expense) | $ | 1,000 | | $ | 1,022.63 | | $ | 2.60 | | 0.51% |
|
| BlackRock Government Income Portfolio (excluding interest expense) | $ | 1,000 | | $ | 1,022.68 | | $ | 2.55 | | 0.50% |
|
| BlackRock Government Income Portfolio (including interest expense) | $ | 1,000 | | $ | 1,022.48 | | $ | 2.75 | | 0.54% |
|
| BlackRock High Income Portfolio | $ | 1,000 | | $ | 1,022.68 | | $ | 2.55 | | 0.50% |
|
| BlackRock Large Cap Core Portfolio | $ | 1,000 | | $ | 1,022.83 | | $ | 2.40 | | 0.47% |
|
| BlackRock Money Market Portfolio | $ | 1,000 | | $ | 1,023.08 | | $ | 2.14 | | 0.42% |
|
| BlackRock Total Return Portfolio (excluding interest expense) | $ | 1,000 | | $ | 1,022.68 | | $ | 2.55 | | 0.50% |
|
| BlackRock Total Return Portfolio (including interest expense) | $ | 1,000 | | $ | 1,022.53 | | $ | 2.70 | | 0.53% |
|
| 1 | Expenses for each Portfolio are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). |
| 2 | Hypothetical 5% annual return before expenses is calculated by pro rating the number of days in the most recent fiscal half year divided by 365. |
13
|
|
| BlackRock Series Fund, Inc. |
| Portfolio Information as of December 31, 2009 |
|
| | |
| | Percent of |
| | Long Term |
| Portfolio Composition for BlackRock Balanced Capital Portfolio | Investments |
|
| Common Stocks | 53 | % |
| U.S. Government Sponsored Agency Securities | 22 | |
| Corporate Bonds | 7 | |
| U.S. Treasury Obligations | 7 | |
| Non-Agency Mortgage-Backed Securities | 6 | |
| Asset-Backed Securities | 2 | |
| Foreign Agency Obligations | 1 | |
| Preferred Securities | 1 | |
| Taxable Municipal Bonds | 1 | |
|
| |
|
| | Percent of |
| | Long-Term |
| Sector Allocation for BlackRock Fundamental Growth Portfolio | Investments |
|
| Information Technology | 36 | % |
| Health Care | 16 | |
| Consumer Discretionary | 13 | |
| Industrials | 12 | |
| Consumer Staples | 10 | |
| Energy | 5 | |
| Financials | 5 | |
| Materials | 3 | |
|
For Portfolio compliance purposes, the Portfolio’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Portfolio management. This definition may not apply for purposes of this report, which may combine sector sub-classifications for reporting ease.
| | | | |
|
| | | Reference |
| | Percent of | Benchmark4 |
| Portfolio Composition for BlackRock Global Allocation Portfolio | Net Assets | Percentages |
|
| U.S. Equities | 31 | %1 | 36 | % |
| European Equities | 8 | 1 | 13 | |
| Pacific Basin Equities | 13 | 1 | 8 | |
| Other Equities | 6 | | 3 | |
| Total Equities | 58 | 2 | 60 | |
| U.S. Dollar Denominated Fixed Income Securities | 21 | | 24 | |
| U.S. Issuers | 14 | | — | |
| Non-U.S. Issuers | 7 | | — | |
| Non-U.S. Dollar Denominated Fixed Income Securities | 13 | | 16 | |
| Total Fixed Income Securities | 34 | | 40 | |
| Cash & Cash Equivalents3 | 8 | | — | |
|
| 1 | Includes value of financial futures contracts. |
| 2 | Included Preferred Stock. |
| 3 | Cash & Cash Equivalents are reduced by the market (or nominal) value of long financial futures contracts. |
| 4 | The Reference Benchmark is an unmanaged weighted index comprised as follows: 36% S&P 500 Index; 24% FTSE World Index (Ex US) Equities; 24% BofA Merrill Lynch Current 5-Year US Treasury Index; and 16% Citigroup Non-US Dollar World Government Bond Index. |
14
|
|
| BlackRock Series Fund, Inc. |
| Portfolio Information as of December 31, 2009 (Concluded) |
|
| | |
| | Percent of |
| | Long-Term |
| Portfolio Composition for BlackRock Government Income Portfolio | Investments |
|
| U.S. Government Sponsored Agency Securities | 88 | % |
| U.S. Treasury Obligations | 11 | |
| Non-Agency Mortgage Backed Securities | 1 | |
|
| |
|
| | Percent of |
| | Corporate Bond |
| Credit Quality Allocation for BlackRock High Income Portfolio1 | Investments |
|
| BBB/Baa | 3 | % |
| BB/Ba | 39 | |
| B | 40 | |
| CCC/Caa | 11 | |
| CC/Ca | 1 | |
| Not Rated | 6 | |
|
| 1 | Using the higher of Standard & Poor’s or Moody’s Investors Service ratings. |
| | |
|
| | Percent of |
| | Long-Term |
| Sector Allocation for BlackRock Large Cap Core Portfolio | Investments |
|
| Health Care | 20 | % |
| Information Technology | 18 | |
| Energy | 16 | |
| Consumer Discretionary | 11 | |
| Industrials | 8 | |
| Consumer Staples | 7 | |
| Materials | 6 | |
| Financials | 6 | |
| Telecommunication Services | 4 | |
| Utilities | 4 | |
|
For Portfolio compliance purposes, the Portfolio’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Portfolio management. This definition may not apply for purposes of this report, which may combine sector sub-classifications for reporting ease.
| | |
|
| | Percent of |
| Portfolio Composition for BlackRock Money Market Portfolio | Net Assets |
|
| Commercial Paper | 52 | % |
| Certificates of Deposit | 25 | |
| U.S. Government Sponsored Agency Obligations | 11 | |
| U.S. Treasury Obligations | 8 | |
| Corporate Notes | 2 | |
| Municipal Bonds | 2 | |
|
| | Percent of |
| | Long-Term |
| Portfolio Composition for BlackRock Total Return Portfolio | Investments |
|
| U.S. Government Sponsored Agency Securities | 45 | % |
| U.S. Treasury Obligations | 18 | |
| Corporate Bonds | 15 | |
| Non-Agency Mortgage-Backed Securities | 13 | |
| Asset-Backed Securities | 5 | |
| Foreign Agency Obligations | 2 | |
| Preferred Securities | 1 | |
| Taxable Municipal Bonds | 1 | |
|
15
|
|
| BlackRock Series Fund, Inc. |
| The Benefits and Risks of Leveraging |
|
Certain Portfolios may utilize leverage to seek to enhance the yield and Net Asset Value (“NAV”). However, these objectives cannot be achieved in all interest rate environments.
The Portfolios may utilize leverage by entering into reverse repurchase agreements and dollar rolls.
In general, the concept of leveraging is based on the premise that the cost of assets to be obtained from leverage will be based on short-term interest rates, which normally will be lower than the income earned by the Portfolios on their longer-term portfolio investments. To the extent that the total assets of the Portfolios (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Portfolios will benefit from the incremental net income.
Furthermore, the value of the Portfolios’ investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. As a result, changes in interest rates can influence the Portfolios’ NAV positively or negatively in addition to the impact on the Portfolio performance from leverage.
The use of leverage may enhance opportunities for increased income to the Portfolios, but as described above, it also creates risks as short- or long-term interest rates fluctuate. Leverage also will generally cause greater changes in the Portfolios’ NAV and dividend rate than a comparable portfolio without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, the Portfolios’ net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, the Portfolios’ net income will be less than if leverage had not been used, and therefore the amount available for distribution to shareholders will be reduced. The Portfolios 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 leverage instruments which may cause the Portfolios to incur losses. The use of leverage may limit the Portfolios’ ability to invest in certain types of securities or use certain types of hedging strategies. The Portfolios will incur expenses in connection with the use of leverage and may reduce income.
|
|
| Derivative Financial Instruments |
|
Certain Portfolios may invest in various derivative instruments, including swaps, swaptions, financial futures contracts and foreign currency exchange contracts, as specified in Note 2 of the Notes to Financials Statements, which constitute forms of economic leverage. Such instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market, credit, interest rate and/or foreign currency exchange rate risks. Such derivative instruments involve risks, including the imperfect correlation between the value of a derivative instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative instrument. The Portfolios’ ability to successfully use a derivative instrument depends on the investment advisor’s ability to accurately predict pertinent market movements, which cannot be assured. The use of derivative instruments may result in losses greater than if they had not been used, may require the Portfolios to sell or purchase portfolio securities at inopportune times or for distressed values, may limit the amount of appreciation the Portfolios can realize on an investment or may cause the Portfolios to hold a security that it might otherwise sell. The Portfolios’ investments in these instruments are discussed in detail in the Notes to Financial Statements.
16
| |
|
|
| BlackRock Series Fund, Inc. | |
| BlackRock Balanced Capital Portfolio | |
| Schedule of Investments December 31, 2009 | (Percentages shown are based on Net Assets) |
|
| | | | |
| Common Stocks | Shares | | Value |
|
|
|
| Aerospace & Defense—3.1% | | | | |
| L-3 Communications Holdings, Inc. | 46,000 | | $ | 3,999,700 |
| Lockheed Martin Corp. | 60,000 | | | 4,521,000 |
| Northrop Grumman Corp. | 76,000 | | | 4,244,600 |
| Raytheon Co. | 81,000 | | | 4,173,120 |
| |
|
|
| | | | | 16,938,420 |
|
|
| Beverages—0.2% | | | | |
| The Coca-Cola Co. | 16,000 | | | 912,000 |
|
|
|
| Biotechnology—1.0% | | | | |
| Amgen, Inc. (a) | 100,000 | | | 5,657,000 |
|
|
|
| Capital Markets—1.2% | | | | |
| The Goldman Sachs Group, Inc. | 38,000 | | | 6,415,920 |
|
|
|
| Chemicals—0.7% | | | | |
| CF Industries Holdings, Inc. | 33,000 | | | 2,995,740 |
| Celanese Corp., Series A | 31,000 | | | 995,100 |
| |
|
|
| | | | | 3,990,840 |
|
|
| Commercial Banks—0.1% | | | | |
| Wells Fargo & Co. | 23,000 | | | 620,770 |
|
|
|
| Communications Equipment—0.2% | | | | |
| Cisco Systems, Inc. (a) | 45,000 | | | 1,077,300 |
|
|
|
| Computers & Peripherals—3.0% | | | | |
| Apple, Inc. (a) | 12,000 | | | 2,530,320 |
| Hewlett-Packard Co. | 9,000 | | | 463,590 |
| International Business Machines Corp. | 71,000 | | | 9,293,900 |
| Western Digital Corp. (a) | 90,000 | | | 3,973,500 |
| |
|
|
| | | | | 16,261,310 |
|
|
| Construction & Engineering—0.3% | | | | |
| URS Corp. (a) | 32,000 | | | 1,424,640 |
|
|
|
| Containers & Packaging—0.2% | | | | |
| Sonoco Products Co. | 40,000 | | | 1,170,000 |
|
|
|
| Diversified Financial Services—0.4% | | | | |
| Bank of America Corp. | 44,000 | | | 662,640 |
| JPMorgan Chase & Co. | 36,000 | | | 1,500,120 |
| |
|
|
| | | | | 2,162,760 |
|
|
| Diversified Telecommunication Services—3.5% | | | | |
| AT&T Inc. | 324,000 | | | 9,081,720 |
| Qwest Communications International Inc. | 836,000 | | | 3,519,560 |
| Verizon Communications, Inc. | 201,000 | | | 6,659,130 |
| |
|
|
| | | | | 19,260,410 |
|
|
| Electric Utilities—0.1% | | | | |
| Edison International | 20,000 | | | 695,600 |
|
|
|
| Electronic Equipment, Instruments & Components—0.6% | | |
| Ingram Micro, Inc., Class A (a) | 181,000 | | | 3,158,450 |
|
|
|
| Energy Equipment & Services—5.6% | | | | |
| Atwood Oceanics, Inc. (a) | 70,000 | | | 2,509,500 |
| Diamond Offshore Drilling, Inc. (b) | 39,000 | | | 3,838,380 |
| Ensco International Plc—ADR | 85,000 | | | 3,394,900 |
| FMC Technologies, Inc. (a) | 67,000 | | | 3,875,280 |
| Helmerich & Payne, Inc. | 69,000 | | | 2,751,720 |
| Nabors Industries Ltd. (a) | 170,000 | | | 3,721,300 |
| National Oilwell Varco, Inc. | 99,000 | | | 4,364,910 |
| Oceaneering International, Inc. (a) | 36,000 | | | 2,106,720 |
| | | | |
| Rowan Cos., Inc. | 49,000 | | | 1,109,360 |
| Tidewater, Inc. | 67,000 | | | 3,212,650 |
| |
|
|
| | | | | 30,884,720 |
|
|
| Food & Staples Retailing—0.1% | | | | |
| Wal-Mart Stores, Inc. | 10,000 | | | 534,500 |
|
|
|
| Food Products—0.2% | | | | |
| Archer-Daniels-Midland Co. | 32,000 | | | 1,001,920 |
|
|
|
| Gas Utilities—0.2% | | | | |
| Atmos Energy Corp. | 32,000 | | | 940,800 |
|
|
|
| Health Care Providers & Services—9.4% | | | | |
| Aetna, Inc. | 124,000 | | | 3,930,800 |
| AmerisourceBergen Corp. | 149,000 | | | 3,884,430 |
| Cardinal Health, Inc. | 129,000 | | | 4,158,960 |
| Community Health Systems, Inc. (a) | 103,000 | | | 3,666,800 |
| Humana, Inc. (a) | 82,000 | | | 3,598,980 |
| LifePoint Hospitals, Inc. (a) | 103,000 | | | 3,348,530 |
| Lincare Holdings, Inc. (a) | 99,000 | | | 3,674,880 |
| McKesson Corp. | 69,000 | | | 4,312,500 |
| Medco Health Solutions, Inc. (a) | 75,000 | | | 4,793,250 |
| Omnicare, Inc. | 118,000 | | | 2,853,240 |
| Quest Diagnostics, Inc. | 61,000 | | | 3,683,180 |
| UnitedHealth Group, Inc. | 158,000 | | | 4,815,840 |
| Universal Health Services, Inc., Class B | 14,000 | | | 427,000 |
| WellPoint, Inc. (a) | 77,000 | | | 4,488,330 |
| |
|
|
| | | | | 51,636,720 |
|
|
| Household Durables—0.1% | | | | |
| Garmin Ltd. | 22,000 | | | 675,400 |
|
|
|
| Household Products—1.2% | | | | |
| Kimberly-Clark Corp. | 69,000 | | | 4,395,990 |
| The Procter & Gamble Co. | 40,000 | | | 2,425,200 |
| |
|
|
| | | | | 6,821,190 |
|
|
| IT Services—2.9% | | | | |
| Cognizant Technology Solutions Corp. (a) | 90,000 | | | 4,077,000 |
| Computer Sciences Corp. (a) | 72,000 | | | 4,142,160 |
| Hewitt Associates, Inc., Class A (a) | 87,000 | | | 3,676,620 |
| The Western Union Co. | 204,000 | | | 3,845,400 |
| |
|
|
| | | | | 15,741,180 |
|
|
| Independent Power Producers & Energy Traders—0.5% | | |
| The AES Corp. (a) | 96,000 | | | 1,277,760 |
| NRG Energy, Inc. (a) | 63,000 | | | 1,487,430 |
| |
|
|
| | | | | 2,765,190 |
|
|
| Industrial Conglomerates—0.4% | | | | |
| General Electric Co. | 144,000 | | | 2,178,720 |
|
|
|
| Insurance—2.1% | | | | |
| Chubb Corp. | 81,000 | | | 3,983,580 |
| The Travelers Cos., Inc. | 89,000 | | | 4,437,540 |
| UnumProvident Corp. | 163,000 | | | 3,181,760 |
| |
|
|
| | | | | 11,602,880 |
|
|
| Internet Software & Services—0.2% | | | | |
| Google, Inc., Class A (a) | 2,000 | | | 1,239,960 |
|
|
|
|
|
| Portfolio Abbreviations |
|
| To simplify the listings of portfolio holdings in the Schedules of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list: |
| | | | | | | |
| ADR | American Depositary Receipts | GBP | British Pound | MYR | Malaysian Ringgit | TBD | To be determined |
| AUD | Australian Dollar | GDR | Global Depositary Receipts | NZD | New Zealand Dollar | TRY | Turkish Lira |
| BRL | Brazilian Real | GO | General Obligation Bonds | PLN | Polish Zloty | USD | US Dollar |
| CAD | Canadian Dollar | HKD | Hong Kong Dollar | RB | Revenue Bonds | VRDN | Variable Rate Demand Notes |
| CHF | Swiss Frank | JPY | Japanese Yen | SGD | Singapore Dollar | ZAR | South African Rand |
| CNY | Chinese Yuan | KRW | South Korean Won | STRIPS | Separately Traded Registered | | |
| EUR | Euro | LIBOR | London Inter-Bank Offered Rate | | Interest and Principal Securities | | |
| | | | | | | | |
See Notes to Financial Statements.
17
| |
|
|
| BlackRock Series Fund, Inc. | |
| BlackRock Balanced Capital Portfolio | |
| Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | |
| Common Stocks | Shares | | Value |
|
|
|
| Machinery—0.9% | | | | |
| Joy Global, Inc. | 70,000 | | $ | 3,611,300 |
| Lincoln Electric Holdings, Inc. | 31,000 | | | 1,657,260 |
| |
|
|
| | | | | 5,268,560 |
|
|
| Metals & Mining—0.8% | | | | |
| Commercial Metals Co. | 62,000 | | | 970,300 |
| Walter Industries, Inc. | 48,000 | | | 3,614,880 |
| |
|
|
| | | | | 4,585,180 |
|
|
| Multiline Retail—2.5% | | | | |
| JCPenney Co., Inc. | 30,000 | | | 798,300 |
| Macy’s, Inc. | 238,000 | | | 3,988,880 |
| Nordstrom, Inc. (b) | 104,000 | | | 3,908,320 |
| Target Corp. | 103,000 | | | 4,982,110 |
| |
|
|
| | | | | 13,677,610 |
|
|
| Oil, Gas & Consumable Fuels—6.1% | | | | |
| Chevron Corp. | 22,000 | | | 1,693,780 |
| ConocoPhillips | 118,000 | | | 6,026,260 |
| El Paso Corp. | 101,000 | | | 992,830 |
| Exxon Mobil Corp. | 109,000 | | | 7,432,710 |
| Marathon Oil Corp. | 140,000 | | | 4,370,800 |
| Peabody Energy Corp. | 86,000 | | | 3,888,060 |
| Tesoro Corp. | 224,000 | | | 3,035,200 |
| Williams Cos., Inc. | 76,000 | | | 1,602,080 |
| XTO Energy, Inc. | 97,000 | | | 4,513,410 |
| |
|
|
| | | | | 33,555,130 |
|
|
| Paper & Forest Products—1.0% | | | | |
| International Paper Co. | 154,000 | | | 4,124,120 |
| MeadWestvaco Corp. | 55,000 | | | 1,574,650 |
| |
|
|
| | | | | 5,698,770 |
|
|
| Personal Products—1.3% | | | | |
| The Estée Lauder Cos., Inc., Class A | 77,000 | | | 3,723,720 |
| Herbalife Ltd. | 87,000 | | | 3,529,590 |
| |
|
|
| | | | | 7,253,310 |
|
|
| Pharmaceuticals—3.9% | | | | |
| Endo Pharmaceuticals Holdings, Inc. (a) | 144,000 | | | 2,953,440 |
| Forest Laboratories, Inc. (a) | 124,000 | | | 3,981,640 |
| Johnson & Johnson | 146,000 | | | 9,403,860 |
| Pfizer, Inc. | 74,000 | | | 1,346,060 |
| Watson Pharmaceuticals, Inc. (a) | 96,000 | | | 3,802,560 |
| |
|
|
| | | | | 21,487,560 |
|
|
| Professional Services—0.6% | | | | |
| Manpower, Inc. | 62,000 | | | 3,383,960 |
|
|
|
| Semiconductors & Semiconductor Equipment—0.8% | | |
| Texas Instruments, Inc. | 175,000 | | | 4,560,500 |
|
|
|
| Software—5.1% | | | | |
| BMC Software, Inc. (a) | 97,000 | | | 3,889,700 |
| CA, Inc. | 171,000 | | | 3,840,660 |
| Compuware Corp. (a) | 429,000 | | | 3,101,670 |
| Microsoft Corp. | 385,000 | | | 11,738,650 |
| Oracle Corp. | 230,000 | | | 5,644,200 |
| |
|
|
| | | | | 28,214,880 |
|
|
| Specialty Retail—3.6% | | | | |
| Advance Auto Parts, Inc. | 92,000 | | | 3,724,160 |
| The Gap, Inc. | 194,000 | | | 4,064,300 |
| Limited Brands, Inc. | 204,000 | | | 3,924,960 |
| Ross Stores, Inc. | 89,000 | | | 3,801,190 |
| TJX Cos., Inc. | 114,000 | | | 4,166,700 |
| |
|
|
| | | | | 19,681,310 |
|
|
| | | | | | |
| Tobacco—2.0% | | | | | |
| Lorillard, Inc. | | 51,000 | | | 4,091,730 |
| Philip Morris International, Inc. | | 137,000 | | | 6,602,030 |
| | | |
|
|
| | | | | | | 10,693,760 |
|
|
| Total Common Stocks—66.1% | | | | | 363,829,130 |
|
|
|
| |
|
| Fixed Income Securities | | | | | |
|
|
| | | | Par | | | |
| Asset-Backed Securities | | (000) | | | |
|
|
|
|
| ACE Securities Corp., Series 2005-ASP1, | | | | | |
| Class M1, 0.91%, 9/25/35 (c) | USD | 950 | | | 199,500 |
| American Express Issuance Trust, Series | | | | | |
| 2008-2, Class A, 4.02%, 1/18/11 | | 1,660 | | | 1,667,090 |
| Bank of America Auto Trust, Series 2009-2A, | | | | | |
| Class A3, 2.13%, 9/15/13 (d) | | 1,570 | | | 1,585,026 |
| Bear Stearns Asset Backed Securities Trust (c): | | | | | |
| Series 2005-4, Class A, 0.56%, | | | | | |
| 1/25/36 | | | 112 | | | 106,479 |
| Series 2005-HE10, Class A2, 0.52%, | | | | | |
| 11/25/35 | | | 117 | | | 115,516 |
| Series 2005-SD1, Class 1A2, 0.53%, | | | | | |
| 7/25/27 | | | 355 | | | 337,753 |
| Carrington Mortgage Loan Trust, | | | | | |
| Series 2006-NC5, Class A1, 0.28%, | | | | | |
| 1/25/37 (c) | | 580 | | | 552,063 |
| Chase Issuance Trust, Series 2009-A7, | | | | | |
| Class A7, 0.68%, 9/17/12 (c) | | 1,885 | | | 1,887,250 |
| Countrywide Asset-Backed Certificates, | | | | | |
| Series 2004-13, Class AF4, 4.58%, | | | | | |
| 1/25/33 (c) | | 584 | | | 519,779 |
| Globaldrive BV, Series 2008-2, Class A, | | | | | |
| 4.00%, 10/20/16 | | EUR | 443 | | | 639,374 |
| IndyMac Residential Asset Backed Trust, | | | | | |
| Series 2006-E, Class 2A1, 0.29%, | | | | | |
| 4/25/37 (c) | USD | 70 | | | 69,535 |
| Irwin Home Equity Corp., Series 2005-C, | | | | | |
| Class 1A1, 0.49%, 4/25/30 (c) | | 49 | | | 48,055 |
| Lehman XS Trust, Series 2005-5N, Class 3A2, | | | | | |
| 0.59%, 11/25/35 (c) | | 604 | | | 207,032 |
| Long Beach Mortgage Loan Trust, | | | | | |
| Series 2006-11, Class 2A1, 0.29%, | | | | | |
| 12/25/36 (c) | | 170 | | | 134,434 |
| Morgan Stanley ABS Capital I, | | | | | |
| Series 2005-HE,1 Class A2MZ, 0.53%, | | | | | |
| 12/25/34 (c) | | 78 | | | 63,695 |
| New Century Home Equity Loan Trust, | | | | | |
| Series 2005-2, Class A2MZ, 0.49%, | | | | | |
| 6/25/35 (c) | | 231 | | | 180,615 |
| RAAC, Series 2005-SP2, Class 2A, 0.53%, | | | | | |
| 6/25/44 (c) | | 793 | | | 399,727 |
| Residential Asset Mortgage Products, Inc., | | | | | |
| Series 2005-RS3, Class AI2, 0.40%, | | | | | |
| 3/25/35 (c) | | 10 | | | 10,013 |
| SLM Student Loan Trust (c): | | | | | |
| Series 2005-4, Class A2, 0.36%, | | | | | |
| 4/26/21 | | | 470 | | | 466,146 |
| Series 2008-5, Class A2, 1.38%, | | | | | |
| 10/25/16 | | | 1,710 | | | 1,736,180 |
| Series 2008-5, Class A3, 1.58%, | | | | | |
| 1/25/18 | | | 430 | | | 442,057 |
| Series 2008-5, Class A4, 1.98%, | | | | | |
| 7/25/23 | | | 1,160 | | | 1,212,303 |
See Notes to Financial Statements.
18
| |
|
|
| BlackRock Series Fund, Inc. | |
| BlackRock Balanced Capital Portfolio | |
| Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | | | |
| | | | Par | | | |
| Asset-Backed Securities | | (000) | | Value |
|
|
|
|
|
| Soundview Home Equity Loan Trust, | | | | | |
| Series 2005-OPT3, Class A4, 0.53%, | | | | | |
| 11/25/35 (c) | USD | 1,533 | | $ | 1,275,073 |
| Structured Asset Investment Loan Trust (c): | | | | | |
| Series 2003-BC6, Class M1, 1.36%, | | | | | |
| 7/25/33 | | | 1,233 | | | 806,516 |
| Series 2003-BC7, Class M1, 1.36%, | | | | | |
| 7/25/33 | | | 1,028 | | | 762,749 |
| Series 2004-8, Class M4, 1.23%, | | | | | |
| 9/25/34 | | | 127 | | | 17,165 |
| Structured Asset Securities Corp., | | | | | |
| Series 2004-23XS, Class 2A1, 0.53%, | | | | | |
| 1/25/35 (c) | | 277 | | | 168,981 |
|
|
|
|
|
| Total Asset-Backed Securities—2.8% | | | | | 15,610,106 |
|
|
|
| |
|
| Corporate Bonds | | | | | |
|
|
| Aerospace & Defense—0.1% | | | | | |
| L-3 Communications Corp.: | | | | | |
| 5.88%, 1/15/15 | | | 270 | | | 269,663 |
| Series B, 6.38%, 10/15/15 | | 12 | | | 12,045 |
| | | |
|
|
| | | | | | | 281,708 |
|
|
| Air Freight & Logistics—0.0% | | | | | |
| United Parcel Service, Inc., 6.20%, 1/15/38 | | 30 | | | 33,259 |
|
|
|
|
|
| Airlines—0.0% | | | | | |
| American Airlines, Inc., Series 2003-1, | | | | | |
| 3.86%, 1/09/12 | | | 153 | | | 146,745 |
|
|
|
|
|
| Beverages—0.4% | | | | | |
| Anheuser-Busch InBev Worldwide, Inc., | | | | | |
| 3.00%, 10/15/12 (d) | | 1,925 | | | 1,934,019 |
|
|
|
|
|
| Building Products—0.0% | | | | | |
| Masco Corp., 7.13%, 8/15/13 | | 140 | | | 145,722 |
|
|
|
|
|
| Capital Markets—1.0% | | | | | |
| The Bear Stearns Cos., Inc., 0.68%, | | | | | |
| 7/19/10 (c) | | 350 | | | 350,600 |
| CDP Financial, Inc., 3.00%, 11/25/14 (d) | | 1,095 | | | 1,068,512 |
| The Goldman Sachs Group, Inc., | | | | | |
| 5.25%, 10/15/13 | | | 580 | | | 615,968 |
| Lehman Brothers Holdings, Inc., 6.75%, | | | | | |
| 12/28/17 (a)(e) | | 490 | | | 147 |
| Morgan Stanley: | | | | | |
| 0.50%, 1/09/12 (c) | | 2,340 | | | 2,313,507 |
| 4.20%, 11/20/14 | | | 880 | | | 880,614 |
| 5.63%, 9/23/19 | | | 345 | | | 347,522 |
| | | |
|
|
| | | | | | | 5,576,870 |
|
|
| Chemicals—0.1% | | | | | |
| Huntsman International LLC: | | | | | |
| 7.88%, 11/15/14 | | | 295 | | | 288,362 |
| 7.38%, 1/01/15 | | | 85 | | | 81,600 |
| NOVA Chemicals Corp.: | | | | | |
| 6.50%, 1/15/12 | | | 70 | | | 70,350 |
| 3.65%, 11/15/13 (c) | | 160 | | | 146,400 |
| | | |
|
|
| | | | | | | 586,712 |
|
|
| Commercial Banks—0.4% | | | | | |
| Corporacion Andina de Fomento, | | | | | |
| 6.88%, 3/15/12 | | | 435 | | | 466,189 |
| Eksportfinans ASA: | | | | | |
| 3.00%, 11/17/14 | | | 835 | | | 822,220 |
| 5.50%, 5/25/16 | | | 575 | | | 619,499 |
| Royal Bank of Scotland Group Plc, 2.63%, | | | | | |
| 5/11/12 (d) | | 175 | | | 177,505 |
| | | |
|
|
| | | | | | | 2,085,413 |
|
|
| | | | | |
| Communications Equipment—0.1% | | | | |
| Cisco Systems, Inc., 4.45%, 1/15/20 | | 750 | | | 735,738 |
|
| Consumer Finance—0.2% | | | | |
| SLM Corp.: | | | | |
| 5.40%, 10/25/11 | | 475 | | | 474,581 |
| 5.13%, 8/27/12 | | 825 | | | 773,416 |
| | | |
|
|
| | | | | 1,247,997 |
|
|
| Containers & Packaging—0.1% | | | | |
| Ball Corp.: | | | | |
| 7.13%, 9/01/16 | | 155 | | | 158,875 |
| 7.38%, 9/01/19 | | 155 | | | 159,262 |
| | | |
|
|
| | | | | 318,137 |
|
|
| Diversified Financial Services—0.7% | | | | |
| Bank of America Corp., 6.00%, 9/01/17 | | 110 | | | 114,172 |
| FCE Bank Plc, 7.88%, 2/15/11 | GBP | 300 | | | 482,136 |
| General Electric Capital Corp.: | | | | |
| 5.00%, 11/15/11 | USD | 1,450 | | | 1,531,571 |
| 0.40%, 4/10/12 (c) | | 590 | | | 577,150 |
| JPMorgan Chase Bank NA: | | | | |
| 6.00%, 7/05/17 | | 570 | | | 604,034 |
| Series BKNT, 6.00%, 10/01/17 | | 530 | | | 567,457 |
| | | |
|
|
| | | | | 3,876,520 |
|
|
| Diversified Telecommunication Services—0.6% | | | |
| AT&T, Inc., 6.50%, 9/01/37 | | 1,000 | | | 1,036,500 |
| GTE Corp., 6.84%, 4/15/18 | | 250 | | | 273,864 |
| Qwest Communications International, Inc.: | | | | |
| 7.50%, 2/15/14 | | 70 | | | 70,263 |
| Series B, 7.50%, 2/15/14 | | 30 | | | 30,113 |
| Qwest Corp.: | | | | |
| 8.88%, 3/15/12 | | 70 | | | 75,250 |
| 8.38%, 5/01/16 | | 225 | | | 241,313 |
| Telefonica Emisiones SAU, 4.95%, | | | | |
| 1/15/15 | | 625 | | | 668,088 |
| Verizon Communications, Inc., 8.75%, | | | | |
| 11/01/18 | | 700 | | | 874,313 |
| | | |
|
|
| | | | | 3,269,704 |
|
|
| Electric Utilities—0.1% | | | | |
| Florida Power & Light Co., 5.95%, | | | | |
| 2/01/38 | | 325 | | | 341,413 |
| Florida Power Corp., 6.40%, 6/15/38 | | 175 | | | 191,064 |
| | | |
|
|
| | | | | 532,477 |
|
|
| Food Products—0.1% | | | | |
| Kraft Foods, Inc., 6.13%, 8/23/18 | | 250 | | | 263,587 |
|
|
|
|
|
| Hotels, Restaurants & Leisure—0.1% | | | | |
| American Real Estate Partners LP, | | | | |
| 7.13%, 2/15/13 | | 45 | | | 45,900 |
| Wendy’s International, Inc., 6.25%, | | | | |
| 11/15/11 | | 360 | | | 372,600 |
| | | |
|
|
| | | | | 418,500 |
|
|
| Household Durables—0.5% | | | | |
| Centex Corp., 5.13%, 10/01/13 | | 647 | | | 658,322 |
| D.R. Horton, Inc.: | | | | |
| 6.88%, 5/01/13 | | 525 | | | 536,813 |
| 6.13%, 1/15/14 | | 630 | | | 628,425 |
| 5.63%, 9/15/14 | | 150 | | | 145,125 |
| KB Home, 6.38%, 8/15/11 | | 93 | | | 93,000 |
| Lennar Corp. Series B, 5.60%, 5/31/15 | | 240 | | | 219,900 |
| Pulte Homes, Inc., 5.20%, 2/15/15 | | 180 | | | 167,850 |
| Ryland Group, Inc., 5.38%, 5/15/12 | | 165 | | | 167,475 |
| Toll Brothers Finance Corp., 4.95%, | | | | |
| 3/15/14 | | 150 | | | 146,117 |
| | | |
|
|
| | | | | 2,763,027 |
|
|
See Notes to Financial Statements.
19
| |
|
|
| BlackRock Series Fund, Inc. | |
| BlackRock Balanced Capital Portfolio | |
| Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | | | | |
| | | | Par | | | |
| Corporate Bonds | | (000) | | Value |
|
|
|
|
|
|
| IT Services—0.2% | | | | | |
| First Data Corp., 9.88%, 9/24/15 | USD | 380 | | | $ | 354,350 |
| Sabre Holdings Corp., 8.35%, 3/15/16 | | 680 | | | | 619,650 |
| | | | |
|
|
| | | | | | | 974,000 |
|
|
| Independent Power Producers & Energy Traders—0.1% | | | |
| TXU Corp., 5.55%, 11/15/14 | | 800 | | | | 567,358 |
| Texas Competitive Electric Holdings Co LLC, | | | | | |
| Series B, 10.25%, 11/01/15 | | 299 | | | | 242,190 |
| | | | |
|
|
| | | | | | | 809,548 |
|
|
| Insurance—0.6% | | | | | |
| Hartford Life Global Funding Trusts, 0.43%, | | | | | |
| 6/16/14 (c) | | 1,050 | | | | 952,605 |
| Metropolitan Life Global Funding I (d): | | | | | |
| 2.88%, 9/17/12 | | | 675 | | | | 680,297 |
| 5.13%, 4/10/13 | | | 925 | | | | 979,936 |
| 5.13%, 6/10/14 | | | 375 | | | | 396,861 |
| Teachers Insurance & Annuity Association | | | | | |
| of America, 6.85%, 12/16/39 (d) | | 280 | | | | 289,447 |
| | | | |
|
|
| | | | | | | 3,299,146 |
|
|
| Internet & Catalog Retail—0.1% | | | | | |
| Expedia, Inc., 7.46%, 8/15/18 | | 380 | | | | 414,675 |
|
|
|
|
|
|
| Media—0.8% | | | | | |
| Clear Channel Worldwide Holdings, Inc., | | | | | |
| 9.25%, 12/15/17 (d) | | 554 | | | | 569,510 |
| Comcast Corp.: | | | | | |
| 5.85%, 1/15/10 | | | 505 | | | | 505,561 |
| 6.45%, 3/15/37 | | | 460 | | | | 474,292 |
| 6.95%, 8/15/37 | | | 90 | | | | 98,090 |
| Cox Communications, Inc.: | | | | | |
| 7.13%, 10/01/12 | | | 365 | | | | 405,455 |
| 8.38%, 3/01/39 (d) | | 375 | | | | 466,942 |
| News America, Inc.: | | | | | |
| 6.40%, 12/15/35 | | | 470 | | | | 482,614 |
| 6.75%, 1/09/38 | | | 830 | | | | 860,974 |
| Time Warner Cable, Inc., 5.85%, 5/01/17 | | 310 | | | | 325,709 |
| | | | |
|
|
| | | | | | | 4,189,147 |
|
|
| Multi-Utilities—0.0% | | | | | |
| Xcel Energy, Inc., 6.50%, 7/01/36 | | 215 | | | | 226,488 |
|
|
|
|
|
|
| Oil, Gas & Consumable Fuels—1.1% | | | | | |
| BP Capital Markets Plc, 3.13%, 3/10/12 | | 765 | | | | 787,987 |
| Cenovus Energy, Inc., 6.75%, | | | | | |
| 11/15/39 (d) | | 480 | | | | 523,226 |
| ConocoPhillips, 4.60%, 1/15/15 | | 1,010 | | | | 1,072,610 |
| Enterprise Products Operating LLC, | | | | | |
| 6.13%, 10/15/39 | | | 250 | | | | 241,518 |
| Kinder Morgan Finance Co. ULC, 5.35%, | | | | | |
| 1/05/11 | | | 360 | | | | 363,600 |
| Kinder Morgan, Inc., 6.50%, 9/01/12 | | 115 | | | | 119,600 |
| MidAmerican Energy Holdings Co., | | | | | |
| 5.95%, 5/15/37 | | | 500 | | | | 500,561 |
| Motiva Enterprises LLC, 5.20%, | | | | | |
| 9/15/12 (d) | | 215 | | | | 220,921 |
| Petrobras International Finance Co.: | | | | | |
| 5.88%, 3/01/18 | | | 40 | | | | 40,336 |
| 5.75%, 1/20/20 | | | 965 | | | | 981,682 |
| Sabine Pass LNG LP, 7.50%, 11/30/16 | | 345 | | | | 287,213 |
| Shell International Finance BV, 4.00%, | | | | | |
| 3/21/14 | | | 875 | | | | 913,090 |
| XTO Energy, Inc., 6.75%, 8/01/37 | | 155 | | | | 182,573 |
| | | | |
|
|
| | | | | | | 6,234,917 |
|
|
| Paper & Forest Products—0.1% | | | | | | |
| International Paper Co., 7.30%, 11/15/39 | | 350 | | | | 371,301 |
|
| Pharmaceuticals—0.8% | | | | | |
| Eli Lilly & Co.: | | | | | |
| 3.55%, 3/06/12 | | | 365 | | | | 379,850 |
| 7.13%, 6/01/25 | | | 10 | | | | 11,638 |
| GlaxoSmithKline Capital, Inc., 4.85%, | | | | | |
| 5/15/13 | | | 500 | | | | 536,724 |
| Merck & Co., Inc., 4.00%, 6/30/15 | | 830 | | | | 865,560 |
| Pfizer, Inc., 5.35%, 3/15/15 | | 1,240 | | | | 1,355,202 |
| Roche Holdings Inc. (d): | | | | | |
| 2.26%, 2/25/11 (c) | | 180 | | | | 183,795 |
| 5.00%, 3/01/14 | | | 775 | | | | 829,124 |
| Wyeth, 6.00%, 2/15/36 | | 250 | | | | 261,153 |
| | | | |
|
|
| | | | | | | 4,423,046 |
|
|
| Real Estate Investment Trusts (REITs)—0.0% | | | | |
| iStar Financial, Inc., 5.65%, 9/15/11 | | 160 | | | | 117,600 |
|
|
|
|
|
|
| Road & Rail—0.0% | | | | | |
| The Hertz Corp., 8.88%, 1/01/14 | | 80 | | | | 81,800 |
|
|
|
|
|
|
| Software—0.1% | | | | | |
| Oracle Corp., 5.75%, 4/15/18 | | 340 | | | | 367,603 |
|
|
|
|
|
|
| Thrifts & Mortgage Finance—0.1% | | | | | |
| Achmea Hypotheekbank NV, 3.20%, | | | | | |
| 11/03/14 (d) | | 735 | | | | 733,577 |
|
|
|
|
|
|
| Wireless Telecommunication Services—0.6% | | | | |
| CellCo Partnership: | | | | | |
| 3.75%, 5/20/11 | | | 1,815 | | | | 1,871,566 |
| 8.50%, 11/15/18 | | | 300 | | | | 372,115 |
| Vodafone Group Plc, 4.15%, 6/10/14 | | 1,065 | | | | 1,095,655 |
| | | | |
|
|
| | | | | | | 3,339,336 |
|
|
| Total Corporate Bonds—9.1% | | | | | 49,798,319 |
|
|
|
| |
|
| Foreign Agency Obligations | | | | | |
|
|
| Bundesrepublik Deutschland Series 08, | | | | | |
| 4.75%, 7/04/40 | | EUR | 2,015 | | | | 3,202,445 |
| Canadian Government Bond, 3.75%, | | | | | |
| 6/01/19 | | CAD | 2,165 | | | | 2,092,857 |
| Japan Finance Corp., 2.00%, 6/24/11 | USD | 520 | | | | 526,271 |
| Kreditanstalt fuer Wiederaufbau, 2.75%, | | | | | |
| 10/21/14 | | | 1,095 | | | | 1,082,694 |
| Landwirtschaftliche Rentenbank: | | | | | |
| 4.13%, 7/15/13 | | | 70 | | | | 73,803 |
| Series E, 5.25%, 7/02/12 | | 235 | | | | 253,900 |
| Series E, 4.38%, 1/15/13 | | 150 | | | | 158,262 |
| Series E, 4.00%, 2/02/15 | | 135 | | | | 140,180 |
| Mexico Government International Bond, | | | | | |
| 6.38%, 1/16/13 | | | 157 | | | | 173,485 |
| Province of Ontario, Canada: | | | | | |
| 4.10%, 6/16/14 | | | 740 | | | | 772,275 |
| Series 1, 1.88%, 11/19/12 | | 665 | | | | 660,630 |
| Qatar Government International Bond, | | | | | |
| 4.00%, 1/20/15 (d) | | 420 | | | | 421,050 |
|
|
|
|
|
|
| Total Foreign Agency Obligations—1.7% | | | | 9,557,852 |
|
|
|
See Notes to Financial Statements.
20
| |
|
|
| BlackRock Series Fund, Inc. | |
| BlackRock Balanced Capital Portfolio | |
| Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | | | |
| | | | Par | | | |
| Non-Agency Mortgage-Backed Securities | (000) | | Value |
|
|
|
|
|
| Collateralized Mortgage Obligations—3.5% | | | | |
| Bear Stearns Adjustable Rate Mortgage Trust, | | | | |
| Series 2005-4 Class 3A1, 5.36%, | | | | | |
| 8/25/35 (c) | USD | 4,475 | | $ | 3,821,160 |
| Countrywide Alternative Loan Trust, Series | | | | | |
| 2006-0A21, Class A1, 0.42%, | | | | | |
| 3/20/47 (c) | | 639 | | | 342,631 |
| Countrywide Home Loan Mortgage | | | | | |
| Pass-Through Trust: | | | | | |
| Series 2003-56, Class 4A1, 4.89%, | | | | | |
| 12/25/33 (c) | | 1,360 | | | 1,288,390 |
| Series 2006-0A5, Class 2A1, 0.43%, | | | | | |
| 4/25/46 (c) | | 266 | | | 128,845 |
| Series 2006-0A5, Class 3A1, 0.43%, | | | | | |
| 4/25/46 (c) | | 496 | | | 229,020 |
| Series 2007-16, Class A1, 6.50%, | | | | | |
| 10/25/37 | | | 776 | | | 629,235 |
| Series 2007-J3, Class A10, 6.00%, | | | | | |
| 7/25/37 | | | 1,242 | | | 910,655 |
| First Horizon Asset Securities, Inc., | | | | | |
| Series 2005-AR3, Class 3A1, 5.50%, | | | | | |
| 8/25/35 (c) | | 245 | | | 210,859 |
| Impac Secured Assets CMN Owner Trust, | | | | | |
| Series 2004-3, Class 1A4, 0.63%, | | | | | |
| 11/25/34 (c) | | 145 | | | 129,689 |
| JPMorgan Mortgage Trust: | | | | | |
| Series 2006-S2, Class 2A2, 5.88%, | | | | | |
| 7/25/36 | | | 112 | | | 95,648 |
| Series 2007-S1, Class 1A2, 5.50%, | | | | | |
| 3/25/22 | | | 114 | | | 95,209 |
| Pendeford Master Issuer Plc, Series 2007-1A, | | | | |
| Class 3A, 0.37%, 2/12/16 (c)(d) | | 1,165 | | | 1,160,864 |
| Residential Accredit Loans, Inc., | | | | | |
| Series 2006-Q02, Class A1, 0.45%, | | | | | |
| 2/25/46 (c) | | 377 | | | 154,513 |
| Station Place Securitization Trust, | | | | | |
| Series 2009-1, Class A, 1.74%, | | | | | |
| 12/29/10 (c)(d) | | 900 | | | 895,500 |
| Structured Adjustable Rate Mortgage | | | | | |
| Loan Trust, Series 2007-3, Class 2A1, | | | | | |
| 5.71%, 4/25/37 (c) | | 1,712 | | | 1,098,580 |
| Structured Asset Securities Corp., | | | | | |
| Series 2005-GEL2, Class A, 0.51%, | | | | | |
| 4/25/35 (c) | | 91 | | | 77,942 |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2006-AR18, Class 1A1, 5.28%, | | | | | |
| 1/25/37 (c) | | 969 | | | 712,303 |
| Wells Fargo Mortgage Backed | | | | | |
| Securities Trust (c): | | | | | |
| Series 2005-AR15, Class 2A1, 5.11%, | | | | |
| 9/25/35 | | | 2,250 | | | 2,030,408 |
| Series 2006-AR2, Class 2A5, 5.02%, | | | | | |
| 3/25/36 | | | 1,945 | | | 1,565,909 |
| Series 2006-AR12, Class 2A1, 6.10%, | | | | |
| 9/25/36 | | | 431 | | | 360,375 |
| Series 2006-AR15, Class A1, 5.66%, | | | | | |
| 10/25/36 | | | 1,902 | | | 1,520,407 |
| Series 2006-AR17, Class A1, 5.33%, | | | | | |
| 10/25/36 | | | 649 | | | 481,915 |
| Series 2006-AR18, Class 2A1, 5.72%, | | | | |
| 11/25/36 | | | 1,743 | | | 1,325,907 |
| | | |
|
|
| | | | | | | 19,265,964 |
|
|
| | | | | | |
| Commercial Mortgage-Backed Securities—3.8% | | | | |
| Bank of America Commercial Mortgage, Inc., | | | | |
| Series 2003-2, Class A3, 4.87%, | | | | | |
| 3/11/41 (c) | | 1,890 | | | 1,959,772 |
| CS First Boston Mortgage Securities Corp., | | | | | |
| Series 2002-CP5, Class A1, 4.11%, | | | | | |
| 12/15/35 | | | 614 | | | 623,854 |
| Citigroup Commercial Mortgage Trust: | | | | | |
| Series 2006-C5, Class A4, 5.43%, | | | | | |
| 10/15/49 | | | 185 | | | 171,797 |
| Series 2008-C7, Class A4, 6.10%, | | | | | |
| 12/10/49 (c) | | 930 | | | 835,087 |
| Commercial Mortgage Pass-Through | | | | | |
| Certificates Series 2004-LB3A Class A3, | | | | | |
| 5.09%, 7/10/37 (c) | | 620 | | | 632,238 |
| GMAC Commercial Mortgage Securities, Inc. | | | | |
| Series 2004-C3 Class AAB, 4.70%, | | | | | |
| 12/10/41 | | | 2,300 | | | 2,322,607 |
| Greenwich Capital Commercial Funding Corp., | | | | |
| Series 2004-GG1: | | | | | |
| Class A4, 4.76%, 6/10/36 | | 1,350 | | | 1,355,759 |
| Class A5, 4.88%, 6/10/36 | | 1,840 | | | 1,862,875 |
| JPMorgan Chase Commercial Mortgage | | | | | |
| Securities Corp.: | | | | | |
| Series 2001-CIB2, Class A3, 6.43%, | | | | | |
| 4/15/35 | | | 1,845 | | | 1,921,559 |
| Series 2004-CB8, Class A1A, 4.16%, | | | | | |
| 1/12/39 (d) | | 608 | | | 580,950 |
| Series 2006-LDP8, Class A4, 5.40%, | | | | | |
| 5/15/45 | | | 190 | | | 176,505 |
| LB-UBS Commercial Mortgage Trust: | | | | | |
| Series 2004-C7, Class A1A, 4.48%, | | | | | |
| 10/15/29 | | | 1,427 | | | 1,363,878 |
| Series 2007-C1, Class A4, 5.42%, | | | | | |
| 2/15/40 | | | 745 | | | 616,957 |
| Series 2007-C2, Class A3, 5.43%, | | | | | |
| 2/15/40 | | | 1,225 | | | 1,058,142 |
| Morgan Stanley Capital I: | | | | | |
| Series 2003-IQ4, Class A2, 4.07%, | | | | | |
| 5/15/40 | | | 1,510 | | | 1,472,878 |
| Series 2006-IQ12, Class A4, 5.33%, | | | | | |
| 12/15/43 | | | 740 | | | 686,685 |
| Series 2007-HQ12, Class A2, 5.63%, | | | | | |
| 4/12/49 (c) | | 235 | | | 237,338 |
| Wachovia Bank Commercial Mortgage Trust: | | | | |
| Series 2005-C20, Class A6A, 5.11%, | | | | | |
| 7/15/42 (c) | | 1,675 | | | 1,675,020 |
| Series 2005-C21, Class A3, 5.21%, | | | | | |
| 10/15/44 (c) | | 590 | | | 598,013 |
| Series 2006-C28, Class A4, 5.57%, | | | | | |
| 10/15/48 | | | 680 | | | 629,430 |
| | | |
|
|
| | | | | | | 20,781,344 |
|
|
| Total Non-Agency Mortgage-Backed | | | | | |
| Securities—7.3% | | | | | 40,047,308 |
|
|
|
See Notes to Financial Statements.
21
| |
|
|
| BlackRock Series Fund, Inc. | |
| BlackRock Balanced Capital Portfolio | |
| Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | | |
| | | Par | | | |
| Taxable Municipal Bonds | | (000) | | Value |
|
|
|
|
|
| The Board of Trustees of The Leland Stanford | | | | |
| Junior University, 4.25%, 5/01/16 | USD | 275 | | $ | 282,815 |
| Chicago Metropolitan Water Reclamation | | | | | |
| District-Greater Chicago Illinois, GO, | | | | | |
| Build America Bonds, 5.72%, 12/01/38 | | 280 | | | 280,773 |
| Dallas Area Rapid Transit, RB, Build | | | | | |
| America Bonds, 6.00%, 12/01/44 | | 150 | | | 154,024 |
| Metropolitan Transportation Authority, RB, | | | | | |
| Build America Bonds, 7.34%, 11/15/39 | | 395 | | | 441,077 |
| New York State Dormitory Authority, RB, Build | | | | |
| America Bonds, 5.63%, 3/15/39 | | 300 | | | 286,323 |
| Port Authority of New York & New Jersey, RB, | | | | |
| Consolidated, 159th Series, 6.04%, | | | | | |
| 12/01/29 | | 230 | | | 228,668 |
| State of California, GO: | | | | | |
| Build America Bonds, 7.30%, | | | | | |
| 10/01/39 | | 410 | | | 387,483 |
| Various Purpose, Series 3, 5.45%, | | | | | |
| 4/01/15 | | 1,450 | | | 1,458,468 |
| State of Texas, GO, Build America Bonds, | | | | | |
| 5.52%, 4/01/39 | | 745 | | | 726,666 |
|
|
|
|
|
| Total Taxable Municipal Bonds—0.8% | | | | 4,246,297 |
|
|
|
| |
|
| U.S. Government Sponsored Agency Securities | | | | |
|
|
| Agency Obligations—1.9% | | | | | |
| Fannie Mae: | | | | | |
| 2.63%, 11/20/14 | | 1,155 | | | 1,146,044 |
| 5.25%, 8/01/12 (f) | | 1,050 | | | 1,120,487 |
| Federal Home Loan Bank of Chicago | | | | | |
| 5.63%, 6/13/16 (f) | | 450 | | | 453,688 |
| Freddie Mac: | | | | | |
| 1.13%, 12/15/11 | | 3,045 | | | 3,035,539 |
| 1.75%, 6/15/12 (f) | | 700 | | | 703,100 |
| 5.50%, 8/23/17 (f) | | 2,575 | | | 2,873,963 |
| Tennessee Valley Authority, 5.25%, | | | | | |
| 9/15/39 | | 975 | | | 966,084 |
| | | |
|
|
| | | | | | 10,298,905 |
|
|
| Collateralized Mortgage Obligations—0.6% | | | | |
| Freddie Mac: | | | | | |
| Series 3068, Class VA, 5.50%, | | | | | |
| 10/15/16 | | 707 | | | 744,956 |
| Series 3087, Class VA, 5.50%, | | | | | |
| 3/15/15 | | 1,874 | | | 1,973,559 |
| Series 3162, Class OA, 6.00%, | | | | | |
| 10/15/26 | | 420 | | | 431,587 |
| | | |
|
|
| | | | | | 3,150,102 |
|
|
| Federal Deposit Insurance Corporation Guaranteed—1.7% | |
| Citibank NA, 1.75%, 12/28/12 | | 1,265 | | | 1,253,871 |
| Citigroup Funding, Inc.: | | | | | |
| 2.13%, 7/12/12 | | 840 | | | 846,486 |
| 1.88%, 10/22/12 | | 1,600 | | | 1,593,955 |
| General Electric Capital Corp.: | | | | | |
| 2.25%, 3/12/12 | | 1,000 | | | 1,014,490 |
| 2.00%, 9/28/12 | | 1,000 | | | 1,001,294 |
| 2.13%, 12/21/12 | | 2,205 | | | 2,207,044 |
| 2.63%, 12/28/12 | | 1,400 | | | 1,425,778 |
| | | |
|
|
| | | | | | 9,342,918 |
|
|
| Interest Only Collateralized Mortgage Obligations—0.0% | |
| Ginnie Mae Trust Series 2009-26 Class SC | | | | | |
| 6.17%, 1/16/38 | | 1,527 | | | 193,412 |
|
|
|
|
|
| | | | | | |
| Mortgage-Backed Securities—22.3% | | | | |
| Fannie Mae Mortgage-Backed Securities: | | | | |
| 4.00%, 12/01/14—1/01/40 (g) | | 3,300 | | | 3,251,875 |
| 4.50%, 1/15/25—1/15/40 (g) | | 26,726 | | | 26,734,004 |
| 4.84%, 8/01/38 (c) | | 1,152 | | | 1,210,716 |
| 5.00%, 1/01/23—1/15/40 (g) | | 17,960 | | | 18,489,995 |
| 5.50%, 1/15/25—1/15/40 (g) | | 27,600 | | | 28,976,968 |
| 6.00%, 12/01/13—1/15/40 (g) | | 10,447 | | | 11,140,286 |
| 6.50%, 1/15/40 (g) | | 2,900 | | | 3,105,720 |
| Freddie Mac Mortgage-Backed Securities: | | | | |
| 5.00%, 2/01/22—4/01/22 | | | 962 | | | 1,009,159 |
| 5.50%, 12/01/13—1/15/40 (g) | | 4,125 | | | 4,326,493 |
| 6.00%, 1/01/34—1/15/40 (g) | | 17,656 | | | 18,742,360 |
| Ginnie Mae Mortgage-Backed Securities: | | | | |
| 5.00%, 1/15/40 (g) | | 3,900 | | | 4,010,296 |
| 6.50%, 12/15/39—1/15/40 (g) | | 1,800 | | | 1,913,625 |
| 7.50%, 3/15/32 | | | 12 | | | 13,456 |
| | | |
|
|
| | | | | | 122,924,953 |
|
|
| Total U.S. Government Sponsored | | | | |
| Agency Securities—26.5% | | | | 145,910,290 |
|
|
|
| |
|
| U.S. Treasury Obligations | | | | |
|
|
| U.S. Treasury Bonds: | | | | |
| 7.25%, 5/15/16 | | | 880 | | | 1,089,344 |
| 8.13%, 8/15/19 (h) | | 4,330 | | | 5,827,912 |
| 8.13%, 8/15/21 (h) | | 2,490 | | | 3,415,189 |
| 8.00%, 11/15/21 (h) | | 1,400 | | | 1,906,407 |
| 7.13%, 2/15/23 (h) | | 650 | | | 833,625 |
| U.S. Treasury Notes: | | | | |
| 1.13%, 12/15/12 | | | 5 | | | 4,920 |
| 2.13%, 11/30/14 (h) | | 7,025 | | | 6,858,718 |
| 2.75%, 11/30/16 (h) | | 5,020 | | | 4,832,925 |
| 4.00%, 8/15/18 (h) | | 1,800 | | | 1,838,390 |
| 3.38%, 11/15/19 (h) | | 13,655 | | | 13,134,471 |
| 5.25%, 2/15/29 (h)(i) | | 1,400 | | | 1,516,813 |
| 3.50%, 2/15/39 (h) | | 3,965 | | | 3,247,581 |
| 4.25%, 5/15/39 (o) | | 810 | | | 759,881 |
| 4.50%, 8/15/39 (h) | | 3,000 | | | 2,932,032 |
|
|
|
|
|
| Total U.S. Treasury Obligations—8.8% | | | 48,198,208 |
|
|
|
| Total Fixed Income Securities—57.0% | | | 313,368,380 |
|
|
|
| |
|
| Preferred Securities | | | | |
|
|
| |
| Capital Trusts | | | | |
|
|
| Capital Markets—0.1% | | | | |
| Credit Suisse Guernsey Ltd., 5.86% (c)(j) | | 424 | | | 368,880 |
| Goldman Sachs Capital II, 5.79% (c)(j) | | 415 | | | 321,625 |
| Lehman Brothers Holdings Capital Trust VII, | | | | |
| 5.86% (a)(c)(e)(j) | | 130 | | | 39 |
| | | |
|
|
| | | | | | 690,544 |
|
|
| Commercial Banks—0.1% | | | | |
| Barclays Bank Plc (c)(d)(j): | | | | |
| 5.93% | | 325 | | | 243,750 |
| 7.43% | | 375 | | | 341,250 |
| | | |
|
|
| | | | | | 585,000 |
|
|
See Notes to Financial Statements.
22
| |
|
|
| BlackRock Series Fund, Inc. | |
| BlackRock Balanced Capital Portfolio | |
| Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | | | | |
| | | | | Par | | | |
| Capital Trusts | | (000) | | Value |
|
|
|
|
|
| Diversified Financial Services—0.3% | | | | | |
| General Electric Capital Corp., 6.38%, | | | | | |
| 11/15/67 (c) | USD | 415 | | $ | 360,013 |
| JPMorgan Chase & Co., 7.90% (c)(j) | | 795 | | | 820,011 |
| JPMorgan Chase Capital XXV, 6.80%, | | | | | |
| 10/01/37 | | | 380 | | | 377,554 |
| | | |
|
|
| | | | | | | | 1,557,578 |
|
|
| Insurance—0.4% | | | | | |
| Chubb Corp., 6.38%, 3/29/67 (c) | | 475 | | | 441,750 |
| Lincoln National Corp., 7.00%, | | | | | |
| 5/17/66 (c) | | 315 | | | 261,450 |
| MetLife, Inc., 6.40%, 12/15/66 | | 220 | | | 192,500 |
| Progressive Corp., 6.70%, 6/15/37 (c) | | 460 | | | 407,040 |
| Reinsurance Group of America, 6.75%, | | | | | |
| 12/15/65 (c) | | 320 | | | 270,495 |
| The Travelers Cos., Inc., 6.25%, | | | | | |
| 3/15/67 (c) | | 460 | | | 419,055 |
| | | |
|
|
| | | | | | | | 1,992,290 |
|
|
| Total Preferred Securities—0.9% | | | | | 4,825,412 |
|
|
|
| Total Long-Term Investments | | | | | |
| Cost—$637,951,507)—124.0% | | | | | | 682,022,922 |
|
|
|
| |
|
| | | | | Beneficial | | | |
| | | | | Interest | | | |
| Short-Term Securities | | (000) | | | |
|
|
|
|
| Money Market Fund—1.4% | | | | | |
| BlackRock Liquidity Series, LLC Money | | | | | |
| Market Series, 0.29% (k)(l)(m) | USD | 7,757 | | | 7,757,000 |
|
|
|
| | | | | Par | | | |
| | | | | (000) | | | |
|
|
|
| Borrowed Bond Agreements—1.2% | | | | | |
| Barclays Capital Inc., 0.02%, 1/13/10 | | 2,908 | | | 2,907,656 |
| Credit Suisse Securities (USA) LLC, 0.00%, | | | | | |
| 1/13/10 | | | 231 | | | 231,450 |
| JPMorgan Securities Inc., 0.05%, 1/13/10 | | 493 | | | 492,500 |
| JPMorgan Securities Inc., 0.05%, 1/13/10 | | 2,691 | | | 2,690,556 |
| | | |
|
|
| | | | | | | | 6,322,162 |
|
|
| Total Short-Term Securities | | | | | |
| (Cost—$14,079,162)—2.6% | | | | | | 14,079,162 |
|
|
|
| |
|
| Options Purchased | | Contracts(n) | | | |
|
|
|
|
| Over-the-Counter Call Swaptions Purchased—0.1% | | |
| Receive a fixed rate of 2.25% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 2/25/10, Broker Morgan Stanley | | | | | |
| Capital Services Inc. | | 8 | | | 869 |
| Receive a fixed rate of 3.40% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 4/08/10, Broker Deutsche | | | | | |
| Bank AG | | 5 | | | 13,499 |
| Receive a fixed rate of 1.92% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 9/02/10, Broker Morgan Stanley | | | | | |
| Capital Services, Inc. | | 15 | | | 78,011 |
| | | | |
| Receive a fixed rate of 1.95% and pay a | | | | |
| floating rate based on 3-month LIBOR, | | | | |
| Expires 9/03/10, Broker Citibank NA | 15 | | | 80,838 |
| Receive a fixed rate of 3.90% and pay a | | | | |
| floating rate based on 3-month LIBOR, | | | | |
| Expires 11/16/10, Broker Goldman | | | | |
| Sachs Bank USA | 6 | | | 128,472 |
| Receive a fixed rate of 4.38% and pay a | | | | |
| floating rate based on 3-month LIBOR, | | | | |
| Expires 10/24/11, Broker Citibank NA | 2 | | | 64,210 |
| |
|
|
| | | | | 365,899 |
|
|
| Over-the-Counter Put Swaptions Purchased—0.6% | | |
| Pay a fixed rate of 5.35% and receive a | | | | |
| floating rate based on 3-month LIBOR, | | | | |
| Expires 2/04/10, Broker JPMorgan | | | | |
| Chase Bank NA | 21 | | | 1,352 |
| Pay a fixed rate of 4.50% and receive a | | | | |
| floating rate based on 3-month LIBOR, | | | | |
| Expires 3/15/10, Broker Royal Bank of | | | | |
| Scotland Plc | 9 | | | 67,950 |
| Pay a fixed rate of 3.40% and receive a | | | | |
| floating rate based on 3-month LIBOR, | | | | |
| Expires 4/08/10, Broker Deutsche | | | | |
| Bank AG | 5 | | | 308,357 |
| Pay a fixed rate of 1.92% and receive a | | | | |
| floating rate based on 3-month LIBOR, | | | | |
| Expires 9/02/10, Broker Morgan Stanley | | | | |
| Capital Services, Inc. | 15 | | | 45,614 |
| Pay a fixed rate of 1.95% and receive a | | | | |
| floating rate based on 3-month LIBOR, | | | | |
| Expires 9/03/10, Broker Citibank NA | 15 | | | 44,726 |
| Pay a fixed rate of 3.90% and receive a | | | | |
| floating rate based on 3-month LIBOR, | | | | |
| Expires 11/16/10, Broker Goldman | | | | |
| Sachs Bank USA | 6 | | | 392,502 |
| Pay a fixed rate of 4.38% and receive a | | | | |
| floating rate based on 3-month LIBOR, | | | | |
| Expires 10/24/11, Broker Citibank NA | 2 | | | 118,802 |
| Pay a fixed rate of 5.04% and receive a | | | | |
| floating rate based on 3-month LIBOR, | | | | |
| Expires 10/15/12, Broker JPMorgan | | | | |
| Chase Bank NA | 16 | | | 1,039,693 |
| Pay a fixed rate of 5.17% and receive a | | | | |
| floating rate based on 3-month LIBOR, | | | | |
| Expires 10/23/12, Broker JPMorgan | | | | |
| Chase Bank NA | 15 | | | 971,416 |
| Pay a fixed rate of 5.09% and receive a | | | | |
| floating rate based on on 3-month LIBOR, | | | | |
| Expires 10/29/12, Broker Credit Suisse | | | | |
| International | 3 | | | 163,910 |
| Pay a fixed rate of 4.71% and receive a | | | | |
| floating rate based on 3-month LIBOR, | | | | |
| Expires 11/18/13, Broker JPMorgan | | | | |
| Chase Bank NA | 3 | | | 129,003 |
| |
|
|
| | | | | 3,283,325 |
|
|
See Notes to Financial Statements.
23
| |
|
|
| BlackRock Series Fund, Inc. | |
| BlackRock Balanced Capital Portfolio | |
| Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | | | |
| Options Purchased | | Contracts | | Value |
|
|
|
|
|
| Exchange-Traded Put Options Purchased—0.0% | | | |
| 10-Year US Treasury Bond, Strike Price | | | | | | |
| USD 117, Expires 2/19/10 | | 55 | | $ | 113,437 | |
| Euro-Dollar Future, Strike Price USD 98.75, | | | | | |
| Expires 9/13/10 | | 130 | | | 94,250 | |
| | | |
|
|
| | | | | | 207,687 | |
|
|
| Total Options Purchased | | | | | | |
| (Cost—$3,753,773)—0.7% | | | | | 3,856,911 | |
|
|
|
| Total Investments Before Borrowed Bonds, | | | | | |
| TBA Sale Commitments and Options Written | | | | | |
| (Cost—$655,784,442*)—127.3% | | | | | 699,958,995 | |
|
|
|
| |
|
| | | Par | | | | |
| Borrowed Bonds | | (000) | | | | |
|
|
|
|
| U.S. Treasury Notes, 3.38%, 11/15/19 | USD | 6,475 | | | (6,228,173 | ) |
|
|
|
| Total Borrowed Bonds | | | | | | |
| (Proceeds—$6,402,073)—(1.2)% | | | | | (6,228,173 | ) |
|
|
|
| |
|
| TBA Sale Commitments (g) | | | | | | |
|
|
| Fannie Mae Mortgage Backed Securities: | | | | | | |
| 4.50%, 1/15/25—1/15/40 | | 11,600 | | | (11,578,250 | ) |
| 5.00%, 1/01/23—1/15/40 | | 17,100 | | | (17,580,177 | ) |
| 5.50%, 1/15/25—1/15/40 | | 18,100 | | | (18,945,614 | ) |
| 6.00%, 12/01/13—1/15/40 | | 9,100 | | | (9,653,544 | ) |
| Freddie Mac Mortgage Backed Securities, | | | | | | |
| 6.00%, 1/01/34—1/15/40 | | 13,700 | | | (14,526,274 | ) |
|
|
|
|
|
| Total TBA Sale Commitments | | | | | | |
| (Proceeds—$72,811,523)—(13.1)% | | | | | (72,283,859 | ) |
|
|
|
| |
|
| Options Written | | Contracts(n) | | | | |
|
|
|
|
| Over-the-Counter Call Swaptions Written—(0.2)% | | | |
| Pay a fixed rated of 3.60% and receive a | | | | | | |
| floating rate based on 3-month LIBOR, | | | | | | |
| Expires 2/04/10, Broker JPMorgan | | | | | | |
| Chase Bank NA | | 2 | | | (2,813 | ) |
| Pay a fixed rated of 3.31% and receive a | | | | | | |
| floating rate based on 3-month LIBOR, | | | | | | |
| Expires 3/12/10, Broker JPMorgan | | | | | | |
| Chase Bank NA | | 2 | | | (1,932 | ) |
| Pay a fixed rate of 3.33% and receive a | | | | | | |
| floating rate based on 3-month LIBOR, | | | | | | |
| Expires 3/08/10, Broker Citibank NA | | 2 | | | (2,253 | ) |
| Pay a fixed rated of 3.40% and receive a | | | | | | |
| floating rate based on 3-month LIBOR, | | | | | | |
| Expires 3/09/10, Broker JPMorgan | | | | | | |
| Chase Bank NA | | 2 | | | (3,106 | ) |
| Pay a fixed rated of 3.85% and receive a | | | | | | |
| floating rate based on 3-month LIBOR, | | | | | | |
| Expires 4/16/10, Broker Citibank NA | | 10 | | | (120,520 | ) |
| Pay a fixed rated of 3.80% and receive a | | | | | | |
| floating rate based on 3-month LIBOR, | | | | | | |
| Expires 5/28/10, Broker Morgan Stanley | | | | | | |
| Capital Services, Inc. | | 7 | | | (84,195 | ) |
| Pay a fixed rated of 4.80% and receive a | | | | | | |
| floating rate based on 3-month LIBOR, | | | | | | |
| Expires 6/11/10, Broker Citibank NA | | 3 | | | (195,779 | ) |
| Pay a fixed rate of 4.12% and receive a | | | | | | |
| floating rate based on 3-month LIBOR, | | | | | | |
| Expires 8/26/10, Broker Goldman Sachs | | | | | |
| Bank USA | | 2 | | | (48,928 | ) |
| | | | | |
| Pay a fixed rate of 4.12% and receive a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 8/27/10, Broker Morgan Stanley | | | | | |
| Capital Services, Inc. | 2 | | | (45,973 | ) |
| Pay a fixed rate of 4.13% and receive a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 9/09/10, Broker Morgan Stanley | | | | | |
| Capital Services, Inc. | 11 | | | (312,987 | ) |
| Pay a fixed rate of 5.40% and receive a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 12/14/10, Broker UBS, AG | 4 | | | (339,746 | ) |
| Pay a fixed rated of 4.89% and receive a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| expires 12/03/14, Broker Deutsche | | | | | |
| Bank AG | 2 | | | (86,853 | ) |
| |
|
|
| | | | | (1,245,085 | ) |
|
|
| Over-the-Counter Put Swaptions Written—(0.6)% | | | |
| Receive a fixed rate of 4.10% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 2/04/10, Broker JPMorgan | | | | | |
| Chase Bank NA | 2 | | | (16,077 | ) |
| Receive a fixed rate of 3.31% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 3/12/10, Broker JPMorgan | | | | | |
| Chase Bank NA | 2 | | | (124,902 | ) |
| Receive a fixed rated of 5.50% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 3/15/10, Broker Royal Bank of | | | | | |
| Scotland Plc | 9 | | | (5,951 | ) |
| Receive a fixed rate of 3.33% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 3/08/10, Broker Citibank NA | 2 | | | (139,333 | ) |
| Receive a fixed rate of 3.40% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 3/09/10, Broker JPMorgan | | | | | |
| Chase Bank NA | 2 | | | (116,228 | ) |
| Receive a fixed rate of 3.85% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 4/16/10, Broker Citibank NA | 10 | | | (363,000 | ) |
| Receive a fixed rate of 4.50% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 5/28/10, Broker Morgan Stanley | | | | | |
| Capital Services, Inc. | 7 | | | (117,409 | ) |
| Receive a fixed rate of 4.80% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 6/11/10, Broker Citibank NA | 3 | | | (42,061 | ) |
| Receive a fixed rate of 4.12% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 8/26/10, Broker Goldman Sachs | | | | | |
| Bank USA | 2 | | | (79,310 | ) |
| Receive a fixed rate of 4.12% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 8/27/10, Broker Morgan Stanley | | | | | |
| Capital Services, Inc. | 2 | | | (75,531 | ) |
| Receive a fixed rate of 4.13% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 9/09/10, Broker Morgan Stanley | | | | | |
| Capital Services, Inc. | 11 | | | (524,856 | ) |
| Receive a fixed rate of 5.40% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 12/14/10, Broker UBS, AG | 4 | | | (70,312 | ) |
See Notes to Financial Statements.
24
| |
|
|
| BlackRock Series Fund, Inc. | |
| BlackRock Balanced Capital Portfolio | |
| Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | | | |
| Options Written | Contracts | | Value |
|
|
|
| Over-the-Counter Put Swaptions Written (concluded) | | | |
| Receive a fixed rate of 6.04% and pay a | | | | | | |
| floating rate based on 3-month LIBOR, | | | | | | |
| Expires 10/15/12, Broker JPMorgan | | | | | | |
| Chase Bank NA | 16(n) | | | $ | (619,395 | ) |
| Receive a fixed rate of 6.17% and pay a | | | | | | |
| floating rate based on 3-month LIBOR, | | | | | | |
| Expires 10/23/12, Broker JPMorgan | | | | | | |
| Chase Bank NA | 15(n) | | | | (577,916 | ) |
| Receive a fixed rate of 6.09% and pay a | | | | | | |
| floating rate based on 3-month LIBOR, | | | | | | |
| Expires 10/29/12, Broker Credit Suisse | | | | | | |
| International | 3(n) | | | | (97,735 | ) |
| Receive a fixed rate of 4.89% and pay a | | | | | | |
| floating rate based on 3-month LIBOR, | | | | | | |
| Expires 12/03/14, Broker Deutsche | | | | | | |
| Bank AG | 2(n) | | | | (135,720 | ) |
| |
|
|
| | | | | | (3,105,736 | ) |
|
|
| Exchange-Traded Put Options Written—(0.0)% | | | |
| 10-Year US Treasury Bond, Strike Price | | | | | | |
| USD 116, Expires 2/19/10 | 55 | | | | (79,062 | ) |
| Euro-Dollar Future, Strike Price USD 98.25, | | | | | | |
| Expires 9/13/10 | 130 | | | | (53,625 | ) |
| |
|
|
| | | | | | (132,687 | ) |
|
|
| Total Options Written | | | | | | |
| (Premiums Received—$5,331,954)—(0.8)% | | | | | (4,483,508 | ) |
|
|
|
| Total Investments Net of Borrowed Bonds, TBA Sale | | | |
| Commitments and Options Written—112.2% | | | | | 616,963,455 | |
| | | | | | | |
| Liabilities in Excess of Other Assets—(12.2)% | | | | | (66,995,657 | ) |
| | |
|
|
| Net Assets—100.0% | | | | $ | 549,967,798 | |
| | |
|
| * | The cost and unrealized appreciation (depreciation) of investments as of December 31, 2009, as computed for federal income tax purposes, were as follows: |
| | | | |
| | Aggregate cost | $ | 662,629,512 |
| | |
|
| | Gross unrealized appreciation | $ | 56,818,743 |
| | Gross unrealized depreciation | | (19,489,260) |
| | |
|
|
| | Net unrealized appreciation | $ | 37,329,483 |
| | |
|
| (a) | Non-income producing security. | | |
| | | | |
| (b) | Security, or a portion of security, is on loan. | | |
| | | | |
| (c) | Variable rate security. Rate shown is as of report date. | | |
| | | | |
| (d) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| | |
| (e) | Issuer filed for bankruptcy and/or is in default of interest payments. |
| | |
| (f) | All or a portion of security has been pledged as collateral in connection with swaps. |
| | |
| (g) | Represents or includes a to-be-announced (TBA) transaction. Net unsettled TBA transactions as of report date were as follows: |
|
| | | | | | | | | |
| | | Unrealized |
| | | Appreciation |
| Counterparty | Value | (Depreciation) |
|
| Bank of America NA | $ | 335,797 | | $ | 25,727 | |
| BNP Paribas | $ | 1,913,717 | | $ | (8,290 | ) |
| Credit Suisse Securities LLC | $ | (7,009,783 | ) | $ | 45,678 | |
| Deutsche Bank Securities, Inc. | $ | (5,220,469 | ) | $ | 120,140 | |
| Goldman Sachs & Co. | $ | 18,892,156 | | $ | (181,254 | ) |
| JPMorgan Securities, Ltd. | $ | (3,418,611 | ) | $ | 33,170 | |
| Morgan Stanley Capital Services, Inc. | $ | (8,960,619 | ) | $ | 18,525 | |
|
| (h) | All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements. |
| | |
| (i) | All or a portion of security has been pledged as collateral in connection with open financial futures contracts. |
| | |
| (j) | Security is perpetual in nature and has no stated maturity date. |
| | |
| (k) | Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows: |
| | | | | | |
|
| | Net | | | |
| Affiliate | Activity | | Income |
|
| BlackRock Liquidity Funds, TempFund, | | | | | |
| Institutional Class | | — | | $ | 6,220 |
| BlackRock Liquidity Series, LLC Cash | | | | | |
| Sweep Series | $ | (11,741,111 | ) | $ | 12,736 |
| BlackRock Liquidity Series, LLC Money | | | | | |
| Market Series | $ | 7,757,000 | | $ | 181 |
|
| (l) | Represents the current yield as of report date. |
| | |
| (m) | Security was purchased with the cash collateral from securities loans. |
| | |
| (n) | One contract represents a notional amount of $1 million. |
| | |
| (o) | Security, or a portion thereof, subject to treasury rolls. |
| | |
| • | For Portfolio compliance purposes, the Portfolio’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Portfolio management.This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. |
| | |
| • | Reverse repurchase agreements outstanding as of December 31, 2009 were as follows: |
| |
|
| | Counterparty | | Interest
Rate | Trade
Date | Maturity
Date | Net
Closing
Amount | | Face
Amount |
| |
|
|
|
|
|
| | Barclays Capital, Inc. | 0.03 | % | 12/07/09 | TBD | $ | 3,415,283 | | $ | 3,416,715 |
| | Barclays Capital, Inc. | 0.04 | % | 11/16/09 | TBD | | 1,750,243 | | | 1,747,813 |
| | Barclays Capital, Inc. | 0.02 | % | 12/02/09 | TBD | | 1,935,242 | | | 1,935,000 |
| | Barclays Capital, Inc. | 0.04 | % | 12/02/09 | TBD | | 1,996,999 | | | 1,996,750 |
| | JPMorgan Securities, Inc. | 0.05 | % | 12/11/09 | 1/13/10 | | 1,182,596 | | | 1,182,563 |
| | JPMorgan Securities, Inc. | 0.06 | % | 12/11/09 | 1/13/10 | | 12,652,366 | | | 12,651,923 |
| | JPMorgan Securities, Inc. | 0.09 | % | 12/11/09 | 1/13/10 | | 6,983,106 | | | 6,982,740 |
| | JPMorgan Securities, Inc. | 0.12 | % | 12/11/09 | 1/13/10 | | 3,570,288 | | | 3,570,038 |
| | JPMorgan Securities, Inc. | 0.15 | % | 12/22/09 | TBD | | 1,278,319 | | | 1,278,266 |
| | JPMorgan Securities, Inc. | 0.08 | % | 12/22/09 | 1/13/10 | | 1,932,830 | | | 1,932,787 |
| | JPMorgan Securities, Inc. | 0.13 | % | 12/22/09 | 1/13/10 | | 4,875,851 | | | 4,875,675 |
| | JPMorgan Securities, Inc. | 0.15 | % | 12/22/09 | 1/13/10 | | 4,605,226 | | | 4,605,038 |
| | JPMorgan Securities, Inc. | 0.15 | % | 12/23/09 | 1/13/10 | | 1,108,796 | | | 1,108,750 |
| | JPMorgan Securities, Inc. | 0.15 | % | 12/24/09 | 1/13/10 | | 2,269,151 | | | 2,269,074 |
| |
|
| | Total | | | | | | | | | | $ | 49,556,296 | | $ | 49,553,132 |
| | | |
|
| |
| • | Financial futures contracts sold as of December 31, 2009 were as follows: |
| |
|
| | | | Expiration | Notional | Unrealized |
| | Contracts | Issue | Date | Value | Appreciation |
| |
|
|
|
| | 88 | 2-Year U.S. | | | | | | |
| | | Treasury Bond | March 2010 | $ | 19,108,712 | | $ | 77,337 |
| | 260 | 5-Year U.S. | | | | | | |
| | | Treasury Bond | March 2010 | $ | 30,191,147 | | | 451,616 |
| | 22 | 10-Year U.S. | | | | | | |
| | | Treasury Bond | March 2010 | $ | 2,567,723 | | | 27,754 |
| | 33 | 30-Year U.S. | | | | | | |
| | | Treasury Bond | March 2010 | $ | 4,000,146 | | | 192,771 |
| |
|
| | Total | | | | | | $ | 749,478 |
| | | | |
|
| | | | | | | | | |
| |
| • | Foreign currency exchange contracts as of December 31, 2009 were as follows: |
| |
|
| | | | | Settlement | Unrealized |
| | Currency Purchased | | Currency Sold | Counterparty | Date | Appreciation |
| |
|
| | USD | 4,216,458 | | EUR | 2,836,500 | Citibank NA | 1/20/10 | $ | 150,264 |
| | USD | 2,449,412 | | CAD | 2,545,000 | Goldman Sachs | | | |
| | | | | | | Bank USA | 1/27/10 | | 15,927 |
| | USD | 527,849 | | GBP | 315,000 | Citibank NA | 1/27/10 | | 19,143 |
| |
|
| | Total | | | | | | | $ | 185,334 |
| | | |
|
See Notes to Financial Statements.
25
|
|
| BlackRock Series Fund, Inc. |
| BlackRock Balanced Capital Portfolio |
| Schedule of Investments December 31, 2009 (Continued) |
|
| • | Interest rate swaps outstanding as of December 31, 2009 were as follows: |
| | | | | | | | | | |
| |
|
| | | | | | NotionalAmount(000) | | UnrealizedAppreciation(Depreciation) |
| | | | | |
| | Fixed Rate | Floating Rate | Counterparty | Expiration |
| |
|
|
| | 1.31% (a) | 3-month LIBOR | Deutsche Bank AG | October 2011 | USD | 10,000 | | $ | 6,195 | |
| | 2.25% (b) | 3-month LIBOR | Deutsche Bank AG | December 2012 | USD | 2,490 | | | (14,907 | ) |
| | 2.79% (b) | 3-month LIBOR | JPMorgan Chase Bank NA | November 2014 | USD | 1,175 | | | 7,731 | |
| | 2.37% (a) | 3-month LIBOR | JPMorgan Chase Bank NA | December 2014 | USD | 7,500 | | | (198,694 | ) |
| | 2.63% (a) | 3-month LIBOR | Morgan Stanley Capital Services, Inc. | December 2014 | USD | 7,800 | | | (115,643 | ) |
| | 2.61% (a) | 3-month LIBOR | Citibank NA | December 2014 | USD | 4,000 | | | (64,168 | ) |
| | 3.50% (a) | 3-month LIBOR | Citibank NA | September 2019 | USD | 2,100 | | | (75,160 | ) |
| | 3.47% (a) | 3-month LIBOR | Royal Bank of Scotland Plc | September 2019 | USD | 4,400 | | | (170,341 | ) |
| | 3.40% (b) | 3-month LIBOR | Deutsche Bank AG | December 2019 | USD | 6,000 | | | 281,484 | |
| | 3.50% (a) | 3-month LIBOR | Deutsche Bank AG | December 2019 | USD | 800 | | | (31,161 | ) |
| | 3.70% (a) | 3-month LIBOR | Credit Suisse International | December 2019 | USD | 4,500 | | | (101,290 | ) |
| | 4.24% (c) | 3-month LIBOR | JPMorgan Chase Bank NA | August 2020 | USD | 775 | | | (9,672 | ) |
| | 4.42% (c) | 3-month LIBOR | JPMorgan Chase Bank NA | August 2020 | USD | 2,560 | | | (61,747 | ) |
| | 5.41% (a) | 3-month LIBOR | Deutsche Bank AG | April 2027 | USD | 1,000 | | | 122,442 | |
| | 4.35% (b) | 3-month LIBOR | JPMorgan Chase Bank NA | July 2039 | USD | 1,500 | | | 41,927 | |
| |
|
| | Total | | | | | | | $ | (383,004 | ) |
| | | |
|
| (a) | Pays floating interest rate and receives fixed rate. |
| | |
| (b) | Pays fixed interest rate and receives floating rate. |
| | |
| (c) | Pays fixed interest amount and receives floating amount at expiration. |
| | |
| • | Credit default swaps on single-name issuers—buy protection outstanding as of December 31, 2009 were as follows: |
| | | | | | | | | | | | | |
| |
|
| | Issuer | Pay Rate | Counterparty | Expiration | NotionalAmount(000) | UnrealizedAppreciation(Depreciation) |
| |
|
|
| | Centex Corp. | 6.92% | JPMorgan Chase Bank NA | December 2010 | USD | 260 | | $ | (16,141 | ) |
| | Limited Brands, Inc. | 1.07% | UBS AG | December 2010 | USD | 665 | | | 1,193 | |
| | Radio Shack Corp. | 1.16% | UBS AG | December 2010 | USD | 665 | | | (2,821 | ) |
| | Knight Inc. | 1.80% | Credit Suisse International | January 2011 | USD | 360 | | | (3,699 | ) |
| | Sara Lee Corp. | 0.60% | JPMorgan Chase Bank NA | March 2011 | USD | 700 | | | (2,725 | ) |
| | Computer Sciences Corp. | 0.88% | Morgan Stanley Capital Services, Inc. | June 2011 | USD | 695 | | | (7,260 | ) |
| | iStar Financial, Inc. | 5.00% | Morgan Stanley Capital Services, Inc. | September 2011 | USD | 160 | | | 4,840 | |
| | Wendy’s International Inc. | 2.90% | JPMorgan Chase Bank NA | December 2011 | USD | 360 | | | (12,964 | ) |
| | NOVA Chemicals Corp. | 5.00% | Citibank NA | March 2012 | USD | 30 | | | (1,472 | ) |
| | Macy’s, Inc. | 7.50% | Morgan Stanley Capital Services, Inc. | June 2012 | USD | 245 | | | (36,174 | ) |
| | Macy’s, Inc. | 8.00% | Morgan Stanley Capital Services, Inc. | June 2012 | USD | 85 | | | (13,573 | ) |
| | NOVA Chemicals Corp. | 5.00% | JPMorgan Chase Bank NA | June 2012 | USD | 40 | | | (1,738 | ) |
| | Ryland Group, Inc. | 4.51% | JPMorgan Chase Bank NA | June 2012 | USD | 165 | | | (12,267 | ) |
| | Knight Inc. | 1.00% | Morgan Stanley Capital Services, Inc. | September 2012 | USD | 115 | | | (823 | ) |
| | D.R. Horton, Inc. | 5.04% | JPMorgan Chase Bank NA | June 2013 | USD | 525 | | | (53,559 | ) |
| | Eastman Chemical Co. | 0.68% | Morgan Stanley Capital Services, Inc. | September 2013 | USD | 690 | | | (7,600 | ) |
| | Expedia, Inc. | 5.00% | Citibank NA | September 2013 | USD | 380 | | | (58,583 | ) |
| | Masco Corp. | 5.00% | JPMorgan Chase Bank NA | September 2013 | USD | 140 | | | (9,931 | ) |
| | Centex Corp. | 4.37% | Deutsche Bank AG | December 2013 | USD | 560 | | | (73,049 | ) |
| | Centex Corp. | 4.40% | JPMorgan Chase Bank NA | December 2013 | USD | 325 | | | (42,763 | ) |
| | NOVA Chemicals Corp. | 5.00% | Goldman Sachs Bank USA | December 2013 | USD | 160 | | | (13,905 | ) |
| | D.R. Horton, Inc. | 1.00% | JPMorgan Chase Bank NA | March 2014 | USD | 630 | | | (10,541 | ) |
| | Hertz Global Holdings, Inc. | 5.00% | Goldman Sachs Bank USA | March 2014 | USD | 80 | | | (24,755 | ) |
| | Toll Brothers Finance Corp. | 2.00% | JPMorgan Chase Bank NA | March 2014 | USD | 150 | | | (3,956 | ) |
| | D.R. Horton, Inc. | 5.07% | JPMorgan Chase Bank NA | September 2014 | USD | 150 | | | (18,575 | ) |
| | Macy’s, Inc. | 1.00% | Morgan Stanley Capital Services, Inc. | September 2014 | USD | 90 | | | (1,068 | ) |
| | Energy Future Holdings Corp. | 5.00% | JPMorgan Chase Bank NA | December 2014 | USD | 125 | | | (14,588 | ) |
| | Energy Future Holdings Corp. | 5.00% | Morgan Stanley Capital Services, Inc. | December 2014 | USD | 675 | | | (60,674 | ) |
| | Huntsman International LLC | 5.00% | Goldman Sachs Bank USA | December 2014 | USD | 295 | | | (108,827 | ) |
| | Huntsman International LLC | 5.00% | Goldman Sachs Bank USA | March 2015 | USD | 85 | | | (25,599 | ) |
| | Pulte Homes, Inc. | 3.00% | JPMorgan Chase Bank NA | March 2015 | USD | 180 | | | (9,178 | ) |
| | Lennar Corp. | 5.86% | JPMorgan Chase Bank NA | June 2015 | USD | 240 | | | (29,619 | ) |
| | First Data Corp. | 5.00% | Credit Suisse International | December 2015 | USD | 130 | | | (20,955 | ) |
| | First Data Corp. | 5.00% | Goldman Sachs Bank USA | December 2015 | USD | 85 | | | (13,325 | ) |
| | First Data Corp. | 5.00% | JPMorgan Chase Bank NA | December 2015 | USD | 165 | | | (26,597 | ) |
| | Sabre Holdings Corp. | 5.00% | JPMorgan Chase Bank NA | March 2016 | USD | 680 | | | (298,925 | ) |
| |
|
|
|
|
|
|
|
|
|
|
| | Total | | | | | | | $ | (1,032,196 | ) |
| | | | | | | | |
|
|
|
See Notes to Financial Statements.
26
|
|
| BlackRock Series Fund, Inc. |
| BlackRock Balanced Capital Portfolio |
| Schedule of Investments December 31, 2009 (Concluded) |
|
| Fair Value Measurements—Various inputs are used in determining the fair value of investments, which are as follows: |
| | | |
| | | Level 1—price quotations in active markets/exchanges for identical assets and liabilities. |
| | | |
| | | Level 2—other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
| | | |
| | | Level 3—unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio’s own assumptions used in determining the fair value of investments) |
| | |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Portfolio’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. |
| | |
The following table summarizes the inputs used as of December 31, 2009 in determining the fair valuation of the Portfolio's investments: |
| | | | | | |
|
| Valuation | Investments in |
| Inputs | Securities |
|
| | Assets | | Liabilities |
| |
| |
|
| Level 1 | | | | | | |
| Long-Term Investments: | | | | | | |
| Common Stocks1 | $ | 363,829,130 | | | — | |
| |
|
| Level 2 | | | | | | |
| Long-Term Investments2 | | 315,937,928 | | | — | |
| Short-Term Securities: | | | | | | |
| Money Market Fund | | 7,757,000 | | | — | |
| Borrowed Bond Agreements | | 6,322,162 | | | — | |
| Borrowed Bonds | | — | | $ | (6,228,173 | ) |
| TBA Sale Commitments | | — | | | (72,283,859 | ) |
| |
|
| Total Level 2 | | 330,017,090 | | | (78,512,032 | ) |
| |
|
| Level 3 | | | | | | |
| Long-Term Investments: | | | | | | |
| Asset-Backed Securities | | 199,500 | | | — | |
| Non-Agency Mortgage-Backed Securities | | 2,056,364 | | | — | |
| |
|
| Total Level 3 | | 2,255,864 | | | — | |
| |
|
| Total | $ | 696,102,084 | | $ | (78,512,032 | ) |
| |
|
| 1 | See above Schedule of Investments for values in each industry. |
| | |
| 2 | See above Schedule of Investments for values in each security type, excluding security types in Level 1 and Level 3 within the table. |
| | |
| | | | | | |
|
| Valuation | Other Financial |
| Inputs | Instruments3 |
|
| | Assets | | Liabilities |
| |
| |
|
| Level 1 | $ | 957,165 | | $ | (132,687 | ) |
| Level 2 | | 4,300,370 | | | (6,160,414 | ) |
| Level 3 | | — | | | (71,419 | ) |
| |
|
| Total | $ | 5,257,535 | | $ | (6,364,520 | ) |
| |
|
| 3 | Other financial instruments are swaps, financial futures contracts, foreign currency exchange contracts, options purchased and options written. Swaps, financial futures contracts and foreign currency exchange contracts are shown at the unrealized appreciation/depreciation on the instrument and options purchased and options written are shown at market value. |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
| | | | | | | | |
|
| | Investments in Securities |
|
|
| | | | Non-Agency | | |
| | | | Mortgage- | | |
| | Asset-Backed | Backed | | |
| | Securities | Securities | Total |
|
|
|
|
| Balance, as of December 31, 2008 | $ | 330,000 | | | — | $ | 330,000 | |
| Accrued discounts/premiums | | — | | | — | | — | |
| Realized gain (loss) | | (161 | ) | | — | | (161 | ) |
| Change in unrealized | | | | | | |
| appreciation/depreciation4 | | 302,779 | | | — | | 302,779 | |
| Net purchases (sales) | | (43,639 | ) | | — | | (43,639 | ) |
| Net transfers in/out of Level 3 | | (389,479 | ) | $ | 2,056,364 | | 1,666,885 | |
| |
|
| Balance, as of December 31, 2009 | $ | 199,500 | | $ | 2,056,364 | $ | 2,255,864 | |
| |
|
| 4 | Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The change in unrealized appreciation/depreciation on securities still held at December 31, 2009 was $80,750. |
| | |
| | The following table is a reconciliation of Level 3 other financial instruments for which significant unobservable inputs were used to determine fair value: |
| | | |
|
| | Other |
| | Financial |
| | Instruments5 |
|
|
| | Liabilities |
| |
|
| Balance, as of December 31, 2008 | | — |
| Accrued discounts/premiums | | — |
| Realized gain (loss) | | — |
| Change in unrealized appreciation/depreciation | | — |
| Net purchases (sales) | | — |
| Net transfers in/out of Level 3 | $ | (71,419) |
| |
|
| Balance, as of December 31, 2009 | $ | (71,419) |
| |
|
| 5 | Other financial instruments are swaps. |
See Notes to Financial Statements.
27
| |
|
|
| BlackRock Series Fund, Inc. | |
| BlackRock Fundamental Growth Portfolio | |
| Schedule of Investments December 31, 2009 | (Percentages shown are based on Net Assets) |
|
| | | | |
| Common Stocks | Shares | | Value |
|
|
|
| Air Freight & Logistics—2.9% | | | | |
| C.H. Robinson Worldwide, Inc. | 27,600 | | $ | 1,620,948 |
| United Parcel Service, Inc., Class B | 51,700 | | | 2,966,029 |
| |
|
|
| | | | | 4,586,977 |
|
|
| Airlines—1.8% | | | | |
| Delta Air Lines, Inc. (a) | 247,600 | | | 2,817,688 |
|
|
|
| Beverages—2.5% | | | | |
| The Coca-Cola Co. | 69,300 | | | 3,950,100 |
|
|
|
| Biotechnology—1.8% | | | | |
| Amgen, Inc. (a) | 51,800 | | | 2,930,326 |
|
|
|
| Capital Markets—1.0% | | | | |
| Morgan Stanley | 56,100 | | | 1,660,560 |
|
|
|
| Chemicals—0.8% | | | | |
| Ecolab, Inc. | 27,000 | | | 1,203,660 |
|
|
|
| Commercial Banks—1.4% | | | | |
| Wells Fargo & Co. | 80,200 | | | 2,164,598 |
|
|
|
| Communications Equipment—6.3% | | | | |
| Cisco Systems, Inc. (a) | 129,400 | | | 3,097,836 |
| Palm, Inc. (a)(b) | 128,900 | | | 1,294,156 |
| QUALCOMM, Inc. | 120,700 | | | 5,583,582 |
| |
|
|
| | | | | 9,975,574 |
|
|
| Computers & Peripherals—10.6% | | | | |
| Apple, Inc. (a) | 35,200 | | | 7,422,272 |
| EMC Corp. (a) | 79,500 | | | 1,388,865 |
| Hewlett-Packard Co. | 92,700 | | | 4,774,977 |
| NetApp, Inc. (a) | 47,900 | | | 1,647,281 |
| Seagate Technology | 83,500 | | | 1,518,865 |
| |
|
|
| | | | | 16,752,260 |
|
|
| Diversified Financial Services—1.7% | | | | |
| CME Group, Inc. | 3,500 | | | 1,175,825 |
| JPMorgan Chase & Co. | 35,010 | | | 1,458,867 |
| |
|
|
| | | | | 2,634,692 |
|
|
| Energy Equipment & Services—1.5% | | | | |
| Schlumberger Ltd. | 14,800 | | | 963,332 |
| Transocean Ltd. (a) | 16,549 | | | 1,370,257 |
| |
|
|
| | | | | 2,333,589 |
|
|
| Food & Staples Retailing—2.6% | | | | |
| Wal-Mart Stores, Inc. | 77,500 | | | 4,142,375 |
|
|
|
| Health Care Equipment & Supplies—1.7% | | | | |
| Zimmer Holdings, Inc. (a) | 46,700 | | | 2,760,437 |
|
|
|
| Health Care Providers & Services—3.9% | | | | |
| Express Scripts, Inc. (a) | 33,500 | | | 2,896,075 |
| Medco Health Solutions, Inc. (a) | 39,400 | | | 2,518,054 |
| WellPoint, Inc. (a) | 13,800 | | | 804,402 |
| |
|
|
| | | | | 6,218,531 |
|
|
| Health Care Technology—1.1% | | | | |
| Cerner Corp. (a)(b) | 20,200 | | | 1,665,288 |
|
|
|
| Hotels, Restaurants & Leisure—2.5% | | | | |
| Las Vegas Sands Corp. (a)(b) | 54,700 | | | 817,218 |
| Starbucks Corp. (a)(b) | 75,100 | | | 1,731,806 |
| Starwood Hotels & Resorts Worldwide, Inc. | 40,900 | | | 1,495,713 |
| |
|
|
| | | | | 4,044,737 |
|
|
| Household Products—3.0% | | | | |
| The Procter & Gamble Co. | 77,600 | | | 4,704,888 |
|
|
|
| Industrial Conglomerates—2.2% | | | | |
| 3M Co. | 42,300 | | | 3,496,941 |
|
|
|
| Insurance—0.9% | | | | |
| MetLife, Inc. | 41,200 | | | 1,456,420 |
|
|
|
| Internet & Catalog Retail—2.3% | | | | |
| Amazon.com, Inc. (a)(b) | 27,700 | | | 3,726,204 |
|
|
|
| | | | |
| Internet Software & Services—5.9% | | | | |
| Baidu.com, Inc.—ADR (a) | 4,100 | | | 1,686,043 |
| Google, Inc., Class A (a) | 12,500 | | | 7,749,750 |
| |
|
|
| | | | | 9,435,793 |
|
|
| Life Sciences Tools & Services—1.7% | | | | |
| Covance, Inc. (a) | 18,900 | | | 1,031,373 |
| Life Technologies Corp. (a) | 31,700 | | | 1,655,691 |
| |
|
|
| | | | | 2,687,064 |
|
|
| Machinery—4.9% | | | | |
| Cummins, Inc. | 35,800 | | | 1,641,788 |
| Danaher Corp. | 53,100 | | | 3,993,120 |
| PACCAR, Inc. | 58,100 | | | 2,107,287 |
| |
|
|
| | | | | 7,742,195 |
|
|
| Media—2.9% | | | | |
| CBS Corp., Class B | 133,300 | | | 1,872,865 |
| Comcast Corp., Class A | 162,800 | | | 2,744,808 |
| |
|
|
| | | | | 4,617,673 |
|
|
| Metals & Mining—2.1% | | | | |
| Agnico-Eagle Mines Ltd. | 10,900 | | | 588,600 |
| Freeport-McMoRan Copper & Gold, Inc., | | | | |
| Class B | 18,000 | | | 1,445,220 |
| United States Steel Corp. | 22,200 | | | 1,223,664 |
| |
|
|
| | | | | 3,257,484 |
|
|
| Multiline Retail—3.2% | | | | |
| JCPenney Co., Inc. | 61,600 | | | 1,639,176 |
| Kohl's Corp. (a) | 63,000 | | | 3,397,590 |
| |
|
|
| | | | | 5,036,766 |
|
|
| Oil, Gas & Consumable Fuels—3.3% | | | | |
| Anadarko Petroleum Corp. | 23,600 | | | 1,473,112 |
| EOG Resources, Inc. | 15,200 | | | 1,478,960 |
| PetroHawk Energy Corp. (a) | 97,900 | | | 2,348,621 |
| |
|
|
| | | | | 5,300,693 |
|
|
| Personal Products—1.1% | | | | |
| Avon Products, Inc. | 55,500 | | | 1,748,250 |
|
|
|
| Pharmaceuticals—5.6% | | | | |
| Abbott Laboratories | 72,500 | | | 3,914,275 |
| Pfizer, Inc. | 187,000 | | | 3,401,530 |
| Teva Pharmaceutical Industries Ltd. – ADR | 28,800 | | | 1,617,984 |
| |
|
|
| | | | | 8,933,789 |
|
|
| Professional Services—0.8% | | | | |
| Manpower, Inc. | 21,800 | | | 1,189,844 |
|
|
|
| Semiconductors & Semiconductor Equipment—5.1% | | |
| Broadcom Corp., Class A (a) | 50,900 | | | 1,600,805 |
| Cree, Inc. (a) | 8,300 | | | 467,871 |
| Lam Research Corp. (a) | 47,000 | | | 1,842,870 |
| Micron Technology, Inc. (a) | 157,100 | | | 1,658,976 |
| Nvidia Corp. (a) | 83,300 | | | 1,556,044 |
| PMC-Sierra, Inc. (a) | 114,700 | | | 993,302 |
| |
|
|
| | | | | 8,119,868 |
|
|
| Software—7.6% | | | | |
| Check Point Software Technologies Ltd. (a) | 66,500 | | | 2,253,020 |
| Microsoft Corp. | 229,300 | | | 6,991,357 |
| Salesforce.com, Inc. (a) | 37,400 | | | 2,758,998 |
| |
|
|
| | | | | 12,003,375 |
|
|
| Specialty Retail—1.7% | | | | |
| CarMax, Inc. (a)(b) | 50,700 | | | 1,229,475 |
| Home Depot, Inc. | 53,100 | | | 1,536,183 |
| |
|
|
| | | | | 2,765,658 |
|
|
| Tobacco—1.3% | | | | |
| Philip Morris International, Inc. | 44,100 | | | 2,125,179 |
|
|
|
| Total Long-Term Investments | | | | |
| (Cost—$126,682,838)—99.7% | | | | 158,189,476 |
|
|
|
See Notes to Financial Statements.
28
| |
|
|
| BlackRock Series Fund, Inc. | |
| BlackRock Fundamental Growth Portfolio | |
| Schedule of Investments December 31, 2009 (Concluded) | (Percentages shown are based on Net Assets) |
|
| | | | | |
| Short-Term Securities | Shares | | | Value |
|
|
|
| BlackRock Liquidity Funds, TempFund, | | | | | |
| Institutional Class, 0.11% (c)(d) | 487,049 | | $ | 487,049 | |
|
| | Beneficial | | | | |
| | Interest | | | | |
| | (000) | | | | |
|
|
|
| BlackRock Liquidity Series, LLC Money | | | | | |
| Market Series, 0.29% (c)(d)(e) | $9,222 | | | 9,222,200 | |
|
|
|
| Total Short-Term Securities | | | | | |
| (Cost—$9,709,249)—6.1% | | | | 9,709,249 | |
|
|
|
| Total Investments | | | | | |
| (Cost—$136,392,087*)—105.8% | | | | 167,898,725 | |
| | | | | | |
| Liabilities in Excess of Other Assets—(5.8)% | | | | (9,265,943 | ) |
| | |
|
|
| Net Assets—100.0% | | | $ | 158,632,782 | |
| | |
|
| * | The cost and unrealized appreciation (depreciation) of investments as of December 31, 2009, as computed for federal income tax purposes, were as follows: |
| | | | |
| | | | |
| | Aggregate cost | $ | 139,067,996 |
| | |
|
| | Gross unrealized appreciation | $ | 30,741,238 |
| | Gross unrealized depreciation | | (1,910,509) |
| | |
|
|
| | Net unrealized appreciation | $ | 28,830,729 |
| | |
|
| (a) | Non-income producing security. |
| | |
| (b) | Security, or a portion of security, is on loan. |
| | |
| (c) | Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows: |
| | | | |
|
| | Net | | |
| Affiliate | Activity | Income |
|
| BlackRock Liquidity Funds, TempFund, | | | | |
| Institutional Class | $ | 487,049 | $ | 1,748 |
| BlackRock Liquidity Series, LLC | | | | |
| Cash Sweep Series | | — | $ | 940 |
| BlackRock Liquidity Series, LLC | | | | |
| Money Market Series | $ | 9,222,200 | $ | 5,423 |
|
| (d) | Represents the current yield as of report date. |
| | |
| (e) | Security was purchased with the cash collateral from securities loans. |
| | |
| For Portfolio compliance purposes, the Portfolio's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Portfolio management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. |
| | |
| Fair Value Measurements—Various inputs are used in determining the fair value of investments, which are as follows: |
| | | |
| | | Level 1—price quotations in active markets/exchanges for identical asset and liabilities |
| | | |
| | | Level 2—other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
| | | |
| | | Level 3—unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio's own assumptions used in determining the fair value of investments) |
| | |
| | The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Portfolio's policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. |
| | |
| | The following table summarizes the inputs used as of December 31, 2009 in determining the fair valuation of the Portfolio's investments: |
| | Valuation | Investments in |
| | Inputs | Securities |
| |
|
| | | Assets |
| | |
|
| | Level 1 | | |
| | Long-Term Investments1 | $ | 158,189,476 |
| | Short-Term Securities | | 487,049 |
| | |
|
| | Total Level 1 | | 158,676,525 |
| | |
|
| | Level 2—Short-Term Securities | | 9,222,200 |
| | Level 3 | | — |
| | |
|
| | Total | $ | 167,898,725 |
| | |
|
| 1 | See above Schedule of Investments for values in each industry. | | |
See Notes to Financial Statements.
29
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock Global Allocation Portfolio | |
| Consolidated Schedule of Investments December 31, 2009 | (Percentages shown are based on Net Assets) |
|
| | | | |
| Common Stocks | Shares | | Value |
|
|
|
|
| Australia—0.7% | | | | |
| BHP Billiton Ltd. | 21,900 | | $ | 838,039 |
| CSL Ltd. | 8,700 | | | 252,991 |
| Newcrest Mining Ltd. | 6,040 | | | 191,315 |
| Telstra Corp. Ltd. | 58,000 | | | 178,314 |
| Transurban Group | 11,416 | | | 56,499 |
| Woodside Petroleum Ltd. | 10,075 | | | 424,883 |
| | |
|
|
| | | | | 1,942,041 |
|
|
| Austria—0.0% | | | | |
| Telekom Austria AG | 7,400 | | | 105,633 |
| |
|
|
| Belgium—0.1% | | | | |
| RHJ International (a) | 31,800 | | | 241,501 |
| RHJ International—ADR (a)(b) | 11,100 | | | 84,972 |
| | |
|
|
| | | | | 326,473 |
|
|
| Brazil—2.5% | | | | |
| All America Latina Logistica SA | 11,430 | | | 107,013 |
| Banco Itau Holding Financeira SA | | | | |
| (Preference Shares) | 6,700 | | | 148,893 |
| Cia Brasileira de Distribuicao Grupo | | | | |
| Pao de Acucar (Preference Shares) | 14,547 | | | 543,277 |
| Cia Energetica de Minas Gerais—ADR | 4,861 | | | 87,790 |
| Cosan Ltd. (a) | 25,900 | | | 225,330 |
| Cyrela Brazil Realty SA | 30,700 | | | 432,022 |
| GVT Holding SA (a) | 5,600 | | | 180,094 |
| Hypermarcas SA (a) | 28,400 | | | 652,499 |
| MRV Engenharia e Participacoes SA | 28,200 | | | 228,386 |
| NET Servicos de Comunicacao SA | | | | |
| (Preference Shares) (a) | 8,800 | | | 121,310 |
| Petroleo Brasileiro SA—ADR | 6,200 | | | 295,616 |
| Petroleo Brasileiro SA—ADR | 72,800 | | | 3,085,992 |
| SLC Agricola SA | 24,100 | | | 225,635 |
| Usinas Siderurgicas de Minas Gerais SA | | | | |
| (Preference ‘A’ Shares) | 3,300 | | | 93,617 |
| Vale SA Class A (Preference Shares) | 19,400 | | | 470,236 |
| Vivo Participacoes SA—ADR | 19,375 | | | 600,625 |
| | |
|
|
| | | | | 7,498,335 |
|
|
| Canada—3.1% | | | | |
| Agrium Inc. (a) | 400 | | | 24,600 |
| Alamos Gold, Inc. (a) | 27,100 | | | 325,454 |
| BCE, Inc. | 900 | | | 24,849 |
| Barrick Gold Corp. | 25,294 | | | 996,078 |
| Canadian Natural Resources Ltd. | 4,700 | | | 338,165 |
| Canadian Pacific Railway Ltd. | 10,500 | | | 568,622 |
| Cenovus Energy, Inc. | 400 | | | 10,080 |
| Eldorado Gold Corp. (a) | 39,500 | | | 563,503 |
| EnCana Corp. | 400 | | | 12,956 |
| Goldcorp, Inc. | 29,200 | | | 1,148,728 |
| Golden Star Resources Ltd. (a) | 16,000 | | | 49,873 |
| IAMGOLD Corp. | 61,700 | | | 964,988 |
| IAMGOLD, International African Mining Gold Corp. | 20,000 | | | 315,724 |
| Kinross Gold Corp. | 79,393 | | | 1,468,152 |
| New Gold, Inc. (a) | 2,900 | | | 10,537 |
| Potash Corp. of Saskatchewan, Inc. | 1,400 | | | 151,900 |
| Rogers Communications, Inc., Class B | 9,400 | | | 291,400 |
| Sino-Forest Corp. (a) | 20,800 | | | 385,432 |
| Suncor Energy, Inc. | 5,675 | | | 201,909 |
| TELUS Corp. | 2,800 | | | 91,321 |
| Thomson Reuters Corp. | 400 | | | 12,900 |
| Talisman Energy, Inc. | 3,200 | | | 60,134 |
| Teck Resources Ltd., Class B (a) | 600 | | | 20,982 |
| Vittera, Inc. (a) | 8,500 | | | 80,217 |
| Yamaha Gold, Inc. | 87,260 | | | 1,001,214 |
| | |
|
|
| | | | | 9,119,718 |
|
|
| | | | |
| Chile—0.1% | | | | |
| Banco Santander Chile SA—ADR | 1,600 | | | 103,648 |
| Sociedad Quimica y Minera de Chile SA | 3,700 | | | 139,009 |
| | |
|
|
| | | | | 242,657 |
|
|
| China—1.5% | | | | |
| Beijing Enterprises Holdings Ltd. | 156,667 | | | 1,134,701 |
| Chaoda Modern Agriculture Holdings Ltd. | 603,504 | | | 642,425 |
| China BlueChemical Ltd. | 146,600 | | | 89,537 |
| China Communications Services Corp. Ltd. | 3,100 | | | 1,517 |
| China Huiyan Juice Group Ltd. | 35,000 | | | 24,818 |
| China Life Insurance Co. Ltd. | 37,500 | | | 183,498 |
| China Life Insurance Co. Ltd.—ADR | 2,933 | | | 215,136 |
| China Mobile Ltd. | 43,000 | | | 400,094 |
| China Shenhua Energy Co. Ltd., Class H | 114,900 | | | 557,760 |
| China South Locomotive and Rolling Corp. | 81,600 | | | 59,590 |
| China Unicom Ltd. | 50,000 | | | 65,613 |
| Denway Motors Ltd. | 156,500 | | | 98,867 |
| Guangshen Railway Co. Ltd. | 328,600 | | | 133,542 |
| Jiangsu Express | 28,000 | | | 24,891 |
| Ping An Insurance Group Co. of China Ltd. | 12,900 | | | 112,168 |
| Shanghai Industrial Holdings Ltd. | 11,600 | | | 58,838 |
| Tianjin Development Holdings Ltd. | 667,800 | | | 495,683 |
| Tianjin Port Development Holdings Ltd. | 351,200 | | | 126,511 |
| Xiamen International Port Co. Ltd. | 310,600 | | | 55,542 |
| | |
|
|
| | | | | 4,480,731 |
|
|
| Egypt—0.1% | | | | |
| Telecom Egypt | 112,847 | | | 375,003 |
|
|
|
| Finland—0.0% | | | | |
| Fortum Oyj | 4,300 | | | 116,657 |
|
|
|
| France—0.8% | | | | |
| AXA—ADR | 300 | | | 7,104 |
| AXA SA | 5,416 | | | 127,162 |
| Cie Generale d’Optique Essilor | | | | |
| International SA | 10,000 | | | 598,115 |
| France Telecom SA | 24,100 | | | 602,217 |
| Sanofi-Aventis | 1,900 | | | 149,421 |
| Sanofi-Aventis—ADR | 400 | | | 15,708 |
| Thales SA | 2,800 | | | 143,907 |
| Total SA | 10,329 | | | 663,430 |
| | |
|
|
| | | | | 2,307,064 |
|
|
| Germany—0.2% | | | | |
| Allianz AG Registered Shares | 1,038 | | | 128,670 |
| Bayer AG | 3,230 | | | 258,476 |
| Bayer AG—ADR | 200 | | | 15,960 |
| Bayerische Motoren Werke AG | 1,800 | | | 81,940 |
| | |
|
|
| | | | | 485,046 |
|
|
| Hong Kong—0.6% | | | | |
| Cheung Kong Holdings Ltd. | 17,000 | | | 218,453 |
| Cheung Kong Infrastructure Holdings Ltd. | 51,100 | | | 194,317 |
| China Pacific Insurance Group Co., Ltd. (a) | 20,100 | | | 80,106 |
| China Telecom Corp., Ltd. | 240,000 | | | 99,244 |
| HSBC Holdings Plc Hong Kong Registered | 22,100 | | | 251,386 |
| Hutchison Whampoa Ltd. | 34,470 | | | 235,839 |
| The Link Real Estate Investment Trust | 200,900 | | | 512,641 |
| Ports Design Ltd. | 800 | | | 2,467 |
| Wharf Holdings Ltd. | 48,150 | | | 276,333 |
| | |
|
|
| | | | | 1,870,786 |
|
|
| India—0.7% | | | | |
| Adani Power Ltd. (a) | 82,930 | | | 176,428 |
| Bharat Heavy Electricals Ltd. | 9,100 | | | 468,469 |
| Container Corp. of India | 2,700 | | | 75,789 |
| Hindustan Lever Ltd. | 17,300 | | | 98,049 |
See Notes to Consolidated Financial Statements.
30
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock Global Allocation Portfolio | |
| Consolidated Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | |
| Common Stocks | Shares | | Value |
|
|
|
|
| India (concluded) | | | | |
| Housing Development Finance Corp. | 3,400 | | $ | 194,531 |
| Larsen & Toubro Ltd. | 7,500 | | | 270,031 |
| Reliance Industries Ltd. | 23,600 | | | 551,434 |
| State Bank of India Ltd. | 7,000 | | | 340,216 |
| | |
|
|
| | | | | 2,174,947 |
|
|
| Indonesia—0.1% | | | | |
| Bumi Resources Tbk PT | 799,634 | | | 203,598 |
| Telekomunikasi Indonesia Tbk PT | 118,100 | | | 117,560 |
| | |
|
|
| | | | | 321,158 |
|
|
| Ireland—0.1% | | | | |
| Accenture Plc | 600 | | | 24,900 |
| Covidien Plc | 5,308 | | | 254,200 |
| | |
|
|
| | | | | 279,100 |
|
|
| Israel—0.2% | | | | |
| AFI Development Plc—GDR (a) | 30,700 | | | 60,172 |
| Check Point Software Technologies Ltd. (a) | 800 | | | 27,104 |
| Ectel Ltd. (a) | 4,906 | | | 6,083 |
| Teva Pharmaceutical Industries Ltd.—ADR | 9,606 | | | 539,665 |
| | |
|
|
| | | | | 633,024 |
|
|
| Italy—0.1% | | | | |
| Assicurazioni Generali SpA | 2,400 | | | 64,657 |
| Intesa Sanpaolo SpA | 32,400 | | | 145,801 |
| | |
|
|
| | | | | 210,458 |
|
|
| Japan—6.2% | | | | |
| Aioi Insurance Co., Ltd. | 119,000 | | | 570,419 |
| Astellas Pharma, Inc. | 4,900 | | | 182,813 |
| The Bank of Kyoto Ltd. | 18,300 | | | 147,912 |
| Canon, Inc. | 12,350 | | | 525,350 |
| Coca-Cola Central Japan Co., Ltd. | 4,783 | | | 59,678 |
| Coca-Cola West Holdings Co., Ltd. | 14,018 | | | 247,327 |
| Daihatsu Motor Co., Ltd. | 11,900 | | | 118,952 |
| Daikin Industries Ltd. | 1,100 | | | 43,447 |
| Daiwa House Industry Co., Ltd. | 18,100 | | | 194,624 |
| East Japan Railway Co. | 8,297 | | | 525,040 |
| Fanuc Ltd. | 850 | | | 79,222 |
| Fuji Heavy Industries Ltd. | 39,000 | | | 190,567 |
| Fujitsu Ltd. | 11,000 | | | 71,373 |
| Futaba Industrial Co., Ltd. | 14,900 | | | 124,755 |
| Hitachi Chemical Co., Ltd. | 10,300 | | | 209,920 |
| Hokkaido Coca-Cola Bottling Co., Ltd. | 3,900 | | | 19,084 |
| Honda Motor Co., Ltd. | 10,500 | | | 356,251 |
| Hoya Corp. | 17,800 | | | 474,949 |
| JGC Corp. | 20,000 | | | 368,553 |
| KDDI Corp. | 133 | | | 704,463 |
| Kinden Corp. | 14,000 | | | 118,632 |
| Kirin Holdings Co., Ltd. | 27,000 | | | 432,999 |
| Kubota Corp. | 62,100 | | | 569,820 |
| Kyowa Hakko Kirin Co. Ltd. | 14,000 | | | 148,047 |
| Marco Polo Investment Holdings Ltd. (a) | 105 | | | — |
| Mikuni Coca-Cola Bottling Co., Ltd. | 10,500 | | | 81,889 |
| Mitsubishi Corp. | 43,500 | | | 1,083,524 |
| Mitsubishi Tanabe Pharma Corp. | 8,000 | | | 99,823 |
| Mitsubishi UFJ Financial Group, Inc. | 71,800 | | | 353,671 |
| Mitsui & Co., Ltd. | 46,900 | | | 665,329 |
| Mitsui Sumitomo Insurance Group | | | | |
| Holdings, Inc. | 11,300 | | | 288,616 |
| Murata Manufacturing Co., Ltd. | 5,400 | | | 269,499 |
| NCB Holdings Ltd. (a) | 860 | | | — |
| NGK Insulators Ltd. | 6,600 | | | 144,338 |
| NTT DoCoMo, Inc. | 632 | | | 881,949 |
| NTT Urban Development Co. | 97 | | | 64,751 |
| Nintendo Co., Ltd. | 600 | | | 143,302 |
| | | | |
| Nippon Telegraph & Telephone Corp. | 7,200 | | | 284,422 |
| Nipponkoa Insurance Co., Ltd. | 73,400 | | | 417,906 |
| Nomura Holdings, Inc. | 29,100 | | | 216,407 |
| Okumura Corp. | 50,200 | | | 169,483 |
| Rinnai Corp. | 2,300 | | | 111,147 |
| Rohm Co., Ltd. | 2,900 | | | 189,262 |
| Sekisui House Ltd. | 46,500 | | | 422,142 |
| Seven & I Holdings Co., Ltd. | 20,800 | | | 424,704 |
| Shimachu Co., Ltd. | 2,400 | | | 47,300 |
| Shin-Etsu Chemical Co., Ltd. | 13,700 | | | 773,479 |
| Shionogi & Co., Ltd. | 9,700 | | | 210,309 |
| Sony Corp.—ADR | 200 | | | 5,800 |
| Sumitomo Chemical Co., Ltd. | 197,500 | | | 866,524 |
| Sumitomo Electric Industries Ltd. | 6,400 | | | 79,718 |
| Suzuki Motor Corp. | 26,500 | | | 652,616 |
| TDK Corp. | 2,800 | | | 171,115 |
| Tadano Ltd. | 4,000 | | | 16,643 |
| Terumo Corp. | 1,700 | | | 102,459 |
| Toda Corp. | 44,300 | | | 141,979 |
| Toho Co., Ltd. | 12,000 | | | 194,921 |
| Tokio Marine Holdings, Inc. | 35,500 | | | 968,767 |
| Tokyo Gas Co., Ltd. | 93,000 | | | 371,222 |
| Toyota Industries Corp. | 14,100 | | | 421,113 |
| Toyota Motor Corp. | 7,800 | | | 328,856 |
| Ube Industries Ltd. | 72,600 | | | 198,634 |
| West Japan Railway Co. | 58 | | | 194,454 |
| | |
|
|
| | | | | 18,542,270 |
|
|
| Kazakhstan—0.3% | | | | |
| KazMunaiGas Exploration Production—GDR | 30,000 | | | 747,000 |
|
|
|
| Luxembourg—0.0% | | | | |
| Millicom International Cellular SA | 300 | | | 22,131 |
|
|
|
| Malaysia—0.4% | | | | |
| Axiata Group Bhd (a) | 123,750 | | | 110,037 |
| British American Tobacco Malaysia Bhd | 11,600 | | | 144,793 |
| Genting Malaysia Bhd | 77,433 | | | 63,282 |
| IOI Corp. Bhd | 204,261 | | | 325,254 |
| PLUS Expressways Bhd | 277,855 | | | 264,696 |
| Telekom Malaysia Bhd | 55,000 | | | 49,056 |
| Tenaga Nasional Bhd | 85,487 | | | 209,135 |
| | |
|
|
| | | | | 1,166,253 |
|
|
| Mexico—0.2% | | | | |
| America Movil, SA de CV—ADR | 9,400 | | | 441,612 |
| Fomento Economico Mexicano, SA | | | | |
| de CV—ADR | 2,500 | | | 119,700 |
| | |
|
|
| | | | | 561,312 |
|
|
| Netherlands—0.2% | | | | |
| Koninklijke KPN NV | 13,838 | | | 235,211 |
| Koninklijke Philips Electronics NV | 5,300 | | | 156,533 |
| Unilever NV—ADR | 3,800 | | | 122,854 |
| | |
|
|
| | | | | 514,598 |
|
|
| Norway—0.1% | | | | |
| Statoil ASA | 12,600 | | | 314,239 |
|
|
|
| Philippines—0.0% | | | | |
| First Gen Corp. (a) | 9,000 | | | 1,877 |
|
|
|
| Russia—1.1% | | | | |
| Kuzbassrazrezugol (a) | 537,062 | | | 204,084 |
| MMC Norilsk Nickel—ADR (a) | 24,658 | | | 353,842 |
| Novorossiysk Commercial Sea Port—GDR | 54,400 | | | 626,144 |
| OAO Rosneft Oil Co.—GDR (a) | 17,300 | | | 148,780 |
| Polyus Gold Co. ZAO—ADR | 14,100 | | | 391,275 |
| RusHydro—ADR (a) | 196,408 | | | 752,243 |
See Notes to Consolidated Financial Statements.
31
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock Global Allocation Portfolio | |
| Consolidated Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | |
| Common Stocks | Shares | | Value |
|
|
|
|
| Russia (concluded) | | | | |
| Sberbank | 265,100 | | $ | 744,666 |
| Surgutneftegaz—ADR | 15,200 | | | 135,280 |
| Uralkali—ADR | 900 | | | 18,900 |
| | |
|
|
| | | | | 3,375,214 |
|
|
| Singapore—0.8% | | | | |
| CapitaLand Ltd. | 9,300 | | | 27,589 |
| DBS Group Holdings Ltd. | 12,000 | | | 130,452 |
| Fraser and Neave Ltd. | 79,700 | | | 236,913 |
| Keppel Corp. Ltd. | 55,100 | | | 320,965 |
| MobileOne Ltd. | 98,400 | | | 132,284 |
| Noble Group Ltd. | 92,460 | | | 212,080 |
| Oversea-Chinese Banking Corp. | 56,400 | | | 363,168 |
| Parkway Holdings Ltd. | 115,371 | | | 238,438 |
| Parkway Life Real Estate Investment Trust | 4,875 | | | 4,214 |
| Sembcorp Marine Ltd. | 42,800 | | | 111,672 |
| Singapore Press Holdings Ltd. | 39,000 | | | 101,526 |
| Singapore Telecommunications Ltd. | 194,400 | | | 428,189 |
| United Overseas Bank Ltd. | 6,000 | | | 83,519 |
| | |
|
|
| | | | | 2,391,009 |
|
|
| South Africa—0.1% | | | | |
| Anglo Platinum Ltd. | 800 | | | 85,418 |
| Gold Fields Ltd.—ADR | 6,100 | | | 79,971 |
| Impala Platinum Holdings Ltd. | 3,300 | | | 90,203 |
| Katanga Mining Ltd. (a) | 55,752 | | | 37,315 |
| Sasol Ltd. | 2,900 | | | 116,215 |
| | |
|
|
| | | | | 409,122 |
|
|
| South Korea—0.8% | | | | |
| Cheil Industries, Inc. (a) | 2,000 | | | 96,849 |
| KT Corp.—ADR | 20,360 | | | 342,455 |
| KT&G Corp. (a) | 6,200 | | | 342,884 |
| Korean Reinsurance Co. | 3,036 | | | 25,641 |
| LG Corp. (a) | 1,700 | | | 106,186 |
| LG Display Co. Ltd. (a) | 5,300 | | | 179,195 |
| LS Corp. (a) | 2,800 | | | 278,522 |
| Meritz Fire & Marine Insurance Co. Ltd. | 3,051 | | | 17,851 |
| POSCO—ADR | 2,300 | | | 301,530 |
| Paradise Co. Ltd. (a) | 18,232 | | | 59,566 |
| SK Telecom Co., Ltd. | 700 | | | 102,177 |
| Samsung Electronics Co., Ltd. | 550 | | | 377,151 |
| Samsung Fine Chemicals Co., Ltd. (a) | 4,500 | | | 181,467 |
| | |
|
|
| | | | | 2,411,474 |
|
|
| Spain—0.1% | | | | |
| Iberdrola Renovables | 19,200 | | | 91,430 |
| Telefonica SA | 12,995 | | | 363,717 |
| | |
|
|
| | | | | 455,147 |
|
|
| Switzerland—1.0% | | | | |
| Credit Suisse Group AG | 3,431 | | | 169,976 |
| Foster Wheeler AG (a) | 7,939 | | | 233,724 |
| Nestle SA Registered Shares | 21,156 | | | 1,026,778 |
| Noble Corp. | 573 | | | 23,321 |
| Novartis AG Registered Shares | 4,539 | | | 247,871 |
| Roche Holding AG | 1,725 | | | 294,997 |
| Transocean Ltd. (a) | 2,701 | | | 223,643 |
| Tyco Electronics Ltd. | 4,308 | | | 105,761 |
| Tyco International Ltd. | 744 | | | 26,546 |
| UBS AG | 12,100 | | | 188,424 |
| Weatherford International Ltd. (a) | 5,836 | | | 104,523 |
| Zurich Financial Services AG | 1,207 | | | 263,879 |
| | |
|
|
| | | | | 2,909,443 |
|
|
| Taiwan—0.9% | | | | |
| ASUSTEK Computer, Inc. | 65,074 | | | 125,337 |
| Catcher Technology Co. Ltd. | 20,900 | | | 58,131 |
| | | | |
| Cheng Shin Rubber Industry Co. Ltd. | 24,000 | | | 55,431 |
| Chunghwa Telecom Co., Ltd. | 101,658 | | | 189,595 |
| Chunghwa Telecom Co. Ltd.—ADR | 22,176 | | | 411,808 |
| Compal Electronics, Inc. | 46,000 | | | 63,540 |
| Delta Electronics, Inc. | 98,255 | | | 309,086 |
| Far EasTone Telecommunications Co., Ltd. | 112,000 | | | 134,106 |
| HON HAI Precision Industry Co., Ltd. | 45,222 | | | 211,488 |
| HTC Corp. | 25,150 | | | 288,133 |
| MediaTek, Inc. | 7,000 | | | 121,622 |
| Taiwan Cement Corp. | 221,124 | | | 234,796 |
| Taiwan Semiconductor Manufacturing | | | | |
| Co., Ltd. | 176,192 | | | 355,110 |
| | |
|
|
| | | | | 2,558,183 |
|
|
| Thailand—0.2% | | | | |
| Hana Microelectronics Pcl | 114,400 | | | 71,371 |
| PTT Public Co. THB10 | 34,400 | | | 253,821 |
| Siam Commercial Bank Pcl | 113,000 | | | 294,024 |
| | |
|
|
| | | | | 619,216 |
|
|
| Turkey—0.2% | | | | |
| BIM Birlesik Magazalar AS | 3,700 | | | 172,062 |
| Tupas Turkiye Petrol Rafine | 8,800 | | | 174,601 |
| Turkiye Garanti Bankasi AS | 64,100 | | | 273,060 |
| | |
|
|
| | | | | 619,723 |
|
|
| United Kingdom—1.8% | | | | |
| Antofagasta Plc | 8,100 | | | 128,851 |
| AstraZeneca Group Plc—ADR | 500 | | | 23,470 |
| BP Plc | 60,570 | | | 584,874 |
| BP Plc—ADR | 10,500 | | | 608,685 |
| British American Tobacco Plc | 6,619 | | | 214,874 |
| Diageo Plc—ADR | 11,600 | | | 805,156 |
| Guinness Peat Group Plc | 256,063 | | | 155,730 |
| HSBC Holdings Plc | 79,900 | | | 911,525 |
| HSBC Holdings Plc—ADR | 3,800 | | | 216,942 |
| Lloyds TSB Group Plc | 348,894 | | | 280,712 |
| Prudential Plc | 6,800 | | | 69,606 |
| Royal Dutch Shell Plc—ADR | 1,000 | | | 60,110 |
| Shire Pharmaceuticals Plc—ADR | 300 | | | 17,610 |
| Standard Chartered Plc | 3,000 | | | 75,738 |
| Unilever Plc | 6,285 | | | 201,468 |
| Unilever Plc—ADR | 4,600 | | | 146,740 |
| Vodafone Group Plc | 202,795 | | | 469,614 |
| Vodafone Group Plc—ADR | 14,322 | | | 330,695 |
| | |
|
|
| | | | | 5,302,400 |
|
|
| United States—29.5% | | | | |
| 3Com Corp. (a) | 63,239 | | | 474,293 |
| 3M Co. | 6,404 | | | 529,419 |
| ACE Ltd. | 16,713 | | | 842,335 |
| The AES Corp. (a) | 1,400 | | | 18,634 |
| AOL, Inc. (a) | 444 | | | 10,334 |
| AT&T Inc. | 78,229 | | | 2,192,759 |
| Abbott Laboratories | 16,259 | | | 877,823 |
| Advance Auto Parts, Inc. | 600 | | | 24,288 |
| Aetna, Inc. | 17,089 | | | 541,721 |
| Alliance Resource Partners LP | 3,412 | | | 147,978 |
| The Allstate Corp. | 4,154 | | | 124,786 |
| Altria Group, Inc. | 15,829 | | | 310,723 |
| Amdocs Ltd. (a) | 800 | | | 22,824 |
| American Commercial Lines, Inc. (a) | 6,049 | | | 110,878 |
| American Water Works Co, Inc. | 3,349 | | | 75,051 |
| AmerisourceBergen Corp. | 4,900 | | | 127,743 |
| Amgen, Inc. (a) | 7,900 | | | 446,903 |
| Amphenol Corp., Class A | 1,096 | | | 50,613 |
See Notes to Consolidated Financial Statements.
32
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock Global Allocation Portfolio | |
| Consolidated Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | |
| Common Stocks | Shares | | Value |
|
|
|
|
| United States (continued) | | | | |
| Anadarko Petroleum Corp. | 7,695 | | $ | 480,322 |
| Analog Devices, Inc. | 1,911 | | | 60,349 |
| Apache Corp. | 4,551 | | | 469,527 |
| Apple, Inc. (a) | 3,400 | | | 716,924 |
| Arch Capital Group Ltd. (a) | 2,583 | | | 184,814 |
| Archer-Daniels-Midland Co. | 384 | | | 12,023 |
| Ascent Media Corp., Class A (a) | 54 | | | 1,379 |
| Axis Capital Holdings Ltd. | 168 | | | 4,773 |
| BMC Software, Inc. (a) | 1,200 | | | 48,120 |
| Bank of America Corp. | 72,232 | | | 1,087,814 |
| The Bank of New York Mellon Corp. (c) | 32,844 | | | 918,647 |
| Baxter International, Inc. | 2,613 | | | 153,331 |
| Beckman Coulter, Inc. | 300 | | | 19,632 |
| Biogen Idec, Inc. (a) | 400 | | | 21,400 |
| Biosante Pharmaceuticals, Inc. (a) | 1,057 | | | 1,533 |
| Boeing Co. | 13,950 | | | 755,114 |
| Boston Scientific Corp. (a) | 10,489 | | | 94,401 |
| Bristol-Myers Squibb Co. | 97,030 | | | 2,449,997 |
| Broadcom Corp., Class A (a) | 3,676 | | | 115,610 |
| Bunge Ltd. | 1,441 | | | 91,979 |
| Burlington Northern Santa Fe Corp. | 8,800 | | | 867,856 |
| CA, Inc. | 26,639 | | | 598,312 |
| CF Industries Holdings, Inc. | 1,900 | | | 172,482 |
| CMS Energy Corp. | 6,021 | | | 94,289 |
| CNA Financial Corp. (a) | 300 | | | 7,200 |
| CNX Gas Corp. (a) | 3,629 | | | 107,128 |
| CVS Caremark Corp. | 10,735 | | | 345,774 |
| Cardinal Health, Inc. | 700 | | | 22,568 |
| CareFusion Corp. (a) | 900 | | | 22,509 |
| CenturyTel, Inc. | 2,023 | | | 73,253 |
| Chesapeake Energy Corp. | 3,200 | | | 82,816 |
| Chevron Corp. | 23,017 | | | 1,772,079 |
| Chipotle Mexican Grill, Inc., Class A (a) | 400 | | | 35,264 |
| Chubb Corp. | 6,728 | | | 330,883 |
| Cigna Corp. | 11,000 | | | 387,970 |
| Cisco Systems, Inc. (a) | 45,034 | | | 1,078,114 |
| Citigroup, Inc. | 228,730 | | | 757,096 |
| The Coca-Cola Co. | 6,047 | | | 344,679 |
| Cognizant Technology Solutions Corp. (a) | 1,881 | | | 85,209 |
| Colgate-Palmolive Co. | 5,500 | | | 451,825 |
| Comcast Corp., Class A | 51,805 | | | 873,432 |
| Comerica, Inc. | 700 | | | 20,699 |
| Complete Production Services, Inc. (a) | 14,281 | | | 185,653 |
| Computer Sciences Corp. (a) | 1,700 | | | 97,801 |
| Comverse Technology, Inc. (a) | 21,508 | | | 203,251 |
| ConAgra Foods, Inc. | 4,887 | | | 112,645 |
| ConocoPhillips | 17,443 | | | 890,814 |
| Consol Energy, Inc. | 24,000 | | | 1,195,200 |
| Constellation Brands, Inc., Class A (a) | 4,136 | | | 65,886 |
| Corning, Inc. | 57,443 | | | 1,109,224 |
| Crown Holdings, Inc. (a) | 6,208 | | | 158,801 |
| DIRECTV, Class A (a) | 15 | | | 500 |
| DISH Network Corp. | 5,188 | | | 107,755 |
| DaVita, Inc. (a) | 3,688 | | | 216,633 |
| Dell, Inc. (a) | 19,749 | | | 283,596 |
| Devon Energy Corp. | 5,775 | | | 424,463 |
| Discover Financial Services, Inc. | 50 | | | 736 |
| Discovery Communications, Inc., | | | | |
| Class A (a) | 299 | | | 9,170 |
| Discovery Communications, Inc., | | | | |
| Class C (a) | 297 | | | 7,876 |
| Dover Corp. | 500 | | | 20,805 |
| | | | |
| The Dow Chemical Co. | 18,049 | | | 498,694 |
| Dr. Pepper Snapple Group, Inc. | 3,425 | | | 96,928 |
| E.I. du Pont de Nemours & Co. | 12,568 | | | 423,165 |
| EMC Corp. (a) | 21,163 | | | 369,718 |
| Eastman Chemical Co. | 400 | | | 24,096 |
| Eaton Corp. | 400 | | | 25,448 |
| eBay, Inc. (a) | 9,211 | | | 216,827 |
| Edison International | 600 | | | 20,868 |
| El Paso Corp. | 55,238 | | | 542,990 |
| Electronic Arts, Inc. (a) | 14,866 | | | 263,872 |
| Eli Lilly & Co. | 5,945 | | | 212,296 |
| Endo Pharmaceuticals Holdings, Inc. (a) | 1,899 | | | 38,948 |
| Endurance Specialty Holdings Ltd. | 7,501 | | | 279,262 |
| Entergy Corp. | 4,073 | | | 333,334 |
| Everest Re Group Ltd. | 1,454 | | | 124,579 |
| Exelon Corp. | 5,991 | | | 292,780 |
| Extreme Networks, Inc. (a) | 662 | | | 1,900 |
| Exxon Mobil Corp. | 31,405 | | | 2,141,507 |
| FMC Corp. | 9,810 | | | 547,006 |
| FPL Group, Inc. | 9,187 | | | 485,257 |
| Family Dollar Stores, Inc. | 400 | | | 11,132 |
| Fidelity National Information | | | | |
| Services, Inc. | 2,000 | | | 46,880 |
| Fidelity National Title Group, Inc., | | | | |
| Class A | 27,313 | | | 367,633 |
| Fluor Corp. | 300 | | | 13,512 |
| Forest Laboratories, Inc. (a) | 2,636 | | | 84,642 |
| Freeport-McMoRan Copper & Gold, Inc., | | | | |
| Class B | 6,200 | | | 497,798 |
| The Gap, Inc. | 716 | | | 15,000 |
| Garmin Ltd. | 700 | | | 21,490 |
| General Communication, Inc., | | | | |
| Class A (a) | 4,700 | | | 29,986 |
| General Dynamics Corp. | 800 | | | 54,536 |
| General Electric Co. | 116,000 | | | 1,755,080 |
| General Mills, Inc. | 3,344 | | | 236,789 |
| Genzyme Corp. (a) | 8,125 | | | 398,206 |
| Gilead Sciences, Inc. (a) | 5,002 | | | 216,487 |
| Global Industries Ltd. (a) | 41,326 | | | 294,654 |
| Global Payments, Inc. | 400 | | | 21,544 |
| The Goldman Sachs Group, Inc. | 2,800 | | | 472,752 |
| Goodrich Corp. | 300 | | | 19,275 |
| Google, Inc., Class A (a) | 2,100 | | | 1,301,958 |
| H.J. Heinz Co. | 3,629 | | | 155,176 |
| Halliburton Co. | 7,790 | | | 234,401 |
| Hanesbrands, Inc. (a) | 439 | | | 10,584 |
| Harris Corp. | 900 | | | 42,795 |
| HealthSouth Corp. (a) | 5,420 | | | 101,733 |
| Hess Corp. | 5,296 | | | 320,408 |
| Hewitt Associates, Inc., Class A (a) | 600 | | | 25,356 |
| Hewlett-Packard Co. | 16,014 | | | 824,881 |
| Hologic, Inc. (a) | 33,976 | | | 492,652 |
| Humana, Inc. (a) | 8,543 | | | 374,952 |
| ITT Corp. | 400 | | | 19,896 |
| Intel Corp. | 29,328 | | | 598,291 |
| International Business Machines Corp. | 13,821 | | | 1,809,169 |
| International Game Technology | 14,941 | | | 280,443 |
| International Paper Co. | 4,532 | | | 121,367 |
| JDS Uniphase Corp. (a) | 2,663 | | | 21,970 |
| JPMorgan Chase & Co. | 46,701 | | | 1,946,031 |
| Johnson & Johnson | 30,958 | | | 1,994,005 |
| KBR, Inc. | 6,692 | | | 127,148 |
See Notes to Consolidated Financial Statements.
33
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock Global Allocation Portfolio | |
| Consolidated Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | |
| Common Stocks | Shares | | Value |
|
|
|
|
| United States (continued) | | | | |
| Key Energy Services, Inc. (a) | 4,800 | | $ | 42,192 |
| Kimberly-Clark Corp. | 300 | | | 19,113 |
| King Pharmaceuticals, Inc. (a) | 2,648 | | | 32,491 |
| Kraft Foods, Inc. | 24,680 | | | 670,802 |
| L-3 Communications Holdings, Inc. | 100 | | | 8,695 |
| LSI Corp. (a) | 1,880 | | | 11,299 |
| Lexmark International, Inc., Class A (a) | 8,400 | | | 218,232 |
| Liberty Media Corp., Series A (a) | 1 | | | 46 |
| Liberty Media Holding Corp.—Capital (a) | 4 | | | 96 |
| Liberty Media Holding Corp.— | | | | |
| Interactive (a) | 410 | | | 4,444 |
| Life Technologies Corp (a) | 3,043 | | | 158,936 |
| Lockheed Martin Corp. | 3,805 | | | 286,707 |
| Lorillard, Inc. | 1,800 | | | 144,414 |
| Lubrizol Corp. | 300 | | | 21,885 |
| MEMC Electronic Materials, Inc. (a) | 1,400 | | | 19,068 |
| Manpower, Inc. | 100 | | | 5,458 |
| Marathon Oil Corp. | 17,425 | | | 544,009 |
| Marsh & McLennan Cos., Inc. | 888 | | | 19,607 |
| Mattel, Inc. | 15,080 | | | 301,298 |
| McDermott International, Inc. (a) | 16,691 | | | 400,751 |
| McDonald’s Corp. | 5,342 | | | 333,554 |
| The McGraw-Hill Cos., Inc. | 400 | | | 13,404 |
| McKesson Corp. | 3,875 | | | 242,188 |
| Mead Johnson Nutrition Co. | 9,724 | | | 424,951 |
| MeadWestvaco Corp. | 900 | | | 25,767 |
| Medco Health Solutions, Inc. (a) | 7,100 | | | 453,761 |
| Medtronic, Inc. | 20,739 | | | 912,101 |
| Merck & Co, Inc. | 37,622 | | | 1,374,708 |
| MetLife, Inc. | 7,861 | | | 277,886 |
| Mettler Toledo International, Inc. (a) | 1,025 | | | 107,615 |
| Microsoft Corp. | 87,209 | | | 2,659,002 |
| Morgan Stanley | 9,932 | | | 293,987 |
| Motorola, Inc. | 38,227 | | | 296,642 |
| Murphy Oil Corp. | 3,016 | | | 163,467 |
| Mylan, Inc. (a) | 10,306 | | | 189,940 |
| NII Holdings, Inc. (a) | 700 | | | 23,506 |
| NRG Energy, Inc. (a) | 5,250 | | | 123,953 |
| Nabors Industries Ltd. (a) | 2,637 | | | 57,724 |
| National Oilwell Varco, Inc. | 10,116 | | | 446,014 |
| National Semiconductor Corp. | 1,624 | | | 24,945 |
| Newmont Mining Corp. | 20,330 | | | 961,812 |
| News Corp., Class A | 18,194 | | | 249,076 |
| Noble Energy, Inc. | 200 | | | 14,244 |
| Northern Trust Corp. | 12,246 | | | 641,690 |
| Northrop Grumman Corp. | 3,200 | | | 178,720 |
| Novell, Inc. (a) | 4,568 | | | 18,957 |
| Occidental Petroleum Corp. | 7,736 | | | 629,324 |
| Oracle Corp. | 41,860 | | | 1,027,244 |
| PPG Industries, Inc. | 400 | | | 23,416 |
| PPL Corp. | 5,281 | | | 170,629 |
| Pall Corp. | 888 | | | 32,146 |
| PartnerRe Ltd. | 1,509 | | | 112,662 |
| PepsiAmericas, Inc. | 1,432 | | | 41,900 |
| PerkinElmer, Inc. | 3,931 | | | 80,939 |
| Perrigo Co. | 5,000 | | | 199,200 |
| Pfizer, Inc. | 91,303 | | | 1,660,802 |
| PharMerica Corp. (a) | 266 | | | 4,224 |
| Philip Morris International, Inc. | 10,011 | | | 482,430 |
| Pitney Bowes, Inc. | 1,000 | | | 22,760 |
| Platinum Underwriters Holdings Ltd. | 3,175 | | | 121,571 |
| Polycom, Inc. (a) | 18,600 | | | 464,442 |
| | | | |
| Praxair, Inc. | 1,369 | | | 109,944 |
| Precision Castparts Corp. | 2,575 | | | 284,151 |
| Pride International, Inc. (a) | 700 | | | 22,337 |
| Principal Financial Group, Inc. | 3,800 | | | 91,352 |
| The Procter & Gamble Co. | 21,403 | | | 1,297,664 |
| The Progressive Corp. | 8,817 | | | 158,618 |
| QUALCOMM, Inc. | 18,915 | | | 875,008 |
| Qwest Communications | | | | |
| International Inc. | 75,701 | | | 318,701 |
| R.R. Donnelley & Sons Co. | 1,000 | | | 22,270 |
| Ralcorp Holdings, Inc. (a) | 774 | | | 46,216 |
| RenaissanceRe Holdings Ltd. | 3,176 | | | 168,804 |
| Reynolds American, Inc. | 300 | | | 15,891 |
| Ross Stores, Inc. | 500 | | | 21,355 |
| RusHydro | 702,273 | | | 26,476 |
| Ryder System, Inc. | 500 | | | 20,585 |
| SUPERVALU, Inc. | 1,735 | | | 22,052 |
| Safeway, Inc. | 466 | | | 9,921 |
| Sara Lee Corp. | 36,798 | | | 448,200 |
| Schlumberger Ltd. | 9,080 | | | 591,017 |
| Seahawk Drilling, Inc. (a) | 33 | | | 744 |
| Smith International, Inc. | 2,109 | | | 57,302 |
| Sohu.com, Inc. (a) | 1,000 | | | 57,280 |
| The Southern Co. | 2,023 | | | 67,406 |
| Spirit Aerosystems Holdings, Inc., | | | | |
| Class A (a) | 22,137 | | | 439,641 |
| Sprint Nextel Corp. (a) | 31,514 | | | 115,341 |
| The St. Joe Co. (a) | 9,974 | | | 288,149 |
| State Street Corp. | 9,500 | | | 413,630 |
| Sun Microsystems, Inc. (a) | 8,899 | | | 83,384 |
| Synopsys, Inc. (a) | 900 | | | 20,052 |
| Target Corp. | 500 | | | 24,185 |
| Tellabs, Inc. (a) | 2,568 | | | 14,586 |
| Teradata Corp. (a) | 1,446 | | | 45,448 |
| Texas Instruments, Inc. | 13,525 | | | 352,462 |
| Thermo Fisher Scientific, Inc. (a) | 5,585 | | | 266,349 |
| Time Warner Cable, Inc. | 1,226 | | | 50,744 |
| Time Warner, Inc. | 4,883 | | | 142,291 |
| Total System Services, Inc. | 2,100 | | | 36,267 |
| Transatlantic Holdings, Inc. | 1,800 | | | 93,798 |
| The Travelers Cos., Inc. | 12,263 | | | 611,433 |
| U.S. Bancorp | 27,642 | | | 622,221 |
| URS Corp. (a) | 300 | | | 13,356 |
| Unifi, Inc. (a) | 17,390 | | | 67,473 |
| Union Pacific Corp. | 15,826 | | | 1,011,281 |
| United Technologies Corp. | 1,927 | | | 133,753 |
| UnitedHealth Group, Inc. | 22,403 | | | 682,843 |
| UnumProvident Corp. | 1,100 | | | 21,472 |
| Valero Energy Corp. | 4,200 | | | 70,350 |
| Validus Holdings Ltd. | 4,763 | | | 128,315 |
| VeriSign, Inc. (a) | 700 | | | 16,968 |
| Verizon Communications, Inc. | 53,374 | | | 1,768,281 |
| Viacom, Inc., Class B (a) | 19,157 | | | 569,538 |
| WABCO Holdings, Inc. | 66 | | | 1,702 |
| Wal-Mart Stores, Inc. | 23,204 | | | 1,240,254 |
| Waters Corp. (a) | 4,000 | | | 247,840 |
| WellPoint, Inc. (a) | 13,906 | | | 810,581 |
| Wells Fargo & Co. | 63,355 | | | 1,709,951 |
| Western Digital Corp. (a) | 2,400 | | | 105,960 |
| The Western Union Co. | 6,002 | | | 113,138 |
| Windstream Corp. | 4,344 | | | 47,741 |
| XL Capital Ltd., Class A | 45,609 | | | 836,013 |
See Notes to Consolidated Financial Statements.
34
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock Global Allocation Portfolio | |
| Consolidated Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | | | | |
| Common Stocks | | Shares | | Value |
|
|
|
|
|
| United States (concluded) | | | | | |
| XTO Energy, Inc. | | 6,700 | | $ | 311,751 |
| Xerox Corp. | | 62,899 | | | 532,126 |
| Xilinx, Inc. | | 998 | | | 25,010 |
| | | |
|
|
| | | | | | | | 87,850,945 |
|
|
| Total Common Stocks—54.8% | | | | | 163,260,387 |
|
|
|
| | | |
|
|
|
| Fixed Income Securities | | | | | |
|
|
| | | | | Par | | | |
| Asset-Backed Securities | | (000) | | | |
|
|
|
|
| United States—0.0% | | | | | |
| Latitude CLO Ltd., Series 2005-1I, Class | | | | | |
| SUB, 13.00%, 12/15/17 (d) | USD | 100 | | | 2,000 |
|
|
|
| Total Asset-Backed Securities—0.0% | | | | | 2,000 |
|
|
|
| | | |
|
|
|
| Corporate Bonds | | | | | |
|
|
| Brazil—0.0% | | | | | |
| Cosan Finance Ltd., 7.00%, 2/01/17 (b) | | 100 | | | 97,000 |
|
|
|
|
|
| Canada—0.3% | | | | | |
| Rogers Wireless Communications, Inc., | | | | | |
7.63%, 12/15/11 | | CAD | 100 | | | 105,071 |
| Sino-Forest Corp. (b): | | | | | |
| 5.00%, 8/01/13 (e) | USD | 606 | | | 715,838 |
10.25%, 7/28/14 | | | 36 | | | 39,060 |
| | |
|
|
| | | | | | | 859,969 |
|
|
China—0.8% | | | | | |
| Celestial Nutrifoods Ltd., 39.26%, | | | | | |
6/12/11 (d)(e) | SGD | 800 | | | 384,383 |
| Chaoda Modern Agriculture Holdings Ltd., | | | | | |
| 7.75%, 2/08/10 | USD | 175 | | | 172,375 |
| China Petroleum & Chemical Corp., 5.79%, | | | | | |
| 4/24/14 (d)(e) | HKD | 3,200 | | | 455,439 |
| GOME Electrical Appliances Holdings Ltd., | | | | | |
| 8.25%, 5/18/14 (d)(e) | CNY | 5,100 | | | 743,299 |
| Pine Agritech Ltd., 26.76%, | | | | | |
| 7/27/12 (d)(e) | | 4,400 | | | 586,495 |
| | |
|
|
| | | | | | | 2,341,991 |
|
|
Europe—0.9% | | | | | |
| European Investment Bank: | | | | | |
| 9.15%, 9/21/10 (b)(d) | BRL | 2,200 | | | 1,148,777 |
| 4.38%, 4/15/13 | | EUR | 850 | | | 1,300,466 |
| Series 1158/0100, 3.63%, 10/15/11 | | 197 | | | 292,840 |
| | |
|
|
| | | | | | | 2,742,083 |
|
|
France—0.1% | | | | | |
| Compagnie Generale des Etablissements | | | | | |
| Michelin Series ML, 8.43%, | | | | | |
1/01/17 (d)(e) | | 98 | | | 150,158 |
|
|
|
|
|
Hong Kong—0.5% | | | | | |
| CITIC Resources Finance Ltd., 6.75%, | | | | | |
5/15/14 (b) | USD | 200 | | | 195,000 |
| FUJI Food and Catering Services | | | | | |
| Holdings Ltd., 28.36%, | | | | | |
10/18/10 (a)(d)(e)(f) | CNY | 1,900 | | | 16,698 |
| Hongkong Land CB 2005 Ltd., 2.75%, | | | | | |
12/21/12 (e) | USD | 100 | | | 134,125 |
| | | | | | | |
| Hutchison Whampoa International: | | | | | |
| (03/33) Ltd., 6.25%, 1/24/14 | USD | 100 | | | 108,966 |
| (09) Ltd., 7.63%, 4/09/19 (b) | | 300 | | | 344,721 |
| (09/16) Ltd., 4.63%, 9/11/15 | | 250 | | | 253,272 |
| Noble Group Ltd., 8.50%, 5/30/13 (b) | | 240 | | | 268,200 |
| | | |
|
|
| | | | | | 1,320,982 |
|
|
India—1.0% | | | | | |
| Gujarat NRE Coke Ltd., 24.42%, | | | | | |
4/12/11 (d)(e) | | 200 | | | 290,000 |
| Housing Development Finance Corp., | | | | | |
| 15.26%, 9/27/10 (d)(e) | | 100 | | | 179,500 |
| Punj Lloyd Ltd., 18.91%, | | | | | |
| 4/08/11 (d)(e) | | 200 | | | 222,000 |
| REI Agro Ltd., 5.50%, 11/13/14 (b)(e) | | 405 | | | 412,087 |
| Reliance Communications Ltd. (d)(e): | | | | | |
15.34%, 5/10/11 | | 300 | | | 335,250 |
9.24%, 3/01/12 | | 800 | | | 820,242 |
| Suzlon Energy Ltd., 27.55%, 6/12/12 (d)(e) | | 211 | | | 199,698 |
| Tata Motors Ltd., 1.00%, 4/27/11 (e) | | 215 | | | 248,325 |
| Tata Steel Ltd., 1.00%, 9/05/12 (e) | | 200 | | | 224,504 |
| | | |
|
|
| | | | | | 2,931,606 |
|
|
Ireland—0.1% | | | | | |
| VIP Finance Ireland Ltd. for OJSC Vimpel | | | | | |
| Communications, 8.38%, 4/30/13 (b) | | 200 | | | 211,500 |
|
|
|
|
|
Japan—0.2% | | | | | |
| The Bank of Kyoto Ltd., 1.79%, | | | | | |
3/31/14 (d)(e) | JPY | 6,000 | | | 62,354 |
| The Mie Bank Ltd., 1.00%, 10/31/11 (e) | | 6,000 | | | 60,306 |
| Nagoya Railroad Co. Ltd., 1.22%, | | | | | |
3/30/12 (d)(e) | | 2,000 | | | 22,118 |
| Suzuki Motor Corp. Series 9, 3.59%, | | | | | |
3/29/13 (d)(e) | | 30,000 | | | 333,115 |
| | | |
|
|
| | | | | | 477,893 |
|
|
Kazakhstan—0.3% | | | | | |
| KazMunaiGaz Finance Sub BV, 9.13%, | | | | | |
7/02/18 (b) | USD | 900 | | | 999,000 |
|
|
|
Luxembourg—0.8% | | | | | |
| ALROSA Finance SA, 8.88%, 11/17/14 | | 200 | | | 205,500 |
| Acergy SA Series ACY, 2.25%, 10/11/13 (e) | | 100 | | | 94,840 |
| Evraz Group SA: | | | | | |
| 8.88%, 4/24/13 (b) | | 100 | | | 100,000 |
8.25%, 11/10/15 | | 100 | | | 95,500 |
| 9.50%, 4/24/18 (b) | | 300 | | | 298,500 |
| Gaz Capital SA, 6.61%, 2/13/18 | EUR | 321 | | | 467,071 |
| TNK-BP Finance SA, 7.50%, 7/18/16 (b) | USD | 100 | | | 102,500 |
| UBS Luxembourg SA for OJSC Vimpel | | | | | |
| Communications, 8.25%, 5/23/16 | | 100 | | | 103,250 |
| VIP Finance Ireland Ltd. for OJSC Vimpel | | | | | |
| Communications, 9.13%, 4/30/18 (b) | | 793 | | | 846,527 |
| | | |
|
|
| | | | | | 2,313,688 |
|
|
Malaysia—0.8% | | | | | |
| Berjaya Land Bhd, 8.00%, 8/15/11 (e) | MYR | 780 | | | 228,707 |
| Cherating Capital Ltd., 2.00%, | | | | | |
7/05/12 (e)(g) | USD | 200 | | | 217,750 |
| IOI Resources, 8.60%, 1/15/13 (d)(e) | | 300 | | | 298,875 |
| Johor Corp. Series P3, 1.00%, 7/31/12 | MYR | 1,741 | | | 549,147 |
| Rafflesia Capital Ltd., 1.25%, | | | | | |
10/04/11 (e)(g) | USD | 600 | | | 696,421 |
| YTL Power Finance Cayman Ltd., 0.92%, | | | | | |
5/09/10 (d)(e) | | 300 | | | 376,136 |
| | | |
|
|
| | | | | | | 2,367,036 |
|
|
See Notes to Consolidated Financial Statements.
35
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock Global Allocation Portfolio | |
| Consolidated Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | | | |
| | | | Par | | | |
| Corporate Bonds | | (000) | | Value |
|
|
|
|
|
Netherlands—0.1% | | | | | |
| ASM International NV (e): | | | | | |
| 4.25%, 12/06/11 | | USD | 30 | | $ | 38,250 |
| 4.25%, 12/06/11 (b) | | 100 | | | 128,125 |
| Pargesa Netherlands NV, 1.75%, | | | | | |
| 6/15/14 (e) | CHF | 275 | | | 247,897 |
|
|
|
| | | | | | 414,272 |
|
|
Norway—0.1% | | | | | |
| Subsea 7, Inc. (e): | | | | | |
| 2.80%, 6/06/11 | | USD | 300 | | | 290,250 |
| 5.86%, 6/29/17 (d) | | 100 | | | 99,750 |
| | |
|
|
| | | | | | 390,000 |
|
|
Singapore—1.0% | | | | | |
| CapitaLand Ltd. (e): | | | | | |
| 2.10%, 11/15/16 | | SGD | 750 | | | 515,767 |
| 3.13%, 3/05/18 | | | 1,000 | | | 705,591 |
| 2.95%, 6/20/22 | | | 1,250 | | | 724,099 |
| Keppel Land Ltd., 2.50%, 6/23/13 (e) | | 200 | | | 141,180 |
| Olam International Ltd., 6.00%, | | | | | |
| 10/15/16 (e) | USD | 300 | | | 321,289 |
| Wilmar International Ltd., 15.94%, | | | | | |
| 12/18/12 (d)(e) | | 200 | | | 258,469 |
| Yanlord Land Group Ltd., 5.85%, | | | | | |
| 7/13/14 (e) | SGD | 500 | | | 381,713 |
|
|
|
| | | | | | 3,048,108 |
|
|
South Korea—0.4% | | | | | |
| Korea Electric Power Corp.: | | | | | |
| 5.13%, 4/23/34 | | USD | 340 | | | 359,009 |
| 7.70%, 4/01/96 (h) | | 280 | | | 179,200 |
| Zeus Cayman, 4.16%, 8/19/13 (d)(e) | JPY | 65,000 | | | 675,544 |
|
|
|
| | | | | | 1,213,753 |
|
|
Sweden—0.1% | | | | | |
| Svensk Exportkredit AB, 10.50%, | | | | | |
| 9/29/15 (g) | TRY | 504 | | | 314,853 |
|
|
|
Trinidad—0.0% | | | | | |
| Petroleum Co. of Trinidad & Tobago Ltd., | | | | | |
| 9.75%, 8/14/19 (b) | USD | 115 | | | 128,656 |
|
|
|
United Arab Emirates—0.7% | | | | | |
| Abu Dhabi National Energy Co., 6.50%, | | | | | |
| 10/27/36 | | | 100 | | | 91,000 |
| Aldar Funding Ltd., 5.77%, 11/10/11 (e) | | 150 | | | 150,187 |
| Dana Gas Sukuk Ltd., 7.50%, | | | | | |
| 10/31/12 (e) | | 1,940 | | | 1,728,540 |
| Nakheel Development 2 Ltd., 2.75%, | | | | | |
| 1/16/11 | | | 210 | | | 117,600 |
| | |
|
|
| | | | | | 2,087,327 |
|
|
United Kingdom—0.3% | | | | | |
| Lloyds TSB Bank Plc, 13.00% (g)(i) | GBP | 200 | | | 343,229 |
| Shire Plc, 2.75%, 5/09/14 (e) | USD | 600 | | | 576,338 |
|
|
|
| | | | | | 919,567 |
|
|
United States—6.3% | | | | | |
| The AES Corp., 8.38%, 3/01/11 | GBP | 84 | | | 137,033 |
| Advanced Micro Devices, Inc., 6.00%, | | | | | |
| 5/01/15 (e) | USD | 3,108 | | | 2,797,200 |
| Amgen, Inc., 0.38%, 2/01/13 (e) | | 1,013 | | | 1,019,331 |
| Archer-Daniels-Midland Co., 0.88%, | | | | | |
| 2/15/14 (e) | | 87 | | | 91,132 |
| Cell Genesys, Inc., 3.13%, 5/01/13 (e) | | 18 | | | 7,016 |
| Central European Distribution Corp., 3.00%, | | | | | |
| 3/15/13 (e) | | 5 | | | 4,244 |
| Chesapeake Energy Corp. (e): | | | | | |
| 2.50%, 5/15/37 | | | 581 | | | 519,995 |
| 2.25%, 12/15/38 | | | 702 | | | 530,888 |
| China Milk Products Group Ltd., 18.57%, | | | | | |
| 1/05/12 (d)(e) | | 400 | | | 418,960 |
| Crown Cork & Seal Co., Inc., 7.50%, | | | | | |
| 12/15/96 | | | 150 | | | 113,250 |
| Forest City Enterprises, Inc., 5.00%, | | | | | |
| 10/15/16 (b)(e) | | 38 | | | 41,325 |
| General Electric Capital Corp., 0.37%, | | | | | |
| 1/15/10 (g) | JPY | 119,000 | | | 1,277,582 |
| Greenbrier Cos., Inc., 2.38%, 5/15/26 (e) | USD | 152 | | | 114,000 |
| Helix Energy Solutions Group, Inc., 3.25%, | | | | | |
| 12/15/25 (e) | | 43 | | | 38,700 |
| Hologic, Inc., 2.00%, 12/15/37 (e)(j) | | 1,486 | | | 1,268,672 |
| IOI Capital Bhd Series IOI, 0.00%, | | | | | |
| 12/18/11 (d)(e) | | 325 | | | 394,875 |
| Intel Corp. (e): | | | | | |
| 2.95%, 12/15/35 | | | 487 | | | 469,955 |
| 3.25%, 8/01/39 (b) | | 391 | | | 449,161 |
| Kinetic Concepts, Inc., 3.25%, | | | | | |
| 4/15/15 (b)(e) | | 70 | | | 69,125 |
| LifePoint Hospitals, Inc. (e): | | | | | |
| 3.50%, 5/15/14 | | | 52 | | | 48,425 |
| 3.25%, 8/15/25 | | | 151 | | | 139,109 |
| Mandra Forestry, 12.00%, 5/15/13 (b)(k) | | 475 | | | 451,250 |
| McMoRan Exploration Co. (e): | | | | | |
| 5.25%, 10/06/11 | | | 75 | | | 73,594 |
| 5.25%, 10/06/11 (b) | | 125 | | | 122,656 |
| Medtronic, Inc. (e): | | | | | |
| 1.50%, 4/15/11 | | | 77 | | | 78,155 |
| 1.63%, 4/15/13 | | | 703 | | | 733,756 |
| Millipore Corp., 3.75%, 6/01/26 (e) | | 106 | | | 109,312 |
| Mylan, Inc., 1.25%, 3/15/12 (e) | | 611 | | | 633,912 |
| Nabi Biopharmaceuticals, 2.88%, | | | | | |
| 4/15/25 (e) | | 80 | | | 76,000 |
| Paka Capital Ltd., 2.81%, | | | | | |
| 3/12/13 (d)(e) | | 100 | | | 101,750 |
| Pemex Project Funding Master Trust, | | | | | |
| 5.50%, 2/24/25 | | EUR | 570 | | | 733,367 |
| Preferred Term Securities Ltd. (e): | | | | | |
| XXIV, 5.965%, 3/22/37 (b) | USD | 150 | | | 2 |
| XXV, 5.758%, 6/22/37 | | 300 | | | 3 |
| XXVI, 6.191%, 9/22/37 | | 140 | | | 1 |
| XXVII, 6.29%, 12/22/37 | | 100 | | | 1 |
| Ranbaxy Laboratories Ltd., 24.73%, | | | | | |
| 3/18/11 (d)(e) | | 200 | | | 232,152 |
| SBA Communications Corp. (e): | | | | | |
| 4.00%, 10/01/14 (b) | | 133 | | | 174,562 |
| 1.88%, 5/01/13 | | | 186 | | | 190,883 |
| SanDisk Corp., 1.00%, 5/15/13 (e) | | 983 | | | 819,576 |
| SonoSite, Inc., 3.75%, 7/15/14 (e) | | 92 | | | 87,400 |
| Suzlon Energy Ltd. (d)(e): | | | | | |
| 15.02%, 10/11/12 | | | 300 | | | 282,000 |
| 5.67%, 7/25/14 | | | 341 | | | 326,293 |
| TNK-BP Finance SA (b): | | | | | |
| 6.63%, 3/20/17 | | | 450 | | | 439,875 |
| 7.88%, 3/13/18 | | | 600 | | | 616,500 |
| Tenet Healthcare Corp., 9.25%, | | | | | |
| 2/01/15 | | | 200 | | | 213,000 |
See Notes to Consolidated Financial Statements.
36
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock Global Allocation Portfolio | |
| Consolidated Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | | |
| | | Par | | | |
| Corporate Bonds | | (000) | | | Value |
|
|
|
|
|
| United States (concluded) | | | | |
| Transocean, Inc. (e): | | | | |
| 1.50%, 12/15/37 | USD | 1,478 | | $ | 1,426,270 |
| Series A, 1.63%, 12/15/37 | | 577 | | | 571,230 |
| Series C, 1.50%, 12/15/37 | | 218 | | | 209,825 |
| Uno Restaurant Corp., 10.00%, | | | | |
| 2/15/11 (b) | | 90 | | | 19,125 |
| | | |
|
|
| | | | | 18,672,428 |
|
|
| Total Corporate Bonds—14.8% | | | | 44,001,870 |
|
|
|
| |
|
| Floating Rate Loan Interests (g) | | | | |
|
|
| United States—0.1% | | | | |
| PT Bumi Resources Term Loan, | | | | |
| 10.23%, 10/07/10 | | 300 | | | 300,000 |
|
|
|
|
|
| Total Floating Rate Loan Interests—0.1% | | | 300,000 |
|
|
|
| |
|
| Foreign Government Obligations | | | | |
|
|
| |
| Australian Government Bonds, | | | | |
| 5.75%, 6/15/11 | AUD | 752 | | | 688,045 |
| Brazil Notas do Tesouro Nacional Series F, | | | | |
| 10.00%, 1/01/17 | BRL | 5,421 | | | 2,653,709 |
| Bundesrepublik Deutschland: | | | | |
| 4.00%, 7/04/16 | EUR | 1,400 | | | 2,135,292 |
| 4.25%, 7/04/17 | | 1,580 | | | 2,438,301 |
| 3.50%, 7/04/19 | | 860 | | | 1,250,912 |
| Series 08, 4.25%, 7/04/18 | | 200 | | | 308,445 |
| Bundesschatzanweisungen Series 1, | | | | |
| 4.75%, 6/11/10 | | 833 | | | 1,215,795 |
| Caisse d’Amortissement de la Dette Sociale: | | | | |
| 3.25%, 4/25/13 | | 300 | | | 443,388 |
| 4.00%, 10/25/14 | | 375 | | | 566,299 |
| Canadian Government Bond: | | | | |
| 4.00%, 9/01/10 | CAD | 395 | | | 386,355 |
| 4.00%, 6/01/16 | | 275 | | | 276,565 |
| Federal Republic of Germany, | | | | |
| 1.50%, 9/21/12 (b) | USD | 1,000 | | | 1,013,044 |
| Japanese Government CPI Linked Bond: | | | | |
| Series 5, 0.80%, 9/10/15 | JPY | 63,389 | | | 657,195 |
| Series 6, 0.80%, 12/10/15 | | 77,979 | | | 805,454 |
| Series 7, 0.80%, 3/10/16 | | 149,433 | | | 1,535,002 |
| Series 16, 1.40%, 6/10/18 | | 60,960 | | | 631,887 |
| Japanese Government Two Year Bond | | | | |
| Series 272, 0.70%, 9/15/10 | | 43,000 | | | 463,510 |
| Kreditanstalt fuer Wiederaufbau (e): | | | | |
| 3.25%, 6/27/13 | EUR | 800 | | | 1,215,120 |
| Series DPW, 0.50%, 2/03/10 | | 420 | | | 600,812 |
| Malaysia Government Bond: | | | | |
| 3.76%, 4/28/11 | MYR | 2,215 | | | 658,319 |
| Series 3/06, 3.87%, 4/13/10 | | 1,800 | | | 528,548 |
| Netherland Government Bond, | | | | |
| 3.75%, 7/15/14 | EUR | 475 | | | 717,896 |
| New Zealand Government Bond, Series 216, | | | | |
| 4.50%, 2/14/16 | NZD | 425 | | | 463,112 |
| Poland Government Bond, | | | | |
| 3.00%, 8/24/16 | PLN | 1,894 | | | 628,555 |
| United Kingdom Gilt, | | | | |
| 4.25%, 3/07/11 | GBP | 1,435 | | | 2,410,750 |
|
|
|
| Total Foreign Government Obligations—8.3% | | | 24,692,310 |
|
|
|
| Structured Notes | | | | | |
Taiwan—0.0% | | | | | |
| UBS AG (Total Return TWD Linked Notes), | | | | | |
| 0.00%, 12/01/10 (b)(d) | USD | 71 | | | 70,414 |
|
Total Structured Notes—0.0% | | | | | 70,414 |
|
|
|
| | | |
|
|
|
| U.S. Treasury Obligations | | | | | |
|
|
| U.S. Treasury Inflation Indexed Bonds: | | | | | |
| 0.88%, 4/15/10 | | 1,911 | | | 1,917,712 |
| 2.38%, 4/15/11 | | 3,180 | | | 3,274,056 |
| 2.00%, 4/15/12 | | 68 | | | 71,247 |
| 2.00%, 1/15/16 | | 4,864 | | | 5,136,567 |
| 2.50%, 7/15/16 | | 1,557 | | | 1,696,034 |
| 1.63%, 1/15/18 | | 973 | | | 996,078 |
| 2.38%, 1/15/27 | | 1,018 | | | 1,071,637 |
| U.S. Treasury Notes: | | | | | |
| 2.13%, 1/31/10 | | 700 | | | 701,011 |
| 2.88%, 6/30/10 (c) | | 1,870 | | | 1,894,471 |
| 2.75%, 7/31/10 | | 2,232 | | | 2,263,824 |
| 4.88%, 5/31/11 | | 1,850 | | | 1,954,568 |
| 2.13%, 11/30/14 | | 1,582 | | | 1,544,554 |
| 2.38%, 12/31/14 | | 3,124 | | | 3,115,271 |
| 2.63%, 2/29/16 | | 845 | | | 822,026 |
| 2.75%, 2/15/19 | | 1,781 | | | 1,639,633 |
|
|
|
|
|
| Total U.S. Treasury Obligations—9.4% | | | | | 28,098,689 |
|
|
|
| Total Fixed Income Securities—32.6% | | | | | 97,165,283 |
|
|
|
| | | |
|
|
|
| Investment Companies | | Shares | | | |
|
|
|
|
| United States—3.1% | | | | | |
| Consumer Staples Select Sector SPDR Fund | | 15,500 | | | 410,285 |
| Financial Select Sector SPDR Fund | | 54,500 | | | 784,255 |
| Health Care Select Sector SPDR Fund | | 15,800 | | | 491,064 |
| iShares Dow Jones U.S. Telecommunications | | | | | |
| Sector Index Fund (l) | | 12,900 | | | 258,258 |
| iShares Silver Trust (a)(l) | | 43,200 | | | 715,824 |
| SPDR Gold Trust (a) | | 44,400 | | | 4,764,564 |
| SPDR KBW Bank | | 2,700 | | | 57,159 |
| Technology Select Sector SPDR Fund | | 33,600 | | | 768,432 |
| Telecom HOLDRs Trust | | 3,300 | | | 84,579 |
| Utilities Select Sector SPDR Fund | | 26,600 | | | 824,600 |
| Vanguard Telecommunication Services | | 400 | | | 22,604 |
| | | | |
|
|
| | | | | | 9,181,624 |
|
|
| Vietnam—0.1% | | | | | |
| Vietnam Enterprise Investments Ltd.— | | | | | |
| R Shares (a) | | 31,875 | | | 54,188 |
| Vinaland Ltd. (a) | | 285,500 | | | 226,973 |
| | | | |
|
|
| | | | | | 281,161 |
|
|
| Total Investment Companies—3.2% | | | | | 9,462,785 |
|
|
|
|
|
|
| Preferred Securities | | | | | |
|
|
| | | Par | | | |
| Capital Trusts | | (000) | | | |
|
|
|
|
| Singapore—0.0% | | | | | |
| DBS Capital Funding Corp., 7.66% (g)(i) | USD | 26 | | | 26,338 |
|
|
|
|
| Total Capital Trusts—0.0% | | | | | 26,338 |
|
|
|
See Notes to Consolidated Financial Statements.
37
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock Global Allocation Portfolio | |
| Consolidated Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| Preferred Stocks | | Shares | | | Value |
|
|
|
|
|
|
| Brazil—0.0% | | | | | |
| Cia Brasileira, Class B (a) | | 983 | | $ | 36,711 |
|
|
|
United States—0.5% | | | | | |
| Bank of America Corp., 10.00% (e)(g) | | 32,700 | | | 487,884 |
| Bunge Ltd., 4.88% (e) | | 924 | | | 84,315 |
| El Paso Corp. (e): | | | | | |
4.99% | | 478 | | | 431,993 |
4.99% (b) | | 190 | | | 171,713 |
| Mylan, Inc., 6.50% (e) | | 185 | | | 211,707 |
| XL Capital Ltd., 10.75% (e) | | 2,945 | | | 82,224 |
| | | |
|
|
| | | | | | | 1,469,836 |
|
|
Total Preferred Stocks—0.5% | | | | | 1,506,547 |
|
|
|
Total Preferred Securities—0.5% | | | | | 1,532,885 |
|
|
| | | |
|
|
|
Rights | | | | | |
|
|
Philippines—0.0% | | | | | |
| First Gen Corp. (Expires 1/14/10) | | 15,804 | | | 923 |
|
|
|
|
|
United States—0.0% | | | | | |
Hydro-WGC (Expires 7/01/10) | | 1,240,009 | | | 12 |
|
|
|
|
|
Total Rights—0.0% | | | | | 935 |
|
|
| | | |
|
|
|
Warrants (m) | | | | | |
|
|
Canada—0.0% | | | | | |
| Kinross Gold Corp. (Expires 9/03/13) | | 6,330 | | | 24,028 |
| New Gold, Inc. (Expires 4/03/12) | | 30,000 | | | 1,004 |
| | | |
|
|
| | | | | | | 25,032 |
|
|
United States—0.0% | | | | | |
| JP Morgan Chase & Co. (Expires, 10/28/18) | | 8,100 | | | 107,973 |
| Mandra Forestry Finance Ltd. | | | | | |
| (Expires 5/15/13) | | 475 | | | — |
| | | |
|
|
| | | | | | | 107,973 |
|
|
Total Warrants—0.0% | | | | | 133,005 |
|
|
|
Total Long-Term Investments | | | | | |
(Cost—$247,727,454)—91.1% | | | | | | 271,555,280 |
|
|
|
|
|
Short-Term Securities | | | | | |
|
|
Money Market Fund—1.1% | | | | | |
| BlackRock Liquidity Funds, TempFund, | | | | | |
| Institutional Class, 0.11% (l)(n) | | 3,259,934 | | | 3,259,934 |
|
|
|
|
|
|
| | | | Par
(000) | | | |
U.S. Treasury Obligations | | | | |
|
|
|
|
| U.S. Treasury Bills (o): | | | | | |
0.06%, 1/14/10 | | USD | 390 | | | 389,998 |
0.05%, 1/21/10 | | | 2,240 | | | 2,239,971 |
| 0.04%, 1/28/10 | | | 1,900 | | | 1,899,960 |
| 0.05%, 2/04/10 | | | 912 | | | 911,973 |
| 0.05%, 2/11/10 | | | 6,491 | | | 6,490,760 |
0.01%, 2/18/10 | | | 436 | | | 435,993 |
| 0.02%, 2/25/10 | | | 5,622 | | | 5,621,657 |
| 0.04%, 3/04/10 | | | 1,675 | | | 1,674,876 |
0.05%, 3/18/10 | | | 2,291 | | | 2,290,769 |
| 0.05%, 3/25/10 | | | 1,278 | | | 1,277,867 |
| 0.04%, 4/01/10 | | | 1,948 | | | 1,947,717 |
|
|
|
|
|
Total U.S. Treasury Obligations—8.4% | | | | 25,181,541 |
|
|
|
Total Short-Term Securities | | | | | |
(Cost—$28,441,566)—9.5% | | | | | | 28,441,475 |
|
|
|
| | | |
|
|
|
Options Purchased | | Contracts | | |
|
|
|
|
Exchange-Traded Call Options Purchased—0.0% | | |
| General Motors Corp.: | | | | | |
| Strike Price USD 50, Expires 1/16/10 | | 87 | | | 87 |
| Strike Price USD 60, Expires 1/16/10 | | 84 | | | 84 |
| | |
|
|
| | | | | | | 171 |
|
|
Exchange-Traded Put Options Purchased—0.1% | | |
| S&P 500 Listed Option: | | | | | |
| Strike Price USD 1,100, Expires 1/16/10 | 98 | | | 95,060 |
| Strike Price USD 1,050, Expires 2/20/10 | 60 | | | 80,100 |
|
|
|
| | | | | | | 175,160 |
|
|
Total Options Purchased | | | | | |
(Cost—$426,983)—0.1% | | | | | | 175,331 |
|
|
|
Total Investments Before Structured Options, | | | | |
Investments Sold Short and Outstanding Options Written | | |
(Cost—$276,596,003*)—100.7% | | | | | 300,172,086 |
|
|
|
| | | |
|
|
|
Over-the-Counter Structured Options | Units | | |
|
|
| Credit Suisse Euro Stoxx Index Link, | | | | | |
| Expires 7/23/10, Broker Credit | | | | | |
| Suisse International (p) | | 306 | | | 194,200 |
| JPMorgan Euro Stoxx Index Link, | | | | | |
| Expires 7/16/10, Broker JPMorgan | | | | | |
| Chase Bank NA (q) | | 382 | | | 248,300 |
|
|
|
|
|
Total Over-the-Counter Structured Options | | | | |
(Cost—$0*)—0.1% | | | | | 442,500 |
|
|
|
| | | |
|
|
|
Investments Sold Short | | Shares | | |
|
|
|
|
| D.R. Horton, Inc. | | 14,900 | | | (161,963) |
| Home Depot, Inc. | | 15,200 | | | (439,736) |
| Lowe’s Cos., Inc. | | 9,600 | | | (224,544) |
| Masco Corp. | | 7,300 | | | (100,813) |
|
|
|
|
|
Total Investments Sold Short | | | | | |
(Proceeds—$798,470)—(0.3)% | | | | | (927,056) |
|
|
|
| | | |
|
|
|
Options Written | | Contracts | | |
|
|
|
|
Exchange-Traded Call Options Written—(0.2)% | | |
| Apple, Inc., Strike Price USD 85, | | | | | |
| Expires 1/16/10 | | 34 | | | (429,335) |
| CF Industries Holdings, Inc., | | | | | |
| Strike Price USD 85, Expires 5/22/10 | | 17 | | | (21,335) |
| Cigna Corp., | | | | | |
| Strike Price USD 30, Expires 1/16/10 | | 39 | | | (21,255) |
| Complete Production Services, Inc., | | | | | |
| Strike Price USD 7.50, Expires 1/16/10 | | 40 | | | (22,200) |
| Corning, Inc.: | | | | | |
| Strike Price USD 16, Expires 5/22/10 | | 2 | | | (760) |
| Strike Price USD 19, Expires 5/22/10 | | 1 | | | (180) |
See Notes to Consolidated Financial Statements.
38
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock Global Allocation Portfolio | |
| Consolidated Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | | |
| Options Written | Contracts | | | Value |
|
|
|
|
| Exchange-Traded Call Options Written (concluded) | | | |
| Dell, Inc., | | | | |
| Strike Price USD 15, Expires 1/22/11 | 86 | | $ | (16,985) |
| Goldman Sachs Group, Inc., | | | | |
| Strike Price USD 185, Expires 4/17/10 | 8 | | | (4,160) |
| JPMorgan Chase & Co., | | | | |
| Strike Price USD 44, Expires 6/19/10 | 119 | | | (32,071) |
| MetLife, Inc., | | | | |
| Strike Price USD 41, Expires 6/19/10 | 26 | | | (3,575) |
| Microsoft Corp., | | | | |
| Strike Price USD 28, Expires 4/17/10 | 132 | | | (41,250) |
| Polycom, Inc., | | | | |
| Strike Price USD 20, Expires 1/16/10 | 46 | | | (23,000) |
| UnitedHealth Group, Inc., | | | | |
| Strike Price USD 30, Expires 6/19/10 | 106 | | | (34,450) |
| WellPoint, Inc., | | | | |
| Strike Price USD 60, Expires 6/19/10 | 49 | | | (23,520) |
| Xerox Corp., | | | | |
| Strike Price USD 8, Expires 4/17/10 | 128 | | | (11,520) |
| | |
|
|
| | | | | (685,596) |
|
|
| Exchange-Traded Put Options Written—(0.0)% | | | | |
| Goldman Sachs Group, Inc., | | | | |
| Strike Price USD 155, Expires 4/17/10 | 8 | | | (4,960) |
| S&P 500 Listed Option, | | | | |
| Strike Price USD 1,050, Expires 1/16/10 | 98 | | | (28,420) |
| | |
|
|
| | | | | (33,380) |
|
|
| Total Options Written | | | | |
| (Premiums Received—$375,012)—(0.2)% | | | | (718,976) |
|
|
|
| Total Investments, Net of Structured Options, | | | | |
| Investments Sold Short and Outstanding | | | | |
| Options Written—100.3% | | | | 298,968,554 |
| Liabilities in Excess of Other Assets—(0.3)% | | | | (776,290) |
| | | |
|
|
| Net Assets—100.0% | | | $ | 298,192,264 |
| | | |
|
| * | The cost and unrealized appreciation (depreciation) of investments as of December 31, 2009, as computed for federal income tax purposes, were as follows: |
| | | | |
| | Aggregate cost | $ | 279,270,758 |
| | |
|
| | Gross unrealized appreciation | $ | 37,271,970 |
| | Gross unrealized depreciation | | (15,928,142) |
| | |
|
|
| | Net unrealized appreciation | $ | 21,343,828 |
| | |
|
| (a) | Non-income producing security. | | |
| (b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| | |
| (c) | All or a portion of security has been pledged as collateral in connection with open financial futures contracts. |
| | |
| (d) | Represents a zero-coupon bond. Rate shown represents the current yield as of report date. |
| | |
| (e) | Convertible security. |
| | |
| (f) | Issuer filed for bankruptcy and/or is in default of interest payments. |
| | |
| (g) | Variable rate security. Rate shown is as of report date. |
| | |
| (h) | Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown reflects the current yield as of report date. |
| | |
| (i) | Security is perpetual in nature and has no stated maturity date. |
| | |
| (j) | Represents a step-down bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date. |
| | |
| (k) | Issued with warrants. |
| | |
| (l) | Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows: |
|
|
| | | | | | | | | | |
| | Purchase | | Sale | | | Realized | | |
| Affiliate | Cost | | Cost | | | Gain (Loss) | Income |
|
| BlackRock Liquidity Funds, | | | | | | | | | |
| TempFund, Institutional Class | $3,259,9341 | | | — | | | — | $ | 207 |
| BlackRock Liquidity Series, LLC | | | | | | | | | |
| Money Market Series | — | | | — | | | — | $ | 2,461 |
| iShares Dow Jones U.S. | | | | | | | | | |
| Financial Sector Index Fund | — | | $ | 205,729 | | $ | (102,153) | | — |
| iShares Dow Jones U.S. | | | | | | | | | |
| Technology Sector Index Fund | — | | $ | 349,164 | | $ | (122,167) | | — |
| iShares Dow Jones U.S. | | | | | | | | | |
| Telecommunications Sector | | | | | | | | | |
| Index Fund | — | | | — | | | — | $ | 9,066 |
| iShares MSCI South Korea | | | | | | | | | |
| Index Fund | — | | $ | 2,801 | | $ | (129) | | — |
| iShares Silver Trust | — | | $ | 145,515 | | $ | 34,693 | | —2 |
|
1 Represents net purchase cost.
2 Non-income producing security.
| (m) | Warrants entitle the Portfolio to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date. |
| |
| (n) | Represents the current yield as of report date. |
| |
| (o) | Rates shown are the discount rates paid at the time of purchase. |
| |
| (p) | CSFB DJ EuroStoxx Structured Option is issued in units. Each unit represents a composite structure based on the product of the DJ EuroStoxx 50 Index and the Euro/U.S. Dollar exchange rate, with an initial reference strike of 3,271.3474. Each unit contains (a) one written put on the composite index at a strike price of 3,173.207 and (b) 2.0 call spread units on the composite index with a lower call strike of 3,271.3474 and an upper call strike of 3,762.0495. On December 31, 2009, the composite index was 4,246.119. At this time, the value of the structured option was $194,200 based on a price of $634.74 per unit. The option expires on July 23, 2010. |
| |
| (q) | JP Morgan DJ EuroStoxx Structured Option is issued in units. Each unit represents a composite structure based on the product of the DJ EuroStoxx 50 Index and the Euro/U.S. Dollar exchange rate, with an initial reference strike of 3,401.60. Each unit contains (a) one written put on the composite index at a strike price of 3,299.55 and (b) 2.03 call spread unit on the composite index with a lower call strike of 3,401.60 and an upper call strike of 3,911.84. For each unit of the Structured Option, the Fund has sold or written 2.03 calls on the composite index at 3,911.84 and bought 2.03 calls on the composite index at 3,401.60. On December 31, 2009, the composite index was 4,246.119. At this time, the value of this structured option was $248,300 based on the price of the structure of $649.86 per unit. The option expires on July 16, 2010. |
| |
| • | Financial futures contracts purchased as of December 31, 2009 were as follows: |
|
| | | | | Expiration | Notional | | Unrealized |
Contracts | Issue | Exchange | Date | Value | | Appreciation |
|
| 80 | | DJ Euro Stoxx 50 | Eurex | March 2010 | $ | 3,304,371 | | $ | 104,032 |
| | | | Deutschland | | | | | | |
| 6 | | FTSE 100 Index | NYSE LIFFE– | March 2010 | $ | 509,637 | | | 9,955 |
| | | | London | | | | | | |
|
|
|
| Total | | | | | | | | $ | 113,987 |
| | |
|
• Financial futures contracts sold as of December 31, 2009 were as follows:
|
| | | | | Expiration | Notional | | Unrealized |
Contracts | Issue | Exchange | Date | Value | | Depreciation |
|
| 16 | | S&P 500 Index | Chicago | March 2010 | $ | 4,412,203 | | $ | (30,597) |
| | | | Mercantile | | | | | | |
| 3 | | S&P TSE 60 Index | Montreal | March 2010 | $ | 391,825 | | | (4,484) |
|
Total | | | | | | | | $ | (35,081) |
| | |
|
See Notes to Consolidated Financial Statements.
39
|
|
| BlackRock Series Fund, Inc. |
| BlackRock Global Allocation Portfolio |
| Consolidated Schedule of Investments December 31, 2009 (Continued) |
|
• Foreign currency exchange contracts as of December 31, 2009 were as follows:
|
| Currency Purchased | | Currency Sold | | Counterparty | Settlement
Date | Unrealized
Appreciation
(Depreciation) |
|
| HKD | 16,255 | | USD | 2,096 | | Citibank NA | 1/04/10 | $ | 1 | |
| USD | 148 | | IDR | 1,402,190 | | Brown Brothers | 1/04/10 | | (1 | ) |
| | | | | | | Harriman & Co. | | | | |
| BRL | 17,202 | | USD | 9,889 | | Brown Brothers | 1/05/10 | | (19 | ) |
| | | | | | | Harriman & Co. | | | | |
| HKD | 5,483 | | USD | 707 | | Brown Brothers | 1/05/10 | | — | |
| | | | | | | Harriman & Co. | | | | |
| EUR | 1,580,874 | | GBP | 1,415,024 | | Deutsche Bank AG | 1/07/10 | | (19,210 | ) |
| EUR | 766,888 | | USD | 1,113,102 | | JPMorgan | 1/07/10 | | (13,731 | ) |
| | | | | | | Chase Bank NA | | | | |
| GBP | 246,374 | | USD | 400,000 | | Credit Suisse | 1/07/10 | | (2,071 | ) |
| | | | | | | International | | | | |
| JPY | 116,238,520 | | USD | 1,292,530 | | Citibank NA | 1/07/10 | | (44,420 | ) |
| JPY | 777,638 | | USD | 8,648 | | Credit Suisse | 1/07/10 | | (298 | ) |
| | | | | | | International | | | | |
| USD | 500,000 | | JPY | 46,214,500 | | Credit Suisse | 1/07/10 | | 3,772 | |
| | | | | | | International | | | | |
| USD | 331,331 | | ZAR | 2,485,880 | | UBS AG | 1/07/10 | | (5,051 | ) |
| EUR | 401,500 | | CHF | 606,759 | | UBS AG | 1/08/10 | | (11,004 | ) |
| EUR | 560,000 | | JPY | 74,976,720 | | JPMorgan | 1/08/10 | | (2,280 | ) |
| | | | | | | Chase Bank NA | | | | |
| EUR | 500,000 | | JPY | 66,959,500 | | UBS AG | 1/08/10 | | (2,208 | ) |
| EUR | 557,968 | | USD | 813,239 | | Barclays Bank Plc | 1/08/10 | | (13,366 | ) |
| EUR | 504,700 | | USD | 735,837 | | Brown Brothers | 1/08/10 | | (12,327 | ) |
| | | | | | | Harriman & Co. | | | | |
| EUR | 413,000 | | USD | 602,342 | | Citibank NA | 1/08/10 | | (10,288 | ) |
| JPY | 161,552,100 | | USD | 1,803,037 | | UBS AG | 1/08/10 | | (68,364 | ) |
| USD | 498,000 | | EUR | 348,252 | | Brown Brothers | 1/08/10 | | (1,235 | ) |
| | | | | | | Harriman & Co. | | | | |
| USD | 943,034 | | EUR | 646,800 | | Deutsche Bank AG | 1/08/10 | | 15,817 | |
| USD | 400,000 | | JPY | 37,101,600 | | UBS AG | 1/08/10 | | 1,620 | |
| KRW | 927,830,000 | | USD | 795,808 | | Deutsche Bank AG | 1/11/10 | | 728 | |
| EUR | 237,662 | | USD | 340,094 | | HSBC Bank | 1/14/10 | | 603 | |
| | | | | | | USA, NA | | | | |
| EUR | 406,055 | | USD | 581,959 | | UBS AG | 1/14/10 | | 134 | |
| USD | 415,582 | | EUR | 290,110 | | Deutsche Bank AG | 1/14/10 | | (300 | ) |
| USD | 585,585 | | EUR | 408,938 | | JPMorgan | 1/14/10 | | (642 | ) |
| | | | | | | Chase Bank NA | | | | |
| EUR | 400,577 | | USD | 572,424 | | Barclays Bank Plc | 1/15/10 | | 1,816 | |
| EUR | 700,412 | | USD | 1,000,889 | | Brown Brothers | 1/15/10 | | 3,175 | |
| | | | | | | Harriman & Co. | | | | |
| EUR | 627,600 | | USD | 897,776 | | Citibank NA | 1/15/10 | | 1,910 | |
| EUR | 652,310 | | USD | 930,116 | | Credit Suisse | 1/15/10 | | 4,992 | |
| | | | | | | International | | | | |
| CNY | 1,871,800 | | USD | 280,000 | | JPMorgan | 10/13/10 | | (4,147 | ) |
| | | | | | | Chase Bank NA | | | | |
|
|
|
|
| Total | | | | | | | | $ | (176,394 | ) |
| |
|
| |
| • Total return swaps outstanding as of December 31, 2009 were as follows: | | |
|
Interest
Payable
Rate | Counterparty | Expiration | | Notional
Amount
(000) | Unrealized
Appreciation
(Depreciation)1 |
|
| (0.60 )%2 | BNP Paribas SA | September 2010 | USD | 1,384 | $ | 13,595 | |
| (0.47 )%3 | Deutsche Bank AG | September 2010 | USD | 856 | | (17,086 | ) |
| (0.49 )%4 | BNP Paribas SA | September 2010 | USD | 615 | | (12,267 | ) |
|
| Total | | | | | | | $ | (15,758 | ) |
| | |
|
| 1 | Based on the change in the return of the MSCI Daily Total Return Net Europe (excluding United Kingdom) USD Index. |
| 2 | Based on the 3-month LIBOR minus 0.85%. |
| 3 | Based on the 3-month LIBOR minus 0.72%. |
| 4 | Based on the 3-month LIBOR minus 0.74%. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Portfolio’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Consolidated Financial Statements.
The following table summarizes the inputs used as of December 31, 2009 in determining the fair valuation of the Portfolio’s investments:
|
Valuation
Inputs | Investments in
Securities |
|
| | Assets
| | Liabilities
|
| Level 1 | | | | | | |
| Long-Term Investments: | | | | | | |
| Common Stocks | | | | | | |
| Belgium | $ | 84,972 | | | — | |
| Brazil | | 7,498,335 | | | — | |
| Canada | | 9,119,718 | | | — | |
| Chile | | 242,657 | | | — | |
| China | | 215,136 | | | — | |
| France | | 22,812 | | | — | |
| Germany | | 15,960 | | | — | |
| Hong Kong | | 80,106 | | | — | |
| India | | 176,428 | | | — | |
| Ireland | | 279,100 | | | — | |
| Israel | | 633,024 | | | — | |
| Japan | | 5,800 | | | — | |
| Kazakhstan | | 747,000 | | | — | |
| Luxembourg | | 22,131 | | | — | |
| Mexico | | 561,312 | | | — | |
| Netherlands | | 155,238 | | | — | |
| Russia | | 3,375,214 | | | — | |
| South Africa | | 117,286 | | | — | |
| South Korea | | 986,869 | | | — | |
| Switzerland | | 717,518 | | | — | |
| Taiwan | | 411,808 | | | — | |
| Thailand | | 619,216 | | | — | |
| United Kingdom | | 2,209,408 | | | — | |
| United States | | 87,850,945 | | | — | |
| Investment Companies | | 9,408,597 | | | — | |
| Preferred Stocks | | 866,130 | | | — | |
| Warrants | | 133,005 | | | — | |
| Investments Sold Short | | — | | $ | (927,056 | ) |
| Short-Term Securities – Money Market Fund | | 3,259,934 | | | | |
| |
|
| Total Level 1 | | 129,815,659 | | | (927,056 | ) |
| |
|
| Level 2 | | | | | | |
| Long-Term Investments: | | | | | | |
| Common Stocks | | | | | | |
| Australia | | 1,942,041 | | | — | |
| Austria | | 105,633 | | | — | |
| Belgium | | 241,501 | | | — | |
| China | | 4,265,595 | | | — | |
| Egypt | | 375,003 | | | — | |
See Notes to Consolidated Financial Statements.
40
|
|
| BlackRock Series Fund, Inc. |
| BlackRock Global Allocation Portfolio |
| Consolidated Schedule of Investments December 31, 2009 (Concluded) |
|
| | | | | | |
|
Valuation
Inputs | Investments in
Securities |
|
| | Assets | | Liabilities | |
| |
| |
| |
| Level 2 (Continued) | | | | | | |
| Finland | $ | 116,657 | | | — | |
| France | | 2,284,252 | | | — | |
| Germany | | 469,086 | | | — | |
| Hong Kong | | 1,790,680 | | | — | |
| India | | 1,998,519 | | | — | |
| Indonesia | | 321,158 | | | — | |
| Italy | | 210,458 | | | — | |
| Japan | | 18,536,470 | | | — | |
| Malaysia | | 1,166,253 | | | — | |
| Netherlands | | 359,360 | | | — | |
| Norway | | 314,239 | | | — | |
| Phillipines | | 1,877 | | | — | |
| Singapore | | 2,391,009 | | | — | |
| South Africa | | 291,836 | | | — | |
| South Korea | | 1,424,605 | | | — | |
| Spain | | 455,147 | | | — | |
| Switzerland | | 2,191,925 | | | — | |
| Taiwan | | 2,146,375 | | | — | |
| Turkey | | 619,723 | | | — | |
| United Kingdom | | 3,092,992 | | | — | |
| Corporate Bonds | | 35,935,088 | | | — | |
| Foreign Government Obligations | | 24,063,755 | | | — | |
| U.S. Treasury Obligations | | 28,098,689 | | | — | |
| Investment Companies | | 54,188 | | | — | |
| Capital Trusts | | 26,338 | | | — | |
| Preferred Stocks | | 603,706 | | | — | |
| Rights | | 935 | | | — | |
| Short-Term Securities – U.S. Treasury Obligations | | 25,181,541 | | | — | |
| |
|
| Total Level 2 | | 161,076,634 | | | — | |
| |
|
| Level 3 | | | | | | |
| Long-Term Investments: | | | | | | |
| Asset-Backed Securities | | 2,000 | | | — | |
| Corporate Bonds | | 8,066,782 | | | — | |
| Floating Rate Loan Interests | | 300,000 | | | — | |
| Foreign Government Obligations | | 628,555 | | | — | |
| Preferred Stocks | | 36,711 | | | — | |
| Structured Notes | | 70,414 | | | — | |
| |
|
| Total Level 3 | | 9,104,462 | | | — | |
| |
|
| Total | $ | 299,996,755 | | $ | (927,056 | ) |
| |
|
|
|
Valuation
Inputs | Other Financial
Instruments1 |
|
|
| | Assets | | Liabilities |
| |
| |
|
| Level 1 | $ | 289,318 | | $ | (754,057 | ) |
| Level 2 | | 48,163 | | | (240,315 | ) |
| Level 3 | | 442,500 | | | — | |
| |
|
| Total | $ | 779,981 | | $ | (994,372 | ) |
| |
|
| 1 | Other financial instruments are swaps, financial futures contracts, foreign currency exchange contracts, options purchased, structured options and options written. Financial futures contracts, swaps, and foreign currency exchange contracts are shown at the unrealized appreciation/depreciation on the instrument and options purchased, structured options and options written are shown at market value. |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
|
|
| | Investments in Securities |
|
| Asset-Backed
Securities | Corporate
Bonds | | Floating Rate
Loan Interests | Foreign
Government
Obligations | | Preferred
Stocks | Structured
Notes | | Total |
|
| Balance, as of December 31, 2008 | | — | | | — | | | | — | | | — | | | | — | | | — | | | | — | |
| Accrued discounts/premiums | | — | | | — | | | | — | | | — | | | | — | | | — | | | | — | |
| Realized gain (loss) | | — | | $ | (140,885 | ) | | | — | | $ | 5,195 | | | | — | | $ | 1,152 | | | $ | (134,538 | ) |
| Change in unrealized | | | | | | | | | | | | | | | | | | | | | | | | |
| appreciation/depreciation2 | $ | 1,000 | | | 2,200,192 | | | | — | | | 283,151 | | | | — | | | (1,000 | ) | | | 2,483,343 | |
| Net purchases (sales) | | — | | | 572,960 | | | | — | | | (198,884 | ) | | | — | | | (181,544 | ) | | | 192,532 | |
| Net transfers in/out of Level 3 | | 1,000 | | | 5,434,515 | | | $ | 300,000 | | | 539,093 | | | $ | 36,711 | | | 251,806 | | | | 6,563,125 | |
| |
|
| Balance, as of December 31, 2009 | $ | 2,000 | | $ | 8,066,782 | | | $ | 300,000 | | $ | 628,555 | | | $ | 36,711 | | $ | 70,414 | | | $ | 9,104,462 | |
| |
|
| 2 | Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The change in unrealized appreciation/depreciation on securities still held at December 31, 2009 was $2,483,343. |
| |
The following table is a reconciliation of Level 3 other financial instruments for which significant unobservable inputs were used to determine fair value: |
|
| | Other Financial
Instruments3 |
|
| | Assets |
| |
|
| |
| Balance, as of December 31, 2008 | $ | 8,031 | |
| Accrued discounts/premiums | | — | |
| Realized gain (loss) | | (10,254 | ) |
| Change in unrealized appreciation/depreciation | | 2,223 | |
| Net purchases (sales) | | — | |
| Net transfers in/out of Level 3 | | 442,500 | |
| |
|
| Balance, as of December 31, 2009 | $ | 442,500 | |
| |
|
| 3 | Other financial instruments are swaps and structured options. |
See Notes to Consolidated Financial Statements.
41
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock Government Income Portfolio | |
| Schedule of Investments December 31, 2009 | (Percentages shown are based on Net Assets) |
|
| | | | | |
| Corporate Bonds | Par
(000) | | Value |
|
| Capital Markets—0.6% | | | | | |
| CDP Financial, Inc., 3.00%, 11/25/14 (a) | $ | 735 | | $ | 717,220 |
|
| Commercial Banks—0.5% | | | | | |
| Eksportfinans ASA, 3.00%, 11/17/14 | | 560 | | | 551,429 |
| Royal Bank of Scotland Group Plc, 2.63%, | | | | | |
| 5/11/12 (a) | | 125 | | | 126,790 |
| | | |
|
| | | | | | 678,219 |
|
| Thrifts & Mortgage Finance—0.4% | | | | | |
| Achmea Hypotheekbank NV, 3.20%, | | | | | |
| 11/03/14 (a) | | 490 | | | 489,051 |
|
| Total Corporate Bonds—1.5% | | | | | 1,884,490 |
|
|
|
| | | |
|
|
|
| Foreign Agency Obligations | | | | | |
|
| Kreditanstalt fuer Wiederaufbau, 2.75%, | | | | | |
| 10/21/14 | | 755 | | | 746,515 |
| Landwirtschaftliche Rentenbank: | | | | | |
| 4.13%, 7/15/13 | | 45 | | | 47,445 |
| Series E, 5.25%, 7/02/12 | | 160 | | | 172,868 |
| Province of Ontario Canada: | | | | | |
| 4.10%, 6/16/14 | | 25 | | | 26,090 |
| Series 1, 1.88%, 11/19/12 | | 445 | | | 442,076 |
| Qatar Government International Bond, 4.00%, | | | | | |
| 1/20/15 (a) | | 260 | | | 260,650 |
|
| Total Foreign Agency Obligations—1.4% | | | | 1,695,644 |
|
|
|
| | | |
|
|
|
| Non-Agency Mortgage-Backed Securities | | | | |
|
| Collateralized Mortgage Obligations—1.9% | | | | |
| Countrywide Alternative Loan Trust Series 2008-2R: | | | | |
| Class 3A1, 6.00%, 8/25/37 | | 857 | | | 624,455 |
| Class 4A1, 6.25%, 8/25/37 | | 1,825 | | | 1,443,766 |
| Residential Funding Mortgage Securities I | | | | | |
| Series 2007-S2 Class A3, 6.00%, | | | | | |
| 2/25/37 | | 332 | | | 318,445 |
|
|
|
|
|
| Total Non-Agency Mortgage-Backed Securities—1.9% | | 2,386,666 |
|
|
|
|
|
| | | |
|
|
|
| U.S. Government Sponsored Agency Securities | | | | |
|
|
| Agency Obligations—2.3% | | | | | |
| Fannie Mae, 2.63%, 11/20/14 | | 775 | | | 768,991 |
| Freddie Mac, 1.13%, 12/15/11 | | 2,100 | | | 2,093,475 |
| | | |
|
| | | | | | 2,862,466 |
|
|
| Collateralized Mortgage Obligations—3.4% | | | | |
| Ginnie Mae Mortgage-Backed Securities, Class Z (b): | | | | |
| Series 2004-43, 4.50%, 6/16/44 | | 2,240 | | | 1,796,014 |
| Series 2004-45, 5.69%, 6/16/45 | | 2,396 | | | 2,393,767 |
| | | |
|
| | | | | | 4,189,781 |
|
|
| Federal Deposit Insurance Corporation Guaranteed—2.7% | |
| Citibank NA, 1.75%, 12/28/12 | | 870 | | | 862,346 |
| General Electric Capital Corp.: | | | | | |
| 2.25%, 3/12/12 | | 700 | | | 710,143 |
| 2.00%, 9/28/12 | | 700 | | | 700,906 |
| 2.13%, 12/21/12 | | 1,050 | | | 1,050,973 |
| | | |
|
| | | | | | 3,324,368 |
|
|
| | | | | |
| U.S. Government Sponsored Agency Securities | | | | | |
|
|
|
| Interest Only Collateralized Mortgage Obligations—3.0% | | | |
| Ginnie Mae Mortgage-Backed Securities (b): | | | | | |
| Series 2002-83, Class IO, 1.57%, | | | | | |
| 10/16/42 | $ | 18,949 | | $ | 342,924 |
| Series 2003-17, Class IO, 1.24%, | | | | | |
| 3/16/43 | | 28,023 | | | 684,792 |
| Series 2003-109, Class IO, 1.10%, | | | | | |
| 11/16/43 | | 17,300 | | | 446,711 |
| Series 2004-9, Class IO, 1.38%, | | | | | |
| 3/16/34 | | 10,368 | | | 273,610 |
| Series 2004-77, Class IO, 1.07%, | | | | | |
| 9/16/44 | | 61,986 | | | 1,676,571 |
| Series 2009-26, Class SC, 5.95%, | | | | | |
| 1/16/38 | | 2,365 | | | 299,630 |
| | | | |
|
| | | | | | 3,724,238 |
|
|
| Mortgage-Backed Securities—264.0% | | | | | |
| Fannie Mae Mortgage-Backed Securities: | | | | | |
| 4.00%, 12/01/14—1/01/40 (c) | | 4,400 | | | 4,322,656 |
| 4.50%, 1/15/25—2/15/40 (c) | | 180,763 | | | 180,457,395 |
| 5.00%, 1/01/23—1/15/40 (c)(d) | | 28,758 | | | 29,629,103 |
| 5.08%, 11/01/35 (b)(e) | | 1,412 | | | 1,474,653 |
| 5.50%, 11/01/21—1/15/40 (c) | | 60,791 | | | 63,800,170 |
| 6.00%, 3/01/34—1/15/40 (c) | | 15,659 | | | 16,636,325 |
| 6.50%, 1/15/40 | | 3,600 | | | 3,855,377 |
| Freddie Mac Mortgage-Backed Securities: | | | | | |
| 5.00%, 2/01/22—4/01/22 | | 792 | | | 830,744 |
| 5.50%, 8/01/28—1/15/40 (c)(e) | | 8,349 | | | 8,758,779 |
| 6.00%, 6/01/37—1/15/40 (c) | | 6,473 | | | 6,869,113 |
| 8.00%, 3/01/30—6/01/31 | | 50 | | | 57,097 |
| Ginnie Mae Mortgage-Backed Securities (c): | | | | | |
| 5.00%, 1/15/40 | | 8,800 | | | 9,048,873 |
| 6.50%, 1/15/40 | | 2,800 | | | 2,976,750 |
| | | | |
|
| | | | | | 328,717,035 |
|
|
| Total U.S. Government Sponsored Agency Securities—275.4% | | | | | 342,817,888 |
|
| |
|
| U.S. Treasury Obligations | | | | | |
|
|
| U.S. Treasury Bonds: | | | | | |
| 7.25%, 5/15/16 (e) | | 410 | | | 507,535 |
| 8.13%, 8/15/19 | | 3,830 | | | 5,154,943 |
| 8.13%, 8/15/21 | | 5,705 | | | 7,824,761 |
| 8.00%, 11/15/21 (f) | | 7,700 | | | 10,485,236 |
| 7.13%, 2/15/23 | | 450 | | | 577,125 |
| U.S. Treasury Notes: | | | | | |
| 2.38%, 12/31/14 | | 320 | | | 319,075 |
| 4.00%, 8/15/18 | | 1,200 | | | 1,225,594 |
| 3.38%, 11/15/19 (f) | | 11,800 | | | 11,350,184 |
| 8.75%, 5/15/20 | | 2,000 | | | 2,821,250 |
| 4.50%, 8/15/39 | | 450 | | | 439,805 |
|
| Total U.S. Treasury Obligations—32.7% | | | | 40,705,508 |
|
|
|
| Total Long-Term Investments | | | | | |
| (Cost $391,949,727)—312.9% | | | | | 389,490,196 |
|
|
|
See Notes to Financial Statements.
42
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock Government Income Portfolio | |
| Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | | | |
| Short-Term Securities | Share | | Value |
|
| Money Market Fund—0.4% | | | | | | |
| BlackRock Liquidity Funds, TempFund, | | | | | | |
| Institutional Class, 0.11% (g)(h) | | 445,018 | | $ | 445,018 | |
|
| | Par
(000) | | | | |
|
|
|
| U.S. Government Obligations—12.8% | | | | | | |
| Federal Home Loan Bank, 1.34%, 1/20/10 | $ | 8,000 | | | 7,999,996 | |
| U.S. Treasury Bills, 2.33%, 1/07/10 | | 8,000 | | | 7,999,999 | |
| | | |
|
|
| | | | | | 15,999,995 | |
|
| Borrowed Bond Agreements—8.7% | | | | | | |
| Barclays Capital Inc., 0.01%, 1/13/10 | | 7,728 | | | 7,727,500 | |
| Credit Suisse Securities, 0.00%, 1/13/10 | | 3,086 | | | 3,086,000 | |
| | | |
|
|
| | | | | | 10,813,500 | |
|
| Total Short-Term Securities | | | | | | |
| (Cost—$27,258,513)—21.9% | | | | | 27,258,513 | |
|
| |
|
| Options Purchased | Contracts (i) | | | | |
|
| Over-the-Counter Call Swaptions Purchased—0.1% | | | | | | |
| Receive a fixed rate of 3.41% and pay a | | | | | | |
| floating rate based on 3-month LIBOR, | | | | | | |
| Expires 4/06/10, Broker Deutsche | | | | | | |
| Bank AG | | 5 | | | 14,688 | |
| Receive a fixed rate of 1.92% and pay a | | | | | | |
| floating rate based on 3-month LIBOR | | | | | | |
| Expires 9/02/10, Broker Morgan | | | | | | |
| Stanley Capital Services, Inc. | | 10 | | | 53,237 | |
| Receive a fixed rate of 1.95% and pay a | | | | | | |
| floating rate based on 3-month LIBOR | | | | | | |
| Expires 9/03/10, Broker Citibank NA | | 10 | | | 55,166 | |
| | | |
|
|
| | | | | | 123,091 | |
|
| Over-the-Counter Put Swaptions Purchased—0.3% | | | |
| Pay a fixed rate of 3.41% and receive a | | | | | | |
| floating rate based 3-month LIBOR, | | | | | | |
| Expires 4/06/10, Broker Deutsche Bank AG | | 5 | | | 336,161 | |
| Pay a fixed rate of 1.92% and receive a | | | | | | |
| floating rate based on 3-month LIBOR, | | | | | | |
| Expires 9/02/10, Broker Morgan Stanley | | | | | | |
| Capital Services, Inc. | | 10 | | | 31,128 | |
| Pay a fixed rate of 1.95% and receive a | | | | | | |
| floating rate based on 3-month LIBOR, | | | | | | |
| Expires 9/03/10, Broker Citibank NA | | 10 | | | 30,522 | |
| | | |
|
|
| | | | | | 397,811 | |
|
| Total Options Purchased | | | | | | |
| (Cost—$643,168)—0.4% | | | | | 520,902 | |
|
| Total Investments Before Borrowed Bonds and | | | |
| TBA Sale Commitments (Cost—$419,851,408*)—335.2% | | 417,269,611 | |
|
| |
|
| Borrowed Bonds | Par
(000) | | | | |
|
| |
| U.S. Treasury Notes, 3.38% 11/15/19 | $ | 11,200 | | | (10,773,056 | ) |
|
| Total Borrowed Bonds | | | | | | |
| (Proceeds—$10,861,627)—(8.7)% | | | | | (10,773,056 | ) |
|
| | | | | | |
| TBA Sale Commitments (c) | | | | |
|
|
|
| |
| Fannie Mae Mortgage-Backed Securities: | | | | | |
| 4.50%, 1/15/25—2/15/40 | | 139,700 | | | (139,438,063) |
| 5.00%, 1/01/23—1/15/40 | | 27,100 | | | (27,826,053) |
| 5.50%, 11/01/21—1/15/40 | | 50,000 | | | (52,335,950) |
| 6.00%, 3/01/34—1/15/40 | | 13,000 | | | (13,767,806) |
| Freddie Mac Mortgage-Backed Securities: | | | | | |
| 5.00%, 2/01/22—4/01/22 | | 700 | | | (731,718) |
| 6.00%, 6/01/37—1/15/40 | | 5,000 | | | (5,301,560) |
| Ginnie Mae MBS Certificates, 5.00%, 1/15/40 | 2,900 | | | (2,982,015) |
|
| Total TBA Sale Commitments | | | | | |
| (Proceeds—$244,813,781)—(194.7)% | | | | | (242,383,165) |
|
|
|
| Total Investments, Net of Borrowed Bonds and | | | | |
| TBA Sale Commitments—131.8% | | | | | 164,113,390 |
| Liabilities in Excess of Other Assets—(31.8)% | | | | (39,617,147) |
| | |
|
| Net Assets—100.0% | | | | $ | 124,496,243 |
| | |
|
| * | The cost and unrealized appreciation (depreciation) of investments as of December 31, 2009, as computed for federal income tax purposes, were as follows: |
| Aggregate cost | $ | 419,851,408 | |
| |
|
| Gross unrealized appreciation | $ | 2,035,124 | |
| Gross unrealized depreciation | | (4,616,921 | ) |
| |
|
| Net unrealized depreciation | $ | (2,581,797 | ) |
| |
|
| (a) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| | |
| (b) | Variable rate security. Rate shown is as of report date. |
| | |
| (c) | Represents or includes a to-be-announced (TBA) transaction. Net unsettled TBA transactions as of report date were as follows: |
Counterparty
| Value | | Unrealized
Appreciation
(Depreciation) |
|
|
| Bank of America NA | $ | 4,009,438 | | | $ | (66,961 | ) |
| BNP Paribas | $ | 2,976,750 | | | $ | (13,113 | ) |
| CitiGroup Global Markets | $ | 31,885,008 | | | $ | 463,410 | |
| Credit Suisse Securities LLC | $ | (36,215,647 | ) | | $ | 476,144 | |
| Deutsche Bank Securities, Inc. | $ | (22,819,108 | ) | | $ | 337,112 | |
| Goldman Sachs & Co. | $ | 13,801,156 | | | $ | 77,819 | |
| JPMorgan Securities, Ltd. | $ | (80,110 | ) | | $ | (124,668 | |
| Morgan Stanley Capital Services, Inc. | $ | 18,230,789 | | | $ | (281,854 | ) |
| Nomura Securities International, Inc. | $ | (11,152,791 | ) | | $ | 77,799 | |
|
| (d) | All or a portion of security has been pledged as collateral in connection with swaps. |
| | |
| (e) | All or a portion of security has been pledged as collateral in connection with open financial futures contracts. |
| | |
| (f) | All or a portion of security has been pledged as collateral for reverse repurchase agreements. |
| | |
| (g) | Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows: |
| | | | | | | |
|
| Affiliate | Net
Activity | | Income |
|
| BlackRock Liquidity Funds, TempFund, | | | | | | | |
| Institutional Class | $ | 445,018 | | | $ | 39,671 | |
| BlackRock Liquidity Series, LLC Cash | | | | | | | |
| Sweep Series | $ | (37,224,398 | ) | | $ | 57,428 | |
|
| (h) | Represents the current yield as of report date. |
| | |
| (i) | One contract represents a notional amount of $1 million. |
See Notes to Financial Statements.
43
|
|
| BlackRock Series Fund, Inc. |
| BlackRock Government Income Portfolio |
| Schedule of Investments December 31, 2009 (Continued) |
|
• Financial futures contracts purchased as of December 31, 2009 were as follows:
|
| Contracts | Issue | Expiration
Date | Notional
Value | Unrealized
Depreciation |
|
| 8 | 5-Year U.S. | | | | |
| | Treasury Bond | March 2010 | $ 933,206 | $ (18,143 | ) |
| 363 | 10-Year U.S. | | | | |
| | Treasury Bond | March 2010 | $42,095,911 | (186,427 | ) |
|
|
| Total | | | | $(204,570 | ) |
| | |
| |
• Financial futures contracts sold as of December 31, 2009 were as follows:
|
| Contracts | Issue | Expiration
Date | Notional
Value | Unrealized
Depreciation |
|
| 251 | 5-Year U.S. | | | | |
| | Treasury Bond | March 2010 | $ 933,206 | $ (18,143 | ) |
| 45 | 10-Year U.S. | | | | |
| | Treasury Bond | March 2010 | $42,095,911 | (186,427 | ) |
|
|
| Total | | | | $(204,570 | ) |
| | |
| |
|
| Contracts | Issue | Expiration
Date | Notional
Value | Unrealized
Depreciation |
|
| 251 | 2-Year U.S. | | | | |
| | Treasury Bond | March 2010 | $54,468,221 | $185,549 | |
| 45 | 30-Year U.S. | | | | |
| | Treasury Bond | March 2010 | $ 5,442,401 | 250,526 | |
|
|
| Total | | | | $436,075 | |
| | |
| |
• Reverse repurchase agreements outstanding as of December 31, 2009 were as follows:
| | | | | | | | | | | | |
|
| Counterparty | Interest
Rate | Trade Date | Maturity
Date | Net Closing
Amount | Face
Amount |
|
| JPMorgan Securities, Inc. | 0.05% | 12/11/09 | 1/13/10 | $ | 5,912,985 | | $ | 5,912,813 | |
| JPMorgan Securities, Inc. | 0.06% | 12/11/09 | 1/13/10 | | 2,950,431 | | | 2,950,312 | |
| JPMorgan Securities, Inc. | 0.08% | 12/22/09 | 1/13/10 | | 4,856,390 | | | 4,856,250 | |
| Barclays Capital, Inc. | 0.13% | 12/30/09 | 1/13/10 | | 8,272,619 | | | 8,272,500 | |
|
|
| Total | | | | $ | 21,992,425 | | $ | 21,991,875 | |
| | |
|
• Interest rate swaps outstanding as of December 31, 2009 were as follows:
| | | | | | | | | | | |
|
|
Fixed Rate
| Floating Rate | Counterparty | | Expiration | Notional
Amount
(000) | Unrealized
Appreciation
(Depreciation) |
|
|
| 1.62% (a) | 3-month LIBOR | JPMorgan Chase Bank NA | | June 2011 | USD | 2,900 | | $ | (25,285 | ) |
| 3.16% (b) | 3-month LIBOR | Deutsche Bank AG | | June 2014 | USD | 1,700 | | | 28,009 | |
| 3.11% (b) | 3-month LIBOR | JPMorgan Chase Bank NA | | June 2014 | USD | 2,500 | | | 36,237 | |
| 2.91% (b) | 3-month LIBOR | JPMorgan Chase Bank NA | | July 2014 | USD | 7,900 | | | 39,858 | |
| 2.90% (a) | 3-month LIBOR | Credit Suisse International | | August 2014 | USD | 3,400 | | | (8,965 | ) |
| 3.05% (a) | 3-month LIBOR | Credit Suisse International | | August 2014 | USD | 6,600 | | | (64,289 | ) |
| 2.79% (a) | 3-month LIBOR | JPMorgan Chase Bank NA | | November 2014 | USD | 790 | | | 5,364 | |
| 2.63% (b) | 3-month LIBOR | Morgan Stanley Capital Services, Inc. | | December 2014 | USD | 5,200 | | | (78,124 | ) |
| 3.80% (b) | 3-month LIBOR | Deutsche Bank AG | | June 2019 | USD | 4,000 | | | (34,364 | ) |
| 4.07% (b) | 3-month LIBOR | JPMorgan Chase Bank NA | | June 2019 | USD | 3,400 | | | 44,069 | |
| 3.90% (b) | 3-month LIBOR | JPMorgan Chase Bank NA | | July 2019 | USD | 8,500 | | | (15,494 | ) |
| 3.68% (b) | 3-month LIBOR | Deutsche Bank AG | | August 2019 | USD | 3,100 | | | (63,833 | ) |
| 3.73% (b) | 3-month LIBOR | Morgan Stanley Capital Services, Inc. | | August 2019 | USD | 1,400 | | | (23,253 | ) |
| 3.50% (b) | 3-month LIBOR | Citibank NA | | September 2019 | USD | 1,500 | | | (54,091 | ) |
| 3.47% (b) | 3-month LIBOR | Royal Bank of Scotland Plc | | September 2019 | USD | 3,000 | | | (116,945 | ) |
| 3.43% (a) | 3-month LIBOR | Deutsche Bank AG | | October 2019 | USD | 700 | | | 29,712 | |
| 4.80% (a) | 3-month LIBOR | Deutsche Bank AG | | October 2019 | USD | 21,000 | | | (576,140 | ) |
| 3.70% (b) | 3-month LIBOR | Credit Suisse International | | December 2019 | USD | 1,200 | | | (27,355 | ) |
| 3.40% (a) | 3-month LIBOR | Deutsche Bank AG | | December 2019 | USD | 4,000 | | | 188,705 | |
| 3.50% (b) | 3-month LIBOR | Deutsche Bank AG | | December 2019 | USD | 500 | | | (19,611 | ) |
| 4.35% (a) | 3-month LIBOR | JPMorgan Chase Bank NA | | July 2039 | USD | 1,000 | | | 28,290 | |
|
| Total | | | | | | | | $ | (707,505 | ) |
| | |
|
| (a) | Pays fixed interest rate and receives floating rate. |
| | |
| (b) | Pays floating interest rate and receives fixed rate. |
See Notes to Financial Statements.
44
|
|
| BlackRock Series Fund, Inc. |
| BlackRock Government Income Portfolio |
| Schedule of Investments December 31, 2009 (Concluded) |
|
| Fair Value Measurements — Various inputs are used in determining the fair value of investments which are as follows: |
| | | |
| | | Level 1—price quotations in active markets/exchanges for identical assets and liabilities |
| | | |
| | | Level 2—other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
| | | |
| | | Level 3—unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio's own assumptions used in determining the fair value of investments) |
| | |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Portfolio's policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. |
| | |
The following table summarizes the inputs used as of December 31, 2009 in determining the fair valuation of the Portfolio's investments: |
| | | | | | | |
|
Valuation
Inputs | Investments in
Securities |
|
| | Assets | | Liabilities |
| |
| |
| |
| Level 1—Short-Term Securities | $ | 445,018 | | | — | |
| Level 2 | | | | | | |
| Long-Term Investments1 | | 389,490,196 | | | — | |
| Short-Term Securities | | | | | | |
| Borrowed Bond Agreements | | 10,813,500 | | | — | |
| U.S. Government Obligations | | 15,999,995 | | | — | |
| Borrowed Bonds | | — | | $ | (10,773,056 | ) |
| TBA Sale Commitments | | — | | | (242,383,165 | ) |
| |
|
| Total Level 2 | | 416,303,691 | | | (253,156,221 | ) |
| |
|
| Level 3 | | — | | | — | |
| |
|
| Total | $ | 416,748,709 | | $ | (253,156,221 | ) |
| |
|
| 1 | See above Schedule of Investments for values in each security type. |
| | | | | | | |
|
| Valuation | Other Financial |
| Inputs | Instruments2 |
|
| | Assets | | Liabilities |
| |
| |
| |
| Level 1 | $ | 436,075 | | $ | (204,570 | ) |
| Level 2 | | 921,146 | | | (1,107,749 | ) |
| Level 3 | | — | | | — | |
| |
|
| Total | $ | 1,357,221 | | $ | (1,312,319 | ) |
| |
|
| 2 | Other financial instruments are swaps, financial futures contracts and options purchased. Swaps and financial futures contracts are shown at the unrealized appreciation/depreciation on the instrument and options purchased are shown at market value. |
See Notes to Financial Statements.
45
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock High Income Portfolio | |
| Schedule of Investments December 31, 2009 | (Percentages shown are based on Net Assets) |
|
| | | | | |
| Common Stocks | Shares | | Value |
|
| Auto Components—0.5% | | | | | |
| Lear Corp. (a) | | 4,219 | | $ | 285,373 |
|
| Construction Materials—0.0% | | | | | |
| Nortek, Inc. (a) | | 160 | | | 5,600 |
|
| Diversified Financial Services—0.0% | | | | | |
| CIT Group, Inc. (a) | | 495 | | | 13,677 |
|
| Electrical Equipment—0.0% | | | | | |
| Medis Technologies Ltd. (a) | | 14,935 | | | 821 |
|
| Paper & Forest Products—0.2% | | | | | |
| Ainsworth Lumber Co. Ltd. (a) | | 13,964 | | | 35,382 |
| Ainsworth Lumber Co. Ltd. (a)(b) | | 15,671 | | | 39,613 |
| | | | |
|
|
| | | | | | 74,995 |
|
| Wireless Telecommunication Services—0.1% | | | | | |
| FiberTower Corp. (a) | | 15,308 | | | 63,989 |
|
| Total Common Stocks—0.8% | | | | | 444,455 |
|
| |
|
| | Par | | | |
| Corporate Bonds | (000) | | | |
|
| |
| Aerospace & Defense—0.8% | | | | | |
| L -3 Communications Corp., 5.88%, 1/15/15 | $ | 320 | | | 319,600 |
| Spirit Aerosystems, Inc., 7.50%, 10/01/17 (b) | | 100 | | | 98,500 |
| | | | |
|
|
| | | | | | 418,100 |
|
|
| Airlines—1.3% | | | | | |
| Continental Airlines, Inc.: | | | | | |
| Series 2001-1-C, 7.03%, 12/15/12 | | 279 | | | 264,862 |
| Series 2003-RJ, 7.88%, 1/02/20 | | 48 | | | 41,446 |
| Delta Air Lines, Inc.: | | | | | |
| 9.50%, 9/15/14 (b) | | 15 | | | 15,581 |
| Series B, 9.75%, 12/17/16 | | 110 | | | 111,925 |
| United Air Lines, Inc., 12.75%, 7/15/12 | | 200 | | | 206,750 |
| | | | |
|
|
| | | | | | 640,564 |
|
| Auto Components—1.0% | | | | | |
| Allison Transmission, Inc., 11.00%, 11/01/15 (b) | | 112 | | | 117,600 |
| Delphi International Holdings, | | | | | |
| 12.00%, 10/06/14 | | 7 | | | 6,784 |
| The Goodyear Tire & Rubber Co.: | | | | | |
| 7.86%, 8/15/11 | | 125 | | | 129,219 |
| 8.63%, 12/01/11 | | 252 | | | 261,450 |
| | | | |
|
|
| | | | | | 515,053 |
|
| Biotechnology—0.5% | | | | | |
| Gilead Sciences, Inc., 0.63%, 5/01/13 (c) | | 85 | | | 104,869 |
| QHP Pharma, 10.25%, 3/15/15 (b) | | 140 | | | 140,598 |
| | | | |
|
|
| | | | | | 245,467 |
|
| Building Products—1.1% | | | | | |
| Associated Materials LLC, 9.88%, 11/15/16 (b) | | 90 | | | 94,950 |
| CPG International I, Inc., 10.50%, 7/01/13 | | 250 | | | 236,250 |
| Goodman Global Group, Inc., | | | | | |
| 12.99%, 12/15/14 (b)(d) | | 95 | | | 53,912 |
| Ply Gem Industries, Inc., 11.75%, 6/15/13 | | 145 | | | 145,000 |
| | | | |
|
|
| | | | | | 530,112 |
|
| Capital Markets—0.1% | | | | | |
| E*Trade Financial Corp. (c)(d): | | | | | |
| 3.51%, 8/31/19 (b) | | 37 | | | 62,391 |
| Series A, 4.07%, 8/31/19 | | 1 | | | 1,686 |
| | | | |
|
|
| | | | | | 64,077 |
|
| Chemicals—2.1% | | | | | |
| American Pacific Corp., 9.00%, 2/01/15 | | 120 | | | 112,650 |
| Georgia Gulf Corp., 9.00%, 1/15/17 (b) | | 45 | | | 45,450 |
| | | | | | |
| Huntsman International LLC, | | | | | |
| 5.50%, 6/30/16 (b) | | 155 | | | 137,562 |
| Innophos, Inc., 8.88%, 8/15/14 | | 100 | | | 101,500 |
| Koppers, Inc., 7.88%, 12/01/19 (b) | | 85 | | | 85,850 |
| MacDermid, Inc., 9.50%, 4/15/17 (b) | | 130 | | | 130,000 |
| Nalco Co., 8.25%, 5/15/17 (b) | | 100 | | | 106,250 |
| Nova Chemicals Corp., 8.63%, 11/01/19 (b) | | 140 | | | 142,450 |
| Terra Capital, Inc., 7.75%, 11/01/19 (b) | | 150 | | | 160,500 |
| | | | |
|
|
| | | | | | 1,022,212 |
|
|
| Commercial Services & Supplies—2.4% | | | | | |
| ACCO Brands Corp., 10.63%, 3/15/15 (b) | | 45 | | | 49,500 |
| ARAMARK Corp., 3.78%, 2/01/15 (e) | | 150 | | | 137,250 |
| Altegrity, Inc., 10.50%, 11/01/15 (b) | | 100 | | | 89,250 |
| International Lease Finance Corp.: | | | | | |
| 5.63%, 9/20/13 | | 25 | | | 19,610 |
| 5.65%, 6/01/14 | | 155 | | | 117,143 |
| Iron Mountain, Inc., 8.38%, 8/15/21 | | 130 | | | 134,225 |
| Mobile Services Group, Inc., 9.75%, 8/01/14 | | 120 | | | 124,800 |
| RSC Equipment Rental, Inc., | | | | | |
| 10.00%, 7/15/17 (b) | | 150 | | | 163,125 |
| Scientific Games International, Inc., | | | | | |
| 9.25%, 6/15/19 | | 5 | | | 5,250 |
| West Corp.: | | | | | |
| 9.50%, 10/15/14 | | 225 | | | 228,375 |
| 11.00%, 10/15/16 | | 140 | | | 146,300 |
| | | | |
|
|
| | | | | | 1,214,828 |
|
|
| Construction Materials—0.5% | | | | | |
| Nortek, Inc., 11.00%, 12/01/13 | | 161 | | | 167,943 |
| Texas Industries, Inc., 7.25%, 7/15/13 | | 80 | | | 78,600 |
| | | | |
|
|
| | | | | | 246,543 |
|
|
| Consumer Finance—2.2% | | | | | |
| Ford Motor Credit Co. LLC: | | | | | |
| 5.50%, 6/15/11 (e) | | 200 | | | 198,000 |
| 3.03%, 1/13/12 (e) | | 150 | | | 139,500 |
| 7.80%, 6/01/12 | | 200 | | | 202,151 |
| 8.00%, 12/15/16 | | 550 | | | 550,731 |
| | | | |
|
|
| | | | | | 1,090,382 |
|
|
| Containers & Packaging—5.1% | | | | | |
| Ball Corp.: | | | | | |
| 7.13%, 9/01/16 | | 90 | | | 92,250 |
| 7.38%, 9/01/19 | | 90 | | | 92,475 |
| Berry Plastics Escrow LLC (b): | | | | | |
| 8.88%, 9/15/14 | | 90 | | | 87,525 |
| 8.25%, 11/15/15 | | 130 | | | 131,950 |
| Cascades, Inc., 7.75%, 12/15/17 (b) | | 100 | | | 101,000 |
| Crown Americas LLC, 7.63%, 5/15/17 (b) | | 275 | | | 285,313 |
| Graphic Packaging International, Inc.: | | | | | |
| 9.50%, 8/15/13 | | 20 | | | 20,650 |
| 9.50%, 6/15/17 | | 195 | | | 206,700 |
| Greif, Inc., 7.75%, 8/01/19 | | 50 | | | 51,000 |
| Impress Holdings BV, 3.41%, 9/15/13 (b)(e) | | 330 | | | 316,800 |
| Owens-Brockway Glass Container, Inc.: | | | | | |
| 8.25%, 5/15/13 | | 300 | | | 308,250 |
| 7.38%, 5/15/16 | | 110 | | | 113,575 |
| Packaging Dynamics Finance Corp., | | | | | |
| 10.00%, 5/01/16 (b) | | 200 | | | 150,250 |
| Pregis Corp., 12.38%, 10/15/13 | | 185 | | | 179,219 |
| Rock -Tenn Co., 5.63%, 3/15/13 | | 80 | | | 79,700 |
| Sealed Air Corp., 7.88%, 6/15/17 (b) | | 140 | | | 149,123 |
| Solo Cup Co., 10.50%, 11/01/13 (b) | | 175 | | | 186,375 |
| | | | |
|
|
| | | | | | 2,552,155 |
|
|
See Notes to Financial Statements.
46
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock High Income Portfolio | |
| Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | | | |
| Corporate Bonds | Par
(000) | | Value |
|
| Diversified Financial Services—5.6% | | | | | |
| Axcan Intermediate Holdings, Inc., | | | | | |
| 12.75%, 3/01/16 | $ | 130 | | $ | 145,275 |
| CIT Group Funding Co. of Delaware LLC: | | | | | |
| 10.25%, 5/01/13 | | 5 | | | 5,226 |
| 10.25%, 5/01/14 | | 90 | | | 91,764 |
| 10.25%, 5/01/15 | | 90 | | | 91,088 |
| 10.25%, 5/01/16 | | 150 | | | 151,061 |
| 10.25%, 5/01/17 | | 210 | | | 211,486 |
| CIT Group, Inc.: | | | | | |
| 7.00%, 5/01/16 | | 274 | | | 240,704 |
| 7.00%, 5/01/17 | | 382 | | | 331,328 |
| GMAC LLC (b): | | | | | |
| 7.25%, 3/02/11 | | 130 | | | 128,700 |
| 6.00%, 12/15/11 | | 150 | | | 147,000 |
| 6.88%, 8/28/12 | | 30 | | | 29,400 |
| 2.46%, 12/01/14 (e) | | 231 | | | 185,955 |
| 6.75%, 12/01/14 | | 300 | | | 285,000 |
| 8.00%, 11/01/31 | | 220 | | | 198,000 |
| Leucadia National Corp., 8.13%, 9/15/15 | | 250 | | | 255,000 |
| Reynolds Group DL Escrow, Inc., | | | | | |
| 7.75%, 10/15/16 (b) | | 225 | | | 230,063 |
| Southern Star Central Corp., | | | | | |
| 6.75%, 3/01/16 (b) | | 80 | | | 77,200 |
| | | | |
|
|
| | | | | | 2,804,250 |
|
|
| Diversified Telecommunication Services—3.3% | | | | |
| Broadview Networks Holdings, Inc., | | | | | |
| 11.38%, 9/01/12 | | 165 | | | 157,987 |
| Qwest Communications International, Inc.: | | | | | |
| 7.50%, 2/15/14 | | 385 | | | 386,444 |
| 8.00%, 10/01/15 (b) | | 100 | | | 102,750 |
| 3.50%, 11/15/25 (c) | | 190 | | | 197,125 |
| Series B, 7.50%, 2/15/14 | | 370 | | | 371,388 |
| Qwest Corp., 8.38%, 5/01/16 | | 140 | | | 150,150 |
| Wind Acquisition Finance SA, | | | | | |
| 10.75%, 12/01/15 (b) | | 140 | | | 149,800 |
| Windstream Corp.: | | | | | |
| 8.13%, 8/01/13 | | 20 | | | 20,750 |
| 8.63%, 8/01/16 | | 130 | | | 132,275 |
| | | | |
|
|
| | | | | | 1,668,669 |
|
|
| Electric Utilities—1.3% | | | | | |
| FPL Energy National Wind Portfolio, LLC, | | | | | |
| 6.13%, 3/25/19 (b) | | 168 | | | 159,431 |
| IPALCO Enterprises, Inc., 7.25%, 4/01/16 (b) | | 60 | | | 60,150 |
| NSG Holdings LLC, 7.75%, 12/15/25 (b) | | 255 | | | 228,225 |
| Tenaska Alabama Partners LP, | | | | | |
| 7.00%, 6/30/21 (b) | | 210 | | | 193,817 |
| | | | |
|
|
| | | | | | 641,623 |
|
|
| Energy Equipment & Services—1.6% | | | | | |
| Aquilex Holdings LLC, 11.13%, 12/15/16 (b) | | 30 | | | 29,925 |
| Cie Generale de Geophysique-Veritas, | | | | | |
| 9.50%, 5/15/16 | | 75 | | | 80,250 |
| Compagnie Generale de Geophysique-Veritas, | | | | | |
| 7.75%, 5/15/17 | | 195 | | | 193,537 |
| Expro Finance Luxembourg SCA, | | | | | |
| 8.50%, 12/15/16 (b) | | 355 | | | 352,337 |
| North American Energy Alliance LLC, | | | | | |
| 10.88%, 6/01/16 (b) | | 105 | | | 111,563 |
| North American Energy Partners, Inc., | | | | | |
| 8.75%, 12/01/11 | | 40 | | | 40,000 |
| | | | |
|
|
| | | | | | 807,612 |
|
|
| | | | | | |
| Food & Staples Retailing—0.4% | | | | | |
| Duane Reade, Inc., 11.75%, 8/01/15 | | 35 | | | | 37,975 |
| Rite Aid Corp., 9.75%, 6/12/16 | | 125 | | | | 135,625 |
| | | | | |
|
|
| | | | | | | 173,600 |
|
|
| Food Products—0.5% | | | | | | |
| Smithfield Foods, Inc., 10.00%, 7/15/14 (b) | | 195 | | | | 211,575 |
|
|
|
|
| Health Care Equipment & Supplies—1.2% | | | | | | |
| DJO Finance LLC, 10.88%, 11/15/14 | | 345 | | | | 363,975 |
| Hologic, Inc., 2.00%, 12/15/37 (c)(f) | | 300 | | | | 256,125 |
| | | | | |
|
|
| | | | | | | 620,100 |
|
|
| Health Care Providers & Services—3.5% | | | | | | |
| Community Health Systems, Inc., Series WI, | | | | | | |
| 8.88%, 7/15/15 | | 735 | | | | 760,725 |
| DaVita, Inc., 7.25%, 3/15/15 | | 250 | | | | 250,625 |
| LifePoint Hospitals, Inc., 3.50%, 5/15/14 (c) | | 20 | | | | 18,625 |
| Tenet Healthcare Corp. (b): | | | | | | |
| 9.00%, 5/01/15 | | 397 | | | | 428,760 |
| 10.00%, 5/01/18 | | 152 | | | | 170,240 |
| Viant Holdings, Inc., 10.13%, 7/15/17 (b) | | 147 | | | | 146,265 |
| | | | | |
|
|
| | | | | | | 1,775,240 |
|
|
| Hotels, Restaurants & Leisure—1.9% | | | | | | |
| American Real Estate Partners LP, | | | | | | |
| 7.13%, 2/15/13 | | 370 | | | | 377,400 |
| Fontainebleau Las Vegas Holdings LLC, | | | | | | |
| 10.25%, 6/15/15 (a)(b)(g) | | 25 | | | | 250 |
| Greektown Holdings, LLC, | | | | | | |
| 10.75%, 12/01/13 (a)(b)(g) | | 80 | | | | 12,100 |
| HRP Myrtle Beach Operations LLC, | | | | | | |
| 0.00%, 4/01/12 (a)(b)(g) | | 250 | | | | 25 |
| MGM Mirage, 11.13%, 11/15/17 (b) | | 295 | | | | 326,713 |
| Mashantucket Western Pequot Tribe Series A, | | | | | | |
| 8.50%, 11/15/15 (b) | | 40 | | | | 9,800 |
| Scientific Games Corp., | | | | | | |
| 0.75%, 12/01/24 (c)(f) | | 60 | | | | 57,300 |
| Snoqualmie Entertainment Authority, | | | | | | |
| 4.68%, 2/01/14 (b)(e) | | 45 | | | | 22,050 |
| Travelport LLC: | | | | | | |
| 4.88%, 9/01/14 (e) | | 30 | | | | 27,188 |
| 9.88%, 9/01/14 | | 40 | | | | 41,300 |
| Tropicana Entertainment LLC, Series WI, | | | | | | |
| 9.63%, 12/15/14 (a)(g) | | 15 | | | | 75 |
| Virgin River Casino Corp., | | | | | | |
| 9.00%, 1/15/12 (a)(g) | | 100 | | | | 10,000 |
| Waterford Gaming LLC, 8.63%, 9/15/14 (b) | | 115 | | | | 62,675 |
| | | | | |
|
|
| | | | | | | 946,876 |
|
|
| Household Durables—1.9% | | | | | | |
| Ashton Woods USA LLC, | | | | | | |
| 17.15%, 6/30/15 (b)(h) | | 234 | | | | 46,800 |
| Beazer Homes USA, Inc., 12.00%, 10/15/17 (b) | | 240 | | | | 261,600 |
| Jarden Corp.: | | | | | | |
| 8.00%, 5/01/16 | | 65 | | | | 67,112 |
| 7.50%, 5/01/17 | | 205 | | | | 204,488 |
| KB Home: | | | | | | |
| 6.38%, 8/15/11 | | 7 | | | | 7,000 |
| 9.10%, 9/15/17 | | 50 | | | | 52,500 |
| Pulte Homes, Inc., 6.38%, 5/15/33 | | 10 | | | | 8,075 |
| Standard Pacific Corp.: | | | | | | |
| 6.25%, 4/01/14 | | 10 | | | | 8,700 |
| 7.00%, 8/15/15 | | 30 | | | | 26,100 |
| Standard Pacific Escrow LLC, | | | | | | |
| 10.75%, 9/15/16 (b) | | 250 | | | | 255,000 |
| | | | | |
|
|
| | | | | | | 937,375 |
|
|
See Notes to Financial Statements.
47
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock High Income Portfolio | |
| Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | | | |
| | Par | | |
| Corporate Bonds | (000) | | Value |
|
| IT Services—1.1% | | | | | |
| Alliance Data Systems Corp., | | | | | |
| 1.75%, 8/01/13 (c) | $ | 260 | | $ | 264,875 |
| First Data Corp.: | | | | | |
| 9.88%, 9/24/15 | | 15 | | | 13,988 |
| 11.25%, 3/31/16 | | 175 | | | 149,625 |
| SunGard Data Systems, Inc., 9.13%, 8/15/13 | | 95 | | | 97,375 |
| | | | |
|
|
| | | | | | 525,863 |
|
|
| Independent Power Producers & Energy Traders—4.0% | | | |
| The AES Corp., 8.75%, 5/15/13 (b) | | 245 | | | 251,125 |
| AES Eastern Energy LP, Series 99-B, | | | | | |
| 9.67%, 1/02/29 | | 125 | | | 131,562 |
| Calpine Construction Finance Co. LP, | | | | | |
| 8.00%, 6/01/16 (b) | | 335 | | | 345,050 |
| Dynegy Holdings, Inc., 8.38%, 5/01/16 | | 110 | | | 104,500 |
| Energy Future Holdings Corp., 11.25%, | | | | | |
| 11/01/17 | | 663 | | | 465,624 |
| NRG Energy, Inc.: | | | | | |
| 7.38%, 2/01/16 | | 425 | | | 425,531 |
| 8.50%, 6/15/19 | | 285 | | | 292,125 |
| | | | |
|
|
| | | | | | 2,015,517 |
|
|
| Industrial Conglomerates—1.3% | | | | | |
| Icahn Enterprises LP, 4.00%, 8/15/13 (c)(e) | | 50 | | | 41,500 |
| Sequa Corp. (b): | | | | | |
| 11.75%, 12/01/15 | | 230 | | | 213,900 |
| 13.50%, 12/01/15 (i) | | 427 | | | 395,093 |
| | | | |
|
|
| | | | | | 650,493 |
|
|
| Insurance—0.1% | | | | | |
| USI Holdings Corp., 4.15%, 11/15/14 (b)(e) | | 60 | | | 49,275 |
|
|
|
|
|
|
| Internet & Catalog Retail—0.0% | | | | | |
| Netflix, Inc., 8.50%, 11/15/17 (b) | | 20 | | | 20,750 |
|
|
|
|
|
| Leisure Equipment & Products—0.3% | | | | | |
| Brunswick Corp., 11.25%, 11/01/16 (b) | | 80 | | | 90,000 |
| Easton-Bell Sports, Inc., 9.75%, 12/01/16 (b) | | 55 | | | 56,994 |
| True Temper Sports, Inc., 8.38%, 9/15/11 (a)(g) | | 325 | | | 33 |
| | | | |
|
|
| | | | | | 147,027 |
|
|
| Life Sciences Tools & Services—0.2% | | | | | |
| Bio-Rad Laboratories, Inc., | | | | | |
| 8.00%, 9/15/16 (b) | | 80 | | | 84,400 |
|
|
|
|
|
| Machinery—1.2% | | | | | |
| ESCO Corp., 8.63%, 12/15/13 (b) | | 100 | | | 99,500 |
| Navistar International Corp.: | | | | | |
| 3.00%, 10/15/14 (c) | | 100 | | | 103,375 |
| 8.25%, 11/01/21 | | 200 | | | 205,000 |
| RBS Global, Inc., 8.88%, 9/01/16 | | 45 | | | 39,150 |
| Titan International, Inc.: | | | | | |
| 8.00%, 1/15/12 | | 80 | | | 78,400 |
| 5.63%, 1/15/17 (b)(c) | | 50 | | | 52,528 |
| | | | |
|
|
| | | | | | 577,953 |
|
|
| Marine—0.8% | | | | | |
| Horizon Lines, Inc., 4.25%, 8/15/12 (c) | | 280 | | | 227,500 |
| Navios Maritime Holdings, Inc., | | | | | |
| 8.88%, 11/01/17 (b) | | 100 | | | 103,875 |
| Trico Shipping AS, 11.88%, 11/01/14 (b) | | 65 | | | 67,681 |
| | | | |
|
|
| | | | | | 399,056 |
|
|
| Media—10.0 % | | | | | |
| Affinion Group, Inc., 10.13%, 10/15/13 | | 580 | | | 595,950 |
| CCH II LLC, 13.50%, 11/30/16 | | 307 | | | 361,605 |
| CCO Holdings LLC, 8.75%, 11/15/13 | | 100 | | | 102,625 |
| CMP Susquehanna Corp., | | | | | |
| 3.52%, 5/15/14 (b)(e) | | 20 | | | 400 |
| | | | | | |
| CSC Holdings, Inc.: | | | |
| 8.50%, 4/15/14 (b) | | 180 | | | 191,700 |
| Series B, 7.63%, 4/01/11 | | 30 | | | 30,975 |
| Cablevision Systems Corp., Series B, | | | | | |
| 8.00%, 4/15/12 | | 240 | | | 253,800 |
| Charter Communications Operating LLC (b): | | | | | |
| 10.00%, 4/30/12 | | 30 | | | 30,825 |
| 10.38%, 4/30/14 | | 110 | | | 113,025 |
| Clear Channel Worldwide Holdings, Inc. (b): | | | | | |
| Series A, 9.25%, 12/15/17 | | 172 | | | 175,440 |
| Series B, 9.25%, 12/15/17 | | 689 | | | 709,670 |
| EchoStar DBS Corp., 7.00%, 10/01/13 | | 115 | | | 118,306 |
| Harland Clarke Holdings Corp.: | | | | | |
| 6.00%, 5/15/15 (e) | | 40 | | | 32,700 |
| 9.50%, 5/15/15 | | 50 | | | 46,437 |
| Intelsat Corp., 9.25%, 6/15/16 | | 200 | | | 206,500 |
| Intelsat Subsidiary Holding Co. Ltd.: | | | | | |
| 8.50%, 1/15/13 | | 70 | | | 71,400 |
| 8.88%, 1/15/15 (b) | | 60 | | | 61,800 |
| Liberty Global, Inc., 4.50%, 11/15/16 (b)(c) | | 120 | | | 130,200 |
| Local Insight Regatta Holdings, Inc., | | | | | |
| 11.00%, 12/01/17 | | 110 | | | 70,950 |
| NTL Cable Plc, 8.75%, 4/15/14 | | 1 | | | 1,033 |
| Network Communications, Inc., | | | | | |
| 10.75%, 12/01/13 | | 35 | | | 14,044 |
| Nielsen Finance LLC: | | | | | |
| 10.00%, 8/01/14 | | 170 | | | 177,225 |
| 11.63%, 2/01/14 | | 90 | | | 101,138 |
| 18.46%, 8/01/16 (h) | | 10 | | | 9,125 |
| ProtoStar I Ltd., 18.00%, | | | | | |
| 10/15/12 (a) (b)(c)(g) | | 163 | | | 155,270 |
| Rainbow National Services LLC, | | | | | |
| 10.38%, 9/01/14 (b) | | 60 | | | 63,300 |
| TL Acquisitions, Inc., 10.50%, 1/15/15 (b) | | 535 | | | 511,594 |
| UPC Germany GmbH, 8.13%, 12/01/17 (b) | | 500 | | | 505,625 |
| WMG Acquisition Corp., 9.50%, 6/15/16 (b) | | 170 | | | 182,113 |
| | | | |
|
|
| | | | | | 5,024,775 |
|
|
| Metals & Mining—5.5% | | | | | |
| Aleris International, Inc. (a)(g): | | | | | |
| 9.00%, 12/15/14 | | 130 | | | 650 |
| 10.00%, 12/15/16 | | 125 | | | 625 |
| Arch Western Finance LLC, 6.75%, 7/01/13 | | 170 | | | 168,725 |
| Drummond Co., Inc. (b): | | | | | |
| 9.00%, 10/15/14 | | 150 | | | 157,312 |
| 7.38%, 2/15/16 | | 145 | | | 141,738 |
| Evraz Group SA (b): | | | | | |
| 8.88%, 4/24/13 | | 125 | | | 125,000 |
| 9.50%, 4/24/18 | | 100 | | | 99,500 |
| FMG Finance Property Ltd. (b): | | | | | |
| 10.00%, 9/01/13 | | 20 | | | 20,800 |
| 10.63%, 9/01/16 | | 170 | | | 188,062 |
| Foundation PA Coal Co., 7.25%, 8/01/14 | | 400 | | | 405,000 |
| GoldCorp., Inc., 2.00%, 8/01/14 (b)(c) | | 35 | | | 40,206 |
| McJunkin Red Man Corp., | | | | | |
| 9.50%, 12/15/16 (b) | | 155 | | | 151,513 |
| Murray Energy Corp., 10.25%, 10/15/15 (b) | | 115 | | | 114,425 |
| Novelis, Inc.: | | | | | |
| 7.25%, 2/15/15 | | 250 | | | 238,125 |
| 11.50%, 2/15/15 (b) | | 85 | | | 91,056 |
| Ryerson, Inc.: | | | | | |
| 7.66%, 11/01/14 (e) | | 65 | | | 59,881 |
| 12.00%, 11/01/15 | | 20 | | | 20,900 |
See Notes to Financial Statements.
48
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock High Income Portfolio | |
| Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | | | |
| | Par | | |
| Corporate Bonds | (000) | | Value |
|
| Metals & Mining (concluded) | | | | | |
| Steel Dynamics, Inc., 7.38%, 11/01/12 | $ | 250 | | $ | 257,500 |
| Teck Resources Ltd.: | | | | | |
| 10.25%, 5/15/16 | | 65 | | | 75,725 |
| 10.75%, 5/15/19 | | 245 | | | 292,775 |
| Vedanta Resources Plc, 9.50%, 7/18/18 (b) | | 115 | | | 116,725 |
| | | | |
|
|
| | | | | | 2,766,243 |
|
|
| Multi-Utilities—0.2% | | | | | |
| CMS Energy Corp., 8.75%, 6/15/19 | | 65 | | | 71,145 |
|
|
|
|
|
| Multiline Retail—1.1% | | | | | |
| Dollar General Corp.: | | | | | |
| 10.63%, 7/15/15 | | 133 | | | 147,297 |
| 11.88%, 7/15/17 (i) | | 293 | | | 337,682 |
| Saks, Inc., 9.88%, 10/01/11 | | 60 | | | 62,775 |
| | | | |
|
|
| | | | | | 547,754 |
|
|
| Oil, Gas & Consumable Fuels—8.4% | | | | | |
| Arch Coal, Inc., 8.75%, 8/01/16 (b) | | 100 | | | 105,750 |
| Atlas Energy Operating Co. LLC: | | | | | |
| 12.13%, 8/01/17 | | 75 | | | 85,125 |
| 10.75%, 2/01/18 | | 50 | | | 55,250 |
| Berry Petroleum Co., 8.25%, 11/01/16 | | 135 | | | 132,975 |
| Bill Barrett Corp., 9.88%, 7/15/16 | | 50 | | | 53,250 |
| Chesapeake Energy Corp.: | | | | | |
| 6.38%, 6/15/15 | | 60 | | | 58,800 |
| 2.25%, 12/15/38 (c) | | 125 | | | 94,531 |
| Cimarex Energy Co., 7.13%, 5/01/17 | | 120 | | | 121,200 |
| Concho Resources, Inc., 8.63%, 10/01/17 | | 55 | | | 57,750 |
| Connacher Oil and Gas Ltd., | | | | | |
| 10.25%, 12/15/15 (b) | | 215 | | | 196,725 |
| Corral Finans AB, 1.78%, 4/15/10 (b)(i) | | 74 | | | 64,303 |
| Denbury Resources, Inc.: | | | | | |
| 7.50%, 12/15/15 | | 70 | | | 69,825 |
| 9.75%, 3/01/16 | | 195 | | | 208,162 |
| El Paso Corp.: | | | | | |
| 8.25%, 2/15/16 | | 115 | | | 122,762 |
| 7.00%, 6/15/17 | | 225 | | | 223,153 |
| Encore Acquisition Co., 6.25%, 4/15/14 | | 125 | | | 125,000 |
| Forest Oil Corp., 8.50%, 2/15/14 (b) | | 140 | | | 146,300 |
| Massey Energy Co.: | | | | | |
| 6.88%, 12/15/13 | | 40 | | | 39,950 |
| 3.25%, 8/01/15 (c) | | 320 | | | 279,600 |
| Newfield Exploration Co., 6.63%, 4/15/16 | | 60 | | | 60,150 |
| OPTI Canada, Inc.: | | | | | |
| 9.00%, 12/15/12 (b) | | 265 | | | 270,963 |
| 7.88%, 12/15/14 | | 55 | | | 45,100 |
| Petrohawk Energy Corp.: | | | | | |
| 10.50%, 8/01/14 | | 120 | | | 131,100 |
| 7.88%, 6/01/15 | | 245 | | | 247,450 |
| Range Resources Corp.: | | | | | |
| 6.38%, 3/15/15 | | 250 | | | 248,125 |
| 8.00%, 5/15/19 | | 100 | | | 107,000 |
| Roseton-Danskammer 2001, Series B, | | | | | |
| 7.67%, 11/08/16 | | 250 | | | 241,250 |
| Sabine Pass LNG LP, 7.50%, 11/30/16 | | 85 | | | 70,763 |
| SandRidge Energy, Inc.: | | | | | |
| 8.63%, 4/01/15 (i) | | 15 | | | 15,000 |
| 9.88%, 5/15/16 (b) | | 100 | | | 105,250 |
| 8.00%, 6/01/18 (b) | | 175 | | | 171,938 |
| Southwestern Energy Co., 7.50%, 2/01/18 | | 90 | | | 95,400 |
| Swift Energy Co., 7.13%, 6/01/17 | | 150 | | | 141,749 |
| | | | |
|
|
| | | | | | 4,191,649 |
|
|
| | | | | | |
| Paper & Forest Products—4.3% | | | |
| Ainsworth Lumber Co. Ltd., | | | | | |
| 11.00%, 7/29/15 (b)(i) | | 123 | | | 77,180 |
| Boise Cascade LLC, 7.13%, 10/15/14 | | 150 | | | 135,187 |
| Boise Paper Holdings LLC, | | | | | |
| 9.00%, 11/01/17 (b) | | 75 | | | 77,719 |
| Clearwater Paper Corp., 10.63%, 6/15/16 (b) | | 80 | | | 89,300 |
| Georgia-Pacific Corp., 8.13%, 5/15/11 | | 75 | | | 78,750 |
| Georgia-Pacific LLC, 8.25%, 5/01/16 (b) | | 230 | | | 243,800 |
| NewPage Corp.: | | | | | |
| 10.00%, 5/01/12 | | 180 | | | 128,700 |
| 11.38%, 12/31/14 (b) | | 955 | | | 964,550 |
| Verso Paper Holdings LLC: | | | | | |
| 11.50%, 7/01/14 (b) | | 70 | | | 77,000 |
| Series B, 4.03%, 8/01/14 (e) | | 100 | | | 79,000 |
| Series B, 9.13%, 8/01/14 | | 125 | | | 119,375 |
| Series B, 11.38%, 8/01/16 | | 110 | | | 88,550 |
| | | | |
|
|
| | | | | | 2,159,111 |
|
|
| Pharmaceuticals—1.8% | | | | | |
| Angiotech Pharmaceuticals, Inc., | | | | | |
| 4.01%, 12/01/13 (e) | | 300 | | | 255,000 |
| Elan Corp. Plc, 8.75%, 10/15/16 (b) | | 145 | | | 138,475 |
| Novasep Holding SAS, 9.75%, 12/15/16 (b) | | 298 | | | 291,867 |
| Valeant Pharmaceuticals International, | | | | | |
| 8.38%, 6/15/16 (b) | | 215 | | | 221,450 |
| | | | |
|
|
| | | | | | 906,792 |
|
|
| Professional Services—0.2% | | | | | |
| FTI Consulting, Inc., 7.75%, 10/01/16 | | 95 | | | 96,187 |
|
|
|
|
|
| Real Estate Investment Trusts (REITs)—0.2% | | | | |
| HCP, Inc.: | | | | | |
| 6.00%, 1/30/17 | | 5 | | | 4,705 |
| 6.70%, 1/30/18 | | 115 | | | 111,565 |
| | | | |
|
|
| | | | | | 116,270 |
|
|
| Real Estate Management & Development—0.5% | | | | |
| Forest City Enterprises, Inc., 7.63%, 6/01/15 | | 150 | | | 134,250 |
| Realogy Corp.: | | | | | |
| 10.50%, 4/15/14 | | 35 | | | 30,275 |
| 12.38%, 4/15/15 | | 100 | | | 77,750 |
| | | | |
|
|
| | | | | | 242,275 |
|
|
| Semiconductors & Semiconductor Equipment—1.6% | | | |
| Advanced Micro Devices, Inc., | | | | | |
| 8.13%, 12/15/17 (b) | | 185 | | | 184,306 |
| Amkor Technology, Inc., 9.25%, 6/01/16 | | 135 | | | 143,437 |
| STATS ChipPAC Ltd.: | | | | | |
| 7.50%, 7/19/10 | | 75 | | | 75,844 |
| 6.75%, 11/15/11 | | 150 | | | 150,938 |
| Spansion, Inc., 3.79%, 6/01/13 (a)(b)(e)(g) | | 265 | | | 267,650 |
| | | | |
|
|
| | | | | | 822,175 |
|
|
| Software—0.1% | | | | | |
| BMS Holdings, Inc., 8.35%, 2/15/12 (b)(e)(i) | | 102 | | | 2,034 |
| JDA Software Group, Inc., 8.00%, 12/15/14 (b) | | 35 | | | 35,700 |
| | | | |
|
|
| | | | | | 37,734 |
|
|
| Specialty Retail—1.0% | | | | | |
| Asbury Automotive Group, Inc., | | | | | |
| 7.63%, 3/15/17 | | 50 | | | 47,125 |
| General Nutrition Centers, Inc., | | | | | |
| 10.75%, 3/15/15 | | 160 | | | 162,800 |
| Group 1 Automotive, Inc., | | | | | |
| 2.25%, 6/15/36 (c)(f) | | 80 | | | 61,300 |
| United Auto Group, Inc., 7.75%, 12/15/16 | | 250 | | | 241,875 |
| | | | |
|
|
| | | | | | 513,100 |
|
|
See Notes to Financial Statements.
49
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock High Income Portfolio | |
| Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | | |
| Corporate Bonds | Par
(000) | | Value |
|
| Textiles, Apparel & Luxury Goods—1.0% | | | | | |
| Hanesbrands, Inc., 8.00%, 12/15/16 | $ | 105 | | $ | 106,969 |
| Levi Strauss & Co., 8.88%, 4/01/16 | | 215 | | | 224,944 |
| Quiksilver, Inc., 6.88%, 4/15/15 | | 225 | | | 184,500 |
| | | | |
|
|
| | | | | | 516,413 |
|
|
| Thrifts & Mortgage Finance—0.2% | | | | | |
| Residential Capital Corp., 8.38%, 6/30/10 | | 140 | | | 119,000 |
|
|
|
|
|
|
| Tobacco—0.4% | | | | | |
| Vector Group Ltd., 11.00%, 8/15/15 | | 200 | | | 202,000 |
|
|
|
|
|
|
| Trading Companies & Distributors—0.2% | | | | | |
| United Rentals North America, Inc., | | | | | |
| 9.25%, 12/15/19 | | 110 | | | 113,575 |
|
|
|
|
|
|
| Wireless Telecommunication Services—5.7% | | | | | |
| Cricket Communications, Inc.: | | | | | |
| 9.38%, 11/01/14 | | 120 | | | 120,600 |
| 10.00%, 7/15/15 | | 185 | | | 187,544 |
| 7.75%, 5/15/16 | | 150 | | | 149,625 |
| Crown Castle International | | | | | |
| Corp., 9.00%, 1/15/15 | | 30 | | | 31,950 |
| Digicel Group Ltd. (b): | | | | | |
| 8.88%, 1/15/15 | | 100 | | | 97,000 |
| 9.13%, 1/15/15 (i) | | 308 | | | 302,635 |
| FiberTower Corp., 9.00%, 1/01/16 (b)(i) | | 57 | | | 45,460 |
| iPCS, Inc., 2.41%, 5/01/13 (e) | | 285 | | | 266,475 |
| MetroPCS Wireless, Inc., 9.25%, 11/01/14 | | 560 | | | 567,000 |
| NII Holdings, Inc., 2.75%, 8/15/25 (c) | | 160 | | | 159,400 |
| Nextel Communications, Inc.: | | | | | |
| Series D, 7.38%, 8/01/15 | | 90 | | | 87,525 |
| Series E, 6.88%, 10/31/13 | | 630 | | | 611,100 |
| Series F, 5.95%, 3/15/14 | | 30 | | | 28,013 |
| Sprint Capital Corp., 6.88%, 11/15/28 | | 270 | | | 224,438 |
| | | | |
|
|
| | | | | | 2,878,765 |
|
|
| Total Corporate Bonds—89.7% | | | | | 44,921,710 |
|
|
|
| | | |
|
|
|
| Floating Rate Loan Interests (e) | | | | | |
|
|
| Auto Components—0.8% | | | | | |
| Allison Transmission, Inc., Term Loan, | | | | | |
| 2.99%—3.04%, 8/07/14 | | 98 | | | 89,697 |
| Dana Holding Corp., Term Advance, | | | | | |
| 7.25%, 1/31/15 | | 344 | | | 329,410 |
| | | | |
|
|
| | | | | | 419,107 |
|
|
| Automobiles—0.7% | | | | | |
| Ford Motor Co.: | | | | | |
| Term Loan B, 3.26%, 12/15/13 | | 200 | | | 177,000 |
| Tranche B-1 Term Loan, 3.24%—3.29%, | | | | | |
| 12/15/13 | | 199 | | | 183,449 |
| | | | |
|
|
| | | | | | 360,449 |
|
|
| Chemicals—0.5% | | | | | |
| PQ Corp. (fka Niagara Acquisition, Inc.), | | | | | |
| Loan (Second Lien), 6.74%, 7/30/15 | | 200 | | | 171,000 |
| Solutia Inc., Loan, 7.25%, 2/28/14 | | 74 | | | 74,725 |
| | | | |
|
|
| | | | | | 245,725 |
|
|
| Consumer Finance—0.5% | | | | | |
| DaimlerChrysler Financial Services Americas LLC, | | | | | |
| Term Loan (First Lien), 4.24%, 8/03/12 | | 274 | | | 266,984 |
|
|
| |
|
|
| Diversified Financial Services—0.3% | | | | | |
| CIT Group, Inc., Tranche 2A Term Loan Assignment, | | | | | |
| 9.50%, 1/20/12 | | 144 | | | 147,360 |
|
|
|
|
|
| Food & Staples Retailing—0.4% | | | | | |
| Rite Aid Corp., Tranche 4 Term Loan, | | | | | |
| 9.50%, 6/10/15 | | 200 | | | 206,688 |
|
|
|
|
|
| | | | | | |
| Health Care Providers & Services—0.3% | | | | | | |
| HCA Inc., Tranche A-1 Term Loan, | | | | | | |
| 1.75%, 1/19/13 | | 141 | | | | 134,353 |
|
| Hotels, Restaurants & Leisure—0.8% | | | | | | |
| Travelport LLC Holdings Ltd. Term Loan, | | | | | | |
| 8.28%, 3/27/12 | | 418 | | | | 375,984 |
|
|
|
|
| Independent Power Producers & Energy Traders—1.3% | | |
| Dynegy Holdings Inc.: | | | | | | |
| Term Letter of Credit, Facility, Term Loan, | | | | | | |
| 3.99%, 4/02/13 | | 72 | | | | 68,595 |
| Tranche B Term Loan, 3.99%, 4/02/13 | | 3 | | | | 2,960 |
| Texas Competitive Electric Holdings Co., LLC (TXU): | | | | | | |
| Initial Tranche B-2 Term Loan, | | | | | | |
| 3.74%—3.75%, 10/10/14 | | 244 | | | | 198,555 |
| Initial Tranche B-3 Term Loan, | | | | | | |
| 3.74%—3.75%, 10/10/14 | | 489 | | | | 393,688 |
| | |
|
|
| | | | | | | 663,798 |
|
|
| Machinery—0.3% | | | | | | |
| Accuride Term Loan, 6.00%, 1/31/12 | | 125 | | | | 124,557 |
|
|
|
|
| Media—0.7% | | | | | | |
| HMH Publishing Co. Ltd.: | | | | | | |
| Mezzanine, 17.50%, 11/14/14 | | 82 | | | | 15,634 |
| Tranche A Term Loan, 5.28%, 6/12/14 | | 221 | | | | 191,955 |
| Newsday, LLC, Fixed Rate Term Loan, | | | | | | |
| 10.50%, 8/01/13 | | 150 | | | | 158,375 |
| | |
|
|
| | | | | | | 365,964 |
|
|
| Multiline Retail—0.1% | | | | | | |
| Neiman Marcus, Term Loan, 2.26%, 4/06/13 | | 30 | | | | 26,653 |
|
|
|
|
| Real Estate Management & Development—0.5% | | | | | | |
| Realogy Corp., Tranche A Second Lien | | | | | | |
| Term Loan, 13.50%, 10/15/17 | | 250 | | | | 264,167 |
|
|
|
|
| Specialty Retail—0.1% | | | | | | |
| Claire Stores, Inc., Term Loan B, 3.00%, | | | | | | |
| 5/29/14 | | 60 | | | | 48,253 |
|
|
|
|
| Total Floating Rate Loan Interests—7.3% | | | | | | 3,650,042 |
|
|
|
| | | |
|
|
|
| Other Interests (j) | Beneficial
Interest
(000) | | |
|
|
|
| Auto Components—0.9% | | | | | | |
| Delphi Debtor in Possession Hold Co. LLP, | | | | | | |
| Class B, Membership Interests | $ | — | (k) | | | 426,872 |
| Lear Corp. Escrow | | 55 | | | | 1,444 |
| Lear Corp. Escrow | | 100 | | | | 2,625 |
| Lear Corp. Escrow | | 150 | | | | 3,938 |
| | |
|
|
| | | | | | | 434,879 |
|
|
| Household Durables—0.0% | | | | | | |
| Stanley Martin, Class B, Membership Units (l) | | — | (k) | | | 15,000 |
|
|
|
|
| Total Other Interests—0.9% | | | | | | 449,879 |
|
| |
|
|
|
| Preferred Securities | | | | | | |
|
|
| Preferred Stocks | Shares | | |
|
|
| Diversified Financial Services—0.2% | | | | | | |
| Citigroup, Inc., 7.50% (c) | | 1,000 | | | | 104,340 |
|
|
|
|
| Diversified Telecommunication Services—0.0% | | | | | | |
| PTV, Inc., Series A, 10.00% | | 8 | | | | 1 |
|
|
|
|
See Notes to Financial Statements.
50
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock High Income Portfolio | |
| Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | | | |
| Preferred Stocks | Shares | | Value |
|
| Media—0.0% | | | | |
| CMP Susquehanna Radio Holdings Corp., | | | | |
| 0.00% (b)(e) | 4,664 | | $ | — |
|
| Total Preferred Securities—0.2% | | | | 104,341 |
|
|
|
| | | |
|
|
|
| Warrants (m) | | | | |
|
|
| Media—0.0% | | | | |
| CMP Susquehanna Radio Holdings Corp. | | | | |
| (expires 3/26/19) (b) | 5,330 | | | — |
|
|
|
| Total Warrants—0.0% | | | | — |
|
|
|
| Total Long-Term Investments | | | | |
| (Cost—$49,505,200)—98.9% | | | | 49,570,427 |
|
|
|
| | | |
|
|
|
| Short-Term Securities | | | | |
|
|
| BlackRock Liquidity Funds, TempFund, | | | | |
| Institutional Shares, 0.11% (n)(o) | 244,034 | | | 244,034 |
|
|
|
| Total Short-Term Securities | | | | |
| (Cost—$244,034)—0.5% | | | | 244,034 |
|
|
|
| Total Investments (Cost—$49,749,234*)—99.4% | | | | 49,814,461 |
| Other Assets Less Liabilities—0.6% | | | | 288,965 |
| | | |
|
|
| Net Assets—100.0% | | | $ | 50,103,426 |
| | | |
|
|
| * | The cost and unrealized appreciation (depreciation) of investments as of December 31, 2009, as computed for federal income tax purposes, were as follows: |
| Aggregate cost | $ | 49,929,668 | |
| |
|
| Gross unrealized appreciation | $ | 2,602,757 | |
| Gross unrealized depreciation | | (2,717,964 | ) |
| |
|
| Net unrealized depreciation | $ | (115,207 | ) |
| |
|
| (a) | Non-income producing security. |
| | |
| (b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| | |
| (c) | Convertible security. |
| | |
| (d) | Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
| | |
| (e) | Variable rate security. Rate shown is as of report date. |
| | |
| (f) | Represents a step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate shown is as of report date. |
| | |
| (g) | Issuer filed for bankruptcy and/or is in default of interest payments. |
| | |
| (h) | Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown reflects the current yield as of report date. |
| | |
| (i) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
| | |
| (j) | Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing. |
| | |
| (k) | Amount less than $1,000. |
| | |
| (l) | Restricted security as to resale, representing approximately 0.03% of net assets, was as follows: |
| | | |
|
| Issue | Acquisition
Date | Cost | Value |
|
| Stanley Martin Class B | | | |
| Membership Units | 4/03/06 | $50,636 | $15,000 |
|
| (m) | Warrants entitle the Portfolio to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date. |
| | |
| (n) | Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows: |
| | | | | |
|
| | Net | | |
| Affiliate | Activity | Income |
|
| BlackRock Liquidity Funds, TempFund, | | | | |
| Institutional Class | $ | 244,034 | $ | 5,944 |
| BlackRock Liquidity Series, LLC | | | | |
| Cash Sweep Series | $ | (3,296,460) | $ | 5,511 |
|
| (o) | Represents the current yield as of report date. |
| | |
| • | For Portfolio compliance purposes, the Portfolio’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Portfolio management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. |
| | |
| • | Fair Value Measurements—Various inputs are used in determining the fair value of investments, which are as follows: |
| | | |
| | • | Level 1—price quotations in active markets/exchanges for identical assets and liabilities. |
| | | |
| | • | Level 2—other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
| | | |
| | • | Level 3—unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio’s own assumptions used in determining the fair value of investments) |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Portfolio’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.
The following table summarizes the inputs used as of December 31, 2009 in determining the fair valuation of the Portfolio’s investments:
| | |
|
| Valuation | Investments in |
| Inputs | Securities |
|
| | Assets |
| |
|
| Level 1 | | |
| Long-Term Investments: | | |
| Common Stocks | $ | 399,242 |
| Preferred Stocks | | 104,340 |
| Short-Term Securities | | 244,034 |
| |
|
| Total Level 1 | | 747,616 |
| |
|
| Level 2 | | |
| Long-Term Investments: | | |
| Common Stocks | | 39,613 |
| Corporate Bonds | | 44,666,971 |
| Floating Rate Loan Interests | | 1,854,699 |
| Other Interests | | 23,007 |
| Preferred Stocks | | 1 |
| |
|
| Total Level 2 | | 46,584,291 |
| |
|
See Notes to Financial Statements.
51
|
|
| BlackRock Series Fund, Inc. |
| BlackRock High Income Portfolio |
| Schedule of Investments December 31, 2009 (Concluded) |
|
| | |
| Valuation | Investments in |
| Inputs | Securities |
|
| | Assets |
| |
|
| Level 3 | | |
| Long-Term Investments: | | |
| Common Stocks | $ | 5,600 |
| Corporate Bonds | | 254,739 |
| Floating Rate Loan Interests | | 1,795,343 |
| Other Interests | | 426,872 |
| |
|
|
| Total Level 3 | | 2,482,554 |
| |
|
|
| Total | $ | 49,814,461 |
| |
|
|
| Valuation | Other Financial |
| Inputs | Instruments1 |
|
| | Liabilities |
| |
|
| Level 1 | | — | |
| Level 2 | | — | |
| Level 3 | $ | (9,668 | ) |
| |
|
| Total | $ | (9,668 | ) |
| |
|
| 1 | Other financial instruments are unfunded loan commitments which are shown at the unrealized appreciation/depreciation on the instrument. |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
|
| | Investments in Securities |
|
| | Common
Stocks | Corporate
Bonds | Floating Rate
Loan Interests | Other
Interests | Total |
|
| Balance, as of December 31, 2008 | | — | | — | $ | 612,539 | | | — | $ | 612,539 | |
| Accrued discounts/premiums | | — | | — | | — | | | — | | — | |
| Realized gain (loss) | | — | | — | | (320,789 | ) | | — | | (320,789 | ) |
| Change in unrealized appreciation/depreciation2 | | — | $ | 65,376 | | 1,093,178 | | | — | | 1,158,554 | |
| Net purchases (sales) | | — | | — | | (274,444 | ) | | — | | (274,444 | ) |
| Net transfers in/out of Level 3 | $ | 5,600 | | 189,363 | | 684,859 | | $ | 426,872 | | 1,306,694 | |
| |
|
| Balance, as of December 31, 2009 | $ | 5,600 | $ | 254,739 | $ | 1,795,343 | | $ | 426,872 | $ | 2,482,554 | |
| |
|
| 2 | Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The change in unrealized appreciation/depreciation on securities still held at December 31, 2009 was $733,783. |
The following table is a reconciliation of Level 3 other financial instruments for which significant unobservable inputs were used to determine fair value:
|
|
| | Other Financial |
| | Instruments3 |
|
|
| | Liabilities |
| |
|
| Balance, as of December 31, 2008 | | — | |
| Accrued discounts/premiums | | — | |
| Realized gain (loss) | | — | |
| Change in unrealized appreciation/depreciation | $ | (9,668 | ) |
| Net purchases (sales) | | — | |
| Net transfers in/out of Level 3 | | — | |
| |
|
| |
| Balance, as of December 31, 2009 | $ | (9,668 | ) |
| |
|
| |
| 2 | Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The change in unrealized appreciation/depreciation on securities still held at December 31, 2009 was $733,783. |
The following table is a reconciliation of Level 3 other financial instruments for which significant unobservable inputs were used to determine fair value:
|
|
| | Other Financial |
| | Instruments3 |
|
|
| | Liabilities |
| |
|
| Balance, as of December 31, 2008 | | — | |
| Accrued discounts/premiums | | — | |
| Realized gain (loss) | | — | |
| Change in unrealized appreciation/depreciation | $ | (9,668 | ) |
| Net purchases (sales) | | — | |
| Net transfers in/out of Level 3 | | — | |
| |
|
| |
| Balance, as of December 31, 2009 | $ | (9,668 | ) |
| |
|
| |
| 3 | Other financial instruements are unfunded loan commitments. |
See Notes to Financial Statements.
52
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock Large Cap Core Portfolio | |
| Schedule of Investments December 31, 2009 | (Percentages shown are based on Net Assets) |
|
| | | | | |
| Common Stocks | Shares | | Value |
|
| Aerospace & Defense—3.5% | | | | | |
| Lockheed Martin Corp. | 27,000 | | $ | 2,034,450 | |
| Northrop Grumman Corp. | 35,000 | | | 1,954,750 | |
| Raytheon Co. | 37,000 | | | 1,906,240 | |
| | |
|
| | | | | 5,895,440 | |
|
| Beverages—0.2% | | | | | |
| The Coca-Cola Co. | 7,000 | | | 399,000 | |
|
| Biotechnology—1.6% | | | | | |
| Amgen, Inc. (a) | 46,000 | | | 2,602,220 | |
|
| Capital Markets—1.8% | | | | | |
| The Goldman Sachs Group, Inc. | 18,000 | | | 3,039,120 | |
|
| Chemicals—1.6% | | | | | |
| CF Industries Holdings, Inc. | 19,000 | | | 1,724,820 | |
| Eastman Chemical Co. | 18,000 | | | 1,084,320 | |
| | |
|
| | | | | 2,809,140 | |
|
| Commercial Banks—0.2% | | | | | |
| Wells Fargo & Co. | 11,000 | | | 296,890 | |
|
| Commercial Services & Supplies—0.8% | | | | | |
| Pitney Bowes, Inc. | 62,000 | | | 1,411,120 | |
|
| Communications Equipment—0.3% | | | | | |
| Cisco Systems, Inc. (a) | 21,000 | | | 502,740 | |
|
| Computers & Peripherals—4.4% | | | | | |
| Apple, Inc. (a) | 5,000 | | | 1,054,300 | |
| Hewlett-Packard Co. | 4,000 | | | 206,040 | |
| International Business Machines Corp. | 33,000 | | | 4,319,700 | |
| Western Digital Corp. (a) | 41,000 | | | 1,810,150 | |
| | |
|
|
| | | | | 7,390,190 | |
|
|
| Construction & Engineering—0.2% | | | | | |
| URS Corp. (a) | 9,000 | | | 400,680 | |
|
|
|
|
| Containers & Packaging—0.9% | | | | | |
| Crown Holdings, Inc. (a) | 57,000 | | | 1,458,060 | |
|
|
|
|
| Diversified Consumer Services—0.4% | | | | | |
| Service Corp. International | 74,000 | | | 606,060 | |
|
|
|
|
| Diversified Financial Services—0.6% | | | | | |
| Bank of America Corp. | 20,000 | | | 301,200 | |
| JPMorgan Chase & Co. | 17,000 | | | 708,390 | |
| | |
|
|
| | | | | 1,009,590 | |
|
|
| Diversified Telecommunication Services—4.3% | | | | | |
| AT&T Inc. | 149,000 | | | 4,176,470 | |
| Verizon Communications, Inc. | 92,000 | | | 3,047,960 | |
| | |
|
|
| | | | | 7,224,430 | |
|
|
| Electric Utilities—1.0% | | | | | |
| Edison International | 51,000 | | | 1,773,780 | |
|
|
|
|
| Energy Equipment & Services—6.7% | | | | | |
| Atwood Oceanics, Inc. (a) | 9,000 | | | 322,650 | |
| Diamond Offshore Drilling, Inc. (b) | 18,000 | | | 1,771,560 | |
| ENSCO International Plc—ADR | 40,000 | | | 1,597,600 | |
| FMC Technologies, Inc. (a) | 31,000 | | | 1,793,040 | |
| Nabors Industries Ltd. (a) | 78,000 | | | 1,707,420 | |
| National Oilwell Varco, Inc. | 45,000 | | | 1,984,050 | |
| Oceaneering International, Inc. (a) | 9,000 | | | 526,680 | |
| Rowan Cos., Inc. | 65,000 | | | 1,471,600 | |
| | |
|
|
| | | | | 11,174,600 | |
|
|
| Food & Staples Retailing—0.1% | | | | | |
| Wal-Mart Stores, Inc. | 4,000 | | | 213,800 | |
|
|
|
|
| Food Products—1.0% | | | | | |
| Archer-Daniels-Midland Co. | 54,000 | | | 1,690,740 | |
|
|
|
|
| Gas Utilities—0.2% | | | | | |
| Atmos Energy Corp. | 12,000 | | | 352,800 | |
|
|
|
|
| | | | | |
| Health Care Equipment & Supplies—1.1% | | | |
| Hospira, Inc. (a) | 36,000 | | | 1,836,000 | |
|
| Health Care Providers & Services—11.9% | | | | | |
| Aetna, Inc. | 58,000 | | | 1,838,600 | |
| AmerisourceBergen Corp. | 69,000 | | | 1,798,830 | |
| Cardinal Health, Inc. | 58,000 | | | 1,869,920 | |
| Coventry Health Care, Inc. (a) | 58,000 | | | 1,408,820 | |
| Health Management Associates, Inc., | | | | | |
| Class A (a) | 131,000 | | | 952,370 | |
| Humana, Inc. (a) | 38,000 | | | 1,667,820 | |
| McKesson Corp. | 32,000 | | | 2,000,000 | |
| Medco Health Solutions, Inc. (a) | 34,000 | | | 2,172,940 | |
| Quest Diagnostics, Inc. | 31,000 | | | 1,871,780 | |
| UnitedHealth Group, Inc. | 76,000 | | | 2,316,480 | |
| WellPoint, Inc. (a) | 36,000 | | | 2,098,440 | |
| | |
|
|
| | | | | 19,996,000 | |
|
|
| Household Durables—0.8% | | | | | |
| Garmin Ltd. (b) | 42,000 | | | 1,289,400 | |
|
|
|
|
| Household Products—1.9% | | | | | |
| Kimberly-Clark Corp. | 33,000 | | | 2,102,430 | |
| The Procter & Gamble Co. | 18,000 | | | 1,091,340 | |
| | |
|
|
| | | | | 3,193,770 | |
|
|
| IT Services—4.2% | | | | | |
| Amdocs Ltd. (a) | 62,000 | | | 1,768,860 | |
| Cognizant Technology Solutions Corp. (a) | 41,000 | | | 1,857,300 | |
| Fiserv, Inc. (a) | 35,000 | | | 1,696,800 | |
| The Western Union Co. | 95,000 | | | 1,790,750 | |
| | |
|
|
| | | | | 7,113,710 | |
|
|
| Independent Power Producers & Energy Traders—1.8% | | | | |
| The AES Corp. (a) | 124,000 | | | 1,650,440 | |
| NRG Energy, Inc. (a)(b) | 58,000 | | | 1,369,380 | |
| | |
|
|
| | | | | 3,019,820 | |
|
|
| Industrial Conglomerates—0.6% | | | | | |
| General Electric Co. | 66,000 | | | 998,580 | |
|
|
|
|
| Insurance—3.0% | | | | | |
| Chubb Corp. | 37,000 | | | 1,819,660 | |
| HCC Insurance Holdings, Inc. | 7,000 | | | 195,790 | |
| The Travelers Cos., Inc. | 40,000 | | | 1,994,400 | |
| UnumProvident Corp. | 51,000 | | | 995,520 | |
| | |
|
|
| | | | | 5,005,370 | |
|
|
| Internet Software & Services—0.4% | | | | | |
| Google, Inc., Class A (a) | 1,000 | | | 619,980 | |
|
|
|
|
| Machinery—2.4% | | | | | |
| Flowserve Corp. | 17,000 | | | 1,607,010 | |
| Joy Global, Inc. | 32,000 | | | 1,650,880 | |
| Oshkosh Corp. | 19,000 | | | 703,570 | |
| | |
|
|
| | | | | 3,961,460 | |
|
|
| Metals & Mining—1.0% | | | | | |
| Walter Industries, Inc. | 22,000 | | | 1,656,820 | |
|
|
|
|
| Multi-Utilities—0.9% | | | | | |
| CMS Energy Corp. | 93,000 | | | 1,456,380 | |
|
|
|
|
| Multiline Retail—4.6% | | | | | |
| JCPenney Co., Inc. | 65,000 | | | 1,729,650 | |
| Macy's, Inc. | 110,000 | | | 1,843,600 | |
| Nordstrom, Inc. | 48,000 | | | 1,803,840 | |
| Target Corp. | 48,000 | | | 2,321,760 | |
| | |
|
|
| | | | | 7,698,850 | |
|
|
See Notes to Financial Statements.
53
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock Large Cap Core Portfolio | |
| Schedule of Investments December 31, 2009 (Concluded) | (Percentages shown are based on Net Assets) |
|
| | | | | |
| Common Stocks | Shares | | Value | |
|
|
|
|
| |
| Oil, Gas & Consumable Fuels—9.7% | | | | | |
| Chevron Corp. | 10,000 | | $ | 769,900 | |
| ConocoPhillips | 54,000 | | | 2,757,780 | |
| El Paso Corp. | 47,000 | | | 462,010 | |
| Exxon Mobil Corp. | 51,000 | | | 3,477,690 | |
| Marathon Oil Corp. | 64,000 | | | 1,998,080 | |
| Peabody Energy Corp. | 40,000 | | | 1,808,400 | |
| Tesoro Corp. | 108,000 | | | 1,463,400 | |
| Williams Cos., Inc. | 64,000 | | | 1,349,120 | |
| XTO Energy, Inc. | 45,000 | | | 2,093,850 | |
| | |
|
|
| | | | | 16,180,230 | |
|
|
| Paper & Forest Products—2.2% | | | | | |
| International Paper Co. | 69,000 | | | 1,847,820 | |
| MeadWestvaco Corp. | 65,000 | | | 1,860,950 | |
| | |
|
|
| | | | | 3,708,770 | |
|
|
| Personal Products—1.1% | | | | | |
| The Estée Lauder Cos., Inc., Class A | 37,000 | | | 1,789,320 | |
|
|
| Pharmaceuticals—4.9% | | | | | |
| Forest Laboratories, Inc. (a) | 52,000 | | | 1,669,720 | |
| Johnson & Johnson | 64,000 | | | 4,122,240 | |
| Mylan, Inc. (a) | 94,000 | | | 1,732,420 | |
| Pfizer, Inc. | 39,000 | | | 709,410 | |
| | |
|
|
| | | | | 8,233,790 | |
|
|
| Semiconductors & Semiconductor Equipment—1.3% | | | | |
| Texas Instruments, Inc. | 81,000 | | | 2,110,860 | |
|
|
| Software—7.8% | | | | | |
| BMC Software, Inc. (a) | 45,000 | | | 1,804,500 | |
| CA, Inc. | 79,000 | | | 1,774,340 | |
| Compuware Corp. (a) | 130,000 | | | 939,900 | |
| Microsoft Corp. | 177,000 | | | 5,396,730 | |
| Oracle Corp. | 126,000 | | | 3,092,040 | |
| | |
|
|
| | | | | 13,007,510 | |
|
|
| Specialty Retail—5.5% | | | | | |
| Advance Auto Parts, Inc. | 43,000 | | | 1,740,640 | |
| Best Buy Co., Inc. | 5,000 | | | 197,300 | |
| The Gap, Inc. | 89,000 | | | 1,864,550 | |
| Limited Brands, Inc. | 90,000 | | | 1,731,600 | |
| Ross Stores, Inc. | 42,000 | | | 1,793,820 | |
| TJX Cos., Inc. | 52,000 | | | 1,900,600 | |
| | |
|
|
| | | | | 9,228,510 | |
|
|
| Tobacco—2.9% | | | | | |
| Lorillard, Inc. | 23,000 | | | 1,845,290 | |
| Philip Morris International, Inc. | 63,000 | | | 3,035,970 | |
| | |
|
|
| | | | | 4,881,260 | |
|
|
| Total Long-Term Investments | | | | | |
| (Cost—$148,756,290)—99.8% | | | | 167,236,790 | |
|
| |
|
| Short-Term Securities | | | | | |
|
|
| |
| BlackRock Liquidity Funds, TempFund, | | | | | |
| Institutional Class, 0.11% (c)(d) | 134,404 | | | 134,404 | |
|
|
|
|
| | Beneficial | | | | |
| | Interest | | | | |
| | (000) | | | | |
|
|
|
| BlackRock Liquidity Series, LLC | | | | | |
| Money Market Series, 0.29% (c)(d)(e) | $4,119 | | | 4,118,850 | |
|
|
| Total Short-Term Securities | | | | | |
| (Cost—$4,253,254)—2.5% | | | | 4,253,254 | |
|
|
|
| Total Investments (Cost—$153,009,544*)—102.3% | | | 171,490,044 | |
| Liabilities in Excess of Other Assets—(2.3)% | | | | (3,924,043 | ) |
| | | |
|
|
| Net Assets—100.0% | | | $ | 167,566,001 | |
| | | |
|
|
| * | The cost and unrealized appreciation (depreciation) of investments as of December 31, 2009, as computed for federal income tax purposes, were as follows: |
| | | | |
| | Aggregate cost | $ | 158,400,757 | |
| | |
|
| | Gross unrealized appreciation | $ | 18,413,400 | |
| | Gross unrealized depreciation | | (5,324,113 | ) |
| | |
|
|
| | Net unrealized appreciation | $ | 13,089,287 | |
| | |
|
| (a) | Non-income producing security. |
| | |
| (b) | Security, or a portion of security, is on loan. |
| | |
| (c) | Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows: |
| | | | | | |
| |
|
| | Affiliate | Net
Activity | | Income |
| |
|
| | BlackRock Liquidity Funds, TempFund, | | | | | |
| | Institutional Class | $ | 134,404 | | $ | 113 |
| | BlackRock Liquidity Series, LLC | | | | | |
| | Money Market Series | $ | 4,118,850 | | $ | 13,010 |
| |
|
| (d) | Represents the current yield as of report date. |
| | |
| (e) | Security was purchased with the cash collateral from securities loans. |
| | |
| • | Fair Value Measurements -- Various inputs are used in determining the fair value of investments, which are as follows: |
| | | |
| | • | Level 1—price quotations in active markets/exchanges for identical assets and liabilities. |
| | | |
| | • | 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 similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
| | | |
| | • | Level 3—unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio's own assumptions used in determining the fair value of investments) |
| | | |
| | The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Portfolio's policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. The following table summarizes the inputs used as of December 31, 2009 in determining the fair valuation of the Portfolio's investments: |
| | | |
| |
|
| | Valuation | Investments in |
| | Inputs | Securities |
| |
|
| | | Assets |
| | |
|
| | Level 1 | | |
| | Long-Term Investments1 | | 167,236,790 |
| | Short-Term Securities | | 134,404 |
| | |
|
| | Total Level 1 | | 167,371,194 |
| | |
|
| | Level 2—Short-Term Securities | | 4,118,850 |
| | Level 3 | | — |
| | |
|
| | Total | $ | 171,490,044 |
| | |
|
| 1 | See above Schedule of Investments for values in each industry. |
See Notes to Financial Statements.
54
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock Money Market Portfolio | |
| Schedule of Investments December 31, 2009 | (Percentages shown are based on Net Assets) |
|
| | | | | | | |
| | Par | | | | |
| Certificates of Deposit | (000) | | Value | |
|
| Domestic | | | | | | |
| State Street Bank & Trust Co., | | | | | | |
| 0.21%, 1/25/10 | $ | 2,000 | | $ | 2,000,000 | |
|
| Euro | | | | | | |
| Credit Industriel et Commercial (CIC), London: | | | | | | |
| 0.38%, 2/26/10 | | 2,000 | | | 2,000,029 | |
| 0.40%, 3/18/10 | | 2,000 | | | 2,000,020 | |
|
| Yankee (a) | | | | | | |
| Abbey National Treasury Services Plc, NY (b): | | | | | | |
| 0.53%, 7/20/10 | | 2,055 | | | 2,055,000 | |
| 0.25%, 11/17/10 | | 2,500 | | | 2,500,000 | |
| BNP Paribas, NY: | | | | | | |
| 0.47%, 1/08/10 | | 2,000 | | | 2,000,000 | |
| 0.45%, 1/19/10 | | 2,000 | | | 2,000,000 | |
| 0.22%, 2/23/10 | | 1,800 | | | 1,800,000 | |
| 0.32%, 5/04/10 | | 2,000 | | | 2,000,000 | |
| Bank of Nova Scotia, Houston, | | | | | | |
| 0.30%, 4/01/10 | | 2,000 | | | 2,000,000 | |
| Bank of Tokyo-Mitsubishi UFJ Ltd., NY: | | | | | | |
| 0.26%, 1/05/10 | | 1,280 | | | 1,279,999 | |
| 0.25%, 2/02/10 | | 2,000 | | | 2,000,000 | |
| 0.22%, 3/30/10 | | 2,000 | | | 2,000,000 | |
| 0.23%, 3/22/10 | | 1,660 | | | 1,660,000 | |
| Barclays Bank Plc, NY: | | | | | | |
| 0.65%, 2/26/10 | | 3,000 | | | 3,000,000 | |
| 0.57%, 3/24/10 | | 1,500 | | | 1,500,000 | |
| Canadian Imperial Bank of Commerce, NY, | | | | | | |
| 0.26%, 1/29/10 | | 4,800 | | | 4,800,031 | |
| Dexia Credit Local, NY—Guaranteed, | | | | | | |
| 0.53%, 1/19/10 (c) | | 3,500 | | | 3,500,000 | |
| DnB NOR Bank ASA, NY, 0.46%, 1/08/10 | | 2,000 | | | 2,000,000 | |
| Rabobank Nederland NV, NY, | | | | | | |
| 0.25%, 6/25/10 (b) | | 2,000 | | | 2,000,000 | |
| Royal Bank of Scotland Plc, CT, | | | | | | |
| 0.51%, 5/18/10 (b) | | 2,000 | | | 2,000,000 | |
| Societe Generale, NY: | | | | | | |
| 0.53%, 1/07/10 | | 2,000 | | | 2,000,000 | |
| 0.44%, 1/11/10 | | 2,500 | | | 2,500,000 | |
| Toronto-Dominion Bank, NY, | | | | | | |
| 0.24%, 11/05/10 (b) | | 2,000 | | | 2,000,000 | |
| UBS AG, Stamford: | | | | | | |
| 0.36%, 1/06/10 | | 2,000 | | | 2,000,000 | |
| 0.35%, 1/15/10 | | 2,000 | | | 2,000,000 | |
| 1.57%, 3/08/10 | | 3,150 | | | 3,156,982 | |
| UniCredito Italiano, NY, 0.45%, 1/29/10 | | 1,500 | | | 1,500,000 | |
| Westpac Banking Corp., NY: | | | | | | |
| 0.40%, 1/28/10 | | 2,000 | | | 2,000,000 | |
| 0.28%, 10/19/10 (b) | | 1,000 | | | 1,000,000 | |
| 0.29%, 10/21/10 (b) | | 1,725 | | | 1,725,000 | |
|
| Total Certificates of Deposit—25.0% | | | | | 65,977,061 | |
|
| Commercial Paper | | | | | | |
| ANZ National International Ltd., | | | | | | |
| 0.32%, 1/25/10 (d) | | 2,000 | | | 1,999,627 | |
| Antalis U.S. Funding Corp. (d): | | | | | | |
| 0.24%, 1/08/10 | | 2,000 | | | 1,999,947 | |
| 0.25%, 1/25/10 | | 2,000 | | | 1,999,708 | |
| 0.22%, 2/05/10 | | 3,000 | | | 2,999,413 | |
| Atlantis One Funding Corp. (d): | | | | | | |
| 0.23%, 2/08/10 | | 2,000 | | | 1,999,553 | |
| 0.26%, 2/19/10 | | 2,500 | | | 2,499,169 | |
| 0.21%, 3/04/10 | | 2,500 | | | 2,499,140 | |
| 0.23%, 3/09/10 | | 2,000 | | | 1,999,182 | |
| 0.21%, 3/12/10 | | 2,000 | | | 1,999,218 | |
| BPCE SA, 0.27%, 1/11/10 (d) | | 5,000 | | | 4,999,738 | |
| Bank of Nova Scotia (Scotiabank), | | | | | | |
| 0.23%, 2/09/10 (d) | | 3,000 | | | 2,999,310 | |
| Barton Capital Corp. (d): | | | | | | |
| 0.23%, 1/11/10 | | 2,500 | | | 2,499,888 | |
| 0.22%, 2/01/10 | | 1,223 | | | 1,222,791 | |
| 0.26%, 2/03/10 | | 3,000 | | | 2,999,350 | |
| 0.25%, 2/11/10 | | 3,000 | | | 2,999,208 | |
| CBA (Delaware) Finance Inc. (d): | | | | | | |
| 0.20%, 2/12/10 | | 2,000 | | | 1,999,567 | |
| 0.30%, 4/28/10 | | 2,000 | | | 1,998,132 | |
| Cancara Asset Securitization LLC (d): | | | | | | |
| 0.27%, 2/16/10 | | 2,000 | | | 1,999,355 | |
| 0.27%, 2/17/10 | | 2,500 | | | 2,499,175 | |
| Chariot Funding LLC, 0.22%, 1/05/10 (d) | | 2,254 | | | 2,253,986 | |
| Citigroup Funding, Inc., 0.18%, 1/22/10 (d) | | 3,000 | | | 2,999,730 | |
| Clipper Receivables Co. LLC (d): | | | | | | |
| 0.28%, 1/21/10 | | 3,000 | | | 2,999,603 | |
| 0.26%, 3/01/10 | | 2,000 | | | 1,999,191 | |
| DnB NOR Bank ASA (d): | | | | | | |
| 0.44%, 1/15/10 | | 2,000 | | | 1,999,731 | |
| 0.33%, 3/24/10 | | 2,000 | | | 1,998,552 | |
| Erasmus Capital Corp., 0.32%, 1/08/10 (d) | | 3,000 | | | 2,999,893 | |
| Govco LLC, 0.19%, 3/19/10 (d) | | 1,083 | | | 1,082,577 | |
| (U.S.) Funding LLC, 0.21%, 2/23/10 (d) | | 2,000 | | | 1,999,417 | |
| JPMorgan Chase Funding, Inc., | | | | | | |
| 0.28%, 4/07/10 (d) | | 3,000 | | | 2,997,830 | |
| Manhattan Asset Funding Co. LLC, | | | | | | |
| 0.25%, 1/06/10 (d) | | 2,500 | | | 2,499,965 | |
| Mont Blanc Capital Corp., | | | | | | |
| 0.21%, 2/04/10 (d) | | 2,000 | | | 1,999,638 | |
| Nieuw Amsterdam Receivables Corp. (d): | | | | | | |
| 0.28%, 1/08/10 | | 3,700 | | | 3,699,885 | |
| 0.20%, 1/11/10 | | 2,500 | | | 2,499,903 | |
| Nordea Bank North America Inc./DE, | | | | | | |
| 0.23%, 1/25/10 (d) | | 3,000 | | | 2,999,598 | |
| Rabobank USA Financial Corp., | | | | | | |
| 0.39%, 1/14/10 (d) | | 3,000 | | | 2,999,675 | |
| Romulus Funding Corp. (d): | | | | | | |
| 0.35%, 1/08/10 | | 2,000 | | | 1,999,922 | |
| 0.33%, 1/13/10 | | 2,000 | | | 1,999,835 | |
| SanPaolo IMI U.S. Financial Co., | | | | | | |
| 0.17%, 1/29/10 (d) | | 2,000 | | | 1,999,764 | |
| Scaldis Capital LLC, | | | | | | |
| 0.28%, 1/29/10 (d) | | 2,700 | | | 2,699,475 | |
| Societe Generale North America Inc. (d): | | | | | | |
| 0.01%, 1/04/10 | | 3,695 | | | 3,695,000 | |
| 0.26%, 1/21/10 | | 3,000 | | | 2,999,632 | |
| 0.22%, 3/15/10 | | 2,000 | | | 1,999,144 | |
| Solitaire Funding LLC, (d): | | | | | | |
| 0.27%, 2/24/10 | | 3,200 | | | 3,198,776 | |
| 0.26%, 2/26/10 | | 2,000 | | | 1,999,234 | |
| Straight-A Funding, LLC, | | | | | | |
| 0.21%, 1/07/10 (d) | | 3,000 | | | 2,999,948 | |
| Surrey Funding Corp. (d): | | | | | | |
| 0.23%, 1/07/10 | | 3,500 | | | 3,499,933 | |
| 0.23%, 1/15/10 | | 2,500 | | | 2,499,824 | |
| 0.23%, 1/19/10 | | 2,000 | | | 1,999,808 | |
| Sydney Capital Corp. (d): | | | | | | |
| 0.62%, 2/22/10 | | 660 | | | 659,443 | |
| 0.62%, 3/16/10 | | 2,000 | | | 1,997,554 | |
| Tempo Finance Corp. (d): | | | | | | |
| 0.28%, 1/04/10 | | 2,000 | | | 2,000,000 | |
| 0.28%, 1/05/10 | | 2,500 | | | 2,499,981 | |
See Notes to Financial Statements.
55
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock Money Market Portfolio | |
| Schedule of Investments December 31, 2009 (Concluded) | (Percentages shown are based on Net Assets) |
|
| | | | | | | |
| | Par | | | | |
| Commercial Paper | (000) | | Value |
|
| Tulip Funding Corp., 0.24%, 1/14/10 (d) | $ | 2,500 | | $ | 2,499,833 | |
| UniCredito Italiano Bank (Ireland) Plc, | | | | | | |
| 0.30%, 2/26/10 (d) | | 2,000 | | | 1,999,117 | |
| Westpac Trust Securities NZ Ltd., | | | | | | |
| 0.36%, 11/05/10 (b) | | 2,400 | | | 2,400,000 | |
| Windmill Funding Corp., 0.21%, 3/08/10 (d) | | 3,000 | | | 2,998,898 | |
|
| Total Commercial Paper—51.9% | | | | | 136,885,766 | |
|
| Corporate Notes | | | | | | |
| Commonwealth Bank of Australia, | | | | | | |
| 0.30%, 11/22/10 (b)(e) | | 1,500 | | | 1,500,000 | |
| KBC Bank NV NY, 0.90%, 1/04/10 (a)(c) | | 1,640 | | | 1,640,000 | |
| Rabobank Nederland NV, | | | | | | |
| 0.28%, 4/07/10 (c)(e) | | 3,100 | | | 3,100,000 | |
|
| Total Corporate Notes—2.4% | | | | | 6,240,000 | |
|
| Municipal Bonds (c) | | | | | | |
| County of Catawba North Carolina, | | | | | | |
| RB, VRDN, Catawba Valley Medical | | | | | | |
| Center (Loc: Branch Banking & Trust Co.), | | | | | | |
| 0.35%, 1/07/10 | | 4,285 | | | 4,285,000 | |
| Triborough Bridge & Tunnel Authority, | | | | | | |
| RB, VRDN, General, Series B, (SBPA | | | | | | |
| Dexia Credit Local), 0.24%, 1/07/10 | | 1,000 | | | 1,000,000 | |
|
| Total Municipal Bonds—2.0% | | | | | 5,285,000 | |
|
| U.S. Government Sponsored Agency Obligations (b) | | | | |
| Fannie Mae Variable Rate Notes, | | | | | | |
| 0.23%, 8/05/10 | | 1,645 | | | 1,644,650 | |
| Federal Home Loan Bank Variable Rate Notes: | | | | | | |
| 0.67%, 2/05/10 | | 1,740 | | | 1,740,000 | |
| 0.76%, 2/26/10 | | 1,795 | | | 1,795,000 | |
| 0.13%, 7/09/10 | | 3,280 | | | 3,279,664 | |
| 0.23%, 10/08/10 | | 2,000 | | | 1,999,543 | |
| Freddie Mac Variable Rate Notes: | | | | | | |
| 0.30%, 2/14/11 | | 7,000 | | | 6,998,773 | |
| 0.16%, 5/05/11 | | 5,000 | | | 4,997,991 | |
| 0.18%, 7/14/10 | | 2,000 | | | 1,999,635 | |
| 0.24%, 8/24/10 | | 1,430 | | | 1,430,039 | |
| 0.24%, 9/03/10 | | 3,145 | | | 3,144,582 | |
|
| Total U.S. Government Sponsored Agency Obligations—11.0% | | | | | | 29,029,877 | |
|
| U.S. Treasury Obligations (d) | | | | | | |
| U.S. Treasury Bills: | | | | | | |
| 0.15%, 6/17/10 | | 3,000 | | | 2,997,936 | |
| 0.55%, 7/01/10 | | 2,700 | | | 2,692,724 | |
| 0.31%—0.39%, 7/15/10 | | 10,900 | | | 10,879,779 | |
| 0.47%, 7/29/10 | | 600 | | | 598,386 | |
| 0.32%, 8/26/10 | | 1,400 | | | 1,397,134 | |
| 0.32%, 11/18/10 | | 2,000 | | | 1,994,435 | |
|
| Total U.S. Treasury Obligations—7.8% | | | | | 20,560,394 | |
|
| Total Investments (Cost—$263,978,098*)—100.1% | | | 263,978,098 | |
| Liabilities in Excess of Other Assets—(0.1)% | | | | | (394,071 | ) |
| | | |
|
| Net Assets—100.0% | | | | $ | 263,584,027 | |
| | | |
|
| * | Cost for federal income tax purposes. |
| | |
| (a) | Issuer is a US branch of foreign domiciled bank. |
| (b) | Variable rate security. Rate shown is as of report date. |
| (c) | Variable rate security. Rate shown is as of report date and maturity shown is the date the principal owed can be recovered through demand. |
| (d) | Rates shown are the discount rates or range of discount rates paid at the time of purchase. |
| (e) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| | |
| • | Fair Value Measurements—Various inputs are used in determining the fair value of investments, which are as follows: |
| | | |
| | • | Level 1—price quotations in active markets/exchanges for identical assets and liabilities |
| | | |
| | • | Level 2—other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default rates) or other market-corroborated inputs) |
| | | |
| | • | Level 3—unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio's own assumptions used in determining the fair value of investments) |
| | | |
| | The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Portfolio's policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. The following table summarizes the inputs used as of December 31, 2009 in determining the fair valuation of the Portfolio's investments: |
| | | |
| |
|
| | Valuation | Investments in |
| | Inputs | Securities |
| |
|
| | | Assets |
| | |
|
| | Level 1 | | — |
| | Level 2—Short-Term Securities1 | $ | 263,978,098 |
| | Level 3 | | — |
| | |
|
| | Total | $ | 263,978,098 |
| | |
|
| 1 | See above Schedule of Investments for values in each security type. |
See Notes to Financial Statements.
56
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock Total Return Portfolio | |
| Schedule of Investments December 31, 2009 | (Percentages shown are based on Net Assets) |
|
| | | | | | |
| Asset-Backed Securities | | Par
(000) | | Value | |
|
| ACE Securities Corp. (a): | | | | | | |
| Series 2003-OP1, Class A2, 0.59%, | | | | | | |
| 12/25/33 | USD | 23 | | $ | 15,262 | |
| Series 2005-ASP1, Class M1, 0.91%, | | | | | | |
| 9/25/35 | | 450 | | | 94,500 | |
| American Express Issuance Trust, | | | | | | |
| Series 2008-2, Class A, 4.02%, | | | | | | |
| 1/18/11 | | 865 | | | 868,694 | |
| Bank of America Auto Trust, Series 2009-2A, | | | | | | |
| Class A2, 1.16%, 2/15/12 (b) | | 595 | | | 596,446 | |
| Bear Stearns Asset Backed Securities | | | | | | |
| Trust (a): | | | | | | |
| Series 2005-4, Class A, 0.56%, | | | | | | |
| 1/25/36 | | 49 | | | 46,747 | |
| Series 2005-HE10, Class A2, 0.52%, | | | | | | |
| 11/25/35 | | 53 | | | 52,095 | |
| Series 2005-SD1, Class 1A2, 0.53%, | | | | | | |
| 7/25/27 | | 160 | | | 151,989 | |
| Series 2006-HE8, Class 1A1, 0.30%, | | | | | | |
| 10/25/36 | | 70 | | | 68,595 | |
| Chase Issuance Trust, Series 2009-A7, | | | | | | |
| Class A7, 0.68%, 9/17/12 (a) | | 865 | | | 866,033 | |
| Countrywide Asset-Backed Certificates (a): | | | | | | |
| Series 2003-BC3, Class A2, 0.54%, | | | | | | |
| 9/25/33 | | 37 | | | 26,643 | |
| Series 2004-5, Class A, 0.68%, | | | | | | |
| 10/25/34 | | 67 | | | 52,393 | |
| Series 2004-13, Class AF4, 4.58%, | | | | | | |
| 1/25/33 | | 428 | | | 381,171 | |
| Daimler Chrysler Auto Trust, Series 2006-D, | | | | | | |
| Class A3, 4.98%, 2/08/11 | | 45 | | | 44,966 | |
| Irwin Home Equity Corp., Series 2005-C, | | | | | | |
| Class 1A1, 0.49%, 4/25/30 (a) | | 22 | | | 21,200 | |
| JPMorgan Mortgage Acquisition Corp., | | | | | | |
| Series 2006-HE3, Class A2, 0.30%, | | | | | | |
| 11/25/36 (a) | | 25 | | | 25,055 | |
| Lehman XS Trust, Series 2005-5N, | | | | | | |
| Class 3A2, 0.59%, 11/25/35 (a) | | 325 | | | 111,479 | |
| Long Beach Mortgage Loan Trust, | | | | | | |
| Series 2006-11, Class 2A1, 0.29%, | | | | | | |
| 12/25/36 (a) | | 68 | | | 53,774 | |
| Morgan Stanley ABS Capital I, | | | | | | |
| Series 2005-HE1, Class A2MZ, 0.53%, | | | | | | |
| 12/25/34 (a) | | 35 | | | 28,193 | |
| New Century Home Equity Loan Trust, | | | | | | |
| Series 2005-2, Class A2MZ, 0.49%, | | | | | | |
| 6/25/35 (a) | | 103 | | | 80,273 | |
| Option One Mortgage Loan Trust, | | | | | | |
| Series 2003-4, Class A2, 0.87%, | | | | | | |
| 7/25/33 (a) | | 100 | | | 72,123 | |
| RAAC, Series 2005-SP2, Class 2A, | | | | | | |
| 0.53%, 6/25/44 (a) | | 358 | | | 180,269 | |
| Residential Asset Mortgage Products, Inc., | | | | | | |
| Series 2005-RS3, Class AI2, 0.40%, | | | | | | |
| 3/25/35 (a) | | 5 | | | 4,450 | |
| Residential Asset Securities Corp., | | | | | | |
| Series 2003-KS5, Class AIIB, 0.52%, | | | | | | |
| 7/25/33 (a) | | 43 | | | 25,068 | |
| SLM Student Loan Trust (a): | | | | | | |
| Series 2002-1, Class A2, 0.39%, | | | | | | |
| 4/25/17 | | 271 | | | 270,212 | |
| Series 2005-4, Class A2, 0.36%, | | | | | | |
| 4/26/21 | | 250 | | | 247,950 | |
| SLM Student Loan Trust (a): (concluded) | | | | | | |
| Series 2008-5, Class A2, 1.38%, | | | | | | |
| 10/25/16 | | 920 | | | 934,085 | |
| Series 2008-5, Class A3, 1.58%, | | | | | | |
| 1/25/18 | | 230 | | | 236,449 | |
| Series 2008-5, Class A4, 1.98%, | | | | | | |
| 7/25/23 | | 630 | | | 658,406 | |
| Structured Asset Securities Corp. (a): | | | | | | |
| Series 2004-23XS, Class 2A1, | | | | | | |
| 0.53%, 1/25/35 | | 125 | | | 76,041 | |
| Series 2006-BC3, Class A2, 0.28%, | | | | | | |
| 10/25/36 | | 149 | | | 141,191 | |
| USAA Auto Owner Trust, Series 2006-4, | | | | | | |
| Class A4, 4.98%, 10/15/12 | | 775 | | | 794,404 | |
|
| Total Asset-Backed Securities—7.9% | | | | | 7,226,156 | |
|
| |
|
| Corporate Bonds | | | | | | |
|
| |
| Aerospace & Defense—0.1% | | | | | | |
| Honeywell International, Inc., 5.70%, | | | | | | |
| 3/15/36 | | 55 | | | 56,435 | |
| L-3 Communications Corp.: | | | | | | |
| 5.88%, 1/15/15 | | 30 | | | 29,963 | |
| Series B, 6.38%, 10/15/15 | | 7 | | | 7,026 | |
| | | |
|
| | | | | | 93,424 | |
|
| Air Freight & Logistics—0.0% | | | | | | |
| United Parcel Service, Inc., 6.20%, | | | | | | |
| 1/15/38 | | 15 | | | 16,630 | |
|
| Airlines—0.2% | | | | | | |
| American Airlines, Inc., Series 2003-1, | | | | | | |
| 3.86%, 1/09/12 | | 75 | | | 72,208 | |
| Continental Airlines, Inc., Series 2002-1, | | | | | | |
| 6.56%, 8/15/13 | | 140 | | | 135,100 | |
| | | |
|
| | | | | | 207,308 | |
|
| Beverages—1.0% | | | | | | |
| Anheuser-Busch InBev Worldwide, Inc., | | | | | | |
| 3.00%, 10/15/12 (b) | | 925 | | | 929,334 | |
|
| Capital Markets—2.0% | | | | | | |
| The Bear Stearns Cos., Inc.: | | | | | | |
| 0.68%, 7/19/10 (a) | | 145 | | | 145,248 | |
| 6.95%, 8/10/12 | | 95 | | | 106,141 | |
| CDP Financial, Inc., 3.00%, | | | | | | |
| 11/25/14 (b) | | 520 | | | 507,421 | |
| The Goldman Sachs Group, Inc., 5.25%, | | | | | | |
| 10/15/13 | | 260 | | | 276,123 | |
| Lehman Brothers Holdings, Inc. (c)(d): | | | | | | |
| 6.50%, 7/19/17 | | 150 | | | 45 | |
| 6.75%, 12/28/17 | | 325 | | | 98 | |
| Morgan Stanley: | | | | | | |
| 0.53%, 1/09/12 (a) | | 200 | | | 197,736 | |
| 5.63%, 9/23/19 | | 100 | | | 100,731 | |
| Series F, 5.55%, 4/27/17 | | 460 | | | 462,036 | |
| | | |
|
| | | | | | 1,795,579 | |
|
| Chemicals—0.3% | | | | | | |
| Huntsman International LLC: | | | | | | |
| 7.88%, 11/15/14 | | 155 | | | 151,513 | |
| 7.38%, 1/01/15 | | 45 | | | 43,200 | |
| NOVA Chemicals Corp.: | | | | | | |
| 6.50%, 1/15/12 | | 35 | | | 35,175 | |
| 3.65%, 11/15/13 (a) | | 85 | | | 77,775 | |
| | | |
|
| | | | | | 307,663 | |
|
See Notes to Financial Statements.
57
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock Total Return Portfolio | |
| Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | | | |
| Corporate Bonds | | Par
(000) | | Value | |
|
| |
| Commercial Banks—1.1% | | | | | | |
| Corporacion Andina de Fomento, 6.88% | | | | | | |
| 3/15/12 | USD | 220 | | $ | 235,774 | |
| Eksportfinans ASA: | | | | | | |
| 3.00%, 11/17/14 | | 395 | | | 388,955 | |
| 5.50%, 5/25/16 | | 300 | | | 323,217 | |
| Royal Bank of Scotland Group Plc, | | | | | | |
| 2.63%, 5/11/12 (b) | | 80 | | | 81,145 | |
| | | |
|
| | | | | | 1,029,091 | |
|
| Communications Equipment—0.4% | | | | | | |
| Cisco Systems, Inc., 4.45%, 1/15/20 | | 350 | | | 343,344 | |
|
| Consumer Finance—0.2% | | | | | | |
| SLM Corp., 5.40%, 10/25/11 | | 180 | | | 179,841 | |
|
| Containers & Packaging—0.2% | | | | | | |
| Ball Corp.: | | | | | | |
| 7.13%, 9/01/16 | | 70 | | | 71,750 | |
| 7.38%, 9/01/19 | | 70 | | | 71,925 | |
| | | |
|
| | | | | | 143,675 | |
|
| Diversified Financial Services—2.1% | | | | | | |
| Bank of America Corp., 4.88%, 9/15/12 | | 195 | | | 204,329 | |
| FCE Bank Plc, 7.88%, 2/15/11 | GBP | 150 | | | 241,068 | |
| General Electric Capital Corp., Series A, | | | | | | |
| 5.00%, 12/01/10 (e) | USD | 965 | | | 1,003,606 | |
| JPMorgan Chase Bank NA, 6.00%, | | | | | | |
| 7/05/17 | | 450 | | | 476,869 | |
| | | |
|
| | | | | | 1,925,872 | |
|
| Diversified Telecommunication Services—2.1% | | | | | |
| AT&T, Inc.: | | | | | | |
| 6.50%, 9/01/37 | | 475 | | | 492,338 | |
| 6.55%, 2/15/39 | | 100 | | | 105,366 | |
| GTE Corp., 6.84%, 4/15/18 | | 270 | | | 295,774 | |
| Qwest Communications International, Inc.: | | | | | | |
| 7.50%, 2/15/14 | | 30 | | | 30,113 | |
| Series B, 7.50%, 2/15/14 | | 15 | | | 15,056 | |
| Qwest Corp.: | | | | | | |
| 8.88%, 3/15/12 | | 30 | | | 32,250 | |
| 8.38%, 5/01/16 | | 125 | | | 134,063 | |
| Telefonica Emisiones SAU, 4.95%, | | | | | | |
| 1/15/15 | | 275 | | | 293,959 | |
| Verizon Communications, Inc., 8.75%, | | | | | | |
| 11/01/18 | | 400 | | | 499,608 | |
| | | |
|
| | | | | | 1,898,527 | |
|
| Electric Utilities—0.6% | | | | | | |
| Florida Power & Light Co., 5.95%, | | | | | | |
| 2/01/38 | | 225 | | | 236,363 | |
| Florida Power Corp., 6.40%, 6/15/38 | | 75 | | | 81,884 | |
| Sierra Pacific Power Co., 6.00%, | | | | | | |
| 5/15/16 | | 190 | | | 201,361 | |
| | | |
|
| | | | | | 519,608 | |
|
| Food Products—0.4% | | | | | | |
| Kraft Foods, Inc., 6.50%, 8/11/17 | | 330 | | | 358,068 | |
|
| Hotels, Restaurants & Leisure—0.2% | | | | | | |
| American Real Estate Partners LP, 7.13%, | | | | | | |
| 2/15/13 | | 20 | | | 20,400 | |
| Wendy's International, Inc., 6.25%, | | | | | | |
| 11/15/11 | | 190 | | | 196,650 | |
| | | |
|
| | | | | | 217,050 | |
|
| Household Durables—1.6% | | | | | | |
| Centex Corp., 5.13%, 10/01/13 | | 344 | | | 350,020 | |
| D.R. Horton, Inc.: | | | | | | |
| 6.88%, 5/01/13 | | 275 | | | 281,188 | |
| 6.13%, 1/15/14 | | 305 | | | 304,238 | |
| 5.63%, 9/15/14 | | 80 | | | 77,400 | |
| KB Home, 6.38%, 8/15/11 | | 51 | | | 51,000 | |
| Lennar Corp., Series B, 5.60%, 5/31/15 | | 130 | | | 119,113 | |
| Pulte Homes, Inc., 5.20%, 2/15/15 | | 95 | | | 88,588 | |
| Ryland Group, Inc., 5.38%, 5/15/12 | | 85 | | | 86,275 | |
| Toll Brothers Finance Corp., 4.95%, | | | | | | |
| 3/15/14 | | 80 | | | 77,929 | |
| | | | |
|
| | | | | | 1,435,751 | |
|
| IT Services—0.6% | | | | | | |
| First Data Corp., 9.88%, 9/24/15 | | 200 | | | 186,500 | |
| Sabre Holdings Corp., 8.35%, 3/15/16 | | 360 | | | 328,050 | |
| | | | |
|
| | | | | | 514,550 | |
|
| Independent Power Producers & Energy Traders—0.4% | | | | |
| TXU Corp., 5.55%, 11/15/14 | | 415 | | | 294,317 | |
| Texas Competitive Electric Holdings Co. LLC, | | | | | | |
| Series B, 10.25%, 11/01/15 | | 125 | | | 101,250 | |
| | | | |
|
| | | | | | 395,567 | |
|
| Insurance—1.3% | | | | | | |
| Hartford Life Global Funding Trusts, | | | | | | |
| 0.43%, 6/16/14 (a) | | 550 | | | 498,984 | |
| Metropolitan Life Global Funding I (b): | | | | | | |
| 2.88%, 9/17/12 | | 150 | | | 151,177 | |
| 5.13%, 4/10/13 | | 425 | | | 450,241 | |
| Teachers Insurance & Annuity Association | | | | | | |
| of America, 6.85%, 12/16/39 (b) | | 135 | | | 139,555 | |
| | | | |
|
| | | | | | 1,239,957 | |
|
| Internet & Catalog Retail—0.4% | | | | | | |
| Expedia, Inc., 7.46%, 8/15/18 | | 300 | | | 327,375 | |
|
| Media—2.7% | | | | | | |
| Clear Channel Worldwide Holdings, Inc., | | | | | | |
| 9.25%, 12/15/17 (b) | | 266 | | | 273,450 | |
| Comcast Cable Communications | | | | | | |
| Holdings, Inc., 8.38%, 3/15/13 | | 600 | | | 691,618 | |
| Comcast Corp., 6.45%, 3/15/37 | | 95 | | | 97,952 | |
| Cox Communications, Inc.: | | | | | | |
| 7.13%, 10/01/12 | | 135 | | | 149,963 | |
| 8.38%, 3/01/39 (b) | | 200 | | | 249,036 | |
| News America, Inc.: | | | | | | |
| 6.40%, 12/15/35 | | 200 | | | 205,368 | |
| 6.75%, 1/09/38 | | 120 | | | 124,478 | |
| Time Warner Cable, Inc., 6.20%, | | | | | | |
| 7/01/13 | | 225 | | | 247,153 | |
| Time Warner Cos., Inc., 9.13%, | | | | | | |
| 1/15/13 | | 405 | | | 469,935 | |
| | | | |
|
| | | | | | 2,508,953 | |
|
| Multi-Utilities—0.1% | | | | | | |
| Xcel Energy, Inc., 6.50%, 7/01/36 | | 90 | | | 94,809 | |
|
| Oil, Gas & Consumable Fuels—3.7% | | | | | | |
| BP Capital Markets Plc, 3.13%, | | | | | | |
| 3/10/12 | | 400 | | | 412,019 | |
| Canadian Natural Resources, Ltd., | | | | | | |
| 6.25%, 3/15/38 | | 125 | | | 129,367 | |
| Cenovus Energy, Inc., 6.75%, | | | | | | |
| 11/15/39 (b) | | 210 | | | 228,911 | |
| ConocoPhillips, 4.60%, 1/15/15 | | 525 | | | 557,545 | |
| Enterprise Products Operating LLC, | | | | | | |
| 6.13%, 10/15/39 | | 100 | | | 96,607 | |
| Kinder Morgan Finance Co. ULC, | | | | | | |
| 5.35%, 1/05/11 | | 190 | | | 191,900 | |
See Notes to Financial Statements.
58
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock Total Return Portfolio | |
| Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | | | |
| | | Par | | | | |
| Corporate Bonds | | (000) | | Value | |
|
| Oil, Gas & Consumable Fuels (concluded) | | | | | | |
| Kinder Morgan, Inc., 6.50%, 9/01/12 | USD | 55 | | $ | 57,200 | |
| MidAmerican Energy Holdings Co., | | | | | | |
| 5.95%, 5/15/37 | | 250 | | | 250,280 | |
| Motiva Enterprises LLC, 5.20%, | | | | | | |
| 9/15/12 (b) | | 135 | | | 138,718 | |
| Petrobras International Finance Co.: | | | | | | |
| 5.88%, 3/01/18 | | 20 | | | 20,168 | |
| 5.75%, 1/20/20 | | 460 | | | 467,952 | |
| Sabine Pass LNG LP, 7.50%, 11/30/16 | | 135 | | | 112,388 | |
| Shell International Finance BV, | | | | | | |
| 4.00%, 3/21/14 | | 450 | | | 469,589 | |
| Tennessee Gas Pipeline Co., 7.00%, | | | | | | |
| 10/15/28 | | 35 | | | 37,307 | |
| XTO Energy, Inc., 6.75%, 8/01/37 | | 175 | | | 206,131 | |
| | | | |
|
| | | | | | 3,376,082 | |
|
| Paper & Forest Products—0.2% | | | | | | |
| International Paper Co., 7.30%, | | | | | | |
| 11/15/39 | | 150 | | | 159,129 | |
|
| Pharmaceuticals—1.2% | | | | | | |
| Eli Lilly & Co., 3.55%, 3/06/12 | | 190 | | | 197,730 | |
| GlaxoSmithKline Capital, Inc., | | | | | | |
| 4.85%, 5/15/13 | | 250 | | | 268,362 | |
| Roche Holdings Inc. (b): | | | | | | |
| 2.26%, 2/25/11 (a) | | 95 | | | 97,003 | |
| 5.00%, 3/01/14 | | 400 | | | 427,935 | |
| Wyeth, 6.00%, 2/15/36 | | 90 | | | 94,015 | |
| | | | |
|
| | | | | | 1,085,045 | |
|
| Real Estate Investment Trusts (REITs)—0.1% | | | | | |
| iStar Financial, Inc., 5.65%, 9/15/11 | | 70 | | | 51,450 | |
|
| Road & Rail—0.0% | | | | | | |
| The Hertz Corp., 8.88%, 1/01/14 | | 40 | | | 40,900 | |
|
| Software—0.2% | | | | | | |
| Oracle Corp., 5.75%, 4/15/18 | | 180 | | | 194,613 | |
|
| Thrifts & Mortgage Finance—0.4% | | | | | | |
| Achmea Hypotheekbank NV, 3.20%, | | | | | | |
| 11/03/14 (b) | | 350 | | | 349,322 | |
|
| Wireless Telecommunication Services—1.5% | | | | | |
| Cellco Partnership, 3.75%, 5/20/11 | | 875 | | | 902,270 | |
| Vodafone Group Plc, 4.15%, 6/10/14 | | 485 | | | 498,960 | |
| | | | |
|
| | | | | | 1,401,230 | |
|
| Total Corporate Bonds—25.3% | | | | | 23,139,747 | |
|
| |
|
| Foreign Agency Obligations | | | | | | |
|
|
| Bundesrepublik Deutschland, Series | | | | | | |
| 08, 4.75%, 7/04/40 | EUR | 800 | | | 1,271,442 | |
| Japan Finance Corp., 2.00%, 6/24/11 | USD | 235 | | | 237,834 | |
| Kreditanstalt fuer Wiederaufbau, 2.75%, | | | | | | |
| 10/21/14 | | 525 | | | 519,100 | |
| Landwirtschaftliche Rentenbank: | | | | | | |
| 4.13%, 7/15/13 | | 30 | | | 31,630 | |
| Series E, 5.25%, 7/02/12 | | 105 | | | 113,444 | |
| Series E, 4.38%, 1/15/13 | | 65 | | | 68,580 | |
| Series E, 4.00%, 2/02/15 | | 60 | | | 62,302 | |
| Mexico Government International Bond, | | | | | | |
| 6.38%, 1/16/13 | | 130 | | | 143,650 | |
| Province of Ontario, Canada: | | | | | | |
| 4.10%, 6/16/14 | | 330 | | | 344,393 | |
| Series 1, 1.88%, 11/19/12 | | 315 | | | 312,930 | |
| Qatar Government International Bond, | | | | | | |
| 4.00%, 1/20/15 (b) | | 115 | | | 115,288 | |
|
| Total Foreign Agency Obligations—3.5% | | | | 3,220,593 | |
|
| Non-Agency Mortgage-Backed Securities | | | | | |
|
| Collateralized Mortgage Obligations—9.6% | | | | | |
| Bear Stearns Adjustable Rate Mortgage Trust, | | | | | |
| Series 2005-4, Class 3A1, 5.36%, | | | | | | |
| 8/25/35 (a) | USD | 2,012 | | $ | 1,718,240 | |
| CitiMortgage Alternative Loan Trust, | | | | | | |
| Series 2007-A8, Class A1, 6.00%, | | | | | | |
| 10/25/37 | | 673 | | | 453,737 | |
| Countrywide Alternative Loan Trust, | | | | | | |
| Series 2006-OC10, Class 2A1, 0.32%, | | | | | | |
| 11/25/36 (a) | | 94 | | | 90,643 | |
| Countrywide Home Loan Mortgage | | | | | | |
| Pass-Through Trust: | | | | | | |
| Series 2006-0A5, Class 2A1, 0.43%, | | | | | | |
| 4/25/46 (a) | | 133 | | | 64,422 | |
| Series 2006-0A5, Class 3A1, 0.43%, | | | | | | |
| 4/25/46 (a) | | 260 | | | 120,235 | |
| Series 2007-16, Class A1, 6.50%, | | | | | | |
| 10/25/37 | | 353 | | | 286,016 | |
| Series 2007-J3, Class A10, 6.00%, | | | | | | |
| 7/25/37 | | 532 | | | 390,281 | |
| Credit Suisse Mortgage Capital Certificates | | | | | | |
| Series 2006-8 Class 3A1, 6.00%, | | | | | | |
| 10/25/21 | | 163 | | | 108,805 | |
| First Horizon Asset Securities, Inc., | | | | | | |
| Series 2005-AR3, Class 3A1, 5.50%, | | | | | | |
| 8/25/35 (a) | | 142 | | | 122,076 | |
| GSR Mortgage Loan Trust, Series 2005-AR4, | | | | | |
| Class 6A1, 5.25%, 7/25/35 (a) | | 894 | | | 821,870 | |
| Impac Secured Assets CMN Owner Trust, | | | | | | |
| Series 2004-3 (a): | | | | | | |
| Class 1A4, 0.63%, 11/25/34 | | 65 | | | 58,136 | |
| Class M1, 1.13%, 11/25/34 | | 500 | | | 134,270 | |
| JPMorgan Mortgage Trust: | | | | | | |
| Series 2006-S2, Class 2A2, 5.88%, | | | | | | |
| 7/25/36 | | 56 | | | 47,824 | |
| Series 2007-S1, Class 1A2, 5.50%, | | | | | | |
| 3/25/22 | | 57 | | | 47,604 | |
| Luminent Mortgage Trust, Series 2006-7, | | | | | | |
| Class 1A1, 0.41%, 12/25/36 (a) | | 553 | | | 261,427 | |
| Residential Accredit Loans, Inc., | | | | | | |
| Series 2006-Q02, Class A1, 0.45%, | | | | | | |
| 2/25/46 (a) | | 189 | | | 77,257 | |
| Station Place Securitization Trust, | | | | | | |
| Series 2009-1, Class A, 1.74%, | | | | | | |
| 12/29/10 (a)(b) | | 430 | | | 427,850 | |
| Structured Adjustable Rate Mortgage | | | | | | |
| Loan Trust, Series 2007-3, Class 2A1, | | | | | | |
| 5.71%, 4/25/37 (a) | | 723 | | | 463,845 | |
| Structured Asset Securities Corp., | | | | | | |
| Series 2005-GEL2, Class A, 0.51%, | | | | | | |
| 4/25/35 (a) | | 38 | | | 32,818 | |
| WaMu Mortgage Pass-Through | | | | | | |
| Certificates (a): | | | | | | |
| Series 2006-AR18, Class 1A1, 5.28%, | | | | | | |
| 1/25/37 | | 452 | | | 332,408 | |
| Series 2007-0A4, Class 1A, 1.31%, | | | | | | |
| 5/25/47 | | 169 | | | 93,099 | |
| Series 2007-0A5, Class 1A, 1.29%, | | | | | | |
| 6/25/47 | | 147 | | | 73,918 | |
| Wells Fargo Mortgage Backed Securities Trust (a): | | | | | |
| Series 2005-AR15, Class 2A1, 5.11%, | | | | | | |
| 9/25/35 | | 937 | | | 846,003 | |
See Notes to Financial Statements.
59
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock Total Return Portfolio | |
| Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | | |
| | | Par | | | |
| Non-Agency Mortgage-Backed Securities | (000) | | | Value |
|
|
|
Collateralized Mortgage Obligations (concluded) | | | | |
| Wells Fargo Mortgage Backed Securities | | | | | |
| Trust (a): (concluded) | | | | | |
| Series 2006-AR2, Class 2A5, 5.02%, | | | | | |
| 3/25/36 | USD | 912 | | $ | 734,020 |
| Series 2006-AR3, Class A4, 5.71%, | | | | | |
| 3/25/36 | | 816 | | | 602,632 |
| Series 2006-AR12, Class 2A1, 6.10%, | | | | | |
| 9/25/36 | | 189 | | | 157,664 |
| Series 2006-AR17, Class A1, 5.33%, | | | | | |
| 10/25/36 | | 324 | | | 240,957 |
| | | |
|
|
| | | | | | 8,808,057 |
|
|
Commercial Mortgage-Backed Securities—11.9% | | | | |
| Bank of America Commercial Mortgage, Inc.: | | | | |
| Series 2001-1, Class B, 6.67%, | | | | | |
| 4/15/36 | | 840 | | | 854,353 |
| Series 2003-2,Class A3, 4.87%, | | | | | |
| 3/11/41 (a) | | 755 | | | 782,872 |
| Bear Stearns Commercial Mortgage Securities: | | | | |
| Series 1998-C1, Class A2, 6.44%, | | | | | |
| 6/16/30 | | 9 | | | 8,799 |
| Series 2006-PW11, Class A4, 5.46%, | | | | | |
| 3/11/39 (a) | | 825 | | | 806,380 |
| CS First Boston Mortgage Securities Corp., | | | | | |
| Series 2002-CP5, Class A1, 4.11%, | | | | | |
| 12/15/35 | | 216 | | | 219,504 |
| Citigroup Commercial Mortgage Trust, | | | | | |
| Series 2006-C5, Class A4, 5.43%, | | | | | |
| 10/15/49 | | 100 | | | 92,863 |
| Commercial Mortgage Pass-Through | | | | | |
| Certificates, Series 2004-LB3A, Class A3, | | | | |
| 5.09%, 7/10/37 (a) | | 325 | | | 331,415 |
| First Union National Bank Commercial | | | | | |
| Mortgage, Series 1999-C4, Class E, 7.84%, | | | | |
| 12/15/31 (a)(b) | | 600 | | | 600,008 |
| GMAC Commercial Mortgage Securities, Inc.: | | | | |
| Series 2000-C3, Class A2, 6.96%, | | | | | |
| 9/15/35 | | 779 | | | 801,213 |
| Series 2001-C1, Class B, 6.67%, | | | | | |
| 4/15/34 (a) | | 690 | | | 703,413 |
| Series 2003-C3, Class A3, 4.65%, | | | | | |
| 4/10/40 | | 850 | | | 866,527 |
| Greenwich Capital Commercial Funding Corp., | | | | |
| Series 2004-GG1, Class A4, 4.76%, | | | | | |
| 6/10/36 | | 900 | | | 903,839 |
| JPMorgan Chase Commercial Mortgage | | | | | |
| Securities Corp., Series 2001-CIB2, | | | | | |
| Class A3, 6.43%, 4/15/35 | | 735 | | | 765,499 |
| LB-UBS Commercial Mortgage Trust: | | | | | |
| Series 2000-C3, Class A2, 7.95%, | | | | | |
| 5/15/25 (a) | | 96 | | | 96,003 |
| Series 2007-C7, Class A2, 5.59%, | | | | | |
| 9/15/45 | | 745 | | | 754,562 |
| Morgan Stanley Capital I, Series 2007-HQ12, | | | | |
| Class A2, 5.63%, 4/12/49 (a) | | 100 | | | 100,995 |
| Wachovia Bank Commercial | | | | | |
| Mortgage Trust (a): | | | | | |
| Series 2005-C20, Class A6A, 5.11%, | | | | | |
| 7/15/42 | | 680 | | | 680,008 |
| Series 2005-C21, Class A3, 5.21%, | | | | | |
| 10/15/44 | | 310 | | | 314,210 |
| Series 2006-C26 ,Class A3, 6.01%, | | | | | |
| 6/15/45 | | 645 | | | 611,945 |
| | | | | |
| Wachovia Bank Commercial | | | | | |
| Mortgage Trust (a): (concluded) | | | | | |
| Series 2007-C33, Class A4, 5.90%, | | | | | |
| 2/15/51 | | 655 | | | 537,910 |
| |
|
| | | | | | 10,832,318 |
|
|
| Total Non-Agency Mortgage-Backed Securities—21.5% | | 19,640,375 |
|
|
|
| |
|
| Preferred Securities | | | | | |
|
|
| Capital Trusts | | | | | |
|
|
| Capital Markets—0.3% | | | | | |
| Credit Suisse Guernsey Ltd., 5.86% (a)(f) | | 180 | | | 156,600 |
| Goldman Sachs Capital II, 5.79% (a)(f) | | 175 | | | 135,625 |
| Lehman Brothers Holdings Capital Trust VII, | | | | | |
| 5.86% (a)(c)(d)(f) | | 55 | | | 17 |
| | | |
|
|
| | | | | | 292,242 |
|
|
| Commercial Banks—0.1% | | | | | |
| Barclays Bank Plc, 7.43% (a)(b)(f) | | 125 | | | 113,750 |
|
|
|
|
|
| Diversified Financial Services—0.8% | | | | | |
| General Electric Capital Corp., 6.38%, | | | | | |
| 11/15/67 (a) | | 175 | | | 151,813 |
| JPMorgan Chase & Co., 7.90% (a)(f) | | 370 | | | 381,640 |
| JPMorgan Chase Capital XXV, 6.80%, | | | | | |
| 10/01/37 | | 195 | | | 193,745 |
| | | |
|
|
| | | | | | 727,198 |
|
|
| Insurance—1.0% | | | | | |
| Chubb Corp., 6.38%, 3/29/67 (a) | | 200 | | | 186,000 |
| Lincoln National Corp., 7.00%, | | | | | |
| 5/17/66 (a) | | 130 | | | 107,900 |
| MetLife, Inc., 6.40%, 12/15/66 | | 250 | | | 218,750 |
| Progressive Corp., 6.70%, 6/15/37 (a) | | 190 | | | 168,125 |
| Reinsurance Group of America, 6.75%, | | | | | |
| 12/15/65 (a) | | 135 | | | 114,115 |
| The Travelers Cos., Inc., 6.25%, | | | | | |
| 3/15/67 (a) | | 145 | | | 132,094 |
| | | |
|
|
| | | | | | 926,984 |
|
|
| Total Preferred Securities—2.2% | | | | | 2,060,174 |
|
|
|
| |
|
| Taxable Municipal Bonds | | | | | |
|
|
| The Board of Trustees of The Leland | | | | | |
| Stanford Junior University, 4.25%, | | | | | |
| 5/01/16 | | 140 | | | 143,979 |
| Chicago Metropolitan Water Reclamation | | | | | |
| District-Greater Chicago Illinois, GO, | | | | | |
| Build America Bonds, 5.72%, | | | | | |
| 12/01/38 | | 130 | | | 130,359 |
| Metropolitan Transportation Authority, | | | | | |
| RB, Build America Bonds, 7.34%, | | | | | |
| 11/15/39 | | 200 | | | 223,330 |
| New York State Dormitory Authority, RB, | | | | | |
| Build America Bonds, 5.63%, 3/15/39 | | 150 | | | 143,161 |
| Port Authority of New York & New Jersey, | | | | | |
| RB, Consolidated, 159th Series, | | | | | |
| 6.04%, 12/01/29 | | 105 | | | 104,392 |
See Notes to Financial Statements.
60
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock Total Return Portfolio | |
| Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | | |
| | | Par | | | |
| Taxable Municipal Bonds | | (000) | | | Value |
|
|
|
|
|
| State of California, GO: | | | | | |
| Build America Bonds, 7.30%, | | | | | |
| 10/01/39 | USD | 195 | | $ | 184,291 |
| Various Purpose Series 3, 5.45%, | | | | | |
| 4/01/15 | | 725 | | | 729,234 |
| State of Texas, GO, Build America Bonds, | | | | | |
| 5.52%, 4/01/39 | | 345 | | | 336,509 |
|
|
|
|
|
| Total Taxable Municipal Bonds—2.2% | | | | 1,995,255 |
|
| |
|
| U.S. Government Sponsored Agency Securities | | | | |
|
|
| Agency Obligations—5.1% | | | | | |
| Fannie Mae, 2.63%, 11/20/14 | | 550 | | | 545,735 |
| Federal Home Loan Banks, 5.38%, | | | | | |
| 5/15/19 (g) | | 1,230 | | | 1,316,483 |
| Federal Home Loan Bank of Chicago, | | | | | |
| 5.63%, 6/13/16 | | 550 | | | 554,507 |
| Freddie Mac: | | | | | |
| 1.13%, 12/15/11 (g) | | 1,460 | | | 1,455,464 |
| 1.75%, 6/15/12 | | 300 | | | 301,329 |
| Tennessee Valley Authority, 5.25%, | | | | | |
| 9/15/39 | | 450 | | | 445,885 |
| | | |
|
|
| | | | | | 4,619,403 |
|
|
| Collateralized Mortgage Obligations—2.2% | | | | |
| Fannie Mae Trust Series 2004-25 Class PA | | | | | |
| 5.50%, 10/25/30 | | 197 | | | 201,711 |
| Freddie Mac Multiclass Certificates: | | | | | |
| Series 2982, Class LC, 4.50%, | | | | | |
| 1/15/25 | | 229 | | | 230,955 |
| Series 3020, Class MA, 5.50%, | | | | | |
| 4/15/27 | | 307 | | | 314,229 |
| Series 3067, Class PG, 5.50%, | | | | | |
| 6/15/25 | | 160 | | | 162,766 |
| Series 3068, Class VA, 5.50%, | | | | | |
| 10/15/16 | | 284 | | | 299,443 |
| Series 3087, Class VA, 5.50%, | | | | | |
| 3/15/15 | | 758 | | | 798,664 |
| | | |
|
|
| | | | | | 2,007,768 |
|
|
| Federal Deposit Insurance Corporation Guaranteed—6.2% | |
| Citibank NA: | | | | | |
| 1.38%, 8/10/11 | | 1,400 | | | 1,403,711 |
| 1.75%, 12/28/12 | | 605 | | | 599,677 |
| Citigroup Funding, Inc.: | | | | | |
| 2.13%, 7/12/12 | | 375 | | | 377,896 |
| 1.88%, 10/22/12 | | 700 | | | 697,355 |
| General Electric Capital Corp.: | | | | | |
| 2.25%, 3/12/12 | | 450 | | | 456,521 |
| 2.00%, 9/28/12 | | 450 | | | 450,582 |
| 2.13%, 12/21/12 | | 1,035 | | | 1,035,959 |
| 2.63%, 12/28/12 | | 650 | | | 661,968 |
| | | |
|
|
| | | | | | 5,683,669 |
|
|
| Interest Only Collateralized Mortgage Obligations—0.1% | |
| Ginnie Mae Trust, Series 2009-26, | | | | | |
| Class SC, 5.95%, 1/16/38 | | 772 | | | 97,763 |
|
|
|
|
|
| | | | | | |
| Mortgage-Backed Securities—60.8% | | | | | |
| Fannie Mae Mortgage Backed Securities: | | | | | |
| 4.00%, 12/01/14—1/01/40 (h) | | 1,700 | | | 1,674,250 |
| 4.50%, 1/15/25—1/15/40 (h) | | 12,222 | | | 12,223,580 |
| 4.84%, 8/01/38 (a) | | 597 | | | 626,978 |
| 5.00%, 1/01/23—1/15/40 (h) | | 8,948 | | | 9,207,670 |
| 5.50%, 1/15/25—1/15/40 (h)(i) | | 11,069 | | | 11,622,010 |
| 6.00%, 2/01/17—1/15/40 (h) | | 3,843 | | | 4,094,290 |
| 6.50%, 1/15/40 (h) | | 1,400 | | | 1,499,313 |
| 7.00%, 2/01/16 | | | 43 | | | 46,294 |
| Freddie Mac Mortgage Backed Securities: | | | | | |
| 5.00%, 2/01/22—1/15/40 (h) | | 630 | | | 656,675 |
| 5.06%, 4/01/38 (a) | | 534 | | | 562,765 |
| 5.50%, 11/01/38—1/15/40 (h) | | 2,074 | | | 2,173,855 |
| 6.00%, 6/01/35—1/15/40 (h) | | 8,240 | | | 8,746,232 |
| Ginnie Mae Mortgage Backed Securities: | | | | | |
| 5.00%, 1/15/40 (h) | | 1,600 | | | 1,645,250 |
| 5.50%, 5/20/36 | | | 50 | | | 52,786 |
| 6.50%, 1/15/40 (h) | | 800 | | | 850,500 |
| | | | |
|
|
| | | | | | | 55,682,448 |
|
|
| Total U.S. Government Sponsored Agency Securities—74.4% | 68,091,051 |
|
| |
|
| U.S. Treasury Obligations | | | | | |
|
|
| U.S. Treasury Bonds: | | | | | |
| 7.25%, 5/15/16 | | | 540 | | | 668,461 |
| 8.13%, 8/15/19 (g) | | 2,010 | | | 2,705,335 |
| 8.13%, 8/15/21 (g) | | 1,210 | | | 1,659,590 |
| 8.00%, 11/15/21 | | | 1,400 | | | 1,906,407 |
| 7.13%, 2/15/23 | | | 300 | | | 384,750 |
| U.S. Treasury Notes: | | | | | |
| 2.13%, 11/30/14 (g) | | 4,220 | | | 4,120,113 |
| 4.00%, 8/15/18 (l) | | 800 | | | 817,062 |
| 3.38%, 11/15/19 (g) | | 9,600 | | | 9,234,048 |
| 5.25%, 2/15/29 | | | 650 | | | 704,235 |
| 3.50%, 2/15/39 | | | 1,190 | | | 974,684 |
| 4.25%, 5/15/39 | | | 265 | | | 248,603 |
| 4.50%, 8/15/39 (e)(l) | | 2,010 | | | 1,964,461 |
| U.S. Treasury STRIPS, 4.60%, 8/15/20 (j) | | 1,615 | | | 1,027,479 |
|
|
| |
|
|
| Total U.S. Treasury Obligations—28.8% | | | | 26,415,228 |
|
|
|
| Total Long-Term Investments | | | | | |
| (Cost—$155,298,879)—165.8% | | | | | | 151,788,579 |
|
|
|
| |
|
| Short-Term Securities | | | | | |
|
|
| Borrowed Bond Agreements—2.7% | | | | | |
| Barclays Capital Inc., 0.02%, 1/13/10 | | 1,357 | | | 1,356,906 |
| Credit Suisse Securities (USA) LLC, | | | | | |
| 0.00%, 1/13/10 | | | 203 | | | 202,519 |
| JPMorgan Securities Inc., 0.05%, | | | | | |
| 1/13/10 | | | 969 | | | 968,994 |
|
|
|
|
|
|
| Total Short-Term Securities | | | | | |
| (Cost—$2,528,419)—2.7% | | | | | | 2,528,419 |
|
|
|
See Notes to Financial Statements.
61
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock Total Return Portfolio | |
| Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | | |
| Options Purchased | Contracts(k) | | Value |
|
| Over-the-Counter Call Swaptions Purchased—0.3% | | | | | |
| Receive a fixed rate of 2.25% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 2/25/10, Broker Morgan Stanley | | | | | |
| Capital Services Inc. | 4 | | $ | 392 | |
| Receive a fixed rate of 1.92% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 9/02/10, Broker Morgan Stanley | | | | | |
| Capital Services Inc. | 7 | | | 35,843 | |
| Receive a fixed rate of 1.95% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 9/03/10, Broker Citibank NA | 7 | | | 37,141 | |
| Receive a fixed rate of 3.90% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 11/16/10, Broker Goldman Sachs | | | | | |
| Bank USA | 2 | | | 32,118 | |
| Receive a fixed rate of 5.71% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 5/25/12, Broker Deutsche Bank AG | 2 | | | 183,696 | |
| | |
|
|
| | | | | 289,190 | |
|
|
| Over-the-Counter Put Swaptions Purchased—1.5% | | | | |
| Pay a fixed rate of 5.35% and receive a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 2/04/10, Broker JPMorgan | | | | | |
| Chase Bank NA | 10 | | | 676 | |
| Pay a fixed rate of 4.50% and receive a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 3/15/10, Broker Royal Bank | | | | | |
| of Scotland Plc | 4 | | | 31,361 | |
| Pay a fixed rate of 1.92% and receive a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 9/02/10, Broker Morgan Stanley | | | | | |
| Capital Services, Inc. | 7 | | | 20,958 | |
| Pay a fixed rate of 1.95% and receive a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 9/03/10, Broker Citibank NA | 7 | | | 20,550 | |
| Pay a fixed rate of 3.90% and receive a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 11/16/10, Broker Goldman | | | | | |
| Sachs Bank USA | 2 | | | 98,125 | |
| Pay a fixed rate of 5.71% and receive a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 5/25/12, Broker Deutsche | | | | | |
| Bank AG | 2 | | | 81,092 | |
| Pay a fixed rate of 5.04% and receive a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 10/15/12, Broker JPMorgan | | | | | |
| Chase Bank NA | 7 | | | 496,370 | |
| Pay a fixed rate of 5.17% and receive a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 10/23/12, Broker JPMorgan | | | | | |
| Chase Bank NA | 7 | | | 460,477 | |
| Pay a fixed rate of 5.09% and receive a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 10/29/12, Broker Credit Suisse | | | | | |
| International | 1 | | | 78,677 | |
| Pay a fixed rate of 4.71% and receive a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 11/18/13, Broker JPMorgan | | | | | |
| Chase Bank NA | 2 | | | 71,668 | |
| | |
|
|
| | | | | 1,359,954 | |
|
|
| | | | | | |
| | | Contracts | | | | |
|
| Exchange-Traded Put Options Purchased—0.1% | | | | | | |
| 10-Year US Treasury Bond, Strike Price | | | | | |
| USD 117, Expires 2/19/10 | | 26 | | | 53,625 | |
| Euro-Dollar Future, Strike Price USD 98.75, | | | | | | |
| Expires 9/13/10 | | 62 | | | 44,950 | |
| | | |
|
|
| | | | | | 98,575 | |
|
|
| Total Options Purchased | | | | | | |
| (Cost—$1,532,339)—1.9% | | | | | 1,747,719 | |
|
|
|
| Total Investments Before Borrowed Bonds, | | | | | |
| TBA Sale Commitments and Options Written | | | | | |
| (Cost—$159,359,637*)—170.4% | | | | | 156,064,717 | |
|
|
|
| |
|
| | | Par | | | | |
| Borrowed Bonds | | (000) | | | | |
|
|
|
|
| U.S. Treasury Notes, 3.38% 11/15/19 | $ | 2,595 | | | (2,496,079 | ) |
|
|
|
| Total Borrowed Bonds | | | | | | |
| (Proceeds—$2,568,044)—(2.7)% | | | | | (2,496,079 | ) |
|
| |
|
| TBA Sale Commitments (h) | | | | | | |
|
|
| Fannie Mae Mortgage Backed Securities: | | | | | | |
| 4.50%, 1/15/25—1/15/40 | | 4,500 | | | (4,491,563 | ) |
| 5.00%, 1/01/23—1/15/40 | | 7,400 | | | (7,598,767 | ) |
| 5.50%, 1/15/25—1/15/40 | | 6,400 | | | (6,699,001 | ) |
| 6.00%, 2/01/17—1/15/40 | | 3,400 | | | (3,600,811 | ) |
| Freddie Mac Mortgage Backed Securities: | | | | | | |
| 5.00%, 2/01/22—1/15/40 | | 400 | | | (418,125 | ) |
| 6.00%, 6/01/35—1/15/40 | | 6,400 | | | (6,785,997 | ) |
|
|
|
|
|
| Total TBA Sale Commitments | | | | | | |
| (Proceeds—$29,822,188)—(32.3)% | | | | | (29,594,264 | ) |
|
|
|
| |
|
| Options Written | | Contracts(k) | | | | |
|
|
|
|
| Over-the-Counter Call Swaptions Written—(1.3)% | | | |
| Pay a fixed rate of 3.18% and receive a | | | | | | |
| floating rate based on 3-month LIBOR, | | | | | | |
| Expires 1/06/10, Broker Citibank NA | | 2 | | | (20 | ) |
| Pay a fixed rated of 3.60% and receive a | | | | | | |
| floating rate based on 3-month LIBOR, | | | | | | |
| Expires 2/04/10, Broker JPMorgan | | | | | | |
| Chase Bank NA | | 1 | | | (1,406 | ) |
| Pay a fixed rated of 3.86% and receive a | | | | | | |
| floating rate based on 3-month LIBOR, | | | | | | |
| Expires 3/22/10, Broker Citibank NA | | 2 | | | (16,464 | ) |
| Pay a fixed rated of 3.85% and receive a | | | | | | |
| floating rate based on 3-month LIBOR, | | | | | | |
| Expires 4/16/10, Broker Citibank NA | | 5 | | | (57,850 | ) |
| Pay a fixed rate of 4.12% and receive a | | | | | | |
| floating rate based on 3-month LIBOR, | | | | | | |
| Expires 8/26/10, Broker Goldman | | | | | | |
| Sachs Bank USA | | 1 | | | (21,746 | ) |
| Pay a fixed rate of 4.12% and receive a | | | | | | |
| floating rate based on 3-month LIBOR, | | | | | | |
| Expires 8/27/10, Broker Morgan | | | | | | |
| Stanley Capital Services, Inc. | | 1 | | | (21,634 | ) |
| Pay a fixed rate of 5.40% and receive a | | | | | | |
| floating rate based on 3-month LIBOR, | | | | | | |
| Expires 12/14/10, Broker UBS, AG | | 2 | | | (141,561 | ) |
| Pay a fixed rated of 4.12% and receive a | | | | | | |
| floating rate based on 3-month LIBOR, | | | | | | |
| Expires 12/20/10, Broker Deutsche Bank AG | 2 | | | (44,070 | ) |
See Notes to Financial Statements.
62
| |
|
| BlackRock Series Fund, Inc. | |
| BlackRock Total Return Portfolio | |
| Schedule of Investments December 31, 2009 (Continued) | (Percentages shown are based on Net Assets) |
|
| | | | | |
| Options Written | Contracts(k) | | Value |
|
| Over-the-Counter Call Swaptions Written (concluded) | | | | | |
| Pay a fixed rate of 5.56% and receive a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 10/12/12, Broker UBS, AG | 7 | | $ | (764,485) |
| Pay a fixed rated of 4.84% and receive a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 12/02/14, Broker JPMorgan | | | | | |
| Chase Bank NA | 1 | | | (36,908) |
| Pay a fixed rated of 4.89% and receive a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 12/03/14, Broker Deutsche | | | | | |
| Bank AG | 1 | | | (43,426) |
| | |
|
|
| | | | | (1,149,570) |
|
|
| Over-the-Counter Put Swaptions Written—(1.5)% | | | | |
| Receive a fixed rate of 3.18% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 1/06/10, Broker Citibank NA | 2 | | | (134,690) |
| Receive a fixed rate of 4.10% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 2/04/10, Broker JPMorgan | | | | | |
| Chase Bank NA | 1 | | | (8,038) |
| Receive a fixed rated of 5.50% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 3/15/10, Broker Royal Bank | | | | | |
| of Scotland Plc | 4 | | | (2,747) |
| Receive a fixed rated of 3.86% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 3/22/10, Broker Citibank NA | 2 | | | (45,905) |
| Receive a fixed rate of 3.85% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 4/16/10, Broker Citibank NA | 5 | | | (174,240) |
| Receive a fixed rate of 4.12% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 8/26/10, Broker Goldman | | | | | |
| Sachs Bank USA | 1 | | | (35,249) |
| Receive a fixed rate of 4.12% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 8/27/10, Broker Morgan | | | | | |
| Stanley Capital Services, Inc. | 1 | | | (35,544) |
| Receive a fixed rate of 5.40% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 12/14/10, Broker UBS, AG | 2 | | | (29,297) |
| Receive a fixed rate of 4.12% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 12/20/10, Broker Deutsche | | | | | |
| Bank AG | 2 | | | (88,472) |
| Receive a fixed rate of 6.04% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 10/15/12, Broker JPMorgan | | | | | |
| Chase Bank NA | 7 | | | (295,711) |
| Receive a fixed rate of 5.56% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 10/12/12, Broker UBS, AG | 7 | | | (87,642) |
| Receive a fixed rate of 6.17% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 10/23/12, Broker JPMorgan | | | | | |
| Chase NA | 7 | | | (273,947) |
| Receive a fixed rate of 6.09% and pay a | | | | | |
| floating rate based on 3-month LIBOR, | | | | | |
| Expires 10/29/12, Broker Credit Suisse | | | | | |
| International | 1 | | | (46,913) |
| | | | | |
| | Contracts | | |
|
| Receive a fixed rate of 4.84% and pay a | | | | |
| floating rate based on 3-month LIBOR, | | | | |
| Expires 12/02/14, Broker JPMorgan | | | | |
| Chase Bank NA | 1(k) | | | (60,610) |
| Receive a fixed rate of 4.89% and pay a | | | | |
| floating rate based on 3-month LIBOR, | | | | |
| Expires 12/03/14, Broker Deutsche | | | | |
| Bank AG | 1(k) | | | (67,860) |
| |
|
|
| | | | | (1,386,865) |
|
|
| Exchange-Traded Put Options Written—(0.0)% | | | | |
| 10-Year US Treasury Bond, Strike Price | | | | |
| USD 116, Expires 2/19/10 | 26 | | | (37,375) |
| Euro-Dollar Future, Strike Price USD 98.25, | | | | |
| Expires 9/13/10 | 62 | | | (25,575) |
| |
|
|
| | | | | (62,950) |
|
|
| Total Options Written | | | | |
| (Premiums Received—$2,438,362)—(2.8)% | | | | (2,599,385) |
|
|
|
| Total Investments Net of Borrowed Bonds, TBA Sale | | |
| Commitments and Options Written—132.6% | | | | 121,374,989 |
| | | | | |
| Liabilities in Excess of Other Assets—(32.6)% | | | | (29,819,616) |
| | |
|
|
| Net Assets—100.0% | | | $ | 91,555,373 |
| | |
|
| * | The cost and unrealized appreciation (depreciation) of investments as of December 31, 2009, as computed for federal income tax purposes, were as follows: |
| | | | |
| | | | |
| | Aggregate cost | $ | 159,362,681 |
| | |
|
| | Gross unrealized appreciation | $ | 3,019,716 |
| | Gross unrealized depreciation | | (6,317,680) |
| | |
|
|
| | Net unrealized depreciation | $ | (3,297,964) |
| | |
|
| (a) | Variable rate security. Rate shown is as of report date. |
| (b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| (c) | Issuer filed for bankruptcy and/or is in default of interest payments. |
| (d) | Non-income producing security. |
| (e) | All or a portion of security has been pledged as collateral in connection with open financial futures contracts. |
| (f) | Security is perpetual in nature and has no stated maturity date. |
| (g) | All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements. |
| (h) | Represents or includes a to-be-announced (TBA) transaction. Net unsettled TBA transactions as of report date were as follows: |
| | | | | | |
|
|
| | | | | Unrealized |
| | | | | Appreciation |
| Counterparty | | Value | | (Depreciation) |
|
|
| Bank of America NA | $ | 370,563 | $ | 461 |
| BNP Paribas | $ | 850,500 | $ | (3,747) |
| CitiGroup Global Markets | $ | 719,907 | $ | (9,070) |
| Credit Suisse Securities LLC | $ | (1,351,297) | $ | 14,216 |
| Deutsche Bank Securities, Inc. | $ | (1,763,985) | $ | 45,264 |
| Goldman Sachs & Co. | $ | 9,776,470 | $ | (120,235) |
| JPMorgan Securities, Ltd. | $ | (715,251) | $ | 8,273 |
| Morgan Stanley Capital Services, Inc. | $ | (5,243,279) | $ | 29,733 |
|
| (i) | All or a portion of security has been pledged as collateral in connection with swaps. |
| (j) | Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
| (k) | One contract represents a notional amount of $1 million. |
| (l) | Securities, or a portion thereof, subject to treasury rolls. |
See Notes to Financial Statements.
63
|
|
| BlackRock Series Fund, Inc. |
| BlackRock Total Return Portfolio |
| Schedule of Investments December 31, 2009 (Continued) |
|
| • | For Portfolio compliance purposes, the Portfolio's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Portfolio management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. |
| |
| • | Reverse repurchase agreements outstanding as of December 31, 2009 were as follows: |
|
| | | | | | | | |
| Counterparty | Interest
Rate | Trade
Date | Maturity
Date | Net Closing
Amount | Face
Amount |
|
| Credit Suisse | | | | | | | |
| Securities (USA) LLC | 0.01% | 10/23/09 | TBD | $ | 2,752,639 | $ | 2,752,193 |
| JPMorgan Securities, Inc. | 0.05% | 12/11/09 | 1/13/10 | | 591,298 | | 591,281 |
| JPMorgan Securities, Inc. | 0.06% | 12/11/09 | 1/13/10 | | 8,949,639 | | 8,949,281 |
| JPMorgan Securities, Inc. | 0.09% | 12/11/09 | 1/13/10 | | 4,194,866 | | 4,194,614 |
| JPMorgan Securities, Inc. | 0.12% | 12/11/09 | 1/13/10 | | 1,734,976 | | 1,734,838 |
| JPMorgan Securities, Inc. | 0.08% | 12/22/09 | 1/13/10 | | 777,022 | | 777,000 |
| JPMorgan Securities, Inc. | 0.15% | 12/22/09 | 1/13/10 | | 1,391,325 | | 1,391,250 |
|
| Total | | | | $ | 20,391,765 | $ | 20,390,457 |
| | |
|
• Financial futures contracts sold as of December 31, 2009 were as follows:
| | | | | | |
|
|
|
| | | Expiration | | Notional | Unrealized |
| Contracts | Issue | Date | | Value | Appreciation |
|
|
|
| 29 | 2-Year U.S. Treasury Bond | March 2010 | $ | 6,298,027 | $ | 26,324 |
| 168 | 5-Year U.S. Treasury Bond | March 2010 | $ | 19,535,520 | | 319,207 |
| 28 | 10-Year U.S. Treasury Bond | March 2010 | $ | 3,283,825 | | 51,138 |
| 14 | 30-Year U.S. Treasury Bond | March 2010 | $ | 1,697,032 | | 81,782 |
|
| Total | | | | | $ | 478,451 |
| | |
|
• Foreign currency exchange contracts as of December 31, 2009 were as follows:
| | | | | | | |
|
|
|
| Currency | Currency | | Settlement | Unrealized |
| Purchased | Sold | Counterparty | Date | Appreciation |
|
|
|
| USD | 1,397,310 | EUR | 940,000 | Citibank NA | 1/20/10 | $ | 49,797 |
| USD | 262,283 | GBP | 158,000 | Citibank NA | 1/27/10 | | 7,123 |
|
| Total | | | | | | $ | 56,920 |
| | |
|
• Interest rate swaps outstanding as of December 31, 2009 were as follows:
| | | | | | | |
|
|
| | | | | Notional | | Unrealized |
| | | | | Amount | | Appreciation |
| Fixed Rate | Floating Rate | Counterparty | Expiration | (000) | | (Depreciation) |
|
|
| 5.02% (a) | 3-month LIBOR | Deutsche Bank AG | October 2012 | USD 3,200 | | $ | 267,622 |
| 4.87% (a) | 3-month LIBOR | UBS AG | October 2012 | USD 2,900 | | | 230,531 |
| 4.67% (a) | 3-month LIBOR | Deutsche Bank AG | October 2012 | USD 3,300 | | | 244,953 |
| 2.25% (b) | 3-month LIBOR | Deutsche Bank AG | December 2012 | USD 1,120 | | | (6,519) |
| 3.05% (b) | 3-month LIBOR | Credit Suisse International | August 2014 | USD 1,400 | | | (13,637) |
| 2.79% (b) | 3-month LIBOR | JPMorgan Chase Bank NA | November 2014 | USD 560 | | | 3,802 |
| 2.61% (a) | 3-month LIBOR | Citibank NA | December 2014 | USD 2,000 | | | (32,476) |
| 2.37% (a) | 3-month LIBOR | JPMorgan Chase Bank NA | December 2014 | USD 3,600 | | | (96,007) |
| 2.63% (a) | 3-month LIBOR | Morgan Stanley Capital Services, Inc. | December 2014 | USD 3,700 | | | (55,588) |
| 2.81% (a) | 3-month LIBOR | Citibank NA | February 2016 | USD 1,000 | | | (28,464) |
| 3.68% (a) | 3-month LIBOR | Deutsche Bank AG | August 2019 | USD 2,100 | | | (43,242) |
| 3.47% (a) | 3-month LIBOR | Royal Bank of Scotland Plc | September 2019 | USD 2,000 | | | (77,963) |
| 3.73% (b) | 3-month LIBOR | Citibank NA | October 2019 | USD 600 | | | 11,203 |
| 3.50% (b) | 3-month LIBOR | Morgan Stanley Capital Services, Inc. | November 2019 | USD 300 | | | 11,498 |
| 3.70% (a) | 3-month LIBOR | Credit Suisse International | December 2019 | USD 2,000 | | | (45,592) |
| 3.66% (b) | 3-month LIBOR | Credit Suisse International | December 2019 | USD 800 | | | 20,761 |
| 3.40% (b) | 3-month LIBOR | Deutsche Bank AG | December 2019 | USD 2,800 | | | 132,093 |
| 3.50% (a) | 3-month LIBOR | Deutsche Bank AG | December 2019 | USD 400 | | | (15,688) |
| 4.24% (c) | 3-month LIBOR | JPMorgan Chase Bank NA | August 2020 | USD 350 | | | (4,368) |
| 4.42% (c) | 3-month LIBOR | JPMorgan Chase Bank NA | August 2020 | USD 1,160 | | | (27,979) |
| 4.35% (b) | 3-month LIBOR | JPMorgan Chase Bank NA | July 2039 | USD 600 | | | 16,974 |
|
| Total | | | | | | $ | 491,914 |
| | | |
|
| (a) | Pays floating interest rate and receives fixed rate. |
| (b) | Pays fixed interest rate and receives floating rate. |
| (c) | Pays fixed interest amount and receives floating amount at expiration. |
See Notes to Financial Statements.
64
|
|
| BlackRock Series Fund, Inc. |
| BlackRock Total Return Portfolio |
| Schedule of Investments December 31, 2009 (Continued) |
|
• Credit default swaps on single-name issuers—buy protection outstanding as of December 31, 2009 were as follows:
|
|
| | | | | Notional | | Unrealized |
| | Pay | | | Amount | | Appreciation |
| Issuer | Rate | Counterparty | Expiration | (000) | | (Depreciation) |
|
|
| Centex Corp. | 6.92% | JPMorgan Chase Bank NA | December 2010 | USD 140 | | $ | (8,611) |
| Limited Brands, Inc. | 1.07% | UBS AG | December 2010 | USD 295 | | | 555 |
| Radio Shack Corp. | 1.16% | UBS AG | December 2010 | USD 295 | | | (1,223) |
| Knight Inc. | 1.80% | Credit Suisse International | January 2011 | USD 190 | | | (1,924) |
| Sara Lee Corp. | 0.60% | JPMorgan Chase Bank NA | March 2011 | USD 295 | | | (1,134) |
| Computer Sciences Corp. | 0.88% | Morgan Stanley Capital Services, Inc. | June 2011 | USD 290 | | | (3,008) |
| iStar Financial, Inc. | 5.00% | Morgan Stanley Capital Services, Inc. | September 2011 | USD 70 | | | 2,222 |
| Wendy's International Inc. | 2.90% | JPMorgan Chase Bank NA | December 2011 | USD 190 | | | (6,796) |
| NOVA Chemicals Corp. | 5.00% | Citibank NA | March 2012 | USD 15 | | | (730) |
| Macy's, Inc. | 7.50% | Morgan Stanley Capital Services, Inc. | June 2012 | USD 130 | | | (19,113) |
| Macy's, Inc. | 8.00% | Morgan Stanley Capital Services, Inc. | June 2012 | USD 45 | | | (7,156) |
| NOVA Chemicals Corp. | 5.00% | JPMorgan Chase Bank NA | June 2012 | USD 20 | | | (861) |
| Ryland Group, Inc. | 4.51% | JPMorgan Chase Bank NA | June 2012 | USD 85 | | | (6,288) |
| Knight Inc. | 1.00% | Morgan Stanley Capital Services, Inc. | September 2012 | USD 55 | | | (387) |
| D.R. Horton, Inc. | 5.04% | JPMorgan Chase Bank NA | June 2013 | USD 275 | | | (27,939) |
| Eastman Chemical Co. | 0.68% | Morgan Stanley Capital Services, Inc. | September 2013 | USD 285 | | | (3,123) |
| Expedia, Inc. | 5.00% | Citibank NA | September 2013 | USD 200 | | | (30,749) |
| Expedia, Inc. | 5.18% | Goldman Sachs Bank USA | September 2013 | USD 100 | | | (16,021) |
| Centex Corp. | 4.40% | JPMorgan Chase Bank NA | December 2013 | USD 170 | | | (22,306) |
| Centex Corp. | 4.37% | Deutsche Bank AG | December 2013 | USD 300 | | | (39,024) |
| NOVA Chemicals Corp. | 5.00% | Goldman Sachs Bank USA | December 2013 | USD 85 | | | (7,348) |
| D.R. Horton, Inc. | 1.00% | JPMorgan Chase Bank NA | March 2014 | USD 305 | | | (5,043) |
| Hertz Global Holdings, Inc. | 5.00% | Goldman Sachs Bank USA | March 2014 | USD 40 | | | (12,339) |
| Toll Brothers Finance Corp. | 2.00% | JPMorgan Chase Bank NA | March 2014 | USD 80 | | | (2,097) |
| D.R. Horton, Inc. | 5.07% | JPMorgan Chase Bank NA | September 2014 | USD 80 | | | (9,873) |
| Macy's, Inc. | 1.00% | Morgan Stanley Capital Services, Inc. | September 2014 | USD 45 | | | (527) |
| Energy Future Holdings Corp. | 5.00% | Morgan Stanley Capital Services, Inc. | December 2014 | USD 355 | | | (31,553) |
| Energy Future Holdings Corp. | 5.00% | JPMorgan Chase Bank NA | December 2014 | USD 60 | | | (6,939) |
| Huntsman International LLC | 5.00% | Goldman Sachs Bank USA | December 2014 | USD 155 | | | (57,038) |
| Huntsman International LLC | 5.00% | Goldman Sachs Bank USA | March 2015 | USD 45 | | | (13,512) |
| Pulte Homes, Inc. | 3.00% | JPMorgan Chase Bank NA | March 2015 | USD 95 | | | (4,820) |
| Lennar Corp. | 5.86% | JPMorgan Chase Bank NA | June 2015 | USD 130 | | | (15,980) |
| First Data Corp. | 5.00% | Credit Suisse International | December 2015 | USD 70 | | | (11,230) |
| First Data Corp. | 5.00% | Goldman Sachs Bank USA | December 2015 | USD 45 | | | (7,020) |
| First Data Corp. | 5.00% | JPMorgan Chase Bank NA | December 2015 | USD 85 | | | (13,636) |
| Sabre Holdings Corp. | 5.00% | JPMorgan Chase Bank NA | March 2016 | USD 360 | | | (157,884) |
|
| Total | | | | | | $ | (550,455) |
| | |
|
| | |
| | Fair Value Measurements—Various inputs are used in determining the fair value of investments, which are as follows: |
| | | |
| | | Level 1—price quotations in active markets/exchanges for identical assets and liabilities. |
| | | |
| | | Level 2—other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
| | | |
| | | Level 3—unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio’s own assumptions used in determining the fair value of investments) |
| | |
| | The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Portfolio’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. |
The following table summarizes the inputs used as of December 31, 2009 in determining the fair valuation of the Portfolio’s investments:
| | | | | | |
|
| Valuation | Investments in |
| Inputs | Securities |
|
| | Assets | Liabilities |
| |
| |
|
| Level 1 | | — | | | — |
| Level 2 | | | | | |
| Long-Term Investments1 | $ | 150,996,017 | | | — |
| Short-Term Securities: | | | | | |
| Borrowed Bond Agreements | | 2,528,419 | | | — |
| Borrowed Bonds | | | | $ | (2,496,079) |
| TBA Sale Commitments | | — | | | (29,594,264) |
| |
|
| Total Level 2 | | 153,524,436 | | | (32,090,343) |
| |
|
| Level 3 | | | | | |
| Long-Term Investments: | | | | | |
| Asset-Backed Securities | | 364,712 | | | — |
| Non-Agency Mortgage-Backed Securities | | 427,850 | | | — |
| |
|
| Total Level 3 | | 792,562 | | | — |
| |
|
| Total | $ | 154,316,998 | | $ | (32,090,343) |
| |
|
| 1 | See above Schedule of Investments for values in each security type excluding the security type in Level 3 within the table. |
See Notes to Financial Statements.
65
|
|
| BlackRock Series Fund, Inc. |
| BlackRock Total Return Portfolio |
| Schedule of Investments December 31, 2009 (Concluded) |
|
| | | | | | |
|
| Valuation | Other Financial |
| Inputs | Instruments2 |
|
| | Assets | Liabilities |
| |
| |
|
| | | | | | |
| Level 1 | $ | 577,026 | | $ | (62,950) |
| Level 2 | | 2,648,278 | | | (3,504,843) |
| Level 3 | | — | | | (32,347) |
| |
| |
|
| Total | $ | 3,225,304 | | $ | (3,600,140) |
| |
| |
|
| 2 | Other financial instruments are swaps, financial futures contracts, foreign currency exchange contracts, options purchased and options written. Swaps, financial futures contracts and foreign currency exchange contracts are shown at the unrealized appreciation/depreciation on the instrument and options purchased and options written are shown at market value. |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
| | | | | | | | | | |
|
|
| | | Investments in Securities |
|
|
| | | | Non-Agency | | | | |
| | | | Mortgage- | | | | |
| | | Asset-Backed | Backed | | | | |
| | | Securities | Securities | | Total |
| |
| |
| |
| |
| Balance, as of December 31, 2008 | | — | | | — | | | — | |
| Accrued discounts/premiums | | — | | | — | | | — | |
| Realized gain (loss) | $ | (56 | ) | | — | | $ | (56 | ) |
| Change in unrealized | | | | | | | | | |
| appreciation/depreciation3 | | 58,487 | | | — | | | 58,487 | |
| Net purchases (sales) | | (101,013 | ) | | — | | (101,013 | ) |
| Net transfers in/out of Level 3 | | 407,294 | | $ | 427,850 | | | 835,144 | |
| |
| |
| |
| |
| Balance, as of December 31, 2009 | $ | 364,712 | | $ | 427,850 | | $ | 792,562 | |
| |
| |
| |
| |
| 3 | Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The change in unrealized appreciation/depreciation on securities still held at December 31, 2009 was $58,487. |
The following table is a reconciliation of Level 3 other financial instruments for which significant unobservable inputs were used to determine fair value:
| | |
|
|
| | Other Financial |
| | Instruments4 |
|
|
| | Liabilities |
| |
|
| Balance, as of December 31, 2008 | — |
| Accrued discounts/premiums | — |
| Realized gain (loss) | — |
| Change in unrealized | |
| appreciation/depreciation | — |
| Net purchases (sales) | — |
| Net transfers in/out of Level 3 | $(32,347) |
| |
|
| Balance, as of December 31, 2009 | $(32,347) |
| |
|
| 4 | Other financial instruments are swaps. |
See Notes to Financial Statements.
66
[This Page Intentionally Left Blank]
67
BlackRock Series Fund, Inc.Statements of Assets and Liabilities December 31, 2009
| | | | | | | | | | | | | | | | | | | | | | | | |
| | BlackRock
Balanced
Capital
Portfolio | BlackRock
Fundamental
Growth
Portfolio | BlackRock
Global
Allocation
Portfolio1 | BlackRock
Government
Income
Portfolio | BlackRock
High
Income
Portfolio | BlackRock
Large Cap
Core
Portfolio | BlackRock
Money
Market
Portfolio | BlackRock
Total Return
Portfolio |
|
| Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Investments at value—unaffiliated2,3 | $ | 692,201,995 | | $ | 158,189,476 | | $ | 295,938,070 | | $ | 416,824,593 | | $ | 49,570,427 | | $ | 167,236,790 | | $ | 263,978,098 | | $ | 156,064,717 | |
| Investments at value—affiliated4 | | 7,757,000 | | | 9,709,249 | | | 4,234,016 | | | 445,018 | | | 244,034 | | | 4,253,254 | | | — | | | — | |
| Structured options at value5 | | — | | | — | | | 442,500 | | | — | | | — | | | — | | | — | | | — | |
| Cash | | — | | | — | | | — | | | — | | | 255 | | | — | | | 987 | | | 1,566,128 | |
| Cash held as collateral for short sales | | — | | | — | | | 982,241 | | | — | | | — | | | — | | | — | | | — | |
| Foreign currency at value6 | | 438,419 | | | — | | | 299,355 | | | — | | | — | | | — | | | — | | | 1,185 | |
| Unrealized appreciation on swaps | | 465,812 | | | — | | | 13,595 | | | 400,244 | | | — | | | — | | | — | | | 942,214 | |
Unrealized appreciation on foreign currency
exchange contracts | | 185,334 | | | — | | | 34,568 | | | — | | | — | | | — | | | — | | | 56,920 | |
| TBA sales commitments receivable | | 72,811,523 | | | — | | | — | | | 244,813,781 | | | — | | | — | | | — | | | 29,822,188 | |
| Investments sold receivable | | 5,715,450 | | | — | | | 159,528 | | | 75,239,956 | | | 376,125 | | | — | | | — | | | 1,177,555 | |
| Interest receivable | | 1,999,023 | | | — | | | 1,100,593 | | | 1,427,371 | | | 854,723 | | | — | | | 107,384 | | | 1,018,941 | |
| Swaps premiums paid | | 929,325 | | | — | | | — | | | — | | | — | | | — | | | — | | | 484,719 | |
| Dividends receivable | | 331,846 | | | 115,215 | | | 319,936 | | | — | | | 2,444 | | | 146,555 | | | — | | | — | |
| Swaps receivable | | 152,999 | | | — | | | 1,161 | | | 431,898 | | | — | | | — | | | — | | | 183,974 | |
| Margin variation receivable | | 116,268 | | | — | | | 47,028 | | | — | | | — | | | — | | | — | | | 71,777 | |
| Capital shares sold receivable | | 7,553 | | | 7,662 | | | 2,034 | | | — | | | — | | | 2,170 | | | 40,676 | | | — | |
| Securities lending income receivable—affiliated | | 181 | | | 1,519 | | | 2,201 | | | — | | | — | | | 1,147 | | | — | | | — | |
| Principal paydowns receivable | | — | | | — | | | — | | | — | | | 271 | | | — | | | — | | | 30 | |
| Prepaid expenses | | 46,773 | | | 26,263 | | | 32,597 | | | 39,272 | | | 35,927 | | | 26,572 | | | 26,891 | | | 29,623 | |
| Other assets | | 133,791 | | | — | | | 22,576 | | | 243,894 | | | — | | | 136,688 | | | — | | | 4,597 | |
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| Total assets | | 783,293,292 | | | 168,049,384 | | | 303,631,999 | | | 739,866,027 | | | 51,084,206 | | | 171,803,176 | | | 264,154,036 | | | 191,424,568 | |
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| Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | |
| TBA sale commitments at value7 | | 72,283,859 | | | — | | | — | | | 242,383,165 | | | — | | | — | | | — | | | 29,594,264 | |
| Reverse repurchase agreements | | 49,553,132 | | | — | | | — | | | 21,991,875 | | | — | | | — | | | — | | | 20,390,457 | |
| Collateral at value—securities loaned | | 7,757,000 | | | 9,222,200 | | | — | | | — | | | — | | | 4,118,850 | | | — | | | — | |
| Borrowed bonds8 | | 6,228,173 | | | — | | | — | | | 10,773,056 | | | — | | | — | | | — | | | 2,496,079 | |
| Options written at value9 | | 4,483,508 | | | — | | | 718,976 | | | — | | | — | | | — | | | — | | | 2,599,385 | |
| Investments sold short at value10 | | — | | | — | | | 927,056 | | | — | | | — | | | — | | | — | | | — | |
| Unrealized depreciation on swaps | | 1,881,012 | | | — | | | 29,353 | | | 1,107,749 | | | — | | | — | | | — | | | 1,000,755 | |
Unrealized depreciation on foreign currency
exchange contracts | | — | | | — | | | 210,962 | | | — | | | — | | | — | | | — | | | — | |
Unrealized depreciation on unfunded loan
commitments | | — | | | — | | | — | | | — | | | 9,668 | | | — | | | — | | | — | |
| Investments purchased payable | | 88,606,760 | | | — | | | 39,521 | | | 337,049,075 | | | 458,868 | | | — | | | — | | | 40,412,535 | |
| Bank overdraft | | 1,292,920 | | | — | | | 3,240,465 | | | — | | | — | | | — | | | — | | | — | |
| Treasury rolls payable | | 809,941 | | | — | | | — | | | — | | | — | | | — | | | — | | | 2,774,290 | |
| Income dividends payable | | — | | | — | | | — | | | 470,849 | | | 469,172 | | | — | | | — | | | 426,924 | |
| Swap premiums received | | — | | | — | | | — | | | 908,707 | | | — | | | — | | | — | | | — | |
| Margin variation payable | | — | | | — | | | — | | | 87,033 | | | — | | | — | | | — | | | — | |
| Investment advisory fees payable | | 164,798 | | | 46,904 | | | 88,702 | | | 36,482 | | | 6,781 | | | 49,851 | | | 55,725 | | | 21,187 | |
| Capital shares redeemed payable | | 82,314 | | | 113,143 | | | 43,441 | | | 107,290 | | | 1,537 | | | 39,375 | | | 471,655 | | | 8,677 | |
| Swaps payable | | 72,093 | | | — | | | — | | | 403,855 | | | — | | | — | | | — | | | 64,353 | |
| Deferred foreign capital gain tax payable | | — | | | — | | | 44,578 | | | — | | | — | | | — | | | — | | | — | |
| Interest expense payable | | 11,922 | | | — | | | — | | | 5,050 | | | — | | | — | | | — | | | 4,514 | |
| Other affiliates payable | | 2,630 | | | 726 | | | 1,369 | | | 720 | | | 210 | | | 780 | | | 2,180 | | | 1,316 | |
| Officer’s and Directors' fees payable | | 188 | | | 279 | | | 99 | | | 265 | | | 211 | | | 103 | | | 353 | | | 239 | |
| Other liabilities payable | | 3,902 | | | — | | | 205 | | | — | | | — | | | — | | | — | | | 31,530 | |
| Other accrued expenses payable | | 91,342 | | | 33,350 | | | 95,008 | | | 44,613 | | | 34,333 | | | 28,216 | | | 40,096 | | | 42,690 | |
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| Total liabilities | | 233,325,494 | | | 9,416,602 | | | 5,439,735 | | | 615,369,784 | | | 980,780 | | | 4,237,175 | | | 570,009 | | | 99,869,195 | |
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| Net Assets | $ | 549,967,798 | | $ | 158,632,782 | | $ | 298,192,264 | | $ | 124,496,243 | | $ | 50,103,426 | | $ | 167,566,001 | | $ | 263,584,027 | | $ | 91,555,373 | |
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| Net Assets Consist of: | | | | | | | | | | | | | | | | | | | | | | | | |
| Paid-in capital | $ | 623,189,581 | | $ | 256,512,819 | | $ | 291,385,248 | | $ | 127,237,664 | | $ | 78,167,334 | | $ | 206,278,206 | | $ | 263,572,682 | | $ | 101,674,108 | |
Undistributed (distributions in excess of) net
investment income | | 583,965 | | | 26,307 | | | (2,450,756 | ) | | 591,897 | | | (48,699 | ) | | 356,584 | | | — | | | 397,346 | |
| Accumulated net realized gain (loss) | | (119,137,107 | ) | | (129,415,978 | ) | | (14,142,851 | ) | | (3,038,602 | ) | | (28,070,768 | ) | | (57,549,289 | ) | | 11,345 | | | (7,840,284 | ) |
| Net unrealized appreciation/depreciation | | 45,331,359 | | | 31,509,634 | | | 23,400,623 | | | (294,716 | ) | | 55,559 | | | 18,480,500 | | | — | | | (2,675,797 | ) |
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| Net Assets | $ | 549,967,798 | | $ | 158,632,782 | | $ | 298,192,264 | | $ | 124,496,243 | | $ | 50,103,426 | | $ | 167,566,001 | | $ | 263,584,027 | | $ | 91,555,373 | |
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| Shares outstanding, $0.10 par value11 | | 41,650,062 | | | 6,837,301 | | | 20,830,080 | | | 11,300,273 | | | 10,094,019 | | | 9,869,329 | | | 263,572,682 | | | 8,486,316 | |
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| Net asset value, offering and redemption price per share | $ | 13.20 | | $ | 23.20 | | $ | 14.32 | | $ | 11.02 | | $ | 4.96 | | $ | 16.98 | | $ | 1.00 | | $ | 10.79 | |
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| 1 Consolidated Statement of Assets and Liabilities | | | | | | | | | | | | | | | | | | | | | | | | |
| 2 Investments at cost—unaffiliated | $ | 648,027,442 | | $ | 126,682,838 | | $ | 272,397,806 | | $ | 419,406,390 | | $ | 49,505,200 | | $ | 148,756,290 | | $ | 263,978,098 | | $ | 159,359,637 | |
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| 3 Securities loaned | $ | 7,497,960 | | $ | 8,873,298 | | | — | | | — | | | — | | $ | 3,954,153 | | | — | | | — | |
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| 4 Investments at cost—affiliated | $ | 7,757,000 | | $ | 9,709,249 | | $ | 4,198,197 | | $ | 445,018 | | $ | 244,034 | | $ | 4,253,254 | | | — | | | — | |
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| 5 Structured options at cost | | — | | | — | | $ | 0 | | | — | | | — | | | — | | | — | | | — | |
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| 6 Foreign currency at cost | $ | 433,440 | | | — | | $ | 293,866 | | | — | | | — | | | — | | | — | | $ | 1,198 | |
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| 7 Proceeds received TBA sale commitments | $ | 72,811,523 | | | — | | | — | | $ | 244,813,781 | | | — | | | — | | | — | | $ | 29,822,188 | |
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| 8 Proceeds received borrowed bond agreements | $ | 6,402,073 | | | — | | | — | | $ | 10,861,627 | | | — | | | — | | | — | | $ | 2,568,044 | |
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| 9 Premiums received | $ | 5,331,954 | | | — | | $ | 375,012 | | | — | | | — | | | — | | | — | | $ | 2,438,362 | |
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| 10 Proceeds received investments sold short | | — | | | — | | $ | 798,470 | | | — | | | — | | | — | | | — | | | — | |
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| 11 Authorized shares | | 300 million | | | 100 million | | | 100 million | | | 100 million | | | 100 million | | | 100 million | | 2 billion | | | 100 million | |
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See Notes to Financial Statements.
68 & 69
BlackRock Series Fund, Inc.Statements of Operations Year Ended December 31, 2009
| | | | | | | | | | | | | | | | | | | | | | | | |
| | BlackRock
Balanced
Capital
Portfolio | BlackRock
Fundamental
Growth
Portfolio | BlackRock
Global
Allocation
Portfolio1 | BlackRock
Government
Income
Portfolio | BlackRock
High
Income
Portfolio | BlackRock
Large Cap
Core
Portfolio | BlackRock
Money
Market
Portfolio | BlackRock
Total Return
Portfolio |
|
| Investment Income: | | | | | | | | | | | | | | | | | | | | | | | | |
| Interest | $ | 10,542,241 | | | — | | $ | 4,675,201 | | $ | 5,894,180 | | $ | 4,174,120 | | | — | | $ | 2,223,451 | | $ | 5,421,777 | |
| Dividends | | 6,395,695 | | $ | 1,656,742 | | | 3,756,879 | | | — | | | — | | $ | 3,066,670 | | | — | | | — | |
| Foreign taxes withheld | | — | | | (7,444 | ) | | (139,552 | ) | | — | | | — | | | — | | | — | | | — | |
| Income—affiliated | | 18,956 | | | 2,688 | | | 9,273 | | | 97,099 | | | 11,455 | | | 113 | | | — | | | — | |
| Securities lending—affiliated | | 181 | | | 5,423 | | | 2,461 | | | — | | | — | | | 13,010 | | | — | | | — | |
| Facility and other fees | | — | | | — | | | — | | | — | | | 29,614 | | | — | | | — | | | — | |
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| Total income | | 16,957,073 | | | 1,657,409 | | | 8,304,262 | | | 5,991,279 | | | 4,215,189 | | | 3,079,793 | | | 2,223,451 | | | 5,421,777 | |
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| Expenses: | | | | | | | | | | | | | | | | | | | | | | | | |
| Investment advisory | | 1,817,669 | | | 487,384 | | | 936,183 | | | 497,055 | | | 143,302 | | | 541,971 | | | 1,019,860 | | | 326,404 | |
| Accounting services | | 196,778 | | | 54,230 | | | 111,674 | | | 60,734 | | | 21,484 | | | 60,910 | | | 124,491 | | | 42,678 | |
| Professional | | 81,674 | | | 55,006 | | | 86,551 | | | 54,489 | | | 47,162 | | | 45,226 | | | 61,161 | | | 43,651 | |
| Custodian | | 72,503 | | | 25,466 | | | 99,438 | | | 43,621 | | | 14,810 | | | 24,271 | | | 20,010 | | | 39,659 | |
| Pricing | | 48,232 | | | 1,225 | | | 50,127 | | | 12,218 | | | 31,585 | | | 1,007 | | | 1,579 | | | 50,793 | |
| Printing | | 38,473 | | | 10,712 | | | 19,069 | | | 10,917 | | | 3,313 | | | 11,398 | | | 22,261 | | | 7,216 | |
| Officer and Directors | | 30,964 | | | 19,716 | | | 23,319 | | | 20,093 | | | 16,745 | | | 20,105 | | | 24,574 | | | 18,545 | |
| Transfer agent | | 5,000 | | | 5,000 | | | 5,000 | | | 5,000 | | | 5,000 | | | 5,000 | | | 5,000 | | | 5,000 | |
| Registration | | 39 | | | 39 | | | 39 | | | 39 | | | 39 | | | 39 | | | 39 | | | 39 | |
| Federal insurance | | — | | | — | | | — | | | — | | | — | | | — | | | 91,218 | | | — | |
| Miscellaneous | | 28,642 | | | 13,696 | | | 25,295 | | | 15,923 | | | 10,967 | | | 13,959 | | | 16,532 | | | 13,121 | |
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| Total expenses excluding interest and dividend expense | | 2,319,974 | | | 672,474 | | | 1,356,695 | | | 720,089 | | | 294,407 | | | 723,886 | | | 1,386,725 | | | 547,106 | |
| Interest expense | | 36,222 | | | — | | | — | | | 26,692 | | | — | | | — | | | — | | | 22,689 | |
| Dividend expense | | — | | | — | | | 33,273 | | | — | | | — | | | — | | | — | | | — | |
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| Total expenses | | 2,356,196 | | | 672,474 | | | 1,389,968 | | | 746,781 | | | 294,407 | | | 723,886 | | | 1,386,725 | | | 569,795 | |
| Less fees waived by advisor | | (1,242 | ) | | (1,377 | ) | | (47,062 | ) | | (32,496 | ) | | (94,981 | ) | | (684 | ) | | (82,640 | ) | | (85,800 | ) |
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| Total expenses after fees waived | | 2,354,954 | | | 671,097 | | | 1,342,906 | | | 714,285 | | | 199,426 | | | 723,202 | | | 1,304,085 | | | 483,995 | |
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| Net investment income | | 14,602,119 | | | 986,312 | | | 6,961,356 | | | 5,276,994 | | | 4,015,763 | | | 2,356,591 | | | 919,366 | | | 4,937,782 | |
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| Realized and Unrealized Gain (Loss): | | | | | | | | | | | | | | | | | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Investments | | 4,648,508 | | | 4,547 | | | (8,645,220 | )2 | | (848,915 | ) | | (2,201,250 | ) | | (17,618,353 | ) | | 13,170 | | | (5,046,225 | ) |
| Foreign currency transactions | | 25,002 | | | — | | | (2,834,533 | ) | | — | | | — | | | — | | | — | | | (31,305 | ) |
| Financial futures contracts and swaps | | (2,294,474 | ) | | — | | | (423,278 | ) | | (3,467,298 | ) | | — | | | — | | | — | | | (850,854 | ) |
| Short sales | | — | | | — | | | (618,161 | ) | | — | | | — | | | — | | | — | | | — | |
| Written and structured options | | 724,828 | | | — | | | 123,581 | | | 1,289,764 | | | — | | | — | | | — | | | (27,121 | ) |
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| | | 3,103,864 | | | 4,547 | | | (12,397,611 | ) | | (3,026,449 | ) | | (2,201,250 | ) | | (17,618,353 | ) | | 13,170 | | | (5,955,505 | ) |
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| Net change in unrealized appreciation/depreciation on: | | | | | | | | | | | | | | | | | | | | | | | | |
| Investments | | 69,740,553 | | | 43,805,702 | | | 60,560,038 | 3 | | (6,018,978 | ) | | 15,451,356 | | | 47,046,339 | | | — | | | 11,970,317 | |
| Foreign currency transactions | | 60,034 | | | 527 | | | (344,887 | ) | | — | | | — | | | — | | | — | | | 52,238 | |
| Financial futures contracts and swaps | | (1,814,072 | ) | | — | | | (356,153 | ) | | (721,655 | ) | | — | | | — | | | — | | | (426,769 | ) |
| Short sales | | — | | | — | | | (542,635 | ) | | — | | | — | | | — | | | — | | | — | |
| Written and structured options | | 3,055,705 | | | — | | | 90,936 | | | 2,006,064 | | | — | | | — | | | — | | | 1,665,029 | |
| Unfunded corporate loans | | — | | | — | | | — | | | — | | | (9,668 | ) | | — | | | — | | | — | |
| Borrowed bonds | | 173,900 | | | — | | | — | | | 88,571 | | | — | | | — | | | — | | | 71,965 | |
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| | | 71,216,120 | | | 43,806,229 | | | 59,407,299 | | | (4,645,998 | ) | | 15,441,688 | | | 47,046,339 | | | — | | | 13,332,780 | |
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| Total realized and unrealized gain (loss) | | 74,319,984 | | | 43,810,776 | | | 47,009,688 | | | (7,672,447 | ) | | 13,240,438 | | | 29,427,986 | | | 13,170 | | | 7,377,275 | |
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Net Increase (Decrease) in Net Assets Resulting
from Operations | $ | 88,922,103 | | $ | 44,797,088 | | $ | 53,971,044 | | $ | (2,395,453 | ) | $ | 17,256,201 | | $ | 31,784,577 | | $ | 932,536 | | $ | 12,315,057 | |
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| 1 | Consolidated Statement of Operations. |
| 2 | Includes $189,756 loss from affiliates. |
| 3 | Net of $44,578 deferred foreign capital gain tax. |
See Notes to Financial Statements.
70 & 71
BlackRock Series Fund, Inc.Statements of Changes in Net Assets
| | | | | | | | | | | | |
| | BlackRock
Balanced Capital
Portfolio
Year Ended
December 31,
| | BlackRock
Fundamental Growth
Portfolio
Year Ended
December 31,
|
| Increase (Decrease) in Net Assets: | 2009 | 2008 | | 2009 | 2008 |
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| Operations: | | | | | | | | | | | | |
| Net investment income | $ | 14,602,119 | | $ | 20,192,802 | | $ | 986,312 | | $ | 1,334,436 | |
| Net realized gain (loss) | | 3,103,864 | | | (96,870,724 | ) | | 4,547 | | | (31,001,112 | ) |
| Net change in unrealized appreciation/depreciation | | 71,216,120 | | | (126,665,384 | ) | | 43,806,229 | | | (56,096,670 | ) |
| |
| |
| |
| |
| |
| Net increase (decrease) in net assets resulting from operations | | 88,922,103 | | | (203,343,306 | ) | | 44,797,088 | | | (85,763,346 | ) |
| |
| |
| |
| |
| |
| Dividends to Shareholders from: | | | | | | | | | | | | |
| Net investment income | | (14,774,006 | ) | | (19,700,021 | ) | | (991,986 | ) | | (1,250,002 | ) |
| |
| |
| |
| |
| |
| Capital Share Transactions: | | | | | | | | | | | | |
| Net decrease in net assets derived from capital | | | | | | | | | | | | |
| share transactions | | (48,878,725 | ) | | (61,618,354 | ) | | (13,125,175 | ) | | (18,813,214 | ) |
| |
| |
| |
| |
| |
| Net Assets: | | | | | | | | | | | | |
| Total increase (decrease) in net assets | | 25,269,372 | | | (284,661,681 | ) | | 30,679,927 | | | (105,826,562 | ) |
| Beginning of year | | 524,698,426 | | | 809,360,107 | | | 127,952,855 | | | 233,779,417 | |
| |
| |
| |
| |
| |
| End of year | $ | 549,967,798 | | $ | 524,698,426 | | $ | 158,632,782 | | $ | 127,952,855 | |
| |
| |
| |
| |
| |
| Undistributed net investment income | $ | 583,965 | | $ | 224,682 | | $ | 26,307 | | $ | 31,981 | |
| |
| |
| |
| |
| |
| |
| | BlackRock
Global Allocation
Portfolio
Year Ended
December 31,
| | BlackRock
Government Income
Portfolio
Year Ended
December 31,
|
| Increase (Decrease) in Net Assets: | | 20091 | | | 2008 | | | 2009 | | | 2008 | |
|
| Operations: | | | | | | | | | | | | |
| Net investment income | $ | 6,961,356 | | $ | 7,203,275 | | $ | 5,276,994 | | $ | 5,020,198 | |
| Net realized gain (loss) | | (12,397,611 | ) | | 23,832,311 | | | (3,026,449 | ) | | 3,431,935 | |
| Net change in unrealized appreciation/depreciation | | 59,407,299 | | | (101,275,757 | ) | | (4,645,998 | ) | | 3,051,948 | |
| |
| |
| |
| |
| |
| Net increase (decrease) in net assets resulting from operations | | 53,971,044 | | | (70,240,171 | ) | | (2,395,453 | ) | | 11,504,081 | |
| |
| |
| |
| |
| |
| Dividends and Distributions to Shareholders from: | | | | | | | | | | | | |
| Net investment income | | (5,675,855 | ) | | (17,999,984 | ) | | (6,338,931 | ) | | (3,588,711 | ) |
| Net realized gain | | — | | | (22,023,664 | ) | | (325,430 | ) | | — | |
| Tax return of capital | | (1,297,925 | ) | | — | | | — | | | — | |
| |
| |
| |
| |
| |
| Decrease in net assets resulting from dividends and | | | | | | | | | | | | |
| distributions to shareholders | | (6,973,780 | ) | | (40,023,648 | ) | | (6,664,361 | ) | | (3,588,711 | ) |
| |
| |
| |
| |
| |
| Capital Share Transactions: | | | | | | | | | | | | |
| Net increase (decrease) in net assets derived from | | | | | | | | | | | | |
| capital share transactions | | (5,396,226 | ) | | 28,212,811 | | | (14,321,625 | ) | | (14,627,730 | ) |
| |
| |
| |
| |
| |
| Net Assets: | | | | | | | | | | | | |
| Total increase (decrease) in net assets | | 41,601,038 | | | (82,051,008 | ) | | (23,381,439 | ) | | (6,712,360 | ) |
| Beginning of year | | 256,591,226 | | | 338,642,234 | | | 147,877,682 | | | 154,590,042 | |
| |
| |
| |
| |
| |
| End of year | $ | 298,192,264 | | $ | 256,591,226 | | $ | 124,496,243 | | $ | 147,877,682 | |
| |
| |
| |
| |
| |
| Undistributed (distributions in excess of) net investment income | $ | (2,450,756 | ) | $ | (874,638 | ) | $ | 591,897 | | $ | 867,196 | |
| |
| |
| |
| |
| |
1 Consolidated Statements of Changes in Net Assets.
See Notes to Financial Statements.
72
BlackRock Series Fund, Inc.Statements of Changes in Net Assets (Concluded)
| | | | | | | | | | | | |
| | BlackRock
High Income
Portfolio
Year Ended
December 31,
| BlackRock
Large Cap Core
Portfolio
Year Ended
December 31,
|
| Increase (Decrease) in Net Assets: | 2009 | 2008 | 2009 | 2008 |
|
| Operations: | | | | | | | | | | | | |
| Net investment income | $ | 4,015,763 | | $ | 3,843,730 | | $ | 2,356,591 | | $ | 2,779,375 | |
| Net realized loss | | (2,201,250 | ) | | (3,559,227 | ) | | (17,618,353 | ) | | (38,384,554 | ) |
| Net change in unrealized appreciation/depreciation | | 15,441,688 | | | (13,076,147 | ) | | 47,046,339 | | | (70,447,678 | ) |
| |
| |
| |
| |
| |
| Net increase (decrease) in net assets resulting from operations | | 17,256,201 | | | (12,791,644 | ) | | 31,784,577 | | | (106,052,857 | ) |
| |
| |
| |
| |
| |
| Dividends and Distributions to Shareholders from: | | | | | | | | | | | | |
| Net investment income | | (4,001,351 | ) | | (3,878,795 | ) | | (2,440,199 | ) | | (2,500,013 | ) |
| Net realized gain | | — | | | — | | | — | | | (3,900,911 | ) |
| |
| |
| |
| |
| |
| Decrease in net assets resulting from dividends and | | | | | | | | | | | | |
| distributions to shareholders | | (4,001,351 | ) | | (3,878,795 | ) | | (2,440,199 | ) | | (6,400,924 | ) |
| |
| |
| |
| |
| |
| Capital Share Transactions: | | | | | | | | | | | | |
| Net increase (decrease) in net assets derived from | | | | | | | | | | | | |
| capital share transactions | | 5,790,862 | | | (3,094,574 | ) | | (20,864,675 | ) | | (39,703,872 | ) |
| |
| |
| |
| |
| |
| Net Assets: | | | | | | | | | | | | |
| Total increase (decrease) in net assets | | 19,045,712 | | | (19,765,013 | ) | | 8,479,703 | | | (152,157,653 | ) |
| Beginning of year | | 31,057,714 | | | 50,822,727 | | | 159,086,298 | | | 311,243,951 | |
| |
| |
| |
| |
| |
| End of year | $ | 50,103,426 | | $ | 31,057,714 | | $ | 167,566,001 | | | 159,086,298 | |
| |
| |
| |
| |
| |
| Undistributed (distributions in excess of) net investment income | $ | (48,699 | ) | $ | (61,365 | ) | $ | 356,584 | | $ | 440,192 | |
| |
| |
| |
| |
| |
| |
| | BlackRock
Money Market
Portfolio
Year Ended
December 31,
| BlackRock
Total Return
Portfolio
Year Ended
December 31,
|
| Increase (Decrease) in Net Assets: | 2009 | 2008 | 2009 | 2008 |
|
| Operations: | | | | | | | | | | | | |
| Net investment income | $ | 919,366 | | $ | 8,811,090 | | $ | 4,937,782 | | $ | 5,874,685 | |
| Net realized gain (loss) | | 13,170 | | | 19,751 | | | (5,955,505 | ) | | 441,136 | |
| Net change in unrealized appreciation/depreciation | | — | | | — | | | 13,332,780 | | | (15,762,736 | ) |
| |
| |
| |
| |
| |
| Net increase (decrease) in net assets resulting from operations | | 932,536 | | | 8,830,841 | | | 12,315,057 | | | (9,446,915 | ) |
| |
| |
| |
| |
| |
| Dividends and Distributions to Shareholders from: | | | | | | | | | | | | |
| Net investment income | | (941,891 | ) | | (8,811,090 | ) | | (5,179,334 | ) | | (6,178,111 | ) |
| Net realized gain | | (1,825 | ) | | — | | | — | | | — | |
| |
| |
| |
| |
| |
| Decrease in net assets resulting from dividends and | | | | | | | | | | | | |
| distributions to shareholders | | (943,716 | ) | | (8,811,090 | ) | | (5,179,334 | ) | | (6,178,111 | ) |
| |
| |
| |
| |
| |
| Capital Share Transactions: | | | | | | | | | | | | |
| Net increase (decrease) in net assets derived from | | | | | | | | | | | | |
| capital share transactions | | (49,193,218 | ) | | 11,014,936 | | | (21,688,607 | ) | | 9,675,245 | |
| |
| |
| |
| |
| |
| Net Assets: | | | | | | | | | | | | |
| Total increase (decrease) in net assets | | (49,204,398 | ) | | 11,034,687 | | | (14,552,884 | ) | | (5,949,781 | ) |
| Beginning of year | | 312,788,425 | | | 301,753,738 | | | 106,108,257 | | | 112,058,038 | |
| |
| |
| |
| |
| |
| End of year | $ | 263,584,027 | | $ | 312,788,425 | | $ | 91,555,373 | | $ | 106,108,257 | |
| |
| |
| |
| |
| |
| Undistributed net investment income | | — | | $ | 22,525 | | $ | 397,346 | | $ | 292,465 | |
| |
| |
| |
| |
| |
See Notes to Financial Statements.
73
BlackRock Series Fund, Inc.Financial Highlights
| | | | | | | | | | | | | | | |
| | BlackRock Balanced Capital Portfolio
Year Ended December 31,
|
| | 2009 | 2008 | 2007 | | 2006 | 2005 |
|
| Per Share Operating Performance: | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | $ | 11.43 | | $ | 16.25 | | $ | 15.83 | | $ | 14.24 | | $ | 13.95 | |
| |
| |
| |
| |
| |
| |
| Net investment income1 | | 0.34 | | | 0.43 | | | 0.44 | | | 0.40 | | | 0.31 | |
| Net realized and unrealized gain (loss) | | 1.79 | | | (4.80 | ) | | 0.45 | | | 1.61 | | | 0.31 | |
| |
| |
| |
| |
| |
| |
| Net increase (decrease) from investment operations | | 2.13 | | | (4.37 | ) | | 0.89 | | | 2.01 | | | 0.62 | |
| |
| |
| |
| |
| |
| |
| Dividends from net investment income | | (0.36 | ) | | (0.45 | ) | | (0.47 | ) | | (0.42 | ) | | (0.33 | ) |
| |
| |
| |
| |
| |
| |
| Net asset value, end of year | $ | 13.20 | | $ | 11.43 | | $ | 16.25 | | $ | 15.83 | | $ | 14.24 | |
| |
| |
| |
| |
| |
| |
| Total Investment Return:2 | | | | | | | | | | | | | | | |
| Based on net asset value | | 18.64% | | | (26.84)% | | | 5.64% | | 14.09% | | | 4.45% | |
| |
| |
| |
| |
| |
| |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | |
| Total expenses | | 0.46% | | | 0.50% | | | 0.41% | | | 0.42% | | | 0.42% | |
| |
| |
| |
| |
| |
| |
| Total expenses after fees waived | | 0.46% | | | 0.50% | | | 0.41% | | | 0.42% | | | 0.42% | |
| |
| |
| |
| |
| |
| |
| Total expenses after fees waived and excluding | | | | | | | | | | | | | | | |
| interest expense | | 0.45% | | | 0.42% | | | 0.41% | | | 0.42% | | | 0.42% | |
| |
| |
| |
| |
| |
| |
| Net investment income | | 2.84% | | | 2.99% | | | 2.63% | | | 2.69% | | | 2.19% | |
| |
| |
| |
| |
| |
| |
| Supplemental Data: | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | $ | 549,968 | | $ | 524,698 | | $ | 809,360 | | $ | 862,210 | | $ | 847,520 | |
| |
| |
| |
| |
| |
| |
| Portfolio turnover | | 461% | 3 | | 383% | 4 | | 451% | | | 113% | | | 90% | |
| |
| |
| |
| |
| |
| |
| 1 | Based on average shares outstanding. |
| 2 | Where applicable, total investment returns exclude insurance-related fees and expenses and include the reinvestment of dividends and distributions. |
| 3 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 335%. |
| 4 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 283%. |
| | | | | | | | | | | | | | | |
| |
BlackRock Fundamental Growth Portfolio
Year Ended December 31,
|
| | 2009 | | 2008 | 2007 | | 2006 | 2005 |
|
| Per Share Operating Performance: | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | $ | 16.99 | | $ | 28.05 | | $ | 23.55 | | $ | 22.69 | | $ | 21.19 | |
| |
| |
| |
| |
| |
| |
| Net investment income1 | | 0.14 | | | 0.17 | | | 0.17 | | | 0.21 | | | 0.19 | |
| Net realized and unrealized gain (loss) | | 6.22 | | | (11.06 | ) | | 4.50 | | | 0.88 | | | 1.52 | |
| |
| |
| |
| |
| |
| |
| Net increase (decrease) from investment operations | | 6.36 | | | (10.89 | ) | | 4.67 | | | 1.09 | | | 1.71 | |
| |
| |
| |
| |
| |
| |
| Dividends from net investment income | | (0.15 | ) | | (0.17 | ) | | (0.17 | ) | | (0.23 | ) | | (0.21 | ) |
| |
| |
| |
| |
| |
| |
| Net asset value, end of year | $ | 23.20 | | $ | 16.99 | | $ | 28.05 | | $ | 23.55 | | $ | 22.69 | |
| |
| |
| |
| |
| |
| |
| Total Investment Return:2 | | | | | | | | | | | | | | | |
| Based on net asset value | | 37.40% | | | (38.81)% | | | 19.83% | | | 4.78% | | | 8.06% | |
| |
| |
| |
| |
| |
| |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | |
| Total expenses | | 0.49% | | | 0.44% | | | 0.43% | | | 0.43% | | | 0.43% | |
| |
| |
| |
| |
| |
| |
| Total expenses after fees waived | | 0.49% | | | 0.44% | | | 0.43% | | | 0.43% | | | 0.43% | |
| |
| |
| |
| |
| |
| |
| Net investment income | | 0.72% | | | 0.71% | | | 0.66% | | | 0.90% | | | 0.88% | |
| |
| |
| |
| |
| |
| |
| Supplemental Data: | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | $ | 158,633 | | $ | 127,953 | | $ | 233,779 | | $ | 228,741 | | $ | 257,059 | |
| |
| |
| |
| |
| |
| |
| Portfolio turnover | | 81% | | | 116% | | | 81% | | | 75% | | | 79% | |
| |
| |
| |
| |
| |
| |
| 1 | Based on average shares outstanding. |
| 2 | Where applicable, total investment returns exclude insurance-related fees and expenses and include the reinvestment of dividends and distributions. |
See Notes to Financial Statements.
74
BlackRock Series Fund, Inc.Financial Highlights (Continued)
| | | | | | | | | | | | | | | |
| | BlackRock Global Allocation Portfolio
Year Ended December 31,
|
| | | 20091 | | | 2008 | | | 2007 | | | 2006 | | | 2005 | |
|
| Per Share Operating Performance: | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | $ | 11.97 | | $ | 17.95 | | $ | 17.03 | | $ | 16.35 | | $ | 15.41 | |
| |
| |
| |
| |
| |
| |
| Net investment income2 | | 0.34 | | | 0.38 | | | 0.40 | | | 0.43 | | | 0.37 | |
| Net realized and unrealized gain (loss) | | 2.35 | | | (4.14 | ) | | 2.65 | | | 2.32 | | | 1.29 | |
| |
| |
| |
| |
| |
| |
| Net increase (decrease) from investment operations | | 2.69 | | | (3.76 | ) | | 3.05 | | | 2.75 | | | 1.66 | |
| |
| |
| |
| |
| |
| |
| Dividends and distributions from: | | | | | | | | | | | | | | | |
| Net investment income | | (0.28 | ) | | (1.00 | ) | | (0.65 | ) | | (0.53 | ) | | (0.52 | ) |
| Net realized gain | | — | | | (1.22 | ) | | (1.48 | ) | | (1.54 | ) | | (0.20 | ) |
| Tax return of capital | | (0.06 | ) | | — | | | — | | | — | | | — | |
| |
| |
| |
| |
| |
| |
| Total dividends and distributions | | (0.34 | ) | | (2.22 | ) | | (2.13 | ) | | (2.07 | ) | | (0.72 | ) |
| |
| |
| |
| |
| |
| |
| Net asset value, end of year | $ | 14.32 | | $ | 11.97 | | $ | 17.95 | | $ | 17.03 | | $ | 16.35 | |
| |
| |
| |
| |
| |
| |
| Total Investment Return:3 | | | | | | | | | | | | | | | |
| Based on net asset value | | 22.59% | | | (20.75)% | | | 17.96% | | 16.89 | %4 | | 10.84% | |
| |
| |
| |
| |
| |
| |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | |
| Total expenses | | 0.53% | | | 0.60% | | | 0.51% | | | 0.50% | | | 0.51% | |
| |
| |
| |
| |
| |
| |
| Total expenses after fees waived | | 0.51% | | | 0.55% | | | 0.51% | | | 0.49% | | | 0.49% | |
| |
| |
| |
| |
| |
| |
| Total expenses after fees waived and excluding | | | | | | | | | | | | | | | |
| dividend expense | | 0.50% | | | 0.50% | | | 0.51% | | | 0.49% | | | 0.49% | |
| |
| |
| |
| |
| |
| |
| Net investment income | | 2.63% | | | 2.31% | | | 2.21% | | | 2.47% | | | 2.36% | |
| |
| |
| |
| |
| |
| |
| Supplemental Data: | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | $ | 298,192 | | $ | 256,591 | | $ | 338,642 | | $ | 305,221 | | $ | 263,057 | |
| |
| |
| |
| |
| |
| |
| Portfolio turnover | | 39% | | | 53% | | | 40% | | | 102% | | | 38% | |
| |
| |
| |
| |
| |
| |
| 1 | Consolidated financial highlights. |
| 2 | Based on average shares outstanding. |
| 3 | Where applicable, total investment returns exclude insurance-related fees and expenses and include the reinvestment of dividends and distributions. |
| 4 | The previous investment advisor reimbursed the Portfolio related to a regulatory issue on an investment, which had a minimal impact on total investment return. |
| | | | | | | | | | | | | | | |
| |
BlackRock Government Income Portfolio
Year Ended December 31,
|
| | 2009 | 2008 | 2007 | | 2006 | 2005 |
|
| Per Share Operating Performance: | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | $ | 11.75 | | $ | 11.15 | | $ | 11.20 | | $ | 11.27 | | $ | 11.41 | |
| |
| |
| |
| |
| |
| |
| Net investment income1 | | 0.43 | | | 0.39 | | | 0.54 | | | 0.51 | | | 0.44 | |
| Net realized and unrealized gain (loss) | | (0.62 | ) | | 0.49 | | | (0.04 | ) | | (0.06 | ) | | (0.05 | ) |
| |
| |
| |
| |
| |
| |
| Net increase (decrease) from investment operations | | (0.19 | ) | | 0.88 | | | 0.50 | | | 0.45 | | | 0.39 | |
| |
| |
| |
| |
| |
| |
| Dividends and distributions from: | | | | | | | | | | | | | | | |
| Net investment income | | (0.51 | ) | | (0.28 | ) | | (0.55 | ) | | (0.52 | ) | | (0.53 | ) |
| Net realized gain | | (0.03 | ) | | — | | | — | | | — | | | — | |
| |
| |
| |
| |
| |
| |
| Total dividends and distributions | | (0.54 | ) | | (0.28 | ) | | (0.55 | ) | | (0.52 | ) | | (0.53 | ) |
| |
| |
| |
| |
| |
| |
| Net asset value, end of year | $ | 11.02 | | $ | 11.75 | | $ | 11.15 | | $ | 11.20 | | $ | 11.27 | |
| |
| |
| |
| |
| |
| |
| Total Investment Return:2 | | | | | | | | | | | | | | | |
| Based on net asset value | | (1.61)% | | | 8.01% | | | 4.66% | | | 4.10% | | | 3.44% | |
| |
| |
| |
| |
| |
| |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | |
| Total expenses | | 0.53% | | | 0.67% | | | 0.51% | | | 0.44% | | | 0.44% | |
| |
| |
| |
| |
| |
| |
| Total expenses after fees waived | | 0.51% | | | 0.67% | | | 0.50% | | | 0.44% | | | 0.44% | |
| |
| |
| |
| |
| |
| |
| Total expenses after fees waived and excluding | | | | | | | | | | | | | | | |
| interest expense | | 0.49% | | | 0.48% | | | 0.48% | | | 0.44% | | | 0.44% | |
| |
| |
| |
| |
| |
| |
| Net investment income | | 3.76% | | | 3.47% | | | 4.93% | | | 4.60% | | | 3.85% | |
| |
| |
| |
| |
| |
| |
| Supplemental Data: | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | $ | 124,496 | | $ | 147,878 | | $ | 154,590 | | $ | 168,566 | | $ | 182,900 | |
| |
| |
| |
| |
| |
| |
| Portfolio turnover | | 2,598% | 3 | | 6,059% | 4 | | 2,313% | | | 425% | | | 79% | |
| |
| |
| |
| |
| |
| |
| 1 | Based on average shares outstanding. |
| 2 | Where applicable, total investment returns exclude insurance-related fees and expenses and include the reinvestment of dividends and distributions. |
| 3 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 1,947%. |
| 4 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 5,555%. |
See Notes to Financial Statements.
75
BlackRock Series Fund, Inc.Financial Highlights (Continued)
| | | | | | | | | | | | | | | |
| | BlackRock High Income Portfolio
Year Ended December 31,
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| | 2009 | | 2008 | 2007 | 2006 | 2005 |
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| Per Share Operating Performance: | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | $ | 3.56 | | $ | 5.47 | | $ | 5.76 | | $ | 5.70 | | $ | 6.09 | |
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| Net investment income | | 0.43 | | | 0.43 | | | 0.45 | | | 0.43 | | | 0.46 | |
| Net realized and unrealized gain (loss) | | 1.39 | | | (1.91 | ) | | (0.29 | ) | | 0.06 | | | (0.34 | ) |
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| Net increase (decrease) from investment operations | | 1.82 | | | (1.48 | ) | | 0.16 | | | 0.49 | | | 0.12 | |
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| Dividends from net investment income | | (0.42 | ) | | (0.43 | ) | | (0.45 | ) | | (0.43 | ) | | (0.51 | ) |
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| Net asset value, end of year | $ | 4.96 | | $ | 3.56 | | $ | 5.47 | | $ | 5.76 | | $ | 5.70 | |
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| Total Investment Return:1 | | | | | | | | | | | | | | | |
| Based on net asset value | | 53.68% | | | (28.61)% | | | 2.75% | | | 8.98% | | | 2.14% | |
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| Ratios to Average Net Assets: | | | | | | | | | | | | | | | |
| Total expenses | | 0.73% | | | 0.66% | | | 0.56% | | | 0.53% | | | 0.52% | |
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| Total expenses after fees waived | | 0.49% | | | 0.50% | | | 0.50% | | | 0.50% | | | 0.50% | |
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| Net investment income | | 9.91% | | | 8.83% | | | 7.84% | | | 7.57% | | | 7.78% | |
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| Supplemental Data: | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | $ | 50,103 | | $ | 31,058 | | $ | 50,823 | | $ | 58,007 | | $ | 58,147 | |
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| Portfolio turnover | | 107% | | | 53% | | | 55% | | | 66% | | | 33% | |
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| 1 | Where applicable, total investment returns exclude insurance-related fees and expenses and include the reinvestment of dividends and distributions. |
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BlackRock Large Cap Core Portfolio
Year Ended December 31,
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| | 2009 | 2008 | 2007 | | 2006 | 2005 |
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| Per Share Operating Performance: | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | $ | 14.02 | | $ | 23.58 | | $ | 25.18 | | $ | 23.96 | | $ | 21.25 | |
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| Net investment income1 | | 0.23 | | | 0.24 | | | 0.28 | | | 0.25 | | | 0.16 | |
| Net realized and unrealized gain (loss) | | 2.98 | | | (9.21 | ) | | 1.83 | | | 3.36 | | | 2.71 | |
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| Net increase (decrease) from investment operations | | 3.21 | | | (8.97 | ) | | 2.11 | | | 3.61 | | | 2.87 | |
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| Dividends and distributions from: | | | | | | | | | | | | | | | |
| Net investment income | | (0.25 | ) | | (0.23 | ) | | (0.29 | ) | | (0.26 | ) | | (0.16 | ) |
| Net realized gain | | — | | | (0.36 | ) | | (3.42 | ) | | (2.13 | ) | | — | |
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| Total dividends and distributions | | (0.25 | ) | | (0.59 | ) | | (3.71 | ) | | (2.39 | ) | | (0.16 | ) |
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| Net asset value, end of year | $ | 16.98 | | $ | 14.02 | | $ | 23.58 | | $ | 25.18 | | $ | 23.96 | |
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| Total Investment Return:2 | | | | | | | | | | | | | | | |
| Based on net asset value | | 22.90% | | | (37.95)% | | | 8.29% | | | 15.06% | | | 13.49% | |
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| Ratios to Average Net Assets: | | | | | | | | | | | | | | | |
| Total expenses | | 0.47% | | | 0.45% | | | 0.43% | | | 0.43% | | | 0.43% | |
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| Total expenses after fees waived | | 0.47% | | | 0.44% | | | 0.43% | | | 0.43% | | | 0.43% | |
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| Net investment income | | 1.54% | | | 1.22% | | | 1.05% | | | 0.99% | | | 0.72% | |
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| Supplemental Data: | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | $ | 167,566 | | $ | 159,086 | | $ | 311,244 | | $ | 320,187 | | $ | 307,946 | |
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| Portfolio turnover | | 150% | | | 104% | | | 74% | | | 64% | | | 80% | |
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| 1 | Based on average shares outstanding. |
| 2 | Where applicable, total investment returns exclude insurance-related fees and expenses and include the reinvestment of dividends and distributions. |
See Notes to Financial Statements.
76
BlackRock Series Fund, Inc.Financial Highlights (Concluded)
| | | | | | | | | | | | | | | |
| | BlackRock Money Market Portfolio
Year Ended December 31,
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| | 2009 | 2008 | 2007 | | 2006 | 2005 |
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| Per Share Operating Performance: | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | $ | 1.00 | | $ | 1.00 | | $ | 1.00 | | $ | 1.00 | | $ | 1.0000 | |
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| Net investment income | | 0.0030 | | | 0.0278 | | $ | 0.0492 | | $ | 0.0460 | | $ | 0.0284 | |
| Net realized and unrealized gain | | 0.0000 | | | 0.0000 | | | 0.0002 | | | 0.0003 | | | 0.0001 | |
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| Net increase from investment operations | | 0.0030 | | | 0.0278 | | | 0.0494 | | | 0.0463 | | | 0.0285 | |
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| Dividends and distributions from: | | | | | | | | | | | | | | | |
| Net investment income | | (0.0031 | ) | | (0.0278 | ) | | (0.0492 | ) | | (0.0460 | ) | | (0.0284 | ) |
| Net realized gain | | (0.0000 | ) | | — | | | — | | | — | | | — | |
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| Total dividends and distributions | | (0.0031 | ) | | (0.0278 | ) | | (0.0492 | ) | | (0.0460 | ) | | (0.0284 | ) |
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| Net asset value, end of year | $ | 1.00 | | $ | 1.00 | | $ | 1.00 | | $ | 1.00 | | $ | 1.00 | |
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| Total Investment Return:1 | | | | | | | | | | | | | | | |
| Based on net asset value | | 0.32% | | | 2.83% | | | 5.03% | | | 4.66% | | | 2.84% | |
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| Ratios to Average Net Assets: | | | | | | | | | | | | | | | |
| Total expenses | | 0.48% | | | 0.43% | | | 0.41% | | | 0.41% | | | 0.42% | |
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| Total expenses after fees waived | | 0.45% | | | 0.43% | | | 0.41% | | | 0.41% | | | 0.42% | |
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| Net investment income | | 0.32% | | | 2.77% | | | 4.92% | | | 4.62% | | | 2.82% | |
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| Supplemental Data: | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | $ | 263,584 | | $ | 312,788 | | $ | 301,754 | | $ | 303,180 | | $ | 303,999 | |
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| 1 | Where applicable, total investment returns exclude insurance-related fees and expenses and include the reinvestment of dividends and distributions. |
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BlackRock Total Return Portfolio
Year Ended December 31,
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| | 2009 | 2008 | 2007 | | 2006 | 2005 |
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| Per Share Operating Performance: | | | | | | | | | | | | | | | |
| Net asset value, beginning of year | $ | 9.94 | | $ | 11.37 | | $ | 11.41 | | $ | 11.45 | | $ | 11.85 | |
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| Net investment income1 | | 0.55 | | | 0.54 | | | 0.55 | | | 0.52 | | | 0.44 | |
| Net realized and unrealized gain (loss) | | 0.88 | | | (1.42 | ) | | (0.05 | ) | | (0.05 | ) | | (0.21 | ) |
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| Net increase (decrease) from investment operations | | 1.43 | | | (0.88 | ) | | 0.50 | | | 0.47 | | | 0.23 | |
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| Dividends and distributions from: | | | | | | | | | | | | | | | |
| Net investment income | | (0.58 | ) | | (0.55 | ) | | (0.54 | ) | | (0.51 | ) | | (0.58 | ) |
| Net realized gain | | — | | | — | | | — | | | — | | | (0.05 | ) |
| Tax return of capital | | — | | | — | | | — | | | (0.00 | )2 | | — | |
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| Total dividends and distributions | | (0.58 | ) | | (0.55 | ) | | (0.54 | ) | | (0.51 | ) | | (0.63 | ) |
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| Net asset value, end of year | $ | 10.79 | | $ | 9.94 | | $ | 11.37 | | $ | 11.41 | | $ | 11.45 | |
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| Total Investment Return:3 | | | | | | | | | | | | | | | |
| Based on net asset value | | 14.81% | | | (7.77)% | | | 4.47% | | | 4.37% | | | 2.01% | |
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| Ratios to Average Net Assets: | | | | | | | | | | | | | | | |
| Total expenses | | 0.62% | | | 0.57% | | | 0.49% | | | 0.52% | | | 0.50% | |
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| Total expenses after fees waived | | 0.52% | | | 0.54% | | | 0.49% | | | 0.50% | | | 0.49% | |
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| Total expenses after fees waived and excluding | | | | | | | | | | | | | | | |
| interest expense | | 0.50% | | | 0.50% | | | 0.49% | | | 0.50% | | | 0.49% | |
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| Net investment income | | 5.35% | | | 5.03% | | | 4.88% | | | 4.65% | | | 3.73% | |
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| Supplemental Data: | | | | | | | | | | | | | | | |
| Net assets, end of year (000) | $ | 91,555 | | $ | 106,108 | | $ | 112,058 | | $ | 116,151 | | $ | 122,838 | |
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| Portfolio turnover | | 847% | 4 | | 871% | 5 | | 281% | | | 312% | | | 236% | |
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| 1 | Based on average shares outstanding. |
| 2 | Amount is less than $(0.01) per share. |
| 3 | Where applicable, total investment returns exclude insurance-related fees and expenses and include the reinvestment of dividends and distributions. |
| 4 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 568%. |
| 5 | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 607%. |
See Notes to Financial Statements.
77
BlackRock Series Fund, Inc.Notes to Financial Statements
1. Organization and Significant Accounting Policies:
BlackRock Series Fund, Inc. (the “Fund”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, open-end management investment company, offering eight separate portfolios (referred to as the “Portfolios” or individually as a “Portfolio”). The Fund is organized as a Maryland corporation. The Fund’s financial statements are prepared in conformity with generally accepted accounting principles of the United States of America, which may require the use of management accruals and estimates. Actual results may differ from these estimates. The Fund offers shares to insurance companies for their separate accounts to fund benefits under certain variable life insurance contracts. The following is a summary of significant accounting policies followed by the Fund:
Valuation: The Portfolios’ policy is to value instruments at fair value. BlackRock Money Market Portfolio investments are valued under the amortized cost method which approximates current market value in accordance with Rule 2a-7 of the 1940 Act. Under this method, securities are valued at cost when purchased and thereafter, a constant proportionate amortization of any discount or premium is recorded until the maturity of the security. The Portfolio seeks to maintain its net asset value per share at $1.00, although there is no assurance that it will be able to do so on a continuing basis.
BlackRock Balanced Capital Portfolio, BlackRock Fundamental Growth Portfolio, BlackRock Global Allocation Portfolio, BlackRock Government Income Portfolio, BlackRock High Income Portfolio, BlackRock Large Cap Core Portfolio, and BlackRock Total Return Portfolio:
The Portfolios value their bond investments on the basis of last available bid prices or current market quotations provided by dealers or pricing services selected under the supervision of the Fund’s Board of Directors (the “Board”). Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures based on valuation technology commonly employed in the market for such investments. The fair value of asset-backed and mortgage-backed securities is estimated based on models. The models consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. To be announced (“TBA”) commitments are valued at the current market value of the underlying securities. Financial futures contracts traded on exchanges are valued at their last sale price. Swap agreements are valued utilizing quotes received daily by the Portfolios’ pricing service or through brokers, which are derived using daily swap curves and trades of underlying securities. Investments in open-end investment companies are valued at net asset value each business day. Short-term securities with maturities less than 60 days may be valued at amortized cost, which approximates fair value.
Certain Portfolios value their investments in BlackRock Liquidity Series, LLC Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon their pro rata ownership in the net assets of the underlying fund. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. The Money Market Series’ investments will follow the parameters of investments by a money market fund that is subject to Rule 2a-7 promulgated by the Securities and Exchange Commission (“SEC”) under the 1940 Act. The Portfolios may withdraw up to 25% of their investment daily, although the manager of the Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day.
Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the New York Stock Exchange (“NYSE”). Foreign currency exchange contracts are valued at the mid between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.
Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available 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 such prior day’s price no longer reflects the fair value of the security.
78
BlackRock Series Fund, Inc.Notes to Financial Statements (Continued)
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 such prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and swaptions are valued by an independent pricing service or through brokers using a mathematical model which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.
In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment or is not available, the investment will be valued by a method approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the investment advisor and/or sub-advisor seeks to determine the price that each Portfolio might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant.
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. The values of such instruments used in computing the net assets of each Portfolio are determined as of such times. Occasionally, events affecting the values of such instruments may occur between the times at which they are determined and the close of business on the NYSE that may not be reflected in the computation of each Portfolio’s net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Assets and be valued at their fair value as determined in good faith by the Board or by the investment advisor using a pricing service and/or procedures approved by the Board.
Foreign Currency Transactions: Foreign currency amounts are translated into United States dollars on the following basis: (i) market value of investment securities, assets and liabilities at the current rate of exchange; and (ii) purchases and sales of investment securities, income and expenses at the rates of exchange prevailing on the respective dates of such transactions.
The Portfolios report foreign currency related transactions as components of realized gain (loss) for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.
Asset-Backed and Mortgage-Backed Securities: Certain Portfolios may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally 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 subject to such a prepayment feature will have the effect of shortening the maturity of the security. If a Portfolio has purchased such an asset-backed security at a premium, a faster than anticipated pre-payment rate could result in a loss of principal to the extent of the premium paid.
Certain Portfolios may purchase certain mortgage pass-through securities. There are a number of important differences among the agencies and instrumentalities of the US Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by the Government National Mortgage Association (“GNMA”) are guaranteed as to the timely payment of principal and interest by GNMA and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by the Federal Home Loan Mortgage Corporation (“FHLMC”) and Federal National Mortgage Association (“FNMA”) including FNMA guaranteed Mortgage Pass-Through Certificates which are solely the obligations of the FNMA, are not backed by or entitled to the full faith and credit of the United States and are supported by the right of the issuer to borrow from the Treasury.
79
BlackRock Series Fund, Inc.Notes to Financial Statements (Continued)
Certain Portfolios invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Please see the Schedules of Investments for these securities. Changes in economic conditions, including delinquencies and/or defaults of assets underlying these securities, can affect the value, income and/or liquidity of such positions.
Multiple Class Pass-Through Securities: Certain Portfolios may invest in multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities. These multiple class securities may be issued by GNMA, US 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, and multiple class pass-through securities represent direct ownership interests in, a pool of residential or commercial mortgage loans or mortgage pass-through securities (the “Mortgage Assets”), the payments on which are used to make payments on the CMOs or multiple pass-through securities. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes (“PACs”) and targeted amortization classes (“TACs”). IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the investment 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 pre-payments of principal, the Portfolios may not fully recoup their initial investment in IOs.
Stripped Mortgage-Backed Securities: Certain Portfolios may invest in stripped mortgage-backed securities issued by the US government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. The Portfolios also may invest in stripped mortgage-backed securities that are privately issued.
Capital Trusts: These securities are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. These securities can have a rating that is slightly below that of the issuing company’s senior debt securities.
Preferred Stock: Certain Portfolios may invest in preferred stocks. Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.
Floating Rate Loans: Certain Portfolios may invest in floating rate loans, which are generally non-investment grade, made by banks, other financial institutions, and privately and publicly offered corporations. Floating rate loans are senior in the debt structure of a corporation. Floating rate loans generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally (i) the lending rate offered by one or more European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more US banks or (iii) the certificate of deposit rate. The Portfolios consider these investments to be investments in debt securities for purposes of their investment policies.
80
BlackRock Series Fund, Inc.Notes to Financial Statements (Continued)
The Portfolios earn and/or pay facility and other fees on floating rate loans. Other fees earned/paid include commitment, amendment, consent and prepayment penalty fees. Facility, commitment and amendment fees are typically amortized over the term of the loan. Consent fees and various other fees are recorded as income. Prepayment penalty fees are recorded as realized gains. When the Portfolios buy a floating rate loan it may receive a facility fee and when it sells a floating rate loan it may pay a facility fee. On an ongoing basis, the Portfolios may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a floating rate loan. In certain circumstances, the Portfolios may receive a prepayment penalty fee upon the prepayment of a floating rate loan by a borrower. Other fees received by the Portfolios may include covenant waiver fees and covenant modification fees.
The Portfolios may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
Floating rate loans are usually freely callable at the issuer’s option. The Portfolios may invest in such loans in the form of participations in loans (“Participations”) and assignments of all or a portion of loans from third parties. Participations typically will result in the Portfolios having a contractual relationship only with the lender, not with the borrower. The Portfolios will have the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower.
In connection with purchasing Participations, the Portfolios generally will have no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loans, nor any rights of offset against the borrower, and the Portfolios may not benefit directly from any collateral supporting the loan in which it has purchased the Participation.
As a result, the Portfolios will assume the credit risk of both the borrower and the lender that is selling the Participation. The Portfolios’ investments in loan participation interests involve the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, the Portfolios may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower.
Forward Commitments and When-Issued Delayed Delivery Securities: Certain Portfolios may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Portfolios may purchase securities under such conditions only with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Portfolios may be required to pay more at settlement than the security is worth. In addition, the purchaser is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed-delivery basis the Portfolios assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Portfolios’ maximum amount of loss is the unrealized gain of the commitment, which is shown on the Schedules of Investments, if any.
Mortgage Dollar Roll Transactions: Certain Portfolios may sell mortgage-backed securities and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, the Portfolios will not be entitled to receive interest and principal payments on the securities sold. The Portfolios account for dollar roll transactions as purchases and sales and realize gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that each Portfolio is required to purchase may decline below the agreed upon repurchase price of those securities.
Treasury Roll Transactions: A treasury roll transaction involves the sale of a Treasury security, with an agreement to repurchase the same security at an agreed upon price and date. Treasury rolls constitute a borrowing and the difference between the sale and repurchase prices represents interest expense at an agreed upon rate. Whether such a transaction produces a positive impact on performance depends upon whether the income and gains on the securities purchased with the proceeds received from the sale of the security exceeds the interest expense incurred by the Portfolios. Treasury rolls are not considered purchases and sales and any gains or losses incurred on the treasury rolls will be deferred until the treasury securities are disposed.
81
BlackRock Series Fund, Inc.Notes to Financial Statements (Continued)
Treasury roll transactions involve the risk that the market value of the securities that the Portfolios are required to purchase may decline below the agreed upon purchase price of those securities. If investment performance of securities purchased with proceeds from these transactions does not exceed the income, capital appreciation and gain or loss that would have been realized on the securities sold as part of the treasury roll, the use of this technique will adversely impact the investment performance of the Portfolios.
Repurchase Agreements: Certain Portfolios may invest in repurchase agreements, under which the counterparty agrees to repurchase the security at a mutually agreed upon time and price. The counterparty will be required on a daily basis to maintain the value of the securities subject to the agreement at no less than the repurchase price. The agreements are conditioned upon the collateral being deposited under the Federal Reserve book entry system or held in a segregated account by the Portfolios’ custodian. In the event the counterparty defaults and the fair value of the collateral declines, the Portfolio could experience losses, delays and costs in liquidating the collateral.
Reverse Repurchase Agreements: Certain Portfolios may enter into reverse repurchase agreements with qualified third party broker-dealers. In a reverse repurchase agreement, the Portfolios sell securities to a bank or broker-dealer and agree to repurchase the securities at a mutually agreed upon date and price. Certain agreements have an open-ended maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. The Portfolios may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities that the Portfolio are obligated to repurchase under the agreement may decline below the repurchase price. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Portfolios’ use of the proceeds of the agreement may be restricted while the other party, or its trustee or receiver, determines whether or not to enforce the Portfolios’ obligation to repurchase the securities.
Short Sales: When a Portfolio engages in a short sale, an amount equal to the proceeds received by the Portfolio is reflected as an asset and an equivalent liability. The amount of the liability is subsequently “marked to market” to reflect the market value of the short sale. When the Portfolio makes a short sale, it may borrow the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the sale. The Portfolio maintains a segregated account of securities as collateral for the short sales. The Portfolio is exposed to market risk based on the amount, if any, that the market value of the security exceeds the market value of the securities in the segregated account. Thus, a short sale of a security involves the risk that instead of declining, the price of the security sold short will rise. The short sale of securities involves the possibility of a theoretically unlimited loss since there is a theoretically unlimited potential for the market price of the security sold short to increase. The Portfolio is required to repay the counterparty any dividends or interest received on the security sold short. A gain, limited to the price at which a Portfolio sold the security short, or a loss, unlimited as to the dollar amount, will be recognized upon the termination of a short sale if the market price is greater or less than the proceeds originally received.
TBA Commitments: Certain Portfolios may enter into TBA commitments to purchase or sell mortgage-backed securities for a fixed price at a future date. TBA commitments are considered securities in themselves, and involve a risk of loss if the value of the security to be purchased or sold declines or increases prior to settlement date, which is in addition to the risk of decline in the value of the Portfolio’s other assets.
Borrowed Bond Agreements: In a borrowed bond agreement, certain Portfolios may borrow securities from a third party, with the commitment that they will be returned to the lender on an agreed-upon date. Borrowed bond agreements are primarily entered into to settle short positions. In a borrowed bond agreement, the Portfolio’s prime broker or third party broker takes possession of the underlying collateral securities or cash to settle such short positions. The value of the underlying collateral securities or cash approximates the principal amount of the borrowed bond transaction, including accrued interest. To the extent that borrowed bond transactions exceed one business day, the value of the collateral with any counterparty is marked to market on a daily basis to ensure the adequacy of the collateral. If the lender defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the lender of the security, realization of the collateral by the Portfolio may be delayed or limited.
82
BlackRock Series Fund, Inc.Notes to Financial Statements (Continued)
Zero Coupon Bonds: Certain Portfolios may invest in zero-coupon bonds, which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon bonds may experience greater volatility in market value than similar maturity debt obligations which provide for regular interest payments.
Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the SEC require that each Portfolio either delivers collateral or segregates assets in connection with certain investments (e.g., dollar rolls, TBA’s beyond normal settlement, options, written options, structured options, swaps, forward foreign currency contracts, short sales, borrowed bonds or financial futures contracts), or certain borrowings (e.g. reverse repurchase agreements), each Portfolio will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on its books and records cash or other liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each Portfolio has requirements to deliver/deposit securities as collateral for certain investments.
Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Portfolios have determined the ex-dividend date. Interest income is recognized on the accrual basis. The Portfolios amortize all premiums and discounts on debt securities. Consent fees are compensation for agreeing to changes in the terms of debt instruments and are included in interest income in the Statements of Operations.
Dividends and Distributions: BlackRock Money Market Portfolio declares dividends daily and reinvests daily such dividends (net of non-resident alien tax and backup withholding tax withheld) in additional fund shares at net asset value. Dividends are declared from the total of net investment income. Distribution of realized gain, if any, on investments are paid at least annually. For BlackRock Balanced Capital Portfolio, BlackRock Fundamental Growth Portfolio, BlackRock Global Allocation Portfolio and BlackRock Large Cap Core Portfolio, dividends and distributions paid by the Portfolios are recorded on the ex-dividend dates. For BlackRock Government Income Portfolio, BlackRock High Income Portfolio and BlackRock Total Return Portfolio, dividends from net investment income are declared daily and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates. If the total dividends and distributions made in any tax year exceeds net investment income and accumulated realized capital gains, a portion of total distributions may be treated as a tax return of capital.
Securities Lending: Certain Portfolios may lend securities to financial institutions that provide cash as collateral, which will be maintained at all times in an amount equal to at least 100% of the current market value of the loaned securities. The market value of the loaned securities is determined at the close of business of the Portfolios and any additional required collateral is delivered to the Portfolios on the next business day. The Portfolios typically receive the income on the loaned securities but does not receive the income on the collateral. The Portfolios may invest the cash collateral and retain the amount earned on such investment, net of any amount rebated to the borrower. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions. The Portfolios may pay reasonable lending agent, administrative and custodial fees in connection with their loans. In the event that the borrower defaults on its obligation to return borrowed securities because of insolvency or for any other reason, the Portfolios could experience delays and costs in gaining access to the collateral. The Portfolios also could suffer a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities.
Income Taxes: It is each Portfolio’s policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of their taxable income to their shareholders. Therefore, no federal income tax provision is required. Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates.
Each Portfolio files US federal and various state and local tax returns. No income tax returns are currently under examination. The statutes of limitations on the Portfolios’ US federal tax returns remain open for each of the four years ended December 31, 2009. The statutes of limitations on the Portfolios’ state and local tax returns may remain open for an additional year depending upon the jurisdiction.
83
BlackRock Series Fund, Inc.Notes to Financial Statements (Continued)
Recent Accounting Standards: In June 2009, amended guidance was issued by the Financial Accounting Standards Board (“FASB”) for transfers of financial assets. This guidance is intended to improve the relevance, representational faithfulness and comparability of the information that a reporting entity provides in its financial statements about a transfer of financial assets; the effects of a transfer on its financial position, financial performance, and cash flows; and a transferor’s continuing involvement, if any, in transferred financial assets. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after November 15, 2009. Earlier application is prohibited. The recognition and measurement provisions of this guidance must be applied to transfers occurring on or after the effective date. Additionally, the enhanced disclosure provisions of the amended guidance should be applied to transfers that occurred both before and after the effective date of this guidance. The impact of this guidance on the Portfolios’ financial statements and disclosures, if any, is currently being assessed.
In January 2010, the FASB issued amended guidance for improving disclosure about fair value measurements that adds new disclosure requirements about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). It also clarifies existing disclosure requirements relating to the levels of disaggregation for fair value measurement and inputs and valuation techniques used to measure fair value. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after December 15, 2009 except for disclosures about purchases, sales, issuances and settlements in the rollforward of activity in Level 3 fair value measurements, which are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years. The impact of this guidance on the Portfolios’ financial statements and disclosures, if any, is currently being assessed.
Bank Overdraft: BlackRock Balanced Capital Portfolio recorded a bank overdraft, which resulted from failed trades and BlackRock Global Allocation Portfolio recorded a bank overdraft, which resulted from estimates of available cash.
Other: Expenses directly related to a Portfolio are charged to that Portfolio. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.
Basis of Consolidation: The financial statements and these notes to the financial statements for BlackRock Global Allocation Portfolio are consolidated and include the operations of both BlackRock Global Allocation Portfolio and its wholly owned subsidiary, BlackRock Cayman Global Allocation Fund I, Ltd., after elimination of all intercompany transactions and balances. BlackRock Cayman Global Allocation Fund I, Ltd. primarily invests in commodity-related instruments.
2. Derivative Financial Instruments:
The Portfolios may engage in various portfolio investment strategies both to increase the returns of the Portfolios and to economically hedge, or protect, their exposure to certain risks such as equity risk and foreign currency exchange rate risk. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying instrument or if the counterparty does not perform under the contract. The Portfolios may mitigate counterparty risk through master netting agreements included within an International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreement between a Portfolio and its counterparties. The ISDA Master Agreement allows each Portfolio to offset with its counterparty certain derivative financial instruments’ payables and/or receivables with collateral held with each counterparty. The amount of collateral moved to/from applicable counterparties is based upon minimum transfer amounts of up to $500,000. To the extent amounts due to the Portfolios from their counterparties are not fully collateralized contractually or otherwise, the Portfolios bear the risk of loss from counterparty non-performance. See Note 1 “Segregation and Collateralization” for information with respect to collateral practices.
The Portfolios’ maximum risk of loss from counterparty credit risk on OTC derivatives is generally the aggregate unrealized gain in excess of any collateral pledged by the counterparty to the Portfolios. For OTC purchased options, the Portfolios bear the risk of loss in the amount of the premiums paid and change in market value of the options should the counterparty not perform under the contracts. Options written by the Portfolios do not give rise to counterparty credit risk, as written options obligate the Portfolios to perform and not the counterparty. Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Portfolio’s net assets decline by a stated percentage or a Portfolio fails to meet the terms of its ISDA Master Agreements, which would cause the Portfolio to accelerate payment of any net liability owed to the counterparty. Counterparty risk related to exchange-traded options is minimal because of the protection against defaults provided by the exchange on which they trade.
84
BlackRock Series Fund, Inc.Notes to Financial Statements (Continued)
Financial Futures Contracts: Certain Portfolios may purchase or sell financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in the value of interest rates (interest rate risk) or foreign currencies (foreign currency exchange rate risk). Financial futures contracts are contracts for delayed delivery of securities at a specific future date and at a specific price or yield. Pursuant to the contract, a Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as margin variation and are recognized by a Portfolio as unrealized gains or losses. When the contract is closed, a Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest rates and the underlying assets.
Foreign Currency Exchange Contracts: Certain Portfolios may enter into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio positions (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by a Portfolio, help to manage the overall exposure to the currency backing some of the investments held by a Portfolio. The contract is marked-to-market daily and the change in market value is recorded by a Portfolio as an unrealized gain or loss. When the contract is closed, a Portfolio records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that counterparties may not meet the terms of the agreement or unfavorable movements in the value of a foreign currency relative to the US dollar.
Options—Certain Portfolios may purchase and write call and put options to increase or decrease their exposure to underlying instruments (equity risk) and/or, in the case of written options, to generate gains from option premiums. A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the seller to sell (when the option is exercised), the underlying instrument at the exercise 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 price at any time or at a specified time during the option period. When a Portfolio purchases (writes) an option, an amount equal to the premium paid (received) by a Portfolio is reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or a Portfolio enters into a closing transaction), a Portfolio realizes a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premium received or paid). When a Portfolio writes a call option, such option is “covered,” meaning that a Portfolio holds the underlying instrument subject to being called by the option counterparty, or cash in an amount sufficient to cover the obligation. When a Portfolio writes a put option, such option is covered by cash in an amount sufficient to cover the obligation.
In purchasing and writing options, a Portfolio bears the risk of an unfavorable change in the value of the underlying instrument or the risk that a Portfolio may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in a Portfolio purchasing or selling a security at a price different from the current market value. A Portfolio may execute transactions in both listed and OTC options.
Options on swaps (swaptions) are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swap option is granting or buying the right to enter into a previously agreed upon interest rate swap agreement at any time before the expiration of the option.
Certain Portfolios invest in structured options with approved counterparties to increase or decrease their exposure to underlying securities (equity risk). These structured options are European-Style Options and consist of multiple OTC options which are priced as a single security. European-Style Options may only be exercised at the expiration date, but maybe transferred/sold prior to the expiration date. Each of the component options is purchased or sold on a single underlying index. The value on structured options will increase when the value of the underlying index increases, and decrease when the value of the underlying index decreases. The Portfolio may also invest in structured options the return of which is inversely related to changes in an index (“Inverse Structured Options”). In general, the value on Inverse Structured
85
BlackRock Series Fund, Inc.Notes to Financial Statements (Continued)
Options will decrease when the value of the underlying index increases, and increase when the value of the underlying index decreases. Upon the exercise of the structured option, a Portfolio will receive a payment from, or be required to remit a payment to the counterparty, depending on the value of the underlying index at exercise.
Swaps—Certain Portfolios may enter into swap agreements, in which a Portfolio and a counterparty agree to make periodic net payments on a specified notional amount. These periodic payments received or made by a Portfolio are recorded in the Statements of Operations as realized gains or losses, respectively. Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). When the swap is terminated, a Portfolio will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and a Portfolio’s basis in the contract, if any. Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements 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.
Credit default swaps—Certain Portfolios may enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which it is not otherwise exposed (credit risk). A Portfolio enters into credit default agreements to provide a measure of protection against the default of an issuer (as buyer protection) and/or gain credit exposure to an issuer to which it is not otherwise exposed (as seller of protection). A Portfolio may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign) or traded indexes. Credit default swaps on single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a negative credit event take place (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occurs. As a buyer, if an underlying credit event occurs, a Portfolio will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising of an index or 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 of an index. As a seller (writer), if an underlying credit event occurs, a Portfolio 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 of an 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 of an index.
Interest rate swaps—Certain Portfolios may enter into interest rate swaps for investment purposes or to manage their interest rate risk. Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. In more complex swaps, the notional principal amount may decline (or amortize) over time.
Total return swaps—Certain Portfolios may enter into total return swaps to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which one party commits to pay interest in exchange for the total return (coupons plus capital gains/losses) of an underlying asset. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Portfolio will receive a payment from or make a payment to the counterparty.
86
BlackRock Series Fund, Inc.Notes to Financial Statements (Continued)
Derivative Instruments Categorized by Risk Exposure:
| | | | | | | | | | | | | |
| | Values of Derivative Instruments as of December 31, 2009
|
| | Asset Derivatives
|
| | | | BlackRock
Balanced Capital
Portfolio | | BlackRock
Global Allocation
Portfolio | | BlackRock
Government Income
Portfolio | | BlackRock
Total Return
Portfolio |
| |
|
| | Statements of Assets
and Liabilities Location | | Value |
|
| Interest rate contracts* | Net unrealized appreciation/ | | | | | | | | | | | | |
| | depreciation/Unrealized | | | | | | | | | | | | |
| | appreciation on swaps/ | | | | | | | | | | | | |
| | Investments at value— | | | | | | | | | | | | |
| | unaffiliated | | $ | 5,066,168 | | | — | | $ | 1,357,221 | | $ | 3,165,607 |
| |
|
| Foreign currency exchange contracts | Unrealized appreciation | | | | | | | | | | | | |
| | on foreign currency | | | | | | | | | | | | |
| | exchange contracts | | | 185,334 | | $ | 34,568 | | | — | | | 56,920 |
| |
|
| Credit contracts | Unrealized appreciation | | | | | | | | | | | | |
| | on swaps | | | 6,033 | | | — | | | — | | | 2,777 |
| |
|
| Equity contracts* | Net unrealized appreciation/ | | | | | | | | | | | | |
| | depreciation/Unrealized | | | | | | | | | | | | |
| | appreciation on swaps/ | | | | | | | | | | | | |
| | Investments at value— | | | | | | | | | | | | |
| | unaffiliated/Structured | | | | | | | | | | | | |
| | options at value | | | — | | | 745,413 | | | — | | | — |
| |
|
| Total | | | $ | 5,257,535 | | $ | 779,981 | | $ | 1,357,221 | | $ | 3,225,304 |
|
| |
| | Liability Derivatives
|
| | | | BlackRock
Balanced Capital
Portfolio | | BlackRock
Global Allocation
Portfolio | | BlackRock
Government Income
Portfolio | | BlackRock
Total Return
Portfolio |
| |
|
| | Statements of Assets
and Liabilities Location | | Value |
|
| Interest rate contracts* | Net unrealized appreciation/ | | | | | | | | | | | | |
| | depreciation/Unrealized | | | | | | | | | | | | |
| | depreciation on swaps/ | | | | | | | | | | | | |
| | Options written at value | | $ | 5,326,291 | | | — | | $ | 1,312,319 | | $ | 3,046,908 |
| |
|
| Foreign currency exchange contracts | Unrealized depreciation | | | | | | | | | | | | |
| | on foreign currency | | | | | | | | | | | | |
| | exchange contracts | | | — | | $ | 210,962 | | | — | | | — |
| |
|
| Credit contracts | Unrealized depreciation | | | | | | | | | | | | |
| | on swaps | | | 1,038,229 | | | — | | | — | | | 553,232 |
| |
|
| Equity contracts* | Net unrealized appreciation/ | | | | | | | | | | | | |
| | depreciation/Unrealized | | | | | | | | | | | | |
| | depreciation on swaps/ | | | | | | | | | | | | |
| | Options written at value | | | — | | | 783,410 | | | — | | | — |
| |
|
| Total | | | $ | 6,364,520 | | $ | 994,372 | | $ | 1,312,319 | | $ | 3,600,140 |
|
| * | Includes cumulative appreciation/depreciation of financial futures contracts as reported in the Schedules of Investments. Only current day's margin variation is reported within the Statements of Assets and Liabilities. |
| |
87
BlackRock Series Fund, Inc.Notes to Financial Statements (Continued)
The Effect of Derivative Instruments on the Statements of Operations
Year Ended December 31, 2009
| | | | | | | | | | | | | | | |
| | Net Realized Gain (Loss) from
|
| | BlackRock
Balanced Capital
Portfolio | | BlackRock
Global Allocation
Portfolio | | BlackRock
Government Income
Portfolio | | BlackRock
Total Return
Portfolio |
|
| Interest rate contracts: | | | | | | | | | | | | | | | |
| Financial futures contracts | $ | 198,204 | | | $ | (13,142 | ) | | $ | (3,802,361 | ) | | $ | (268,236 | ) |
| Swaps | | (1,932,842 | ) | | | — | | | | 335,063 | | | | (334,689 | ) |
| Options** | | 422,508 | | | | — | | | | 1,246,854 | | | | (79,292 | ) |
| Foreign currency transactions: | | | | | | | | | | | | | | | |
| Foreign currency transactions | | (13,868 | ) | | | (2,861,825 | ) | | | — | | | | 930 | |
| Options** | | — | | | | (56,085 | ) | | | — | | | | — | |
| Credit contracts: | | | | | | | | | | | | | | | |
| Swaps | | (559,836 | ) | | | (447,418 | ) | | | — | | | | (247,929 | ) |
| Equity contracts: | | | | | | | | | | | | | | | |
| Financial futures contracts | | — | | | | (253,691 | ) | | | — | | | | — | |
| Options** | | — | | | | 608,282 | | | | — | | | | — | |
| Swaps | | — | | | | 290,973 | | | | — | | | | — | |
| |
|
| Total | $ | (1,885,834 | ) | | $ | (2,732,906 | ) | | $ | (2,220,444 | ) | | $ | (929,216 | ) |
|
| | | | | | |
| | Net Change in Unrealized Appreciation/Depreciation on
|
| | BlackRock
Balanced Capital
Portfolio | | BlackRock
Global Allocation
Portfolio | | BlackRock
Government Income
Portfolio | | BlackRock
Total Return
Portfolio |
|
| Interest rate contracts: | | | | | | | | | | | | | | | |
| Financial futures contracts | $ | 215,519 | | | $ | 19,328 | | | $ | 1,071,903 | | | $ | 431,867 | |
| Swaps | | (903,351 | ) | | | — | | | | (1,793,558 | ) | | | (267,179 | ) |
| Options** | | 3,477,894 | | | | — | | | | 738,792 | | | | 1,452,755 | |
| Foreign currency transactions: | | | | | | | | | | | | | | | |
| Foreign currency transactions | | 81,594 | | | | (361,634 | ) | | | — | | | | 52,146 | |
| Options** | | — | | | | (48,334 | ) | | | — | | | | — | |
| Credit contracts: | | | | | | | | | | | | | | | |
| Swaps | | (1,126,240 | ) | | | (118,874 | ) | | | — | | | | (591,457 | ) |
| Equity contracts: | | | | | | | | | | | | | | | |
| Financial futures contracts | | — | | | | (240,850 | ) | | | — | | | | — | |
| Options** | | — | | | | 117,041 | | | | — | | | | — | |
| Swaps | | — | | | | (15,757 | ) | | | — | | | | — | |
| |
|
| Total | $ | 1,745,416 | | | $ | (649,080 | ) | | $ | 17,137 | | | $ | 1,078,132 | |
|
| ** | Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments. |
88
BlackRock Series Fund, Inc.Notes to Financial Statements (Continued)
For the year ended December 31, 2009, the average derivative activity was as follows:
| | BlackRock
Balanced Capital
Portfolio | | BlackRock
Global Allocation
Portfolio | | BlackRock
Government Income
Portfolio | | BlackRock
Total Return
Portfolio |
|
| Futures: | | | | | | | | | | | |
| Average number of contracts | | 327 | | | 103 | | | 627 | | | 149 |
| Average value | $ | 450,516 | | $ | 261,703 | | $ | 298,479 | | $ | 232,351 |
| Foreign currency exchange contracts: | | | | | | | | | | | |
| Average number of contracts | | 2 | | | 53 | | | — | | | 1 |
| Average US dollar amount | $ | 3,073,100 | | $ | 35,916,822 | | | — | | $ | 832,778 |
| Options purchased: | | | | | | | | | | | |
| Average number of contracts | | 125 | | | 572 | | | 48 | | | 61 |
| Average premium | $ | 1,460,236 | | $ | 446,654 | | $ | 563,059 | | $ | 774,635 |
| Structured options: | | | | | | | | | | | |
| Average number of contracts | | — | | | 748 | | | — | | | — |
| Average premium | | — | | $ | 2,522,015 | | | — | | | — |
| Credit default swaps: | | | | | | | | | | | |
| Average number of positions | | 40 | | | 13 | | | — | | | 40 |
| Average notional value | $ | 12,003,750 | | $ | 3,086,159 | | | — | | $ | 5,978,750 |
| Interest rate swaps: | | | | | | | | | | | |
| Average number of positions | | 19 | | | — | | | 16 | | | 20 |
| Average notional value | $ | 57,403,750 | | | — | | $ | 74,672,500 | | $ | 34,937,500 |
| Total return swaps: | | | | | | | | | | | |
| Average number of positions | | — | | | 2 | | | — | | | — |
| Average notional value | | — | | $ | 1,369,133 | | | — | | | — |
|
3. Investment Advisory Agreement and Other Transactions with Affiliates:
The PNC Financial Services Group, Inc. (“PNC”), Bank of America Corporation (“BAC”) and Barclays Bank PLC (“Barclays”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but BAC and Barclays are not.
The Fund, on behalf of the Portfolios, entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Fund’s investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services.
The Manager is responsible for the management of the Fund’s portfolios and provides the necessary 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 based upon the aggregate average daily value of the eight combined Portfolios’ average daily net assets at the following rates: 0.50% of the Portfolios’ average daily net assets not exceeding $250 million; 0.45% of next $50 million; 0.40% of the next $100 million; 0.35% of the next $400 million; and 0.30% of average daily net assets in excess of $800 million. The portion of the assets of a Portfolio to which the rate at each breakpoint level applies will be determined on a “uniform percentage” basis. The uniform percentage applicable to a breakpoint level is determined by dividing the amount of the aggregate average daily net assets of the eight combined Portfolios that falls within that breakpoint level by the aggregate average daily net assets of the eight combined Portfolios. The amount of the fee for a Portfolio at each breakpoint level is determined by multiplying the average daily net assets of that Portfolio by the uniform percentage applicable to that breakpoint level and multiplying the product by the applicable advisory fee rate.
The Manager has entered into sub-advisory agreements, on behalf of each Portfolio, with BlackRock Financial Management, Inc. (“BFM”), BlackRock Investment Management, LLC (“BIM”), BlackRock International Limited (“BIL”) and BlackRock Institutional Management Corporation, Inc. (“BIMC”), as applicable, each affiliates of the Manager, as follows:
| |
|
| | Sub-Advisors |
|
BlackRock Balanced Capital Portfolio
BlackRock Fundamental Growth Portfolio
BlackRock Global Allocation Portfolio
BlackRock Government Income Portfolio
BlackRock High Income Portfolio
BlackRock Large Cap Core Portfolio
BlackRock Money Market Portfolio
BlackRock Total Return Portfolio | BIM and BFM
BIM
BIM and BIL
BFM
BFM
BIM
BIMC
BFM |
|
The Manager pays each sub-advisor for the services they provide, a monthly fee that is a percentage of the investment advisory fee paid by each Portfolio to the Manager.
89
BlackRock Series Fund, Inc.Notes to Financial Statements (Continued)
The Manager contractually agreed to waive or reimburse fees and expenses, excluding interest expense, dividend expense, acquired fund fees and expenses and certain other fund expenses until May 1, 2010, in order to limit expenses. This agreement is reviewed annually by the Board. The expense limitations as a percentage of net assets are as follows:
|
| BlackRock Balanced Capital Portfolio | 0.50 | % |
| BlackRock Fundamental Growth Portfolio | 0.57 | % |
| BlackRock Global Allocation Portfolio | 0.57 | % |
| BlackRock Government Income Portfolio | 0.50 | % |
| BlackRock High Income Portfolio | 0.50 | % |
| BlackRock Large Cap Core Portfolio | 0.50 | % |
| BlackRock Money Market Portfolio | 0.50 | % |
| BlackRock Total Return Portfolio | 0.50 | % |
|
Effective July 1, 2009, the expense limitations as a percentage of net assets for BlackRock Fundamental Growth Portfolio and BlackRock Global Allocation Portfolio changed from 0.50% to 0.57%.
The following Portfolios had waivers that are included in fees waived by advisor in the Statements of Operations. For the year ended December 31, 2009, the amounts were as follows:
| | | | | |
|
| | Fees | | Fees |
| | Earned | | Waived |
|
| BlackRock Global Allocation Portfolio | $ | 936,183 | | $ | 46,508 |
| BlackRock Government Income Portfolio | $ | 497,055 | | $ | 26,285 |
| BlackRock High Income Portfolio | $ | 143,302 | | $ | 94,981 |
| BlackRock Total Return Portfolio | $ | 326,404 | | $ | 85,800 |
|
The Manager voluntarily agreed to waive a portion of its investment advisory fee and/or reimburse operating expenses to enable BlackRock Money Market Portfolio to maintain minimum levels of net investment income. This amount is shown as fees waived by advisor in the Statements of Operations. The Manager may discontinue this waiver or reimbursement at any time.
The Manager has agreed to waive its advisory fees by the amount of investment advisory fees certain Portfolios pay to the Manager indirectly through their investment in affiliated money market funds. These amounts are included in fees waived by advisor in the Statements of Operations. For the year ended December 31, 2009, the amounts were as follows:
|
| | Fees Waived |
| | by Manager |
|
| BlackRock Balanced Capital Portfolio | $ | 1,242 |
| BlackRock Fundamental Growth Portfolio | $ | 1,377 |
| BlackRock Global Allocation Portfolio | $ | 554 |
| BlackRock Government Income Portfolio | $ | 6,211 |
| BlackRock Large Cap Core Portfolio | $ | 684 |
|
In addition, for the year ended December 31, 2009, the Portfolios reimbursed the Manager for certain accounting services, which are included in accounting services in the Statements of Operations. The reimbursements were as follows:
| | | | |
|
| | Reimbursements for
Accounting Services |
|
| BlackRock Balanced Capital Portfolio | | $ | 10,039 | |
| BlackRock Fundamental Growth Portfolio | | $ | 2,606 | |
| BlackRock Global Allocation Portfolio | | $ | 5,200 | |
| BlackRock Government Income Portfolio | | $ | 3,161 | |
| BlackRock High Income Portfolio | | $ | 759 | |
| BlackRock Large Cap Core Portfolio | | $ | 2,877 | |
| BlackRock Money Market Portfolio | | $ | 6,167 | |
| BlackRock Total Return Portfolio | | $ | 1,955 | |
|
The Fund, on behalf of the Portfolios, has also entered into a Distribution Agreement with BlackRock Investments, LLC, which is an affiliate of BlackRock.
The Fund has received an exemptive order from the SEC permitting it, among other things, to pay an affiliated securities lending agent a fee based on a share of the income derived from the securities lending activities and has retained BIM as the securities lending agent. BIM, on behalf of the Portfolios, may invest cash collateral received by the Portfolios for such loans, among other things, in a private investment company managed by the Manager or in registered money market funds advised by the Manager or its affiliates. The share of income earned by the Portfolios on such investments is shown as securities lending—affiliated in the Statements of Operations. For the year ended December 31, 2009, BIM received securities lending agent fees as follows:
|
| | Securities Lending |
| | Agent Fees |
|
| BlackRock Balanced Capital Portfolio | | $ | 49 | |
| BlackRock Fundamental Growth Portfolio | | $ | 1,385 | |
| BlackRock Global Allocation Portfolio | | $ | 551 | |
| BlackRock Large Cap Core Portfolio | | $ | 3,238 | |
|
PNC Global Investment Servicing (U.S.) Inc., an indirect, wholly owned subsidiary of PNC and an affiliate of the Manager, serves as transfer agent and dividend disbursing agent. Transfer agency fees borne by the Portfolios are comprised of those fees charged for all shareholder communications including mailing of shareholder reports, dividend and distribution notices, and proxy materials for shareholder meetings, as well as per account and per transaction fees related to servicing and maintenance of shareholder accounts, including the issuing, redeeming and transferring of shares, check
90
BlackRock Series Fund, Inc.Notes to Financial Statements (Continued)
writing, anti-money laundering services and customer identification services.
Certain officers and/or directors of the Fund are officers and/or directors of BlackRock or its affiliates. The Fund reimburses the Manager for compensation paid to the Fund’s Chief Compliance Officer.
4. Investments:
Purchases and sales of investments (including paydowns, mortgage dollar roll and TBA transactions and excluding short-term securities and US government securities) for the year ended December 31, 2009 were as follows:
|
| | BlackRock
Balanced
Capital
Portfolio | | BlackRock
Fundamental
Growth
Portfolio | | BlackRock
Global
Allocation
Portfolio | | BlackRock
Government
Income
Portfolio | | BlackRock
High
Income
Portfolio | | BlackRock
Large Cap
Core
Portfolio | | BlackRock
Total
Return
Portfolio |
|
| Total Purchases | $ | 1,825,133,279 | | $ | 110,271,969 | | $ | 66,781,716 | | $ | 2,892,775,660 | | $ | 49,014,783 | | $ | 229,058,250 | | $ | 642,676,759 |
| |
| |
| |
| |
| |
| |
| |
|
| Total Sales | $ | 1,861,039,044 | | $ | 123,136,159 | | $ | 74,461,724 | | $ | 2,684,342,671 | | $ | 40,418,245 | | $ | 250,230,996 | | $ | 653,909,315 |
| |
| |
| |
| |
| |
| |
| |
|
For the year ended December 31, 2009, purchases and sales of US government securities were as follows:
|
| | BlackRock
Balanced
Capital
Portfolio | | BlackRock
Global
Allocation
Portfolio | | BlackRock
Government
Income
Portfolio | | BlackRock
Total
Return
Portfolio |
|
| Total Purchases | $ | 691,734,861 | | $ | 23,634,025 | | $ | 1,510,721,957 | | $ | 312,174,157 |
| |
| |
| |
| |
|
| Total Sales | $ | 653,972,560 | | $ | 25,945,072 | | $ | 1,547,365,203 | | $ | 289,861,739 |
| |
| |
| |
| |
|
For the year ended December 31, 2009, purchases and sales of mortgage dollar rolls were as follows:
|
| | BlackRock
Balanced
Capital
Portfolio | | BlackRock
Government
Income
Portfolio | | BlackRock
Total
Return
Portfolio |
|
| Total Purchases | $ | 687,187,838 | | $ | 1,060,103,317 | | $ | 311,616,018 |
| |
| |
| |
|
| Total Sales | $ | 687,661,106 | | $ | 1,060,579,319 | | $ | 310,282,797 |
| |
| |
| |
|
Transactions in options written for the year ended December 31, 2009 were as follows:
|
| | BlackRock Balanced
Capital Portfolio
| | BlackRock Global
Allocation Portfolio
| | BlackRock Government
Income Portfolio
| | BlackRock Total
Return Portfolio
|
| | Contracts† | | Premiums
Received | | Contracts | | Premiums
Received | | Contracts† | | Premiums
Received | | Contracts | | Premiums
Received |
|
| Call options written outstanding | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| at beginning of year | 29 | | | $ | 941,030 | | | 12,714 | | | $ | 1,302,152 | | | 33 | | | $ | 1,713,550 | | | 14 | | | $ | 581,350 | |
| Options written | 85 | | | | 3,885,750 | | | 2,735 | | | | 929,687 | | | 3 | | | | 139,500 | | | 25 | | | | 982,433 | |
| Options exercised | (20 | ) | | | (520,000 | ) | | (768 | ) | | | (226,148 | ) | | (21 | ) | | | (929,250 | ) | | | | | | | |
| Options expired | — | | | | — | | | (12,653 | ) | | | (1,167,341 | ) | | — | | | | — | | | — | | | | — | |
| Options closed | (45 | ) | | | (2,272,920 | ) | | (1,195 | ) | | | (567,226 | ) | | (15 | ) | | | (923,800 | ) | | (14 | ) | | | (646,973 | ) |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| |
| Call options written | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| outstanding at end of year | 49 | | | $ | 2,033,860 | | | 833 | | | $ | 271,125 | | | — | | | | — | | | 25 | | | $ | 916,810 | |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| |
| |
|
| | BlackRock Balanced
Capital Portfolio
| | BlackRock Global
Allocation Portfolio
| | BlackRock Government
Income Portfolio
| | BlackRock Total
Return Portfolio
|
| | Contracts† | | Premiums
Received | | Contracts | | Premiums
Received | | Contracts† | | Premiums
Received | | Contracts | | Premiums
Received |
|
| Put options written outstanding | | | | | | | | | | | | | | | | | | | | | | |
| at beginning of year | 29 | | | $ | 897,030 | | | 9,400 | | | $ | 6,063 | | | 33 | | | $ | 1,713,550 | | | 14 | | | $ | 581,350 | |
| Options written | 421 | | | | 5,204,717 | | | 420 | | | | 195,799 | | | 128 | | | | 342,275 | | | 133 | | | | 1,587,175 | |
| Options exercised | (3 | ) | | | (882 | ) | | (9,400 | ) | | | (6,063 | ) | | — | | | | — | | | — | | | | — | |
| Options expired | (20 | ) | | | (476,000 | ) | | (313 | ) | | | (91,845 | ) | | (79 | ) | | | (1,023,338 | ) | | �� | | | | — | |
| Options closed | (150 | ) | | | (2,326,771 | ) | | (1 | ) | | | (67 | ) | | (82 | ) | | | (1,032,487 | ) | | (15 | ) | | | (646,973 | ) |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| |
| Put options written | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| outstanding at end of year | 277 | | | $ | 3,298,094 | | | 106 | | | $ | 103,887 | | | — | | | | — | | | 132 | | | $ | 1,521,552 | |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| |
| † | One contract represents a notional amount of $1 million, $2,500, $1,000 or $100. |
91
BlackRock Series Fund, Inc.Notes to Financial Statements (Continued)
5. Commitments:
Certain Portfolios may invest in floating rate loans. In connection with these investments, the Portfolios may also enter into unfunded corporate loans (“commitments”). Commitments may obligate the Portfolios to furnish temporary financing to a borrower until permanent financing can be arranged. In connection with these commitments, the Portfolios earn a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is classified in the Statements of Operations as facility and other fees, is recognized ratably over the commitment period. As of December 31, 2009, BlackRock High Income Portfolio had the following unfunded loan commitments:
|
| BlackRock High Income Portfolio | Unfunded
Commitment
(000) | | Value of
Underlying
Loans
(000) |
|
| Delphi Holdings LLP | $ | 64 | | $ | 54 |
|
6. Borrowings:
The Fund, on behalf of the Portfolios, along with certain other funds managed by the Manager and its affiliates, is a party to a $500 million credit agreement with a group of lenders, which was renewed until November 2010. Each Portfolio, except BlackRock Money Market Portfolio, may borrow under the credit agreement to fund shareholder redemptions and for other lawful purposes other than for leverage. Each Portfolio may borrow up to the maximum amount allowable under each Portfolio’s current Prospectus and Statement of Additional Information, subject to various other legal, regulatory or contractual limits. Prior to its renewal, the credit agreement had the following terms: 0.02% upfront fee on the aggregate commitment amount which was allocated to each Portfolio based on their net assets as of October 31, 2008; a commitment fee of 0.08% per annum based on each Portfolio’s pro rata share of the unused portion of the credit agreement, which is included in miscellaneous in the Statements of Operations, and interest at a rate equal to the higher of the (a) federal funds effective rate and (b) reserve adjusted one-month LIBOR, plus, in each case, the higher of (i) 1.50% and (ii) 50% of the CDX Index (as defined in the credit agreement) on amounts borrowed. Effective November 2009, the credit agreement was renewed with the following terms: 0.02% upfront fee on the aggregate commitment amount which was allocated to each Portfolio based on their net assets as of October 31, 2009, a commitment fee of 0.10% per annum based on each Portfolio’s pro rata share of the unused portion of the credit agreement and interest at a rate equal to the higher of (a) the one-month LIBOR plus 1.25% per annum and (b) the Fed Funds rate plus 1.25% per annum on amounts borrowed. The Portfolios did not borrow under the credit agreement during the year ended December 31, 2009.
For the year ended December 31, 2009, the Portfolios’ average amount of outstanding transactions considered as borrowings from reverse repurchase agreements and treasury rolls and the daily weighted average interest rate were as follows:
| | | | | | | | | | | |
|
| | BlackRock
Balanced
Capital
Portfolio | | BlackRock
Government
Income
Portfolio | | BlackRock
Total
Return
Portfolio |
|
| Average Borrowings (000) | $ | 23,007 | | | $ | 21,345 | | | $ | 12,806 | |
| Daily weighted average interest rate | | 0.16 | % | | | 0.10 | % | | | 0.15 | % |
|
92
BlackRock Series Fund, Inc.Notes to Financial Statements (Continued)
7. Income Tax Information:
Reclassifications: Accounting principles generally accepted in the United States of America require that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. The following permanent differences as of December 31, 2009 attributable to the accounting for swap agreements, amortization methods on fixed income securities, the classification of investments, foreign currency transactions, the sale of stock of passive foreign investment companies, non-deductible expenses, the expiration of capital loss carryforwards and net paydown gains (losses) were reclassified to the following accounts:
| | BlackRock
Balanced
Capital
Portfolio | | BlackRock
Global
Allocation
Portfolio | | BlackRock
Government
Income
Portfolio | | BlackRock
High
Income
Portfolio | | BlackRock
Total
Return
Portfolio |
|
| Paid-in capital | | — | | | | — | | | $ | (2,494 | ) | | $ | (8,474,548 | ) | | | — | |
| Undistributed (distributions in excess of) net investment income | $ | 531,170 | | | $ | (2,861,619 | ) | | $ | 786,638 | | | $ | (1,746 | ) | | $ | 346,433 | |
| Accumulated net realized gain (loss) | $ | (531,170 | ) | | $ | 2,861,619 | | | $ | (784,144 | ) | | $ | 8,476,294 | | | $ | (346,433 | ) |
|
The tax character of distributions paid during the years ended December 31, 2009 and 2008 was as follows:
| | BlackRock
Balanced
Capital
Portfolio | | BlackRock
Fundamental
Growth
Portfolio | | BlackRock
Global
Allocation
Portfolio | | BlackRock
Government
Income
Portfolio | | BlackRock
High
Income
Portfolio | | BlackRock
Large Cap
Core
Portfolio | | BlackRock
Money
Market
Portfolio | | BlackRock
Total
Return
Portfolio |
|
| Ordinary income | | | | | | | | | | | | | | | | | | | | | | | |
| 12/31/2009 | $ | 14,774,006 | | $ | 991,986 | | $ | 5,675,855 | | $ | 6,664,361 | | $ | 4,001,351 | | $ | 2,440,199 | | $ | 942,379 | | $ | 5,179,334 |
| 12/31/2008 | | 19,700,021 | | | 1,250,002 | | | 19,304,794 | | | 3,588,711 | | | 3,878,795 | | | 3,593,065 | | | 8,808,562 | | | 6,178,111 |
|
| Long-term capital gains | | | | | | | | | | | | | | | | | | | | | | | |
| 12/31/2009 | | — | | | — | | | — | | | — | | | — | | | — | | | 1,337 | | | — |
| 12/31/2008 | | — | | | — | | | 20,718,854 | | | — | | | — | | | 2,807,859 | | | 2,528 | | | — |
|
| Tax return of capital | | | | | | | | | | | | | | | | | | | | | | | |
| 12/31/2009 | | — | | | — | | | 1,297,925 | | | — | | | — | | | — | | | — | | | — |
| 12/31/2008 | | — | | | — | | | — | | | — | | | — | | | — | | | — | | | — |
|
| Total distributions | | | | | | | | | | | | | | | | | | | | | | | |
| 12/31/2009 | $ | 14,774,006 | | $ | 991,986 | | $ | 6,973,780 | | $ | 6,664,361 | | $ | 4,001,351 | | $ | 2,440,199 | | $ | 943,716 | | $ | 5,179,334 |
| |
| |
| |
| |
| |
| |
| |
| |
|
| 12/31/2008 | $ | 19,700,021 | | $ | 1,250,002 | | $ | 40,023,648 | | $ | 3,588,711 | | $ | 3,878,795 | | $ | 6,400,924 | | $ | 8,811,090 | | $ | 6,178,111 |
| |
| |
| |
| |
| |
| |
| |
| |
|
As of December 31, 2009, the tax components of accumulated net earnings (losses) were as follows:
| | BlackRock
Balanced
Capital
Portfolio | | BlackRock
Fundamental
Growth
Portfolio | | BlackRock
Global
Allocation
Portfolio | | BlackRock
Government
Income
Portfolio | | BlackRock
High
Income
Portfolio | | BlackRock
Large Cap
Core
Portfolio | | BlackRock
Money
Market
Portfolio | | BlackRock
Total
Return
Portfolio |
|
| Undistributed ordinary income | $ | 758,428 | | | $ | 26,307 | | | $ | — | | | $ | 591,897 | | | $ | 60,536 | | | $ | 356,584 | | | $ | 11,345 | | $ | 448,967 | |
| Capital loss carryforwards | | (111,019,578 | ) | | | (126,740,069 | ) | | | (10,912,464 | ) | | | (1,856,146 | ) | | | (27,907,284 | ) | | | (52,078,791 | ) | | | — | | | (7,091,811 | ) |
| Net unrealized gains (losses)* | | 37,039,367 | | | | 28,833,725 | | | | 17,719,480 | | | | (1,477,172 | ) | | | (217,160 | ) | | | 13,010,002 | | | | — | | | (3,475,891 | ) |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| |
| |
| Total | $ | (73,221,783 | ) | | $ | (97,880,037 | ) | | $ | 6,807,016 | | | $ | (2,741,421 | ) | | $ | (28,063,908 | ) | | $ | (38,712,205 | ) | | $ | 11,345 | | $ | (10,118,735 | ) |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| |
| |
| * | The differences between book-basis and tax-basis net unrealized gains (losses) were attributable primarily to the tax deferral of losses on wash sales, the tax deferral of losses on straddles, the amortization methods for premiums and discounts on fixed income securities, the accrual of income on securities in default, the realization for tax purposes of unrealized gains on investments in passive foreign investment companies, the realization for tax purposes of unrealized gains (losses) on certain futures, options and foreign currency contracts, the deferral of post-October capital losses for tax purposes, the timing and recognition of partnership income, the accounting for swap agreements, the deferral of post-October losses on investments in passive foreign investment companies for tax purposes, the classification of investments, the recognition for tax purposes of gain/loss on the transfer of securities to a foreign corporation and other temporary differences. |
| |
93
BlackRock Series Fund, Inc.Notes to Financial Statements (Continued)
As of December 31, 2009, the Portfolios had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates:
| Expires December 31, | BlackRock
Balanced Capital
Portfolio | | BlackRock
Fundamental
Growth Portfolio | | BlackRock
Global Allocation
Portfolio | | BlackRock
Government
Income Portfolio | | BlackRock
High Income
Portfolio | | BlackRock
Large Cap
Core Portfolio | | BlackRock
Total Return
Portfolio |
|
| 2010 | | — | | $ | 61,514,097 | | | — | | | — | | $ | 10,420,967 | | | — | | | — |
| 2011 | $ | 18,456,704 | | | 35,877,169 | | | — | | | — | | | 9,089,143 | | | — | | | — |
| 2012 | | — | | | — | | | — | | | — | | | — | | | — | | | — |
| 2013 | | — | | | — | | | — | | | — | | | 1,975,092 | | | — | | | — |
| 2014 | | — | | | — | | | — | | | — | | | 664,870 | | | — | | $ | 455,164 |
| 2015 | | — | | | — | | | — | | | — | | | — | | | — | | | — |
| 2016 | | 10,384,594 | | | 117,171 | | | — | | | — | | | 2,675,598 | | $ | 17,479,224 | | | 727,271 |
| 2017 | | 82,178,280 | | | 29,231,632 | | $ | 10,912,464 | | $ | 1,856,146 | | | 3,081,614 | | | 34,599,567 | | | 5,909,376 |
| |
| |
| |
| |
| |
| |
| |
|
| Total | $ | 111,019,578 | | $ | 126,740,069 | | $ | 10,912,464 | | $ | 1,856,146 | | $ | 27,907,284 | | $ | 52,078,791 | | $ | 7,091,811 |
| |
| |
| |
| |
| |
| |
| |
|
8. Concentration, Market and Credit Risk:
In the normal course of business, the Portfolios invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (credit risk). The value of securities held by the Portfolios may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Portfolios; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to credit risk, the Portfolios may be exposed to counterparty risk, or the risk that an entity with which the Portfolios have unsettled or open transactions may default. Financial assets, which potentially expose the Portfolios to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Portfolios exposure to credit and counterparty risks with respect to these financial assets is generally approximated by their value recorded in the Portfolios’ Statements of Assets and Liabilities, less any collateral held by the Portfolios.
BlackRock Fundamental Growth Portfolio and BlackRock Large Cap Core Portfolio invest a significant portion of their assets in securities in the information technology sector and health care sector, respectively. Changes in economic conditions affecting the information technology and health care sector would have a greater impact on the respective Portfolio, and could affect the value, income and/or liquidity of positions in such securities.
BlackRock Global Allocation Portfolio invests a substantial amount of its assets in issuers located in a single country or a limited number of countries. When the Portfolio concentrates its investments in this manner, it assumes the risk that economic, political and social conditions in those countries may have a significant impact on its investment performance. Please see the Consolidated Schedule of Investments for concentrations in specific countries.
As of December 31, 2009, BlackRock Global Allocation Portfolio had the following industry classifications:
|
| | Percent of |
| | Long-Term |
| Industry | Investments |
|
| U.S. Treasury Obligations | 10 | % |
| Oil & Gas | 10 | |
| Foreign Agency Obligations | 9 | |
| Metals & Mining | 7 | |
| Other * | 64 | |
|
| * | All other industries held each were less than 5% of long-term investments. |
| |
9. Federal Insurance:
The BlackRock Money Market Portfolio participated in the US Treasury Department’s Temporary Guarantee Program for Money Market Funds (the “Program”). As a result of the Portfolio’s participation in the Program, in the event the Portfolio’s net asset value fell below $0.995 per share, shareholders in the Portfolio would have had federal insurance of $1.00 per share up to the lesser of shareholders’ balances in the Portfolio as of the close of business on September 19, 2008, or the remaining balances of such shareholder accounts as of the date the guarantee was triggered. Any increase in the number of shares in a shareholder’s balance after the close of business on September 19, 2008 and any future investments after a shareholder had closed their account would not be guaranteed. As a participant of the Program, which expired September 18, 2009, the Portfolio paid a participation fee of 0.03% for the period December 19, 2008 through September 18, 2009 of the Portfolio’s shares outstanding value as of September 19, 2008. This participation fee is included in federal insurance expense in the Statements of Operations.
94
BlackRock Series Fund, Inc.Notes to Financial Statements (Continued)
10. Capital Share Transactions:
Transactions in capital shares were as follows:
|
| | BlackRock
Balanced Capital
Portfolio | | BlackRock
Fundamental Growth
Portfolio | | BlackRock
Global Allocation
Portfolio | | BlackRock
Government Income
Portfolio |
| |
| |
| |
| |
|
Year Ended
December 31, 2009 | Shares | | Amount | | Shares | | Amount | | Shares | | Amount | | Shares | | Amount |
|
| Shares sold | 92,857 | | | $ | 1,098,446 | | | 132,396 | | | $ | 2,486,627 | | | 1,310,329 | | | $ | 17,580,296 | | | 1,910,502 | | | $ | 21,765,201 | |
| Shares issued to shareholders | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| in reinvestment of | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| dividends and distributions | 1,113,387 | | | | 14,774,006 | | | 42,568 | | | | 991,986 | | | 499,861 | | | | 6,973,780 | | | 553,603 | | | | 6,240,215 | |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| |
| Total issued | 1,206,244 | | | | 15,872,452 | | | 174,964 | | | | 3,478,613 | | | 1,810,190 | | | | 24,554,076 | | | 2,464,105 | | | | 28,005,416 | |
| Shares redeemed | (5,461,805 | ) | | | (64,751,177 | ) | | (866,711 | ) | | | (16,603,788 | ) | | (2,409,092 | ) | | | (29,950,302 | ) | | (3,750,764 | ) | | | (42,327,041 | ) |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| |
| Net decrease | (4,255,561 | ) | | $ | (48,878,725 | ) | | (691,747 | ) | | $ | (13,125,175 | ) | | (598,902 | ) | | $ | (5,396,226 | ) | | (1,286,659 | ) | | $ | (14,321,625 | ) |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| |
| |
|
| | BlackRock
High Income Portfolio | | BlackRock
Large Cap Core Portfolio | | BlackRock
Money Market Portfolio | | BlackRock
Total Return Portfolio |
| |
| |
| |
| |
|
Year Ended
December 31, 2009 | Shares | | Amount | | Shares | | Amount | | Shares | | Amount | | Shares | | Amount |
|
| Shares sold | 3,176,728 | | | $ | 13,446,846 | | | 158,504 | | | $ | 2,378,296 | | | 53,440,858 | | | $ | 53,440,858 | | | 719,118 | | | $ | 7,544,209 | |
| Shares issued to shareholders | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| in reinvestment of | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| dividends and distributions | 907,508 | | | | 3,755,212 | | | 145,528 | | | | 2,440,199 | | | 943,716 | | | | 943,716 | | | 513,733 | | | | 5,179,334 | |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| |
| Total issued | 4,084,236 | | | | 17,202,058 | | | 304,032 | | | | 4,818,495 | | | 54,384,574 | | | | 54,384,574 | | | 1,232,851 | | | | 12,723,543 | |
| Shares redeemed | (2,708,627 | ) | | | (11,411,196 | ) | | (1,783,094 | ) | | | (25,683,170 | ) | | (103,577,792 | ) | | | (103,577,792 | ) | | (3,419,833 | ) | | | (34,412,150 | ) |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| |
| Net increase (decrease) | 1,375,609 | | | $ | 5,790,862 | | | (1,479,062 | ) | | $ | (20,864,675 | ) | | (49,193,218 | ) | | $ | (49,193,218 | ) | | (2,186,982 | ) | | $ | (21,688,607 | ) |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| |
| |
|
| | BlackRock
Balanced Capital
Portfolio | | BlackRock
Fundamental Growth
Portfolio | | BlackRock
Global Allocation
Portfolio | | BlackRock
Government Income
Portfolio |
| |
| |
| |
| |
|
Year Ended
December 31, 2008 | Shares | | Amount | | Shares | | Amount | | Shares | | Amount | | Shares | | Amount |
|
| Shares sold | 128,095 | | | $ | 1,772,856 | | | 198,196 | | | $ | 5,009,985 | | | 1,226,926 | | | $ | 21,168,484 | | | 1,371,774 | | | $ | 14,667,072 | |
| Shares issued to shareholders | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| in reinvestment of | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| dividends and distributions | 1,774,777 | | | | 19,700,021 | | | 75,988 | | | | 1,250,002 | | | 3,406,268 | | | | 40,023,648 | | | 281,550 | | | | 4,012,617 | |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| |
| Total issued | 1,902,872 | | | | 21,472,877 | | | 274,184 | | | | 6,259,987 | | | 4,633,194 | | | | 61,192,132 | | | 1,653,324 | | | | 18,679,689 | |
| Shares redeemed | (5,794,908 | ) | | | (83,091,231 | ) | | (1,078,780 | ) | | | (25,073,201 | ) | | (2,069,751 | ) | | | (32,979,321 | ) | | (2,935,639 | ) | | | (33,307,419 | ) |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| |
| Net increase (decrease) | (3,892,036 | ) | | $ | (61,618,354 | ) | | (804,596 | ) | | $ | (18,813,214 | ) | | 2,563,443 | | | $ | 28,212,811 | | | (1,282,315 | ) | | $ | (14,627,730 | ) |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| | BlackRock
High Income Portfolio | | BlackRock
Large Cap Core Portfolio | | BlackRock
Money Market Portfolio | | BlackRock
Total Return Portfolio |
| |
| |
| |
| |
|
Year Ended
December 31, 2008 | Shares | | Amount | | Shares | | Amount | | Shares | | Amount | | Shares | | Amount |
|
| Shares sold | 1,530,498 | | | $ | 6,237,147 | | | 186,885 | | | $ | 3,845,730 | | | 105,151,067 | | | $ | 105,151,067 | | | 2,060,300 | | | $ | 22,972,048 | |
| Shares issued to shareholders | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| in reinvestment of | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| dividends and distributions | 684,459 | | | | 3,923,008 | | | 475,905 | | | | 6,400,924 | | | 8,811,090 | | | | 8,811,090 | | | 521,908 | | | | 5,968,562 | |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| |
| Total issued | 2,214,957 | | | | 10,160,155 | | | 662,790 | | | | 10,246,654 | | | 113,962,157 | | | | 113,962,157 | | | 2,582,208 | | | | 28,940,610 | |
| Shares redeemed | (2,790,236 | ) | | | (13,254,729 | ) | | (2,515,657 | ) | | | (49,950,526 | ) | | (102,947,221 | ) | | | (102,947,221 | ) | | (1,767,430 | ) | | | (19,265,365 | ) |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| |
| Net increase (decrease) | (575,279 | ) | | $ | (3,094,574 | ) | | (1,852,867 | ) | | $ | (39,703,872 | ) | | 11,014,936 | | | $ | 11,014,936 | | | 814,778 | | | $ | 9,675,245 | |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| |
95
BlackRock Series Fund, Inc.Notes to Financial Statements (Concluded)
11. Subsequent Events:
Management has evaluated the impact of all subsequent events on the Portfolios through February 26, 2010, 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.
96
BlackRock Series Fund, Inc.Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Directors of
BlackRock Series Fund, Inc.:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of BlackRock Series Fund, Inc. (the “Series”), comprised of BlackRock Balanced Capital Portfolio, BlackRock Fundamental Growth Portfolio, BlackRock Government Income Portfolio, BlackRock High Income Portfolio, BlackRock Large Cap Core Portfolio, BlackRock Money Market Portfolio and BlackRock Total Return Portfolio, as of December 31, 2009, and the related statements 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, and the financial highlights for each of the five years in the period then ended. We have also audited the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, of an additional portfolio of BlackRock Series Fund, Inc., BlackRock Global Allocation Portfolio, as of December 31, 2009, and the related consolidated statements of operations and changes in net assets and the financial highlights for the year then ended, and the statement of changes in net assets for the year ended December 31, 2008 and the financial highlights for each of the four years in the period then ended. These financial statements, including the consolidated financial statements, and financial highlights, including the consolidated financial highlights, are the responsibility of the Series’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). 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. The Series is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Series’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2009 by correspondence with the custodian and financial intermediaries; where replies were not received from financial intermediaries, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of BlackRock Balanced Capital Portfolio, BlackRock Fundamental Growth Portfolio, BlackRock Government Income Portfolio, BlackRock High Income Portfolio, BlackRock Large Cap Core Portfolio, BlackRock Money Market Portfolio and BlackRock Total Return Portfolio as of December 31, 2009, the results of their operations for the year then ended, the changes in their 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. Additionally, in our opinion, the consolidated financial statements and consolidated financial highlights and the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of BlackRock Global Allocation Portfolio as of December 31, 2009, 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.
Deloitte & Touche LLP
Princeton, New Jersey
February 26, 2010
97
BlackRock Series Fund, Inc.Officers and Directors
Non-Interested Directors1
Name, Address and
Year of Birth | | Position(s) Held
with Fund | | Length of
Time Served
as a Director2 | | Principal Occupation(s)
During Past Five Years | | Number of
BlackRock-
Advised
Registered
Investment
Companies
(“RICs”)
Consisting of
Investment
Portfolios
(“Portfolios”)
Overseen | | Public
Directorships |
|
| Robert M. Hernandez | | Chairman of the | | Since 2007 | | Director, Vice Chairman and Chief | | 35 RICs | | ACE Limited |
| 55 East 52nd Street | | Board, Director | | | | Financial Officer of USX Corporation | | consisting of | | (insurance company); |
| New York, NY 10055 | | and Member of | | | | (energy and steel business) from 1991 | | 98 Portfolios | | Eastman Chemical |
| 1944 | | the Audit | | | | to 2001. | | | | Company (chemical); |
| | | Committee | | | | | | | | RTI International |
| | | | | | | | | | | Metals, Inc. (metals); |
| | | | | | | | | | | TYCO Electronics |
| | | | | | | | | | | (electronics) |
|
| Fred G. Weiss | | Vice Chairman of | | Since 1998 | | Managing Director, FGW Associates | | 35 RICs | | Watson |
| 55 East 52nd Street | | the Board, | | | | (consulting and investment company) | | consisting of | | Pharmaceutical Inc. |
| New York, NY 10055 | | Chairman of the | | | | since 1997; Director, Michael J. Fox | | 98 Portfolios | | |
| 1941 | | Audit Committee | | | | Foundation for Parkinson's Research | | | | |
| | | and Director | | | | since 2000; Director, BTG International | | | | |
| | | | | | | Plc (a global technology | | | | |
| | | | | | | commercialization company) from | | | | |
| | | | | | | 2001 to 2007. | | | | |
|
| James H. Bodurtha | | Director | | Since 2002 | | Director, The China Business Group, Inc. | | 35 RICs | | None |
| 55 East 52nd Street | | | | | | (consulting firm) since 1996 and | | consisting of | | |
| New York, NY 10055 | | | | | | Executive Vice President thereof from | | 98 Portfolios | | |
| 1944 | | | | | | 1996 to 2003; Chairman of the Board, | | | | |
| | | | | | | Berkshire Holding Corporation since | | | | |
| | | | | | | 1980. | | | | |
|
| Bruce R. Bond | | Director | | Since 2007 | | Trustee and Member of the Governance | | 35 RICs | | None |
| 55 East 52nd Street | | | | | | Committee, State Street Research | | consisting of | | |
| New York, NY 10055 | | | | | | Mutual Funds from 1997 to 2005; Board | | 98 Portfolios | | |
| 1946 | | | | | | Member of Governance, Audit and | | | | |
| | | | | | | Finance Committee, Avaya Inc. (computer | | | | |
| | | | | | | equipment) from 2003 to 2007. | | | | |
|
| Donald W. Burton | | Director | | Since 2002 | | Managing General Partner, The Burton | | 35 RICs | | Knology, Inc. |
| 55 East 52nd Street | | | | | | Partnership, LP (an investment | | consisting of | | (telecommunications); |
| New York, NY 10055 | | | | | | partnership) since 1979; Managing | | 98 Portfolios | | Capital Southwest |
| 1944 | | | | | | General Partner, The South Atlantic | | | | (financial) |
| | | | | | | Venture Funds since 1983; Member of | | | | |
| | | | | | | the Investment Advisory Council of the | | | | |
| | | | | | | Florida State Board of Administration | | | | |
| | | | | | | from 2001 to 2007. | | | | |
|
| Honorable Stuart E. | | Director | | Since 2007 | | Partner and Head of International | | 35 RICs | | Alcatel-Lucent |
| Eizenstat | | | | | | Practice, Covington and Burling (law firm) | | consisting of | | (telecommunications); |
| 55 East 52nd Street | | | | | | since 2001; International Advisory Board | | 98 Portfolios | | Global Specialty |
| New York, NY 10055 | | | | | | Member, The Coca Cola Company since | | | | Metallurgical |
| 1943 | | | | | | 2002; Advisory Board Member, BT | | | | (metallurgical |
| | | | | | | Americas (telecommunications) since | | | | industry); UPS |
| | | | | | | 2004; Member of the Board of Directors, | | | | Corporation (delivery |
| | | | | | | Chicago Climate Exchange | | | | service) |
| | | | | | | (environmental) since 2006; Member of | | | | |
| | | | | | | the International Advisory Board GML | | | | |
| | | | | | | (energy) since 2003. | | | | |
|
98
Non-Interested Directors1 (Concluded)
Name, Address and
Year of Birth | | Position(s) Held
with Fund | | Length of
Time Served
as a Director2 | | Principal Occupation(s)
During Past Five Years | | Number of
BlackRock-
Advised
Registered
Investment
Companies
(“RICs”)
Consisting of
Investment
Portfolios
(“Portfolios”)
Overseen | | Public
Directorships |
|
| Kenneth A. Froot | | Director | | Since 2005 | | Professor, Harvard University since 1992. | | 35 RICs | | None |
| 55 East 52nd Street | | | | | | | | consisting of | | |
| New York, NY 10055 | | | | | | | | 98 Portfolios | | |
| 1957 | | | | | | | | | | |
|
| John F. O’Brien | | Director | | Since 2005 | | Chairman and Director, Woods Hole | | 35 RICs | | Cabot Corporation |
| 55 East 52nd Street | | | | | | Oceanographic Institute since 2009 and | | consisting of | | (chemicals); LKQ |
| New York, NY 10055 | | | | | | Trustee thereof from 2003 to 2009; | | 98 Portfolios | | Corporation (auto |
| 1943 | | | | | | Director, Allmerica Financial Corporation | | | | parts manufacturing); |
| | | | | | | from 1995 to 2003; Director, ABIOMED | | | | TJX Companies, Inc. |
| | | | | | | from 1989 to 2006; Director, Ameresco, | | | | (retailer) |
| | | | | | | Inc. (energy solutions company) from | | | | |
| | | | | | | 2006 to 2007; Vice Chairman and | | | | |
| | | | | | | Director, Boston Lyric Opera from 2002 | | | | |
| | | | | | | to 2007. | | | | |
|
| Roberta Cooper Ramo | | Director | | Since 2002 | | Shareholder, Modrall, Sperling, Roehl, | | 35 RICs | | None |
| 55 East 52nd Street | | | | | | Harris & Sisk, P.A. (law firm) since 1993; | | consisting of | | |
| New York, NY 10055 | | | | | | Chairman of the Board, Cooper’s Inc., | | 98 Portfolios | | |
| 1942 | | | | | | (retail) since 2000; Director of ECMC | | | | |
| | | | | | | Group (service provider to students, | | | | |
| | | | | | | schools and lenders) since 2001; | | | | |
| | | | | | | President, The American Law Institute, | | | | |
| | | | | | | (non-profit), since 2008; President, | | | | |
| | | | | | | American Bar Association from 1995 | | | | |
| | | | | | | to 1996. | | | | |
|
| David H. Walsh | | Director | | Since 2003 | | Director, National Museum of Wildlife Art | | 35 RICs | | None |
| 55 East 52nd Street | | | | | | since 2007; Director, Ruckleshaus | | consisting of | | |
| New York, NY 10055 | | | | | | Institute and Haub School of Natural | | 98 Portfolios | | |
| 1941 | | | | | | Resources at the University of Wyoming | | | | |
| | | | | | | from 2006 to 2008; Trustee, University of | | | | |
| | | | | | | Wyoming Foundation since 2008; Director, | | | | |
| | | | | | | The American Museum of Fly Fishing | | | | |
| | | | | | | since 1997; Director, The National | | | | |
| | | | | | | Audubon Society from 1998 to 2005. | | | | |
|
| Richard R. West | | Director and | | Since 2007 | | Dean Emeritus, New York University's | | 35 RICs | | Bowne & Co., Inc. |
| 55 East 52nd Street | | Member of the | | | | Leonard N. Stern School of Business | | consisting of | | (financial printers); |
| New York, NY 10055 | | Audit Committee | | | | Administration since 1995. | | 98 Portfolios | | Vornado Realty Trust |
| 1938 | | | | | | | | | | (real estate company); |
| | | | | | | | | | | Alexander’s Inc. (real |
| | | | | | | | | | | estate company) |
|
| 1 | Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. |
| |
| 2 | Date shown is the earliest date a person has served for the Fund covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock Fund boards were realigned and consolidated into three new Fund boards in 2007. As a result, although the chart shows certain directors as joining the Fund’s board in 2007, each director first became a member of the board of directors of other legacy MLIM or legacy BlackRock Funds as follows: James H. Bodurtha since 1995; Bruce R. Bond since 2005; Donald W. Burton since 2002; Stuart E. Eizenstat since 2001; Kenneth A. Froot since 2005; Robert M. Hernandez since 1996; John F. O’Brien since 2004; Roberta Cooper Ramo since 2000; David H. Walsh since 2003; Fred G. Weiss since 1998; and Richard R. West since 1978. |
|
99
Interested Directors3
Name, Address and
Year of Birth | | Position(s) Held
with Fund | | Length of
Time Served
as a Director | | Principal Occupation(s)
During Past Five Years | | Number of
BlackRock-
Advised
Registered
Investment
Companies
(“RICs”)
Consisting of
Investment
Portfolios
(“Portfolios”)
Overseen | | Public
Directorships |
|
| Richard S. Davis | | Director | | Since 2007 | | Managing Director, BlackRock, Inc. since | | 173 RICs | | None |
| 55 East 52nd Street | | | | | | 2005; Chief Executive Officer, State | | consisting of | | |
| New York, NY 10055 | | | | | | Street Research & Management | | 304 Portfolios | | |
| 1945 | | | | | | Company from 2000 to 2005; Chairman | | | | |
| | | | | | | of the Board of Trustees, State Street | | | | |
| | | | | | | Research Mutual Funds from 2000 to | | | | |
| | | | | | | 2005; Chairman, SSR Realty from 2000 | | | | |
| | | | | | | to 2004 | | | | |
|
| Laurence D. Fink | | Director | | Since 2007 | | Chairman and Chief Executive Officer of | | 35 RICs | | None |
| 55 East 52nd Street | | | | | | BlackRock, Inc. since its formation in | | consisting of | | |
| New York, NY 10055 | | | | | | 1998 and of BlackRock, Inc.’s | | 98 Portfolios | | |
| 1952 | | | | | | predecessor entities since 1988 and | | | | |
| | | | | | | Chairman of the Executive and | | | | |
| | | | | | | Management Committees; Formerly | | | | |
| | | | | | | Managing Director, The First Boston | | | | |
| | | | | | | Corporation, Member of its Management | | | | |
| | | | | | | Committee, Co-head of its Taxable Fixed | | | | |
| | | | | | | Income Division and Head of its | | | | |
| | | | | | | Mortgage and Real Estate Products | | | | |
| | | | | | | Group; Chairman of the Board of several | | | | |
| | | | | | | of BlackRock’s alternative investment | | | | |
| | | | | | | vehicles; Director of several of | | | | |
| | | | | | | BlackRock’s offshore funds; Member of | | | | |
| | | | | | | the Board of Trustees of New York | | | | |
| | | | | | | University, Chair of the Financial Affairs | | | | |
| | | | | | | Committee and a member of the | | | | |
| | | | | | | Executive Committee, the Ad Hoc | | | | |
| | | | | | | Committee on Board Governance, and | | | | |
| | | | | | | the Committee on Trustees; Co-Chairman | | | | |
| | | | | | | of the NYU Hospitals Center Board of | | | | |
| | | | | | | Trustees, Chairman of the | | | | |
| | | | | | | Development/Trustee Stewardship | | | | |
| | | | | | | Committee and Chairman of the Finance | | | | |
| | | | | | | Committee; Trustee, The Boys’ Club of | | | | |
| | | | | | | New York. | | | | |
|
| Henry Gabbay | | Director | | Since 2007 | | Consultant, BlackRock, Inc. from 2007 to | | 173 RICs | | None |
| 55 East 52nd Street | | | | | | 2008; Managing Director, BlackRock, Inc. | | consisting of | | |
| New York, NY 10055 | | | | | | from 1989 to 2007; Chief Administrative | | 304 Portfolios | | |
| 1947 | | | | | | Officer, BlackRock Advisors, LLC from | | | | |
| | | | | | | 1998 to 2007; President of BlackRock | | | | |
| | | | | | | Funds and BlackRock Bond Allocation | | | | |
| | | | | | | Target Shares from 2005 to 2007 and | | | | |
| | | | | | | Treasurer of certain closed-end funds in | | | | |
| | | | | | | the BlackRock fund complex from 1989 | | | | |
| | | | | | | to 2006. | | | | |
|
| 3 | Messrs. Davis and Fink are both “interested persons,” as defined in the Investment Company Act of 1940, of the Fund based on their positions with BlackRock, Inc. and its affiliates. Mr. Gabbay is an "interested person" of the Fund based on his former positions with BlackRock, Inc. and its affiliates, as well as his ownership of BlackRock, Inc. and PNC securities. Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. |
|
100
Fund Officers1
Name, Address and
Year of Birth | | Position(s) Held
with the Fund | | Length of
Time Served | | Principal Occupation(s) During Past Five Years |
|
| Anne F. Ackerley | | President and | | Since 2009 | | Managing Director of BlackRock, Inc. since 2000; Vice President of the BlackRock- |
| 55 East 52nd Street | | Chief Executive | | | | advised funds from 2007 to 2009; Chief Operating Officer of BlackRock's Global Client |
| New York, NY 10055 | | Officer | | | | Group (GCG) since 2009; Chief Operating Officer of BlackRock’s U.S. Retail Group from |
| 1962 | | | | | | 2006 to 2009; Head of BlackRock’s Mutual Fund Group from 2000 to 2006. |
|
| Jeffrey Holland, CFA | | Vice President | | Since 2009 | | Managing Director of BlackRock, Inc. since 2010; Director of BlackRock, Inc. from 2006 |
| 55 East 52nd Street | | | | | | to 2009; Chief Operating Officer of BlackRock’s U.S. Retail Group since 2009; Co-head |
| New York, NY 10055 | | | | | | of Product Development and Management for BlackRock’s U.S. Retail Group from 2007 |
| 1971 | | | | | | to 2009; Product Manager of Raymond James & Associates from 2003 to 2006. |
|
| Brendan Kyne | | Vice President | | Since 2009 | | Managing Director of BlackRock, Inc. since 2010; Director of BlackRock, Inc. from 2008 |
| 55 East 52nd Street | | | | | | to 2009; Head of Product Development and Management for BlackRock's U.S. Retail |
| New York, NY 10055 | | | | | | Group since 2009, Co-head thereof from 2007 to 2009; Vice President of BlackRock, |
| 1977 | | | | | | Inc. from 2005 to 2008. |
|
| Brian Schmidt | | Vice President | | Since 2009 | | Managing Director of BlackRock, Inc. since 2004; Various positions with U.S. Trust |
| 55 East 52nd Street | | | | | | Company from 1991 to 2003 including Director from 2001 to 2003 and Senior Vice |
| New York, NY 10055 | | | | | | President from 1998 to 2003; Vice President, Chief Financial Officer and Treasurer of |
| 1958 | | | | | | Excelsior Funds, Inc., Excelsior Tax-Exempt Funds, Inc. and Excelsior Funds Trust from |
| | | | | | | 2001 to 2003. |
|
| Neal J. Andrews | | Chief Financial | | Since 2007 | | Managing Director of BlackRock, Inc. since 2006; Senior Vice President and Line of |
| 55 East 52nd Street | | Officer | | | | Business Head of Fund Accounting and Administration at PNC Global Investment |
| New York, NY 10055 | | | | | | Servicing (U.S.) Inc. from 1992 to 2006. |
| 1966 | | | | | | |
|
| Jay M. Fife | | Treasurer | | Since 2007 | | Managing Director of BlackRock, Inc. since 2007 and Director in 2006; Assistant |
| 55 East 52nd Street | | | | | | Treasurer of the Merrill Lynch Investment Managers, L.P. (“MLIM”) and Fund Asset |
| New York, NY 10055 | | | | | | Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services |
| 1970 | | | | | | Group from 2001 to 2006. |
|
| Brian P. Kindelan | | Chief Compliance | | Since 2007 | | Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director |
| 55 East 52nd Street | | Officer | | | | and Senior Counsel of BlackRock, Inc. since 2005. |
| New York, NY 10055 | | | | | | |
| 1959 | | | | | | |
|
| Howard B. Surloff | | Secretary | | Since 2007 | | Managing Director and General Counsel of U.S. Funds at BlackRock, Inc. since 2006; |
| 55 East 52nd Street | | | | | | General Counsel (U.S.) of Goldman Sachs Asset Management, L.P. from 1993 to 2006. |
| New York, NY 10055 | | | | | | |
| 1965 | | | | | | |
|
| 1 | Officers of the Fund serve at the pleasure of the Board. |
|
| Further information about the Fund’s Officers and Directors is available in the Fund’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762. |
|
Investment Advisor
BlackRock Advisors, LLC
Wilmington, DE 19809
Sub-Advisors
BlackRock Financial Management, Inc.
New York, NY 10055
BlackRock Investment Management, LLC
Plainsboro, NJ 08536
BlackRock International Limited
Edinburgh, EH3 8JB, United Kingdom
BlackRock Institutional Management Corporation
Wilmington, DE 19809
Custodian
The Bank of New York Mellon2
New York, NY 10286
Brown Brothers Harriman & Co.3
Boston, MA 02109
Transfer Agent
PNC Global Investment Servicing (U.S.) Inc.
Wilmington, DE 19809
Accounting Agent
State Street Bank and Trust Company
Princeton, NJ 08540
Distributor
BlackRock Investments, LLC
New York, NY 10022
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Princeton, NJ 08540
Legal Counsel
Willkie, Farr & Gallagher LLP
New York, NY 10019
Principal Office of the Fund
BlackRock Series Fund, Inc.
100 Bellevue Parkway
Wilmington, DE 19809
| 2 | For all Portfolios except BlackRock Global Allocation Portfolio. |
| |
| 3 | For BlackRock Global Allocation Portfolio. |
101
BlackRock Series Fund, Inc.Section 19(a) Notices
These reported amounts and sources of distributions are estimates and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Portfolio's investment experience during the year and may be subject to changes based on the tax regulations. Each Portfolio will provide a Form 1099-DIV each calendar year that will explain the character of these dividends and distributions for federal income tax purposes.
| | Total Fiscal Year-to-Date Cumulative
Distributions by Character
| Percentage of Fiscal
Year-to-Date Cumulative
|
| December 31, 2009 | Net
Investment
Income | Net
Realized
Capital
Gains | Return of
Capital | Total Per
Common
Share | Net
Investment
Income | Net
Realized
Capital
Gains | Return of
Capital | Total Per
Common
Share |
|
| Money Market Portfolio | $0.003154501 | $0.000006000 | — | $0.003160501 | 100 | % | — | — | | 100 | % |
| Total Return Portfolio | $0.577012525 | — | $0.003198839 | $0.580211364 | 99 | % | — | 1 | % | 100 | % |
|
Availability of Quarterly Schedule of Investments
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (the “SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at http://www.sec.gov. The Fund’s Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling (202) 551-8090. The Fund’s Forms NQ may also be obtained upon request, without charge, by calling (800) 441-7762.
Availability of Proxy Voting Polices and Procedures
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (2) on www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.
Availability of Proxy Voting Record
Information on how the Fund voted proxies relating to securities held in the Fund’s portfolio during the most recent 12-month period ended June 30, is available upon request and without charge (1) at www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.
102
BlackRock Series Fund, Inc.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 nonpublic 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 nonpublic 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; (iv) from visits to our websites.
BlackRock does not sell or disclose to nonaffiliated third parties any nonpublic personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests to service Client accounts. These nonaffiliated 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 nonpublic 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 nonpublic personal information of its Clients, including procedures relating to the proper storage and disposal of such information.
103
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This report is authorized for distribution only to Policyowners of certain variable life insurance policies, which are funded by shares of BlackRock Series Fund, Inc. This report is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund or the policies. Past performance results shown in this report should not be considered a representation of future performance. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance information used throughout this report does not include insurance-related fees and expenses. An investment in BlackRock Money Market Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other Government agency. Although BlackRock Money Market Portfolio seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Portfolio. Statements and other information herein are as dated and are subject to change.
Investment in foreign securities involves special risks including fluctuating foreign exchange rates, foreign government regulations, differing degrees of liquidity and the possibility of substantial volatility due to adverse political, economic or other developments.
59828-12/09
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.
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.
