UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT
COMPANIES
Investment Company Act file number: 811-03091
Name of Fund: BlackRock Series Fund, Inc.
BlackRock Advantage Large Cap Core Portfolio
BlackRock Balanced Capital Portfolio
BlackRock Capital Appreciation Portfolio
BlackRock Global Allocation Portfolio
BlackRock Government Money Market Portfolio
BlackRock High Yield Portfolio
BlackRock U.S. Government Bond Portfolio
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Series Fund, Inc., 55 East 52nd Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 441-7762
Date of fiscal year end: 12/31/2018
Date of reporting period: 06/30/2018
Item 1 – | Report to Stockholders |
JUNE 30, 2018
SEMI-ANNUAL REPORT |
BlackRock Series Fund, Inc.
Ø | BlackRock Advantage Large Cap Core Portfolio |
Ø | BlackRock Balanced Capital Portfolio |
Ø | BlackRock Capital Appreciation Portfolio |
Ø | BlackRock Global Allocation Portfolio |
Ø | BlackRock Government Money Market Portfolio |
Ø | BlackRock High Yield Portfolio |
Ø | BlackRock U.S. Government Bond Portfolio |
Not FDIC Insured • May Lose Value • No Bank Guarantee |
Dear Shareholder,
In the 12 months ended June 30, 2018, the strongest corporate profits in seven years drove the equity market higher, while rising interest rates constrained bond returns. Though the market’s appetite for risk remained healthy, risk taking was tempered somewhat, as shorter-term, higher-quality securities led the bond market, and U.S. equities outperformed most international stock markets.
Strong equity performance worldwide was driven by synchronized economic growth across the most influential economies. However, volatility in emerging market stocks rose, as U.S.-China trade relations and debt concerns weighed heavily on the Chinese stock market.
Short-term U.S. Treasury interest rates rose the fastest, while longer-term rates slightly increased, leading to a substantial flattening of the yield curve. The annual return for the three-month U.S. Treasury bill surpassed 1.0%, but remained well below the annual headline inflation rate of 2.9%. In contrast, the ten-year U.S. Treasury — a bellwether of the bond market — posted a negative return, as rising inflation expectations drove yields higher. Although the fundamentals in credit markets remained relatively solid, investment-grade bonds declined slightly, and high-yield bonds posted modest returns.
In response to rising growth and inflation, the U.S. Federal Reserve (the “Fed”) increased short-term interest rates three times during the reporting period. The Fed also announced plans to reduce its $4.4 trillion balance sheet by $420 billion in 2018, which began the process of gradually reversing its unprecedented stimulus measures after the financial crisis. Meanwhile, the European Central Bank announced that its bond-purchasing program would conclude at the end of the year, while also expressing an open-ended commitment to low interest rates. In contrast, the Bank of Japan continued to expand its balance sheet through bond purchasing while lowering its expectations for inflation.
The U.S. economy continued to gain momentum despite the Fed’s modest reduction of economic stimulus; unemployment declined to 4.0%, wages increased, and the number of job openings reached a record high. Strong economic performance may justify a more rapid pace of rate hikes in 2018, as the headline inflation rate and investors’ expectations for inflation have already surpassed the Fed’s target of 2.0%.
While U.S. monetary policy is seeking to restrain economic growth and inflation, fiscal policy has produced new sources of growth that could nourish the economy for the next few years. Corporate tax cuts and repatriation of capital held abroad could encourage a virtuous cycle of business spending. Lower individual tax rates coupled with the robust job market may refresh consumer spending. Proposed infrastructure spending would deliver growth from the government sector, generate demand, and improve economic activity in other sectors.
We continue to believe the primary risks to economic expansion are trade protectionism, rapidly rising interest rates, and geopolitical tension. Given the deflationary forces of technology and globalization, a substantial increase in inflation is unlikely to materialize as long as the unemployment rate remains above 3.0%. However, we are closely monitoring trade protectionism and the rise of populism in Western nations. In particular, the outcome of trade negotiations between the United States and China is likely to influence the global growth trajectory and set the tone for free trade in many other nations.
In this environment, investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
Rob Kapito
President, BlackRock Advisors, LLC
Total Returns as of June 30, 2018 | ||||
6-month | 12-month | |||
U.S. large cap equities | 2.65% | 14.37% | ||
U.S. small cap equities | 7.66 | 17.57 | ||
International equities | (2.75) | 6.84 | ||
Emerging market equities | (6.66) | 8.20 | ||
3-month Treasury bills | 0.81 | 1.36 | ||
U.S. Treasury securities | (2.68) | (2.69) | ||
U.S. investment grade bonds | (1.62) | (0.40) | ||
Tax-exempt municipal bonds | (0.02) | 1.61 | ||
U.S. high yield bonds | 0.16 | 2.62 | ||
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
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Fund Summary as of June 30, 2018 | BlackRock Advantage Large Cap Core Portfolio |
Investment Objective
BlackRock Advantage Large Cap Core Portfolio’s (the “Fund”) investment objective is to seek long-term capital appreciation.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended June 30, 2018, the Fund outperformed its benchmark, the Russell 1000® Index.
What factors influenced performance?
Overall fundamental stock selection insights, specifically those that identify quality measures, performed well amid a rise in volatility. Notably, an insight that identifies stocks with the ability to generate consistent free cash flow contributed to results. Additionally, a signal that identifies consistent dividend growth proved beneficial. Elsewhere, stock selection insights that seek to capture sentiment and trends across informed market participants were broadly rewarded. Specifically, an insight that captures sentiment from bond markets contributed to performance as the Fed raised rates over the period. Additionally, our proprietary text-based analysis of executive statements to capture longer-term trends in company fundamentals and analysis of sell-side analyst reports drove gains.
Fundamental insights that identify attractive valuations struggled during the period. This has coincided with the value style continuing to lag the market in the prolonged growth regime. Notably, signals that compare companies across top-line sales, earnings and cash flows underperformed during the period. Elsewhere, a macro thematic insight that evaluates sector sensitivity to China detracted as emerging markets were under pressure during the period. Additionally, insights that seek to capture trends across consumer activity, such as foot traffic in brick-and-mortar retail locations, weighed on results.
Describe recent portfolio activity.
Over the course of the period, the portfolio maintained a balanced allocation of risk across all major return drivers. However, a number of new stock selection insights were added to the portfolio. A model that evaluates companies on the basis of governance and the ethics and sustainability of its business practices from a social and environmental perspective was added to our bucket of quality signals. In addition, a new macro thematic model that evaluates industries across various inputs such as labor costs and hiring activity was added.
Describe portfolio positioning at period end.
Relative to the Russell 1000® Index, the Fund was positioned essentially neutral from a sector perspective. The Fund had slight overweight positions in industrials and health care and slight underweight positions in energy and utilities.
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.
4 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Fund Summary as of June 30, 2018 (continued) | BlackRock Advantage Large Cap Core Portfolio |
Performance Summary for the Period Ended June 30, 2018
Average Annual Total Returns (a) | ||||||||||||||||||||||||||||
6-Month Total Returns (a) | 1 Year | 5 Years | 10 Years | |||||||||||||||||||||||||
BlackRock Advantage Large Cap Core Portfolio(b) | 3.70 | % | 15.73 | % | 13.66 | % | 8.95 | % | ||||||||||||||||||||
Russell 1000® Index(c) | 2.85 | 14.54 | 13.37 | 10.20 |
(a) | Cumulative and average annual total returns are based on changes in net asset value for the periods shown and assume reinvestment of all distributions at net asset value on the ex-dividend date. Insurance-related fees and expenses are not reflected in these returns. The Funds total returns prior to June 12, 2017 are the returns of the Fund when it followed different investment strategies under the name “BlackRock Large Cap Core Portfolio.” |
(b) | Assuming transaction costs and other operating expenses, including investment advisory fees, if any. Does not include insurance-related fees and expenses. Under normal circumstances, the Fund invests at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in large cap equity securities and derivatives that have similar economic characteristics to such securities. |
(c) | The index measures the performance of the large cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1,000 of the largest securities based on a combination of their market capitalization and current index membership. The index represents approximately 92% of the total market capitalization of the Russell 3000® Index. |
Past performance is not indicative of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
Actual | Hypothetical (a) | |||||||||||||||||||||||||||||||
Beginning Account Value (01/01/18) | Ending Account Value (06/30/18) | Expenses Paid During the Period (b) | Beginning Account Value (01/01/18) | Ending Account Value (06/30/18) | Expenses Paid During the Period (b) | Annualized Ratio | ||||||||||||||||||||||||||
BlackRock Advantage Large Cap Core Portfolio | $ | 1,000.00 | $ | 1,037.00 | $ | 2.53 | $ | 1,000.00 | $ | 1,022.32 | $ | 2.51 | 0.50 | % |
(a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. |
(b) | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). |
See “Disclosure of Expenses” on page 18 for further information on how expenses were calculated.
Portfolio Information
SECTOR ALLOCATION
Sector | Percent of Net Assets | |||
Information Technology | 26 | % | ||
Financials | 14 | |||
Health Care | 14 | |||
Consumer Discretionary | 13 | |||
Industrials | 10 | |||
Consumer Staples | 6 | |||
Energy | 6 | |||
Real Estate | 4 | |||
Materials | 3 | |||
Utilities | 2 | |||
Telecommunication Services | 1 | |||
Short-Term Securities | 4 | |||
Liabilities in Excess of Other Assets | (3 | ) |
For Fund compliance purposes, the Fund’s sector classifications refer to 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 the investment adviser. These definitions may not apply for purposes of this report, which may combine sector sub classifications for reporting ease.
FUND SUMMARY | 5 |
Fund Summary as of June 30, 2018 | BlackRock Balanced Capital Portfolio |
Investment Objective
BlackRock Balanced Capital Portfolio’s (the “Fund”) investment objective is to seek high total investment return.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended June 30, 2018, the Fund returned 2.15%, outperforming its blended benchmark (60% Russell 1000® Index/40% Bloomberg Barclays U.S. Aggregate Bond Index), which returned 1.12% for the period. The Russell 1000® Index returned 2.85%, while the Bloomberg Barclays U.S. Aggregate Bond Index returned (1.62)% for the same period.
What factors influenced performance?
Tactical asset allocation supported the Fund’s performance, with a cautious stance on U.S. bonds a notable driver of performance early in the period as January and February saw bond yields move higher. Within the equity allocation, strong stock selection drove performance, as insights with respect to both sentiment across asset classes and company quality (based on the ability to generate consistent free cash flow) performed well. Within fixed income, allocations to non-agency mortgage-backed securities (“MBS”) and collateralized loan obligations (“CLOs”) contributed to return, as did exposure to municipal bonds.
From a broad asset allocation perspective, a cautious stance on domestic stocks detracted from performance as U.S. equities advanced amid positive earnings momentum and supportive economic data. Within equities, stock selection insights that identify value by comparing companies across top-line sales, earnings and cash flows detracted during the period. As emerging markets came under pressure during the period a macro-based thematic insight that evaluates sector sensitivity to China also detracted. Within fixed income, an overweight to emerging market bonds was the primary detractor from performance.
The Fund held derivatives including financial futures contracts during the period as a part of its investment strategy. Although the positions were small, the contribution to Fund performance was positive. Derivatives are used by the investment adviser as a means to manage risk and/or take outright views on equities, interest rates, credit risk and/or foreign exchange positions in the Fund.
Describe recent portfolio activity.
From a broad asset allocation perspective, the Fund began the period with a modest preference for stocks over bonds, notably in international developed markets. During the period, the Fund initiated an overweight position in European equities, and closed this position as prices moved higher supported by renewed dovishness from the European Central Bank. The Fund retained a preference for Japanese equities versus U.S. equities. The Fund reduced the magnitude of its underweight position in U.S. bonds over the period.
Within fixed income, an underweight stance with respect to duration and corresponding interest rate sensitivity was maintained early in the period, but reduced as the first quarter of 2018 progressed. The Fund held a constructive view on emerging market bonds early in the period but decreased its allocation in the second quarter. The Fund also became more cautious on corporate credit.
At period end, the Fund held a slightly elevated allocation to cash. The cash position did not have a material impact on performance results for the period.
Describe portfolio positioning at period end.
Within the Fund’s equity allocation, the Fund had slight overweight positions in financials and industrials and slight underweight positions in energy and utilities. The Fund ended the period with a preference for Japanese stocks relative to domestic stocks on expectations that the Federal Reserve would continue to withdraw stimulus at a faster pace than in other economies. Within fixed income, the Fund retained an underweight to U.S. bonds given an upbeat view on inflation. The Fund maintained exposure to high yield bonds and continued to favor securitized assets such as MBS and CLOs.
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.
6 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Fund Summary as of June 30, 2018 (continued) | BlackRock Balanced Capital Portfolio |
Performance Summary for the Period Ended June 30, 2018
6-Month Total Returns (a) | Average Annual Total Returns (a) | |||||||||||||||||||||||||||
1 Year | 5 Years | 10 Years | ||||||||||||||||||||||||||
BlackRock Balanced Capital Portfolio(b) | 2.15 | % | 9.46 | % | 9.87 | % | 7.31 | % | ||||||||||||||||||||
60% Russell 1000® Index/40% Bloomberg Barclays U.S. Aggregate Bond Index(c) | 1.12 | 8.43 | 8.94 | 7.87 | ||||||||||||||||||||||||
Russell 1000® Index(d) | 2.85 | 14.54 | 13.37 | 10.20 | ||||||||||||||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index(e) | (1.62 | ) | (0.40 | ) | 2.27 | 3.72 |
(a) | Cumulative and average annual total returns are based on changes in net asset value for the periods shown and assume reinvestment of all distributions at net asset value on the ex-dividend date. Insurance-related fees and expenses are not reflected in these returns. |
(b) | Assuming transaction costs and other operating expenses, including investment advisory fees, if any. Does not include insurance-related fees and expenses. The Fund invests in U.S. and foreign equity and fixed income securities of any maturity. |
(c) | The Fund compares its performance to that of a customized weighted index comprised of the returns of the Russell 1000® Index (60%) and Bloomberg Barclays U.S. Aggregate Bond Index (40%). |
(d) | The index measures the performance of the large cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1,000 of the largest securities based on a combination of their market capitalization and current market membership. The index represents approximately 92% of the total market capitalization of the Russell 3000® Index. |
(e) | A widely recognized unmanaged market-weighted index comprised of investment-grade corporate bonds rated BBB or better, mortgages and U.S. Treasury and U.S. Government agency issues with at least one year to maturity. |
Past performance is not indicative of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
Actual | Hypothetical (a) | |||||||||||||||||||||||||||||||||||||||
Including Dividend Expense and Interest Expense | Excluding Dividend Expense and Interest Expense | Including Dividend Expense and Interest Expense | Excluding Dividend Expense and Interest Expense | |||||||||||||||||||||||||||||||||||||
Beginning Account Value (01/01/18) | Ending Account Value (06/30/18) | Expenses Paid During the Period (b) | Expenses Paid During the Period (c) | Beginning Account Value (01/01/18) | Ending Account Value (06/30/18) | Expenses Paid During the Period (b) | Ending Account Value (06/30/18) | Expenses Paid During the Period (c) | ||||||||||||||||||||||||||||||||
BlackRock Balanced Capital Portfolio | $ | 1,000.00 | $ | 1,021.50 | $ | 2.56 | $ | 2.41 | $ | 1,000.00 | $ | 1,022.27 | $ | 2.56 | $ | 1,022.41 | $ | 2.41 |
(a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. |
(b) | Expenses are equal to the annualized expense ratio (0.51%), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). |
(c) | Expenses are equal to the annualized expense ratio (0.48%), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). |
See “Disclosure of Expenses” on page 18 for further information on how expenses were calculated.
Portfolio Information
PORTFOLIO COMPOSITION
Asset Type | Percent of Total Investments (a) | |||
Common Stocks | 62 | % | ||
U.S. Government Sponsored Agency Securities | 12 | |||
Corporate Bonds | 10 | |||
Asset-Backed Securities | 5 | |||
U.S. Treasury Obligations | 4 | |||
Non-Agency Mortgage-Backed Securities | 3 | |||
Municipal Bonds | 2 | |||
Foreign Government Obligations | 1 | |||
Investment Companies | 1 | |||
Foreign Agency Obligations | — | (b) | ||
Preferred Securities | — | (b) | ||
Other Interests | — | (b) |
(a) | Total Investments exclude short-term securities, options purchased, options written, borrowed bonds and TBA sale commitments. |
(b) | Representing less than 0.5% of the Fund’s total investments. |
FUND SUMMARY | 7 |
Fund Summary as of June 30, 2018 | BlackRock Capital Appreciation Portfolio |
Investment Objective
BlackRock Capital Appreciation Portfolio’s (the “Fund”) investment objective is to seek long term growth of capital.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended June 30, 2018, the Fund outperformed its benchmark, the Russell 1000® Growth Index and the broad market S&P 500® Index. The following discussion of relative performance pertains to the Russell 1000® Growth Index.
What factors influenced performance?
In sector terms, the largest contributor to the Fund’s relative performance was consumer discretionary, where internet & direct marketing retail holdings had the most significant impact on results. Selection in hotels, restaurants & leisure and a lack of exposure to media also added value within the sector. The industrials and healthcare sectors were additional sources of positive performance. An underweight to machinery and selection in conglomerates benefited performance in industrials, while an underweight to biotechnology and positioning in pharmaceuticals drove gains in health care. Finally, positioning in consumer staples proved advantageous.
At the individual stock level, Netflix Inc. and Amazon.com Inc. were the largest contributors. Netflix outperformed after a series of strong earnings reports, and the company continues to gain scale based on original content and new subscribers. Amazon continued to perform well after a series of solid earnings reports and acceleration in several of its key segments.
While the Fund’s overall security selection was notably strong for the period, an overweight to financials weighed on results. In particular, bank and diversified financial services holdings had the most negative impact.
A position in Chinese internet conglomerate Tencent Holding Ltd. was the leading detractor. The stock pulled back amid fears of a slowdown in PC gaming and a near-term profit margin contraction. The Fund has maintained the overweight position on a positive view of the company’s growth opportunities especially in payments, mobile gaming and advertising. An underweight to Apple Inc. also detracted as the company outperformed during the period. The underweight to Apple is based on the view that a mature smartphone market, increasing competition and a lack of new innovative products will limit the company’s growth once the most recent iPhone product cycles are complete
Describe recent portfolio activity.
Due to a combination of portfolio trading activity and market movement during the six-month period, the Fund’s weighting in consumer discretionary increased, particularly within internet & direct marketing retail. The Fund’s information technology (“IT”) exposure also increased, namely within software and IT services. Exposure to materials decreased, largely with respect to chemicals. Financials, namely banks, and health care, primarily biotechnology, saw declines as well.
Describe portfolio positioning at period end.
As of period end, the Fund’s largest overweight relative to the Russell 1000® Growth Index was the consumer discretionary sector, followed by financials. Industrials was the largest sector underweight, followed by consumer staples and health care.
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.
8 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Fund Summary as of June 30, 2018 (continued) | BlackRock Capital Appreciation Portfolio |
Performance Summary for the Period Ended June 30, 2018
Average Annual Total Returns (a) | ||||||||||||||||||||||||||||
6-Month (a) Total Returns | 1 Year | 5 Years | 10 Years | |||||||||||||||||||||||||
BlackRock Capital Appreciation Portfolio(b) | 14.79 | % | 30.42 | % | 17.41 | % | 10.97 | % | ||||||||||||||||||||
S&P 500® Index(c) | 2.65 | 14.37 | 13.42 | 10.17 | ||||||||||||||||||||||||
Russell 1000® Growth Index(d) | 7.25 | 22.51 | 16.36 | 11.83 |
(a) | Cumulative and average annual total returns are based on changes in net asset value for the periods shown and assume reinvestment of all distributions at net asset value on the ex-dividend date. Insurance-related fees and expenses are not reflected in these returns. |
(b) | Assuming transaction costs and other operating expenses, including investment advisory fees, if any. Does not include insurance-related fees and expenses. The Fund invests primarily in a diversified portfolio consisting primarily of common stock of U.S. companies that the investment advisor believes have exhibited above-average growth rates in earnings over the long term. |
(c) | This unmanaged index covers 500 leading companies and captures approximately 80% coverage of available market capitalization. |
(d) | This unmanaged index measures the performance of the large cap growth segment of the U.S. equity universe and consists of those Russell 1000® securities with higher price-to-book ratios and higher forecasted growth values. |
Past performance is not indicative of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
Actual | Hypothetical (a) | |||||||||||||||||||||||||||||||
Beginning Account Value (01/01/18) | Ending Account Value (06/30/18) | Expenses Paid During the Period (b) | Beginning (01/01/18) | Ending Account Value (06/30/18) | Expenses Paid During the Period (b) | Annualized Expense Ratio | ||||||||||||||||||||||||||
BlackRock Capital Appreciation Portfolio | $ | 1,000.00 | $ | 1,147.90 | $ | 2.61 | $ | 1,000.00 | $ | 1,022.36 | $ | 2.46 | 0.49 | % |
(a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. |
(b) | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). |
See “Disclosure of Expenses” on page 18 for further information on how expenses were calculated.
Portfolio Information
SECTOR ALLOCATION
Sector | Percent of Net Assets | |||
Information Technology | 41 | % | ||
Consumer Discretionary | 23 | |||
Health Care | 12 | |||
Industrials | 8 | |||
Financials | 6 | |||
Consumer Staples | 4 | |||
Materials | 3 | |||
Real Estate | 1 | |||
Energy | 1 | |||
Telecommunication Services | — | (a) | ||
Short-Term Securities | 4 | |||
Liabilities in Excess of Other Assets | (3 | ) |
(a) | Representing less than 0.5% of net assets. |
For Fund compliance purposes, the Fund’s sector classifications refer to 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 the investment adviser. These definitions may not apply for purposes of this report, which may combine sector sub classifications for reporting ease.
FUND SUMMARY | 9 |
Fund Summary as of June 30, 2018 | BlackRock Global Allocation Portfolio |
Investment Objective
BlackRock Global Allocation Portfolio’s (the “Fund”) investment objective is to seek high total investment return.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended June 30, 2018, the Fund underperformed both its Reference Benchmark and the broad based all-equity benchmark, the FTSE World Index. The Reference Benchmark is comprised as follows: 36% S&P 500® Index; 24% FTSE World (ex-U.S.) Index; 24% ICE BofAML Current 5-Year U.S. Treasury Index; and 16% FTSE Non-U.S. Dollar World Government Bond Index. The Fund invests in both equities and bonds, and therefore, Fund management believes the Reference Benchmark provides a more accurate representation of the Fund’s composition and is a more comparable means for measurement. The following discussion of relative performance pertains to the Reference Benchmark. The following commentary (and referenced allocation percentages) are based on the economic exposures of the Fund, which reflect adjustments for futures, options and swaps (except with respect to fixed income securities), and convertible bonds, and may vary relative to the market value.
What factors influenced performance?
Within equities, an overweight to Japan and underweight to the U.S. market detracted from performance. From a sector perspective, stock selection in consumer discretionary and materials negatively impacted returns. Within fixed-income, an overweight to emerging market government bonds weighed on performance. The Fund’s commodity-related exposures, most notably to gold, also detracted.
Within equities, stock selection in health care, utilities and information technology (“IT”) along with an underweight to consumer staples contributed to the Fund’s performance. Exposure to cash and cash equivalents was additive as well.
The Fund uses derivatives, which may include options, futures, swaps and forward contracts both to seek to enhance returns of the Fund and to hedge (or protect) against adverse movements in currency exchange rates, interest rates and movements in the securities markets. During the period, the use of derivatives detracted from the Fund’s performance.
Describe recent portfolio activity.
During the six-month period, the Fund’s overall equity allocation decreased from 62% to 61% of net assets. Within equities, the Fund decreased exposure to Europe and Japan. From a sector perspective, the Fund decreased exposure to industrials, utilities, energy, telecommunication services (“telecom”) and consumer discretionary, and increased exposure to health care, IT and consumer staples.
The Fund’s overall allocation to fixed income decreased from 31% to 29% of net assets. Within fixed income, the Fund decreased exposure to non-U.S. government bonds in Australia, Brazil and Poland, as well as to corporate bonds. The Fund increased exposure to U.S. government bonds.
The Fund’s exposure to commodity-related securities decreased from 4% to 3% of net assets.
Reflecting the above changes, the Fund’s cash and cash equivalent holdings increased from 3% to 7% of net assets. During the six-month period, the Fund’s cash position helped mitigate portfolio volatility and served as a source of funds for new investments and redemptions.
Describe portfolio positioning at period end.
Relative to its Reference Benchmark, the Fund was overweight in equities, underweight in fixed income, overweight in commodity-related, and overweight in cash and cash equivalents. Within equities, the Fund was overweight in Asia and underweight in the U.S. market. Within Europe, the Fund was overweight in the Netherlands and France, and underweight in the U.K. and Ireland. From a sector perspective, the Fund was overweight in health care, energy, IT, consumer discretionary and telecom, and underweight in industrials, financials, consumer staples and real estate. Within fixed income, the Fund was underweight in developed market government bonds, and overweight in corporate and convertible bonds. With respect to currency exposures, the Fund was overweight in the U.S. dollar and Indian rupee and underweight in the euro, Australian dollar and Japanese yen.
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.
10 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Fund Summary as of June 30, 2018 (continued) | BlackRock Global Allocation Portfolio |
Performance Summary for the Period Ended June 30, 2018
Average Annual Total Returns (a) | ||||||||||||||||||||||||||||
6-Month Total Returns (a) | 1 Year | 5 Years | 10 Years | |||||||||||||||||||||||||
BlackRock Global Allocation Portfolio(b)(c) | (1.46 | )% | 4.25 | % | 5.55 | % | 4.74 | % | ||||||||||||||||||||
FTSE World Index(d) | (0.05 | ) | 11.14 | 10.13 | 6.59 | |||||||||||||||||||||||
Reference Benchmark(e) | (0.22 | ) | 6.98 | 6.83 | 5.75 | |||||||||||||||||||||||
U.S. Stocks: S&P 500 Index(f) | 2.65 | 14.37 | 13.42 | 10.17 | ||||||||||||||||||||||||
Non-U.S. Stocks: FTSE World (ex-U.S.) Index(g) | (3.50 | ) | 7.03 | 6.51 | 3.14 | |||||||||||||||||||||||
U.S. Bonds: ICE BofAML Current 5-Year U.S. Treasury Index(h) | (1.08 | ) | (1.53 | ) | 0.89 | 2.92 | ||||||||||||||||||||||
Non-U.S. Bonds: FTSE Non-U.S. Dollar World Government Bond Index(i) | (0.92 | ) | 3.22 | 1.01 | 1.78 |
(a) | Cumulative and average annual total returns are based on changes in net asset value for the periods shown and assume reinvestment of all distributions at net asset value on the ex-dividend date. Insurance-related fees and expenses are not reflected in these returns. |
(b) | Assuming transaction costs, if any, and other operating expenses, including investment advisory fees. Does not include insurance-related fees and expenses. |
(c) | The Fund invests in a portfolio of U.S. and foreign equity securities, debt and money market securities, the combination of which will be varied from time to time with respect to types of securities and markets in response to changing markets and economic trends. |
(d) | This unmanaged capitalization-weighted index is comprised of 2,602 equities from 35 countries in 4 regions, including the United States. |
(e) | The Reference Benchmark is an unmanaged weighted index comprised as follows: 36% S&P 500® Index, 24% FTSE World (ex-U.S.) Index, 24% ICE BofAML Current 5-Year U.S. Treasury Index and 16% FTSE Non-U.S. Dollar World Government Bond Index. |
(f) | This unmanaged index covers 500 leading companies and captures approximately 80% coverage of available market capitalization. |
(g) | This unmanaged capitalization-weighted index comprised of 1,990 equities from 34 countries, excluding the United States. |
(h) | This unmanaged index is designed to track the total return of the current coupon five-year U.S. Treasury bond. |
(i) | This unmanaged market capitalization-weighted index tracks 22 government bond indexes, excluding the United States. |
Past performance is not indicative of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
Actual | Hypothetical (a) | |||||||||||||||||||||||||||||||||||||||
Including Dividend Expense | Excluding Dividend Expense | Including Dividend Expense | Excluding Dividend Expense | |||||||||||||||||||||||||||||||||||||
Beginning Account Value 01/01/18 | Ending Account Value 06/30/18 | Expenses Paid During the Period (b) | Expenses Paid During the Period (c) | Beginning Account Value 01/01/18 | Ending Account Value 06/30/18 | Expenses Paid During the Period (b) | Ending Account Value 06/30/18 | Expenses Paid During the Period (c) | ||||||||||||||||||||||||||||||||
BlackRock Global Allocation Portfolio | $ | 1,000.00 | $ | 985.40 | $ | 2.86 | $ | 2.81 | $ | 1,000.00 | $ | 1,021.92 | $ | 2.91 | $ | 1,021.97 | $ | 2.86 |
(a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. |
(b) | Expenses are equal to the annualized expense ratio (0.58%), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). |
(c) | Expenses are equal to the annualized expense ratio (0.57%), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). |
See “Disclosure of Expenses” on page 18 for further information on how expenses were calculated.
Overall Asset Exposure
Percent of Fund’s Net Assets (a) | Reference Percentage | |||||||||||
Portfolio Composition | 6/30/2018 | 12/31/2017 | ||||||||||
U.S. Equities | 32 | % | 32 | % | 35 | % | ||||||
European Equities | 13 | 15 | 13 | |||||||||
Asia Pacific Equities | 15 | 14 | 9 | |||||||||
Other Equities | 1 | 1 | 3 | |||||||||
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Total Equities | 61 | 62 | 60 | |||||||||
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U.S Dollar Denominated Fixed Income Securities | 23 | 22 | 24 | |||||||||
U.S. Issuers | 21 | 19 | — | |||||||||
Non-U.S. Issuers | 2 | 3 | — | |||||||||
Non-U.S Dollar Denominated Fixed Income Securities | 6 | 9 | 16 | |||||||||
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Total Fixed Income Securities | 29 | 31 | 40 | |||||||||
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Commodity-Related Securities | 3 | 4 | ||||||||||
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Cash & Short-Term Securities | 7 | 3 | — | |||||||||
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(a) | Exposure based on market value and adjusted for the economic value of futures, swaps and options (except with respect to fixed income securities), and convertible bonds. |
(b) | The Reference Benchmark is an unmanaged weighted index comprised as follows: 36% of the S&P 500 Index®; 24% FTSE World (ex U.S.) Index; 24% ICE BofA ML Current 5-Year U.S. Treasury Index; and 16% FTSE Non-U.S. Dollar World Government Bond Index. Descriptions of these indexes are found on page 11 of this report to shareholders in the “Performance Summary” section. |
FUND SUMMARY | 11 |
Money Market Overview For the Six-Month Period Ended June 30, 2018 | BlackRock Government Money Market Portfolio |
Noteworthy market conditions for the six-month period ended June 30, 21018 included the continued steady removal of monetary accommodation by the Federal Open Market Committee (“FOMC”), the ongoing gradual reduction of the Fed’s balance sheet, increased Treasury issuance and various geopolitical events including trade-tariffs and the Italian elections. All of these factors contributed to a volatile first half of the year.
Heading into the end of the second quarter of 2018, at their June 13, 2018 FOMC meeting, the FOMC raised interest rates by 0.25% for the second time this year, bringing the Fed Funds target rate range to 1.75% — 2.00%. At the same time and consistent with guidance provided in the minutes from the May FOMC meeting, the rate paid on interest on excess reserves (the rate banks earn on deposits at the Federal Reserve) was increased by 0.20%, opposed to the traditional 0.25% in an effort to promote consistent and sustainable trading in the federal funds market.
Following the resolution of the debt ceiling limit in early February, the U.S. Treasury increased net bill supply by an estimated $330 billion over a six-week period ending March 29, 2018. The massive amount of supply, in combination with the base erosion and anti-abuse tax stemming from the repatriation of U.S. dollars held offshore, pressured short-term credit spreads wider. These pressures lead to money market fund managers generally maintaining a conservative posture leading up to the March and June 2018 FOMC meetings and in advance of seasonal redemptions that occur at quarter end. Credit spreads, as reflected in the differential between three-month London Inter-Bank Offered Rate (“LIBOR”) and overnight index swaps (“OIS”), widened significantly as the market figured out how to digest the surge in front-end supply. The trend continued up until the better-than-expected tax-receipts in April where a contraction and stabilization of the credit spreads occurred. This was evidenced by the three-month LIBOR and OIS spread contracting to 40 basis points in June, down from a high of 60 basis points earlier in the year.
In our opinion, at least one additional 0.25% interest rate increase is possible during the balance of 2018 with the possibility of a fourth estimated at roughly 50%, per Fed Fund futures and the OIS rate, as of June 30. The third rate hike is expected to occur in September, with the fourth, if necessary, in December. While income tax receipts have produced a temporary respite from the heavy Treasury bill issuance, a projected decline in revenues from the tax overhaul along with an increase in federal spending are expected to result in a slightly elevated net Treasury bill supply in the second half of 2018.
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.
12 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Fund Summary as of June 30, 2018 | BlackRock Government Money Market Portfolio |
Investment Objective
BlackRock Government Money Market Portfolio’s (the “Fund”) investment objective is to seek to preserve capital, maintain liquidity and achieve the highest possible current income consistent with the foregoing.
Portfolio Information
PORTFOLIO COMPOSITION
Asset Type | Percent of Net Assets | |||
U.S. Government Sponsored Agency Obligations | 43 | % | ||
Repurchase Agreements | 31 | |||
U.S. Treasury Obligations | 21 | |||
Other Assets Less Liabilities | 5 |
CURRENT SEVEN-DAY YIELDS
7-Day SEC Yields | 7-Day Yields | |||||||
BlackRock Government Money Market Portfolio | 1.48 | % | 1.48 | % |
The 7-Day SEC Yields may differ from the 7-Day Yields shown above due to the fact that the 7-Day SEC Yields excludes distributed capital gains.
Past performance is not indicative of future results.
Expense Example
Actual | Hypothetical (a) | |||||||||||||||||||||||||||||||
Beginning Account Value (01/01/18) | Ending Account Value (06/30/18) | Expenses Paid During the Period (b) | Beginning Account Value (01/01/18) | Ending Account Value (06/30/18) | Expenses Paid During the Period (b) | Annualized Ratio | ||||||||||||||||||||||||||
BlackRock Government Money Market Portfolio | $ | 1,000.00 | $ | 1,005.60 | $ | 2.49 | $ | 1,000.00 | $ | 1,022.32 | $ | 2.51 | 0.50 | % |
(a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. |
(b) | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). |
See “Disclosure of Expenses” on page 18 for further information on how expenses were calculated.
FUND SUMMARY | 13 |
Fund Summary as of June 30, 2018 | BlackRock High Yield Portfolio |
Investment Objective
BlackRock High Yield Portfolio’s (the “Fund”) investment objective is to seek to maximize total return, consistent with income generation and prudent investment management.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended June 30, 2018, the Fund outperformed the benchmark, the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index.
What factors influenced performance?
High-yield bonds finished the first half of the year with flat returns, as income offset a modest decline in prices. The bulk of the price weakness occurred in February, when a spike in U.S. Treasury yields weighed on performance across the fixed-income market.
The largest contributions to Fund performance came from security selection in the gaming, independent energy and health care industries. By credit rating, positions in CCC and B rated securities were the largest contributors. An allocation to common stocks was also additive to performance, as was the Fund’s weighting in bank loans.
Selection in the wireless telecommunications, metals/mining and banking industries were the most significant detractors. Positions in unrated and BB rated bonds also cost the Fund some relative performance. A modest allocation to investment-grade bonds detracted slightly, as did the use of equity derivatives to manage the risk of market volatility.
Describe recent portfolio activity.
The Fund added to its allocation to bank loans on the belief that these senior, secured assets would provide attractive income with minimal interest-rate risk.
The Fund reduced its exposure to the independent energy and media & entertainment industries, while adding to the wireless telecommunications and health care industries.
Describe portfolio positioning at period end.
The Fund’s general investment themes and core positions reflected the investment advisor’s views regarding issuer cash flows, firm or industry catalysts, and idiosyncratic factors.
While the lower-quality and distressed portions of the high yield market outperformed over the semiannual period, the Fund remained underweight in these areas in order to manage risk. However, the Fund retained positions in select CCC issues with improving credit characteristics and attractive yields. The Fund maintained an underweight in BB rated bonds and an overweight in B rated issues. As a result, the Fund was underweight in the market’s “tails” — both the higher-yielding segment of the market that contains a larger concentration of stressed assets, as well as the portion of the market that features lower yields.
At the industry level, the Fund’s largest overweights were in technology, wireless telecommunications and gaming. Conversely, it was underweight in the retail, automotive and home construction industries. The Fund had an approximate 11% weighting in bank loans, coupled with smaller positions in both preferred and common stocks.
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.
Portfolio Information
CREDIT QUALITY ALLOCATIONS
Credit Rating (a) | Percent of Total Investments (b) | |||
A | — | %(c) | ||
BBB/Baa | 6 | |||
BB/Ba | 38 | |||
B | 42 | |||
CCC/Caa | 10 | |||
NR | 4 |
(a) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s or Moody’s Investors Service if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(b) | Total investments exclude short-term securities. |
(c) | Representing less than 0.5% of Total Investments. |
14 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Fund Summary as of June 30, 2018 (continued) | BlackRock High Yield Portfolio |
Performance Summary for the Period Ended June 30, 2018
Standardized 30-Day Yield (b) | Unsubsidized 30-Day Yield (b) | 6-Month Total Returns (a) | Average Annual Total Returns (a) | |||||||||||||||||||||||||
1 Year | 5 Years | 10 Years | ||||||||||||||||||||||||||
BlackRock High Yield Portfolio(c) | 5.91 | % | 4.97 | % | 0.71 | % | 3.69 | % | 5.40 | % | 7.31 | % | ||||||||||||||||
Bloomberg Barclays US Corporate High Yield 2% Issuer Capped Index(d) | — | — | 0.16 | 2.62 | 5.52 | 8.23 |
(a) | Cumulative and average annual total returns are based on changes in net asset value for the periods shown and assume reinvestment of all distributions at net asset value on the ex-dividend/payable date. Insurance-related fees and expenses are not reflected in these returns. The Fund’s total returns prior to October 1, 2011 are the returns of the Fund when it followed a different investment objective and different investment strategies under the name “BlackRock High Income Portfolio.” |
(b) | The standardized 30-day yield includes the effects of any waivers and/or reimbursements. The unsubsidized 30-day yield excludes the effects of any waivers and/or reimbursements. |
(c) | Assuming transaction costs and other operating expenses, including investment advisory fees, if any. Does not include insurance-related fees and expenses. The Fund invests primarily in non-investment grade bonds with maturities of ten years or less. |
(d) | 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. |
Past performance is not indicative of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
Actual | Hypothetical (a) | |||||||||||||||||||||||||||||||
Beginning Account Value (01/01/18) | Ending Account Value (06/30/18) | Expenses Paid During the Period (b) | Beginning Account Value (01/01/18) | Ending Account Value (06/30/18) | Expenses Paid During the Period (b) | Annualized Expense Ratio | ||||||||||||||||||||||||||
BlackRock High Yield Portfolio | $ | 1,000.00 | $ | 1,007.10 | $ | 2.49 | $ | 1,000.00 | $ | 1,022.32 | $ | 2.51 | 0.50 | % |
(a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. |
(b) | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). |
See “Disclosure of Expenses” on page 18 for further information on how expenses were calculated.
FUND SUMMARY | 15 |
Fund Summary as of June 30, 2018 | BlackRock U.S. Government Bond Portfolio |
Investment Objective
BlackRock U.S. Government Bond Portfolio’s (the “Fund”) investment objective is to seek to maximize total return, consistent with income generation and prudent investment management.
Portfolio Management Commentary
How did the Fund perform?
For the six-month period ended June 30, 2018, the Fund outperformed its benchmark, the Bloomberg Barclays U.S. Government/Mortgage Index.
What factors influenced performance?
Positive contributors to performance relative to the benchmark included the Fund’s stance with respect to U.S. interest rates. A below-benchmark stance with respect to duration and corresponding interest rate sensitivity aided return as rates rose. In addition, the Fund’s positioning along the U.S. Treasury yield curve added to performance. Allocations to securitized sectors including commercial mortgage-backed securities (“CMBS”), collateralized loan obligations (“CLOs”) and residential mortgage-backed securities (“MBS”) also contributed positively. These segments continued to benefit from favorable fundamentals around the U.S. consumer, housing and commercial real estate. The Fund’s strategies with respect to both global interest rates and currencies added to relative performance as well.
Detractors from relative performance included security selection within 30-year agency MBS and the Fund’s weighting to 15-year MBS.
Describe recent portfolio activity.
During the six-month period, the Fund decreased its allocation to U.S. government securities, while adding exposures in agency MBS, primarily in pass-throughs with a smaller increase to collateralized mortgage obligations (“CMOs”). The Fund kept its out-of-benchmark allocation to securitized assets roughly unchanged during the period, adding some exposures in CMBS while trimming exposures in CLOs. The Fund maintained an underweight stance with respect to duration, with the degree of underweight decreasing over the period.
The Fund holds a small percentage of assets in derivatives including options and futures contracts as a means to managed allocations in MBS and securitized assets. The use of derivatives contributed positively to Fund performance.
Describe portfolio positioning at period end.
The Fund maintained an overweight to agency MBS on a positive view with respect to demand, valuations and prepayment risk, with a tilt toward 15-year relative to 30-year MBS. The Fund continued to hold a core allocation to CMBS and agency CMOs for incremental income. The Fund was modestly underweight to U.S. duration. Outside of the United States, the Fund held a short position in German interest rates on the view that bond valuations are stretched in that market. The Fund was long in a basket of emerging market currencies through the use of options in order to benefit from any rebound in emerging markets.
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.
Portfolio Information
PORTFOLIO COMPOSITION
Asset Type | Percent of Total Investments (a) | |||
U.S. Government Sponsored Agency Obligations | 52 | % | ||
U.S. Treasury Obligations | 42 | |||
Non-Agency Mortgage-Backed Securities | 3 | |||
Asset-Backed Securities | 2 | |||
Foreign Government Obligations | 1 |
(a) | Total investments exclude short-term securities and options purchased. |
16 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Fund Summary as of June 30, 2018 (continued) | BlackRock U.S. Government Bond Portfolio |
Performance Summary for the Period Ended June 30, 2018
Standardized 30-Day Yield (b) | Unsubsidized 30-Day Yield (b) | 6-Month Total Returns (a) | Average Annual Total Returns (a) | |||||||||||||||||||||||||
1 Year | 5 Years | 10 Years | ||||||||||||||||||||||||||
BlackRock U.S. Government Bond Portfolio(c) | 2.41 | % | 1.89 | % | (0.69 | )% | (0.43 | )% | 1.77 | % | 2.83 | % | ||||||||||||||||
Bloomberg Barclays U.S. Government/Mortgage Index(d) | — | — | (1.01 | ) | (0.30 | ) | 1.80 | 3.20 | ||||||||||||||||||||
Bloomberg Barclays U.S. Mortgage-Backed Securities Index(e) | — | — | (0.95 | ) | 0.15 | 2.25 | 3.54 |
(a) | Cumulative and average annual total returns are based on changes in net asset value for the periods shown and assume reinvestment of all distributions at net asset value on the ex-dividend/payable date. Insurance-related fees and expenses are not reflected in these returns. The Fund’s total returns prior to October 1, 2011 are the returns of the Fund when it followed a different investment objective and different investment strategies under the name “BlackRock Government Income Portfolio.” |
(b) | The standardized 30-day yield includes the effects of any waivers and/or reimbursements. The unsubsidized 30-day yield excludes the effects of any waivers and/or reimbursements |
(c) | Assuming transaction costs and other operating expenses, including investment advisory fees, if any. Does not include insurance-related fees and expenses. The Fund, under normal circumstances, will invest at least 80% of its assets in bonds that are issued or guaranteed by the U.S. Government and its agencies. |
(d) | This index measures debt issued by the U.S. Government, and its agencies, as well as mortgage-backed pass-through securities of Ginnie Mae, Fannie Mae and Freddie Mac. |
(e) | This unmanaged index includes the mortgage-backed pass-through securities of Ginnie Mae, Fannie Mae, and Freddie Mac that meet certain maturity and liquidity criteria. |
Past performance is not indicative of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Expense Example
Actual | Hypothetical (a) | |||||||||||||||||||||||||||||||||||||||
Including Interest Expense | Excluding Interest Expense | Including Interest Expense | Excluding Interest Expense | |||||||||||||||||||||||||||||||||||||
Beginning Account Value (01/01/18) | Ending Account Value (06/30/18) | Expenses Paid During the Period (b) | Expenses Paid During the Period (c) | Beginning Account Value (01/01/18) | Ending Account Value (06/30/18) | Expenses Paid During the Period (b) | Ending Account Value (06/30/18) | Expenses Paid During the Period (c) | ||||||||||||||||||||||||||||||||
BlackRock U.S. Government Bond Portfolio | $ | 1,000.00 | $ | 993.10 | $ | 3.51 | $ | 2.47 | $ | 1,000.00 | $ | 1,021.27 | $ | 3.56 | $ | 1,022.32 | $ | 2.51 |
(a) | Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365. |
(b) | Expenses are equal to the annualized expense ratio (0.71%), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). |
(c) | Expenses are equal to the annualized expense ratio (0.50%), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). |
See “Disclosure of Expenses” on page 18 for further information on how expenses were calculated.
FUND SUMMARY | 17 |
The Benefits and Risks of Leveraging
The Funds may utilize leverage to seek to enhance returns and net asset value (“NAV”). However, these objectives cannot be achieved in all interest rate environments.
The Funds may utilize leverage by entering into reverse repurchase agreements.
In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by each Fund on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of each Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Funds’ shareholders benefit from the incremental net income.
The interest earned on securities purchased with the proceeds from leverage is distributed to the Funds’ shareholders, and the value of these portfolio holdings is reflected in the Funds’ per share NAV. However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other ongoing costs of leverage exceed a Fund’s return on assets purchased with leverage proceeds, income to shareholders is lower than if the Funds had not used leverage.
Furthermore, the value of each Fund’s portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can also influence the value of portfolio investments. As a result, changes in interest rates can influence each Fund’s NAV positively or negatively in addition to the impact on each Fund’s performance from leverage. Changes in the direction of interest rates are difficult to predict accurately, and there is no assurance that a Fund’s leveraging strategy will be successful.
The use of leverage also generally causes greater changes in each Fund’s NAV and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV of a Fund’s shares than if the Fund were not leveraged. In addition, each Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of the leverage instruments, which may cause the Funds to incur losses. The use of leverage may limit a Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Fund incurs expenses in connection with the use of leverage, all of which are borne by the Funds’ shareholders and may reduce income.
Shareholders of these Funds may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including investment advisory fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other Fund expenses. The expense examples shown on the previous pages (which are based on a hypothetical investment of $1,000 invested on January 1, 2018 and held through June 30, 2018) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other mutual funds.
The expense examples provide information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their Fund under the headings entitled “Expenses Paid During the Period.”
The expense examples also provide information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in these Funds and other funds, compare the 5% hypothetical examples with the 5% hypothetical example that appear in shareholder reports of other funds.
The expenses shown in the expense examples are intended to highlight shareholders’ ongoing costs only and do not reflect any transactional expenses, such as sales charges, if any. Therefore, the hypothetical examples are useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
Derivative Financial Instruments
The Funds may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Funds’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Funds’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
18 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) June 30, 2018 | BlackRock Advantage Large Cap Core Portfolio (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Common Stocks — 99.0% |
| |||||||
Aerospace & Defense — 1.8% | ||||||||
Boeing Co. (The) | 241 | $ | 80,858 | |||||
Curtiss-Wright Corp. | 701 | 83,433 | ||||||
General Dynamics Corp. | 361 | 67,294 | ||||||
Harris Corp. | 1,477 | 213,485 | ||||||
Lockheed Martin Corp. | 1,290 | 381,105 | ||||||
Raytheon Co. | 12,735 | 2,460,147 | ||||||
Rockwell Collins, Inc. | 1,170 | 157,576 | ||||||
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| |||||||
3,443,898 | ||||||||
Air Freight & Logistics — 0.1% | ||||||||
FedEx Corp. | 713 | 161,894 | ||||||
|
| |||||||
Airlines — 0.2% | ||||||||
Delta Air Lines, Inc. | 6,930 | 343,312 | ||||||
Southwest Airlines Co. | 1,891 | 96,214 | ||||||
|
| |||||||
439,526 | ||||||||
Auto Components — 1.0% | ||||||||
BorgWarner, Inc. | 42,975 | 1,854,801 | ||||||
|
| |||||||
Banks — 5.1% | ||||||||
Bank of America Corp. | 79,696 | 2,246,630 | ||||||
Citigroup, Inc. | 37,242 | 2,492,234 | ||||||
Citizens Financial Group, Inc.(a) | 26,562 | 1,033,262 | ||||||
First Hawaiian, Inc. | 20,661 | 599,582 | ||||||
First Horizon National Corp.(a) | 9,962 | 177,722 | ||||||
First Republic Bank(a) | 9,035 | 874,498 | ||||||
JPMorgan Chase & Co. | 9,241 | 962,912 | ||||||
SunTrust Banks, Inc. | 1,547 | 102,133 | ||||||
Synovus Financial Corp. | 15,108 | 798,156 | ||||||
Western Alliance Bancorp(b) | 5,264 | 297,995 | ||||||
|
| |||||||
9,585,124 | ||||||||
Beverages — 1.5% | ||||||||
Brown-Forman Corp., Class B | 4,655 | 228,142 | ||||||
Coca-Cola European Partners plc | 13,660 | 555,142 | ||||||
Constellation Brands, Inc., Class A | 3,066 | 671,055 | ||||||
Dr Pepper Snapple Group, Inc. | 1,284 | 156,648 | ||||||
PepsiCo, Inc. | 11,785 | 1,283,033 | ||||||
|
| |||||||
2,894,020 | ||||||||
Biotechnology — 4.0% | ||||||||
AbbVie, Inc. | 16,034 | 1,485,550 | ||||||
Amgen, Inc. | 2,840 | 524,236 | ||||||
Biogen, Inc.(b) | 1,355 | 393,275 | ||||||
Celgene Corp.(b) | 28,501 | 2,263,550 | ||||||
Gilead Sciences, Inc. | 37,885 | 2,683,773 | ||||||
United Therapeutics Corp.(b) | 1,487 | 168,254 | ||||||
|
| |||||||
7,518,638 | ||||||||
Building Products — 0.8% | ||||||||
Fortune Brands Home & Security, Inc. | 27,535 | 1,478,354 | ||||||
|
| |||||||
Capital Markets — 4.4% | ||||||||
Affiliated Managers Group, Inc. | 2,186 | 324,993 | ||||||
Charles Schwab Corp. (The) | 13,804 | 705,384 | ||||||
Franklin Resources, Inc.(a) | 16,369 | 524,626 | ||||||
Intercontinental Exchange, Inc. | 31,921 | 2,347,790 | ||||||
Invesco Ltd. | 2,542 | 67,516 | ||||||
Moelis & Co., Class A | 15,866 | 930,541 | ||||||
Morgan Stanley | 21,601 | 1,023,887 | ||||||
S&P Global, Inc.(a) | 10,975 | 2,237,693 | ||||||
|
| |||||||
8,162,430 | ||||||||
Chemicals — 1.9% | ||||||||
Air Products & Chemicals, Inc. | 13,678 | 2,130,075 | ||||||
Celanese Corp. | 422 | 46,867 |
Security | Shares | Value | ||||||
Chemicals (continued) | ||||||||
Eastman Chemical Co. | 12,297 | $ | 1,229,208 | |||||
WR Grace & Co. | 1,045 | 76,609 | ||||||
|
| |||||||
3,482,759 | ||||||||
Commercial Services & Supplies — 0.1% | ||||||||
Republic Services, Inc. | 2,403 | 164,269 | ||||||
|
| |||||||
Communications Equipment — 1.3% | ||||||||
Cisco Systems, Inc. | 42,911 | 1,846,460 | ||||||
Motorola Solutions, Inc. | 4,976 | 579,057 | ||||||
|
| |||||||
2,425,517 | ||||||||
Consumer Finance — 0.3% | ||||||||
American Express Co. | 4,784 | 468,832 | ||||||
Green Dot Corp., Class A(b) | 2,226 | 163,366 | ||||||
|
| |||||||
632,198 | ||||||||
Containers & Packaging — 0.3% | ||||||||
Packaging Corp. of America | 5,718 | 639,215 | ||||||
|
| |||||||
Diversified Consumer Services — 0.5% | ||||||||
H&R Block, Inc.(a) | 37,507 | 854,409 | ||||||
|
| |||||||
Diversified Financial Services — 0.7% | ||||||||
Berkshire Hathaway, Inc., Class B(b) | 6,655 | 1,242,156 | ||||||
|
| |||||||
Diversified Telecommunication Services — 1.0% | ||||||||
AT&T, Inc. | 38,890 | 1,248,758 | ||||||
Verizon Communications, Inc. | 6,596 | 331,845 | ||||||
Zayo Group Holdings, Inc.(b) | 5,659 | 206,440 | ||||||
|
| |||||||
1,787,043 | ||||||||
Electric Utilities — 1.5% | ||||||||
IDACORP, Inc. | 6,154 | 567,645 | ||||||
Pinnacle West Capital Corp. | 24,929 | 2,008,280 | ||||||
Portland General Electric Co. | 5,842 | 249,804 | ||||||
|
| |||||||
2,825,729 | ||||||||
Electrical Equipment — 1.1% | ||||||||
AMETEK, Inc. | 26,691 | 1,926,023 | ||||||
Rockwell Automation, Inc. | 798 | 132,651 | ||||||
|
| |||||||
2,058,674 | ||||||||
Electronic Equipment, Instruments & Components — 0.5% | ||||||||
Amphenol Corp., Class A | 8,233 | 717,506 | ||||||
CDW Corp. | 894 | 72,226 | ||||||
SYNNEX Corp. | 279 | 26,926 | ||||||
Zebra Technologies Corp., Class A(b) | 306 | 43,835 | ||||||
|
| |||||||
860,493 | ||||||||
Energy Equipment & Services — 0.5% | ||||||||
Apergy Corp.(b) | 3,295 | 137,566 | ||||||
Halliburton Co. | 15,850 | 714,201 | ||||||
|
| |||||||
851,767 | ||||||||
Equity Real Estate Investment Trusts (REITs) — 3.4% | ||||||||
Alexandria Real Estate Equities, Inc. | 5,825 | 734,940 | ||||||
Highwoods Properties, Inc. | 13,956 | 707,988 | ||||||
Host Hotels & Resorts, Inc. | 10,288 | 216,768 | ||||||
National Retail Properties, Inc. | 2,347 | 103,174 | ||||||
Outfront Media, Inc.(a) | 11,783 | 229,180 | ||||||
Prologis, Inc. | 35,528 | 2,333,834 | ||||||
Simon Property Group, Inc. | 12,210 | 2,078,020 | ||||||
|
| |||||||
6,403,904 | ||||||||
Food & Staples Retailing — 2.0% | ||||||||
Costco Wholesale Corp. | 4,345 | 908,018 | ||||||
Walmart, Inc. | 32,953 | 2,822,425 | ||||||
|
| |||||||
3,730,443 |
SCHEDULES OF INVESTMENTS | 19 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Advantage Large Cap Core Portfolio (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Food Products — 2.0% | ||||||||
Archer-Daniels-Midland Co.(a) | 32,610 | $ | 1,494,516 | |||||
Bunge Ltd. | 12,329 | 859,455 | ||||||
Hershey Co. (The) | 4,681 | 435,614 | ||||||
Kellogg Co. | 13,829 | 966,232 | ||||||
|
| |||||||
3,755,817 | ||||||||
Gas Utilities — 0.0% | ||||||||
UGI Corp. | 842 | 43,843 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 2.1% | ||||||||
Abbott Laboratories | 18,510 | 1,128,925 | ||||||
Danaher Corp. | 11,160 | 1,101,269 | ||||||
IDEXX Laboratories, Inc.(b) | 901 | 196,364 | ||||||
Medtronic plc | 4,042 | 346,036 | ||||||
Stryker Corp. | 7,218 | 1,218,831 | ||||||
|
| |||||||
3,991,425 | ||||||||
Health Care Providers & Services — 2.6% | ||||||||
Aetna, Inc. | 2,286 | 419,481 | ||||||
AmerisourceBergen Corp. | 7,164 | 610,874 | ||||||
Express Scripts Holding Co.(b) | 2,782 | 214,798 | ||||||
Humana, Inc. | 7,815 | 2,325,979 | ||||||
McKesson Corp. | 5,285 | 705,019 | ||||||
UnitedHealth Group, Inc. | 2,099 | 514,969 | ||||||
|
| |||||||
4,791,120 | ||||||||
Health Care Technology — 0.3% | ||||||||
Veeva Systems, Inc., Class A(b) | 8,436 | 648,391 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 4.2% | ||||||||
Carnival Corp. | 32,357 | 1,854,380 | ||||||
Darden Restaurants, Inc. | 2,122 | 227,181 | ||||||
Domino’s Pizza, Inc. | 3,175 | 895,890 | ||||||
Las Vegas Sands Corp. | 25,915 | 1,978,869 | ||||||
Marriott International, Inc., Class A | 1,087 | 137,614 | ||||||
McDonald’s Corp. | 17,316 | 2,713,244 | ||||||
Texas Roadhouse, Inc. | 286 | 18,736 | ||||||
|
| |||||||
7,825,914 | ||||||||
Household Durables — 0.6% | ||||||||
DR Horton, Inc. | 7,267 | 297,947 | ||||||
Garmin Ltd. | 4,577 | 279,197 | ||||||
Whirlpool Corp. | 3,302 | 482,851 | ||||||
|
| |||||||
1,059,995 | ||||||||
Household Products — 0.2% | ||||||||
Church & Dwight Co., Inc. | 3,520 | 187,123 | ||||||
Kimberly-Clark Corp. | 1,479 | 155,798 | ||||||
|
| |||||||
342,921 | ||||||||
Industrial Conglomerates — 2.3% | ||||||||
3M Co. | 12,864 | 2,530,606 | ||||||
Honeywell International, Inc. | 11,604 | 1,671,556 | ||||||
|
| |||||||
4,202,162 | ||||||||
Insurance — 3.3% | ||||||||
Allstate Corp. (The) | 7,381 | 673,664 | ||||||
American Financial Group, Inc. | 1,793 | 192,443 | ||||||
Arthur J. Gallagher & Co. | 3,430 | 223,910 | ||||||
Athene Holding Ltd., Class A(b) | 13,320 | 583,949 | ||||||
First American Financial Corp. | 8,556 | 442,516 | ||||||
Hanover Insurance Group, Inc. (The) | 3,779 | 451,817 | ||||||
Hartford Financial Services Group, Inc. (The) | 6,770 | 346,150 | ||||||
Lincoln National Corp. | 21,780 | 1,355,805 | ||||||
Prudential Financial, Inc. | 10,766 | 1,006,729 | ||||||
Travelers Cos., Inc. (The) | 3,479 | 425,621 | ||||||
Unum Group | 11,939 | 441,624 | ||||||
|
| |||||||
6,144,228 |
Security | Shares | Value | ||||||
Internet & Direct Marketing Retail — 2.7%(b) | ||||||||
Amazon.com, Inc. | 2,621 | $ | 4,455,176 | |||||
Netflix, Inc. | 1,600 | 626,288 | ||||||
|
| |||||||
5,081,464 | ||||||||
Internet Software & Services — 4.7%(b) | ||||||||
Alphabet, Inc., Class A | 1,323 | 1,493,918 | ||||||
Alphabet, Inc., Class C | 2,176 | 2,427,655 | ||||||
Facebook, Inc., Class A | 18,310 | 3,557,999 | ||||||
GoDaddy, Inc., Class A | 4,165 | 294,049 | ||||||
New Relic, Inc. | 1,027 | 103,306 | ||||||
Twitter, Inc. | 12,303 | 537,272 | ||||||
Yelp, Inc. | 6,946 | 272,144 | ||||||
|
| |||||||
8,686,343 | ||||||||
IT Services — 5.3% | ||||||||
Accenture plc, Class A | 6,594 | 1,078,713 | ||||||
Automatic Data Processing, Inc. | 2,515 | 337,362 | ||||||
Booz Allen Hamilton Holding Corp. | 19,162 | 837,954 | ||||||
Fidelity National Information Services, Inc. | 21,647 | 2,295,231 | ||||||
First Data Corp., Class A(b) | 28,160 | 589,389 | ||||||
Mastercard, Inc., Class A | 16,842 | 3,309,790 | ||||||
Visa, Inc., Class A | 10,215 | 1,352,977 | ||||||
|
| |||||||
9,801,416 | ||||||||
Life Sciences Tools & Services — 0.2% | ||||||||
Agilent Technologies, Inc. | 4,442 | 274,693 | ||||||
Thermo Fisher Scientific, Inc. | 844 | 174,826 | ||||||
|
| |||||||
449,519 | ||||||||
Machinery — 2.2% | ||||||||
Illinois Tool Works, Inc.(a) | 9,888 | 1,369,884 | ||||||
Ingersoll-Rand plc | 9,280 | 832,694 | ||||||
PACCAR, Inc. | 31,844 | 1,973,054 | ||||||
|
| |||||||
4,175,632 | ||||||||
Media — 1.0% | ||||||||
CBS Corp. (Non-Voting), Class B | 3,541 | 199,075 | ||||||
Cinemark Holdings, Inc. | 1,418 | 49,744 | ||||||
Comcast Corp., Class A | 15,720 | 515,773 | ||||||
Interpublic Group of Cos., Inc. (The) | 27,046 | 633,958 | ||||||
John Wiley & Sons, Inc., Class A | 6,612 | 412,589 | ||||||
|
| |||||||
1,811,139 | ||||||||
Metals & Mining — 0.6% | ||||||||
Newmont Mining Corp. | 29,529 | 1,113,539 | ||||||
|
| |||||||
Multiline Retail — 1.5% | ||||||||
Kohl’s Corp. | 5,356 | 390,452 | ||||||
Target Corp. | 30,557 | 2,325,999 | ||||||
|
| |||||||
2,716,451 | ||||||||
Multi-Utilities — 0.7% | ||||||||
CenterPoint Energy, Inc. | 14,993 | 415,456 | ||||||
CMS Energy Corp. | 4,508 | 213,138 | ||||||
Consolidated Edison, Inc. | 9,853 | 768,337 | ||||||
|
| |||||||
1,396,931 | ||||||||
Oil, Gas & Consumable Fuels — 5.1% | ||||||||
Anadarko Petroleum Corp. | 3,624 | 265,458 | ||||||
Chevron Corp. | 13,114 | 1,658,003 | ||||||
ConocoPhillips | 39,163 | 2,726,528 | ||||||
EOG Resources, Inc. | 7,698 | 957,862 | ||||||
Exxon Mobil Corp. | 16,551 | 1,369,264 | ||||||
Occidental Petroleum Corp.(a) | 11,170 | 934,706 | ||||||
Parsley Energy, Inc., Class A(b) | 4,652 | 140,863 | ||||||
RSP Permian, Inc.(b) | 946 | 41,643 | ||||||
Suncor Energy, Inc. | 18,624 | 757,624 | ||||||
Williams Cos., Inc. (The) | 24,571 | 666,120 | ||||||
|
| |||||||
9,518,071 |
20 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Advantage Large Cap Core Portfolio (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Personal Products — 0.3% | ||||||||
Estee Lauder Cos., Inc. (The), Class A | 2,739 | $ | 390,828 | |||||
Herbalife Nutrition Ltd.(b) | 3,355 | 180,231 | ||||||
|
| |||||||
571,059 | ||||||||
Pharmaceuticals — 4.7% | ||||||||
Bristol-Myers Squibb Co. | 40,678 | 2,251,121 | ||||||
Eli Lilly & Co. | 8,465 | 722,318 | ||||||
Johnson & Johnson | 22,479 | 2,727,602 | ||||||
Merck & Co., Inc. | 37,015 | 2,246,811 | ||||||
Zoetis, Inc. | 8,518 | 725,648 | ||||||
|
| |||||||
8,673,500 | ||||||||
Professional Services — 0.4% | ||||||||
Insperity, Inc. | 2,533 | 241,268 | ||||||
ManpowerGroup, Inc. | 6,285 | 540,887 | ||||||
|
| |||||||
782,155 | ||||||||
Real Estate Management & Development — 0.2% | ||||||||
Jones Lang LaSalle, Inc. | 2,037 | 338,122 | ||||||
|
| |||||||
Road & Rail — 0.9% | ||||||||
Landstar System, Inc. | 3,959 | 432,323 | ||||||
Norfolk Southern Corp. | 8,169 | 1,232,457 | ||||||
|
| |||||||
1,664,780 | ||||||||
Semiconductors & Semiconductor Equipment — 4.0% | ||||||||
Applied Materials, Inc. | 13,481 | 622,687 | ||||||
Broadcom, Inc. | 2,711 | 657,797 | ||||||
Intel Corp. | 13,488 | 670,488 | ||||||
Maxim Integrated Products, Inc. | 36,360 | 2,132,878 | ||||||
NVIDIA Corp. | 1,834 | 434,475 | ||||||
NXP Semiconductors NV(b) | 399 | 43,599 | ||||||
Texas Instruments, Inc. | 21,511 | 2,371,588 | ||||||
Xilinx, Inc. | 7,013 | 457,668 | ||||||
|
| |||||||
7,391,180 | ||||||||
Software — 6.9% | ||||||||
Activision Blizzard, Inc. | 7,155 | 546,070 | ||||||
Adobe Systems, Inc.(b) | 4,081 | 994,989 | ||||||
Cadence Design Systems, Inc.(a)(b) | 3,410 | 147,687 | ||||||
Dell Technologies, Inc., Class V(b) | 4,008 | 338,997 | ||||||
Electronic Arts, Inc.(b) | 7,147 | 1,007,870 | ||||||
Microsoft Corp. | 58,699 | 5,788,307 | ||||||
RingCentral, Inc., Class A(b) | 5,055 | 355,619 | ||||||
Synopsys, Inc.(b) | 18,221 | 1,559,171 | ||||||
Workday, Inc., Class A(b) | 8,884 | 1,076,030 | ||||||
Zendesk, Inc.(b) | 18,386 | 1,001,853 | ||||||
|
| |||||||
12,816,593 | ||||||||
Specialty Retail — 1.2% | ||||||||
Burlington Stores, Inc.(b) | 302 | 45,460 | ||||||
Lithia Motors, Inc., Class A(a) | 4,910 | 464,339 | ||||||
Penske Automotive Group, Inc.(a) | 18,125 | 849,156 | ||||||
Tiffany & Co. | 6,019 | 792,100 | ||||||
|
| |||||||
2,151,055 | ||||||||
Technology Hardware, Storage & Peripherals — 3.2% | ||||||||
Apple, Inc. | 29,208 | 5,406,693 | ||||||
HP, Inc. | 18,737 | 425,143 | ||||||
Western Digital Corp. | 805 | 62,315 | ||||||
|
| |||||||
5,894,151 | ||||||||
Textiles, Apparel & Luxury Goods — 0.8% | ||||||||
Lululemon Athletica, Inc.(b) | 1,467 | 183,155 | ||||||
Michael Kors Holdings Ltd.(b) | 1,910 | 127,206 | ||||||
NIKE, Inc., Class B | 6,184 | 492,741 | ||||||
Skechers U.S.A., Inc., Class A(b) | 21,634 | 649,237 | ||||||
VF Corp. | 1,414 | 115,269 | ||||||
|
| |||||||
1,567,608 |
Security | Shares | Value | ||||||
Thrifts & Mortgage Finance — 0.0% | ||||||||
Essent Group Ltd.(b) | 1,985 | $ | 71,103 | |||||
|
| |||||||
Trading Companies & Distributors — 0.3% | ||||||||
Watsco, Inc. | 3,022 | 538,762 | ||||||
|
| |||||||
Water Utilities — 0.1% | ||||||||
American Water Works Co., Inc. | 1,473 | 125,765 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.4% | ||||||||
Telephone & Data Systems, Inc. | 26,098 | 715,607 | ||||||
T-Mobile US, Inc.(b) | 1,712 | 102,292 | ||||||
|
| |||||||
817,899 | ||||||||
|
| |||||||
Total Common Stocks — 99.0% |
| 184,457,314 | ||||||
|
| |||||||
Total Long-Term Investments — 99.0% |
| 184,457,314 | ||||||
|
| |||||||
Short-Term Securities — 3.7%(c)(e) |
| |||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class, | 1,626,404 | 1,626,404 | ||||||
SL Liquidity Series, LLC, Money Market Series, | 5,237,927 | 5,238,450 | ||||||
|
| |||||||
Total Short-Term Securities — 3.7% |
| 6,864,854 | ||||||
|
| |||||||
Total Investments — 102.7% |
| 191,322,168 | ||||||
Liabilities in Excess of Other Assets — (2.7)% |
| (5,001,374 | ) | |||||
|
| |||||||
Net Assets — 100.0% |
| $ | 186,320,794 | |||||
|
|
(a) | Security, or a portion of the security, is on loan. |
(b) | Non-income producing security. |
(c) | Annualized 7-day yield as of period end. |
(d) | Security was purchased with the cash collateral from loaned securities. |
SCHEDULES OF INVESTMENTS | 21 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Advantage Large Cap Core Portfolio |
(e) | During the six months ended June 30, 2018, investments in issuers considered to be affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
Affiliate | Shares Held at 12/31/17 | Net Activity | Shares Held at 06/30/18 | Value at 06/30/18 | Income | Net Realized Gain (Loss) (a) | Change in Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class | 1,953,092 | (326,688 | ) | 1,626,404 | $ | 1,626,404 | $ | 12,541 | $ | — | $ | — | ||||||||||||||||
SL Liquidity Series, LLC, Money Market Series | 661,529 | 4,576,398 | 5,237,927 | 5,238,450 | 2,959 | (b) | 167 | 29 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 6,864,854 | $ | 15,500 | $ | 167 | $ | 29 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
(a) | Includes net capital gain distributions, if applicable. |
(b) | Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
For Fund compliance purposes, the Fund’s industry classifications refer to 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 the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||
Long Contracts | ||||||||||||||||
S&P 500 E-Mini Index | 15 | 09/21/18 | $ | 2,041 | $ | (34,388 | ) | |||||||||
|
|
|
|
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Net unrealized depreciation(a) | $ | — | $ | — | $ | 34,388 | $ | — | $ | — | $ | — | $ | 34,388 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Includes cumulative depreciation on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
For the six months ended June 30, 2018, the effect of derivative financial instruments in the Statements of Operations were as follows:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from: | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | 81,806 | $ | — | $ | — | $ | — | $ | 81,806 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | (43,816 | ) | $ | — | $ | — | $ | — | $ | (43,816 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts: | ||||
Average notional value of contracts — long | $ | 2,143,875 |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to financial statements.
22 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Advantage Large Cap Core Portfolio |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Long-Term Investments: | ||||||||||||||||
Common Stocks(a) | $ | 184,457,314 | $ | — | $ | — | $ | 184,457,314 | ||||||||
Short-Term Securities | 1,626,404 | — | — | 1,626,404 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Subtotal | $ | 186,083,718 | $ | — | $ | — | $ | 186,083,718 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Investments valued at NAV(b) | 5,238,450 | |||||||||||||||
|
| |||||||||||||||
Total Investments | $ | 191,322,168 | ||||||||||||||
|
| |||||||||||||||
Derivative Financial Instruments(c) | ||||||||||||||||
Liabilities: | ||||||||||||||||
Equity contracts | $ | (34,388 | ) | $ | — | $ | — | $ | (34,388 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | See above Schedule of Investments for values in each security type. |
(b) | As of June 30, 2018, certain investments of the Fund were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
(c) | Derivative financial instruments are futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument. |
During the six months ended June 30, 2018, there were no transfers between levels.
See notes to financial statements.
SCHEDULES OF INVESTMENTS | 23 |
Schedule of Investments (unaudited) June 30, 2018 | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities — 4.4% |
| |||||||||||
ACE Securities Corp. Home Equity Loan Trust, Series 2007-HE4, Class A2A, (LIBOR USD 1 Month + 0.13%), 2.22%, 05/25/37(a) | USD | 51 | $ | 16,305 | ||||||||
Ajax Mortgage Loan Trust(b): | ||||||||||||
Series 2016-B, Class A, 4.00%, 09/25/65(c) | 79 | 79,350 | ||||||||||
Series 2017-A, Class A, 3.47%, 04/25/57(c) | 132 | 130,871 | ||||||||||
Series 2017-D, Class A, 3.75%, 12/25/57(d) | 167 | 166,655 | ||||||||||
Allegro CLO II Ltd., Series 2014-1A, Class A1R, (LIBOR USD 3 Month + 1.31%), 3.67%, 01/21/27(a)(b) | 250 | 249,666 | ||||||||||
AMMC CLO XI Ltd., Series 2012-11A, Class A1R2, (LIBOR USD 3 Month + 1.01%), 3.37%, 04/30/31(a)(b) | 500 | 498,871 | ||||||||||
Anchorage Capital CLO 5-R Ltd.(a)(b): | ||||||||||||
Series 2014-5RA, Class B, (LIBOR USD 3 Month + 1.45%), 3.80%, 01/15/30 | 250 | 250,308 | ||||||||||
Series 2014-5RA, Class C, (LIBOR USD 3 Month + 1.85%), 4.20%, 01/15/30 | 250 | 248,629 | ||||||||||
Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class AR, (LIBOR USD 3 Month + 1.27%), 3.62%, 07/15/30(a)(b) | 250 | 250,584 | ||||||||||
Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class AR, (LIBOR USD 3 Month + 0.96%), 3.31%, 10/15/27(a)(b) | 310 | 309,973 | ||||||||||
Apidos CLO XII, Series 2013-12A, Class AR, (LIBOR USD 3 Month + 1.08%), 3.12%, 04/15/31(a)(b) | 500 | 499,766 | ||||||||||
Arbor Realty Collateralized Loan Obligation Ltd., Series 2017-FL3, Class A, (LIBOR USD 1 Month + 0.99%), 3.06%, 12/15/27(a)(b) | 100 | 99,690 | ||||||||||
Arbor Realty Commercial Real Estate Notes Ltd.(a)(b): | ||||||||||||
Series 2016-FL1A, Class A, (LIBOR USD 1 Month + 1.70%), 3.77%, 09/15/26 | 100 | 100,425 | ||||||||||
Series 2017-FL2, Class A, (LIBOR USD 1 Month + 0.99%), 3.06%, 08/15/27 | 250 | 249,592 | ||||||||||
Argent Mortgage Loan Trust, Series 2005-W1, Class A2, (LIBOR USD 1 Month + 0.24%), 2.33%, 05/25/35(a)(d) | 91 | 67,605 | ||||||||||
Atlas Senior Loan Fund IV Ltd., Series 2013-2A, Class A1RR, (LIBOR USD 3 Month + 0.68%), 3.02%, 02/17/26(a)(b) | 250 | 249,910 | ||||||||||
Atrium X, Series 10A, Class B1R, (LIBOR USD 3 Month + 1.45%), 3.80%, 07/16/25(a)(b) | 250 | 250,049 | ||||||||||
Avery Point V CLO Ltd., Series 2014-5A, Class AR, (LIBOR USD 3 Month + 0.98%), 3.33%, 07/17/26(a)(b) | 250 | 249,870 | ||||||||||
B2R Mortgage Trust(b): | ||||||||||||
Series 2015-1, Class A1, 2.52%, 05/15/48 | 62 | 61,110 | ||||||||||
Series 2015-2, Class A, 3.34%, 11/15/48 | 71 | 70,145 | ||||||||||
Barings CLO Ltd., Series 2018-3A, Class A1, (LIBOR USD 3 Month + 0.95%), 3.02%, 07/20/29(a)(b) | 250 | 249,995 | ||||||||||
BCMSC Trust(e): | ||||||||||||
Series 2000-A, Class A2, 7.58%, 06/15/30 | 53 | 20,074 | ||||||||||
Series 2000-A, Class A3, 7.83%, 06/15/30 | 49 | 19,254 | ||||||||||
Series 2000-A, Class A4, 8.29%, 06/15/30 | 83 | 34,834 | ||||||||||
Bear Stearns Asset-Backed Securities I Trust(a): | ||||||||||||
Series 2004-HE7, Class M2, (LIBOR USD 1 Month + 1.73%), 3.82%, 08/25/34 | 4 | 3,388 | ||||||||||
Series 2006-HE7, Class 1A2, (LIBOR USD 1 Month + 0.17%), 2.26%, 09/25/36 | 195 | 218,291 | ||||||||||
Series 2007-HE1, Class 21A2, (LIBOR USD 1 Month + 0.16%), 2.25%, 01/25/37 | 54 | 53,069 | ||||||||||
Series 2007-HE2, Class 22A, (LIBOR USD 1 Month + 0.14%), 2.23%, 03/25/37 | 29 | 28,301 |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities (continued) |
| |||||||||||
Series 2007-HE2, Class 23A, (LIBOR USD 1 Month + 0.14%), 2.23%, 03/25/37 | USD | 61 | $ | 59,898 | ||||||||
Series 2007-HE3, Class 1A3, (LIBOR USD 1 Month + 0.25%), 2.34%, 04/25/37 | 88 | 91,004 | ||||||||||
Bear Stearns Asset-Backed Securities Trust, Series 2005-4, Class M2, (LIBOR USD 1 Month + 1.20%), 3.29%, 01/25/36(a) | 10 | 9,463 | ||||||||||
Benefit Street Partners CLO VI Ltd., Series 2015-VIA, Class A1R, (LIBOR USD 3 Month + 1.24%), 3.60%, 10/18/29(a)(b) | 250 | 250,973 | ||||||||||
BlueMountain CLO Ltd., Series 2013-3A, Class AR, (LIBOR USD 3 Month + 0.89%), 3.25%, 10/29/25(a)(b) | 163 | 163,220 | ||||||||||
BSPRT Issuer Ltd.(a)(b): | ||||||||||||
Series 2017-FL1, Class A, (LIBOR USD 1 Month + 1.35%), 3.42%, 06/15/27 | 100 | 100,084 | ||||||||||
Series 2018-FL3, Class A, (LIBOR USD 1 Month + 1.05%), 3.12%, 03/15/28 | 100 | 99,662 | ||||||||||
Carlyle Global Market Strategies CLO Ltd., Series 2014-1A, Class A1R2, (LIBOR USD 3 Month + 0.97%), 3.31%, 04/17/31(a)(b) | 250 | 249,048 | ||||||||||
Carlyle US CLO Ltd., Series 2017-4A, Class A1, (LIBOR USD 3 Month + 1.18%), 3.53%, 01/15/30(a)(b) | 250 | 250,313 | ||||||||||
Carrington Mortgage Loan Trust(a): | ||||||||||||
Series 2005-FRE1, Class M1, (LIBOR USD 1 Month + 0.47%), 2.56%, 12/25/35 | 70 | 69,715 | ||||||||||
Series 2006-FRE2, Class A2, (LIBOR USD 1 Month + 0.12%), 2.21%, 10/25/36 | 75 | 56,747 | ||||||||||
Series 2006-FRE2, Class A3, (LIBOR USD 1 Month + 0.16%), 2.25%, 10/25/36 | 62 | 47,417 | ||||||||||
Series 2006-NC4, Class A3, (LIBOR USD 1 Month + 0.16%), 2.25%, 10/25/36 | 95 | 88,480 | ||||||||||
Series 2007-HE1, Class A2, (LIBOR USD 1 Month + 0.15%), 2.24%, 06/25/37 | 34 | 33,941 | ||||||||||
C-BASS Trust: | ||||||||||||
Series 2007-CB1, Class AF4, 3.67%, 01/25/37(c) | 74 | 35,435 | ||||||||||
Series 2007-CB5, Class A2, (LIBOR USD 1 Month + 0.17%), 2.26%, 04/25/37(a) | 61 | 45,926 | ||||||||||
Cedar Funding VIII CLO Ltd., Series 2017-8A, Class A1, (LIBOR USD 3 Month + 1.25%), 3.60%, 10/17/30(a)(b) | 250 | 250,885 | ||||||||||
CIFC Funding Ltd.(a): | ||||||||||||
Series 2013-1A, Class A2R, (LIBOR USD 3 Month + 1.75%), 4.10%, 07/16/30(b) | 250 | 250,268 | ||||||||||
Series 2013-2A, Class A1LR, (LIBOR USD 3 Month + 1.21%), 3.57%, 10/18/30(b) | 200 | 200,289 | ||||||||||
Series 2014-V, (LIBOR USD 3 Month + 1.40%), 3.75%, 01/17/27 | 250 | 250,310 | ||||||||||
Citigroup Mortgage Loan Trust(a): | ||||||||||||
Series 2006-NC1, Class A2D, (LIBOR USD 1 Month + 0.25%), 2.34%, 08/25/36 | 90 | 87,322 | ||||||||||
Series 2007-AHL2, Class A3B, (LIBOR USD 1 Month + 0.20%), 2.29%, 05/25/37 | 227 | 164,699 | ||||||||||
Series 2007-AHL2, Class A3C, (LIBOR USD 1 Month + 0.27%), 2.36%, 05/25/37 | 103 | 75,353 | ||||||||||
Conseco Finance Corp.: | ||||||||||||
Series 1998-8, Class A1, 6.28%, 09/01/30 | 27 | 29,189 | ||||||||||
Series 1998-8, Class M1, 6.98%, 09/01/30(e) | 61 | 52,479 | ||||||||||
Series 2001-D, Class B1, (LIBOR USD 1 Month + 2.50%), 4.57%, 11/15/32(a) | 108 | 107,222 | ||||||||||
Conseco Finance Securitizations Corp.: | ||||||||||||
Series 2000-1, Class A5, 8.06%, 09/01/29(e) | 31 | 16,010 |
24 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities (continued) |
| |||||||||||
Series 2000-4, Class A5, 7.97%, 05/01/32 | USD | 95 | $ | 45,917 | ||||||||
Series 2000-4, Class A6, 8.31%, 05/01/32(e) | 43 | 21,454 | ||||||||||
Series 2000-5, Class A6, 7.96%, 05/01/31 | 41 | 25,588 | ||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
Series 2006-8, Class 2A3, (LIBOR USD 1 Month + 0.16%), 2.25%, 01/25/46(a) | 52 | 51,948 | ||||||||||
Series 2006-S3, Class A4, 4.50%, 01/25/29(c) | 22 | 22,857 | ||||||||||
Series 2006-SPS1, Class A, (LIBOR USD 1 Month + 0.22%), 2.31%, 12/25/25(a) | 3 | 3,627 | ||||||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-MH29, Class B1 8.10%, 09/25/31(e) | 30 | 32,073 | ||||||||||
Credit-Based Asset Servicing & Securitization LLC, Series 2006-MH1, Class B1 6.25%, 10/25/36(b)(c) | 100 | 101,009 | ||||||||||
CSMC Trust, Series 2017-14.50%, 03/25/21(e) | 267 | 268,819 | ||||||||||
CWABS Asset-Backed Certificates Trust, Series 2005-17, Class 1AF4 4.42%, 05/25/36(c) | 40 | 39,471 | ||||||||||
CWHEQ Home Equity Loan Trust: | ||||||||||||
Series 2006-S5, Class A4, 5.84%, 06/25/35 | 9 | 11,216 | ||||||||||
Series 2006-S5, Class A5, 6.16%, 06/25/35 | 18 | 19,766 | ||||||||||
Series 2007-S1, Class A3, 5.81%, 11/25/36(e) | 5 | 5,133 | ||||||||||
CWHEQ Revolving Home Equity Loan Resuritization Trust(a)(b): | ||||||||||||
Series 2006-RES, Class 4Q1B, (LIBOR USD 1 Month + 0.30%), 2.37%, 12/15/33(d) | 34 | 31,777 | ||||||||||
Series 2006-RES, Class 5B1A, (LIBOR USD 1 Month + 0.19%), 2.26%, 05/15/35 | 185 | 174,754 | ||||||||||
CWHEQ Revolving Home Equity Loan Trust(a): | ||||||||||||
Series 2005-B, Class 2A, (LIBOR USD 1 Month + 0.18%), 2.25%, 05/15/35 | 23 | 22,322 | ||||||||||
Series 2006-H, Class 1A, (LIBOR USD 1 Month + 0.15%), 2.22%, 11/15/36 | 36 | 29,041 | ||||||||||
DCP Rights LLC, Series 2014-1A, Class A 5.46%, 10/25/44(b) | 282 | 281,994 | ||||||||||
Dryden 53 CLO Ltd., Series 2017-53A, Class A, (LIBOR USD 3 Month + 1.12%), 3.47%, 01/15/31(a)(b) | 280 | 280,135 | ||||||||||
Dryden 64 CLO Ltd., Series 2018-64A, Class A, (LIBOR USD 3 Month + 0.97%), 3.19%, 04/18/31(a)(b) | 250 | 249,318 | ||||||||||
First Franklin Mortgage Loan Trust, Series 2006-FFH1, Class M2, (LIBOR USD 1 Month + 0.40%), 2.49%, 01/25/36(a) | 50 | 30,249 | ||||||||||
Flatiron CLO Ltd., Series 2015-1A, Class AR, (LIBOR USD 3 Month + 0.89%), 3.24%, 04/15/27(a)(b) | 250 | 249,962 | ||||||||||
Galaxy XXII CLO Ltd., Series 2016-22A, Class A1, (LIBOR USD 3 Month + 1.58%), 3.93%, 07/16/28(a)(b) | 250 | 250,009 | ||||||||||
GE-WMC Mortgage Securities Trust, Series 2006-1, Class A2B, (LIBOR USD 1 Month + 0.15%), 2.24%, 08/25/36(a) | 562 | 361,122 | ||||||||||
GSAA Home Equity Trust, Series 2007-4, Class A3B, (LIBOR USD 1 Month + 0.35%), 2.44%, 03/25/37(a) | 50 | 6,457 | ||||||||||
GSAMP Trust(a): | ||||||||||||
Series 2007-H1, Class A1B, (LIBOR USD 1 Month + 0.20%), 2.29%, 01/25/47 | 31 | 20,350 | ||||||||||
Series 2007-HS1, Class M6, (LIBOR USD 1 Month + 2.25%), 4.34%, 02/25/47 | 25 | 25,674 | ||||||||||
GT Loan Financing I Ltd., Series 2013-1A, Class A, (LIBOR USD 3 Month + 1.27%), 3.63%, 10/28/24(a)(b) | 31 | 30,721 | ||||||||||
Home Equity Asset Trust, Series 2007-1, Class 2A3, (LIBOR USD 1 Month + 0.15%), 2.24%, 05/25/37(a) | 40 | 32,891 |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities (continued) |
| |||||||||||
Home Equity Mortgage Loan Asset-Backed Trust, Series 2007-B, Class 2A3, (LIBOR USD 1 Month + 0.20%), 2.29%, 07/25/37(a) | USD | 79 | $ | 51,777 | ||||||||
Home Equity Mortgage Trust, Series 2006-2, Class 1A1 5.87%, 07/25/36(c) | 177 | 65,684 | ||||||||||
Home Loan Mortgage Loan Trust, Series 2005-1, Class A3, (LIBOR USD 1 Month + 0.72%), 2.79%, 04/15/36(a) | 44 | 40,829 | ||||||||||
Invitation Homes Trust(a)(b): | ||||||||||||
Series 2018-SFR1, Class E, (LIBOR USD 1 Month + 2.00%), 4.09%, 03/17/37 | 100 | 100,289 | ||||||||||
Series 2018-SFR3, Class E, (LIBOR USD 1 Month + 2.00%), 4.00%, 07/17/37 | 100 | 100,059 | ||||||||||
IXIS Real Estate Capital Trust, Series 2007-HE1, Class A4, (LIBOR USD 1 Month + 0.23%), 2.32%, 05/25/37(a) | 712 | 259,370 | ||||||||||
Lehman ABS Manufactured Housing Contract Trust: | ||||||||||||
Series 2001-B, Class M1, 6.63%, 04/15/40(e) | 130 | 137,474 | ||||||||||
Series 2002-A, Class C, 0.00%, 06/15/33 | 9 | 7,310 | ||||||||||
Lendmark Funding Trust, Series 2017-1A, Class A 2.83%, 01/22/24(b) | 210 | 207,897 | ||||||||||
Litigation Fee Residual Funding LLC, Series 2015-1 4.00%, 10/30/27(d) | 144 | 143,778 | ||||||||||
LoanCore Issuer Ltd., Series 2018-CRE1, Class A, (LIBOR USD 1 Month + 1.13%), 3.20%, 05/15/28(a)(b) | 100 | 100,069 | ||||||||||
Long Beach Mortgage Loan Trust(a): | ||||||||||||
Series 2006-2, Class 2A3, (LIBOR USD 1 Month + 0.19%), 2.28%, 03/25/46 | 303 | 149,584 | ||||||||||
Series 2006-2, Class 2A4, (LIBOR USD 1 Month + 0.29%), 2.38%, 03/25/46 | 96 | 47,959 | ||||||||||
Series 2006-3, Class 2A3, (LIBOR USD 1 Month + 0.18%), 2.27%, 05/25/46 | 30 | 12,741 | ||||||||||
Series 2006-5, Class 2A3, (LIBOR USD 1 Month + 0.15%), 2.24%, 06/25/36 | 28 | 16,681 | ||||||||||
Series 2006-7, Class 2A3, (LIBOR USD 1 Month + 0.16%), 2.25%, 08/25/36 | 18 | 9,525 | ||||||||||
Series 2006-9, Class 2A2, (LIBOR USD 1 Month + 0.11%), 2.20%, 10/25/36 | 22 | 9,794 | ||||||||||
Series 2006-10, Class 2A4, (LIBOR USD 1 Month + 0.22%), 2.31%, 11/25/36 | 16 | 7,291 | ||||||||||
Madison Park Funding XVIII Ltd., Series 2015-18A, Class A1R, (LIBOR USD 3 Month + 1.19%), 3.55%, 10/21/30(a)(b) | 250 | 250,618 | ||||||||||
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2C, (LIBOR USD 1 Month + 0.24%), 2.33%, 05/25/37(a) | 26 | 18,065 | ||||||||||
Morgan Stanley ABS Capital I, Inc. Trust(a): | ||||||||||||
Series 2005-HE1, Class A2MZ, (LIBOR USD 1 Month + 0.60%), 2.69%, 12/25/34 | 78 | 76,547 | ||||||||||
Series 2007-NC1, Class A1, (LIBOR USD 1 Month + 0.13%), 2.22%, 11/25/36 | 204 | 127,942 | ||||||||||
Morgan Stanley Mortgage Loan Trust, Series 2007-9SL, Class A, (LIBOR USD 1 Month + 0.32%), 2.41%, 07/25/37(a) | 23 | 21,360 | ||||||||||
MP CLO VIII Ltd., Series 2015-2A, Class AR, (LIBOR USD 3 Month + 0.91%), 3.27%, 10/28/27(a)(b) | 250 | 249,568 | ||||||||||
Navient Private Education Loan Trust(b): | ||||||||||||
Series 2014-CTA, Class B, (LIBOR USD 1 Month + 1.75%), 3.82%, 10/17/44(a) | 250 | 254,006 | ||||||||||
Series 2016-AA, Class B, 3.50%, 12/16/58(e) | 100 | 97,421 | ||||||||||
Oakwood Mortgage Investors, Inc., Series 2001-D, Class A46.93%, 09/15/31(e) | 14 | 12,132 |
SCHEDULES OF INVESTMENTS | 25 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities (continued) |
| |||||||||||
Octagon Investment Partners 24 Ltd.(a)(b): | ||||||||||||
Series 2015-1A, Class A1R, (LIBOR USD 3 Month + 0.90%), 3.23%, 05/21/27 | USD | 250 | $ | 249,931 | ||||||||
Series 2015-1A, Class A2AR, (LIBOR USD 3 Month + 1.35%), 3.68%, 05/21/27 | 250 | 248,517 | ||||||||||
Octagon Investment Partners 33 Ltd., Series 2017-1A, Class A1, (LIBOR USD 3 Month + 1.19%), 3.55%, 01/20/31(a)(b) | 250 | 250,341 | ||||||||||
Octagon Investment Partners XVI Ltd.(a)(b): | ||||||||||||
Series 2013-1A, Class A, (LIBOR USD 3 Month + 1.12%), 3.47%, 07/17/25 | 144 | 144,052 | ||||||||||
Series 2013-1A, Class A1R, (LIBOR USD 3 Month + 1.02%), 3.36%, 07/17/30(d) | 305 | 305,000 | ||||||||||
OFSI Fund VI Ltd., Series 2014-6A, Class A2R, (LIBOR USD 3 Month + 1.13%), 3.48%, 03/20/25(a)(b) | 210 | 209,447 | ||||||||||
OHA Loan Funding Ltd., Series 2013-2A, Class AR, (LIBOR USD 3 Month + 1.04%), 3.37%, 05/23/31(a)(b)(d) | 285 | 285,000 | ||||||||||
OneMain Financial Issuance Trust, Series 2014-2A, Class D 5.31%, 09/18/24(b) | 100 | 100,824 | ||||||||||
Option One Mortgage Loan Trust: | ||||||||||||
Series 2007-CP1, Class 2A3, (LIBOR USD 1 Month + 0.21%), 2.30%, 03/25/37(a) | 40 | 27,422 | ||||||||||
Series 2007-FXD1, Class 2A1, 5.87%, 01/25/37(c) | 56 | 52,999 | ||||||||||
Series 2007-FXD2, Class 1A1, 5.82%, 03/25/37(c) | 201 | 197,857 | ||||||||||
Origen Manufactured Housing Contract Trust, Series 2007-B, Class A1, (LIBOR USD 1 Month + 1.20%), 3.27%, 10/15/37(a)(b)(d) | 41 | 38,866 | ||||||||||
Ownit Mortgage Loan Trust, Series 2006-2, Class A2C 6.00%, 01/25/37(c) | 30 | 27,685 | ||||||||||
OZLM Funding II Ltd., Series 2012-2A, Class A1R, (LIBOR USD 3 Month + 1.44%), 3.80%, 10/30/27(a)(b) | 250 | 250,594 | ||||||||||
OZLM Funding III Ltd., Series 2013-3A, Class BR, (LIBOR USD 3 Month + 3.00%), 5.36%, 01/22/29(a)(b) | 250 | 251,648 | ||||||||||
OZLM Funding IV Ltd., Series 2013-4A, Class A1R, (LIBOR USD 3 Month + 1.25%), 3.61%, 10/22/30(a)(b) | 495 | 496,958 | ||||||||||
OZLM IX Ltd., Series 2014-9A, Class CR, (LIBOR USD 3 Month + 3.55%), 5.91%, 01/20/27(a)(b) | 250 | 250,279 | ||||||||||
OZLM XXI, Series 2017-21A, Class B, (LIBOR USD 3 Month + 1.90%), 3.97%, 01/20/31(a)(b) | 250 | 251,056 | ||||||||||
Palmer Square Loan Funding Ltd., Series 2017-1A, Class A1, (LIBOR USD 3 Month + 0.74%), 3.09%, 10/15/25(a)(b) | 144 | 143,429 | ||||||||||
Parallel Ltd., Series 2015-1A, Class AR, (LIBOR USD 3 Month + 0.85%), 3.21%, 07/20/27(a)(b) | 250 | 249,943 | ||||||||||
Pretium Mortgage Credit Partners I LLC, Series 2017-NPL2, Class A1 3.25%, 03/28/57(b)(c) | 181 | 180,674 | ||||||||||
Progress Residential Trust(a)(b): | ||||||||||||
Series 2016-SFR1, Class A, (LIBOR USD 1 Month + 1.50%), 3.59%, 09/17/33 | 99 | 98,970 | ||||||||||
Series 2016-SFR1, Class E, (LIBOR USD 1 Month + 3.85%), 5.94%, 09/17/33 | 100 | 101,096 | ||||||||||
Series 2016-SFR2, Class E, (LIBOR USD 1 Month + 3.55%), 5.64%, 01/17/34 | 100 | 101,608 | ||||||||||
PRPM LLC, Series 2017-1A, Class A1 4.25%, 01/25/22(b)(c) | 49 | 48,864 | ||||||||||
RAMP Trust, Series 2006-RS6, Class A4, (LIBOR USD 1 Month + 0.27%), 2.36%, 11/25/36(a) | 104 | 87,446 | ||||||||||
Rockford Tower CLO Ltd., Series 2017-1A, Class B, (LIBOR USD 3 Month + 1.80%), 4.15%, 04/15/29(a)(b) | 250 | 250,397 |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities (continued) |
| |||||||||||
RR 3 Ltd., Series 2018-3A, Class A1R2, (LIBOR USD 3 Month + 1.09%), 3.44%, 01/15/30(a)(b) | USD | 250 | $ | 249,988 | ||||||||
Saxon Asset Securities Trust, Series 2007-1, Class M1, (LIBOR USD 1 Month + 0.29%), 2.38%, 01/25/47(a) | 77 | 45,205 | ||||||||||
Scholar Funding Trust, Series 2013-A, Class A, (LIBOR USD 1 Month + 0.65%), 2.62%, 01/30/45(a)(b) | 216 | 215,044 | ||||||||||
Securitized Asset Backed Receivables LLC Trust, Series 2006-WM4, Class A1, (LIBOR USD 1 Month + 0.19%), 2.28%, 11/25/36(a)(b) | 45 | 27,584 | ||||||||||
SG Mortgage Securities Trust, Series 2006-FRE2, Class A2C, (LIBOR USD 1 Month + 0.16%), 2.25%, 07/25/36(a) | 18 | 6,202 | ||||||||||
Silver Creek CLO Ltd., Series 2014-1A, Class AR, (LIBOR USD 3 Month + 1.24%), 3.60%, 07/20/30(a)(b) | 250 | 250,828 | ||||||||||
SLM Private Credit Student Loan Trust(a): | ||||||||||||
Series 2004-B, Class A3, (LIBOR USD 3 Month + 0.33%), 2.67%, 03/15/24 | 162 | 161,913 | ||||||||||
Series 2005-A, Class A3, (LIBOR USD 3 Month + 0.20%), 2.54%, 06/15/23 | 79 | 79,342 | ||||||||||
Sound Point CLO XII Ltd., Series 2016-2A, Class A, (LIBOR USD 3 Month + 1.66%), 4.02%, 10/20/28(a)(b) | 250 | 250,000 | ||||||||||
Sound Point CLO XIV Ltd., Series 2016-3A, Class C, (LIBOR USD 3 Month + 2.65%), 5.01%, 01/23/29(a)(b) | 250 | 251,229 | ||||||||||
Springleaf Funding Trust, Series 2015-AA, Class B 3.62%, 11/15/24(b) | 320 | 319,445 | ||||||||||
Stanwich Mortgage Loan Co. LLC, Series 2017-NPB1, Class A1 3.60%, 05/17/22(b)(c)(d) | 182 | 181,835 | ||||||||||
Structured Asset Investment Loan Trust, Series 2004-8, Class M4, (LIBOR USD 1 Month + 1.50%), 3.59%, 09/25/34(a) | 47 | 46,512 | ||||||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2004-23XS, Class 2A1, (LIBOR USD 1 Month + 0.30%), 2.39%, 01/25/35(a) | 66 | 64,590 | ||||||||||
Symphony CLO XII Ltd., Series 2013-12A, Class AR, (LIBOR USD 3 Month + 1.03%), 3.38%, 10/15/25(a)(b) | 374 | 373,813 | ||||||||||
Symphony CLO XVII Ltd., Series 2016-17A, Class AR, (LIBOR USD 3 Month + 0.88%), 3.23%, 04/15/28(a)(b) | 250 | 249,619 | ||||||||||
TCI-Flatiron CLO Ltd., Series 2017-1A, Class A, (LIBOR USD 3 Month + 1.20%), 3.52%, 11/17/30(a)(b) | 250 | 250,898 | ||||||||||
Union Pacific Railroad Co. Pass-Through Trust, Series 2014-13.23%, 05/14/26 | 55 | 53,471 | ||||||||||
Venture XIX CLO Ltd., Series 2014-19A, Class AR, (LIBOR USD 3 Month + 1.37%), 3.72%, 01/15/27(a)(b) | 250 | 249,887 | ||||||||||
Voya CLO Ltd., Series 2013-3A, Class A1R, (LIBOR USD 3 Month + 1.05%), 3.41%, 01/18/26(a)(b) | 229 | 228,547 | ||||||||||
Wachovia Asset Securitization Issuance II LLC 2007-HE2 Trust, Series 2007-HE2A, Class A, (LIBOR USD 1 Month + 0.13%), 2.22%, 07/25/37(a)(b) | 73 | 68,566 | ||||||||||
Washington Mutual Asset-Backed CertificatesTrust, Series 2007-HE2, Class 2A2, (LIBOR USD 1 Month + 0.22%), 2.31%, 02/25/37(a) | 96 | 43,821 | ||||||||||
West CLO Ltd., Series 2013-1A, Class A1AR, (LIBOR USD 3 Month + 1.16%), 3.52%, 11/07/25(a)(b) | 217 | 216,685 | ||||||||||
WVUE, Series 2015-1A, Class A 7.50%, 09/25/20(b)(c) | 4 | 3,506 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities — 4.4% |
| 21,952,789 | ||||||||||
|
|
26 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||||||
Common Stocks — 60.0% |
| |||||||||||
Aerospace & Defense — 1.1% | ||||||||||||
Boeing Co. (The) | 361 | $ | 121,119 | |||||||||
Curtiss-Wright Corp. | 1,327 | 157,940 | ||||||||||
General Dynamics Corp. | 662 | 123,403 | ||||||||||
Harris Corp. | 2,361 | 341,259 | ||||||||||
Lockheed Martin Corp. | 2,210 | 652,900 | ||||||||||
Raytheon Co. | 20,675 | 3,993,996 | ||||||||||
Rockwell Collins, Inc. | 1,870 | 251,852 | ||||||||||
|
| |||||||||||
5,642,469 | ||||||||||||
Air Freight & Logistics — 0.1% | ||||||||||||
FedEx Corp. | 1,447 | 328,556 | ||||||||||
|
| |||||||||||
Airlines — 0.1% | ||||||||||||
Delta Air Lines, Inc. | 12,090 | 598,939 | ||||||||||
Southwest Airlines Co. | 2,580 | 131,270 | ||||||||||
|
| |||||||||||
730,209 | ||||||||||||
Auto Components — 0.6% | ||||||||||||
BorgWarner, Inc. | 69,907 | 3,017,186 | ||||||||||
|
| |||||||||||
Banks — 3.1% | ||||||||||||
Bank of America Corp. | 131,048 | 3,694,243 | ||||||||||
Citigroup, Inc. | 59,582 | 3,987,228 | ||||||||||
Citizens Financial Group, Inc. | 43,198 | 1,680,402 | ||||||||||
First Hawaiian, Inc. | 34,031 | 987,580 | ||||||||||
First Horizon National Corp. | 17,485 | 311,932 | ||||||||||
First Republic Bank | 14,506 | 1,404,036 | ||||||||||
JPMorgan Chase & Co. | 14,962 | 1,559,040 | ||||||||||
SunTrust Banks, Inc. | 3,111 | 205,388 | ||||||||||
Synovus Financial Corp. | 24,591 | 1,299,143 | ||||||||||
Western Alliance Bancorp(f) | 8,530 | 482,883 | ||||||||||
|
| |||||||||||
15,611,875 | ||||||||||||
Beverages — 0.9% | ||||||||||||
Brown-Forman Corp., Class B | 7,863 | 385,366 | ||||||||||
Coca-Cola European Partners plc | 21,486 | 873,191 | ||||||||||
Constellation Brands, Inc., Class A | 4,927 | 1,078,373 | ||||||||||
Dr Pepper Snapple Group, Inc. | 2,103 | 256,566 | ||||||||||
PepsiCo, Inc. | 19,351 | 2,106,743 | ||||||||||
|
| |||||||||||
4,700,239 | ||||||||||||
Biotechnology — 2.5% | ||||||||||||
AbbVie, Inc. | 26,359 | 2,442,161 | ||||||||||
Amgen, Inc. | 4,649 | 858,159 | ||||||||||
Biogen, Inc.(f) | 2,324 | 674,518 | ||||||||||
Celgene Corp.(f) | 46,800 | 3,716,856 | ||||||||||
Gilead Sciences, Inc. | 61,554 | 4,360,486 | ||||||||||
United Therapeutics Corp.(f) | 2,234 | 252,777 | ||||||||||
|
| |||||||||||
12,304,957 | ||||||||||||
Building Products — 0.5% | ||||||||||||
Fortune Brands Home & Security, Inc. | 43,913 | 2,357,689 | ||||||||||
|
| |||||||||||
Capital Markets — 2.7% | ||||||||||||
Affiliated Managers Group, Inc. | 3,754 | 558,107 | ||||||||||
Charles Schwab Corp. (The) | 22,962 | 1,173,358 | ||||||||||
Franklin Resources, Inc. | 27,205 | 871,921 | ||||||||||
Intercontinental Exchange, Inc. | 50,831 | 3,738,620 | ||||||||||
Invesco Ltd. | 4,604 | 122,282 | ||||||||||
Moelis & Co., Class A | 26,169 | 1,534,812 | ||||||||||
Morgan Stanley | 36,367 | 1,723,796 | ||||||||||
S&P Global, Inc. | 17,825 | 3,634,339 | ||||||||||
|
| |||||||||||
13,357,235 | ||||||||||||
Chemicals — 1.1% | ||||||||||||
Air Products & Chemicals, Inc. | 22,304 | 3,473,402 | ||||||||||
Celanese Corp. | 997 | 110,727 |
Security | Shares | Value | ||||||||||
Chemicals (continued) | ||||||||||||
Eastman Chemical Co. | 19,522 | $ | 1,951,419 | |||||||||
WR Grace & Co. | 2,059 | 150,945 | ||||||||||
|
| |||||||||||
5,686,493 | ||||||||||||
Commercial Services & Supplies — 0.1% | ||||||||||||
Republic Services, Inc. | 4,748 | 324,573 | ||||||||||
|
| |||||||||||
Communications Equipment — 0.8% | ||||||||||||
Cisco Systems, Inc. | 71,303 | 3,068,168 | ||||||||||
Motorola Solutions, Inc. | 8,020 | 933,288 | ||||||||||
|
| |||||||||||
4,001,456 | ||||||||||||
Consumer Finance — 0.2% | ||||||||||||
American Express Co. | 8,159 | 799,582 | ||||||||||
Green Dot Corp., Class A(f) | 3,542 | 259,947 | ||||||||||
|
| |||||||||||
1,059,529 | ||||||||||||
Containers & Packaging — 0.2% | ||||||||||||
Packaging Corp. of America | 9,503 | 1,062,340 | ||||||||||
|
| |||||||||||
Diversified Consumer Services — 0.3% | ||||||||||||
H&R Block, Inc. | 62,053 | 1,413,567 | ||||||||||
|
| |||||||||||
Diversified Financial Services — 0.4% | ||||||||||||
Berkshire Hathaway, Inc., Class B(f) | 10,563 | 1,971,584 | ||||||||||
|
| |||||||||||
Diversified Telecommunication Services — 0.6% | ||||||||||||
AT&T, Inc. | 63,274 | 2,031,728 | ||||||||||
Verizon Communications, Inc. | 9,780 | 492,032 | ||||||||||
Zayo Group Holdings, Inc.(f) | 9,686 | 353,345 | ||||||||||
|
| |||||||||||
2,877,105 | ||||||||||||
Electric Utilities — 0.9% | ||||||||||||
IDACORP, Inc. | 9,677 | 892,607 | ||||||||||
Pinnacle West Capital Corp. | 40,386 | 3,253,496 | ||||||||||
Portland General Electric Co. | 9,270 | 396,385 | ||||||||||
|
| |||||||||||
4,542,488 | ||||||||||||
Electrical Equipment — 0.7% | ||||||||||||
AMETEK, Inc. | 43,988 | 3,174,174 | ||||||||||
Rockwell Automation, Inc. | 1,674 | 278,269 | ||||||||||
|
| |||||||||||
3,452,443 | ||||||||||||
Electronic Equipment, Instruments & Components — 0.3% | ||||||||||||
Amphenol Corp., Class A | 14,583 | 1,270,908 | ||||||||||
CDW Corp. | 1,647 | 133,061 | ||||||||||
TE Connectivity Ltd. | 996 | 89,700 | ||||||||||
Zebra Technologies Corp., Class A(f) | 583 | 83,515 | ||||||||||
|
| |||||||||||
1,577,184 | ||||||||||||
Energy Equipment & Services — 0.3% | ||||||||||||
Apergy Corp.(f) | 4,556 | 190,213 | ||||||||||
Halliburton Co. | 25,724 | 1,159,124 | ||||||||||
|
| |||||||||||
1,349,337 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) — 2.1% | ||||||||||||
Alexandria Real Estate Equities, Inc. | 9,542 | 1,203,914 | ||||||||||
Highwoods Properties, Inc. | 22,759 | 1,154,564 | ||||||||||
Host Hotels & Resorts, Inc. | 16,476 | 347,149 | ||||||||||
National Retail Properties, Inc. | 3,675 | 161,553 | ||||||||||
Outfront Media, Inc. | 18,923 | 368,052 | ||||||||||
Prologis, Inc. | 57,724 | 3,791,890 | ||||||||||
Simon Property Group, Inc. | 19,771 | 3,364,827 | ||||||||||
|
| |||||||||||
10,391,949 | ||||||||||||
Food & Staples Retailing — 1.2% | ||||||||||||
Costco Wholesale Corp. | 7,090 | 1,481,668 | ||||||||||
Walmart, Inc. | 54,018 | 4,626,642 | ||||||||||
|
| |||||||||||
6,108,310 |
SCHEDULES OF INVESTMENTS | 27 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||||||
Food Products — 1.2% | ||||||||||||
Archer-Daniels-Midland Co. | 53,235 | $ | 2,439,760 | |||||||||
Bunge Ltd. | 20,093 | 1,400,683 | ||||||||||
Hershey Co. (The) | 7,535 | 701,207 | ||||||||||
Kellogg Co. | 22,761 | 1,590,311 | ||||||||||
|
| |||||||||||
6,131,961 | ||||||||||||
Gas Utilities — 0.0% | ||||||||||||
UGI Corp. | 1,524 | 79,355 | ||||||||||
|
| |||||||||||
Health Care Equipment & Supplies — 1.3% | ||||||||||||
Abbott Laboratories | 30,871 | 1,882,822 | ||||||||||
Danaher Corp. | 17,951 | 1,771,405 | ||||||||||
IDEXX Laboratories, Inc.(f) | 1,419 | 309,257 | ||||||||||
Medtronic plc | 6,684 | 572,217 | ||||||||||
Stryker Corp. | 11,862 | 2,003,017 | ||||||||||
|
| |||||||||||
6,538,718 | ||||||||||||
Health Care Providers & Services — 1.6% | ||||||||||||
Aetna, Inc. | 3,732 | 684,822 | ||||||||||
AmerisourceBergen Corp. | 11,917 | 1,016,162 | ||||||||||
Express Scripts Holding Co.(f) | 4,637 | 358,023 | ||||||||||
Humana, Inc. | 12,395 | 3,689,124 | ||||||||||
McKesson Corp. | 8,895 | 1,186,593 | ||||||||||
UnitedHealth Group, Inc. | 3,730 | 915,118 | ||||||||||
|
| |||||||||||
7,849,842 | ||||||||||||
Health Care Technology — 0.2% | ||||||||||||
Veeva Systems, Inc., Class A(f) | 13,635 | 1,047,986 | ||||||||||
|
| |||||||||||
Hotels, Restaurants & Leisure — 2.6% | ||||||||||||
Carnival Corp. | 52,706 | 3,020,581 | ||||||||||
Darden Restaurants, Inc. | 3,476 | 372,140 | ||||||||||
Domino’s Pizza, Inc. | 5,257 | 1,483,368 | ||||||||||
Las Vegas Sands Corp. | 42,270 | 3,227,737 | ||||||||||
Marriott International, Inc., Class A | 1,920 | 243,072 | ||||||||||
McDonald’s Corp. | 28,149 | 4,410,667 | ||||||||||
|
| |||||||||||
12,757,565 | ||||||||||||
Household Durables — 0.3% | ||||||||||||
DR Horton, Inc. | 11,660 | 478,060 | ||||||||||
Garmin Ltd. | 7,315 | 446,215 | ||||||||||
Whirlpool Corp. | 5,372 | 785,548 | ||||||||||
|
| |||||||||||
1,709,823 | ||||||||||||
Household Products — 0.1% | ||||||||||||
Church & Dwight Co., Inc. | 4,861 | 258,411 | ||||||||||
Kimberly-Clark Corp. | 2,745 | 289,158 | ||||||||||
|
| |||||||||||
547,569 | ||||||||||||
Industrial Conglomerates — 1.3% | ||||||||||||
3M Co. | 20,145 | 3,962,925 | ||||||||||
Honeywell International, Inc. | 18,856 | 2,716,207 | ||||||||||
|
| |||||||||||
6,679,132 | ||||||||||||
Insurance — 2.0% | ||||||||||||
Allstate Corp. (The) | 12,459 | 1,137,133 | ||||||||||
American Financial Group, Inc. | 3,625 | 389,071 | ||||||||||
Arthur J. Gallagher & Co. | 5,597 | 365,372 | ||||||||||
Athene Holding Ltd., Class A(f) | 20,570 | 901,789 | ||||||||||
First American Financial Corp. | 12,284 | 635,329 | ||||||||||
Hanover Insurance Group, Inc. (The) | 7,061 | 844,213 | ||||||||||
Hartford Financial Services Group, Inc. (The) | 11,809 | 603,794 | ||||||||||
Lincoln National Corp. | 34,920 | 2,173,770 | ||||||||||
Prudential Financial, Inc. | 17,183 | 1,606,782 | ||||||||||
Travelers Cos., Inc. (The) | 5,667 | 693,301 | ||||||||||
Unum Group | 17,980 | 665,080 | ||||||||||
|
| |||||||||||
10,015,634 |
Security | Shares | Value | ||||||||||
Internet & Direct Marketing Retail — 1.7%(f) | ||||||||||||
Amazon.com, Inc. | 4,259 | $ | 7,239,448 | |||||||||
Netflix, Inc. | 2,591 | 1,014,195 | ||||||||||
|
| |||||||||||
8,253,643 | ||||||||||||
Internet Software & Services — 2.8%(f) | ||||||||||||
Alphabet, Inc., Class A | 2,159 | 2,437,921 | ||||||||||
Alphabet, Inc., Class C | 3,540 | 3,949,401 | ||||||||||
Facebook, Inc., Class A | 29,681 | 5,767,612 | ||||||||||
GoDaddy, Inc., Class A | 6,771 | 478,032 | ||||||||||
New Relic, Inc. | 1,554 | 156,317 | ||||||||||
Twitter, Inc. | 19,955 | 871,435 | ||||||||||
Yelp, Inc. | 11,955 | 468,397 | ||||||||||
|
| |||||||||||
14,129,115 | ||||||||||||
IT Services — 3.2% | ||||||||||||
Accenture plc, Class A | 10,955 | 1,792,128 | ||||||||||
Automatic Data Processing, Inc. | 3,982 | 534,145 | ||||||||||
Booz Allen Hamilton Holding Corp. | 31,601 | 1,381,912 | ||||||||||
Fidelity National Information Services, Inc. | 35,384 | 3,751,766 | ||||||||||
First Data Corp., Class A(f) | 47,036 | 984,463 | ||||||||||
Mastercard, Inc., Class A | 27,651 | 5,433,975 | ||||||||||
Visa, Inc., Class A | 16,091 | 2,131,253 | ||||||||||
|
| |||||||||||
16,009,642 | ||||||||||||
Life Sciences Tools & Services — 0.1% | ||||||||||||
Agilent Technologies, Inc. | 7,286 | 450,566 | ||||||||||
Thermo Fisher Scientific, Inc. | 1,301 | 269,489 | ||||||||||
|
| |||||||||||
720,055 | ||||||||||||
Machinery — 1.3% | ||||||||||||
Illinois Tool Works, Inc. | 16,164 | 2,239,360 | ||||||||||
Ingersoll-Rand plc | 14,920 | 1,338,772 | ||||||||||
PACCAR, Inc. | 50,696 | 3,141,124 | ||||||||||
|
| |||||||||||
6,719,256 | ||||||||||||
Media — 0.6% | ||||||||||||
CBS Corp. (Non-Voting), Class B | 6,092 | 342,492 | ||||||||||
Cinemark Holdings, Inc. | 2,508 | 87,981 | ||||||||||
Comcast Corp., Class A | 24,670 | 809,423 | ||||||||||
Interpublic Group of Cos., Inc. (The) | 44,362 | 1,039,845 | ||||||||||
John Wiley & Sons, Inc., Class A | 10,641 | 663,998 | ||||||||||
|
| |||||||||||
2,943,739 | ||||||||||||
Metals & Mining — 0.4% | ||||||||||||
Newmont Mining Corp. | 47,650 | 1,796,882 | ||||||||||
|
| |||||||||||
Multiline Retail — 0.9% | ||||||||||||
Kohl’s Corp.(g) | 8,457 | 616,515 | ||||||||||
Target Corp. | 49,695 | 3,782,784 | ||||||||||
|
| |||||||||||
4,399,299 | ||||||||||||
Multi-Utilities — 0.5% | ||||||||||||
CenterPoint Energy, Inc. | 24,915 | 690,395 | ||||||||||
CMS Energy Corp. | 6,700 | 316,776 | ||||||||||
Consolidated Edison, Inc. | 16,377 | 1,277,078 | ||||||||||
|
| |||||||||||
2,284,249 | ||||||||||||
Oil, Gas & Consumable Fuels — 3.1% | ||||||||||||
Anadarko Petroleum Corp. | 6,395 | 468,434 | ||||||||||
Chevron Corp. | 21,517 | 2,720,394 | ||||||||||
ConocoPhillips | 63,630 | 4,429,921 | ||||||||||
EOG Resources, Inc. | 12,486 | 1,553,633 | ||||||||||
Exxon Mobil Corp. | 27,446 | 2,270,608 | ||||||||||
Occidental Petroleum Corp. | 18,447 | 1,543,645 | ||||||||||
Parsley Energy, Inc., Class A(f) | 7,709 | 233,428 | ||||||||||
RSP Permian, Inc.(f) | 1,701 | 74,878 | ||||||||||
Suncor Energy, Inc. | 28,226 | 1,148,234 | ||||||||||
Williams Cos., Inc. (The) | 40,305 | 1,092,668 | ||||||||||
|
| |||||||||||
15,535,843 |
28 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||||||
Personal Products — 0.2% | ||||||||||||
Estee Lauder Cos., Inc. (The), Class A | 4,442 | $ | 633,829 | |||||||||
Herbalife Nutrition Ltd.(f) | 5,547 | 297,985 | ||||||||||
|
| |||||||||||
931,814 | ||||||||||||
Pharmaceuticals — 2.8% | ||||||||||||
Bristol-Myers Squibb Co. | 66,136 | 3,659,966 | ||||||||||
Eli Lilly & Co. | 14,293 | 1,219,622 | ||||||||||
Johnson & Johnson | 36,158 | 4,387,412 | ||||||||||
Merck & Co., Inc. | 58,994 | 3,580,936 | ||||||||||
Zoetis, Inc. | 13,800 | 1,175,622 | ||||||||||
|
| |||||||||||
14,023,558 | ||||||||||||
Professional Services — 0.3% | ||||||||||||
Insperity, Inc. | 4,107 | 391,192 | ||||||||||
ManpowerGroup, Inc. | 10,650 | 916,539 | ||||||||||
|
| |||||||||||
1,307,731 | ||||||||||||
Real Estate Management & Development — 0.1% | ||||||||||||
Jones Lang LaSalle, Inc. | 3,280 | 544,447 | ||||||||||
|
| |||||||||||
Road & Rail — 0.5% | ||||||||||||
Landstar System, Inc. | 6,497 | 709,472 | ||||||||||
Norfolk Southern Corp. | 12,948 | 1,953,465 | ||||||||||
|
| |||||||||||
2,662,937 | ||||||||||||
Semiconductors & Semiconductor Equipment — 2.4% | ||||||||||||
Applied Materials, Inc. | 22,031 | 1,017,612 | ||||||||||
Broadcom, Inc. | 4,551 | 1,104,255 | ||||||||||
Intel Corp. | 21,979 | 1,092,576 | ||||||||||
Maxim Integrated Products, Inc. | 59,028 | 3,462,583 | ||||||||||
NVIDIA Corp. | 2,936 | 695,538 | ||||||||||
NXP Semiconductors NV(f) | 352 | 38,463 | ||||||||||
Texas Instruments, Inc. | 35,165 | 3,876,941 | ||||||||||
Xilinx, Inc. | 11,889 | 775,876 | ||||||||||
|
| |||||||||||
12,063,844 | ||||||||||||
Software — 4.1% | ||||||||||||
Activision Blizzard, Inc. | 11,407 | 870,582 | ||||||||||
Adobe Systems, Inc.(f) | 6,486 | 1,581,352 | ||||||||||
Cadence Design Systems, Inc.(f) | 5,846 | 253,190 | ||||||||||
Dell Technologies, Inc., Class V(f) | 6,546 | 553,661 | ||||||||||
Electronic Arts, Inc.(f) | 11,746 | 1,656,421 | ||||||||||
Microsoft Corp. | 95,196 | 9,387,278 | ||||||||||
RingCentral, Inc., Class A(f) | 8,203 | 577,081 | ||||||||||
Synopsys, Inc.(f) | 29,106 | 2,490,600 | ||||||||||
Workday, Inc., Class A(f) | 14,595 | 1,767,746 | ||||||||||
Zendesk, Inc.(f) | 29,914 | 1,630,014 | ||||||||||
|
| |||||||||||
20,767,925 | ||||||||||||
Specialty Retail — 0.7% | ||||||||||||
Burlington Stores, Inc.(f) | 466 | 70,147 | ||||||||||
Lithia Motors, Inc., Class A(g) | 7,979 | 754,574 | ||||||||||
Penske Automotive Group, Inc.(g) | 28,375 | 1,329,369 | ||||||||||
Tiffany & Co. | 9,890 | 1,301,524 | ||||||||||
|
| |||||||||||
3,455,614 | ||||||||||||
Technology Hardware, Storage & Peripherals — 1.9% | ||||||||||||
Apple, Inc. | 46,304 | 8,571,333 | ||||||||||
HP, Inc. | 30,595 | 694,201 | ||||||||||
Western Digital Corp. | 1,596 | 123,546 | ||||||||||
|
| |||||||||||
9,389,080 | ||||||||||||
Textiles, Apparel & Luxury Goods — 0.5% | ||||||||||||
Lululemon Athletica, Inc.(f) | 2,473 | 308,754 | ||||||||||
Michael Kors Holdings Ltd.(f) | 3,391 | 225,841 | ||||||||||
NIKE, Inc., Class B | 10,483 | 835,285 | ||||||||||
Skechers U.S.A., Inc., Class A(f) | 35,928 | 1,078,199 | ||||||||||
VF Corp. | 2,340 | 190,757 | ||||||||||
|
| |||||||||||
2,638,836 |
Security | Shares | Value | ||||||||||
Thrifts & Mortgage Finance — 0.0% | ||||||||||||
Essent Group Ltd.(f) | 3,285 | $ | 117,669 | |||||||||
|
| |||||||||||
Tobacco — 0.0% | ||||||||||||
British American Tobacco plc, ADR | 1 | 51 | ||||||||||
|
| |||||||||||
Trading Companies & Distributors — 0.2% | ||||||||||||
Watsco, Inc. | 5,029 | 896,570 | ||||||||||
|
| |||||||||||
Water Utilities — 0.0% | ||||||||||||
American Water Works Co., Inc. | 2,710 | 231,380 | ||||||||||
|
| |||||||||||
Wireless Telecommunication Services — 0.3% | ||||||||||||
Telephone & Data Systems, Inc. | 42,892 | 1,176,099 | ||||||||||
T-Mobile US, Inc.(f) | 3,082 | 184,149 | ||||||||||
|
| |||||||||||
1,360,248 | ||||||||||||
|
| |||||||||||
Total Common Stocks — 60.0% |
| 300,409,785 | ||||||||||
|
| |||||||||||
Par (000) | ||||||||||||
Corporate Bonds — 9.7% |
| |||||||||||
Aerospace & Defense — 0.2% | ||||||||||||
BAE Systems Holdings, Inc.(b): | ||||||||||||
2.85%, 12/15/20 | USD | 38 | 37,531 | |||||||||
4.75%, 10/07/44 | 8 | 8,234 | ||||||||||
General Dynamics Corp., 3.75%, 05/15/28 | 135 | 136,233 | ||||||||||
Harris Corp.: | ||||||||||||
2.70%, 04/27/20 | 39 | 38,655 | ||||||||||
4.40%, 06/15/28 | 125 | 125,977 | ||||||||||
L3 Technologies, Inc.: | ||||||||||||
3.85%, 06/15/23 | 70 | 69,854 | ||||||||||
3.85%, 12/15/26 | 90 | 86,604 | ||||||||||
Lockheed Martin Corp.: | ||||||||||||
3.55%, 01/15/26 | 43 | 42,259 | ||||||||||
3.60%, 03/01/35 | 45 | 41,857 | ||||||||||
4.50%, 05/15/36 | 17 | 17,644 | ||||||||||
4.07%, 12/15/42 | 9 | 8,659 | ||||||||||
3.80%, 03/01/45 | 20 | 18,368 | ||||||||||
4.70%, 05/15/46 | 50 | 53,156 | ||||||||||
4.09%, 09/15/52 | 32 | 30,122 | ||||||||||
Northrop Grumman Corp.: | ||||||||||||
2.55%, 10/15/22 | 80 | 77,058 | ||||||||||
2.93%, 01/15/25 | 150 | 142,404 | ||||||||||
3.25%, 01/15/28 | 103 | 96,765 | ||||||||||
3.85%, 04/15/45 | 43 | 39,012 | ||||||||||
United Technologies Corp.: | ||||||||||||
4.15%, 05/15/45 | 27 | 25,078 | ||||||||||
4.05%, 05/04/47 | 95 | 86,942 | ||||||||||
|
| |||||||||||
1,182,412 | ||||||||||||
Air Freight & Logistics — 0.0% | ||||||||||||
FedEx Corp.: | ||||||||||||
4.90%, 01/15/34 | 40 | 42,128 | ||||||||||
3.90%, 02/01/35 | 80 | 74,813 | ||||||||||
4.05%, 02/15/48 | 40 | 35,930 | ||||||||||
|
| |||||||||||
152,871 | ||||||||||||
Airlines — 0.2% | ||||||||||||
American Airlines Group, Inc., 4.63%, 03/01/20(b) | 91 | 90,545 | ||||||||||
American Airlines Pass-Through Trust, Series 2015-1, Class A, 3.38%, 05/01/27 | 82 | 79,018 | ||||||||||
Delta Air Lines, Inc.: | ||||||||||||
2.88%, 03/13/20 | 338 | 335,774 | ||||||||||
2.60%, 12/04/20 | 130 | 127,180 | ||||||||||
Gol Finance, Inc., 7.00%, 01/31/25(b) | 39 | 31,305 |
SCHEDULES OF INVESTMENTS | 29 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Airlines (continued) | ||||||||||||
Turkish Airlines Pass-Through Trust, Series 2015-1, Class A, 4.20%, 03/15/27(b) | USD | 53 | $ | 49,287 | ||||||||
United Airlines Pass-Through Trust: | ||||||||||||
Series 2014-1, , Class B, 4.75%, 04/11/22 | 14 | 13,847 | ||||||||||
Series 2018-1, , Class B, 4.60%, 03/01/26 | 25 | 25,124 | ||||||||||
|
| |||||||||||
752,080 | ||||||||||||
Auto Components — 0.0% | ||||||||||||
Aptiv plc, 4.25%, 01/15/26 | 62 | 61,797 | ||||||||||
ZF North America Capital, Inc., 4.75%, 04/29/25(b) | 150 | 149,980 | ||||||||||
|
| |||||||||||
211,777 | ||||||||||||
Automobiles — 0.2% | ||||||||||||
BMW US Capital LLC, 3.10%, 04/12/21(b) | 130 | 129,189 | ||||||||||
Daimler Finance North America LLC(b): | ||||||||||||
3.10%, 05/04/20 | 150 | 149,695 | ||||||||||
3.35%, 05/04/21 | 170 | 169,340 | ||||||||||
General Motors Co., 5.40%, 04/01/48 | 50 | 47,502 | ||||||||||
Hyundai Capital America, 2.55%, 04/03/20(b) | 402 | 395,058 | ||||||||||
|
| |||||||||||
890,784 | ||||||||||||
Banks — 2.4% | ||||||||||||
ABN AMRO Bank NV, 2.65%, 01/19/21(b) | 235 | 230,779 | ||||||||||
Banco Santander SA, 3.85%, 04/12/23 | 200 | 195,599 | ||||||||||
Bank of America Corp.: | ||||||||||||
Series L, 2.25%, 04/21/20 | 145 | 143,011 | ||||||||||
2.63%, 10/19/20 | 130 | 128,401 | ||||||||||
(LIBOR USD 3 Month + 0.66%), 2.37%, 07/21/21(a) | 395 | 387,216 | ||||||||||
(LIBOR USD 3 Month + 0.63%), 2.33%, 10/01/21(a) | 740 | 723,429 | ||||||||||
(LIBOR USD 3 Month + 0.63%), 3.50%, 05/17/22(a) | 220 | 219,924 | ||||||||||
3.30%, 01/11/23 | 80 | 78,826 | ||||||||||
3.88%, 08/01/25 | 201 | 199,994 | ||||||||||
3.50%, 04/19/26 | 52 | 50,298 | ||||||||||
Series L, 4.18%, 11/25/27 | 190 | 185,041 | ||||||||||
Bank of Montreal, Series D, 3.10%, 04/13/21 | 220 | 219,121 | ||||||||||
Bank of Nova Scotia (The), 3.13%, 04/20/21 | 330 | 328,296 | ||||||||||
Barclays plc: | ||||||||||||
(LIBOR USD 3 Month + 1.36%), 4.34%, 05/16/24(a) | 200 | 197,527 | ||||||||||
4.95%, 01/10/47 | 200 | 187,501 | ||||||||||
BB&T Corp., 2.45%, 01/15/20 | 92 | 91,101 | ||||||||||
BNP Paribas SA, 2.95%, 05/23/22(b) | 240 | 231,678 | ||||||||||
Citigroup, Inc.: | ||||||||||||
2.50%, 07/29/19 | 285 | 283,722 | ||||||||||
2.90%, 12/08/21 | 255 | 249,804 | ||||||||||
3.50%, 05/15/23 | 66 | 64,542 | ||||||||||
3.88%, 03/26/25 | 53 | 51,403 | ||||||||||
(LIBOR USD 3 Month + 1.56%), 3.89%, 01/10/28(a) | 32 | 30,993 | ||||||||||
4.13%, 07/25/28 | 73 | 69,889 | ||||||||||
Citizens Bank NA: | ||||||||||||
2.25%, 03/02/20 | 277 | 272,470 | ||||||||||
2.65%, 05/26/22 | 250 | 241,754 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd., 2.75%, 03/26/20 | 250 | 247,267 | ||||||||||
HSBC Holdings plc: | ||||||||||||
2.65%, 01/05/22 | 277 | 268,200 | ||||||||||
(USD Swap Rate 5 Year + 3.75%), 6.00%(a)(h) | 200 | 185,500 | ||||||||||
Huntington National Bank (The), 3.25%, 05/14/21 | 250 | 249,413 | ||||||||||
Intesa Sanpaolo SpA, 5.02%, 06/26/24(b) | 200 | 181,533 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
4.63%, 05/10/21 | 163 | 168,606 | ||||||||||
(LIBOR USD 3 Month + 0.61%), 3.51%, 06/18/22(a) | 250 | 250,193 |
Security | Par (000) | Value | ||||||||||
Banks (continued) | ||||||||||||
2.97%, 01/15/23 | USD | 420 | $ | 409,064 | ||||||||
3.90%, 07/15/25 | 69 | 68,741 | ||||||||||
(LIBOR USD 3 Month + 1.38%), 3.54%, 05/01/28(a) | 90 | 86,165 | ||||||||||
(LIBOR USD 3 Month + 1.36%), 3.88%, 07/24/38(a) | 135 | 124,685 | ||||||||||
Lloyds Banking Group plc: | ||||||||||||
4.45%, 05/08/25 | 200 | 201,209 | ||||||||||
4.65%, 03/24/26 | 200 | 196,784 | ||||||||||
Mitsubishi UFJ Financial Group, Inc., 3.46%, 03/02/23 | 360 | 356,904 | ||||||||||
Mizuho Financial Group, Inc., 2.95%, 02/28/22 | 472 | 460,672 | ||||||||||
Santander UK Group Holdings plc, 2.88%, 08/05/21 | 215 | 208,271 | ||||||||||
Santander UK plc, 5.00%, 11/07/23(b) | 200 | 203,037 | ||||||||||
Sumitomo Mitsui Trust Bank Ltd.(b): | ||||||||||||
2.05%, 03/06/19 | 505 | 502,278 | ||||||||||
1.95%, 09/19/19 | 235 | 231,850 | ||||||||||
SunTrust Banks, Inc., 4.00%, 05/01/25 | 30 | 30,143 | ||||||||||
Svenska Handelsbanken AB, 3.35%, 05/24/21 | 250 | 250,365 | ||||||||||
UBS Group Funding Switzerland AG(b): | ||||||||||||
2.95%, 09/24/20 | 335 | 331,470 | ||||||||||
(LIBOR USD 3 Month + 0.95%), 2.86%, 08/15/23(a) | 235 | 224,922 | ||||||||||
UniCredit SpA, (USD Swap Rate 5 Year + 3.70%), 5.86%, 06/19/32(a)(b) | 200 | 177,574 | ||||||||||
US Bancorp: | ||||||||||||
2.95%, 07/15/22 | 135 | 131,910 | ||||||||||
Series X, 3.15%, 04/27/27 | 20 | 19,118 | ||||||||||
Washington Mutual, Escrow Bond, 0.00%(d)(f)(i) | 400 | — | ||||||||||
Wells Fargo & Co.: | ||||||||||||
2.60%, 07/22/20 | 68 | 67,137 | ||||||||||
2.55%, 12/07/20 | 90 | 88,578 | ||||||||||
2.50%, 03/04/21 | 180 | 175,983 | ||||||||||
2.63%, 07/22/22 | 350 | 337,114 | ||||||||||
Westpac Banking Corp.: | ||||||||||||
2.60%, 11/23/20 | 140 | 137,787 | ||||||||||
3.65%, 05/15/23 | 145 | 145,140 | ||||||||||
|
| |||||||||||
11,779,932 | ||||||||||||
Beverages — 0.1% | ||||||||||||
Anheuser-Busch InBev Finance, Inc.: | ||||||||||||
2.65%, 02/01/21 | 84 | 82,842 | ||||||||||
3.30%, 02/01/23 | 140 | 138,830 | ||||||||||
3.65%, 02/01/26 | 65 | 63,631 | ||||||||||
4.70%, 02/01/36 | 20 | 20,271 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc., 4.38%, 04/15/38 | 165 | 160,182 | ||||||||||
Maple Escrow Subsidiary, Inc.(b): | ||||||||||||
3.55%, 05/25/21 | 90 | 90,080 | ||||||||||
4.06%, 05/25/23 | 85 | 85,207 | ||||||||||
|
| |||||||||||
641,043 | ||||||||||||
Biotechnology — 0.2% | ||||||||||||
AbbVie, Inc.: | ||||||||||||
2.50%, 05/14/20 | 100 | 98,795 | ||||||||||
2.90%, 11/06/22 | 103 | 99,948 | ||||||||||
4.50%, 05/14/35 | 210 | 204,388 | ||||||||||
Amgen, Inc.: | ||||||||||||
2.13%, 05/01/20 | 87 | 85,529 | ||||||||||
4.40%, 05/01/45 | 75 | 71,480 | ||||||||||
Baxalta, Inc.: | ||||||||||||
4.00%, 06/23/25 | 125 | 122,372 | ||||||||||
5.25%, 06/23/45 | 50 | 51,591 |
30 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Biotechnology (continued) | ||||||||||||
Gilead Sciences, Inc.: | ||||||||||||
2.35%, 02/01/20 | USD | 25 | $ | 24,755 | ||||||||
2.50%, 09/01/23 | 60 | 57,197 | ||||||||||
4.60%, 09/01/35 | 29 | 29,847 | ||||||||||
4.00%, 09/01/36 | 50 | 48,111 | ||||||||||
4.50%, 02/01/45 | 39 | 38,982 | ||||||||||
|
| |||||||||||
932,995 | ||||||||||||
Building Products — 0.0% | ||||||||||||
Johnson Controls International plc, 5.13%, 09/14/45 | 63 | 65,267 | ||||||||||
|
| |||||||||||
Capital Markets — 0.8% | ||||||||||||
CME Group, Inc., 3.75%, 06/15/28 | 5 | 5,040 | ||||||||||
Deutsche Bank AG, 2.95%, 08/20/20 | 129 | 125,430 | ||||||||||
Goldman Sachs & Co. LLC, (LIBOR USD 3 Month + 0.44%), 2.78%, 02/08/19(a)(d) | 1,000 | 1,000,000 | ||||||||||
Goldman Sachs Bank USA, 3.20%, 06/05/20 | 25 | 25,073 | ||||||||||
Goldman Sachs Group, Inc. (The): | ||||||||||||
(LIBOR USD 3 Month + 0.35%), 2.69%, 11/13/18(a)(d) | 1,000 | 1,000,000 | ||||||||||
2.63%, 01/31/19 | 297 | 296,761 | ||||||||||
2.00%, 04/25/19 | 48 | 47,668 | ||||||||||
2.75%, 09/15/20 | 71 | 70,153 | ||||||||||
2.63%, 04/25/21 | 103 | 100,726 | ||||||||||
2.35%, 11/15/21 | 209 | 200,993 | ||||||||||
(LIBOR USD 3 Month + 1.17%), 3.49%, 05/15/26(a) | 40 | 39,513 | ||||||||||
(LIBOR USD 3 Month + 1.37%), 4.02%, 10/31/38(a) | 60 | 54,669 | ||||||||||
Moody’s Corp., 2.75%, 12/15/21 | 62 | 60,554 | ||||||||||
Morgan Stanley: | ||||||||||||
2.80%, 06/16/20 | 130 | 128,951 | ||||||||||
2.75%, 05/19/22 | 490 | 474,688 | ||||||||||
3.75%, 02/25/23 | 85 | 85,096 | ||||||||||
(LIBOR USD 3 Month + 1.34%), 3.59%, 07/22/28(a) | 270 | 256,621 | ||||||||||
Northern Trust Corp., (LIBOR USD 3 Month + 1.13%), 3.38%, 05/08/32(a) | 70 | 65,759 | ||||||||||
State Street Corp., 2.65%, 05/19/26 | 38 | 35,678 | ||||||||||
|
| |||||||||||
4,073,373 | ||||||||||||
Chemicals — 0.0% | ||||||||||||
Dow Chemical Co. (The): | ||||||||||||
4.38%, 11/15/42 | 27 | 25,432 | ||||||||||
4.63%, 10/01/44 | 20 | 19,673 | ||||||||||
Monsanto Co., 3.60%, 07/15/42 | 23 | 18,853 | ||||||||||
Sherwin-Williams Co. (The): | ||||||||||||
4.00%, 12/15/42 | 26 | 23,162 | ||||||||||
4.50%, 06/01/47 | 15 | 14,316 | ||||||||||
|
| |||||||||||
101,436 | ||||||||||||
Commercial Services & Supplies — 0.0% | ||||||||||||
Catholic Health Initiatives, 4.35%, 11/01/42 | 30 | 28,389 | ||||||||||
Republic Services, Inc., 3.95%, 05/15/28 | 90 | 88,782 | ||||||||||
Waste Management, Inc., 3.90%, 03/01/35 | 42 | 40,847 | ||||||||||
|
| |||||||||||
158,018 | ||||||||||||
Communications Equipment — 0.0% | ||||||||||||
Juniper Networks, Inc., 3.30%, 06/15/20 | 79 | 78,907 | ||||||||||
|
| |||||||||||
Consumer Finance — 0.6% | ||||||||||||
AerCap Ireland Capital DAC: | ||||||||||||
4.63%, 10/30/20 | 220 | 224,139 | ||||||||||
4.50%, 05/15/21 | 150 | 152,831 | ||||||||||
American Express Co., 3.38%, 05/17/21 | 120 | 120,143 |
Security | Par (000) | Value | ||||||||||
Consumer Finance (continued) | ||||||||||||
American Express Credit Corp.: | ||||||||||||
2.25%, 08/15/19 | USD | 119 | $ | 118,270 | ||||||||
3.30%, 05/03/27 | 35 | 33,727 | ||||||||||
Capital One Financial Corp.: | ||||||||||||
2.40%, 10/30/20 | 94 | 91,686 | ||||||||||
3.45%, 04/30/21 | 130 | 129,700 | ||||||||||
Discover Financial Services, 4.10%, 02/09/27 | 47 | 45,082 | ||||||||||
Ford Motor Credit Co. LLC, 3.22%, 01/09/22 | 425 | 415,775 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
3.10%, 01/15/19 | 43 | 43,041 | ||||||||||
3.70%, 11/24/20 | 282 | 283,535 | ||||||||||
4.20%, 03/01/21 | 35 | 35,488 | ||||||||||
3.55%, 04/09/21 | 65 | 64,789 | ||||||||||
3.20%, 07/06/21 | 267 | 263,526 | ||||||||||
3.15%, 06/30/22 | 175 | 170,077 | ||||||||||
4.00%, 01/15/25 | 55 | 53,319 | ||||||||||
HSBC USA, Inc., 2.35%, 03/05/20 | 425 | 420,036 | ||||||||||
Synchrony Financial: | ||||||||||||
2.60%, 01/15/19 | 90 | 89,827 | ||||||||||
2.70%, 02/03/20 | 52 | 51,452 | ||||||||||
4.50%, 07/23/25 | 30 | 29,463 | ||||||||||
Tarjeta Naranja SA, (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 3.50%), 24.62%, 04/11/22(a)(b) | 44 | 23,320 | ||||||||||
|
| |||||||||||
2,859,226 | ||||||||||||
Containers & Packaging — 0.0% | ||||||||||||
International Paper Co., 4.35%, 08/15/48 | 20 | 17,940 | ||||||||||
Reynolds Group Issuer, Inc., 5.75%, 10/15/20 | 87 | 87,547 | ||||||||||
|
| |||||||||||
105,487 | ||||||||||||
Diversified Consumer Services — 0.1% | ||||||||||||
George Washington University (The), Series 2018, 4.13%, 09/15/48 | 70 | 70,794 | ||||||||||
Northwestern University, Series 2017, 3.66%, 12/01/57 | 24 | 23,417 | ||||||||||
University of Notre Dame du Lac, Series 2017, 3.39%, 02/15/48 | 40 | 37,664 | ||||||||||
University of Southern California, 3.03%, 10/01/39 | 92 | 83,429 | ||||||||||
Wesleyan University, 4.78%, 07/01/2116 | 79 | 80,636 | ||||||||||
|
| |||||||||||
295,940 | ||||||||||||
Diversified Financial Services — 0.1% | ||||||||||||
AXA Equitable Holdings, Inc.(b): | ||||||||||||
3.90%, 04/20/23 | 25 | 24,803 | ||||||||||
5.00%, 04/20/48 | 50 | 46,131 | ||||||||||
GE Capital International Funding Co. Unlimited Co., 4.42%, 11/15/35 | 200 | 193,756 | ||||||||||
ORIX Corp., 2.90%, 07/18/22 | 65 | 63,237 | ||||||||||
Shell International Finance BV: | ||||||||||||
4.13%, 05/11/35 | 43 | 43,617 | ||||||||||
3.63%, 08/21/42 | 16 | 14,606 | ||||||||||
Synchrony Bank, 3.65%, 05/24/21 | 250 | 250,145 | ||||||||||
Woodside Finance Ltd., 3.65%, 03/05/25(b) | 15 | 14,618 | ||||||||||
|
| |||||||||||
650,913 | ||||||||||||
Diversified Telecommunication Services — 0.5% | ||||||||||||
AT&T, Inc.: | ||||||||||||
4.25%, 03/01/27 | 95 | 92,978 | ||||||||||
4.30%, 02/15/30(b) | 290 | 273,733 | ||||||||||
5.25%, 03/01/37 | 70 | 68,849 | ||||||||||
4.35%, 06/15/45 | 90 | 76,242 | ||||||||||
4.50%, 03/09/48 | 190 | 163,797 | ||||||||||
Deutsche Telekom International Finance BV, 4.38%, 06/21/28(b) | 150 | 148,813 |
SCHEDULES OF INVESTMENTS | 31 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Diversified Telecommunication Services (continued) | ||||||||||||
Telefonica Emisiones SAU, 4.67%, 03/06/38 | USD | 150 | $ | 140,305 | ||||||||
TELUS Corp., 4.60%, 11/16/48 | 10 | 9,777 | ||||||||||
Verizon Communications, Inc.: | ||||||||||||
(LIBOR USD 3 Month + 0.55%), 2.88%, 05/22/20(a) | 410 | 412,990 | ||||||||||
3.45%, 03/15/21 | 35 | 35,223 | ||||||||||
4.33%, 09/21/28(b) | 518 | 513,390 | ||||||||||
4.50%, 08/10/33 | 130 | 125,890 | ||||||||||
4.40%, 11/01/34 | 33 | 30,777 | ||||||||||
4.13%, 08/15/46 | 50 | 42,893 | ||||||||||
4.52%, 09/15/48 | 200 | 182,342 | ||||||||||
|
| |||||||||||
2,317,999 | ||||||||||||
Electric Utilities — 0.5% | ||||||||||||
AEP Texas, Inc., 3.95%, 06/01/28(b) | 100 | 99,686 | ||||||||||
Alabama Power Co.: | ||||||||||||
4.15%, 08/15/44 | 10 | 9,870 | ||||||||||
Series A, 4.30%, 07/15/48 | 60 | 60,931 | ||||||||||
Alliant Energy Finance LLC, 3.75%, 06/15/23(b) | 25 | 24,995 | ||||||||||
Baltimore Gas & Electric Co., 3.50%, 08/15/46 | 35 | 31,317 | ||||||||||
CenterPoint Energy Houston Electric LLC, 3.95%, 03/01/48 | 55 | 53,986 | ||||||||||
DTE Electric Co., Series A, 4.05%, 05/15/48 | 85 | 84,410 | ||||||||||
Duke Energy Corp.: | ||||||||||||
4.80%, 12/15/45 | 90 | 94,150 | ||||||||||
3.75%, 09/01/46 | 95 | 83,677 | ||||||||||
Duke Energy Florida LLC, 3.80%, 07/15/28 | 35 | 35,190 | ||||||||||
Emera US Finance LP: | ||||||||||||
2.15%, 06/15/19 | 101 | 99,946 | ||||||||||
2.70%, 06/15/21 | 72 | 70,078 | ||||||||||
Enel Finance International NV(b): | ||||||||||||
2.88%, 05/25/22 | 200 | 190,565 | ||||||||||
3.63%, 05/25/27 | 200 | 182,943 | ||||||||||
Entergy Corp., 2.95%, 09/01/26 | 80 | 72,992 | ||||||||||
Eversource Energy, Series L, 2.90%, 10/01/24 | 130 | 123,393 | ||||||||||
Exelon Corp.: | ||||||||||||
2.85%, 06/15/20 | 90 | 89,199 | ||||||||||
2.45%, 04/15/21 | 28 | 27,212 | ||||||||||
4.95%, 06/15/35 | 21 | 22,107 | ||||||||||
4.45%, 04/15/46 | 115 | 111,727 | ||||||||||
Florida Power & Light Co., 4.13%, 06/01/48 | 60 | 60,648 | ||||||||||
Genneia SA, 8.75%, 01/20/22(b) | 51 | 49,198 | ||||||||||
Kansas City Power & Light Co., 4.20%, 03/15/48 | 90 | 88,467 | ||||||||||
MidAmerican Energy Co., 4.40%, 10/15/44 | 37 | 38,140 | ||||||||||
Mid-Atlantic Interstate Transmission LLC, 4.10%, 05/15/28(b) | 25 | 24,996 | ||||||||||
Northern States Power Co., 3.40%, 08/15/42 | 65 | 58,799 | ||||||||||
Ohio Power Co., Series G, 6.60%, 02/15/33 | 10 | 12,798 | ||||||||||
Oncor Electric Delivery Co. LLC, 4.55%, 12/01/41 | 50 | 53,139 | ||||||||||
Pacific Gas & Electric Co., 3.30%, 12/01/27 | 155 | 139,181 | ||||||||||
Southern Co. (The), 4.40%, 07/01/46 | 95 | 92,745 | ||||||||||
Tampa Electric Co., 4.30%, 06/15/48 | 15 | 14,848 | ||||||||||
Trans-Allegheny Interstate Line Co., 3.85%, 06/01/25(b) | 79 | 78,743 | ||||||||||
Virginia Electric & Power Co.: | ||||||||||||
Series C, 2.75%, 03/15/23 | 75 | 72,690 | ||||||||||
Series A, 3.50%, 03/15/27 | 97 | 95,238 | ||||||||||
4.00%, 01/15/43 | 70 | 66,885 | ||||||||||
Series B, 4.20%, 05/15/45 | 28 | 27,532 | ||||||||||
Series C, 4.00%, 11/15/46 | 50 | 48,045 | ||||||||||
|
| |||||||||||
2,590,466 | ||||||||||||
Electrical Equipment — 0.0% | ||||||||||||
Eaton Corp., 2.75%, 11/02/22 | 49 | 47,574 | ||||||||||
|
|
Security | Par (000) | Value | ||||||||||
Electronic Equipment, Instruments & Components — 0.0% | ||||||||||||
Amphenol Corp., 3.20%, 04/01/24 | USD | 59 | $ | 56,920 | ||||||||
Corning, Inc., 4.38%, 11/15/57 | 120 | 104,614 | ||||||||||
Tyco Electronics Group SA: | ||||||||||||
3.45%, 08/01/24 | 15 | 14,688 | ||||||||||
3.13%, 08/15/27 | 30 | 27,985 | ||||||||||
|
| |||||||||||
204,207 | ||||||||||||
Energy Equipment & Services — 0.1% | ||||||||||||
Halliburton Co.: | ||||||||||||
3.80%, 11/15/25 | 240 | 238,283 | ||||||||||
5.00%, 11/15/45 | 15 | 15,982 | ||||||||||
Odebrecht Drilling Norbe VIII/IX Ltd., 6.35%, 12/01/21(b) | 19 | 17,841 | ||||||||||
Odebrecht Offshore Drilling Finance Ltd., 6.72%, 12/01/22(b) | 12 | 11,011 | ||||||||||
|
| |||||||||||
283,117 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) — 0.1% | ||||||||||||
American Tower Corp.: | ||||||||||||
3.30%, 02/15/21 | 71 | 70,923 | ||||||||||
3.50%, 01/31/23 | 19 | 18,690 | ||||||||||
3.00%, 06/15/23 | 230 | 220,542 | ||||||||||
4.40%, 02/15/26 | 14 | 13,900 | ||||||||||
CC Holdings GS V LLC, 3.85%, 04/15/23 | 40 | 39,638 | ||||||||||
Crown Castle International Corp.: | ||||||||||||
3.40%, 02/15/21 | 33 | 32,961 | ||||||||||
2.25%, 09/01/21 | 120 | 115,033 | ||||||||||
3.20%, 09/01/24 | 175 | 165,160 | ||||||||||
|
| |||||||||||
676,847 | ||||||||||||
Food & Staples Retailing — 0.0% | ||||||||||||
Kroger Co. (The), 2.65%, 10/15/26 | 105 | 92,952 | ||||||||||
Walgreens Boots Alliance, Inc., 4.65%, 06/01/46 | 6 | 5,514 | ||||||||||
Walmart, Inc.: | ||||||||||||
3.55%, 06/26/25 | 65 | 65,412 | ||||||||||
4.05%, 06/29/48 | 30 | 30,210 | ||||||||||
|
| |||||||||||
194,088 | ||||||||||||
Food Products — 0.0% | ||||||||||||
Arcor SAIC, 6.00%, 07/06/23(b) | 12 | 11,994 | ||||||||||
General Mills, Inc., 3.20%, 04/16/21 | 40 | 39,793 | ||||||||||
Tyson Foods, Inc., 3.95%, 08/15/24 | 75 | 74,849 | ||||||||||
|
| |||||||||||
126,636 | ||||||||||||
Health Care Equipment & Supplies — 0.2% | ||||||||||||
Abbott Laboratories: | ||||||||||||
3.40%, 11/30/23 | 20 | 19,732 | ||||||||||
3.75%, 11/30/26 | 250 | 245,731 | ||||||||||
Becton Dickinson and Co.: | ||||||||||||
2.13%, 06/06/19 | 255 | 253,755 | ||||||||||
2.68%, 12/15/19 | 61 | 60,542 | ||||||||||
2.89%, 06/06/22 | 185 | 178,938 | ||||||||||
4.69%, 12/15/44 | 10 | 9,693 | ||||||||||
Edwards Lifesciences Corp., 4.30%, 06/15/28 | 25 | 24,960 | ||||||||||
Medtronic, Inc.: | ||||||||||||
3.15%, 03/15/22 | 40 | 39,680 | ||||||||||
4.38%, 03/15/35 | 110 | 113,762 | ||||||||||
Stryker Corp., 4.63%, 03/15/46 | 23 | 23,432 | ||||||||||
|
| |||||||||||
970,225 | ||||||||||||
Health Care Providers & Services — 0.4% | ||||||||||||
Aetna, Inc.: | ||||||||||||
4.50%, 05/15/42 | 27 | 26,479 | ||||||||||
4.13%, 11/15/42 | 25 | 23,135 | ||||||||||
4.75%, 03/15/44 | 30 | 29,949 | ||||||||||
AHS Hospital Corp., 5.02%, 07/01/45 | 21 | 23,900 |
32 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Health Care Providers & Services (continued) | ||||||||||||
Anthem, Inc.: | ||||||||||||
2.30%, 07/15/18 | USD | 194 | $ | 193,976 | ||||||||
3.70%, 08/15/21 | 7 | 7,060 | ||||||||||
4.10%, 03/01/28 | 40 | 39,129 | ||||||||||
Baylor Scott & White Holdings, 4.19%, 11/15/45 | 40 | 40,678 | ||||||||||
Cigna Corp., 3.25%, 04/15/25 | 105 | 98,732 | ||||||||||
CVS Health Corp.: | ||||||||||||
4.00%, 12/05/23 | 95 | 95,395 | ||||||||||
4.10%, 03/25/25 | 135 | 134,285 | ||||||||||
4.78%, 03/25/38 | 35 | 34,425 | ||||||||||
5.13%, 07/20/45 | 150 | 151,992 | ||||||||||
5.05%, 03/25/48 | 100 | 101,770 | ||||||||||
Dignity Health, 2.64%, 11/01/19 | 57 | 56,891 | ||||||||||
HCA, Inc., 3.75%, 03/15/19 | 90 | 90,337 | ||||||||||
Kaiser Foundation Hospitals: | ||||||||||||
3.50%, 04/01/22 | 56 | 56,499 | ||||||||||
4.15%, 05/01/47 | 56 | 56,708 | ||||||||||
Laboratory Corp. of America Holdings, 2.63%, 02/01/20 | 85 | 84,322 | ||||||||||
New York and Presbyterian Hospital (The), 3.56%, 08/01/36 | 27 | 25,607 | ||||||||||
Ochsner Clinic Foundation, 5.90%, 05/15/45 | 35 | 43,311 | ||||||||||
Providence St. Joseph Health Obligated Group, Series A, 3.93%, 10/01/48 | 38 | 36,416 | ||||||||||
Southern Baptist Hospital of Florida, Inc., 4.86%, 07/15/45 | 35 | 39,183 | ||||||||||
SSM Health Care Corp., Series A, 3.82%, 06/01/27 | 40 | 39,848 | ||||||||||
Sutter Health, Series 2018, 3.70%, 08/15/28 | 45 | 44,640 | ||||||||||
Trinity Health Corp., 4.13%, 12/01/45 | 49 | 47,962 | ||||||||||
UnitedHealth Group, Inc.: | ||||||||||||
2.70%, 07/15/20 | 48 | 47,713 | ||||||||||
3.75%, 07/15/25 | 70 | 70,011 | ||||||||||
4.63%, 07/15/35 | 20 | 21,035 | ||||||||||
4.20%, 01/15/47 | 25 | 24,492 | ||||||||||
3.75%, 10/15/47 | 50 | 45,957 | ||||||||||
|
| |||||||||||
1,831,837 | ||||||||||||
Hotels, Restaurants & Leisure — 0.0% | ||||||||||||
McDonald’s Corp.: | ||||||||||||
4.70%, 12/09/35 | 50 | 52,105 | ||||||||||
4.88%, 12/09/45 | 17 | 17,848 | ||||||||||
4.45%, 03/01/47 | 50 | 49,342 | ||||||||||
|
| |||||||||||
119,295 | ||||||||||||
Household Durables — 0.0% | ||||||||||||
Newell Brands, Inc.: | ||||||||||||
2.88%, 12/01/19 | 30 | 29,889 | ||||||||||
5.38%, 04/01/36 | 40 | 39,812 | ||||||||||
|
| |||||||||||
69,701 | ||||||||||||
Industrial Conglomerates — 0.0% | ||||||||||||
Cia Latinoamericana de Infraestructura & Servicios SA, 9.50%, 07/20/23(b) | 6 | 4,869 | ||||||||||
General Electric Co., 4.50%, 03/11/44 | 81 | 79,414 | ||||||||||
Honeywell International, Inc., 3.81%, 11/21/47 | 20 | 19,581 | ||||||||||
Ingersoll-Rand Luxembourg Finance SA, 4.65%, 11/01/44 | 16 | 16,281 | ||||||||||
|
| |||||||||||
120,145 | ||||||||||||
Insurance — 0.1% | ||||||||||||
Ambac Assurance Corp., 5.10%, 06/07/20(b) | 5 | 6,478 | ||||||||||
Ambac LSNI LLC, (LIBOR USD 3 Month + 5.00%), 6.81%, 02/12/23(a)(b) | 33 | 33,748 | ||||||||||
Aon plc, 4.75%, 05/15/45 | 20 | 19,749 |
Security | Par (000) | Value | ||||||||||
Insurance (continued) | ||||||||||||
Marsh & McLennan Cos., Inc.: | ||||||||||||
3.75%, 03/14/26 | USD | 19 | $ | 18,814 | ||||||||
4.35%, 01/30/47 | 7 | 6,963 | ||||||||||
MetLife, Inc., 4.60%, 05/13/46 | 25 | 25,334 | ||||||||||
Principal Financial Group, Inc., 4.30%, 11/15/46 | 15 | 14,261 | ||||||||||
Prudential Financial, Inc., 3.88%, 03/27/28 | 90 | 88,955 | ||||||||||
Travelers Cos., Inc. (The), 4.60%, 08/01/43 | 35 | 36,733 | ||||||||||
Willis North America, Inc., 3.60%, 05/15/24 | 81 | 78,278 | ||||||||||
|
| |||||||||||
329,313 | ||||||||||||
IT Services — 0.1% | ||||||||||||
DXC Technology Co., 2.88%, 03/27/20 | 63 | 62,549 | ||||||||||
Fidelity National Information Services, Inc.: | ||||||||||||
3.63%, 10/15/20 | 8 | 8,050 | ||||||||||
4.50%, 08/15/46 | 20 | 18,576 | ||||||||||
4.75%, 05/15/48 | 60 | 57,962 | ||||||||||
Total System Services, Inc.: | ||||||||||||
3.80%, 04/01/21 | 20 | 20,137 | ||||||||||
3.75%, 06/01/23 | 65 | 64,416 | ||||||||||
4.80%, 04/01/26 | 124 | 127,116 | ||||||||||
Visa, Inc.: | ||||||||||||
3.15%, 12/14/25 | 25 | 24,184 | ||||||||||
4.15%, 12/14/35 | 81 | 83,931 | ||||||||||
|
| |||||||||||
466,921 | ||||||||||||
Life Sciences Tools & Services — 0.0% | ||||||||||||
Thermo Fisher Scientific, Inc., 3.65%, 12/15/25 | 137 | 133,754 | ||||||||||
|
| |||||||||||
Media — 0.4% | ||||||||||||
CBS Corp., 2.30%, 08/15/19 | 107 | 106,014 | ||||||||||
Charter Communications Operating LLC: | ||||||||||||
3.58%, 07/23/20 | 180 | 179,771 | ||||||||||
4.46%, 07/23/22 | 225 | 227,765 | ||||||||||
4.50%, 02/01/24 | 50 | 49,951 | ||||||||||
4.91%, 07/23/25 | 129 | 130,275 | ||||||||||
6.38%, 10/23/35 | 56 | 58,520 | ||||||||||
5.38%, 05/01/47 | 90 | 81,729 | ||||||||||
5.75%, 04/01/48 | 60 | 58,087 | ||||||||||
Comcast Corp.: | ||||||||||||
4.25%, 01/15/33 | 15 | 14,648 | ||||||||||
4.40%, 08/15/35 | 69 | 67,137 | ||||||||||
3.20%, 07/15/36 | 150 | 124,792 | ||||||||||
3.40%, 07/15/46 | 12 | 9,731 | ||||||||||
Cox Communications, Inc., 3.15%, 08/15/24(b) | 140 | 132,632 | ||||||||||
CSC Holdings LLC, 7.63%, 07/15/18 | 80 | 80,040 | ||||||||||
Discovery Communications LLC: | ||||||||||||
3.80%, 03/13/24 | 67 | 65,940 | ||||||||||
3.95%, 06/15/25(b) | 55 | 53,616 | ||||||||||
5.20%, 09/20/47 | 15 | 14,549 | ||||||||||
Interpublic Group of Cos., Inc. (The), 4.00%, 03/15/22 | 72 | 72,576 | ||||||||||
NBCUniversal Media LLC, 4.45%, 01/15/43 | 40 | 37,813 | ||||||||||
Time Warner Cable LLC: | ||||||||||||
5.00%, 02/01/20 | 89 | 90,858 | ||||||||||
4.00%, 09/01/21 | 25 | 24,999 | ||||||||||
5.50%, 09/01/41 | 29 | 26,981 | ||||||||||
4.50%, 09/15/42 | 9 | 7,395 | ||||||||||
Viacom, Inc.: | ||||||||||||
2.75%, 12/15/19 | 31 | 30,719 | ||||||||||
5.85%, 09/01/43 | 40 | 39,982 | ||||||||||
Warner Media LLC: | ||||||||||||
2.10%, 06/01/19 | 143 | 142,003 | ||||||||||
3.60%, 07/15/25 | 64 | 60,852 | ||||||||||
4.65%, 06/01/44 | 20 | 17,751 | ||||||||||
4.85%, 07/15/45 | 77 | 70,141 | ||||||||||
|
| |||||||||||
2,077,267 |
SCHEDULES OF INVESTMENTS | 33 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Metals & Mining — 0.1% | ||||||||||||
Barrick Gold Corp., 5.25%, 04/01/42 | USD | 29 | $ | 30,330 | ||||||||
BHP Billiton Finance USA Ltd., 5.00%, 09/30/43 | 38 | 42,636 | ||||||||||
Largo Resources Ltd., 9.25%, 06/01/21(b) | 5 | 5,000 | ||||||||||
Newmont Mining Corp., 3.50%, 03/15/22 | 120 | 119,326 | ||||||||||
Nucor Corp., 5.20%, 08/01/43 | 21 | 23,206 | ||||||||||
Steel Dynamics, Inc., 5.13%, 10/01/21 | 38 | 38,333 | ||||||||||
|
| |||||||||||
258,831 | ||||||||||||
Multi-Utilities — 0.1% | ||||||||||||
Ameren Illinois Co., 3.80%, 05/15/28 | 50 | 50,488 | ||||||||||
Consumers Energy Co., 4.05%, 05/15/48 | 15 | 14,973 | ||||||||||
Dominion Energy, Inc., 2.58%, 07/01/20 | 105 | 103,460 | ||||||||||
NiSource, Inc., 3.49%, 05/15/27 | 80 | 76,497 | ||||||||||
WEC Energy Group, Inc., 3.38%, 06/15/21 | 20 | 20,057 | ||||||||||
|
| |||||||||||
265,475 | ||||||||||||
Oil, Gas & Consumable Fuels — 0.8% | ||||||||||||
Anadarko Petroleum Corp.: | ||||||||||||
3.45%, 07/15/24 | 110 | 105,698 | ||||||||||
6.20%, 03/15/40 | 70 | 78,866 | ||||||||||
Andeavor, 4.75%, 12/15/23 | 40 | 41,509 | ||||||||||
Andeavor Logistics LP: | ||||||||||||
5.50%, 10/15/19 | 90 | 92,250 | ||||||||||
3.50%, 12/01/22 | 60 | 58,625 | ||||||||||
5.20%, 12/01/47 | 70 | 67,518 | ||||||||||
Apache Corp.: | ||||||||||||
2.63%, 01/15/23 | 74 | 70,234 | ||||||||||
4.25%, 01/15/44 | 145 | 128,194 | ||||||||||
BP Capital Markets plc: | ||||||||||||
2.32%, 02/13/20 | 435 | 430,825 | ||||||||||
3.22%, 04/14/24 | 50 | 49,060 | ||||||||||
Buckeye Partners LP, 4.88%, 02/01/21 | 140 | 142,451 | ||||||||||
Cenovus Energy, Inc., 4.25%, 04/15/27 | 105 | 101,135 | ||||||||||
Cimarex Energy Co.: | ||||||||||||
4.38%, 06/01/24 | 60 | 60,495 | ||||||||||
3.90%, 05/15/27 | 80 | 76,817 | ||||||||||
Concho Resources, Inc., 3.75%, 10/01/27 | 135 | 129,863 | ||||||||||
Continental Resources, Inc., 4.50%, 04/15/23 | 233 | 236,444 | ||||||||||
Devon Energy Corp., 4.00%, 07/15/21 | 40 | 40,505 | ||||||||||
Enbridge, Inc.: | ||||||||||||
2.90%, 07/15/22 | 90 | 87,415 | ||||||||||
3.70%, 07/15/27 | 70 | 66,333 | ||||||||||
(LIBOR USD 3 Month + 3.42%), 5.50%, 07/15/77(a) | 70 | 63,788 | ||||||||||
Energy Transfer Partners LP, 6.50%, 02/01/42 | 120 | 123,636 | ||||||||||
Enterprise Products Operating LLC: | ||||||||||||
5.10%, 02/15/45 | 23 | 23,679 | ||||||||||
4.90%, 05/15/46 | 67 | 67,131 | ||||||||||
EOG Resources, Inc.: | ||||||||||||
4.15%, 01/15/26 | 52 | 53,185 | ||||||||||
3.90%, 04/01/35 | 10 | 9,702 | ||||||||||
Exxon Mobil Corp., 1.82%, 03/15/19 | 84 | 83,577 | ||||||||||
Hess Corp., 5.80%, 04/01/47 | 85 | 87,834 | ||||||||||
Kinder Morgan Energy Partners LP, 4.30%, 05/01/24 | 28 | 27,969 | ||||||||||
Kinder Morgan, Inc., 5.05%, 02/15/46 | 210 | 194,876 | ||||||||||
Marathon Petroleum Corp., 5.85%, 12/15/45 | 50 | 52,933 | ||||||||||
MPLX LP, 5.20%, 03/01/47 | 35 | 34,777 | ||||||||||
Pioneer Natural Resources Co., 4.45%, 01/15/26 | 10 | 10,283 | ||||||||||
Plains All American Pipeline LP, 3.65%, 06/01/22 | 10 | 9,802 | ||||||||||
Resolute Energy Corp., 8.50%, 05/01/20 | 90 | 89,775 | ||||||||||
Sabine Pass Liquefaction LLC: | ||||||||||||
5.75%, 05/15/24 | 140 | 149,331 | ||||||||||
5.88%, 06/30/26 | 50 | 53,625 | ||||||||||
Spectra Energy Partners LP, 4.50%, 03/15/45 | 89 | 82,448 |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
Sunoco Logistics Partners Operations LP, 5.40%, 10/01/47 | USD | 110 | $ | 101,144 | ||||||||
Tecpetrol SA, 4.88%, 12/12/22(b) | 25 | 23,055 | ||||||||||
TransCanada PipeLines Ltd.: | ||||||||||||
2.50%, 08/01/22 | 205 | 196,950 | ||||||||||
4.88%, 05/15/48 | 30 | 30,292 | ||||||||||
Transcontinental Gas Pipe Line Co. LLC, 7.85%, 02/01/26 | 36 | 43,630 | ||||||||||
Valero Energy Corp., 3.65%, 03/15/25 | 125 | 122,090 | ||||||||||
Williams Partners LP: | ||||||||||||
4.00%, 09/15/25 | 125 | 122,172 | ||||||||||
5.40%, 03/04/44 | 70 | 72,130 | ||||||||||
|
| |||||||||||
3,994,051 | ||||||||||||
Paper & Forest Products — 0.0% | ||||||||||||
Georgia-Pacific LLC, 7.38%, 12/01/25 | 37 | 45,068 | ||||||||||
|
| |||||||||||
Pharmaceuticals — 0.2% | ||||||||||||
Allergan Finance LLC, 3.25%, 10/01/22 | 45 | 43,720 | ||||||||||
Allergan Funding SCS: | ||||||||||||
3.00%, 03/12/20 | 305 | 303,555 | ||||||||||
3.80%, 03/15/25 | 204 | 198,093 | ||||||||||
GlaxoSmithKline Capital plc, 2.85%, 05/08/22 | 80 | 78,646 | ||||||||||
GlaxoSmithKline Capital, Inc., 3.88%, 05/15/28 | 35 | 35,276 | ||||||||||
Merck & Co., Inc., 3.60%, 09/15/42 | 15 | 14,010 | ||||||||||
Pfizer, Inc., 4.00%, 12/15/36 | 70 | 70,031 | ||||||||||
Shire Acquisitions Investments Ireland DAC, 1.90%, 09/23/19 | 290 | 285,443 | ||||||||||
|
| |||||||||||
1,028,774 | ||||||||||||
Road & Rail — 0.1% | ||||||||||||
Burlington Northern Santa Fe LLC: | ||||||||||||
4.15%, 04/01/45 | 16 | 15,602 | ||||||||||
4.70%, 09/01/45 | 11 | 11,606 | ||||||||||
4.13%, 06/15/47 | 73 | 71,399 | ||||||||||
CSX Corp., 4.25%, 11/01/66 | 43 | 37,177 | ||||||||||
Norfolk Southern Corp., 4.05%, 08/15/52 | 41 | 37,391 | ||||||||||
Penske Truck Leasing Co. LP, 3.40%, 11/15/26(b) | 94 | 87,655 | ||||||||||
Ryder System, Inc., 3.75%, 06/09/23 | 10 | 9,992 | ||||||||||
Union Pacific Corp.: | ||||||||||||
3.38%, 02/01/35 | 34 | 30,403 | ||||||||||
3.60%, 09/15/37 | 80 | 73,388 | ||||||||||
3.88%, 02/01/55 | 37 | 32,367 | ||||||||||
|
| |||||||||||
406,980 | ||||||||||||
Semiconductors & Semiconductor Equipment — 0.3% | ||||||||||||
Analog Devices, Inc.: | ||||||||||||
2.50%, 12/05/21 | 80 | 77,513 | ||||||||||
3.90%, 12/15/25 | 19 | 18,823 | ||||||||||
3.50%, 12/05/26 | 84 | 80,115 | ||||||||||
5.30%, 12/15/45 | 3 | 3,195 | ||||||||||
Applied Materials, Inc., 4.35%, 04/01/47 | 29 | 28,990 | ||||||||||
Broadcom Corp.: | ||||||||||||
2.38%, 01/15/20 | 545 | 537,899 | ||||||||||
3.00%, 01/15/22 | 383 | 372,529 | ||||||||||
3.63%, 01/15/24 | 26 | 25,168 | ||||||||||
Lam Research Corp.: | ||||||||||||
2.75%, 03/15/20 | 60 | 59,649 | ||||||||||
2.80%, 06/15/21 | 80 | 78,636 | ||||||||||
QUALCOMM, Inc.: | ||||||||||||
2.60%, 01/30/23 | 125 | 119,529 | ||||||||||
4.80%, 05/20/45 | 41 | 41,002 | ||||||||||
4.30%, 05/20/47 | 40 | 37,213 | ||||||||||
Texas Instruments, Inc., 4.15%, 05/15/48 | 25 | 25,372 | ||||||||||
Xilinx, Inc., 2.95%, 06/01/24 | 35 | 33,291 | ||||||||||
|
| |||||||||||
1,538,924 |
34 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Software — 0.3% | ||||||||||||
Autodesk, Inc., 3.50%, 06/15/27 | USD | 160 | $ | 149,719 | ||||||||
Microsoft Corp.: | ||||||||||||
3.50%, 02/12/35 | 69 | 66,861 | ||||||||||
3.45%, 08/08/36 | 175 | 167,540 | ||||||||||
4.25%, 02/06/47 | 210 | 222,760 | ||||||||||
Oracle Corp.: | ||||||||||||
2.65%, 07/15/26 | 25 | 23,056 | ||||||||||
3.25%, 05/15/30 | 66 | 61,825 | ||||||||||
3.90%, 05/15/35 | 77 | 74,653 | ||||||||||
4.00%, 07/15/46 | 74 | 69,825 | ||||||||||
VMware, Inc., 2.30%, 08/21/20 | 464 | 454,266 | ||||||||||
|
| |||||||||||
1,290,505 | ||||||||||||
Specialty Retail — 0.0% | ||||||||||||
Home Depot, Inc. (The), 5.88%, 12/16/36 | 45 | 54,614 | ||||||||||
Lowe’s Cos., Inc., 4.38%, 09/15/45 | 60 | 59,779 | ||||||||||
|
| |||||||||||
114,393 | ||||||||||||
Technology Hardware, Storage & Peripherals — 0.1% | ||||||||||||
Apple, Inc.: | ||||||||||||
3.00%, 02/09/24 | 138 | 135,162 | ||||||||||
2.85%, 05/11/24 | 205 | 198,474 | ||||||||||
3.45%, 02/09/45 | 29 | 25,918 | ||||||||||
4.65%, 02/23/46 | 178 | 191,759 | ||||||||||
Dell International LLC, 8.35%, 07/15/46(b) | 14 | 16,860 | ||||||||||
Hewlett Packard Enterprise Co., 2.85%, 10/05/18 | 81 | 81,118 | ||||||||||
HP, Inc., 3.75%, 12/01/20 | 21 | 21,165 | ||||||||||
Seagate HDD Cayman, 5.75%, 12/01/34 | 3 | 2,738 | ||||||||||
Xerox Corp., 3.63%, 03/15/23 | 27 | 25,906 | ||||||||||
|
| |||||||||||
699,100 | ||||||||||||
Thrifts & Mortgage Finance — 0.0% | ||||||||||||
Washington Mutual Bank, 1.40%, 11/06/09(d)(f)(i) | 100 | — | ||||||||||
|
| |||||||||||
Tobacco — 0.1% | ||||||||||||
BAT Capital Corp., 2.30%, 08/14/20(b) | 105 | 102,609 | ||||||||||
Reynolds American, Inc.: | ||||||||||||
3.25%, 06/12/20 | 30 | 29,969 | ||||||||||
4.45%, 06/12/25 | 240 | 241,537 | ||||||||||
|
| |||||||||||
374,115 | ||||||||||||
Trading Companies & Distributors — 0.1% | ||||||||||||
Air Lease Corp., 2.63%, 07/01/22 | 70 | 67,076 | ||||||||||
Aviation Capital Group LLC, 2.88%, 09/17/18(b) | 155 | 155,029 | ||||||||||
GATX Corp.: | ||||||||||||
2.60%, 03/30/20 | 67 | 66,185 | ||||||||||
3.85%, 03/30/27 | 23 | 22,041 | ||||||||||
|
| |||||||||||
310,331 | ||||||||||||
Wireless Telecommunication Services — 0.2% | ||||||||||||
Rogers Communications, Inc., 5.00%, 03/15/44 | 10 | 10,386 | ||||||||||
Sprint Spectrum Co. LLC(b): | ||||||||||||
3.36%, 09/20/21 | 228 | 225,744 | ||||||||||
4.74%, 03/20/25 | 415 | 411,805 | ||||||||||
Vodafone Group plc: | ||||||||||||
3.75%, 01/16/24 | 135 | 133,846 | ||||||||||
4.13%, 05/30/25 | 55 | 54,791 | ||||||||||
5.25%, 05/30/48 | 130 | 129,640 | ||||||||||
|
| |||||||||||
966,212 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds — 9.7% |
| 48,784,612 | ||||||||||
|
|
Security | Par (000) | Value | ||||||||||
Foreign Agency Obligations — 0.1% |
| |||||||||||
Argentina — 0.0% | ||||||||||||
YPF SA: | ||||||||||||
8.88%, 12/19/18(b) | USD | 33 | $ | 33,495 | ||||||||
8.50%, 03/23/21(b) | 32 | 32,528 | ||||||||||
8.75%, 04/04/24(b) | 28 | 27,664 | ||||||||||
8.75%, 04/04/24 | 64 | 63,232 | ||||||||||
|
| |||||||||||
156,919 | ||||||||||||
Mexico — 0.1% | ||||||||||||
Petroleos Mexicanos: | ||||||||||||
6.50%, 03/13/27 | 134 | 137,406 | ||||||||||
5.35%, 02/12/28(b) | 67 | 63,436 | ||||||||||
6.75%, 09/21/47 | 24 | 22,629 | ||||||||||
|
| |||||||||||
223,471 | ||||||||||||
|
| |||||||||||
Total Foreign Agency Obligations — 0.1% |
| 380,390 | ||||||||||
|
| |||||||||||
Foreign Government Obligations — 1.0% |
| |||||||||||
Argentina — 0.1% | ||||||||||||
Bonos de la Nacion Argentina con Ajuste por CER, 4.00%, 03/06/20 | ARS | 533 | 17,092 | |||||||||
Republic of Argentina: | ||||||||||||
8.00%, 10/08/20 | USD | 77 | 79,895 | |||||||||
5.63%, 01/26/22 | 176 | 164,472 | ||||||||||
8.75%, 05/07/24 | 107 | 110,399 | ||||||||||
|
| |||||||||||
371,858 | ||||||||||||
Colombia — 0.1% | ||||||||||||
Republic of Colombia, 3.88%, 04/25/27 | 340 | 328,780 | ||||||||||
|
| |||||||||||
Egypt — 0.0% | ||||||||||||
Arab Republic of Egypt, 5.75%, 04/29/20 | 100 | 101,229 | ||||||||||
|
| |||||||||||
France — 0.1% | ||||||||||||
Republic of France, 0.00%, 02/25/20 | EUR | 440 | 518,688 | |||||||||
|
| |||||||||||
Germany — 0.1% | ||||||||||||
Federal Republic of Germany, 0.00%, 12/13/19 | 440 | 518,986 | ||||||||||
|
| |||||||||||
Hungary — 0.0% | ||||||||||||
Republic of Hungary, 5.38%, 03/25/24 | USD | 140 | 148,719 | |||||||||
|
| |||||||||||
Indonesia — 0.1% | ||||||||||||
Republic of Indonesia: | ||||||||||||
8.38%, 09/15/26 | IDR | 1,571,000 | 111,548 | |||||||||
7.00%, 05/15/27 | 1,815,000 | 118,868 | ||||||||||
|
| |||||||||||
230,416 | ||||||||||||
Japan — 0.1% | ||||||||||||
Japan Government Two Year Bond, 0.10%, 03/15/20 | JPY | 58,250 | 528,183 | |||||||||
|
| |||||||||||
Lebanon — 0.0% | ||||||||||||
Republic of Lebanon: | ||||||||||||
6.10%, 10/04/22 | USD | 45 | 38,593 | |||||||||
6.25%, 11/04/24 | 35 | 28,329 | ||||||||||
6.85%, 03/23/27 | 10 | 7,892 | ||||||||||
|
| |||||||||||
74,814 | ||||||||||||
Mexico — 0.2% | ||||||||||||
United Mexican States, 4.15%, 03/28/27 | 1,032 | 1,016,004 | ||||||||||
|
| |||||||||||
Panama — 0.0% | ||||||||||||
Republic of Panama, 3.75%, 03/16/25 | 200 | 197,500 | ||||||||||
|
| |||||||||||
Peru — 0.0% | ||||||||||||
Republic of Peru, 7.35%, 07/21/25 | 150 | 183,000 | ||||||||||
|
|
SCHEDULES OF INVESTMENTS | 35 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Philippines — 0.1% | ||||||||||||
Republic of the Philippines, 3.00%, 02/01/28 | USD | 260 | $ | 240,060 | ||||||||
|
| |||||||||||
South Africa — 0.1% | ||||||||||||
Republic of South Africa: | ||||||||||||
5.50%, 03/09/20 | 219 | 224,534 | ||||||||||
6.25%, 03/31/36 | ZAR | 1,346 | 70,928 | |||||||||
8.50%, 01/31/37 | 1,104 | 72,931 | ||||||||||
6.50%, 02/28/41 | 899 | 46,737 | ||||||||||
|
| |||||||||||
415,130 | ||||||||||||
Uruguay — 0.0% | ||||||||||||
Oriental Republic of Uruguay, 4.38%, 10/27/27 | USD | 140 | 141,750 | |||||||||
|
| |||||||||||
Total Foreign Government Obligations — 1.0% |
| 5,015,117 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
Investment Companies — 0.4%(w) |
| |||||||||||
iShares Edge MSCI Multifactor USA ETF | 12,018 | 384,216 | ||||||||||
iShares J.P. Morgan USD Emerging Markets Bond ETF | 15,412 | 1,645,538 | ||||||||||
|
| |||||||||||
Total Investment Companies — 0.4% |
| 2,029,754 | ||||||||||
|
| |||||||||||
Par (000) | ||||||||||||
Municipal Bonds — 2.1% | ||||||||||||
Alamo Community College District; | ||||||||||||
Series 2017, GO, 5.00%, 08/15/35 | USD | 20 | 23,256 | |||||||||
Series 2017, GO, 5.00%, 08/15/36 | 20 | 23,187 | ||||||||||
Series 2017, GO, 5.00%, 08/15/37 | 20 | 23,169 | ||||||||||
Series 2017, GO, 5.00%, 08/15/38 | 20 | 23,152 | ||||||||||
American Municipal Power, Inc. (Combined Hyroelectric Project), Series 2009B, RB, 6.45%, 02/15/44 | 15 | 19,626 | ||||||||||
Arizona Health Facilities Authority (Banner Health), Series 2007B, RB, VRDN, 2.36%, 01/01/37(j) | 40 | 37,809 | ||||||||||
Arizona State University, Series 2017B, RB, 5.00%, 07/01/43 | 10 | 11,532 | ||||||||||
Bay Area Toll Authority; | ||||||||||||
Series 2010S-1, RB, 6.92%, 04/01/40 | 80 | 110,246 | ||||||||||
Series 2010S-1, RB, 7.04%, 04/01/50 | 110 | 160,866 | ||||||||||
Berks County Industrial Development Authority (Tower Health Project); | ||||||||||||
Series 2017, RB, 5.00%, 11/01/47 | 20 | 22,134 | ||||||||||
Series 2017, RB, 5.00%, 11/01/50 | 20 | 22,051 | ||||||||||
Buckeye Tobacco Settlement Financing Authority, Series 2007A-2, RB, 5.88%, 06/01/47 | 90 | 90,384 | ||||||||||
Buena Park School District, Series 2018, GO, 5.00%, 08/01/47 | 10 | 11,527 | ||||||||||
California Health Facilities Financing Authority (Cedars- Sinai Medical Center); | ||||||||||||
Series 2016A, RB, 5.00%, 08/15/33 | 20 | 23,253 | ||||||||||
Series 2017A, RB, 5.00%, 08/15/47 | 20 | 22,258 | ||||||||||
California Infrastructure & Economic Development Bank; | ||||||||||||
Series 2017, RB, 5.00%, 05/15/47 | 10 | 11,576 | ||||||||||
Series 2017, RB, 5.00%, 05/15/52 | 10 | 11,567 | ||||||||||
California State Public Works Board (Various Capital Projects), Series 2009G, Sub-series G-2, RB, 8.36%, 10/01/34 | 40 | 59,274 | ||||||||||
Central Puget Sound Regional Transit Authority, Series 2015S-1, RB, 5.00%, 11/01/50 | 20 | 22,376 |
Security | Par (000) | Value | ||||||||||
Municipal Bonds (continued) | ||||||||||||
Central Texas Regional Mobility Authority; | ||||||||||||
Series 2015A, RB, 5.00%, 01/01/45 | USD | 20 | $ | 21,821 | ||||||||
Series 2016, RB, 5.00%, 01/01/46 | 20 | 21,866 | ||||||||||
Chesapeake Bay Bridge & Tunnel District (Parallel Thimble Shoal Tunnel Project); | ||||||||||||
Series 2016, RB, 5.00%, 07/01/41 | 20 | 22,372 | ||||||||||
Series 2016, RB, 5.00%, 07/01/51 | 10 | 10,965 | ||||||||||
City & County of Denver, Series 2016A, RB, 5.00%, 08/01/44 | 40 | 45,393 | ||||||||||
City & County of Denver Airport System; | ||||||||||||
Series 2017A, RB, 5.00%, 11/15/28 | 15 | 17,327 | ||||||||||
Series 2017A, RB, 5.00%, 11/15/29 | 15 | 17,275 | ||||||||||
Series 2017A, RB, 5.00%, 11/15/30 | 15 | 17,235 | ||||||||||
City of Atlanta; | ||||||||||||
Series 2015, RB, 5.00%, 11/01/40 | 10 | 11,252 | ||||||||||
Series 2018A, RB, 5.00%, 11/01/41 | 30 | 34,770 | ||||||||||
City of Aurora; | ||||||||||||
Series 2016, RB, 5.00%, 08/01/41 | 50 | 57,048 | ||||||||||
Series 2016, RB, 5.00%, 08/01/46 | 60 | 68,227 | ||||||||||
City of Austin Water & Wastewater System, Series 2014, RB, 5.00%, 11/15/43 | 20 | 22,284 | ||||||||||
City of Cartersville, Series 2018, RB, 5.00%, 06/01/48 | 20 | 23,128 | ||||||||||
City of Colorado Springs Utilities System, Series 2017A-2, RB, 5.00%, 11/15/42 | 10 | 11,596 | ||||||||||
City of Columbia; | ||||||||||||
Series 2018, RB, 5.00%, 02/01/42 | 20 | 23,381 | ||||||||||
Series 2018, RB, 5.00%, 02/01/48 | 20 | 23,272 | ||||||||||
City of Los Angeles Department of Airports, Series 2018A, RB, 5.00%, 05/15/44 | 10 | 11,439 | ||||||||||
City of New York; | ||||||||||||
Series 2018F, Sub-series F-1, GO, 5.00%, 04/01/40 | 30 | 34,788 | ||||||||||
Series 2018F, Sub-series F-1, GO, 5.00%, 04/01/45 | 50 | 57,708 | ||||||||||
City of Riverside, Series 2010A, RB, 7.61%, 10/01/40 | 25 | 36,543 | ||||||||||
City of San Antonio, Series 2015B, RB, 5.00%, 05/15/39 | 60 | 67,394 | ||||||||||
Clark County School District; | ||||||||||||
Series 2018A, GO, 5.00%, 06/15/30 | 20 | 23,288 | ||||||||||
Series 2018A, GO, 5.00%, 06/15/31 | 30 | 34,848 | ||||||||||
Series 2018A, GO, 5.00%, 06/15/33 | 30 | 34,625 | ||||||||||
Colorado Health Facilities Authority (Catholic Health Initiatives), Series 2011A, RB, 5.25%, 02/01/31 | 10 | 10,544 | ||||||||||
Commonwealth Financing Authority; | ||||||||||||
Series 2018A, RB, 3.86%, 06/01/38 | 30 | 29,368 | ||||||||||
Series 2016A, RB, 4.14%, 06/01/38 | 30 | 30,254 | ||||||||||
Commonwealth of Massachusetts; | ||||||||||||
Series 2017F, GO, 5.00%, 11/01/42 | 30 | 34,585 | ||||||||||
Series 2018A, GO, 5.00%, 01/01/45 | 30 | 34,577 | ||||||||||
Series 2017F, GO, 5.00%, 11/01/45 | 20 | 23,004 | ||||||||||
Commonwealth of Puerto Rico, Series 2014A, GO, 8.00%, 07/01/35(f)(i) | 235 | 95,175 | ||||||||||
Connecticut State Health & Educational Facilities Authority (Hartford Healthcare Corp.); | ||||||||||||
Series 2015F, RB, 5.00%, 07/01/45 | 30 | 32,577 | ||||||||||
Series 2015L, RB, 5.00%, 07/01/45 | 40 | 43,876 | ||||||||||
Contra Costa Community College District, Series 2010B, GO, 6.50%, 08/01/34 | 25 | 31,694 | ||||||||||
County of Anne Arundel, Series 2018, GO, 5.00%, 10/01/47 | 20 | 23,243 | ||||||||||
County of Clark; | ||||||||||||
Series 2018A, GO, 5.00%, 06/01/43 | 40 | 46,294 | ||||||||||
Series 2018A, GO, 5.00%, 05/01/48 | 80 | 92,219 |
36 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Municipal Bonds (continued) | ||||||||||||
County of Franklin; | ||||||||||||
Series 2018, RB, 5.00%, 06/01/43 | USD | 20 | $ | 23,444 | ||||||||
Series 2018, RB, 5.00%, 06/01/48 | 40 | 46,702 | ||||||||||
County of King; | ||||||||||||
Series 2017, RB, 5.00%, 07/01/42 | 10 | 11,541 | ||||||||||
Series 2015A, RB, 5.00%, 07/01/47 | 20 | 22,245 | ||||||||||
County of Miami-Dade; | ||||||||||||
Series 2016B, RB, 2.50%, 10/01/24 | 50 | 47,653 | ||||||||||
Series 2017D, RB, 3.35%, 10/01/29 | 10 | 9,663 | ||||||||||
Series 2017D, RB, 3.45%, 10/01/30 | 15 | 14,554 | ||||||||||
Series 2017D, RB, 3.50%, 10/01/31 | 15 | 14,564 | ||||||||||
Series 2016A, GO, 5.00%, 07/01/35 | 20 | 22,824 | ||||||||||
Series 2015A, RB, 5.00%, 10/01/38 | 45 | 49,374 | ||||||||||
Series 2017B, RB, 5.00%, 10/01/40 | 20 | 22,604 | ||||||||||
Dallas Area Rapid Transit; | ||||||||||||
Series 2016A, RB, 5.00%, 12/01/41 | 30 | 33,896 | ||||||||||
Series 2016A, RB, 5.00%, 12/01/46 | 40 | 45,053 | ||||||||||
District of Columbia, Series 2017D, GO, 5.00%, 06/01/42 | 25 | 28,778 | ||||||||||
District of Columbia Water & Sewer Authority, Series 2018B, RB, 5.00%, 10/01/49 | 20 | 23,210 | ||||||||||
Dutchess County Local Development Corp. (Health Quest Systems, Inc. Project), Series 2016B, RB, 5.00%, 07/01/46 | 50 | 55,190 | ||||||||||
Golden State Tobacco Securitization Corp., Series 2007A-1, RB, 5.13%, 06/01/47 | 75 | 75,001 | ||||||||||
Grant County Public Utility District No. 2 (The Priest Rapids Project), Series 2015M, RB, 4.58%, 01/01/40 | 15 | 15,705 | ||||||||||
Great Lakes Water Authority Michigan Water Supply System, Series 2016C, RB, 5.25%, 07/01/33 | 5 | 5,806 | ||||||||||
Health & Educational Facilities Authority of the State of Missouri (Saint Luke’s Health System, Inc.); | ||||||||||||
Series 2016, RB, 5.00%, 11/15/29 | 15 | 17,122 | ||||||||||
Series 2016A, RB, 3.65%, 01/15/46 | 15 | 14,490 | ||||||||||
Series 2017A, RB, 3.65%, 08/15/57 | 60 | 56,701 | ||||||||||
Kentucky Economic Development Finance Authority (Owensboro Health, Inc.), Series 2015A, RB, 5.25%, 06/01/50 | 10 | 10,710 | ||||||||||
Lexington County Health Services District, Inc., Series 2016, RB, 5.00%, 11/01/41 | 20 | 21,937 | ||||||||||
Los Angeles Community College District, Series 2010E, GO, 6.60%, 08/01/42 | 95 | 132,752 | ||||||||||
Los Angeles County Metropolitan Transportation Authority, Series 2017A, RB, 5.00%, 07/01/42 | 40 | 46,608 | ||||||||||
Los Angeles Department of Water & Power System, Series 2010A, RB, 6.60%, 07/01/50 | 30 | 43,426 | ||||||||||
Los Angeles Unified School District, Series 2010I, GO, 6.76%, 07/01/34 | 60 | 79,356 | ||||||||||
Maryland Stadium Authority (Baltimore City Public Schools Construction & Revitalization Program), Series 2016, RB, 5.00%, 05/01/41 | 20 | 22,548 | ||||||||||
Massachusetts Bay Transportation Authority; | ||||||||||||
Series 2017A, Sub-Series A-1, RB, 5.00%, 07/01/39 | 10 | 11,515 | ||||||||||
Series 2017A, Sub-Series A-1, RB, 5.00%, 07/01/40 | 10 | 11,498 | ||||||||||
Series 2017A, Sub-Series A-1, RB, 5.00%, 07/01/41 | 20 | 22,963 | ||||||||||
Series 2017A, Sub-Series A-1, RB, 5.00%, 07/01/42 | 20 | 22,946 | ||||||||||
Series 2017A, Sub-Series A-2, RB, 5.00%, 07/01/43 | 10 | 11,464 |
Security | Par (000) | Value | ||||||||||
Municipal Bonds (continued) | ||||||||||||
Massachusetts Development Finance Agency (Partners Healthcare System Issue); | ||||||||||||
Series 2018J-2, RB, 5.00%, 07/01/43 | USD | 10 | $ | 11,104 | ||||||||
Series 2017, RB, 5.00%, 09/01/45 | 10 | 11,326 | ||||||||||
Series 2016Q, RB, 5.00%, 07/01/47 | 20 | 22,179 | ||||||||||
Series 2018J-2, RB, 5.00%, 07/01/48 | 60 | 66,309 | ||||||||||
Series 2018J-2, RB, 5.00%, 07/01/53 | 20 | 21,963 | ||||||||||
Massachusetts Housing Finance Agency; | ||||||||||||
Series 2014B, RB, 4.50%, 12/01/39 | 10 | 10,399 | ||||||||||
Series 2014B, RB, 4.60%, 12/01/44 | 10 | 10,407 | ||||||||||
Series 2015A, RB, 4.50%, 12/01/48 | 10 | 10,406 | ||||||||||
Massachusetts Port Authority, Series 2016B, RB, 5.00%, 07/01/43 | 20 | 22,372 | ||||||||||
Massachusetts School Building Authority, Series 2018A, RB, 5.25%, 02/15/48 | 35 | 41,439 | ||||||||||
Massachusetts Water Resources Authority, Series 2016C, RB, 5.00%, 08/01/40 | 10 | 11,479 | ||||||||||
Mesquite Independent School District, Series 2017B, GO, 5.00%, 08/15/42 | 20 | 22,800 | ||||||||||
Metropolitan Atlanta Rapid Transit Authority; | ||||||||||||
Series 2015A, RB, 5.00%, 07/01/41 | 20 | 22,547 | ||||||||||
Series 2015A, RB, 5.00%, 07/01/42 | 20 | 22,534 | ||||||||||
Series 2015B, RB, 5.00%, 07/01/45 | 20 | 22,809 | ||||||||||
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board (Vanderbilt University Medical Center), Series 2016A, RB, 5.00%, 07/01/46 | 30 | 33,203 | ||||||||||
Metropolitan St. Louis Sewer District; | ||||||||||||
Series 2017A, RB, 5.00%, 05/01/42 | 30 | 34,748 | ||||||||||
Series 2017A, RB, 5.00%, 05/01/47 | 30 | 34,647 | ||||||||||
Metropolitan Transportation Authority; | ||||||||||||
Series 2010C-1, RB, 6.69%, 11/15/40 | 30 | 39,935 | ||||||||||
Series 2017A, RB, 5.00%, 11/15/42 | 30 | 34,338 | ||||||||||
Series 2017A, Sub-Series A-1, RB, 5.25%, 11/15/57 | 40 | 45,524 | ||||||||||
Metropolitan Washington Airports Authority (Dulles Metrorail and Capital Improvement Project); | ||||||||||||
Series 2016A, RB, 5.00%, 10/01/32 | 40 | 45,646 | ||||||||||
Series 2018A, RB, 5.00%, 10/01/43(k) | 40 | 45,906 | ||||||||||
Series 2009D, RB, 7.46%, 10/01/46 | 30 | 44,075 | ||||||||||
Miami-Dade County Educational Facilities Authority (University of Miami Issue); | ||||||||||||
Series 2018A, RB, 5.00%, 04/01/48 | 20 | 22,528 | ||||||||||
Series 2015B, RB, 5.07%, 04/01/50 | 30 | 33,668 | ||||||||||
Series 2018A, RB, 5.00%, 04/01/53 | 50 | 55,969 | ||||||||||
Michigan Finance Authority (Henry Ford Health System); | ||||||||||||
Series 2016, RB, 5.00%, 11/15/41 | 20 | 22,144 | ||||||||||
Series 2017A-MI, RB, 5.00%, 12/01/47 | 80 | 86,528 | ||||||||||
Michigan State Housing Development Authority; | ||||||||||||
Series 2018B, RB, 3.55%, 10/01/33(k) | 10 | 10,023 | ||||||||||
Series 2018A, RB, 4.00%, 10/01/43 | 10 | 10,046 | ||||||||||
Series 2018A, RB, 4.05%, 10/01/48 | 10 | 10,045 | ||||||||||
Series 2018A, RB, 4.15%, 10/01/53 | 30 | 30,136 | ||||||||||
Mississippi Hospital Equipment & Facilities Authority (Baptist Memorial Health Corp.), Series 2016A, RB, 5.00%, 09/01/46 | 30 | 32,199 | ||||||||||
Municipal Electric Authority of Georgia (Plant Vogtle Units 3&4 Units Project), Series 2010A, RB, 6.64%, 04/01/57 | 45 | 56,898 | ||||||||||
New Jersey Transportation Trust Fund Authority, Series 2016A, Sub-Series A-1, RB, 5.00%, 06/15/29 | 20 | 21,877 | ||||||||||
New Jersey Turnpike Authority, Series 2009F, RB, 7.41%, 01/01/40 | 66 | 95,986 |
SCHEDULES OF INVESTMENTS | 37 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Municipal Bonds (continued) | ||||||||||||
New Orleans Aviation Board (North Terminal Project), Series 2015B, RB, 5.00%, 01/01/40 | USD | 20 | $ | 21,778 | ||||||||
New York City Housing Development Corp.; | ||||||||||||
Series 2018C-1-A, RB, 3.70%, 11/01/38 | 10 | 10,047 | ||||||||||
Series 2018C-1-B, RB, 3.85%, 11/01/43 | 40 | 40,160 | ||||||||||
Series 2018C-1-A, RB, 3.95%, 11/01/48 | 10 | 10,053 | ||||||||||
Series 2018C-1-A, RB, 4.00%, 11/01/53 | 40 | 40,212 | ||||||||||
New York City Municipal Water Finance Authority; | ||||||||||||
Series 2018FF, RB, 5.00%, 06/15/39 | 50 | 58,313 | ||||||||||
Series 2018FF, RB, 5.00%, 06/15/40 | 30 | 34,960 | ||||||||||
Series 2010AA, RB, 5.75%, 06/15/41 | 35 | 44,150 | ||||||||||
Series 2011EE, RB, 5.38%, 06/15/43 | 215 | 233,178 | ||||||||||
Series 2011EE, RB, 5.50%, 06/15/43 | 255 | 277,448 | ||||||||||
Series 2011CC, RB, 5.88%, 06/15/44 | 50 | 65,071 | ||||||||||
Series 2017DD, RB, 5.00%, 06/15/47 | 65 | 73,860 | ||||||||||
New York City Transitional Finance Authority, Series 2018, Sub-series C-4, RB, 3.55%, 05/01/25 | 65 | 65,296 | ||||||||||
New York City Transitional Finance Authority Building Aid, Series 2015S-2, RB, 5.00%, 07/15/40 | 20 | 22,492 | ||||||||||
New York City Transitional Finance Authority Future Tax Secured; | ||||||||||||
Series 2017F, Sub-Series F-2, RB, 3.05%, 05/01/27 | 70 | 67,209 | ||||||||||
Series 2017B, RB, 5.00%, 08/01/31 | 10 | 11,580 | ||||||||||
Series 2016E, Sub-Series E-1, RB, 5.00%, 02/01/35 | 20 | 22,707 | ||||||||||
Series 2017A, Sub-Series A-1, RB, 5.00%, 05/01/36 | 20 | 22,771 | ||||||||||
New York Convention Center Development Corp.; | ||||||||||||
Series 2015, RB, 5.00%, 11/15/40 | 20 | 22,527 | ||||||||||
Series 2016A, RB, 5.00%, 11/15/46 | 40 | 45,310 | ||||||||||
New York Liberty Development Corp., Series 2005, RB, 5.25%, 10/01/35 | 10 | 12,413 | ||||||||||
New York State Dormitory Authority; | ||||||||||||
Series 2016A, RB, 5.00%, 02/15/31 | 10 | 11,626 | ||||||||||
Series 2015B, RB, 5.00%, 03/15/32 | 30 | 34,444 | ||||||||||
Series 2017B, RB, 5.00%, 02/15/36 | 30 | 34,624 | ||||||||||
Series 2017B, RB, 5.00%, 02/15/37 | 20 | 23,066 | ||||||||||
Series 2017B, RB, 5.00%, 02/15/38 | 20 | 23,049 | ||||||||||
Series 2018B, RB, 5.00%, 10/01/38 | 40 | 47,420 | ||||||||||
Series 2017B, RB, 5.00%, 02/15/39 | 20 | 22,980 | ||||||||||
Series 2018A, RB, 5.00%, 03/15/39 | 40 | 46,505 | ||||||||||
Series 2017B, RB, 5.00%, 02/15/40 | 30 | 34,444 | ||||||||||
Series 2010H, RB, 5.39%, 03/15/40 | 50 | 59,644 | ||||||||||
Series 2017B, RB, 5.00%, 02/15/41 | 30 | 34,367 | ||||||||||
Series 2018A, RB, 5.00%, 03/15/41 | 20 | 23,216 | ||||||||||
Series 2017B, RB, 5.00%, 02/15/42 | 40 | 45,789 | ||||||||||
Series 2018A, RB, 5.00%, 03/15/42 | 20 | 23,198 | ||||||||||
Series 2017B, RB, 5.00%, 02/15/43 | 20 | 22,878 | ||||||||||
Series 2017A, RB, 5.00%, 03/15/43 | 20 | 22,910 | ||||||||||
Series 2018A, RB, 5.00%, 03/15/43 | 20 | 23,180 | ||||||||||
Series 2018A, RB, 5.00%, 10/01/48 | 10 | 13,283 | ||||||||||
New York State Urban Development Corp.; | ||||||||||||
Series 2017B, RB, 2.86%, 03/15/24 | 80 | 78,474 | ||||||||||
Series 2017B, RB, 3.12%, 03/15/25 | 40 | 39,404 | ||||||||||
Series 2017D, RB, 3.32%, 03/15/29 | 55 | 52,598 | ||||||||||
New York Transportation Development Corp. (LaGuardia Airport Terminal B Redevelopment Project); | ||||||||||||
Series 2016A, RB, 5.00%, 07/01/46 | 20 | 21,565 | ||||||||||
Series 2016A, RB, 5.25%, 01/01/50 | 130 | 141,473 | ||||||||||
Ohio Turnpike & Infrastructure Commission, Series 2013A, RB, 5.00%, 02/15/48 | 20 | 21,730 |
Security | Par (000) | Value | ||||||||||
Municipal Bonds (continued) | ||||||||||||
Omaha Public Power District, Series 2017A, RB, 5.00%, 02/01/42 | USD | 30 | $ | 34,754 | ||||||||
Orange County Local Transportation Authority, Series 2010A, RB, 6.91%, 02/15/41 | 75 | 101,547 | ||||||||||
Oregon School Boards Association; | ||||||||||||
Series 2002B, GO, 5.49%, 06/30/23 | 105 | 115,837 | ||||||||||
Series 2005A, GO, 4.76%, 06/30/28 | 80 | 86,164 | ||||||||||
Pennsylvania Economic Development Financing Authority (Pennsylvania Rapid Bridge Replacement Project (The)), Series 2015, RB, 5.00%, 12/31/38 | 25 | 27,358 | ||||||||||
Pennsylvania State University; | ||||||||||||
Series 2018, RB, 5.00%, 09/01/43 | 20 | 23,309 | ||||||||||
Series 2018, RB, 5.00%, 09/01/48 | 20 | 23,195 | ||||||||||
Pennsylvania Turnpike Commission; | ||||||||||||
Series 2018B, RB, 5.00%, 12/01/43 | 40 | 45,047 | ||||||||||
Series 2018A, RB, 5.00%, 12/01/48 | 150 | 171,032 | ||||||||||
Series 2018B, RB, 5.00%, 12/01/48 | 30 | 33,647 | ||||||||||
Permanent University Fund, Series 2017A, RB, 3.38%, 07/01/47 | 55 | 50,931 | ||||||||||
Port Authority of New York & New Jersey; | ||||||||||||
Series 181, RB, 4.96%, 08/01/46 | 15 | 17,729 | ||||||||||
Series 180-1, RB, 5.00%, 11/15/47 | 10 | 11,265 | ||||||||||
Series 174, RB, 4.46%, 10/01/62 | 60 | 63,724 | ||||||||||
Series 192, RB, 4.81%, 10/15/65 | 30 | 33,763 | ||||||||||
Public Power Generation Agency, Series 2016A, RB, 5.00%, 01/01/35 | 20 | 22,492 | ||||||||||
Royal Oak Hospital Finance Authority (William Beaumont Hospital Obligated Group), Series 2014D, RB, 5.00%, 09/01/39 | 20 | 21,904 | ||||||||||
Sacramento County Sanitation Districts Financing Authority, Series 2035B, RB, VRDN, 2.07%, 12/01/35(j) | 20 | 19,353 | ||||||||||
Salt Lake City Corp.; | ||||||||||||
Series 2017A, RB, 5.00%, 07/01/47 | 35 | 39,308 | ||||||||||
Series 2017B, RB, 5.00%, 07/01/47 | 25 | 28,577 | ||||||||||
Salt River Project Agricultural Improvement & Power District, Series 2015A, RB, 5.00%, 12/01/45 | 90 | 101,577 | ||||||||||
San Antonio Electric & Gas; | ||||||||||||
Series 2010A, RB, 5.81%, 02/01/41 | 45 | 56,197 | ||||||||||
Series 2013, RB, 5.00%, 02/01/48(k) | 15 | 16,328 | ||||||||||
San Diego County Regional Airport Authority, Series 2017A, RB, 5.00%, 07/01/47 | 20 | 22,980 | ||||||||||
San Diego Public Facilities Financing Authority, Series 2016A, RB, 5.00%, 05/15/39 | 25 | 29,031 | ||||||||||
San Diego Unified School District, Series 2017I, GO, 5.00%, 07/01/41 | 30 | 35,164 | ||||||||||
San Francisco City & County Airport Comm-San Francisco International Airport; | ||||||||||||
Series 2016B, RB, 5.00%, 05/01/41 | 20 | 22,416 | ||||||||||
Series 2016B, RB, 5.00%, 05/01/46 | 40 | 44,685 | ||||||||||
Series 2017A, RB, 5.00%, 05/01/47 | 20 | 22,585 | ||||||||||
San Jose Redevelopment Agency Successor Agency, Series 2017A-T, 2.96%, 08/01/24 | 50 | 49,185 | ||||||||||
South Carolina Public Service Authority; | ||||||||||||
Series 2016D, RB, 2.39%, 12/01/23 | 51 | 47,519 | ||||||||||
Series 2014A, RB, 5.00%, 12/01/49 | 30 | 31,808 | ||||||||||
Series 2015A, RB, 5.00%, 12/01/50 | 30 | 32,056 | ||||||||||
State Board of Administration Finance Corp., Series 2013A, RB, 3.00%, 07/01/20(k) | 55 | 55,155 | ||||||||||
State of California; | ||||||||||||
Series 2017, GO, 2.25%, 10/01/23 | 100 | 95,553 | ||||||||||
Series 2009, GO, 7.50%, 04/01/34 | 60 | 84,269 | ||||||||||
Series 2018, GO, 4.60%, 04/01/38 | 165 | 172,834 | ||||||||||
Series 2009, GO, 7.55%, 04/01/39 | 30 | 44,239 | ||||||||||
Series 2009, GO, 7.30%, 10/01/39 | 40 | 56,672 | ||||||||||
Series 2009, GO, 7.35%, 11/01/39 | 30 | 42,704 |
38 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Municipal Bonds (continued) | ||||||||||||
State of Connecticut, Series 2017A, GO, 3.31%, 01/15/26 | USD | 65 | $ | 63,251 | ||||||||
State of Illinois; | ||||||||||||
Series 2018A, GO, 5.00%, 05/01/20 | 20 | 20,648 | ||||||||||
Series 2017D, GO, 5.00%, 11/01/22 | 20 | 21,145 | ||||||||||
Series 2017D, GO, 5.00%, 11/01/24 | 60 | 63,839 | ||||||||||
Series 2017A, GO, 5.00%, 12/01/24 | 10 | 10,642 | ||||||||||
Series 2017D, GO, 5.00%, 11/01/25 | 160 | 170,277 | ||||||||||
Series 2003, GO, 5.10%, 06/01/33 | 70 | 66,245 | ||||||||||
State of Ohio; | ||||||||||||
Series 2017A, GO, 5.00%, 05/01/30 | 20 | 22,958 | ||||||||||
Series 2017A, GO, 5.00%, 03/15/32 | 40 | 45,212 | ||||||||||
Series 2017A, GO, 5.00%, 05/01/34 | 20 | 22,756 | ||||||||||
Series 2017A, GO, 5.00%, 05/01/35 | 20 | 22,717 | ||||||||||
Series 2017A, GO, 5.00%, 05/01/36 | 40 | 45,380 | ||||||||||
Series 2017A, GO, 5.00%, 05/01/37 | 30 | 33,995 | ||||||||||
State of Texas; | ||||||||||||
Series 2016, GO, 5.00%, 04/01/40 | 20 | 22,760 | ||||||||||
Series 2016, GO, 5.00%, 04/01/43 | 30 | 34,073 | ||||||||||
State of Washington; | ||||||||||||
Series R-2015C, GO, 5.00%, 07/01/30 | 60 | 68,400 | ||||||||||
Series R-2017A, GO, 5.00%, 08/01/30 | 20 | 23,271 | ||||||||||
Series 2016A-1, GO, 5.00%, 08/01/40 | 40 | 45,121 | ||||||||||
Series 2018B, GO, 5.00%, 08/01/40 | 20 | 23,055 | ||||||||||
Series 2017D, GO, 5.00%, 02/01/41 | 30 | 34,337 | ||||||||||
Series 2018B, GO, 5.00%, 08/01/41 | 20 | 23,037 | ||||||||||
Series 2018B, GO, 5.00%, 08/01/42 | 20 | 23,020 | ||||||||||
State of West Virginia; | ||||||||||||
Series 2018B, GO, 5.00%, 06/01/40 | 30 | 34,998 | ||||||||||
Series 2018B, GO, 5.00%, 12/01/40 | 30 | 34,998 | ||||||||||
Series 2018B, GO, 5.00%, 12/01/41 | 30 | 34,970 | ||||||||||
State of Wisconsin; | ||||||||||||
Series 2017C, RB, 3.15%, 05/01/27 | 50 | 48,879 | ||||||||||
Series 2017B, GO, 5.00%, 05/01/32 | 10 | 11,459 | ||||||||||
Series 2017B, GO, 5.00%, 05/01/33 | 10 | 11,425 | ||||||||||
Series 2017-3, GO, 5.00%, 11/01/33 | 20 | 23,334 | ||||||||||
Series 2017B, GO, 5.00%, 05/01/34 | 20 | 22,770 | ||||||||||
Series 2017B, GO, 5.00%, 05/01/36 | 20 | 22,663 | ||||||||||
Series 2017B, GO, 5.00%, 05/01/38 | 20 | 22,571 | ||||||||||
Texas A&M University; | ||||||||||||
Series 2017B, RB, 2.76%, 05/15/26 | 75 | 72,298 | ||||||||||
Series 2017B, RB, 2.84%, 05/15/27 | 30 | 28,823 | ||||||||||
Texas Municipal Gas Acquisition & Supply Corp., Series 2008D, RB, 6.25%, 12/15/26 | 10 | 11,640 | ||||||||||
Texas Private Activity Bond Surface Transportation Corp. (Blueridge Transportation Group, LLC Share 288 Toll Lanes Project), Series 2016, RB, 5.00%, 12/31/55 | 25 | 26,890 | ||||||||||
Texas Transportation Commission, Series 2016A, RB, 5.00%, 10/01/19 | 40 | 41,698 | ||||||||||
Texas Water Development Board; | ||||||||||||
Series 2018A, RB, 5.00%, 10/15/43 | 30 | 34,777 | ||||||||||
Series 2017A, RB, 5.00%, 10/15/47 | 10 | 11,505 | ||||||||||
Tobacco Settlement Finance Authority, Series 2007A, RB, 7.47%, 06/01/47 | 55 | 54,807 | ||||||||||
TSASC, Inc., Series 2017A, RB, 5.00%, 06/01/41 | 20 | 21,642 | ||||||||||
University of California; | ||||||||||||
Series 2017, RB, 3.06%, 07/01/25 | 25 | 24,329 | ||||||||||
Series 2013AJ, RB, 4.60%, 05/15/31 | 30 | 32,363 | ||||||||||
Series 2016L, RB, 5.00%, 05/15/47 | 40 | 45,238 | ||||||||||
Series 2009F, RB, 6.58%, 05/15/49 | 75 | 100,540 | ||||||||||
Series 2012AD, RB, 4.86%, 05/15/2112 | 50 | 53,011 | ||||||||||
University of Houston; | ||||||||||||
Series 2017A, RB, 5.00%, 02/15/33 | 20 | 22,837 | ||||||||||
Series 2017A, RB, 5.00%, 02/15/34 | 20 | 22,749 |
Security | Par (000) | Value | ||||||||||
Municipal Bonds (continued) | ||||||||||||
Series 2017A, RB, 5.00%, 02/15/35 | USD | 40 | $ | 45,381 | ||||||||
Series 2017A, RB, 5.00%, 02/15/36 | 50 | 56,581 | ||||||||||
University of Oregon, Series 2016A, RB, 5.00%, 04/01/46 | 20 | 22,760 | ||||||||||
Upper Arlington City School District, Series 2018A, GO, 5.00%, 12/01/48 | 30 | 34,727 | ||||||||||
Virginia Small Business Financing Authority (Transform 66 P3 Project), Series 2017, RB, 5.00%, 12/31/56 | 30 | 32,696 | ||||||||||
Weld County School District No. 4, Series 2016, GO, 5.25%, 12/01/41 | 20 | 23,371 | ||||||||||
West Virginia Hospital Finance Authority (West Virginia United Health System Obligated Group); | ||||||||||||
Series 2016A, RB, 5.00%, 06/01/19 | 20 | 20,607 | ||||||||||
Series 2016A, RB, 5.00%, 06/01/20 | 20 | 21,115 | ||||||||||
Series 2016A, RB, 5.00%, 06/01/21 | 20 | 21,559 | ||||||||||
Series 2016A, RB, 5.00%, 06/01/22 | 20 | 22,000 | ||||||||||
Series 2016A, RB, 5.00%, 06/01/23 | 20 | 22,366 | ||||||||||
Series 2016A, RB, 5.00%, 06/01/24 | 20 | 22,649 | ||||||||||
Wisconsin Health & Educational Facilities Authority (Thedacare, Inc.), Series 2015, RB, 5.00%, 12/15/44 | 10 | 10,769 | ||||||||||
|
| |||||||||||
Total Municipal Bonds — 2.1% |
| 10,549,712 | ||||||||||
|
| |||||||||||
Non-Agency Mortgage-Backed Securities — 2.7% |
| |||||||||||
Collateralized Mortgage Obligations — 1.3% | ||||||||||||
Ajax Mortgage Loan Trust: | ||||||||||||
Series 2016-A, Class A, 4.25%, 08/25/64(b)(c) | 76 | 76,891 | ||||||||||
Series 2018-B, Class A, 3.75%, 02/26/57 | 199 | 199,000 | ||||||||||
Alternative Loan Trust: | ||||||||||||
Series 2005-22T1, Class A1, 2.44%, 06/25/35(e) | 70 | 63,775 | ||||||||||
Series 2005-72, Class A3, 2.39%, 01/25/36(e) | 28 | 24,609 | ||||||||||
Series 2006-11CB, Class 3A1, 6.50%, 05/25/36 | 28 | 21,517 | ||||||||||
Series 2006-OA21, Class A1, 2.27%, 03/20/47(e) | 1,053 | 885,144 | ||||||||||
Series 2006-OA9, Class 2A1B, 2.28%, 07/20/46(e) | 158 | 115,875 | ||||||||||
Series 2006-OC10, Class 2A3, 2.32%, 11/25/36(e) | 25 | 19,377 | ||||||||||
Series 2007-OA3, Class 1A1, 2.23%, 04/25/47(e) | 42 | 40,292 | ||||||||||
Series 2007-OA3, Class 2A2, 2.27%, 04/25/47(e) | 76 | 16,452 | ||||||||||
Series 2007-OA8, Class 2A1, 2.27%, 06/25/47(e) | 31 | 23,972 | ||||||||||
Series 2007-OH2, Class A2A, 2.33%, 08/25/47(e) | 17 | 12,499 | ||||||||||
American Home Mortgage Assets Trust, Series 2006-3, Class 2A1 1, 2.50%, 10/25/46(e) | 75 | 68,165 | ||||||||||
APS Resecuritization Trust(b)(e): | ||||||||||||
Series 2016-1, Class 1MZ, 5.39%, 07/31/57 | 116 | 34,280 | ||||||||||
Series 2016-3, Class 3A, 4.94%, 09/27/46(d) | 129 | 129,897 | ||||||||||
Series 2016-3, Class 4A, 4.69%, 04/27/47(d) | 67 | 65,506 | ||||||||||
Banc of America Funding Trust(b)(d)(e): | ||||||||||||
Series 2014-R2, Class 1C, 0.00%, 11/26/36 | 66 | 13,127 | ||||||||||
Series 2016-R2, Class 1A1, 4.70%, 05/01/33 | 170 | 173,648 | ||||||||||
Bear Stearns Mortgage Funding Trust, Series 2006-SL1, Class A1, 2.37%, 08/25/36(e) | 64 | 64,431 | ||||||||||
Chase Mortgage Finance Trust, Series 2007-S6, Class 1A1, 6.00%, 12/25/37 | 427 | 330,892 | ||||||||||
CHL Mortgage Pass-Through Trust: | ||||||||||||
Series 2006-OA4, Class A1, 2.52%, 04/25/46(e) | 68 | 34,753 | ||||||||||
Series 2007-15, Class 2A2, 6.50%, 09/25/37 | 112 | 84,148 | ||||||||||
CIM Trust, Series 2017-6, Class A1, 3.02%, 06/25/57(b)(e) | 357 | 350,089 | ||||||||||
Citicorp Mortgage Securities Trust, Series 2008-2, Class 1A1, 6.50%, 06/25/38 | 54 | 46,585 | ||||||||||
COLT LLC, Series 2015-1, Class A1V, 5.09%, 12/26/45(b)(e) | 4 | 4,016 |
SCHEDULES OF INVESTMENTS | 39 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Collateralized Mortgage Obligations (continued) | ||||||||||||
Credit Suisse Mortgage Capital Certificates, Series 2009-12R, Class 3A1, 6.50%, 10/27/37(b) | USD | 109 | $ | 68,256 | ||||||||
CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 10A1, 3.44%, 11/25/35(e) | 22 | 8,683 | ||||||||||
CSMC Mortgage-Backed Trust, Series 2007-5, Class 1A11, 7.00%, 08/25/37(e) | 31 | 25,367 | ||||||||||
Deephaven Residential Mortgage Trust, Series 2016-1A, Class A1, 4.00%, 07/25/46(b) | 73 | 73,561 | ||||||||||
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA4, Class A2A, 2.26%, 08/25/47(e) | 182 | 121,152 | ||||||||||
Deutsche Alt-A Securities, Inc., Series 2007-RS1, Class A2, 2.48%, 01/27/37(b)(d)(e) | 9 | 5,699 | ||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes(e): | ||||||||||||
Series 2017-DNA1, Class M2, 5.34%, 07/25/29 | 250 | 269,418 | ||||||||||
Series 2017-DNA2, Class M2, 5.54%, 10/25/29 | 250 | 273,311 | ||||||||||
Series 2017-DNA3, Class M2, 4.59%, 03/25/30 | 250 | 257,540 | ||||||||||
Series 2018-SPI2, Class M2, 3.82%, 05/25/48(b) | 20 | 18,312 | ||||||||||
Federal National Mortgage Association(e): | ||||||||||||
Series 2017-C01, Class 1B1, 7.84%, 07/25/29 | 30 | 35,794 | ||||||||||
Series 2017-C01, Class 1M2, 5.64%, 07/25/29 | 58 | 63,279 | ||||||||||
Series 2017-C05, Class 1B1, 5.69%, 01/25/30 | 160 | 164,000 | ||||||||||
Series 2017-C05, Class 1M2, 4.29%, 01/25/30 | 51 | 51,473 | ||||||||||
Series 2017-C07, Class 1B1, 6.09%, 05/25/30 | 50 | 51,958 | ||||||||||
GreenPoint Mortgage Funding Trust, Series 2006-AR2, Class 4A1, 3.56%, 03/25/36(e) | 11 | 9,876 | ||||||||||
GSMPS Mortgage Loan Trust(b)(e): | ||||||||||||
Series 2005-RP2, Class 1AF, 2.44%, 03/25/35 | 41 | 38,402 | ||||||||||
Series 2006-RP1, Class 1AF1, 2.44%, 01/25/36 | 30 | 26,652 | ||||||||||
Impac Secured Assets Corp., Series 2004-3, Class 1A4, 2.89%, 11/25/34(e) | 8 | 8,265 | ||||||||||
IndyMac IMJA Mortgage Loan Trust, Series 2007-A2, Class 3A1, 7.00%, 10/25/37 | 60 | 40,113 | ||||||||||
IndyMac INDX Mortgage Loan Trust, Series 2007-AR19, Class 3A1, 3.48%, 09/25/37(e) | 39 | 27,658 | ||||||||||
JPMorgan Alternative Loan Trust, Series 2007-A1, Class 1A4, 2.30%, 03/25/37(e) | 61 | 56,141 | ||||||||||
JPMorgan Mortgage Trust(b)(e): | ||||||||||||
Series 2017-2, Class A6, 3.00%, 05/25/47 | 127 | 123,688 | ||||||||||
Series 2017-3, Class 1A6, 3.00%, 08/25/47 | 326 | 322,471 | ||||||||||
LSTAR Securities Investment Ltd., Series 2018-1, Class A, 3.53%, 02/01/23(b)(e) | 238 | 238,820 | ||||||||||
MCM Capital Partners I LP, 4.00%, 06/01/57(d) | 500 | 500,000 | ||||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2007-2, Class A4, 2.51%, 04/25/47(e) | 8 | 6,809 | ||||||||||
Nomura Resecuritization Trust, Series 2014-3R, Class 3A9, 2.48%, 11/26/35(b)(e) | 93 | 91,478 | ||||||||||
RALI Trust, Series 2007-QH6, Class A1, 2.28%, 07/25/37(e) | 41 | 39,931 | ||||||||||
Seasoned Credit Risk Transfer Trust, Series 2017-3, Class M2, 4.75%, 07/25/56(b)(e) | 30 | 29,387 | ||||||||||
STACR Trust, Series 2018-HRP1, Class M2, 3.74%, 04/25/43(b)(e) | 60 | 60,334 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-3, Class 4A, 3.69%, 04/25/36(e) | 17 | 15,441 | ||||||||||
Structured Asset Mortgage Investments II Trust, Series 2006-AR4, Class 3A1, 2.28%, 06/25/36(d)(e) | 22 | 19,096 | ||||||||||
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-RF4, Class 2A1, 6.00%, 10/25/36(b) | 33 | 27,567 |
Security | Par (000) | Value | ||||||||||
Collateralized Mortgage Obligations (continued) | ||||||||||||
Washington Mutual Mortgage Pass-Through Certificates Trust: | ||||||||||||
Series 2006-4, Class 1A1, 6.00%, 04/25/36 | USD | 89 | $ | 81,596 | ||||||||
Series 2006-4, Class 3A5, 6.35%, 05/25/36(c) | 89 | 77,376 | ||||||||||
Series 2006-8, Class A4, 4.59%, 10/25/36(c) | 29 | 18,091 | ||||||||||
|
| |||||||||||
6,245,935 | ||||||||||||
Commercial Mortgage-Backed Securities — 1.3% | ||||||||||||
245 Park Avenue Trust, Series 2017-245P, Class E, 3.78%, 06/05/37(b)(e) | 250 | 224,922 | ||||||||||
280 Park Avenue Mortgage Trust, Series 2017-280P, Class E, 4.19%, 09/15/34(b)(e) | 200 | 198,684 | ||||||||||
AREIT Trust, Series 2018-CRE1, Class A, 2.92%, 02/15/35(b)(d)(e) | 200 | 200,120 | ||||||||||
BAMLL Commercial Mortgage Securities Trust, Series 2013-DSNY, Class A, 3.12%, 09/15/26(b)(e) | 100 | 99,976 | ||||||||||
Banc of America Commercial Mortgage Trust, Series 2007-1, Class AMFX, 5.48%, 01/15/49(e) | 8 | 8,011 | ||||||||||
Bayview Commercial Asset Trust(b)(e): | ||||||||||||
Series 2005-4A, Class A1, 2.39%, 01/25/36 | 32 | 30,260 | ||||||||||
Series 2005-4A, Class M1, 2.54%, 01/25/36 | 24 | 22,663 | ||||||||||
Series 2006-1A, Class A2, 2.45%, 04/25/36 | 16 | 15,162 | ||||||||||
Series 2006-3A, Class A1, 2.34%, 10/25/36 | 23 | 21,977 | ||||||||||
Series 2006-3A, Class A2, 2.39%, 10/25/36 | 23 | 22,028 | ||||||||||
Series 2006-4A, Class A1, 2.32%, 12/25/36 | 279 | 268,064 | ||||||||||
Series 2007-1, Class A1, 2.31%, 03/25/37 | 165 | 157,038 | ||||||||||
Series 2007-4A, Class A1, 2.54%, 09/25/37 | 79 | 75,637 | ||||||||||
Series 2007-5A, Class A3, 3.09%, 10/25/37 | 51 | 50,925 | ||||||||||
BBCMS Mortgage Trust, Series 2018-TALL, Class A, 2.80%, 03/15/37(b)(e) | 15 | 14,976 | ||||||||||
BBCMS Trust, Series 2015-SRCH, Class A1, 3.31%, 08/10/35(b) | 100 | 98,524 | ||||||||||
BHMS Mortgage Trust, Series 2014-ATLS, Class AFL, 3.48%, 07/05/33(b)(e) | 334 | 333,891 | ||||||||||
BWAY Mortgage Trust(b): | ||||||||||||
Series 2013-1515, Class C, 3.45%, 03/10/33 | 100 | 96,337 | ||||||||||
Series 2013-1515, Class F, 4.06%, 03/10/33(e) | 100 | 95,166 | ||||||||||
BXP Trust(b)(e): | ||||||||||||
Series 2017-CC, Class D, 3.67%, 08/13/37 | 25 | 23,348 | ||||||||||
Series 2017-CC, Class E, 3.67%, 08/13/37(d) | 40 | 35,844 | ||||||||||
CCRESG Commercial Mortgage Trust, Series 2016-HEAT, Class D, 5.67%, 04/10/29(b)(e) | 10 | 10,211 | ||||||||||
CCUBS Commercial Mortgage Trust, Series 2017-C1, Class A4, 3.54%, 11/15/50 | 12 | 11,755 | ||||||||||
CD Mortgage Trust: | ||||||||||||
Series 2006-CD3, Class AM, 5.65%, 10/15/48 | 185 | 191,253 | ||||||||||
Series 2017-CD3, Class A4, 3.63%, 02/10/50 | 10 | 9,957 | ||||||||||
CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.87%, 01/10/48 | 10 | 10,105 | ||||||||||
CGDBB Commercial Mortgage Trust(b)(e): | ||||||||||||
Series 2017-BIOC, Class A, 2.86%, 07/15/32 | 100 | 100,031 | ||||||||||
Series 2017-BIOC, Class D, 3.67%, 07/15/32 | 100 | 100,126 | ||||||||||
Series 2017-BIOC, Class E, 4.22%, 07/15/32 | 100 | 99,814 | ||||||||||
Citigroup Commercial Mortgage Trust(e): | ||||||||||||
Series 2013-GC11, Class D, 4.57%, 04/10/46(b) | 190 | 183,484 | ||||||||||
Series 2016-C1, Class C, 5.12%, 05/10/49 | 30 | 30,488 | ||||||||||
CLNS Trust, Series 2017-IKPR, Class E, 5.55%, 06/11/32(b)(e) | 50 | 50,141 | ||||||||||
Commercial Mortgage Trust: | ||||||||||||
Series 2014-CR16, Class A4, 4.05%, 04/10/47 | 87 | 89,439 | ||||||||||
Series 2014-CR17, Class A5, 3.98%, 05/10/47 | 43 | 44,055 | ||||||||||
Series 2014-CR18, Class A4, 3.55%, 07/15/47 | 10 | 10,020 | ||||||||||
Series 2014-CR19, Class A5, 3.80%, 08/10/47 | 30 | 30,408 |
40 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||||||
Series 2014-LC15, Class A4, 4.01%, 04/10/47 | USD | 20 | $ | 20,497 | ||||||||
Series 2014-PAT, Class A, 2.85%, 08/13/27(b)(e) | 100 | 99,937 | ||||||||||
Series 2014-TWC, Class B, 3.65%, 02/13/32(b)(e) | 100 | 100,081 | ||||||||||
Series 2015-CR23, Class C, 4.39%, 05/10/48(e) | 10 | 9,660 | ||||||||||
Series 2015-CR23, Class CMD, 3.81%, 05/10/48(b)(e) | 110 | 108,942 | ||||||||||
Series 2015-CR25, Class A4, 3.76%, 08/10/48 | 40 | 40,315 | ||||||||||
Series 2015-CR25, Class C, 4.70%, 08/10/48(e) | 60 | 59,411 | ||||||||||
Series 2015-LC19, Class A4, 3.18%, 02/10/48 | 23 | 22,451 | ||||||||||
Series 2017-COR2, Class D, 3.00%, 09/10/50(b) | 100 | 81,603 | ||||||||||
Core Industrial Trust, Series 2015-TEXW, Class F, 3.98%, 02/10/34(b)(e) | 100 | 96,198 | ||||||||||
Credit Suisse Mortgage Capital Certificates, Series 2015-GLPB, Class A, 3.64%, 11/15/34(b) | 100 | 101,064 | ||||||||||
DBJPM Mortgage Trust, Series 2016-C3, Class D, 3.63%, 09/10/49(b)(e) | 43 | 35,973 | ||||||||||
DBUBS Mortgage Trust(b): | ||||||||||||
Series 2017-BRBK, Class A, 3.45%, 10/10/34 | 40 | 39,720 | ||||||||||
Series 2017-BRBK, Class E, 3.65%, 10/10/34(e) | 170 | 156,587 | ||||||||||
Series 2017-BRBK, Class F, 3.65%, 10/10/34(d)(e) | 40 | 35,974 | ||||||||||
GAHR Commercial Mortgage Trust, Series 2015-NRF, Class FFX, 3.49%, 12/15/34(b)(e) | 30 | 29,470 | ||||||||||
GPMT Ltd., Series 2018-FL1, Class A, 2.98%, 11/21/35(b)(e) | 100 | 99,814 | ||||||||||
GS Mortgage Securities Corp. II, Series 2013-KING, Class E, 3.55%, 12/10/27(b)(e) | 350 | 343,878 | ||||||||||
GS Mortgage Securities Corp. Trust(b)(e): | ||||||||||||
Series 2017-500K, Class D, 3.37%, 07/15/32 | 10 | 9,994 | ||||||||||
Series 2017-500K, Class E, 3.57%, 07/15/32 | 20 | 19,994 | ||||||||||
Series 2017-500K, Class F, 3.87%, 07/15/32 | 10 | 10,000 | ||||||||||
Series 2017-500K, Class G, 4.57%, 07/15/32 | 10 | 10,003 | ||||||||||
GS Mortgage Securities Trust: | ||||||||||||
Series 2014-GC24, Class A5, 3.93%, 09/10/47 | 20 | 20,476 | ||||||||||
Series 2017-GS7, Class D, 3.00%, 08/10/50(b) | 10 | 8,217 | ||||||||||
HMH Trust, Series 2017-NSS, Class A, 3.06%, 07/05/31(b) | 100 | 97,063 | ||||||||||
IMT Trust, Series 2017-APTS, Class AFX, 3.48%, 06/15/34(b) | 100 | 98,438 | ||||||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||||||
Series 2014-C21, Class A5, 3.77%, 08/15/47 | 30 | 30,416 | ||||||||||
Series 2014-C22, Class A4, 3.80%, 09/15/47 | 10 | 10,149 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust(b)(e): | ||||||||||||
Series 2014-CBM, Class E, 5.92%, 10/15/29 | 100 | 100,000 | ||||||||||
Series 2015-UES, Class D, 3.74%, 09/05/32 | 110 | 109,517 | ||||||||||
Series 2016-NINE, Class A, 2.95%, 10/06/38 | 100 | 94,137 | ||||||||||
Series 2017-MAUI, Class E, 5.00%, 07/15/34 | 100 | 100,250 | ||||||||||
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-1A, Class 1A, 2.34%, 03/25/37(b)(e) | 27 | 25,953 | ||||||||||
Lone Star Portfolio Trust(b)(e): | ||||||||||||
Series 2015-LSP, Class A1A2, 3.87%, 09/15/28 | 18 | 17,884 | ||||||||||
Series 2015-LSP, Class D, 6.07%, 09/15/28 | 179 | 180,239 | ||||||||||
MAD Mortgage Trust, Series 2017-330M, Class E, 4.17%, 08/15/34(b)(e) | 100 | 95,195 | ||||||||||
Madison Avenue Trust, Series 2013-650M, Class D, 4.17%, 10/12/32(b)(e) | 120 | 119,964 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||||
Series 2014-C16, Class A5, 3.89%, 06/15/47 | 70 | 71,223 | ||||||||||
Series 2015-C26, Class D, 3.06%, 10/15/48(b) | 65 | 52,035 | ||||||||||
Morgan Stanley Capital I Trust(e): | ||||||||||||
Series 2006-IQ11, Class C, 6.37%, 10/15/42 | 100 | 103,588 | ||||||||||
Series 2017-CLS, Class F, 4.67%, 11/15/34(b) | 84 | 84,026 |
Security | Par (000) | Value | ||||||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||||||
Morgan Stanley Capital I, Inc.: | ||||||||||||
Series 2017-HR2, Class D, 2.73%, 12/15/50 | USD | 10 | $ | 7,884 | ||||||||
Series 2018-H3, Class A5, 4.18%, 07/15/51 | 20 | 20,599 | ||||||||||
Resource Capital Corp. Ltd.(b)(e): | ||||||||||||
Series 2017-CRE5, Class A, 2.87%, 07/15/34 | 42 | 42,377 | ||||||||||
Series 2017-CRE5, Class B, 4.07%, 07/15/34 | 19 | 18,966 | ||||||||||
Velocity Commercial Capital Loan Trust, Series 2016-2, Class AFL, 3.89%, 10/25/46(e) | 63 | 64,337 | ||||||||||
Waldorf Astoria Boca Raton Trust, Series 2016-BOCA, Class A, 3.42%, 06/15/29(b)(e) | 100 | 100,030 | ||||||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||||||
Series 2015-C27, Class C, 3.89%, 02/15/48 | 27 | 25,130 | ||||||||||
Series 2015-C31, Class A4, 3.70%, 11/15/48 | 30 | 30,028 | ||||||||||
Series 2015-P2, Class A4, 3.81%, 12/15/48 | 30 | 30,325 | ||||||||||
Series 2017-C38, Class A5, 3.45%, 07/15/50 | 20 | 19,564 | ||||||||||
Series 2017-HSDB, Class A, 2.90%, 12/13/31(b)(e) | 100 | 99,963 | ||||||||||
WFRBS Commercial Mortgage Trust: | ||||||||||||
Series 2014-C21, Class A5, 3.68%, 08/15/47 | 30 | 30,264 | ||||||||||
Series 2014-C22, Class C, 3.91%, 09/15/57(e) | 120 | 113,222 | ||||||||||
|
| |||||||||||
6,617,865 | ||||||||||||
Interest Only Commercial Mortgage-Backed Securities — 0.1%(e) | ||||||||||||
Banc of America Commercial Mortgage Trust, Series 2017-BNK3, Class XB, 0.78%, 02/15/50(d) | 1,000 | 46,200 | ||||||||||
BBCMS Trust, Series 2015-SRCH, Class XA, 1.12%, 08/10/35(b) | 1,000 | 67,220 | ||||||||||
BB-UBS Trust, Series 2012-SHOW, Class XA, 0.73%, 11/05/36(b) | 4,250 | 151,463 | ||||||||||
CFCRE Commercial Mortgage Trust: | ||||||||||||
Series 2016-C4, Class XA, 1.90%, 05/10/58 | 126 | 12,692 | ||||||||||
Series 2016-C4, Class XB, 0.89%, 05/10/58 | 120 | 5,827 | ||||||||||
Commercial Mortgage Trust, Series 2015-3BP, Class XA, 0.17%, 02/10/35(b) | 2,522 | 14,981 | ||||||||||
Core Industrial Trust, Series 2015-TEXW, Class XA, 0.90%, 02/10/34(b) | 1,000 | 24,187 | ||||||||||
JPMDB Commercial Mortgage Securities Trust, Series 2016-C4, Class XC, 0.75%, 12/15/49(b) | 1,800 | 92,330 | ||||||||||
LSTAR Commercial Mortgage Trust, Series 2017-5, Class X, 1.39%, 03/10/50(b) | 892 | 42,774 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class XF, 1.34%, 12/15/47(b) | 100 | 5,650 | ||||||||||
One Market Plaza Trust(b): | ||||||||||||
Series 2017-1MKT, Class XCP, 0.22%, 02/10/32 | 1,000 | 5,010 | ||||||||||
Series 2017-1MKT, Class XNCP, 0.00%, 02/10/32(d) | 200 | — | ||||||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-C27, Class XA, 1.05%, 02/15/48 | 936 | 43,863 | ||||||||||
|
| |||||||||||
512,197 | ||||||||||||
Principal Only Collateralized Mortgage Obligations — 0.0% | ||||||||||||
Seasoned Credit Risk Transfer Trust, Series 2017-3, Class B, 0.00%, 07/25/56(b)(l) | 40 | 3,202 | ||||||||||
|
| |||||||||||
Total Non-Agency Mortgage-Backed Securities — 2.7% |
| 13,379,199 | ||||||||||
|
| |||||||||||
Beneficial Interest (000) | ||||||||||||
Other Interests — 0.0%(d)(f)(i)(m) |
| |||||||||||
Capital Markets — 0.0% | ||||||||||||
Lehman Brothers Holdings, Inc. | USD | 620 | — | |||||||||
|
| |||||||||||
— | ||||||||||||
|
| |||||||||||
Total Other Interests — 0.0% |
| — | ||||||||||
|
|
SCHEDULES OF INVESTMENTS | 41 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Preferred Securities — 0.1% | ||||||||||||
Capital Trusts — 0.0% | ||||||||||||
Capital Markets — 0.0% | ||||||||||||
Bank of New York Mellon Corp. (The), Series F, 4.62%(f)(h) | USD | 92 | $ | 87,055 | ||||||||
|
| |||||||||||
Consumer Finance — 0.0% | ||||||||||||
General Motors Financial Co., Inc., Series A, 5.75%(f)(h) | 15 | 14,381 | ||||||||||
|
| |||||||||||
Industrial Conglomerates — 0.0% | ||||||||||||
General Electric Co., Series D, 5.00%(f)(h) | 100 | 98,500 | ||||||||||
|
| |||||||||||
Media — 0.0% | ||||||||||||
NBCUniversal Enterprise, Inc., 5.25%(b)(f)(h) | 80 | 80,800 | ||||||||||
|
| |||||||||||
Total Capital Trusts — 0.0% |
| 280,736 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
Trust Preferreds — 0.1% |
| |||||||||||
Banks — 0.1% | ||||||||||||
Citigroup Capital XIII, 8.73%, 10/30/40(e) | 16,773 | 454,549 | ||||||||||
|
| |||||||||||
Total Trust Preferreds — 0.1% |
| 454,549 | ||||||||||
|
| |||||||||||
Total Preferred Securities — 0.1% |
| 735,285 | ||||||||||
|
| |||||||||||
Par (000) | ||||||||||||
U.S. Government Sponsored Agency Securities — 11.6% |
| |||||||||||
Commercial Mortgage-Backed Securities — 0.1% | ||||||||||||
Federal Home Loan Mortgage Corp.: | ||||||||||||
Series K058, Class A2, 2.65%, 08/25/26 | USD | 20 | 19,060 | |||||||||
Series K064, Class A2, 3.22%, 03/25/27 | 170 | 168,126 | ||||||||||
Series K072, Class A2, 3.44%, 12/25/27 | 10 | 10,003 | ||||||||||
Federal Home Loan Mortgage Corp. Variable Rate Notes:(e) | ||||||||||||
Series K059, Class A2, 3.12%, 09/25/26 | 50 | 49,258 | ||||||||||
Series K069, Class A2, 3.19%, 09/25/27 | 20 | 19,590 | ||||||||||
Series K061, Class A2, 3.35%, 11/25/26 | 20 | 19,993 | ||||||||||
Series K034, Class A2, 3.53%, 07/25/23 | 20 | 20,378 | ||||||||||
Federal National Mortgage Association ACES Variable Rate Notes, Series 2017-M8, Class A2, 3.06%, 05/25/27 | 14 | 13,585 | ||||||||||
Federal National Mortgage Association Variable Rate Notes, Series 2018-M1, Class A2, 3.09%, 12/25/27 | 23 | 22,183 | ||||||||||
Finnish Real Estate Management Federation Mortgage Trust, Series 2018-K73, Class B, 3.98%, 01/25/28(b) | 120 | 115,932 | ||||||||||
|
| |||||||||||
458,108 | ||||||||||||
Interest Only Commercial Mortgage-Backed Securities — 0.0% | ||||||||||||
Federal Home Loan Mortgage Corp. Variable Rate Notes:(e) | ||||||||||||
Series K718, Class X1, 0.76%, 01/25/22 | 189 | 3,640 | ||||||||||
Series KW03, Class X1, 0.99%, 06/25/27 | 115 | 6,498 | ||||||||||
Series KIR1, Class X, 1.22%, 03/25/26 | 135 | 8,887 | ||||||||||
Federal National Mortgage Association ACES Variable Rate Notes, Series 2014-M13, Class X2, 0.23%, 08/25/24 | 4,606 | 34,220 |
Security | Par (000) | Value | ||||||||||
Interest Only Commercial Mortgage-Backed Securities (continued) | ||||||||||||
Government National Mortgage Association: | ||||||||||||
Series 2014-52, Class AI, 0.83%, 08/16/41 | USD | 180 | $ | 4,050 | ||||||||
Series 2014-40, Class AI, 1.00%, 02/16/39 | 207 | 3,929 | ||||||||||
Government National Mortgage Association Variable Rate Notes:(e) | ||||||||||||
Series 2012-120, 0.78%, 02/16/53 | 836 | 38,239 | ||||||||||
Series 2017-100, 0.81%, 05/16/59 | 128 | 8,686 | ||||||||||
Series 2016-26, 0.97%, 02/16/58 | 234 | 16,497 | ||||||||||
Series 2016-87, 1.01%, 08/16/58 | 184 | 14,330 | ||||||||||
Series 2016-110, 1.04%, 05/16/58 | 117 | 9,398 | ||||||||||
Series 2016-113, 1.19%, 02/16/58 | 116 | 10,669 | ||||||||||
|
| |||||||||||
159,043 | ||||||||||||
Mortgage-Backed Securities — 11.5% | ||||||||||||
Federal Home Loan Mortgage Corp.: | ||||||||||||
2.50%, 01/01/29 - 04/01/31 | 483 | 470,127 | ||||||||||
2.50%, 07/15/33(n) | 450 | 436,820 | ||||||||||
3.00%, 09/01/27 - 12/01/46 | 1,577 | 1,546,270 | ||||||||||
3.00%, 07/15/33 - 07/15/48(n) | 2,366 | 2,303,736 | ||||||||||
3.50%, 04/01/31 - 01/01/48 | 3,354 | 3,365,091 | ||||||||||
3.50%, 06/15/44(n) | 639 | 635,493 | ||||||||||
4.00%, 08/01/40 - 08/01/47 | 1,198 | 1,229,192 | ||||||||||
4.00%, 09/15/43(n) | 1,100 | 1,121,198 | ||||||||||
4.50%, 02/01/39 - 12/01/43 | 302 | 316,459 | ||||||||||
4.50%, 11/15/40(n) | 526 | 547,310 | ||||||||||
5.00%, 10/01/41 - 11/01/41 | 297 | 317,285 | ||||||||||
5.50%, 06/01/41 | 120 | 129,916 | ||||||||||
6.00%, 01/01/34 | 59 | 64,911 | ||||||||||
Federal National Mortgage Association: | ||||||||||||
2.00%, 10/01/31 - 03/01/32 | 268 | 253,487 | ||||||||||
2.50%, 09/01/27 - 02/01/33 | 1,748 | 1,704,876 | ||||||||||
2.50%, 04/25/29(n) | 87 | 84,553 | ||||||||||
3.00%, 04/01/29 - 03/01/47 | 5,047 | 4,961,551 | ||||||||||
3.00%, 07/25/33 - 05/25/44(n) | 1,051 | 1,020,777 | ||||||||||
3.50%, 10/25/27 - 04/25/44(n) | 3,318 | 3,303,518 | ||||||||||
3.50%, 04/01/29 - 01/01/48 | 5,652 | 5,674,300 | ||||||||||
4.00%, 02/01/25 - 04/01/48 | 4,361 | 4,485,151 | ||||||||||
4.00%, 07/25/33 - 09/25/43(n) | 4,103 | 4,183,334 | ||||||||||
4.50%, 02/01/25 - 09/01/46 | 1,067 | 1,118,072 | ||||||||||
4.50%, 04/25/41(n) | 446 | 464,401 | ||||||||||
5.00%, 09/01/35 - 06/01/45 | 373 | 399,470 | ||||||||||
5.00%, 04/25/37(n) | 203 | 215,040 | ||||||||||
5.50%, 02/01/35 - 04/01/41 | 738 | 800,602 | ||||||||||
6.00%, 12/01/27 - 06/01/41 | 433 | 477,154 | ||||||||||
6.50%, 05/01/40 | 125 | 139,677 | ||||||||||
Government National Mortgage Association: | ||||||||||||
3.00%, 02/15/45 - 07/20/47 | 2,351 | 2,311,619 | ||||||||||
3.00%, 07/15/48(n) | 1,369 | 1,338,858 | ||||||||||
3.50%, 12/20/41 - 10/20/46 | 4,039 | 4,067,840 | ||||||||||
3.50%, 07/15/48(n) | 1,454 | 1,459,384 | ||||||||||
4.00%, 04/20/39 - 03/15/41 | 408 | 421,558 | ||||||||||
4.00%, 07/15/48(n) | 3,847 | 3,942,875 | ||||||||||
4.50%, 12/20/39 - 02/15/42 | 1,122 | 1,179,820 | ||||||||||
4.50%, 10/20/41(n) | 402 | 417,832 | ||||||||||
5.00%, 12/15/38 - 07/20/42 | 195 | 207,960 | ||||||||||
5.50%, 04/15/35(n) | 295 | 317,759 | ||||||||||
7.50%, 03/15/32 | 3 | 3,666 | ||||||||||
|
| |||||||||||
57,438,942 | ||||||||||||
|
| |||||||||||
Total U.S. Government Sponsored Agency Securities — 11.6% |
| 58,056,093 | ||||||||||
|
|
42 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
U.S. Treasury Obligations — 4.1% |
| |||||||||||
U.S. Treasury Bonds: | ||||||||||||
4.25%, 05/15/39 | USD | 112 | $ | 135,104 | ||||||||
4.50%, 08/15/39 | 109 | 135,914 | ||||||||||
4.38%, 11/15/39 | 109 | 133,874 | ||||||||||
3.13%, 02/15/43(o) | 425 | 436,306 | ||||||||||
3.13%, 05/15/48(o)(p) | 3,036 | 3,120,320 | ||||||||||
2.88%, 05/15/43 - 11/15/46 | 549 | 539,029 | ||||||||||
3.63%, 08/15/43(o) | 406 | 452,563 | ||||||||||
3.75%, 11/15/43(o) | 431 | 489,976 | ||||||||||
3.00%, 02/15/47 | 77 | 77,277 | ||||||||||
U.S. Treasury Notes: | ||||||||||||
1.25%, 08/31/19 | 1,090 | 1,075,438 | ||||||||||
1.00%, 10/15/19 | 1,090 | 1,070,116 | ||||||||||
2.50%, 05/31/20(p) | 1,404 | 1,403,342 | ||||||||||
1.63%, 06/30/20 - 10/31/23 | 1,961 | 1,902,521 | ||||||||||
2.63%, 05/15/21 | 1,128 | 1,128,088 | ||||||||||
1.13%, 06/30/21 | 763 | 730,036 | ||||||||||
2.25%, 07/31/21 - 02/15/27 | 2,076 | 2,020,545 | ||||||||||
2.13%, 09/30/21 | 763 | 750,601 | ||||||||||
1.88%, 04/30/22 | 763 | 740,378 | ||||||||||
2.75%, 05/31/23(p) | 1,656 | 1,658,070 | ||||||||||
2.00%, 04/30/24 - 11/15/26 | 2,031 | 1,932,720 | ||||||||||
2.88%, 05/31/25 | 543 | 545,079 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations — 4.1% |
| 20,477,297 | ||||||||||
|
| |||||||||||
Total Long-Term Investments — 96.2% |
| 481,770,033 | ||||||||||
|
| |||||||||||
Short-Term Securities — 9.0% | ||||||||||||
Borrowed Bond Agreements — 0.2%(q)(r) | ||||||||||||
BNP Paribas SA, 1.91%, Open (Purchased on 06/28/18 to be repurchased at USD 754,738, collateralized by U.S. Treasury Notes, 2.88%, due at 05/15/28, par and fair value of USD 749,000 and $750,492 respectively) | 755 | 754,618 | ||||||||||
|
| |||||||||||
Total Borrowed Bond Agreements — 0.2% |
| 754,618 | ||||||||||
|
| |||||||||||
Certificates of Deposit — 0.4% |
| |||||||||||
Yankee — 0.3%(s) | ||||||||||||
BNP Paribas SA, New York, 2.66%, 04/18/19 | 340 | 340,136 | ||||||||||
Canadian Imperial Bank of Commerce, New York, 2.66%, 04/17/19 | 340 | 340,043 | ||||||||||
MUFG Bank Ltd., New York, 2.68%, 04/17/19 | 340 | 340,232 | ||||||||||
Royal Bank of Canada, New York, (LIBOR USD 3 Month + 0.18%), 2.54%, 04/18/19(a) | 340 | 340,079 | ||||||||||
Toronto-Dominion Bank (The), New York, (LIBOR USD 3 Month + 0.17%), 2.53%, 04/17/19(a) | 340 | 340,185 | ||||||||||
|
| |||||||||||
1,700,675 | ||||||||||||
Domestic — 0.1% | ||||||||||||
Wells Fargo Bank NA: | ||||||||||||
(LIBOR USD 3 Month + 0.21%), 2.56%, 04/16/19(a) | 340 | 340,210 | ||||||||||
2.70%, 04/16/19 | 170 | 170,094 | ||||||||||
|
| |||||||||||
510,304 | ||||||||||||
|
| |||||||||||
Total Certificates of Deposit — 0.4% |
| 2,210,979 | ||||||||||
|
| |||||||||||
Commercial Paper — 0.3% | ||||||||||||
AT&T, Inc., 2.84%, 12/06/18(t) | 410 | 405,085 |
Security | Par (000) | Value | ||||||||||
Commercial Paper (continued) |
| |||||||||||
JPMorgan Securities LLC, (LIBOR USD 3 Month + 0.18%), 2.53%, 04/15/19(a) | USD | 340 | $ | 340,078 | ||||||||
Societe Generale SA, 2.72%, 04/12/19(t) | 340 | 332,939 | ||||||||||
Sumitomo Mitsui Banking Corp., 2.68%, 04/17/19(t) | 340 | 332,907 | ||||||||||
|
| |||||||||||
Total Commercial Paper — 0.3% |
| 1,411,009 | ||||||||||
|
| |||||||||||
Foreign Government Obligations — 0.7% |
| |||||||||||
Egypt — 0.1% | ||||||||||||
Arab Republic of Egypt Treasury Bills:(t) 17.73%, 10/16/18 | EGP | 3,600 | 190,619 | |||||||||
17.53%, 11/13/18 | 2,150 | 112,246 | ||||||||||
17.88%, 11/27/18 | 1,025 | 53,140 | ||||||||||
16.69%, 12/04/18 | 1,000 | 51,664 | ||||||||||
16.34%, 03/05/19 | 300 | 14,831 | ||||||||||
|
| |||||||||||
422,500 | ||||||||||||
Japan — 0.6% | ||||||||||||
Government of Japan Treasury Bills:(t) | ||||||||||||
(0.14)%, 08/13/18 | JPY | 180,600 | 1,631,449 | |||||||||
(0.14)%, 09/03/18 | 183,000 | 1,653,251 | ||||||||||
|
| |||||||||||
3,284,700 | ||||||||||||
Nigeria — 0.0% | ||||||||||||
Federal Republic of Nigeria Treasury Bills, 14.76%, 04/04/19(t) | NGN | 5,998 | 15,070 | |||||||||
|
| |||||||||||
Total Foreign Government Obligations — 0.7% |
| 3,722,270 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
Money Market Funds — 7.4%(u)(w) |
| |||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.80% | 35,537,819 | 35,537,819 | ||||||||||
SL Liquidity Series, LLC, Money Market Series, 2.16%(v) | 1,402,135 | 1,402,275 | ||||||||||
|
| |||||||||||
Total Money Market Funds — 7.4% |
| 36,940,094 | ||||||||||
|
| |||||||||||
Total Short-Term Securities — 9.0% |
| 45,038,970 | ||||||||||
|
| |||||||||||
Total Options Purchased — 0.0% |
| 344,399 | ||||||||||
|
| |||||||||||
Total Investments Before Options Written, TBA Sale Commitments and Borrowed Bonds — 105.2% |
| 527,153,402 | ||||||||||
|
| |||||||||||
Total Options Written — 0.0% |
| (90,212 | ) | |||||||||
|
| |||||||||||
Par (000) | ||||||||||||
Borrowed Bonds — (0.1)% |
| |||||||||||
U.S. Treasury Obligations — (0.1)% | ||||||||||||
U.S. Treasury Notes, 2.88%, 05/15/28 | USD | 749 | (750,492 | ) | ||||||||
|
| |||||||||||
Total Borrowed Bonds — (0.1)% |
| (750,492 | ) | |||||||||
|
| |||||||||||
TBA Sale Commitments — (2.3)%(n) |
| |||||||||||
Mortgage-Backed Securities — (2.3)% | ||||||||||||
Federal Home Loan Mortgage Corp.: | ||||||||||||
3.00%, 07/15/48 | 53 | (51,297 | ) | |||||||||
3.50%, 07/15/33 | 29 | (29,325 | ) |
SCHEDULES OF INVESTMENTS | 43 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Mortgage-Backed Securities (continued) | ||||||||||||
Federal National Mortgage Association: | ||||||||||||
2.00%, 02/25/29 | USD | 274 | $ | (259,477 | ) | |||||||
2.50%, 04/25/29 | 413 | (401,483 | ) | |||||||||
3.00%, 05/25/44 | 42 | (40,686 | ) | |||||||||
3.50%, 10/25/27 - 04/25/44 | 4,069 | (4,050,925 | ) | |||||||||
4.00%, 07/25/33 - 09/25/43 | 4,685 | (4,778,203 | ) | |||||||||
5.00%, 04/25/37 | 8 | (8,474 | ) | |||||||||
5.50%, 08/25/34 | 615 | (659,443 | ) | |||||||||
6.00%, 10/25/34 | 280 | (306,250 | ) | |||||||||
Government National Mortgage Association: | ||||||||||||
3.00%, 07/15/48 | 169 | (165,339 | ) | |||||||||
4.50%, 09/15/39 | 500 | (519,692 | ) | |||||||||
|
| |||||||||||
Total TBA Sale Commitments — (2.3)% |
| (11,270,594 | ) | |||||||||
|
| |||||||||||
Total Investments Net of Options Written, Borrowed Bonds and TBA Sale Commitments — 102.8% |
| 515,042,104 | ||||||||||
Liabilities in Excess of Other Assets — (2.8)% |
| (14,218,132 | ) | |||||||||
|
| |||||||||||
Net Assets — 100.0% |
| $ | 500,823,972 | |||||||||
|
|
(a) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end. |
(d) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(e) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(f) | Non-income producing security. |
(g) | Security, or a portion of the security, is on loan. |
(h) | Perpetual security with no stated maturity date. |
(i) | Issuer filed for bankruptcy and/or is in default. |
(j) | Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
(k) | When-issued security. |
(l) | Zero-coupon bond. |
(m) | Other interests represent beneficial interests in liquidation trusts and other reorganizational or private entities. |
(n) | Represents or includes a TBA transaction. |
(o) | All or a portion of security has been pledged in connection with outstanding futures contracts. |
(p) | All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
(q) | Certain agreements have no stated maturity and can be terminated by either party at any time. |
(r) | The amount to be repurchased assumes the maturity will be the day after the period end. |
(s) | Issuer is a U.S. branch of a foreign domiciled bank. |
(t) | Rates are discount rates or a range of discount rates at the time of purchase. |
(u) | Annualized 7-day yield as of period end. |
(v) | Security was purchased with the cash collateral from loaned securities. |
(w) | During the six months ended June 30, 2018, investments in issuers considered to be affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
Affiliate | Shares Held at 12/31/17 | Shares Purchased | Shares Sold | Shares Held at 06/30/18 | Value at 06/30/18 | Income | Net Realized Gain (Loss) (a) | Change in Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class | 41,993,401 | — | (6,455,582 | )(b) | 35,537,819 | $ | 35,537,819 | $ | 305,706 | $ | — | $ | — | |||||||||||||||||||
SL Liquidity Series, LLC, Money Market Series | 6,750,211 | — | (5,348,076 | )(b) | 1,402,135 | 1,402,275 | 6498 | (c) | 2,246 | 140 | ||||||||||||||||||||||
iShares Edge MSCI Multifactor USA ETF | 297,982 | — | (285,964 | ) | 12,018 | 384,216 | 3,055 | 239,276 | 5,649 | |||||||||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF | 18,780 | 19,000 | (37,780 | ) | — | — | 13,530 | 15,394 | 2,850 | |||||||||||||||||||||||
iShares J.P. Morgan USD Emerging Markets Bond ETF | — | 15,412 | — | 15,412 | 1,645,538 | 6,960 | — | 93,440 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 38,969,848 | $ | 335,749 | $ | 256,916 | $ | 102,079 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
(a) | Includes net capital gain distributions, if applicable. |
(b) | Represents net shares sold. |
(c) | Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
For Fund compliance purposes, the Fund’s industry classifications refer to 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 the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Reverse Repurchase Agreements
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | Type of Underlying Collateral | Remaining Contractual Maturity of the Agreements | |||||||||||||||||
BNP Paribas SA | 1.97 | % | 06/29/18 | 07/02/18 | $ | 1,405,755 | $ | 1,405,909 | U.S. Treasury Obligations | Overnight | ||||||||||||||
Deutsche Bank Securities, Inc. | 2.15 | 06/29/18 | 07/02/18 | 1,662,210 | 1,662,408 | U.S. Treasury Obligations | Overnight | |||||||||||||||||
JP Morgan Securities LLC | 2.10 | 06/29/18 | 07/02/18 | 2,920,344 | 2,920,685 | U.S. Treasury Obligations | Overnight | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
$ | 5,988,309 | $ | 5,989,002 | |||||||||||||||||||||
|
|
|
|
44 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||
Long Contracts | ||||||||||||||||
Nikkei 225 Index | 49 | 09/13/18 | $ | 9,865 | $ | (54,437 | ) | |||||||||
U.S. Treasury 10 Year Note | 203 | 09/19/18 | 24,398 | 134,109 | ||||||||||||
U.S. Treasury 10 Year Ultra Note | 19 | 09/19/18 | 2,436 | 19,266 | ||||||||||||
U.S. Treasury Long Bond | 2 | 09/19/18 | 290 | 1,163 | ||||||||||||
U.S. Treasury 2 Year Note | 175 | 09/28/18 | 37,070 | 2,924 | ||||||||||||
U.S. Treasury 5 Year Note | 115 | 09/28/18 | 13,066 | (61,449 | ) | |||||||||||
|
| |||||||||||||||
41,576 | ||||||||||||||||
|
| |||||||||||||||
Short Contracts | ||||||||||||||||
Euro-Bund | 40 | 09/06/18 | 7,593 | (80,117 | ) | |||||||||||
U.S. Treasury Ultra Bond | 172 | 09/19/18 | 27,445 | (841,526 | ) | |||||||||||
S&P 500 E-Mini Index | 59 | 09/21/18 | 8,029 | 152,156 | ||||||||||||
90-Day Eurodollar | 1 | 12/14/20 | 243 | 99 | ||||||||||||
|
| |||||||||||||||
(769,388 | ) | |||||||||||||||
|
| |||||||||||||||
$ | (727,812 | ) | ||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
TRY | 141,659 | USD | 30,200 | Barclays Bank plc | 07/02/18 | $ | 637 | |||||||||||||
TRY | 253,609 | USD | 54,360 | BNP Paribas SA | 07/02/18 | 847 | ||||||||||||||
USD | 50,000 | ARS | 1,074,150 | BNP Paribas SA | 07/02/18 | 12,864 | ||||||||||||||
USD | 84,560 | TRY | 386,284 | BNP Paribas SA | 07/02/18 | 473 | ||||||||||||||
EUR | 100,000 | USD | 116,545 | Bank of America NA | 07/03/18 | 235 | ||||||||||||||
USD | 116,000 | BRL | 436,120 | Goldman Sachs International | 07/03/18 | 3,475 | ||||||||||||||
USD | 47,000 | BRL | 174,417 | UBS AG | 07/03/18 | 1,998 | ||||||||||||||
USD | 105,537 | CLP | 66,425,400 | JP Morgan Chase Bank NA | 07/03/18 | 3,875 | ||||||||||||||
USD | 122,863 | EUR | 100,000 | Goldman Sachs International | 07/03/18 | 6,083 | ||||||||||||||
USD | 169,633 | CLP | 107,640,000 | Deutsche Bank AG | 07/05/18 | 4,892 | ||||||||||||||
USD | 115,805 | EUR | 98,000 | Goldman Sachs International | 07/05/18 | 1,344 | ||||||||||||||
USD | 45,300 | ZAR | 576,782 | BNP Paribas SA | 07/05/18 | 3,263 | ||||||||||||||
USD | 45,300 | ZAR | 611,454 | Royal Bank of Scotland | 07/05/18 | 736 | ||||||||||||||
USD | 342,500 | RUB | 21,335,010 | JP Morgan Chase Bank NA | 07/09/18 | 2,990 | ||||||||||||||
USD | 111,450 | ZAR | 1,490,636 | Barclays Bank plc | 07/10/18 | 2,878 | ||||||||||||||
USD | 43,000 | ZAR | 547,464 | BNP Paribas SA | 07/10/18 | 3,125 | ||||||||||||||
USD | 53,750 | ZAR | 680,744 | Goldman Sachs International | 07/10/18 | 4,167 | ||||||||||||||
USD | 40,000 | ZAR | 527,684 | Morgan Stanley & Co. International plc | 07/10/18 | 1,566 | ||||||||||||||
RUB | 5,218,000 | USD | 81,621 | Morgan Stanley & Co. International plc | 07/12/18 | 1,387 | ||||||||||||||
RUB | 3,145,039 | USD | 49,099 | UBS AG | 07/12/18 | 932 | ||||||||||||||
TWD | 1,217,640 | USD | 40,000 | Barclays Bank plc | 07/12/18 | 6 | ||||||||||||||
USD | 40,000 | BRL | 150,520 | Goldman Sachs International | 07/12/18 | 1,206 | ||||||||||||||
USD | 454,431 | RUB | 26,493,106 | BNP Paribas SA | 07/12/18 | 32,979 | ||||||||||||||
USD | 40,000 | TWD | 1,214,600 | BNP Paribas SA | 07/12/18 | 94 | ||||||||||||||
MXN | 1,230,964 | USD | 61,000 | Barclays Bank plc | 07/13/18 | 882 | ||||||||||||||
RUB | 2,516,657 | USD | 40,000 | Goldman Sachs International | 07/13/18 | 30 | ||||||||||||||
USD | 33,000 | RUB | 2,074,380 | BNP Paribas SA | 07/13/18 | 4 | ||||||||||||||
TRY | 69,955 | USD | 15,000 | Citibank NA | 07/16/18 | 143 | ||||||||||||||
TRY | 233,151 | USD | 50,000 | JP Morgan Chase Bank NA | 07/16/18 | 471 | ||||||||||||||
TRY | 163,240 | USD | 35,000 | Royal Bank of Scotland | 07/16/18 | 337 | ||||||||||||||
USD | 32,414 | TRY | 142,817 | Deutsche Bank AG | 07/16/18 | 1,498 | ||||||||||||||
USD | 67,586 | TRY | 297,510 | Morgan Stanley & Co. International plc | 07/16/18 | 3,183 | ||||||||||||||
USD | 190,000 | MXN | 3,775,262 | Morgan Stanley & Co. International plc | 07/17/18 | 336 | ||||||||||||||
MXN | 2,094,305 | USD | 102,000 | Deutsche Bank AG | 07/19/18 | 3,181 | ||||||||||||||
USD | 102,000 | MXN | 1,868,028 | UBS AG | 07/19/18 | 8,183 |
SCHEDULES OF INVESTMENTS | 45 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
USD | 40,000 | COP | 115,160,000 | UBS AG | 07/23/18 | $ | 748 | |||||||||||||
SGD | 81,747 | USD | 60,000 | Standard Chartered Bank | 07/25/18 | 23 | ||||||||||||||
USD | 30,000 | SGD | 39,982 | Standard Chartered Bank | 07/25/18 | 643 | ||||||||||||||
USD | 30,000 | ARS | 642,900 | BNP Paribas SA | 07/31/18 | 8,453 | ||||||||||||||
USD | 25,000 | ARS | 535,750 | Citibank NA | 07/31/18 | 7,044 | ||||||||||||||
USD | 52,000 | ARS | 1,130,398 | JP Morgan Chase Bank NA | 07/31/18 | 14,115 | ||||||||||||||
USD | 51,750 | CLP | 32,518,665 | Credit Suisse International | 07/31/18 | 1,977 | ||||||||||||||
USD | 13,437 | ZAR | 171,105 | Bank of America NA | 07/31/18 | 1,010 | ||||||||||||||
USD | 33,594 | ZAR | 427,235 | Barclays Bank plc | 07/31/18 | 2,562 | ||||||||||||||
USD | 5,375 | ZAR | 68,419 | JP Morgan Chase Bank NA | 07/31/18 | 406 | ||||||||||||||
USD | 33,594 | ZAR | 427,402 | Royal Bank of Scotland | 07/31/18 | 2,550 | ||||||||||||||
MXN | 1,817,300 | USD | 90,600 | Morgan Stanley & Co. International plc | 08/02/18 | 463 | ||||||||||||||
USD | 335,600 | BRL | 1,249,909 | Goldman Sachs International | 08/02/18 | 14,287 | ||||||||||||||
USD | 44,160 | CNY | 282,340 | Standard Chartered Bank | 08/03/18 | 1,645 | ||||||||||||||
USD | 59,027 | ZAR | 734,274 | Citibank NA | 08/03/18 | 5,716 | ||||||||||||||
USD | 342,500 | RUB | 21,446,322 | JP Morgan Chase Bank NA | 08/07/18 | 2,330 | ||||||||||||||
USD | 12,000 | ARS | 329,280 | BNP Paribas SA | 08/08/18 | 1,052 | ||||||||||||||
USD | 63,000 | ARS | 1,664,384 | JP Morgan Chase Bank NA | 08/08/18 | 7,662 | ||||||||||||||
USD | 89,722 | EUR | 76,500 | Barclays Bank plc | 08/08/18 | 142 | ||||||||||||||
MXN | 610,626 | USD | 30,500 | Barclays Bank plc | 08/10/18 | 57 | ||||||||||||||
MXN | 1,230,806 | USD | 61,000 | Royal Bank of Scotland | 08/10/18 | 592 | ||||||||||||||
USD | 30,500 | MXN | 602,003 | Goldman Sachs International | 08/10/18 | 374 | ||||||||||||||
USD | 1,638,129 | JPY | 180,726,536 | Royal Bank of Scotland | 08/13/18 | 1,100 | ||||||||||||||
USD | 342,576 | ZAR | 4,350,802 | Barclays Bank plc | 08/16/18 | 27,257 | ||||||||||||||
ZAR | 629,460 | USD | 45,432 | HSBC Bank plc | 08/16/18 | 188 | ||||||||||||||
USD | 58,167 | IDR | 814,750,106 | BNP Paribas SA | 08/20/18 | 1,609 | ||||||||||||||
USD | 184,664 | IDR | 2,587,087,223 | Deutsche Bank AG | 08/20/18 | 5,074 | ||||||||||||||
USD | 211,429 | IDR | 2,998,148,970 | JP Morgan Chase Bank NA | 08/20/18 | 3,303 | ||||||||||||||
USD | 180,154 | TRY | 731,503 | BNP Paribas SA | 08/20/18 | 24,263 | ||||||||||||||
USD | 247,005 | TRY | 995,497 | Citibank NA | 08/20/18 | 34,856 | ||||||||||||||
MXN | 3,600,000 | USD | 171,505 | Barclays Bank plc | 08/22/18 | 8,288 | ||||||||||||||
MXN | 113,273 | USD | 5,510 | Goldman Sachs International | 08/22/18 | 148 | ||||||||||||||
USD | 160,200 | IDR | 2,289,418,200 | Deutsche Bank AG | 08/31/18 | 1,617 | ||||||||||||||
USD | 1,697,840 | JPY | 185,568,000 | Barclays Bank plc | 09/11/18 | 13,392 | ||||||||||||||
RUB | 443,184 | USD | 7,000 | Barclays Bank plc | 09/12/18 | 3 | ||||||||||||||
USD | 84,000 | ARS | 1,881,785 | BNP Paribas SA | 09/14/18 | 23,642 | ||||||||||||||
USD | 12,000 | ARS | 363,000 | Citibank NA | 09/17/18 | 391 | ||||||||||||||
AUD | 170,000 | USD | 125,389 | Goldman Sachs International | 09/19/18 | 450 | ||||||||||||||
AUD | 89,000 | USD | 65,650 | Morgan Stanley & Co. International plc | 09/19/18 | 230 | ||||||||||||||
CAD | 315,548 | EUR | 204,000 | JP Morgan Chase Bank NA | 09/19/18 | 683 | ||||||||||||||
CAD | 225,762 | USD | 170,000 | Barclays Bank plc | 09/19/18 | 1,960 | ||||||||||||||
CHF | 170,000 | SEK | 1,515,790 | Morgan Stanley & Co. International plc | 09/19/18 | 2,582 | ||||||||||||||
CHF | 42,565 | USD | 43,000 | Deutsche Bank AG | 09/19/18 | 279 | ||||||||||||||
CHF | 47,420 | USD | 48,000 | Morgan Stanley & Co. International plc | 09/19/18 | 216 | ||||||||||||||
EUR | 35,000 | USD | 40,939 | Barclays Bank plc | 09/19/18 | 180 | ||||||||||||||
EUR | 20,000 | USD | 23,302 | State Street Bank and Trust Co. | 09/19/18 | 195 | ||||||||||||||
GBP | 85,000 | USD | 111,976 | JP Morgan Chase Bank NA | 09/19/18 | 602 | ||||||||||||||
GBP | 8,000 | USD | 10,577 | Royal Bank of Canada | 09/19/18 | 19 | ||||||||||||||
MXN | 2,207,824 | CAD | 136,000 | BNP Paribas SA | 09/19/18 | 6,197 | ||||||||||||||
NOK | 350,331 | USD | 43,000 | Bank of America NA | 09/19/18 | 152 | ||||||||||||||
NOK | 723,811 | USD | 89,000 | JP Morgan Chase Bank NA | 09/19/18 | 155 | ||||||||||||||
SEK | 348,447 | USD | 39,000 | Bank of America NA | 09/19/18 | 141 | ||||||||||||||
USD | 10,613 | GBP | 8,000 | Bank of America NA | 09/19/18 | 17 | ||||||||||||||
USD | 39,000 | JPY | 4,282,320 | Goldman Sachs International | 09/19/18 | 105 | ||||||||||||||
USD | 43,000 | NOK | 348,216 | BNP Paribas SA | 09/19/18 | 109 | ||||||||||||||
USD | 7,586 | NZD | 11,000 | Barclays Bank plc | 09/19/18 | 135 | ||||||||||||||
USD | 3,000 | SEK | 26,423 | Bank of America NA | 09/19/18 | 33 | ||||||||||||||
USD | 39,000 | SEK | 346,615 | Goldman Sachs International | 09/19/18 | 66 | ||||||||||||||
USD | 570,680 | EUR | 440,000 | Deutsche Bank AG | 12/13/19 | 32,905 | ||||||||||||||
USD | 574,376 | EUR | 440,000 | Deutsche Bank AG | 02/25/20 | 32,988 | ||||||||||||||
USD | 594,031 | JPY | 59,510,000 | HSBC Bank plc | 03/16/20 | 27,181 | ||||||||||||||
|
| |||||||||||||||||||
436,862 | ||||||||||||||||||||
|
|
46 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
ARS | 1,293,010 | USD | 50,000 | BNP Paribas SA | 07/02/18 | $ | (5,298 | ) | ||||||||||||
BRL | 70,251 | USD | 18,800 | Barclays Bank plc | 07/03/18 | (674 | ) | |||||||||||||
BRL | 1,087,905 | USD | 294,260 | BNP Paribas SA | 07/03/18 | (13,564 | ) | |||||||||||||
BRL | 106,963 | USD | 28,200 | UBS AG | 07/03/18 | (602 | ) | |||||||||||||
CLP | 66,425,400 | USD | 104,979 | JP Morgan Chase Bank NA | 07/03/18 | (3,317 | ) | |||||||||||||
USD | 30,000 | BRL | 118,500 | Deutsche Bank AG | 07/03/18 | (575 | ) | |||||||||||||
USD | 117,660 | BRL | 459,909 | Goldman Sachs International | 07/03/18 | (1,003 | ) | |||||||||||||
USD | 30,600 | BRL | 119,891 | UBS AG | 07/03/18 | (334 | ) | |||||||||||||
CLP | 107,640,000 | USD | 168,991 | Deutsche Bank AG | 07/05/18 | (4,250 | ) | |||||||||||||
ZAR | 580,402 | USD | 45,300 | BNP Paribas SA | 07/05/18 | (3,000 | ) | |||||||||||||
ZAR | 580,289 | USD | 45,300 | Goldman Sachs International | 07/05/18 | (3,008 | ) | |||||||||||||
RUB | 21,382,275 | USD | 342,500 | JP Morgan Chase Bank NA | 07/09/18 | (2,238 | ) | |||||||||||||
ZAR | 974,846 | USD | 75,200 | BNP Paribas SA | 07/10/18 | (4,196 | ) | |||||||||||||
ZAR | 452,758 | USD | 33,205 | Deutsche Bank AG | 07/10/18 | (227 | ) | |||||||||||||
ZAR | 1,229,220 | USD | 96,795 | Goldman Sachs International | 07/10/18 | (7,264 | ) | |||||||||||||
ZAR | 546,822 | USD | 43,000 | Morgan Stanley & Co. International plc | 07/10/18 | (3,172 | ) | |||||||||||||
BRL | 150,920 | USD | 40,000 | BNP Paribas SA | 07/12/18 | (1,103 | ) | |||||||||||||
RUB | 5,890,314 | USD | 94,715 | Bank of America NA | 07/12/18 | (1,012 | ) | |||||||||||||
RUB | 12,239,752 | USD | 196,442 | Citibank NA | 07/12/18 | (1,732 | ) | |||||||||||||
TWD | 1,210,400 | USD | 40,000 | JP Morgan Chase Bank NA | 07/12/18 | (232 | ) | |||||||||||||
USD | 61,000 | MXN | 1,225,324 | Royal Bank of Scotland | 07/13/18 | (598 | ) | |||||||||||||
USD | 7,000 | RUB | 440,441 | Barclays Bank plc | 07/13/18 | (6 | ) | |||||||||||||
MXN | 1,271,766 | USD | 64,000 | Goldman Sachs International | 07/17/18 | (108 | ) | |||||||||||||
USD | 198,400 | MXN | 3,961,413 | Citibank NA | 07/23/18 | (423 | ) | |||||||||||||
SGD | 121,480 | USD | 90,000 | Standard Chartered Bank | 07/25/18 | (803 | ) | |||||||||||||
JPY | 5,451,700 | USD | 49,700 | Standard Chartered Bank | 07/27/18 | (378 | ) | |||||||||||||
USD | 38,400 | TRY | 182,446 | Deutsche Bank AG | 07/27/18 | (905 | ) | |||||||||||||
USD | 95,000 | KRW | 106,400,000 | JP Morgan Chase Bank NA | 07/30/18 | (595 | ) | |||||||||||||
ARS | 2,164,352 | USD | 81,244 | BNP Paribas SA | 07/31/18 | (8,707 | ) | |||||||||||||
CLP | 32,524,875 | USD | 51,750 | Royal Bank of Scotland | 07/31/18 | (1,967 | ) | |||||||||||||
ZAR | 453,448 | USD | 33,594 | Deutsche Bank AG | 07/31/18 | (659 | ) | |||||||||||||
BRL | 372,453 | USD | 102,000 | BNP Paribas SA | 08/02/18 | (6,254 | ) | |||||||||||||
BRL | 534,605 | USD | 143,000 | JP Morgan Chase Bank NA | 08/02/18 | (5,569 | ) | |||||||||||||
USD | 30,200 | TRY | 143,477 | Barclays Bank plc | 08/02/18 | (629 | ) | |||||||||||||
CNY | 282,933 | USD | 44,160 | Deutsche Bank AG | 08/03/18 | (1,556 | ) | |||||||||||||
USD | 116,816 | EUR | 100,000 | Bank of America NA | 08/03/18 | (235 | ) | |||||||||||||
ZAR | 123,241 | USD | 9,060 | Royal Bank of Scotland | 08/03/18 | (112 | ) | |||||||||||||
RUB | 9,327,400 | USD | 149,000 | BNP Paribas SA | 08/07/18 | (1,054 | ) | |||||||||||||
ARS | 497,700 | USD | 21,000 | BNP Paribas SA | 08/08/18 | (4,452 | ) | |||||||||||||
ARS | 490,000 | USD | 21,000 | JP Morgan Chase Bank NA | 08/08/18 | (4,708 | ) | |||||||||||||
USD | 50,000 | IDR | 723,000,000 | JP Morgan Chase Bank NA | 08/09/18 | (298 | ) | |||||||||||||
COP | 113,283,600 | USD | 40,000 | Goldman Sachs International | 08/10/18 | (1,417 | ) | |||||||||||||
TWD | 1,212,840 | USD | 40,000 | BNP Paribas SA | 08/10/18 | (92 | ) | |||||||||||||
ZAR | 1,123,933 | USD | 82,550 | Barclays Bank plc | 08/10/18 | (1,027 | ) | |||||||||||||
ZAR | 1,193,052 | USD | 87,148 | Bank of America NA | 08/16/18 | (683 | ) | |||||||||||||
IDR | 969,977,106 | USD | 68,183 | Citibank NA | 08/20/18 | (850 | ) | |||||||||||||
IDR | 969,980,000 | USD | 68,069 | Goldman Sachs International | 08/20/18 | (735 | ) | |||||||||||||
IDR | 955,500,000 | USD | 67,057 | Nomura International plc | 08/20/18 | (728 | ) | |||||||||||||
TRY | 1,727,000 | USD | 444,227 | BNP Paribas SA | 08/20/18 | (76,188 | ) | |||||||||||||
RUB | 7,839,279 | USD | 124,921 | Bank of America NA | 08/21/18 | (771 | ) | |||||||||||||
RUB | 5,145,546 | USD | 82,079 | Credit Suisse International | 08/21/18 | (590 | ) | |||||||||||||
USD | 185,369 | MXN | 3,713,273 | Deutsche Bank AG | 08/22/18 | (81 | ) | |||||||||||||
USD | 50,000 | COP | 148,180,000 | Royal Bank of Scotland | 08/27/18 | (427 | ) | |||||||||||||
USD | 41,275 | ZAR | 574,096 | Goldman Sachs International | 08/27/18 | (269 | ) | |||||||||||||
IDR | 1,880,579,000 | USD | 134,500 | Deutsche Bank AG | 08/31/18 | (4,236 | ) | |||||||||||||
CLP | 16,210,000 | USD | 25,000 | JP Morgan Chase Bank NA | 09/05/18 | (190 | ) | |||||||||||||
CLP | 16,252,500 | USD | 25,000 | UBS AG | 09/05/18 | (125 | ) | |||||||||||||
ARS | 686,700 | USD | 25,200 | BNP Paribas SA | 09/14/18 | (3,174 | ) | |||||||||||||
ARS | 810,900 | USD | 30,000 | Citibank NA | 09/14/18 | (3,990 | ) | |||||||||||||
ARS | 778,464 | USD | 28,800 | JP Morgan Chase Bank NA | 09/14/18 | (3,831 | ) | |||||||||||||
ARS | 334,200 | USD | 12,000 | BNP Paribas SA | 09/17/18 | (1,312 | ) | |||||||||||||
CAD | 136,000 | MXN | 2,182,732 | Bank of America NA | 09/19/18 | (4,949 | ) | |||||||||||||
JPY | 4,270,461 | USD | 39,000 | Bank of America NA | 09/19/18 | (213 | ) | |||||||||||||
NZD | 11,000 | USD | 7,500 | Royal Bank of Scotland | 09/19/18 | (50 | ) |
SCHEDULES OF INVESTMENTS | 47 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
SEK | 1,531,142 | CHF | 170,000 | Deutsche Bank AG | 09/19/18 | $ | (858 | ) | ||||||||||||
SEK | 26,554 | USD | 3,000 | Deutsche Bank AG | 09/19/18 | (17 | ) | |||||||||||||
USD | 125,700 | AUD | 170,000 | Citibank NA | 09/19/18 | (139 | ) | |||||||||||||
USD | 65,631 | AUD | 89,000 | Royal Bank of Canada | 09/19/18 | (249 | ) | |||||||||||||
USD | 170,000 | CAD | 225,801 | Goldman Sachs International | 09/19/18 | (1,990 | ) | |||||||||||||
USD | 48,000 | CHF | 47,419 | Goldman Sachs International | 09/19/18 | (215 | ) | |||||||||||||
USD | 43,000 | CHF | 42,450 | Morgan Stanley & Co. International plc | 09/19/18 | (162 | ) | |||||||||||||
USD | 40,813 | EUR | 35,000 | Morgan Stanley & Co. International plc | 09/19/18 | (306 | ) | |||||||||||||
USD | 111,479 | GBP | 85,000 | UBS AG | 09/19/18 | (1,098 | ) | |||||||||||||
USD | 89,000 | NOK | 727,598 | Barclays Bank plc | 09/19/18 | (623 | ) | |||||||||||||
MXN | 3,738,451 | USD | 192,000 | HSBC Bank plc | 11/26/18 | (8,081 | ) | |||||||||||||
|
| |||||||||||||||||||
(216,483 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Net Unrealized Appreciation | $ | 220,379 | ||||||||||||||||||
|
|
OTC Barrier Options Purchased
Description | Type of Option | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Barrier Price/Range | Notional Amount (000) | Value | ||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||
USD Currency | Down and Out | Deutsche Bank AG | — | 07/19/18 | BRL | 3.68 | BRL | 3.55 | USD | 91 | $ | 48 | ||||||||||||||||||||
USD Currency | One-Touch | Deutsche Bank AG | — | 07/20/18 | TRY | 4.30 | TRY | 4.30 | USD | 5 | 43 | |||||||||||||||||||||
USD Currency | One-Touch | BNP Paribas SA | — | 07/20/18 | ZAR | 11.60 | ZAR | 11.60 | USD | 7 | — | |||||||||||||||||||||
USD Currency | One-Touch | Morgan Stanley & Co. International plc | — | 07/24/18 | TRY | 4.30 | TRY | 4.30 | USD | 7 | 343 | |||||||||||||||||||||
USD Currency | Down and Out | Morgan Stanley & Co. International plc | — | 08/10/18 | TRY | 4.65 | TRY | 4.38 | USD | 72 | 1,463 | |||||||||||||||||||||
USD Currency | One-Touch | Deutsche Bank AG | — | 08/20/18 | BRL | 3.50 | BRL | 3.50 | USD | 4 | 141 | |||||||||||||||||||||
USD Currency | One-Touch | Morgan Stanley & Co. International plc | — | 10/25/18 | MXN | 16.50 | MXN | 16.50 | USD | 9 | 211 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
$ | 2,249 | |||||||||||||||||||||||||||||||
|
|
OTC Currency Options Purchased
Description | Counterparty | Expiration Date | Exercise Price | Notional Amount (000) | Value | |||||||||||||||||||||
Call | ||||||||||||||||||||||||||
EUR Currency | Citibank NA | 07/03/18 | ZAR | 15.00 | EUR | 27 | $ | 2,086 | ||||||||||||||||||
USD Currency | Morgan Stanley & Co. International plc | 07/06/18 | ZAR | 13.10 | USD | 88 | 4,163 | |||||||||||||||||||
USD Currency | Deutsche Bank AG | 07/09/18 | TWD | 30.15 | USD | 80 | 878 | |||||||||||||||||||
USD Currency | Deutsche Bank AG | 07/19/18 | MXN | 21.50 | USD | 37 | 28 | |||||||||||||||||||
USD Currency | JP Morgan Chase Bank NA | 07/19/18 | MXN | 20.00 | USD | 61 | 815 | |||||||||||||||||||
USD Currency | JP Morgan Chase Bank NA | 07/19/18 | ZAR | 12.70 | USD | 79 | 6,258 | |||||||||||||||||||
USD Currency | Nomura International PLC | 07/20/18 | TWD | 30.27 | USD | 71 | 622 | |||||||||||||||||||
USD Currency | Bank of America NA | 07/23/18 | SGD | 1.35 | USD | 120 | 1,458 | |||||||||||||||||||
JPY Currency | HSBC Bank plc | 07/25/18 | KRW | 10.30 | JPY | 8,000 | 302 | |||||||||||||||||||
USD Currency | Barclays Bank plc | 07/27/18 | CAD | 1.34 | USD | 71 | 157 | |||||||||||||||||||
USD Currency | Barclays Bank plc | 07/27/18 | CAD | 1.30 | USD | 71 | 994 | |||||||||||||||||||
USD Currency | Deutsche Bank AG | 08/09/18 | BRL | 3.75 | USD | 69 | 2,840 | |||||||||||||||||||
USD Currency | Deutsche Bank AG | 08/13/18 | MXN | 21.00 | USD | 170 | 1,011 | |||||||||||||||||||
USD Currency | Deutsche Bank AG | 08/16/18 | MXN | 21.00 | USD | 170 | 1,105 | |||||||||||||||||||
JPY Currency | HSBC Bank plc | 08/24/18 | KRW | 10.45 | JPY | 13,600 | 741 | |||||||||||||||||||
|
| |||||||||||||||||||||||||
23,458 | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||
EUR Currency | Citibank NA | 07/03/18 | ZAR | 14.60 | EUR | 27 | — | |||||||||||||||||||
USD Currency | HSBC Bank plc | 07/05/18 | IDR | 14,000.00 | USD | 45 | 7 | |||||||||||||||||||
USD Currency | Deutsche Bank AG | 07/20/18 | RUB | 61.00 | USD | 151 | 237 | |||||||||||||||||||
USD Currency | Goldman Sachs International | 07/20/18 | BRL | 3.50 | USD | 453 | 9 | |||||||||||||||||||
USD Currency | JP Morgan Chase Bank NA | 07/20/18 | IDR | 14,020.00 | USD | 151 | 196 | |||||||||||||||||||
EUR Currency | BNP Paribas SA | 07/23/18 | PLN | 4.25 | EUR | 121 | 30 | |||||||||||||||||||
USD Currency | Deutsche Bank AG | 07/23/18 | BRL | 3.60 | USD | 91 | 36 | |||||||||||||||||||
USD Currency | Morgan Stanley & Co. International plc | 07/24/18 | TRY | 4.75 | USD | 60 | 1,942 | |||||||||||||||||||
USD Currency | Morgan Stanley & Co. International plc | 07/24/18 | MXN | 20.00 | USD | 136 | 2,915 | |||||||||||||||||||
USD Currency | Deutsche Bank AG | 07/27/18 | TRY | 4.70 | USD | 60 | 1,459 |
48 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio |
Description | Counterparty | Expiration Date | Exercise Price | Notional Amount (000) | Value | |||||||||||||||||||||
USD Currency | Deutsche Bank AG | 08/01/18 | KRW | 1,095.00 | USD | 80 | $ | 352 | ||||||||||||||||||
USD Currency | Morgan Stanley & Co. International plc | 08/03/18 | MXN | 19.50 | USD | 272 | 2,937 | |||||||||||||||||||
USD Currency | Deutsche Bank AG | 08/13/18 | MXN | 18.50 | USD | 170 | 359 | |||||||||||||||||||
USD Currency | Deutsche Bank AG | 08/16/18 | INR | 68.00 | USD | 88 | 328 | |||||||||||||||||||
USD Currency | Deutsche Bank AG | 08/16/18 | MXN | 18.50 | USD | 170 | 381 | |||||||||||||||||||
USD Currency | Morgan Stanley & Co. International plc | 08/20/18 | MXN | 19.50 | USD | 3,399 | 43,241 | |||||||||||||||||||
USD Currency | BNP Paribas SA | 08/22/18 | ZAR | 12.45 | USD | 151 | 106 | |||||||||||||||||||
USD Currency | JP Morgan Chase Bank NA | 08/27/18 | ZAR | 12.45 | USD | 151 | 133 | |||||||||||||||||||
USD Currency | Deutsche Bank AG | 09/04/18 | ZAR | 12.55 | USD | 91 | 145 | |||||||||||||||||||
USD Currency | Goldman Sachs International | 09/12/18 | TRY | 4.48 | USD | 61 | 455 | |||||||||||||||||||
USD Currency | Citibank NA | 09/13/18 | MXN | 19.50 | USD | 61 | 901 | |||||||||||||||||||
USD Currency | Deutsche Bank AG | 09/13/18 | MXN | 19.50 | USD | 61 | 898 | |||||||||||||||||||
USD Currency | JP Morgan Chase Bank NA | 09/13/18 | IDR | 13,800.00 | USD | 73 | 105 | |||||||||||||||||||
USD Currency | Goldman Sachs International | 09/18/18 | MXN | 20.50 | USD | 95 | 3,962 | |||||||||||||||||||
USD Currency | Morgan Stanley & Co. International plc | 09/26/18 | ZAR | 12.90 | USD | 595 | 3,515 | |||||||||||||||||||
USD Currency | Morgan Stanley & Co. International plc | 09/26/18 | TRY | 4.52 | USD | 608 | 5,902 | |||||||||||||||||||
USD Currency | Morgan Stanley & Co. International plc | 10/04/18 | MXN | 18.00 | USD | 272 | 567 | |||||||||||||||||||
USD Currency | HSBC Bank plc | 10/18/18 | ZAR | 12.63 | USD | 995 | 4,244 | |||||||||||||||||||
USD Currency | Citibank NA | 10/19/18 | TRY | 4.50 | USD | 771 | 6,886 | |||||||||||||||||||
|
| |||||||||||||||||||||||||
82,248 | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||
$ | 105,706 | |||||||||||||||||||||||||
|
|
OTC Interest Rate Caps Purchased
Description | Exercise Rate | Counterparty | Expiration Date | Notional Amount (000) | Value | Premiums Paid | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
2Y-10 CMS Index Cap | 0.44 | % | Citibank NA | 07/23/18 | USD | 53,390 | $ | 5 | $ | 26,695 | $ | (26,690 | ) | |||||||||||||||||
2Y-10 CMS Index Cap | 0.34 | Citibank NA | 08/28/18 | USD | 13,095 | 99 | 8,577 | (8,478 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 104 | $ | 35,272 | $ | (35,168 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
OTC Interest Rate Swaptions Purchased
Description | Paid by the Fund | Received by the Fund |
|
| ||||||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | ||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap | 3 month LIBOR | Quarterly | 3.04 | % | Semi-Annual | JP Morgan Chase Bank NA | 04/27/38 | 3.04 | % | USD | 2,320 | $ | 130,970 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap | 3.04 | % | Semi-Annual | 3 month LIBOR | Quarterly | JP Morgan Chase Bank NA | 04/27/38 | 3.04 | USD | 2,320 | 105,370 | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
$ | 236,340 | |||||||||||||||||||||||||||||||||
|
|
|
|
OTC Currency Options Written
Description | Counterparty | Expiration Date | Exercise Price | Notional Amount (000) | Value | |||||||||||||||||||||
Call | ||||||||||||||||||||||||||
EUR Currency | Deutsche Bank AG | 07/03/18 | ZAR | 15.00 | EUR | 27 | $ | (2,091 | ) | |||||||||||||||||
USD Currency | Deutsche Bank AG | 07/09/18 | TWD | 30.85 | USD | 120 | (90 | ) | ||||||||||||||||||
USD Currency | JP Morgan Chase Bank NA | 07/19/18 | MXN | 20.00 | USD | 31 | (417 | ) | ||||||||||||||||||
USD Currency | JP Morgan Chase Bank NA | 07/19/18 | MXN | 22.50 | USD | 61 | (4 | ) | ||||||||||||||||||
USD Currency | JP Morgan Chase Bank NA | 07/19/18 | ZAR | 12.70 | USD | 79 | (6,204 | ) | ||||||||||||||||||
JPY Currency | HSBC Bank plc | 07/25/18 | KRW | 10.60 | JPY | 8,000 | (88 | ) | ||||||||||||||||||
USD Currency | Barclays Bank plc | 07/27/18 | CAD | 1.30 | USD | 71 | (1,008 | ) | ||||||||||||||||||
USD Currency | Barclays Bank plc | 07/27/18 | CAD | 1.36 | USD | 107 | (72 | ) | ||||||||||||||||||
USD Currency | Deutsche Bank AG | 08/09/18 | BRL | 3.95 | USD | 104 | (1,505 | ) | ||||||||||||||||||
USD Currency | Deutsche Bank AG | 08/13/18 | MXN | 21.00 | USD | 170 | (1,009 | ) | ||||||||||||||||||
USD Currency | Deutsche Bank AG | 08/16/18 | MXN | 21.00 | USD | 170 | (1,104 | ) |
SCHEDULES OF INVESTMENTS | 49 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio |
Description | Counterparty | Expiration Date | Exercise Price | Notional Amount (000) | Value | |||||||||||||||||||||
USD Currency | JP Morgan Chase Bank NA | 08/23/18 | ZAR | 13.70 | USD | 79 | $ | (2,458 | ) | |||||||||||||||||
USD Currency | Goldman Sachs International | 09/18/18 | MXN | 22.00 | USD | 95 | (494 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||
(16,544 | ) | |||||||||||||||||||||||||
|
| |||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||
EUR Currency | Deutsche Bank AG | 07/03/18 | ZAR | 14.60 | EUR | 27 | — | |||||||||||||||||||
USD Currency | Morgan Stanley & Co. International plc | 07/06/18 | ZAR | 12.20 | USD | 88 | — | |||||||||||||||||||
USD Currency | Deutsche Bank AG | 07/12/18 | MXN | 19.50 | USD | 61 | (452 | ) | ||||||||||||||||||
USD Currency | Goldman Sachs International | 07/12/18 | TRY | 4.42 | USD | 61 | (64 | ) | ||||||||||||||||||
USD Currency | Deutsche Bank AG | 07/20/18 | RUB | 59.50 | USD | 227 | (35 | ) | ||||||||||||||||||
USD Currency | Morgan Stanley & Co. International plc | 07/24/18 | TRY | 4.45 | USD | 60 | (192 | ) | ||||||||||||||||||
USD Currency | JP Morgan Chase Bank NA | 08/01/18 | KRW | 1,060.00 | USD | 120 | (31 | ) | ||||||||||||||||||
USD Currency | Morgan Stanley & Co. International plc | 08/03/18 | MXN | 19.00 | USD | 408 | (1,803 | ) | ||||||||||||||||||
USD Currency | Citibank NA | 08/13/18 | MXN | 19.20 | USD | 61 | (453 | ) | ||||||||||||||||||
USD Currency | Morgan Stanley & Co. International plc | 08/20/18 | MXN | 18.50 | USD | 3,399 | (8,255 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||
(11,285 | ) | |||||||||||||||||||||||||
|
| |||||||||||||||||||||||||
$ | (27,829 | ) | ||||||||||||||||||||||||
|
|
OTC Interest Rate Swaptions Written
| Paid by the Fund | Received by the Fund | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | |||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | ||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||
2-Year Interest Rate Swap | 3 month LIBOR | Quarterly | 2.74 | % | Semi-Annual | JP Morgan Chase Bank NA | 12/27/18 | 2.74 | % | USD 21,450 | $ | (33,976 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||
2-Year Interest Rate Swap | 3.14 | % | Semi-Annual | 3 month LIBOR | Quarterly | JP Morgan Chase Bank NA | 12/27/18 | 3.14 | USD 21,450 | (28,407 | ) | |||||||||||||||||||
|
| |||||||||||||||||||||||||||||
$ | (62,383 | ) | ||||||||||||||||||||||||||||
|
|
Centrally Cleared Credit Default Swaps — Buy Protection
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
CDX.NA.IG.30.V1 | 1.00 | % | Quarterly | 06/20/23 | USD | 1,056 | $ | (15,945 | ) | $ | (17,957 | ) | $ | 2,012 | ||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps — Buy Protection
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
United Mexican States | 1.00 | % | Quarterly | JP Morgan Chase Bank NA | 06/20/20 | USD | 209 | $ | (1,522 | ) | $ | 748 | $ | (2,270 | ) | |||||||||||||||||
United Mexican States | 1.00 | Quarterly | Bank of America NA | 09/20/20 | USD | 209 | (1,432 | ) | 1,194 | (2,626 | ) | |||||||||||||||||||||
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank plc | 06/20/23 | USD | 23 | 1,651 | 669 | 982 | |||||||||||||||||||||||
Federative Republic of Brazil | 1.00 | Quarterly | BNP Paribas SA | 06/20/23 | USD | 33 | 2,368 | 1,318 | 1,050 | |||||||||||||||||||||||
Federative Republic of Brazil | 1.00 | Quarterly | BNP Paribas SA | 06/20/23 | USD | 33 | 2,368 | 1,318 | 1,050 | |||||||||||||||||||||||
Federative Republic of Brazil | 1.00 | Quarterly | Citibank NA | 06/20/23 | USD | 51 | 3,660 | 3,988 | (328 | ) | ||||||||||||||||||||||
Federative Republic of Brazil | 1.00 | Quarterly | Citibank NA | 06/20/23 | USD | 35 | 2,511 | 2,041 | 470 | |||||||||||||||||||||||
Federative Republic of Brazil | 1.00 | Quarterly | Citibank NA | 06/20/23 | USD | 33 | 2,368 | 2,593 | (225 | ) | ||||||||||||||||||||||
Federative Republic of Brazil | 1.00 | Quarterly | Citibank NA | 06/20/23 | USD | 32 | 2,296 | 2,508 | (212 | ) | ||||||||||||||||||||||
Federative Republic of Brazil | 1.00 | Quarterly | Citibank NA | 06/20/23 | USD | 32 | 2,296 | 2,502 | (206 | ) | ||||||||||||||||||||||
Federative Republic of Brazil | 1.00 | Quarterly | Citibank NA | 06/20/23 | USD | 30 | 2,153 | 1,224 | 929 | |||||||||||||||||||||||
Federative Republic of Brazil | 1.00 | Quarterly | Citibank NA | 06/20/23 | USD | 32 | 2,296 | 2,528 | (232 | ) | ||||||||||||||||||||||
Federative Republic of Brazil | 1.00 | Quarterly | Citibank NA | 06/20/23 | USD | 36 | 2,583 | 2,099 | 484 | |||||||||||||||||||||||
Federative Republic of Brazil | 1.00 | Quarterly | Citibank NA | 06/20/23 | USD | 39 | 2,795 | 2,336 | 459 | |||||||||||||||||||||||
Federative Republic of Brazil | 1.00 | Quarterly | Citibank NA | 06/20/23 | USD | 20 | 1,435 | 565 | 870 | |||||||||||||||||||||||
Federative Republic of Brazil | 1.00 | Quarterly | Citibank NA | 06/20/23 | USD | 35 | 2,514 | 2,028 | 486 |
50 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio |
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||
Federative Republic of Brazil | 1.00 | % | Quarterly | Deutsche Bank AG | 06/20/23 | USD | 17 | $ | 1,220 | $ | 463 | $ | 757 | |||||||||||||||||||||
Federative Republic of Brazil | 1.00 | Quarterly | Goldman Sachs International | 06/20/23 | USD | 36 | 2,583 | 2,054 | 529 | |||||||||||||||||||||||||
Federative Republic of Brazil | 1.00 | Quarterly | HSBC Bank plc | 06/20/23 | USD | 36 | 2,583 | 1,365 | 1,218 | |||||||||||||||||||||||||
Federative Republic of Brazil | 1.00 | Quarterly | HSBC Bank plc | 06/20/23 | USD | 43 | 3,085 | 1,621 | 1,464 | |||||||||||||||||||||||||
Republic of Argentina | 5.00 | Quarterly | HSBC Bank plc | 06/20/23 | USD | 14 | (378 | ) | (652 | ) | 274 | |||||||||||||||||||||||
Republic of Argentina | 5.00 | Quarterly | HSBC Bank plc | 06/20/23 | USD | 14 | (378 | ) | (622 | ) | 244 | |||||||||||||||||||||||
Republic of Argentina | 5.00 | Quarterly | HSBC Bank plc | 06/20/23 | USD | 19 | (513 | ) | (844 | ) | 331 | |||||||||||||||||||||||
Republic of South Africa | 1.00 | Quarterly | Morgan Stanley & Co. International plc | 06/20/23 | USD | 43 | 2,154 | 1,115 | 1,039 | |||||||||||||||||||||||||
Republic of the Philippines | 1.00 | Quarterly | JP Morgan Chase Bank NA | 06/20/23 | USD | 251 | (602 | ) | (2,964 | ) | 2,362 | |||||||||||||||||||||||
Republic of Turkey | 1.00 | Quarterly | Deutsche Bank AG | 06/20/23 | USD | 10 | 858 | 727 | 131 | |||||||||||||||||||||||||
Republic of Turkey | 1.00 | Quarterly | Goldman Sachs International | 06/20/23 | USD | 15 | 1,288 | 1,036 | 252 | |||||||||||||||||||||||||
Republic of Turkey | 1.00 | Quarterly | HSBC Bank plc | 06/20/23 | USD | 15 | 1,288 | 1,005 | 283 | |||||||||||||||||||||||||
Republic of Turkey | 1.00 | Quarterly | HSBC Bank plc | 06/20/23 | USD | 25 | 2,147 | 1,726 | 421 | |||||||||||||||||||||||||
Republic of Turkey | 1.00 | Quarterly | Morgan Stanley & Co. International plc | 06/20/23 | USD | 2 | 171 | 138 | 33 | |||||||||||||||||||||||||
Republic of Turkey | 1.00 | Quarterly | Morgan Stanley & Co. International plc | 06/20/23 | USD | 12 | 1,031 | 896 | 135 | |||||||||||||||||||||||||
United Mexican States | 1.00 | Quarterly | Barclays Bank plc | 06/20/23 | USD | 51 | 700 | 405 | 295 | |||||||||||||||||||||||||
United Mexican States | 1.00 | Quarterly | Barclays Bank plc | 06/20/23 | USD | 25 | 343 | 487 | (144 | ) | ||||||||||||||||||||||||
United Mexican States | 1.00 | Quarterly | Barclays Bank plc | 06/20/23 | USD | 32 | 439 | 603 | (164 | ) | ||||||||||||||||||||||||
United Mexican States | 1.00 | Quarterly | Barclays Bank plc | 06/20/23 | USD | 32 | 439 | 574 | (135 | ) | ||||||||||||||||||||||||
United Mexican States | 1.00 | Quarterly | Barclays Bank plc | 06/20/23 | USD | 32 | 439 | 624 | (185 | ) | ||||||||||||||||||||||||
United Mexican States | 1.00 | Quarterly | Barclays Bank plc | 06/20/23 | USD | 31 | 425 | 597 | (172 | ) | ||||||||||||||||||||||||
United Mexican States | 1.00 | Quarterly | Barclays Bank plc | 06/20/23 | USD | 24 | 329 | 195 | 134 | |||||||||||||||||||||||||
United Mexican States | 1.00 | Quarterly | Citibank NA | 06/20/23 | USD | 31 | 425 | 244 | 181 | |||||||||||||||||||||||||
United Mexican States | 1.00 | Quarterly | Citibank NA | 06/20/23 | USD | 59 | 811 | 486 | 325 | |||||||||||||||||||||||||
United Mexican States | 1.00 | Quarterly | Citibank NA | 06/20/23 | USD | 47 | 645 | 385 | 260 | |||||||||||||||||||||||||
United Mexican States | 1.00 | Quarterly | Citibank NA | 06/20/23 | USD | 29 | 398 | 274 | 124 | |||||||||||||||||||||||||
United Mexican States | 1.00 | Quarterly | Citibank NA | 06/20/23 | USD | 33 | 453 | 636 | (183 | ) | ||||||||||||||||||||||||
United Mexican States | 1.00 | Quarterly | Deutsche Bank AG | 06/20/23 | USD | 41 | 563 | 206 | 357 | |||||||||||||||||||||||||
CMBX.NA.9.A | 2.00 | Monthly | Credit Suisse International | 09/17/58 | USD | 50 | 987 | 863 | 124 | |||||||||||||||||||||||||
CMBX.NA.9.A | 2.00 | Monthly | Credit Suisse International | 09/17/58 | USD | 20 | 394 | 350 | 44 | |||||||||||||||||||||||||
CMBX.NA.9.A | 2.00 | Monthly | Credit Suisse International | 09/17/58 | USD | 78 | 1,539 | 1,235 | 304 | |||||||||||||||||||||||||
CMBX.NA.9.A | 2.00 | Monthly | Goldman Sachs International | 09/17/58 | USD | 10 | 198 | 187 | 11 | |||||||||||||||||||||||||
CMBX.NA.9.A | 2.00 | Monthly | Citigroup Global Markets, Inc. | 09/17/58 | USD | 20 | 394 | 375 | 19 | |||||||||||||||||||||||||
CMBX.NA.9.AAA | 0.50 | Monthly | Credit Suisse International | 09/17/58 | USD | 60 | 24 | 718 | (694 | ) | ||||||||||||||||||||||||
CMBX.NA.9.AAA | 0.50 | Monthly | Deutsche Bank AG | 09/17/58 | USD | 50 | 19 | 607 | (588 | ) | ||||||||||||||||||||||||
CMBX.NA.9.AAA | 0.50 | Monthly | Morgan Stanley & Co. International plc | 09/17/58 | USD | 50 | 19 | 599 | (580 | ) | ||||||||||||||||||||||||
CMBX.NA.9.AAA | 0.50 | Monthly | Morgan Stanley & Co. International plc | 09/17/58 | USD | 40 | 16 | 480 | (464 | ) | ||||||||||||||||||||||||
CMBX.NA.9.AAA | 0.50 | Monthly | Morgan Stanley & Co. International plc | 09/17/58 | USD | 110 | 43 | 1,419 | (1,376 | ) | ||||||||||||||||||||||||
CMBX.NA.6.AAA | 0.50 | Monthly | Deutsche Bank AG | 05/11/63 | USD | 100 | (645 | ) | (74 | ) | (571 | ) | ||||||||||||||||||||||
CMBX.NA.6.AAA | 0.50 | Monthly | Deutsche Bank AG | 05/11/63 | USD | 70 | (452 | ) | (10 | ) | (442 | ) | ||||||||||||||||||||||
CMBX.NA.6.AAA | 0.50 | Monthly | Deutsche Bank AG | 05/11/63 | USD | 120 | (775 | ) | — | (775 | ) | |||||||||||||||||||||||
CMBX.NA.6.BBB- | 3.00 | Monthly | JP Morgan Securities LLC | 05/11/63 | USD | 20 | 2,068 | 1,919 | 149 | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
$ | 57,115 | $ | 51,107 | $ | 6,008 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps — Sell Protection
Reference Obligation/Index | Financing Rate Received by the Fund | Payment Frequency | Counterparty | Termination Date | Credit Rating (a) | Notional Amount (000) (b) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||
United Mexican States | 1.00 | % | Quarterly | Bank of America NA | 06/20/20 | BBB+ | USD | 209 | $ | 1,522 | $ | (864 | ) | $ | 2,386 | |||||||||||||||||||||
United Mexican States | 1.00 | Quarterly | JP Morgan Chase Bank NA | 09/20/20 | BBB+ | USD | 209 | 1,432 | (1,043 | ) | 2,475 | |||||||||||||||||||||||||
CMBX.NA.3.AM | 0.50 | Monthly | Credit Suisse International | 12/13/49 | NR | USD | 670 | (170 | ) | (3,845 | ) | 3,675 | ||||||||||||||||||||||||
CMBX.NA.3.AM | 0.50 | Monthly | Goldman Sachs International | 12/13/49 | NR | USD | 1,320 | (336 | ) | (7,672 | ) | 7,336 | ||||||||||||||||||||||||
CMBX.NA.4.AM | 0.50 | Monthly | Deutsche Bank AG | 02/17/51 | NR | USD | 120 | (26 | ) | (664 | ) | 638 | ||||||||||||||||||||||||
CMBX.NA.8.A | 2.00 | Monthly | Goldman Sachs International | 10/17/57 | NR | USD | 20 | (465 | ) | (1,979 | ) | 1,514 | ||||||||||||||||||||||||
CMBX.NA.8.A | 2.00 | Monthly | Goldman Sachs International | 10/17/57 | NR | USD | 30 | (697 | ) | (1,644 | ) | 947 | ||||||||||||||||||||||||
CMBX.NA.9.BBB- | 3.00 | Monthly | Credit Suisse International | 09/17/58 | NR | USD | 60 | (6,192 | ) | (5,262 | ) | (930 | ) | |||||||||||||||||||||||
CMBX.NA.9.BBB- | 3.00 | Monthly | Deutsche Bank AG | 09/17/58 | NR | USD | 30 | (3,096 | ) | (3,219 | ) | 123 | ||||||||||||||||||||||||
CMBX.NA.9.BBB- | 3.00 | Monthly | Deutsche Bank AG | 09/17/58 | NR | USD | 23 | (2,373 | ) | (2,783 | ) | 410 | ||||||||||||||||||||||||
CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International plc | 09/17/58 | NR | USD | 21 | (2,167 | ) | (2,501 | ) | 334 | ||||||||||||||||||||||||
CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International plc | 09/17/58 | NR | USD | 10 | (1,032 | ) | (940 | ) | (92 | ) |
SCHEDULES OF INVESTMENTS | 51 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio |
Reference Obligation/Index | Financing Rate Received by the Fund | Payment Frequency | Counterparty | Termination Date | Credit Rating (a) | Notional Amount (000) (b) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||||
CMBX.NA.9.BBB- | 3.00 | % | Monthly | Morgan Stanley & Co. International plc | 09/17/58 | NR | USD | 5 | $ | (516 | ) | $ | (609 | ) | $ | 93 | ||||||||||||||||||||||
CMBX.NA.10.BBB- | 3.00 | Monthly | JP Morgan Securities LLC | 11/17/59 | NR | USD | 5 | (450 | ) | (431 | ) | (19 | ) | |||||||||||||||||||||||||
CMBX.NA.6.BBB- | 3.00 | Monthly | Credit Suisse International | 05/11/63 | NR | USD | 20 | (2,068 | ) | (1,587 | ) | (481 | ) | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
$ | (16,634 | ) | $ | (35,043 | ) | $ | 18,409 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
(a) | Using S&P’s rating of the issuer or the underlying securities of the index, as applicable. |
(b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Centrally Cleared Inflation Swaps
Paid by the Fund | Received by the Fund | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
Reference | Frequency | Rate | Frequency | |||||||||||||||||||||||||
Eurostat HICP Ex. Tobacco All Items Monthly | At Termination | 1.63% | At Termination | 06/15/28 | EUR | 660 | $ | 520 | $ | — | $ | 520 | ||||||||||||||||
|
|
|
|
|
|
OTC Total Return — Volatility Swaps
Reference Entity | Volatility Strike Price (a) | Counterparty | Termination Date | Notional Amount (000) | Value | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
USD Currency | 8.90 | % | Deutsche Bank AG | 02/26/19 | USD | 553 | $ | (1,828 | ) | $ | — | $ | (1,828 | ) | ||||||||||||||||||
USD Currency | 8.90 | Deutsche Bank AG | 02/26/19 | USD | 278 | (919 | ) | — | (919 | ) | ||||||||||||||||||||||
USD Currency | 8.73 | Deutsche Bank AG | 04/03/19 | USD | 553 | (908 | ) | — | (908 | ) | ||||||||||||||||||||||
USD Currency | 8.90 | Deutsche Bank AG | 04/03/19 | USD | 272 | (710 | ) | — | (710 | ) | ||||||||||||||||||||||
USD Currency | 8.90 | Deutsche Bank AG | 04/03/19 | USD | 272 | (710 | ) | — | (710 | ) | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (5,075 | ) | $ | — | $ | (5,075 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
(a) | At expiration, the Fund receives the difference between the realized volatility and predefined volatility strike price multiplied by the notional amount. |
Centrally Cleared Interest Rate Swaps
Paid by the Fund | Received by the Fund | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||||
7.36% | Monthly | 28 day MXIBTIIE | Monthly | N/A | 01/28/19 | MXN | 12,895 | $ | 3,366 | $ | — | $ | 3,366 | |||||||||||||||||||||||
28 day MXIBTIIE | Monthly | 7.66% | Monthly | N/A | 02/22/21 | MXN | 4,572 | (1,949 | ) | — | (1,949 | ) | ||||||||||||||||||||||||
7.11% | Monthly | 28 day MXIBTIIE | Monthly | N/A | 10/14/22 | MXN | 2,077 | 3,007 | — | 3,007 | ||||||||||||||||||||||||||
7.11% | Monthly | 28 day MXIBTIIE | Monthly | N/A | 10/14/22 | MXN | 1,575 | 2,267 | — | 2,267 | ||||||||||||||||||||||||||
28 day MXIBTIIE | Monthly | 7.94% | Monthly | N/A | 06/19/23 | MXN | 4,019 | 541 | — | 541 | ||||||||||||||||||||||||||
28 day MXIBTIIE | Monthly | 6.32% | Monthly | N/A | 07/17/25 | MXN | 2,027 | (8,941 | ) | — | (8,941 | ) | ||||||||||||||||||||||||
3 month LIBOR | Quarterly | 2.13% | Semi-Annual | N/A | 08/25/25 | USD | 65 | (2,906 | ) | — | (2,906 | ) | ||||||||||||||||||||||||
6 month EURIBOR | Semi-Annual | 0.94% | Annual | 09/10/18 | (a) | 08/15/27 | EUR | 4,070 | 57,669 | — | 57,669 | |||||||||||||||||||||||||
2.96% | Annual | 6 month WIBOR | Semi-Annual | N/A | 03/06/28 | PLN | 323 | (649 | ) | — | (649 | ) | ||||||||||||||||||||||||
7.64% | Quarterly | 3 month JIBAR | Quarterly | N/A | 03/06/28 | ZAR | 1,350 | 4,132 | — | 4,132 | ||||||||||||||||||||||||||
7.66% | Quarterly | 3 month JIBAR | Quarterly | N/A | 03/06/28 | ZAR | 1,370 | 4,058 | — | 4,058 | ||||||||||||||||||||||||||
2.94% | Semi-Annual | 3 month LIBOR | Quarterly | N/A | 03/14/28 | USD | 30 | (271 | ) | — | (271 | ) | ||||||||||||||||||||||||
2.89% | Semi-Annual | 3 month LIBOR | Quarterly | N/A | 03/19/28 | USD | 10 | (47 | ) | — | (47 | ) | ||||||||||||||||||||||||
7.90% | Quarterly | 3 month JIBAR | Quarterly | N/A | 06/20/28 | ZAR | 949 | 1,863 | — | 1,863 | ||||||||||||||||||||||||||
7.92% | Quarterly | 3 month JIBAR | Quarterly | N/A | 06/20/28 | ZAR | 1,130 | 2,089 | — | 2,089 | ||||||||||||||||||||||||||
7.93% | Quarterly | 3 month JIBAR | Quarterly | N/A | 06/20/28 | ZAR | 1,140 | 2,068 | — | 2,068 | ||||||||||||||||||||||||||
7.94% | Quarterly | 3 month JIBAR | Quarterly | N/A | 06/20/28 | ZAR | 1,640 | 2,851 | — | 2,851 | ||||||||||||||||||||||||||
7.94% | Quarterly | 3 month JIBAR | Quarterly | N/A | 06/20/28 | ZAR | 1,140 | 2,010 | — | 2,010 | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
$ | 71,158 | $ | — | $ | 71,158 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
(a) | Forwards Swap. |
52 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio |
OTC Interest Rate Swaps
Paid by the Fund | Received by the Fund | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||
4.85% | Monthly | 28 day MXIBTIIE | Monthly | Bank of America NA | 11/01/18 | MXN | 959 | $ | 606 | $ | — | $ | 606 | |||||||||||||||||||||
28 day MXIBTIIE | Monthly | 7.07% | Monthly | Citibank NA | 11/21/18 | MXN | 4,102 | (1,025 | ) | — | (1,025 | ) | ||||||||||||||||||||||
28 day MXIBTIIE | Monthly | 7.06% | Monthly | JP Morgan Chase Bank NA | 11/21/18 | MXN | 4,922 | (1,243 | ) | — | (1,243 | ) | ||||||||||||||||||||||
28 day MXIBTIIE | Monthly | 6.98% | Monthly | Citibank NA | 11/28/18 | MXN | 7,000 | (1,918 | ) | — | (1,918 | ) | ||||||||||||||||||||||
28 day MXIBTIIE | Monthly | 6.98% | Monthly | JP Morgan Chase Bank NA | 11/28/18 | MXN | 3,971 | (1,088 | ) | — | (1,088 | ) | ||||||||||||||||||||||
3.27% | Semi-Annual | 3 month LIBOR | Quarterly | Deutsche Bank AG | 05/16/21 | USD | 550 | (7,056 | ) | — | (7,056 | ) | ||||||||||||||||||||||
5.73% | Monthly | 28 day MXIBTIIE | Monthly | Bank of America NA | 01/03/25 | MXN | 940 | 5,313 | — | 5,313 | ||||||||||||||||||||||||
28 day MXIBTIIE | Monthly | 6.43% | Monthly | Bank of America NA | 06/06/25 | MXN | 836 | (3,425 | ) | — | (3,425 | ) | ||||||||||||||||||||||
28 day MXIBTIIE | Monthly | 6.33% | Monthly | Citibank NA | 07/17/25 | MXN | 1,010 | (4,441 | ) | — | (4,441 | ) | ||||||||||||||||||||||
6.31% | Monthly | 28 day MXIBTIIE | Monthly | Deutsche Bank AG | 08/11/25 | MXN | 3,807 | 17,097 | — | 17,097 | ||||||||||||||||||||||||
28 day MXIBTIIE | Monthly | 6.27% | Monthly | Bank of America NA | 12/05/25 | MXN | 116 | (552 | ) | — | (552 | ) | ||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
$ | 2,268 | $ | — | $ | 2,268 | |||||||||||||||||||||||||||||
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The following reference rates, and their values as of period end, are used for security descriptions:
Reference Index | Reference Rate | |||
28 day MXIBTIIE | Mexico Interbank TIIE 28-Day | 8.10% | ||
3 month JIBAR | Johannesburg Interbank Average Rate | 6.96% | ||
6 month EURIBOR | Euro Interbank Offered Rate | (0.27%) | ||
6 month WIBOR | Warsaw Interbank Offered Rate | 1.68% |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps, OTC Derivatives and Options Written
Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | Value | ||||||||||||||||
Centrally Cleared Swaps(a) | $ | — | $ | (17,957 | ) | $ | 88,453 | $ | (14,763 | ) | $ | — | ||||||||
OTC Derivatives | 56,273 | (40,209 | ) | 61,527 | (39,917 | ) | $ | — | ||||||||||||
Options Written | N/A | N/A | 10,479 | (11,955 | ) | (90,212 | ) |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the |
Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Net unrealized appreciation(a) | $ | — | $ | — | $ | 152,156 | $ | — | $ | 157,561 | $ | — | $ | 309,717 | ||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | — | — | 436,862 | — | — | 436,862 | |||||||||||||||||||||
Options purchased | ||||||||||||||||||||||||||||
Investments at value — unaffiliated(b) | — | — | — | 107,955 | 236,444 | — | 344,399 | |||||||||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Net unrealized appreciation(a) | — | 2,012 | — | — | 85,921 | 520 | 88,453 | |||||||||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized appreciation on OTC swaps; Swap premiums paid | — | 94,784 | — | — | 23,016 | — | 117,800 | |||||||||||||||||||||
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| |||||||||||||||
$ | — | $ | 96,796 | $ | 152,156 | $ | 544,817 | $ | 502,942 | $ | 520 | $ | 1,297,231 | |||||||||||||||
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SCHEDULES OF INVESTMENTS | 53 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Net unrealized depreciation(a) | $ | — | $ | — | $ | 54,437 | $ | — | $ | 983,092 | $ | — | $ | 1,037,529 | ||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | — | — | 216,483 | — | — | 216,483 | |||||||||||||||||||||
Options written | ||||||||||||||||||||||||||||
Options written, at value | — | — | — | 27,829 | 62,383 | — | 90,212 | |||||||||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Net unrealized depreciation(a) | — | — | — | — | 14,763 | — | 14,763 | |||||||||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized depreciation on OTC swaps; Swap premiums received | — | 54,303 | — | 5,075 | 20,748 | — | 80,126 | |||||||||||||||||||||
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$ | — | $ | 54,303 | $ | 54,437 | $ | 249,387 | $ | 1,080,986 | $ | — | $ | 1,439,113 | |||||||||||||||
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|
(a) | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
(b) | Includes options purchased at value as reported in the Schedule of Investments. |
For the six months ended June 30, 2018, the effect of derivative financial instruments in the Statements of Operations were as follows:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from: | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | 1,111,954 | $ | — | $ | 1,429,095 | $ | — | $ | 2,541,049 | ||||||||||||||
Forward foreign currency exchange contracts | — | — | — | 21,249 | — | — | 21,249 | |||||||||||||||||||||
Options purchased(a) | — | — | — | (226,648 | ) | (21,857 | ) | — | (248,505 | ) | ||||||||||||||||||
Options written | — | — | 12,085 | 148,508 | 180,405 | — | 340,998 | |||||||||||||||||||||
Swaps | — | (4,878 | ) | — | — | (129,558 | ) | (17,424 | ) | (151,860 | ) | |||||||||||||||||
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| |||||||||||||||
$ | — | $ | (4,878 | ) | $ | 1,124,039 | $ | (56,891 | ) | $ | 1,458,085 | $ | (17,424 | ) | $ | 2,502,931 | ||||||||||||
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Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | 93,499 | $ | — | $ | (258,514 | ) | $ | — | $ | (165,015 | ) | ||||||||||||
Forward foreign currency exchange contracts | — | — | — | 295,627 | — | — | 295,627 | |||||||||||||||||||||
Options purchased(b) | — | — | — | 102,076 | 83,946 | — | 186,022 | |||||||||||||||||||||
Options written | — | — | — | (72,348 | ) | (57,521 | ) | — | (129,869 | ) | ||||||||||||||||||
Swaps | — | 26,165 | — | (5,075 | ) | 180,634 | (3,922 | ) | 197,802 | |||||||||||||||||||
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| |||||||||||||||
$ | ��� | $ | 26,165 | $ | 93,499 | $ | 320,280 | $ | (51,455 | ) | $ | (3,922 | ) | $ | 384,567 | |||||||||||||
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(a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
(b) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts: | ||||
Average notional value of contracts — long | $ | 94,465,931 | ||
Average notional value of contracts — short | $ | 48,131,673 | ||
Forward foreign currency exchange contracts: | ||||
Average amounts purchased — in USD | $ | 13,455,062 | ||
Average amounts sold — in USD | $ | 6,124,024 | ||
Options: | ||||
Average value of option contracts purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. | $ | 115,112 | ||
Average value of option contracts written . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. | $ | 48,263 | ||
Average notional value of swaption contracts purchased . . . . . . . . . . . . . . . . . . . . . . | $ | 2,320,000 | ||
Average notional value of swaption contracts written . . . . . . . . . . . . . . . . . . . . . . . . .. | $ | 39,900,000 | ||
Credit default swaps: | ||||
Average notional value — buy protection | $ | 3,460,227 | ||
Average notional value — sell protection | $ | 2,834,482 | ||
Interest rate swaps: | ||||
Average notional value — pays fixed rate | $ | 3,493,572 | ||
Average notional value — receives fixed rate | $ | 6,406,800 | ||
Inflation swaps: | ||||
Average notional value — receives fixed rate | $ | 385,275 | ||
Total return swaps: | ||||
Average notional value | $ | 1,379,500 |
For more information about the Fund’s risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
54 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio |
Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
Assets | Liabilities | |||||||
Derivative Financial Instruments: | ||||||||
Futures contracts | $ | 26,580 | $ | — | ||||
Forward foreign currency exchange contracts | 436,862 | 216,483 | ||||||
Options(a) | 344,399 | 90,212 | ||||||
Swaps — Centrally cleared | — | 1,244 | ||||||
Swaps — OTC(b) | 117,800 | 80,126 | ||||||
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| |||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | $ | 925,641 | $ | 388,065 | ||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | (26,580 | ) | (1,244 | ) | ||||
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| |||||
Total derivative assets and liabilities subject to an MNA | $ | 899,061 | $ | 386,821 | ||||
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|
(a) | Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments. |
(b) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities. |
The following tables present the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
Counterparty | Derivative Assets Subject to an MNA by Counterparty | Derivatives Available for Offset (a) | Non-cash Collateral Received | Cash Collateral Received | Net Amount of Derivative Assets (b) | |||||||||||||||
Bank of America NA | $ | 12,545 | $ | (12,545 | ) | $ | — | $ | — | $ | — | |||||||||
Barclays Bank plc | 65,095 | (4,839 | ) | — | — | 60,256 | ||||||||||||||
BNP Paribas SA | 123,846 | (123,846 | ) | — | �� | — | — | |||||||||||||
Citibank NA | 89,152 | (16,357 | ) | — | — | 72,795 | ||||||||||||||
Citigroup Global Markets, Inc. | 394 | — | — | 394 | ||||||||||||||||
Credit Suisse International | 9,290 | (9,290 | ) | — | — | — | ||||||||||||||
Deutsche Bank AG | 114,239 | (40,907 | ) | — | — | 73,332 | ||||||||||||||
Goldman Sachs International | 50,027 | (27,862 | ) | — | — | 22,165 | ||||||||||||||
HSBC Bank plc | 42,615 | (10,287 | ) | — | — | 32,328 | ||||||||||||||
JP Morgan Chase Bank NA | 286,024 | (101,083 | ) | — | — | 184,941 | ||||||||||||||
JP Morgan Securities LLC | 2,068 | (450 | ) | — | — | 1,618 | ||||||||||||||
Morgan Stanley & Co. International plc | 83,443 | (20,452 | ) | — | — | 62,991 | ||||||||||||||
Nomura International PLC | 622 | (622 | ) | — | — | — | ||||||||||||||
Royal Bank of Canada | 19 | (19 | ) | — | — | — | ||||||||||||||
Royal Bank of Scotland | 5,315 | (3,154 | ) | — | — | 2,161 | ||||||||||||||
Standard Chartered Bank | 2,311 | (1,181 | ) | — | — | 1,130 | ||||||||||||||
State Street Bank and Trust Co. | 195 | — | — | — | 195 | |||||||||||||||
UBS AG | 11,861 | (2,159 | ) | — | — | 9,702 | ||||||||||||||
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| |||||||||||
$ | 899,061 | $ | (375,053 | ) | $ | — | $ | — | $ | 524,008 | ||||||||||
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| |||||||||||
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty | Derivatives Available for Offset (a) | Non-cash Collateral Pledged | Cash Collateral Pledged | Net Amount of Derivative Liabilities (c) | |||||||||||||||
Bank of America NA | $ | 15,330 | $ | (12,545 | ) | $ | — | $ | — | $ | 2,785 | |||||||||
Barclays Bank plc | 4,839 | (4,839 | ) | — | — | — | ||||||||||||||
BNP Paribas SA | 128,394 | (123,846 | ) | — | — | 4,548 | ||||||||||||||
Citibank NA | 16,357 | (16,357 | ) | — | — | — | ||||||||||||||
Credit Suisse International | 13,389 | (9,290 | ) | — | — | 4,099 | ||||||||||||||
Deutsche Bank AG | 40,907 | (40,907 | ) | — | — | — | ||||||||||||||
Goldman Sachs International | 27,862 | (27,862 | ) | — | — | — | ||||||||||||||
HSBC Bank plc | 10,287 | (10,287 | ) | — | — | — | ||||||||||||||
JP Morgan Chase Bank NA | 101,083 | (101,083 | ) | — | — | — | ||||||||||||||
JP Morgan Securities LLC | 450 | (450 | ) | — | — | — | ||||||||||||||
Morgan Stanley & Co. International plc | 20,452 | (20,452 | ) | — | — | — | ||||||||||||||
Nomura International plc | 728 | (622 | ) | — | — | 106 | ||||||||||||||
Royal Bank of Canada | 249 | (19 | ) | — | — | 230 | ||||||||||||||
Royal Bank of Scotland | 3,154 | (3,154 | ) | — | — | — | ||||||||||||||
Standard Chartered Bank | 1,181 | (1,181 | ) | — | — | — | ||||||||||||||
UBS AG | 2,159 | (2,159 | ) | — | — | — | ||||||||||||||
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| |||||||||||
$ | 386,821 | $ | (375,053 | ) | $ | — | $ | — | $ | 11,768 | ||||||||||
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|
|
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|
|
|
(a) | The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. |
(b) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable due to the counterparty in the event of default. |
SCHEDULES OF INVESTMENTS | 55 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Long-Term Investments: | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 20,732,273 | $ | 1,220,516 | $ | 21,952,789 | ||||||||
Common Stocks(a) | 300,409,785 | — | — | 300,409,785 | ||||||||||||
Corporate Bonds: | ||||||||||||||||
Aerospace & Defense | — | 1,182,412 | — | 1,182,412 | ||||||||||||
Air Freight & Logistics | — | 152,871 | — | 152,871 | ||||||||||||
Airlines | — | 752,080 | — | 752,080 | ||||||||||||
Auto Components | — | 211,777 | — | 211,777 | ||||||||||||
Automobiles | — | 890,784 | — | 890,784 | ||||||||||||
Banks | — | 11,779,932 | — | �� | 11,779,932 | |||||||||||
Beverages | — | 641,043 | — | 641,043 | ||||||||||||
Biotechnology | — | 932,995 | — | 932,995 | ||||||||||||
Building Products | — | 65,267 | — | 65,267 | ||||||||||||
Capital Markets | — | 2,073,373 | 2,000,000 | 4,073,373 | ||||||||||||
Chemicals | — | 101,436 | — | 101,436 | ||||||||||||
Commercial Services & Supplies | — | 158,018 | — | 158,018 | ||||||||||||
Communications Equipment | — | 78,907 | — | 78,907 | ||||||||||||
Consumer Finance | — | 2,859,226 | — | 2,859,226 | ||||||||||||
Containers & Packaging | — | 105,487 | — | 105,487 | ||||||||||||
Diversified Consumer Services | — | 295,940 | — | 295,940 | ||||||||||||
Diversified Financial Services | — | 650,913 | — | 650,913 | ||||||||||||
Diversified Telecommunication Services | — | 2,317,999 | — | 2,317,999 | ||||||||||||
Electric Utilities | — | 2,590,466 | — | 2,590,466 | ||||||||||||
Electrical Equipment | — | 47,574 | — | 47,574 | ||||||||||||
Electronic Equipment, Instruments & Components | — | 204,207 | — | 204,207 | ||||||||||||
Energy Equipment & Services | — | 283,117 | — | 283,117 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) | — | 676,847 | — | 676,847 | ||||||||||||
Food & Staples Retailing | — | 194,088 | — | 194,088 | ||||||||||||
Food Products | — | 126,636 | — | 126,636 | ||||||||||||
Health Care Equipment & Supplies | — | 970,225 | — | 970,225 | ||||||||||||
Health Care Providers & Services | — | 1,831,837 | — | 1,831,837 | ||||||||||||
Hotels, Restaurants & Leisure | — | 119,295 | — | 119,295 | ||||||||||||
Household Durables | — | 69,701 | — | 69,701 | ||||||||||||
Industrial Conglomerates | — | 120,145 | — | 120,145 | ||||||||||||
Insurance | — | 329,313 | — | 329,313 | ||||||||||||
IT Services | — | 466,921 | — | 466,921 | ||||||||||||
Life Sciences Tools & Services | — | 133,754 | — | 133,754 | ||||||||||||
Media | — | 2,077,267 | — | 2,077,267 | ||||||||||||
Metals & Mining | — | 258,831 | — | 258,831 | ||||||||||||
Multi-Utilities | — | 265,475 | — | 265,475 | ||||||||||||
Oil, Gas & Consumable Fuels | — | 3,994,051 | — | 3,994,051 | ||||||||||||
Paper & Forest Products | — | 45,068 | — | 45,068 | ||||||||||||
Pharmaceuticals | — | 1,028,774 | — | 1,028,774 | ||||||||||||
Road & Rail | — | 406,980 | — | 406,980 | ||||||||||||
Semiconductors & Semiconductor Equipment | — | 1,538,924 | — | 1,538,924 | ||||||||||||
Software | — | 1,290,505 | — | 1,290,505 | ||||||||||||
Specialty Retail | — | 114,393 | — | 114,393 | ||||||||||||
Technology Hardware, Storage & Peripherals | — | 699,100 | — | 699,100 | ||||||||||||
Thrifts & Mortgage Finance | — | — | — | — | ||||||||||||
Tobacco | — | 374,115 | — | 374,115 | ||||||||||||
Trading Companies & Distributors | — | 310,331 | — | 310,331 | ||||||||||||
Wireless Telecommunication Services | — | 966,212 | — | 966,212 | ||||||||||||
Foreign Agency Obligations | — | 380,390 | — | 380,390 | ||||||||||||
Foreign Government Obligations | — | 5,015,117 | — | 5,015,117 | ||||||||||||
Investment Companies | 2,029,754 | — | — | 2,029,754 | ||||||||||||
Municipal Bonds | — | 10,549,712 | — | 10,549,712 | ||||||||||||
Non-Agency Mortgage-Backed Securities | — | 12,154,088 | 1,225,111 | 13,379,199 |
56 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Balanced Capital Portfolio |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Other Interests | $ | — | $ | — | $ | — | $ | — | ||||||||
Preferred Securities: | ||||||||||||||||
Banks | 454,549 | — | — | 454,549 | ||||||||||||
Capital Markets | — | 87,055 | — | 87,055 | ||||||||||||
Consumer Finance | — | 14,381 | — | 14,381 | ||||||||||||
Industrial Conglomerates | — | 98,500 | — | 98,500 | ||||||||||||
Media | — | 80,800 | — | 80,800 | ||||||||||||
U.S. Government Sponsored Agency Securities | — | 58,056,093 | — | 58,056,093 | ||||||||||||
U.S. Treasury Obligations | — | 20,477,297 | — | 20,477,297 | ||||||||||||
Short-Term Securities: | ||||||||||||||||
Borrowed Bond Agreements | — | 754,618 | — | 754,618 | ||||||||||||
Certificates of Deposit | — | 2,210,979 | — | 2,210,979 | ||||||||||||
Commercial Paper | — | 1,411,009 | — | 1,411,009 | ||||||||||||
Foreign Government Obligations | — | 3,722,270 | — | 3,722,270 | ||||||||||||
Money Market Funds | 35,537,819 | — | — | 35,537,819 | ||||||||||||
Options Purchased: | ||||||||||||||||
Foreign currency exchange contracts | 352 | 107,603 | — | 107,955 | ||||||||||||
Interest rate contracts | — | 236,444 | — | 236,444 | ||||||||||||
Liabilities: | ||||||||||||||||
Borrowed Bonds | — | (750,492 | ) | — | (750,492 | ) | ||||||||||
TBA Sale Commitments | — | (11,270,594 | ) | — | (11,270,594 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Subtotal | $ | 338,432,259 | $ | 170,852,155 | $ | 4,445,627 | $ | 513,730,041 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Investments valued at NAV(b) | $ | 1,402,275 | ||||||||||||||
|
| |||||||||||||||
Total Investments | $ | 515,132,316 | ||||||||||||||
|
| |||||||||||||||
Derivative Financial Instruments(c) | ||||||||||||||||
Assets: | ||||||||||||||||
Credit contracts | $ | — | $ | 40,523 | $ | — | $ | 40,523 | ||||||||
Equity contracts | 152,156 | — | — | 152,156 | ||||||||||||
Foreign currency exchange contracts | — | 436,862 | — | 436,862 | ||||||||||||
Interest rate contracts | 157,561 | 108,937 | — | 266,498 | ||||||||||||
Other Contracts | — | 520 | — | 520 | ||||||||||||
Liabilities: | ||||||||||||||||
Credit contracts | — | (14,094 | ) | — | (14,094 | ) | ||||||||||
Equity contracts | (54,437 | ) | — | — | (54,437 | ) | ||||||||||
Foreign currency exchange contracts | (31 | ) | (249,356 | ) | — | (249,387 | ) | |||||||||
Interest rate contracts | (983,092 | ) | (97,894 | ) | — | (1,080,986 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (727,843 | ) | $ | 225,498 | $ | — | $ | (502,345 | ) | |||||||
|
|
|
|
|
|
|
|
(a) | See above Schedule of Investments for values in each industry or country. |
(b) | As of June 30, 2018, certain investments of the Fund were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
(c) | Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts, and options written. Swaps, futures contracts, and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
The Fund may hold liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $5,989,002 are categorized as level 2 within the disclosure hierarchy.
During the six months ended June 30, 2018, there were no transfers between Level 1 and Level 2.
See notes to financial statements.
SCHEDULES OF INVESTMENTS | 57 |
Schedule of Investments (unaudited) June 30, 2018 | BlackRock Capital Appreciation Portfolio (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Common Stocks — 98.4% |
| |||||||
Aerospace & Defense — 1.0% | ||||||||
TransDigm Group, Inc. | 5,673 | $ | 1,957,979 | |||||
|
| |||||||
Automobiles — 1.1% | ||||||||
Tesla, Inc.(a) | 6,043 | 2,072,447 | ||||||
|
| |||||||
Banks — 1.9% | ||||||||
Bank of America Corp. | 67,008 | 1,888,955 | ||||||
First Republic Bank | 18,082 | 1,750,157 | ||||||
|
| |||||||
3,639,112 | ||||||||
Beverages — 2.8% | ||||||||
Constellation Brands, Inc., Class A | 16,287 | 3,564,736 | ||||||
Dr Pepper Snapple Group, Inc. | 13,515 | 1,648,830 | ||||||
|
| |||||||
5,213,566 | ||||||||
Biotechnology — 0.9% | ||||||||
Vertex Pharmaceuticals, Inc.(a) | 10,147 | 1,724,584 | ||||||
|
| |||||||
Capital Markets — 3.0% | ||||||||
E*TRADE Financial Corp.(a) | 47,963 | 2,933,417 | ||||||
S&P Global, Inc. | 13,865 | 2,826,935 | ||||||
|
| |||||||
5,760,352 | ||||||||
Chemicals — 1.8% | ||||||||
DowDuPont, Inc. | 16,504 | 1,087,944 | ||||||
Sherwin-Williams Co. (The) | 5,606 | 2,284,837 | ||||||
|
| |||||||
3,372,781 | ||||||||
Construction Materials — 1.2% | ||||||||
Vulcan Materials Co. | 16,934 | 2,185,502 | ||||||
|
| |||||||
Diversified Financial Services — 1.2% | ||||||||
Berkshire Hathaway, Inc., Class B(a) | 12,415 | 2,317,260 | ||||||
|
| |||||||
Diversified Telecommunication Services — 0.4% | ||||||||
Zayo Group Holdings, Inc.(a) | 20,810 | 759,149 | ||||||
|
| |||||||
Electrical Equipment — 0.4% | ||||||||
Rockwell Automation, Inc. | 5,029 | 835,971 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.4% | ||||||||
SBA Communications Corp.(a) | 16,372 | 2,703,345 | ||||||
|
| |||||||
Food Products — 0.8% | ||||||||
Bunge Ltd. | 22,026 | 1,535,432 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 3.9% | ||||||||
Becton Dickinson and Co. | 16,087 | 3,853,802 | ||||||
Boston Scientific Corp.(a) | 109,340 | 3,575,418 | ||||||
|
| |||||||
7,429,220 | ||||||||
Health Care Providers & Services — 4.5% | ||||||||
UnitedHealth Group, Inc. | 35,041 | 8,596,959 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.1% | ||||||||
Domino’s Pizza, Inc. | 7,624 | 2,151,264 | ||||||
|
| |||||||
Household Durables — 0.7% | ||||||||
Mohawk Industries, Inc.(a) | 6,578 | 1,409,468 | ||||||
|
| |||||||
Industrial Conglomerates — 1.8% | ||||||||
Honeywell International, Inc. | 11,374 | 1,638,425 | ||||||
Roper Technologies, Inc. | 6,385 | 1,761,685 | ||||||
|
| |||||||
3,400,110 | ||||||||
Internet & Direct Marketing Retail — 15.5%(a) | ||||||||
Amazon.com, Inc. | 10,025 | 17,040,495 | ||||||
Booking Holdings, Inc. | 2,840 | 5,756,936 | ||||||
Netflix, Inc. | 16,847 | 6,594,421 | ||||||
|
| |||||||
29,391,852 |
Security | Shares | Value | ||||||
Internet Software & Services — 13.7% | ||||||||
Alibaba Group Holding Ltd., ADR(a)(b) | 7,109 | $ | 1,318,933 | |||||
Alphabet, Inc., Class A(a) | 8,416 | 9,503,263 | ||||||
Facebook, Inc., Class A(a) | 31,017 | 6,027,223 | ||||||
MercadoLibre, Inc. | 8,580 | 2,564,819 | ||||||
Tencent Holdings Ltd. | 130,100 | 6,533,024 | ||||||
|
| |||||||
25,947,262 | ||||||||
IT Services — 8.5% | ||||||||
Mastercard, Inc., Class A | 20,697 | 4,067,374 | ||||||
PayPal Holdings, Inc.(a) | 36,796 | 3,064,003 | ||||||
Visa, Inc., Class A | 67,677 | 8,963,819 | ||||||
|
| |||||||
16,095,196 | ||||||||
Life Sciences Tools & Services — 1.5% | ||||||||
Illumina, Inc.(a) | 10,175 | 2,841,776 | ||||||
|
| |||||||
Machinery — 0.2% | ||||||||
Xylem, Inc. | 4,255 | 286,702 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.0% | ||||||||
Pioneer Natural Resources Co. | 9,699 | 1,835,439 | ||||||
|
| |||||||
Pharmaceuticals — 0.9% | ||||||||
Zoetis, Inc. | 20,964 | 1,785,923 | ||||||
|
| |||||||
Professional Services — 3.0% | ||||||||
CoStar Group, Inc.(a)(b) | 8,111 | 3,346,842 | ||||||
Equifax, Inc. | 19,125 | 2,392,729 | ||||||
|
| |||||||
5,739,571 | ||||||||
Road & Rail — 1.8% | ||||||||
Union Pacific Corp. | 23,845 | 3,378,359 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.5% | ||||||||
ASML Holding NV (Registered), NYRS | 14,001 | 2,771,778 | ||||||
Broadcom, Inc. | 3,797 | 921,304 | ||||||
NVIDIA Corp.(b) | 12,584 | 2,981,150 | ||||||
|
| |||||||
6,674,232 | ||||||||
Software — 14.8% | ||||||||
Activision Blizzard, Inc. | 31,164 | 2,378,436 | ||||||
Adobe Systems, Inc.(a) | 17,809 | 4,342,012 | ||||||
Autodesk, Inc.(a) | 21,468 | 2,814,240 | ||||||
Electronic Arts, Inc.(a) | 25,441 | 3,587,690 | ||||||
Intuit, Inc. | 4,734 | 967,180 | ||||||
Microsoft Corp. | 109,678 | 10,815,348 | ||||||
salesforce.com, Inc.(a) | 23,127 | 3,154,523 | ||||||
|
| |||||||
28,059,429 | ||||||||
Specialty Retail — 3.0% | ||||||||
Home Depot, Inc. (The) | 11,164 | 2,178,096 | ||||||
Ulta Beauty, Inc.(a) | 15,382 | 3,591,082 | ||||||
|
| |||||||
5,769,178 | ||||||||
Textiles, Apparel & Luxury Goods — 1.1% | ||||||||
NIKE, Inc., Class B | 26,018 | 2,073,114 | ||||||
|
| |||||||
Total Common Stocks — 98.4% |
| 186,942,534 | ||||||
|
| |||||||
Preferred Stocks — 0.6%(a)(c)(d) |
| |||||||
Software — 0.6% | ||||||||
Palantir Technologies, Inc., Series I (Acquired 02/11/14, cost $1,152,906) | 188,076 | 1,087,079 | ||||||
|
| |||||||
Total Preferred Stocks — 0.6% |
| 1,087,079 | ||||||
|
| |||||||
Total Long-Term Investments — 99.0% |
| 188,029,613 | ||||||
|
|
58 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Capital Appreciation Portfolio (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Short-Term Securities — 4.5%(e)(g) |
| |||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.80% | 2,753,144 | $ | 2,753,144 | |||||
SL Liquidity Series, LLC, Money Market Series, | 5,744,551 | 5,745,126 | ||||||
|
| |||||||
Total Short-Term Securities — 4.5% |
| 8,498,270 | ||||||
|
| |||||||
Total Investments — 103.5% |
| 196,527,883 | ||||||
Liabilities in Excess of Other Assets — (3.5)% |
| (6,627,719 | ) | |||||
|
| |||||||
Net Assets — 100.0% |
| $ | 189,900,164 | |||||
|
|
(a) | Non-income producing security. |
(b) | Security, or a portion of the security, is on loan. |
(c) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $1,087,079, representing 0.57% of its net assets as of period end, and an original cost of $1,152,906. |
(d) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(e) | Annualized 7-day yield as of period end. |
(f) | Security was purchased with the cash collateral from loaned securities. |
(g) | During the six months ended June 30, 2018, investments in issuers considered to be affiliates of the Fund for the purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
Affiliates | Shares Held at 12/31/17 | Net Activity | Shares Held at 06/30/18 | Value at 06/30/18 | Income | Net Realized Gain (Loss) (a) | Change in Unrealized Appreciation Depreciation | |||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class | 221,423 | 2,531,721 | 2,753,144 | $ | 2,753,144 | $ | 9,044 | $ | — | $ | — | |||||||||||||||||
SL Liquidity Series, LLC, Money Market Series | 8,905,737 | (3,161,186 | ) | 5,744,551 | 5,745,126 | 11,800 | (b) | 543 | 322 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 8,498,270 | $ | 20,844 | $ | 543 | $ | 322 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
(a) | Includes net capital gain distributions, if applicable. |
(b) | Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
For Fund compliance purposes, the Fund’s industry classifications refer to 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 the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments. For information about the Fund’s policy regarding valuation of investments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s investments categorized in the disclosure hierarchy:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Long-Term Investments: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Aerospace & Defense | $ | 1,957,979 | $ | — | $ | — | $ | 1,957,979 | ||||||||
Automobiles | 2,072,447 | — | — | 2,072,447 | ||||||||||||
Banks | 3,639,112 | — | — | 3,639,112 | ||||||||||||
Beverages | 5,213,566 | — | — | 5,213,566 | ||||||||||||
Biotechnology | 1,724,584 | — | — | 1,724,584 | ||||||||||||
Capital Markets | 5,760,352 | — | — | 5,760,352 | ||||||||||||
Chemicals | 3,372,781 | — | — | 3,372,781 | ||||||||||||
Construction Materials | 2,185,502 | — | — | 2,185,502 | ||||||||||||
Diversified Financial Services | 2,317,260 | — | — | 2,317,260 | ||||||||||||
Diversified Telecommunication Services | 759,149 | — | — | 759,149 | ||||||||||||
Electrical Equipment | 835,971 | — | — | 835,971 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) | 2,703,345 | — | — | 2,703,345 | ||||||||||||
Food Products | 1,535,432 | — | — | 1,535,432 | ||||||||||||
Health Care Equipment & Supplies | 7,429,220 | — | — | 7,429,220 | ||||||||||||
Health Care Providers & Services | 8,596,959 | — | — | 8,596,959 | ||||||||||||
Hotels, Restaurants & Leisure | 2,151,264 | — | — | 2,151,264 | ||||||||||||
Household Durables | 1,409,468 | — | — | 1,409,468 | ||||||||||||
Industrial Conglomerates | 3,400,110 | — | — | 3,400,110 |
SCHEDULES OF INVESTMENTS | 59 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Capital Appreciation Portfolio |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Internet & Direct Marketing Retail | $ | 29,391,852 | $ | — | $ | — | $ | 29,391,852 | ||||||||
Internet Software & Services | 19,414,238 | 6,533,024 | — | 25,947,262 | ||||||||||||
IT Services | 16,095,196 | — | — | 16,095,196 | ||||||||||||
Life Sciences Tools & Services | 2,841,776 | — | — | 2,841,776 | ||||||||||||
Machinery | 286,702 | — | — | 286,702 | ||||||||||||
Oil, Gas & Consumable Fuels | 1,835,439 | — | — | 1,835,439 | ||||||||||||
Pharmaceuticals | 1,785,923 | — | — | 1,785,923 | ||||||||||||
Professional Services | 5,739,571 | — | — | 5,739,571 | ||||||||||||
Road & Rail | 3,378,359 | — | — | 3,378,359 | ||||||||||||
Semiconductors & Semiconductor Equipment | 6,674,232 | — | — | 6,674,232 | ||||||||||||
Software | 28,059,429 | — | — | 28,059,429 | ||||||||||||
Specialty Retail | 5,769,178 | — | — | 5,769,178 | ||||||||||||
Textiles, Apparel & Luxury Goods | 2,073,114 | — | — | 2,073,114 | ||||||||||||
Preferred Stocks | — | — | 1,087,079 | 1,087,079 | ||||||||||||
Short-Term Securities | 2,753,144 | — | — | 2,753,144 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Subtotal | $ | 183,162,654 | $ | 6,533,024 | $ | 1,087,079 | $ | 190,782,757 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Investments valued at NAV(a) | 5,745,126 | |||||||||||||||
|
| |||||||||||||||
Total Investments | $ | 196,527,883 | ||||||||||||||
|
|
(a) | As of June 30, 2018, certain investments of the Fund were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
During the six months ended June 30, 2018, there were no transfers between Level 1 and Level 2.
See notes to financial statements.
60 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) June 30, 2018 | BlackRock Global Allocation Portfolio (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Common Stocks — 57.9% |
| |||||||
Australia — 0.0% | ||||||||
AMP Ltd. | 509 | $ | 1,339 | |||||
Newcrest Mining Ltd. | 16 | 260 | ||||||
Ramsay Health Care Ltd. | 20 | 799 | ||||||
Rio Tinto Ltd. | 38 | 2,348 | ||||||
Rio Tinto plc | 72 | 3,968 | ||||||
South32 Ltd. | 271 | 724 | ||||||
Stockland | 424 | 1,246 | ||||||
Wesfarmers Ltd. | 137 | 4,998 | ||||||
Woolworths Group Ltd. | 173 | 3,907 | ||||||
|
| |||||||
19,589 | ||||||||
Belgium — 0.4% | ||||||||
Anheuser-Busch InBev SA | 8,204 | 827,496 | ||||||
|
| |||||||
Brazil — 0.5% | ||||||||
Azul SA, ADR(a)(b) | 35,455 | 580,044 | ||||||
Banco do Brasil SA(a) | 191 | 1,402 | ||||||
Banco Santander Brasil SA | 100 | 755 | ||||||
Hapvida Participacoes e Investimentos SA(a)(c) | 14,577 | 111,140 | ||||||
JBS SA | 928 | 2,203 | ||||||
Notre Dame Intermedica Participacoes SA(a) | 34,691 | 193,784 | ||||||
Vale SA(a) | 147 | 1,873 | ||||||
|
| |||||||
891,201 | ||||||||
Canada — 0.7% | ||||||||
Bank of Nova Scotia (The) | 33 | 1,869 | ||||||
Canadian Natural Resources Ltd. | 73 | 2,635 | ||||||
Enbridge, Inc. | 8,587 | 306,993 | ||||||
Encana Corp. | 56,602 | 738,656 | ||||||
Husky Energy, Inc. | 197 | 3,070 | ||||||
Imperial Oil Ltd. | 36 | 1,197 | ||||||
Manulife Financial Corp. | 84 | 1,509 | ||||||
Royal Bank of Canada | 100 | 7,530 | ||||||
Suncor Energy, Inc. | 82 | 3,337 | ||||||
Teck Resources Ltd., Class B | 159 | 4,050 | ||||||
Toronto-Dominion Bank (The) | 32 | 1,852 | ||||||
TransCanada Corp. | 7,533 | 325,925 | ||||||
|
| |||||||
1,398,623 | ||||||||
China — 1.3% | ||||||||
Agricultural Bank of China Ltd., Class H | 4,000 | 1,867 | ||||||
Alibaba Group Holding Ltd., ADR(a)(b) | 6,025 | 1,117,818 | ||||||
Autohome, Inc., ADR | 1 | 101 | ||||||
BAIC Motor Corp. Ltd., Class H(a)(c) | 2,000 | 1,904 | ||||||
Bank of China Ltd., Class H | 4,000 | 1,984 | ||||||
Beijing Capital International Airport Co. Ltd., Class H | 2,000 | 2,101 | ||||||
China Communications Services Corp. Ltd., Class H | 4,000 | 2,528 | ||||||
China Construction Bank Corp., Class H(a) | 4,000 | 3,660 | ||||||
China Mobile Ltd. | 500 | 4,436 | ||||||
CITIC Ltd. | 1,000 | 1,407 | ||||||
CNOOC Ltd. | 3,000 | 5,141 | ||||||
Country Garden Holdings Co. Ltd. | 1,000 | 1,753 | ||||||
Country Garden Services Holdings Co. Ltd.(a) | 114 | 146 | ||||||
Dongfeng Motor Group Co. Ltd., Class H | 2,000 | 2,108 | ||||||
Fosun International Ltd. | 500 | 937 | ||||||
Guangzhou Automobile Group Co. Ltd., Class H | 2,800 | 2,724 | ||||||
Industrial & Commercial Bank of China Ltd., Class H | 4,000 | 2,983 | ||||||
Momo, Inc., ADR(a) | 14 | 609 | ||||||
New Oriental Education & Technology Group, Inc., ADR | 38 | 3,597 | ||||||
Ping An Healthcare and Technology Co. Ltd. (Acquired 05/03/18, cost $238,094)(a)(c)(d)(e) | 33,756 | 207,645 | ||||||
SINA Corp.(a) | 47 | 3,980 | ||||||
Tencent Holdings Ltd. | 24,000 | 1,205,170 | ||||||
Want Want China Holdings Ltd. | 78,000 | 69,360 | ||||||
Yum China Holdings, Inc. | 25 | 961 |
Security | Shares | Value | ||||||
China (continued) | ||||||||
Zhejiang Expressway Co. Ltd., Class H | 2,000 | $ | 1,781 | |||||
|
| |||||||
2,646,701 | ||||||||
Czech Republic — 0.0% | ||||||||
CEZ A/S | 3,807 | 90,200 | ||||||
|
| |||||||
Denmark — 0.0% | ||||||||
Carlsberg A/S, Class B | 12 | 1,412 | ||||||
Danske Bank A/S | 80 | 2,492 | ||||||
Novo Nordisk A/S, Class B | 6 | 277 | ||||||
|
| |||||||
4,181 | ||||||||
Finland — 0.0% | ||||||||
Nokia OYJ | 910 | 5,220 | ||||||
|
| |||||||
France — 2.5% | ||||||||
AXA SA | 15,703 | 383,684 | ||||||
BNP Paribas SA | 62 | 3,835 | ||||||
Cie de Saint-Gobain | 130 | 5,791 | ||||||
Cie Generale des Etablissements Michelin SCA | 15 | 1,815 | ||||||
Credit Agricole SA | 99 | 1,314 | ||||||
Danone SA | 18,351 | 1,339,852 | ||||||
Dassault Aviation SA | 215 | 408,815 | ||||||
Eiffage SA | 397 | 43,131 | ||||||
Engie SA | 211 | 3,228 | ||||||
L’Oreal SA | 1 | 246 | ||||||
Safran SA | 10,565 | 1,279,473 | ||||||
Sanofi | 58 | 4,655 | ||||||
Societe Generale SA | 61 | 2,564 | ||||||
Sodexo SA | 7,329 | 731,611 | ||||||
TOTAL SA | 24 | 1,458 | ||||||
TOTAL SA, ADR | 345 | 20,893 | ||||||
Unibail-Rodamco-Westfield | 2,937 | 646,694 | ||||||
|
| |||||||
4,879,059 | ||||||||
Germany — 1.5% | ||||||||
adidas AG | 12 | 2,613 | ||||||
Allianz SE (Registered) | 11 | 2,267 | ||||||
BASF SE | 22 | 2,100 | ||||||
Bayer AG (Registered) | 13,218 | 1,451,648 | ||||||
Deutsche Post AG (Registered) | 96 | 3,119 | ||||||
Evonik Industries AG | 5 | 171 | ||||||
Fresenius Medical Care AG & Co. KGaA | 26 | 2,618 | ||||||
Fresenius SE & Co. KGaA | 18,385 | 1,471,989 | ||||||
GEA Group AG | 2,278 | 76,719 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | 5 | 1,051 | ||||||
SAP SE | 62 | 7,156 | ||||||
Siemens Healthineers AG(a)(c) | 41 | 1,690 | ||||||
|
| |||||||
3,023,141 | ||||||||
Hong Kong — 0.8% | ||||||||
CK Infrastructure Holdings Ltd. | 7,000 | 51,819 | ||||||
CLP Holdings Ltd. | 8,000 | 86,171 | ||||||
Hang Lung Properties Ltd. | 27,000 | 55,460 | ||||||
HKT Trust & HKT Ltd.(f) | 41,000 | 52,300 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 100 | 2,993 | ||||||
I-CABLE Communications Ltd.(a) | 7,664 | 120 | ||||||
Jardine Matheson Holdings Ltd. | 1,500 | 94,520 | ||||||
Link REIT | 9,000 | 82,074 | ||||||
Power Assets Holdings Ltd. | 6,500 | 45,443 | ||||||
Sino Land Co. Ltd. | 28,000 | 45,499 | ||||||
Sun Hung Kai Properties Ltd. | 57,666 | 868,792 | ||||||
Swire Pacific Ltd., Class A | 6,000 | 63,419 | ||||||
WH Group Ltd.(c) | 3,500 | 2,832 | ||||||
Wharf Holdings Ltd. (The) | 11,000 | 35,226 | ||||||
Wharf Real Estate Investment Co. Ltd. | 9,000 | 63,907 | ||||||
|
| |||||||
1,550,575 |
SCHEDULES OF INVESTMENTS | 61 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Global Allocation Portfolio (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
India — 1.5% | ||||||||
Aurobindo Pharma Ltd. | 115 | $ | 1,020 | |||||
Coal India Ltd. | 15,888 | 61,310 | ||||||
GAIL India Ltd. | 197 | 979 | ||||||
HCL Technologies Ltd. | 113 | 1,527 | ||||||
Hero MotoCorp Ltd. | 1,649 | 83,612 | ||||||
Hindustan Petroleum Corp. Ltd. | 1,018 | 3,863 | ||||||
Hindustan Unilever Ltd. | 166 | 3,976 | ||||||
Housing Development Finance Corp. Ltd. | 21,479 | 598,503 | ||||||
Indian Oil Corp. Ltd. | 555 | 1,268 | ||||||
Infosys Ltd. | 10 | 192 | ||||||
Kotak Mahindra Bank Ltd. | 22,979 | 450,976 | ||||||
Maruti Suzuki India Ltd. | 2,071 | 266,915 | ||||||
Oil & Natural Gas Corp. Ltd. | 21,377 | 49,422 | ||||||
Reliance Industries Ltd. | 66,350 | 942,696 | ||||||
State Bank of India(a) | 47,019 | 178,253 | ||||||
Tata Motors Ltd.(a) | 44 | 173 | ||||||
Titan Co. Ltd. | 39 | 500 | ||||||
Vedanta Ltd. | 227 | 783 | ||||||
Yes Bank Ltd. | 44,012 | 218,697 | ||||||
|
| |||||||
2,864,665 | ||||||||
Indonesia — 0.1% | ||||||||
Siloam International Hospitals Tbk. PT(a) | 293,132 | 106,814 | ||||||
|
| |||||||
Israel — 0.0% | ||||||||
Check Point Software Technologies Ltd.(a) | 21 | 2,051 | ||||||
|
| |||||||
Italy — 0.9% | ||||||||
Atlantia SpA | 12 | 354 | ||||||
Ei Towers SpA | 5,867 | 324,418 | ||||||
Enel SpA | 81,359 | 450,825 | ||||||
Eni SpA | 120 | 2,225 | ||||||
Intesa Sanpaolo SpA(b) | 304 | 879 | ||||||
Luxottica Group SpA | 8,567 | 551,593 | ||||||
RAI Way SpA(c) | 40,823 | 191,062 | ||||||
Snam SpA(b) | 6,762 | 28,180 | ||||||
Telecom Italia SpA(a) | 308,796 | 227,375 | ||||||
UniCredit SpA | 115 | 1,906 | ||||||
|
| |||||||
1,778,817 | ||||||||
Japan — 8.4% | ||||||||
Aisin Seiki Co. Ltd. | 4,420 | 201,254 | ||||||
Ajinomoto Co., Inc. | 25,700 | 486,477 | ||||||
Alfresa Holdings Corp. | 2,000 | 46,965 | ||||||
Alpine Electronics, Inc. | 1,400 | 28,868 | ||||||
Asahi Kasei Corp. | 25,000 | 317,036 | ||||||
Astellas Pharma, Inc. | 53,950 | 821,043 | ||||||
Bridgestone Corp. | 13,700 | 535,161 | ||||||
Canon Marketing Japan, Inc. | 1,700 | 35,409 | ||||||
COMSYS Holdings Corp. | 2,100 | 55,581 | ||||||
Daicel Corp. | 7,500 | 82,851 | ||||||
Daikin Industries Ltd. | 2,600 | 310,734 | ||||||
Daiwa House Industry Co. Ltd. | 100 | 3,402 | ||||||
Denso Corp. | 10,530 | 513,803 | ||||||
Dowa Holdings Co. Ltd. | 900 | 27,709 | ||||||
East Japan Railway Co. | 10,927 | 1,046,429 | ||||||
Exedy Corp. | 1,200 | 37,142 | ||||||
Fujitsu Ltd. | 1,000 | 6,052 | ||||||
GS Yuasa Corp. | 8,000 | 36,425 | ||||||
Hino Motors Ltd. | 3,600 | 38,388 | ||||||
Hitachi Chemical Co. Ltd. | 2,700 | 54,355 | ||||||
Hitachi Ltd. | 1,000 | 7,045 | ||||||
Hoya Corp. | 12,301 | 697,823 | ||||||
Inpex Corp. | 100 | 1,039 | ||||||
Japan Airlines Co. Ltd. | 24,800 | 878,691 | ||||||
Japan Aviation Electronics Industry Ltd. | 2,000 | 31,459 |
Security | Shares | Value | ||||||
Japan (continued) | ||||||||
Japan Post Holdings Co. Ltd. | 100 | $ | 1,094 | |||||
JFE Holdings, Inc. | 100 | 1,889 | ||||||
Kamigumi Co. Ltd. | 1,900 | 39,436 | ||||||
KDDI Corp. | 2,800 | 76,566 | ||||||
Keyence Corp. | 100 | 56,401 | ||||||
Kinden Corp. | 6,100 | 99,488 | ||||||
Koito Manufacturing Co. Ltd. | 4,200 | 277,423 | ||||||
Kuraray Co. Ltd. | 2,600 | 35,759 | ||||||
Kyudenko Corp. | 1,000 | 48,190 | ||||||
Mabuchi Motor Co. Ltd. | 1,400 | 66,448 | ||||||
Maeda Road Construction Co. Ltd. | 2,000 | 37,966 | ||||||
Medipal Holdings Corp. | 2,200 | 44,192 | ||||||
Mitsubishi Chemical Holdings Corp. | 100 | 835 | ||||||
Mitsubishi Electric Corp. | 71,400 | 947,329 | ||||||
Mitsubishi Tanabe Pharma Corp. | 100 | 1,727 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 400 | 2,266 | ||||||
Murata Manufacturing Co. Ltd. | 7,440 | 1,249,001 | ||||||
Nichias Corp. | 3,000 | 37,516 | ||||||
Nippo Corp. | 2,000 | 36,401 | ||||||
Nippon Telegraph & Telephone Corp. | 1,420 | 64,508 | ||||||
Nippon Television Holdings, Inc. | 4,500 | 75,847 | ||||||
Nitto Denko Corp. | 13,700 | 1,034,315 | ||||||
Nomura Holdings, Inc. | 300 | 1,452 | ||||||
Okumura Corp. | 2,254 | 73,368 | ||||||
Otsuka Holdings Co. Ltd. | 800 | 38,698 | ||||||
Panasonic Corp. | 100 | 1,348 | ||||||
Rakuten, Inc. | 400 | 2,700 | ||||||
Resona Holdings, Inc. | 500 | 2,665 | ||||||
Rohm Co. Ltd. | 5,560 | 464,619 | ||||||
Seino Holdings Co. Ltd. | 2,700 | 47,777 | ||||||
Seven & i Holdings Co. Ltd. | 700 | 30,531 | ||||||
Shimamura Co. Ltd. | 300 | 26,375 | ||||||
Shin-Etsu Chemical Co. Ltd. | 9,220 | 819,367 | ||||||
Shionogi & Co. Ltd. | 100 | 5,131 | ||||||
Sony Corp. | 100 | 5,121 | ||||||
Stanley Electric Co. Ltd. | 1,200 | 40,860 | ||||||
Subaru Corp. | 31,860 | 926,649 | ||||||
Suzuken Co. Ltd. | 1,000 | 42,289 | ||||||
Suzuki Motor Corp. | 17,861 | 984,286 | ||||||
Taisei Corp. | 100 | 5,507 | ||||||
Toagosei Co. Ltd. | 2,500 | 28,848 | ||||||
Toda Corp. | 11,000 | 95,526 | ||||||
Toho Co. Ltd. | 1,500 | 50,241 | ||||||
Tokio Marine Holdings, Inc. | 7,102 | 332,255 | ||||||
Tokyo Gas Co. Ltd. | 25,516 | 677,508 | ||||||
Tokyo Steel Manufacturing Co. Ltd. | 7,200 | 63,875 | ||||||
Toray Industries, Inc. | 26,900 | 212,318 | ||||||
Toyota Industries Corp. | 10,314 | 577,334 | ||||||
TV Asahi Holdings Corp. | 3,200 | 70,196 | ||||||
Ube Industries Ltd. | 13,560 | 352,090 | ||||||
Unicharm Corp. | 100 | 3,006 | ||||||
Yamato Kogyo Co. Ltd. | 1,400 | 42,233 | ||||||
|
| |||||||
16,559,911 | ||||||||
Luxembourg — 0.0% | ||||||||
ArcelorMittal | 17 | 496 | ||||||
|
| |||||||
Malaysia — 0.0% | ||||||||
Malaysia Airports Holdings Bhd. | 13,200 | 28,756 | ||||||
|
| |||||||
Mexico — 0.0% | ||||||||
Cemex SAB de CV(a) | 7,341 | 4,831 | ||||||
Grupo Financiero Banorte SAB de CV, Class O | 200 | 1,176 | ||||||
|
| |||||||
6,007 |
62 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Global Allocation Portfolio (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Netherlands — 2.4% | ||||||||
ABN AMRO Group NV, CVA(b)(c) | 17,605 | $ | 455,297 | |||||
ING Groep NV | 53,600 | 769,403 | ||||||
Koninklijke Ahold Delhaize NV | 57 | 1,361 | ||||||
Koninklijke DSM NV | 23 | 2,301 | ||||||
Koninklijke Philips NV | 40,568 | 1,718,784 | ||||||
Royal Dutch Shell plc, Class A | 28,746 | 997,606 | ||||||
Royal Dutch Shell plc, Class B | 218 | 7,807 | ||||||
Royal Dutch Shell plc, ADR, Class A | 11,632 | 805,283 | ||||||
|
| |||||||
4,757,842 | ||||||||
Norway — 0.0% | ||||||||
DNB ASA | 69 | 1,344 | ||||||
|
| |||||||
Poland — 0.0% | ||||||||
PGE Polska Grupa Energetyczna SA(a) | 1,048 | 2,605 | ||||||
Polski Koncern Naftowy ORLEN SA | 71 | 1,590 | ||||||
|
| |||||||
4,195 | ||||||||
Portugal — 0.1% | ||||||||
Jeronimo Martins SGPS SA | 1,987 | 28,621 | ||||||
NOS SGPS SA | 26,156 | 143,067 | ||||||
|
| |||||||
171,688 | ||||||||
Singapore — 0.2% | ||||||||
CapitaLand Ltd. | 143,800 | 332,825 | ||||||
ComfortDelGro Corp. Ltd. | 33,700 | 57,997 | ||||||
Genting Singapore Ltd. | 5,600 | 5,014 | ||||||
Singapore Telecommunications Ltd. | 32,000 | 72,250 | ||||||
|
| |||||||
468,086 | ||||||||
South Africa — 0.0% | ||||||||
Anglo American plc | 66 | 1,465 | ||||||
Kumba Iron Ore Ltd. | 9 | 193 | ||||||
MTN Group Ltd. | 80 | 629 | ||||||
Tiger Brands Ltd. | 128 | 3,092 | ||||||
|
| |||||||
5,379 | ||||||||
South Korea — 0.8% | ||||||||
Coway Co. Ltd. | 794 | 61,696 | ||||||
Doosan Bobcat, Inc. | 10,120 | 290,594 | ||||||
Hana Financial Group, Inc. | 54 | 2,074 | ||||||
Hyundai Mobis Co. Ltd. | 1 | 190 | ||||||
Industrial Bank of Korea | 151 | 2,082 | ||||||
KT&G Corp. | 4,387 | 421,525 | ||||||
LG Chem Ltd. | 295 | 88,296 | ||||||
LG Display Co. Ltd. | 12 | 197 | ||||||
Lotte Chemical Corp. | 3 | 935 | ||||||
POSCO | 319 | 94,124 | ||||||
Samsung Electronics Co. Ltd. | 10,905 | 456,806 | ||||||
Shinhan Financial Group Co. Ltd. | 5 | 194 | ||||||
SK Hynix, Inc. | 36 | 2,763 | ||||||
SK Innovation Co. Ltd. | 8 | 1,449 | ||||||
SK Telecom Co. Ltd. | 316 | 66,047 | ||||||
Woori Bank | 76 | 1,108 | ||||||
|
| |||||||
1,490,080 | ||||||||
Spain — 0.3% | ||||||||
Aena SME SA(c) | 33 | 5,975 | ||||||
Amadeus IT Group SA | 8 | 629 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 267 | 1,883 | ||||||
CaixaBank SA | 731 | 3,146 | ||||||
Cellnex Telecom SA(b)(c) | 24,523 | 616,544 | ||||||
Repsol SA | 108 | 2,108 | ||||||
|
| |||||||
630,285 | ||||||||
Sweden — 0.0% | ||||||||
Essity AB, Class B | 127 | 3,124 | ||||||
Sandvik AB | 145 | 2,561 |
Security | Shares | Value | ||||||
Sweden (continued) | ||||||||
Skandinaviska Enskilda Banken AB, Class A | 334 | $ | 3,161 | |||||
Volvo AB, Class B | 359 | 5,706 | ||||||
|
| |||||||
14,552 | ||||||||
Switzerland — 1.1% | ||||||||
Cie Financiere Richemont SA (Registered) | 9 | 761 | ||||||
Glencore plc(a) | 158 | 750 | ||||||
Nestle SA (Registered) | 15,183 | 1,176,695 | ||||||
Novartis AG (Registered) | 36 | 2,727 | ||||||
Roche Holding AG | 41 | 9,096 | ||||||
Swatch Group AG (The) (Registered) | 43 | 3,713 | ||||||
UBS Group AG (Registered)(a) | 67,612 | 1,036,517 | ||||||
|
| |||||||
2,230,259 | ||||||||
Taiwan — 0.8% | ||||||||
Cathay Financial Holding Co. Ltd. | 45,000 | 79,263 | ||||||
Cheng Shin Rubber Industry Co. Ltd. | 26,341 | 39,620 | ||||||
Chunghwa Telecom Co. Ltd. | 107,000 | 385,610 | ||||||
Far EasTone Telecommunications Co. Ltd.(a) | 65,000 | 167,906 | ||||||
Formosa Chemicals & Fibre Corp. | 18,000 | 71,627 | ||||||
Formosa Petrochemical Corp.(a) | 13,000 | 52,154 | ||||||
Formosa Plastics Corp. | 19,000 | 70,021 | ||||||
Fubon Financial Holding Co. Ltd. | 50,000 | 83,656 | ||||||
Hon Hai Precision Industry Co. Ltd.(a) | 30,200 | 82,297 | ||||||
Nan Ya Plastics Corp. | 24,000 | 68,548 | ||||||
Nanya Technology Corp. | 1,000 | 2,714 | ||||||
Taiwan Cooperative Financial Holding Co. Ltd. | 1,000 | 585 | ||||||
Taiwan Mobile Co. Ltd. | 56,000 | 202,881 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 12,000 | 85,213 | ||||||
Uni-President Enterprises Corp. | 45,000 | 114,067 | ||||||
|
| |||||||
1,506,162 | ||||||||
Thailand — 0.2% | ||||||||
Advanced Info Service PCL | 17,800 | 99,341 | ||||||
Intouch Holdings PCL, Class F | 44,800 | 72,352 | ||||||
PTT Global Chemical PCL | 37,500 | 82,547 | ||||||
Siam Cement PCL (The) | 5,400 | 67,426 | ||||||
Thai Oil PCL | 20,000 | 46,885 | ||||||
|
| |||||||
368,551 | ||||||||
Turkey — 0.0% | ||||||||
BIM Birlesik Magazalar A/S | 63 | 920 | ||||||
Eregli Demir ve Celik Fabrikalari TAS | 158 | 351 | ||||||
Turk Hava Yollari AO(a) | 506 | 1,492 | ||||||
|
| |||||||
2,763 | ||||||||
United Arab Emirates — 0.5% | ||||||||
NMC Health plc | 20,435 | 961,830 | ||||||
|
| |||||||
United Kingdom — 1.5% | ||||||||
Aviva plc | 142 | 942 | ||||||
Barclays plc | 246 | 608 | ||||||
Berkeley Group Holdings plc | 688 | 34,271 | ||||||
BP plc | 548 | 4,170 | ||||||
Diageo plc | 29 | 1,042 | ||||||
Experian plc | 15 | 370 | ||||||
GlaxoSmithKline plc | 267 | 5,383 | ||||||
GW Pharmaceuticals plc, ADR(a) | 910 | 126,981 | ||||||
HSBC Holdings plc | 93,483 | 873,538 | ||||||
Imperial Brands plc | 61 | 2,265 | ||||||
Legal & General Group plc | 877 | 3,068 | ||||||
Liberty Global plc, Class A(a) | 12,093 | 333,041 | ||||||
Lloyds Banking Group plc | 7,470 | 6,198 | ||||||
Prudential plc | 27 | 616 | ||||||
RELX plc | 12 | 256 | ||||||
SSE plc | 23 | 411 | ||||||
Unilever NV, CVA | 54 | 3,009 |
SCHEDULES OF INVESTMENTS | 63 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Global Allocation Portfolio (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
United Kingdom (continued) | ||||||||
Unilever plc | 37 | $ | 2,044 | |||||
Vodafone Group plc | 537,480 | 1,301,933 | ||||||
Vodafone Group plc, ADR | 9,574 | 232,744 | ||||||
|
| |||||||
2,932,890 | ||||||||
United States — 31.4% | ||||||||
AbbVie, Inc. | 410 | 37,987 | ||||||
Acadia Healthcare Co., Inc.(a)(b) | 8,630 | 353,053 | ||||||
Accenture plc, Class A | 261 | 42,697 | ||||||
Activision Blizzard, Inc. | 11 | 840 | ||||||
Adobe Systems, Inc.(a) | 228 | 55,589 | ||||||
Aetna, Inc. | 229 | 42,021 | ||||||
Agilent Technologies, Inc. | 31 | 1,917 | ||||||
Air Products & Chemicals, Inc. | 8,236 | 1,282,592 | ||||||
Allergan plc | 23 | 3,835 | ||||||
Alliance Data Systems Corp. | 45 | 10,494 | ||||||
Allstate Corp. (The) | 32 | 2,921 | ||||||
Ally Financial, Inc. | 545 | 14,317 | ||||||
Alphabet, Inc., Class A(a) | 10 | 11,292 | ||||||
Alphabet, Inc., Class C(a) | 1,924 | 2,146,511 | ||||||
Altria Group, Inc. | 14,329 | 813,744 | ||||||
Amazon.com, Inc.(a) | 1,313 | 2,231,837 | ||||||
Amdocs Ltd. | 534 | 35,345 | ||||||
American Express Co. | 2 | 196 | ||||||
American International Group, Inc. | 3 | 159 | ||||||
American Tower Corp. | 316 | 45,558 | ||||||
Ameriprise Financial, Inc. | 159 | 22,241 | ||||||
AmerisourceBergen Corp. | 4 | 341 | ||||||
Amgen, Inc. | 239 | 44,117 | ||||||
Anadarko Petroleum Corp. | 24,227 | 1,774,628 | ||||||
Anthem, Inc. | 6,422 | 1,528,629 | ||||||
Aon plc | 12 | 1,646 | ||||||
Apple, Inc. | 22,483 | 4,161,828 | ||||||
Applied Materials, Inc. | 67 | 3,095 | ||||||
AT&T, Inc. | 109 | 3,500 | ||||||
Automatic Data Processing, Inc. | 24 | 3,219 | ||||||
AutoZone, Inc.(a) | 3 | 2,013 | ||||||
Bank of America Corp. | 60,101 | 1,694,247 | ||||||
Bank of New York Mellon Corp. (The) | 312 | 16,826 | ||||||
Baxter International, Inc. | 1,159 | 85,581 | ||||||
BB&T Corp. | 4 | 202 | ||||||
Berkshire Hathaway, Inc., Class B(a) | 490 | 91,459 | ||||||
Biogen, Inc.(a) | 940 | 272,826 | ||||||
Boeing Co. (The) | 160 | 53,682 | ||||||
Booking Holdings, Inc.(a) | 1 | 2,027 | ||||||
Boston Scientific Corp.(a) | 52 | 1,700 | ||||||
Bristol-Myers Squibb Co. | 97 | 5,368 | ||||||
Broadcom, Inc. | 3 | 728 | ||||||
CA, Inc. | 78 | 2,781 | ||||||
Capital One Financial Corp. | 298 | 27,386 | ||||||
Cardinal Health, Inc. | 16 | 781 | ||||||
Carnival Corp. | 69 | 3,954 | ||||||
Caterpillar, Inc. | 102 | 13,838 | ||||||
Celgene Corp.(a) | 35 | 2,780 | ||||||
Charles Schwab Corp. (The) | 22,939 | 1,172,183 | ||||||
Charter Communications, Inc., Class A(a) | 4,930 | 1,445,525 | ||||||
Chevron Corp. | 177 | 22,378 | ||||||
Chubb Ltd. | 4,175 | 530,309 | ||||||
Cigna Corp. | 32 | 5,438 | ||||||
Cisco Systems, Inc. | 201 | 8,649 | ||||||
Citigroup, Inc. | 15,308 | 1,024,411 | ||||||
Cloudera, Inc.(a) | 31,066 | 423,740 | ||||||
CME Group, Inc. | 12 | 1,967 | ||||||
Coca-Cola Co. (The) | 69 | 3,026 | ||||||
Cognizant Technology Solutions Corp., Class A | 54 | 4,265 |
Security | Shares | Value | ||||||
United States (continued) | ||||||||
Colgate-Palmolive Co. | 766 | $ | 49,644 | |||||
Comcast Corp., Class A | 66,446 | 2,180,093 | ||||||
Conagra Brands, Inc. | 158 | 5,645 | ||||||
ConocoPhillips | 111 | 7,728 | ||||||
Constellation Brands, Inc., Class A | 177 | 38,740 | ||||||
Corning, Inc. | 116 | 3,191 | ||||||
Costco Wholesale Corp. | 78 | 16,300 | ||||||
Crown Holdings, Inc.(a) | 411 | 18,396 | ||||||
CSX Corp. | 143 | 9,121 | ||||||
Cummins, Inc. | 16 | 2,128 | ||||||
CVS Health Corp. | 20,547 | 1,322,199 | ||||||
Danaher Corp. | 18 | 1,776 | ||||||
Dave & Buster’s Entertainment, Inc.(a) | 3,962 | 188,591 | ||||||
Dell Technologies, Inc., Class V(a) | 41 | 3,468 | ||||||
Delta Air Lines, Inc. | 326 | 16,150 | ||||||
Discover Financial Services | 431 | 30,347 | ||||||
DISH Network Corp., Class A(a) | 1,731 | 58,179 | ||||||
Dollar General Corp. | 1,025 | 101,065 | ||||||
Domo, Inc., Class B(a) | 6,742 | 184,057 | ||||||
Domo Inc., Class B (Acquired 04/01/15-04/12/17, cost $469,893),(a)(d)(e) | 3,715 | 96,376 | ||||||
DowDuPont, Inc. | 27,853 | 1,836,070 | ||||||
Dropbox, Inc., Class A (Acquired 01/24/14, cost $695,990)(a)(d)(e) | 24,291 | 769,598 | ||||||
DXC Technology Co. | 20 | 1,612 | ||||||
Eaton Corp. plc | 7 | 523 | ||||||
eBay, Inc.(a) | 248 | 8,993 | ||||||
Edgewell Personal Care Co.(a)(b) | 9,230 | 465,746 | ||||||
Edwards Lifesciences Corp.(a) | 66 | 9,608 | ||||||
Electronic Arts, Inc.(a) | 269 | 37,934 | ||||||
Emerson Electric Co. | 9 | 622 | ||||||
Entergy Corp. | 16 | 1,293 | ||||||
Equity Residential | 37 | 2,357 | ||||||
Expedia Group, Inc. | 60 | 7,211 | ||||||
Express Scripts Holding Co.(a) | 68 | 5,250 | ||||||
Exxon Mobil Corp. | 5,180 | 428,541 | ||||||
Facebook, Inc., Class A(a) | 17,354 | 3,372,229 | ||||||
Fieldwood Energy, Inc.(a)(e) | 2,201 | 80,337 | ||||||
Fifth Third Bancorp | 10,540 | 302,498 | ||||||
FleetCor Technologies, Inc.(a) | 4,509 | 949,821 | ||||||
Ford Motor Co. | 82 | 908 | ||||||
Fortune Brands Home & Security, Inc. | 781 | 41,932 | ||||||
Franklin Resources, Inc. | 18 | 577 | ||||||
Freeport-McMoRan, Inc. | 76 | 1,312 | ||||||
General Dynamics Corp. | 84 | 15,658 | ||||||
General Electric Co. | 23,948 | 325,932 | ||||||
General Mills, Inc. | 58 | 2,567 | ||||||
General Motors Co. | 72 | 2,837 | ||||||
Gilead Sciences, Inc. | 15,422 | 1,092,494 | ||||||
Global Payments, Inc. | 852 | 94,989 | ||||||
Goldman Sachs Group, Inc. (The) | 136 | 29,998 | ||||||
Halliburton Co. | 51 | 2,298 | ||||||
Hartford Financial Services Group, Inc. (The)(b) | 1,100 | 56,243 | ||||||
HCA Healthcare, Inc. | 8,973 | 920,630 | ||||||
Helmerich & Payne, Inc.(b) | 315 | 20,084 | ||||||
Hewlett Packard Enterprise Co. | 194 | 2,834 | ||||||
Hilton Worldwide Holdings, Inc. | 11 | 871 | ||||||
Home Depot, Inc. (The) | 290 | 56,579 | ||||||
HP, Inc. | 259 | 5,877 | ||||||
Humana, Inc. | 7 | 2,083 | ||||||
Huntsman Corp. | 443 | 12,936 | ||||||
Hyatt Hotels Corp., Class A | 74 | 5,709 | ||||||
Illinois Tool Works, Inc. | 77 | 10,668 | ||||||
Ingersoll-Rand plc | 35 | 3,141 | ||||||
Intel Corp. | 816 | 40,563 | ||||||
International Business Machines Corp. | 4,682 | 654,075 |
64 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Global Allocation Portfolio (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
United States (continued) | ||||||||
International Paper Co. | 381 | $ | 19,842 | |||||
Intuit, Inc. | 230 | 46,990 | ||||||
Intuitive Surgical, Inc.(a) | 7 | 3,349 | ||||||
Jawbone Health Hub, Inc. (Acquired 01/24/17, cost $0)(a)(d)(e) | 6,968 | — | ||||||
Johnson & Johnson | 7,196 | 873,163 | ||||||
JPMorgan Chase & Co. | 4,755 | 495,471 | ||||||
Kimberly-Clark Corp. | 23 | 2,423 | ||||||
Kinder Morgan, Inc. | 148 | 2,615 | ||||||
KLA-Tencor Corp. | 293 | 30,041 | ||||||
Kohl’s Corp. | 263 | 19,173 | ||||||
Lam Research Corp. | 20 | 3,457 | ||||||
Las Vegas Sands Corp. | 89 | 6,796 | ||||||
Lear Corp. | 167 | 31,030 | ||||||
Liberty Broadband Corp., Class A(a) | 1,269 | 95,987 | ||||||
Liberty Broadband Corp., Class C(a) | 5,408 | 409,494 | ||||||
Liberty Media Corp.-Liberty SiriusXM, Class A(a) | 4,550 | 204,978 | ||||||
Liberty Media Corp.-Liberty SiriusXM, Class C(a) | 7,498 | 340,109 | ||||||
Lockheed Martin Corp. | 6 | 1,773 | ||||||
Lookout, Inc. (Acquired 03/04/15, | 1,457 | 291 | ||||||
Lowe’s Cos., Inc. | 1,056 | 100,922 | ||||||
M&T Bank Corp. | 7 | 1,191 | ||||||
Marathon Petroleum Corp. | 692 | 48,551 | ||||||
Marsh & McLennan Cos., Inc. | 6,366 | 521,821 | ||||||
Masco Corp. | 972 | 36,372 | ||||||
Mastercard, Inc., Class A | 567 | 111,427 | ||||||
McDonald’s Corp. | 146 | 22,877 | ||||||
McKesson Corp. | 114 | 15,208 | ||||||
Medtronic plc | 755 | 64,636 | ||||||
Merck & Co., Inc. | 1,041 | 63,189 | ||||||
MetLife, Inc. | 1,993 | 86,895 | ||||||
MGM Resorts International | 22,522 | 653,814 | ||||||
Micron Technology, Inc.(a) | 408 | 21,396 | ||||||
Microsoft Corp. | 36,605 | 3,609,619 | ||||||
Mohawk Industries, Inc.(a) | 4,502 | 964,644 | ||||||
Mondelez International, Inc., Class A | 1,405 | 57,605 | ||||||
Morgan Stanley | 25,931 | 1,229,129 | ||||||
NextEra Energy Partners LP(b) | 6,691 | 312,269 | ||||||
NextEra Energy, Inc. | 6,303 | 1,052,790 | ||||||
NIKE, Inc., Class B | 11 | 876 | ||||||
Norfolk Southern Corp. | 8 | 1,207 | ||||||
Northrop Grumman Corp. | 222 | 68,309 | ||||||
NVIDIA Corp. | 12 | 2,843 | ||||||
Occidental Petroleum Corp. | 25 | 2,092 | ||||||
Oracle Corp. | 1,525 | 67,192 | ||||||
O’Reilly Automotive, Inc.(a)(b) | 1,859 | 508,567 | ||||||
PACCAR, Inc. | 12 | 744 | ||||||
Packaging Corp. of America | 246 | 27,500 | ||||||
Paychex, Inc. | 9 | 615 | ||||||
PepsiCo, Inc. | 726 | 79,040 | ||||||
Perspecta, Inc. | 9 | 185 | ||||||
Pfizer, Inc. | 39,463 | 1,431,718 | ||||||
PG&E Corp. | 37 | 1,575 | ||||||
Philip Morris International, Inc. | 57 | 4,602 | ||||||
Phillips 66 | 311 | 34,928 | ||||||
Pioneer Natural Resources Co. | 1,417 | 268,153 | ||||||
Procter & Gamble Co. (The) | 14,715 | 1,148,653 | ||||||
Progressive Corp. (The) | 3 | 177 | ||||||
Prologis, Inc. | 52 | 3,416 | ||||||
Prudential Financial, Inc. | 230 | 21,507 | ||||||
Pure Storage, Inc., Class A(a) | 22,297 | 532,452 | ||||||
PVH Corp. | 127 | 19,014 | ||||||
QUALCOMM, Inc. | 22,992 | 1,290,311 | ||||||
Raytheon Co. | 335 | 64,715 | ||||||
Red Hat, Inc.(a) | 3 | 403 |
Security | Shares | Value | ||||||
United States (continued) | ||||||||
Reinsurance Group of America, Inc. | 185 | $ | 24,694 | |||||
Republic Services, Inc. | 5 | 342 | ||||||
Rockwell Automation, Inc. | 73 | 12,135 | ||||||
Ross Stores, Inc. | 233 | 19,747 | ||||||
Royal Caribbean Cruises Ltd. | 157 | 16,265 | ||||||
Schlumberger Ltd. | 4,291 | 287,626 | ||||||
Sempra Energy | 3,602 | 418,228 | ||||||
Snap, Inc., Class A(a)(b) | 26,704 | 349,555 | ||||||
St Joe Co. (The)(a) | 13,246 | 237,766 | ||||||
State Street Corp. | 168 | 15,639 | ||||||
Stryker Corp. | 437 | 73,792 | ||||||
SunTrust Banks, Inc. | 10,864 | 717,241 | ||||||
Symantec Corp. | 39 | 805 | ||||||
Sysco Corp. | 118 | 8,058 | ||||||
Target Corp. | 80 | 6,090 | ||||||
Tenet Healthcare Corp.(a) | 14,893 | 499,958 | ||||||
TESARO, Inc.(a)(b) | 2,876 | 127,896 | ||||||
Texas Instruments, Inc. | 42 | 4,631 | ||||||
Thermo Fisher Scientific, Inc. | 241 | 49,921 | ||||||
Travelers Cos., Inc. (The) | 624 | 76,340 | ||||||
Union Pacific Corp. | 16 | 2,267 | ||||||
United Continental Holdings, Inc.(a) | 12,349 | 861,096 | ||||||
United Rentals, Inc.(a) | 216 | 31,886 | ||||||
UnitedHealth Group, Inc. | 479 | 117,518 | ||||||
Valero Energy Corp. | 540 | 59,848 | ||||||
VeriSign, Inc.(a) | 319 | 43,837 | ||||||
Verizon Communications, Inc. | 1,180 | 59,366 | ||||||
VF Corp. | 66 | 5,380 | ||||||
Visa, Inc., Class A | 799 | 105,828 | ||||||
Vistra Energy Corp.(a) | 4,078 | 96,485 | ||||||
VMware, Inc., Class A(a) | 36 | 5,291 | ||||||
Vornado Realty Trust | 33 | 2,439 | ||||||
Walgreens Boots Alliance, Inc. | 54 | 3,241 | ||||||
Walmart, Inc. | 1,382 | 118,368 | ||||||
Walt Disney Co. (The) | 153 | 16,036 | ||||||
Waste Management, Inc. | 57 | 4,636 | ||||||
Wells Fargo & Co. | 9,242 | 512,376 | ||||||
Western Digital Corp. | 2,830 | 219,070 | ||||||
Weyerhaeuser Co. | 100 | 3,646 | ||||||
Williams Cos., Inc. (The) | 63,316 | 1,716,497 | ||||||
Wyndham Destinations, Inc. | 331 | 14,653 | ||||||
Wyndham Hotels & Resorts, Inc. | 231 | 13,590 | ||||||
Yum! Brands, Inc. | 77 | 6,023 | ||||||
Zynga, Inc., Class A(a) | 74,603 | 303,634 | ||||||
|
| |||||||
62,025,322 | ||||||||
|
| |||||||
Total Common Stocks — 57.9% |
| 114,254,731 | ||||||
|
|
Par (000) | ||||||||||||
Corporate Bonds — 2.5% |
| |||||||||||
Australia — 0.2% | ||||||||||||
Quintis Ltd., 8.75%, 08/01/23(a)(c)(g) | USD | 577 | 407,156 | |||||||||
|
| |||||||||||
Belgium — 0.1% | ||||||||||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||||||||||
3.50%, 01/12/24 | 90 | 89,444 | ||||||||||
4.00%, 04/13/28 | 145 | 144,663 | ||||||||||
|
| |||||||||||
234,107 | ||||||||||||
Chile — 0.0% | ||||||||||||
Inversiones Alsacia SA, 8.00%, 12/31/18(a)(c)(g) | 167 | 4,170 | ||||||||||
|
|
SCHEDULES OF INVESTMENTS | 65 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Global Allocation Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
China — 0.0% | ||||||||||||
China Milk Products Group Ltd., 0.00%, 01/05/12(a)(g)(h)(i) | USD | 300 | $ | 3,000 | ||||||||
|
| |||||||||||
France — 0.1% | ||||||||||||
Danone SA, 2.59%, 11/02/23(c) | 200 | 188,359 | ||||||||||
|
| |||||||||||
Germany — 0.2% | ||||||||||||
Bayer Capital Corp. BV, 5.63%, 11/22/19(c)(i) | EUR | 300 | 374,864 | |||||||||
|
| |||||||||||
India — 0.0% | ||||||||||||
REI Agro Ltd.(a)(e)(g)(i): | ||||||||||||
5.50%, 11/13/14(c) | USD | 220 | — | |||||||||
5.50%, 11/13/14 | 152 | — | ||||||||||
|
| |||||||||||
— | ||||||||||||
Italy — 0.1% | ||||||||||||
Telecom Italia SpA, 5.30%, 05/30/24(c) | 200 | 197,250 | ||||||||||
|
| |||||||||||
Luxembourg — 0.1% | ||||||||||||
Intelsat Jackson Holdings SA: | ||||||||||||
7.50%, 04/01/21 | 130 | 129,025 | ||||||||||
8.00%, 02/15/24(c) | 45 | 47,250 | ||||||||||
|
| |||||||||||
176,275 | ||||||||||||
Singapore — 0.1% | ||||||||||||
CapitaLand Ltd., 1.95%, 10/17/23(c)(i) | SGD | 250 | 181,881 | |||||||||
|
| |||||||||||
Switzerland — 0.1% | ||||||||||||
UBS Group Funding Switzerland AG, 4.13%, 09/24/25(c) | USD | 200 | 198,602 | |||||||||
|
| |||||||||||
Turkey — 0.1% | ||||||||||||
Bio City Development Co. BV, | 800 | 182,000 | ||||||||||
| �� | |||||||||||
United Arab Emirates — 0.2% | ||||||||||||
Dana Gas Sukuk Ltd., 7.00%, 10/31/17(a)(c)(g)(k) | 418 | 378,661 | ||||||||||
|
| |||||||||||
United States — 1.2% | ||||||||||||
AbbVie, Inc., 2.90%, 11/06/22 | 136 | 131,970 | ||||||||||
AliphCom (Acquired 04/27/15-07/21/15, cost $945,000), 15.00%, 04/28/20(a)(d)(e)(g)(i) | 945 | — | ||||||||||
AliphCom (Acquired 11/11/15, cost $48,000), 15.00%, 04/28/20(a)(d)(e)(g)(i) | 48 | — | ||||||||||
Allergan Funding SCS, 3.45%, 03/15/22 | 135 | 132,838 | ||||||||||
Allergan Sales LLC, 5.00%, 12/15/21(c) | 74 | 76,564 | ||||||||||
Ally Financial, Inc., 3.50%, 01/27/19 | 96 | 95,880 | ||||||||||
Amgen, Inc., 1.85%, 08/19/21 | 27 | 25,861 | ||||||||||
Apple, Inc.: | ||||||||||||
3.35%, 02/09/27 | 247 | 241,195 | ||||||||||
3.20%, 05/11/27 | 238 | 229,544 | ||||||||||
Bank of America Corp.: | ||||||||||||
(LIBOR USD 3 Month + 0.66%), 2.37%, 07/21/21(j) | 63 | 61,759 | ||||||||||
4.00%, 01/22/25 | 81 | 79,959 | ||||||||||
Becton Dickinson and Co.: | ||||||||||||
3.13%, 11/08/21 | 137 | 135,013 | ||||||||||
2.89%, 06/06/22 | 113 | 109,297 | ||||||||||
3.36%, 06/06/24 | 67 | 64,359 | ||||||||||
Citigroup, Inc., 2.45%, 01/10/20 | 139 | 137,439 | ||||||||||
CVS Health Corp., 3.70%, 03/09/23 | 575 | 572,084 | ||||||||||
eBay, Inc., 2.75%, 01/30/23 | 80 | 77,072 | ||||||||||
Edgewell Personal Care Co.: | ||||||||||||
4.70%, 05/19/21 | 73 | 72,817 | ||||||||||
4.70%, 05/24/22 | 75 | 73,313 | ||||||||||
General Motors Financial Co., Inc., 3.45%, 04/10/22 | 63 | 61,905 | ||||||||||
Hughes Satellite Systems Corp., 7.63%, 06/15/21 | 30 | 31,913 | ||||||||||
Sherwin-Williams Co. (The), 2.25%, 05/15/20 | 27 | 26,552 | ||||||||||
|
| |||||||||||
2,437,334 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds — 2.5% |
| 4,963,659 | ||||||||||
|
|
Security | Par (000) | Value | ||||||||||
Floating Rate Loan Interests — 0.2%(k) |
| |||||||||||
United States — 0.2% | ||||||||||||
Fieldwood Energy LLC, 2nd Lien Term Loan, (LIBOR USD 1 Month + 7.25%), 9.34%, 04/11/23 | USD | 75 | $ | 72,596 | ||||||||
Fieldwood Energy LLC, Term Loan, (LIBOR USD 1 Month + 5.25%), 7.34%, 04/11/22 | 56 | 55,706 | ||||||||||
Hilton Worldwide Finance LLC, 1st Lien Term Loan B2, (LIBOR USD 1 Month + 1.75%), 3.84%, 10/25/23 | 232 | 231,905 | ||||||||||
|
| |||||||||||
360,207 | ||||||||||||
|
| |||||||||||
Total Floating Rate Loan Interests — 0.2% |
| 360,207 | ||||||||||
|
| |||||||||||
Foreign Agency Obligations — 0.0% |
| |||||||||||
Mexico — 0.0% | ||||||||||||
Petroleos Mexicanos, (LIBOR USD 3 Month + 3.65%), 5.98%, 03/11/22(j) | 89 | 95,008 | ||||||||||
|
| |||||||||||
Total Foreign Agency Obligations — 0.0% |
| 95,008 | ||||||||||
|
| |||||||||||
Foreign Government Obligations — 5.8% |
| |||||||||||
Argentina — 0.8% | ||||||||||||
Republic of Argentina: | ||||||||||||
3.38%, 01/15/23 | EUR | 210 | 221,940 | |||||||||
7.50%, 04/22/26 | USD | 322 | 297,045 | |||||||||
6.88%, 01/26/27 | 254 | 223,520 | ||||||||||
5.88%, 01/11/28 | 450 | 365,625 | ||||||||||
7.82%, 12/31/33 | EUR | 347 | 403,090 | |||||||||
|
| |||||||||||
1,511,220 | ||||||||||||
Australia — 0.2% | ||||||||||||
Commonwealth of Australia, 3.00%, 03/21/47 | AUD | 606 | 439,453 | |||||||||
|
| |||||||||||
Brazil — 0.2% | ||||||||||||
Federative Republic of Brazil, 10.00%, 01/01/23 | BRL | 1 | 290,127 | |||||||||
|
| |||||||||||
Canada — 0.9% | ||||||||||||
Canadian Government Bond: | ||||||||||||
0.50%, 08/01/18 | CAD | 1,939 | 1,474,047 | |||||||||
0.75%, 03/01/21 | 476 | 350,563 | ||||||||||
|
| |||||||||||
1,824,610 | ||||||||||||
Germany — 2.2% | ||||||||||||
Federal Republic of Germany: | ||||||||||||
0.00%, 08/15/26 | EUR | 900 | 1,040,398 | |||||||||
0.50%, 02/15/28 | 2,751 | 3,270,792 | ||||||||||
|
| |||||||||||
4,311,190 | ||||||||||||
Japan — 0.6% | ||||||||||||
Government of Japan (2 year), 0.10%, 10/15/18 | JPY | 130,500 | 1,179,480 | |||||||||
|
| |||||||||||
Mexico — 0.9% | ||||||||||||
United Mexican States: | ||||||||||||
8.50%, 12/13/18 | MXN | 137 | 692,745 | |||||||||
6.50%, 06/10/21 | 96 | 467,958 | ||||||||||
6.50%, 06/09/22 | 135 | 653,136 | ||||||||||
|
| |||||||||||
1,813,839 | ||||||||||||
|
| |||||||||||
Total Foreign Government Obligations — 5.8% |
| 11,369,919 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
Investment Companies — 2.6%(a)(l) |
| |||||||||||
iShares Gold Trust(s) | 126,072 | 1,515,385 |
66 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Global Allocation Portfolio (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||||||
Investment Companies (continued) |
| |||||||||||
SPDR Gold Shares(m) | 30,587 | $ | 3,629,148 | |||||||||
|
| |||||||||||
Total Investment Companies — 2.6% |
| 5,144,533 | ||||||||||
|
| |||||||||||
Par (000) | ||||||||||||
Preferred Securities — 2.3% |
| |||||||||||
Capital Trusts — 0.8% | ||||||||||||
United Kingdom — 0.3%(k)(n) | ||||||||||||
HSBC Holdings plc, 6.37% | USD | 235 | 232,460 | |||||||||
Lloyds Bank plc, 13.00% | GBP | 155 | 360,926 | |||||||||
|
| |||||||||||
593,386 | ||||||||||||
United States — 0.5% | ||||||||||||
American Express Co., Series C, 4.90%(k)(n) | USD | 99 | 99,297 | |||||||||
Citigroup, Inc.(k)(n): | ||||||||||||
Series O, 5.87% | 328 | 335,987 | ||||||||||
Series Q, 5.95% | 130 | 133,900 | ||||||||||
Goldman Sachs Group, Inc. (The), Series M, 5.38%(k)(n) | 150 | 152,625 | ||||||||||
Morgan Stanley, Series H, 5.45%(k)(n) | 114 | 115,497 | ||||||||||
NBCUniversal Enterprise, Inc., 5.25%(c)(n) | 100 | 101,000 | ||||||||||
Prudential Financial, Inc.(k): | ||||||||||||
5.62%, 06/15/43 | 58 | 59,812 | ||||||||||
5.87%, 09/15/42 | 87 | 91,894 | ||||||||||
USB Capital IX, 3.50%(k)(n) | 42 | 38,062 | ||||||||||
|
| |||||||||||
1,128,074 | ||||||||||||
|
| |||||||||||
Total Capital Trusts — 0.8% |
| 1,721,460 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
Preferred Stocks — 1.0% | ||||||||||||
Brazil — 0.0%(a) | ||||||||||||
Centrais Eletricas Brasileiras SA (Preference), 0.00% | 100 | 354 | ||||||||||
Petroleo Brasileiro SA (Preference), 0.00% | 519 | 2,299 | ||||||||||
|
| |||||||||||
2,653 | ||||||||||||
South Korea — 0.0% | ||||||||||||
Samsung Electronics Co. Ltd. (Preference), 0.00%(a) | 50 | 1,689 | ||||||||||
|
| |||||||||||
United States — 1.0% | ||||||||||||
Grand Rounds, Inc., Series C (Acquired 03/31/15, | 46,081 | 115,663 | ||||||||||
Grand Rounds, Inc., Series D (Acquired 05/01/18, | 21,089 | 52,512 | ||||||||||
Lookout, Inc., Series F (Acquired 09/19/14-10/22/14, cost $243,061), | 21,278 | 177,671 | ||||||||||
Palantir Technologies, Inc., Series I (Acquired 02/11/14, cost $272,246), Series I, 0.00%(a)(d)(e) | 44,412 | 256,701 | ||||||||||
Uber Technologies, Inc., Series D (Acquired 06/06/14, cost $418,728), 0.00%(a)(d)(e) | 26,992 | 1,079,680 | ||||||||||
Wells Fargo & Co., Series L, 7.50%(i)(n) | 63 | 79,346 | ||||||||||
Welltower, Inc., Series I, 6.50%(i)(n) | 2,746 | 163,250 | ||||||||||
|
| |||||||||||
1,924,823 | ||||||||||||
|
| |||||||||||
Total Preferred Stocks — 1.0% |
| 1,929,165 | ||||||||||
|
|
Security | Shares | Value | ||||||||||
Trust Preferreds — 0.5% | ||||||||||||
China — 0.3% | ||||||||||||
Mandatory Exchangeable Trust, 5.75%, 06/01/19(c)(i) | 2,862 | $ | 597,102 | |||||||||
|
| |||||||||||
United States — 0.2%(k) | ||||||||||||
Citigroup Capital XIII, 8.73%, 10/30/40 | 6,601 | 178,887 | ||||||||||
GMAC Capital Trust I, 8.13%, 02/15/40 | 7,251 | 190,702 | ||||||||||
|
| |||||||||||
369,589 | ||||||||||||
|
| |||||||||||
Total Trust Preferreds — 0.5% |
| 966,691 | ||||||||||
|
| |||||||||||
Total Preferred Securities — 2.3% |
| 4,617,316 | ||||||||||
|
| |||||||||||
Rights — 0.0% |
| |||||||||||
Italy — 0.0% | ||||||||||||
Intesa Sanpaolo SpA(a)(b) | 304 | — | ||||||||||
|
| |||||||||||
Spain — 0.0% | ||||||||||||
Repsol SA(a) | 108 | 61 | ||||||||||
|
| |||||||||||
Total Rights — 0.0% |
| 61 | ||||||||||
|
| |||||||||||
Par (000) | ||||||||||||
U.S. Treasury Obligations — 18.9% |
| |||||||||||
U.S. Treasury Notes: | ||||||||||||
1.25%, 12/15/18(l) | USD | 1,746 | 1,738,781 | |||||||||
1.13%, 07/31/21 | 408 | 389,768 | ||||||||||
2.63%, 02/28/23 | 4,804 | 4,784,472 | ||||||||||
2.75%, 04/30/23 - 02/15/28(m) | 18,639 | 18,585,085 | ||||||||||
2.88%, 05/31/25 - 05/15/28 | 11,737 | 11,778,707 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations — 18.9% |
| 37,276,813 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
Warrants — 0.0% |
| |||||||||||
Australia — 0.0% | ||||||||||||
Quintis Ltd. (Issued/exercisable 08/01/11, 1 share for 1 warrant, Expires 07/15/18, Strike Price AUD 1.00)(a)(e) | 124,320 | 1 | ||||||||||
|
| |||||||||||
Total Warrants — 0.0% |
| 1 | ||||||||||
|
| |||||||||||
Total Long-Term Investments — 90.2% |
| 178,082,248 | ||||||||||
|
| |||||||||||
Short-Term Securities — 14.2% |
| |||||||||||
Par (000) | ||||||||||||
Foreign Government Obligations — 1.0%(o) |
| |||||||||||
Japan — 1.0% | ||||||||||||
Japan Treasury Bill: | ||||||||||||
(0.15)%, 09/10/18 | JPY | 132,600 | 1,197,962 | |||||||||
(0.14)%, 10/01/18 | 83,250 | 752,174 | ||||||||||
|
| |||||||||||
1,950,136 | ||||||||||||
|
| |||||||||||
Total Foreign Government Obligations — 1.0% |
| 1,950,136 | ||||||||||
|
|
SCHEDULES OF INVESTMENTS | 67 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Global Allocation Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Money Market Funds — 3.6%(p)* |
| |||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.80% | USD | 2,729,849 | $ | 2,729,849 | ||||||||
SL Liquidity Series, LLC, Money Market Series, 2.16%(q) | 4,402,145 | 4,402,586 | ||||||||||
|
| |||||||||||
Total Money Market Funds — 3.6% |
| 7,132,435 | ||||||||||
|
| |||||||||||
Time Deposits — 0.0% |
| |||||||||||
Australia — 0.0% | ||||||||||||
Brown Brothers Harriman & Co., %, 07/02/18 | AUD | — | (r) | 3 | ||||||||
|
| |||||||||||
Canada — 0.0% | ||||||||||||
Brown Brothers Harriman & Co., %, 07/03/18 | CAD | 1 | 949 | |||||||||
|
| |||||||||||
Europe — 0.0% | ||||||||||||
BNP Paribas SA, %, 07/02/18 | EUR | 26 | 30,200 | |||||||||
|
| |||||||||||
Hong Kong — 0.0% | ||||||||||||
Brown Brothers Harriman & Co., %, 07/03/18 | HKD | 1 | 175 | |||||||||
|
| |||||||||||
Japan — 0.0% | ||||||||||||
Sumitomo, %, 07/02/18 | JPY | 6,953 | 62,803 | |||||||||
|
| |||||||||||
Switzerland — 0.0% | ||||||||||||
Brown Brothers Harriman & Co, %, 07/02/18 | CHF | — | (r) | 191 | ||||||||
|
| |||||||||||
United Kingdom — 0.0% | ||||||||||||
Brown Brothers Harriman & Co., %, 07/02/18 | GBP | — | (r) | 266 | ||||||||
|
| |||||||||||
United States — 0.0% | ||||||||||||
Brown Brothers Harriman & Co., %, 07/02/18 | USD | 3 | 3,263 | |||||||||
|
| |||||||||||
Total Time Deposits — 0.0% |
| 97,850 | ||||||||||
|
| |||||||||||
U.S. Treasury Obligations — 9.6% |
| |||||||||||
U.S. Treasury Bills:(o) | ||||||||||||
1.73%, 07/19/18 | USD | 17,000 | 16,986,051 | |||||||||
1.80%, 07/26/18 | 1,000 | 998,848 | ||||||||||
1.82%, 08/02/18 | 1,000 | 998,442 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations — 9.6% |
| 18,983,341 | ||||||||||
|
| |||||||||||
Total Short-Term Securities — 14.2% |
| 28,163,762 | ||||||||||
|
| |||||||||||
Total Options Purchased — 0.2% |
| 460,622 | ||||||||||
|
| |||||||||||
Total Investments Before Options Written and Investments Sold Short — 104.6% |
| 206,706,632 | ||||||||||
|
| |||||||||||
Total Options Written — (0.4)% |
| (714,047 | ) | |||||||||
|
| |||||||||||
Investments Sold Short — (0.4)% |
| |||||||||||
Shares | ||||||||||||
Common Stocks — (0.4)% |
| |||||||||||
France — (0.1)% | ||||||||||||
Pernod Ricard SA | 600 | (97,923 | ) | |||||||||
|
| |||||||||||
Japan — (0.1)% | ||||||||||||
Yaskawa Electric Corp. | 2,800 | (98,602 | ) | |||||||||
|
|
Security | Shares | Value | ||||||||||
United States — (0.2)% | ||||||||||||
Estee Lauder Cos., Inc. (The), Class A | 1,015 | $ | (144,830 | ) | ||||||||
LyondellBasell Industries NV, Class A | 3,150 | (346,028 | ) | |||||||||
|
| |||||||||||
(490,858 | ) | |||||||||||
|
| |||||||||||
Total Common Stocks — (0.4)% |
| (687,383 | ) | |||||||||
|
| |||||||||||
Total Investments Sold Short — (0.4)% |
| (687,383 | ) | |||||||||
|
| |||||||||||
Total Investments Net of Options Written and Investments Sold Short — 103.8% |
| 205,305,202 | ||||||||||
Liabilities in Excess of Other Assets — (3.8)% |
| (7,903,162 | ) | |||||||||
|
| |||||||||||
Net Assets — 100.0% |
| $ | 197,402,040 | |||||||||
|
|
(a) | Non-income producing security. |
(b) | Security, or a portion of the security, is on loan. |
(c) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(d) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $2,756,137, representing 1.40% of its net assets as of period end, and an original cost of $3,526,711. |
(e) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(f) | A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately. |
(g) | Issuer filed for bankruptcy and/or is in default. |
(h) | Zero-coupon bond. |
(i) | Convertible security. |
(j) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(k) | Variable rate security. Rate shown is the rate in effect as of period end. |
(l) | All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Consolidated Financial Statements for details on the wholly-owned subsidiary. |
(m) | All or a portion of security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
(n) | Perpetual security with no stated maturity date. |
(o) | Rates are discount rates or a range of discount rates at the time of purchase. |
(p) | Annualized 7-day yield as of period end. |
(q) | Security was purchased with the cash collateral from loaned securities. |
(r) | Amount is less than $500. |
68 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Global Allocation Portfolio |
(s) | During the six month ended June 30, 2018, investments in issuers considered to be affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, and/or related parties of the fund were as follows: |
Affiliate | Shares Held at 12/31/17 | Shares Purchased | Shares Sold | Shares Held at 06/30/18 | Value at 06/30/18 | Income | Net Realized Gain (Loss) (a) | Change in Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class | 8,343,679 | — | (5,613,830 | )(b) | 2,729,849 | $ | 2,729,849 | $ | 44,138 | $ | — | $ | — | |||||||||||||||||||
SL Liquidity Series, LLC, Money Market Series | 4,119,672 | 282,473 | (c) | — | 4,402,145 | 4,402,586 | 11,107 | (d) | 954 | 105 | ||||||||||||||||||||||
iShares Gold Trust | 55,980 | 70,092 | — | 126,072 | 1,515,385 | — | — | (89,508 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 8,647,820 | $ | 55,245 | $ | 954 | $ | (89,403 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
(a) | Includes capital gain distribution, if applicable. |
(b) | Represents net shares sold. |
(c) | Represents net shares purchased. |
(d) | Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ (Depreciation) | ||||||||||||
Short Contracts | ||||||||||||||||
Yen Denominated Nikkei 225 Index | 3 | 09/13/18 | 301 | $ | 6,840 | |||||||||||
EURO STOXX 50 Index | 2 | 09/21/18 | 79 | 1,905 | ||||||||||||
FTSE 100 Index | 1 | 09/21/18 | 100 | 654 | ||||||||||||
NASDAQ 100 Emini Index | 7 | 09/21/18 | 989 | 15,916 | ||||||||||||
S&P 500 E-Mini Index | 4 | 09/21/18 | 544 | 9,518 | ||||||||||||
|
| |||||||||||||||
$ | 34,833 | |||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
USD | 62,770 | JPY | 6,943,000 | JP Morgan Chase Bank NA | 07/05/18 | $ | 51 | |||||||||||||
USD | 684,361 | EUR | 578,000 | UBS AG | 07/12/18 | 8,940 | ||||||||||||||
USD | 890,589 | JPY | 96,856,000 | Deutsche Bank AG | 07/12/18 | 15,245 | ||||||||||||||
USD | 527,639 | AUD | 681,000 | Deutsche Bank AG | 07/13/18 | 23,663 | ||||||||||||||
USD | 1,065,690 | EUR | 900,000 | Deutsche Bank AG | 07/13/18 | 13,916 | ||||||||||||||
USD | 889,217 | JPY | 96,609,000 | BNP Paribas SA | 07/19/18 | 15,680 | ||||||||||||||
USD | 1,066,247 | EUR | 900,000 | Goldman Sachs International | 07/20/18 | 13,912 | ||||||||||||||
USD | 345,453 | AUD | 454,000 | Goldman Sachs International | 07/26/18 | 9,446 | ||||||||||||||
USD | 1,102,968 | EUR | 900,000 | BNP Paribas SA | 07/27/18 | 50,071 | ||||||||||||||
USD | 1,103,836 | EUR | 900,000 | UBS AG | 08/03/18 | 50,375 | ||||||||||||||
USD | 328,995 | EUR | 277,000 | JP Morgan Chase Bank NA | 08/20/18 | 4,324 | ||||||||||||||
USD | 497,000 | BRL | 1,920,110 | BNP Paribas SA | 09/06/18 | 5,095 | ||||||||||||||
USD | 1,211,076 | JPY | 132,600,000 | Barclays Bank plc | 09/10/18 | 7,521 | ||||||||||||||
|
| |||||||||||||||||||
218,239 | ||||||||||||||||||||
|
| |||||||||||||||||||
EUR | 578,000 | USD | 717,523 | UBS AG | 07/12/18 | (42,103 | ) | |||||||||||||
JPY | 96,856,000 | USD | 907,929 | Deutsche Bank AG | 07/12/18 | (32,584 | ) | |||||||||||||
AUD | 681,000 | USD | 509,391 | Deutsche Bank AG | 07/13/18 | (5,416 | ) | |||||||||||||
EUR | 900,000 | USD | 1,126,062 | Deutsche Bank AG | 07/13/18 | (74,288 | ) | |||||||||||||
JPY | 96,609,000 | USD | 906,931 | BNP Paribas SA | 07/19/18 | (33,394 | ) | |||||||||||||
EUR | 900,000 | USD | 1,126,615 | Goldman Sachs International | 07/20/18 | (74,280 | ) | |||||||||||||
ZAR | 8,457,538 | USD | 633,329 | Barclays Bank plc | 07/20/18 | (18,135 | ) | |||||||||||||
EUR | 900,000 | USD | 1,127,493 | BNP Paribas SA | 07/27/18 | (74,596 | ) | |||||||||||||
NOK | 3,196,000 | USD | 402,099 | Morgan Stanley & Co. International plc | 07/27/18 | (9,293 | ) | |||||||||||||
PLN | 1,769,000 | USD | 508,743 | Goldman Sachs International | 08/02/18 | (36,267 | ) | |||||||||||||
EUR | 900,000 | USD | 1,127,949 | UBS AG | 08/03/18 | (74,488 | ) |
SCHEDULES OF INVESTMENTS | 69 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Global Allocation Portfolio |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
GBP | 380,000 | USD | 516,935 | JP Morgan Chase Bank NA | 08/10/18 | $ | (14,543 | ) | ||||||||||||
GBP | 379,000 | USD | 513,814 | Barclays Bank plc | 08/16/18 | (12,607 | ) | |||||||||||||
EUR | 203,786 | USD | 241,492 | JP Morgan Chase Bank NA | 08/20/18 | (2,635 | ) | |||||||||||||
GBP | 392,000 | USD | 529,015 | JP Morgan Chase Bank NA | 08/23/18 | (10,452 | ) | |||||||||||||
GBP | 657,000 | USD | 879,041 | Deutsche Bank AG | 09/14/18 | (9,074 | ) | |||||||||||||
GBP | 656,000 | USD | 875,449 | Deutsche Bank AG | 09/21/18 | (6,543 | ) | |||||||||||||
SEK | 4,338,945 | EUR | 420,000 | Goldman Sachs International | 09/21/18 | (6,036 | ) | |||||||||||||
GBP | 657,000 | USD | 876,919 | Goldman Sachs International | 09/28/18 | (6,425 | ) | |||||||||||||
SEK | 4,286,745 | EUR | 415,000 | Barclays Bank plc | 09/28/18 | (6,025 | ) | |||||||||||||
USD | 756,365 | JPY | 83,250,000 | Bank of America NA | 10/01/18 | (427 | ) | |||||||||||||
GBP | 654,000 | USD | 873,417 | JP Morgan Chase Bank NA | 10/05/18 | (6,612 | ) | |||||||||||||
|
| |||||||||||||||||||
(556,223 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Net Unrealized Depreciation | $ | (337,984 | ) | |||||||||||||||||
|
|
Exchange-Traded Options Purchased
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | |||||||||||||||||||
Call | ||||||||||||||||||||||||
SPDR Gold Shares Index(a) | 41 | 07/20/18 | USD | 128.00 | USD | 486 | $ | 103 | ||||||||||||||||
|
|
(a) | All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly-owned subsidiary. |
OTC Options Purchased
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||
SPDR Gold Shares Index(a) | JP Morgan Chase Bank NA | 2,444 | 07/20/18 | USD | 129.00 | USD | 290 | $ | 61 | |||||||||||||||||||||
SPDR Gold Shares Index(a) | JP Morgan Chase Bank NA | 2,461 | 07/20/18 | USD | 130.00 | USD | 292 | 37 | ||||||||||||||||||||||
SPDR Gold Shares Index(a) | Societe Generale SA | 8,171 | 08/17/18 | USD | 129.00 | USD | 969 | 2,190 | ||||||||||||||||||||||
EURO STOXX 50 Index | Deutsche Bank AG | 77 | 09/21/18 | EUR | 3,426.55 | EUR | 261 | 6,616 | ||||||||||||||||||||||
Russell 2000 Index | Bank of America NA | 404 | 12/21/18 | USD | 1,700.00 | USD | 664 | 20,766 | ||||||||||||||||||||||
Chevron Corp. | UBS AG | 5,390 | 01/18/19 | USD | 125.00 | USD | 681 | 44,198 | ||||||||||||||||||||||
Exxon Mobil Corp. | UBS AG | 3,664 | 01/18/19 | USD | 95.00 | USD | 303 | 2,913 | ||||||||||||||||||||||
Occidental Petroleum Corp. | UBS AG | 3,434 | 01/18/19 | USD | 75.00 | USD | 287 | 37,860 | ||||||||||||||||||||||
Schlumberger Ltd. | UBS AG | 5,304 | 01/18/19 | USD | 90.00 | USD | 356 | 1,273 | ||||||||||||||||||||||
TOTAL SA | UBS AG | 11,687 | 01/18/19 | USD | 60.00 | USD | 708 | 42,658 | ||||||||||||||||||||||
Russell 2000 Index | Bank of America NA | 537 | 03/15/19 | USD | 1,700.00 | USD | 882 | 38,234 | ||||||||||||||||||||||
BP plc | UBS AG | 17,142 | 06/21/19 | USD | 52.00 | USD | 783 | 21,304 | ||||||||||||||||||||||
ConocoPhillips Co. | UBS AG | 9,003 | 06/21/19 | USD | 75.00 | USD | 627 | 45,465 | ||||||||||||||||||||||
Occidental Petroleum Corp. | UBS AG | 4,500 | 06/21/19 | USD | 92.50 | USD | 377 | 16,524 | ||||||||||||||||||||||
Royal Dutch Shell plc | UBS AG | 9,785 | 06/21/19 | USD | 77.00 | USD | 677 | 14,626 | ||||||||||||||||||||||
Suncor Energy, Inc. | UBS AG | 11,597 | 06/21/19 | USD | 45.00 | USD | 472 | 24,120 | ||||||||||||||||||||||
TOPIX Banks Index | Bank of America NA | 134,228 | 12/13/19 | JPY | 191.28 | JPY | 23,132 | 8,712 | ||||||||||||||||||||||
TOPIX Banks Index | Morgan Stanley & Co. International plc | 254,099 | 12/13/19 | JPY | 191.28 | JPY | 43,789 | 16,493 | ||||||||||||||||||||||
Sumitomo Mitsui Financial Group, Inc. | Morgan Stanley & Co. International plc | 6,991 | 03/13/20 | JPY | 4,756.33 | JPY | 30,103 | 11,754 | ||||||||||||||||||||||
TOPIX Banks Index | BNP Paribas SA | 181,254 | 03/13/20 | JPY | 194.04 | JPY | 31,236 | 12,155 | ||||||||||||||||||||||
EURO STOXX Bank Index | Societe Generale SA | 2,473 | 03/20/20 | EUR | 117.57 | EUR | 1,389 | 17,512 | ||||||||||||||||||||||
TOPIX Banks Index | Morgan Stanley & Co. International plc | 161,095 | 04/10/20 | JPY | 192.04 | JPY | 27,762 | 11,842 | ||||||||||||||||||||||
EURO STOXX Bank Index | Citibank NA | 4,068 | 06/19/20 | EUR | 131.88 | EUR | 2,284 | 12,201 | ||||||||||||||||||||||
Sumitomo Mitsui Financial Group, Inc. | Morgan Stanley & Co. International plc | 5,643 | 09/11/20 | JPY | 4,816.24 | JPY | 24,299 | 6,226 | ||||||||||||||||||||||
Sumitomo Mitsui Financial Group, Inc. | Morgan Stanley & Co. International plc | 5,646 | 12/11/20 | JPY | 4,894.87 | JPY | 24,312 | 9,850 | ||||||||||||||||||||||
EURO STOXX Bank Index | Barclays Bank plc | 3,161 | 03/19/21 | EUR | 136.97 | EUR | 1,775 | 11,456 | ||||||||||||||||||||||
EURO STOXX Bank Index | Deutsche Bank AG | 3,016 | 04/16/21 | EUR | 136.56 | EUR | 1,694 | 11,412 | ||||||||||||||||||||||
EURO STOXX Bank Index | UBS AG | 3,260 | 06/18/21 | EUR | 134.92 | EUR | 1,831 | 12,041 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
$ | 460,499 | |||||||||||||||||||||||||||||
|
|
(a) | All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly-owned subsidiary. |
70 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Global Allocation Portfolio |
OTC Interest Rate Swaptions Purchased
| Paid by the Fund | Received by the Fund | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | |||||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | ||||||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap | 3 month LIBOR | Quarterly | 2.42 | % | Semi-Annual | Goldman Sachs International | 07/09/18 | 2.42 | % | USD | 5,463 | $ | 1 | |||||||||||||||||||||
|
|
OTC Interest Rate Caps Purchased
Description | Exercise Rate | Counterparty | Expiration Date | Notional Amount (000) | Value | Premiums Paid | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
5Y-30Y CMS Index Cap | 0.60 | % | Goldman Sachs International | 11/06/18 | USD | 4,212 | $ | 19 | $ | 12,917 | ($ | 12,898 | ) | |||||||||||||||||
|
|
|
|
|
|
OTC Options Written
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||
SPDR Gold Shares Index(a) | Societe Generale SA | 8,171 | 08/17/18 | USD | 142.00 | USD | 969 | $ | — | |||||||||||||||||||||
Fifth Third Bancorp | Morgan Stanley & Co. International plc | 9,781 | 11/16/18 | USD | 34.00 | USD | 281 | (2,641 | ) | |||||||||||||||||||||
Charter Communications, Inc. | Citibank NA | 538 | 12/21/18 | USD | 305.00 | USD | 158 | (12,885 | ) | |||||||||||||||||||||
Charter Communications, Inc. | Citibank NA | 1,040 | 12/21/18 | USD | 315.00 | USD | 305 | (20,800 | ) | |||||||||||||||||||||
Russell 2000 Index | Bank of America NA | 404 | 12/21/18 | USD | 1,875.00 | USD | 664 | (2,119 | ) | |||||||||||||||||||||
Apple, Inc. | Barclays Bank plc | 1,364 | 01/18/19 | USD | 160.00 | USD | 252 | (40,306 | ) | |||||||||||||||||||||
Comcast Corp. | Citibank NA | 5,822 | 01/18/19 | USD | 36.25 | USD | 191 | (8,238 | ) | |||||||||||||||||||||
DowDuPont, Inc. | Barclays Bank plc | 3,021 | 01/18/19 | USD | 70.00 | USD | 199 | (8,912 | ) | |||||||||||||||||||||
FleetCor Technologies, Inc. | Barclays Bank plc | 665 | 01/18/19 | USD | 180.00 | USD | 140 | (25,170 | ) | |||||||||||||||||||||
Microsoft Corp. | Barclays Bank plc | 2,417 | 01/18/19 | USD | 90.00 | USD | 238 | (30,333 | ) | |||||||||||||||||||||
Pioneer Natural Resources Co. | UBS AG | 1,417 | 01/18/19 | USD | 165.00 | USD | 268 | (48,461 | ) | |||||||||||||||||||||
United Continental Holdings, Inc. | Deutsche Bank AG | 1,754 | 01/18/19 | USD | 75.00 | USD | 122 | (8,244 | ) | |||||||||||||||||||||
Russell 2000 Index | Bank of America NA | 537 | 03/15/19 | USD | 1,900.00 | USD | 882 | (5,558 | ) | |||||||||||||||||||||
BP plc | UBS AG | 17,142 | 06/21/19 | USD | 59.00 | USD | 783 | (7,120 | ) | |||||||||||||||||||||
ConocoPhillips Co. | UBS AG | 9,003 | 06/21/19 | USD | 85.00 | USD | 627 | (20,257 | ) | |||||||||||||||||||||
Occidental Petroleum Corp. | UBS AG | 4,500 | 06/21/19 | USD | 105.00 | USD | 377 | (5,456 | ) | |||||||||||||||||||||
Royal Dutch Shell plc | UBS AG | 9,785 | 06/21/19 | USD | 87.50 | USD | 677 | (10,048 | ) | |||||||||||||||||||||
Suncor Energy, Inc. | UBS AG | 11,597 | 06/21/19 | USD | 50.00 | USD | 472 | (10,633 | ) | |||||||||||||||||||||
TOPIX Banks Index | Bank of America NA | 134,228 | 12/13/19 | JPY | 221.29 | JPY | 23,132 | (3,171 | ) | |||||||||||||||||||||
TOPIX Banks Index | Morgan Stanley & Co. International plc | 254,099 | 12/13/19 | JPY | 221.29 | JPY | 43,789 | (6,004 | ) | |||||||||||||||||||||
Sumitomo Mitsui Financial Group, Inc. | Morgan Stanley & Co. International plc | 6,991 | 03/13/20 | JPY | 5,679.90 | JPY | 30,103 | (3,722 | ) | |||||||||||||||||||||
TOPIX Banks Index | BNP Paribas SA | 181,254 | 03/13/20 | JPY | 237.47 | JPY | 31,236 | (3,375 | ) | |||||||||||||||||||||
EURO STOXX Bank Index | Societe Generale SA | 2,473 | 03/20/20 | EUR | 159.00 | EUR | 1,389 | (1,688 | ) | |||||||||||||||||||||
TOPIX Banks Index | Morgan Stanley & Co. International plc | 161,095 | 04/10/20 | JPY | 233.87 | JPY | 27,762 | (3,571 | ) | |||||||||||||||||||||
EURO STOXX Bank Index | Citibank NA | 4,068 | 06/19/20 | EUR | 161.62 | EUR | 2,284 | (2,552 | ) | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
(291,264 | ) | |||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||
SPDR Gold Shares Index(a) | Societe Generale SA | 8,171 | 08/17/18 | USD | 119.00 | USD | 969 | (13,347 | ) | |||||||||||||||||||||
Russell 2000 Index | Bank of America NA | 337 | 12/21/18 | USD | 1,600.00 | USD | 554 | (19,260 | ) | |||||||||||||||||||||
Exxon Mobil Corp. | UBS AG | 3,664 | 01/18/19 | USD | 60.00 | USD | 303 | (1,337 | ) | |||||||||||||||||||||
Schlumberger Ltd. | UBS AG | 5,304 | 01/18/19 | USD | 60.00 | USD | 356 | (10,661 | ) | |||||||||||||||||||||
S&P 500 Index | Bank of America NA | 309 | 03/15/19 | USD | 2,600.00 | USD | 840 | (29,556 | ) | |||||||||||||||||||||
TOPIX Banks Index | Bank of America NA | 134,228 | 12/13/19 | JPY | 156.59 | JPY | 23,132 | (14,942 | ) | |||||||||||||||||||||
TOPIX Banks Index | Morgan Stanley & Co. International plc | 254,099 | 12/13/19 | JPY | 156.59 | JPY | 43,789 | (28,283 | ) | |||||||||||||||||||||
Sumitomo Mitsui Financial Group, Inc. | Morgan Stanley & Co. International plc | 6,991 | 03/13/20 | JPY | 3,832.77 | JPY | 30,103 | (18,554 | ) | |||||||||||||||||||||
TOPIX Banks Index | BNP Paribas SA | 181,254 | 03/13/20 | JPY | 155.80 | JPY | 31,236 | (22,328 | ) | |||||||||||||||||||||
EURO STOXX Bank Index | Societe Generale SA | 1,649 | 03/20/20 | EUR | 100.77 | EUR | 926 | (19,945 | ) | |||||||||||||||||||||
TOPIX Banks Index | Morgan Stanley & Co. International plc | 161,095 | 04/10/20 | JPY | 157.82 | JPY | 27,762 | (21,909 | ) | |||||||||||||||||||||
EURO STOXX Bank Index | Citibank NA | 2,711 | 06/19/20 | EUR | 106.02 | EUR | 1,522 | (48,526 | ) | |||||||||||||||||||||
Sumitomo Mitsui Financial Group, Inc. | Morgan Stanley & Co. International plc | 3,762 | 09/11/20 | JPY | 3,820.96 | JPY | 16,199 | (10,574 | ) | |||||||||||||||||||||
Sumitomo Mitsui Financial Group, Inc. | Morgan Stanley & Co. International plc | 3,764 | 12/11/20 | JPY | 3,786.60 | JPY | 16,208 | (13,359 | ) | |||||||||||||||||||||
EURO STOXX Bank Index | Barclays Bank plc | 2,107 | 03/19/21 | EUR | 110.23 | EUR | 1,183 | (50,513 | ) | |||||||||||||||||||||
EURO STOXX Bank Index | Deutsche Bank AG | 1,005 | 04/16/21 | EUR | 118.81 | EUR | 564 | (31,376 | ) | |||||||||||||||||||||
EURO STOXX Bank Index | Deutsche Bank AG | 1,005 | 04/16/21 | EUR | 99.04 | EUR | 564 | (17,022 | ) | |||||||||||||||||||||
EURO STOXX Bank Index | UBS AG | 2,144 | 06/18/21 | EUR | 106.38 | EUR | 1,204 | (51,291 | ) | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
(422,783 | ) | |||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
$ | (714,047 | ) | ||||||||||||||||||||||||||||
|
|
(a) | All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly-owned subsidiary. |
SCHEDULES OF INVESTMENTS | 71 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Global Allocation Portfolio |
Centrally Cleared Credit Default Swaps — Buy Protection
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
CDX.NA.HY.29.V1 | 5.00 | % | Quarterly | 12/20/22 | USD | 152 | $ | (9,583 | ) | $ | — | $ | (9,583 | ) | ||||||||||||||
|
|
|
|
|
|
Centrally Cleared Interest Rate Swaps
Paid by the Fund | Received by the Fund | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||
0.42% | Annual | 6 month EURIBOR | Semi-Annual | N/A | 03/07/23 | EUR | 2,368 | $ | (32,016 | ) | $ | — | $ | (32,016 | ) | |||||||||||||||||
3 month LIBOR | Quarterly | 2.40% | Semi-Annual | N/A | 03/07/23 | USD | 2,675 | (39,790 | ) | — | (39,790 | ) | ||||||||||||||||||||
0.34% | Annual | 6 month EURIBOR | Semi-Annual | N/A | 06/14/23 | EUR | 2,316 | (12,318 | ) | — | (12,318 | ) | ||||||||||||||||||||
3 month LIBOR | Quarterly | 2.33% | Semi-Annual | N/A | 06/14/23 | USD | 2,888 | (73,899 | ) | — | (73,899 | ) | ||||||||||||||||||||
0.37% | Annual | 6 month EURIBOR | Semi-Annual | N/A | 08/15/26 | EUR | 900 | 20,693 | — | 20,693 | ||||||||||||||||||||||
0.84% | Annual | 6 month EURIBOR | Semi-Annual | N/A | 02/15/28 | EUR | 1,516 | — | — | — | ||||||||||||||||||||||
0.84% | Annual | 6 month EURIBOR | Semi-Annual | N/A | 02/15/28 | EUR | 1,510 | — | — | — | ||||||||||||||||||||||
1.08% | Annual | 6 month EURIBOR | Semi-Annual | 07/25/18 | (a) | 07/25/28 | EUR | 1,094 | (23,985 | ) | — | (23,985 | ) | |||||||||||||||||||
3 month LIBOR | Quarterly | 2.73% | Semi-Annual | 07/25/18 | (a) | 07/25/28 | USD | 1,560 | (27,572 | ) | — | (27,572 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (188,887 | ) | $ | — | $ | (188,887 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
(a) | Forward Swap |
OTC Currency Swaps
Paid by the Fund | Received by the Fund | Notional Amount (000) |
| Termination Date (a) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Delivered | Received | Counterparty | ||||||||||||||||||||||||||||||
0.10 JPY | Semi-Annual | 2.01% | Semi-Annual | JPY | 130,500 | USD | 1,261 | Bank of America NA | 10/15/18 | $ | 87,505 | $ | — | $ | 87,505 | |||||||||||||||||||||
|
|
|
|
|
|
(a) | At expiration date, the notional amount delivered will be exchanged for the notional amount received. |
OTC Total Return Swaps
Reference Entity | Fixed Amount Paid/(Received) by the Fund (a) | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
S&P 500 Index Annual Dividend Future December 2018 | USD | 140,250 | BNP Paribas SA | 12/21/18 | USD | 140 | $ | 21,600 | $ | — | $ | 21,600 | ||||||||||||||||||
Euro Stoxx 50 Index Dividend Future December 2019 | EUR | 70,770 | BNP Paribas SA | 12/20/19 | EUR | 71 | 17,984 | — | 17,984 | |||||||||||||||||||||
Euro Stoxx 50 Index Dividend Future December 2019 | EUR | 61,020 | BNP Paribas SA | 12/20/19 | EUR | 61 | 14,995 | — | 14,995 | |||||||||||||||||||||
Euro Stoxx 50 Index Dividend Future December 2019 | EUR | 51,350 | BNP Paribas SA | 12/20/19 | EUR | 51 | 11,912 | — | 11,912 | |||||||||||||||||||||
Euro Stoxx 50 Index Dividend Future December 2020 | EUR | 19,400 | BNP Paribas SA | 12/18/20 | EUR | 19 | 6,516 | — | 6,516 | |||||||||||||||||||||
Euro Stoxx 50 Index Dividend Future December 2020 | EUR | 19,280 | BNP Paribas SA | 12/18/20 | EUR | 19 | 6,656 | — | 6,656 | |||||||||||||||||||||
Euro Stoxx 50 Index Dividend Future December 2020 | EUR | 19,240 | BNP Paribas SA | 12/18/20 | EUR | 19 | 6,703 | — | 6,703 | |||||||||||||||||||||
Euro Stoxx 50 Index Dividend Future December 2020 | EUR | 9,600 | BNP Paribas SA | 12/18/20 | EUR | 10 | 3,375 | — | 3,375 | |||||||||||||||||||||
Euro Stoxx 50 Index Dividend Future December 2020 | EUR | 58,200 | BNP Paribas SA | 12/18/20 | EUR | 58 | 19,549 | — | 19,549 | |||||||||||||||||||||
Euro Stoxx 50 Index Dividend Future December 2020 | EUR | 38,520 | BNP Paribas SA | 12/18/20 | EUR | 39 | 13,360 | — | 13,360 | |||||||||||||||||||||
Euro Stoxx 50 Index Dividend Future December 2020 | EUR | 53,450 | BNP Paribas SA | 12/18/20 | EUR | 53 | 10,510 | — | 10,510 | |||||||||||||||||||||
S&P 500 Index Annual Dividend Future December 2020 | USD | 59,969 | Goldman Sachs International | 12/18/20 | USD | 60 | 13,906 | — | 13,906 | |||||||||||||||||||||
Nikkei Dividend Future December 2020 | JPY | 7,760,000 | BNP Paribas SA | 04/01/21 | JPY | 7,760 | 12,392 | — | 12,392 | |||||||||||||||||||||
Nikkei Dividend Future December 2020 | JPY | 4,215,000 | BNP Paribas SA | 04/01/21 | JPY | 4,215 | 3,170 | — | 3,170 | |||||||||||||||||||||
Nikkei Dividend Future December 2020 | JPY | 3,855,000 | BNP Paribas SA | 04/01/21 | JPY | 3,855 | 6,422 | — | 6,422 | |||||||||||||||||||||
Nikkei Dividend Future December 2020 | JPY | 3,827,500 | BNP Paribas SA | 04/01/21 | JPY | 3,828 | 6,670 | — | 6,670 | |||||||||||||||||||||
Euro Stoxx 50 Index Dividend Future December 2021 | EUR | 12,080 | BNP Paribas SA | 12/17/21 | EUR | 12 | 93 | — | 93 | |||||||||||||||||||||
Euro Stoxx 50 Index Dividend Future December 2021 | EUR | 30,990 | BNP Paribas SA | 12/17/21 | EUR | 31 | 6,411 | — | 6,411 | |||||||||||||||||||||
Euro Stoxx 50 Index Dividend Future December 2021 | EUR | 21,360 | BNP Paribas SA | 12/17/21 | EUR | 21 | 3,457 | — | 3,457 | |||||||||||||||||||||
Euro Stoxx 50 Index Dividend Future December 2021 | EUR | 33,870 | BNP Paribas SA | 12/17/21 | EUR | 34 | 3,048 | — | 3,048 | |||||||||||||||||||||
Euro Stoxx 50 Index Dividend Future December 2021 | EUR | 35,850 | BNP Paribas SA | 12/17/21 | EUR | 36 | 736 | — | 736 |
72 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Global Allocation Portfolio |
Reference Entity | Fixed Amount Paid/(Received) by the Fund (a) | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||||
S&P 500 Index Annual Dividend Future December 2021 | USD | 72,825 | BNP Paribas SA | 12/17/21 | USD | 73 | $ | 19,050 | $ | — | $ | 19,050 | ||||||||||||||||||||||||
Nikkei Dividend Future December 2021 | JPY | 4,260,000 | BNP Paribas SA | 04/01/22 | JPY | 4,260 | 3,279 | — | 3,279 | |||||||||||||||||||||||||||
Nikkei Dividend Future December 2021 | JPY | 7,860,000 | BNP Paribas SA | 04/01/22 | JPY | 7,860 | 12,519 | — | 12,519 | |||||||||||||||||||||||||||
Nikkei Dividend Future December 2021 | JPY | 3,975,000 | BNP Paribas SA | 04/01/22 | JPY | 3,975 | 5,853 | — | 5,853 | |||||||||||||||||||||||||||
Nikkei Dividend Future December 2021 | JPY | 3,985,000 | BNP Paribas SA | 04/01/22 | JPY | 3,985 | 5,763 | — | 5,763 | |||||||||||||||||||||||||||
Euro Stoxx 50 Index Dividend Future December 2022 | EUR | 57,550 | BNP Paribas SA | 12/16/22 | EUR | 58 | 1,810 | — | 1,810 | |||||||||||||||||||||||||||
Euro Stoxx 50 Index Dividend Future December 2022 | EUR | 33,240 | BNP Paribas SA | 12/16/22 | EUR | 33 | 2,592 | — | 2,592 | |||||||||||||||||||||||||||
Euro Stoxx 50 Index Dividend Future December 2022 | EUR | 32,670 | BNP Paribas SA | 12/16/22 | EUR | 33 | 3,258 | — | 3,258 | |||||||||||||||||||||||||||
Euro Stoxx 50 Index Dividend Future December 2022 | EUR | 10,950 | BNP Paribas SA | 12/16/22 | EUR | 11 | 1,016 | — | 1,016 | |||||||||||||||||||||||||||
Nikkei Dividend Future December 2022 | JPY | 4,230,000 | BNP Paribas SA | 04/03/23 | JPY | 4,230 | 3,803 | — | 3,803 | |||||||||||||||||||||||||||
Nikkei Dividend Future December 2022 | JPY | 4,280,000 | | JP Morgan Chase Bank NA | | 04/03/23 | JPY | 4,280 | 3,351 | — | 3,351 | |||||||||||||||||||||||||
Euro Stoxx 50 Index Dividend Future December 2023 | EUR | 45,440 | BNP Paribas SA | 12/15/23 | EUR | 45 | 747 | — | 747 | |||||||||||||||||||||||||||
Euro Stoxx 50 Index Dividend Future December 2023 | EUR | 46,140 | BNP Paribas SA | 12/15/23 | EUR | 46 | (70 | ) | — | (70 | ) | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
$ | 252,436 | $ | — | $ | 252,436 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
(a) | At termination, the fixed amount paid (received) will be exchanged for the total return of the reference entity. |
The following reference rates, and their values as of period end, are used for security descriptions:
Reference Index | Reference Rate | |||
3 month LIBOR | London Interbank Offered Rate | 2.34% | ||
6 month EURIBOR | Euro Interbank Offered Rate | (0.27%) |
Balances Reported in the Consolidated Statement of Assets and Liabilities for Centrally Cleared Swaps and OTC Derivatives and Options Written
Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | Value | ||||||||||||||||
Centrally Cleared Swaps(a) | $ | — | $ | — | $ | 20,693 | $ | (219,163 | ) | $ | — | |||||||||
OTC Swaps | — | — | 340,011 | (70 | ) | — | ||||||||||||||
Options Written | N/A | N/A | 71,980 | (226,060 | ) | (714,047 | ) |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Consolidated Statement of Assets and Liabilities were as follows:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Net unrealized appreciation(a) | $ | — | $ | — | $ | 34,833 | $ | — | $ | — | $ | — | $ | 34,833 | ||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | — | — | 218,239 | — | — | 218,239 | |||||||||||||||||||||
Options purchased | ||||||||||||||||||||||||||||
Investments at value — unaffiliated(b) | — | — | 460,602 | — | 20 | — | 460,622 | |||||||||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Net unrealized appreciation(a) | — | — | — | — | 20,693 | — | 20,693 | |||||||||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized appreciation on OTC swaps; Swap premiums paid | — | — | 252,506 | — | 87,505 | — | 340,011 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | — | $ | 747,941 | $ | 218,239 | $ | 108,218 | $ | — | $ | 1,074,398 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SCHEDULES OF INVESTMENTS | 73 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Global Allocation Portfolio |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | $ | — | $ | — | $ | — | $ | 556,223 | $ | — | $ | — | $ | 556,223 | ||||||||||||||
Options written | ||||||||||||||||||||||||||||
Options written, at value | — | — | 714,047 | — | — | — | 714,047 | |||||||||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Net unrealized depreciation(a) | — | 9,583 | — | — | 209,580 | — | 219,163 | |||||||||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized depreciation on OTC swaps; Swap premiums received | — | — | 70 | — | — | — | 70 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 9,583 | $ | 714,117 | $ | 556,223 | $ | 209,580 | $ | — | $ | 1,489,503 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities. |
(b) | Includes options purchased at value as reported in the Consolidated Schedule of Investments. |
For the six months ended June 30, 2018, the effect of derivative financial instruments in the Consolidated Statement of Operations were as follows:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from: | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | (380,573 | ) | $ | — | $ | — | $ | — | $ | (380,573 | ) | ||||||||||||
Forward foreign currency exchange contracts | — | — | — | 147,758 | — | — | 147,758 | |||||||||||||||||||||
Options purchased(a) | — | — | 367,414 | (210,942 | ) | (144,120 | ) | — | 12,352 | |||||||||||||||||||
Options written | — | — | 204,404 | 87,864 | (92,674 | ) | — | 199,594 | ||||||||||||||||||||
Swaps | — | (24,072 | ) | 140,740 | — | (64,061 | ) | — | 52,607 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | (24,072 | ) | $ | 331,985 | $ | 24,680 | $ | (300,855 | ) | $ | — | $ | 31,738 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | 39,639 | $ | — | $ | — | $ | — | $ | 39,639 | ||||||||||||||
Forward foreign currency exchange contracts | — | — | — | (469,231 | ) | — | — | (469,231 | ) | |||||||||||||||||||
Options purchased(b) | — | — | (371,820 | ) | (57,005 | ) | 52,789 | — | (376,036 | ) | ||||||||||||||||||
Options written | — | — | (283,425 | ) | (47,379 | ) | (58,803 | ) | — | (389,607 | ) | |||||||||||||||||
Swaps | — | 21,234 | (198,192 | ) | — | (265,506 | ) | — | (442,464 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 21,234 | $ | (813,798 | ) | $ | (573,615 | ) | $ | (271,520 | ) | $ | — | $ | (1,637,699 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
(b) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |
Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
Assets | Liabilities | |||||||
Derivative Financial Instruments: | ||||||||
Futures contracts | $ | — | $ | 969 | ||||
Forward foreign currency exchange contracts | 218,239 | 556,223 | ||||||
Options(a) | 460,622 | 714,047 | ||||||
Swaps — Centrally cleared | 948 | — | ||||||
Swaps — OTC(b) | 340,011 | 70 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | $ | 1,019,820 | $ | 1,271,309 | ||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | (1,051 | ) | (969 | ) | ||||
|
|
|
| |||||
Total derivative assets and liabilities subject to an MNA | $ | 1,018,769 | $ | 1,270,340 | ||||
|
|
|
|
(a) | Includes options purchased at value which is included in Investments at value — unaffiliated in the Consolidated Statement of Assets and Liabilities and reported in the Consolidated Schedule of Investments. |
(b) | Includes unrealized appreciation (depreciation) on OTC swaps in the Consolidated Statement of Assets and Liabilities. |
74 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Global Allocation Portfolio |
The following tables present the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
Counterparty | Derivative Assets Subject to an MNA by Counterparty | Derivatives Available for Offset (a) | Non-cash Collateral Received | Cash Collateral Received (b) | Net Amount of Derivative Assets (c)(e) | |||||||||||||||
Bank of America NA | $ | 155,217 | (75,033 | ) | $ | — | $ | — | $ | 80,184 | ||||||||||
Barclays Bank plc | 18,977 | (18,977 | ) | — | — | — | ||||||||||||||
BNP Paribas SA | 318,250 | (133,763 | ) | — | (184,487 | ) | — | |||||||||||||
Citibank NA | 12,201 | (12,201 | ) | — | — | — | ||||||||||||||
Deutsche Bank AG | 70,852 | (70,852 | ) | — | — | — | ||||||||||||||
Goldman Sachs International | 37,284 | (37,284 | ) | — | — | — | ||||||||||||||
JP Morgan Chase Bank NA | 7,726 | (7,726 | ) | — | — | — | ||||||||||||||
JP Morgan Chase Bank NA(f) | 98 | — | — | — | 98 | |||||||||||||||
Morgan Stanley & Co. International plc | 56,165 | (56,165 | ) | — | — | — | ||||||||||||||
Societe Generale SA | 17,512 | (17,512 | ) | — | — | — | ||||||||||||||
Societe Generale SA(f) | 2,190 | (2,190 | ) | — | — | — | ||||||||||||||
UBS AG | 322,297 | (281,855 | ) | — | (40,442 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 1,018,769 | $ | (713,558 | ) | $ | — | $ | (224,929 | ) | $ | 80,282 | |||||||||
|
|
|
|
|
|
|
|
|
|
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty | Derivatives Available for Offset (a) | Non-cash Collateral Pledged | Cash Collateral Pledged | Net Amount of Derivative Liabilities (d)(e) | |||||||||||||||
Bank of America NA | $ | 75,033 | $ | (75,033 | ) | $ | — | $ | — | $ | — | |||||||||
Barclays Bank plc | 192,001 | (18,977 | ) | — | — | 173,024 | ||||||||||||||
BNP Paribas SA | 133,763 | (133,763 | ) | — | — | — | ||||||||||||||
Citibank NA | 93,001 | (12,201 | ) | — | — | 80,800 | ||||||||||||||
Deutsche Bank AG | 184,547 | (70,852 | ) | — | — | 113,695 | ||||||||||||||
Goldman Sachs International | 123,008 | (37,284 | ) | — | — | 85,724 | ||||||||||||||
JP Morgan Chase Bank NA | 34,242 | (7,726 | ) | — | — | 26,516 | ||||||||||||||
Morgan Stanley & Co. International plc | 117,910 | (56,165 | ) | — | — | 61,745 | ||||||||||||||
Societe Generale SA | 21,633 | (17,512 | ) | — | — | 4,121 | ||||||||||||||
Societe Generale SA(f) | 13,347 | (2,190 | ) | — | — | 11,157 | ||||||||||||||
UBS AG | 281,855 | (281,855 | ) | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 1,270,340 | $ | (713,558 | ) | $ | — | $ | — | $ | 556,782 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(a) | The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. |
(b) | Excess of collateral received from the individual counterparty is not shown for financial reporting purposes. |
(c) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(d) | Net amount represents the net amount payable due to the counterparty in the event of default. |
(e) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.. |
(f) | Represents derivatives owned by the BlackRock Cayman Global Allocation Portfolio. Fund I, Ltd., a wholly-owed subsidiary of the Fund. See Note 1. |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts: | ||||
Average notional value of contracts — long | — | (a) | ||
Average notional value of contracts — short | $ | 3,525,805 | ||
Forward foreign currency exchange contracts: | ||||
Average amounts purchased — in USD | $ | 8,211,244 | ||
Average amounts sold — in USD | $ | 14,980,792 | ||
Options: | ||||
Average value of option contracts purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. | $ | 506,383 | ||
Average value of option contracts written . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. | $ | 484,496 | ||
Average notional value of swaption contracts purchased . . . . . . . . . . . . . . . . . . . . . . | $ | 15,582,031 | ||
Average notional value of swaption contracts written . . . . . . . . . . . . . . . . . . . . . . . . .. | — | (a) | ||
Credit default swaps: | ||||
Average notional value — buy protection | $ | 158,866 | ||
Interest rate swaps: | ||||
Average notional value — pays fixed rate | $ | 9,771,115 | ||
Average notional value — receives fixed rate | $ | 7,123,536 |
SCHEDULES OF INVESTMENTS | 75 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Global Allocation Portfolio |
Currency swaps: | ||||
Average notional value — pays | $ | 1,200,600 | ||
Total return swaps: | ||||
Average notional value | $ | 1,932,802 |
(a) | Derivative not held at period end. The amount shown in the Consolidated Statement of Operations reflects the results of activity during the period. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Long-Term Investments: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Australia | $ | — | $ | 19,589 | $ | — | $ | 19,589 | ||||||||
Belgium | — | 827,496 | — | 827,496 | ||||||||||||
Brazil | 891,201 | — | — | 891,201 | ||||||||||||
Canada | 1,398,623 | — | — | 1,398,623 | ||||||||||||
China | 1,127,212 | 1,311,844 | 207,645 | 2,646,701 | ||||||||||||
Czech Republic | — | 90,200 | — | 90,200 | ||||||||||||
Denmark | — | 4,181 | — | 4,181 | ||||||||||||
Finland | — | 5,220 | — | 5,220 | ||||||||||||
France | 667,587 | 4,211,472 | — | 4,879,059 | ||||||||||||
Germany | — | 3,023,141 | — | 3,023,141 | ||||||||||||
Hong Kong | 45,443 | 1,505,132 | — | 1,550,575 | ||||||||||||
India | — | 2,864,665 | — | 2,864,665 | ||||||||||||
Indonesia | — | 106,814 | — | 106,814 | ||||||||||||
Israel | 2,051 | — | — | 2,051 | ||||||||||||
Italy | 324,418 | 1,454,399 | — | 1,778,817 | ||||||||||||
Japan | — | 16,559,911 | — | 16,559,911 | ||||||||||||
Luxembourg | — | 496 | — | 496 | ||||||||||||
Malaysia | — | 28,756 | — | 28,756 | ||||||||||||
Mexico | 6,007 | — | — | 6,007 | ||||||||||||
Netherlands | 805,283 | 3,952,559 | — | 4,757,842 | ||||||||||||
Norway | — | 1,344 | — | 1,344 | ||||||||||||
Poland | — | 4,195 | — | 4,195 | ||||||||||||
Portugal | — | 171,688 | — | 171,688 | ||||||||||||
Singapore | 5,014 | 463,072 | — | 468,086 | ||||||||||||
South Africa | 629 | 4,750 | — | 5,379 | ||||||||||||
South Korea | 61,696 | 1,428,384 | — | 1,490,080 | ||||||||||||
Spain | — | 630,285 | — | 630,285 | ||||||||||||
Sweden | — | 14,552 | — | 14,552 | ||||||||||||
Switzerland | — | 2,230,259 | — | 2,230,259 | ||||||||||||
Taiwan | — | 1,506,162 | — | 1,506,162 | ||||||||||||
Thailand | 72,352 | 296,199 | — | 368,551 | ||||||||||||
Turkey | — | 2,763 | — | 2,763 | ||||||||||||
United Arab Emirates | — | 961,830 | — | 961,830 | ||||||||||||
United Kingdom | 692,766 | 2,240,124 | — | 2,932,890 | ||||||||||||
United States | 61,078,720 | — | 946,602 | 62,025,322 | ||||||||||||
Corporate Bonds: | ||||||||||||||||
Australia | — | 407,156 | — | 407,156 | ||||||||||||
Belgium | — | 234,107 | — | 234,107 | ||||||||||||
Chile | — | 4,170 | — | 4,170 | ||||||||||||
China | — | 3,000 | — | 3,000 | ||||||||||||
France | — | 188,359 | — | 188,359 | ||||||||||||
Germany | — | 374,864 | — | 374,864 | ||||||||||||
Italy | — | 197,250 | — | 197,250 | ||||||||||||
Luxembourg | — | 176,275 | — | 176,275 | ||||||||||||
Singapore | — | 181,881 | — | 181,881 | ||||||||||||
Switzerland | — | 198,602 | — | 198,602 | ||||||||||||
Turkey | — | — | 182,000 | 182,000 | ||||||||||||
United Arab Emirates | — | 378,661 | — | 378,661 |
76 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Global Allocation Portfolio |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
United States | $ | — | $ | 2,437,334 | $ | — | $ | 2,437,334 | ||||||||
Floating Rate Loan Interests | — | 360,207 | — | 360,207 | ||||||||||||
Foreign Agency Obligations | — | 95,008 | — | 95,008 | ||||||||||||
Foreign Government Obligations | — | 11,369,919 | — | 11,369,919 | ||||||||||||
Investment Companies | 5,144,533 | — | — | 5,144,533 | ||||||||||||
Preferred Securities: | ||||||||||||||||
Brazil | 2,653 | — | — | 2,653 | ||||||||||||
China | — | 597,102 | — | 597,102 | ||||||||||||
South Korea | — | 1,689 | — | 1,689 | ||||||||||||
United Kingdom | — | 593,386 | — | 593,386 | ||||||||||||
United States | 612,185 | 1,128,074 | 1,682,227 | 3,422,486 | ||||||||||||
Rights | 61 | — | — | 61 | ||||||||||||
U.S. Treasury Obligations | — | 37,276,813 | — | 37,276,813 | ||||||||||||
Warrants | — | 1 | — | 1 | ||||||||||||
Short-Term Securities: | ||||||||||||||||
Foreign Government Obligations | — | 1,950,136 | — | 1,950,136 | ||||||||||||
Money Market Funds | 2,729,849 | — | — | 2,729,849 | ||||||||||||
Time Deposits | — | 97,850 | — | 97,850 | ||||||||||||
U.S. Treasury Obligations | — | 18,983,341 | — | 18,983,341 | ||||||||||||
Options Purchased: | ||||||||||||||||
Equity contracts | 103 | 460,499 | — | 460,602 | ||||||||||||
Interest rate contracts | — | 20 | — | 20 | ||||||||||||
Liabilities: | ||||||||||||||||
Investment Sold Short | ||||||||||||||||
Common Stocks: | ||||||||||||||||
France | — | (97,923 | ) | — | (97,923 | ) | ||||||||||
Japan | — | (98,602 | ) | — | (98,602 | ) | ||||||||||
United States | (490,858 | ) | — | — | (490,858 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Subtotal | $ | 75,177,528 | $ | 123,420,661 | $ | 3,018,474 | $ | 201,616,663 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Investments valued at NAV(a) | 4,402,586 | |||||||||||||||
|
| |||||||||||||||
Total Investments | $ | 206,019,249 | ||||||||||||||
|
| |||||||||||||||
Derivative Financial Instruments(b) | ||||||||||||||||
Assets: | ||||||||||||||||
Equity contracts | $ | 34,833 | $ | 252,506 | $ | — | $ | 287,339 | ||||||||
Foreign currency exchange contracts | — | 218,239 | — | 218,239 | ||||||||||||
Interest rate contracts | — | 108,198 | — | 108,198 | ||||||||||||
Liabilities: | ||||||||||||||||
Credit contracts | — | (9,583 | ) | — | (9,583 | ) | ||||||||||
Equity contracts | — | (714,117 | ) | — | (714,117 | ) | ||||||||||
Foreign currency exchange contracts | — | (556,223 | ) | — | (556,223 | ) | ||||||||||
Interest rate contracts | — | (209,580 | ) | — | (209,580 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 34,833 | $ | (910,560 | ) | $ | — | $ | (875,727 | ) | |||||||
|
|
|
|
|
|
|
|
(a) | As of June 30, 2018, certain investments of the Fund were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
(b) | Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts, and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and written are shown at value. |
During the six month ended June 30, 2018, there were no transfers between Level 1 and Level 2.
A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
Common Stocks | Corporate Bonds | Preferred Securities | Warrants | Total | ||||||||||||||||
Investments: | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Opening Balance, as of December 31, 2017 | $ | 9,808 | $ | 225,617 | $ | 2,338,429 | $ | 1 | $ | 2,573,855 | ||||||||||
Transfers into Level 3 | — | — | — | — | — | |||||||||||||||
Transfers out of Level 3 | — | (1,500 | ) | — | (1 | ) | (1,501 | ) | ||||||||||||
Other(a) | 1,165,883 | — | (1,165,883 | ) | — | — | ||||||||||||||
Accrued discounts/premiums | — | — | — | — | — | |||||||||||||||
Net realized gain (loss) | — | — | — | — | — |
SCHEDULES OF INVESTMENTS | 77 |
Consolidated Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Global Allocation Portfolio |
Common Stocks | Corporate Bonds | Preferred Securities | Warrants | Total | ||||||||||||||||
Net change in unrealized appreciation (depreciation)(b) | $ | (422,678 | ) | $ | (42,117 | ) | $ | 458,569 | $ | — | $ | (6,226 | ) | |||||||
Purchases | 401,234 | — | 51,112 | — | 452,346 | |||||||||||||||
Sales | — | — | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Closing Balance, as of June 30, 2018 | $ | 1,154,247 | $ | 182,000 | $ | 1,682,227 | $ | — | $ | 3,018,474 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2018(b)(c) | $ | (422,678 | ) | $ | (42,117 | ) | $ | 159,518 | $ | — | $ | (305,277 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(a) | Certain Level 3 investments were re-classified between Preferred Securities and Common Stocks. |
(b) | Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statement of Operations. |
(c) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2018 is generally due to investments no longer held or categorized as Level 3 at period end. |
The Fund’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.
See notes to financial statements.
78 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) June 30, 2018 | BlackRock Government Money Market Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
U.S. Government Sponsored Agency Obligations — 42.5% | ||||||||||||
Federal Farm Credit Bank, 1.78%, 11/14/18 | USD | 545 | $ | 544,505 | ||||||||
Federal Farm Credit Bank Discount Notes(a): | ||||||||||||
1.53%, 08/10/18 | 85 | 84,856 | ||||||||||
1.95%, 09/10/18 | 880 | 876,633 | ||||||||||
1.94%, 09/19/18 | 1,320 | 1,314,339 | ||||||||||
2.07%, 11/19/18 | 1,990 | 1,974,022 | ||||||||||
2.18%, 12/24/18 | 455 | 450,218 | ||||||||||
2.17%, 01/16/19 | 1,380 | 1,363,675 | ||||||||||
2.27%, 03/11/19 | 745 | 733,377 | ||||||||||
2.28%, 03/19/19 | 745 | 732,955 | ||||||||||
2.26%, 04/12/19 | 200 | 196,485 | ||||||||||
Federal Farm Credit Bank Variable Rate Notes, (LIBOR USD 1 Month - 0.05%), 1.97%, 02/07/20(b) | 1,545 | 1,544,975 | ||||||||||
Federal Home Loan Bank Discount Notes(a): | ||||||||||||
1.87%, 07/10/18 | 1,000 | 999,535 | ||||||||||
1.85%, 07/11/18 | 1,245 | 1,244,361 | ||||||||||
1.86%, 07/18/18 | 1,970 | 1,968,272 | ||||||||||
1.84%, 07/20/18 | 720 | 719,303 | ||||||||||
1.86%, 07/25/18 | 2,040 | 2,037,472 | ||||||||||
1.90%, 08/03/18 | 690 | 688,801 | ||||||||||
1.89%, 08/08/18 | 1,315 | 1,312,392 | ||||||||||
1.74%, 08/10/18 | 2,000 | 1,996,158 | ||||||||||
1.90%, 08/22/18 | 1,650 | 1,645,483 | ||||||||||
1.94%, 08/29/18 | 210 | 209,339 | ||||||||||
1.94%, 09/07/18 | 950 | 946,537 | ||||||||||
2.02%, 10/19/18 | 1,460 | 1,451,078 | ||||||||||
2.02%, 10/22/18 | 135 | 134,152 | ||||||||||
2.02%, 10/24/18 | 100 | 99,361 | ||||||||||
Federal Home Loan Bank Variable Rate Notes(b): | ||||||||||||
(LIBOR USD 1 Month - 0.16%), 1.94%, 07/27/18 | 1,660 | 1,660,000 | ||||||||||
(LIBOR USD 1 Month - 0.15%), 1.95%, 07/27/18 | 720 | 720,000 | ||||||||||
(LIBOR USD 1 Month - 0.12%), 1.89%, 10/03/18 | 1,000 | 1,000,000 | ||||||||||
(LIBOR USD 1 Month - 0.14%), 1.96%, 10/26/18 | 500 | 500,000 | ||||||||||
(LIBOR USD 1 Month - 0.10%), 1.88%, 11/01/18 | 2,500 | 2,500,000 | ||||||||||
(LIBOR USD 1 Month - 0.10%), 1.90%, 11/02/18 | 2,500 | 2,500,000 | ||||||||||
(LIBOR USD 1 Month - 0.15%), 1.91%, 11/14/18 | 1,325 | 1,325,000 | ||||||||||
(LIBOR USD 1 Month - 0.13%), 1.96%, 11/16/18 | 1,700 | 1,700,000 | ||||||||||
(LIBOR USD 1 Month - 0.07%), 2.01%, 12/19/18 | 1,000 | 1,000,000 | ||||||||||
(LIBOR USD 1 Month - 0.09%), 2.00%, 01/25/19 | 845 | 845,000 | ||||||||||
(LIBOR USD 1 Month - 0.13%), 1.97%, 01/28/19 | 495 | 495,000 | ||||||||||
(LIBOR USD 1 Month - 0.12%), 1.98%, 02/25/19 | 810 | 810,000 | ||||||||||
(LIBOR USD 1 Month - 0.12%), 1.97%, 03/25/19 | 1,700 | 1,700,000 | ||||||||||
(LIBOR USD 1 Month - 0.09%), 1.92%, 04/05/19 | 3,000 | 3,000,000 | ||||||||||
(LIBOR USD 3 Month - 0.16%), 2.17%, 06/12/19 | 340 | 339,916 | ||||||||||
(LIBOR USD 3 Month - 0.16%), 2.17%, 06/20/19 | 855 | 855,000 | ||||||||||
(LIBOR USD 1 Month - 0.08%), 1.97%, 07/11/19 | 1,760 | 1,760,000 | ||||||||||
(LIBOR USD 1 Month - 0.08%), 2.02%, 08/27/19 | 785 | 785,000 | ||||||||||
(LIBOR USD 3 Month - 0.14%), 2.19%, 12/19/19 | 430 | 430,000 | ||||||||||
(LIBOR USD 1 Month - 0.04%), 2.05%, 04/17/20 | 805 | 805,000 | ||||||||||
Federal Home Loan Mortgage Corp. Discount Notes(a): | ||||||||||||
1.80%, 07/26/18 | 2,355 | 2,352,073 | ||||||||||
1.90%, 08/20/18 | 1,000 | 997,375 | ||||||||||
Federal Home Loan Mortgage Corp. Notes, 0.88%, 10/12/18 | 685 | 683,559 | ||||||||||
Federal Home Loan Mortgage Corp. Variable Rate Notes, (LIBOR USD 1 Month - 0.10%), 1.93%, 08/08/19(b) | 965 | 964,471 | ||||||||||
|
| |||||||||||
Total U.S. Government Sponsored Agency Obligations — 42.5% |
| 54,995,678 | ||||||||||
|
| |||||||||||
U.S. Treasury Obligations — 20.7% | ||||||||||||
U.S. Treasury Bills(a): | ||||||||||||
1.59%, 07/12/18 | 1,000 | 999,519 |
Security | Par (000) | Value | ||||||||||
U.S. Treasury Obligations (continued) | ||||||||||||
1.61%, 07/19/18 | USD | 1,340 | $ | 1,338,928 | ||||||||
1.64%, 08/02/18 | 1,770 | 1,767,443 | ||||||||||
1.66%, 08/09/18 | 235 | 234,580 | ||||||||||
1.84%, 08/23/18 | 1,315 | 1,311,477 | ||||||||||
1.97%, 09/20/18 | 6,500 | 6,471,481 | ||||||||||
1.91%, 09/27/18 | 3,000 | 2,986,103 | ||||||||||
2.01%, 10/25/18 | 5,640 | 5,603,921 | ||||||||||
2.11%, 12/27/18 | 2,255 | 2,231,622 | ||||||||||
U.S. Treasury Notes: | ||||||||||||
1.38%, 07/31/18 | 640 | 639,915 | ||||||||||
1.13%, 01/31/19 | 120 | 119,306 | ||||||||||
(US Treasury 3 Month Bill Money Market Yield + 0.14%), 2.05%, 01/31/19(b) | 3,000 | 3,000,000 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations — 20.7% |
| 26,704,295 | ||||||||||
|
| |||||||||||
Total Repurchase Agreements — 31.5% |
| 40,670,000 | ||||||||||
|
| |||||||||||
Total Investments — 94.7% |
| 122,369,973 | ||||||||||
Other Assets Less Liabilities — 5.3% |
| 6,843,198 | ||||||||||
|
| |||||||||||
Net Assets — 100.0% |
| $ | 129,213,171 | |||||||||
|
|
(a) | Rates are discount rates or a range of discount rates at the time of purchase. |
(b) | Variable rate security. Rate shown is the rate in effect as of period end. |
* | Cost for U.S. federal income tax purposes. |
SCHEDULES OF INVESTMENTS | 79 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock Government Money Market Portfolio |
Repurchase Agreements
Repurchase Agreements | Collateral | |||||||||||||||||||||||||||||
Counterparty | Coupon Rate | Purchase Date | Maturity Date | Par (000) | At Value (000) | Proceeds Including Interest | Position | Original Par | Position Received, At Value | |||||||||||||||||||||
Bank of Montreal | 2.10 | % | 06/29/18 | 07/02/18 | $ | 3,000 | $ | 3,000 | $3,000,525 | U.S. Government Sponsored Agency Obligations and U.S. Treasury Obligations, 1.13% to 4.00%, due 08/31/21 to 05/01/48 | $3,444,375 | $3,071,718 | ||||||||||||||||||
BNP Paribas SA | 2.12 | 06/29/18 | 07/02/18 | 6,000 | 6,000 | 6,001,060 | U.S. Government Sponsored Agency Obligations, 2.63% to 4.00%, due 06/01/33 to 02/20/48 | 6,153,308 | 6,126,873 | |||||||||||||||||||||
Goldman Sachs & Co. LLC | 2.00 | 06/27/18 | 07/03/18 | 2,420 | 2,420 | 2,420,807 | U.S. Government Sponsored Agency Obligation, 4.50%, due 06/20/48 | 2,363,825 | 2,468,401 | |||||||||||||||||||||
JP Morgan Securities LLC | 2.10 | 06/29/18 | 07/02/18 | 10,000 | 10,000 | 10,001,750 | U.S. Treasury Obligation, 3.63%, due 02/15/21 | 9,815,000 | 10,200,125 | |||||||||||||||||||||
2.26 | (a) | 06/29/18 | 08/06/18 | 2,500 | 2,500 | 2,505,964 | U.S. Government Sponsored Agency Obligation, 3.50%, due 07/20/46 | 3,375,000 | 2,553,062 | |||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||
Total JP Morgan Securities LLC |
| $ | 12,500 | $12,753,187 | ||||||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2.00 | 06/27/18 | 07/03/18 | 250 | 250 | 250,083 | U.S. Government Sponsored Agency Obligation, 4.00%, due 08/01/47 | 271,549 | 257,500 | |||||||||||||||||||||
2.12 | 06/29/18 | 07/02/18 | 12,000 | 12,000 | 12,002,120 | U.S. Government Sponsored Agency Obligation, 3.82%, due 04/01/47 | 18,905,114 | 12,360,000 | ||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||
Total Merrill Lynch, Pierce, Fenner & Smith, Inc. |
| $ | 12,250 | $12,617,500 | ||||||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||
Mizuho Securities USA LLC | 2.12 | 06/29/18 | 07/02/18 | 3,000 | 3,000 | 3,000,530 | U.S. Government Sponsored Agency Obligations and U.S. Treasury Obligations, 1.13% to 4.00%, due 08/31/21 to 05/01/48 | 3,444,375 | 3,071,717 | |||||||||||||||||||||
Wells Fargo Securities LLC | 1.92 | 06/27/18 | 07/03/18 | 1,000 | 1,000 | 1,000,320 | U.S. Government Sponsored Agency Obligations, 2.55% to 5.00%, due 03/01/20 to 02/01/57 | 1,162,733 | 1,030,000 | |||||||||||||||||||||
1.93 | 06/28/18 | 07/05/18 | 500 | 500 | 500,188 | U.S. Government Sponsored Agency Obligations, 2.07% to 4.50%, due 03/01/20 to 02/01/57 | 1,307,508 | 515,212 | ||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||
Total Wells Fargo Securities LLC |
| $ | 1,500 | $ 1,545,212 | ||||||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||
$ | 40,670 | $41,654,608 | ||||||||||||||||||||||||||||
|
|
|
(a) | Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments. For information about the Fund’s policy regarding valuation of investments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s investments categorized in the disclosure hierarchy:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Short-Term Securities(a) | $ | — | $ | 122,369,973 | $ | — | $ | 122,369,973 | ||||||||
|
|
|
|
|
|
|
|
(a) | See above Schedule of Investments for values in each security type. |
During the six months ended June 30, 2018, there were no transfers between levels.
See notes to consolidated financial statements.
80 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) June 30, 2018 | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Common Stocks — 2.2% |
| |||||||
Auto Components — 0.0% | ||||||||
Lear Corp. | 44 | 8,175 | ||||||
|
| |||||||
Banks — 0.1% | ||||||||
Bank of America Corp. | 501 | 14,123 | ||||||
JPMorgan Chase & Co. | 136 | 14,171 | ||||||
|
| |||||||
28,294 | ||||||||
Capital Markets — 0.1% | ||||||||
Goldman Sachs Group, Inc. (The) | 65 | 14,337 | ||||||
Morgan Stanley | 289 | 13,699 | ||||||
|
| |||||||
28,036 | ||||||||
Chemicals — 0.3% | ||||||||
Advanced Emissions Solutions, Inc. | 660 | 7,498 | ||||||
Platform Specialty Products Corp.(a) | 7,494 | 86,930 | ||||||
|
| |||||||
94,428 | ||||||||
Construction & Engineering — 0.8% | ||||||||
Star Group, Inc. (The)(a) | 6,202 | 224,935 | ||||||
|
| |||||||
Containers & Packaging — 0.0% | ||||||||
Crown Holdings, Inc.(a) | 337 | 15,084 | ||||||
|
| |||||||
Diversified Telecommunication Services — 0.1% | ||||||||
CenturyLink, Inc. | 855 | 15,937 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 0.1% | ||||||||
Gaming and Leisure Properties, Inc. | 880 | 31,504 | ||||||
|
| |||||||
Health Care Providers & Services — 0.1% | ||||||||
Tenet Healthcare Corp.(a) | 402 | 13,495 | ||||||
Universal Health Services, Inc., Class B | 210 | 23,403 | ||||||
|
| |||||||
36,898 | ||||||||
IT Services — 0.1% | ||||||||
First Data Corp., Class A(a) | 1,829 | 38,281 | ||||||
|
| |||||||
Machinery — 0.0% | ||||||||
Gates Industrial Corp. plc(a) | 270 | 4,393 | ||||||
|
| |||||||
Media — 0.1% | ||||||||
Altice USA, Inc., Class A(a) | 1,650 | 28,149 | ||||||
|
| |||||||
Metals & Mining — 0.2% | ||||||||
Constellium NV, Class A(a) | 5,016 | 51,665 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.2% | ||||||||
T-Mobile US, Inc.(a) | 989 | 59,093 | ||||||
|
| |||||||
Total Common Stocks — 2.2% |
| 664,872 | ||||||
|
|
Par (000) | ||||||||||||
Corporate Bonds — 80.8% |
| |||||||||||
Aerospace & Defense ��� 2.5% | ||||||||||||
Arconic, Inc.: | ||||||||||||
5.13%, 10/01/24 | USD | 96 | 94,800 | |||||||||
5.90%, 02/01/27 | 30 | 30,225 | ||||||||||
6.75%, 01/15/28 | 13 | 13,796 | ||||||||||
BBA US Holdings, Inc., 5.38%, 05/01/26(b) | 27 | 27,102 | ||||||||||
Bombardier, Inc.(b): | ||||||||||||
7.75%, 03/15/20 | 18 | 18,990 | ||||||||||
8.75%, 12/01/21 | 58 | 63,800 | ||||||||||
5.75%, 03/15/22 | 6 | 6,023 | ||||||||||
6.00%, 10/15/22 | 2 | 1,992 | ||||||||||
6.13%, 01/15/23 | 92 | 92,230 | ||||||||||
7.50%, 12/01/24 | 97 | 102,092 |
Security | Par (000) | Value | ||||||||||
Aerospace & Defense (continued) | ||||||||||||
7.50%, 03/15/25 | USD | 111 | $ | 115,579 | ||||||||
BWX Technologies, Inc., 5.38%, 07/15/26(b) | 15 | 15,187 | ||||||||||
KLX, Inc., 5.88%, 12/01/22(b) | 40 | 41,550 | ||||||||||
Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(b) | 18 | 18,675 | ||||||||||
Pioneer Holdings LLC, 9.00%, 11/01/22(b) | 18 | 18,585 | ||||||||||
TransDigm, Inc.: | ||||||||||||
6.00%, 07/15/22 | 22 | 22,117 | ||||||||||
6.50%, 07/15/24 | 50 | 50,875 | ||||||||||
6.50%, 05/15/25 | 14 | 14,157 | ||||||||||
6.38%, 06/15/26 | 8 | 7,940 | ||||||||||
|
| |||||||||||
755,715 | ||||||||||||
Air Freight & Logistics — 0.3% | ||||||||||||
XPO Logistics, Inc., 6.50%, 06/15/22(b) | 75 | 76,687 | ||||||||||
|
| |||||||||||
Airlines — 0.1% | ||||||||||||
Virgin Australia Pass-Through Trust, Series 2013-1C, 7.13%, 10/23/18(b) | 18 | 18,052 | ||||||||||
|
|
|
| |||||||||
Auto Components — 0.4% | ||||||||||||
Icahn Enterprises LP: | ||||||||||||
6.00%, 08/01/20 | 3 | 3,038 | ||||||||||
6.25%, 02/01/22 | 35 | 35,700 | ||||||||||
6.75%, 02/01/24 | 44 | 44,330 | ||||||||||
6.38%, 12/15/25 | 21 | 21,026 | ||||||||||
JB Poindexter & Co., Inc., 7.13%, 04/15/26(b) | 10 | 10,250 | ||||||||||
Lear Corp.(a)(c)(d): | ||||||||||||
8.50%, 12/01/13 | 150 | — | ||||||||||
5.75%, 08/01/14 | 100 | — | ||||||||||
|
| |||||||||||
114,344 | ||||||||||||
Automobiles — 0.1% | ||||||||||||
Tesla, Inc., 5.30%, 08/15/25(b) | 50 | 44,500 | ||||||||||
|
| |||||||||||
Banks — 0.3% | ||||||||||||
Banco Espirito Santo SA, 4.75%, 01/15/18(a)(c) | EUR | 100 | 32,990 | |||||||||
CIT Group, Inc.: | ||||||||||||
5.00%, 08/01/23 | USD | 24 | 24,279 | |||||||||
5.25%, 03/07/25 | 18 | 18,135 | ||||||||||
6.13%, 03/09/28 | 10 | 10,275 | ||||||||||
|
| |||||||||||
85,679 | ||||||||||||
Building Products — 0.4%(b) | ||||||||||||
CPG Merger Sub LLC, 8.00%, 10/01/21 | 37 | 37,462 | ||||||||||
Jeld-Wen, Inc.: | ||||||||||||
4.63%, 12/15/25 | 10 | 9,525 | ||||||||||
4.88%, 12/15/27 | 6 | 5,580 | ||||||||||
Standard Industries, Inc.: | ||||||||||||
5.38%, 11/15/24 | 13 | 12,838 | ||||||||||
6.00%, 10/15/25 | 36 | 36,090 | ||||||||||
USG Corp., 4.88%, 06/01/27 | 18 | 18,405 | ||||||||||
|
| |||||||||||
119,900 | ||||||||||||
Capital Markets — 0.2% | ||||||||||||
Eagle Holding Co. II LLC, 7.63% ( 7.63% Cash or 8.38% PIK), 05/15/22(b)(e) | 30 | 30,306 | ||||||||||
Lehman Brothers Holdings Capital Trust VII(a)(c): | ||||||||||||
9.00%, 03/01/15 | 30 | 915 | ||||||||||
5.75%, 05/17/49 | 110 | 3,355 | ||||||||||
Lions Gate Capital Holdings LLC, 5.88%, 11/01/24(b) | 10 | 10,122 | ||||||||||
MSCI, Inc., 5.25%, 11/15/24(b) | 12 | 12,120 | ||||||||||
|
| |||||||||||
56,818 | ||||||||||||
Chemicals — 2.9% | ||||||||||||
Blue Cube Spinco LLC: | ||||||||||||
9.75%, 10/15/23 | 38 | 43,035 | ||||||||||
10.00%, 10/15/25 | 28 | 32,550 |
SCHEDULES OF INVESTMENTS | 81 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Chemicals (continued) | ||||||||||||
CF Industries, Inc.: | ||||||||||||
7.13%, 05/01/20 | USD | 5 | $ | 5,281 | ||||||||
5.15%, 03/15/34 | 15 | 13,913 | ||||||||||
4.95%, 06/01/43 | 19 | 16,055 | ||||||||||
Chemours Co. (The): | ||||||||||||
6.63%, 05/15/23 | 12 | 12,585 | ||||||||||
7.00%, 05/15/25 | 15 | 16,087 | ||||||||||
5.38%, 05/15/27 | 17 | 16,448 | ||||||||||
Gates Global LLC, 6.00%, 07/15/22(b) | 30 | 30,375 | ||||||||||
Hexion, Inc.: | ||||||||||||
6.63%, 04/15/20 | 19 | 17,791 | ||||||||||
10.38%, 02/01/22(b) | 26 | 25,480 | ||||||||||
Huntsman International LLC, 5.13%, 11/15/22 | 20 | 20,560 | ||||||||||
Koppers, Inc., 6.00%, 02/15/25(b) | 27 | 27,000 | ||||||||||
Momentive Performance Materials, Inc., 3.88%, 10/24/21 | 126 | 132,300 | ||||||||||
MPM Escrow LLC, 8.88%, 10/15/20(a)(c)(d) | 82 | — | ||||||||||
NOVA Chemicals Corp., 4.88%, 06/01/24(b) | 31 | 29,450 | ||||||||||
Olin Corp., 5.13%, 09/15/27 | 30 | 29,175 | ||||||||||
Platform Specialty Products Corp.(b): | ||||||||||||
6.50%, 02/01/22 | 195 | 198,412 | ||||||||||
5.88%, 12/01/25 | 101 | 98,728 | ||||||||||
PQ Corp.(b): | ||||||||||||
6.75%, 11/15/22 | 47 | 49,350 | ||||||||||
5.75%, 12/15/25 | 43 | 42,301 | ||||||||||
|
| |||||||||||
856,876 | ||||||||||||
Commercial Services & Supplies — 2.3% | ||||||||||||
ADT Corp. (The): | ||||||||||||
3.50%, 07/15/22 | 30 | 28,080 | ||||||||||
4.13%, 06/15/23 | 36 | 33,750 | ||||||||||
4.88%, 07/15/32(b) | 46 | 35,995 | ||||||||||
Advanced Disposal Services, Inc., 5.63%, 11/15/24(b) | 15 | 14,925 | ||||||||||
APX Group, Inc.: | ||||||||||||
8.75%, 12/01/20 | 29 | 27,756 | ||||||||||
7.88%, 12/01/22 | 25 | 24,844 | ||||||||||
Aramark Services, Inc.(b): | ||||||||||||
5.00%, 04/01/25 | 3 | 2,985 | ||||||||||
5.00%, 02/01/28 | 63 | 60,165 | ||||||||||
Harland Clarke Holdings Corp., 8.38%, 08/15/22(b) | 14 | 13,720 | ||||||||||
Hulk Finance Corp., 7.00%, 06/01/26(b) | 25 | 23,937 | ||||||||||
KAR Auction Services, Inc., 5.13%, 06/01/25(b) | 25 | 23,875 | ||||||||||
Matthews International Corp., 5.25%, 12/01/25(b) | 2 | 1,915 | ||||||||||
Mobile Mini, Inc., 5.88%, 07/01/24 | 77 | 77,963 | ||||||||||
Prime Security Services Borrower LLC, 9.25%, 05/15/23(b) | 172 | 183,128 | ||||||||||
Ritchie Bros Auctioneers, Inc., 5.38%, 01/15/25(b) | 20 | 19,400 | ||||||||||
Tervita Escrow Corp., 7.63%, 12/01/21(b) | 45 | 45,900 | ||||||||||
Waste Pro USA, Inc., 5.50%, 02/15/26(b) | 22 | 21,148 | ||||||||||
Wrangler Buyer Corp., 6.00%, 10/01/25(b) | 45 | 42,525 | ||||||||||
|
| |||||||||||
682,011 | ||||||||||||
Communications Equipment — 0.4% | ||||||||||||
CB Escrow Corp., 8.00%, 10/15/25(b) | 15 | 13,987 | ||||||||||
CommScope Technologies LLC, 5.00%, 03/15/27(b) | 43 | 40,474 | ||||||||||
CommScope, Inc., 5.50%, 06/15/24(b) | 3 | 3,015 | ||||||||||
Nokia OYJ: | ||||||||||||
3.38%, 06/12/22 | 13 | 12,585 | ||||||||||
6.63%, 05/15/39 | 60 | 62,550 | ||||||||||
|
| |||||||||||
132,611 | ||||||||||||
Construction & Engineering — 0.4% | ||||||||||||
Brand Industrial Services, Inc., 8.50%, 07/15/25(b) | 37 | 37,462 | ||||||||||
Engility Corp., 8.88%, 09/01/24 | 26 | 27,170 | ||||||||||
New Enterprise Stone & Lime Co., Inc.(b): | ||||||||||||
10.13%, 04/01/22 | 19 | 20,187 |
Security | Par (000) | Value | ||||||||||
Construction & Engineering (continued) | ||||||||||||
6.25%, 03/15/26 | USD | 7 | $ | 7,070 | ||||||||
Tutor Perini Corp., 6.88%, 05/01/25(b) | 22 | 22,028 | ||||||||||
Weekley Homes LLC, 6.63%, 08/15/25(b) | 8 | 7,580 | ||||||||||
|
| |||||||||||
121,497 | ||||||||||||
Consumer Finance — 1.4% | ||||||||||||
Ally Financial, Inc.: | ||||||||||||
5.13%, 09/30/24 | 40 | 40,700 | ||||||||||
8.00%, 11/01/31 | 129 | 153,510 | ||||||||||
Navient Corp.: | ||||||||||||
6.63%, 07/26/21 | 22 | 22,598 | ||||||||||
6.50%, 06/15/22 | 32 | 32,760 | ||||||||||
5.50%, 01/25/23 | 20 | 19,650 | ||||||||||
7.25%, 09/25/23 | 17 | 17,808 | ||||||||||
5.88%, 10/25/24 | 7 | 6,764 | ||||||||||
6.75%, 06/25/25 | 13 | 12,870 | ||||||||||
6.75%, 06/15/26 | 21 | 20,521 | ||||||||||
5.63%, 08/01/33 | 24 | 20,280 | ||||||||||
Springleaf Finance Corp.: | ||||||||||||
5.63%, 03/15/23 | 4 | 3,979 | ||||||||||
6.88%, 03/15/25 | 40 | 39,700 | ||||||||||
7.13%, 03/15/26 | 29 | 28,855 | ||||||||||
|
| |||||||||||
419,995 | ||||||||||||
Containers & Packaging — 2.0% | ||||||||||||
Ardagh Packaging Finance plc, 4.63%, 05/15/23(b) | 200 | 197,750 | ||||||||||
Ball Corp.: | ||||||||||||
5.00%, 03/15/22 | 21 | 21,604 | ||||||||||
4.00%, 11/15/23 | 6 | 5,829 | ||||||||||
Berry Global, Inc., 4.50%, 02/15/26(b) | 12 | 11,190 | ||||||||||
BWAY Holding Co.(b): | ||||||||||||
5.50%, 04/15/24 | 77 | 75,075 | ||||||||||
7.25%, 04/15/25 | 26 | 25,350 | ||||||||||
Crown Americas LLC: | ||||||||||||
4.75%, 02/01/26(b) | 8 | 7,600 | ||||||||||
4.25%, 09/30/26 | 26 | 23,790 | ||||||||||
Flex Acquisition Co., Inc., 7.88%, 07/15/26(b) | 8 | 7,969 | ||||||||||
OI European Group BV, 4.00%, 03/15/23(b) | 27 | 25,177 | ||||||||||
Reynolds Group Issuer, Inc.: | ||||||||||||
5.75%, 10/15/20 | 41 | 40,855 | ||||||||||
6.87%, 02/15/21 | 35 | 35,087 | ||||||||||
(LIBOR USD 3 Month + 3.50%), 5.85%, 07/15/21(b)(f) | 8 | 8,074 | ||||||||||
5.13%, 07/15/23(b) | 28 | 27,650 | ||||||||||
7.00%, 07/15/24(b) | 74 | 75,573 | ||||||||||
Sealed Air Corp., 6.88%, 07/15/33(b) | 9 | 9,878 | ||||||||||
|
| |||||||||||
598,451 | ||||||||||||
Distributors — 0.1% | ||||||||||||
American Builders & Contractors Supply Co., Inc.(b): | ||||||||||||
5.75%, 12/15/23 | 2 | 2,050 | ||||||||||
5.88%, 05/15/26 | 32 | 31,480 | ||||||||||
|
| |||||||||||
33,530 | ||||||||||||
Diversified Consumer Services — 0.4% | ||||||||||||
Carriage Services, Inc., 6.63%, 06/01/26(b) | 14 | 14,192 | ||||||||||
Graham Holdings Co., 5.75%, 06/01/26(b) | 18 | 18,180 | ||||||||||
Laureate Education, Inc., 8.25%, 05/01/25(b) | 29 | 30,940 | ||||||||||
Service Corp. International, 4.50%, 11/15/20 | 20 | 20,025 | ||||||||||
ServiceMaster Co. LLC (The), 5.13%, 11/15/24(b) | 26 | 25,220 | ||||||||||
|
| |||||||||||
108,557 | ||||||||||||
Diversified Financial Services — 1.0%(b) | ||||||||||||
FBM Finance, Inc., 8.25%, 08/15/21 | 20 | 20,825 | ||||||||||
Infinity Acquisition LLC, 7.25%, 08/01/22 | 5 | 5,104 | ||||||||||
Jefferies Finance LLC, 7.38%, 04/01/20 | 200 | 200,946 | ||||||||||
Tempo Acquisition LLC, 6.75%, 06/01/25 | 59 | 56,640 |
82 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Diversified Financial Services (continued) | ||||||||||||
Travelport Corporate Finance plc, 6.00%, 03/15/26 | USD | 18 | $ | 18,135 | ||||||||
|
| |||||||||||
301,650 | ||||||||||||
Diversified Telecommunication Services — 5.9% | ||||||||||||
Altice France SA, 7.38%, 05/01/26(b) | 248 | 242,470 | ||||||||||
CCO Holdings LLC(b): | ||||||||||||
4.00%, 03/01/23 | 29 | 27,260 | ||||||||||
5.13%, 05/01/23 | 7 | 6,910 | ||||||||||
5.13%, 05/01/27 | 222 | 207,709 | ||||||||||
5.00%, 02/01/28 | 65 | 59,475 | ||||||||||
CenturyLink, Inc.: | ||||||||||||
Series S, 6.45%, 06/15/21 | 64 | 65,803 | ||||||||||
Series T, 5.80%, 03/15/22 | 40 | 39,600 | ||||||||||
Series W, 6.75%, 12/01/23 | 10 | 10,050 | ||||||||||
Series Y, 7.50%, 04/01/24 | 25 | 25,687 | ||||||||||
Series P, 7.60%, 09/15/39 | 2 | 1,660 | ||||||||||
Series U, 7.65%, 03/15/42 | 39 | 32,370 | ||||||||||
Cincinnati Bell, Inc., 7.00%, 07/15/24(b) | 44 | 40,150 | ||||||||||
Embarq Corp., 8.00%, 06/01/36 | 16 | 15,100 | ||||||||||
Frontier Communications Corp.: | ||||||||||||
7.13%, 03/15/19 | 5 | 5,038 | ||||||||||
10.50%, 09/15/22 | 10 | 9,075 | ||||||||||
7.13%, 01/15/23 | 22 | 16,211 | ||||||||||
6.88%, 01/15/25 | 19 | 12,231 | ||||||||||
11.00%, 09/15/25 | 115 | 91,965 | ||||||||||
8.50%, 04/01/26(b) | 42 | 40,530 | ||||||||||
Intelsat Jackson Holdings SA: | ||||||||||||
7.25%, 10/15/20 | 38 | 37,810 | ||||||||||
5.50%, 08/01/23 | 51 | 45,757 | ||||||||||
9.75%, 07/15/25(b) | 56 | 59,080 | ||||||||||
Intelsat SA, 4.50%, 06/15/25(b)(g) | 4 | 4,895 | ||||||||||
Level 3 Financing, Inc.: | ||||||||||||
5.38%, 08/15/22 | 31 | 31,000 | ||||||||||
5.63%, 02/01/23 | 10 | 10,000 | ||||||||||
5.13%, 05/01/23 | 13 | 12,740 | ||||||||||
5.38%, 01/15/24 | 21 | 20,570 | ||||||||||
5.38%, 05/01/25 | 17 | 16,362 | ||||||||||
5.25%, 03/15/26 | 118 | 112,230 | ||||||||||
Qualitytech LP, 4.75%, 11/15/25(b) | 16 | 14,975 | ||||||||||
Qwest Corp., 6.75%, 12/01/21 | 10 | 10,641 | ||||||||||
Sprint Capital Corp.: | ||||||||||||
6.90%, 05/01/19 | 25 | 25,505 | ||||||||||
6.88%, 11/15/28 | 15 | 14,363 | ||||||||||
8.75%, 03/15/32 | 42 | 44,940 | ||||||||||
Telecom Italia Capital SA: | ||||||||||||
6.38%, 11/15/33 | 36 | 35,460 | ||||||||||
6.00%, 09/30/34 | 74 | 70,522 | ||||||||||
7.20%, 07/18/36 | 20 | 20,718 | ||||||||||
Telesat Canada, 8.88%, 11/15/24(b) | 27 | 28,890 | ||||||||||
Virgin Media Finance plc, 5.75%, 01/15/25(b) | 200 | 187,500 | ||||||||||
|
| |||||||||||
1,753,252 | ||||||||||||
Electric Utilities — 0.1% | ||||||||||||
NextEra Energy Operating Partners LP, 4.25%, 09/15/24(b) | 22 | 21,175 | ||||||||||
|
| |||||||||||
Electrical Equipment — 0.4%(b) | ||||||||||||
Energizer Gamma Acquisition, Inc., 6.38%, 07/15/26 | 18 | 18,304 | ||||||||||
Sensata Technologies BV: | ||||||||||||
5.63%, 11/01/24 | 7 | 7,262 | ||||||||||
5.00%, 10/01/25 | 37 | 37,278 | ||||||||||
Vertiv Group Corp., 9.25%, 10/15/24 | 64 | 62,720 | ||||||||||
|
| |||||||||||
125,564 | ||||||||||||
Electronic Equipment, Instruments & Components — 0.2% | ||||||||||||
Anixter, Inc., 5.63%, 05/01/19 | 5 | 5,087 |
Security | Par (000) | Value | ||||||||||
Electronic Equipment, Instruments & Components (continued) | ||||||||||||
CDW LLC: | ||||||||||||
5.50%, 12/01/24 | USD | 30 | $ | 30,600 | ||||||||
5.00%, 09/01/25 | 13 | 12,773 | ||||||||||
|
| |||||||||||
48,460 | ||||||||||||
Energy Equipment & Services — 2.7% | ||||||||||||
Apergy Corp., 6.38%, 05/01/26(b) | 10 | 10,162 | ||||||||||
Calfrac Holdings LP, 8.50%, 06/15/26(b) | 18 | 17,910 | ||||||||||
CSI Compressco LP, 7.50%, 04/01/25(b) | 33 | 33,124 | ||||||||||
Diamond Offshore Drilling, Inc., 7.88%, 08/15/25 | 16 | 16,580 | ||||||||||
Ensco plc: | ||||||||||||
4.50%, 10/01/24 | 8 | 6,590 | ||||||||||
5.20%, 03/15/25 | 5 | 4,150 | ||||||||||
7.75%, 02/01/26 | 49 | 46,290 | ||||||||||
McDermott Technology Americas, Inc., 10.63%, 05/01/24(b) | 24 | 25,020 | ||||||||||
Nabors Industries, Inc.: | ||||||||||||
4.63%, 09/15/21 | 6 | 5,865 | ||||||||||
5.75%, 02/01/25(b) | 15 | 14,175 | ||||||||||
Noble Holding International Ltd.: | ||||||||||||
7.75%, 01/15/24 | 25 | 23,687 | ||||||||||
7.95%, 04/01/25 | 4 | 3,720 | ||||||||||
7.88%, 02/01/26(b) | 87 | 89,610 | ||||||||||
Pioneer Energy Services Corp., 6.13%, 03/15/22 | 32 | 30,400 | ||||||||||
Precision Drilling Corp.: | ||||||||||||
6.50%, 12/15/21 | 3 | 3,263 | ||||||||||
7.75%, 12/15/23 | 15 | 15,788 | ||||||||||
5.25%, 11/15/24 | 13 | 12,285 | ||||||||||
7.13%, 01/15/26(b) | 2 | 2,054 | ||||||||||
Rowan Cos., Inc.: | ||||||||||||
4.88%, 06/01/22 | 10 | 9,450 | ||||||||||
4.75%, 01/15/24 | 13 | 11,213 | ||||||||||
7.38%, 06/15/25 | 26 | 25,155 | ||||||||||
SESI LLC: | ||||||||||||
7.13%, 12/15/21 | 10 | 10,175 | ||||||||||
7.75%, 09/15/24 | 24 | 24,630 | ||||||||||
Transocean Guardian Ltd., 5.88%, 01/15/24(b) | 26 | 25,903 | ||||||||||
Transocean, Inc.: | ||||||||||||
5.80%, 10/15/22 | 24 | 23,820 | ||||||||||
9.00%, 07/15/23(b) | 90 | 96,863 | ||||||||||
7.50%, 01/15/26(b) | 29 | 29,453 | ||||||||||
6.80%, 03/15/38 | 12 | 9,750 | ||||||||||
Trinidad Drilling Ltd., 6.63%, 02/15/25(b) | 29 | 27,913 | ||||||||||
USA Compression Partners LP, 6.88%, 04/01/26(b) | 37 | 38,295 | ||||||||||
Weatherford International Ltd.: | ||||||||||||
7.75%, 06/15/21 | 79 | 81,271 | ||||||||||
8.25%, 06/15/23 | 13 | 12,897 | ||||||||||
6.50%, 08/01/36 | 14 | 10,955 | ||||||||||
5.95%, 04/15/42 | 18 | 13,455 | ||||||||||
|
| |||||||||||
811,871 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) — 2.1% | ||||||||||||
AHP Health Partners, Inc., 9.75%, 07/15/26(b) | 14 | 14,000 | ||||||||||
CoreCivic, Inc., 4.75%, 10/15/27 | 17 | 15,428 | ||||||||||
CyrusOne LP: | ||||||||||||
5.00%, 03/15/24 | 54 | 54,000 | ||||||||||
5.38%, 03/15/27 | 6 | 5,955 | ||||||||||
Equinix, Inc.: | ||||||||||||
5.88%, 01/15/26 | 67 | 67,871 | ||||||||||
5.38%, 05/15/27 | 15 | 14,963 | ||||||||||
ESH Hospitality, Inc., 5.25%, 05/01/25(b) | 18 | 17,370 | ||||||||||
GEO Group, Inc. (The): | ||||||||||||
5.13%, 04/01/23 | 11 | 10,780 | ||||||||||
5.88%, 10/15/24 | 56 | 55,160 | ||||||||||
6.00%, 04/15/26 | 2 | 1,940 |
SCHEDULES OF INVESTMENTS | 83 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Equity Real Estate Investment Trusts (REITs) (continued) | ||||||||||||
iStar, Inc.: | ||||||||||||
4.63%, 09/15/20 | USD | 4 | $ | 3,940 | ||||||||
6.00%, 04/01/22 | 13 | 13,000 | ||||||||||
5.25%, 09/15/22 | 11 | 10,649 | ||||||||||
MGM Growth Properties Operating Partnership LP: | ||||||||||||
5.63%, 05/01/24 | 105 | 106,313 | ||||||||||
4.50%, 09/01/26 | 83 | 77,086 | ||||||||||
4.50%, 01/15/28 | 36 | 32,670 | ||||||||||
MPT Operating Partnership LP, 5.00%, 10/15/27 | 12 | 11,460 | ||||||||||
SBA Communications Corp.: | ||||||||||||
4.00%, 10/01/22(b) | 44 | 42,075 | ||||||||||
4.88%, 09/01/24 | 23 | 22,000 | ||||||||||
Uniti Group LP, 8.25%, 10/15/23 | 35 | 33,425 | ||||||||||
VICI Properties 1 LLC, 8.00%, 10/15/23 | 23 | 25,975 | ||||||||||
|
| |||||||||||
636,060 | ||||||||||||
Food & Staples Retailing — 0.3% | ||||||||||||
Albertsons Cos. LLC, 5.75%, 03/15/25 | 28 | 24,780 | ||||||||||
Albertsons Cos., Inc., (LIBOR USD 3 Month + 3.75%), 6.09%, 01/15/24(b)(f) | 22 | 22,055 | ||||||||||
Rite Aid Corp., 6.13%, 04/01/23(b) | 29 | 29,406 | ||||||||||
|
| |||||||||||
76,241 | ||||||||||||
Food Products — 0.8%(b) | ||||||||||||
Chobani LLC, 7.50%, 04/15/25 | 26 | 24,960 | ||||||||||
JBS USA LUX SA: | ||||||||||||
5.88%, 07/15/24 | 36 | 34,380 | ||||||||||
5.75%, 06/15/25 | 73 | 67,890 | ||||||||||
6.75%, 02/15/28 | 55 | 51,959 | ||||||||||
Post Holdings, Inc.: | ||||||||||||
5.50%, 03/01/25 | 29 | 28,311 | ||||||||||
5.75%, 03/01/27 | 30 | 29,100 | ||||||||||
5.63%, 01/15/28 | 8 | 7,500 | ||||||||||
|
| |||||||||||
244,100 | ||||||||||||
Gas Utilities — 0.1% | ||||||||||||
Superior Plus LP, 7.00%, 07/15/26(b) | 31 | 31,232 | ||||||||||
|
| |||||||||||
Health Care Equipment & Supplies — 1.8% | ||||||||||||
Avantor, Inc.(b): | ||||||||||||
6.00%, 10/01/24 | 155 | 153,326 | ||||||||||
9.00%, 10/01/25 | 53 | 53,408 | ||||||||||
DJO Finance LLC, 8.13%, 06/15/21(b) | 88 | 89,074 | ||||||||||
Mallinckrodt International Finance SA(b): | ||||||||||||
4.88%, 04/15/20 | 9 | 8,843 | ||||||||||
5.75%, 08/01/22 | 19 | 17,100 | ||||||||||
5.63%, 10/15/23 | 4 | 3,334 | ||||||||||
5.50%, 04/15/25 | 39 | 31,200 | ||||||||||
Ortho-Clinical Diagnostics, Inc., 6.63%, 05/15/22(b) | 143 | 139,782 | ||||||||||
Sotera Health Holdings LLC, 6.50%, 05/15/23(b) | 26 | 26,520 | ||||||||||
Teleflex, Inc., 4.88%, 06/01/26 | 12 | 11,760 | ||||||||||
|
| |||||||||||
534,347 | ||||||||||||
Health Care Providers & Services — 4.8% | ||||||||||||
Acadia Healthcare Co., Inc.: | ||||||||||||
5.13%, 07/01/22 | 9 | 8,977 | ||||||||||
5.63%, 02/15/23 | 11 | 11,083 | ||||||||||
6.50%, 03/01/24 | 26 | 26,650 | ||||||||||
Centene Corp.: | ||||||||||||
5.63%, 02/15/21 | 39 | 39,824 | ||||||||||
4.75%, 05/15/22 | 37 | 37,231 | ||||||||||
Centene Escrow I Corp., 5.38%, 06/01/26(b) | 135 | 136,773 | ||||||||||
Community Health Systems, Inc., 8.63%, 01/15/24(b) | 21 | 21,052 | ||||||||||
DaVita, Inc., 5.00%, 05/01/25 | 28 | 26,355 | ||||||||||
Encompass Health Corp., 5.75%, 11/01/24 | 3 | 3,002 | ||||||||||
Envision Healthcare Corp., 6.25%, 12/01/24(b) | 7 | 7,455 |
Security | Par (000) | Value | ||||||||||
Health Care Providers & Services (continued) | ||||||||||||
HCA, Inc.: | ||||||||||||
5.88%, 03/15/22 | USD | 31 | $ | 32,318 | ||||||||
4.75%, 05/01/23 | 11 | 10,972 | ||||||||||
5.00%, 03/15/24 | 76 | 76,000 | ||||||||||
5.25%, 04/15/25 | 112 | 112,000 | ||||||||||
5.88%, 02/15/26 | 35 | 35,306 | ||||||||||
5.25%, 06/15/26 | 88 | 87,402 | ||||||||||
4.50%, 02/15/27 | 11 | 10,354 | ||||||||||
5.50%, 06/15/47 | 107 | 98,172 | ||||||||||
MEDNAX, Inc., 5.25%, 12/01/23(b) | 12 | 11,700 | ||||||||||
Molina Healthcare, Inc., 4.88%, 06/15/25(b) | 12 | 11,640 | ||||||||||
MPH Acquisition Holdings LLC, 7.13%, 06/01/24(b) | 53 | 54,325 | ||||||||||
NVA Holdings, Inc., 6.88%, 04/01/26(b) | 26 | 25,838 | ||||||||||
Polaris Intermediate Corp., 8.50% ( 8.50% Cash or 9.25% PIK), 12/01/22(b)(e) | 96 | 99,000 | ||||||||||
RegionalCare Hospital Partners Holdings, Inc., 8.25%, 05/01/23(b) | 15 | 15,778 | ||||||||||
Surgery Center Holdings, Inc.(b): | ||||||||||||
8.88%, 04/15/21 | 14 | 14,403 | ||||||||||
6.75%, 07/01/25 | 35 | 33,206 | ||||||||||
Team Health Holdings, Inc., 6.38%, 02/01/25(b) | 41 | 35,260 | ||||||||||
Tenet Healthcare Corp.: | ||||||||||||
6.00%, 10/01/20 | 27 | 27,742 | ||||||||||
7.50%, 01/01/22(b) | 32 | 33,280 | ||||||||||
8.13%, 04/01/22 | 78 | 81,551 | ||||||||||
6.75%, 06/15/23 | 36 | 35,820 | ||||||||||
4.63%, 07/15/24(b) | 121 | 114,611 | ||||||||||
Vizient, Inc., 10.38%, 03/01/24(b) | 38 | 41,895 | ||||||||||
WellCare Health Plans, Inc., 5.25%, 04/01/25 | 5 | 4,975 | ||||||||||
|
| |||||||||||
1,421,950 | ||||||||||||
Hotels, Restaurants & Leisure — 3.5% | ||||||||||||
1011778 BC ULC(b): | ||||||||||||
4.25%, 05/15/24 | 29 | 27,478 | ||||||||||
5.00%, 10/15/25 | 167 | 158,015 | ||||||||||
Boyd Gaming Corp., 6.00%, 08/15/26(b) | 19 | 18,810 | ||||||||||
Boyne USA, Inc., 7.25%, 05/01/25(b) | 8 | 8,340 | ||||||||||
Caesars Resort Collection LLC, 5.25%, 10/15/25(b) | 32 | 30,280 | ||||||||||
Churchill Downs, Inc., 4.75%, 01/15/28(b) | 10 | 9,250 | ||||||||||
Eldorado Resorts, Inc., 6.00%, 04/01/25 | 8 | 8,010 | ||||||||||
GLP Capital LP: | ||||||||||||
5.38%, 11/01/23 | 6 | 6,127 | ||||||||||
5.25%, 06/01/25 | 6 | 6,000 | ||||||||||
5.38%, 04/15/26 | 12 | 11,880 | ||||||||||
Golden Nugget, Inc., 6.75%, 10/15/24(b) | 42 | 42,007 | ||||||||||
Hilton Domestic Operating Co., Inc.: | ||||||||||||
4.25%, 09/01/24 | 12 | 11,400 | ||||||||||
5.13%, 05/01/26(b) | 28 | 27,510 | ||||||||||
IRB Holding Corp., 6.75%, 02/15/26(b) | 9 | 8,595 | ||||||||||
KFC Holding Co.(b): | ||||||||||||
5.00%, 06/01/24 | 10 | 9,872 | ||||||||||
5.25%, 06/01/26 | 37 | 36,445 | ||||||||||
4.75%, 06/01/27 | 2 | 1,890 | ||||||||||
MGM Resorts International: | ||||||||||||
6.75%, 10/01/20 | 9 | 9,427 | ||||||||||
6.63%, 12/15/21 | 94 | 99,053 | ||||||||||
7.75%, 03/15/22 | 44 | 47,740 | ||||||||||
4.63%, 09/01/26 | 2 | 1,850 | ||||||||||
Sabre GLBL, Inc.(b): | ||||||||||||
5.38%, 04/15/23 | 11 | 11,110 | ||||||||||
5.25%, 11/15/23 | 16 | 16,100 | ||||||||||
Scientific Games International, Inc.: | ||||||||||||
10.00%, 12/01/22 | 141 | 150,443 | ||||||||||
5.00%, 10/15/25(b) | 52 | 49,530 |
84 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
Silversea Cruise Finance Ltd., 7.25%, 02/01/25(b) | USD | 6 | $ | 6,480 | ||||||||
Six Flags Entertainment Corp., 4.88%, 07/31/24(b) | 53 | 51,609 | ||||||||||
Stars Group Holdings BV, 7.00%, 07/15/26(b) | 42 | 42,420 | ||||||||||
Station Casinos LLC, 5.00%, 10/01/25(b) | 27 | 25,380 | ||||||||||
Viking Cruises Ltd.(b): | ||||||||||||
6.25%, 05/15/25 | 41 | 40,180 | ||||||||||
5.88%, 09/15/27 | 56 | 52,920 | ||||||||||
Wyndham Destinations, Inc., 4.15%, 04/01/24 | 13 | 12,789 | ||||||||||
Yum! Brands, Inc., 3.88%, 11/01/23 | 2 | 1,910 | ||||||||||
|
| |||||||||||
1,040,850 | ||||||||||||
Household Durables — 1.2% | ||||||||||||
K. Hovnanian Enterprises, Inc., 10.00%, 07/15/22(b) | 17 | 17,893 | ||||||||||
Lennar Corp.: | ||||||||||||
6.63%, 05/01/20 | 6 | 6,300 | ||||||||||
8.38%, 01/15/21 | 44 | 48,070 | ||||||||||
4.75%, 04/01/21 | 4 | 4,057 | ||||||||||
4.13%, 01/15/22 | 28 | 27,720 | ||||||||||
5.38%, 10/01/22 | 2 | 2,040 | ||||||||||
4.75%, 11/15/22 | 28 | 28,000 | ||||||||||
5.25%, 06/01/26 | 14 | 13,720 | ||||||||||
4.75%, 11/29/27 | 40 | 37,512 | ||||||||||
LGI Homes, Inc., 6.88%, 07/15/26(b) | 14 | 13,965 | ||||||||||
Mattamy Group Corp.(b): | ||||||||||||
6.88%, 12/15/23 | 18 | 18,245 | ||||||||||
6.50%, 10/01/25 | 4 | 3,922 | ||||||||||
MDC Holdings, Inc., 6.00%, 01/15/43 | 20 | 17,358 | ||||||||||
Meritage Homes Corp., 5.13%, 06/06/27 | 9 | 8,370 | ||||||||||
PulteGroup, Inc.: | ||||||||||||
6.38%, 05/15/33 | 22 | 22,000 | ||||||||||
6.00%, 02/15/35 | 6 | 5,790 | ||||||||||
Tempur Sealy International, Inc., 5.50%, 06/15/26 | 18 | 17,415 | ||||||||||
TRI Pointe Group, Inc.: | ||||||||||||
4.38%, 06/15/19 | 10 | 10,052 | ||||||||||
4.88%, 07/01/21 | 15 | 15,094 | ||||||||||
5.88%, 06/15/24 | 15 | 14,887 | ||||||||||
5.25%, 06/01/27 | 6 | 5,505 | ||||||||||
William Lyon Homes, Inc.: | ||||||||||||
6.00%, 09/01/23(b) | 6 | 5,923 | ||||||||||
5.88%, 01/31/25 | 10 | 9,463 | ||||||||||
Williams Scotsman International, Inc., 7.88%, 12/15/22(b) | 13 | 13,455 | ||||||||||
|
| |||||||||||
366,756 | ||||||||||||
Household Products — 0.1% | ||||||||||||
Spectrum Brands, Inc.: | ||||||||||||
6.63%, 11/15/22 | 15 | 15,487 | ||||||||||
5.75%, 07/15/25 | 11 | 10,863 | ||||||||||
|
| |||||||||||
26,350 | ||||||||||||
Independent Power and Renewable Electricity Producers — 1.5% | ||||||||||||
AES Corp.: | ||||||||||||
5.50%, 04/15/25 | 10 | 10,075 | ||||||||||
6.00%, 05/15/26 | 21 | 21,735 | ||||||||||
5.13%, 09/01/27 | 37 | 36,907 | ||||||||||
Calpine Corp.: | ||||||||||||
5.38%, 01/15/23 | 24 | 22,830 | ||||||||||
5.88%, 01/15/24(b) | 46 | 45,540 | ||||||||||
5.75%, 01/15/25 | 10 | 9,144 | ||||||||||
5.25%, 06/01/26(b) | 80 | 75,350 | ||||||||||
NRG Energy, Inc.: | ||||||||||||
6.25%, 05/01/24 | 10 | 10,250 | ||||||||||
6.63%, 01/15/27 | 78 | 80,145 | ||||||||||
5.75%, 01/15/28(b) | 7 | 6,895 | ||||||||||
NRG Yield Operating LLC, 5.38%, 08/15/24 | 25 | 25,000 | ||||||||||
Pattern Energy Group, Inc., 5.88%, 02/01/24(b) | 16 | 16,000 |
Security | Par (000) | Value | ||||||||||
Independent Power and Renewable Electricity Producers (continued) | ||||||||||||
Talen Energy Supply LLC, 6.50%, 06/01/25 | USD | 19 | $ | 14,488 | ||||||||
Vistra Energy Corp.: | ||||||||||||
5.88%, 06/01/23 | 4 | 4,115 | ||||||||||
8.00%, 01/15/25(b) | 30 | 32,212 | ||||||||||
8.13%, 01/30/26(b) | 19 | 20,639 | ||||||||||
|
| |||||||||||
431,325 | ||||||||||||
Insurance — 0.9%(b) | ||||||||||||
Acrisure LLC, 7.00%, 11/15/25 | 12 | 10,920 | ||||||||||
Alliant Holdings Intermediate LLC, 8.25%, 08/01/23 | 114 | 117,691 | ||||||||||
AmWINS Group, Inc., 7.75%, 07/01/26 | 26 | 26,390 | ||||||||||
AssuredPartners, Inc., 7.00%, 08/15/25 | 2 | 1,925 | ||||||||||
HUB International Ltd., 7.00%, 05/01/26 | 55 | 54,312 | ||||||||||
NFP Corp., 6.88%, 07/15/25 | 10 | 9,800 | ||||||||||
USIS Merger Sub, Inc., 6.88%, 05/01/25 | 6 | 5,970 | ||||||||||
Wand Merger Corp.: | ||||||||||||
8.13%, 07/15/23 | 18 | 18,247 | ||||||||||
9.13%, 07/15/26 | 19 | 19,238 | ||||||||||
|
| |||||||||||
264,493 | ||||||||||||
Internet & Direct Marketing Retail — 0.3% | ||||||||||||
Netflix, Inc.: | ||||||||||||
5.50%, 02/15/22 | 42 | 43,201 | ||||||||||
4.38%, 11/15/26 | 6 | 5,609 | ||||||||||
5.88%, 11/15/28(b) | 40 | 40,388 | ||||||||||
|
| |||||||||||
89,198 | ||||||||||||
Internet Software & Services — 0.7% | ||||||||||||
GTT Communications, Inc., 7.88%, 12/31/24(b) | 26 | 25,740 | ||||||||||
Rackspace Hosting, Inc., 8.63%, 11/15/24(b) | 19 | 19,095 | ||||||||||
Zayo Group LLC: | ||||||||||||
6.00%, 04/01/23 | 58 | 59,015 | ||||||||||
6.38%, 05/15/25 | 9 | 9,169 | ||||||||||
5.75%, 01/15/27(b) | 111 | 109,057 | ||||||||||
|
| |||||||||||
222,076 | ||||||||||||
IT Services — 1.5%(b) | ||||||||||||
Alliance Data Systems Corp.: | ||||||||||||
5.88%, 11/01/21 | 49 | 49,980 | ||||||||||
5.38%, 08/01/22 | 67 | 67,327 | ||||||||||
First Data Corp.: | ||||||||||||
7.00%, 12/01/23 | 67 | 69,786 | ||||||||||
5.75%, 01/15/24 | 191 | 191,004 | ||||||||||
Gartner, Inc., 5.13%, 04/01/25 | 22 | 21,890 | ||||||||||
WEX, Inc., 4.75%, 02/01/23 | 58 | 58,272 | ||||||||||
|
| |||||||||||
458,259 | ||||||||||||
Leisure Products — 0.1% | ||||||||||||
Mattel, Inc.: | ||||||||||||
6.75%, 12/31/25(b) | 31 | 30,186 | ||||||||||
6.20%, 10/01/40 | 7 | 5,968 | ||||||||||
5.45%, 11/01/41 | 4 | 3,220 | ||||||||||
|
| |||||||||||
39,374 | ||||||||||||
Life Sciences Tools & Services — 0.0% | ||||||||||||
Charles River Laboratories International, Inc., 5.50%, 04/01/26(b) | 13 | 13,029 | ||||||||||
|
| |||||||||||
Machinery — 2.2% | ||||||||||||
BlueLine Rental Finance Corp., 9.25%, 03/15/24(b) | 147 | 156,393 | ||||||||||
EnPro Industries, Inc., 5.88%, 09/15/22 | 13 | 13,260 | ||||||||||
Grinding Media, Inc., 7.38%, 12/15/23(b) | 26 | 27,105 | ||||||||||
Mueller Water Products, Inc., 5.50%, 06/15/26(b) | 17 | 17,127 | ||||||||||
Navistar International Corp., 6.63%, 11/01/25(b) | 29 | 29,798 | ||||||||||
Novelis Corp.(b): | ||||||||||||
6.25%, 08/15/24 | 182 | 182,000 | ||||||||||
5.88%, 09/30/26 | 45 | 43,088 |
SCHEDULES OF INVESTMENTS | 85 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Machinery (continued) | ||||||||||||
RBS Global, Inc., 4.88%, 12/15/25(b) | USD | 30 | $ | 28,200 | ||||||||
SPX FLOW, Inc., 5.63%, 08/15/24(b) | 16 | 15,880 | ||||||||||
Terex Corp., 5.63%, 02/01/25(b) | 35 | 34,825 | ||||||||||
Titan Acquisition Ltd., 7.75%, 04/15/26(b) | 84 | 78,330 | ||||||||||
Wabash National Corp., 5.50%, 10/01/25(b) | 23 | 22,080 | ||||||||||
|
| |||||||||||
648,086 | ||||||||||||
Media — 6.9% | ||||||||||||
Acosta, Inc., 7.75%, 10/01/22(b) | 23 | 11,385 | ||||||||||
Altice Financing SA, 7.50%, 05/15/26(b) | 200 | 193,440 | ||||||||||
Altice Luxembourg SA, 7.75%, 05/15/22(b) | 200 | 193,500 | ||||||||||
Altice US Finance I Corp., 5.38%, 07/15/23(b) | 200 | 199,000 | ||||||||||
AMC Networks, Inc.: | ||||||||||||
5.00%, 04/01/24 | 12 | 11,820 | ||||||||||
4.75%, 08/01/25 | 34 | 32,683 | ||||||||||
Cablevision Systems Corp., 8.00%, 04/15/20 | 15 | 15,745 | ||||||||||
Cequel Communications Holdings I LLC: | ||||||||||||
5.13%, 12/15/21(b) | 164 | 162,984 | ||||||||||
Clear Channel International BV, 8.75%, 12/15/20(b) | 96 | 99,240 | ||||||||||
Clear Channel Worldwide Holdings, Inc.: | ||||||||||||
Series B, 7.63%, 03/15/20 | 67 | 66,601 | ||||||||||
Series A, 6.50%, 11/15/22 | 328 | 334,475 | ||||||||||
CSC Holdings LLC: | ||||||||||||
10.13%, 01/15/23(b) | 200 | 220,500 | ||||||||||
5.25%, 06/01/24 | 31 | 29,295 | ||||||||||
DISH DBS Corp.: | ||||||||||||
5.88%, 07/15/22 | 112 | 105,280 | ||||||||||
5.00%, 03/15/23 | 23 | 19,952 | ||||||||||
5.88%, 11/15/24 | 8 | 6,770 | ||||||||||
7.75%, 07/01/26 | 66 | 57,833 | ||||||||||
DISH Network Corp., 3.38%, 08/15/26(g) | 23 | 22,278 | ||||||||||
Live Nation Entertainment, Inc., 4.88%, 11/01/24(b) | 3 | 2,902 | ||||||||||
MDC Partners, Inc., 6.50%, 05/01/24(b) | 38 | 32,965 | ||||||||||
Meredith Corp., 6.88%, 02/01/26(b) | 16 | 15,780 | ||||||||||
Midcontinent Communications, 6.88%, 08/15/23(b) | 28 | 29,295 | ||||||||||
Outfront Media Capital LLC: | ||||||||||||
5.63%, 02/15/24 | 4 | 4,048 | ||||||||||
5.88%, 03/15/25 | 5 | 5,041 | ||||||||||
Radiate Holdco LLC(b): | ||||||||||||
6.88%, 02/15/23 | 6 | 5,760 | ||||||||||
6.63%, 02/15/25 | 24 | 21,960 | ||||||||||
Sirius XM Radio, Inc.(b): | ||||||||||||
5.38%, 04/15/25 | 15 | 14,794 | ||||||||||
5.00%, 08/01/27 | 18 | 16,852 | ||||||||||
TEGNA, Inc., 5.50%, 09/15/24(b) | 8 | 8,000 | ||||||||||
Tribune Media Co., 5.88%, 07/15/22 | 7 | 7,065 | ||||||||||
Univision Communications, Inc.(b): | ||||||||||||
6.75%, 09/15/22 | 1 | 1,024 | ||||||||||
5.13%, 05/15/23 | 20 | 19,200 | ||||||||||
5.13%, 02/15/25 | 23 | 21,246 | ||||||||||
Videotron Ltd., 5.13%, 04/15/27(b) | 46 | 44,629 | ||||||||||
WMG Acquisition Corp., 5.50%, 04/15/26(b) | 12 | 11,895 | ||||||||||
|
| |||||||||||
2,045,237 | ||||||||||||
Metals & Mining — 3.5% | ||||||||||||
Big River Steel LLC, 7.25%, 09/01/25(b) | 21 | 21,580 | ||||||||||
Cleveland-Cliffs, Inc., 4.88%, 01/15/24(b) | 20 | 19,300 | ||||||||||
Constellium NV, 5.88%, 02/15/26(b) | 250 | 241,251 | ||||||||||
Freeport-McMoRan, Inc.: | ||||||||||||
3.10%, 03/15/20 | 42 | 41,160 | ||||||||||
4.00%, 11/14/21 | 22 | 21,450 | ||||||||||
3.55%, 03/01/22 | 78 | 74,100 | ||||||||||
3.88%, 03/15/23 | 123 | 116,235 | ||||||||||
5.40%, 11/14/34 | 5 | 4,537 | ||||||||||
5.45%, 03/15/43 | 135 | 118,422 |
Security | Par (000) | Value | ||||||||||
Metals & Mining (continued) | ||||||||||||
Joseph T. Ryerson & Son, Inc., 11.00%, 05/15/22(b) | USD | 22 | $ | 24,200 | ||||||||
Kaiser Aluminum Corp., 5.88%, 05/15/24 | 14 | 14,280 | ||||||||||
Steel Dynamics, Inc.: | ||||||||||||
5.13%, 10/01/21 | 35 | 35,306 | ||||||||||
5.25%, 04/15/23 | 7 | 7,061 | ||||||||||
5.50%, 10/01/24 | 38 | 38,713 | ||||||||||
4.13%, 09/15/25 | 22 | 21,093 | ||||||||||
SunCoke Energy Partners LP, 7.50%, 06/15/25(b) | 31 | 31,542 | ||||||||||
Teck Resources Ltd.: | ||||||||||||
4.50%, 01/15/21 | 8 | 8,000 | ||||||||||
3.75%, 02/01/23 | 81 | 76,849 | ||||||||||
5.20%, 03/01/42 | 57 | 49,946 | ||||||||||
5.40%, 02/01/43 | 22 | 19,745 | ||||||||||
United States Steel Corp.: | ||||||||||||
6.88%, 08/15/25 | 28 | 28,167 | ||||||||||
6.25%, 03/15/26 | 23 | 22,684 | ||||||||||
|
| |||||||||||
1,035,621 | ||||||||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.0% | ||||||||||||
Starwood Property Trust, Inc., 5.00%, 12/15/21 | 12 | 12,090 | ||||||||||
|
| |||||||||||
Multiline Retail — 0.1% | ||||||||||||
JC Penney Corp., Inc., 8.13%, 10/01/19 | 2 | 2,065 | ||||||||||
Neiman Marcus Group Ltd. LLC, 8.00%, 10/15/21(b) | 29 | 19,176 | ||||||||||
|
| |||||||||||
21,241 | ||||||||||||
Oil, Gas & Consumable Fuels — 10.1% | ||||||||||||
Alta Mesa Holdings LP, 7.88%, 12/15/24 | 14 | 14,822 | ||||||||||
Antero Midstream Partners LP, 5.38%, 09/15/24 | 5 | 5,037 | ||||||||||
Antero Resources Corp.: | ||||||||||||
5.13%, 12/01/22 | 12 | 12,030 | ||||||||||
5.63%, 06/01/23 | 10 | 10,125 | ||||||||||
5.00%, 03/01/25 | 8 | 7,960 | ||||||||||
Ascent Resources Utica Holdings LLC, 10.00%, 04/01/22(b) | 21 | 23,100 | ||||||||||
Berry Petroleum Co. LLC, 7.00%, 02/15/26(b) | 8 | 8,180 | ||||||||||
California Resources Corp., 8.00%, 12/15/22(b) | 29 | 26,317 | ||||||||||
Callon Petroleum Co.: | ||||||||||||
6.13%, 10/01/24 | 26 | 26,325 | ||||||||||
6.38%, 07/01/26(b) | 17 | 17,042 | ||||||||||
Calumet Specialty Products Partners LP: | ||||||||||||
6.50%, 04/15/21 | 4 | 3,980 | ||||||||||
7.63%, 01/15/22 | 14 | 14,000 | ||||||||||
Carrizo Oil & Gas, Inc.: | ||||||||||||
6.25%, 04/15/23 | 22 | 22,275 | ||||||||||
8.25%, 07/15/25 | 18 | 19,080 | ||||||||||
Chaparral Energy, Inc., 8.75%, 07/15/23(b) | 21 | 21,144 | ||||||||||
Cheniere Corpus Christi Holdings LLC: | ||||||||||||
7.00%, 06/30/24 | 100 | 109,000 | ||||||||||
5.88%, 03/31/25 | 25 | 26,000 | ||||||||||
5.13%, 06/30/27 | 15 | 14,869 | ||||||||||
Cheniere Energy Partners LP, 5.25%, 10/01/25(b) | 53 | 51,699 | ||||||||||
Chesapeake Energy Corp.: | ||||||||||||
8.00%, 01/15/25 | 10 | 10,184 | ||||||||||
8.00%, 06/15/27 | 83 | 84,453 | ||||||||||
CNX Resources Corp., 5.88%, 04/15/22 | 170 | 170,882 | ||||||||||
CONSOL Energy, Inc., 11.00%, 11/15/25(b) | 38 | 41,800 | ||||||||||
Covey Park Energy LLC, 7.50%, 05/15/25(b) | 54 | 55,080 | ||||||||||
Crestwood Midstream Partners LP, 6.25%, 04/01/23 | 5 | 5,087 | ||||||||||
CrownRock LP, 5.63%, 10/15/25(b) | 59 | 56,935 | ||||||||||
DCP Midstream Operating LP(b): | ||||||||||||
4.75%, 09/30/21 | 35 | 35,350 | ||||||||||
6.45%, 11/03/36 | 17 | 17,892 | ||||||||||
6.75%, 09/15/37 | 29 | 30,740 | ||||||||||
Denbury Resources, Inc., 9.25%, 03/31/22(b) | 50 | 53,000 |
86 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
Diamondback Energy, Inc.: | ||||||||||||
4.75%, 11/01/24 | USD | 31 | $ | 30,225 | ||||||||
5.38%, 05/31/25 | 7 | 7,000 | ||||||||||
5.38%, 05/31/25(b) | 4 | 3,990 | ||||||||||
Eclipse Resources Corp., 8.88%, 07/15/23 | 5 | 4,738 | ||||||||||
Endeavor Energy Resources LP(b): | ||||||||||||
5.50%, 01/30/26 | 8 | 7,760 | ||||||||||
5.75%, 01/30/28 | 10 | 9,750 | ||||||||||
Energy Transfer Equity LP: | ||||||||||||
4.25%, 03/15/23 | 34 | 32,810 | ||||||||||
5.88%, 01/15/24 | 13 | 13,325 | ||||||||||
5.50%, 06/01/27 | 20 | 20,000 | ||||||||||
EnLink Midstream Partners LP: | ||||||||||||
4.15%, 06/01/25 | 4 | 3,697 | ||||||||||
4.85%, 07/15/26 | 4 | 3,790 | ||||||||||
EP Energy LLC: | ||||||||||||
9.38%, 05/01/20 | 2 | 1,975 | ||||||||||
9.38%, 05/01/24(b) | 53 | 43,460 | ||||||||||
8.00%, 11/29/24(b) | 2 | 2,020 | ||||||||||
7.75%, 05/15/26(b) | 45 | 46,012 | ||||||||||
Extraction Oil & Gas, Inc.(b): | ||||||||||||
7.38%, 05/15/24 | 21 | 21,998 | ||||||||||
5.63%, 02/01/26 | 49 | 46,920 | ||||||||||
Genesis Energy LP: | ||||||||||||
6.50%, 10/01/25 | 11 | 10,560 | ||||||||||
6.25%, 05/15/26 | 16 | 15,080 | ||||||||||
Great Western Petroleum LLC, 9.00%, 09/30/21(b) | 56 | 57,120 | ||||||||||
Gulfport Energy Corp.: | ||||||||||||
6.63%, 05/01/23 | 22 | 22,165 | ||||||||||
6.00%, 10/15/24 | 16 | 15,400 | ||||||||||
6.38%, 01/15/26 | 5 | 4,800 | ||||||||||
Halcon Resources Corp., 6.75%, 02/15/25 | 57 | 53,295 | ||||||||||
Hess Infrastructure Partners LP, 5.63%, 02/15/26(b) | 45 | 44,888 | ||||||||||
Indigo Natural Resources LLC, 6.88%, 02/15/26(b) | 9 | 8,685 | ||||||||||
Jagged Peak Energy LLC, 5.88%, 05/01/26(b) | 17 | 16,660 | ||||||||||
Matador Resources Co., 6.88%, 04/15/23 | 26 | 27,235 | ||||||||||
MEG Energy Corp.(b): | ||||||||||||
6.38%, 01/30/23 | 49 | 45,570 | ||||||||||
6.50%, 01/15/25 | 62 | 61,845 | ||||||||||
Murphy Oil Corp.: | ||||||||||||
4.45%, 12/01/22 | 11 | 10,834 | ||||||||||
5.75%, 08/15/25 | 2 | 1,994 | ||||||||||
5.87%, 12/01/42 | 6 | 5,430 | ||||||||||
Newfield Exploration Co., 5.38%, 01/01/26 | 35 | 35,788 | ||||||||||
NGL Energy Partners LP, 6.88%, 10/15/21 | 62 | 62,775 | ||||||||||
NGPL PipeCo LLC(b): | ||||||||||||
4.38%, 08/15/22 | 21 | 20,790 | ||||||||||
4.88%, 08/15/27 | 16 | 15,800 | ||||||||||
7.77%, 12/15/37 | 35 | 41,125 | ||||||||||
Oasis Petroleum, Inc., 6.88%, 01/15/23 | 2 | 2,035 | ||||||||||
Parkland Fuel Corp., 6.00%, 04/01/26(b) | 5 | 4,925 | ||||||||||
Parsley Energy LLC(b): | ||||||||||||
6.25%, 06/01/24 | 9 | 9,337 | ||||||||||
5.38%, 01/15/25 | 42 | 41,685 | ||||||||||
5.25%, 08/15/25 | 9 | 8,843 | ||||||||||
5.63%, 10/15/27 | 4 | 3,970 | ||||||||||
PBF Holding Co. LLC, 7.25%, 06/15/25 | 24 | 25,230 | ||||||||||
PDC Energy, Inc., 6.13%, 09/15/24 | 2 | 2,040 | ||||||||||
QEP Resources, Inc.: | ||||||||||||
5.38%, 10/01/22 | 33 | 33,577 | ||||||||||
5.63%, 03/01/26 | 41 | 39,258 | ||||||||||
Range Resources Corp.: | ||||||||||||
5.88%, 07/01/22 | 13 | 13,162 | ||||||||||
5.00%, 03/15/23 | 13 | 12,578 |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
4.88%, 05/15/25 | USD | 38 | $ | 35,625 | ||||||||
Resolute Energy Corp., 8.50%, 05/01/20 | 44 | 43,890 | ||||||||||
Rockies Express Pipeline LLC(b): | ||||||||||||
6.85%, 07/15/18 | 5 | 5,004 | ||||||||||
6.00%, 01/15/19 | 17 | 17,191 | ||||||||||
5.63%, 04/15/20 | 15 | 15,357 | ||||||||||
6.88%, 04/15/40 | 66 | 75,240 | ||||||||||
RSP Permian, Inc., 6.63%, 10/01/22 | 3 | 3,152 | ||||||||||
Sanchez Energy Corp.: | ||||||||||||
7.75%, 06/15/21 | 127 | 108,268 | ||||||||||
6.13%, 01/15/23 | 33 | 22,440 | ||||||||||
7.25%, 02/15/23(b) | 12 | 11,880 | ||||||||||
Seven Generations Energy Ltd.(b): | ||||||||||||
6.88%, 06/30/23 | 8 | 8,250 | ||||||||||
5.38%, 09/30/25 | 28 | 26,915 | ||||||||||
SM Energy Co.: | ||||||||||||
6.50%, 11/15/21 | 20 | 20,460 | ||||||||||
6.13%, 11/15/22 | 9 | 9,225 | ||||||||||
6.50%, 01/01/23 | 10 | 10,100 | ||||||||||
5.00%, 01/15/24 | 4 | 3,785 | ||||||||||
5.63%, 06/01/25 | 14 | 13,335 | ||||||||||
6.75%, 09/15/26 | 14 | 14,035 | ||||||||||
Southern Star Central Corp., 5.13%, 07/15/22(b) | 3 | 2,993 | ||||||||||
Southwestern Energy Co.: | ||||||||||||
6.70%, 01/23/25 | 20 | 19,575 | ||||||||||
7.50%, 04/01/26 | 25 | 25,875 | ||||||||||
7.75%, 10/01/27 | 20 | 20,750 | ||||||||||
Sunoco LP(b): | ||||||||||||
4.88%, 01/15/23 | 44 | 42,240 | ||||||||||
5.88%, 03/15/28 | 2 | 1,886 | ||||||||||
Tallgrass Energy Partners LP(b): | ||||||||||||
5.50%, 09/15/24 | 48 | 48,960 | ||||||||||
5.50%, 01/15/28 | 67 | 65,828 | ||||||||||
Targa Resources Partners LP: | ||||||||||||
5.25%, 05/01/23 | 2 | 2,000 | ||||||||||
5.13%, 02/01/25 | 24 | 23,700 | ||||||||||
5.88%, 04/15/26(b) | 27 | 27,203 | ||||||||||
5.00%, 01/15/28(b) | 22 | 20,460 | ||||||||||
TerraForm Power Operating LLC(b): | ||||||||||||
4.25%, 01/31/23 | 19 | 18,335 | ||||||||||
5.00%, 01/31/28 | 20 | 18,950 | ||||||||||
Whiting Petroleum Corp., 6.63%, 01/15/26(b) | 28 | 28,840 | ||||||||||
WildHorse Resource Development Corp., 6.88%, 02/01/25(b) | 14 | 14,263 | ||||||||||
Williams Cos., Inc. (The): | ||||||||||||
4.55%, 06/24/24 | 4 | 4,000 | ||||||||||
8.75%, 03/15/32 | 7 | 9,025 | ||||||||||
5.75%, 06/24/44 | 56 | 57,890 | ||||||||||
WPX Energy, Inc.: | ||||||||||||
6.00%, 01/15/22 | 6 | 6,240 | ||||||||||
5.25%, 09/15/24 | 12 | 11,805 | ||||||||||
5.75%, 06/01/26 | 16 | 15,955 | ||||||||||
|
| |||||||||||
2,999,262 | ||||||||||||
Paper & Forest Products — 0.2% | ||||||||||||
Mercer International, Inc.: | ||||||||||||
6.50%, 02/01/24 | 15 | 15,188 | ||||||||||
5.50%, 01/15/26(b) | 13 | 12,610 | ||||||||||
Norbord, Inc., 6.25%, 04/15/23(b) | 24 | 25,022 | ||||||||||
PH Glatfelter Co., 5.38%, 10/15/20 | 8 | 8,020 | ||||||||||
|
| |||||||||||
60,840 | ||||||||||||
Pharmaceuticals — 2.2% | ||||||||||||
Catalent Pharma Solutions, Inc., 4.88%, 01/15/26(b) | 35 | 33,610 |
SCHEDULES OF INVESTMENTS | 87 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Pharmaceuticals (continued) | ||||||||||||
Endo Finance LLC(b): | ||||||||||||
7.25%, 01/15/22 | USD | 5 | $ | 4,600 | ||||||||
5.38%, 01/15/23 | 60 | 48,000 | ||||||||||
inVentiv Group Holdings, Inc., 7.50%, 10/01/24(b) | 25 | 26,312 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV, 1.70%, 07/19/19 | 43 | 41,978 | ||||||||||
Valeant Pharmaceuticals International, Inc.(b): | ||||||||||||
7.50%, 07/15/21 | 51 | 51,797 | ||||||||||
5.63%, 12/01/21 | 14 | 13,773 | ||||||||||
6.50%, 03/15/22 | 36 | 37,260 | ||||||||||
7.25%, 07/15/22 | 2 | 2,048 | ||||||||||
5.50%, 03/01/23 | 63 | 58,590 | ||||||||||
5.88%, 05/15/23 | 95 | 89,241 | ||||||||||
7.00%, 03/15/24 | 56 | 58,713 | ||||||||||
6.13%, 04/15/25 | 62 | 57,117 | ||||||||||
5.50%, 11/01/25 | 64 | 63,072 | ||||||||||
9.25%, 04/01/26 | 9 | 9,349 | ||||||||||
8.50%, 01/31/27 | 64 | 64,800 | ||||||||||
|
| |||||||||||
660,260 | ||||||||||||
Professional Services — 0.4%(b) | ||||||||||||
Booz Allen Hamilton, Inc., 5.13%, 05/01/25 | 9 | 8,797 | ||||||||||
Jaguar Holding Co. II, 6.38%, 08/01/23 | 98 | 97,530 | ||||||||||
|
| |||||||||||
106,327 | ||||||||||||
Real Estate Management & Development — 0.4%(b) | ||||||||||||
Five Point Operating Co. LP, 7.88%, 11/15/25 | 16 | 16,300 | ||||||||||
Greystar Real Estate Partners LLC, 5.75%, 12/01/25 | 18 | 17,460 | ||||||||||
Howard Hughes Corp. (The), 5.38%, 03/15/25 | 37 | 36,306 | ||||||||||
Realogy Group LLC: | ||||||||||||
4.50%, 04/15/19 | 5 | 5,013 | ||||||||||
5.25%, 12/01/21 | 27 | 26,865 | ||||||||||
4.88%, 06/01/23 | 10 | 9,400 | ||||||||||
|
| |||||||||||
111,344 | ||||||||||||
Road & Rail — 0.7%(b) | ||||||||||||
Avis Budget Car Rental LLC, 5.13%, 06/01/22 | 64 | 62,560 | ||||||||||
Herc Rentals, Inc.: | ||||||||||||
7.50%, 06/01/22 | 7 | 7,402 | ||||||||||
7.75%, 06/01/24 | 20 | 21,350 | ||||||||||
Hertz Corp. (The), 7.63%, 06/01/22 | 39 | 37,440 | ||||||||||
Park Aerospace Holdings Ltd.: | ||||||||||||
3.63%, 03/15/21 | 26 | 25,188 | ||||||||||
5.25%, 08/15/22 | 27 | 26,730 | ||||||||||
Watco Cos. LLC, 6.38%, 04/01/23 | 34 | 34,553 | ||||||||||
|
| |||||||||||
215,223 | ||||||||||||
Semiconductors & Semiconductor Equipment — 0.8% | ||||||||||||
Advanced Micro Devices, Inc., 7.50%, 08/15/22 | 10 | 11,050 | ||||||||||
Entegris, Inc., 4.63%, 02/10/26(b) | 20 | 19,050 | ||||||||||
Micron Technology, Inc., 5.50%, 02/01/25 | 2 | 2,082 | ||||||||||
NXP BV, 4.13%, 06/01/21(b) | 200 | 199,500 | ||||||||||
|
| |||||||||||
231,682 | ||||||||||||
Software — 3.7% | ||||||||||||
Ascend Learning LLC, 6.88%, 08/01/25(b) | 29 | 29,254 | ||||||||||
BMC Software Finance, Inc., 8.13%, 07/15/21(b) | 27 | 27,608 | ||||||||||
CDK Global, Inc.: | ||||||||||||
5.88%, 06/15/26 | 20 | 20,380 | ||||||||||
4.88%, 06/01/27 | 43 | 41,226 | ||||||||||
Change Healthcare Holdings LLC, 5.75%, 03/01/25(b) | 24 | 22,706 | ||||||||||
Genesys Telecommunications Laboratories, Inc., 10.00%, 11/30/24(b) | 77 | 85,942 | ||||||||||
Infor Software Parent LLC, 7.13% ( 7.13% Cash or 7.88% PIK), 05/01/21(b)(e) | 42 | 42,105 | ||||||||||
Infor US, Inc., 6.50%, 05/15/22 | 272 | 272,340 |
Security | Par (000) | Value | ||||||||||
Software (continued) | ||||||||||||
Informatica LLC, 7.13%, 07/15/23(b) | USD | 97 | $ | 97,991 | ||||||||
Nuance Communications, Inc.: | ||||||||||||
5.38%, 08/15/20(b) | 1 | 1,000 | ||||||||||
6.00%, 07/01/24 | 27 | 27,236 | ||||||||||
5.63%, 12/15/26 | 25 | 24,438 | ||||||||||
PTC, Inc., 6.00%, 05/15/24 | 22 | 22,880 | ||||||||||
RP Crown Parent LLC, 7.38%, 10/15/24(b) | 47 | 48,396 | ||||||||||
Solera LLC, 10.50%, 03/01/24(b) | 176 | 195,471 | ||||||||||
Sophia LP, 9.00%, 09/30/23(b) | 31 | 32,546 | ||||||||||
Symantec Corp., 5.00%, 04/15/25(b) | 22 | 21,313 | ||||||||||
TIBCO Software, Inc., 11.38%, 12/01/21(b) | 84 | 90,720 | ||||||||||
|
| |||||||||||
1,103,552 | ||||||||||||
Specialty Retail — 0.6% | ||||||||||||
Asbury Automotive Group, Inc., 6.00%, 12/15/24 | 36 | 35,674 | ||||||||||
Group 1 Automotive, Inc.: | ||||||||||||
5.00%, 06/01/22 | 10 | 9,925 | ||||||||||
5.25%, 12/15/23(b) | 4 | 3,840 | ||||||||||
L Brands, Inc.: | ||||||||||||
6.88%, 11/01/35 | 44 | 39,160 | ||||||||||
6.75%, 07/01/36 | 5 | 4,400 | ||||||||||
Penske Automotive Group, Inc.: | ||||||||||||
5.75%, 10/01/22 | 21 | 21,262 | ||||||||||
5.50%, 05/15/26 | 8 | 7,840 | ||||||||||
SRS Distribution, Inc., 8.25%, 07/01/26(b) | 18 | 17,910 | ||||||||||
Staples, Inc., 8.50%, 09/15/25(b) | 28 | 26,110 | ||||||||||
|
| |||||||||||
166,121 | ||||||||||||
Technology Hardware, Storage & Peripherals — 0.5% | ||||||||||||
Dell International LLC, 7.13%, 06/15/24(b) | 68 | 72,041 | ||||||||||
Western Digital Corp., 4.75%, 02/15/26 | 78 | 75,855 | ||||||||||
|
| |||||||||||
147,896 | ||||||||||||
Thrifts & Mortgage Finance — 0.1% | ||||||||||||
Ladder Capital Finance Holdings LLLP, 5.25%, 10/01/25(b) | 33 | 30,972 | ||||||||||
|
| |||||||||||
Trading Companies & Distributors — 1.1% | ||||||||||||
Beacon Roofing Supply, Inc., 4.88%, 11/01/25(b) | 25 | 22,985 | ||||||||||
Flexi-Van Leasing, Inc., 10.00%, 02/15/23(b) | 15 | 14,175 | ||||||||||
Fortress Transportation & Infrastructure Investors LLC, 6.75%, 03/15/22(b) | 8 | 8,180 | ||||||||||
HD Supply, Inc., 5.75%, 04/15/24(b)(h) | 206 | 216,043 | ||||||||||
United Rentals North America, Inc.: | ||||||||||||
4.63%, 10/15/25 | 42 | 40,005 | ||||||||||
5.88%, 09/15/26 | 23 | 23,230 | ||||||||||
4.88%, 01/15/28 | 15 | 13,889 | ||||||||||
|
| |||||||||||
338,507 | ||||||||||||
Water Utilities — 0.1% | ||||||||||||
Core & Main LP, 6.13%, 08/15/25(b) | 43 | 40,742 | ||||||||||
|
| |||||||||||
Wireless Telecommunication Services — 3.0% | ||||||||||||
Digicel Ltd., 6.00%, 04/15/21(b) | 200 | 181,250 | ||||||||||
Hughes Satellite Systems Corp.: | ||||||||||||
7.63%, 06/15/21 | 10 | 10,637 | ||||||||||
5.25%, 08/01/26 | 65 | 60,938 | ||||||||||
Sprint Communications, Inc.(b): | ||||||||||||
9.00%, 11/15/18 | 47 | 47,940 | ||||||||||
7.00%, 03/01/20 | 41 | 42,537 | ||||||||||
Sprint Corp.: | ||||||||||||
7.88%, 09/15/23 | 53 | 54,955 | ||||||||||
7.13%, 06/15/24 | 231 | 233,215 | ||||||||||
7.63%, 02/15/25 | 18 | 18,360 | ||||||||||
7.63%, 03/01/26 | 91 | 92,820 | ||||||||||
T-Mobile USA, Inc.: | ||||||||||||
4.00%, 04/15/22 | 14 | 13,857 |
88 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Wireless Telecommunication Services (continued) | ||||||||||||
6.38%, 03/01/25 | USD | 28 | $ | 28,986 | ||||||||
6.50%, 01/15/26 | 18 | 18,563 | ||||||||||
4.50%, 02/01/26 | 67 | 62,561 | ||||||||||
4.75%, 02/01/28 | 12 | 11,115 | ||||||||||
|
| |||||||||||
877,734 | ||||||||||||
Total Corporate Bonds — 80.8% |
| 24,035,572 | ||||||||||
|
| |||||||||||
Floating Rate Loan Interests — 11.2%(i) |
| |||||||||||
Aerospace & Defense — 0.1% | ||||||||||||
Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (LIBOR USD 1 Month + 5.00%), 7.05%, 11/28/21 | 20 | 19,825 | ||||||||||
Sequa Mezzanine Holdings LLC, 2nd Lien Term Loan, (LIBOR USD 3 Month + 9.00%), 11.10%, 04/28/22(d) | 8 | 7,980 | ||||||||||
WP CPP Holdings, Term Loan B, (LIBOR USD 6 Month + 3.75%), 6.28%, 03/16/25 | 6 | 6,021 | ||||||||||
|
| |||||||||||
33,826 | ||||||||||||
Air Freight & Logistics — 0.2% | ||||||||||||
Ceva Group plc, Term Loan, (LIBOR USD 3 Month - 0.10%), 2.21%, 03/19/21 | 15 | 14,727 | ||||||||||
Ceva Intercompany BV, Term Loan, (LIBOR USD 3 Month + 5.50%), 7.86%, 03/19/21 | 6 | 6,166 | ||||||||||
CEVA Logistics Holdings, Inc., Term Loan B, (LIBOR USD 3 Month + 5.50%), 7.86%, 03/19/21 | 26 | 25,855 | ||||||||||
Ceva Logistics ULC, Term Loan, (LIBOR USD 3 Month + 5.50%), 7.86%, 03/19/21 | 3 | 2,899 | ||||||||||
|
| |||||||||||
49,647 | ||||||||||||
Airlines — 0.0%(d) | ||||||||||||
Northwest Airlines, Inc., Term Loan, (LIBOR USD 6 Month + 1.23%), 3.30%, 09/10/18 | 2 | 1,576 | ||||||||||
Northwest Airlines, Inc., Term Loan 2, (LIBOR USD 6 Month + 1.23%), 3.30%, 09/10/18 | 2 | 1,493 | ||||||||||
Northwest Airlines, Inc., Term Loan 5, (LIBOR USD 6 Month + 1.23%), 3.30%, 09/10/18 | 2 | 1,491 | ||||||||||
|
| |||||||||||
4,560 | ||||||||||||
Auto Components — 0.0% | ||||||||||||
Mavis Tire Express, 1st Lien Term Loan, (LIBOR USD 1 Month + 3.25%), 5.33%, 03/15/25 | 7 | 7,208 | ||||||||||
Mavis Tire Express, Delayed Draw 1st Lien Term Loan, (LIBOR USD 1 Month + 3.25%), 0.00% - 5.33%, 03/15/25 | — | (j) | 64 | |||||||||
|
| |||||||||||
7,272 | ||||||||||||
Chemicals — 0.7% | ||||||||||||
Alpha 3 BV, Term Loan, (LIBOR USD 3 Month + 3.00%), 5.33%, 01/31/24 | 14 | 14,183 | ||||||||||
Ascend Performance Materials Operations LLC, 1st Lien Term Loan B, (LIBOR USD 1 Month + 5.25%), 7.13%, 08/12/22 | 163 | 163,495 | ||||||||||
Greenrock Finance, Inc., Term Loan, (LIBOR USD 1 Month + 3.50%), 5.59%, 06/28/24 | 6 | 5,963 | ||||||||||
Invictus Co., Term Loan B, (LIBOR USD 3 Month + 3.00%), 5.10%, 03/28/25 | 12 | 11,603 | ||||||||||
Invictus Co., Term Loan B26, (LIBOR USD 3 Month + 6.75%), 8.73%, 03/30/26 | 6 | 6,038 | ||||||||||
|
| |||||||||||
201,282 | ||||||||||||
Commercial Services & Supplies — 0.5% | ||||||||||||
Access CIG LLC, 1st Lien Term Loan, 02/27/25(k) | 1 | 1,000 | ||||||||||
Access CIG LLC, 2nd Lien Term Loan: | ||||||||||||
, 02/27/26(k) | 1 | 999 |
Security | Par (000) | Value | ||||||||||
Commercial Services & Supplies (continued) | ||||||||||||
Access CIG LLC, Initial Loan 2nd Lien Term Loan, (LIBOR USD 1 Month + 7.75%), 9.84%, 02/27/26 | USD | 2 | $ | 2,318 | ||||||||
Access CIG LLC, Term Loan: | ||||||||||||
(LIBOR USD 1 Month + 3.75%), 5.84% , 02/27/25 | 6 | 6,445 | ||||||||||
Brand Energy & Infrastructure Services, Inc., Term Loan, (LIBOR USD 3 Month + 4.25%), 6.58% - 6.61%, 06/21/24 | 132 | 131,725 | ||||||||||
West Corp., Term Loan, (LIBOR USD 1 Month + 3.50%), 5.59%, 10/10/24 | 8 | 7,930 | ||||||||||
|
| |||||||||||
150,417 | ||||||||||||
Construction & Engineering — 0.2% | ||||||||||||
Ply Gem, Inc., Term Loan B, (LIBOR USD 3 Month + 3.75%), 6.09%, 04/01/25 | 53 | 53,096 | ||||||||||
|
| |||||||||||
Diversified Consumer Services — 0.1% | ||||||||||||
Laureate Education, Inc., Term Loan, 04/26/24(k) | 12 | 12,049 | ||||||||||
TierPoint LLC, Term Loan, (LIBOR USD 1 Month + 3.75%), 5.84%, 05/06/24 | 14 | 13,555 | ||||||||||
|
| |||||||||||
25,604 | ||||||||||||
Diversified Financial Services — 0.1% | ||||||||||||
AHP Health Partners, Inc., Term Loan, 06/30/25(k) | 14 | 13,930 | ||||||||||
Sedgwick Claims Management Services, Inc., 1st Lien Term Loan, 03/01/21(k) | 14 | 13,873 | ||||||||||
Sedgwick Claims Management Services, Inc., 2nd Lien Term Loan, (LIBOR USD 3 Month + 5.75%), 7.84% - 8.06%, 02/28/22 | 15 | 15,047 | ||||||||||
|
| |||||||||||
42,850 | ||||||||||||
Diversified Telecommunication Services — 0.3% | ||||||||||||
CenturyLink, Inc., Term Loan, (LIBOR USD 1 Month + 2.75%), 4.84%, 01/31/25 | 85 | 82,778 | ||||||||||
TDC AS, Term Loan B, 06/11/25(k) | 17 | 16,952 | ||||||||||
|
| |||||||||||
99,730 | ||||||||||||
Electrical Equipment — 0.0% | ||||||||||||
Graftech International Ltd., 1st Lien Term Loan B, (LIBOR USD 1 Month + 3.50%), 5.51%, 02/12/25 | 7 | 6,952 | ||||||||||
|
| |||||||||||
Energy Equipment & Services — 0.9% | ||||||||||||
McDermott International, Inc., Term Loan, (LIBOR USD 1 Month + 5.00%), 7.09%, 05/12/25 | 144 | 144,179 | ||||||||||
Pioneer Energy Services Corp., Term Loan, (LIBOR USD 1 Month + 7.75%), 9.80%, 11/08/22(d) | 65 | 67,112 | ||||||||||
Weatherford International Ltd., Term Loan, (LIBOR USD 1 Month + 1.43%), 3.53%, 07/13/20 | 41 | 40,511 | ||||||||||
|
| |||||||||||
251,802 | ||||||||||||
Food & Staples Retailing — 0.1% | ||||||||||||
Albertson’s Co. LLC, Term loan B, 05/03/23(k) | 34 | 33,786 | ||||||||||
|
| |||||||||||
Food Products — 0.1% | ||||||||||||
CHG PPC Parent LLC, Term Loan, (LIBOR USD 1 Month + 2.75%), 4.84%, 03/31/25(d) | 11 | 10,945 | ||||||||||
Chobani LLC, Term Loan, (LIBOR USD 1 Month + 3.50%), 5.59%, 10/10/23 | 8 | 7,900 | ||||||||||
JBS USA Lux SA, Term Loan, 10/30/22(k) | 14 | 14,036 | ||||||||||
|
| |||||||||||
32,881 | ||||||||||||
Health Care Equipment & Supplies — 0.5% | ||||||||||||
DJO Finance LLC, 1st Lien Term Loan B, (LIBOR USD 1 Month + 3.25%), 5.34% - 5.56%, 06/08/20 | 72 | 71,299 | ||||||||||
Immucor, Inc., 1st Lien Term Loan, (LIBOR USD 1 Month + 5.00%), 7.09%, 06/15/21 | 78 | 78,467 | ||||||||||
|
| |||||||||||
149,766 | ||||||||||||
Health Care Providers & Services — 0.4% | ||||||||||||
Dentalcorp Perfect Smile ULC, 1st Lien Term Loan, (LIBOR USD 6 Month + 3.75%), 5.76%, 05/31/25 | 9 | 9,184 |
SCHEDULES OF INVESTMENTS | 89 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Health Care Providers & Services (continued) | ||||||||||||
Gentiva Health Services, Inc. Term Loan U, 06/23/25(d)(k) | USD | 25 | $ | 24,569 | ||||||||
Gentiva Health Services, Inc., Term Loan: | ||||||||||||
06/23/25 | 15 | 15,355 | ||||||||||
06/22/26(d)(k) | 5 | 5,529 | ||||||||||
Ortho-Clinical Diagnostics, Inc., Term Loan B, 06/30/25(k) | 16 | 15,930 | ||||||||||
Quorum Health Corp., 1st Lien Term Loan, 04/29/22(k) | 20 | 20,350 | ||||||||||
Team Health Holdings, Inc., Term Loan, (LIBOR USD 1 Month + 2.75%), 4.84%, 02/06/24 | 37 | 35,746 | ||||||||||
|
| |||||||||||
126,663 | ||||||||||||
Hotels, Restaurants & Leisure — 0.7% | ||||||||||||
GVC Holdings plc, Term Loan B2, 03/15/24(k) | 4 | 3,878 | ||||||||||
Las Vegas Sands LLC, Term Loan, (LIBOR USD 1 Month + 1.75%), 3.84%, 03/27/25 | 57 | 56,421 | ||||||||||
Stars Group Holdings BV, Term Loan, 06/27/25(k) | 144 | 144,090 | ||||||||||
|
| |||||||||||
204,389 | ||||||||||||
Household Products — 0.0% | ||||||||||||
Energizer Holdings, Term Loan B1, 06/20/25(k) | 9 | 8,996 | ||||||||||
|
| |||||||||||
Industrial Conglomerates — 0.5% | ||||||||||||
Accudyne Industries LLC, Term Loan, (LIBOR USD 1 Month + 3.25%), 5.34%, 08/18/24 | 40 | 39,391 | ||||||||||
Filtration Group Corp., Term Loan B, (LIBOR USD 1 Month + 3.00%), 5.09%, 03/29/25 | 7 | 6,976 | ||||||||||
PSAV Holdings LLC, 1st Lien Term Loan, (LIBOR USD 1 Month + 3.25%), 5.23% - 5.25%, 02/21/25 | 12 | 11,830 | ||||||||||
PSAV Holdings LLC, 2nd Lien Term Loan, (LIBOR USD 1 Month + 7.25%), 9.34%, 09/01/25 | 10 | 9,908 | ||||||||||
Uber Technologies, Inc., Term Loan, (LIBOR USD 1 Month + 4.00%), 6.00%, 03/14/25 | 44 | 44,091 | ||||||||||
Vertiv Group Corp., Term Loan B, (LIBOR USD 1 Month + 4.00%), 6.00%, 11/30/23 | 22 | 22,056 | ||||||||||
|
| |||||||||||
134,252 | ||||||||||||
Insurance — 0.3% | ||||||||||||
Alliant Holdings Intermediate LLC, Term Loan, (LIBOR USD 1 Month + 3.00%), 5.05%, 05/09/25 | 5 | 4,963 | ||||||||||
Asurion LLC, 2nd Lien Term Loan B2, 08/04/25(d)(k) | 46 | 46,632 | ||||||||||
USI, Inc., 1st Lien Term Loan B, (LIBOR USD 3 Month + 3.00%), 5.33%, 05/16/24 | 22 | 21,747 | ||||||||||
|
| |||||||||||
73,342 | ||||||||||||
Internet Software & Services — 0.0% | ||||||||||||
Deck Chassis Acquisition, Inc., Term Loan, (LIBOR USD 1 Month + 6.00%), 8.09%, 06/15/23(d) | 5 | 5,038 | ||||||||||
GTT Communications, Inc., 1st Lien Term Loan, 05/31/25(k) | — | (j) | 316 | |||||||||
|
| |||||||||||
5,354 | ||||||||||||
IT Services — 0.4% | ||||||||||||
Applied Systems, Inc., Term Loan, (LIBOR USD 3 Month + 7.00%), 9.33%, 09/19/25 | 3 | 3,083 | ||||||||||
BMC Software Finance, Inc., Term Loan B, 09/01/25(k) | 44 | 43,725 | ||||||||||
CCC Information Services, Inc., 2nd Lien Term Loan, (LIBOR USD 1 Month + 6.75%), 8.84%, 04/28/25 | 4 | 3,987 | ||||||||||
CCC Information Services, Inc., Term Loan, (LIBOR USD 1 Month + 3.00%), 5.10%, 04/29/24 | 15 | 14,574 | ||||||||||
Mitchell International, Inc., 1st Lien Term Loan, 11/29/24(k) | 6 | 6,030 | ||||||||||
Mitchell International, Inc., 2nd Lien Term Loan, (LIBOR USD 1 Month + 7.25%), 9.34%, 12/01/25 | 15 | 14,962 | ||||||||||
Peak 10 Holding Corp., 2nd Lien Term Loan, (LIBOR USD 3 Month + 7.25%), 9.61%, 08/01/25 | 7 | 6,946 | ||||||||||
Peak 10 Holding Corp., Term Loan, (LIBOR USD 3 Month + 3.50%), 5.83%, 08/01/24 | 17 | 16,656 | ||||||||||
Tempo Acquisition LLC, Term Loan, (LIBOR USD 1 Month + 3.00%), 5.09%, 05/01/24 | 14 | 13,719 | ||||||||||
|
| |||||||||||
123,682 |
Security | Par (000) | Value | ||||||||||
Life Sciences Tools & Services — 0.0% | ||||||||||||
Albany Molecular Research, Inc., Term Loan, (LIBOR USD 1 Month + 3.25%), 5.34%, 08/30/24 | USD | 9 | $ | 8,879 | ||||||||
|
| |||||||||||
Machinery — 0.3% | ||||||||||||
Pike Corp., 1st Lien Term Loan, 03/12/25(k) | 8 | 8,131 | ||||||||||
Titan Acquisition Ltd., Term Loan, (LIBOR USD 1 Month + 3.00%), 5.09%, 03/28/25 | 81 | 79,983 | ||||||||||
|
| |||||||||||
88,114 | ||||||||||||
Media — 1.3% | ||||||||||||
Ascend Learning LLC, Term Loan B, (LIBOR USD 1 Month + 3.00%), 5.09%, 07/12/24 | 7 | 6,921 | ||||||||||
Charter Communications Operating, LLC, Term Loan, (LIBOR USD 1 Month + 1.50%), 3.60%, 03/31/23 | 137 | 136,245 | ||||||||||
Intelsat Jackson Holdings SA, Term Loan: | ||||||||||||
(LIBOR USD 1 Month + 3.75%), 5.85% , 11/27/23 | 8 | 8,373 | ||||||||||
(LIBOR USD 1 Month + 4.50%), 6.60% , 01/02/24 | 31 | 32,324 | ||||||||||
(LIBOR USD 6 Month + 6.63%), 6.63% , 01/02/24 | 164 | 169,465 | ||||||||||
Xplornet Communications, Inc., Term Loan, (LIBOR USD 3 Month + 4.00%), 6.33%, 09/09/21(d) | 28 | 27,860 | ||||||||||
|
| |||||||||||
381,188 | ||||||||||||
Multiline Retail — 0.1% | ||||||||||||
Neiman Marcus Group Ltd. LLC, Term Loan, (LIBOR USD 1 Month + 3.25%), 4.81% - 5.26%, 10/25/20 | 29 | 25,287 | ||||||||||
|
| |||||||||||
Multi-Utilities — 0.0% | ||||||||||||
Exgen Renewables IV LLC, Term Loan, (LIBOR USD 3 Month + 3.00%), 5.31%, 11/28/24(d) | 9 | 8,848 | ||||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels — 1.3% | ||||||||||||
Bison Midstream Holdings LLC, Term Loan B, (LIBOR USD 1 Month + 4.00%), 6.09%, 05/21/25(d) | 6 | 6,000 | ||||||||||
Bronco Midstream Funding LLC, Term Loan B, (LIBOR USD 3 Month + 3.50%), 5.83%, 08/14/23(d) | 11 | 10,849 | ||||||||||
California Resources Corp., Term Loan, (LIBOR USD 1 Month + 4.75%), 6.84%, 12/31/22 | 72 | 73,215 | ||||||||||
Chesapeake Energy Corp., Term Loan, 08/23/21(k) | 143 | 149,927 | ||||||||||
CONSOL Energy., Inc., Term Loan, (LIBOR USD 3 Month + 6.00%), 8.32%, 11/28/22 | 32 | 32,580 | ||||||||||
Gavilan Resources LLC, 2nd Lien Term Loan, (LIBOR USD 1 Month + 6.00%), 8.09%, 03/01/24 | 29 | 28,438 | ||||||||||
Lucid Energy Group II Borrower LLC, Term Loan, (LIBOR USD 1 Month + 3.00%), 5.09%, 02/17/25(d) | 8 | 7,930 | ||||||||||
Medallian Midland Acquisition LLC, Term Loan B, (LIBOR USD 1 Month + 3.25%), 5.34%, 10/30/24(d) | 12 | 11,821 | ||||||||||
Midcoast Operating LP, Term Loan, 06/30/25(d)(k) | 26 | 25,870 | ||||||||||
Vine Oil & Gas LP, Term Loan B, (LIBOR USD 1 Month + 6.88%), 8.97%, 11/25/21(d) | 29 | 29,000 | ||||||||||
|
| |||||||||||
375,630 | ||||||||||||
Pharmaceuticals — 0.3% | ||||||||||||
Amneal Pharmaceuticals LLC, Term Loan B18, (LIBOR USD 1 Month + 3.50%), 5.63%, 03/21/25 | 30 | 30,124 | ||||||||||
Endo Pharma, Term Loan B, (LIBOR USD 1 Month + 4.25%), 6.38%, 04/29/24 | 38 | 37,714 | ||||||||||
Valeant Pharmaceuticals International, Inc., Term Loan, (LIBOR USD 1 Month + 3.00%), 4.98%, 06/02/25 | 15 | 15,048 | ||||||||||
|
| |||||||||||
82,886 | ||||||||||||
Semiconductors & Semiconductor Equipment — 0.1% | ||||||||||||
Microchip Technology, Inc., Term Loan, (LIBOR USD 1 Month + 2.00%), 4.10%, 05/29/25 | 30 | 30,018 | ||||||||||
|
| |||||||||||
Software — 0.6% | ||||||||||||
Kronos, Inc., 2nd Lien Term Loan B, (LIBOR USD 3 Month + 8.25%), 10.61%, 11/01/24 | 63 | 64,219 |
90 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Software (continued) | ||||||||||||
McAfee LLC, 1st Lien Term Loan, (LIBOR USD 1 Month + 4.50%), 6.59%, 09/30/24 | USD | 15 | $ | 14,911 | ||||||||
PowerSchool, Inc., 1st Lien Term Loan, 07/31/25(d)(k) | 15 | 14,887 | ||||||||||
Renaissance Learning, Inc., Term Loan, (LIBOR USD 3 Month + 3.25%), 5.58%, 05/24/25 | 12 | 11,927 | ||||||||||
SS&C Technologies Holdings, Inc., Term Loan, 04/16/25(k) | 19 | 18,785 | ||||||||||
SS&C Technologies Holdings, Inc., Term Loan B, 04/16/25(k) | 51 | 50,992 | ||||||||||
|
| |||||||||||
175,721 | ||||||||||||
Specialty Retail — 0.0% | ||||||||||||
Belron Finance LLC, Term Loan B, (LIBOR USD 3 Month + 2.50%), 4.86%, 11/07/24(d) | 13 | 12,903 | ||||||||||
|
| |||||||||||
Trading Companies & Distributors — 0.2% | ||||||||||||
Beacon Roofing Supply, Inc., Term Loan B, (LIBOR USD 1 Month + 2.25%), 4.28% - 6.00%, 01/02/25 | 14 | 13,866 | ||||||||||
Reece Ltd., Term Loan B, 06/01/25(d)(k) | 6 | 6,019 | ||||||||||
SRS Distribution, Inc., Term Loan B, (LIBOR USD 3 Month + 3.25%), 5.58%, 05/23/25 | 37 | 36,414 | ||||||||||
|
| |||||||||||
56,299 | ||||||||||||
Wireless Telecommunication Services — 0.9% | ||||||||||||
Digicel International Finance Ltd., Term Loan, (LIBOR USD 3 Month + 3.25%), 5.61%, 05/27/24 | 26 | 25,089 | ||||||||||
Ligado Networks LLC, 1st Lien Term Loan, (LIBOR USD 3 Month + 8.75%), 11.07%, 12/07/20 | 273 | 218,897 | ||||||||||
Ligado Networks LLC, Term Loan, (LIBOR USD 3 Month + 12.50%), 14.82%, 12/07/20 | 69 | 19,741 | ||||||||||
|
| |||||||||||
263,727 | ||||||||||||
Total Floating Rate Loan Interests — 11.2% |
| 3,329,649 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
Investment Companies — 0.4% | ||||||||||||
Financial Select Sector SPDR Fund | 3,331 | 88,571 | ||||||||||
SPDR S&P Oil & Gas Exploration & Production ETF | 1,244 | 53,567 | ||||||||||
|
| |||||||||||
Total Investment Companies — 0.4% |
| 142,138 | ||||||||||
|
| |||||||||||
Preferred Securities — 3.3% | ||||||||||||
Par (000) | ||||||||||||
Capital Trusts — 2.4%(i) |
| |||||||||||
Banks — 1.8%(l) | ||||||||||||
Bank of America Corp.: | ||||||||||||
Series X, 6.25% | USD | 66 | 68,970 | |||||||||
Series Z, 6.50% | 33 | 35,063 | ||||||||||
Series AA, 6.10% | 60 | 62,364 | ||||||||||
CIT Group, Inc., Series A, 5.80% | 26 | 25,675 | ||||||||||
Citigroup, Inc.: | ||||||||||||
Series N, 5.80% | 40 | 40,875 | ||||||||||
Series R, 6.12% | 23 | 24,006 | ||||||||||
5.95% | 36 | 36,630 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
Series V, 5.00% | 65 | 65,325 | ||||||||||
Series Q, 5.15% | 20 | 19,700 | ||||||||||
Series U, 6.12% | 7 | 7,192 | ||||||||||
Series X, 6.10% | 83 | 85,706 | ||||||||||
Wells Fargo & Co.: | ||||||||||||
Series S, 5.90% | 15 | 15,056 |
Security | Par (000) | Value | ||||||||||
Banks (continued) | ||||||||||||
Series U, 5.87% | USD | 44 | $ | 45,375 | ||||||||
|
| |||||||||||
531,937 | ||||||||||||
Capital Markets — 0.4%(l) | ||||||||||||
Goldman Sachs Group, Inc. (The), Series P, 5.00% | 95 | 89,120 | ||||||||||
Morgan Stanley, Series H, 5.45% | 27 | 27,355 | ||||||||||
|
| |||||||||||
116,475 | ||||||||||||
Consumer Finance — 0.1% | ||||||||||||
General Motors Financial Co., Inc., Series A, 5.75%(l) | 47 | 45,061 | ||||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels — 0.1% | ||||||||||||
Andeavor Logistics LP, Series A, 6.87%(l) | 34 | 33,660 | ||||||||||
|
| |||||||||||
Total Capital Trusts — 2.4% |
| 727,133 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
Preferred Stocks — 0.1% |
| |||||||||||
Machinery — 0.1% | ||||||||||||
Rexnord Corp., Series A, 5.75%(g) | 340 | 21,243 | ||||||||||
|
| |||||||||||
Total Preferred Stocks — 0.1% |
| 21,243 | ||||||||||
|
| |||||||||||
Trust Preferreds — 0.8% |
| |||||||||||
Banks — 0.8% | ||||||||||||
GMAC Capital Trust I, 8.13%, 02/15/40(i) | 8,676 | 228,179 | ||||||||||
|
| |||||||||||
Total Trust Preferreds — 0.8% |
| 228,179 | ||||||||||
|
| |||||||||||
Total Preferred Securities — 3.3% |
| 976,555 | ||||||||||
|
| |||||||||||
Total Long-Term Investments — 97.9% |
| 29,148,786 | ||||||||||
|
| |||||||||||
Short-Term Securities — 2.1%(m) | ||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.80%(n) | 581,247 | 581,247 | ||||||||||
JPMorgan US Treasury Plus Money Market Fund, Agency Class, 1.72% | 33,606 | 33,606 | ||||||||||
|
| |||||||||||
Total Short-Term Securities — 2.1% |
| 614,853 | ||||||||||
|
| |||||||||||
Total Investments — 100.0% |
| 29,763,639 | ||||||||||
Liabilities in Excess of Other Assets — (0.0)% |
| (13,869 | ) | |||||||||
|
| |||||||||||
Net Assets — 100.0% |
| $ | 29,749,770 | |||||||||
|
|
(a) | Non-income producing security. |
(b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) | Issuer filed for bankruptcy and/or is in default. |
(d) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(e) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(f) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(g) | Convertible security. |
SCHEDULES OF INVESTMENTS | 91 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock High Yield Portfolio (Percentages shown are based on Net Assets) |
(h) | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end. |
(i) | Variable rate security. Rate shown is the rate in effect as of period end. |
(j) | Amount is less than $500. |
(k) | Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(l) | Perpetual security with no stated maturity date. |
(m) | Annualized 7-day yield as of period end. |
(n) | During the six months ended June 30, 2018, investments in issuers considered to be affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
Affiliate | Shares Held at 12/31/17 | Shares Purchased | Shares Sold | Shares Held at 06/30/18 | Value at 06/30/18 | Income | Net Realized Gain (Loss) (a) | Change in Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class | 228,778 | 352,469 | (b) | — | 581,247 | $ | 581,247 | 3,365 | — | $ | — | |||||||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF | 472 | — | (472 | ) | — | — | 334 | (1,178 | ) | 270 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total |
| $ | 581,247 | 3,699 | (1,178 | ) | $ | 270 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
(a) | Includes net capital gains distributions. |
(b) | Represents net shares purchased. |
For Fund compliance purposes, the Fund’s industry classifications refer to 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 the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/Unrealized Appreciation (Depreciation) | ||||||||||||
Short Contracts | ||||||||||||||||
Russell 2000 E-Mini Index | 2 | 09/21/18 | $ | 165 | $ | 3,896 | ||||||||||
S&P 500 E-Mini Index | 1 | 09/21/18 | 136 | 3,347 | ||||||||||||
|
| |||||||||||||||
$ | 7,243 | |||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
EUR | 383,000 | USD | 447,890 | ANZ Banking Group Ltd. | 07/05/18 | $ | (560 | ) | ||||||||||||
|
|
Centrally Cleared Credit Default Swaps — Sell Protection
Reference Obligation/Index | Financing Rate Received by the Fund | Payment Frequency | Termination Date | Credit Rating (a) | Notional Amount (000) (b) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Chesapeake Energy Corp. | 5.00 | % | Quarterly | 12/20/21 | CCC+ | USD | 20 | $ | 988 | $ | (573 | ) | $ | 1,561 | ||||||||||||||||||
CDX.NA.HY.30.V1 | 5.00 | Quarterly | 06/20/23 | B | USD | 902 | 53,077 | 54,599 | (1,522 | ) | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 54,065 | $ | 54,026 | $ | 39 | |||||||||||||||||||||||||||
|
|
|
|
|
|
(a) | Using S&P’s rating of the issuer or the underlying securities of the index, as applicable. |
(b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
OTC Credit Default Swaps — Buy Protection
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Frontier Communications Corp. | 5.00 | % | Quarterly | Barclays Bank plc | 06/20/23 | USD | 17 | $ | 4,569 | $ | 5,491 | $ | (922 | ) | ||||||||||||||||||
|
|
|
|
|
|
92 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock High Yield Portfolio |
OTC Credit Default Swaps — Sell Protection
Reference Obligation/Index | Financing Rate Received by the Fund | Payment Frequency | Counterparty | Termination Date | Credit Rating (a) | Notional Amount (000) (b) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
CenturyLink, Inc. | 1.00 | % | Quarterly | Barclays Bank plc | 06/20/25 | B+ | USD | 6 | $ | (1,080 | ) | $ | (1,111 | ) | $ | 31 | ||||||||||||||||
|
|
|
|
|
|
|
|
(a) | Using S&P’s rating of the issuer or the underlying securities of the index, as applicable. |
(b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Swaps
Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||
Centrally Cleared Swaps(a) | $ | 54,599 | $ | (573 | ) | $ | 1,561 | $ | (1,522 | ) | ||||||
OTC Swaps | 5,491 | (1,111 | ) | 31 | (922 | ) |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Net unrealized appreciation(a) | $ | — | $ | — | $ | 7,243 | $ | — | $ | — | $ | — | $ | 7,243 | ||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Net unrealized appreciation(a) | — | 1,561 | — | — | — | — | 1,561 | |||||||||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized appreciation on OTC swaps; Swap premiums paid | — | 5,522 | — | — | — | — | 5,522 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 7,083 | $ | 7,243 | $ | — | $ | — | $ | — | $ | 14,326 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | $ | — | $ | — | $ | — | $ | 560 | $ | — | $ | — | $ | 560 | ||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Net unrealized depreciation(a) | — | 1,522 | — | — | — | — | 1,522 | |||||||||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized depreciation on OTC swaps; Swap premiums received | — | 2,033 | — | — | — | — | 2,033 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 3,555 | $ | — | $ | 560 | $ | — | $ | — | $ | 4,115 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Includes cumulative appreciation on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
For the six months ended June 30, 2018, the effect of derivative financial instruments in the Statements of Operations were as follows:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from: | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | 2,747 | $ | — | $ | 7,044 | $ | — | $ | 9,791 | ||||||||||||||
Forward foreign currency exchange contracts | — | — | — | (16,097 | ) | — | — | (16,097 | ) | |||||||||||||||||||
Options purchased(a) | — | — | (7,565 | ) | — | — | — | (7,565 | ) | |||||||||||||||||||
Options written | — | — | 2,704 | — | — | — | 2,704 | |||||||||||||||||||||
Swaps | — | 5,890 | — | — | — | — | 5,890 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 5,890 | $ | (2,114 | ) | $ | (16,097 | ) | $ | 7,044 | $ | — | $ | (5,277 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SCHEDULES OF INVESTMENTS | 93 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock High Yield Portfolio |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | 7,243 | $ | — | $ | (901 | ) | $ | — | $ | 6,342 | |||||||||||||
Forward foreign currency exchange contracts | — | — | — | 981 | — | — | 981 | |||||||||||||||||||||
Swaps | — | (740 | ) | — | — | — | — | (740 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | (740 | ) | $ | 7,243 | $ | 981 | $ | (901 | ) | $ | — | $ | 6,583 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts: | ||||
Average notional value of contracts — short | $ | 210,985 | ||
Forward foreign currency exchange contracts: | ||||
Average amounts sold — in USD | $ | 223,945 | ||
Credit default swaps: | ||||
Average notional value — buy protection | $ | 16,505 | ||
Average notional value — sell protection | $ | 558,750 |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
Assets | Liabilities | |||||||
Derivative Financial Instruments: | ||||||||
Forward foreign currency exchange contracts | $ | — | $ | 560 | ||||
Swaps — Centrally cleared | — | 917 | ||||||
Swaps — OTC(a) | 5,522 | 2,033 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | $ | 5,522 | $ | 3,510 | ||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | — | (917 | ) | |||||
|
|
|
| |||||
Total derivative assets and liabilities subject to an MNA | $ | 5,522 | $ | 2,593 | ||||
|
|
|
|
(a) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities. |
The following tables present the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
Counterparty | Derivative Assets Subject to an MNA by Counterparty | Derivatives Available for Offset (a) | Non-cash Collateral Received | Cash Collateral Received | Net Amount of Derivative Assets (b) | |||||||||||||||
Barclays Bank plc | $ | 5,522 | $ | (2,033 | ) | $ | — | $ | — | $ | 3,489 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 5,522 | $ | (2,033 | ) | $ | — | $ | — | $ | 3,489 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty | Derivatives Available for Offset (a) | Non-cash Collateral Pledged | Cash Collateral Pledged | Net Amount of Derivative Liabilities (c)(d) | |||||||||||||||
ANZ Banking Group Ltd. | $ | 560 | $ | — | $ | — | $ | — | $ | 560 | ||||||||||
Barclays Bank plc | 2,033 | (2,033 | ) | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 2,593 | $ | (2,033 | ) | $ | — | $ | — | $ | 560 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(a) | The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. |
(b) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable due to the counterparty in the event of default. |
(d) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
94 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock High Yield Portfolio |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Long-Term Investments: | ||||||||||||||||
Common Stocks(a) | $ | 664,872 | $ | — | $ | — | $ | 664,872 | ||||||||
Corporate Bonds(a) | — | 24,035,572 | — | 24,035,572 | ||||||||||||
Floating Rate Loan Interests: | ||||||||||||||||
Aerospace & Defense | — | 25,846 | 7,980 | 33,826 | ||||||||||||
Air Freight & Logistics | — | 49,647 | — | 49,647 | ||||||||||||
Airlines | — | — | 4,560 | 4,560 | ||||||||||||
Auto Components | — | 7,272 | — | 7,272 | ||||||||||||
Chemicals | — | 201,282 | — | 201,282 | ||||||||||||
Commercial Services & Supplies | — | 150,417 | — | 150,417 | ||||||||||||
Construction & Engineering | — | 53,096 | — | 53,096 | ||||||||||||
Diversified Consumer Services | — | 25,604 | — | 25,604 | ||||||||||||
Diversified Financial Services | — | 42,850 | — | 42,850 | ||||||||||||
Diversified Telecommunication Services | — | 99,730 | — | 99,730 | ||||||||||||
Electrical Equipment | — | 6,952 | — | 6,952 | ||||||||||||
Energy Equipment & Services | — | 184,690 | 67,112 | 251,802 | ||||||||||||
Food & Staples Retailing | — | 33,786 | — | 33,786 | ||||||||||||
Food Products | — | 21,936 | 10,945 | 32,881 | ||||||||||||
Health Care Equipment & Supplies | — | 149,766 | — | 149,766 | ||||||||||||
Health Care Providers & Services | — | 81,210 | 45,453 | 126,663 | ||||||||||||
Hotels, Restaurants & Leisure | — | 204,389 | — | 204,389 | ||||||||||||
Household Products | — | 8,996 | — | 8,996 | ||||||||||||
Industrial Conglomerates | — | 134,252 | — | 134,252 | ||||||||||||
Insurance | — | 26,710 | 46,632 | 73,342 | ||||||||||||
Internet Software & Services | — | 316 | 5,038 | 5,354 | ||||||||||||
IT Services | — | 123,682 | — | 123,682 | ||||||||||||
Life Sciences Tools & Services | — | 8,879 | — | 8,879 | ||||||||||||
Machinery | — | 88,114 | — | 88,114 | ||||||||||||
Media | — | 353,328 | 27,860 | 381,188 | ||||||||||||
Multiline Retail | — | 25,287 | — | 25,287 | ||||||||||||
Multi-Utilities | — | — | 8,848 | 8,848 | ||||||||||||
Oil, Gas & Consumable Fuels | — | 284,160 | 91,470 | 375,630 | ||||||||||||
Pharmaceuticals | — | 82,886 | — | 82,886 | ||||||||||||
Semiconductors & Semiconductor Equipment | — | 30,018 | — | 30,018 | ||||||||||||
Software | — | 160,834 | 14,887 | 175,721 | ||||||||||||
Specialty Retail | — | — | 12,903 | 12,903 | ||||||||||||
Trading Companies & Distributors | — | 50,280 | 6,019 | 56,299 | ||||||||||||
Wireless Telecommunication Services | — | 263,727 | — | 263,727 | ||||||||||||
Investment Companies | 142,138 | — | — | 142,138 | ||||||||||||
Preferred Securities: | ||||||||||||||||
Banks | 228,179 | 531,937 | — | 760,116 | ||||||||||||
Capital Markets | — | 116,475 | — | 116,475 | ||||||||||||
Consumer Finance | — | 45,061 | — | 45,061 | ||||||||||||
Machinery | 21,243 | — | — | 21,243 | ||||||||||||
Oil, Gas & Consumable Fuels | — | 33,660 | — | 33,660 | ||||||||||||
Short-Term Securities(b) | 614,853 | — | — | 614,853 | ||||||||||||
Unfunded Floating Rate Loan Interests(b) | — | 4 | — | 4 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 1,671,285 | $ | 27,742,651 | $ | 349,707 | $ | 29,763,643 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Unfunded Floating Rate Loan Interests(b) | — | (11 | ) | — | (11 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,671,285 | $ | 27,742,640 | $ | 349,707 | $ | 29,763,632 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Financial Instruments(c) | ||||||||||||||||
Assets: | ||||||||||||||||
Credit contracts | $ | — | $ | 1,592 | $ | — | $ | 1,592 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Equity contracts | 7,243 | — | — | 7,243 |
SCHEDULES OF INVESTMENTS | 95 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock High Yield Portfolio |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Liabilities: | ||||||||||||||||
Credit contracts | $ | — | $ | (2,444 | ) | $ | — | $ | (2,444 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Foreign currency exchange contracts | — | (560 | ) | — | (560 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 7,243 | $ | (1,412 | ) | $ | — | $ | 5,831 | ||||||||
|
|
|
|
|
|
|
|
(a) | See above Schedule of Investments for values in each industry. |
(b) | See above Schedule of Investments for values in each security type. |
(c) | Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
During the six months ended June 30, 2018, there were no transfers between Level 1 and Level 2.
A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
Corporate Bonds | Floating Rate Loan Interests | Unfunded Floating Rate Loan Interests | Total | |||||||||||||
Investments: | ||||||||||||||||
Assets: | ||||||||||||||||
Opening Balance, as of December 31, 2017 | $ | 148,500 | $ | 317,239 | $ | 6 | $ | 465,745 | ||||||||
Transfers into Level 3 | — | 36,590 | — | 36,590 | ||||||||||||
Transfers out of Level 3 | — | (179,273 | ) | — | (179,273 | ) | ||||||||||
Accrued discounts/premiums | — | 252 | — | 252 | ||||||||||||
Net realized gain (loss) | 3,910 | 395 | — | 4,305 | ||||||||||||
Net change in unrealized appreciation (depreciation)(a)(b) | 1,500 | 1,342 | (6 | ) | 2,836 | |||||||||||
Purchases | — | 216,468 | — | 216,468 | ||||||||||||
Sales | (153,910 | ) | (43,306 | ) | — | (197,216 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Closing Balance, as of June 30, 2018 | $ | — | $ | 349,707 | $ | — | $ | 349,707 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) on investments | $ | — | $ | 1,342 | $ | — | $ | 1,342 | ||||||||
|
|
|
|
|
|
|
|
(a) | Included in the related net change in unrealized appreciation (depreciation) in the Statement of Operations. |
(b) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2018 is generally due to investments no longer held or categorized as Level 3 at period end. |
The Fund’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.
See notes to financial statements.
96 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) June 30, 2018 | BlackRock U.S. Government Bond Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities — 3.4%(a) |
| |||||||||||
Arbor Realty Commercial Real Estate Notes Ltd., Series 2016-FL1A, Class A, (LIBOR USD 1 Month + 1.70%), 3.77%, 09/15/26(b) | USD | 170 | $ | 170,722 | ||||||||
BSPRT Issuer Ltd., Series 2017-FL1, Class A, (LIBOR USD 1 Month + 1.35%), 3.42%, 06/15/27(b) | 170 | 170,143 | ||||||||||
Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class A1LR, (LIBOR USD 3 Month + 1.20%), 3.54%, 08/15/30(b) | 500 | 500,698 | ||||||||||
OCP CLO Ltd., Series 2012-2A, Class A1R, (LIBOR USD 3 Month + 1.40%), 3.73%, 11/22/25(b) | 600 | 600,962 | ||||||||||
Progress Residential Trust, Series 2017-SFR1, Class A2.77%, 08/17/34 | 100 | 96,422 | ||||||||||
Romark WM-R Ltd., Series 2018-1A, Class A1, (LIBOR USD 3 Month + 1.03%), 2.78%, 04/20/31(b) | 400 | 400,313 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities — 3.4% |
| 1,939,260 | ||||||||||
|
| |||||||||||
Foreign Government Obligations — 0.9% |
| |||||||||||
France — 0.3% | ||||||||||||
Republic of France, 0.00%, 02/25/20 | EUR | 140 | 165,037 | |||||||||
|
| |||||||||||
Germany — 0.3% | ||||||||||||
Federal Republic of Germany, 0.00%, 12/13/19 | 140 | 165,132 | ||||||||||
|
| |||||||||||
Japan — 0.3% | ||||||||||||
Japan Government Two Year Bond, 0.10%, 03/15/20 | JPY | 19,100 | 173,189 | |||||||||
|
| |||||||||||
Total Foreign Government Obligations — 0.9% |
| 503,358 | ||||||||||
|
| |||||||||||
Non-Agency Mortgage-Backed Securities — 3.8% |
| |||||||||||
Collateralized Mortgage Obligations — 0.2% | ||||||||||||
Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MA, 3.50%, 11/25/57 | USD | 135 | 134,376 | |||||||||
|
| |||||||||||
Commercial Mortgage-Backed Securities — 3.3%(a) | ||||||||||||
AREIT Trust, Series 2018-CRE1, Class A, 2.92%, 02/15/35(c)(d) | 135 | 135,081 | ||||||||||
BHMS Mortgage Trust, Series 2014-ATLS, Class AFL, 3.48%, 07/05/33(c) | 600 | 600,344 | ||||||||||
Commercial Mortgage Trust, Series 2017-PANW, Class A, 3.24%, 10/10/29 | 350 | 341,375 | ||||||||||
CSMC Trust: | ||||||||||||
Series 2016-MFF, Class A, 3.67%, 11/15/33(c) | 69 | 69,659 | ||||||||||
Series 2017-CALI, Class A, 3.43%, 11/10/32 | 100 | 99,172 | ||||||||||
DBUBS Mortgage Trust, Series 2017-BRBK, Class A, 3.45%, 10/10/34 | 150 | 148,951 | ||||||||||
GAHR Commercial Mortgage Trust, Series 2015-NRF, Class AFL1, 3.37%, 12/15/34(c) | 115 | 114,720 | ||||||||||
LMREC, Inc., Series 2016-CRE2, Class A, 3.78%, 11/24/31(c) | 100 | 100,500 | ||||||||||
RAIT Trust, Series 2017-FL7, Class A, 3.02%, 06/15/37(c) | 248 | 247,975 | ||||||||||
|
| |||||||||||
1,857,777 | ||||||||||||
Interest Only Commercial Mortgage-Backed Securities — 0.3%(c) | ||||||||||||
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class XA, 1.90%, 05/10/58 | 623 | 62,889 | ||||||||||
Core Industrial Trust(a): | ||||||||||||
Series 2015-TEXW, Class XA, 0.90%, 02/10/34 | 2,600 | 62,886 | ||||||||||
Series 2015-WEST, Class XA, 1.08%, 02/10/37 | 1,300 | 70,909 | ||||||||||
|
| |||||||||||
196,684 | ||||||||||||
|
| |||||||||||
Total Non-Agency Mortgage-Backed Securities — 3.8% |
| 2,188,837 | ||||||||||
|
|
Security | Par (000) | Value | ||||||||||
U.S. Government Sponsored Agency Securities — 67.8% |
| |||||||||||
Agency Obligations — 0.7% | ||||||||||||
Federal Home Loan Bank, 4.00%, 04/10/28 | USD | 400 | $ | 424,762 | ||||||||
|
| |||||||||||
Collateralized Mortgage Obligations — 1.7% | ||||||||||||
Federal National Mortgage Association: | ||||||||||||
Series 2017-69, Class HA, 3.00%, 06/25/46 | 555 | 546,827 | ||||||||||
Series 2011-8, Class ZA, 4.00%, 02/25/41 | 269 | 274,239 | ||||||||||
Government National Mortgage Association Variable Rate Notes, Series 2014-107, Class WX, 6.80%, 07/20/39(c) | 131 | 145,303 | ||||||||||
|
| |||||||||||
966,369 | ||||||||||||
Interest Only Commercial Mortgage-Backed Securities — 2.8% | ||||||||||||
Federal Home Loan Mortgage Corp. Variable Rate Notes, Series K064, Class X1, 0.74%, 03/25/27(c) | 1,195 | 54,089 | ||||||||||
Federal National Mortgage Association ACES Variable Rate Notes:(c) | ||||||||||||
Series 2015-M1, Class X2, 0.65%, 09/25/24 | 5,911 | 169,496 | ||||||||||
Series 2016-M4, Class X2, 2.68%, 01/25/39 | 323 | 33,442 | ||||||||||
Finnish Real Estate Management Federation Mortgage Trust, Series 2015-K718, Class X2A, 0.10%, 02/25/22(a) | 18,333 | 52,215 | ||||||||||
Government National Mortgage Association Variable Rate Notes: | ||||||||||||
Series 2002-83, 0.00%, 10/16/42(c) | 458 | 1 | ||||||||||
Series 2003-17, 0.00%, 03/16/43(c) | 921 | — | ||||||||||
Series 2003-109, 0.00%, 11/16/43(c) | 998 | 190 | ||||||||||
Series 2017-54, 0.65%, 12/16/58(c) | 149 | 9,312 | ||||||||||
Series 2017-168, 0.66%, 12/16/59(c) | 611 | 38,949 | ||||||||||
Series 2017-72, 0.68%, 04/16/57(c) | 1,105 | 69,831 | ||||||||||
Series 2017-53, 0.69%, 11/16/56(c) | 3,919 | 232,990 | ||||||||||
Series 2017-44, 0.70%, 04/17/51(c) | 626 | 36,729 | ||||||||||
Series 2017-64, 0.72%, 11/16/57(c) | 299 | 19,700 | ||||||||||
Series 2017-30, 0.76%, 08/16/58(c) | 626 | 38,981 | ||||||||||
Series 2017-61, 0.77%, 05/16/59(c) | 425 | 32,654 | ||||||||||
Series 2016-22, 0.77%, 11/16/55(c) | 2,153 | 117,718 | ||||||||||
Series 2016-45, 1.01%, 02/16/58(c) | 3,253 | 252,418 | ||||||||||
Series 2016-119, (LIBOR 1 Month + 0.00%), 1.13%, 04/16/58(b) | 3,447 | 288,707 | ||||||||||
Series 2016-113, 1.19%, 02/16/58(c) | 1,453 | 133,362 | ||||||||||
|
| |||||||||||
1,580,784 | ||||||||||||
Mortgage-Backed Securities — 62.6% | ||||||||||||
Federal Home Loan Mortgage Corp.: | ||||||||||||
2.50%, 09/01/27 - 02/01/32 | 367 | 357,114 | ||||||||||
2.50%, 07/15/33(e) | 244 | 236,854 | ||||||||||
3.00%, 09/01/27 - 12/01/46 | 565 | 555,625 | ||||||||||
3.00%, 07/15/33 - 07/15/48(e) | 1,415 | 1,375,864 | ||||||||||
3.50%, 04/01/31 - 01/01/48 | 2,928 | 2,935,023 | ||||||||||
4.00%, 08/01/40 - 08/01/47 | 605 | 621,250 | ||||||||||
4.00%, 09/15/43(e) | 700 | 713,490 | ||||||||||
4.50%, 02/01/39 - 12/01/43 | 179 | 188,061 | ||||||||||
4.50%, 11/15/40(e) | 239 | 248,683 | ||||||||||
5.00%, 11/01/41 | 130 | 138,270 | ||||||||||
5.50%, 06/01/41 | 120 | 129,916 | ||||||||||
8.00%, 03/01/30 - 06/01/31 | 14 | 14,289 | ||||||||||
Federal National Mortgage Association: | ||||||||||||
2.00%, 10/01/31 - 03/01/32 | 137 | 129,771 | ||||||||||
2.50%, 06/01/28 - 02/01/33 | 949 | 924,742 | ||||||||||
2.50%, 04/25/29(e) | 174 | 169,107 | ||||||||||
3.00%, 04/01/29 - 03/01/47 | 3,839 | 3,765,577 | ||||||||||
3.00%, 07/25/33(e) | 1,778 | 1,767,562 | ||||||||||
3.50%, 10/25/27 - 04/25/44(e) | 2,372 | 2,362,375 | ||||||||||
3.50%, 04/01/29 - 01/01/48 | 3,378 | 3,388,217 | ||||||||||
4.00%, 02/01/25 - 04/01/48 | 3,050 | 3,134,506 |
SCHEDULES OF INVESTMENTS | 97 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock U.S. Government Bond Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Mortgage-Backed Securities (continued) | ||||||||||||
4.00%, 09/25/43(e) | USD | 985 | $ | 1,004,209 | ||||||||
4.50%, 06/01/26 - 12/01/47 | 1,536 | 1,613,750 | ||||||||||
4.50%, 04/25/41(e) | 27 | 28,114 | ||||||||||
5.00%, 02/01/35 - 12/01/43 | 274 | 293,681 | ||||||||||
5.50%, 11/01/21 - 09/01/39 | 369 | 396,633 | ||||||||||
6.00%, 04/01/35 - 09/01/40 | 247 | 272,652 | ||||||||||
6.50%, 05/01/40 | 54 | 59,972 | ||||||||||
Government National Mortgage Association: | ||||||||||||
3.00%, 02/15/45 - 07/20/47 | 1,877 | 1,844,361 | ||||||||||
3.00%, 07/15/48(e) | 28 | 26,904 | ||||||||||
3.50%, 12/20/41 -10/20/46 | 3,395 | 3,416,841 | ||||||||||
4.00%, 10/20/40 - 04/20/48 | 667 | 687,160 | ||||||||||
4.00%, 07/15/48(e) | 1,380 | 1,414,392 | ||||||||||
4.50%, 12/20/39 - 02/15/42 | 1,257 | 1,321,599 | ||||||||||
4.50%, 10/20/41(e) | 71 | 73,796 | ||||||||||
5.00%, 07/15/39 - 07/20/44 | 93 | 99,043 | ||||||||||
|
| |||||||||||
35,709,403 | ||||||||||||
|
| |||||||||||
Total U.S. Government Sponsored Agency Securities — 67.8% |
| 38,681,318 | ||||||||||
|
| |||||||||||
U.S. Treasury Obligations — 55.5% | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
4.25%, 05/15/39 | 190 | 229,195 | ||||||||||
4.50%, 08/15/39 | 184 | 229,432 | ||||||||||
4.38%, 11/15/39 | 185 | 227,218 | ||||||||||
3.13%, 02/15/43 | 720 | 739,153 | ||||||||||
3.13%, 05/15/48(f) | 985 | 1,012,357 | ||||||||||
2.88%, 05/15/43 - 11/15/46 | 929 | 912,130 | ||||||||||
3.63%, 08/15/43 | 687 | 765,790 | ||||||||||
3.75%, 11/15/43 | 729 | 828,753 | ||||||||||
3.00%, 02/15/47 | 131 | 131,471 | ||||||||||
U.S. Treasury Notes: | ||||||||||||
1.25%, 08/31/19(f) | 1,846 | 1,821,339 | ||||||||||
1.00%, 10/15/19 | 1,846 | 1,812,325 | ||||||||||
2.50%, 05/31/20(f) | 2,853 | 2,851,663 | ||||||||||
1.63%, 06/30/20 - 10/31/23 | 3,324 | 3,224,849 | ||||||||||
2.63%, 05/15/21(f) | 2,230 | 2,230,174 | ||||||||||
1.13%, 06/30/21 | 1,293 | 1,237,138 | ||||||||||
2.25%, 07/31/21(f) | 1,293 | 1,278,353 | ||||||||||
2.25%, 01/31/24 - 02/15/27 | 2,226 | 2,146,653 | ||||||||||
2.13%, 09/30/21 | 1,293 | 1,271,989 | ||||||||||
1.88%, 04/30/22 | 1,293 | 1,254,665 | ||||||||||
2.75%, 05/31/23(f) | 2,493 | 2,496,116 | ||||||||||
2.00%, 04/30/24 - 11/15/26 | 3,442 | 3,275,438 | ||||||||||
2.88%, 05/31/25 | 1,200 | 1,204,594 | ||||||||||
2.88%, 05/15/28(f) | 509 | 510,014 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations — 55.5% |
| 31,690,809 | ||||||||||
|
| |||||||||||
Total Long-Term Investments — 131.4% |
| 75,003,582 | ||||||||||
|
| |||||||||||
Short-Term Securities — 4.9% | ||||||||||||
Certificates of Deposit — 1.1% | ||||||||||||
Yankee — 0.8%(g) | ||||||||||||
BNP Paribas SA, New York, 2.66%, 04/18/19 | 130 | 130,052 | ||||||||||
Canadian Imperial Bank of Commerce, New York, 2.66%, 04/17/19 | 130 | 130,017 | ||||||||||
MUFG Bank Ltd., New York, 2.68%, 04/17/19(a) | 110 | 110,075 | ||||||||||
Royal Bank of Canada, New York, (LIBOR USD 3 Month + 0.18%), 2.54%, 04/18/19(b) | 110 | 110,025 | ||||||||||
|
| |||||||||||
480,169 |
Security | Par (000) | Value | ||||||||||
Domestic — 0.3% | ||||||||||||
Wells Fargo Bank NA: | ||||||||||||
(LIBOR USD 3 Month + 0.21%), 2.56%, 04/16/19(b) | USD | 110 | $ | 110,068 | ||||||||
2.70%, 04/16/19 | 60 | 60,033 | ||||||||||
|
| |||||||||||
170,101 | ||||||||||||
|
| |||||||||||
Total Certificates of Deposit — 1.1% |
| 650,270 | ||||||||||
|
| |||||||||||
Commercial Paper — 0.2% |
| |||||||||||
JPMorgan Securities LLC, (LIBOR USD 3 Month + 0.18%), 2.53%, 04/15/19(b) | 110 | 110,025 | ||||||||||
|
| |||||||||||
Total Commercial Paper — 0.2% |
| 110,025 | ||||||||||
|
| |||||||||||
Foreign Government Obligations — 2.0% |
| |||||||||||
Japan — 2.0% | ||||||||||||
Government of Japan Treasury Bills:(h) | ||||||||||||
(0.14)%, 08/13/18 | JPY | 62,000 | 560,077 | |||||||||
(0.14)%, 09/03/18 | 63,000 | 569,152 | ||||||||||
|
| |||||||||||
1,129,229 | ||||||||||||
|
| |||||||||||
Total Foreign Government Obligations — 2.0% |
| 1,129,229 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
Money Market Funds — 1.6% |
| |||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.80%(i)(j) | 899,067 | 899,067 | ||||||||||
|
| |||||||||||
Total Money Market Funds — 1.6% |
| 899,067 | ||||||||||
|
| |||||||||||
Total Short-Term Securities — 4.9% |
| 2,788,591 | ||||||||||
|
| |||||||||||
Total Options Purchased — 0.2% |
| 102,696 | ||||||||||
|
| |||||||||||
Total Investments Before Options Written and TBA Sale Commitments — 136.5% |
| 77,894,869 | ||||||||||
|
| |||||||||||
Total Options Written — (0.1)% |
| (23,792 | ) | |||||||||
|
| |||||||||||
Par (000) | ||||||||||||
TBA Sale Commitments — (12.1)%(e) |
| |||||||||||
Mortgage-Backed Securities — (12.1)% | ||||||||||||
Federal Home Loan Mortgage Corp.: |
| |||||||||||
3.00%, 07/15/48 | USD | 35 | (33,876 | ) | ||||||||
3.50%, 07/15/33 - 06/15/44 | 879 | (875,833 | ) | |||||||||
4.00%, 09/15/43 | 166 | (169,199 | ) | |||||||||
Federal National Mortgage Association: |
| |||||||||||
2.00%, 02/25/29 | 139 | (131,632 | ) | |||||||||
2.50%, 04/25/29 | 259 | (251,522 | ) | |||||||||
3.00%, 02/25/29 - 05/25/44 | 650 | (629,599 | ) | |||||||||
3.50%, 04/25/44 | 1,272 | (1,265,754 | ) | |||||||||
4.00%, 07/25/33 - 09/25/43 | 2,105 | (2,146,223 | ) | |||||||||
4.50%, 04/25/41 | 37 | (38,526 | ) | |||||||||
5.00%, 04/25/37 | 102 | (108,050 | ) | |||||||||
5.50%, 08/25/34 | 74 | (79,348 | ) | |||||||||
6.00%, 10/25/34 | 69 | (75,469 | ) |
98 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock U.S. Government Bond Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Mortgage-Backed Securities (continued) | ||||||||||||
Government National Mortgage Association: |
| |||||||||||
3.00%, 02/20/45 - 07/15/48 | USD | 169 | $ | (165,268 | ) | |||||||
3.50%, 07/15/48 | 545 | (547,404 | ) | |||||||||
4.00%, 07/15/48 | 56 | (57,396 | ) | |||||||||
4.50%, 10/20/41 | 300 | (311,815 | ) | |||||||||
|
| |||||||||||
(6,886,914 | ) | |||||||||||
|
| |||||||||||
Total TBA Sale Commitments — (12.1)% |
| (6,886,914 | ) | |||||||||
|
| |||||||||||
Total Investments Net of Options Written and TBA Sale Commitments — 124.3% |
| 70,984,163 | ||||||||||
Liabilities in Excess of Other Assets — (24.3)% |
| (13,892,035 | ) | |||||||||
|
| |||||||||||
Net Assets — 100.0% |
| $ | 57,092,128 | |||||||||
|
|
(a) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(b) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(c) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(d) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(e) | Represents or includes a TBA transaction. |
(f) | All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
(g) | Issuer is a U.S. branch of a foreign domiciled bank. |
(h) | Rates are discount rates or a range of discount rates at the time of purchase. |
(i) | Annualized 7-day yield as of period end. |
(j) | During the six months ended June 30, 2018, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
Affiliate | Shares Held at 12/31/17 | Net Activity | Shares Held at 06/30/18 | Value at 06/30/18 | Income | Net Realized Gain (Loss) (a) | Change in Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class | 1,681,021 | (781,954 | ) | 899,067 | $ | 899,067 | $ | 17,256 | $ | — | $ | — | ||||||||||||||||
|
|
|
|
|
|
|
|
(a) | Includes net capital gain distributions, if applicable. |
Reverse Repurchase Agreements
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | Type of Underlying Collateral | Remaining Contractual Maturity of the Agreements | |||||||||||||||||
BNP Paribas SA | 1.97 | % | 06/29/18 | 07/02/18 | $ | 2,856,566 | $ | 2,856,879 | U.S. Treasury Obligations | Overnight | ||||||||||||||
BNP Paribas SA | 2.07 | 06/29/18 | 07/02/18 | 512,181 | 512,240 | U.S. Treasury Obligations | Overnight | |||||||||||||||||
Deutsche Bank Securities, Inc. | 2.15 | 06/29/18 | 07/02/18 | 2,502,349 | 2,502,648 | U.S. Treasury Obligations | Overnight | |||||||||||||||||
JP Morgan Securities LLC | 2.10 | 06/29/18 | 07/02/18 | 1,018,244 | 1,018,363 | U.S. Treasury Obligations | Overnight | |||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith Inc. | 2.30 | 06/29/18 | 07/02/18 | 1,289,768 | 1,289,932 | U.S. Treasury Obligations | Overnight | |||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith Inc. | 2.30 | 06/29/18 | 07/02/18 | 2,238,363 | 2,238,649 | U.S. Treasury Obligations | Overnight | |||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith Inc. | 2.30 | 06/29/18 | 07/02/18 | 1,829,848 | 1,830,081 | U.S. Treasury Obligations | Overnight | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
$ | 12,247,319 | $ | 12,248,792 | |||||||||||||||||||||
|
|
|
|
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||
Long Contracts | ||||||||||||||||
U.S. Treasury Long Bond | 6 | 09/19/18 | $ | 870 | $ | 14,015 | ||||||||||
U.S. Treasury 2 Year Note | 49 | 09/28/18 | 10,380 | (6,203 | ) | |||||||||||
|
| |||||||||||||||
7,812 | ||||||||||||||||
|
| |||||||||||||||
Short Contracts | ||||||||||||||||
Euro-Bund | 14 | 09/06/18 | 2,658 | (27,655 | ) | |||||||||||
U.S. Treasury 10 Year Note | 88 | 09/19/18 | 10,577 | (39,987 | ) | |||||||||||
|
| |||||||||||||||
(67,642 | ) | |||||||||||||||
|
| |||||||||||||||
$ | (59,830 | ) | ||||||||||||||
|
|
SCHEDULES OF INVESTMENTS | 99 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock U.S. Government Bond Portfolio |
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
EUR | 16,000 | USD | 18,647 | Bank of America NA | 07/03/18 | $ | 38 | |||||||||||||
USD | 5,460 | BRL | 21,064 | Citibank NA | 07/03/18 | 25 | ||||||||||||||
USD | 4,000 | BRL | 15,054 | Goldman Sachs International | 07/03/18 | 116 | ||||||||||||||
USD | 8,000 | BRL | 29,688 | UBS AG | 07/03/18 | 340 | ||||||||||||||
USD | 3,909 | CLP | 2,460,200 | JP Morgan Chase Bank NA | 07/03/18 | 144 | ||||||||||||||
USD | 19,658 | EUR | 16,000 | Goldman Sachs International | 07/03/18 | 973 | ||||||||||||||
USD | 53,176 | EUR | 45,000 | Goldman Sachs International | 07/05/18 | 617 | ||||||||||||||
USD | 31,000 | RUB | 1,931,052 | JP Morgan Chase Bank NA | 07/09/18 | 271 | ||||||||||||||
RUB | 408,957 | USD | 6,500 | Goldman Sachs International | 07/13/18 | 5 | ||||||||||||||
USD | 5,000 | RUB | 314,300 | BNP Paribas SA | 07/13/18 | 1 | ||||||||||||||
MXN | 184,792 | USD | 9,000 | Deutsche Bank AG | 07/19/18 | 281 | ||||||||||||||
USD | 9,000 | MXN | 164,826 | UBS AG | 07/19/18 | 722 | ||||||||||||||
USD | 48,000 | BRL | 176,813 | Goldman Sachs International | 08/02/18 | 2,547 | ||||||||||||||
USD | 7,040 | CNY | 45,011 | Standard Chartered Bank | 08/03/18 | 262 | ||||||||||||||
USD | 31,000 | RUB | 1,941,127 | JP Morgan Chase Bank NA | 08/07/18 | 211 | ||||||||||||||
USD | 9,000 | ARS | 237,769 | JP Morgan Chase Bank NA | 08/08/18 | 1,095 | ||||||||||||||
USD | 14,778 | EUR | 12,600 | Barclays Bank plc | 08/08/18 | 23 | ||||||||||||||
USD | 562,357 | JPY | 62,042,080 | Royal Bank of Scotland | 08/13/18 | 378 | ||||||||||||||
USD | 31,778 | TRY | 129,100 | BNP Paribas SA | 08/20/18 | 4,266 | ||||||||||||||
USD | 43,893 | TRY | 176,900 | Citibank NA | 08/20/18 | 6,194 | ||||||||||||||
USD | 31,000 | IDR | 443,021,000 | Deutsche Bank AG | 08/31/18 | 313 | ||||||||||||||
USD | 583,825 | JPY | 63,810,000 | Barclays Bank plc | 09/11/18 | 4,605 | ||||||||||||||
RUB | 94,968 | USD | 1,500 | Barclays Bank plc | 09/12/18 | 1 | ||||||||||||||
USD | 194,550 | EUR | 150,000 | Deutsche Bank AG | 12/13/19 | 11,218 | ||||||||||||||
USD | 195,810 | EUR | 150,000 | Deutsche Bank AG | 02/25/20 | 11,246 | ||||||||||||||
USD | 194,749 | JPY | 19,510,000 | HSBC Bank plc | 03/16/20 | 8,911 | ||||||||||||||
|
| |||||||||||||||||||
54,803 | ||||||||||||||||||||
|
| |||||||||||||||||||
BRL | 11,958 | USD | 3,200 | Barclays Bank plc | 07/03/18 | (115 | ) | |||||||||||||
BRL | 34,514 | USD | 9,460 | BNP Paribas SA | 07/03/18 | (555 | ) | |||||||||||||
BRL | 18,206 | USD | 4,800 | UBS AG | 07/03/18 | (102 | ) | |||||||||||||
CLP | 2,460,200 | USD | 3,888 | JP Morgan Chase Bank NA | 07/03/18 | (123 | ) | |||||||||||||
RUB | 1,935,330 | USD | 31,000 | JP Morgan Chase Bank NA | 07/09/18 | (203 | ) | |||||||||||||
USD | 1,500 | RUB | 94,380 | Barclays Bank plc | 07/13/18 | (1 | ) | |||||||||||||
USD | 32,600 | MXN | 650,918 | Citibank NA | 07/23/18 | (70 | ) | |||||||||||||
ARS | 341,740 | USD | 12,828 | BNP Paribas SA | 07/31/18 | (1,375 | ) | |||||||||||||
BRL | 87,636 | USD | 24,000 | BNP Paribas SA | 08/02/18 | (1,471 | ) | |||||||||||||
BRL | 89,724 | USD | 24,000 | JP Morgan Chase Bank NA | 08/02/18 | (935 | ) | |||||||||||||
CNY | 45,105 | USD | 7,040 | Deutsche Bank AG | 08/03/18 | (248 | ) | |||||||||||||
USD | 18,690 | EUR | 16,000 | Bank of America NA | 08/03/18 | (38 | ) | |||||||||||||
RUB | 1,565,000 | USD | 25,000 | BNP Paribas SA | 08/07/18 | (177 | ) | |||||||||||||
TRY | 306,000 | USD | 78,739 | BNP Paribas SA | 08/20/18 | (13,528 | ) | |||||||||||||
RUB | 1,325,482 | USD | 21,122 | Bank of America NA | 08/21/18 | (130 | ) | |||||||||||||
RUB | 870,020 | USD | 13,878 | Credit Suisse International | 08/21/18 | (100 | ) | |||||||||||||
IDR | 314,595,000 | USD | 22,500 | Deutsche Bank AG | 08/31/18 | (709 | ) | |||||||||||||
MXN | 603,604 | USD | 31,000 | HSBC Bank plc | 11/26/18 | (1,305 | ) | |||||||||||||
|
| |||||||||||||||||||
(21,185 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Net Unrealized Appreciation | $ | 33,618 | ||||||||||||||||||
|
|
OTC Barrier Options Purchased
Description | Type of Option | Counterparty | Expiration Date | Exercise Price | Barrier Price/Range | Notional Amount (000) | Value | |||||||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||||||||||
USD Currency | Down and Out | Deutsche Bank AG | 07/19/18 | BRL | 3.68 | BRL | 3.55 | USD | 15 | $ | 8 | |||||||||||||||||||||||||||||
USD Currency | One-Touch | BNP Paribas SA | 07/20/18 | ZAR | 11.60 | ZAR | 11.60 | USD | 2 | — | ||||||||||||||||||||||||||||||
USD Currency | One-Touch | Morgan Stanley & Co. International plc | 07/24/18 | TRY | 4.30 | TRY | 4.30 | USD | 2 | 76 | ||||||||||||||||||||||||||||||
USD Currency | Down and Out | Morgan Stanley & Co. International plc | 08/10/18 | TRY | 4.65 | TRY | 4.38 | USD | 16 | 325 | ||||||||||||||||||||||||||||||
USD Currency | One-Touch | Deutsche Bank AG | 08/20/18 | BRL | 3.50 | BRL | 3.50 | USD | 1 | 31 | ||||||||||||||||||||||||||||||
USD Currency | One-Touch | Morgan Stanley & Co. International plc | 10/25/18 | MXN | 16.50 | MXN | 16.50 | USD | 2 | 47 | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||
$ | 487 | |||||||||||||||||||||||||||||||||||||||
|
|
100 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock U.S. Government Bond Portfolio |
OTC Currency Options Purchased
Description | Counterparty | Expiration Date | Exercise Price | Notional Amount (000) | Value | |||||||||||||||||
Put | ||||||||||||||||||||||
USD Currency | HSBC Bank plc | 07/05/18 | IDR | 14,000.00 | USD | 8 | $ | 2 | ||||||||||||||
USD Currency | Deutsche Bank AG | 08/13/18 | MXN | 18.50 | USD | 30 | 63 | |||||||||||||||
USD Currency | Morgan Stanley & Co. International plc | 08/20/18 | MXN | 19.50 | USD | 879 | 11,182 | |||||||||||||||
USD Currency | Morgan Stanley & Co. International plc | 09/26/18 | ZAR | 12.90 | USD | 203 | 1,199 | |||||||||||||||
USD Currency | Morgan Stanley & Co. International plc | 09/26/18 | TRY | 4.52 | USD | 208 | 2,019 | |||||||||||||||
USD Currency | HSBC Bank plc | 10/18/18 | ZAR | 12.63 | USD | 341 | 1,455 | |||||||||||||||
USD Currency | Citibank NA | 10/19/18 | TRY | 4.50 | USD | 264 | 2,358 | |||||||||||||||
|
| |||||||||||||||||||||
$ | 18,278 | |||||||||||||||||||||
|
|
OTC Interest Rate Caps Purchased
Description | Exercise Rate | Counterparty | Expiration Date | Notional Amount (000) | Value | Premiums Paid | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
2Y-10 CMS Index Cap | 0.44 | % | Citibank NA | 07/23/18 | USD | 16,960 | $ | 2 | $ | 8,480 | $ | (8,478 | ) | |||||||||||||||||
30Y-5Y CMS Index Cap | 0.30 | % | Barclays Bank plc | 07/30/18 | USD | 10,200 | 1 | 5,814 | (5,813 | ) | ||||||||||||||||||||
2Y-10 CMS Index Cap | 0.34 | % | Citibank NA | 08/28/18 | USD | 4,235 | 32 | 2,774 | (2,742 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 35 | $ | 17,068 | $ | (17,033 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
OTC Interest Rate Swaptions Purchased
Description | Paid by the Fund | Received by the Fund | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | |||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap | 3 month LIBOR | Quarterly | 3.04 | % | Semi-Annual | JP Morgan Chase Bank NA | 04/27/38 | 3.04 | % | USD | 790 | $ | 44,598 | |||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap | 3.35 | % | Semi-Annual | 3 month LIBOR | Quarterly | Bank of America NA | 11/16/18 | 3.35 | % | USD | 1,100 | 3,418 | ||||||||||||||||||||||
10-Year Interest Rate Swap | 3.04 | % | Semi-Annual | 3 month LIBOR | Quarterly | JP Morgan Chase Bank NA | 04/27/38 | 3.04 | % | USD | 790 | 35,880 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
39,298 | ||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
$ | 83,896 | |||||||||||||||||||||||||||||||||
|
|
OTC Interest Rate Swaptions Written
Description | Paid by the Fund | Received by the Fund | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | |||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||||||
2-Year Interest Rate Swap | 3 month LIBOR | Quarterly | 2.50 | % | Semi-Annual | Bank of America NA | 11/16/18 | 2.50 | % | USD | 1,890 | $ | (823 | ) | ||||||||||||||||||||
2-Year Interest Rate Swap | 3 month LIBOR | Quarterly | 2.50 | % | Semi-Annual | Bank of America NA | 11/26/18 | 2.50 | % | USD | 1,890 | (922 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap | 3 month LIBOR | Quarterly | 2.74 | % | Semi-Annual | JP Morgan Chase Bank NA | 12/27/18 | 2.74 | % | USD | 7,326 | (11,604 | ) | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
(13,349 | ) | |||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||||
2-Year Interest Rate Swap | 3.25 | % | Semi-Annual | 3 month LIBOR | Quarterly | Barclays Bank plc | 10/19/18 | 3.25 | % | USD | 3,000 | (741 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap | 3.14 | % | Semi-Annual | 3 month LIBOR | Quarterly | JP Morgan Chase Bank NA | 12/27/18 | 3.14 | % | USD | 7,326 | (9,702 | ) | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
(10,443 | ) | |||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
$ | (23,792 | ) | ||||||||||||||||||||||||||||||||
|
|
Centrally Cleared Credit Default Swaps — Buy Protection
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
CDX.NA.IG.30.V1 | 1.00 | % | Quarterly | 06/20/23 | USD 197 | $ | (2,974 | ) | $ | (3,333 | ) | $ | 359 | |||||||||||||||
|
|
|
|
|
|
SCHEDULES OF INVESTMENTS | 101 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock U.S. Government Bond Portfolio |
Centrally Cleared Inflation Swaps
Paid by the Fund | Received by the Fund | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
Reference | Frequency | Rate | Frequency | |||||||||||||||||||||||||
Eurostat HICP Ex. Tobacco All Items Monthly | At Termination | 1.63% | At Termination | 06/15/28 | EUR | 230 | $181 | $ | — | $ | 181 | |||||||||||||||||
|
|
|
|
|
OTC Credit Default Swaps — Buy Protection
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
Republic of the Philippines | 1.00 | % | Quarterly | JP Morgan Chase Bank NA | 06/20/23 | USD | 43 | $ | (103 | ) | $ | (508 | ) | $ | 405 | |||||||||||||||
United Mexican States | 1.00 | Quarterly | Barclays Bank plc | 06/20/23 | USD | 5 | 68 | 90 | (22 | ) | ||||||||||||||||||||
United Mexican States | 1.00 | Quarterly | Barclays Bank plc | 06/20/23 | USD | 6 | 82 | 116 | (34 | ) | ||||||||||||||||||||
United Mexican States | 1.00 | Quarterly | Barclays Bank plc | 06/20/23 | USD | 5 | 69 | 94 | (25 | ) | ||||||||||||||||||||
United Mexican States | 1.00 | Quarterly | Barclays Bank plc | 06/20/23 | USD | 6 | 82 | 117 | (35 | ) | ||||||||||||||||||||
United Mexican States | 1.00 | Quarterly | Barclays Bank plc | 06/20/23 | USD | 4 | 55 | 78 | (23 | ) | ||||||||||||||||||||
United Mexican States | 1.00 | Quarterly | Citibank NA | 06/20/23 | USD | 6 | 82 | 116 | (34 | ) | ||||||||||||||||||||
United Mexican States | 1.00 | Quarterly | Citibank NA | 06/20/23 | USD | 5 | 69 | 39 | 30 | |||||||||||||||||||||
United Mexican States | 1.00 | Quarterly | Citibank NA | 06/20/23 | USD | 5 | 69 | 47 | 22 | |||||||||||||||||||||
United Mexican States | 1.00 | Quarterly | Deutsche Bank AG | 06/20/23 | USD | 12 | 165 | 60 | 105 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 638 | $ | 249 | $ | 389 | |||||||||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Interest Rate Swaps
Paid by the Fund | Received by the Fund | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||||||
7.36% | Monthly | 28 day MXIBTIIE | Monthly | N/A | 01/28/19 | MXN | 2,579 | $ | 673 | $ | — | $ | 673 | |||||||||||||||||||||||||
1 day Fed Funds | At Termination | 1.47% | At Termination | 12/19/18 | (a) | 03/20/19 | USD | 23,511 | (46,637 | ) | (7,600 | ) | (39,037 | ) | ||||||||||||||||||||||||
1.47% | At Termination | 1 day Fed Funds | At Termination | 12/19/18 | (a) | 03/20/19 | USD | 23,511 | 46,637 | — | 46,637 | |||||||||||||||||||||||||||
1.37% | Semi-Annual | 3 month LIBOR | Quarterly | N/A | 11/30/20 | USD | 1,400 | 48,472 | — | 48,472 | ||||||||||||||||||||||||||||
3 month LIBOR | Quarterly | 1.37% | Semi-Annual | N/A | 11/30/20 | USD | 470 | (16,273 | ) | (3,610 | ) | (12,663 | ) | |||||||||||||||||||||||||
28 day MXIBTIIE | Monthly | 7.66% | Monthly | N/A | 02/22/21 | MXN | 739 | (314 | ) | — | (314 | ) | ||||||||||||||||||||||||||
7.11% | Monthly | 28 day MXIBTIIE | Monthly | N/A | 10/14/22 | MXN | 265 | 382 | — | 382 | ||||||||||||||||||||||||||||
7.11% | Monthly | 28 day MXIBTIIE | Monthly | N/A | 10/14/22 | MXN | 350 | 506 | — | 506 | ||||||||||||||||||||||||||||
2.50% | Semi-Annual | 3 month LIBOR | Quarterly | N/A | 01/29/23 | USD | 841 | 8,130 | — | 8,130 | ||||||||||||||||||||||||||||
28 day MXIBTIIE | Monthly | 7.94% | Monthly | N/A | 06/19/23 | MXN | 691 | 92 | — | 92 | ||||||||||||||||||||||||||||
3 month LIBOR | Quarterly | 2.13% | Semi-Annual | N/A | 08/25/25 | USD | 10 | (447 | ) | — | (447 | ) | ||||||||||||||||||||||||||
6 month EURIBOR | Semi-Annual | 0.94% | Annual | 09/10/18 | (a) | 08/15/27 | EUR | 1,395 | 19,766 | — | 19,766 | |||||||||||||||||||||||||||
2.96% | Annual | 6 month WIBOR | Semi-Annual | N/A | 03/06/28 | PLN | 52 | (104 | ) | — | (104 | ) | ||||||||||||||||||||||||||
3 month LIBOR | Quarterly | 3.13% | Semi-Annual | N/A | 05/22/28 | USD | 200 | 3,728 | — | 3,728 | ||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
$ | 64,611 | $ | (11,210 | ) | $ | 75,821 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
(a) | Forward Swaps. |
OTC Interest Rate Swaps
Paid by the Fund | Received by the Fund | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||||||
28 day MXIBTIIE | Monthly | 7.07% | Monthly | Citibank NA | 11/21/18 | MXN | 820 | $ | (205 | ) | $ | — | $ | (205 | ) | |||||||||||||||||||||||
28 day MXIBTIIE | Monthly | 7.06 | Monthly | JP Morgan Chase Bank NA | 11/21/18 | MXN | 984 | (249 | ) | — | (249 | ) | ||||||||||||||||||||||||||
28 day MXIBTIIE | Monthly | 6.98 | Monthly | Citibank NA | 11/28/18 | MXN | 1,400 | (384 | ) | — | (384 | ) | ||||||||||||||||||||||||||
28 day MXIBTIIE | Monthly | 6.98 | Monthly | JP Morgan Chase Bank NA | 11/28/18 | MXN | 794 | (217 | ) | — | (217 | ) | ||||||||||||||||||||||||||
28 day MXIBTIIE | Monthly | 6.32 | Monthly | Goldman Sachs International | �� | 08/06/25 | MXN | 511 | (2,271 | ) | — | (2,271 | ) | |||||||||||||||||||||||||
6.31% | Monthly | 28 day MXIBTIIE | Monthly | Deutsche Bank AG | 08/11/25 | MXN | 640 | 2,871 | — | 2,871 | ||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
$ | (455 | ) | $ | — | $ | (455 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
102 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock U.S. Government Bond Portfolio |
The following reference rates, and their values as of period end, are used for security descriptions:
Reference Index | Reference Rate | |||
4W TIIE | Mexico Interbank TIIE 28-Day | 8.10% | ||
3M LIBOR | London Interbank Offered Rate | 2.34% | ||
6M EURIBOR | Euro Interbank Offered Rate | (0.27%) | ||
6M WIBOR | Warsaw Interbank Offered Rate | 1.68% |
Balances Reported in the Statement of Assets and Liabilities for Centrally Cleared Swaps, OTC Derivatives and Options Written
Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | Value | ||||||||||||||||
Centrally Cleared Swaps(a) | $ | — | $ | (14,543 | ) | $ | 128,926 | $ | (52,565 | ) | $ | — | ||||||||
OTC Swaps | 757 | (508 | ) | 3,433 | (3,499 | ) | — | |||||||||||||
OTC Options Written | N/A | N/A | 7,552 | (157 | ) | (23,792 | ) |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statement of Assets and Liabilities were as follows:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts |
| |||||||||||||||||||||||||||
Net unrealized appreciation(a) | $ | — | $ | — | $ | — | $ | — | $ | 14,015 | $ | — | $ | 14,015 | ||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | — | — | 54,803 | — | — | 54,803 | |||||||||||||||||||||
Options purchased | ||||||||||||||||||||||||||||
Investments at value — unaffiliated(b) | — | — | — | 18,765 | 83,931 | — | 102,696 | |||||||||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Net unrealized appreciation(a) | — | 359 | — | — | 128,386 | 181 | 128,926 | |||||||||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized appreciation on OTC swaps; Swap premiums paid | — | 1,319 | — | — | 2,871 | — | 4,190 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 1,678 | $ | — | $ | 73,568 | $ | 229,203 | $ | 181 | $ | 304,630 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Net unrealized depreciation(a) | $ | — | $ | — | $ | — | $ | — | $ | 73,845 | $ | — | $ | 73,845 | ||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | — | — | 21,185 | — | — | 21,185 | |||||||||||||||||||||
Options written | ||||||||||||||||||||||||||||
Options written, at value | — | — | — | — | 23,792 | — | 23,792 | |||||||||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Net unrealized depreciation(a) | — | — | — | — | 52,565 | — | 52,565 | |||||||||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized depreciation on OTC swaps; Swap premiums received | — | 681 | — | — | 3,326 | — | 4,007 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 681 | $ | — | $ | 21,185 | $ | 153,528 | $ | — | $ | 175,394 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
(b) | Includes options purchased at value as reported in the Schedule of Investments. |
SCHEDULES OF INVESTMENTS | 103 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock U.S. Government Bond Portfolio |
For the six months ended June 30, 2018, the effect of derivative financial instruments in the Statement of Operations were as follows:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from: | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | 183,704 | $ | — | $ | 183,704 | ||||||||||||||
Forward foreign currency exchange contracts | — | — | — | 61,712 | — | — | 61,712 | |||||||||||||||||||||
Options purchased(a) | — | — | — | (19,014 | ) | 109,865 | — | 90,851 | ||||||||||||||||||||
Options written | — | — | — | 1,902 | 22,336 | — | 24,238 | |||||||||||||||||||||
Swaps | — | (1,503 | ) | — | — | (108,479 | ) | (4,305 | ) | (114,287 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | (1,503 | ) | $ | — | $ | 44,600 | $ | 207,426 | $ | (4,305 | ) | $ | 246,218 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | (54,164 | ) | $ | (15 | ) | $ | (54,179 | ) | |||||||||||
Forward foreign currency exchange contracts | — | — | — | 16,036 | — | — | 16,036 | |||||||||||||||||||||
Options purchased(b) | — | — | — | 11,783 | 14,212 | — | 25,995 | |||||||||||||||||||||
Options written | — | — | — | — | (11,868 | ) | — | (11,868 | ) | |||||||||||||||||||
Swaps | — | 3,141 | — | — | 84,452 | (1,570 | ) | 86,023 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 3,141 | $ | — | $ | 27,819 | $ | 32,632 | $ | (1,585 | ) | $ | 62,007 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
(b) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts: | ||||
Average notional value of contracts — long | $ | 12,174,388 | ||
Average notional value of contracts — short | $ | 12,794,324 | ||
Forward foreign currency exchange contracts: | ||||
Average amounts purchased — in USD | $ | 2,435,200 | ||
Average amounts sold — in USD | $ | 670,704 | ||
Options: | ||||
Average value of option contracts purchased | $ | 17,203 | ||
Average notional value of swaption contracts purchased | $ | 1,340,000 | ||
Average notional value of swaption contracts written | $ | 20,626,000 | ||
Credit default swaps: | ||||
Average notional value — buy protection | $ | 447,750 | ||
Interest rate swaps: | ||||
Average notional value — pays fixed rate | $ | 27,619,426 | ||
Average notional value — receives fixed rate | $ | 28,158,339 | ||
Inflation Swaps: | ||||
Average notional value — receives fixed rate | $ | 461,052 |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
Assets | Liabilities | |||||||
Derivative Financial Instruments: | ||||||||
Futures contracts | $ | — | $ | 1,449 | ||||
Forward foreign currency exchange contracts | 54,803 | 21,185 | ||||||
Options(a) | 102,696 | 23,792 | ||||||
Swaps — Centrally cleared | 798 | — | ||||||
Swaps — OTC(b) | 4,190 | 4,007 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | $ | 162,487 | $ | 50,433 | ||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | (798 | ) | (1,449 | ) | ||||
|
|
|
| |||||
Total derivative assets and liabilities subject to an MNA | $ | 161,689 | $ | 48,984 | ||||
|
|
|
|
(a) | Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments. |
(b) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statement of Assets and Liabilities. |
104 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock U.S. Government Bond Portfolio |
The following tables present the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
Counterparty | Derivative Assets Subject to an MNA by Counterparty | Derivatives Available for Offset (a) | Non-cash Collateral Received | Cash Collateral Received | Net Amount of Derivative Assets (b) | |||||||||||||||
Bank of America NA | $ | 3,456 | $ | (1,913 | ) | $ | — | $ | — | $ | 1,543 | |||||||||
Barclays Bank plc | 5,125 | (996 | ) | — | — | 4,129 | ||||||||||||||
BNP Paribas SA | 4,267 | (4,267 | ) | — | — | — | ||||||||||||||
Citibank NA | 8,865 | (693 | ) | — | — | 8,172 | ||||||||||||||
Deutsche Bank AG | 26,196 | (957 | ) | — | — | 25,239 | ||||||||||||||
Goldman Sachs International | 4,258 | (2,271 | ) | — | — | 1,987 | ||||||||||||||
HSBC Bank plc | 10,368 | (1,305 | ) | — | — | 9,063 | ||||||||||||||
JP Morgan Chase Bank NA | 82,604 | (23,541 | ) | — | — | 59,063 | ||||||||||||||
Morgan Stanley & Co. International plc | 14,848 | — | — | — | 14,848 | |||||||||||||||
Royal Bank of Scotland | 378 | — | — | — | 378 | |||||||||||||||
Standard Chartered Bank | 262 | — | — | — | 262 | |||||||||||||||
UBS AG | 1,062 | (102 | ) | — | — | 960 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 161,689 | $ | (36,045 | ) | $ | — | $ | — | $ | 125,644 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty | Derivatives Available for Offset (a) | Non-cash Collateral Pledged | Cash Collateral Pledged | Net Amount of Derivative Liabilities (c) | |||||||||||||||
Bank of America NA | $ | 1,913 | $ | (1,913 | ) | $ | — | $ | — | $ | — | |||||||||
Barclays Bank plc | 996 | (996 | ) | — | — | — | ||||||||||||||
BNP Paribas SA | 17,106 | (4,267 | ) | — | — | 12,839 | ||||||||||||||
Citibank NA | 693 | (693 | ) | — | — | — | ||||||||||||||
Credit Suisse International | 100 | — | — | — | 100 | |||||||||||||||
Deutsche Bank AG | 957 | (957 | ) | — | — | — | ||||||||||||||
Goldman Sachs International | 2,271 | (2,271 | ) | — | — | — | ||||||||||||||
HSBC Bank plc | 1,305 | (1,305 | ) | — | — | — | ||||||||||||||
JP Morgan Chase Bank NA | 23,541 | (23,541 | ) | — | — | — | ||||||||||||||
UBS AG | 102 | (102 | ) | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 48,984 | $ | (36,045 | ) | $ | — | $ | — | $ | 12,939 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(a) | The amount of derivatives available for offset is limited to the amount of assets and/or liabilities that are subject to an MNA. |
(b) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable due to the counterparty in the event of default. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Long-Term Investments: | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 1,939,260 | $ | — | $ | 1,939,260 | ||||||||
Foreign Government Obligations | — | 503,358 | — | 503,358 | ||||||||||||
Non-Agency Mortgage-Backed Securities | — | 2,053,756 | 135,081 | 2,188,837 | ||||||||||||
U.S. Government Sponsored Agency Securities | — | 38,681,318 | — | 38,681,318 | ||||||||||||
U.S. Treasury Obligations | — | 31,690,809 | — | 31,690,809 | ||||||||||||
Short-Term Securities: | ||||||||||||||||
Certificates of Deposit | — | 650,270 | — | 650,270 | ||||||||||||
Commercial Paper | — | 110,025 | — | 110,025 | ||||||||||||
Foreign Government Obligations | — | 1,129,229 | — | 1,129,229 | ||||||||||||
Money Market Funds | 899,067 | — | — | 899,067 |
SCHEDULES OF INVESTMENTS | 105 |
Schedule of Investments (unaudited) (continued) June 30, 2018 | BlackRock U.S. Government Bond Portfolio |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Options Purchased: | ||||||||||||||||
Foreign currency exchange contracts | $ | — | $ | 18,765 | $ | — | $ | 18,765 | ||||||||
Interest rate contracts | — | 83,931 | — | 83,931 | ||||||||||||
Liabilities: | ||||||||||||||||
TBA Sale Commitments | — | (6,886,914 | ) | — | (6,886,914 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 899,067 | $ | 69,973,807 | $ | 135,081 | $ | 71,007,955 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Financial Instruments(a) | ||||||||||||||||
Assets: | ||||||||||||||||
Credit contracts | $ | — | $ | 921 | $ | — | $ | 921 | ||||||||
Foreign currency exchange contracts | — | 54,803 | — | 54,803 | ||||||||||||
Interest rate contracts | 14,015 | 131,258 | — | 145,273 | ||||||||||||
Other Contracts | — | 181 | — | 181 | ||||||||||||
Liabilities: | ||||||||||||||||
Credit contracts | — | (173 | ) | — | (173 | ) | ||||||||||
Foreign currency exchange contracts | — | (21,185 | ) | — | (21,185 | ) | ||||||||||
Interest rate contracts | (73,845 | ) | (79,683 | ) | — | (153,528 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (59,830 | ) | $ | 86,122 | $ | — | $ | 26,292 | ||||||||
|
|
|
|
|
|
|
|
(a) | Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts, forward foreign currency exchange contracts and options written are valued at the unrealized appreciation (depreciation) on the instrument. |
The Fund may hold liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $12,248,792 are categorized as level 2 within the disclosure hierarchy.
During the six months ended June 30, 2018, there were no transfers between levels.
See notes to financial statements.
106 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Statements of Assets and Liabilities (unaudited)
June 30, 2018
BlackRock Advantage Large Cap Core Portfolio | BlackRock Balanced Capital Portfolio | BlackRock Capital Appreciation Portfolio | BlackRock Global Allocation Portfolio(a) | |||||||||||||
ASSETS | ||||||||||||||||
Investments at value — unaffiliated(b)(c) | $ | 184,457,314 | $ | 488,183,554 | $ | 188,029,613 | $ | 198,058,812 | ||||||||
Investments at value — affiliated(d) | 6,864,854 | 38,969,848 | 8,498,270 | 8,647,820 | ||||||||||||
Cash | — | — | 260 | 621,380 | ||||||||||||
Due from broker | — | — | — | 107,387 | ||||||||||||
Cash pledged: | ||||||||||||||||
Futures contracts | 85,000 | 1,182,000 | — | 88,000 | ||||||||||||
Centrally cleared swaps | — | 171,182 | — | 118,000 | ||||||||||||
Foreign currency at value(e) | — | 1,192,020 | 112 | 31,866 | ||||||||||||
Receivables: | ||||||||||||||||
Investments sold | 2,335,180 | 8,629,828 | 600,510 | 583,189 | ||||||||||||
Securities lending income — affiliated | 630 | 1,257 | 1,419 | 2,089 | ||||||||||||
TBA sale commitments(f) | — | 11,241,986 | — | — | ||||||||||||
Capital shares sold | — | — | — | 540,193 | ||||||||||||
Dividends — affiliated | 2,648 | 51,135 | 2,531 | 3,438 | ||||||||||||
Dividends — unaffiliated | 120,703 | 204,906 | 6,774 | 188,098 | ||||||||||||
Interest — unaffiliated | — | 983,958 | — | 414,205 | ||||||||||||
From the Manager | — | — | 1,608 | 316 | ||||||||||||
Variation margin on futures contracts | — | 26,580 | — | — | ||||||||||||
Variation margin on centrally cleared swaps | — | — | — | 948 | ||||||||||||
Swap premiums paid | — | 56,273 | — | — | ||||||||||||
Unrealized appreciation on: | ||||||||||||||||
Forward foreign currency exchange contracts | — | 436,862 | — | 218,239 | ||||||||||||
OTC swaps | — | 61,527 | — | 340,011 | ||||||||||||
Prepaid expenses | 1,608 | 2,325 | 1,583 | 1,921 | ||||||||||||
Other assets | — | 9,393 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 193,867,937 | 551,404,634 | 197,142,680 | 209,965,912 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Investments sold short, at value(g) | — | — | — | 687,383 | ||||||||||||
Bank overdraft | 65,365 | 51,693 | — | — | ||||||||||||
Cash received as collateral for OTC derivatives | — | — | — | 900,000 | ||||||||||||
Borrowed bonds at value(h) | — | 750,492 | — | — | ||||||||||||
Cash collateral on securities loaned at value | 5,238,758 | 1,399,541 | 5,747,308 | 4,400,194 | ||||||||||||
Options written at value(i) | — | 90,212 | — | 714,047 | ||||||||||||
TBA sale commitments at value | — | 11,270,594 | — | — | ||||||||||||
Reverse repurchase agreements at value | — | 5,989,002 | — | — | ||||||||||||
Payables: | ||||||||||||||||
Investments purchased | 2,058,641 | 30,372,005 | 1,206,613 | 4,951,630 | ||||||||||||
Board realignment and consolidation | 446 | 518 | 442 | 451 | ||||||||||||
Capital shares redeemed | 2,880 | 22,037 | 152,813 | 30,700 | ||||||||||||
Custodian fees | 810 | 3,175 | 3,655 | 68,479 | ||||||||||||
Deferred foreign capital gain tax | — | — | — | 11,014 | ||||||||||||
Interest expense | — | 2,750 | — | — | ||||||||||||
Investment advisory fees | 55,312 | 150,254 | 58,024 | 47,849 | ||||||||||||
Directors’ and Officer’s fees | 1,367 | 3,021 | 1,615 | 2,940 | ||||||||||||
Other affiliates | 832 | 2,627 | 776 | 1,217 | ||||||||||||
Professional fees | 29,176 | 48,993 | 26,747 | 64,854 | ||||||||||||
Transfer agent fees | 12,284 | 22,753 | 13,817 | 6,696 | ||||||||||||
Other accrued expenses | 81,272 | 103,142 | 30,706 | 119,156 | ||||||||||||
Variation margin on futures contracts | — | — | — | 969 | ||||||||||||
Variation margin on centrally cleared swaps | — | 1,244 | — | — | ||||||||||||
Swap premiums received | — | 40,209 | — | — | ||||||||||||
Unrealized depreciation on: | ||||||||||||||||
Forward foreign currency exchange contracts | — | 216,483 | — | 556,223 | ||||||||||||
OTC swaps | — | 39,917 | — | 70 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 7,547,143 | 50,580,662 | 7,242,516 | 12,563,872 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 186,320,794 | $ | 500,823,972 | $ | 189,900,164 | $ | 197,402,040 | ||||||||
|
|
|
|
|
|
|
|
See notes to financial statements.
FINANCIAL STATEMENTS | 107 |
Statements of Assets and Liabilities (unaudited) (continued)
June 30, 2018
BlackRock Advantage Large Cap Core Portfolio | BlackRock Balanced Capital Portfolio | BlackRock Capital Appreciation Portfolio | BlackRock Global Allocation Portfolio(a) | |||||||||||||
NET ASSETS CONSIST OF | ||||||||||||||||
Paid-in capital | $ | 158,026,158 | $ | 457,667,266 | $ | 114,280,550 | $ | 178,825,853 | ||||||||
Undistributed net investment income | 1,370,352 | 5,061,546 | 189,439 | 1,243,386 | ||||||||||||
Accumulated net realized gain | 16,013,062 | 25,223,857 | 12,024,588 | 7,330,443 | ||||||||||||
Net unrealized appreciation (depreciation) | 10,911,222 | 12,871,303 | 63,405,587 | 10,002,358 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 186,320,794 | $ | 500,823,972 | $ | 189,900,164 | $ | 197,402,040 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Share outstanding, $0.10 par value(j) | 7,392,076 | 31,010,321 | 4,078,225 | 12,197,720 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 25.21 | $ | 16.15 | $ | 46.56 | $ | 16.18 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Consolidated Statement of Assets and Liabilities | ||||||||||||||||
(b) Investments at cost — unaffiliated | $ | 173,511,733 | $ | 474,846,351 | $ | 124,624,026 | $ | 187,565,621 | ||||||||
(c) Securities loaned at value | $ | 5,072,329 | $ | 1,346,246 | $ | 5,551,131 | $ | 4,230,484 | ||||||||
(d) Investments at cost — affiliated | $ | 6,864,825 | $ | 38,995,797 | $ | 8,498,270 | $ | 8,810,970 | ||||||||
(e) Foreign currency at cost | $ | — | $ | 1,192,540 | $ | 112 | $ | 31,861 | ||||||||
(f) Proceeds from TBA sale commitments | $ | — | $ | 11,241,986 | $ | — | $ | — | ||||||||
(g) Proceeds received from investments sold short at value — unaffiliated | $ | — | $ | — | $ | — | $ | 695,285 | ||||||||
(h) Proceeds received from borrowed bonds | $ | — | $ | 744,459 | $ | — | $ | — | ||||||||
(i) Premiums received | $ | — | $ | 88,736 | $ | — | $ | 559,966 | ||||||||
(j) Authorized shares | 100 million | 300 million | 100 million | 100 million |
See notes to financial statements.
108 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Statements of Assets and Liabilities (unaudited)
June 30, 2018
BlackRock Government Money Market Portfolio | BlackRock High Yield Portfolio | BlackRock U.S. Government Bond Portfolio | ||||||||||
ASSETS | ||||||||||||
Investments at value — unaffiliated(a) | $ | 81,699,973 | $ | 29,182,392 | $ | 76,995,802 | ||||||
Investments at value — affiliated(b) | — | 581,247 | 899,067 | |||||||||
Cash | 4,257,963 | 5,370 | 2,616 | |||||||||
Cash pledged: | ||||||||||||
Futures contracts | — | 13,000 | 116,540 | |||||||||
Centrally cleared swaps | — | 59,000 | 114,000 | |||||||||
Foreign currency at value(c) | — | 646 | 246,752 | |||||||||
Repurchase agreements at value(d) | 40,670,000 | — | — | |||||||||
Receivables: | ||||||||||||
Investments sold | — | 465,452 | 4,321,996 | |||||||||
TBA sale commitments | — | — | 6,863,559 | |||||||||
Capital shares sold | 2,617,063 | — | — | |||||||||
Dividends — affiliated | — | 503 | 5,651 | |||||||||
Dividends — unaffiliated | — | 1,054 | 16,575 | |||||||||
Interest — unaffiliated | 48,524 | 423,710 | 277,236 | |||||||||
From the Manager | 580 | 65,277 | 59,844 | |||||||||
Investment adviser | — | 4,393 | 2,500 | |||||||||
Variation margin on centrally cleared swaps | — | — | 798 | |||||||||
Swap premiums paid | — | 5,491 | 757 | |||||||||
Unrealized appreciation on: | ||||||||||||
Forward foreign currency exchange contracts | — | — | 54,803 | |||||||||
OTC swaps | — | 31 | 3,433 | |||||||||
Unfunded floating rate loan interests | — | 4 | — | |||||||||
Prepaid expenses | 1,448 | 1,271 | 6,223 | |||||||||
Other assets | — | 2,850 | 28,020 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 129,295,551 | 30,811,691 | 90,016,172 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Options written at value(e) | — | — | 23,792 | |||||||||
TBA sale commitments at value(f) | — | — | 6,886,914 | |||||||||
Reverse repurchase agreements at value | — | — | 12,248,792 | |||||||||
Payables: | ||||||||||||
Investments purchased | — | 777,235 | 13,502,617 | |||||||||
Accounting fees | 7,364 | 7,432 | 7,138 | |||||||||
Printing fees | 18,010 | 15,691 | 18,112 | |||||||||
Board realignment and consolidation | 427 | 50,636 | 58,744 | |||||||||
Capital shares redeemed | 192 | 15,669 | 812 | |||||||||
Custodian fees | 3,583 | 7,349 | 8,380 | |||||||||
Income dividends | — | 123,961 | 101,305 | |||||||||
Investment advisory fees | 39,966 | — | — | |||||||||
Directors’ and Officer’s fees | 1,507 | 1,196 | 1,300 | |||||||||
Other affiliates | 645 | 198 | 389 | |||||||||
Professional fees | 7,618 | 22,852 | 39,108 | |||||||||
Transfer agent fees | 2,093 | — | — | |||||||||
Other accrued expenses | 975 | 36,181 | — | |||||||||
Variation margin on futures contracts | — | — | 1,449 | |||||||||
Variation margin on centrally cleared swaps | — | 917 | — | |||||||||
Swap premiums received | — | 1,111 | 508 | |||||||||
Unrealized depreciation on: | ||||||||||||
Forward foreign currency exchange contracts | — | 560 | 21,185 | |||||||||
OTC swaps | — | 922 | 3,499 | |||||||||
Unfunded floating rate loan interests | — | 11 | — | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 82,380 | 1,061,921 | 32,924,044 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 129,213,171 | $ | 29,749,770 | $ | 57,092,128 | ||||||
|
|
|
|
|
|
See notes to financial statements.
FINANCIAL STATEMENTS | 109 |
Statements of Assets and Liabilities (unaudited) (continued)
June 30, 2018
BlackRock Government Money Market Portfolio | BlackRock High Yield Portfolio | BlackRock U.S. Government Bond Portfolio | ||||||||||
NET ASSETS CONSIST OF | ||||||||||||
Paid-in capital | $ | 129,213,024 | $ | 31,933,433 | $ | 60,684,510 | ||||||
Undistributed (distributions in excess of) net investment income | — | (124,060 | ) | 79,495 | ||||||||
Accumulated net realized gain (loss) | 147 | (1,678,288 | ) | (2,958,262 | ) | |||||||
Net unrealized appreciation (depreciation) | — | (381,315 | ) | (713,615 | ) | |||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 129,213,171 | $ | 29,749,770 | $ | 57,092,128 | ||||||
|
|
|
|
|
| |||||||
Share outstanding, $0.10 par value(g) | 129,213,030 | 5,607,078 | 5,386,184 | |||||||||
|
|
|
|
|
| |||||||
Net asset value | $ | 1.00 | $ | 5.31 | $ | 10.60 | ||||||
|
|
|
|
|
| |||||||
(a) Investments at cost — unaffiliated | $ | 81,699,973 | $ | 29,569,530 | $ | 77,766,402 | ||||||
(b) Investments at cost — affiliated | $ | — | $ | 581,247 | $ | 899,067 | ||||||
(c) Foreign currency at cost | $ | — | $ | 647 | $ | 246,382 | ||||||
(d) Repurchase agreements at cost — unaffiliated | $ | 40,670,000 | $ | — | $ | — | ||||||
(e) Premiums received | $ | — | $ | — | $ | 31,187 | ||||||
(f) Proceeds from TBA sale commitments | $ | — | $ | — | $ | 6,863,559 | ||||||
(g) Authorized shares | 2 billion | 100 million | 100 million |
See notes to financial statements.
110 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Statements of Operations (unaudited)
June 30, 2018
BlackRock Advantage Large Cap Core Portfolio | BlackRock Balanced Capital Portfolio | BlackRock Capital Appreciation Portfolio | BlackRock Global Allocation Portfolio(a) | |||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Dividends — affiliated | $ | 12,541 | $ | 329,251 | $ | 9,044 | $ | 44,138 | ||||||||
Dividends — unaffiliated | 1,796,035 | (b) | 2,922,141 | 583,193 | 1,463,413 | |||||||||||
Interest — unaffiliated | — | 2,813,164 | — | 956,459 | ||||||||||||
Securities lending income — affiliated — net | 2,959 | 6,498 | 11,800 | 11,107 | ||||||||||||
Foreign taxes withheld | (1,534 | ) | (11,893 | ) | — | (84,641 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 1,810,001 | 6,059,161 | 604,037 | 2,390,476 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES | ||||||||||||||||
Investment advisory | 345,282 | 927,515 | 333,909 | 375,637 | ||||||||||||
Transfer agent | 138,418 | 384,818 | 135,166 | 167,584 | ||||||||||||
Professional | 26,951 | 38,292 | 24,612 | 47,676 | ||||||||||||
Accounting services | 23,049 | 61,157 | 22,620 | 50,050 | ||||||||||||
Custodian | 20,646 | 62,866 | 5,502 | 117,760 | ||||||||||||
Printing | 17,075 | 15,645 | 9,943 | 10,406 | ||||||||||||
Directors and Officer | 8,871 | 10,697 | 8,621 | 8,827 | ||||||||||||
Board realignment and consolidation | 446 | 518 | 442 | 451 | ||||||||||||
Miscellaneous | 8,369 | 40,722 | 2,879 | 33,698 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses excluding dividend expense and interest expense | 589,107 | 1,542,230 | 543,694 | 812,089 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividend expense — unaffiliated | — | — | — | 3,828 | ||||||||||||
Interest expense | — | 75,732 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 589,107 | 1,617,962 | 543,694 | 815,917 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less: | ||||||||||||||||
Transfer agent fees waived and/or reimbursed | (116,536 | ) | (294,526 | ) | (96,190 | ) | (165,092 | ) | ||||||||
Fees waived and/or reimbursed by the Manager | (713 | ) | (20,787 | ) | (534 | ) | (59,878 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses after fees waived and/or reimbursed | 471,858 | 1,302,649 | 446,970 | 590,947 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income | 1,338,143 | 4,756,512 | 157,067 | 1,799,529 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments — affiliated | 167 | 256,916 | 543 | 954 | ||||||||||||
Investments — unaffiliated | 13,186,216 | 16,268,907 | 9,135,697 | 4,827,797 | (c) | |||||||||||
Borrowed bonds | — | (1,760 | ) | — | — | |||||||||||
Forward foreign currency exchange contracts | — | 21,249 | — | 147,758 | ||||||||||||
Foreign currency transactions | — | 43,504 | 15 | 126,512 | ||||||||||||
Futures contracts | 81,806 | 2,541,049 | — | (380,573 | ) | |||||||||||
Options written | — | 340,998 | — | 199,594 | ||||||||||||
Short sales — unaffiliated | — | — | — | (1,266 | ) | |||||||||||
Swaps | — | (151,860 | ) | — | 52,607 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
13,268,189 | 19,319,003 | 9,136,255 | 4,973,383 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments — affiliated | 29 | 102,079 | 322 | (89,403 | ) | |||||||||||
Investments — unaffiliated | (7,651,354 | ) | (13,470,662 | ) | 15,616,830 | (8,231,672 | )(d) | |||||||||
Borrowed bonds | — | 12,904 | — | — | ||||||||||||
Forward foreign currency exchange contracts | — | 295,627 | — | (469,231 | ) | |||||||||||
Foreign currency transactions | — | (7,276 | ) | — | (11,550 | ) | ||||||||||
Futures contracts | (43,816 | ) | (165,015 | ) | — | 39,639 | ||||||||||
Options written | — | (129,869 | ) | — | (389,607 | ) | ||||||||||
Short sales — unaffiliated | — | — | — | 7,902 | ||||||||||||
Swaps | — | 197,802 | — | (442,464 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
(7,695,141 | ) | (13,164,410 | ) | 15,617,152 | (9,586,386 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 5,573,048 | 6,154,593 | 24,753,407 | (4,613,003 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 6,911,191 | $ | 10,911,105 | $ | 24,910,474 | $ | (2,813,474 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
(a) Consolidated Statement of Operations | ||||||||||||||||
(b) Includes non-recurring dividends in the amount of $107,355. | ||||||||||||||||
(c) Net of foreign capital gain tax | $ | (3,210 | ) | — | — | — | ||||||||||
(d) Net of foreign capital gain tax | $ | 6,539 | — | — | — |
See notes to financial statements.
FINANCIAL STATEMENTS | 111 |
Statements of Operations (unaudited)
June 30, 2018
BlackRock Government Money Market Portfolio | BlackRock High Yield Portfolio | BlackRock U.S. Government Bond Portfolio | ||||||||||
INVESTMENT INCOME | ||||||||||||
Dividends — affiliated | $ | — | $ | 3,699 | $ | 17,256 | ||||||
Dividends — unaffiliated | — | 14,291 | 174 | |||||||||
Interest — unaffiliated | 978,260 | 901,562 | 790,168 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 978,260 | 919,552 | 807,598 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES | ||||||||||||
Investment advisory | 217,947 | 55,444 | 100,934 | |||||||||
Transfer agent | 97,175 | 24,792 | 45,040 | |||||||||
Professional | 21,560 | 33,501 | 33,483 | |||||||||
Accounting services | 18,650 | 51,736 | 35,205 | |||||||||
Printing | 9,342 | 8,466 | 8,167 | |||||||||
Directors and Officer | 8,290 | 7,778 | 7,921 | |||||||||
Custodian | 5,759 | 10,609 | 15,399 | |||||||||
Board realignment and consolidation | 427 | 50,636 | 58,744 | |||||||||
Miscellaneous | 3,093 | 6,092 | 24,481 | |||||||||
|
|
|
|
|
| |||||||
Total expenses excluding interest expense | 382,243 | 249,054 | 329,374 | |||||||||
|
|
|
|
|
| |||||||
Interest expense | — | — | 58,882 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 382,243 | 249,054 | 388,256 | |||||||||
|
|
|
|
|
| |||||||
Less: | ||||||||||||
Transfer agent fees waived and/or reimbursed | (86,266 | ) | (22,314 | ) | (42,561 | ) | ||||||
Fees waived and/or reimbursed by the Manager | (4 | ) | (151,127 | ) | (149,031 | ) | ||||||
|
|
|
|
|
| |||||||
Total expenses after fees waived and/or reimbursed | 295,973 | 75,613 | 196,664 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 682,287 | 843,939 | 610,934 | |||||||||
|
|
|
|
|
| |||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments — affiliated | — | (1,178 | ) | — | ||||||||
Investments — unaffiliated | (20 | ) | 100,884 | (597,435 | ) | |||||||
Forward foreign currency exchange contracts | — | (16,097 | ) | 61,712 | ||||||||
Foreign currency transactions | — | (6,225 | ) | 13,157 | ||||||||
Futures contracts | — | 9,791 | 183,704 | |||||||||
Options written | — | 2,704 | 24,238 | |||||||||
Swaps | — | 5,890 | (114,287 | ) | ||||||||
Unfunded floating rate loan interests | — | (2 | ) | — | ||||||||
|
|
|
|
|
| |||||||
(20 | ) | 95,767 | (428,911 | ) | ||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments — affiliated | — | 270 | — | |||||||||
Investments — unaffiliated | — | (799,495 | ) | (575,013 | ) | |||||||
Forward foreign currency exchange contracts | — | 981 | 16,036 | |||||||||
Foreign currency transactions | — | (14 | ) | (277 | ) | |||||||
Futures contracts | — | 6,342 | (54,179 | ) | ||||||||
Options written | — | — | (11,868 | ) | ||||||||
Swaps | — | (740 | ) | 86,023 | ||||||||
Unfunded floating rate loan interests | — | 131 | — | |||||||||
|
|
|
|
|
| |||||||
— | (792,525 | ) | (539,278 | ) | ||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized loss | (20 | ) | (696,758 | ) | (968,189 | ) | ||||||
|
|
|
|
|
| |||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 682,267 | $ | 147,181 | $ | (357,255 | ) | |||||
|
|
|
|
|
|
See notes to financial statements.
112 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Statements of Changes in Net Assets
BlackRock Advantage Large Cap Core Portfolio | BlackRock Balanced Capital Portfolio | |||||||||||||||||||
Six Months Ended 06/30/2018 (Unaudited) | Year Ended 12/31/2017 | Six Months Ended 06/30/2018 (Unaudited) | Year Ended 12/31/2017 | |||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||
OPERATIONS | ||||||||||||||||||||
Net investment income | $ | 1,338,143 | $ | 2,397,763 | $ | 4,756,512 | $ | 8,916,319 | ||||||||||||
Net realized gain | 13,268,189 | 47,477,016 | 19,319,003 | 84,848,949 | ||||||||||||||||
Net change in unrealized appreciation (depreciation) | (7,695,141 | ) | (14,151,938 | ) | (13,164,410 | ) | (25,392,201 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 6,911,191 | 35,722,841 | 10,911,105 | 68,373,067 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS(a) | ||||||||||||||||||||
From net investment income | — | (2,382,955 | ) | — | (9,065,930 | ) | ||||||||||||||
From net realized gain | — | (49,031,244 | ) | — | (85,584,523 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Decrease in net assets resulting from distributions to shareholders | — | (51,414,199 | ) | — | (94,650,453 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||||||
Net increase (decrease) in net assets derived from capital share transactions | (8,127,958 | ) | 35,241,835 | (21,279,873 | ) | 47,028,541 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
NET ASSETS | ||||||||||||||||||||
Total increase (decrease) in net assets | (1,216,767 | ) | 19,550,477 | (10,368,768 | ) | 20,751,155 | ||||||||||||||
Beginning of period | 187,537,561 | 167,987,084 | 511,192,740 | 490,441,585 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 186,320,794 | $ | 187,537,561 | $ | 500,823,972 | $ | 511,192,740 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed net investment income, end of period | $ | 1,370,352 | $ | 32,209 | $ | 5,061,546 | $ | 305,034 | ||||||||||||
|
|
|
|
|
|
|
|
(a) Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
See notes to financial statements.
FINANCIAL STATEMENTS | 113 |
Statements of Changes in Net Assets
BlackRock Capital Appreciation Portfolio | BlackRock Global Allocation Portfolio (a) | |||||||||||||||||||
Six Months Ended 06/30/2018 (Unaudited) | Year Ended 12/31/2017 | Six Months Ended 06/30/2018 (Unaudited) | Year Ended 12/31/2017 | |||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||
OPERATIONS | ||||||||||||||||||||
Net investment income | $ | 157,067 | $ | 464,587 | $ | 1,799,529 | $ | 3,291,636 | ||||||||||||
Net realized gain | 9,136,255 | 15,183,647 | 4,973,383 | 8,073,637 | ||||||||||||||||
Net change in unrealized appreciation (depreciation) | 15,617,152 | 29,407,057 | (9,586,386 | ) | 16,327,473 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | 24,910,474 | 45,055,291 | (2,813,474 | ) | 27,692,746 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS(b) | ||||||||||||||||||||
From net investment income | — | (450,001 | ) | — | (2,964,477 | ) | ||||||||||||||
From net realized gain | — | (16,267,730 | ) | — | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Decrease in net assets resulting from distributions to shareholders | — | (16,717,731 | ) | — | (2,964,477 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||||||
Net increase (decrease) in net assets derived from capital share transactions | (5,840,029 | ) | 3,473,022 | (11,339,594 | ) | (19,698,247 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
NET ASSETS | ||||||||||||||||||||
Total increase (decrease) in net assets | 19,070,445 | 31,810,582 | (14,153,068 | ) | 5,030,022 | |||||||||||||||
Beginning of period | 170,829,719 | 139,019,137 | 211,555,108 | 206,525,086 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 189,900,164 | $ | 170,829,719 | $ | 197,402,040 | $ | 211,555,108 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed (Distributions in excess of) net investment income, end of period | $ | 189,439 | $ | 32,372 | $ | 1,243,386 | $ | (556,143 | ) | |||||||||||
|
|
|
|
|
|
|
|
(a) | Consolidated Statement of Changes in Net Assets |
(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
114 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Statements of Changes in Net Assets
BlackRock Government Money Market Portfolio | BlackRock High Yield Portfolio | |||||||||||||||||||
Six Months Ended 06/30/2018 (Unaudited) | Year Ended 12/31/2017 | Six Months Ended 06/30/2018 (Unaudited) | Year Ended 12/31/2017 | |||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||
OPERATIONS | ||||||||||||||||||||
Net investment income | $ | 682,287 | $ | 498,444 | $ | 843,939 | $ | 1,851,923 | ||||||||||||
Net realized gain (loss) | (20 | ) | 533 | 95,767 | 920,556 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | — | — | (792,525 | ) | (186,639 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 682,267 | 498,977 | 147,181 | 2,585,840 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS(a) | ||||||||||||||||||||
From net investment income | (682,287 | ) | (498,444 | ) | (841,297 | ) | (1,883,102 | ) | ||||||||||||
From net realized gain | — | (366 | ) | — | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Decrease in net assets resulting from distributions to shareholders | (682,287 | ) | (498,810 | ) | (841,297 | ) | (1,883,102 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||||||
Net increase (decrease) in net assets derived from capital share transactions | 21,913,780 | (14,758,053 | ) | (1,561,290 | ) | (2,491,823 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
NET ASSETS | ||||||||||||||||||||
Total increase (decrease) in net assets | 21,913,760 | (14,757,886 | ) | (2,255,406 | ) | (1,789,085 | ) | |||||||||||||
Beginning of period | 107,299,411 | 122,057,297 | 32,005,176 | 33,794,261 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 129,213,171 | $ | 107,299,411 | $ | 29,749,770 | $ | 32,005,176 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions in excess of net investment income, end of period | $ | — | $ | — | $ | (124,060 | ) | $ | (126,702 | ) | ||||||||||
|
|
|
|
|
|
|
|
(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
FINANCIAL STATEMENTS | 115 |
Statements of Changes in Net Assets
BlackRock U.S. Government Bond Portfolio | ||||||||
Six Months Ended 06/30/2018 (Unaudited) | Year Ended 12/31/2017 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 610,934 | $ | 1,097,605 | ||||
Net realized loss | (428,911 | ) | (923,940 | ) | ||||
Net change in unrealized appreciation (depreciation) | (539,278 | ) | 876,423 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (357,255 | ) | 1,050,088 | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS(a) | ||||||||
From net investment income | (657,768 | ) | (1,311,639 | ) | ||||
|
|
|
| |||||
CAPITAL SHARE TRANSACTIONS | ||||||||
Net increase (decrease) in net assets derived from capital share transactions | 3,526,914 | (5,663,932 | ) | |||||
|
|
|
| |||||
NET ASSETS | ||||||||
Total increase (decrease) in net assets | 2,511,891 | (5,925,483 | ) | |||||
Beginning of period | 54,580,237 | 60,505,720 | ||||||
|
|
|
| |||||
End of period | $ | 57,092,128 | $ | 54,580,237 | ||||
|
|
|
| |||||
Undistributed net investment income, end of period | $ | 79,495 | $ | 126,329 | ||||
|
|
|
|
(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
116 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
(For a share outstanding throughout each period)
BlackRock Advantage Large Cap Core Portfolio | ||||||||||||||||||||||||||||
Six Months Ended 06/30/2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.31 | $ | 27.15 | $ | 26.53 | $ | 28.11 | $ | 27.50 | $ | 20.70 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net investment income(a) | 0.18 | (b) | 0.40 | 0.36 | 0.32 | 0.29 | 0.27 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.72 | 5.58 | 2.47 | (0.15 | ) | 3.23 | 6.82 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase from investment operations | 0.90 | 5.98 | 2.83 | 0.17 | 3.52 | 7.09 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Distributions(c) | ||||||||||||||||||||||||||||
From net investment income | — | (0.41 | ) | (0.37 | ) | (0.33 | ) | (0.32 | ) | (0.29 | ) | |||||||||||||||||
From net realized gain | — | (8.41 | ) | (1.84 | ) | (1.42 | ) | (2.59 | ) | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total distributions | — | (8.82 | ) | (2.21 | ) | (1.75 | ) | (2.91 | ) | (0.29 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net asset value, end of period | $ | 25.21 | $ | 24.31 | $ | 27.15 | $ | 26.53 | $ | 28.11 | $ | 27.50 | ||||||||||||||||
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| |||||||||||||||||
Total Return(d) | ||||||||||||||||||||||||||||
Based on net asset value | 3.70 | %(e) | 22.24 | % | 10.69 | % | 0.60 | % | 12.79 | % | 34.29 | % | ||||||||||||||||
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| |||||||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||||||
Total expenses | 0.62 | %(f) | 0.63 | % | 0.60 | % | 0.60 | % | 0.59 | % | 0.60 | % | ||||||||||||||||
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|
|
|
|
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| |||||||||||||||||
Total expenses after fees waived and/or reimbursed | 0.50 | %(f) | 0.50 | % | 0.50 | % | 0.50 | % | 0.49 | % | 0.49 | % | ||||||||||||||||
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| |||||||||||||||||
Net investment income | 1.42 | %(b)(f) | 1.35 | % | 1.36 | % | 1.14 | % | 1.03 | % | 1.12 | % | ||||||||||||||||
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| |||||||||||||||||
Supplemental Data | ||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 186,321 | $ | 187,538 | $ | 167,987 | $ | 169,173 | $ | 184,854 | $ | 179,261 | ||||||||||||||||
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| |||||||||||||||||
Portfolio turnover rate | 73 | % | 154 | % | 48 | % | 31 | % | 47 | % | 39 | % | ||||||||||||||||
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|
|
(a) | Based on average shares outstanding. |
(b) | Net investment income per share and the ratio of net investment income to average net assets includes $0.01 per share and 0.11%, respectively, resulting from a special dividend. |
(c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) | Where applicable, excludes insurance-related fees and expenses and assumes the reinvestment of distributions. |
(e) | Aggregate total return. |
(f) | Annualized. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS | 117 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BlackRock Balanced Capital Portfolio | ||||||||||||||||||||||||||||
Six Months Ended 06/30/2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.81 | $ | 16.87 | $ | 16.74 | $ | 17.81 | $ | 18.26 | $ | 15.51 | ||||||||||||||||
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|
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|
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| |||||||||||||||||
Net investment income(a) | 0.15 | 0.31 | 0.29 | 0.28 | 0.33 | 0.31 | ||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.19 | 2.14 | 1.16 | (0.19 | ) | 1.67 | 2.83 | |||||||||||||||||||||
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| |||||||||||||||||
Net increase from investment operations | 0.34 | 2.45 | 1.45 | 0.09 | 2.00 | 3.14 | ||||||||||||||||||||||
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| |||||||||||||||||
Distributions(b) | ||||||||||||||||||||||||||||
From net investment income | — | (0.34 | ) | (0.30 | ) | (0.30 | ) | (0.36 | ) | (0.35 | ) | |||||||||||||||||
From net realized gain | — | (3.17 | ) | (1.02 | ) | (0.86 | ) | (2.09 | ) | (0.04 | ) | |||||||||||||||||
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| |||||||||||||||||
Total distributions | — | (3.51 | ) | (1.32 | ) | (1.16 | ) | (2.45 | ) | (0.39 | ) | |||||||||||||||||
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| |||||||||||||||||
Net asset value, end of period | $ | 16.15 | $ | 15.81 | $ | 16.87 | $ | 16.74 | $ | 17.81 | $ | 18.26 | ||||||||||||||||
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| |||||||||||||||||
Total Return(c) | ||||||||||||||||||||||||||||
Based on net asset value | 2.15 | %(d) | 14.59 | % | 8.65 | % | 0.52 | % | 11.07 | % | 20.29 | % | ||||||||||||||||
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| |||||||||||||||||
Ratios to Average Net Assets(e) | ||||||||||||||||||||||||||||
Total expenses | 0.64 | %(f) | 0.66 | % | 0.62 | % | 0.61 | % | 0.57 | % | 0.61 | % | ||||||||||||||||
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| |||||||||||||||||
Total expenses after fees waived and/or reimbursed | 0.51 | %(f) | 0.53 | % | 0.52 | % | 0.50 | % | 0.48 | % | 0.51 | % | ||||||||||||||||
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| |||||||||||||||||
Total expenses after fees waived and/or reimbursed and excluding dividend expense and interest expense | 0.48 | %(f) | 0.49 | % | 0.49 | % | 0.49 | % | 0.47 | % | 0.49 | % | ||||||||||||||||
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| |||||||||||||||||
Net investment income | 1.88 | %(f) | 1.75 | % | 1.72 | % | 1.54 | % | 1.72 | % | 1.83 | % | ||||||||||||||||
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| |||||||||||||||||
Supplemental Data | ||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 500,824 | $ | 511,193 | $ | 490,442 | $ | 499,439 | $ | 546,054 | $ | 537,641 | ||||||||||||||||
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| |||||||||||||||||
Portfolio turnover rate(g) | 132 | % | 332 | % | 264 | % | 340 | % | 345 | % | 349 | % | ||||||||||||||||
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|
(a) | Based on average shares outstanding. |
(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(c) | Where applicable, excludes insurance-related fees and expenses and assumes the reinvestment of distributions. |
(d) | Aggregate total return. |
(e) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
Six Months Ended 06/30/2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||||||||||||||||||||||||
Investments in underlying funds | 0.02 | % | 0.01 | % | 0.01 | % | — | — | — | |||||||||||||||||||||||||||||||||||||||
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(f) | Annualized. |
(g) | Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
Six Months Ended 06/30/2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (excluding MDRs) | 101 | % | 248 | % | 188 | % | 240 | % | 259 | % | 252 | % | ||||||||||||||||||||||||||||||||||||
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|
|
See notes to financial statements.
118 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BlackRock Capital Appreciation Portfolio | ||||||||||||||||||||||||||||
Six Months Ended 06/30/2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 40.56 | $ | 33.61 | $ | 34.32 | $ | 34.75 | $ | 38.16 | $ | 28.43 | ||||||||||||||||
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| |||||||||||||||||
Net investment income(a) | 0.04 | 0.12 | (b) | 0.07 | (c) | 0.05 | 0.07 | 0.08 | ||||||||||||||||||||
Net realized and unrealized gain | 5.96 | 11.11 | 0.07 | 2.45 | 3.33 | 9.74 | ||||||||||||||||||||||
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| |||||||||||||||||
Net increase from investment operations | 6.00 | 11.23 | 0.14 | 2.50 | 3.40 | 9.82 | ||||||||||||||||||||||
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| |||||||||||||||||
Distributions(d) | ||||||||||||||||||||||||||||
From net investment income | — | (0.12 | ) | (0.08 | ) | (0.05 | ) | (0.07 | ) | (0.09 | ) | |||||||||||||||||
From net realized gain | — | (4.16 | ) | (0.77 | ) | (2.88 | ) | (6.74 | ) | — | ||||||||||||||||||
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| |||||||||||||||||
Total distributions | — | (4.28 | ) | (0.85 | ) | (2.93 | ) | (6.81 | ) | (0.09 | ) | |||||||||||||||||
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| |||||||||||||||||
Net asset value, end of period | $ | 46.56 | $ | 40.56 | $ | 33.61 | $ | 34.32 | $ | 34.75 | $ | 38.16 | ||||||||||||||||
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| |||||||||||||||||
Total Return(e) | ||||||||||||||||||||||||||||
Based on net asset value | 14.79 | %(f) | 33.62 | % | 0.40 | % | 7.09 | % | 9.12 | % | 34.53 | % | ||||||||||||||||
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| |||||||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||||||
Total expenses | 0.60 | %(g)(h) | 0.60 | % | 0.62 | % | 0.61 | % | 0.60 | % | 0.62 | % | ||||||||||||||||
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| |||||||||||||||||
Total expenses after fees waived and/or reimbursed | 0.49 | %(g)(h) | 0.51 | % | 0.53 | % | 0.51 | % | 0.51 | % | 0.53 | % | ||||||||||||||||
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| |||||||||||||||||
Net investment income | 0.17 | %(g)(h) | 0.29 | %(b) | 0.21 | %(c) | 0.14 | % | 0.19 | % | 0.26 | % | ||||||||||||||||
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| |||||||||||||||||
Supplemental Data | ||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 189,900 | $ | 170,830 | $ | 139,019 | $ | 156,722 | $ | 157,387 | $ | 158,051 | ||||||||||||||||
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| |||||||||||||||||
Portfolio turnover rate | 22 | % | 48 | % | 86 | % | 71 | % | 99 | % | 151 | % | ||||||||||||||||
|
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|
|
(a) | Based on average shares outstanding. |
(b) | Net investment income per share and the ratio of net investment income to average net assets includes $0.04 per share and 0.09%, respectively, resulting from a special dividend. |
(c) | Net investment income per share and the ratio of net investment income to average net assets includes $0.03 per share and 0.08%, respectively, resulting from a special dividend. |
(d) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(e) | Where applicable, excludes insurance-related fees and expenses and assumes the reinvestment of distributions. |
(f) | Aggregate total return. |
(g) | Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.01%. |
(h) | Annualized. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS | 119 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BlackRock Global Allocation Portfolio | ||||||||||||||||||||||||||||
Six Months Ended 06/30/2018 (Unaudited) | Year Ended December 31,(a) | |||||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.42 | $ | 14.60 | $ | 14.25 | $ | 15.55 | $ | 16.97 | $ | 15.03 | ||||||||||||||||
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| |||||||||||||||||
Net investment income(b) | 0.14 | 0.25 | 0.23 | 0.24 | 0.31 | 0.24 | ||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.38 | ) | 1.80 | 0.37 | (0.35 | ) | 0.12 | 2.00 | ||||||||||||||||||||
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| |||||||||||||||||
Net increase (decrease) from investment operations | (0.24 | ) | 2.05 | 0.60 | (0.11 | ) | 0.43 | 2.24 | ||||||||||||||||||||
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| |||||||||||||||||
Distributions(c) | ||||||||||||||||||||||||||||
From net investment income | — | (0.23 | ) | (0.25 | ) | (0.30 | ) | (0.43 | ) | (0.30 | ) | |||||||||||||||||
From net realized gain | — | — | — | (0.89 | ) | (1.42 | ) | — | ||||||||||||||||||||
From return of capital | — | — | — | — | (d) | — | — | |||||||||||||||||||||
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| |||||||||||||||||
Total distributions | — | (0.23 | ) | (0.25 | ) | (1.19 | ) | (1.85 | ) | (0.30 | ) | |||||||||||||||||
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| |||||||||||||||||
Net asset value, end of period | $ | 16.18 | $ | 16.42 | $ | 14.60 | $ | 14.25 | $ | 15.55 | $ | 16.97 | ||||||||||||||||
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| |||||||||||||||||
Total Return(e) | ||||||||||||||||||||||||||||
Based on net asset value | (1.46 | )%(f) | 14.05 | % | 4.17 | % | (0.74 | )% | 2.52 | % | 14.94 | % | ||||||||||||||||
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| |||||||||||||||||
Ratios to Average Net Assets(g) | ||||||||||||||||||||||||||||
Total expenses | 0.80 | %(h) | 0.79 | % | 0.83 | % | 0.77 | % | 0.72 | % | 0.69 | % | ||||||||||||||||
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| |||||||||||||||||
Total expenses after fees waived and/or reimbursed | 0.58 | %(h) | 0.58 | % | 0.58 | % | 0.58 | % | 0.57 | % | 0.56 | % | ||||||||||||||||
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| |||||||||||||||||
Total expenses after fees waived and/or reimbursed and excluding dividend expense, broker fees and expenses on short sales, interest expense and stock loan fees | 0.57 | %(h) | 0.57 | % | 0.57 | % | 0.57 | % | 0.57 | % | 0.56 | % | ||||||||||||||||
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| |||||||||||||||||
Net investment income | 1.75 | %(h) | 1.56 | % | 1.62 | % | 1.52 | % | 1.81 | % | 1.49 | % | ||||||||||||||||
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| |||||||||||||||||
Supplemental Data | ||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 197,402 | $ | 211,555 | $ | 206,525 | $ | 229,649 | $ | 257,696 | $ | 276,622 | ||||||||||||||||
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| |||||||||||||||||
Portfolio turnover rate | 70 | % | 129 | % | 134 | % | 89 | %(i) | 70 | % | 56 | % | ||||||||||||||||
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|
(a) | Consolidated Financial Highlights. |
(b) | Based on average shares outstanding. |
(c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) | Amount is greater than $(0.005) per share. |
(e) | Where applicable, excludes insurance-related fees and expenses and assumes the reinvestment of distributions. |
(f) | Aggregate total return. |
(g) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
Six Months Ended 6/30/2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||||||||||||||||||||||||
Investments in underlying funds | 0.02 | % | 0.01 | % | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||||||||||||||
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|
(h) | Annualized. |
(i) | Includes mortgage dollar roll transactions. Excluding these transactions the portfolio rate would have been 87%. |
See notes to financial statements.
120 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BlackRock Government Money Market Portfolio | ||||||||||||||||||||||||||||
Six Months Ended 06/30/2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||||
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| |||||||||||||||||
Net investment income | 0.0057 | 0.0044 | 0.0000 | (a) | 0.0000 | (a) | 0.0000 | (a) | 0.0000 | (a) | ||||||||||||||||||
Net realized gain (loss) | (0.0001 | ) | 0.0000 | (a) | 0.0000 | (a) | 0.0001 | 0.0001 | 0.0000 | (a) | ||||||||||||||||||
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|
| |||||||||||||||||
Net increase from investment operations | 0.0056 | 0.0044 | 0.0000 | 0.0001 | 0.0001 | 0.0000 | ||||||||||||||||||||||
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| |||||||||||||||||
Distributions(b) | ||||||||||||||||||||||||||||
From net investment income | (0.0056 | ) | (0.0044 | ) | (0.0000 | )(c) | (0.0000 | )(c) | (0.0000 | )(c) | (0.0000 | )(c) | ||||||||||||||||
From net realized gain | — | (0.0000 | )(c) | (0.0000 | )(c) | (0.0001 | ) | (0.0001 | ) | (0.0000 | )(c) | |||||||||||||||||
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| |||||||||||||||||
Total distributions | (0.0056 | ) | (0.0044 | ) | (0.0000 | ) | (0.0001 | ) | (0.0001 | ) | (0.0000 | ) | ||||||||||||||||
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| |||||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||||
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| |||||||||||||||||
Total Return(d) | ||||||||||||||||||||||||||||
Based on net asset value | 0.56 | %(e) | 0.45 | % | 0.00 | % | 0.01 | % | 0.01 | % | 0.00 | % | ||||||||||||||||
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|
|
|
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| |||||||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||||||
Total expenses | 0.64 | %(f) | 0.70 | % | 0.54 | % | 0.54 | % | 0.49 | % | 0.55 | % | ||||||||||||||||
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|
|
|
|
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|
|
| |||||||||||||||||
Total expenses after fees waived and/or reimbursed | 0.50 | %(f) | 0.50 | % | 0.42 | % | 0.22 | % | 0.23 | % | 0.25 | % | ||||||||||||||||
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|
|
|
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|
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| |||||||||||||||||
Net investment income | 1.15 | %(f) | 0.44 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||||||||
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| |||||||||||||||||
Supplemental Data | ||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 129,213 | $ | 107,299 | $ | 122,057 | $ | 125,641 | $ | 138,033 | $ | 148,485 | ||||||||||||||||
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|
|
(a) | Amount is less than $0.00005 per share. |
(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(c) | Amount is greater than $(0.00005) per share. |
(d) | Where applicable, excludes insurance-related fees and expenses and assumes the reinvestment of distributions. |
(e) | Aggregate total return. |
(f) | Annualized. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS | 121 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BlackRock High Yield Portfolio | ||||||||||||||||||||||||||||
Six Months Ended 06/30/2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 5.42 | $ | 5.31 | $ | 4.91 | $ | 5.44 | $ | 5.69 | $ | 5.50 | ||||||||||||||||
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Net investment income(a) | 0.15 | 0.30 | 0.29 | 0.28 | 0.32 | 0.34 | ||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.11 | ) | 0.12 | 0.40 | (0.52 | ) | (0.21 | ) | 0.21 | |||||||||||||||||||
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Net increase (decrease) from investment operations | 0.04 | 0.42 | 0.69 | (0.24 | ) | 0.11 | 0.55 | |||||||||||||||||||||
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Distributions(b) | ||||||||||||||||||||||||||||
From net investment income | (0.15 | ) | (0.31 | ) | (0.29 | ) | (0.29 | ) | (0.36 | ) | (0.36 | ) | ||||||||||||||||
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Net asset value, end of period | $ | 5.31 | $ | 5.42 | $ | 5.31 | $ | 4.91 | $ | 5.44 | $ | 5.69 | ||||||||||||||||
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Total Return(c) | ||||||||||||||||||||||||||||
Based on net asset value | 0.71 | %(d) | 7.95 | % | 14.43 | % | (4.65 | )% | 1.88 | % | 10.28 | % | ||||||||||||||||
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Ratios to Average Net Assets | ||||||||||||||||||||||||||||
Total expenses | 1.48 | %(e)(f) | 1.34 | % | 0.99 | %(g) | 0.91 | % | 0.84 | % | 0.89 | % | ||||||||||||||||
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Total expenses after fees waived and/or reimbursed | 0.50 | %(e) | 0.50 | % | 0.50 | %(g) | 0.50 | % | 0.51 | % | 0.52 | % | ||||||||||||||||
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Total expenses after fees waived and/or reimbursed excluding interest expense | 0.50 | %(e) | 0.50 | % | 0.50 | %(g) | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||
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Net investment income | 5.58 | %(e) | 5.53 | % | 5.64 | %(g) | 5.30 | % | 5.54 | % | 6.01 | % | ||||||||||||||||
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Supplemental Data | ||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 29,750 | $ | 32,005 | $ | 33,794 | $ | 31,788 | $ | 39,081 | $ | 48,523 | ||||||||||||||||
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Portfolio turnover rate | 35 | % | 73 | % | 101 | % | 84 | % | 78 | % | 102 | % | ||||||||||||||||
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(a) | Based on average shares outstanding. |
(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(c) | Where applicable, excludes insurance-related fees and expenses and assumes the reinvestment of distributions. |
(d) | Aggregate total return. |
(e) | Annualized. |
(f) | Board realignment consolidation costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 1.65%. |
(g) | Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.01%. |
See notes to financial statements.
122 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BlackRock U.S. Government Bond Portfolio | ||||||||||||||||||||||||||||
Six Months Ended 06/30/2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.80 | $ | 10.86 | $ | 10.90 | $ | 11.07 | $ | 10.67 | $ | 11.27 | ||||||||||||||||
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Net investment income(a) | 0.12 | 0.21 | 0.17 | 0.17 | 0.20 | 0.16 | ||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.19 | ) | (0.02 | ) | 0.00 | (b) | (0.11 | ) | 0.43 | (0.49 | ) | |||||||||||||||||
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Net increase (decrease) from investment operations | (0.07 | ) | 0.19 | 0.17 | 0.06 | 0.63 | (0.33 | ) | ||||||||||||||||||||
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Distributions(c) | ||||||||||||||||||||||||||||
From net investment income | (0.13 | ) | (0.25 | ) | (0.21 | ) | (0.23 | ) | (0.23 | ) | (0.25 | ) | ||||||||||||||||
From return of capital | — | — | — | — | — | (0.02 | ) | |||||||||||||||||||||
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Total distributions | (0.13 | ) | (0.25 | ) | (0.21 | ) | (0.23 | ) | (0.23 | ) | (0.27 | ) | ||||||||||||||||
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Net asset value, end of period | $ | 10.60 | $ | 10.80 | $ | 10.86 | $ | 10.90 | $ | 11.07 | $ | 10.67 | ||||||||||||||||
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Total Return(d) | ||||||||||||||||||||||||||||
Based on net asset value | (0.69 | )%(e) | 1.72 | % | 1.54 | % | 0.54 | % | 5.95 | % | (2.99 | )% | ||||||||||||||||
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Ratios to Average Net Assets(f) | ||||||||||||||||||||||||||||
Total expenses | 1.30 | %(g)(h) | 1.15 | % | 0.94 | % | 0.81 | % | 0.76 | % | 0.78 | % | ||||||||||||||||
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Total expenses after fees waived and/or reimbursed | 0.71 | %(g) | 0.63 | % | 0.59 | % | 0.53 | % | 0.53 | % | 0.50 | % | ||||||||||||||||
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Total expenses after fees waived and/or reimbursed and excluding interest expense | 0.50 | %(g) | 0.50 | % | 0.50 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||||||
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Net investment income | 2.22 | %(g) | 1.89 | % | 1.50 | % | 1.58 | % | 1.79 | % | 1.44 | % | ||||||||||||||||
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Supplemental Data | ||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 57,092 | $ | 54,580 | $ | 60,506 | $ | 66,263 | $ | 74,925 | $ | 80,302 | ||||||||||||||||
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Portfolio turnover rate(i) | 378 | % | 1,058 | % | 1,004 | % | 1,421 | % | 1,374 | % | 2,125 | % | ||||||||||||||||
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(a) | Based on average shares outstanding. |
(b) | Amount is less than $0.005 per share. |
(c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) | Where applicable, excludes insurance-related fees and expenses and assumes the reinvestment of distributions. |
(e) | Aggregate total return. |
(f) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
Six Months Ended 06/30/2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||||||||||||||||||||||||
Investments in underlying funds | 0.01 | % | 0.01 | % | — | % | 0.01 | % | — | % | 0.01 | % | ||||||||||||||||||||||||||||||||||||
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(g) | Annualized. |
(h) | Board realignment consolidation costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 1.41%. |
(i) | Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
Six Months Ended 06/30/2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||||||||||||||||||||||||
Portfolio turnover rate (excluding MDRs) | 231 | % | 694 | % | 631 | % | 891 | % | 723 | % | 1,614 | % | ||||||||||||||||||||||||||||||||||||
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See notes to financial statements.
FINANCIAL HIGHLIGHTS | 123 |
Notes to Financial Statements (unaudited)
1. | ORGANIZATION |
BlackRock Series Fund, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Each Fund is a series of the Company. The following are referred to herein collectively as the “Funds” or individually, as a “Fund”:
Fund Name | Herein Referred To As | Diversification Classification | ||
BlackRock Advantage Large Cap Core Portfolio | Advantage Large Cap Core | Diversified | ||
BlackRock Balanced Capital Portfolio | Balanced Capital | Diversified | ||
BlackRock Capital Appreciation Portfolio | Capital Appreciation | Diversified | ||
BlackRock Global Allocation Portfolio | Global Allocation | Diversified | ||
BlackRock Government Money Market Portfolio | Government Money Market | Diversified | ||
BlackRock High Yield Portfolio | High Yield | Diversified | ||
BlackRock U.S. Government Bond Portfolio | U.S. Government Bond | Diversified |
The Company is organized as a Maryland corporation that is comprised of seven separate portfolios. The Funds offer shares to insurance companies for their separate accounts to fund benefits under certain variable annuity and variable life insurance contracts.
The Funds, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of open-end funds referred to as the Equity-Bond Complex.
Government Money Market operates as a “government money market fund” under Rule 2a-7 under the 1940 Act. The Fund is not subject to liquidity fees or temporary suspensions of redemptions due to declines in the Fund’s weekly liquid assets.
Basis of Consolidation: The accompanying consolidated financial statements of Global Allocation include the accounts of BlackRock Cayman Global Allocation Portfolio I, Ltd. (the “Subsidiary”), which is a wholly-owned subsidiary of Global Allocation and primarily invests in commodity-related instruments and other derivatives. The Subsidiary enables Global Allocation to hold these commodity-related instruments and satisfy regulated investment company tax requirements. Global Allocation may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary as of period end were $6,915,787, which is 3.5% of Global Allocation’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Subsidiary is subject to the same investment policies and restrictions that apply to Global Allocation, except that the Subsidiary may invest without limitation in commodity-related instruments.
2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are 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 date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Funds are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on an accrual basis.
Foreign Currency Translation: Each Fund’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.
Each Fund does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.
Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., dollar rolls, TBA sale commitments, futures contracts, forward foreign currency exchange contracts, options written, swaps and short sales) or certain borrowings (e.g., reverse repurchase transactions) that would be treated as “senior securities” for 1940 Act purposes, a Fund may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowing to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
124 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
Distributions: For Government Money Market, distributions from net investment income are declared daily and paid monthly. Distributions are declared from the total of net investment income. For Advantage Large Cap Core, Balanced Capital, Capital Appreciation and Global Allocation, distributions from net investment income are declared and paid at least annually. For High Yield and U.S. Government Bond, distributions from net investment income are declared daily and paid monthly. For each Fund, distributions of capital gains are recorded on the ex-dividend dates and made at least annually.
Portions of return of capital distributions under U.S. GAAP may be taxed at ordinary income rates.
The character of distributions is determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. The portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a non-taxable return of capital. Realized net capital gains can be offset by capital losses carried forward from prior years. However, certain Trusts have capital loss carryforwards from pre-2012 tax years that offset realized net capital gains but do not offset current earnings and profits. Consequently, if distributions in any tax year are less than the Trust’s current earnings and profits but greater than net investment income and net realized capital gains (taxable income), distributions in excess of taxable income are not treated as non-taxable return of capital, but rather may be taxable to shareholders at ordinary income rates. Under certain circumstances, taxable excess distributions could be significant.
Net income and realized gains from investments held by the Subsidiary are treated as ordinary income for tax purposes. If a net loss is realized by the Subsidiary in any taxable year, the loss will generally not be available to offset Global Allocation’s ordinary income and/or capital gains for that year.
Recent Accounting Standards: In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update “Premium Amortization of Purchased Callable Debt Securities” which amends the amortization period for certain purchased callable debt securities. Under the new guidance, the premium amortization of purchased callable debt securities that have explicit, non-contingent call features and are callable at fixed prices will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis and is effective for fiscal years, and their interim periods, beginning after December 15, 2018. Management is currently evaluating the impact of this guidance to the Funds.
Indemnifications: In the normal course of business, a Fund enters into contracts that contain a variety of representations that provide general indemnification. A Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.
3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: The Funds’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time) (or, if the reporting date falls on a day the NYSE is closed, investments are valued at fair value as of the period end). U.S. GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board of Directors of the Company (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.
Government Money Market’s investments are valued under the amortized cost method which approximates current market value in accordance with Rule 2a-7 under the 1940 Act. Under this method, investments are valued at cost when purchased and, thereafter, a constant proportionate accretion of discounts and amortization of premiums are recorded until the maturity of the security. The Fund seeks to maintain its net asset value (“NAV”) per share at $1.00, although there is no assurance that it will be able to do so on a continuing basis.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:
• | Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments traded on more than one exchange, the official closing 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 may be valued at the last available bid (long positions) or ask (short positions) price. |
• | Fixed-income securities for which market quotations are readily available are generally valued using the last available bid prices or current market quotations provided by independent dealers or third party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value. |
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the NYSE that may not be reflected in the computation of the Funds’ net assets. Each business day, the Funds use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets.
NOTESTO FINANCIAL STATEMENTS | 125 |
Notes to Financial Statements (unaudited) (continued)
• | Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. 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 and information with respect to various relationships between investments. |
• | Investments in open-end U.S. mutual funds are valued at NAV each business day. |
• | The Funds value their investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon their pro rata ownership in the underlying fund’s net assets. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments may follow the parameters of investments by a money market fund that is subject to Rule 2a-7 under the 1940 Act. |
• | Futures contracts traded on exchanges are valued at their last sale price. |
• | Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. |
• | Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. OTC options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments. |
• | Swap agreements are valued utilizing quotes received daily by the Funds’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. |
• | To-be-announced (“TBA”) commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services. |
If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement.
The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of each Fund’s pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis. As a result of the inherent uncertainty in valuation of these investments, the fair values may differ from the values that would have been used had an active market existed.
For investments in equity or debt issued by privately held companies or funds (a “Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by third party pricing services utilize one or a combination of, but not limited to, the following inputs:
Standard Inputs Generally Considered By Third Party Pricing Services | ||
Market approach | (i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii) market multiples of comparable issuers | |
Income approach | (i) future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. | |
Cost approach. | (i) audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii) relevant news and other public sources; and (iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company. |
Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.
126 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.
Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:
• | Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access |
• | Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs) |
• | Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including each Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Fund’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
As of June 30, 2018, certain investments of the Funds were valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.
4. | SECURITIES AND OTHER INVESTMENTS |
Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.
For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.
Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.
Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.
NOTESTO FINANCIAL STATEMENTS | 127 |
Notes to Financial Statements (unaudited) (continued)
Inflation-Indexed Bonds: Inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) are fixed-income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond will be included as interest income in the Statements of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal. With regard to municipal inflation-indexed bonds and certain corporate inflation-indexed bonds, the inflation adjustment is typically reflected in the semi-annual coupon payment. As a result, the principal value of municipal inflation-indexed bonds and such corporate inflation-indexed bonds does not adjust according to the rate of inflation.
Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a fund’s initial investment in the IOs may not fully recoup.
Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are typically issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. Stripped mortgage-backed securities may be privately issued.
Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.
Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. 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. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.
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.
Warrants: Warrants entitle a fund to purchase a specified 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 of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.
Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.
When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are
128 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund 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 loan interests are usually freely callable at the borrower’s option. A fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has 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, a fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’s investment in loan participation interests involves 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, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.
In connection with floating rate loan interests, High Yield may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, the fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of period end, High Yield had the following unfunded floating rate loan interests:
Borrower | Par | Commitment Amount | Value | Unrealized Appreciation (Depreciation) | ||||||||||||
Access CIG LLC, Term Loan | $ | 533 | $ | 533 | $ | 533 | $ | — | ||||||||
Access CIG LLC, 2nd Lien Term Loan | 55 | 55 | 55 | — | ||||||||||||
Mavis Tire Express, Delayed Draw 1st Lien Term Loan | 1,104 | 1,104 | 1,093 | (11 | ) | |||||||||||
Dentalcorp Perfect Smile ULC, Term Loan DD | 2,292 | 2,292 | 2,296 | 4 |
Forward Commitments and When-Issued Delayed Delivery Securities: Certain funds 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. A fund may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, a fund may be required to pay more at settlement than the security is worth. In addition, a fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, a fund’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.
TBA Commitments TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.
In order to better define contractual rights and to secure rights that will help a fund mitigate their counterparty risk, TBA commitments may be entered into by a fund under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. The collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by a fund and the counterparty. Cash collateral that has been pledged to cover the obligations of a fund and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a fund, if any, is noted in the Schedules of Investments. Typically, a fund is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a fund is not fully collateralized, contractually or otherwise, a fund bears the risk of loss from counterparty non-performance
Mortgage Dollar Roll Transactions: Certain funds may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and realize gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.
Repurchase Agreements: Repurchase agreements are commitments to purchase a security from a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price. On a daily basis, the counterparty is required to maintain collateral subject to the agreement and in value no less than the agreed upon repurchase amount. Pursuant to the custodial undertaking associated with a tri-party repurchase arrangement, an unaffiliated third party custodian maintains accounts to hold collateral for a fund and its counterparties. Typically, a fund and counterparty are not permitted to sell, re-pledge or use the collateral absent a default by the counterparty or a fund, respectively.
NOTESTO FINANCIAL STATEMENTS | 129 |
Notes to Financial Statements (unaudited) (continued)
In the event the counterparty defaults and the fair value of the collateral declines, a fund could experience losses, delays and costs in liquidating the collateral.
Repurchase agreements are entered into by a fund under Master Repurchase Agreements (each, an “MRA”). The MRA permits a fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables with collateral held by and/or posted to the counterparty. As a result, one single net payment is created. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Based on the terms of the MRA, a fund receives securities as collateral with a market value in excess of the repurchase price at maturity. Upon a bankruptcy or insolvency of the MRA counterparty, a fund would recognize a liability with respect to such excess collateral. The liability reflects a fund’s obligation under bankruptcy law to return the excess to the counterparty.
Borrowed Bond Agreements: Repurchase agreements may be referred to as borrowed bond agreements when entered into in connection with short sales of bonds. In a borrowed bond agreement, a fund borrows a bond from a counterparty in exchange for cash collateral. The agreement contains a commitment that the security and the cash will be returned to the counterparty and a fund at a mutually agreed upon date. Certain agreements have no stated maturity and can be terminated by either party at any time. Earnings on cash collateral and compensation to the lender of the bond are based on agreed upon rates between a fund and the counterparty. The value of the underlying cash collateral approximates the market value and accrued interest of the borrowed bond. To the extent that a borrowed bond transaction exceeds one business day, the value of the cash collateral in the possession of the counterparty is monitored on a daily basis to ensure the adequacy of the collateral. As the market value of the borrowed bond changes, the cash collateral is periodically increased or decreased with a frequency and in amounts prescribed in the borrowed bond agreement. A fund may also experience delays in gaining access to the collateral.
Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third party broker dealers in which a fund sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a fund continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a fund would still be required to pay the full repurchase price. Further, a fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a fund would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.
Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short-term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, a fund may receive a fee for the use of the security by the counterparty, which may result in interest income to a fund.
For the six months ended June 30, 2018, the average amount of reverse repurchase agreements and the daily weighted average interest rate for the Funds were as follows:
Balanced Capital | U.S. Government Bond | |||||||
Average Borrowings | $ | 10,464,466 | $ | 7,225,327 | ||||
Daily Weighted Average Interest Rate | 1.53 | % | 1.57 | % |
Borrowed bond agreements and reverse repurchase transactions are entered into by a fund under Master Repurchase Agreements (each, an “MRA”), which permit a fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a fund. With borrowed bond agreements and reverse repurchase transactions, typically a fund and counterparty under an MRA are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by a fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.
As of period end, the following table is a summary of the Funds’ open borrowed bond agreements and reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:
Counterparty | Borrowed Bond Agreements (a) | Reverse Repurchase Agreements | Borrowed Bonds at Value including Accrued Interest (b) | Exposure Due (to)/ from Counterparty before Collateral | Non-cash Collateral Received | Cash Collateral Received | Fair Value of Non-cash Collateral Pledged Including Accrued Interest (c) | Cash Collateral Pledged | Net Collateral (Received)/ Pledged (c) | Net Exposure Due (to)/from Counterparty (d) | ||||||||||||||||||||||||||||||
Balanced Capital | ||||||||||||||||||||||||||||||||||||||||
BNP Paribas SA | $ | 754,618 | $ | (1,405,909 | ) | $ | (753,242 | ) | $ | (1,404,533 | ) | $ | — | $ | — | $ | 1,404,533 | $ | — | $ | 1,404,533 | $ | — | |||||||||||||||||
Deutsche Bank Securities, Inc. | — | (1,662,408 | ) | — | (1,662,408 | ) | — | — | 1,661,927 | — | 1,661,927 | (481 | ) | |||||||||||||||||||||||||||
J.P. Morgan Securities LLC | — | (2,920,685 | ) | — | (2,920,685 | ) | — | — | 2,914,234 | — | 2,914,234 | (6,451 | ) | |||||||||||||||||||||||||||
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$ | 754,618 | $ | (5,989,002 | ) | $ | (753,242 | ) | $ | (5,987,626 | ) | $ | — | $ | — | $ | 5,980,694 | $ | — | $ | 5,980,694 | $ | (6,932 | ) | |||||||||||||||||
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(a) | Included in Investments at value-unaffiliated in the Statement of Assets and Liabilities. |
130 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
(b) | Includes accrued interest on borrowed bonds in the amount of $2,750, which is included in interest expense payable in the Statement of Assets and Liabilities. |
(c) | Net collateral with a value including accrued interest of $5,982,476 has been pledged in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
(d) | Net exposure represents the net receivable (payable) that would be due from/to the counterparty in the event of default. |
Counterparty | Reverse Repurchase Agreements | Fair Value of Including Accrued | Cash Collateral Pledged | Net Amount | ||||||||||||
U.S. Government Bond | ||||||||||||||||
BNP Paribas SA | $ | (3,369,119 | ) | $ | 3,369,119 | $ | — | $ | — | |||||||
Deutsche Bank Securities, Inc. | (2,502,648 | ) | 2,501,923 | — | (725 | ) | ||||||||||
JP Morgan Securities LLC | (1,018,363 | ) | 1,016,288 | — | (2,075 | ) | ||||||||||
Merrill Lynch, Pierce, Fenner & Smith Inc. | (5,358,662 | ) | 5,357,190 | — | (1,472 | ) | ||||||||||
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$ | (12,248,792 | ) | $ | 12,244,520 | $ | — | $ | (4,272 | ) | |||||||
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(a) | Net collateral with a value of $12,244,988 has been pledged in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a fund’s obligation to repurchase the securities.
Short Sale Transactions (Borrowed Bonds): In short sale transactions, a fund sells a security it does not hold in anticipation of a decline in the market price of that security. When a fund makes a short sale, it will borrow the security sold short (borrowed bond) and deliver the fixed-income security to the counterparty to which it sold the security short. An amount equal to the proceeds received by a fund 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. A fund is required to repay the counterparty interest on the security sold short, which, if applicable, is included in interest expense in the Statements of Operations. A fund is exposed to market risk based on the amount, if any, that the market value of the security increases beyond the market value at which the position was sold. 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 an unlimited loss since there is an unlimited potential for the market price of the security sold short to increase. A gain is limited to the price at which a fund sold the security short. A realized gain or loss is recognized upon the termination of a short sale if the market price is either less than or greater than the proceeds originally received. There is no assurance that a fund will be able to close out a short position at a particular time or at an acceptable price.
Short Sale Transactions (Equities): In short sale transactions, a fund sells a security it does not hold in anticipation of a decline in the market price of that security. When a fund makes a short sale, it will borrow the security sold short from a broker/counterparty and deliver the security to the purchaser. To close out a short position, a fund delivers the same security to the broker and records a liability to reflect the obligation to return the security to the broker. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. A fund maintains a segregated account of securities or deposits cash with the broker-dealer as collateral for the short sales. Cash deposited with the broker is recorded as an asset in the Statements of Assets and Liabilities. Securities segregated as collateral are denoted in the Schedules of Investments. A fund may pay a financing fee for the difference between the market value of the short position and the cash collateral deposited with the broker which would be recorded as interest expense. A fund is required to repay the counterparty any dividends received on the security sold short, which, if applicable, is shown as dividend expense in the Statements of Operations. A fund may pay a fee on the assets borrowed from the counterparty, which, if applicable, is shown as broker fees and expenses on short sales in the Statements of Operations. A fund is exposed to market risk based on the amount, if any, that the market value of the security increases beyond the market value at which the position was sold. 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 an unlimited loss since there is an unlimited potential for the market price of the security sold short to increase. A gain, limited to the price at which a fund sold the security short. A realized gain or loss is recognized upon the termination of a short sale if the market price is either less than or greater than the proceeds originally received. There is no assurance that a fund will be able to close out a short position at a particular time or at an acceptable price.
Securities Lending: Certain Funds may lend their securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Funds collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by each Fund is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day. During the term of the loan, the Funds are entitled to all distributions made on or in respect of the loaned securities, but do not receive interest income on securities received as collateral. 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 market value of any securities on loan, all of which were classified as common stocks/investment companies in the Funds’ Schedules of Investments, and the value of any related collateral are shown separately in the Statements of Assets and Liabilities as a component of investments at value — unaffiliated, and collateral on securities loaned at value, respectively. As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Investment Management, LLC (“BIM”), if any, is disclosed in the Schedules of Investments.
Securities lending transactions are entered into by the Funds under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional
NOTESTO FINANCIAL STATEMENTS | 131 |
Notes to Financial Statements (unaudited) (continued)
collateral. In the event that a borrower defaults, the Funds, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and a Fund can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.
As of period end, the following tables are a summary of the Funds’ securities lending agreements by counterparty which are subject to offset under an MSLA:
Counterparty | Securities Loaned at Value | Cash Collateral Received (a) | Net Amount | |||||||||
Advantage Large Cap Core | ||||||||||||
Citigroup | $ | 2,025,667 | $ | (2,025,667 | ) | $ | — | |||||
Credit Suisse AG | 1,697,613 | (1,697,613 | ) | — | ||||||||
Deutsche Bank Securities, Inc | 111,842 | (111,842 | ) | — | ||||||||
JP Morgan Securities LLC | 152,920 | (152,920 | ) | — | ||||||||
SG Americas | 1,084,287 | (1,084,287 | ) | — | ||||||||
|
|
|
|
|
| |||||||
$ | 5,072,329 | $ | (5,072,329 | ) | $ | — | ||||||
|
|
|
|
|
| |||||||
Balanced Capital | ||||||||||||
Citigroup | $ | 599,238 | $ | (599,238 | ) | $ | — | |||||
JP Morgan | 747,008 | (747,008 | ) | — | ||||||||
|
|
|
|
|
| |||||||
$ | 1,346,246 | $ | (1,346,246 | ) | $ | — | ||||||
|
|
|
|
|
| |||||||
Capital Appreciation | ||||||||||||
Credit Suisse | $ | 1,320,416 | $ | (1,320,416 | ) | $ | — | |||||
JP Morgan | 2,951,300 | (2,951,300 | ) | — | ||||||||
State Street Bank | 1,279,415 | (1,279,415 | ) | — | ||||||||
|
|
|
|
|
| |||||||
$ | 5,551,131 | $ | (5,551,131 | ) | $ | — | ||||||
|
|
|
|
|
| |||||||
Global Allocation | ||||||||||||
BNP Paribas SA | $ | 277,947 | $ | (277,947 | ) | $ | — | |||||
Citigroup | 1,114,082 | (1,114,082 | ) | — | ||||||||
Credit Suisse | 1,026,205 | (1,026,205 | ) | — | ||||||||
Deutsche Bank | 2,891 | (2,891 | ) | — | ||||||||
Fidelity Investments | 309,142 | (308,152 | ) | 990 | ||||||||
Goldman Sachs | 868 | (868 | ) | — | ||||||||
JP Morgan | 590,477 | (590,477 | ) | — | ||||||||
Morgan Stanley | 740,782 | (740,782 | ) | — | ||||||||
State Street Bank | 168,090 | (168,090 | ) | — | ||||||||
|
|
|
|
|
| |||||||
$ | 4,230,484 | $ | (4,229,494 | ) | $ | 990 | ||||||
|
|
|
|
|
|
(a) | Collateral with a value of $5,238,758, $1,399,541, $5,747,308 and $4,400,194 has been received by Advantage Large Cap Core, Balanced Capital, Capital Appreciation and Global Allocation, respectively, in connection with securities lending agreements. Collateral received in excess of the value of securities loaned from the individual counterparty is not shown for financial reporting purposes. |
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Funds benefit from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned if the collateral received does not cover the value on the securities loaned in the event of borrower default. Each Fund could incur a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received.
5. | DERIVATIVE FINANCIAL INSTRUMENTS |
The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts on the Statements of Assets and Liabilities.
132 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.
Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market.
The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives on the Statements of Assets and Liabilities.
Options: Certain Funds purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.
A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.
Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value — unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Funds writes a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, such option is covered by cash in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written on the Statements of Assets and Liabilities.
• | Swaptions — Certain Funds purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option. |
• | Interest rate caps and floors — Interest rate caps and floors are entered into to gain or reduce exposure to interest rates (interest rate risk and/or other risk). Caps are agreements whereby one party agrees to make payments to the other, in return for a premium, to the extent that interest rate indexes exceed a specified rate, or “cap.” Floors are agreements whereby one party agrees to make payments to the other, in return for a premium, to the extent that interest rate indexes fall below a specified rate, or “floor.” The maximum potential amount of future payments that a Fund would be required to make under an interest rate cap would be the notional amount times the percentage increase in interest rates determined by the difference between the interest rate index current value and the value at the time the cap was entered into. |
• | Foreign currency options — Certain Funds purchase and write foreign currency options, foreign currency futures and options on foreign currency futures to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk). Foreign currency options give the purchaser the right to buy from or sell to the writer a foreign currency at any time before the expiration of the option. |
• | Barrier options — Certain Funds may purchase and write a variety of options with non-standard payout structures or other features (“barrier options”) that are generally traded OTC. |
The Funds may invest in various types of barrier options, including down-and-out options, down-and-in options, double no-touch options, one-touch options, up-and-out options and up-and-in options. Down-and-out options expire worthless to the purchaser if the price of the underlying instrument falls below a specific barrier price level prior to the expiration date. Down-and-in options expire worthless to the purchaser unless the price of the underlying instrument falls below a specific barrier price level prior to the expiration date. Double no-touch options provide the purchaser an agreed-upon payout if the price of the underlying instrument does not reach or surpass predetermined barrier price levels prior to the option’s expiration date. One-touch options provide the purchaser an agreed-upon payout if the price of the underlying instrument reaches or surpasses predetermined barrier price levels prior to the expiration date. Up-and-out options expire worthless to the purchaser if the price of the underlying instrument increases beyond a predetermined barrier price level prior to the expiration date. Up-and-in options can only be exercised when the price of the underlying instrument increases beyond a predetermined barrier price level.
NOTESTO FINANCIAL STATEMENTS | 133 |
Notes to Financial Statements (unaudited) (continued)
• | Structured options — Certain Funds invest in structured options to increase or decrease their exposure to an underlying index or group of securities (equity risk). |
These options may consist of single or multiple OTC options which are priced as a single instrument. They may only be exercised at the expiration date, but may be transferred/sold prior to the expiration date. The value of a structured option may either increase or decrease with the underlying index or group of securities, depending on the combination of options used. Structured options are issued in units whereby each unit represents a structure based on the specific index with an initial reference strike price. One type of structure involves the combination of selling a put while buying a call on a specific index. This option would rise in value as the underlying index increases and fall in value as the underlying index decreases. Alternatively, another structure involves the sale of a call and the purchase of a put. This option structure would rise in value as the underlying index decreases and fall in value as the underlying index increases. Upon the exercise of the structured option, the Funds 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.
In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Funds purchasing or selling a security when it otherwise would not, or at a price different from the current market value.
Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Funds and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).
For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.
In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the Funds’ counterparty on the swap agreement becomes the CCP. The Funds are required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps on the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gains (losses) in the Statements of Operations.
• | Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk). |
The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Funds will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.
• | Total return swaps — Total return swaps are entered into to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one market (e.g., fixed-income) with another market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk). |
Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket or underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instrument(s) or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Funds receive payment from or make a payment to the counterparty.
• | Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk). |
Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.
• | Currency swaps — Currency swaps are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk). |
Currency swaps are interest rate swaps in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, based on the notional amounts of two different currencies. The notional amounts are typically determined based on the
134 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
spot exchange rates at the inception of the trade. Currency swaps may also involve an exchange of notional amounts at the start, during and/or at expiration of the contract, either at the current spot rate or another specified rate.
• | Forward swaps — Certain Funds enter into forward interest rate swaps and forward total return swaps. In a forward swap, each Fund and the counterparty agree to make periodic net payments beginning on a specified date or a net payment at termination. |
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statement[s] of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.
Master Netting Arrangements: In order to define their contractual rights and to secure rights that will help them mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events.
Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty.
Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.
6. | INVESTMENT ADVISORY AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES |
The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.
Investment Advisory: The Company, on behalf of each Fund, entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser, an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory and administrative services. The Manager is responsible for the management of each Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund.
For such services, each Fund pays the Manager a monthly fee based on the percentage of the seven combined Funds’ average daily net assets at the following annual rates:
Average Daily Net Assets of the Seven Combined Funds | Investment Advisory Fee | |||
First $250 Million | 0.50 | % | ||
$250 Million — $300 Million | 0.45 | |||
$300 Million — $400 Million | 0.40 | |||
$400 Million — $800 Million | 0.35 | |||
Greater than $800 Million | 0.30 |
The portion of the assets of a Fund to which the rate of 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 seven combined Funds that falls within that breakpoint level by the aggregate average daily net assets of the seven combined Funds. The amount of the fee for a Fund at each breakpoint level is determined by multiplying the average net assets of that Fund by the uniform percentage applicable to that breakpoint level and multiplying the product by the applicable advisory fee rate.
The Manager provides investment management and other services to the Subsidiary of Global Allocation. The Manager does not receive separate compensation from the Subsidiary for providing investment management or administrative services. However, Global Allocation pays the Manager based on the Fund’s net assets which includes the assets of the Subsidiary.
Distribution Fees: The Company, on behalf of the Funds, entered into a Distribution Agreement and a Distribution Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager.
Transfer Agent: On behalf of the Funds, the Manager entered into agreements with insurance companies and other financial intermediaries (“Service Organizations”), some of which may be affiliates. Pursuant to these agreements, the Service Organizations provide the Funds with administrative, networking, recordkeeping, sub-transfer
NOTESTO FINANCIAL STATEMENTS | 135 |
Notes to Financial Statements (unaudited) (continued)
agency and shareholder services to sub-accounts they service. For these services, the Service Organizations receive an annual fee per shareholder account, which will vary depending on share class and/or net assets of Fund shareholders serviced by the Service Organizations. For the six months ended June 30, 2018, the Funds did not pay any amounts to affiliates in return for these services.
Expense Limitations, Waivers and Reimbursements: With respect to each Fund, the Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”). The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitation, as applicable, will be reduced by the amount of the affiliated money market fund waiver. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Government Money Market Fund’s investments in other affiliated investment companies, if any. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended June 30, 2018, the amounts waived were as follows:
Advantage Large Cap Core | Balanced Capital | Capital Appreciation | Global Allocation | High Yield | U.S. Government Bond Portfolio | |||||||||||||||||||||||||||
$ | 645 | $ | 15,663 | $ | 534 | $ | 2,362 | $ | 171 | $ | 887 |
The Funds have begun to incur expenses in connection with a potential realignment and consolidation of the boards of directors of certain BlackRock-advised funds, including the Funds. The Manager has voluntarily agreed to reimburse certain Funds for all or a portion of such expenses, which amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended June 30, 2018, the amounts reimbursed by High Yield and U.S. Government Bond were $50,636 and $58,744, respectively.
The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of each Fund’s assets (other than the Government Money Market) invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through April 30, 2019. The contractual agreement may be terminated upon 90 days’ notice by a majority of the independent directors who are not “interested persons” of the Company, as defined in the 1940 Act (“Independent Directors”) or by a vote of a majority of the outstanding voting securities of a Fund. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended June 30, 2018, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:
Balanced Capital | Global Allocation | High Yield | ||||||||||||
$ | 4,705 | $ | 2,147 | $ | 29 |
For the six months ended June 30, 2018, the Funds reimbursed the Manager for certain accounting services, which are included in accounting services in the Statements of Operations. The reimbursements were as follows:
Advantage Large Cap Core | Balanced Capital | Capital Appreciation | Global Allocation | Government Money Market | High Yield | U.S. Government Bond Portfolio | ||||||||||||||
$ 1,066 | $ 2,845 | $ 941 | $ 1,139 | $ 606 | $ 178 | $ 280 |
The Manager has contractually agreed to reimburse transfer agent fees in order to limit such expenses as a percentage of average daily net assets as follows:
Advantage Large Cap Core | Balanced Capital | Capital Appreciation | Global Allocation | Government Money Market | High Yield | U.S. Government Bond Portfolio | ||||||||||||||||||
0.04% | 0.04 | % | 0.04 | % | 0.04 | % | 0.02 | % | 0.05 | % | 0.05 | % |
The Manager has agreed not to reduce or discontinue this contractual expense limitation prior to April 30, 2019 except High Yield Portfolio and U.S. Government Bond Portfolio which are through April 30, 2020. The contractual agreement may be terminated, with respect to each Fund, upon 90 days’ notice by a majority of the Independent Directors of the Company or by a vote of a majority of the outstanding voting securities of a Fund.
For the six months ended June 30, 2018, the following amounts are included in transfer agent fees waived and/or reimbursed in the Statements of Operations:
Advantage Large Cap Core | Balanced Capital | Capital Appreciation | Global Allocation | Government Money Market | High Yield | U.S. Government Bond Portfolio | ||||||||||||
$ 98,198 | $280,996 | $ 96,190 | $ 124,083 | $ 82,798 | $ 14,748 | $ 28,782 |
With respect to each Fund, the Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of each Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets are as follows:
Advantage Large Cap Core | 0.50 | % | ||
Balanced Capital | 0.50 | |||
Capital Appreciation | 0.57 | |||
Global Allocation | 0.57 | |||
Government Money Market | 0.50 | |||
High Yield | 0.50 | |||
U.S. Government Bond Portfolio | 0.50 |
136 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
The Manager has agreed not to reduce or discontinue these contractual expense limitations through April 30, 2019 for each Fund except High Yield Portfolio and U.S. Government Bond Portfolio which are through April 30, 2020. The contractual agreement may be terminated, with respect to each Fund, upon 90 days’ notice by a majority of the Independent Directors of the Company or by a vote of a majority of the outstanding voting securities of a Fund. For the six months ended June 30, 2018, the following amounts are included in fees waived and/or reimbursed by the Manager and transfer agent fees waived and/or reimbursed in the Statements of Operations:
Advantage Large Cap Core | Balanced Capital | Global Allocation | Government Money Market | High Yield | U.S. Government Bond Portfolio | |||||||||
$ 18,406 | $ 13,949 | $ 96,378 | $ 3,472 | $ 107,857 | $ 103,179 |
The Manager and BRIL voluntarily agreed to waive a portion of their respective management and service and distribution fees and/or reimburse operating expenses to enable Government Money Market to maintain minimum levels of daily net investment income. For the six months ended June 30, 2018, there were no fees waived and/or reimbursed by the Manager. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Fund’s investments in other affiliated investment companies, if any. The Manager and BRIL may discontinue the waiver or reimbursement at any time.
Securities Lending: The U.S. Securities and Exchange Commission (“SEC”) has issued an exemptive order which permits BIM, an affiliate of the Manager, to serve as securities lending agent for the Funds, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Funds are responsible for expenses in connection with the investment of cash collateral received for securities on loan (the “collateral investment expenses”). The cash collateral is invested in a private investment company managed by the Manager or its affiliates. However, BIM has agreed to cap the collateral investment expenses of the private investment company to an annual rate of 0.04%. The investment adviser to the private investment company will not charge any advisory fees with respect to shares purchased by the Funds. The private investment company in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value withdrawn or temporarily restrict withdrawals for up to 10 business days during a 90 day period, in the event that the private investment company’s weekly liquid assets fall below certain thresholds.
Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment expenses. Each Fund retains a portion of securities lending income and remits a remaining portion to BIM as compensation for its services as securities lending agent.
Pursuant to a securities lending agreement, Government Money Market, High Yield and U.S. Government Bond retain 80% of securities lending income (which excludes collateral investment expenses), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses. In addition, commencing the business day following the date that the aggregate securities lending income earned across the Equity-Bond Complex in a calendar year exceeds a specified threshold, Government Money Market, High Yield and U.S. Government Bond, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 85% of securities lending income, and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.
Pursuant to a securities lending agreement, Advantage Large Cap Core, Balanced Capital and Capital Appreciation retain 71.5% of securities lending income, and this amount retained can never be less than 65% of the total of securities lending income plus the collateral investment expenses. In addition, commencing the business day following the date that the aggregate securities lending income earned across the Equity-Bond Complex in a calendar year exceeds a specified threshold, Advantage Large Cap Core, Balanced Capital and Capital Appreciation, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 75% of securities lending income, and this amount retained can never be less than 65% of the total of securities lending income plus the collateral investment expenses.
Pursuant to a securities lending agreement, Global Allocation retains 80% of securities lending income, and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses. In addition, commencing the business day following the date that the aggregate securities lending income earned across the Equity-Bond Complex in a calendar year exceeds a specified threshold, Global Allocation, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 85% of securities lending income, and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.
The share of securities lending income earned by each Fund is shown as securities lending income — affiliated — net in the Statements of Operations. For the six months ended June 30, 2018, each Fund paid BIM the following amounts for securities lending agent services:
Advantage Large Cap Core | Balanced Capital | Global Allocation | ||||||||||||
$ | 479 | $ | 1,048 | $ | 1,092 |
Certain Funds have begun to incur expenses in connection with a potential realignment and consolidation of the boards of directors of certain BlackRock-advised funds, including the Funds. The Manager has voluntarily agreed to reimburse the Funds for all or a portion of such expenses, which amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended June 30, 2018, the amounts reimbursed for High Yield and U.S. Government Bond Portfolio were $50,636 and $58,744, respectively.
Interfund Lending: In accordance with an exemptive order (the “Order”) from the SEC, each Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by each Fund’s investment policies and restrictions. Each Fund is currently permitted to borrow and lend under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total
NOTESTO FINANCIAL STATEMENTS | 137 |
Notes to Financial Statements (unaudited) (continued)
assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the six months ended June 30, 2018, the Funds did not participate in the Interfund Lending Program.
Directors and Officers: Certain Directors and/or officers of the Company are directors and/or officers of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Company’s Chief Compliance Officer, which is included in Directors and Officer in the Statements of Operations.
Other Transactions: The Funds may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common directors. For the six months ended June 30, 2018, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:
Purchases | Sales | Net Realized Gain (Loss) | ||||||||||
Balanced Capital | $ | 9,708 | $ | 64,112 | $ | (2,155 | ) | |||||
Global Allocation | — | $ | 139,402 | $ | 5,839 | |||||||
High Yield | $ | 44,839 | — | — |
7. | PURCHASES AND SALES |
For the six months ended June 30, 2018, purchases and sales of investments, including mortgage dollar rolls and excluding short-term securities, were as follows:
Purchases | Advantage Large Cap Core | Balanced Capital | Capital Appreciation | Global Allocation | High Yield | U.S. Government Bond Portfolio | ||||||||||||||||||
Non-U.S Government Securities | $ | 136,614,301 | $ | 598,555,261 | $ | 39,178,920 | $ | 44,230,771 | $ | 10,516,137 | $ | 208,844,685 | ||||||||||||
U.S Government Securities | — | 34,706,105 | — | 84,045,422 | �� | — | 38,229,245 | |||||||||||||||||
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| |||||||||||||
Total Purchases | $ | 136,614,301 | $ | 633,261,366 | $ | 39,178,920 | $ | 128,276,193 | $ | 10,516,137 | $ | 247,073,930 | ||||||||||||
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| |||||||||||||
Sales | ||||||||||||||||||||||||
Non-U.S Government Securities | $ | 143,337,666 | $ | 598,154,071 | $ | 46,653,458 | $ | 59,659,090 | $ | 12,836,836 | $ | 201,829,889 | ||||||||||||
U.S Government Securities | — | 64,999,180 | — | 78,872,414 | — | 36,594,868 | ||||||||||||||||||
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| |||||||||||||
Total Sales | $ | 143,337,666 | $ | 663,153,251 | $ | 46,653,458 | $ | 138,531,504 | $ | 12,836,836 | $ | 238,424,757 | ||||||||||||
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For the six months ended June 30, 2018, purchases and sales related to mortgage dollar rolls were as follows:
Purchases and Sales — MDRs | Balanced Capital | U.S. Government Bond | ||||||
Purchases | $ | 147,881,398 | $ | 92,588,341 | ||||
Sales | $ | 147,960,843 | $ | 92,609,472 |
8. | INCOME TAX INFORMATION |
It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax returns generally remains open for each of the four years ended December 31, 2017. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Funds as of June 30, 2018, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.
As of December 31, 2017, the Funds had capital loss carryforwards available to offset future realized capital gains with no expiration as follows:
High Yield | U.S. Government Bond | |||||||
No expiration date | $ | 1,711,000 | $ | 2,526,398 |
138 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
As of June 30, 2018, gross unrealized appreciation and depreciation for investments and derivatives based on cost for federal income tax purposes were as follows:
Advantage Large Cap Core | Balanced Capital | Capital Appreciation | Global Allocation | High Yield | U.S. Government Bond | |||||||||||||||||||
Tax cost | $ | 180,936,249 | $ | 515,106,750 | $ | 133,144,402 | $ | 197,565,869 | $ | 30,214,888 | $ | 78,679,158 | ||||||||||||
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Gross unrealized appreciation | 16,050,191 | 25,272,294 | 64,026,117 | 17,694,640 | 361,200 | 396,523 | ||||||||||||||||||
Gross unrealized depreciation | (5,698,660 | ) | (13,673,892 | ) | (642,636 | ) | (8,861,737 | ) | (806,618 | ) | (1,146,689 | ) | ||||||||||||
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Net unrealized appreciation (depreciation) | $ | 10,351,531 | $ | 11,598,402 | $ | 63,383,481 | $ | 8,832,903 | $ | (445,418 | ) | $ | (750,166 | ) | ||||||||||
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The Tax Cuts and Jobs Act (the “Act”) was enacted on December 22, 2017. Certain provisions of the Act were effective upon enactment with the remainder becoming effective for tax years beginning after December 31, 2017. Although the Act does not amend any provisions directly related to the qualification or taxation of regulated investment companies (“RICs”), the Act does change the taxation of entities in which some RICs invest, the tax treatment of income derived from those entities and the taxation of RIC shareholders. While management does not anticipate significant impact to the Funds or to their shareholders, there is uncertainty in the application of certain provisions in the Act. Specifically, provisions in the Act may increase the amount of or accelerate the recognition of taxable income and may limit the deductibility of certain expenses by RICs. Until full clarity around these provisions is obtained, the impact on the Funds’ financial statements, if any, cannot be fully determined.
9. | BANK BORROWINGS |
The Company, on behalf of the Funds (except for Government Money Market), along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.25 billion credit agreement with a group of lenders. Under this agreement, the Funds may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Funds, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. The agreement expires in April 2019 unless extended or renewed. Prior to April 19, 2018, the aggregate commitment amount was $2.1 billion and the fee was 0.12% per annum. Participating Funds paid an upfront commitment fee of 0.02% on the total commitment amounts, in addition to administration, legal and arrangement fees, which are included in miscellaneous expenses in the Statements of Operations. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended June 30, 2018, the Funds did not borrow under the credit agreement.
10. | PRINCIPAL RISKS |
Many municipalities insure repayment of their bonds, which may reduce the potential for loss due to credit risk. The market value of these bonds may fluctuate for other reasons, including market perception of the value of such insurance, and there is no guarantee that the insurer will meet its obligation.
Inventories of municipal bonds held by brokers and dealers may decrease, which would lessen their ability to make a market in these securities. Such a reduction in market making capacity could potentially decrease a Fund’s ability to buy or sell bonds. As a result, a Fund may sell a security at a lower price, sell other securities to raise cash, or give up an investment opportunity, any of which could have a negative impact on performance. If a Fund needed to sell large blocks of bonds, those sales could further reduce the bonds’ prices and impact performance.
In the normal course of business, certain Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Each Fund’s prospectus provides details of the risks to which each Fund is subject.
Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.
Certain obligations held by Government Money Market have a credit enhancement or liquidity feature that may, under certain circumstances, provide for repayment of principal and interest on the obligation when due. These enhancements, which may include letters of credit, stand-by bond purchase agreements and/or third party insurance, are issued by financial institutions. The value of the obligations may be affected by changes in creditworthiness of the entities that provide the credit enhancements or liquidity features. Government Money Market monitors its exposure by reviewing the creditworthiness of the issuers, as well as the financial institutions issuing the credit enhancements and by limiting the amount of holdings with credit enhancements from one financial institution.
The Funds may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00 and which may be subject to redemption gates or liquidity fees under certain circumstances.
Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Fund may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that they believe the
NOTESTO FINANCIAL STATEMENTS | 139 |
Notes to Financial Statements (unaudited) (continued)
investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Fund may lose value, regardless of the individual results of the securities and other instruments in which a Fund invests.
The price a Fund could receive upon the sale of any particular portfolio investment may differ from a Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.
Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by such Fund.
For OTC options purchased, each Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent each Fund deposits collateral with its counterparty to a written option.
With exchange-traded options purchased and futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds
Concentration Risk: As of period end, Advantage Large Cap Core and Capital Appreciation invested a significant portion of their assets in securities in the Information Technology sector. Changes in economic conditions affecting such sector would have a greater impact on a Fund and could affect the value, income and/or liquidity of positions in such securities.
Certain Funds may invest in securities that are rated below investment grade quality (sometimes called “junk bonds”), which are predominantly speculative, have greater credit risk and generally are less liquid and have more volatile prices than higher quality securities.
Certain Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise.
Global Allocation invests a significant portion of its assets in securities of issuers located in Europe or with significant exposure to European issuers or countries. The European financial markets have recently experienced volatility and adverse trends due to concerns about economic downturns in, or rising government debt levels of, several European countries. These events may spread to other countries in Europe and may affect the value and liquidity of certain of the Fund’s investments.
The United Kingdom voted on June 23, 2016 to withdraw from the European Union, which may introduce significant new uncertainties and instability in the financial markets across Europe.
Certain Funds 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. Investment percentages in these securities are presented in the Schedules of Investments. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.
140 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
11. | CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares were as follows:
Six Months Ended 06/30/2018 | Year Ended 12/31/2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Advantage Large Cap Core | ||||||||||||||||
Shares sold | 85,488 | $ | 2,150,655 | 67,459 | $ | 1,993,192 | ||||||||||
Shares issued in reinvestment of distributions | — | — | 2,075,146 | 51,414,199 | ||||||||||||
Shares redeemed | (408,538 | ) | (10,278,613 | ) | (615,362 | ) | (18,165,556 | ) | ||||||||
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Net increase (decrease) | (323,050 | ) | $ | (8,127,958 | ) | 1,527,243 | $ | 35,241,835 | ||||||||
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Balanced Capital | ||||||||||||||||
Shares sold | 263,682 | $ | 4,236,831 | 127,486 | $ | 2,301,988 | ||||||||||
Shares issued in reinvestment of distributions | — | — | 5,916,860 | 94,650,453 | ||||||||||||
Shares redeemed | (1,581,064 | ) | (25,516,704 | ) | (2,783,339 | ) | (49,923,900 | ) | ||||||||
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Net increase (decrease) | (1,317,382 | ) | $ | (21,279,873 | ) | 3,261,007 | $ | 47,028,541 | ||||||||
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Capital Appreciation | ||||||||||||||||
Shares sold | 105,270 | $ | 4,634,640 | 73,811 | $ | 2,839,338 | ||||||||||
Shares issued in reinvestment of distributions | — | — | 411,735 | 16,717,731 | ||||||||||||
Shares redeemed | (238,309 | ) | (10,474,669 | ) | (410,434 | ) | (16,084,047 | ) | ||||||||
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Net increase (decrease) | (133,039 | ) | $ | (5,840,029 | ) | 75,112 | $ | 3,473,022 | ||||||||
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Global Allocation | ||||||||||||||||
Shares sold | 221,750 | $ | 3,639,171 | 217,883 | $ | 3,442,483 | ||||||||||
Shares issued in reinvestment of distributions | — | — | 182,085 | 2,964,477 | ||||||||||||
Shares redeemed | (908,357 | ) | (14,978,765 | ) | (1,660,211 | ) | (26,105,207 | ) | ||||||||
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Net decrease | (686,607 | ) | $ | (11,339,594 | ) | (1,260,243 | ) | $ | (19,698,247 | ) | ||||||
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Government Money Market | ||||||||||||||||
Shares sold | 66,965,749 | $ | 66,965,749 | 58,382,126 | $ | 58,382,126 | ||||||||||
Shares issued in reinvestment of distributions | 682,287 | 682,287 | 500,974 | 500,974 | ||||||||||||
Shares redeemed | (45,734,256 | ) | (45,734,256 | ) | (73,641,153 | ) | (73,641,153 | ) | ||||||||
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|
| |||||||||
Net increase (decrease) | 21,913,780 | $ | 21,913,780 | (14,758,053 | ) | $ | (14,758,053 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield | ||||||||||||||||
Shares sold | 288,310 | $ | 1,549,856 | 320,121 | $ | 1,725,112 | ||||||||||
Shares issued in reinvestment of distributions | 158,839 | 852,073 | 352,197 | 1,906,199 | ||||||||||||
Shares redeemed | (740,634 | ) | (3,963,219 | ) | (1,134,478 | ) | (6,123,134 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (293,485 | ) | $ | (1,561,290 | ) | (462,160 | ) | $ | (2,491,823 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
U.S. Government Bond Portfolio | ||||||||||||||||
Shares sold | 614,574 | $ | 6,502,367 | 150,584 | $ | 1,637,179 | ||||||||||
Shares issued in reinvestment of distributions | 60,789 | 646,179 | 121,674 | 1,323,617 | ||||||||||||
Shares redeemed | (341,855 | ) | (3,621,632 | ) | (792,757 | ) | (8,624,728 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 333,508 | $ | 3,526,914 | (520,499 | ) | $ | (5,663,932 | ) | ||||||||
|
|
|
|
|
|
|
|
12. | SUBSEQUENT EVENTS |
Management’s evaluation of the impact of all subsequent events on the Funds’ financial statements was completed through the date the financial statements were issued and the following items were noted:
The Funds paid net investment income, short-term capital gain and long-term capital gain distributions in the following amounts per share on July 20, 2018 to the shareholders of record on July 18, 2018.
Net Investment Income | Short-Term Capital Gain | Long-Term Capital Gain | ||||||||||
Advantage Large Cap Core | $ | 0.003506 | $ | 0.236702 | $ | 0.216294 | ||||||
Balanced Capital | 0.009000 | 0.149372 | 0.063259 | |||||||||
Capital Appreciation | N/A | 0.201146 | 0.518971 | |||||||||
Global Allocation | 0.056533 | 0.226736 | 0.022605 |
NOTESTO FINANCIAL STATEMENTS | 141 |
Notes to Financial Statements (unaudited) (continued)
The Board has approved an Agreement and Plan of Reorganization (the “Plan”) with respect to High Yield and U.S. Government Bond, pursuant to which each Fund will reorganize into a newly created series (the “New Funds”) of a newly organized Maryland corporation. This reorganization with respect to each Fund (each, a “Reorganization”) is expected to close in the third quarter of 2018. Each Reorganization is not subject to approval by shareholders of the applicable Fund.
Each New Fund will have the same investment objective, strategies and policies, investment adviser, portfolio management team and service providers as the corresponding Fund. Each Fund will be the performance and accounting survivor of its Reorganization, meaning that the corresponding New Fund will assume the performance and financial history of the Fund at the completion of the Reorganization. In addition, each New Fund will be subject to the same contractual arrangements, including the same contractual fees and expenses, as those of its corresponding Fund. Each Reorganization is intended to be tax-free, meaning that the applicable Fund’s shareholders will become shareholders of the corresponding New Fund without realizing any gain or loss for federal income tax purposes.
Upon the consummation of the Reorganization, shareholders of the relevant Fund will become shareholders of the corresponding New Fund. If you are a shareholder of one or more of the Funds, the cash value of your investment will not change. You will receive New Fund shares with a total dollar value equal to the Fund shares that you own at the time of the Reorganization.
142 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Disclosure of Investment Advisory Agreement
The Board of Directors (the “Board,” the members of which are referred to as “Board Members”) of BlackRock Series Fund, Inc. (the “Corporation”) met in person on April 10, 2018 (the “April Meeting”) and May 8, 2018 (the “May Meeting”) to consider the approval of the investment advisory agreement (the “Advisory Agreement” or the “Agreement”) between the Corporation, on behalf of BlackRock Balanced Capital Portfolio (the “Balanced Capital Portfolio”), BlackRock Capital Appreciation Portfolio (the “Capital Appreciation Portfolio”), BlackRock Global Allocation Portfolio (the “Global Allocation Portfolio”), BlackRock Government Money Market Portfolio (the “Government Money Market Portfolio”), BlackRock High Yield Portfolio (the “High Yield Portfolio”), BlackRock Advantage Large Cap Core Portfolio (the “Advantage Large Cap Core Portfolio”) and BlackRock U.S. Government Bond Portfolio (the “U.S. Government Bond Portfolio”) (each, a “Fund,” and collectively, the “Funds”), each a series of the Corporation, and BlackRock Advisors, LLC (the “Manager” or “BlackRock”), each Fund’s investment advisor.
Activities and Composition of the Board
On the date of the May Meeting, the Board consisted of eleven individuals, nine of whom were not “interested persons” of the Corporation as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Funds and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Board Member. The Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Performance Oversight Committee and the Executive Committee, each of which also has one interested Board Member).
The Agreement
Pursuant to the 1940 Act, the Board is required to consider the continuation of the Agreement on an annual basis. The Board has four quarterly meetings per year, each typically extending for two days, and additional in-person and telephonic meetings throughout the year, as needed. The Board also has a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreement. The Board’s consideration of the Agreement is a year-long deliberative process, during which the Board assessed, among other things, the nature, extent and quality of the services provided to each Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management; accounting, administrative and shareholder services; oversight of each Fund’s service providers; marketing and promotional services; risk management and oversight; legal and compliance services; and ability to meet applicable legal and regulatory requirements.
The Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreement, including the services and support provided by BlackRock to each Fund and its shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreement.” Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, ten-year, and/or since inception periods, as applicable, against peer funds, applicable benchmark, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by each Fund for services; (c) Fund operating expenses and how BlackRock allocates expenses to each Fund; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of each Fund’s investment objective(s), policies and restrictions, and meeting regulatory requirements; (e) each Fund’s adherence to its compliance policies and procedures; (f) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) BlackRock’s implementation of each Fund’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to each Fund; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.
Board Considerations in Approving the Agreement
The Approval Process: Prior to the April Meeting, the Board requested and received materials specifically relating to the Agreement. The Board is continuously engaged in a process with its independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist its deliberations. The materials provided in connection with the April Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on either a Lipper classification or Morningstar category, regarding each Fund’s fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”), the investment performance of each Fund as compared with a peer group of funds (“Performance Peers”) and other metrics, as applicable; (b) information on the composition of the Expense Peers and Performance Peers, and a description of Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Agreement and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, ETFs, closed-end funds, open-end funds, and separately managed accounts, under similar investment mandates, as well as the performance of such other products, as applicable; (e) review of non-management fees; (f) the existence and impact of potential economies of scale, if any, and the sharing of potential economies of scale with each Fund; (g) a summary of aggregate amounts paid by each Fund to BlackRock; (h) sales and redemption data regarding each Fund’s shares; and (i) various additional information requested by the Board as appropriate regarding BlackRock’s and each Fund’s operations.
At the April Meeting, the Board reviewed materials relating to its consideration of the Agreement. As a result of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the May Meeting.
DISCLOSUREOF INVESTMENT ADVISORY AGREEMENT | 143 |
Disclosure of Investment Advisory Agreement (continued)
At the May Meeting, the Board considered, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Fund as compared with Performance Peers and other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with each Fund; (d) each Fund’s fees and expenses compared to Expense Peers; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with each Fund; and (g) other factors deemed relevant by the Board Members.
The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates, securities lending and cash management, services related to the valuation and pricing of Fund portfolio holdings, and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.
A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of each Fund. Throughout the year, the Board compared Fund performance to the performance of a comparable group of mutual funds, a relevant benchmark, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by each Fund’s portfolio management team discussing each Fund’s performance and each Fund’s investment objective(s), strategies and outlook.
The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and each Fund’s portfolio management team; BlackRock’s research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to each Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to investment advisory services, the Board considered the quality of the administrative and other non-investment advisory services provided to each Fund. BlackRock and its affiliates provide each Fund with certain administrative, shareholder and other services (in addition to any such services provided to each Fund by third parties) and officers and other personnel as are necessary for the operations of each Fund. In particular, BlackRock and its affiliates provide each Fund with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) responsibility for periodic filings with regulators; (iv) overseeing and coordinating the activities of other service providers including, among others, each Fund’s custodian, fund accountant, transfer agent, and auditor; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing administrative functions necessary for the operation of each Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, overseeing each Fund’s distribution partners, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.
B. The Investment Performance of each Fund and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of each Fund. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included a comprehensive analysis of each Fund’s performance as of December 31, 2017. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of each Fund as compared to its Performance Peers and a custom peer group of funds as defined by BlackRock (“Customized Peer Group”) with respect to the Capital Appreciation Portfolio and the Advantage Large Cap Core Portfolio. The Board and its Performance Oversight Committee regularly review, and meet each Fund management to discuss, the performance of each Fund throughout the year.
In evaluating performance, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. Further, the Board recognized that it is possible that long-term performance can be impacted by even one period of significant outperformance or underperformance, so that a single investment theme has the ability to affect long-term performance disproportionately.
The Board noted that for the one-, three- and five-year periods reported, the Advantage Large Cap Core Portfolio ranked in the first, second, and first quartiles, respectively, against its Customized Peer Group. BlackRock believes that the Customized Peer Group is an appropriate performance metric for the Advantage Large Cap Core Portfolio. The Board also noted that effective June 12, 2017, the Advantage Large Cap Core Portfolio had undergone changes in its investment objective, investment strategy and portfolio management team, and in connection with such changes, the Fund changed its name from BlackRock Large Cap Core Portfolio to BlackRock Advantage Large Cap Core Portfolio.
The Board noted that for the one-, three- and five-year periods reported, the Balanced Capital Portfolio ranked in the third, second, and first quartiles, respectively, against its Performance Peers. The Board and BlackRock reviewed the Balanced Capital Portfolio’s underperformance during the applicable period.
The Board noted that for the one-, three- and five-year periods reported, the Capital Appreciation Portfolio ranked in the first, first and second quartiles, respectively, against its Customized Peer Group. BlackRock believes that the Customized Peer Group is an appropriate performance metric for the Capital Appreciation Portfolio.
The Board noted that for each of the one-, three- and five-year periods reported, the Global Allocation Portfolio ranked in the second quartile against its Performance Peers. The Board also noted the risk profile of the Global Allocation Portfolio over the one-, three-, and five-year periods.
The Board noted that for each of the one-, three- and five-year periods reported, the Government Money Market Portfolio ranked in the second quartile against its Performance Peers. The Board reviewed the Government Money Market Portfolio’s performance within the context of the low yield environment that has existed over the past few years.
144 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Disclosure of Investment Advisory Agreement (continued)
The quartile standing of the Government Money Market Portfolio against its Performance Peers takes into account the Government Money Market Portfolio’s current yield only. BlackRock has reviewed with the Board that a money market fund can only be understood holistically, accounting for current yield and risk. While the Board reviews the Government Money Market Portfolio’s current yield performance, it also examines the liquidity, duration, and credit quality of the Government Money Market Portfolio. In the Board’s view, BlackRock’s money market funds have performed well over the one-, three- and five-year periods given BlackRock’s emphasis on preserving capital and seeking as high a level of current income as is consistent with liquidity while simultaneously managing risk.
The Board noted that for the one-, three- and five-year periods reported, the High Yield Portfolio ranked in the first, second, and first quartiles, respectively, against its Performance Peers.
The Board noted that for the one-, three- and five-year periods reported, the U.S. Government Bond Portfolio ranked in the third, second and second quartiles, respectively, against its Performance Peers. The Board and BlackRock reviewed the U.S. Government Bond Portfolio’s underperformance during the applicable period.
C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with each Fund: The Board, including the Independent Board Members, reviewed each Fund’s contractual management fee rate compared with those of its Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared each Fund’s total expense ratio, as well as its actual management fee rate, to those of its Expense Peers. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non 12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).
The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to each Fund. The Board reviewed BlackRock’s estimated profitability with respect to each Fund and other funds the Board currently oversees for the year ended December 31, 2017 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund levels is difficult.
The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.
In addition, the Board considered the estimated cost of the services provided to each Fund by BlackRock, and BlackRock’s and its affiliates’ estimated profits relating to the management and distribution of each Fund and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Board reviewed BlackRock’s methodology in allocating its costs of managing the Funds, to each Fund. The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreement and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing each Fund in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable.
The Board noted that the Advantage Large Cap Core Portfolio’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Advantage Large Cap Core Portfolio’s Expense Peers. The Board also noted that the Advantage Large Cap Core Portfolio has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the aggregate assets of the Advantage Large Cap Core Portfolio, combined with the assets of the other Series Funds, increase above certain contractually specified levels. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Advantage Large Cap Core Portfolio’s total expenses as a percentage of the Advantage Large Cap Core Portfolio’s average daily net assets. Additionally, the Board noted that BlackRock and the Board have contractually agreed to a cap on certain operational and recordkeeping fees for the Advantage Large Cap Core Portfolio.
The Board noted that the Balanced Capital Portfolio’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Balanced Capital Portfolio’s Expense Peers. The Board also noted that the Balanced Capital Portfolio has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the aggregate assets of the Balanced Capital Portfolio, combined with the assets of the other Series Funds, increase above certain contractually specified levels. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Balanced Capital Portfolio’s total expenses as a percentage of the Balanced Capital Portfolio’s average daily net assets. Additionally, the Board noted that BlackRock and the Board have contractually agreed to a cap on certain operational and recordkeeping fees for the Balanced Capital Portfolio.
The Board noted that the Capital Appreciation Portfolio’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Capital Appreciation Portfolio’s Expense Peers. The Board also noted that the Capital Appreciation Portfolio has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the aggregate assets of the Capital Appreciation Portfolio, combined with the assets of the other Series Funds, increase above certain contractually specified levels. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Capital Appreciation Portfolio’s total expenses as a percentage of the Capital Appreciation Portfolio’s average daily net assets. Additionally, the Board noted that BlackRock and the Board have contractually agreed to a cap on certain operational and recordkeeping fees for the Capital Appreciation Portfolio.
The Board noted that the Global Allocation Portfolio’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Global Allocation Portfolio’s Expense Peers. The Board also noted that the Global Allocation Portfolio has an
DISCLOSUREOF INVESTMENT ADVISORY AGREEMENT | 145 |
Disclosure of Investment Advisory Agreement (continued)
advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the aggregate assets of the Global Allocation Portfolio, combined with the assets of the other Series Funds, increase above certain contractually specified levels. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Global Allocation Portfolio’s total expenses as a percentage of the Global Allocation Portfolio’s average daily net assets. Additionally, the Board noted that BlackRock and the Board have contractually agreed to a cap on certain operational and recordkeeping fees for the Global Allocation Portfolio.
The Board noted that the Government Money Market Portfolio’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and total expense ratio ranked in the fourth and third quartiles, respectively, relative to the Government Money Market Portfolio’s Expense Peers. The Board reviewed the Government Money Market Portfolio’s expenses within the context of the low yield environment and consequent expense waivers and reimbursements. The Board also noted that the Government Money Market Portfolio has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the aggregate assets of the Government Money Market Portfolio, combined with the assets of the other Series Funds, increase above certain contractually specified levels. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the Government Money Market Portfolio’s total expenses as a percentage of the Government Money Market Portfolio’s average daily net assets. Additionally, the Board noted that BlackRock and the Board have contractually agreed to a cap on certain operational and recordkeeping fees for the Government Money Market Portfolio. The Board also noted that, to enable the Government Money Market Portfolio to maintain minimum levels of daily net investment income, BlackRock has voluntarily agreed to waive a portion of its fees and/or reimburse the Government Money Market Portfolio’s operating expenses as necessary.
The Board noted that the High Yield Portfolio’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the High Yield Portfolio’s Expense Peers. The Board also noted that the High Yield Portfolio has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the aggregate assets of the High Yield Portfolio, combined with the assets of the other Series Funds, increase above certain contractually specified levels. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the High Yield Portfolio’s total expenses as a percentage of the High Yield Portfolio’s average daily net assets. Additionally, the Board noted that BlackRock and the Board have contractually agreed to a cap on certain operational and recordkeeping fees for the High Yield Portfolio.
The Board noted that the U.S. Government Bond Portfolio’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the U.S. Government Bond Portfolio’s Expense Peers. The Board also noted that the U.S. Government Bond Portfolio has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the aggregate assets of the U.S. Government Bond Portfolio, combined with the assets of the other Series Funds, increase above certain contractually specified levels. The Board further noted that BlackRock and the Board have contractually agreed to a cap on the U.S. Government Bond Portfolio’s total expenses as a percentage of the U.S. Government Bond Portfolio’s average daily net assets. Additionally, the Board noted that BlackRock and the Board have contractually agreed to a cap on certain operational and recordkeeping fees for the U.S. Government Bond Portfolio.
D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of each Fund increase, including the existence of fee waivers and/or expense caps, as applicable, noting that any contractual fee waivers and expense caps had been approved by the Board. The Board also considered the extent to which each Fund benefits from such economies in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable each Fund to more fully participate in these economies of scale. The Board considered each Fund’s asset levels and whether the current fee schedule was appropriate. In its consideration, the Board Members took into account the existence of any expense caps and further considered the continuation and/or implementation, as applicable, of such caps.
E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with each Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to each Fund, including for administrative, distribution, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.
In connection with its consideration of the Agreement, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
The Board noted the competitive nature of the open-end fund marketplace, and that shareholders are able to redeem their Fund shares if they believe that each Fund’s fees and expenses are too high or if they are dissatisfied with the performance of each Fund.
Conclusion
The Board, including the Independent Board Members, approved the continuation of the Advisory Agreement between the Manager and the Corporation, on behalf of each Fund, for a one-year term ending June 30, 2019. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreement were fair and reasonable and in the best interest of each Fund and its shareholders. In arriving at its decision to approve the Agreement, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.
146 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Director and Officer Information
Robert M. Hernandez, Chair of the Board and Director
James H. Bodurtha, Director
Bruce R. Bond, Director
Honorable Stuart E. Eizenstat, Director
Henry Gabbay, Director
Lena G. Goldberg, Director
Henry R. Keizer, Director
John F. O’Brien, Director
Robert Fairbairn, Director
John M. Perlowski, Director, President and Chief Executive Officer
Jennifer McGovern, Vice President
Neal J. Andrews, Chief Financial Officer
Jay M. Fife, Treasurer
Charles Park, Chief Compliance Officer
John MacKessy, Anti-Money Laundering Compliance Officer
Benjamin Archibald, Secretary
Effective May 08, 2018, John MacKessy replaced Fernanda Piedra as the Anti-Money Laundering Compliance Officer of the Company.
Investment Adviser and Administrator
BlackRock Advisors, LLC
Wilmington, DE 19809
Accounting Agent
JPMorgan Chase Bank, N.A.
New York, NY 10179
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
Wilmington, DE 19809
Custodian
JPMorgan Chase Bank, N.A.(a)
New York, NY 10179
Brown Brothers Harriman & Co.(b)
Boston, MA 02109
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116
Distributor
BlackRock Investments, LLC
New York, NY 10022
Legal Counsel
Willkie Farr & Gallagher LLP
New York, NY 10019
Address of the Company
100 Bellevue Parkway
Wilmington, DE 19809
(a) | For all Funds except BlackRock Global Allocation Portfolio. |
(b) | For BlackRock Global Allocation Portfolio. |
DIRECTORAND OFFICER INFORMATION | 147 |
General Information
Householding
The Funds will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 441-7762.
Availability of Quarterly Schedule of Investments
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and 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 or how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Funds’ Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.
Availability of Proxy Voting Policies and Procedures
A description of the policies and procedures that the Fund use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 441-7762; (2) at http://www.blackrock.com/prospectus/insurance; and (3) on the SEC’s website at http://www.sec.gov.
Availability of Proxy Voting Record
Information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com/prospectus/insurance; or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.
BlackRock’s Mutual Fund Family
BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed-income and tax-exempt investing. Visit http://www.blackrock.com for more information.
Shareholder Privileges
Account Information
Call us at (800) 441-7762 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also reach us on the Web at http://www.blackrock.com.
Automatic Investment Plans
Investor Class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.
Systematic Withdrawal Plans
Investor Class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.
Retirement Plans
Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.
148 | 2018 BLACKROCK SEMI-ANNUAL REPORTTO SHAREHOLDERS |
Additional Information (continued)
BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.
Glossary of Terms Used in this Report
Currency | ||
ARS | Argentine Peso | |
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
CLP | Chilean Peso | |
CNY | Chinese Yuan | |
COP | Colombian Peso | |
EGP | Egyptian Pound | |
EUR | Euro | |
GBP | British Pound | |
HKD | Hong Kong Dollar | |
IDR | Indonesian Rupiah | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KRW | South Korean Won | |
MXN | Mexican Peso | |
NGN | Nigerian Naira | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
PLN | Polish Zloty | |
RUB | New Russian Ruble | |
SEK | Swedish Krona | |
SGD | Singapore Dollar | |
TRY | Turkish Lira | |
TWD | New Taiwan Dollar | |
USD | United States Dollar | |
ZAR | South African Rand |
Portfolio Abbreviations | ||
ABS | Asset-Backed Security | |
ADR | American Depositary Receipt | |
CDX | Credit Default Swap Index | |
CLO | Collateralized Loan Obligation | |
CSMC | Credit Suisse Mortgage Capital | |
CVA | Certification Van Aandelon (Dutch Certificate) | |
CWABS | Countrywide Asset-Backed Certificates | |
DAC | Designated Activity Company | |
ETF | Exchange-Traded Fund | |
EURIBOR | Euro Interbank Offered Rate | |
GO | General Obligation Bonds | |
JIBAR | Johannesburg Interbank Agreed Rate | |
LIBOR | London Interbank Offered Rate | |
MXIBTIIE | Mexico Interbank TIIE 28-Day | |
NYRS | New York Registered Shares | |
OTC | Over-The-Counter | |
PCL | Public Company Limited | |
RB | Revenue Bonds | |
REIT | Real Estate Investment Trust | |
S&P | Standard & Poor’s | |
TBA | To-be-announced | |
VRDN | Variable Rate Demand Notes | |
WIBOR | Warsaw Interbank Offered Rate |
ADDITIONAL INFORMATION | 149 |
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 returns 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 Government Money Market Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other Government agency. Although BlackRock Government 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. Please see the Fund’s prospectus for a description of risks associated with global investments.
Series8-6/18-SAR |
Item 2 – | Code of Ethics – Not Applicable to this semi-annual report |
Item 3 – | Audit Committee Financial Expert – Not Applicable to this semi-annual report |
Item 4 – | Principal Accountant Fees and Services – Not Applicable to this semi-annual report |
Item 5 – | Audit Committee of Listed Registrants – Not Applicable |
Item 6 – | Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form. |
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing. |
Item 7 – | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable |
Item 8 – | Portfolio Managers of Closed-End Management Investment Companies – Not Applicable |
Item 9 – | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable |
Item 10 – | Submission of Matters to a Vote of Security Holders –There have been no material changes to these procedures. |
Item 11 – | Controls and Procedures |
(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12 – | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable |
Item 13 – | Exhibits attached hereto |
(a)(1) – Code of Ethics – Not Applicable to this semi-annual report |
(a)(2) – Certifications – Attached hereto |
(a)(3) – Not Applicable |
(a)(4) – Not Applicable |
(b) – Certifications – Attached hereto |
2
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.
BlackRock Series Fund, Inc. | ||
By: | /s/ John M. Perlowski | |
John M. Perlowski | ||
Chief Executive Officer (principal executive officer) of | ||
BlackRock Series Fund, Inc. |
Date: August 28, 2018
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ John M. Perlowski | |
John M. Perlowski | ||
Chief Executive Officer (principal executive officer) of | ||
BlackRock Series Fund, Inc. |
Date: August 28, 2018
By: | /s/ Neal J. Andrews | |
Neal J. Andrews | ||
Chief Financial Officer (principal financial officer) of | ||
BlackRock Series Fund, Inc. |
Date: August 28, 2018
3